<PAGE> 1
DEAR SHAREHOLDER:
This report relates to the operation of the JNL Series Trust for the year ended
December 31, 1997. 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
WARREN B. LAMMERT
[JANUS LOGO]
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:
As the year began, the JNL Aggressive Growth Series had significant holdings in
the business service sector, particularly in credit card processors First Data,
First USA Paymentech and National Processing. Increased competition brought
lower pricing, causing disappointing earnings for the group this year.
Therefore, we sold these positions. In the technology area, we trimmed our
position in Parametric Technology due to the uncertainty in Asia.
During the year, we added several positions in the oil and gas service industry.
Although oil and natural gas prices declined in 1997 from the 1996 highs,
production volumes continued to show robust growth. Against this backdrop, the
oil and gas service industry has enjoyed strong demand from the exploration and
production sector. For example, Schlumberger, with its differentiated service
portfolio, has enabled its customers to meaningfully lower delivery costs while
capturing a fair share of its value added.
The Series also held an assortment of high-quality life sciences companies that
performed well, including Monsanto and Warner-Lambert. Monsanto is in the midst
of restructuring to refocus itself on higher-margin pharmaceuticals and
agri-biotech products. Warner-Lambert enjoyed a terrific year due to strong
sales from its two new drugs: Lipitor, for cholesterol reduction, and Rezulin,
for diabetes. Towards year end, Rezulin suffered a setback when the FDA mandated
increased tests for the elevation of liver enzymes. But the stock has bounced
back because strong sales indicate that Rezulin offers much higher quality of
life benefits, which vastly outweigh the negatives associated with increased
enzyme testing.
For the year, the Series gained 12.67% versus a gain of 33.35% for its
benchmark, the S&P 500 Index*. Despite the market's strong advance this year,
various market dynamics created a difficult environment for the Series. During
the first half of 1997, liquidity-driven flows into the large, mega-caps of the
S&P 500 Index pushed the market to new highs. In this environment, small and
midsize stocks severely underperformed their larger counterparts. During this
period, the Series' limited exposure to the mega-caps coupled with its larger
exposure to small and midsize positions held back performance. In the second
half of the year, as the market's advance became more broadly based, the Series
regained momentum and began to close its performance gap with the Index.
However, global volatility and some mild individual disappointments in the
fourth quarter kept the Series from ultimately closing this gap.
As we enter 1998, we believe the Series is well positioned to exploit a number
of compelling stories. In the life sciences area, we believe that Monsanto and
Warner-Lambert are poised to recapture some of the performance lost at the end
of 1997, as the strength of their pipelines and new products gains focus. We
have added to the Series' holdings in several other high-quality pharmaceutical
companies including Eli Lilly and Pfizer. In technology, we remain positive on
the Series' holdings and feel a number of the Series' positions may have
overcompensated for the likely slowing of demand from Asia. Finally, we have
added several holdings in the cable television industry, where we believe
improving cash flows and exciting new service offerings offer better financial
returns.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL AGGRESSIVE GROWTH SERIES AND THE S&P 500 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 12.67%
Since inception * * ...
21.29%
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.
[GRAPH]
- ---------------
* S&P is a trademark of The McGraw Hill Companies, Inc.
** Inception date May 15, 1995.
1
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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:
As the year began, small and midsize stocks came under tremendous pricing
pressure, especially smaller stocks with high growth rates. Investors became
infatuated with liquidity issues, which created a major performance gap between
large stocks and their smaller counterparts. In this environment, we lost ground
and finished the early part of the year lower. But the market's fascination with
the mega-caps eventually slowed, and investors once again began to focus on
small and midsize stocks. The S&P MidCap 400 Index posted particularly
impressive numbers mid-year; however, these returns were driven mostly by
technology and energy stocks, areas in which the Series was underweighted.
Meanwhile, the Series' investments in wireless communication and restaurant
stocks underperformed, and several consumer discretionary holdings failed to
post substantial gains. This combination, coupled with the Series'
underweighting in key performing sectors, proved to be a drag on performance for
much of the year.
During the year, several top positions experienced impressive sequential
earnings growth, but the stock prices did not keep pace with the Index. Papa
John's, Barnett and Omnicare each met or exceeded Wall Street's estimates for
several quarters, only to receive a lukewarm response. For the most recent
reporting period, the Series' top twenty positions had earnings gains in excess
of 35%; however, in a robust economic environment, investors migrated toward
more steady growth. As a result, some of the Series' holdings did not
significantly appreciate.
As the period ended, Fastenal, a longtime holding that distributes nuts and
bolts, retraced most of its earlier gains. The company expanded its sales force
following the recent introduction of several new products. Although Fastenal met
internal revenue expectations for the quarter, the higher costs associated with
its larger sales force caused the company to miss Wall Street's earnings
expectations, sending the stock price lower.
The Series gained 15.01% during 1997, while its benchmark, the S&P MidCap 400
Index, gained 32.25%. Despite significant efforts to improve performance, the
past twelve months proved to be a very difficult period for the Series. Severe
crosscurrents in the markets buffeted performance, and we were unable to close
the performance gap with the benchmark Index.
Although the last twelve months have been a difficult period, we remain positive
on our long-term outlook. The Series is focused on companies that we believe can
deliver dramatic earnings growth, regardless of the global economy. Going
forward, we expect many of our longtime holdings to provide this level of
growth. These include numerous domestic consumer discretionary stocks, some
U.K.-based restaurant and pub companies, and a number of media and entertainment
positions. Similarly, we believe our recent additions in the technology sector,
although small as a percentage of the Series' portfolio, have tremendous
potential. As the companies we own seek to deliver robust earnings well in
excess of the market, investors may once again take notice and afford these
companies a premium, especially in an environment of slower corporate growth.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL CAPITAL GROWTH SERIES AND THE S&P MIDCAP 400 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 15.01%
Since inception *... 24.83%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995.
2
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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:
Throughout the year, we remained dedicated to locating compelling individual
ideas. This led us to overweight Europe and underweight the U.S., Japan, and
most emerging markets, allowing us to sidestep several turbulent markets. Toward
the end of the year, we increased the Series' allocation to the U.S. market,
using the market's downside volatility as an entry point to add to several key
positions.
Our research continued to focus on a number of compelling individual ideas
around the world, including an assortment of classic European growth companies,
such as longtime holdings Securitas and Rentokil. Another dominant investment
theme in Europe was corporate restructuring, which has taken hold on the
Continent as companies, such as Philips Electronics, have realized they must
become more efficient if they hope to remain globally competitive.
We also found European financial services stocks very attractive. This sector
performed well in the fourth quarter, as the growing wave of consolidation
continued to sweep across Europe. Positions in UBS and Swiss Life both posted
solid gains following an increase in merger activity.
Finally, we owned a number of European technology companies, and more recently,
we were able to add several of their U.S. counterparts. Cap Gemini, a
French-based information technology company, is the beneficiary of a rebound in
economic activity on the Continent. Additionally, renewed corporate attention to
the Year 2000 conversion and the pending move toward the Euro are helping to
drive Cap Gemini's earnings growth. Meanwhile, the recent volatility in the U.S.
stock market provided attractive entry points into several topnotch U.S.
technology companies, including Cisco Systems and Microsoft.
The Series had another strong year, gaining 19.12%, well ahead of its benchmark,
the Morgan Stanley Capital International World Index (MSCI World Index), which
returned 15.76%. Given the volatility in the global markets this year, we were
particularly pleased with the Series' performance.
Going into 1998, we would expect to see continued volatility in world markets.
In this environment, high-quality stocks with predictable earnings streams
should perform well. We've increased the Series' exposure to both technology and
pharmaceutical companies in the U.S. and in Europe. Meanwhile, we believe that
corporate restructuring will continue to create attractive investment
opportunities in Europe. Looking elsewhere, we remain cautious towards Japan and
many emerging markets. Although valuations have certainly become compressed,
risk levels remain high relative to the potential gains. While the U.S.
continues to enjoy a solid economic backdrop, we will remain highly selective
and opportunistic when evaluating our domestic ideas.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL GLOBAL EQUITIES SERIES AND THE MSCI WORLD INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 19.12%
Since inception * ... 30.64%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995.
3
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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:
While 1997 resulted in strong overall performance for the U.S. stock market in
general, the road was not a smooth one for growth stocks. During the first
quarter, investors shunned aggressive growth stocks amid speculation that the
Federal Reserve would find it necessary to raise interest rates. As these fears
subsided and investor confidence increased, the favorable relative multiples of
growth stocks attracted investors during the second quarter. This trend
continued, becoming even more pronounced during the third quarter as a
non-inflationary, low interest rate environment further boosted investor
confidence and increased the amount of risk they were willing to assume.
During the fourth quarter, incidents of international economic turbulence led to
a heightened sense of domestic uncertainty, which in turn triggered an abrupt
return to defensive equity investing. A dramatic sell-off in Hong Kong preceded
an historic 554-point drop in the Dow on October 27th. Currency collapses and
subsequent banking failures throughout the Pacific Rim caused investors to
question the ability of U.S. companies dependent on this region for revenue to
meet future earnings expectations. Although the broad market recovered from the
late October sell-off, the rebound was dominated by blue-chip stocks and
utilities, causing the S&P 500 to outdistance other market indices and growth
stocks in general.
In an effort to achieve optimal return, the Series employed several different
strategies over the course of 1997. Relative to other years, the Series tended
to be overweighted in large cap stocks. An overcommitment in pharmaceutical
stocks helped buoy performance. A large technology position drove performance in
the third quarter. The position was drastically reduced the following quarter,
as we sold off those stocks we felt would be most impacted by the Asian crisis.
Looking ahead, low inflation and the fear that a stronger dollar may further
hurt debilitated Asian nations will likely prevent the Federal Reserve from
raising interest rates in the near future. Additionally, we feel the economy
will slow, leading to modest earnings growth in 1998. P/E ratios, however, could
reach very high levels because of the lack of inflation and lower interest
rates. Assuming our bottom-up forecast of Dow earnings of $486 a share is
accurate, and the Dow trades at a multiple of 18.5 x's earnings, the market
could rise to around the 9000 level next year. Given this, we are still bullish
on stocks and given their favorable valuations, we are especially bullish on
domestic growth stocks.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/ALGER GROWTH SERIES AND THE S&P 500 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 26.20%
Since inception *... 16.73%
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
[GRAPH] of insurance charges.
- ---------------
* Inception date October 16, 1995.
4
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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 sub-adviser
utilizes three different investment strategies to pursue the Series' objectives:
growth equity, value equity and equity income. 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:
For the third year in a row, the U.S. domestic equities market provided
double-digit returns, as measured by the S&P 500. However, these exceptional
returns did not come easily. Stock investors experienced significant volatility
as sectors and industries moved in and out of favor. During the first quarter,
most analysts expected earnings growth in domestic companies to slow and for the
Federal Reserve to continue raising interest rates. Investors fled to the
highest quality growth stocks. When their fears did not materialize, stocks in
most sectors rallied during both the second and third quarters. Value stocks
rallied in the third quarter as investors gained more confidence in the
stability of the economy, and began purchasing stocks of companies that had been
neglected during the previous quarters' flight to quality. However, in the
fourth quarter, the world was rocked by significant problems that were exposed
in the Asian financial sector. Stocks dropped in general and investors fled to
high quality growth stocks again.
The Series employs three distinct investment styles: 40% growth equity, 40%
value equity and 20% equity income. Portfolio management in each of the three
investment styles adhere to strict disciplines. This combination of strategies
provides diversification within a single portfolio as each style performs
differently depending on the market environment. In light of the extreme
volatility in the markets, we positioned the Series to capture much of the
market's upside potential but also to provide a buffer in the event of a
correction. As could be expected, the three portions of the Series performed
differently over the past year. The growth equity portion of the Series turned
over relatively few positions as many of the stocks it held outperformed and
continued to meet the program's stringent buy criteria. The combination of
sensational corporate profits and declining interest rates proved to be a
powerful stimulant to the growth equity portion of the Series throughout the
year, despite an extremely volatile fourth quarter. For the value equity portion
of the Series, it was very difficult to find great companies at attractive
prices in 1997. We took advantage of the significant volatility in the market to
purchase stocks that moved into value equity's buy range. Equity income lagged
the growth-driven market in the second quarter but outperformed for the full
year as investors flocked to stable income producing stocks in the latter part
of the year.
In the JNL/Eagle Core Equity Series, our goal is to provide returns that are
similar to the market as measured by the S&P 500 while taking less risk. The
Series blends a more aggressive growth style with more conservative value and
equity income styles. As the market was driven primarily by growth in 1997, the
Series underperformed the S&P 500 slightly for the year.
The months ahead could continue to be volatile for the stock and bond markets.
Until investors see how large an impact the Asian problems will have on domestic
corporate earnings, speculation and fear may increase volatility. In the
meantime, interest rates remain low and the economy remains strong, the
inflation outlook is promising and the Federal Reserve appears unlikely to raise
rates in the first part of 1998. Important issues for the upcoming year are the
effects the potential trade reduction with Asian countries could have on
corporate profits here in the U.S. versus the potential balancing effect of
possibly declining interest rates and the rebound in European economies. The
blend of the three different investment styles helps to position the Series to
benefit from shifting investor sentiment. The combination of growth, value and
income stocks in one portfolio helps to reduce volatility as different market
sectors move in and out of favor.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/EAGLE CORE EQUITY SERIES AND THE S&P 500 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 32.35%
Since inception * ...
30.37%
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.
[GRAPH]
- ---------------
* Inception date September 16, 1996.
5
<PAGE> 6
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:
Small company stocks were hit hard during the first quarter of 1997 as nervous
investors favored the more stable multi-national growth stocks. Most analysts
expected earnings growth in domestic companies to slow and for the Federal
Reserve to continue raising short-term interest rates. When their fears did not
materialize, stocks in most sectors rallied during both the second and third
quarters of 1997. Although small cap stock indexes in general lagged their large
cap counterparts over the year, most stocks rose during the middle of the year.
Small cap stocks were the best performing sector in the third quarter, with the
Russell 2000 Index returning almost double that of the S&P 500. Then in the
fourth quarter, small cap stocks dropped as investors once again moved into more
stable, large cap domestic stocks in light of the problems that occurred in the
Asian financial markets.
The Series invests in securities of small companies (those with market
capitalizations between $75 million and $1 billion at the time of purchase) that
have significant growth potential and that appear to be reasonably valued
compared to their long-term earning power. We performed extensive research
before investing in a company. During the first quarter, we added some
technology, retail and telecommunication stocks to the Series' portfolio because
the fundamental qualities of the firms met our strict criteria and the firms
offered promising growth potential over the short and long terms. We sold
several energy stocks after they had provided strong returns to lock in gains,
since their prospects for future growth appeared to wane. In April, we added to
the Series' technology weighting, which helped it outperform during the
remainder of the second quarter. In the third and fourth quarters, we continued
to purchase carefully researched positions in the lodging, education and
environmental services industries. The diversification of the portfolio and
fundamental research we conducted helped to reduce risk during the year.
The JNL/Eagle SmallCap Equity Series outperformed the Russell 2000 Index of
small cap stocks significantly during three of the four quarters in 1997. We
attribute the Series' outperformance for the year to the fundamental research we
conduct. This research helps reduce the risk of negative surprises and helps
increase our ability to locate quickly growing small companies that other
investors have not yet discovered.
The months ahead could continue to be volatile for the stock and bond markets.
Until investors see how large an impact the Asian problems will have on domestic
corporate earnings, speculation and fear may increase volatility. In the
meantime, interest rates remain low and the economy remains strong, the
inflation outlook is promising and the Federal Reserve appears unlikely to raise
rates in the first part of 1998. We believe that small cap stocks are
underpriced on a relative basis and have the potential to outperform if
sentiment improves in the equity markets. Important issues for the upcoming year
are the effects the potential trade reduction with Asian countries could have on
corporate profits here in the U.S. versus the potential balancing effects of
possibly declining interest rates and the rebound in European economies. Our
investment strategy is designed to outperform in all investment environments.
Thus, we will continue to use fundamental research to locate stocks of rapidly
growing small companies that are not overpriced and have not already been
discovered by most investors.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/EAGLE SMALLCAP EQUITY SERIES AND THE RUSSELL 2000 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 27.64%
Since inception * ... 34.92%
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.
[GRAPH]
- ---------------
* Inception date September 16, 1996.
6
<PAGE> 7
JNL/PUTNAM GROWTH SERIES
PUTNAM INVESTMENT MANAGEMENT, INC.
[PUTNAM INVESTMENTS LOGO] CAROL C. MCMULLEN
OBJECTIVE:
JNL/Putnam Growth Series seeks as its investment objective long-term growth 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 opportunity for capital growth.
MONEY MANAGER COMMENTARY:
The favorable combination of slow and steady U.S. economic growth and a low
level of inflation and interest rates continued to support stock prices in 1997.
Although large-capitalization, multinational firms led the market early in the
year, there was a broadening of the market during the third quarter. Concerns
over political and economic turmoil in Southeast Asia resulted in investor
interest in companies whose earnings are derived primarily from the United
States. By the fourth quarter, small-cap indices suffered a negative impact from
a significant pullback in technology stocks. Both the growth and value areas
produce mixed results, though many top-performing sectors had a value tilt.
For 1997 as a whole, the Series underperformed the S&P 500 Index, though from
its inception with Putnam Investments (May 5, 1997) through December 31,
JNL/Putnam Growth Series outperformed the Index. Performance was aided by
strategic positioning; we expanded the capitalization range of our holdings
(within the defined limits of our discipline), focusing on domestic firms. Our
emphasis on the finance, technology, and health-care sectors contributed
positively to performance, as did underweighting consumer staples and basic
industries. Hindering performance, however, was an overweight exposure to the
technology sector, which retreated in the fourth quarter, and underweight
exposure to utilities, which staged a late-year rally.
With the ongoing uncertainties regarding the potential impact of Southeast Asian
difficulties, the Series continues to focus on stocks whose earnings are largely
domestic. It is overweight in the technology, finance, and health-care sectors.
We also find consumer cyclicals -- particularly value-oriented retailers -- to
be attractive. Our discipline is to remain fully invested. However, we are
cautious about the 1998 outlook. Recent consensus earnings expectations have
declined sharply, given a reassessment of the reverberations of the Far East
situation. The probability of "event risk" has risen, and the aging of the
strong stock market could result in a correction. Offsetting these concerns are
the continued low levels of interest rates and inflation; the attractiveness of
U.S. equities as a safe haven; and the continued shrinkage of stock availability
(due to industry consolidations) while demand remains high. In this environment,
we are maintaining our disciplined approach to stock selection, which we believe
will result superior returns over time.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PUTNAM GROWTH SERIES AND THE S&P 500 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 21.88%
Since inception * ... 29.29%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995. Prior to May 1, 1997, the JNL/Putnam Growth
Series was the JNL/Phoenix Investment Counsel Growth Series and was
sub-advised by Phoenix Investment Counsel, Inc.
7
<PAGE> 8
JNL/PUTNAM VALUE EQUITY SERIES
PUTNAM INVESTMENT MANAGEMENT, INC.
[PUTNAM INVESTMENTS LOGO] ANTHONY I. KREISEL
OBJECTIVE:
JNL/Putnam Value Equity Series seeks as its investment objective capital growth,
with income as a secondary objective by investing primarily in common stocks
which the sub-adviser believes to be undervalued relative to underlying asset
value or earnings potential at the time of purchase.
MONEY MANAGER COMMENTARY:
From its inception with Putnam Investments (on May 1, 1997) and for 1997 as a
whole, the JNL/Putnam Value Equity Series trailed the S&P 500 Index. Overall,
the Series outperformed in the third quarter, but lost ground in the hot,
technology-driven second quarter and the large-cap growth stock-dominated fourth
quarter.
In the second quarter, U.S. equities soared to record levels, with technology
and growth-oriented pharmaceutical stocks racing ahead of the market. The value
stocks in the Series could not be expected to keep pace with the select
large-cap growth stocks that pushed the S&P 500 Index up a breathtaking 17.44%
for the quarter.
In the third quarter, the Series' position in financial services and energy
sectors, plus an underweighting in the lagging consumer growth and health-care
sectors, all contributed to outperformance. By year-end, the Series benefited
from strong issue selection in financial, utility, and health care but was
hindered by overweighting basic industrial, energy, and capital goods. Weak
stock selection in the poor-performing technology sector also had a negative
impact on performance.
The outlook for large-cap value-oriented portfolios remains favorable. Inflation
has remained modest, interest rates are declining, and corporate profit growth
is positive. Valuations are still attractive relative to the general market. In
addition, the backlash from the ongoing currency and economic upheavals in Asia
is creating opportunities for value investors, particularly in the technology
area, but also in the predominantly domestic sectors such as utilities,
telecommunications, and transportation.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PUTNAM VALUE EQUITY SERIES AND THE S&P 500 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 21.82%
Since inception *... 26.47%
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.
[GRAPH]
- ---------------
*Inception date May 15, 1995. Prior to May 1, 1997, the JNL/Putnam Value Equity
Series was the PPM America/JNL Value Equity Series and was sub-advised by PPM
America, Inc.
8
<PAGE> 9
PPM AMERICA/JNL BALANCED SERIES
PPM AMERICA, INC.
[PPM-AMER LOGO] TEAM MANAGEMENT
OBJECTIVE:
PPM America/JNL Balanced 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 overall U.S. stock market continued its advance to record levels in 1997.
Stocks of companies with large-sized market capitalizations led the strong
rally. The U.S. fixed income market also posted positive returns as interest
rates fell. The decline in rates was driven by the benign inflationary
environment and, late in the year, by the crisis in the Asian financial markets.
PPM America assumed responsibility for managing the PPM America/JNL Balanced
Series on May 1. The Series was reshaped to reflect our emphasis on security
selection and our viewpoint on the risk/reward trade-off of the stock market.
The Series produced a return of 18.43% for 1997. This compares to 33.35% for the
S&P 500 Index and 9.65% for the Lehman Brothers Aggregate Bond Index.
The equity portion of the Series is now managed using a relative value
philosophy. The equity portion of the Series' assets have a lower-than-market
price/earnings ratio (compared to the S&P 500 Index) based on expected 1998
corporate earnings and a higher-than-market dividend yield. The equity component
is overweighted in stocks of telecommunications, electric utility, financial,
auto and railroad companies. It is underweighted in stocks of consumer, health
care, energy and technology companies. The fixed income portion of the Series is
now managed with a duration-neutral, relative value framework. We seek to invest
in fixed income sectors and individual securities which are expected to provide
higher returns than the overall fixed income market at similar levels of
interest rate risk. The fixed income portion is now underweighted in
mortgage-backed and U.S. Government securities. It is overweighted in high yield
securities.
We believe that the tremendous rally over the last few years has pushed the
overall stock market to valuation levels where the risk/reward trade-off is not
compelling. As such, since assuming management responsibility, we have
maintained a fairly even allocation between equity and fixed income securities.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
PPM AMERICA/JNL BALANCED SERIES, THE S&P 500 INDEX
AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX*
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 18.43%
Since inception ** ...
17.07%
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
[GRAPH] of insurance charges.
- ---------------
* The return for the Lehman Brothers Aggregate Bond 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.
** Inception date May 15, 1995. Prior to May 1, 1997, the PPM America/JNL
Balanced Series was the JNL/Phoenix Investment Counsel Balanced Series and
was sub-advised by Phoenix Investment Counsel, Inc.
9
<PAGE> 10
PPM AMERICA/JNL HIGH YIELD BOND SERIES
PPM AMERICA, INC.
[PPM-AMER LOGO] TEAM MANAGEMENT
OBJECTIVE:
PPM America/JNL High Yield Bond Series seeks as its investment objective a high
level of current income; its secondary investment objective is capital
appreciation by investing in fixed income securities, with emphasis on
higher-yielding, higher-risk, lower-rated or unrated corporate bonds.
MONEY MANAGER COMMENTARY:
The U.S. high yield market was once again the best performing domestic fixed
income asset class during 1997. As measured by the Lehman Brothers High Yield
Index, the sector returned 12.76% during the period, outperforming U.S.
Treasuries, investment grade corporates, mortgage-backed securities, and
asset-backed securities. The performance of the high yield market was driven by
strong demand from pension funds, insurance companies and mutual funds, as well
as by substantial involvement by crossover managers of all types seeking to
maximize yield. Additionally, corporate defaults continued to be quite low
during 1997, reflecting relatively healthy economic conditions and the generally
favorable financing environment present throughout the year. Record levels of
new issuance dominated the high yield market in 1997 for the second year in a
row. Specifically, there was continued high levels of supply from developmental
telecommunication credits, single B-rated credits, non-rated credits, and
foreign issuers. These concentrations have served to reshape the risks
associated with the market and will undoubtedly impact future performance.
Our approach to the management of the Series is relative valuation based. We
focus on purchasing individual securities which are attractively priced and have
the potential to outperform the benchmark, in the context of industry weightings
derived by the same factors. During 1997, this approach led to our overweighting
of credits rated in the single-B category, as well as our moderate overweighting
of cyclical industries.
The PPM America/JNL High Yield Bond Series finished the year with a return of
15.05%, outperforming the Lehman Brothers High Yield Index by 229 basis points.
The Series also strongly outperformed the Lipper High Yield Universe average of
12.91% by 214 basis points and the Morningstar High Yield Index average of
12.92% by 213 basis points. The Series' performance advantage was primarily
attributable to security selection as well as favorable industry weightings.
We expect continued strong performance by the high yield market during 1998,
driven once again by robust demand for the securities from a variety of sources
as well as a generally stable economic environment. One of the only scenarios
that could derail the demand picture during 1998 would be an outright recession
and it is our belief that the chances of this occurring are small despite the
present situation in Asia. In conclusion, in light of the generally favorable
market conditions PPM America projects for 1998, we plan to maintain our
strategy of searching for attractively valued securities and industry sectors
with the potential to outperform the benchmark.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
PPM AMERICA/JNL HIGH YIELD BOND SERIES AND THE
LEHMAN BROTHERS HIGH YIELD INDEX* AVERAGE ANNUAL
TOTAL RETURN
1 year ... 15.05%
Since inception ** ...
13.00%
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.
[GRAPH]
- ---------------
* 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.
** Inception date May 15, 1995.
10
<PAGE> 11
[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 U.S. economy grew moderately with low inflation and falling interest rates.
Asian economies were mired in crisis for the latter part of 1997 with currencies
and stock market values plummeting. That led to an increase of credit risk
premiums globally and pressured the emerging markets and high yield sectors for
most of the fourth quarter.
High yield returned 13.19% for the year as measured by the Salomon Smith Barney
High Yield Market Index. For most of the year, persistently strong flows into
mutual funds and solid credit fundamentals bolstered the high yield sector. The
quest for yield also led investors to bid up emerging market bonds until
October. Falling inflation rates, stable currencies, stable political
environments and rising foreign domestic investment all helped to support the
case for an allocation to the emerging market sector. Although October's -9.39%
Salomon Smith Barney Brady Bond index return made a dent in what was shaping up
to be another great year, emerging market bonds bounced back in November and
December and resulted in a gain of 16.85% for the year. Long maturity Treasuries
rallied sharply in 1997, with ten year note yields falling 67 basis points and
thirty year bond yields falling 71 basis points. That also heavily influenced
the mortgage backed securities (MBS) sector which returned 9.27%, based on the
Salomon MBS index, a stellar return relative to other sectors of the investment
grade market when adjusted for the relatively lower interest rate sensitivity of
MBS.
The Series lowered its allocation to the high yield and emerging market sectors
while raising the investment grade portion in the third quarter. The high yield
allocation was lowered from 40 to 35%, emerging markets was lowered from 20 to
15% and investment grade was raised to 40%. The target allocation for non-US
dollar denominated bonds was left unchanged at 10%. The Series also extended
duration in the third quarter and increased the commitment to the MBS sector.
The allocation to high yield and emerging markets was reduced in the third
quarter as the sectors were viewed as fully valued, having tightened
dramatically throughout the year. Duration was extended as a function of a
positive inflation outlook and an improved technical situation in the government
market as falling budget deficits and strong buying of Treasuries by foreigners
portended further declines in interest rates.
The Salomon Brothers/JNL Global Bond Series returned 10.66% for 1997 versus
4.31% for the Lipper Annuity Global Income category and 9.65% Lehman Brothers
Aggregate Bond Index.
Our outlook for the investment grade markets is positive given our sanguine
inflation view and optimistic assumptions regarding the budget deficit. Although
we are positive on the fundamentals for the emerging markets and high yield
sectors, in the short run the market may experience some volatility as Asian
countries continue to try and resolve their economic problems. The problems will
take years to correct, but what the markets are looking for is a long term,
multi year strategy combined with a refinancing of short term obligations into
longer term obligations that would resolve the liquidity crisis in countries
such as Indonesia and Korea.
Our current high yield and emerging markets allocations remain at 35 and 15%
respectively, below our long term targets of 40 and 20%.
We will be monitoring the employment cost index for signs of rising inflation
pressures, progress on the U.S. budget deficit, flows into bond mutual funds,
Asian economic reforms and credit fundamentals in both the U.S. and emerging
market economies.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL GLOBAL BOND SERIES AND THE
SALOMON BROTHERS BROAD INVESTMENT GRADE INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 10.66%
Since inception *... 12.26%
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
[GRAPH] of insurance charges.
- ---------------
* Inception date May 15, 1995.
11
<PAGE> 12
[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:
Economic conditions in the U.S. remained surprisingly favorable throughout 1997.
The combination of moderate growth and low inflation supported the financial
markets. The Federal Reserve's decision to raise interest rates in March was
widely anticipated, and since then, the market continued to be comforted by the
fact that strong growth did not translate into higher inflation readings. The
turmoil in Asian markets reverberated throughout the world later in the year,
and the resultant dampening effects are likely to keep the Fed on hold for the
near term.
Early in 1997, bonds sold off on the expectation that strong U.S. economic
growth would begin to translate into higher inflation readings. Following the
March tightening by the Fed -- when long bond yields were more than
7% -- inflation unexpectedly continued to decline. This led to a rally in U.S.
fixed-income securities, and yields fell some 75 basis points through the
summer. The rally continued in the fall, when it was widely believed that the
Asian crisis would slow economic growth in the United States to more sustainable
levels. The Series' strong performance reflects the continued overweight
position in mortgage-backed securities. Indeed, mortgages (as measured by the
Salomon Brothers Mortgage Index) posted returns of 9.27% in 1997, which on a
duration-adjusted basis outdistanced benchmark Treasuries by approximately 132
basis points. The Series' performance was also helped by the slightly longer
duration position relative to the benchmark since midyear.
The Salomon Brothers/JNL U.S. Government & Quality Bond Series posted a 9.16%
return in 1997. This performance compares favorably versus the Lipper General
U.S. Government Average return of 8.78%. The Series lagged the Salomon Brothers
Treasury Index which posted a 9.63% return.
As we move into 1998, the effects of the turmoil in Asia will continue. While we
believe that the direct impact on the U.S. will be limited, the indirect effects
could be larger. The weakness in Asia should dampen U.S. growth to sustainable
levels, offsetting strength in housing and other consumer sectors. This should
also serve to curb mounting pressure in the labor force. We believe that the
inflation picture will improve going forward, as price competition in
commodities and produced goods from countries such as Korea and Japan keep U.S.
prices in check. This combination of slower growth and lower inflation should
benefit financial assets in 1998. Barring a significant decline in interest
rates, we believe that additional spreads from mortgages will lead to higher
returns versus Treasuries.
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
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 9.16%
Since inception *... 7.07%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995.
12
<PAGE> 13
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
T. ROWE PRICE ASSOCIATES, INC.
[T.ROWE PRICE LOGO] ROBERT W. SMITH
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:
For most of 1997, the story has been a continuation of the last several years:
strong domestic economic growth, mixed international growth resulting in good
earnings' growth, and mild inflation. Companies continued to focus on improving
margins and on driving down costs, both of which are very positive for profit
growth and stock performance. The Federal Reserve continued to play the right
cards as the economy continued not "too hot" and not "too cold."
Over the fourth quarter, this perfect backdrop began to show some holes as
trade, currency, and economic problems in the Far East unfolded. The expected
shortfall of worldwide economic growth and the subsequent slower earnings'
growth of many U.S. companies was largely offset by a decline in interest rates
and a "flight to the safety" of the domestic market.
While the U.S. market remained relatively stable, its components experienced
substantial differences in returns. Technology and cyclical issues performed
poorly, while stable, less cyclical companies did well in the fourth quarter.
The Series' relatively large investments in Freddie Mac and Fannie Mae
contributed significantly to returns. Although we trimmed some shares of Freddie
Mac as prices rose, we still maintain large holdings in both companies. Other
large holdings such as GE, Berkshire Hathaway, Danaher, Norwest, Pfizer, and
Tyco International also performed exceedingly well. The Series' investments in
Bermuda-based reinsurers -- ACE Limited and PartnerRe Holdings -- were very
rewarding, as were some other international holdings, including Vodafone and
Novartis.
Issues affected by the problems in Asia detracted from performance. While we cut
back this exposure early in 1997, what remained performed poorly. Both Hutchison
Whampoa and Swire Pacific were down significantly from early-year levels. In
addition, several technology holdings, such as 3Com, Oracle, Corning, and
Motorola, were affected by declines in Far East demand.
The biggest disappointment was First Data. While problems there will take time
to be resolved, we remain holders of the stock due to the company's strong
position in good growth markets.
We continue to look for the same criteria in our investments as we have in the
past. We search for companies with leadership in growth markets, strong
managements, strong cash flow, and solid returns on cash flow. We attempt to
find all or most of these characteristics at reasonable valuations, but this
proved difficult as the strong market continued in 1997.
Nevertheless, opportunities did present themselves, and we initiated several new
positions in the last six months. These included leading companies in growth
markets, including Cendant (which resulted from merger of CUC International and
HFS), Bristol-Myers Squibb, Network Associates, and EMC, all of which are
gaining market share in growth markets and generating solid free cash flow.
We bought shares of good generators and users of cash flow, including Tenet
Healthcare, a consolidator in the hospital industry; Safeway, in our view the
best-managed supermarket company; and AT&T, which should begin to generate solid
cash flow as effective new management takes control.
While investors have benefited from an ideal environment for stocks,
particularly those of large growth companies, it is important to realize that
stock prices tend to rise with earnings and cash flow growth. The Series'
investments are in companies offering both strong earnings and cash flow growth,
but we believe that stocks have outpaced these growth rates. In addition,
international issues are likely to slow growth in 1998. For these reasons, we
anticipate more modest returns in 1998.
Although Asia's economic drag could affect domestic markets, we still anticipate
moderate U.S. economic growth in 1998. We believe the current environment should
favor the Series' holdings, as our focus on strong management and strong cash
flow should help growth stocks prosper in a tough environment.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES AND THE S&P 500 INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 29.47%
Since inception *... 28.28%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995.
13
<PAGE> 14
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:
For the year ended December 31, 1997, the T. Rowe Price/JNL International Equity
Investment Series slightly outperformed the Series' benchmark, the MSCI E.A.FE.
Index, which rose 2.06%. The dollar had a strong year -- gaining some ground
against the yen and even more against European currencies, and this hampered
portfolio performance.
European markets were generally good performers. Asian markets performed poorly,
with even the Japan's Nikkei falling back to its bear-market lows. In Latin
America, markets rose sharply despite their Asia-induced stumble toward
year-end.
Country allocation relative to the benchmark index was positive over the year.
Underweighting Japan and overweighting Latin America added value although this
was eroded by an underweighted position in the U.K. and an overweighted position
in the first half of the year in some smaller Asian markets.
Stock selection was a small negative over the year. Underperformance in Europe,
particularly in the Netherlands and Germany, was the main culprit with our
favorite growth stocks starting the year poorly.
The outlook remains reasonable for European markets, with corporate profits'
growth likely to be strong supported by good economic growth and further
restructuring.
We believe that Latin American markets remain attractive, given continued
commitment to political and economic reform in the region. The relative
resilience of these markets in recent months, despite the problems in the
Pacific Rim, has been encouraging.
The outlook for Asia is more uncertain, and we remain cautious about the
prospects for the region's smaller markets as we believe that their problems are
more deep-seated than is generally realised. While there may be some bounces in
markets which have fallen a long way already, we believe it is a time to be
particularly selective when looking at stocks traded in Asia.
Six months into the crisis, there is still no sight of the bottom, nor can we
hazard a guess that the worst is behind us yet. Even if recalcitrant governments
were to adopt the sort of harsh medicine that investors and the International
Monetary Fund have been calling for, circumstances have deteriorated to such an
extent now that the pain and loss of equity control would be so great that the
option of default is arguably no less unpalatable. Debt moratoriums, therefore,
cannot be ruled out.
Whilst a great deal of bad news has already been reflected in markets, we need
to see some stability return to currency markets before we further evaluate
investment opportunities in the region. Accepting the likelihood that we will
miss the initial snapback in currencies (which will inevitably be sharp), our
strategy is to remain in an underweighted and defensive posture until we have
some conviction that the crisis of confidence is past.
At that point, even though the regional economic recession may have only just
begun, we would look to build positions in companies which we think will be
long-term winners in this new environment.
Similarly, we remain cautious on the Japanese market despite recent weakness:
the economic outlook there is poor and the problems of the banking sector remain
severe.
Thus, we expect that 1998 performance is likely to be driven by the European and
Latin American equity markets, with Asia remaining fragile.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
AND THE MSCI E.A.FE. INDEX
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 2.65%
Since inception *... 8.95%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995.
14
<PAGE> 15
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
T. ROWE PRICE ASSOCIATES, INC.
[T.ROWE PRICE LOGO] INVESTMENT ADVISORY COMMITTEE
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:
Following stellar gains in 1995 and 1996, the stock market turned in another
unusually good performance in 1997, again led by the type of
large-capitalization, blue chip companies that compose the S&P 500 Index.
Mid-cap stocks lagged the major large-cap indices in the first half of the year,
staged a strong comeback in the third quarter, and faded again in the last three
months of 1997. Except for a brief period from April to October, growth stocks
lagged value stocks by a considerable margin.
The stocks of small and mid-sized companies usually outdistance larger stocks
late in economic expansions, but not this time. Perhaps the reason is that
larger companies have benefited from restructuring and cost cutting, whereas
small and mid-sized companies are still growing rapidly and have had little fat
to cut.
The largest contributor to performance for the second half of 1997 and a large
contributor in the fourth quarter was Cox Communications, a cable company that
is leading its industry in the implementation of new services, particularly high
speed Internet access and local telephone service. The largest contributor to
performance for the quarter was Outdoor Systems, North America's largest
billboard and outdoor advertising company, participating in the consolidation in
the industry with accretive acquisitions. The stock rose almost 50%. Royal
Caribbean Cruises continued its good performance, and SunGard Data Systems, a
computer services company specializing in investment support and disaster
recovery systems, was another large contributor with strong earnings gains.
The year's worst detractor to performance was Boston Chicken, a restaurant
operator whose stock fell when an unanticipated slowdown precipitated a
reevaluation by investors of what was, in hindsight, we believe an overly
aggressive expansion plan and a problematic financial structure. The portfolio
was also hurt by its position in Mercury Finance, a leader in used automobile
lending. Along with other investors, we were victimized by suspected management
fraud and manipulation of financial statements and are seeking redress through
legal action. The worst performing industry in 1997 was precious metals, as gold
fell from a 1997 high of approximately $369 per ounce to approximately $294 at
year-end. Our holdings in two growing gold companies, TVX Gold and Cambior, also
fell.
While the stock market as a whole continues to be near the upper end of its
traditional valuation range, low interest rates provide some support as long as
earnings growth continues. Relative to the overall market, we believe mid-cap
growth stocks look quite attractive. The aggregate underlying growth rate of our
portfolio companies is well in excess of the market as a whole, yet the
price/earnings ratio is only modestly higher than the market, and well below
many of the blue chip leaders. In addition, many of our mid-cap companies have
little direct foreign exposure, a factor that could be an advantage for the
first time in several years. Finally, the drop in the long-term U.S. capital
gains tax rate should favor small-and mid-cap growth companies, most of which
pay little or no dividends in order to reinvest in their own growth. We believe
the mid-cap growth sector, and the T. Rowe Price/JNL Mid-Cap Growth Series in
particular, are well positioned to achieve attractive returns over the long run.
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
AVERAGE ANNUAL
TOTAL RETURN
1 year ... 18.21%
Since inception *... 27.22%
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.
[GRAPH]
- ---------------
* Inception date May 15, 1995.
15
<PAGE> 16
[THIS PAGE INTENTIONALLY LEFT BLANK]
16
<PAGE> 17
- --------------------------------------------------------------------------------
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 each of the sixteen
Series comprising the JNL Series Trust (hereafter referred to as the "Trust")
at December 31, 1997, 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, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
Chicago, Illinois
February 6, 1998
17
<PAGE> 18
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
JNL JNL JNL
AGGRESSIVE CAPITAL GLOBAL JNL/ALGER
GROWTH GROWTH EQUITIES GROWTH
SERIES SERIES SERIES SERIES
------------ --------------- ------------- -----------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at cost..... $75,870,116 $61,149,807 $133,760,561 $76,262,289
=========== ============== ============ ===========
Investments in securities, at value.... $81,703,080 $73,937,968 $150,681,907 $88,020,185
Cash................................... 59,059 95,038 206,832 -
Foreign currency....................... 89,557 67,392 1,835,596 -
Receivables:
Dividends and interest............... 14,373 18,713 38,203 54,156
Forward foreign currency
exchange contracts................. 158,994 116,139 1,021,803 -
Foreign taxes recoverable............ 4,500 2,413 71,498 -
Fund shares sold..................... 36,940 61,370 102,179 55,105
Investment securities sold........... 1,258,072 1,456,301 448,313 2,357,713
Reimbursement from Adviser........... 5,405 - 99,547 -
----------- -------------- ------------ -----------
TOTAL ASSETS........................... 83,329,980 75,755,334 154,505,878 90,487,159
----------- -------------- ------------ -----------
LIABILITIES
Payables:
Investment advisory fees............. 61,473 57,061 125,168 69,069
Forward foreign currency
exchange contracts................. 170,192 131,856 1,079,888 -
Fund shares redeemed................. 44,413 20,726 529,720 42,647
Investment securities purchased...... 4,178,454 1,776,524 1,694,928 4,477,557
Reverse repurchase agreements.......... - - - -
Call options written, at value
(Premiums received $1,038)......... - - - -
Other liabilities...................... 5,104 20,368 25,899 21,039
----------- -------------- ------------ -----------
TOTAL LIABILITIES...................... 4,459,636 2,006,535 3,455,603 4,610,312
----------- -------------- ------------ -----------
NET ASSETS............................. $ 78,870,344 $ 73,748,799 $151,050,275 $85,876,847
============ ============== ============ ===========
NET ASSETS CONSIST OF:
Paid-in capital........................ $ 72,393,224 $ 61,090,023 $135,778,668 $73,023,895
Undistributed net investment
income (loss)........................ 381,611 (17,785) 633,816 -
Accumulated net realized gain (loss)
on investments and foreign
currency related items............... 271,967 (94,586) (2,217,633) 1,095,056
Net unrealized appreciation
(depreciation) on:
Investments.......................... 5,832,964 12,788,161 16,921,346 11,757,896
Foreign currency related items....... (9,422) (17,014) (65,922) -
----------- -------------- ------------ -----------
Options written...................... - - - -
NET ASSETS............................. $78,870,344 $73,748,799 $151,050,275 $85,876,847
=========== ============== ============ ===========
TOTAL SHARES OUTSTANDING (NO PAR
VALUE), UNLIMITED SHARES AUTHORIZED.. 5,426,451 4,469,585 8,642,845 6,333,265
=========== ============== ============ ===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........... $ 14.53 $ 16.50 $ 17.48 $ 13.56
=========== ============== ============ ===========
</TABLE>
<TABLE>
<CAPTION>
JNL/EAGLE JNL/EAGLE
CORE SMALLCAP JNL/PUTNAM
EQUITY EQUITY GROWTH
SERIES SERIES SERIES
--------------- ---------- -----------
<S> <C> <C> <C>
ASSETS
Investments in securities, at cost..... $ 10,563,803 $12,913,464 $74,166,450
=============== =========== ===========
Investments in securities, at value.... $ 12,065,928 $14,348,909 $84,739,666
Cash................................... - - -
Foreign currency....................... - - -
Receivables:
Dividends and interest............... 22,281 7,387 73,895
Forward foreign currency
exchange contracts................. - - -
Foreign taxes recoverable............ 94 - -
Fund shares sold..................... 7,839 8,334 360,342
Investment securities sold........... 200,611 - 249,901
Reimbursement from Adviser........... - 1,639 -
--------------- ----------- -----------
TOTAL ASSETS........................... 12,296,753 14,366,269 85,423,804
--------------- ----------- -----------
LIABILITIES
Payables:
Investment advisory fees............. 8,712 10,337 60,730
Forward foreign currency
exchange contracts................. - - -
Fund shares redeemed................. 404 461 7,744
Investment securities purchased...... 378,644 850,034 1,728,693
Reverse repurchase agreements........ - - -
Call options written, at value
(Premiums received $1,038)......... 581 - -
Other liabilities...................... 11,944 12,058 14,185
--------------- ----------- -----------
TOTAL LIABILITIES...................... 400,285 872,890 1,811,352
--------------- ----------- -----------
NET ASSETS............................. $ 11,896,468 $13,493,379 $83,612,452
=============== =========== ===========
NET ASSETS CONSIST OF:
Paid-in capital........................ $ 10,355,280 $11,860,477 $72,727,429
Undistributed net investment
income (loss)........................ 133 390 85,266
Accumulated net realized gain (loss)
on investments and foreign
currency related items............... 38,471 197,067 226,541
Net unrealized appreciation
(depreciation) on:
Investments.......................... 1,502,125 1,435,445 10,573,216
Foreign currency related items....... 2 - -
Options written...................... 457 - -
--------------- ----------- -----------
NET ASSETS............................. $ 11,896,468 $13,493,379 $83,612,452
=============== =========== ===========
TOTAL SHARES OUTSTANDING (NO PAR
VALUE), UNLIMITED SHARES AUTHORIZED.. 865,023 916,112 4,922,609
=============== =========== ===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........... $ 13.75 $ 14.73 $ 16.99
=============== =========== ===========
</TABLE>
See notes to the financial statements.
18
<PAGE> 19
<TABLE>
<CAPTION>
PPM PPM SALOMON
JNL/PUTNAM PPM AMERICA/JNL AMERICA/JNL BROTHERS/JNL
VALUE AMERICA/JNL HIGH YIELD MONEY GLOBAL
EQUITY BALANCED BOND MARKET BOND
SERIES SERIES SERIES SERIES SERIES
- -------------- ----------- ----------- ---------------- --------------
<S> <C> <C> <C> <C>
$ 103,480,721 $55,447,930 $59,533,930 $41,810,074 $39,448,629
============== =========== =========== ================ ==============
$ 109,198,012 $59,053,344 $61,303,164 $41,810,074 $40,329,980
- - - - -
- - - - 2,554
208,562 513,740 1,278,353 8 574,455
- - - - 44,231
2,122 - - - 255
293,429 199,767 190,180 41,732 23,222
2,521,449 - - - -
19,709 - - - -
- -------------- ----------- ----------- ---------------- --------------
112,243,283 59,766,851 62,771,697 41,851,814 40,974,697
- -------------- ----------- ----------- ---------------- --------------
78,326 36,101 37,515 20,397 25,793
- - - - 7,663
12,106 19,480 7,756 9,949 3,339
3,573,732 - - - 4,159,327
- - - - -
- - - - -
14,097 16,779 14,762 13,621 53,743
- -------------- ----------- ----------- ---------------- --------------
3,678,261 72,360 60,033 43,967 4,249,865
- -------------- ----------- ----------- ---------------- --------------
$ 108,565,022 $59,694,491 $62,711,664 $41,807,847 $36,724,832
============== =========== =========== ================ ==============
$ 102,587,093 $55,882,345 $60,738,884 $41,807,847 $35,827,391
7,901 11,253 4,258 - (15,879)
252,737 195,479 199,288 - (3,325)
5,717,291 3,605,414 1,769,234 - 881,351
- - - - 35,294
- - - - -
- -------------- ----------- ----------- ---------------- --------------
$ 108,565,022 $59,694,491 $62,711,664 $41,807,847 $36,724,832
============== =========== =========== ================ ==============
6,453,704 4,570,872 5,462,564 41,807,847 3,302,198
============== =========== =========== ================ ==============
$ 16.82 $ 13.06 $ 11.48 $ 1.00 $ 11.12
============== =========== =========== ================ ==============
<CAPTION>
T. ROWE
SALOMON T. ROWE PRICE/JNL T. ROWE
BROTHERS/JNL PRICE/JNL INTERNATIONAL PRICE/JNL
U.S. GOVERNMENT ESTABLISHED EQUITY MID-CAP
& QUALITY BOND GROWTH INVESTMENT GROWTH
SERIES SERIES SERIES SERIES
- ---------------- ------------ ------------- -------------
<S> <C> <C> <C>
$31,752,904 $106,678,983 $73,454,612 $107,647,880
=========== ============ ============ =============
$32,441,788 $124,278,380 $78,308,997 $127,413,759
13,800 - 1,329 -
- 39,663 318,604 262
229,508 123,061 72,767 31,566
- - 4 -
- 7,038 67,255 314
39,788 183,864 32,831 142,538
1,049,239 452,165 8 688,164
- - - -
----------- ------------ ------------ -------------
33,774,123 125,084,171 78,801,795 128,276,603
14,412 85,195 72,103 97,412
- 52 - -
971 20,483 12,651 51,353
5,889,298 939,418 6 1,057,297
2,467,500 - - -
- - - -
13,409 17,079 32,387 18,272
----------- ------------ ------------ -------------
8,385,590 1,062,227 117,147 1,224,334
----------- ------------ ------------ -------------
$25,388,533 $124,021,944 $78,684,648 $127,052,269
=========== ============ ============ =============
$24,671,400 $105,652,218 $74,767,969 $105,943,206
5,716 57,546 (69,263) -
22,533 723,591 (866,483) 1,343,181
688,884 17,589,318 4,854,385 19,765,879
- (729) (1,960) 3
- - - -
----------- ------------ ------------ -------------
$25,388,533 $124,021,944 $78,684,648 $127,052,269
=========== ============ ============ =============
2,374,135 7,937,589 6,506,743 7,315,779
=========== ============ ============ =============
$ 10.69 $ 15.62 $ 12.09 $ 17.37
=========== ============ ============ =============
</TABLE>
19
<PAGE> 20
JNL SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
JNL JNL JNL JNL/EAGLE JNL/EAGLE
AGGRESSIVE CAPITAL GLOBAL JNL/ALGER CORE SMALLCAP JNL/PUTNAM
GROWTH GROWTH EQUITIES GROWTH EQUITY EQUITY GROWTH
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends....................... $ 317,704 $ 190,645 $ 1,191,385 $ 412,080 $ 121,218 $ 17,870 $ 587,612
Interest........................ 561,415 275,125 504,175 241,637 19,111 23,809 205,211
Foreign tax withholding......... (11,071) (8,037) (132,482) (2,212) (874) (131) (5,344)
----------- ----------- ----------- ----------- ----------- ----------- -----------
TOTAL INVESTMENT INCOME ........... 868,048 457,733 1,563,078 651,505 139,455 41,548 787,479
----------- ----------- ----------- ----------- ----------- ----------- -----------
EXPENSES
Investment advisory fees........ 555,594 545,552 1,054,206 616,473 61,251 70,893 491,147
Custodian fees.................. 73,243 36,073 304,044 12,613 7,078 2,576 22,877
Portfolio accounting fees....... 22,011 22,011 38,503 24,279 24,090 24,090 24,279
Professional fees............... 21,124 21,043 34,660 24,080 9,455 10,855 23,260
Other........................... 11,464 12,911 14,155 18,735 3,201 3,901 10,354
----------- ----------- ----------- ----------- ----------- ----------- -----------
TOTAL OPERATING EXPENSES........... 683,436 637,590 1,445,568 696,180 105,075 112,315 571,917
Less:
Reimbursement from Adviser...... 40,117 5,898 232,508 - 33,615 30,228 -
----------- ----------- ----------- ----------- ----------- ----------- -----------
NET OPERATING EXPENSES BEFORE
INTEREST EXPENSE AND DIVIDENDS
ON SHORT POSITIONS.............. 643,319 631,692 1,213,060 696,180 71,460 82,087 571,917
----------- ----------- ----------- ----------- ----------- ----------- -----------
Interest expense................ - - - - - - 13,626
Dividends on short positions.... - - - - - - 32,300
----------- ----------- ----------- ----------- ----------- ----------- -----------
NET EXPENSES....................... 643,319 631,692 1,213,060 696,180 71,460 82,087 617,843
----------- ----------- ----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS)....... 224,729 (173,959) 350,018 (44,675) 67,995 (40,539) 169,636
----------- ----------- ----------- ----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAINS
(LOSSES)
Net realized gain (loss) on:
Investments..................... 3,168,146 250,781 2,376,160 5,005,844 237,222 247,335 408,288
Foreign currency related items 149,464 (105,156) 1,151,326 - - (2) (4)
Options written ................ - - - - (4,015) - -
Short transactions.............. - - - - - - 651,873
Futures transactions............ (10,119) - (47,529) - - - -
Net change in unrealized
appreciation (depreciation on:
Investments..................... 3,997,177 10,161,826 10,283,961 8,093,212 1,422,396 1,221,736 10,282,868
Foreign currency related items.. (5,389) 55,218 (207,133) - 2 - -
Options written................. - - - - 914 - -
----------- ----------- ----------- ----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAINS.. 7,299,279 10,362,669 13,556,785 13,099,056 1,656,519 1,469,069 11,343,025
----------- ----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS......... $ 7,524,008 $10,188,710 $13,906,803 $13,054,381 $ 1,724,514 $ 1,428,530 $11,512,661
=========== =========== =========== =========== =========== =========== ===========
</TABLE>
See notes to the financial statements.
20
<PAGE> 21
<TABLE>
<CAPTION>
T. ROWE
PPM PPM SALOMON T. ROWE PRICE/JNL T. ROWE
JNL/PUTNAM PPM AMERICA/JNL AMERICA/JNL SALOMON BROTHERS/JNL PRICE/JNL INTERNATIONAL PRICE/JNL
VALUE AMERICA/JNL HIGH YIELD MONEY BROTHERS/JNL U.S. GOVERNMENT ESTABLISHED EQUITY MID-CAP
EQUITY BALANCED BOND MARKET GLOBAL BOND & QUALITY BOND GROWTH INVESTMENT GROWTH
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
- ------------- ------------- ------------ ------------ ------------ --------------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$1,223,694 $ 459,157 $ 44,134 $ - $ - $ - $ 840,106 $ 1,305,682 $ 251,866
150,694 1,468,519 3,295,272 1,958,419 1,966,487 1,171,785 277,139 194,449 462,710
(8,094) (716) - - - - (25,079) (150,818) (1,014)
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
1,366,294 1,926,960 3,339,406 1,958,419 1,966,487 1,171,785 1,092,166 1,349,313 713,562
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
487,619 324,299 276,133 207,184 213,262 118,459 657,716 742,729 841,570
61,800 14,607 11,299 11,699 17,464 5,314 37,046 79,709 25,953
24,279 24,468 24,279 24,468 20,128 22,578 22,200 38,573 23,712
21,790 15,053 14,128 11,742 11,419 10,446 27,781 25,067 32,914
8,803 8,998 7,623 7,093 5,992 5,315 13,067 13,873 17,265
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
604,291 387,425 333,462 262,186 268,265 162,112 757,810 899,951 941,414
33,369 1,041 1,995 3,206 17,369 18,269 - 53,287 -
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
570,922 386,384 331,467 258,980 250,896 143,843 757,810 846,664 941,414
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
- - - - 2,869 14,647 - - -
- - - - - - - - -
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
570,922 386,384 331,467 258,980 253,765 158,490 757,810 846,664 941,414
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
795,372 1,540,576 3,007,939 1,699,439 1,712,722 1,013,295 334,356 502,649 (227,852)
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
4,469,530 2,477,967 1,066,669 - 76,786 13,329 5,371,177 513,591 3,012,259
(3) - - - 74,761 - (22,021) (43,913) (9,918)
- - - - - - - - -
- - - - - - - - -
- - - - - - - - -
3,766,196 2,991,325 1,355,284 - 677,987 639,103 13,594,661 (279,483) 14,655,100
- - - - 50,955 - (785) (5,020) 3
- - - - - - - - -
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
8,235,723 5,469,292 2,421,953 - 880,489 652,432 18,943,032 185,175 17,657,444
- ------------- ------------- ------------ ------------ ------------ -------------- ------------- ------------ -------------
$9,031,095 $ 7,009,868 $ 5,429,892 $ 1,699,439 $ 2,593,211 $ 1,665,727 $ 19,277,388 $ 687,824 $ 17,429,592
============= ============= ============ ============ ============ ============== ============= ============ =============
</TABLE>
21
<PAGE> 22
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
JNL AGGRESSIVE GROWTH SERIES JNL CAPITAL GROWTH SERIES JNL GLOBAL EQUITIES SERIES
----------------------------- ----------------------------- ---------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, APRIL 1, APRIL 1,
YEAR ENDED 1996 TO YEAR ENDED 1996 TO YEAR ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1997 1996 1997 1996
---------- ---------- --------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)........ $ 224,729 $ 119,340 $ (173,959) $ 163,301 $ 350,018 $ 92,001
Net realized gain (loss) on:
Investments........................ 3,158,027 602,416 250,781 (221,942) 2,328,631 1,196,113
Foreign currency related
items............................ 149,464 9,765 (105,156) 28,945 1,151,326 (2,943)
Net change in unrealized
appreciation (depreciation) on:
Investments........................ 3,997,177 999,505 10,161,826 872,041 10,283,961 4,236,085
Foreign currency related
items............................ (5,389) (4,062) 55,218 (71,967) (207,133) 128,253
------------ -------------- ------------- ------------ ------------ ------------
Net increase in net assets
from operations.................... 7,524,008 1 ,726,964 10,188,710 770,378 13,906,803 5,649,509
------------ ------------- ------------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......... - (104,404) (82,884) (3) - (238,326)
From net realized gains on
investment transactions............ (2,833,974) (1,470,576) (157,215) (390,495) (5,237,204) (2,687,572)
Return of capital................... - (289,382) (331,198) - - (955,663)
------------ ------------- ------------ ------------ ------------ ------------
Total distributions to
shareholders..................... (2,833,974) (1,864,362) (571,297) (390,498) (5,237,204) (3,881,561)
------------ ------------- ------------- ------------ ------------ ------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares......................... 54,409,351 26,877,906 40,823,421 34,276,844 109,725,346 38,726,566
Reinvestment of
distributions.................. 2,776,615 1,746,593 557,860 374,294 5,176,815 3,277,573
Cost of shares redeemed........... (12,560,301) (7,459,511) (14,196,046) (7,662,400) (21,159,959) (11,274,162)
------------ ------------- ------------- ------------ ------------ ------------
Net increase in net assets
from share transactions........ 44,625,665 21,164,988 27,185,235 26,988,738 93,742,202 30,729,977
------------ ------------- ------------- ------------ ------------ ------------
Net increase in net assets........... 49,315,699 21,027,590 36,802,648 27,368,618 102,411,801 32,497,925
Net assets beginning of
period............................ 29,554,645 8,527,055 36,946,151 9,577,533 48,638,474 16,140,549
------------ ------------- ------------- ------------ ------------ ------------
NET ASSETS END OF PERIOD............. $ 78,870,344 $ 29,554,645 $ 73,748,799 $ 36,946,151 $151,050,275 $ 48,638,474
============ ============= ============= ============ ============ ============
UNDISTRIBUTED NET
INVESTMENT INCOME (LOSS).......... $ 381,611 $ 7,694 $ (17,785) $ 133,876 $ 633,816 $ (149,359)
============ ============= ============= ============ ============ ============
</TABLE>
- --------------------------------
* Commencement of operations.
See notes to the financial statements.
22
<PAGE> 23
<TABLE>
<CAPTION>
JNL/ALGER GROWTH SERIES JNL/EAGLE CORE EQUITY EQUITY SERIES JNL/PUTNAM GROWTH SERIES
SERIES
- ----------------------------- ---------------------------- ---------------------------- -----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, SEPTEMBER 16, SEPTEMBER 16, APRIL 1,
YEAR ENDED 1996 TO YEAR ENDED 1996* TO YEAR ENDED 1996* TO YEAR ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1997 1996 1997 1996 1997 1996
- -------------- -------------- ------------- ------------- ------------- ------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (44,675) $ (3,590) $ 67,995 $ 4,657 $ (40,539) $ (1,017) $ 169,636 $ 80,288
5,005,844 (523,886) 233,207 (4,427) 247,335 (9,337) 1,060,161 1,130,393
- - - - (2) - (4) -
8,093,212 3,281,071 1,423,310 79,272 1,221,736 213,709 10,282,868 152,651
- - 2 - - - - -
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
13,054,381 2,753,595 1,724,514 79,502 1,428,530 203,355 11,512,661 1,363,332
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
- - (67,862) (4,657) - - (84,366) (83,226)
(3,165,534) - (190,309) - - - (1,494,204) (608,389)
- - - (320) - - - -
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
(3,165,534) - (258,171) (4,977) - - (1,578,570) (691,615)
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
45,948,085 34,332,656 8,561,855 2,027,399 12,054,510 1,760,997 73,766,092 21,124,451
3,096,106 - 227,752 2,270 - - 1,560,371 673,981
(11,308,282) (7,483,397) (313,679) (149,997) (1,933,750) (20,263) (24,451,617) (2,184,704)
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
37,735,909 26,849,259 8,475,928 1,879,672 10,120,760 1,740,734 50,874,846 19,613,728
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
47,624,756 29,602,854 9,942,271 1,954,197 11,549,290 1,944,089 60,808,937 20,285,445
38,252,091 8,649,237 1,954,197 - 1,944,089 - 22,803,515 2,518,070
- ------------ ------------- -------------- ----------- ------------- ------------- ------------ ------------
$ 85,876,847 $ 38,252,091 $ 11,896,468 $ 1,954,197 $ 13,493,379 $ 1,944,089 $ 83,612,452 $ 22,803,515
============ ============ ============== =========== ============= ============= ============ ============
$ - $ - $ 133 $ - $ 390 $ - $ 85,266 $ -
============ ============ ============== =========== ============= ============= ============ ============
</TABLE>
23
<PAGE> 24
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
JNL/PUTNAM VALUE PPM AMERICA/JNL PPM AMERICA/JNL
EQUITY SERIES BALANCED SERIES HIGH YIELD BOND SERIES
----------------------------- ----------------------------- -----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, APRIL 1, APRIL 1,
YEAR ENDED 1996 TO YEAR ENDED 1996 TO YEAR ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1997 1996 1997 1996
-------------- -------------- ------------ --------------- ------------ ---------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss) ................... $ 795,372 $ 174,463 $ 1,540,576 $ 279,327 $ 3,007,939 $ 691,766
Net realized gain (loss) on:
Investments .............. 4,469,530 299,700 2,477,967 933,110 1,066,669 217,828
Foreign currency related
items ................. (3) - - - - -
Net change in unrealized
appreciation
(depreciation) on:
Investments .............. 3,766,196 1,455,960 2,991,325 476,858 1,355,284 383,145
Foreign currency related
items ................. - - - - - -
------------- ------------- ------------- ------------- ------------- ------------
Net increase in net assets
from operations .......... 9,031,095 1,930,123 7,009,868 1,689,295 5,429,892 1,292,739
------------- ------------- ------------- ------------- ------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .. (792,740) (183,956) (1,524,222) (301,815) (3,009,722) (798,203)
From net realized gain on
investment transactions .. (4,348,955) (226,911) (2,918,420) (364,079) (1,036,946) (23,388)
Return of capital ........... - - - - - -
------------- ------------- ------------- ------------- ------------- ------------
Total distributions to
shareholders ............. (5,141,695) (410,867) (4,442,642) (665,894) (4,046,668) (821,591)
------------- ------------- ------------- ------------- ------------- ------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares ................... 87,596,492 15,648,559 33,426,507 21,937,839 51,335,721 12,401,767
Reinvestment of ............. 5,112,708 398,998 4,400,386 652,446 4,011,473 790,186
distributions
Cost of shares redeemed ..... (5,794,256) (3,171,440) (5,118,205) (3,955,738) (7,415,150) (6,422,234)
------------- ------------- ------------- ------------- ------------- ------------
Net increase in net assets
from share transactions .. 86,914,944 12,876,117 32,708,688 18,634,547 47,932,044 6,769,719
------------- ------------- ------------- ------------- ------------- ------------
Net increase in net assets ..... 90,804,344 14,395,373 35,275,914 19,657,948 49,315,268 7,240,867
Net assets beginning of
period ...................... 17,760,678 3,365,305 24,418,577 4,760,629 13,396,396 6,155,529
------------- ------------- ------------- ------------- ------------- ------------
NET ASSETS END OF PERIOD ....... $ 108,565,022 $ 17,760,678 $ 59,694,491 $ 24,418,577 $ 62,711,664 $ 13,396,396
============= ============= ============= ============= ============= ============
UNDISTRIBUTED NET
INVESTMENT INCOME (LOSS) .... $ 7,901 $ 5,272 $ 11,253 $ 2,086 $ 4,258 $ 6,041
============= ============= ============= ============= ============= ============
</TABLE>
See notes to the financial statements.
24
<PAGE> 25
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL
PPM AMERICA/JNL SALOMON BROTHERS/JNL U.S. GOVERNMENT T. ROWE PRICE/JNL
MONEY MARKET SERIES GLOBAL BOND SERIES & QUALITY BOND SERIES ESTABLISHED GROWTH SERIES
- ------------------------------ ------------------------------ ------------------------------ -----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, APRIL 1, APRIL 1, APRIL 1,
YEAR ENDED 1996 TO YEAR ENDED 1996 TO YEAR ENDED 1996 TO YEAR ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1997 1996 1997 1996 1997 1996
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,699,439 $ 614,491 $ 1,712,722 $ 574,698 $ 1,013,295 $ 288,314 $ 334,356 $ 93,779
- - 76,786 275,846 13,329 29,022 5,371,177 93,499
- - 74,761 57,170 - - (22,021) (12,360)
- - 677,987 178,039 639,103 82,805 13,594,661 3,384,049
- - 50,955 (21,421) - - (785) 44
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
1,699,439 614,491 2,593,211 1,064,332 1,665,727 400,141 19,277,388 3,559,011
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
(1,699,439) (614,491) (1,801,495) (754,598) (965,070) (318,115) (250,893) (91,356)
- - (164,331) (280,691) (43,260) (30,967) (4,612,029) (212,086)
- - (33,012) - - - - (1,234,953)
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
(1,699,439) (614,491) (1,998,838) (1,035,289) (1,008,330) (349,082) (4,862,922) (1,538,395)
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
87,270,526 43,176,521 26,946,293 9,953,802 18,344,542 8,748,229 84,604,291 27,757,264
1,658,199 606,298 1,962,974 870,854 986,266 330,365 4,813,632 1,489,773
(70,873,065) (26,846,271) (5,261,751) (4,750,819) (4,431,412) (2,304,702) (12,101,386) (7,748,754)
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
18,055,660 16,936,548 23,647,516 6,073,837 14,899,396 6,773,892 77,316,537 21,498,283
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
18,055,660 16,936,548 24,241,889 6,102,880 15,556,793 6,824,951 91,731,003 23,518,899
23,752,187 6,815,639 12,482,943 6,380,063 9,831,740 3,006,789 32,290,941 8,772,042
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------
$ 41,807,847 $ 23,752,187 $ 36,724,832 $ 12,482,943 $ 25,388,533 $ 9,831,740 $ 124,021,944 $ 32,290,941
============= ============= ============= ============= ============= ============= ============= ============
$ - $ - $ (15,879) $ 24,906 $ 5,716 $ - $ 57,546 $ (3,896)
============= ============= ============= ============= ============= ============= ============= ============
</TABLE>
25
<PAGE> 26
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
T. ROWE PRICE/JNL
INTERNATIONAL T. ROWE PRICE/JNL
EQUITY INVESTMENT SERIES MID-CAP GROWTH SERIES
------------------------------ ------------------------------
PERIOD FROM PERIOD FROM
APRIL 1, APRIL 1,
YEAR ENDED 1996 TO YEAR ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1997 1996
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) ........ $ 502,649 $ 294,949 $ (227,852) $ (39,345)
Net realized gain (loss) on:
Investments ...................... 513,591 203,836 3,012,259 750,795
Foreign currency related
items ......................... (43,913) 25,484 (9,918) (3)
Net change in unrealized
appreciation (depreciation) on:
Investments ...................... (279,483) 2,679,873 14,655,100 3,708,604
Foreign currency related
items ......................... (5,020) 2,709 3 -
------------- ------------- ------------- -------------
Net increase in net assets
from operations .................. 687,824 3,206,851 17,429,592 4,420,051
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .......... (531,066) (465,733) - (144,094)
From net realized gain on
investment transactions .......... (1,459,893) (51,200) (1,652,413) (1,107,685)
Return of capital ................... - - - -
------------- ------------- ------------- -------------
Total distributions to
shareholders ..................... (1,990,959) (516,933) (1,652,413) (1,251,779)
------------- ------------- ------------- -------------
SHARE TRANSACTIONS:
Proceeds from the sale of
shares ........................... 38,069,689 22,581,023 76,676,391 41,147,930
Reinvestment of distributions 1,367,879 255,509 1,622,324 1,198,205
Cost of shares redeemed ............. (7,654,114) (1,533,092) (14,128,114) (8,955,066)
------------- ------------- ------------- -------------
Net increase in net assets
from share transactions .......... 31,783,454 21,303,440 64,170,601 33,391,069
------------- ------------- ------------- -------------
Net increase in net assets ............. 30,480,319 23,993,358 79,947,780 36,559,341
Net assets beginning of
period .............................. 48,204,329 24,210,971 47,104,489 10,545,148
------------- ------------- ------------- -------------
NET ASSETS END OF PERIOD ............... $ 78,684,648 $ 48,204,329 $ 127,052,269 $ 47,104,489
============= ============= ============= =============
UNDISTRIBUTED NET
INVESTMENT INCOME (LOSS) ............ $ (69,263) $ 65,539 $ - $ (301)
============= ============= ============= =============
</TABLE>
See notes to the financial statements.
26
<PAGE> 27
[ THIS PAGE INTENTIONALLY LEFT BLANK ]
27
<PAGE> 28
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
JNL AGGRESSIVE GROWTH SERIES JNL CAPITAL GROWTH SERIES
------------------------------------- ---------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15,
YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995*
DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996
------------ ------------ ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .............. $ 13.38 $ 13.13 $ 10.00 $ 14.46 $ 13.86 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) ................... 0.04 0.05 0.01 (0.06) 0.06 --
Net realized and unrealized gains on investments
and foreign currency related items .......... 1.65 1.10 3.53 2.23 0.70 4.70
--------- --------- --------- ---------- --------- ----------
Total income from investment operations ........ 1.69 1.15 3.54 2.17 0.76 4.70
--------- --------- --------- ---------- --------- ----------
LESS DISTRIBUTIONS:
From net investment income ..................... -- (0.05) -- (0.02) -- --
From net realized gains on investment
transactions ................................ (0.54) (0.71) (0.41) (0.04) (0.16) (0.84)
Return of capital .............................. -- (0.14) -- (0.07) -- --
--------- --------- --------- ---------- --------- ----------
Total distributions ............................ (0.54) (0.90) (0.41) (0.13) (0.16) (0.84)
--------- --------- --------- ---------- --------- ----------
Net increase ................................... 1.15 0.25 3.13 2.04 0.60 3.86
--------- --------- --------- ---------- --------- ----------
NET ASSET VALUE, END OF PERIOD .................... $ 14.53 $ 13.38 $ 13.13 $ 16.50 $ 14.46 $ 13.86
========= ========= ========= ========== ========= ==========
TOTAL RETURN(a) ................................... 12.67% 8.72% 35.78% 15.01% 5.45% 47.94%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands) ....... $ 78,870 $ 29,555 $ 8,527 $ 73,749 $ 36,946 $ 9,578
Ratio of net operating expenses to average
net assets (b)(c) ........................... 1.10% 1.09% 1.09% 1.10% 1.09% 1.09%
Ratio of net investment income to average
net assets (b)(c) ........................... 0.39% 0.77% 0.27% (0.30)% 0.91% (0.49)%
Ratio of interest expense and dividends on
short positions to average net assets ....... -- -- -- -- -- --
Portfolio turnover ............................. 137.26% 85.22% 163.84% 131.43% 115.88% 128.56%
Average commission rate paid(d) ................ $ 0.0075 $ 0.0242 n/a $ 0.0292 $ 0.0196 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets (b) .... 1.17% 1.40% 2.77% 1.11% 1.27% 2.08%
Ratio of net investment income to average
net assets(b) ............................... 0.32% 0.46% (1.41)% (0.31)% 0.73% (1.48)%
</TABLE>
- ------------------------------------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total return is
not annualized for the periods ended December 31, 1996 and March 31, 1996.
(b) Annualized for the periods ended December 31, 1996 and March 31, 1996.
(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> 29
<TABLE>
<CAPTION>
JNL GLOBAL EQUITIES SERIES JNL/ALGER GROWTH SERIES JNL/EAGLE CORE EQUITY SERIES
- ------------------------------------------ -------------------------------------------- ---------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, OCTOBER 16, SEPTEMBER 16,
YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995* YEAR ENDED 1996* TO
DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31,
1997 1996 1996 1997 1996 1996 1997 1996
- -------------- ------------- ------------- -------------- ------------------------------ ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 15.20 $ 13.75 $ 10.00 $ 11.16 $ 10.38 $ 10.00 $ 10.62 $ 10.00
0.07 0.03 0.10 (0.01) - - 0.08 0.03
2.84 2.72 4.02 2.93 0.78 0.38 3.35 0.62
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
2.91 2.75 4.12 2.92 0.78 0.38 3.43 0.65
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
- (0.08) - - - - (0.08) (0.03)
(0.63) (0.90) (0.37) (0.52) - - (0.22) -
- (0.32) - - - - - -
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
(0.63) (1.30) (0.37) (0.52) - - (0.30) (0.03)
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
2.28 1.45 3.75 2.40 0.78 0.38 3.13 0.62
- ----------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 17.48 $ 15.20 $ 13.75 $ 13.56 $ 11.16 $ 10.38 $ 13.75 $ 10.62
=========== ============ ============ ============ ============ ============ ============ ============
19.12% 19.99% 41.51% 26.20% 7.51% 3.80% 32.35% 6.47%
$151,050 $48,638 $16,141 $85,877 $38,252 $8,649 $11,896 $1,954
1.15% 1.14% 1.15% 1.10% 1.07% 1.03% 1.05% 1.05%
0.33% 0.37% 0.39% (0.07)% (0.02)% (0.17)% 1.00% 1.10%
- - - - - - - -
97.21% 52.02% 142.36% 125.44% 59.92% 50.85% 51.48% 1.36%
$0.0064 $0.0162 n.a. $0.0678 $0.0441 n/a $0.0572 $0.0452
1.37% 1.63% 2.25% 1.10% 1.19% 1.89% 1.54% 4.57%
0.11% (0.12)% (0.71)% (0.07)% (0.14)% (1.03)% 0.51% (2.42)%
</TABLE>
See notes to the financial statements.
29
<PAGE> 30
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
JNL/EAGLE SMALLCAP
EQUITY SERIES JNL/PUTNAM GROWTH SERIES
--------------------------- ---------------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
SEPTEMBER 16, APRIL 1, MAY 15,
YEAR ENDED 1996* TO YEAR ENDED 1996 TO 1995*
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, TO MARCH 31,
1997 1996 1997 1996 1996
--------------- ------------- ------------ ------------- --------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 11.54 $ 10.00 $ 14.21 $ 12.50 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. (0.07) (0.01) 0.04 0.04 0.01
Net realized and unrealized gains on
investments and foreign currency
related items.............................. 3.26 1.55 3.07 2.12 3.66
------- ------- ------- ------- -------
Total income from investment operations....... 3.19 1.54 3.11 2.16 3.67
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income.................... - - (0.02) (0.05) -
From net realized gains on investment
transactions............................... - - (0.31) (0.40) (1.17)
Return of capital............................. - - - - -
------- ------- ------- ------- -------
Total distributions........................... - - (0.33) (0.45) (1.17)
------- ------- ------- ------- -------
Net increase.................................. 3.19 1.54 2.78 1.71 2.50
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 14.73 $ 11.54 $ 16.99 $ 14.21 $ 12.50
======= ======= ======= ======= =======
TOTAL RETURN (a)................................ 27.64% 15.40% 21.88% 17.28% 37.69%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands)...... $13,493 $ 1,944 $83,612 $22,804 $ 2,518
Ratio of net operating expenses to average
net assets (b)(c).......................... 1.10% 1.10% 1.05% 1.04% 0.95%
Ratio of net investment income to average
net assets (b)(c).......................... (0.54)% (0.26)% 0.31% 0.94% 0.28%
Ratio of interest expense and dividends on
short positions to average net assets...... - - 0.08% - -
Portfolio turnover............................ 60.78% 28.01% 194.81% 184.33% 255.03%
Average commission rate paid (d).............. $0.0574 $0.0264 $0.0459 $0.0175 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets (b)... 1.51% 4.77% 1.05% 1.27% 5.38%
Ratio of net investment income to average
net assets (b)............................. (0.95)% (3.93)% 0.31% 0.71% (4.15)%
</TABLE>
- ---------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of
the investment at the net asset value at the end of the period. Total
return is not annualized for the periods ended December 31, 1996 and
March 31, 1996.
(b) Annualized for the periods ended December 31, 1996 and March 31, 1996.
(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.
30
<PAGE> 31
<TABLE>
<CAPTION>
JNL/PUTNAM VALUE EQUITY SERIES PPM AMERICA/JNL BALANCED SERIES PPM AMERICA/JNL HIGH YIELD BOND SERIES
- --------------------------------------- -------------------------------------- --------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995*
DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996 1997 1996 1996
- ------------ ----------- ------------ ------------ ------------ ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 14.50 $ 12.77 $ 10.00 $ 11.92 $ 11.17 $ 10.00 $ 10.67 $ 10.23 $ 10.00
0.13 0.10 0.23 0.36 0.10 0.25 0.59 0.51 0.73
3.03 1.97 2.86 1.83 0.98 1.40 1.02 0.64 0.04
- ----------- ----------- ------------ ---------- ---------- ------------ ---------- -------- ------------
3.16 2.07 3.09 2.19 1.08 1.65 1.61 1.15 0.77
- ----------- ----------- ------------ ---------- ---------- ------------ ---------- -------- ------------
(0.13) (0.15) (0.17) (0.36) (0.15) (0.19) (0.59) (0.69) (0.54)
(0.71) (0.19) (0.15) (0.69) (0.18) (0.29) (0.21) (0.02) -
- - - - - - - - -
- ----------- ----------- ------------ ---------- ---------- ------------ ---------- -------- ------------
(0.84) (0.34) (0.32) (1.05) (0.33) (0.48) (0.80) (0.71) (0.54)
- ----------- ----------- ------------ ---------- ---------- ------------ ---------- -------- ------------
2.32 1.73 2.77 1.14 0.75 1.17 0.81 0.44 0.23
- ----------- ----------- ------------ ---------- ---------- ------------ ---------- -------- ------------
$ 16.82 $ 14.50 $ 12.77 $ 13.06 $ 11.92 $ 11.17 $ 11.48 $ 10.67 $ 10.23
=========== =========== ============ ========== ========== ============ ========== ======== ============
21.82% 16.25% 31.14% 18.43% 9.72% 16.60% 15.05% 11.24% 7.82%
$108,565 $17,761 $3,365 $59,694 $24,419 $4,761 $62,712 $13,396 $6,156
1.03% 0.85% 0.87% 0.93% 1.04% 1.01% 0.90% 0.88% 0.88%
1.43% 2.29% 2.33% 3.72% 2.39% 2.99% 8.15% 8.64% 8.34%
- - - - - - - - -
112.54% 13.71% 30.12% 160.88% 158.15% 115.84% 189.25% 113.08% 186.21%
$0.0366 $0.0259 n/a $0.0321 $0.0494 n/a n/a n/a n/a
1.09% 1.53% 2.28% 0.94% 1.22% 3.71% 0.90% 1.21% 1.50%
1.37% 1.61% 0.91% 3.71% 2.21% 0.29% 8.15% 8.31% 7.72%
</TABLE>
31
<PAGE> 32
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
PPM AMERICA/JNL MONEY MARKET SERIES SALOMON BROTHERS/JNL GLOBAL BOND SERIES
------------------------------------------- -------------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15,
YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995*
DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 1.00 $ 1.00 $ 1.00 $ 10.63 $ 10.46 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)........... 0.05 0.04 0.04 0.54 0.42 0.81
Net realized and unrealized gains on
investments and foreign currency
related items......................... - - - 0.59 0.70 0.24
------------ ------------ ------------ ------------ ------------ -----------
Total income from investment
operations............................ 0.05 0.04 0.04 1.13 1.12 1.05
------------ ------------ ------------ ------------ ------------ -----------
LESS DISTRIBUTIONS:
From net investment income............. (0.05) (0.04) (0.04) (0.58) (0.69) (0.56)
From net realized gains on investment
transactions.......................... - - - (0.05) (0.26) (0.03)
Return of capital...................... - - - (0.01) - -
Total distributions.................... (0.05) (0.04) (0.04) (0.64) (0.95) (0.59)
------------ ------------ ------------ ------------ ------------ -----------
Net increase........................... - - - 0.49 0.17 0.46
------------ ------------ ------------ ------------ ------------ -----------
NET ASSET VALUE, END OF PERIOD........... $ 1.00 $ 1.00 $ 1.00 $ 11.12 $ 10.63 $ 10.46
============ ============ ============ ============ ============ ===========
TOTAL RETURN (A)......................... 5.01% 3.61% 4.59% 10.66% 10.68% 10.74%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD
(in thousands)........................ $ 41,808 $ 23,752 $ 6,816 $ 36,725 $ 12,483 $ 6,380
Ratio of net operating expenses to
average net assets (b)(c)............. 0.75% 0.75% 0.75% 1.00% 0.99% 1.00%
Ratio of net investment income to
average net assets (b)(c)............. 4.92% 4.75% 5.06% 6.83% 7.52% 9.01%
Ratio of interest expense and dividends
on short positions to average net
assets (b)............................ - - - 0.01% - -
Portfolio turnover..................... - - - 134.55% 109.85% 152.89%
Average commission rate paid (d)....... n/a n/a n/a n/a n/a n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net
assets (b)............................ 0.76% 0.85% 1.30% 1.07% 1.44% 2.14%
Ratio of net investment income to
average net assets (b)................ 4.91% 4.65% 4.51% 6.76% 7.07% 7.87%
</TABLE>
- -----------------------------------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total return
is not annualized for the periods ended December 31, 1996 and
March 31, 1996.
(b) Annualized for the periods ended December 31, 1996 and March 31, 1996.
(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.
32
<PAGE> 33
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL, U.S. T. ROWE PRICE/JNL T. ROWE PRICE/JNL INTERNATIONAL
GOVERNMENT & QUALITY BOND SERIES ESTABLISHED GROWTH SERIES EQUITY INVESTMENT SERIES
- ------------------------------------------ ----------------------------------------- ------------------------------------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
APRIL 1, MAY 15, APRIL 1, MAY 15, APRIL 1, MAY 15,
YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995* YEAR ENDED 1996 TO 1995*
DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31, DECEMBER 31, DECEMBER 31, TO MARCH 31,
1997 1996 1996 1997 1996 1996 1997 1996 1996
- ------------ ------------- ------------- ------------ ------------- ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 10.20 $ 10.09 $ 10.00 $ 12.56 $ 11.36 $ 10.00 $ 12.08 $ 11.25 $ 10.00
0.44 0.24 0.45 0.06 0.03 0.07 0.09 0.06 0.04
0.49 0.24 0.02 3.64 1.81 2.68 0.23 0.90 1.21
- --------- -------- -------- --------- -------- -------- --------- -------- --------
0.93 0.48 0.47 3.70 1.84 2.75 0.32 0.96 1.25
- --------- -------- -------- --------- -------- -------- --------- -------- --------
(0.42) (0.34) (0.34) (0.03) (0.04) (0.06) (0.08) (0.12) -
(0.02) (0.03) (0.04) (0.61) (0.09) (1.33) (0.23) (0.01) -
- - - - (0.51) - - - -
- --------- -------- -------- --------- -------- -------- --------- -------- --------
(0.44) (0.37) (0.38) (0.64) (0.64) (1.39) (0.31) (0.13) -
- --------- -------- -------- --------- -------- -------- --------- -------- --------
(0.49) (0.11) (0.09) 3.06 1.20 1.36 0.01 0.83 1.25
- --------- -------- -------- --------- -------- -------- --------- -------- --------
$ 10.69 $ 10.20 $ 10.09 $ 15.62 $ 12.56 $ 11.36 $ 12.09 $ 12.08 $ 11.25
========= ======== ======== ========= ======== ======== ========= ======== ========
9.16% 4.82% 4.65% 29.47% 16.12% 28.23% 2.65% 8.54% 12.50%
$25,389 $ 9,832 $3,007 $124,022 $ 32,291 $ 8,772 $ 78,685 $ 48,204 $ 24,211
0.85% 0.84% 0.84% 0.98% 1.00% 1.00% 1.24% 1.25% 1.25%
5.99% 5.72% 5.41% 0.43% 0.59% 0.75% 0.74% 1.09% 0.78%
0.09% - - - - - - - -
378.59% 218.50% 253.37% 47.06% 36.41% 101.13% 18.81% 5.93% 16.45%
n/a n/a n/a $ 0.0309 $ 0.0288 n/a $ 0.0023 $ 0.0257 n/a
0.96% 1.37% 2.53% 0.98% 1.11% 2.09% 1.32% 1.29% 2.14%
5.88% 5.19% 3.72% 0.43% 0.48% (0.34)% 0.66% 1.05% (0.11)%
</TABLE>
33
<PAGE> 34
JNL SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
T-ROWE PRICE/JNL
MID-CAP GROWTH SERIES
-------------------------------------------------
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
YEAR ENDED 1996 TO 1995*
DECEMBER 31, DECEMBER 31, TO MARCH 31,
1997 1996 1996
------------ ------------- ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 14.89 $ 13.43 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. (0.03) (0.05) 0.06
Net realized and unrealized gains on
investments and foreign currency
related items.............................. 2.74 1.92 3.90
-------- -------- --------
Total income from investment operations....... 2.71 1.87 3.96
-------- -------- --------
LESS DISTRIBUTIONS:
From net investment income.................... - (0.05) -
From net realized gains on investment
transactions............................... (0.23) (0.36) (0.53)
Return of capital............................. - - -
-------- -------- --------
Total distributions........................... (0.23) (0.41) (0.53)
-------- -------- --------
Net increase.................................. 2.48 1.46 3.43
-------- -------- --------
NET ASSET VALUE, END OF PERIOD.................. $ 17.37 $ 14.89 $ 13.43
======== ======== ========
TOTAL RETURN (a)................................ 18.21% 13.91% 40.06%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands)...... $127,052 $ 47,104 $ 10,545
Ratio of net operating expenses to average
net assets (b)(c).......................... 1.06% 1.10% 1.10%
Ratio of net investment income to average
net assets (b)(c).......................... (0.26)% (0.18)% 0.82%
Ratio of interest expense and dividends on
short positions to average net assets (b).. - - -
Portfolio turnover............................ 41.43% 25.05% 66.04%
Average commission rate paid (d).............. $0.0467 $0.0326 n/a
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR FEES PAID INDIRECTLY
Ratio of expenses to average net assets (b)... 1.06% 1.14% 2.10%
Ratio of net investment income to average
net assets (b)............................. (0.26)% (0.22)% (0.18)%
</TABLE>
- ---------------
* Commencement of operations
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of
the investment at the net asset value at the end of the period. Total
return is not annualized for the periods ended December 31, 1996 and
March 31, 1996.
(b) Annualized for the periods ended December 31, 1996 and March 31, 1996.
(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.
34
<PAGE> 35
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
JNL Series Trust ("Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated
June 1, 1994. The Trust is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940. The Trust currently
offers shares in sixteen (16) separate Series, each with its own investment
objective. The shares of the Trust are sold primarily to life insurance
company separate accounts to fund the benefits of variable annuity policies.
The Trust is comprised of the following Series: JNL Aggressive Growth, JNL
Capital Growth and JNL Global Equities for which Janus Capital Corporation
serves as the sub-adviser; JNL/Alger Growth for which Fred Alger Management,
Inc. serves as the sub-adviser; JNL/Eagle Core Equity and JNL/Eagle SmallCap
Equity for which Eagle Asset Management, Inc. serves as sub-adviser; JNL/Putnam
Growth and JNL/Putnam Value Equity for which Putnam Investment Management, Inc.
serves as the sub-adviser; PPM America/JNL Balanced, PPM America/JNL High
Yield Bond and PPM America/JNL Money Market for which PPM America, Inc. serves
as the sub-adviser; Salomon Brothers/JNL Global Bond and Salomon Brothers/JNL
U.S. Government & Quality Bond for which Salomon Brothers Asset Management Inc.
serves as the sub-adviser; T. Rowe Price/JNL Established Growth
and T. Rowe Price/JNL Mid-Cap Growth for which T. Rowe Price Associates, Inc.
serves as the sub-adviser; and T. Rowe Price/JNL International Equity
Investment for which Rowe Price-Fleming International, Inc. serves as the
sub-adviser. Salomon Brothers Asset Management Inc. has entered into a
sub-advisory consulting agreement with its London based affiliate, Salomon
Brothers Asset Management Limited pursuant to which it will provide certain
sub-advisory services to Salomon Brothers Asset Management Inc. relating to
currency transactions and investments in non-dollar denominated debt securities
for the benefit of the Series. Effective May 1, 1997, the JNL/Phoenix
Investment Counsel Balanced Series became the PPM America/JNL Balanced Series
and is managed by PPM America, Inc., the JNL/Phoenix Investment Counsel Growth
Series became the JNL/Putnam Growth Series and is managed by Putnam Investment
Management, Inc., and the PPM America/JNL Value Equity Series became the
JNL/Putnam Value Equity Series and is managed by Putnam Investment Management,
Inc. Jackson National Financial Services, Inc. ("JNFSI"), a wholly-owned
subsidiary of Jackson National Life Insurance Company ("Jackson National"),
serves as investment adviser ("Adviser") for all the Series of the Trust. PPM
America, Inc. is an affiliate of the Adviser. Shares are presently offered
only to Jackson National and its separate accounts.
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 state-ments in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions. 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. 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. Amer-ican
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.
35
<PAGE> 36
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. 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.
FOREIGN CURRENCY TRANSLATIONS -- The accounting records of the Trust are
maintained in U.S. dollars. Investment securities and other assets and
liabilities de-nominated 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
pay-ments 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 in-come securities, entering into forward
foreign currency exchange contracts, and accruing income or settling port-folio
purchases and sales denominated in a foreign cur-rency 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 (deprecia-tion) on investments,
respectively.
FOREIGN CURRENCY CONTRACTS -- A 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
for-ward 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 (deprecia-tion) on foreign currency related items. When the
con-tract 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.
These forward foreign currency contracts involve market risk in excess of the
unrealized appreciation (depreciation) of forward foreign currency contracts
reflected in the Statement of Assets and Liabilities. 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,
1997.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- A 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 -- A Series may 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 -- A Series may write covered call options on
portfolio securities. Written options involve, to varying degrees, risk of
loss in excess of the option value reflected in the Statement of Assets and
Liabilities. The risk in writing a covered call option is that the Series may
forego the opportunity of profit if the market price of the underlying security
increases and the option is exercised. 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.
36
<PAGE> 37
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
FUTURES CONTRACTS -- A Series may utilize futures contracts to a limited
extent. The risks associated with the use of futures contracts includes the
possibility that the value may not correlate with the change in the value of
the hedged instruments. In addition, there is the risk that the Series may not
be able to enter into a closing transaction because of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement prices.
Changes in initial settlement value are accounted for as unrealized
appreciation (depreciation) until the contracts are terminated at which time
realized gains and losses are recognized.
SHORT POSITIONS -- A Series may sell securities short for hedging
purposes. For financial statement purposes, an amount equal to the settlement
amount is included in the Statement of Assets and Liabilities as an asset and
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the short position. The
Series is liable for any dividends payable on securities while those securities
are in a short position. As collateral for its short positions, the Series is
required under the 1940 Act to maintain segregated assets consisting of cash,
cash equivalents or liquid securities. These segregated assets are required to
be adjusted daily to reflect changes in the value of the securities sold short.
DOLLAR ROLL TRANSACTIONS -- The Salomon Broth-ers/JNL Global Bond Series
and the Salomon Broth-ers/JNL U.S. Government & Quality Bond Series entered
into dollar roll transactions with respect to mortgage sec-urities 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 re-purchase, 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. Dollar roll
transactions involve the risk that the market value of the securities sold by
the Series may decline below the repurchase price of those similar securities
which the Series is obligated to purchase or that the return earned by the
Series with the proceeds of a dollar roll may not exceed transaction costs.
REPURCHASE AGREEMENTS -- A Series 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.
REVERSE REPURCHASE AGREEMENTS -- A Series may engage in reverse repurchase
agreements to borrow short term funds. The value of the reverse repurchase
agreements that the Series have committed to sell are reflected in the
Statement of Assets and Liabilities. The Series will maintain securities in
segregated accounts with its custodian that at all times are in an amount equal
to their obligations under the reverse repurchase agreements. Reverse
repurchase agreements involve the risks that the market value of the securities
sold by the Series may decline below the repurchase price and, if the proceeds
from the reverse repurchase agreement are invested in securities, that the
market value of the securities bought may decline below the repurchase price of
the securities sold.
DISTRIBUTIONS TO SHAREHOLDERS -- The PPM Amer-ica/JNL Money Market Series
declares dividends daily and pays dividends monthly. For all other Series,
div-idends from net investment income are declared and paid annually, but may
be done more frequently to avoid excise tax. Distributions of net realized
capital gains, if any, will be distributed at least annually.
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 char-acterization of certain income and capital gain
dist-ributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles.
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has an investment advisory agreement with JNFSI whereby JNFSI
provides investment management and transfer agency services. Each Series pays
JNFSI a fee, computed daily and payable monthly, based on a specified
percentage of the average daily net assets of each Series. The following is a
schedule of the fees each Series is currently obligated to pay JNFSI.
37
<PAGE> 38
- --------------------------------------------------------------------------------
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 Aggressive Growth Series................................. .95% .95% .90% .85% .85%
JNL Capital Growth Series.................................... .95% .95% .90% .85% .85%
JNL Global Equities Series................................... 1.00% 1.00% .95% .90% .90%
JNL/Alger Growth Series...................................... .975% .975% .975% .95% .90%
JNL/Eagle Core Equity Series................................. .90% .85% .85% .75% .75%
JNL/Eagle SmallCap Equity Series............................. .95% .95% .90% .90% .85%
JNL/Putnam Growth Series*.................................... .90% .90% .85% .80% .80%
JNL/Putnam Value Equity Series**............................. .90% .90% .85% .80% .80%
PPM America/JNL Balanced Series***........................... .75% .70% .675% .65% .625%
PPM America/JNL High Yield Bond Series....................... .75% .70% .675% .65% .625%
PPM America/JNL Money Market Series.......................... .60% .60% .575% .55% .525%
Salomon Brothers/JNL Global Bond Series...................... .85% .85% .80% .80% .75%
Salomon Brothers/JNL U.S. Government & Quality Bond Series... .70% .70% .65% .60% .55%
T. Rowe Price/JNL Established Growth Series.................. .85% .85% .80% .80% .80%
T. Rowe Price/JNL International Equity Investment Series..... 1.10% 1.05% 1.00% .95% .90%
T. Rowe Price/JNL Mid-Cap Growth Series...................... .95% .95% .90% .90% .90%
</TABLE>
- --------------------------------------------------------------------------------
* Prior to May 1, 1997, the fee for the JNL/Putnam Growth Series was .90%,
.85%, .80%, .75% and .70%, respectively.
** Prior to May 1, 1997, the fee for the JNL/Putnam Value Equity Series was
.75%, .70%, .675%, .65% and .625%, respectively.
*** Prior to May 1, 1997, the fee for the PPM America/JNL Balanced Series was
.90%, .80%, .75%, .70% and .65%, respectively.
As compensation for their services, the sub-advisers receive fees from
JNFSI calculated on the basis of the average daily net assets of each Series.
The following is a schedule of the fees JNFSI currently is obligated to pay the
sub-advisers out of the advisory fee it receives from each Series as specified
above.
<TABLE>
<CAPTION>
$0 TO $50 TO $100 TO $150 TO $300 TO OVER
(M - MILLIONS) $50 M $100 M $150M $300 M $500M $500 M
- -------------- ----- ------ ------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
JNL Aggressive Growth Series................................. .55% .55% .50% .50% .50% .45%
JNL Capital Growth Series.................................... .55% .55% .50% .50% .50% .45%
JNL Global Equities Series................................... .55% .55% .50% .50% .50% .45%
JNL/Alger Growth Series...................................... .55% .55% .55% .55% .50% .45%
JNL/Eagle Core Equity Series................................. .45% .40% .40% .40% .30% .30%
JNL/Eagle SmallCap Equity Series............................. .50% .50% .50% .45% .45% .40%
JNL/Putnam Growth Series*.................................... .50% .50% .50% .45% .35% .35%
JNL/Putnam Value Equity Series**............................. .50% .50% .50% .45% .35% .35%
PPM America/JNL Balanced Series*............................. .25% .20% .20% .175% .15% .125%
PPM America/JNL High Yield Bond Series....................... .25% .20% .20% .175% .15% .125%
PPM America/JNL Money Market Series.......................... .20% .15% .15% .125% .10% .075%
Salomon Brothers/JNL Global Bond Series...................... .375% .35% .35% .30% .30% .25%
Salomon Brothers/JNL U.S. Government & Quality Bond Series... .225% .225% .225% .175% .15% .10%
<CAPTION>
$0 TO $20 TO $50 TO
$20 M $50 M $200 M $200 M+
----- ------ ------ -------
<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 May 1, 1997, the sub-advisory fees for these Series were payable
to Phoenix Investment Counsel, Inc. and were: $0 to $50 million - .50%;
$50 to $150 million - .40%; $150 to $300 million - .30%; $300 to $500
million - .25%; over $500 million - .20%.
** Prior to May 1, 1997, the sub-advisory fee for this Series was payable to
PPM America, Inc. and was: $0 to $50 million - .25%; $50 to $150 million -
.20%; $150 to $300 million - .175%; $300 to $500 million - .15%; over $500
million - .125%.
*** When average net assets exceed this amount, the sub-advisory fee asterisked
is applicable to all assets in this Series.
38
<PAGE> 39
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
JNFSI has voluntarily agreed to reimburse each of the Series for annual
expenses (excluding the management fee) in excess of .15% of average daily net
assets. These voluntary reimbursements may be modified or discontinued at any
time.
Trustees and officers of the Trust who are affiliated persons receive no
compensation from the Trust. Trustees who are not interested persons of the
Trust, as defined in the 1940 Act, collectively received compensation of
$49,500 for the year ended December 31, 1997.
During the year ended December 31, 1997, JNL/Alger Growth Series, JNL/Eagle
Core Equity Series, JNL/Eagle SmallCap Equity Series, JNL/Putnam Growth Series,
PPM America/JNL Balanced Series, T. Rowe Price/JNL Established Growth Series
and T. Rowe Price/JNL International Equity Investment Series paid $182,361,
$461, $4,002, $120, $180, $2,111 and $32,587, respectively, to affiliates of
the Trust for brokerage fees on the execution of purchases and sales of
portfolio investments.
NOTE 4. SECURITY TRANSACTIONS
During the year ended December 31, 1997, the 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.................................. $ 108,281 $ 66,412
JNL Capital Growth Series..................................... 96,673 68,820
JNL Global Equities Series.................................... 176,383 93,679
JNL/Alger Growth Series....................................... 103,495 73,936
JNL/Eagle Core Equity Series.................................. 11,355 3,315
JNL/Eagle SmallCap Equity Series.............................. 14,249 4,225
JNL/Putnam Growth Series...................................... 144,642 96,921
JNL/Putnam Value Equity Series................................ 136,358 60,449
PPM America/JNL Balanced Series............................... 94,863 62,397
PPM America/JNL High Yield Bond Series........................ 111,761 66,393
Salomon Brothers/JNL Global Bond Series....................... 52,021 30,116
Salomon Brothers/JNL U.S. Government & Quality Bond Series.... 52,323 38,977
T. Rowe Price/JNL Established Growth Series................... 101,320 34,148
T. Rowe Price/JNL International Equity Investment Series...... 42,473 12,054
T. Rowe Price/JNL Mid-Cap Growth Series....................... 89,480 33,162
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations of $30,108,611 and $19,449,841 in the PPM America/JNL Balanced
Series; $18,390,903 and $10,379,128 in the Salomon Brothers/JNL Global Bond
Series; $51,479,505 and $38,634,771 in the Salomon Brothers/JNL U.S. Government
& Quality Bond Series, respectively.
39
<PAGE> 40
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of December 31, 1997 were as follows (in
thousands):
<TABLE>
<CAPTION>
TAX GROSS GROSS NET
COST UNREALIZED UNREALIZED UNREALIZED
BASIS APPRECIATION DEPRECIATION APPRECIATION
-------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series............................... $ 75,971 $ 8,834 $ (3,102) $ 5,732
JNL Capital Growth Series.................................. 61,244 13,742 (1,048) 12,694
JNL Global Equities Series................................. 133,943 21,500 (4,761) 16,739
JNL/Alger Growth Series.................................... 76,262 12,584 (826) 11,758
JNL/Eagle Core Equity Series............................... 10,571 1,663 (168) 1,495
JNL/Eagle SmallCap Equity Series........................... 12,913 2,121 (685) 1,436
JNL/Putnam Growth Series................................... 74,203 10,933 (396) 10,537
JNL/Putnam Value Equity Series............................. 103,573 7,677 (2,052) 5,625
PPM America/JNL Balanced Series............................ 55,452 4,286 (685) 3,601
PPM America/JNL High Yield Bond Series..................... 59,534 1,928 (159) 1,769
Salomon Brothers/JNL Global Bond Series.................... 39,452 1,135 (257) 878
Salomon Brothers/JNL U.S. Government & Quality
Bond Series.............................................. 31,758 687 (3) 684
T. Rowe Price/JNL Established Growth Series................ 106,796 20,805 (3,323) 17,482
T. Rowe Price/JNL International Equity Investment Series... 73,876 11,430 (6,997) 4,433
T. Rowe Price/JNL Mid-Cap Growth Series.................... 107,720 23,488 (3,794) 19,694
</TABLE>
NOTE 5. TRUST TRANSACTIONS
Transactions of trust shares for the year ended December 31, 1997 were as
follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ------------- -------- --------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series...................... 3,894,346 191,755 (868,600) 3,217,501
JNL Capital Growth Series......................... 2,848,842 34,057 (968,352) 1,914,547
JNL Global Equities Series........................ 6,393,844 295,987 (1,246,634) 5,443,197
JNL/Alger Growth Series........................... 3,544,503 229,852 (869,988) 2,904,367
JNL/Eagle Core Equity Series...................... 688,411 16,636 (24,082) 680,965
JNL/Eagle SmallCap Equity Series.................. 886,938 - (139,332) 747,606
JNL/Putnam Growth Series *........................ 4,787,449 92,112 (1,561,300) 3,318,261
JNL/Putnam Value Equity Series *.................. 5,270,627 304,872 (347,068) 5,228,431
PPM America/JNL Balanced Series *................. 2,579,083 337,971 (395,399) 2,521,655
PPM America/JNL High Yield Bond Series............ 4,500,240 349,736 (642,559) 4,207,417
PPM America/JNL Money Market Series............... 87,270,526 1,658,199 (70,873,065) 18,055,660
Salomon Brothers/JNL Global Bond Series........... 2,422,646 177,324 (471,899) 2,128,071
Salomon Brothers/JNL U.S Government & Quality Bond
Series.......................................... 1,740,847 92,434 (422,626) 1,410,655
T. Rowe Price/JNL Established Growth Series....... 5,871,440 308,764 (813,825) 5,366,379
T. Rowe Price/JNL International Equity Investment
Series.......................................... 3,010,793 112,676 (606,319) 2,517,150
T. Rowe Price/JNL Mid-Cap Growth Series........... 4,951,347 94,266 (893,009) 4,152,604
</TABLE>
40
<PAGE> 41
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Transactions of trust shares for the period ending December 31, 1996 were
as follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ------------- -------- --------
<S> <C> <C> <C> <C>
JNL Aggressive Growth Series...................... 1,957,943 130,538 (528,956) 1,559,525
JNL Capital Growth Series......................... 2,355,859 25,885 (517,730) 1,864,014
JNL Global Equities Series........................ 2,508,660 215,630 (698,526) 2,025,764
JNL/Alger Growth Series........................... 3,282,099 - (686,090) 2,596,009
JNL/Eagle Core Equity Series...................... 198,190 214 (14,346) 184,058
JNL/Eagle SmallCap Equity Series.................. 170,418 - (1,912) 168,506
JNL/Phoenix Investment Counsel Growth Series...... 1,507,501 47,430 (151,986) 1,402,945
JNL/Phoenix Investment Counsel Balanced Series.... 1,895,883 54,735 (327,417) 1,623,201
PPM America/JNL Value Equity Series............... 1,153,246 27,517 (219,113) 961,650
PPM America/JNL High Yield Bond Series............ 1,157,121 74,057 (577,564) 653,614
PPM America/JNL Money Market Series............... 43,176,521 606,298 (26,846,271) 16,936,548
Salomon Brothers/JNL Global Bond Series........... 898,823 81,924 (416,558) 564,189
Salomon Brothers/JNL U.S Government & Quality Bond
Series.......................................... 852,084 32,389 (218,886) 665,587
T. Rowe Price/JNL Established Growth Series....... 2,278,033 118,612 (597,638) 1,799,007
T. Rowe Price/JNL International Equity Investment
Series.......................................... 1,947,418 21,151 (131,846) 1,836,723
T. Rowe Price/JNL Mid-Cap Growth Series........... 2,905,453 80,471 (608,146) 2,377,778
</TABLE>
* Effective May 1, 1997, the JNL/Phoenix Investment Counsel Balanced Series
became the PPM America/JNL Balanced Series, the JNL/Phoenix Investment
Counsel Growth Series became the JNL/Putnam Growth Series, and the PPM
America/JNL Value Equity Series became the JNL/Putnam Value Equity Series.
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, 1997 the following Series had entered into "position
hedge" forward foreign currency exchange contracts that obligate the Series to
deliver and receive currencies at specified future dates. The unrealized
appreciation (depreciation) of ($6,408), ($15,722), ($55,680) and $36,569, 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 12/31/97 CURRENCY TO BE RECEIVED AT 12/31/97
- ---------- ------------------------ ------------ ----------------------- ------------
<S> <C> <C> <C> <C>
2/18/98 1,270,000 Deutsche Mark $ 707,994 688,135 US $ $ 688,135
2/18/98 736,561 US $ 736,561 1,270,000 Deutsche Mark 707,994
1/9/98 930,000 Finnish Markka 170,711 172,628 US $ 172,628
1/9/98 93,738 US $ 93,738 500,000 Finnish Markka 91,780
1/15/98 150,000 Finnish Markka 27,545 28,963 US $ 28,963
2/2/98 10,000 Finnish Markka 1,838 1,916 US $ 1,916
</TABLE>
41
<PAGE> 42
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
JNL AGGRESSIVE GROWTH SERIES (CONTINUED)
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/97 CURRENCY TO BE RECEIVED AT 12/31/97
- ---------- ------------------------ ------------ ----------------------- ------------
<S> <C> <C> <C> <C>
3/26/98 3,915,000 Finnish Markka $ 721,950 753,196 US $ $ 753,196
3/26/98 350,126 US $ 350,126 1,800,000 Finnish Markka 331,931
3/31/98 6,100,000 Finnish Markka 1,125,191 1,169,189 US $ 1,169,189
5/28/98 1,000,000 Finnish Markka 185,009 191,205 US $ 191,205
2/11/98 110,000 British Sterling Pound 180,306 182,787 US $ 182,787
2/11/98 33,361 US $ 33,361 20,000 British Sterling Pound 32,783
2/18/98 90,000 British Sterling Pound 147,473 145,998 US $ 145,998
2/18/98 149,981 US $ 149,981 90,000 British Sterling Pound 147,473
2/19/98 100,000 British Sterling Pound 163,851 167,500 US $ 167,500
2/19/98 57,813 US $ 57,813 35,000 British Sterling Pound 57,348
3/4/98 17,000 British Sterling Pound 27,837 28,455 US $ 28,455
3/4/98 27,276 US $ 27,276 16,500 British Sterling Pound 27,018
3/11/98 50,000 British Sterling Pound 81,843 82,450 US $ 82,450
5/11/98 34,000 British Sterling Pound 55,491 56,950 US $ 56,950
5/11/98 55,674 US $ 55,674 34,000 British Sterling Pound 55,491
3/11/98 1,700,000,000 Italian Lira 960,661 957,585 US $ 957,585
3/11/98 163,429 US $ 163,429 280,000,000 Italian Lira 158,227
1/9/98 1,200,000 Netherlands Guilder 592,153 585,966 US $ 585,966
1/9/98 333,736 US $ 333,736 650,000 Netherlands Guilder 320,750
2/25/98 4,050,000 Netherlands Guilder 2,004,336 2,017,080 US $ 2,017,080
2/25/98 743,740 US $ 743,740 1,450,000 Netherlands Guilder 717,602
3/31/98 1,750,000 Netherlands Guilder 867,851 882,909 US $ 882,909
1/15/98 2,950,000 Swedish Krona 371,699 381,505 US $ 381,505
1/15/98 177,022 US $ 177,022 1,378,000 Swedish Krona 173,627
2/11/98 297,000 Swedish Krona 37,450 38,126 US $ 38,126
2/11/98 38,247 US $ 38,247 297,000 Swedish Krona 37,450
3/4/98 800,000 Swedish Krona 100,935 100,237 US $ 100,237
3/4/98 106,177 US $ 106,177 800,000 Swedish Krona 100,935
3/11/98 1,000,000 Swedish Krona 126,189 132,205 US $ 132,205
3/11/98 132,797 US $ 132,797 1,000,000 Swedish Krona 126,189
----------- -----------
$11,857,991 $11,851,583
=========== ===========
</TABLE>
JNL CAPITAL GROWTH SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/97 CURRENCY TO BE RECEIVED AT 12/31/97
- ---------- ------------------------ ------------ ----------------------- ------------
<S> <C> <C> <C> <C>
1/20/98 115,000 British Sterling Pound $ 188,704 193,430 US $ $ 193,430
2/11/98 210,000 British Sterling Pound 344,221 348,957 US $ 348,957
2/11/98 180,937 US $ 180,937 107,000 British Sterling Pound 175,389
2/19/98 825,000 British Sterling Pound 1,351,770 1,358,925 US $ 1,358,925
2/25/98 950,000 British Sterling Pound 1,556,130 1,497,761 US $ 1,497,761
2/26/98 900,000 British Sterling Pound 1,474,156 1,500,300 US $ 1,500,300
2/26/98 1,289,611 US $ 1,289,611 765,000 British Sterling Pound 1,253,032
3/4/98 400,000 British Sterling Pound 654,980 638,800 US $ 638,800
3/11/98 5,000 British Sterling Pound 8,184 8,371 US $ 8,371
5/6/98 1,400,000 British Sterling Pound 2,285,434 2,338,075 US $ 2,338,075
5/11/98 125,000 British Sterling Pound 204,010 209,375 US $ 209,375
----------- -----------
$ 9,538,137 $ 9,522,415
=========== ===========
</TABLE>
JNL GLOBAL EQUITIES SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/97 CURRENCY TO BE RECEIVED AT 12/31/97
- ---------- ------------------------ ------------ ----------------------- ------------
<S> <C> <C> <C> <C>
1/20/98 600,000 Swiss Franc $ 411,625 418,994 US $ $ 418,994
2/2/98 150,000 Swiss Franc 103,068 103,914 US $ 103,914
2/18/98 1,500,000 Swiss Franc 1,032,558 1,018,883 US $ 1,018,883
2/18/98 1,083,408 US $ 1,083,408 1,500,000 Swiss Franc 1,032,558
2/19/98 600,000 Swiss Franc 413,071 413,223 US $ 413,223
2/26/98 122,000 Swiss Franc 84,058 87,644 US $ 87,644
1/15/98 305,000 Deutsche Mark 169,693 174,447 US $ 174,447
1/15/98 17,461 US $ 17,461 30,000 Deutsche Mark 16,691
</TABLE>
42
<PAGE> 43
- --------------------------------------------------------------------------------
JNL SERIES TRUST
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
JNL GLOBAL EQUITIES SERIES (CONTINUED)
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/97 CURRENCY TO BE RECEIVED AT 12/31/97
- ---------- ------------------------ ------------ ----------------------- ------------
<S> <C> <C> <C> <C>
2/2/98 50,000 Deutsche Mark $ 27,848 28,258 US $ $ 28,258
2/3/98 2,850,000 Deutsche Mark 1,587,431 1,588,248 US $ 1,588,248
2/3/98 1,427,540 US $ 1,427,540 2,500,000 Deutsche Mark 1,392,483
2/18/98 75,000 Deutsche Mark 41,811 40,473 US $ 40,473
2/19/98 2,200,000 Deutsche Mark 1,226,517 1,220,189 US $ 1,220,189
2/19/98 1,235,677 US $ 1,235,677 2,200,000 Deutsche Mark 1,226,517
2/26/98 3,750,000 Deutsche Mark 2,091,499 2,079,867 US $ 2,079,867
2/26/98 1,784,450 US $ 1,784,450 3,070,000 Deutsche Mark 1,712,241
1/20/98 750,000 Finnish Markka 137,768 144,788 US $ 144,788
1/20/98 143,234 US $ 143,234 750,000 Finnish Markka 137,768
1/9/98 11,000,000 French Franc 1,828,651 1,828,777 US $ 1,828,777
1/9/98 1,886,635 US $ 1,886,635 11,000,000 French Franc 1,828,651
1/20/98 500,000 French Franc 83,173 84,574 US $ 84,574
2/3/98 11,000,000 French Franc 1,831,312 1,814,681 US $ 1,814,681
2/3/98 1,921,186 US $ 1,921,186 11,000,000 French Franc 1,831,312
2/18/98 5,000,000 French Franc 833,161 809,532 US $ 809,532
2/18/98 573,460 US $ 573,460 3,000,000 French Franc 499,897
3/18/98 6,000,000 French Franc 1,001,352 1,031,637 US $ 1,031,637
2/11/98 5,200,000 British Sterling Pound 8,523,570 8,441,520 US $ 8,441,520
2/11/98 7,420,035 US $ 7,420,035 4,500,000 British Sterling Pound 7,376,166
2/18/98 3,000,000 British Sterling Pound 4,915,768 4,866,615 US $ 4,866,615
2/19/98 600,000 British Sterling Pound 983,105 1,001,400 US $ 1,001,400
1/20/98 115,250,000 Japanese Yen 885,227 1,038,288 US $ 1,038,288
2/18/98 166,750,000 Japanese Yen 1,286,307 1,407,577 US $ 1,407,577
3/18/98 594,440,000 Japanese Yen 4,604,843 5,145,108 US $ 5,145,108
3/18/98 2,725,454 US $ 2,725,454 325,000,000 Japanese Yen 2,517,620
3/25/98 30,000,000 Japanese Yen 232,641 240,015 US $ 240,015
4/22/98 165,000,000 Japanese Yen 1,284,884 1,294,179 US $ 1,294,179
1/9/98 1,000,000 Netherlands Guilder 493,461 501,379 US $ 501,379
2/3/98 3,500,000 Netherlands Guilder 1,729,822 1,728,395 US $ 1,728,395
2/3/98 1,809,147 US $ 1,809,147 3,500,000 Netherlands Guilder 1,729,822
2/18/98 200,000 Netherlands Guilder 98,937 95,721 US $ 95,721
2/19/98 6,300,000 Netherlands Guilder 3,116,717 3,100,394 US $ 3,100,394
2/19/98 2,229,955 US $ 2,229,955 4,400,000 Netherlands Guilder 2,176,754
1/15/98 6,400,000 Swedish Krona 806,397 832,077 US $ 832,077
2/2/98 700,000 Swedish Krona 88,245 90,696 US $ 90,696
10/2/98 1,200,000 South African Rand 232,076 237,765 US $ 237,765
10/2/98 231,256 US $ 231,256 1,200,000 South African Rand 232,076
----------- ------------
$66,675,494 $66,619,814
=========== ============
</TABLE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
<TABLE>
<CAPTION>
SETTLEMENT U.S. $ VALUE U.S. $ VALUE
DATE CURRENCY TO BE DELIVERED AT 12/31/97 CURRENCY TO BE RECEIVED AT 12/31/97
- ---------- ------------------------ ------------ ----------------------- ------------
<S> <C> <C> <C> <C>
2/11/98 16,965 Australian $ $ 11,067 11,191 US $ $ 11,191
2/11/98 713,098 Canadian $ 499,711 502,182 US $ 502,182
2/11/98 2,645,016 Deutsche Mark 1,473,937 1,507,733 US $ 1,507,733
2/11/98 457,276 US $ 457,276 806,841 Deutsche Mark 449,613
2/11/98 566,847,218 Italian Lira 320,332 328,173 US $ 328,173
----------- -----------
$ 2,762,323 $ 2,798,892
=========== ===========
</TABLE>
43
<PAGE> 44
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 90.45%
- -----------------------
BRAZIL -- 0.58%
- ---------------
TELECOMMUNICATIONS - 0.58%
Ericsson Telecommunicacoes SA (a) .................. 14,709,000 $ 471,827
FINLAND -- 1.71%
- ----------------
CONGLOMERATES -- 1.71%
Metra Oy, Class B .................................. 18,630 437,472
Raisio Group PLC (a) ............................... 8,053 955,850
----------
Total Finland ................................... 1,393,322
FRANCE -- 0.10%
- ---------------
OIL -- 0.10%
Elf Aquitaine ...................................... 709 82,462
ITALY -- 1.58%
- --------------
BANKS -- 0.73%
Banca Commerciale Italiana ......................... 172,358 599,210
TELECOMMUNICATIONS -- 0.85%
- ---------------------------
Telecom Italia SPA ................................. 107,961 689,632
----------
Total Italy ...................................... 1,288,842
NETHERLANDS-- 0.09%
- -------------------
HOUSEHOLD APPLIANCES &
FURNISHINGS -- 0.09%
Philips Electronics NV ............................. 1,217 72,985
NORWAY -- 1.35%
- ---------------
OIL -- 1.09%
Ocean Rig ASA (a) .................................. 490,511 518,019
Smedvig ASA ........................................ 17,687 371,183
----------
889,202
RECYCLING -- 0.26%
Tomra Systems ASA .................................. 9,665 215,918
----------
Total Norway ..................................... 1,105,120
SWEDEN -- 0.66%
- ---------------
HOUSEHOLD APPLIANCES &
FURNISHINGS -- 0.66%
Electrolux (a) ..................................... 7,817 542,471
UNITED KINGDOM -- 1.44%
- -----------------------
CONGLOMERATES -- 0.80%
Siebe PLC .......................................... 33,114 649,957
DRUGS & HEALTH CARE -- 0.64%
SmithKline Beecham PLC ............................. 51,314 528,877
----------
Total United Kingdom ............................. 1,178,834
<CAPTION>
MARKET
SHARE VALUE
----- -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES -- 82.94%
- -----------------------
BANKS -- 4.64%
Ambanc Holding Co., Inc. ........................... 1,950 $ 36,562
Bank of New York Co., Inc. ......................... 13,150 760,234
BankAmerica Corp. .................................. 19,775 1,443,575
Citicorp ........................................... 2,625 331,898
Klamath First Bancorp, Inc. ........................ 1,950 41,925
Prime Bancshares, Inc. ............................. 12,500 260,938
Provident Financial Holdings, Inc. (a) ............. 1,400 30,625
Roslyn Bancorp, Inc. ............................... 5,075 117,994
Star Banc Corp. .................................... 7,950 456,131
US Bancorp ......................................... 2,775 310,627
----------
3,790,509
BROADCASTING -- 3.65%
Comcast Corp. ...................................... 58,275 1,839,305
Time Warner, Inc. .................................. 18,375 1,139,250
----------
2,978,555
BUSINESS SERVICES -- 4.39%
Corporate Family Solutions, Inc.
(a)................................................. 31,750 682,625
Lamar Advertising Co. Class A (a)................... 5,850 232,537
Nokia Corp. ADR (a) ................................ 32,600 2,282,000
Outdoor Systems, Inc. (a) .......................... 5,400 207,225
Technology Solutions Co. (a) ....................... 7,037 185,601
----------
3,589,988
CHEMICALS -- 5.64%
Monsanto Co. ...................................... 87,600 3,679,200
Solutia, Inc. ..................................... 34,980 933,529
----------
4,612,729
COMPUTERS & BUSINESS
EQUIPMENT -- 6.88%
Ceridian Corp. (a) ................................ 9,700 444,381
Cisco Systems, Inc. (a) ........................... 27,413 1,528,247
Compaq Computer Corp. ............................. 21,887 1,235,248
Dell Computer Corp. (a) ........................... 13,025 1,094,100
EMC Corp. (a) ..................................... 29,325 804,605
Sapient Corp. (a) ................................. 8,400 514,500
----------
5,621,081
CONGLOMERATES -- 1.44%
CBS Corp. ......................................... 39,850 1,173,084
DRUGS & HEALTH CARE -- 10.90%
Cardinal Health, Inc. ............................. 6,300 473,287
Centocor, Inc. (a) ................................ 11,100 369,075
Eli Lilly & Co. ................................... 22,275 1,550,897
Omnicare, Inc. .................................... 32,775 1,016,025
Pfizer, Inc. ...................................... 11,550 861,197
Sofamor Danek Group, Inc. (a) ..................... 9,450 614,841
Warner Lambert Co. ................................ 32,450 4,023,800
----------
8,909,122
</TABLE>
See notes to the financial statements.
44
<PAGE> 45
JNL AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
ELECTRICAL EQUIPMENT -- 1.19%
ASM Lithography Holdings NV (a) .... 14,350 $ 968,625
ELECTRONICS -- 9.86%
Analog Devices, Inc. (a) ........... 41,608 1,152,022
Intel Corp. ........................ 19,950 1,401,488
Maxim Integrated Products, Inc.
(a)............................... 9,150 315,675
Philips Electronics NV ............. 43,573 2,636,166
Pittway Corp., Class A ............. 26,150 1,820,694
Texas Instruments, Inc. ............ 16,275 732,375
----------
8,058,420
FINANCIAL SERVICES -- 3.40%
Associates First Capital Corp.
Class A ............................ 17,975 1,278,472
Astoria Financial Corp. ............ 1,375 76,656
Catskill Financial Corp. ........... 1,075 20,291
Charles Schwab Corp. ............... 19,062 799,413
Peekskill Financial Corp. .......... 1,025 17,169
SLM Holding Corp. .................. 3,850 535,631
TF Financial Corp. ................. 1,700 51,000
----------
2,778,632
INSURANCE -- 3.86%
Reliance Group Holdings, Inc........ 4,675 66,034
SunAmerica, Inc. ................... 9,075 387,956
UNUM Corp. ......................... 49,704 2,702,655
----------
3,156,645
PACKAGING -- 1.72%
Sealed Air Corp. (a) ............... 22,825 1,409,444
PETROLEUM SERVICES -- 7.97%
Diamond Offshore Drilling, Inc (a).. 18,900 909,562
Noble Drilling Corp. (a) ........... 29,700 909,562
Santa Fe International Corp. ....... 40,700 1,655,981
Schlumberger Ltd. .................. 20,700 1,666,350
Transocean Offshore, Inc. .......... 28,425 1,369,730
----------
6,511,185
REAL ESTATE -- 0.97%
Equity Office Properties, Inc. ..... 25,000 789,063
RETAIL -- 2.60%
CompUSA, Inc. (a) .................. 15,425 478,175
Costco Cos., Inc. (a) .............. 18,050 805,481
Linens & Things, Inc. (a) .......... 10,250 447,156
Sara Lee Corp. ..................... 7,025 395,595
----------
2,126,407
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
SAVINGS & LOAN -- 0.39%
Dime Bancorp, Inc. ....................... 3,275 $ 99,069
FSF Financial Corp. ...................... 200 4,125
First Defiance Financial Corp. ........... 1,725 27,600
First Savings Bancorp .................... 325 8,288
FirstSpartan Financial Corp. ............. 1,425 57,356
GSB Financial Corp. (a) .................. 975 17,611
North Central Bancshares, Inc. ........... 1,050 20,869
Queens County Bancorp, Inc. .............. 2,025 82,013
-----------
316,931
SOFTWARE -- 10.56%
America Online, Inc. (a) ................. 2,300 205,131
Aspen Technology, Inc. (a) ............... 30,725 1,052,332
Cadence Design Systems, Inc. (a) ........ 30,425 745,412
HBO & Co. ................................ 16,250 780,000
Microsoft Corp. (a) ...................... 14,475 1,870,894
Parametric Technology Corp. (a) .......... 68,000 3,221,500
Peoplesoft, Inc. (a) ..................... 6,500 253,500
Wind River Systems, Inc. (a) ............. 12,575 499,070
-----------
8,627,839
TELECOMMUNICATIONS -- 2.88%
Tele Communications, Inc. (a) ............ 84,128 2,350,326
-----------
Total United States .................... 67,768,585
-----------
Total Common Stocks
(cost $68,071,484) ................. 73,904,448
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 9.55%
- -------------------------------
COMMERCIAL PAPER -- 4.29%
General Electric Capital Corp. ...........
6.70%, 01/02/1998 .................. $ 3,500,000 3,499,349
U.S. GOVERNMENT AGENCIES -- 5.26%
Federal National Mortgage
Association Discount Note
6.00%, 01/02/1998 .................. 4,300,000 4,299,283
-----------
Total Short Term Investments
(cost $7,798,632)..................... 7,798,632
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $75,870,116) ....................... $81,703,080
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
See notes to the financial statements.
45
<PAGE> 46
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 97.19%
- -----------------------
UNITED KINGDOM -- 12.78%
- ------------------------
BUSINESS SERVICES -- 1.53%
Capita Group PLC............................ 185,778 $ 1,132,071
FINANCIAL SERVICES -- 1.31%
Amvescap PLC................................ 113,532 971,113
FOOD & BEVERAGES -- 9.94%
Pizza Express PLC........................... 285,117 3,493,553
JD Wetherspoon PLC.......................... 704,770 3,854,757
------------
7,348,310
------------
Total United Kingdom........................... 9,451,494
UNITED STATES -- 84.41%
- -----------------------
AIRLINES -- 0.85%
Ryanair Holdings PLC ADR (a)................ 25,100 630,638
AUTOMOBILE -- 1.10%
OEA, Inc..................................... 16,125 466,617
O'Reilly Automotive, Inc. (a)................ 13,325 349,781
------------
816,398
BANKS -- 1.89%
First Empire State Corp...................... 1,125 523,125
Northern Trust Corp.......................... 6,500 453,375
Star Banc Corp............................... 7,375 423,141
------------
1,399,641
BROADCASTING & MEDIA -- 8.31%
Chancellor Media Group......................... 20,750 1,548,469
Clear Channel Communications, Inc. (a)......... 36,350 2,887,553
Heftel Broadcasting Corp. (a).................. 36,575 1,709,881
------------
6,145,903
BUILDING & CONSTRUCTION -- 4.29%
Fastenal Co..................................... 72,725 2,781,731
Rental Services Corp. (a)....................... 15,825 388,702
------------
3,170,433
BUSINESS SERVICES -- 12.44%
Apollo Group, Inc. (a).......................... 60,700 2,868,075
Coinmachine Laundry Corp. (a)................... 16,925 414,662
Outdoor Systems, Inc. (a)....................... 23,550 903,730
Paychex, Inc.................................... 82,200 4,161,375
Profit Recovery Group
International, Inc. (a)....................... 20,100 356,775
Robert Half International, Inc. (a)............. 5,825 233,000
Snyder Communications, Inc. (a)................. 7,225 263,712
------------
9,201,329
DRUGS & HEALTH CARE -- 9.68%
Ameripath, Inc. (a)............................. 21,700 368,900
Healthcare Financial Partners, Inc. (a)......... 17,650 626,575
Omnicare, Inc................................... 135,225 4,191,975
<CAPTION>
MARKET
COMMON STOCKS (CONTINUED) SHARES VALUE
- ------------------------- ---------------- ------------
<S> <C> <C>
UNITED STATES (CONTINUED)
- -------------------------
DRUGS & HEALTH CARE (CONTINUED)
Pediatrix Medical Group, Inc. (a)............... 24,525 $ 1,048,444
Sofamor Danek Group, Inc. (a)................... 14,150 920,634
------------
7,156,528
ELECTRICAL EQUIPMENT -- 3.24%
Barnett, Inc. (a)................................ 52,375 1,152,250
Littelfuse, Inc. (a)............................. 49,875 1,240,641
------------
2,392,891
ELECTRONICS -- 5.68%
Berg Electronics Corp. (a)...................... 41,425 942,419
Maxim Integrated Products, Inc. (a)............. 41,550 1,433,475
Sanmina Corp. (a)............................... 4,475 303,181
Sipex Corp. (a)................................. 37,450 1,132,863
Vitesse Semiconductor Corp. (a)................. 10,225 385,994
------------
4,197,932
FINANCIAL SERVICES -- 7.31%
American Capital Strategies, Ltd................ 18,825 341,203
Capital Trust (a)............................... 26,300 295,875
Charles Schwab Corp............................. 41,287 1,731,474
Federal Agricultural Mortgage
Corp., Class C (a)............................ 5,300 323,300
Insignia Financial Group, Inc. (a).............. 69,500 1,598,500
Medallion Financial Corp........................ 30,725 675,950
Regions Financial Corp.......................... 10,375 437,695
------------
5,403,997
FOOD & BEVERAGES -- 1.20%
JP Foodservice, Inc. (a)........................ 24,125 891,117
GAS EXPLORATION -- 0.75%
Trigen Energy Corp.............................. 27,675 551,770
HOTELS & RESTAURANTS -- 2.28%
Papa John's International, Inc. (a)............. 48,337 1,685,753
INSURANCE -- 2.98%
Progressive Corp................................ 10,150 1,216,731
Protective Life Corp............................ 8,000 478,000
UICI (a)........................................ 14,625 510,047
------------
2,204,778
LEISURE TIME -- 4.21%
Family Golf Centers, Inc. (a)................... 16,650 522,394
Premier Parks, Inc. (a)......................... 15,725 636,863
Regal Cinemas, Inc. (a)......................... 16,200 451,575
Royal Caribbean Cruises, Ltd.................... 28,150 1,500,747
------------
3,111,579
PETROLEUM SERVICES -- 0.36%
Hanover Compressor Co. (a)...................... 12,975 265,177
</TABLE>
See notes to the financial statements.
46
<PAGE> 47
JNL CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION> MARKET
SHARES VALUE
---------------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
PLASTICS -- 1.47%
Sealed Air Corp. (a)............................ 17,575 $ 1,085,256
POLLUTION CONTROL -- 0.20%
Culligan Water Technologies, Inc. (a)........... 2,950 148,238
REAL ESTATE -- 1.61%
Security Capital Group, Inc. (a)................ 22,100 718,250
Vornado Realty Trust............................ 10,025 470,548
------------
1,188,798
RETAIL -- 4.72%
CompUSA, Inc. (a)............................... 19,700 610,700
Fred Meyer, Inc. (a)............................ 9,000 327,375
MSC Industrial Direct Co. Inc. (a).............. 8,625 365,484
Petco Animal Supplies Inc. (a).................. 81,690 1,960,560
Quality Food Centers, Inc. (a).................. 3,350 224,450
------------
3,488,569
SCHOOLS -- 0.18%
Devry, Inc. (a)................................. 4,125 131,484
SOFTWARE -- 3.47%
America Online, Inc. (a)........................ 8,350 744,715
Cadence Design Systems, Inc. (a)................ 74,175 1,817,288
------------
2,562,003
TELECOMMUNICATIONS -- 3.04%
Pricellular Corp. Class A (a)................... 116,057 1,211,345
Univision Communications, Inc.
Class A (a)..................................... 14,825 1,034,970
------------
2,246,315
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
UTILITIES -- 3.15%
AES Corp. (a).................................. 49,950 $ 2,328,919
------------
Total United States......................... 62,405,446
------------
Total Common Stocks
(cost $59,102,042)...................... 71,856,940
------------
WARRANTS -- 0.11%
- -----------------
ELECTRICAL EQUIPMENT -- 0.11%
Littelfuse, Inc.
Expires 12/27/2001, (cost $48,137)........ 3,700 81,400
------------
<CAPTION>
PRINCIPAL
AMOUNT
----------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 2.70%
- -------------------------------
COMMERCIAL PAPER -- 2.70%
General Electric Capital Corp.
6.70%, 01/02/1998........................ $2,000,000 1,999,628
------------
Total Short Term Investments
(cost $1,999,628).................... 1,999,628
------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $61,149,807)........................... $73,937,968
============
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
See notes to the financial statements.
47
<PAGE> 48
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 94.87%
- -----------------------
AUSTRIA -- 0.61%
- ----------------
BANKS -- 0.61%
Erste Bank Der Oesterreichischen
Sparkassen (a) ............... 18,582 $ 926,048
BELGIUM -- 0.09%
- ----------------
FINANCIAL SERVICES -- 0.09%
Credit Communal Holding Dexia 962 129,172
DENMARK -- 1.02%
- ----------------
BANKS -- 0.83%
BG Bank A/S ..................... 14,420 970,186
Unidanmark Series A, A/S ........ 3,854 282,923
----------
1,253,109
TRANSPORTATION -- 0.19%
SAS Danmark A/S ................. 19,404 283,192
----------
Total Denmark ................. 1,536,301
FINLAND -- 2.23%
- ----------------
BANKS -- 0.15%
Merita PLC ...................... 43,143 235,860
COMPUTERS & SOFTWARE -- 0.36%
Tietotehdas Oy, Class B (a) ..... 4,775 536,984
CONGLOMERATES -- 0.26%
Amer Group Ltd. Series B (a) 14,802 283,769
Metra Oy, Class B ............... 4,690 110,131
----------
393,900
FOOD & BEVERAGES -- 0.59%
Raisio Group PLC ................ 7,449 884,158
INSURANCE -- 0.87%
Pohjola Insurance Group ......... 21,619 801,152
Sampo Insurance Ltd. ............ 15,671 508,859
----------
1,310,011
----------
Total Finland ................. 3,360,913
FRANCE -- 9.41%
- ----------------
AUTOMOBILES & PARTS --0.85%
Renault SA (a) .................. 45,348 1,275,636
BANKS -- 1.13%
Banque Nationale de Paris ....... 8,239 437,926
Credit Commercial de France ..... 6,558 449,477
Dexia France .................... 5,932 686,982
Societe Generale ................ 961 130,933
----------
1,705,318
BUILDING & CONSTRUCTION -- 0.98%
Suez Lyonnaise des Eaux ......... 10,099 1,117,543
Technip ......................... 3,332 351,553
----------
1,469,096
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
FRANCE (CONTINUED)
- ------------------
BUSINESS SERVICES -- 0.56%
Cap Gemini SA ................... 10,315 $ 845,801
CHEMICALS -- 0.51%
Rhone Poulenc ................... 17,279 774,017
COMPUTER SERVICES -- 0.54%
Axime (a) ....................... 6,284 810,232
ELECTRICAL EQUIPMENT -- 0.24%
Alcatel Alsthom ................. 2,804 356,411
FOOD & BEVERAGES -- 0.33%
Danone .......................... 2,736 488,693
GAS EXPLORATION -- 1.85%
Elf Aquitaine SA ................ 23,974 2,788,369
INSURANCE -- 0.16%
Assurances Generales de France... 4,113 217,934
Union des Assurances Federales... 204 26,777
----------
244,711
OIL -- 0.43%
Total ........................... 5,973 650,048
PUBLISHING -- 0.61%
Lagardere S.C.A ................. 27,926 923,365
RETAIL -- 0.52%
GrandVision S.A ................. 19,160 788,239
TIRES & RUBBER -- 0.70%
Compagnie Generale des
Etablissements Michelin ...... 20,920 1,053,213
----------
Total France ................ 14,173,149
GERMANY -- 4.31%
- ------------------
APPAREL & TEXTILES -- 0.37%
Adidas AG ....................... 4,290 564,226
BANKS -- 2.15%
Bankgesellschaft Berlin AG ...... 4,949 108,942
Bayerische Verinsbank AG ........ 5,403 353,502
Deutsche Bank AG ................ 23,529 1,661,071
Deutsche Phandbreif-und
Hypothekenbank ............... 18,866 1,117,939
----------
3,241,454
INSURANCE -- 0.98%
Aachner & Muenchener
Beteiligungs AG .............. 7,088 768,315
Allianz AG (a) .................. 1,528 395,813
Muenchener Rueckversicherungs -
Gesellschaft AG .............. 835 314,700
----------
1,478,828
</TABLE>
See notes to the financial statements.
48
<PAGE> 49
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
GERMANY (CONTINUED)
- -------------------
MANUFACTURING -- 0.14%
Siemens AG ........................ 3,465 $ 205,132
TRANSPORTATION -- 0.67%
Lufthansa AG ...................... 52,450 1,005,878
----------
Total Germany ................... 6,495,518
HONG KONG -- 0.68%
- ------------------
CONGLOMERATES -- 0.35%
Citic Pacific Ltd. ................ 22,000 87,444
Hutchison Whampoa Ltd. ............ 35,000 219,512
Swire Pacific Ltd. ................ 41,000 224,868
----------
531,824
FINANCIAL SERVICES -- 0.21%
First Pacific Co. Ltd. ............ 641,540 310,463
TELECOMMUNICATIONS -- 0.12%
China Telecom (a) ................. 106,000 181,933
----------
Total Hong Kong ................. 1,024,220
ITALY -- 2.15%
- --------------
BANKS -- 0.82%
Banca Commerciale Italiana ........ 270,103 939,024
Credito Italiano .................. 94,601 291,718
----------
1,230,742
INSURANCE -- 0.45%
Assicurazioni Generali ............ 27,193 667,912
TELECOMMUNICATIONS -- 0.41%
Telecom Italia SPA ................ 97,392 622,120
TRANSPORTATION -- 0.47%
Aeroporti di Roma SPA (a) ......... 68,599 711,584
----------
Total Italy ..................... 3,232,358
JAPAN -- 7.73%
- --------------
AUTOMOBILES & PARTS -- 0.18%
Denso Corp. ....................... 15,000 269,970
BUILDING & CONSTRUCTION -- 0.07%
Matsushita Electric Works, Ltd..... 12,000 103,852
COMPUTERS & BUSINESS
EQUIPMENT -- 1.44%
Fujitsu Ltd. ...................... 22,000 235,889
NTT Data Corp. .................... 36 1,938,271
----------
2,174,160
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
JAPAN (CONTINUED)
- -----------------
DRUGS & HEALTH CARE -- 0.62%
Takeda Chemical Industries ...... 33,000 $ 940,185
ELECTRICAL EQUIPMENT -- 0.21%
Hitachi Ltd. .................... 45,000 320,517
FOOD & BEVERAGES -- 0.20%
Kita Kyushu Coca-Cola Bottling .. 15,400 292,502
HOUSEHOLD FURNITURE &
APPLIANCES -- 1.85%
Sony Corp. ...................... 31,400 2,789,615
REAL ESTATE -- 0.46%
Mitsubishi Estate Co. Ltd. ...... 64,000 696,025
RETAIL -- 0.12%
Mitsui & Co. .................... 18,000 173,700
RUBBER & TIRES -- 0.29%
Bridgestone Corp. ............... 20,230 438,469
TELECOMMUNICATIONS -- 2.29%
Nippon Telegraph & Telephone .... 402 3,448,265
Corp ...........................
----------
Total Japan ................... 11,647,260
MEXICO -- 0.72%
- ---------------
CONGLOMERATES -- 0.07%
Grupo Carso SA de CV ............ 15,000 100,366
FOOD & BEVERAGES -- 0.38%
Fomento Economico Mexicano
SA de CV, Class A ............ 72,700 581,024
PAPER & PAPER PRODUCTS -- 0.19%
Kimberly Clark de Mexico SA de CV 58,200 284,852
RETAIL -- 0.08%
Cifra SA De CV .................. 46,471 114,011
----------
Total Mexico .................. 1,080,253
NETHERLANDS -- 8.40%
- --------------------
AIRLINES -- 0.39%
KLM Royal Dutch Airlines NV ..... 15,930 589,229
BUSINESS SERVICES -- 0.08%
Vedior .......................... 6,542 117,763
CHEMICALS -- 2.57%
Akzo Nobel NV ................... 22,426 3,866,609
</TABLE>
See notes to the financial statements.
49
<PAGE> 50
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
NETHERLANDS (CONTINUED)
- -----------------------
COMPUTERS & BUSINESS
EQUIPMENT -- 0.56%
Getronics NV ....................... 26,284 $ 837,396
ELECTRONICS -- 0.46%
Simac Techniek NV .................. 6,000 698,345
FOOD & BEVERAGES -- 0.27%
Nutricia Verenigde Bedrijuen NV .... 13,685 415,075
HOUSEHOLD FURNITURE &
APPLIANCES -- 1.58..................
Philips Electronics NV ............. 39,656 2,378,206
PUBLISHING -- 2.49%
Elsevier NV ........................ 79,051 1,278,758
Wolters Kluwer NV (a) .............. 19,198 2,479,696
----------
3,758,454
----------
Total Netherlands ................ 12,661,077
NORWAY -- 0.44%
- ---------------
COMPUTERS & BUSINESS
EQUIPMENT -- 0.13%
Merkantildata ASA .................. 5,594 192,379
INDUSTRIAL MACHINERY -- 0.14%
Tomra Systems ASA .................. 9,800 218,934
TRANSPORTATION -- 0.17%
SAS Norge ASA B shares ............. 18,334 255,680
----------
Total Norway ..................... 666,993
SOUTH AFRICA -- 0.00%
- ---------------------
COMPUTERS & BUSINESS
EQUIPMENT -- 0.00%
Dimension Data Holdings, Ltd. (a)... 93 401
SPAIN -- 0.60%
- --------------
COMMERCIAL SERVICES -- 0.01%
Prosegur, Companhia de
Seguridad SA................... 882 8,857
FOOD & BEVERAGES -- 0.59%
Telepizza SA (a) ................... 11,090 895,353
----------
Total Spain ...................... 904,210
SWEDEN -- 6.50%
- ---------------
BANKS -- 0.40%
Skandinaviska Enskilda Banken ...... 48,065 608,387
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
SWEDEN (CONTINUED)
- ------------------
BROADCASTING -- 0.02%
Modern Times Group (a) ............. 4,423 $ 26,460
BUSINESS SERVICES -- 0.95%
Securitas AB, Class B .............. 30,493 921,714
WM-Data AB B Shares ................ 28,290 511,293
----------
1,433,007
CONGLOMERATES -- 0.07%
Kinnevik Investment Series B ....... 6,410 106,162
DRUGS & HEALTH CARE -- 0.68%
Ortivus AB Series B (a) ............ 30,829 1,028,941
ELECTRONICS -- 0.10%
Pricer AB Series B (a) ............. 8,283 153,352
FINANCIAL SERVICES -- 0.37%
Investor AB ........................ 11,344 552,920
HOUSEHOLD FURNITURE &
APPLIANCES -- 1.56%
Electrolux AB Series B ............. 33,822 2,347,123
INSURANCE -- 0.34%
Skandia Forsakrings AB ............. 10,685 503,978
NON-FERROUS METALS -- 1.02%
Assa Abloy AB Series B ............. 58,124 1,537,304
TELECOMMUNICATIONS -- 0.76%
Ericcson LM Tel Series B ........... 30,573 1,149,390
TRANSPORTATION -- 0.23%
SAS Sverige AB ..................... 23,950 346,887
----------
Total Sweden ..................... 9,793,911
SWITZERLAND -- 7.53%
- --------------------
BANKS -- 1.36%
Credit Suisse Group AG ............. 4,356 673,731
Union Bank of Switzerland AG (a).... 955 1,380,345
----------
2,054,076
BUSINESS SERVICES -- 0.28%
Kuoni Reisen AG .................... 112 419,655
DRUGS & HEALTH CARE -- 2.16%
Ares Serono SA ..................... 198 326,567
Novartis AG ........................ 973 1,578,162
Roche Holding AG ................... 136 1,350,041
----------
3,254,770
</TABLE>
See notes to the financial statements.
50
<PAGE> 51
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
SWITZERLAND (CONTINUED)
- -----------------------
INSURANCE -- 3.61%
Baloise Holdings Ltd. (a) .......... 268 $ 495,760
Swiss Life ......................... 4,860 3,814,960
Zurich Versicherungs-Gesellschaft... 2,367 1,127,451
-----------
5,438,171
TRANSPORTATION -- 0.12%
Sairgroup (a) ...................... 134 183,411
-----------
Total Switzerland ................ 11,350,083
UNITED KINGDOM -- 16.54%
- ------------------------
BANKS -- 2.36%
Barclays PLC ....................... 21,070 560,914
Lloyds TSB Group PLC ............... 209,071 2,719,927
National Westminster Bank PLC ...... 16,478 273,899
-----------
3,554,740
BUILDING & CONSTRUCTION -- 0.49%
Powerscreen International PLC ...... 74,340 745,996
BUSINESS SERVICES -- 1.49%
BTG PLC ............................ 59,268 666,832
Logica PLC ......................... 82,890 1,583,388
-----------
2,250,220
CHEMICALS -- 0.33%
Imperial Chemical Industries PLC.... 29,432 459,733
Victrex PLC ........................ 11,785 45,489
-----------
505,222
CONGLOMERATES -- 6.96%
Hays PLC ........................... 116,697 1,553,582
Misys PLC .......................... 29,138 880,609
Rentokil Initial PLC ............... 746,851 3,305,104
Siebe PLC .......................... 168,999 3,317,091
Ti Group PLC ....................... 36,421 279,965
Tomkins PLC ........................ 101,196 478,698
Williams PLC ....................... 122,408 679,566
-----------
10,494,615
DRUGS & HEALTH CARE -- 0.27%
SmithKline Beecham PLC ............. 38,928 401,219
ELECTRONICS -- 0.70%
Electrocomponents PLC .............. 95,469 710,339
Premier Farnell PLC ................ 48,338 347,751
-----------
1,058,090
FINANCIAL SERVICES -- 0.44%
Amvescap PLC ....................... 14,136 120,914
JBA Holdings PLC ................... 31,557 536,465
-----------
657,379
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED KINGDOM (CONTINUED)
- --------------------------
FOOD & BEVERAGES -- 0.07%
J D Wetherspoon PLC ................ 18,310 $ 100,147
INSURANCE -- 0.61%
Royal & Sun Alliance Insurance ..... 91,459 920,857
Group
LEISURE & ENTERTAINMENT -- 0.60%
Compass Group PLC .................. 72,955 897,516
OIL -- 0.31%
British Petroleum Co. PLC .......... 35,097 464,282
PUBLISHING -- 1.05%
Newsquest PLC (a) .................. 64,524 1,589,630
SOFTWARE -- 0.07%
Sema Group PLC ..................... 4,350 105,744
TELECOMMUNICATIONS -- 0.46%
Energis PLC (a) .................... 03,321 432,747
Freepages Group PLC (a) ............ 92,475 258,845
----------
691,592
TRANSPORTATION -- 0.33%
Stagecoach Holdings PLC ............ 35,805 491,061
----------
Total United Kingdom ............. 24,928,310
UNITED STATES -- 25.91%
- -----------------------
AUTOMOBILE & PARTS -- 0.02%
Tata Engineering & Locomotive
Co. Ltd. (144a) ................. 3,718 28,092
BANKS -- 0.56%
Banco Rio de la Plata SA (a) ....... 6,175 86,450
BankAmerica Corp. .................. 2,850 208,050
Uniao de Bancos Brasileiros SA ..... 5,925 190,711
Wells Fargo & Co. .................. 1,075 364,895
----------
850,106
BROADCAST & COMMUNICATIONS -- 0.52%
Grupo Televisa SA de CV ADR (a) .... 20,225 782,455
BUSINESS SERVICES -- 0.10%
Manpower, Inc. ..................... 4,250 149,813
CHEMICALS -- 2.76%
Du Pont E I De Nemours & Co. ....... 15,450 927,966
Monsanto Co. ....................... 52,675 2,212,350
Solutia, Inc. ...................... 38,325 1,022,798
----------
4,163,114
</TABLE>
See notes to the financial statements.
51
<PAGE> 52
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
COMPUTERS & BUSINESS
EQUIPMENT -- 0.40%
Compaq Computer Corp. ........... 9,050 $ 510,759
Dassault Systemes SA ADR ........ 3,000 92,625
----------
603,384
CONGLOMERATES -- 1.26%
CBS Corp. ....................... 50,350 1,482,178
General Electric Co. ............ 2,150 157,756
Minnesota Mining &
Manufacturing Co. ............ 3,200 262,600
----------
1,902,534
DRUGS & HEALTH CARE -- 2.92%
Cardinal Health, Inc. ........... 2,900 217,863
Elan Corp. PLC ADR (a) .......... 6,025 308,404
Grupo Casa Autrey SA de CV ADR .. 11,950 244,228
Eli Lilly & Co. ................. 8,950 623,144
Pfizer, Inc. .................... 12,725 948,808
Schering Plough Corp. ........... 1,875 116,484
SmithKline Beecham PLC ADR ...... 8,700 447,506
Warner Lambert Co. .............. 12,050 1,494,200
----------
4,400,637
ELECTRONICS -- 3.54%
Analog Devices, Inc. (a) ........ 2,000 55,375
Intel Corp. ..................... 2,650 186,162
Philips Electronics ............. 48,469 2,932,375
Texas Instruments, Inc. ......... 48,075 2,163,375
----------
5,337,287
ENERGY -- 0.13%
AO Mosenergo .................... 1,325 48,893
Companhia Energetica de 1,050 45,621
Minas Gerais ADR..............
Unified Energy Systems - Russia (a). 3,133 95,557
----------
190,071
FINANCIAL SERVICES -- 0.87%
Romania Investment Fund ......... 204 195,222
SLM Holding Corp. ............... 8,025 1,116,478
----------
1,311,700
INDUSTRIAL MACHINERY -- 0.34%
Asm Lithography Holdings NV (a) . 3,100 209,250
Pfeiffer Vacuum Technology
AG ADR (a) ................... 10,675 298,900
----------
508,150
OIL -- 1.97%
Halliburton Co. ................. 2,825 146,723
Oil Co Lu Koil Holding ADR ...... 2,650 243,336
Petroleum Geo-Services (a) ...... 12,025 778,619
MARKET
SHARES VALUE
<CAPTION>
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
OIL (CONTINUED)
Schlumberger Ltd. ............... 14,425 $ 1,161,212
Transocean Offshore, Inc. ....... 5,300 255,394
YPF Sociedad Anonima ADR ........ 11,100 379,481
-----------
2,964,765
RETAIL -- 0.07%
Disco SA ADR (a) ................ 2,300 102,350
SOFTWARE -- 5.35%
Cisco Systems, Inc. (a) ......... 55,788 3,110,153
Microsoft Corp. (a) ............. 25,550 3,302,337
Parametric Technology Corp. (a) . 34,725 1,645,097
-----------
8,057,587
TELECOMMUNICATIONS -- 4.89%
Comcast Corp. ................... 26,950 850,609
Ericsson L M Tel Co. ............ 15,656 584,165
Millicom International Cellular 5,500 206,938
SA (a).......................
Nokia Corp. ADR ................. 9,275 649,250
Nortel Inversora SA ADR Series B. 36,400 928,200
Northern Telecom Ltd. ........... 7,625 678,625
Quinenco SA ADR (a) ............. 22,425 257,888
Tele Communications, Inc. (a) ... 84,050 2,348,147
Telecom Argentina Stet-
France Telecom ADR Class B ... 3,750 134,062
Telefonica de Argentina SA ADR (a) 4,325 161,106
Telefonica del Peru SA ADR ...... 24,725 576,401
-----------
7,375,391
TRANSPORTATION -- 0.21%
Ryanair Holdings PLC ADR (a) .... 12,700 319,088
-----------
Total United States ........... 39,046,524
-----------
Total Common Stocks
(cost $125,674,377) ....... 142,956,701
-----------
PREFERRED STOCKS -- 0.88%
- -------------------------
BRAZIL -- 0.48%
- ---------------
ELECTRIC UTILITIES -- 0.14%
Companhia Energetica de Minas
Gerais Gerais (a) .................. 4,391,000 190,780
Companhia Paranaense de
Energia - Copel (a) ......... 1,000,000 13,575
-----------
204,355
FOOD & BEVERAGES -- 0.01%
Companhia Cervejaria Brahma (a) . 20,000 13,440
OIL -- 0.08%
Petrobras Brasileiro SA ......... 495,500 115,878
</TABLE>
See notes to the financial statements.
52
<PAGE> 53
JNL GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS (CONTINUED)
- ----------------------------
BRAZIL (CONTINUED)
- ------------------
TELECOMMUNICATIONS -- 0.25%
Ericsson Telecom SA (a) .................. $11,970,000 383,967
-----------
Total Brazil ........................... 717,640
FINLAND -- 0.36%
- ----------------
TELECOMMUNICATIONS -- 0.36%
Nokia Oy AB Series A ..................... 7,686 545,682
UNITED STATES -- 0.04%
- ----------------------
DRUGS & HEALTH CARE -- 0.04%
Fresenius Medical Care AG (a) ............ 2,900 63,075
-----------
Total Preferred Stocks
(cost $1,687,375) .................. 1,326,397
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS -- 4.25%
- -------------------------------
COMMERCIAL PAPER -- 4.25%
General Electric Capital Corp.,
6.70%, 01/02/1998 ...................... $ 6,400,000 $ 6,398,809
------------
Total Short Term Investments
(cost $6,398,809) .............. 6,398,809
------------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $133,760,561) ..................... $150,681,907
============
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
See notes to the financial statements.
53
<PAGE> 54
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION> MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 89.41%
- -----------------------
AEROSPACE & DEFENSE -- 0.40%
Gulfstream Aerospace Corp. (a)....... 12,100 $ 353,925
AIRLINES -- 2.53%
AMR Corp. (a)........................ 17,300 2,223,050
BANKS -- 7.31%
Banc One Corp........................ 15,878 862,374
BankAmerica Corp..................... 23,000 1,679,000
Bank of New York Co., Inc............ 44,600 2,578,438
Corestates Financial Corp............ 6,200 496,388
First Union Corp..................... 16,000 820,000
----------
6,436,200
BUILDING & CONSTRUCTION -- 1.02%
Masco Corp........................... 17,600 895,400
BUSINESS SERVICES -- 4.88%
Cendant Corp. (a).................... 87,000 2,990,625
Cognizant Corp....................... 29,200 1,301,225
---------
4,291,850
COMPUTERS & TECHNOLOGY -- 4.23%
Bay Networks, Inc. (a)............... 35,300 902,356
Cisco Systems, Inc. (a).............. 28,050 1,563,787
HBO & Co............................. 26,100 1,252,800
---------
3,718,943
CONGLOMERATES -- 3.30%
CBS Corp............................. 85,500 2,516,906
Fortune Brands, Inc.................. 10,500 389,156
---------
2,906,062
DRUGS & HEALTH CARE -- 15.13%
AmeriSource Health Corp. (a)......... 14,900 867,925
Bergen Brunswig Corp................. 10,000 421,250
Bristol Myers Squibb Co.............. 22,000 2,081,750
Cardinal Health, Inc................. 12,100 909,012
Eli Lilly & Co....................... 19,600 1,364,650
Guidant Corp......................... 33,500 2,085,375
McKesson Corp........................ 3,700 400,294
Pfizer, Inc.......................... 7,800 581,588
Schering Plough, Corp................ 37,600 2,335,900
Warner Lambert Co.................... 18,300 2,269,200
----------
13,316,944
ELECTRONICS -- 3.40%
Altera Corp. (a)..................... 26,000 861,250
Linear Technology Corp............... 15,000 864,375
Tellabs, Inc. (a).................... 24,000 1,269,000
----------
2,994,625
FINANCIAL SERVICES -- 5.65%
Charles Schwab Corp.................. 17,850 748,584
Federal Home Loan Mortgage Corp...... 22,300 935,206
<CAPTION> MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
FINANCIAL SERVICES (CONTINUED)
Household International, Inc......... 5,300 $ 676,081
Morgan Stanley, Dean Witter,
Discover & Co....................... 30,375 1,795,922
PaineWebber Group, Inc............... 23,700 819,131
----------
4,974,924
FOOD & BEVERAGES -- 0.65%
PepsiCo, Inc......................... 15,600 568,425
HOTELS & RESTAURANTS -- 1.04%
Mirage Resorts, Inc. (a)............. 8,500 193,375
Starwood Lodging Trust Co............ 12,500 723,438
----------
916,813
HOUSEHOLD APPLIANCES &
FURNISHINGS -- 2.39%
Sunbeam Corp......................... 50,000 2,106,250
INDUSTRIAL MACHINERY -- 2.74%
Tyco International, Ltd.............. 53,440 2,408,140
INSURANCE -- 5.59%
American International Group, Inc.... 19,900 2,164,125
MGIC Investment Corp................. 9,400 625,100
Travelers Group, Inc................. 39,600 2,133,450
----------
4,922,675
LEISURE TIME -- 4.45%
Carnival Corp........................ 32,900 1,821,837
International Game Technology, Inc... 83,000 2,095,750
---------
3,917,587
PETROLEUM SERVICES -- 1.22%
Diamond Offshore Drilling, Inc. (a).. 13,200 635,250
Halliburton Co....................... 8,600 446,663
---------
1,081,913
POLLUTION CONTROL -- 2.00%
USA Waste Services, Inc. (a)......... 44,760 1,756,830
RETAIL -- 10.42%
CVS Corp............................. 11,300 723,906
General Nutrition Companies, Inc.(a). 29,700 1,009,800
Home Depot, Inc...................... 44,250 2,605,219
Rite Aid Corp........................ 5,000 293,438
Safeway, Inc. (a).................... 20,600 1,302,950
Staples, Inc. (a).................... 30,200 838,050
Wal-Mart Stores, Inc................. 61,000 2,405,688
---------
9,179,051
SOFTWARE -- 3.69%
America Online, Inc. (a)............. 19,000 1,694,562
Microsoft Corp. (a).................. 12,000 1,551,000
---------
3,245,562
</TABLE>
See notes to the financial statements.
54
<PAGE> 55
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
TELECOMMUNICATIONS -- 3.66%
AT&T Corp................................ 14,200 $ 869,750
Ciena Corp. (a).......................... 22,600 1,381,425
Worldcom, Inc. (a)....................... 32,000 968,000
-----------
3,219,175
TOYS -- 1.83%
Mattel, Inc.............................. 43,200 1,609,200
TRANSPORTATION -- 1.88%
Burlington Northern Santa Fe Corp........ 17,800 1,654,287
-----------
Total Common Stocks
(cost $66,939,935)..................... 78,697,831
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 10.59%
- --------------------------------
COMMERCIAL PAPER -- 9.08%
Dow Chemical Co.,
5.80%, 01/05/1998....................... $2,000,000 $ 1,998,711
Four Winds Funding Corp.,
6.06%, 01/05/1998....................... 3,000,000 2,997,980
Holland Limited Securitization,
6.30%, 01/07/1998....................... 2,000,000 1,997,900
Merrill Lynch & Co., Inc.
6.05%, 01/06/1998....................... 1,000,000 998,656
-----------
7,993,247
MONEY MARKET FUNDS -- 1.51%
State Street Global Advisor
Fund, 5.42% (b)......................... 1,329,107 1,329,107
-----------
Total Short Term Investments
(cost $9,322,354)...................... 9,322,354
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $76,262,289)........................ $88,020,185
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
55
<PAGE> 56
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 92.28%
- -----------------------
APPAREL & TEXTILES -- 0.42%
Intimate Brands, Inc. ........... 2,100 $ 50,531
AUTOMOBILES & PARTS -- 0.32%
Ford Motor Company .............. 800 38,950
BANKS -- 4.17%
BankAmerica Corp. ............... 2,000 146,000
Chase Manhattan Corp. ........... 800 87,600
First Union Corp. ............... 1,100 56,375
Mellon Bank Corp. ............... 1,000 60,625
NationsBank Corp. ............... 2,500 152,031
----------
502,631
BUILDING & CONSTRUCTION -- 0.14%
Harsco Corp. .................... 400 17,250
BUSINESS SERVICES -- 2.53%
Omnicom Group, Inc. ............. 6,200 262,725
Unisource Worldwide, Inc. ....... 3,000 42,750
----------
305,475
CHEMICALS -- 2.13%
Crompton & Knowles Corp. ........ 2,000 53,000
Du Pont EI De NeMours & Co. ..... 2,100 126,131
Imperial Chemical Industries PLC 1,200 77,925
ADR.............................. ----------
257,056
COMPUTERS & BUSINESS
EQUIPMENT -- 4.47%
Cisco Systems, Inc. (a) ......... 3,000 167,250
Dell Computer Corp. (a) ......... 1,000 84,000
HBO & Co. ....................... 3,500 168,000
Hewlett Packard Co. ............. 1,300 81,250
Wallace Computer Services, Inc. . 1,000 38,875
----------
539,375
CONGLOMERATES -- 0.55%
Fortune Brands, Inc. ............ 1,800 66,712
CONTAINERS & GLASS -- 0.91%
Crown Cork & Seal, Co. Inc. ..... 2,200 110,275
DRUGS & HEALTH CARE -- 10.56%
Bausch & Lomb, Inc. ............. 1,800 71,325
Columbia/HCA Healthcare Corp. ... 5,000 148,125
Eli Lilly & Co. ................. 3,000 208,875
Guidant Corp. ................... 2,500 155,625
Humana, Inc. (a) ................ 1,200 24,900
Oxford Health Plans, Inc. (a) ... 9,000 140,062
Pharmacia & Upjohn, Inc. ........ 1,400 51,275
Pfizer, Inc. .................... 2,500 186,406
SmithKline Beecham PLC ADR ...... 1,000 51,438
Warner Lambert Co. .............. 1,900 235,600
----------
1,273,631
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
ELECTRIC UTILITIES -- 1.95%
Central & Southwest Corp. ................. 1,400 $ 37,887
FPL Group, Inc. ........................... 900 53,269
Nipsco Industries, Inc. ................... 1,100 54,381
Teco Energy, Inc. ......................... 3,200 90,000
--------
235,537
ELECTRICAL EQUIPMENT -- 5.08%
Essex International, Inc. (a) ............. 3,000 89,250
Fisher Scientific International, Inc....... 1,600 76,400
General Electric Co. ...................... 2,800 205,450
Philips Electronics NV .................... 4,000 242,000
--------
613,100
ELECTRONICS -- 4.94%
Intel Corp. ............................... 1,000 70,250
General Signal Corp. ...................... 3,000 126,562
Lexmark International Group,
Inc. Class A (a) ....................... 2,400 91,200
Raytheon Co. (a) .......................... 1,800 90,900
Tellabs, Inc. (a) ......................... 2,000 105,750
Thermo Electron Corp. (a) ................. 2,500 111,250
--------
595,912
FINANCIAL SERVICES -- 7.71%
American Express Corp. .................... 1,500 133,875
Charles Schwab Corp. ...................... 3,500 146,781
Federal Home Loan Mortgage Corp. .......... 3,500 146,781
Federal National Mortgage Association...... 3,000 171,187
SLM Holdings Corp. ........................ 900 125,213
Travelers Group, Inc. ..................... 3,849 207,365
--------
931,202
FOOD & BEVERAGES -- 1.51%
Coca-Cola Co. ............................. 1,000 66,625
Heinz H J Co. ............................. 1,100 55,894
Sysco Corp. ............................... 1,300 59,231
--------
181,750
GAS & PIPELINE UTILITIES -- 2.15%
American WaterWorks Company, Inc........... 2,000 54,625
Houston Industries, Inc. .................. 1,000 57,063
UGI Corp. ................................. 1,700 49,831
Wicor, Inc. ............................... 1,000 46,438
Williams Cos., Inc. ....................... 1,800 51,075
--------
259,032
GAS EXPLORATION -- 0.79%
Enron Corp. ............................... 2,300 95,594
HOTELS & RESTAURANTS -- 0.86%
Marriott International, Inc. .............. 1,500 103,875
</TABLE>
See notes to the financial statements.
56
<PAGE> 57
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS(CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
HOUSEHOLD PRODUCTS -- 5.17%
Black & Decker Corp. ...................... 3,600 $140,625
Gillette Co. .............................. 1,500 150,656
Sunbeam Corp. ............................. 5,100 214,838
Tupperware Corp. .......................... 4,200 117,075
--------
623,194
INDUSTRIAL MACHINERY -- 1.43%
American Standard Cos., Inc. (a) ......... 4,500 172,406
INSURANCE -- 3.30%
Allstate Corp. ............................ 2,000 181,750
American International Group, Inc.......... 1,500 163,125
Safeco Corp. .............................. 1,100 53,625
--------
398,500
METALS -- 0.54%
Allegheny Teledyne, Inc. .................. 2,500 64,688
MUTUAL FUNDS -- 4.14%
Midcap SPDR Trust ......................... 2,500 160,547
SPDR Trust ................................ 3,500 339,281
--------
499,828
OIL -- 4.73%
Ashland, Inc. ............................. 2,400 128,850
Atlantic Richfield Co. .................... 500 40,063
British Petroleum Co. PLC ADR ............. 900 71,719
Diamond Offshore Drilling, Inc. ........... 2,000 96,250
Exxon Corp. ............................... 600 36,712
Mobil Corp. ............................... 1,600 115,500
Royal Dutch Petroleum Co. ................. 1,500 81,281
--------
570,375
PETROLEUM SERVICES -- 2.63%
Baker Hughes, Inc. ........................ 2,000 87,250
Halliburton Co. ........................... 700 36,356
Schlumberger Ltd. ......................... 2,400 193,200
--------
316,806
PLASTICS -- 1.00%
Illinois Tool Works, Inc. ................. 2,000 120,250
PUBLISHING -- 0.49%
McGraw Hill Cos., Inc. .................... 800 59,200
REAL ESTATE -- 3.31%
Alexander Haagen Properties, Inc. ......... 1,400 24,413
Grove Real Estate Asset Trust (a).......... 2,000 21,750
Koger Equity, Inc. ........................ 1,000 21,938
Mack California Realty Corp. .............. 800 32,800
Nationwide Health Properties, Inc. ........ 1,300 33,150
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
REAL ESTATE (CONTINUED)
Parkway Properties, Inc. ........ 500 $ 17,156
Public Storage, Inc. (a) ........ 1,000 29,375
Rouse Co. ....................... 1,300 42,575
Security Capital Group, Inc. (a) 2,700 87,750
SL Green Realty Corp. ........... 1,000 25,938
Spieker Properties, Inc. ........ 800 34,300
Sun Communities, Inc. ........... 800 28,750
----------
399,895
RETAIL -- 4.36%
Federated Department Stores, 1,600 68,900
Inc. (a).........................
Home Depot, Inc. ................ 3,000 176,625
Kohl's Corp. (a) ................ 2,000 136,250
Toys R Us, Inc. (a) ............. 1,600 50,300
Walgreen Co. .................... 3,000 94,125
----------
526,200
SOFTWARE -- 2.15%
Microsoft Corp. (a) ............. 800 103,400
Peoplesoft, Inc. (a) ............ 4,000 156,000
----------
259,400
TELECOMMUNICATIONS -- 4.09%
AT&T Corp. ...................... 2,000 122,500
Alltel Corp. .................... 1,300 53,381
Bell Atlantic Corp. ............. 1,000 91,000
Bellsouth Corp. ................. 1,500 84,469
GTE Corp. ....................... 1,200 62,700
Lucent Technologies, Inc. ....... 1,000 79,875
----------
493,925
TOBACCO -- 3.75%
Philip Morris Cos., Inc. ........ 3,800 172,188
RJR Nabisco Holdings Corp. ...... 4,700 176,250
UST, Inc. ....................... 2,800 103,425
----------
451,863
----------
Total Common Stocks
(cost $9,651,216) ........... 11,134,418
----------
PREFERRED STOCKS -- 2.31%
- -------------------------
GAS & PIPELINE UTILITIES -- 0.41%
MCN Energy Group, Inc. .......... 800 50,000
HOTELS & RESTAURANTS -- 0.50%
Wendy's Financing, Inc. ......... 1,100 60,500
INSURANCE -- 0.44%
Jefferson Pilot Corp. ........... 500 53,500
OIL -- 0.16%
Lomak Financial Trust ........... 400 18,800
</TABLE>
See notes to the financial statements.
57
<PAGE> 58
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS (CONTINUED)
- ----------------------------
PUBLISHING -- 0.35%
Golden Books Financial Trust .............. 800 $ 41,700
RETAIL -- 0.45%
Kmart Financing I ......................... 1,050 54,206
--------
Total Preferred Stocks
(cost $266,796) ....................... 278,706
--------
<CAPTION>
PRINCIPAL
AMOUNT
------
<S> <C> <C>
CONVERTIBLE BONDS -- 0.68%
- ---------------------------
HOTELS & RESTAURANTS -- 0.41%
Capstar Hotel Co. .........................
4.75%, 10/15/2000..................... $ 50,000 49,812
RETAIL -- 0.27%
Home Depot, Inc.
3.25%, 10/15/2004....................... 25,000 32,844
Total Convertible Bonds
(cost $75,643)....................... 82,656
--------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS -- 4.73%
- -------------------------------
MONEY MARKET FUNDS -- 4.73%
State Street Global Advisor
Fund, 5.42%, (b) .................... $ 285,074 $ 285,074
State Street Global Advisor
Government Fund, 5.30%, (b) ......... 285,074 285,074
-----------
Total Short Term
Investments
(cost $570,148) ............... 570,148
-----------
TOTAL INVESTMENTS -- 100%
(cost $10,563,803) ....................... $12,065,928
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
58
<PAGE> 59
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF CALL OPTIONS WRITTEN
DECEMBER 31, 1997
<TABLE>
<CAPTION>
CONTRACTS
(100 SHARES MARKET
PER CONTRACT) VALUE
------------- -----
<S> <C> <C>
3 Atlantic Richfield Co.
Expiration January 1998, Exercise Price $80.00 $ (581)
-----------
Total Call Options Written
(Premiums received $1,038).......... $ (581)
===========
</TABLE>
See notes to the financial statements.
59
<PAGE> 60
JNL/EAGLE SMALLCAP EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 92.76%
- -----------------------
APPAREL & TEXTILES -- 3.78%
Barry R.G. Corp. (a) ............ 17,000 $ 197,625
Genesco, Inc. (a) ............... 27,000 344,250
----------
541,875
BUILDING & CONSTRUCTION -- 1.05%
Lennar Corp. .................... 7,000 150,938
BUSINESS SERVICES -- 13.42%
CDI Corp. (a) ................... 10,000 457,500
Interim Services, Inc. (a) ...... 20,000 517,500
MPW Industrial Services Group, Inc. (a) 35,000 315,000
RCM Technologies, Inc. (a) ...... 20,000 340,000
Wackenhut Corp. Class B ......... 14,000 295,750
----------
1,925,750
COMMERCIAL SERVICES -- 2.91%
Steiner Leisure Ltd. (a) ........ 13,500 416,813
COMPUTERS & BUSINESS
EQUIPMENT -- 5.49%
Inspire Insurance Solutions, 20,000 417,500
Inc. (a).......................
Sykes Enterprises, Inc. (a) ..... 19,000 370,500
----------
788,000
DISTRIBUTION-WHOLESALE -- 2.46%
VWR Scientific Products Corp. (a) 12,500 353,125
DRUGS & HEALTH CARE -- 8.81%
Alternative Living Services, 10,000 295,625
Inc. (a).......................
Angeion Corp. (a) ............... 16,000 44,000
Horizon Health Corp. (a) ........ 15,000 348,750
Pharmerica, Inc. (a) ............ 40,000 415,000
Protein Design Labs, Inc. (a) ... 4,000 160,000
----------
1,263,375
EDUCATION -- 2.24%
Strayer Education, Inc. ......... 9,750 321,750
ELECTRICAL EQUIPMENT -- 4.87%
Coherent, Inc. (a) .............. 11,000 386,375
Pioneer Standard Electronics, ... 9,000 137,250
Inc............................
SymmetriCom, Inc. (a) ........... 15,000 174,375
----------
698,000
ELECTRONICS -- 11.35%
Computer Products, Inc. (a) ..... 20,000 452,500
Gentex Corp. (a) ................ 11,000 295,625
Oyo Geospace Corp. (a) .......... 23,000 434,125
Sawtek, Inc. (a) ................ 12,000 316,500
Trident International, Inc. (a) . 10,000 130,000
----------
1,628,750
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
FINANCIAL SERVICES -- 6.42%
Advest Group, Inc. .............. 9,000 $ 222,187
Ampex Corp. Class A (a) ......... 190,000 475,000
Legg Mason, Inc. ................ 4,000 223,750
----------
920,937
GAS EXPLORATION -- 1.48%
Chieftain International, Inc. (a) 10,000 212,500
HOTELS & RESTAURANTS -- 4.25%
Capstar Hotel Co. (a) ........... 5,000 171,563
Servico, Inc. (a) ............... 26,000 438,750
----------
610,313
HOUSEHOLD, APPLIANCES &
FURNISHINGS -- 1.43%
Furniture Brands International, 10,000 205,000
Inc. (a).......................
LEISURE TIME -- 1.64%
International Speedway Corp. 10,000 235,625
Class B.........................
NON-FERROUS METALS -- 1.90%
Imco Recycling, Inc. ............ 17,000 273,062
PETROLEUM SERVICES -- 5.55%
Gulf Island Fabrication, Inc. (a) 12,000 240,000
Marine Drilling Companies, Inc.(a) 4,100 85,075
Precision Drilling Corp. (a) .... 10,000 243,750
Pride International, Inc. (a) ... 9,000 227,250
----------
796,075
POLLUTION CONTROL -- 1.41%
Superior Services, Inc. (a) ..... 7,000 202,125
PUBLISHING -- 3.95%
Houghton Mifflin Co. ............ 4,400 168,850
World Color Press, Inc. (a) ..... 15,000 398,438
----------
567,288
REAL ESTATE -- 3.29%
LNR Property Corp. .............. 20,000 472,500
RETAIL -- 1.35%
Cash America International, Inc.. 15,000 194,062
STEEL -- 0.28%
Envirosource, Inc. (a) .......... 13,300 39,900
TELECOMMUNICATIONS -- 3.43%
Allen Telecom, Inc. (a) ......... 20,000 368,750
Wireless Telecom Group, Inc. .... 20,000 123,750
----------
492,500
----------
Total Common Stocks
(cost $11,874,817) ........ 13,310,263
----------
</TABLE>
See notes to the financial statements.
60
<PAGE> 61
JNL/EAGLE SMALLCAP EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS -- 7.24%
- -------------------------------
MONEY MARKET FUNDS -- 7.24%
State Street Global Advisor
Fund, 5.42% (b) ............... $ 519,323 $ 519,323
State Street Global Advisor
Government Fund, 5.30%(b)...... 519,323 519,323
-----------
Total Short Term Investments
(cost $1,038,646) ......... 1,038,646
-----------
TOTAL INVESTMENTS -- 100%
(cost $12,913,464) ................ $14,348,909
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
61
<PAGE> 62
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS -- 95.45%
- -----------------------
APPAREL & TEXTILES -- 1.05%
Liz Claiborne, Inc. ..................... 12,700 $ 531,019
Jones Apparel Group, Inc. (a) ... 8,400 361,200
-----------
892,219
BANKS -- 6.64%
BankAmerica Corp......................... 27,100 1,978,300
Comerica, Inc. .......................... 9,100 821,275
Fifth Third Bancorp ..................... 3,100 253,425
First Chicago NBD Corp. ................. 14,600 1,219,100
MBNA Corp. .............................. 44,500 1,215,406
Southtrust Corp. ........................ 200 12,688
SunTrust Banks, Inc. .................... 1,800 128,475
-----------
5,628,669
BUILDING & CONSTRUCTION -- 0.89%
Masco Corp. ............................. 14,900 758,038
BUSINESS SERVICES -- 2.89%
Cendant Corp. (a) ....................... 25,100 862,813
Interpublic Group Companies, Inc. 15,100 752,169
Pitney Bowes, Inc. ...................... 5,000 449,688
Quintiles Transnational Corp. (a) 10,000 382,500
-----------
2,447,170
COMPUTERS & BUSINESS
EQUIPMENT--3.06%
Cisco Systems, Inc. (a) ................. 4,350 242,512
Compaq Computer Corp. ................... 16,100 908,644
Dell Computer Corp. (a) ................. 7,600 638,400
EMC Corp. (a) ........................... 29,200 801,175
-----------
2,590,731
CONGLOMERATES -- 2.53%
CBS Corp. ............................... 36,800 1,083,300
Textron, Inc. ........................... 16,900 1,056,250
-----------
2,139,550
CONSUMER PRODUCTS -- 2.54%
Estee Lauder Companies, Inc. ............ 7,300 375,494
Proctor & Gamble Co. .................... 22,300 1,779,819
-----------
2,155,313
DRUGS & HEALTH CARE --12.54%
Bristol Myers Squibb Co. ................ 19,600 1,854,650
Cardinal Health, Inc. ................... 8,500 638,563
Eli Lilly & Co. ......................... 12,700 884,238
Healthsouth Corp. (a) ................... 35,600 987,900
Merck & Co., Inc. ....................... 13,200 1,402,500
Pfizer, Inc. ............................ 24,500 1,826,781
Schering Plough Corp. ................... 20,700 1,285,988
Warner Lambert Co. ...................... 14,100 1,748,400
-----------
10,629,020
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
ELECTRONICS -- 4.16%
General Electric Co. .................... 37,900 $2,780,912
Texas Instruments, Inc. ................. 16,600 747,000
----------
3,527,912
FINANCIAL SERVICES -- 6.76%
American Express Co. .................... 22,000 1,963,500
Associates First Capital Corp............ 3,700 263,162
Franklin Resources, Inc. ........ 8,400 730,275
Morgan Stanley, Dean Witter,
Discover & Co......................... 14,400 851,400
Travelers Group, Inc..................... 35,650 1,920,644
----------
5,728,981
FOOD & BEVERAGES -- 3.57%
Campbell Soup Co......................... 11,300 656,812
Coca-Cola Co. ........................... 30,500 1,084,656
ConAgra, Inc. ........................... 17,500 574,219
Sara Lee Corp. .......................... 12,600 709,537
----------
3,025,224
HOTELS & RESTAURANTS -- 1.80%
Marriott International, Inc. ............ 16,700 1,156,475
Starwood Lodging Trust .................. 6,300 364,613
----------
1,521,088
HOUSEHOLD PRODUCTS -- 2.59%
Clorox Co. .............................. 13,800 1,091,062
Colgate Palmolive Co. ................... 15,000 1,102,500
----------
2,193,562
INDUSTRIAL MACHINERY -- 3.05%
Ingersoll Rand Co. ...................... 18,700 757,350
Tyco International, Ltd. ................ 40,600 1,829,537
----------
2,586,887
INSURANCE -- 2.62%
American International Group, ........... 11,600 1,261,500
Inc......................................
Conseco, Inc............................. 21,100 958,731
----------
2,220,231
LEISURE TIME -- 1.07%
Carnival Corp. .......................... 16,300 902,611
NEWSPAPERS -- 2.33%
Gannett Co. , Inc. ...................... 31,900 1,971,819
OIL -- 2.36%
Exxon Corp. ............................. 22,400 1,370,600
Mobil Corp. ............................. 8,700 628,031
----------
1,998,631
</TABLE>
See notes to the financial statements
62
<PAGE> 63
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF INVESTMENTS(CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
PETROLEUM SERVICES -- 3.60%
Halliburton Co. ................. 28,800 $ 1,495,800
Schlumberger Ltd. ............... 19,300 1,553,650
-----------
3,049,450
RETAIL -- 11.92%
CompUSA, Inc. (a) ............... 15,300 474,300
Consolidated Stores Corp. (a) ... 17,900 786,481
Costco Cos., Inc. (a) ........... 26,500 1,182,563
CVS Corp. ....................... 30,500 1,953,906
Dayton Hudson Corp. ............. 15,000 1,012,500
Home Depot, Inc. ................ 10,300 606,412
Safeway, Inc. (a) ............... 8,900 562,925
TJX Cos., Inc. .................. 27,200 935,000
Walgreen Co. .................... 28,500 894,188
Wal-Mart Stores, Inc. ........... 43,000 1,695,813
-----------
10,104,088
SAVINGS & LOAN -- 1.60%
Washington Mutual, Inc. ......... 21,200 1,352,825
SOFTWARE -- 9.04%
BMC Software, Inc. (a) .......... 15,200 997,500
Computer Associates
International, Inc. .......... 22,500 1,189,687
Compuware Corp. (a) ............. 17,400 556,800
HBO & Co. ....................... 24,900 1,195,200
Microsoft Corp. (a) ............. 16,000 2,068,000
Parametric Technology Corp. (a).. 12,000 568,500
Peoplesoft, Inc. (a) ............ 27,800 1,084,200
-----------
7,659,887
TELECOMMUNICATIONS -- 5.93%
Ericsson LM Tel Co. ............. 11,200 417,900
Lucent Technologies, Inc. ....... 10,800 862,650
SBC Communications, Inc. ........ 10,500 769,125
Sprint Corp. .................... 27,000 1,582,875
Tele Communications, Inc. (a) ... 23,000 651,188
Tellabs, Inc. (a) ............... 14,100 745,538
-----------
5,029,276
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
WASTE MANAGEMENT -- 0.91%
USA Waste Services, Inc. (a) ............... 19,600 $ 769,300
-----------
Total Common Stocks
(cost $70,309,266) ................... 80,882,482
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 4.55%
- -------------------------------
MONEY MARKET FUNDS -- 0.00%
State Street Global Advisor
Fund, 5.42%, (b) ........................ $ 184 184
REPURCHASE AGREEMENTS -- 4.55%
Repurchase Agreement with United
Bank of Switzerland, 6.25%
(Collateralized by $2,452,000
U.S. Treasury Bond, 11.25%,
due 02/15/2015, market value,
$3,941,083) acquired on 12/31/1997,
due 01/02/1998 ........................... 3,857,000 3,857,000
-----------
Total Short Term Investments
(cost $3,857,184) .................... 3,857,184
-----------
TOTAL INVESTMENTS -- 100%
(cost $74,166,450) ......................... $84,739,666
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
63
<PAGE> 64
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS
December 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS -- 93.21%
- -----------------------
AEROSPACE -- 3.11%
Boeing Co. .................................... 24,740 $ 1,210,714
Northrop Grumman Corp. ........................ 7,520 864,800
Raytheon Co. (a) .............................. 8,342 411,381
TRW, Inc. ..................................... 17,060 910,578
----------
3,397,473
AGRICULTURAL MACHINERY -- 0.66%
Deere & Co. ................................... 12,380 721,909
AIRLINES -- 0.88%
Delta Air Lines, Inc. ......................... 8,070 960,330
AUTOMOBILE & PARTS -- 3.43%
Chrysler Corp. ................................ 14,855 522,710
Dana Corp. .................................... 25,800 1,225,500
Eaton Corp. ................................... 8,620 769,335
Tenneco, Inc. ................................. 31,175 1,231,413
----------
3,748,958
BANKS -- 10.02%
Banc One Corp. ................................ 17,395 944,766
BankBoston Corp. .............................. 6,100 573,019
Bankers Trust NY Corp. ........................ 9,445 1,061,972
Crestar Financial Corp. ....................... 600 34,227
First Chicago NBD Corp. ....................... 10,800 901,800
First Tennessee National Corp. ................ 5,100 340,425
JP Morgan & Co., Inc. ......................... 9,440 1,065,540
Mercantile Bancorporation, Inc. ............... 9,050 556,575
National City Corp. ........................... 7,985 525,014
PNC Bank Corp. ................................ 41,460 2,365,811
Summit Bancorp................................. 10,300 548,475
SunTrust Banks, Inc. .......................... 6,280 448,235
Union Planters Corp. .......................... 9,755 662,730
Wells Fargo & Co. ............................. 2,700 916,481
----------
10,945,070
BUILDING & CONSTRUCTION -- 0.58%
Masco Corp. ................................... 12,490 635,429
BUSINESS SERVICES -- 1.56%
NCR Corp. (a).................................. 22,330 621,053
Pitney Bowes, Inc. ............................ 12,055 1,084,197
----------
1,705,250
CHEMICALS -- 2.46%
DuPont E I DeNemours & Co. .................... 15,830 950,789
Eastman Chemical Co. .......................... 15,400 917,262
Witco Corp. ................................... 20,140 821,964
----------
2,690,015
COMPUTERS & BUSINESS
EQUIPMENT -- 7.29%
Hewlett Packard Co. ........................... 28,555 1,784,687
Intel Corp. ................................... 22,560 1,584,840
<CAPTION>
MARKET
SHARES VALUE
COMMON STOCKS (CONTINUED) ------ ------
- ------------------------
<S> <C> <C>
COMPUTERS & BUSINESS
EQUIPMENT (CONTINUED)
International Business Machines Corp........... 17,235 $ 1,802,135
Seagate Technology, Inc. (a)................... 23,565 453,626
Xerox Corp. ................................... 31,585 2,331,368
----------
7,956,656
CONSTRUCTION MACHINERY -- 0.77%
Caterpillar, Inc. ............................. 17,400 844,987
CONTAINERS & GLASS -- 1.72%
Owens Illinois, Inc. (a) ...................... 40,790 1,547,471
Temple Inland, Inc. .......................... 6,235 326,168
----------
1,873,639
DRUGS & HEALTH CARE -- 9.47%
American Home Products Corp. .................. 19,270 1,474,155
Baxter International, Inc. .................... 28,680 1,446,547
Bristol Myers Squibb Co. ...................... 16,900 1,599,162
Glaxo Wellcome PLC ............................ 11,445 547,929
Johnson & Johnson Co. ......................... 19,150 1,261,506
Merck & Co., Inc. ............................. 17,575 1,867,344
Pharmacia & Upjohn, Inc. ...................... 58,410 2,139,266
----------
10,335,909
ELECTRICAL EQUIPMENT -- 0.84%
Cooper Industries, Inc. ....................... 18,700 916,300
ELECTRONICS -- 2.63%
Emerson Electric Co. .......................... 18,305 1,033,088
General Motors Corp. Class H .................. 14,100 520,819
Texas Instruments, Inc. ....................... 29,260 1,316,700
----------
2,870,607
FINANCIAL SERVICES -- 0.98%
Beneficial Corp. .............................. 7,330 609,306
Regions Financial Corp. ....................... 11,000 464,062
----------
1,073,368
FOOD & BEVERAGES -- 6.55%
General Mills, Inc. ........................... 20,100 1,439,663
H. J. Heinz Co. ............................... 20,990 1,066,554
PepsiCo, Inc. ................................. 27,965 1,018,975
Quaker Oats Co. ............................... 22,090 1,165,247
Ralston Purina Co. (a) ........................ 7,265 675,191
Sara Lee Corp. ................................ 17,330 975,896
Whitman Corp. ................................. 30,950 806,634
----------
7,148,160
GAS EXPLORATION -- 0.80%
Occidental Petroleum Corp. .................... 29,850 874,978
</TABLE>
See notes to the financial statements.
64
<PAGE> 65
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS (continued)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
GAS & PIPELINE UTILITIES -- 1.10%
Coastal Corp. ................................ 13,725 $ 850,092
Enron Corp. .................................. 8,500 353,281
---------
1,203,373
HOTELS & RESTAURANTS -- 0.77%
ITT Corp. .................................... 10,100 837,038
HOUSEHOLD PRODUCTS -- 0.69%
Clorox Co. ................................... 7,990 631,709
Colgate Palmolive Co. ........................ 1,600 117,600
---------
749,309
INSURANCE -- 3.36%
American General Corp. ....................... 21,600 1,167,750
Aon Corp. .................................... 19,055 1,117,099
CIGNA Corp. .................................. 5,530 957,036
USF&G Corp. .................................. 19,200 423,600
---------
3,665,485
OIL -- 6.76%
Amoco Corp. .................................. 13,700 1,166,213
Atlantic Richfield Co. ....................... 13,620 1,091,303
British Petroleum Co. PLC ADR ................ 11,946 951,947
Exxon Corp. .................................. 16,380 1,002,251
Kerr McGee Corp. ............................. 8,850 560,316
Mobil Corp. .................................. 14,300 1,032,281
Tosco Corp. .................................. 28,800 1,089,000
YPF Sociedad Anonima ADR...................... 14,200 485,463
---------
7,378,774
PAPER -- 3.69%
Boise Cascade Corp. .......................... 26,780 810,095
Kimberly Clark Corp. ......................... 32,690 1,612,026
Minnesota Mining & Manufacturing Co .......... 11,505 944,129
Williamette Industries, Inc. ................. 20,690 665,959
---------
4,032,209
PETROLEUM SERVICES -- 1.40%
Elf Aquitane.................................. 26,100 1,530,113
PHOTOGRAPHY -- 2.19%
Eastman Kodak Co. ............................ 20,960 1,274,630
Polaroid Corp. ............................... 23,040 1,121,760
---------
2,396,390
POLLUTION CONTROL -- 0.91%
Browning-Ferris Industries, Inc. ............. 26,970 997,890
PUBLISHING -- 1.12%
McGraw Hill Cos., Inc. ....................... 11,425 845,450
Times Mirror Co. Class A...................... 6,100 375,150
---------
1,220,600
<CAPTION>
MARKET
SHARES VALUE
------ ------
<C> <C> <C>
COMMON STOCKS (CONTINUED)
- ------------------------
RAILROADS & EQUIPMENT -- 1.66%
Canadian National Railway Co. ................ 11,500 $ 543,375
Union Pacific Corp. .......................... 20,345 1,270,291
-----------
1,813,666
RETAIL -- 2.94%
Kmart Corp. (a) .............................. 79,600 920,375
Lowes Cos., Inc. ............................. 21,825 1,040,780
J.C. Penney, Inc. ............................ 700 42,219
Toys R Us, Inc. (a) .......................... 38,295 1,203,899
-----------
3,207,273
SAVINGS & LOAN -- 0.99%
H.F. Ahmanson & Co. ......................... 8,800 589,050
Washington Mutual, Inc. ...................... 7,675 489,761
-----------
1,078,811
SOFTWARE -- 1.42%
Computer Associates International, Inc. ...... 29,350 1,551,881
TELECOMMUNICATIONS -- 6.80%
AT&T Corp. ................................... 16,655 1,020,119
Bell Atlantic Corp. .......................... 13,130 1,194,830
Bellsouth Corp. .............................. 22,710 1,278,857
SBC Communications, Inc. ..................... 17,500 1,281,875
Sprint Corp. ................................. 26,575 1,557,959
US West, Inc. ................................ 24,250 1,094,281
-----------
7,427,921
TIRES & RUBBER -- 1.29%
Goodyear Tire & Rubber Co. ................... 22,085 1,405,158
TOBACCO -- 2.05%
Philip Morris Cos., Inc. ..................... 31,400 1,422,813
RJR Nabisco Holdings Corp. ................... 21,720 814,500
-----------
2,237,313
TRANSPORTATION -- 0.32%
Norfolk Southern Corp. ....................... 300 9,244
Ryder Systems, Inc. .......................... 10,500 343,875
-----------
353,119
-----------
Total Common Stocks
(cost $96,068,070)........................ 101,785,361
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 6.79%
MONEY MARKET FUND -- 0.00%
State Street Global Advisor Fund,
5.42%, (b)..................... $ 637 637
</TABLE>
See notes to the financial statements.
65
<PAGE> 66
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS (continued)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT TERM INVESTMENTS (CONTINUED)
- ---------------------------------
REPURCHASE AGREEMENT -- 4.97%
Repurchase agreement with United
Bank of Switzerland, 6.25%
(Collateralized by $3,445,000
U.S. Treasury Bond, 11.25%,
due 02/15/2015, market value
$5,537,072) acquired on 12/31/97,
due 01/02/1998 $ 5,420,000 $ 5,420,000
U.S. GOVERNMENT SECURITIES -- 1.82%
Federal Home Loan Mortgage Corp.
Discount Note 5.75%, 01/26/1998 2,000,000 1,992,014
------------
Total Short Term Investments
(cost $7,412,651) 7,412,651
------------
TOTAL INVESTMENTS -- 100%
(cost $103,480,721).............. $109,198,012
============
</TABLE>
- -------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
66
<PAGE> 67
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS --50.61%
- ----------------------
AEROSPACE -- 2.73%
Lockheed Martin Corp. ........... 6,200 $ 610,700
Raytheon Co. (a)................. 1 27
TRW, Inc. ....................... 10,200 544,425
United Technologies Corp. ....... 6,300 458,719
----------
1,613,871
APPAREL & TEXTILES -- 1.28%
Liz Claiborne, Inc. ............. 7,000 292,688
VF Corp. ........................ 10,100 463,969
----------
756,657
AUTOMOBILES & PARTS -- 2.07%
Ford Motor Company............... 12,900 628,069
General Motors Corp. ............ 9,800 594,125
----------
1,222,194
BANKS -- 3.87%
BankAmerica Corp. ............... 3,000 219,000
Charter One Financial, Inc. ..... 7,800 492,375
Chase Manhattan Corp. ........... 6,100 667,950
KeyCorp ......................... 8,200 580,663
Mellon Bank Corp. ............... 5,400 327,375
----------
2,287,363
CHEMICALS -- 2.80%
Dow Chemical Co. ................ 4,500 456,750
PPG Industries, Inc. ............ 10,000 571,250
Rohm & Haas Co. ................. 6,500 622,375
----------
1,650,375
COMPUTERS & BUSINESS
EQUIPMENT -- 2.23%
International Business Machines 6,600 690,112
Corp. .........................
Xerox Corp. ..................... 8,500 627,406
----------
1,317,518
CONGLOMERATES -- 0.80%
ITT Industries, Inc. ............ 15,000 470,625
DRUGS & HEALTH CARE -- 1.92%
Columbia/HCA Healthcare Corp. ... 20,500 607,312
Wellpoint Health Networks, Inc. 12,500 528,125
(a)............................ ----------
1,135,437
ELECTRIC UTILITIES -- 3.06%
First Energy Corp. .............. 22,700 658,300
GPU, Inc. ....................... 14,000 589,750
Peco Energy Co. ................. 23,100 560,175
----------
1,808,225
ELECTRICAL EQUIPMENT -- 0.76%
Cooper Industries, Inc. ......... 9,200 450,800
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
ELECTRONICS -- 1.04%
Harris Corp. .................... 13,400 $ 614,725
FINANCIAL SERVICES -- 1.64%
American Financial Group, Inc. .. 8,900 358,781
Beneficial Corp. ................ 7,300 606,812
----------
965,593
GAS EXPLORATION -- 1.13%
Occidental Petroleum Corp. ...... 22,800 668,325
HOUSEHOLD APPLIANCES &
FURNISHINGS -- 0.81%
Maytag Corp. .................... 12,800 477,600
INDUSTRIAL MACHINERY -- 0.75%
Parker Hannifin Corp. ........... 9,600 440,400
INSURANCE -- 4.76%
Aetna, Inc. ..................... 8,700 613,894
American General Corp. .......... 11,000 594,687
CIGNA Corp. ..................... 3,400 588,412
Hartford Financial Services 6,600 617,513
Group, Inc. .....................
TransAmerica Corp. .............. 3,700 394,050
----------
2,808,556
LIQUOR -- 0.86%
Anheuser Busch Cos., Inc. ....... 11,600 510,400
MINING -- 1.02%
Phelps Dodge Corp. .............. 9,700 603,825
OIL & GAS -- 2.82%
Ashland, Inc. ................... 9,800 526,137
Chevron Corp. ................... 7,400 569,800
Phillips Petroleum Co. .......... 11,700 568,913
----------
1,664,850
PAPER -- 0.74%
Mead Corp. ...................... 15,600 436,800
PHOTOGRAPHY -- 0.70%
Polaroid Corp. .................. 8,500 413,844
RETAIL -- 1.76%
Federated Department Stores, 10,800 465,075
Inc. (a).........................
Kmart Corp. (a).................. 49,400 571,188
----------
1,036,263
STEEL -- 0.74%
Nucor Corp. ..................... 9,100 439,644
TELECOMMUNICATIONS -- 5.61%
AT&T Corp. ...................... 11,000 673,750
GTE Corp. ....................... 11,500 600,875
</TABLE>
See notes to the financial statements.
67
<PAGE> 68
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
TELECOMMUNICATIONS (CONTINUED)
SBC Communications, Inc. ........ 8,600 $ 629,950
Sprint Corp. .................... 12,000 703,500
U S West Communications Inc. (a). 15,600 703,950
-----------
3,312,025
TOBACCO -- 2.05%
Philip Morris Cos. Inc. ......... 13,000 589,063
RJR Nabisco Holdings Corp. ...... 16,500 618,750
-----------
1,207,813
TOYS -- 0.84%
Hasbro, Inc. .................... 15,800 497,700
TRANSPORTATION -- 1.82%
Burlington Northern Santa Fe
Railroad....................... 5,400 501,862
CSX Corp. ....................... 10,600 572,400
-----------
1,074,262
-----------
Total Common Stocks
(cost $26,840,717)........... 29,885,690
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------
<S> <C> <C>
CORPORATE BONDS -- 14.86%
- -------------------------
AEROSPACE -- 0.52%
K & F Industries, Inc., (144a)
9.25%, 10/15/2007.............. $300,000 307,500
BANKS -- 0.57%
First Nationwide Holdings, Inc.,
(144a) 10.625%, 10/01/2003....... 300,000 335,250
BROADCASTING -- 0.60%
Capstar Broadcasting Partners,
Inc.
(step-up bond),
12.75%, 02/01/2009 (d)......... 500,000 355,000
BUILDING & CONSTRUCTION -- 0.52%
D. R. Horton, Inc.
8.375%, 06/15/2004............. 300,000 305,400
CHEMICALS -- 1.53%
LaRoche Industries, Inc., (144a)
9.50%, 09/15/2007.............. 300,000 298,500
PCI Chemicals Canada, Inc.,
(144a)9.25%, 10/15/2007........ 300,000 299,250
Pharmaceutical Fine Chemicals,
(144a) 9.75%, 11/15/2007....... 300,000 304,500
-----------
902,250
CONSUMER PRODUCTS -- 0.47%
Revlon Worldwide Corp. (144a),
Zero Coupon, 03/15/2001.......... 400,000 279,000
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
CONGLOMERATES --1.58%
Burke Industries, Inc., (144a)
10.00%, 08/15/2007............. 300,000 $ 308,250
Knology Holdings, Inc., (144a),
(step-up bond),
11.875%, 10/15/2007 (d)........ 600,000 328,500
National Equipment Services, Inc.
10.00%, 11/30/2004............. 300,000 297,000
-----------
933,750
CONTAINERS & GLASS -- 1.05%
Riverwood International Corp.,
(144a)
10.625%, 08/01/2007............ 300,000 303,940
U.S. Can Corp. Series B, (144a)
8.125%, 10/15/2006............ 300,000 317,250
-----------
621,190
DEFENSE -- 0.56%
Alliant Techsystems, Inc., (144a)
11.75%, 03/01/2003............. 300,000 328,500
ELECTRONICS -- 0.51%
Wyman-Gordon Co.
8.00%, 12/15/2007.............. 300,000 303,000
GAMING -- 1.10%
Horseshoe Gaming, Inc., Series B
12.75%, 09/30/2000............. 300,000 333,000
Rio Hotel & Casino, Inc., (144a)
9.50%, 04/15/2007.............. 300,000 318,000
-----------
651,000
MEDIA & CABLE -- 1.60%
Century Communications Corp.
9.50%, 08/15/2000.............. 250,000 261,250
Frontiervision Holdings, LP,
(144a)
(step-up bond)
11.875%, 09/15/2007 (d)..... 500,000 366,250
Rogers Cantel, Inc.
9.375%, 06/01/2008............. 300,000 316,500
-----------
944,000
PAPER -- 0.03%
Buckeye Technologies, Inc.
9.25%, 09/15/2008.............. 15,000 15,787
PETROLEUM SERVICES -- 1.50%
DI Industries, Inc.
8.875%, 07/01/2007............. 300,000 307,966
Pogo Producing Co., Series B,
(144a)
8.75%, 05/15/2007.............. 250,000 256,250
Pride Petroleum Services, Inc.
9.375%, 05/01/2007............. 300,000 322,500
-----------
886,716
</TABLE>
See notes to the financial statements.
68
<PAGE> 69
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
POLLUTION CONTROL -- 0.59%
Allied Waste Industries, Inc.
(step-up bond),
11.30%, 06/01/2007 (d)........ $ 500,000 $ 351,250
RETAIL -- 0.52%
Specialty Retailers, Inc.,
Series B, (144a)
8.50%, 07/15/2005............. 300,000 304,500
STEEL -- 0.50%
Armco, Inc., (144a)
9.00%, 09/15/2007............. 300,000 294,000
TELECOMMUNICATIONS -- 0.58%
Metronet Communications Corp.,
12.00%, 08/15/2007............ 300,000 345,000
TRANSPORTATION -- 0.53%
Continental Airlines, Inc.,
(144a)
9.50%, 12/15/2001............. 300,000 315,000
-----------
Total Corporate Bonds
(cost $8,572,904)........... 8,778,093
-----------
U.S. GOVERNMENT SECURITIES -- 32.93%
- ------------------------------------
U.S. GOVERNMENTAL AGENCIES -- 11.85%
Federal Home Loan Mortgage Corp.
6.50%, 05/01/2001............. 704,707 708,892
6.75%, 06/15/2004............. 596,854 606,179
8.00%, 09/01/2011............. 1,085,954 1,120,566
6.50%, 04/01/2012............. 727,046 728,180
7.50%, 03/01/2027............. 738,874 756,652
6.50%, 12/01/2027............. 500,000 494,215
Federal National Mortgage
Association
7.50%, 04/01/2012............. 730,730 749,678
Government National
Mortgage Association
6.50%, 12/15/2023............. 251,120 249,159
6.50%, 04/15/2026............. 1,086,048 1,074,839
7.50%, 07/15/2027............. 498,182 510,325
-----------
6,998,685
U.S. TREASURY BONDS -- 4.89%
6.04%, 05/15/2016, principal 600,000 200,774
only (c)......................
6.07%, 11/15/2016, principal 2,250,000 728,122
only (c)......................
6.08%, 11/15/2017, principal 800,000 242,688
only (c)......................
6.25%, 08/15/2023............. 1,200,000 1,236,000
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. GOVERNMENT SECURITIES
(CONTINUED)
- ---------------------------
U.S. TREASURY BONDS (CONTINUED)
6.04%, 11/15/2024, principal
only (c)....................... $1,300,000 $ 261,417
6.625%, 02/15/2027............. 200,000 217,124
-----------
2,886,125
U.S. TREASURY NOTES -- 16.19%
5.00%, 01/31/1998.............. 600,000 599,622
5.875%, 08/15/1998............. 400,000 400,564
6.375%, 01/15/1999............. 2,750,000 2,771,065
6.875%, 07/31/1999............. 1,700,000 1,730,277
6.25%, 08/31/2000.............. 1,400,000 1,418,816
6.25%, 10/31/2001.............. 600,000 610,218
6.25%, 02/15/2003.............. 1,300,000 1,329,458
5.875%, 11/15/2005............. 700,000 703,717
-----------
9,563,737
-----------
Total U.S. Government
Securities
(cost $19,105,860)......... 19,448,547
-----------
MORTGAGE BACKED SECURITIES -- 0.80%
- -----------------------------------
Prudential Home Loan Mortgage
Securities Co., Series 1993-44, Class A5
6.00%, 11/25/2023.............. 700,000 470,654
-----------
Total Mortgage Backed
Securities
(cost $458,089)............ 470,654
-----------
SHORT TERM INVESTMENTS -- 0.80%
- -------------------------------
COMMERCIAL PAPER -- 0.76%
American Express Credit Corp.
6.65%, 01/02/1998.............. 450,000 449,917
MONEY MARKET FUND -- 0.04%
State Street Global Advisor Fund,
5.42% (b)...................... 20,443 20,443
-----------
Total Short Term Investments
(cost $470,360)............ 470,360
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $55,447,930)............... $59,053,344
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividen yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
(c) The interest rate disclosed for principal only strip represents effective
yield at December 31, 1997, based upon estimated future cash flows.
(d) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
See notes to the financial statements.
69
<PAGE> 70
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS
December 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----
<S> <C> <C>
CORPORATE BONDS - 96.69%
- ------------------------
AEROSPACE - 1.84%
K & F Industries, Inc., (144a) 9.25%, 10/15/2007.................................. 1,100,000 1,127,500
AGRICULTURAL MACHINERY - 1.25%
AGCO Corp. (144a), 8.50%, 03/15/2006............................................. 750,000 766,875
APPAREL & TEXTILES - 2.31%
Pillowtex Corp., 10.00%, 11/15/2006............................................... 1,330,000 1,416,450
BANKS - 2.37%
First Nationwide Holdings, Inc.
(144a) 10.625%, 10/01/2003........................................................ 1,300,000 1,452,750
BROADCASTING - 2.83%
Capstar Broadcasting Partners,
Inc., (step-up bond), 12.75%, 02/01/2009 (a)...................................... 1,000,000 710,000
Jacor Communications Co.,
8.75%, 06/15/2007............................................................ 1,000,000 1,025,000
---------
1,735,000
BUILDING & CONSTRUCTION - 2.99%
D.R. Horton, Inc., 8.375%, 06/15/2004............................................. 1,000,000 1,017,999
Nortek, Inc., 9.125%, 09/01/2007.................................................. 500,000 503,750
Toll Corp., 8.75%, 11/15/2006..................................................... 300,000 313,500
---------
1,835,249
CHEMICALS - 8.52%
Freedom Chemical Co.,
10.625%, 10/15/2006.......................................................... 500,000 550,000
Key Plastics, Inc. (144a),
10.25%, 03/15/2007................................................................ 1,000,000 1,060,000
Laroche Industries, Inc.,
(144a), 9.50%, 09/15/2007......................................................... 1,000,000 995,000
PCI Chemicals Canada, Inc. ,
(144a) 9.25%, 10/15/2007.......................................................... 1,300,000 1,296,750
Pharmaceutical Fine Chemicals,
(144a) 9.75%, 11/15/2007.......................................................... 1,300,000 1,319,500
---------
5,221,250
COMMUNICATIONS - 12.11%
Communications Instruments, Inc.,
10.00%, 09/15/2004........................................................... 1,000,000 1,020,000
Gray Communications,
10.625%, 10/01/2006.......................................................... 1,100,000 1,188,000
Highwaymaster Communications,
13.75%, 09/15/2005........................................................... 1,000,000 1,022,500
Intermedia Communications, Inc.,
8.875%, 11/01/2007........................................................... 1,000,000 1,027,500
8.50%, 01/15/2008............................................................ 400,000 400,000
Metronet Communications Corp.,
12.00%, 08/15/2007........................................................... 1,300,000 1,495,000
Rogers Cantel Mobile, Inc.,
9.375%, 06/01/2008........................................................... 1,000,000 1,055,000
9.75%, 06/01/2016............................................................ 200,000 214,000
---------
7,422,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
CONGLOMERATES - 3.64%
Burke Industries, Inc., (144a),
10.00%, 08/15/2007................................................................ $1,000,000 1,027,500
Knology Holdings, Inc., (144a)
(step-up bond) 11.875%, 10/15/2007 (a).. .................................... 2,200,000 1,204,500
---------
2,232,000
CONSUMER PRODUCTS - 2.39%
Revlon Worldwide Corp. (144a),
Zero Coupon, 03/15/2001........................................................... 1,800,000 1,255,500
Simmons Co., 10.75%, 04/15/2006.................................................. 200,000 210,500
---------
1,466,000
DEFENSE - 1.79%
Alliant Techsystems, Inc., (144a)
11.75%, 03/01/2003............................................................. 1,000,000 1,095,000
DRUGS & HEALTH CARE - 1.74%
Leiner Health Products (144a)
9.625%, 07/01/2007........................................................... 1,000,000 1,065,000
ELECTRONICS - 2.80%
Tracor, Inc. (144a), 8.50%, 03/01/2007............................................ 700,000 707,000
Wyman-Gordon Co.,
8.00%, 12/15/2007............................................................ 1,000,000 1,010,000
---------
1,717,000
FOOD & BEVERAGES - 1.44%
International Home Foods, Inc.,
10.375%, 11/01/2006.......................................................... 700,000 770,000
Keebler Corp., 10.75%, 07/01/2006 100,000 112,750
---------
882,750
GAMING - 3.55%
Harvey's Casino Resorts,
10.625%, 06/01/2006.......................................................... 200,000 217,000
Horseshoe Gaming, Inc., Series
B, 12.75%, 09/30/2000............................................................. 800,000 888,000
Rio Hotel & Casino, Inc. (144a)
10.625%, 07/15/2005.......................................................... 600,000 649,500
9.50%, 04/15/2007............................................................ 400,000 424,000
---------
2,178,500
HOTELS & RESTAURANTS - 2.15%
Sun International Hotels, Ltd.,
8.625%, 12/15/2007........................................................... 1,300,000 1,319,500
INDUSTRIAL MACHINERY - 2.27%
Day International Group, Inc.,
Series B, 11.125%, 06/01/2005.................................................. 100,000 108,000
National Equipment Services,
Inc., 10.00%, 11/30/2004.......................................................... 1,300,000 1,287,000
---------
1,395,000
LEISURE TIME - 1.73%
Hollywood Theaters, Inc.,
10.625%, 08/01/2007.......................................................... 1,000,000 1,062,500
</TABLE>
See notes to the financial statements.
70
<PAGE> 71
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
MEDIA & CABLE - 6.97%
Century Communications Corp.
9.75%, 02/15/2002........... $400,000 $420,000
9.50%, 03/01/2005........... 100,000 106,000
8.875%, 01/15/2007.......... 500,000 515,000
Frontiervision,11.00%,10/15/2006. 400,000 444,000
Frontiervision Holdings, LP,
(144a) (step-up bond),
11.875%, 09/15/2007 (a)..... 1,000,000 732,500
Jones Intercable, Inc., 9.625%,
03/15/2002.................. 425,000 455,812
Marcus Cable Co.,
11.875%,10/01/2005............... 735,000 799,313
Rogers Cablesystems Limited
9.625%, 08/01/2002.......... 650,000 690,625
10.00%, 03/15/2005.......... 100,000 110,000
---------
4,273,250
PACKAGING - 5.63%
Huntsman Packaging Corp.,
8.625%, 10/01/2007.......... 1,000,000 1,020,000
Riverwood International Corp.,
10.625%, 8/01/2007.......... 1,000,000 1,013,132
Stone Container Corp., 12.25%,
04/01/2002.................. 1,400,000 1,417,500
---------
3,450,632
PETROLEUM SERVICES - 12.57%
COHO Energy, Inc., 8.875%,
10/15/2007.................. 1,000,000 1,000,000
Cross Timbers Oil Co.,
8.75%, 11/01/2009........... 1,000,000 1,020,000
DI Industries, Inc., 8.875%,
07/01/2007....................... 1,000,000 1,026,552
Newpark Resources, Inc.,
8.625%, 12/15/2007.......... 1,000,000 1,015,000
Ocean Energy, Inc. (144a),
8.875%,
07/15/2007.................. 1,000,000 1,062,500
Parker Drilling Co., Series B,
9.75%,
11/15/2006.................. 700,000 750,750
Pride Petroleum Services, Inc.,
9.375%, 05/01/2007.......... 1,000,000 1,075,000
Veritas DGC, Inc., 9.75%,
10/15/2003....................... 700,000 756,000
---------
7,705,802
POLLUTION CONTROL - 2.09%
Allied Waste Industries, Inc.
(step-up bond),
11.30%, 06/01/2007 (a)... 1,000,000 702,500
Norcal Waste System, Inc.,
Series B,
(step-up bond), 13.50%,
11/15/2005....................... 500,000 580,000
---------
1,282,500
PRINTING & PUBLISHING - 0.86%
Hollinger International
Publishing, Inc.,
9.25%, 03/15/2007........... 500,000 525,000
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
Retail - 4.49%
Finlay Enterprises, Inc.,
(step-up bond),
12.00%, 05/01/2005 (a)......$ 400,000 $ 394,000
Specialty Retailers, Inc.,
Series B (144a),
8.50%, 07/15/2005........... 1,300,000 1,319,500
Stater Brothers Holdings, Inc.,
9.00%, 07/01/2004........... 1,000,000 1,040,000
---------
2,753,500
STEEL - 4.28%
Armco, Inc., (144a) 9.00%,
09/15/2007....................... 1,300,000 1,274,000
Carpenter W.R. North America Inc.,
(144a), 10.625%, 06/15/2007...... 1,000,000 1,035,000
NS Group, Inc., 13.50%,
07/15/2003....................... 270,000 313,200
---------
2,622,200
TOBACCO - 1.22%
Dimon, Inc., 8.875%, 06/01/2006.. 700,000 745,255
TRANSPORTATION - 0.86%
Continental Airlines, Inc.,
(144a)
9.50%, 12/15/2001........... 500,000 525,000
---------
Total Corporate Bonds
(cost $57,738,230)..... 59,273,463
----------
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS - 0.65%
- ---------------------
CHEMICALS - 0.11%
General Chemical Group, Inc. .... 2,500 66,875
COMMUNICATIONS - 0.02%
Highwaymaster Communications,
Inc., (c)..................... 1,000 12,000
COMPUTER SERVICES - 0.11%
Bell & Howell Co. (c)............ 2,700 65,306
CONTAINERS - 0.10%
U.S. Can Corp. (c)............... 3,800 64,125
PAPER - 0.16%
Buckeye Technologies, Inc. (c)... 2,100 97,125
STEEL - 0.15%
NS Group, Inc. (c)............... 5,264 90,146
---------
Total Common Stocks
(cost $276,910)........ 395,577
---------
</TABLE>
See notes to the financial statements.
71
<PAGE> 72
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS - 1.11%
- ------------------------
BROADCASTING - 1.11%
American Radio Systems Corp.
(144a)
(cost $572,315)................ 5,689 $ 682,680
---------
WARRANTS & RIGHTS - 0.01%
- -------------------------
INDUSTRIAL MACHINERY - 0.01%
Terex Corp. Rights
(cost $831).................... 400 5,800
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 1.54%
- ------------------------------
COMMERCIAL PAPER - 1.51%
American Express Credit Corp.,
6.65%, 01/02/1998................ $ 300,000 $ 299,945
Ford Motor Credit Co., 6.14%,
01/02/1998.................... 625,000 624,893
---------
924,838
MONEY MARKET FUNDS - 0.03%
State Street Global Advisor
Fund, 5.42%, (b).............. 20,806 20,806
---------
Total Short Term Investments
(cost $945,644)........ 945,644
---------
TOTAL INVESTMENTS - 100%
- ------------------------
(cost $59,533,930)............... $61,303,164
===========
</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, 1997.
(c) Non-income producing security.
See notes to the financial statements.
72
<PAGE> 73
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 100%
- -----------------------
CAPTIVE FINANCE - 19.29%
American Express Credit Corp.
6.65%, 01/02/1998.............. $1,275,000 $1,274,764
5.50%, 01/06/1998.............. 75,000 74,943
320,000 318,960
5.85%, 01/21/1998..............
Chrysler Financial Corp.
5.60%, 02/27/1998.............. 725,000 718,572
5.70%, 03/06/1998.............. 265,000 262,315
Ford Motor Credit Co.
5.63%, 01/06/1998.............. 300,000 299,765
5.80%, 01/14/1998.............. 340,000 339,288
5.74%, 02/06/1998.............. 350,000 347,991
5.71%, 03/26/1998.............. 465,000 458,805
General Motors Acceptance Corp.
5.83%, 01/22/1998.............. 125,000 124,575
5.54%, 02/02/1998.............. 150,000 149,261
5.56%, 02/02/1998.............. 300,000 298,517
5.74%, 02/09/1998.............. 125,000 124,223
5.62%, 02/17/1998.............. 185,000 183,643
5.63%, 03/02/1998.............. 200,000 198,123
5.60%, 03/20/1998.............. 500,000 493,933
John Deere Capital Corp.
5.56%, 01/12/1998.............. 250,000 249,575
5.56%, 01/14/1998.............. 407,000 406,183
Sears Roebuck Acceptance Corp.
5.56%, 01/20/1998.............. 200,000 199,413
5.73%, 02/10/1998.............. 200,000 198,727
5.72%, 02/18/1998.............. 250,000 248,093
5.53%, 02/23/1998.............. 400,000 396,743
5.62%, 03/02/1998.............. 500,000 495,317
5.54%, 03/04/1998.............. 205,000 203,044
---------
8,064,773
CASINOS - 1.61%
Circus Circus Enterprises, Inc.
5.89%, 01/07/1998.............. 675,000 674,337
CHEMICALS - 3.76%
DuPont E I DeNemours & Co.
5.49%, 02/03/1998.............. 455,000 452,710
5.80%, 02/03/1998.............. 610,000 606,757
5.67%, 03/05/1998.............. 221,000 218,807
5.70%, 04/09/1998.............. 300,000 295,345
---------
1,573,619
COMPUTERS - 3.81%
International Business Machines
Credit Corp.
5.79%, 01/12/1998.............. 500,000 499,115
5.71%, 01/15/1998.............. 505,000 503,879
5.71%, 02/04/1998.............. 292,000 290,425
5.73%, 02/13/1998.............. 300,000 297,947
---------
1,591,366
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- ----------------------------
CONSUMER FINANCE - 18.23%
American General Financial Corp.
5.54%, 01/12/1998.............. $ 285,000 $ 284,518
5.54%, 01/14/1998.............. 280,000 279,440
5.70%, 04/09/1998.............. 400,000 393,793
Beneficial Corp.
5.70%, 01/21/1998.............. 175,000 174,446
5.58%, 02/17/1998.............. 135,000 134,017
5.58%, 02/23/1998.............. 1,000,000 991,785
5.60%, 03/09/1998.............. 200,000 197,916
Heller Financial, Inc.
5.65%, 01/05/1998.............. 200,000 199,874
5.56%, 01/08/1998.............. 510,000 509,449
5.90%, 01/09/1998.............. 390,000 389,489
5.58%, 01/20/1998.............. 125,000 124,632
5.73%, 03/09/1998.............. 170,000 168,187
5.58%, 03/19/1998.............. 400,000 395,226
Household Financial Corp.
5.55%, 01/16/1998.............. 1,210,000 1,207,202
5.55%, 01/21/1998.............. 100,000 99,692
5.59%, 02/03/1998.............. 355,000 353,181
Norwest Financial, Inc.
5.53%, 01/15/1998.............. 225,000 224,516
5.53%, 02/06/1998.............. 410,000 407,733
5.68%, 02/10/1998.............. 470,000 467,034
5.59%, 02/23/1998.............. 225,000 223,148
5.67%, 03/17/1998.............. 400,000 395,275
---------
7,620,553
CONSUMER PRODUCTS - 3.86%
Conagra, Inc.
6.15%, 01/05/1998.............. 400,000 399,727
6.20%, 01/05/1998.............. 102,000 101,930
6.27%, 01/07/1998.............. 135,000 134,858
7.25%, 01/07/1998.............. 100,000 99,879
Procter & Gamble Co.
6.50%, 01/06/1998.............. 880,000 879,206
---------
1,615,600
DRUGS & HEALTH CARE - 6.35%
A H Robins Co., Inc.
5.70%, 03/13/1998.............. 850,000 840,445
Allergan, 6.05%, 02/17/1998...... 900,000 892,891
Schering Corp.
5.52%, 01/13/1998.............. 805,000 803,519
5.67%, 02/04/1998.............. 117,000 116,373
---------
2,653,228
FINANCIAL SERVICES - 5.76%
AC Acquisition Holding Co.
5.70%, 02/18/1998.............. 750,000 744,300
</TABLE>
See notes to the financial statements.
73
<PAGE> 74
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Merrill Lynch & Co.
5.62%, 01/02/1998.............. $ 200,000 $ 199,969
5.74%, 01/05/1998.............. 299,000 298,809
5.61%, 01/21/1998.............. 280,000 279,127
5.65%, 01/30/1998.............. 100,000 99,545
5.58%, 03/17/1998.............. 350,000 345,931
5.71%, 04/30/1998.............. 250,000 245,281
5.71%, 06/17/1998.............. 200,000 194,702
---------
2,407,664
FOOD & BEVERAGES - 1.16% H J Heinz Co.
5.55%, 06/22/1998.............. 500,000 486,742
GAS & PIPELINE UTILITIES - 0.99%
Consolidated Natural Gas Co.
6.20%, 01/07/1998.............. 415,000 414,571
INDEPENDENT FINANCE - 11.53%
Associates Corp. of North America
5.75%, 01/22/1998.............. 618,000 615,927
5.60%, 01/30/1998.............. 500,000 497,744
5.68%, 04/06/1998.............. 420,000 413,705
CIT Group Holdings, Inc.
5.59%, 02/20/1998.............. 500,000 496,118
5.58%, 03/03/1998.............. 700,000 693,381
5.58%, 03/27/1998.............. 500,000 493,412
General Electric Capital Corp.
5.59%, 02/17/1998.............. 578,000 573,782
5.54%, 03/04/1998.............. 300,000 297,138
5.61%, 03/23/1998.............. 158,000 156,006
5.65%, 05/19/1998.............. 300,000 293,502
5.59%, 08/04/1998.............. 300,000 289,985
---------
4,820,700
INSURANCE - 3.67% USAA Capital Corp.
5.52%, 01/05/1998.............. 150,000 149,908
5.50%, 01/06/1998.............. 363,000 362,723
5.52%, 01/06/1998.............. 220,000 219,831
5.68%, 01/26/1998.............. 300,000 298,817
5.73%, 02/13/1998.............. 505,000 501,544
---------
1,532,823
LEISURE TIME - 2.69%
Walt Disney Co.
6.00%, 01/05/1998.............. 300,000 299,800
6.50%, 01/05/1998.............. 200,000 199,856
5.64%, 03/19/1998.............. 282,000 278,598
5.56%, 06/24/1998.............. 355,000 345,460
---------
1,123,714
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- ----------------------------
MORTGAGE BANKING - 3.87%
Countrywide Home Loans, Inc.
5.85%, 01/26/1998.............. $ 400,000 $ 398,375
5.87%, 01/26/1998.............. 600,000 597,554
5.62%, 01/30/1998.............. 250,000 248,868
5.82%, 01/30/1998.............. 375,000 373,242
-----------
1,618,039
PACKAGING - 1.43%
Crown Cork & Seal, Inc.
6.02%, 02/18/1998.............. 377,000 373,974
5.97%, 03/12/1998.............. 225,000 222,388
-----------
596,362
PUBLISHING - 3.86%
McGraw Hill, Inc.
5.75%, 01/20/1998.............. 750,000 747,724
5.70%, 02/09/1998.............. 300,000 298,148
5.58%, 02/10/1998.............. 175,000 173,915
5.67%, 03/19/1998.............. 400,000 395,149
-----------
1,614,936
TELECOMMUNICATIONS - 6.45%
Ameritech Corp.
5.80%, 01/29/1998.............. 495,000 492,767
Bellsouth Telecommunications,
Inc.
6.05%, 01/09/1998.............. 550,000 549,261
GTE Corp.
6.07%, 01/23/1998.............. 700,000 697,403
6.30%, 01/23/1998.............. 100,000 99,615
6.52%, 01/28/1998.............. 250,000 248,777
6.05%, 02/20/1998.............. 112,000 111,059
6.07%, 02/20/1998.............. 400,000 396,628
6.12%, 02/20/1998.............. 100,000 99,150
-----------
2,694,660
UTILITIES - 1.68%
Florida Power Co.
5.75%, 02/19/1998.............. 710,000 704,443
-----------
Total Commercial Paper
(cost $41,808,130).... 41,808,130
-----------
MONEY MARKET FUND - 0.00%
State Street Global Advisor Fund
5.16% (a) (cost $1,944)....... 1,944 1,944
-----------
TOTAL INVESTMENTS - 100%
(cost $41,810,074)............... $41,810,074
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Dividend yields change daily to reflect current market conditions. Rate
shown is the quoted yield as of December 31, 1997.
See notes to the financial statements.
74
<PAGE> 75
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS -- 36.75%
- -------------------------
GERMANY -- 1.86%
- ----------------
BANKS -- 1.48%
Bundesrepublik Deutschland,
6.50%, 07/04/2027................................... $ 990,000 $596,108
BUSINESS SERVICES -- 0.38%
Treuhandanstalt, 7.375%, 12/02/2002 ..................... 250,000 154,173
--------
Total Germany......................................... 750,281
UNITED STATES -- 34.89%
- -----------------------
AEROSPACE INDUSTRIES -- 0.40%
Talley Industries, 10.75%, 10/15/2003.................... 150,000 159,750
BANKS -- 2.34%
Banc One Corp., 7.60%, 05/01/2007........................ 600,000 644,922
Malayan Banking Berhad, NY,
7.125%, 09/15/2005.................................. 210,000 190,645
Midland Bank PLC, 7.65%, 05/01/2025...................... 100,000 108,706
--------
944,273
BROADCASTING -- 1.13%
Cablevision Systems Corp.,
10.50%, 05/15/2016 (d).............................. 250,000 291,250
SFX Broadcasting, Inc.,
10.75%, 05/15/2006.................................. 150,000 164,625
--------
455,875
BUILDING & CONSTRUCTION -- 1.35%
Nortek, Inc., 9.125%, 09/01/2007......................... 250,000 251,875
Southdown, Inc. Series B,
10.00%, 03/01/2006.................................. 125,000 137,188
Synthetic Industries, Inc. (144a),
09.25%, 02/15/2007..................................... 150,000 157,500
--------
546,563
BUSINESS SERVICES -- 1.29%
Iron Mountain, Inc.,
10.125%, 10/01/2006................................. 150,000 165,000
Ryder Trucks, Inc.,
10.00%, 12/01/2006 (d).............................. 200,000 200,000
Williams Scotsman, Inc. (144a),
9.875%, 06/01/2007.................................. 150,000 154,500
--------
519,500
CAPITAL GOODS -- 0.20%
Alvey Systems, Inc.
11.375%, 01/31/2003................................... 75,000 81,750
CHEMICALS -- 0.26%
Radnor Holdings Inc.,
10.00%, 12/01/2003.................................. 100,000 103,750
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
UNITED STATES (CONTINUED)
- -------------------------
CONGLOMERATES -- 1.27%
Burke Industries, Inc.,
10.00%, 08/15/2007.................................. $ 250,000 $ 256,875
Insilco Corp., 10.25%, 08/15/2007........................ 150,000 157,125
Polymer Group, Inc.,
9.00%, 07/01/2007................................... 100,000 99,750
----------
513,750
CONSUMER GOODS -- 0.90%
Coleman Holdings, Inc., Zero
Coupon, 05/15/2001.................................. 300,000 199,500
International Knife & Saw, Inc.
11.375%, 11/15/2006................................. 150,000 162,000
----------
361,500
CONTAINERS & GLASS -- 1.29%
Stone Container Corp.,
12.25%, 04/01/2002.................................. 250,000 253,125
Plastic Containers, Inc.,
10.00%, 12/15/2006.................................. 250,000 268,028
----------
521,153
COSMETICS & TOILETRIES -- 0.76%
French Fragrances, Inc. (144a),
10.375%, 05/15/2007................................. 125,000 131,250
Revlon Worldwide Corp. (144a),
Zero Coupon, 03/15/2001............................. 250,000 174,375
----------
305,625
DRUGS & HEALTH CARE -- 1.74%
Eye Care Centers of America, Inc.,
12.00%, 10/01/2003.................................. 200,000 216,000
Imagyn Medical Technologies, Inc.,
12.50%, 04/01/2004.................................. 250,000 236,875
Integrated Health Services, Inc.,
9.50%, 09/15/2007................................... 100,000 103,000
Packard Bioscience Co.,
9.375%, 03/01/2007.................................. 150,000 144,000
----------
699,875
ELECTRONICS -- 0.93%
Clark-Schwebel, Inc.
10.50%, 04/15/2006 (d).............................. 250,000 272,500
Foamex LP/ Foamex Cap Corp. (144a),
9.875%, 06/15/2007.................................. 100,000 102,500
----------
375,000
FINANCIAL SERVICES -- 2.78%
Aetna Services Inc.,
7.625%, 08/15/2026.................................. 200,000 210,824
Green Tree Financial Corp.,
7.07%, 09/15/2007................................... 600,000 608,185
PaineWebber Group, Inc.,
7.00%, 03/01/2000................................... 300,000 303,306
----------
1,122,315
</TABLE>
See notes to the financial statements.
75
<PAGE> 76
SOLOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (continued)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
UNITED STATES (CONTINUED)
- -------------------------
FOOD & BEVERAGES -- 1.07%
B & G Foods, Inc., 9.625%, 08/01/2007.................... 125,000 125,937
CFP Holdings, Inc.,
11.625%, 01/15/2004................................. 200,000 204,948
Dole Foods, Inc., 6.75%, 07/15/2000...................... 100,000 100,832
-------
431,717
GAMING -- 0.62%
Grand Casinos, Inc., 9.00%, 10/15/2004................... 250,000 251,250
HOTELS & RESTAURANTS -- 1.08%
Prime Hospitality Corp.,
9.75%, 04/01/2007................................... 250,000 267,500
Sun International Hotels, Ltd.
9.00%, 03/15/2007................................... 50,000 51,625
Wyndham Hotel Corp.,
10.50%, 05/15/2006.................................. 100,000 116,000
-------
435,125
HOUSEHOLD APPLIANCES &
FURNISHINGS -- 0.65%
Collins & Aikman Floorcovering
10.00%, 01/15/2007.................................. 150,000 156,750
Rayovac Corp., 10.25%, 11/01/2006........................ 98,000 106,820
-------
263,570
INDUSTRIAL MACHINERY -- 0.52%
Harnischfeger Industries, Inc.,
6.875%, 02/15/2027.................................. 200,000 208,142
LIQUOR -- 0.33%
Stroh Brewery Co., 11.10%, 07/01/2006.................... 150,000 135,000
METALS & MINING -- 0.66%
Renco Metals, Inc., 11.50%, 07/01/2003................... 250,000 265,000
PACKAGING -- 0.28%
Tekni Plex, Inc., 11.25%, 04/01/2007..................... 100,000 109,347
PAPER -- 0.47%
Doman Industries Ltd.,
8.75%, 03/15/2004................................... 200,000 191,000
PETROLEUM SERVICES -- 2.30%
Cliffs Drilling Co., 10.25%, 05/15/2003.................. 150,000 162,000
Cross Timbers Oil Co.,
9.25%, 04/01/2007................................... 150,000 156,000
Dailey Intl. Inc.,
9.75%, 08/15/2007................................... 100,000 104,250
National Energy Group, (144a),
10.75%, 11/01/2006.................................. 150,000 155,625
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- --------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
UNITED STATES (CONTINUED)
- -------------------------
PETROLEUM SERVICES (CONTINUED)
Occidental Petroleum Corp.,
9.25%, 08/01/2019................................... 150,000 $ 187,346
Parker Drilling Corp.,
9.75%, 11/15/2006................................... 150,000 160,875
----------
926,096
POLLUTION CONTROL -- 1.28%
Allied Waste Industries, Inc.
(step-up bond), 11.30%,
06/01/2007 (a)...................................... 200,000 140,500
Envirosource, Inc., 9.75%, 06/15/2003.................... 200,000 203,500
Norcal Waste System, (step-up bond),
Series B, 13.50%, 11/15/2005........................ 150,000 174,000
----------
518,000
PUBLISHING -- 1.32%
American Media Operations Inc.,
11.625%, 11/15/2004................................. 250,000 271,250
Hollinger International Publishing, Inc.
9.25%, 03/15/2007................................... 250,000 262,500
----------
533,750
RETAIL -- 3.50%
Cole National Group, Inc.,
8.625%, 08/15/2007.................................. 250,000 250,000
Jitney Jungle Stores America, Inc.,
12.00%, 03/01/2006 (d).............................. 250,000 283,750
Pueblo Xtra International,
9.50%, 08/01/2003................................... 100,000 95,250
Riddell Sports, Inc., 10.50%, 07/15/2007................. 250,000 256,875
Selmer Co. Inc. (144a),
11.00%, 05/15/2005 (d).............................. 250,000 273,750
Staples, Inc., 7.125%, 08/15/2007........................ 250,000 253,990
----------
1,413,615
SOFTWARE -- 0.27%
Printpack, Inc. (144a),
10.625%, 08/15/2006................................. 100,000 107,000
TELECOMMUNICATIONS -- 2.95%
Adelphia Communications,
10.50%, 07/15/2004.................................. 100,000 107,125
9.875%, 03/01/2007.................................. 100,000 105,250
Comcast Cellular Holdings, Inc.,
9.50%, 05/01/2007 (d)............................... 250,000 260,000
Diamond Cable Communications, PLC,
11.75%, 12/15/2005................................... 225,000 174,937
Intermedia Communications, (step-up
bond), 12.50%, 05/15/2006 (a)....................... 244,000 193,980
International CableTel, Inc., (step-up
bond), 11.50%, 02/01/2006 (a)......................... 225,000 176,625
Marcus Cable Co LP, (step-up bond),
14.25%, 12/15/2005 (a).............................. 200,000 173,000
----------
1,190,917
</TABLE>
See notes to the financial statements.
76
<PAGE> 77
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INBESTMENTS (continued)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- ------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
- ---------------------------
UNITED STATES (CONTINUED)
- -------------------------
TRANSPORTATION -- 0.95%
Coach USA, Inc., 9.375%, 07/01/2007...................... 250,000 255,625
TFM SA de CV, 1.00%, 06/15/2009 ......................... 200,000 127,000
-----------
382,625
-----------
Total United States................................. 14,072,833
-----------
Total Corporate Bonds
(cost $14,414,677)............................. 14,823,114
-----------
GOVERNMENT BONDS -- 48.90%
- --------------------------
ARGENTINA -- 2.13%
- ------------------
Argentina Floating Rate Bond,
6.688%, 03/31/2005 (b).............................. 960,000 858,384
AUSTRALIA -- 0.04%
- ------------------
Australia Government Bond,
8.75%, 08/15/2008................................... 20,000 15,711
BRAZIL -- 3.55%
- ---------------
Brazil Government Bond,
10.125%, 05/15/2027................................. 1,525,000 1,433,500
CANADA -- 1.35%
- ---------------
Canadian Government Bond
6.50%, 09/01/1998................................... 570,000 402,835
7.50%, 09/01/2000................................... 150,000 110,407
7.00%, 12/01/2006................................... 40,000 30,686
-----------
543,928
DENMARK -- 0.87%
- ----------------
Denmark Government Bond,
6.00%, 11/15/2002................................... 1,940,000 294,034
8.00%, 03/15/2006................................... 330,000 55,795
-----------
349,829
ECUADOR -- 0.34%
- ----------------
Ecuador Pars (step-up bond),
3.50%, 02/28/2025 (g)............................... 250,000 137,500
GERMANY -- 1.14%
- ----------------
Germany (Federal Republic)
5.25%, 10/20/1998................................... 820,000 460,835
MEXICO -- 4.17%
- ---------------
Mexico Global Bond,
11.375%, 09/15/2016................................. 350,000 401,844
6.25%, 12/31/2019................................... 750,000 628,096
11.50%, 05/15/2026.................................. 550,000 651,200
-----------
1,681,140
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- ------
<S> <C> <C>
GOVERNMENT BONDS (CONTINUED)
- ----------------------------
MOROCCO -- 1.50%
- ----------------
Morocco Loan Participation,
6.812%, 01/01/2009 (b).............................. $ 700,000 $ 603,750
NEW ZEALAND -- 0.83%
- --------------------
New Zealand Government Bond,
8.00%, 07/15/1998................................... 580,000 335,884
PANAMA -- 0.38%
- ---------------
Panama Government Bond,
3.75%, 07/17/2014 (b)............................... 200,000 153,000
RUSSIA -- 0.70%
- ---------------
Russia Government Bond,
6.719%, 12/02/2015.................................. 400,000 280,248
SOUTH KOREA -- 0.44%
- --------------------
Korea Development Bank,
9.60%, 12/01/2000................................... 200,000 178,686
SWEDEN -- 0.99%
- ---------------
Sweden Government Bond
11.00%, 01/21/1999.................................. 2,300,000 306,950
6.50%, 10/25/2006................................... 700,000 91,229
----------
398,179
UNITED STATES -- 28.91%
- -----------------------
U.S. GOVERNMENT AGENCIES -- 18.55%
Federal Home Loan Mortgage Corp.
10.00%, 05/15/2020................................. 50,000 41,977
6.50%, TBA (e).................................... 300,000 300,468
Federal National Mortgage Association
6.65%, 08/25/2007................................... 1,200,000 1,227,375
13.00%, 11/01/2015.................................. 15,000 11,275
7.00%, 11/18/2015................................... 1,500,000 1,528,521
10.40%, 04/25/2019.................................. 100,000 69,170
8.77%, 03/17/2020, interest only (c)................ 841,140 25,470
6.50%, 02/01/2026................................... 300,675 265,968
9.02%, 10/17/2036, interest only (c)................ 4,295,000 133,445
7.00%, TBA (e)...................................... 3,500,000 3,525,130
7.00%, TBA (e)...................................... 350,000 352,513
----------
7,481,312
U.S. TREASURY BOND -- 1.31%
- ---------------------------
6.375%, 08/15/2027 (d).............................. 500,000 527,345
U.S. TREASURY NOTES -- 9.05%
- ----------------------------
6.625%, 03/31/2002 (d).............................. 1,000,000 1,032,340
6.25%, 08/31/2002 (d)............................... 1,500,000 1,530,705
5.875%, 09/30/2002 (d).............................. 800,000 804,376
3.375%, 01/15/2007 (f).............................. 70,000 68,163
6.125%, 08/15/2007 (d).............................. 210,000 215,808
----------
3,651,392
----------
Total United States............................ 11,660,049
----------
</TABLE>
See notes to the financial statements.
77
<PAGE> 78
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (continued)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- ------
<S> <C> <C>
GOVERNMENT BONDS (CONTINUED)
- ----------------------------
VENEZUELA -- 1.56%
- ------------------
Republic of Venezuela--Par,
6.812%, 03/31/2007 (b).............................. $ 714,286 $ 628,607
-----------
Total Government Bonds
(cost $19,289,766)............................. 19,719,230
-----------
ASSET BACKED SECURITIES -- 1.36%
- --------------------------------
Airplane Pass-through Trust,
10.875%, 03/15/2019................................. 125,000 144,515
Mid State Trust, Series VI,
7.34%, 07/01/2035................................... 400,000 402,974
-----------
Total Asset Backed Securities
(cost $511,602)................................. 547,489
-----------
WARRANTS -- 0.00%
- -----------------
UNITED STATES -- 0.00%
Urohealth Systems, Inc., (cost $0)....................... 250 8
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 12.99%
- --------------------------------
GOVERNMENT BONDS -- 0.82%
Republic of Italy,
5.97%, 07/31/1998................................... $ 600,000 $ 329,266
MONEY MARKET FUND -- 0.00%
State Street Global Advisor
Fund, 5.42%, (f)...................................... 873 873
REPURCHASE AGREEMENTS -- 12.17%
Repurchase Agreement with State Street
Bank, 6.00%, (Collateralized by
$3,255,000 U.S. Treasury Note
10.625% due 08/15/2015,
market value - $4,911,637)
acquired on 12/31/97,
due 01/02/1998......................................... 4,910,000 4,910,000
-----------
Total Short Term Investments
(cost $5,232,584)........................... 5,240,139
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $39,448,629)....................................... $40,329,980
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Denotes deferred interest security that receives no coupon payments until a
predetermined date at which time the stated coupon rate becomes effective.
(b) Coupon is indexed to 6 Month Libor . Rate stated is rate in effect on
December 31, 1997.
(c) The interest rates disclosed for interest only strips represent
effective yields at December 31, 1997 based upon estimated future
cash flows.
(d) Security pledged as collateral for investments purchased on a when-issued
basis.
(e) Investment purchased on a when-issued basis.
(f) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
(g) Coupon payment periodically increases over the life of the security. Rate
stated is in effect as of December 31, 1997.
See notes to the financial statements.
78
<PAGE> 79
SALOMON BROTHERS/JNL
U.S. GOVERNMENT & QUALITY BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
-------- ----------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES - 68.49%
- -----------------------------------
U.S. GOVERNMENT AGENCY & AGENCY
BACKED ISSUES - 42.44%
Federal Home Loan Bank
5.94%, 06/13/2000..............$ 300,000 $ 300,936
Federal Home Loan Mortgage Corp.
6.00%, 09/01/2010.............. 4,021 3,991
11.75%, 01/01/2011............. 4,613 5,192
7.00%, 07/01/2011.............. 117,757 119,768
8.25%, 04/01/2017 (c).......... 420,409 441,421
8.00%, 07/01/2020.............. 1,299,841 1,361,583
5.00%, 05/15/2021.............. 1,200,000 1,117,116
6.50%, TBA (a)................. 500,000 500,547
Federal National Mortgage
Association
6.74%, 08/25/2007.............. 1,400,000 1,445,062
14.50%, 11/01/2014 (c)......... 7,675 9,447
12.50%, 08/01/2015............. 6,316 7,439
12.50%, 09/01/2015............. 23,777 28,317
13.00%, 11/01/2015 (c)......... 20,619 24,054
12.00%, 01/01/2016 (c)......... 653,015 767,905
12.00%, 01/01/2016............. 22,020 25,632
12.50%, 01/15/2016 (c)......... 333,170 392,620
11.50%, 04/01/2019............. 7,312 8,361
10.50%, 08/01/2020............. 128,212 143,357
6.50%, 03/01/2026 (c).......... 417,382 412,946
7.00%, 05/01/2026 (c).......... 325,331 328,379
6.50%, TBA (a)................. 1,500,000 1,481,250
7.00%, TBA (a)................. 100,000 100,718
7.00%, TBA (a)................. 3,800,000 3,827,284
Government National Mortgage
Association
13.50%, 07/15/2010 (c)......... 190,655 228,851
8.50%, 01/15/2018.............. 253,430 271,127
Student Loan Marketing
Association
7.50%, 03/08/2000 (c).......... 400,000 413,624
-----------
13,766,927
U.S. TREASURY BOND - 7.86%
6.625%, 02/15/2027 (c)......... 2,350,000 2,551,207
U.S. TREASURY NOTES - 18.19%
6.50%, 05/31/2001 (c).......... 100,000 102,375
6.25%, 08/31/2002.............. 100,000 102,047
5.875%, 09/30/2002............. 1,000,000 1,005,470
6.625%, 05/15/2007 (c)......... 2,150,000 2,275,646
6.125%, 08/15/2007............. 2,350,000 2,415,001
-----------
5,900,539
-----------
Total U.S. Government
Securities
(cost $21,579,527)......... 22,218,673
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------- -------
<S> <C> <C>
CORPORATE BONDS - 2.42%
- ------------------------
BANKS - 0.50%
Banc One Corp.
7.60%, 05/01/2007 (c)..........$ 150,000 $ 161,231
PETROLEUM SERVICES - 1.92%
Occidental Petroleum Corp.
9.25%, 08/01/2019 (c).......... 500,000 624,485
----------
Total Corporate Bonds
(cost $735,978)............ 785,716
----------
SHORT TERM INVESTMENTS - 29.09%
- -------------------------------
COMMERCIAL PAPER - 3.08%
UBS Finance Delaware, Inc.,
6.50%, 01/02/1998........... 1,000,000 999,819
MONEY MARKET FUND - 0.00%
State Street Global Advisor
Fund, 5.42% (b).................. 299 299
REPURCHASE AGREEMENTS - 23.70%
Repurchase agreement with J.P.
Morgan,
6.25% (Collateralized by
$2,937,000
U.S. Treasury Note, 8.75% due
05/15/2020, market value -
$3,920,895), acquired on
12/31/1997,
due 01/02/1998................. 3,844,000 3,844,000
Repurchase agreement with State
Street
Bank, 6.00% (Collateralized by
$2,550,000 U.S. Treasury Note,
10.625% due 08/15/2020,
market value - $3,926,210),
acquired on 12/31/1997,
due 01/02/1998................. 3,844,000 3,844,000
-----------
7,688,000
U.S. GOVERNMENT AGENCIES - 2.31%
Federal Home Loan Bank Discount
Note 5.75%, 01/07/1998....... 750,000 749,281
-----------
Total Short Term Investments
(cost $9,437,399).......... 9,437,399
-----------
TOTAL INVESTMENTS - 100%
(cost $31,752,904)............... $32,441,788
===========
</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, 1997.
(c) Security pledged as collateral for investments purchased on a when-issued
basis.
See notes to the financial statements.
79
<PAGE> 80
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 94.26%
----------------------
FRANCE - 0.13%
--------------
LIQUOR - 0.13%
LVMH, Louis Vuitton Moet
Hennessy...................... 990 $ 164,328
HONG KONG - 0.56%
-----------------
CONGLOMERATES - 0.56%
Hutchinson Whampoa Ltd. ......... 75,000 470,383
Swire Pacific Ltd. .............. 40,000 219,383
---------
Total Hong Kong........... 689,766
ITALY - 0.75%
-------------
BANKS - 0.44%
Banca Fideuram SPA............... 125,700 550,337
TELECOMMUNICATIONS - 0.31%
Telecom Italia SPA............... 22,900 105,697
Telecom Italia Mobile (a)........ 62,090 273,772
---------
379,469
---------
Total Italy.................... 929,806
MALAYSIA - 0.03%
----------------
INDUSTRIAL MACHINERY - 0.03%
United Engineers Ltd............. 47,900 39,901
MEXICO - 0.32%
--------------
HOUSEHOLD PRODUCTS - 0.32%
Kimberly Clark de Mexico,
SA de CV....................... 80,500 393,997
NETHERLANDS - 2.05%
-------------------
HOUSEHOLD PRODUCTS - 0.17%
Hagemeyer NV .................... 4,900 204,685
NEWSPAPERS - 1.23%
Ver Ned Uitgevers N.V. .......... 54,300 1,531,803
PUBLISHING - 0.26%
Elsevier NV ..................... 20,300 328,380
SOFTWARE - 0.39%
Getronics NV .................... 15,400 490,637
---------
Total Netherlands.............. 2,555,505
PORTUGAL - 0.96%
----------------
TELECOMMUNICATIONS - 0.96%
Telecel - Communicacoes
Pessoais SA, (a)............... 11,200 1,193,328
SOUTH AFRICA - 0.16%
--------------------
MINING - 0.16%
Anglo American Platinum Corp...... 15,300 204,356
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
-------------------------
SWEDEN - 0.82%
--------------
DRUGS & HEALTH CARE - 0.43%
Astra AB Class B................. 31,400 $ 527,954
RETAIL - 0.39%
Hennes & Mauritz AB Class B (a).. 10,000 440,811
Modern Times Group MTG
Class B (a).................. 7,800 46,663
---------
487,474
---------
Total Sweden................... 1,015,428
SWITZERLAND - 1.03%
-------------------
CONGLOMERATES - 0.10%
Sig Schweizerische Industries
AG............................ 45 123,186
DRUGS & HEALTH CARE - 0.93%
Novartis AG...................... 713 1,156,454
---------
Total Switzerland.............. 1,279,640
UNITED KINGDOM - 2.67%
----------------------
CONGLOMERATES - 2.28%
Granada Group PLC (a)............ 50,200 766,818
Rentokil Initial PLC............. 201,500 891,715
Tomkins PLC...................... 249,000 1,177,870
---------
2,836,403
TELECOMMUNICATIONS - 0.39%
Vodafone Group PLC............... 67,300 486,377
---------
Total United Kingdom........... 3,322,780
UNITED STATES - 84.78%
----------------------
AEROSPACE - 1.46%
AlliedSignal, Inc. .............. 45,600 1,775,550
United Technologies Corp......... 500 36,406
---------
1,811,956
APPAREL & TEXTILES - 0.16%
Nike, Inc. Class B............... 5,000 196,250
AUTOMOBILE & PARTS - 2.04%
Danaher Corp. ................... 40,100 2,531,313
BANKS - 6.18%
Barnett Banks, Inc. ............. 9,100 654,063
Citicorp......................... 7,800 986,213
First Union Corp................. 15,600 799,500
Mellon Bank Corp. ............... 10,200 618,375
Northern Trust Corp. ............ 8,400 585,900
</TABLE>
See notes to the financial statements.
80
<PAGE> 81
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)
-------------------------
BANKS (CONTINUED)
Norwest Corp..................... 47,500 1,834,688
Toronto Dominion Bank............ 25,100 945,956
Wells Fargo & Co. ............... 3,700 1,255,919
---------
7,680,614
BROADCASTING - 0.60%
Cox Communications, Inc. (a)..... 18,500 741,156
BUILDING & CONSTRUCTION - 0.84%
Masco Corp. ..................... 20,600 1,048,025
BUSINESS SERVICES - 4.50%
Automatic Data Processing, Inc. . 16,100 988,138
Cendant Corp. (a)................ 46,200 1,588,125
First Data Corp. ................ 47,002 1,374,809
Interpublic Group Companies, 19,250 958,891
Inc. .........................
Service Corp. International, 18,600 687,038
Inc. ......................... ---------
5,597,001
CHEMICALS - 0.15%
Great Lakes Chemical Corp. ...... 4,200 188,475
COMPUTERS & BUSINESS EQUIPMENT - 2.25%
Cisco Systems, Inc. (a).......... 13,500 752,625
Compaq Computer Corp............. 16,100 908,644
Dell Computer Corp. (a).......... 4,600 386,400
Hewlett Packard Co. ............. 12,000 750,000
---------
2,797,669
DRUGS & HEALTH CARE - 9.49%
American Home Products Corp...... 10,400 795,600
Amgen, Inc. (a).................. 6,100 330,163
Baxter International, Inc. ...... 6,700 337,931
Biogen, Inc. (a)................. 14,300 520,163
Bristol Myers Squibb Co.......... 12,400 1,173,350
Genentech, Inc. (a).............. 15,500 939,688
Healthsouth Corp. (a)............ 38,900 1,079,475
Johnson & Johnson Co. ........... 8,300 546,763
Medtronic, Inc. ................. 7,600 397,575
Merck & Co., Inc. ............... 15,300 1,625,625
Pacificare Health Systems 3,900 204,263
Class B (a)...................
Pfizer, Inc. .................... 20,600 1,535,988
Tenet Healthcare Corp. (a)....... 22,400 742,000
United Healthcare Corp........... 15,600 775,125
Warner Lambert Co. .............. 6,400 793,600
----------
11,797,309
ELECTRICAL EQUIPMENT - 2.90%
Boston Scientific Corp. (a)...... 5,900 270,663
General Electric Co. ............ 45,500 3,338,563
---------
3,609,226
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
-------------------------
UNITED STATES (CONTINUED)
-------------------------
ELECTRONICS - 4.28%
Analog Devices, Inc. (a)......... 24,100 $ 667,269
EMC Corp. (a).................... 16,000 439,000
Ericcson LM Tel Co. Class B ADR.. 3,500 130,594
Intel Corp. ..................... 6,700 470,675
Linear Technology Corp. ......... 13,000 749,125
Maxim Integrated Products, Inc.
(a)........................... 30,200 1,041,900
Molex, Inc. Class A.............. 9,468 272,205
National Semiconductor
Corp. (a)..................... 17,100 443,531
Teleflex, Inc. .................. 26,300 992,825
Xilinx, Inc. (a)................. 3,100 108,694
---------
5,315,818
FINANCIAL SERVICES - 5.71%
Corporate Express, Inc. (a)...... 21,000 270,375
Federal Home Loan Mortgage Corp.. 82,800 3,472,425
Federal National Mortgage
Association................. 33,500 1,911,594
Green Tree Financial Corp....... 9,700 254,019
H & R Block, Inc. .............. 22,300 999,319
SLM Holding Corp................ 1,300 180,863
---------
7,088,595
FOOD & BEVERAGES - 3.51%
CPC International, Inc. ......... 5,200 560,300
Coca-Cola Co. ................... 9,100 606,288
PepsiCo, Inc. ................... 30,000 1,093,125
Pioneer Hi-Bred International,
Inc. ......................... 6,900 740,025
Sara Lee Corp. .................. 16,200 912,263
Unilever NV ..................... 7,200 449,550
---------
4,361,551
HOUSEHOLD PRODUCTS - 0.54%
Procter & Gamble Co. ............ 8,400 670,410
INDUSTRIAL MACHINERY - 2.43%
Honeywell, Inc. ................. 6,200 424,700
TriMas Corp. .................... 23,600 811,250
Tyco International, Ltd. ........ 39,462 1,778,256
---------
3,014,206
INSURANCE - 9.22%
Ace Ltd. ........................ 24,200 2,335,300
Aetna, Inc. ..................... 6,900 486,881
Berkshire Hathaway, Inc. Class 34 1,564,000
A (a)......
Exel Ltd. ....................... 9,900 627,413
Fairfax Financial Holdings,
Ltd. (a)...................... 2,400 534,061
Mutual Risk Management, Ltd. .... 32,400 969,975
PartnerRe, Ltd. ................. 14,100 653,888
St. Paul Cos., Inc. ............. 5,400 443,138
Travelers Group, Inc., .......... 30,450 1,640,494
Travelers Property Casualty Corp. 13,400 589,600
UNUM Corp. ...................... 29,700 1,614,938
----------
11,459,688
</TABLE>
See notes to the financial statements.
81
<PAGE> 82
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
-------------------------
UNITED STATES (CONTINUED)
-------------------------
LEISURE TIME - 1.97%
Carnival Corp.................... 15,500 $ 858,313
Walt Disney Co. ................. 16,100 1,594,906
---------
2,453,219
MINING - 0.99%
Anglo American Platinum Corp.
Ltd. ....................... 21,218 283,409
Barrick Gold Corp. .............. 13,400 249,575
Newmont Mining Corp. ............ 23,900 702,063
---------
1,235,047
NEWSPAPERS - 1.36%
Reuters Holdings ADR............. 4,800 318,000
Tribune Co. ..................... 22,100 1,375,725
---------
1,693,725
OFFICE FURNISHINGS & SUPPLIES - 0.48%
Ikon Office Solutions, Inc. ..... 21,000 590,625
OIL - 2.23%
Mobil Corp. ..................... 14,300 1,032,281
Royal Dutch Petroleum Co. ....... 32,100 1,739,419
---------
2,771,700
PAPER - 0.74%
Kimberly Clark Corp. ............ 18,700 922,145
PETROLEUM SERVICES - 1.26%
Halliburton Co. ................. 11,200 581,700
Schlumberger Ltd. ............... 5,900 474,950
Western Atlas, Inc. (a).......... 6,900 510,600
---------
1,567,250
POLLUTION CONTROL - 0.71%
USA Waste Services, Inc. (a)..... 22,500 883,125
REAL ESTATE - 1.85%
Security Capital U.S. Realty (a). 72,500 1,029,500
Starwood Lodging Trust Co. ...... 22,000 1,273,250
---------
2,302,750
RESTAURANTS - 0.33%
McDonald's Corp.................. 8,500 405,875
RETAIL - 4.13%
Circuit City Stores, Inc. ....... 3,700 131,581
CVS Corp. ....................... 9536 610,900
Dillards Inc. ................... 17,800 627,450
Home Depot, Inc. ................ 14,450 850,744
Kohl's Corp. (a)................. 5,200 354,250
Safeway, Inc. (a)................ 19,300 1,220,725
Tag Heuer International ADR (a).. 61,900 510,675
Wal-Mart Stores, Inc. ........... 20,900 824,244
---------
5,130,569
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS (CONTINUED)
-------------------------
UNITED STATES (CONTINUED)
-------------------------
SOFTWARE - 5.02%
BMC Software, Inc. (a)........... 23,100 $1,515,938
Microsoft Corp. (a).............. 12,900 1,667,325
Network Associates, Inc. (a)..... 22,600 1,194,975
Oracle Corp. (a)................. 27,725 618,614
Parametric Technology Corp. (a).. 26,100 1,236,488
---------
6,233,340
STEEL - 0.03%
Pohang Iron & Steel Co. ADR...... 1,700 29,644
TELECOMMUNICATIONS - 5.03%
AT&T Corp........................ 14,900 912,625
Grupo Iusacell Series D ADR (a).. 60,200 918,050
MCI Communications Corp.......... 23,200 993,250
Nokia Corp. ADR.................. 14,100 985,238
Telecomunicacoes Brasileiras ADR. 5,400 628,763
Vodafone Group PLC ADR........... 17,300 1,254,250
Worldcom, Inc. (a)............... 18,500 559,625
---------
6,251,801
TOBACCO - 1.58%
Philip Morris Cos., Inc. ........ 43,400 1,966,563
TOYS - 0.58%
Mattel, Inc. .................... 19,400 722,650
TRANSPORTATION - 0.23%
Tranz Rail Holdings Ltd. ADR (a). 25,200 289,800
---------
Total United States............ 105,359,090
-----------
Total Common Stocks
(cost $99,548,528)......... 117,147,925
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------
<S> <C> <C>
SHORT TERM INVESTMENTS - 5.74%
COMMERCIAL PAPER - 3.40%
Ciesco LP
6.40%, 01/02/1998............. $ 1,264,000 1,263,775
5.87%, 01/20/1998............. 2,971,000 2,961,796
---------
4,225,571
MONEY MARKET FUND - 0.00%
State Street Global Advisor Fund
5.42%, (b).................... 1,108 1,108
</TABLE>
See notes to the financial statements.
82
<PAGE> 83
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS (CONTINUED)
----------------------------------
U.S. GOVERNMENT AGENCIES - 2.34%
Federal National Mortgage
Association,
Discount Note, 5.70%,
01/21/1998..................... $ 2,913,000 $ 2,903,776
-----------
Total Short Term Investments
(cost $7,130,455)............ 7,130,455
-----------
TOTAL INVESTMENTS - 100%
------------------------
(cost $106,678,983).............. $124,278,380
============
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
83
<PAGE> 84
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS -- 95.40%
- -----------------------
ARGENTINA -- 0.21%
- ------------------
OIL -- 0.21%
Perez Companc Class B................. 22,563 $ 161,130
AUSTRALIA -- 2.01%
- ------------------
BANKS -- 0.52%
Australia & New Zealand Bank
Group Ltd............................ 7,000 46,261
Commonwealth Bank of Australia........ 13,821 158,538
National Australia Bank............... 7,242 101,149
Westpac Banking Corp.................. 16,000 102,361
------------
408,309
BROADCASTING -- 0.30%
Publishing & Broadcasting Ltd......... 18,000 81,112
News Corp............................. 27,383 151,163
------------
232,275
CONGLOMERATES -- 0.05%
Brambles Industries, Ltd.............. 2,000 39,692
ELECTRIC UTILITIES -- 0.18%
Australia Gas & Light Co., Ltd........ 20,237 141,127
FINANCIAL SERVICES -- 0.29%
Lend Lease Corp....................... 7,403 144,747
Tab Corp. Holdings Ltd................ 18,000 84,467
------------
229,214
LIQUOR -- 0.08%
Fosters Brewing Group, Ltd............ 34,000 64,706
METALS & MINING -- 0.04%
WMC, Ltd.............................. 10,000 34,868
OIL -- 0.32%
Broken Hill Proprietary Co............ 16,156 150,048
Woodside Petroleum, Ltd............... 14,000 98,727
------------
248,775
PUBLISHING -- 0.09%
John Fairfax FXF Unit Trust........... 18,000 3,050
John Fairfax Holdings, Ltd............ 32,000 66,739
------------
69,789
TELECOMMUNICATIONS -- 0.14%
Telstra Corporation Ltd............... 51,000 107,695
------------
Total Australia..................... 1,576,450
BELGIUM -- 1.39%
- ----------------
BANKS -- 1.25%
Credit Communal Dexia................. 545 73,180
Generale de Banque.................... 566 246,329
Kredietbank........................... 1,580 663,113
------------
982,622
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
BELGIUM (CONTINUED)
- -------------------
BASIC INDUSTRY -- 0.14%
UCB SA................................ 33 $ 108,928
------------
Total Belgium......................... 1,091,550
BRAZIL -- 0.08%
- ---------------
BASIC INDUSTRY -- 0.01%
White Martins SA...................... 5,897 8,613
ENERGY -- 0.07%
Centrais Electricas Brasileiras
SA (a)............................. 1,093,300 54,369
------------
Total Brazil........................ 62,982
CANADA -- 0.30%
- ---------------
BASIC INDUSTRY -- 0.17%
Alcan Aluminum Ltd.................... 4,960 137,098
FINANCIAL COMPANIES -- 0.13%
Royal Bank of Canada.................. 1,850 98,063
------------
Total Canada........................ 235,161
CZECHOSLOVAKIA -- 0.02%
- -----------------------
TELECOMMUNICATION SERVICES -- 0.02%
SPT Telecommunications AS............. 130 13,607
DENMARK -- 0.31%
- ----------------
BANKS -- 0.30%
Den Danske Bank AB.................... 1,130 150,570
Unidanmark Series A, A/S.............. 1,130 82,954
------------
233,524
TELECOMMUNICATIONS -- 0.01%
Teledanmark Class B................... 200 12,405
------------
Total Denmark....................... 245,929
FRANCE -- 8.70%
- ---------------
BANKS -- 0.51%
Credit Commercial de France........... 1,564 107,194
Dexia France.......................... 838 97,049
Societe Generale...................... 1,420 193,470
------------
397,713
BROADCASTING -- 0.39%
Canal Plus............................ 750 139,445
Societe Television Francaise.......... 1,660 169,627
------------
309,072
BUILDING & CONSTRUCTION -- 0.13%
Groupe GTM (a)........................ 410 27,590
Lapeyre............................... 1,290 71,053
------------
98,643
</TABLE>
See notes to the financial statements.
84
<PAGE> 85
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
FRANCE (CONTINUED)
- ------------------
BUSINESS SERVICES -- 1.60%
Eaux (Cie Generale)............. 8,800 $1,228,213
Havas........................... 400 28,778
----------
1,256,991
CONTAINERS & GLASS -- 0.30%
Compagnie de Saint Gobain....... 1,650 234,402
DRUGS & HEALTH CARE -- 0.68%
L'Oreal......................... 262 102,519
Sanofi.......................... 3,879 431,824
----------
534,343
ELECTRICAL EQUIPMENT -- 0.51%
Alcatel Alsthom................. 2,240 284,722
Legrand......................... 599 119,332
----------
404,054
ELECTRONICS -- 0.40%
Schneider....................... 5,736 311,460
FOOD & BEVERAGES -- 0.33%
Danone.......................... 1,430 255,421
GAS EXPLORATION -- 0.36%
Elf Aquitaine................... 2,450 284,955
INSURANCE -- 0.45%
AXA............................. 3,151 243,818
Assurances Generales de France.. 1,996 105,761
----------
349,579
LEISURE & RECREATION -- 0.55%
Accor........................... 405 75,300
Pathe (a)....................... 370 71,805
Sodexho Alliance................ 45 23,515
Sodexho Alliance................ 480 257,047
----------
427,667
LIQUOR -- 0.07%
LVMH, Luis Vuitton
Moet Hennessy ................ 326 54,112
OIL -- 1.09%
Primagaz (Cie Des Gaz Petrole).. 755 63,100
Total Class B................... 7,237 787,611
----------
850,711
PAPER --0.16%
Gilbert SA...................... 898 128,019
RETAIL -- 1.17%
Carrefour Super Marche.......... 393 205,038
Pinault Printemps Redoute....... 1,340 714,919
----------
919,957
----------
Total France.................. 6,817,099
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
GERMANY -- 5.50%
- ----------------
AUTOMOBILES -- 0.14%
Buderus AG...................... 78 $ 34,947
Volkswagen AG................... 140 78,757
----------
113,704
BANKS -- 1.70%
Bayerische Hypotheken - und
Wechsel Bank AG............... 6,268 305,918
Bayerische Verinsbank AG........ 4,308 281,860
Commerzbank AG.................. 2,210 86,977
Deutsche Bank AG................ 6,710 473,704
Dresdner Bank AG................ 2,140 98,735
Dresdner Bank AG................ 4,783 85,081
----------
1,332,275
BASIC INDUSTRY -- 0.46%
Bayer AG........................ 7,437 277,810
Hoechst AG...................... 2,440 85,450
----------
363,260
BUILDING & CONSTRUCTION -- 0.09%
Bilfinger & Berger Bau AG....... 2,000 62,036
Hornback Baumarkt AG............ 200 5,670
----------
67,706
DRUGS & HEALTH CARE -- 0.67%
Gehe AG......................... 8,074 403,936
Rhon Klinikum AG................ 1,230 120,337
----------
524,273
ELECTRIC UTILITIES -- 0.85%
Veba AG......................... 9,735 662,908
INDUSTRIAL MACHINERY -- 0.37%
Mannesmann AG................... 258 130,366
Siemens AG...................... 2,664 157,712
----------
288,078
INSURANCE -- 0.60%
Allianz AG (a).................. 1,810 468,862
SOFTWARE -- 0.47%
SAP AG.......................... 1,210 367,584
TELECOMMUNICATIONS -- 0.15%
Deutsche Telekom................ 6,320 118,920
----------
Total Germany................. 4,307,570
HONG KONG -- 2.13%
- ------------------
BANKS -- 0.10%
HSBC Holdings PLC............... 3,200 78,875
</TABLE>
See notes to the financial statements.
85
<PAGE> 86
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
HONG KONG (CONTINUED)
- ---------------------
CONGLOMERATES -- 0.90%
First Pacific Co. Ltd.................... 29,315 $ 14,186
Hutchinson Whampoa Ltd................... 77,000 482,927
Swire Pacific Ltd........................ 38,000 208,414
----------
705,527
ELECTRIC UTILITIES -- 0.09%
China Light & Power...................... 13,000 72,138
FINANCIAL SERVICES -- 0.13%
Dao Heng Bank Group, Ltd................. 41,000 102,381
REAL ESTATE -- 0.91%
Cheung Kong (Holdings) Ltd............... 11,000 72,042
New World Development Co., Ltd........... 100,034 345,969
Sun Hung Kai Properties, Ltd............. 11,000 76,655
Wharf Holdings........................... 98,000 214,995
----------
709,661
----------
Total Hong Kong........................ 1,668,582
ITALY -- 3.99%
- --------------
BANKS -- 0.81%
Banca Commerciale Italiana............... 14,000 48,672
Banca di Roma............................ 186,000 187,682
Credito Italiano......................... 128,833 397,278
----------
633,632
FINANCIAL COMPANIES -- 0.54%
IMI Spa.................................. 18,040 214,155
Mediolanum............................... 11,108 209,099
----------
423,254
FOOD & BEVERAGES -- 0.03%
La Rinascente SPA........................ 3,000 22,386
GAS EXPLORATION -- 0.60%
Ente Nazionale Idrocarburi Spa (ENI)..... 83,263 472,090
GAS & PIPELINE UTILITIES -- 0.05%
Ital Gas (Societa Italiana II Gas) Spa... 10,000 41,266
INSURANCE -- 0.32%
Assicurazioni Generali................... 10,000 245,619
TELECOMMUNICATIONS -- 1.64%
Telecom Italia Mobile.................... 10,797 30,700
Telecom Italia Mobile.................... 140,601 648,958
Telecom Italia SPA....................... 94,877 606,054
----------
1,285,712
----------
Total Italy............................ 3,123,959
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
JAPAN -- 18.49%
- ---------------
AUTOMOBILES -- 0.09%
Honda Motor Co........................... 2,000 $ 73,371
AUTOMOBILE PARTS -- 0.78%
Denso Corp............................... 34,000 611,932
BUILDING & CONSTRUCTION -- 0.44%
Daiwa House Industry Co.................. 24,000 126,829
Inax Corp................................ 5,000 14,513
Kumagai Gumi............................. 10,000 5,438
National House Industrial................ 3,000 20,563
Nippon Hodo.............................. 3,000 9,650
Sekisui House............................ 18,000 115,662
Sumitomo Forestry Co., Ltd............... 11,000 53,833
----------
346,488
BUSINESS SERVICES -- 0.51%
Kokuyo Co................................ 9,000 155,089
Toppan Printing Co....................... 19,000 247,377
----------
402,466
CHEMICALS -- 1.04%
Kuraray Co............................... 21,000 173,700
Mitsui Petrochemical Industries.......... 5,000 9,190
Sekisui Chemical Co., Ltd................ 30,000 152,332
Shin-Etsu Chemical Co.................... 20,000 381,405
Teijin................................... 45,000 94,087
----------
810,714
CONSUMER PRODUCTS -- 0.28%
Kao Corp................................. 15,000 215,976
DRUGS & HEALTH CARE -- 1.17%
Daiichi Pharmecutical Co................. 22,000 247,683
Sankyo Co................................ 24,000 542,238
Shiseido Co.............................. 9,000 122,693
----------
912,614
ELECTRICAL EQUIPMENT -- 2.39%
Hitachi, Ltd............................. 36,000 256,414
Makita Corp.............................. 16,000 153,175
NEC Corp................................. 67,000 713,257
Sumitomo Electric Industires, Ltd........ 54,000 736,157
Yurtec Corp.............................. 2,100 12,883
----------
1,871,886
ELECTRONICS -- 2.69%
Advantest Corp........................... 1,210 68,576
Alps Electric Co. Ltd. .................. 11,000 103,623
Dai Nippon Screen Manufacturing Co.
Ltd. (a)............................... 18,000 82,714
Fanuc Co., Ltd........................... 4,900 185,387
Kyocera Corp............................. 12,000 544,076
Murata Manufacturing Co., Ltd............ 11,000 276,327
</TABLE>
See notes to the financial statements.
86
<PAGE> 87
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
JAPAN (CONTINUED)
- -----------------
ELECTRONICS (CONTINUED)
TDK Corp................................ 9,000 $ 678,257
Tokyo Electron, Ltd..................... 5,300 169,671
-----------
2,108,631
FINANCIAL COMPANIES -- 0.63%
Nomura Securities Co., Ltd.............. 37,000 493,069
HOUSEHOLD APPLIANCES -- 2.23%
Matsushita Electric Industrial Co....... 39,000 570,499
Pioneer Electronic Corp................. 11,000 169,334
Sangetsu Co. Ltd. ...................... 1,000 10,263
Sharp Corp.............................. 33,000 226,959
Sony Corp............................... 8,700 772,919
-----------
1,749,974
INDUSTRIAL MACHINERY -- 1.06%
Amada Co., Ltd.......................... 16,000 59,432
Daifuku Co. Ltd......................... 2,000 9,727
Hitachi Zosen Corp...................... 24,000 38,416
Ishihara Sangyo Kaisha (a).............. 6,000 6,663
Komatsu, Ltd............................ 24,000 120,395
Komori Corp............................. 8,000 118,863
Mitsubishi Heavy Industries, Ltd........ 115,000 479,130
-----------
832,626
INSURANCE -- 0.14%
Tokio Marine & Fire Insurance Co........ 10,000 113,349
LEISURE & RECREATION -- 0.05%
Sega Enterprises Ltd.................... 2,000 36,149
PAPER -- 0.01%
Mitsubishi Paper Mills, Ltd............. 8,000 11,212
PHOTOGRAPHY -- 1.19%
Canon, Inc.............................. 40,000 931,301
REAL ESTATE -- 0.70%
Mitsui Fudosan Co. Ltd.................. 57,000 550,050
RETAIL -- 2.06%
Citizen Watch Co. (a)................... 13,000 87,118
Ito-Yokado Co. Ltd...................... 9,000 458,375
Marui Co., Ltd.......................... 22,000 342,039
Mitsubishi Corp......................... 21,000 165,658
Seven Eleven Japan Co., Ltd............. 3,000 212,300
Sumitomo Corp........................... 42,000 234,817
UNY Co. Ltd............................. 8,000 109,673
-----------
1,609,980
STEEL -- 0.28%
Nippon Steel Corp....................... 133,000 196,592
Tokyo Steel Manufacturing Ltd........... 6,000 20,265
-----------
216,857
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
JAPAN (CONTINUED)
- -----------------
TELECOMMUNICATIONS -- 0.40%
DDI Corp................................ 36 $ 95,121
Nippon Telephone & Telegraph Corp....... 25 214,444
-----------
309,565
TRANSPORTATION -- 0.35%
East Japan Railway...................... 60 270,659
-----------
Total Japan........................... 14,478,869
MALAYSIA -- 0.24%
- -----------------
INDUSTRIAL MACHINERY -- 0.01%
Time Engineering Berhad................. 23,000 5,913
LEISURE & RECREATION -- 0.12%
Berjaya Sports Toto Berhad.............. 37,000 94,652
MINING -- 0.11%
Tanjong.................................. 51,000 84,574
-----------
Total Malaysia......................... 185,139
MEXICO -- 0.79%
- ---------------
BANKS -- 0.11%
Grupo Financiero Banamex Series B (a)... 27,288 81,656
Grupo Financiero Banamex Series L (a)... 465 1,198
-----------
82,854
BASIC INDUSTRY -- 0.09%
Cemex SA de CV.......................... 12,950 69,159
FOOD & BEVERAGES -- 0.25%
Fomento Economico Mexicano..............
SA de CV, Class A...................... 15,629 124,908
Gruma S.A. Series B (a)................. 17,762 70,427
-----------
195,335
HOUSEHOLD PRODUCTS -- 0.18%
Kimberly Clark de Mexico, SA de CV
Class A............................... 28,211 138,075
INDUSTRIAL MACHINERY -- 0.07%
Grupo Industrial Maseca SA de CV
Class B............................... 54,800 56,630
LIQUOR -- 0.09%
Grupo Modelo SA de CV Class C........... 8,844 74,298
-----------
Total Mexico.......................... 616,351
NETHERLANDS -- 10.31%
- ---------------------
BANKS -- 0.52%
ABN Amro Holdings NV.................... 21,000 409,094
CHEMICALS -- 0.10%
Akzo Nobel NV........................... 458 78,967
</TABLE>
See notes to the financial statements.
87
<PAGE> 88
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
NETHERLANDS (CONTINUED)
- -----------------------
CONGLOMERATES -- 0.07%
Koninklijke PTT Nederland NV (a)..... 1,407 $ 58,705
ELECTRICAL EQUIPMENT -- 0.01%
Otra NV.............................. 670 9,583
FINANCIAL COMPANIES -- 1.72%
Fortis AMEV NV....................... 8,235 359,023
ING Groep N.V........................ 23,500 989,766
----------
1,348,789
FOOD & BEVERAGES -- 0.61%
CSM NV............................... 7,206 319,848
Nutricia Verenigde Bedruven NV....... 5,150 156,203
----------
476,051
HOUSEHOLD PRODUCTS -- 0.97%
Unilever NV.......................... 12,350 761,349
LEISURE & RECREATION -- 0.44%
Polygram NV.......................... 7,127 340,946
OIL -- 2.44%
Royal Dutch Petroleum Co............. 34,770 1,908,565
PUBLISHING -- 3.07%
Elsevier NV.......................... 53,329 862,669
Wolters Kluwer NV (a)................ 11,924 1,540,155
----------
2,402,824
RETAIL -- 0.15%
Koninklijke Ahold NV................. 4,392 114,584
SOFTWARE -- 0.21%
Baan Co. NV (a)...................... 4,950 162,099
----------
Total Netherlands.................. 8,071,556
NEW ZEALAND -- 0.33%
- --------------------
BUILDING CONSTRUCTION -- 0.06%
Fletcher Challange Building (a)...... 22,396 45,775
ENERGY -- 0.08%
Fletcher Challange Energy............ 16,915 59,225
TELECOMMUNICATIONS -- 0.14%
Telecom Corp. of New Zealand, Ltd.... 23,000 111,514
TRANSPORTATION -- 0.05%
Air New Zealand Ltd.................. 20,909 41,886
----------
Total New Zealand.................. 258,400
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
NORWAY -- 1.88%
- ---------------
CONGLOMERATES -- 0.99%
Orkla ASA............................ 8,980 $ 772,063
ENERGY -- 0.87%
Norsk Hydro ASA...................... 13,700 666,840
Saga Petroleum ASA Class B........... 1,190 18,045
-----------
684,885
TRANSPORTATION -- 0.02%
Bergesen D-Y ASA..................... 650 15,313
-----------
Total Norway......................... 1,472,261
PORTUGAL -- 0.40%
- -----------------
RETAIL -- 0.40%
Jeronimo Martins (a)................. 5,998 190,320
Jeronimo Martins SGPS................ 3,999 126,890
-----------
Total Portugal..................... 317,210
SINGAPORE -- 0.61%
- ------------------
BANKS -- 0.24%
Overseas Chinese Banking Corp. Ltd. . 4,800 27,909
Overseas Union Bank, Ltd. ........... 17,600 67,351
United Overseas Bank, Ltd............ 16,000 88,757
-----------
184,017
PUBLISHING -- 0.23%
Singapore Press Holdings, Ltd........ 14,400 180,267
REAL ESTATE -- 0.14%
City Developments, Ltd............... 9,000 41,649
Singapore Land, Ltd. ................ 31,000 68,051
-----------
109,700
-----------
Total Singapore.................... 473,984
SOUTH KOREA -- 0.07%
- --------------------
ELECTRICAL EQUIPMENT -- 0.05%
Samsung Electronics.................. 1,626 36,837
STEEL -- 0.02%
Pohang Iron & Steel Co. Ltd.......... 700 18,956
-----------
Total South Korea.................. 55,793
SPAIN -- 2.27%
- --------------
BANKS -- 1.02%
Argentaria Corp. SA (a).............. 2,015 122,606
Banco Bilbao Vizcaya SA.............. 4,090 132,351
Banco Popular Espanol SA............. 3,256 227,610
Banco Santander SA................... 9,421 314,755
-----------
797,322
ELECTRONICS -- 0.25%
Empresa Nacional de Electricidad SA.. 11,098 197,047
</TABLE>
See notes to the financial statements.
88
<PAGE> 89
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
SPAIN (CONTINUED)
- -----------------
OIL -- 0.21%
Respol SA........................... 3,792 $ 161,785
TELECOMMUNICATIONS -- 0.42%
Telefonica de Espana SA............. 11,651 332,667
UTILITIES -- 0.37%
Gas Natural SDG SA.................. 2,082 107,961
Iberdrola SA (a).................... 13,608 179,088
-----------
287,049
-----------
Total Spain....................... 1,775,870
SWEDEN -- 3.42%
- ---------------
BANKS -- 0.43%
Nordbanken Holding AB (a)........... 60,151 340,153
BUSINESS SERVICES -- 0.06%
Esselte AB Class B.................. 2,310 46,841
CONSTRUCTION & MINING
EQUIPMENT -- 0.55%
ABB AB.............................. 13,880 164,324
Atlas Copco AB...................... 8,820 262,715
-----------
427,039
DRUGS & HEALTH CARE -- 0.94%
Astra AB Class B.................... 44,003 739,858
HOUSEHOLD APPLIANCES -- 0.46%
Electrolux AB Series B.............. 5,160 358,085
METALS & MINING -- 0.37%
Granges AB (a)...................... 1,990 31,204
Sandvik AB Class A.................. 2,090 59,489
Sandvik AB Class B.................. 6,830 195,268
-----------
285,961
OFFICE FURNITURE & SUPPLIES -- 0.01%
Scribona AB......................... 750 8,360
RETAIL -- 0.60%
Hennes & Mauritz AB Class B (a)..... 10,660 469,905
-----------
Total Sweden...................... 2,676,202
SWITZERLAND -- 6.84%
- --------------------
BANKS -- 0.97%
Credit Suisse Group AG.............. 1,200 185,601
Schweizerischer Bankverein AG....... 1,060 329,346
Union Bank of Switzerland AG (a).... 170 245,716
-----------
760,663
BUSINESS SERVICES -- 0.40%
Adecco SA (a)....................... 1,073 310,988
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
SWITZERLAND (CONTINUED)
- -----------------------
DRUGS & HEALTH CARE -- 3.72%
Novartis AG......................... 1,063 $ 1,724,138
Roche Holding AG.................... 120 1,191,213
-----------
2,915,351
ELECTRICAL EQUIPMENT -- 0.43%
ABB AG (a).......................... 267 335,303
FOOD & BEVERAGES -- 1.32%
Nestle SA........................... 690 1,033,678
-----------
Total Switzerland................. 5,355,983
UNITED KINGDOM -- 19.19%
- ------------------------
AUTOMOBILES -- 0.10%
Rolls-Royce PLC..................... 21,000 81,057
BANKS -- 3.20%
Abbey National PLC.................. 32,000 576,058
National Westminster Bank PLC....... 116,000 1,928,164
-----------
2,504,222
BUILDING & CONSTRUCTION -- 0.06%
Heywood Williams Group PLC.......... 3,000 10,298
Laing (John) PLC.................... 7,000 36,907
-----------
47,205
CONGLOMERATES -- 0.77%
Tomkins PLC......................... 128,000 605,491
CONTAINERS & GLASS -- 0.26%
Caradon PLC......................... 69,800 202,924
DRUGS & HEALTH CARE -- 3.34%
Glaxo Wellcome PLC.................. 45,000 1,072,825
SmithKline Beecham PLC.............. 149,400 1,539,819
-----------
2,612,644
ELECTRONICS -- 0.20%
Electrocomponents PLC............... 21,000 156,251
FOOD & BEVERAGES -- 2.14%
Cadbury Schweppes PLC............... 39,000 393,621
Diageo PLC.......................... 137,000 1,253,375
Hillsdown Holdings PLC.............. 11,000 26,740
-----------
1,673,736
GAS & PIPELINE UTILITIES -- 0.16%
British Gas PLC..................... 27,352 123,096
HOTELS & RESTAURANTS -- 0.20%
Ladbroke Group PLC.................. 37,000 160,439
INDUSTRIAL MACHINERY -- 0.22%
GKN PLC............................. 2,000 40,964
T&N PLC............................. 31,000 129,840
-----------
170,804
</TABLE>
See notes to the financial statements.
89
<PAGE> 90
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED KINGDOM (CONTINUED)
- --------------------------
LEISURE & ENTERTAINMENT -- 0.62%
Compass Group PLC................... 19,000 $ 233,744
Rank Group PLC...................... 45,000 250,563
-----------
484,307
MINING -- 0.41%
Rio Tinto PLC....................... 26,000 320,501
OIL -- 1.87%
British Petroleum Co. PLC........... 24,000 317,485
Shell Transport & Trading Co........ 163,500 1,146,703
-----------
1,464,188
PAPER -- 0.10%
David S. Smith Holdings PLC......... 25,000 81,509
PUBLISHING -- 2.13%
Reed International PLC.............. 117,000 1,114,601
United Newspapers & Media PLC....... 49,000 557,744
-----------
1,672,345
RETAIL -- 2.70%
Argos PLC........................... 28,200 254,520
ASDA Group.......................... 98,000 288,304
Kingfisher PLC...................... 66,000 921,443
Safeway PLC......................... 46,000 259,154
Tesco PLC........................... 47,000 387,562
-----------
2,110,983
TELECOMMUNICATION SERVICES -- 0.68%
Cable & Wireless PLC................ 61,000 536,030
UTILITIES -- 0.03%
Centrica PLC........................ 14,000 20,581
-----------
Total United Kingdom.............. 15,028,313
UNITED STATES -- 5.92%
- ----------------------
APPAREL & TEXTILES -- 0.12%
Gucci Group NV N.Y.................. 2,291 95,937
BANKS -- 0.31%
Banco de Galicia Buenos Aires
S.A. de CV ADR.................... 2,661 68,521
Banco Frances del Rio La Plata ADR.. 2,147 58,774
Banco Latinoamericano de
Exportaciones SA ADR.............. 477 19,736
Unibanco - Uniao De Bancos
Brasiliers ADR.................... 3,055 98,333
-----------
245,364
BROADCASTING -- 0.26%
Grupo Television SA de CV ADR (a)... 2,531 97,918
TV Azteca SA de CV ADR.............. 4,600 103,788
-----------
201,706
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
BUILDING & CONSTRUCTION -- 0.24%
Cemex SA ADR........................ 20,410 $ 185,067
CONTAINERS & GLASS -- 0.05%
Compania Cervecerias Unidas ADR..... 1,385 40,684
ELECTRIC UTILITIES -- 0.93%
Centrais Electricas Brasileiras ADR. 5,000 124,325
Chilectra SA ADR.................... 2,330 59,514
Chilenger SA ADR.................... 2,016 49,392
Companhia Energetica De
Minas Gerais ADR.................. 2,595 112,750
Empresa Nacional de Electricidad ADR 3,254 57,555
Enersis SA ADR.................... 1,978 57,362
Huaneng Power International, Inc.
ADR............................... 11,400 264,337
-----------
725,235
FINANCIAL SERVICES -- 0.06%
Cifra SA de CV ADR.................. 10,141 24,906
Creditcorp Ltd...................... 1,080 19,440
-----------
44,346
FOOD & BEVERAGES -- 0.38%
Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR............. 3,390 61,966
Gruma SA de CV ADR (144a) (a)....... 3,056 48,521
Panamerican Beverages, Inc. Class A. 5,840 190,530
-----------
301,017
HOUSEHOLD APPLIANCES -- 0.05%
Industrie Natuzzi SPA ADR........... 1,810 37,331
OIL & GAS -- 0.50%
Lukoil Holding Co................... 520 47,580
YPF Sociedad Anonima ADR............ 10,158 347,277
-----------
394,857
REAL ESTATE -- 0.25%
Hong Kong Land Holdings, Ltd........ 101,908 195,663
RETAIL -- 0.02%
Santa Isabel SA ADR................. 959 16,783
SOFTWARE -- 0.11%
Baan Co. N.V........................ 2,500 82,500
TELECOMMUNICATIONS -- 2.64%
Compania Anonima Nacional Telefonos
de Venezuela ADR.................. 2,342 96,737
Mahanagar Telephone Nigam, Ltd. (a). 8,000 124,080
Telecomunicacoes Brasileiras ADR.... 10,422 1,213,512
Telefonica de Argentina ADR (a)..... 4,550 169,488
Telefonica del Peru SA ADR.......... 1,717 40,028
Telefonos de Mexico ADR............. 7,615 426,916
-----------
2,070,761
</TABLE>
See notes to the financial statements.
90
<PAGE> 91
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
UNITED STATES (CONTINUED)
- -------------------------
Total United States............... $ 4,637,251
-----------
Total Common Stocks
(cost $69,868,498)............ 74,707,201
-----------
RIGHTS & WARRANTS -- 0.00%
- --------------------------
BELGIUM -- 0.00%
- ----------------
BANKS -- 0.00%
Generale De Banque (a) (cost $26)... 26 8
-----------
PREFERRED STOCKS -- 2.07%
- -------------------------
AUSTRALIA -- 0.12%
- ------------------
LEISURE & ENTERTAINMENT -- 0.12%
News Corp. Ltd...................... 8,465 41,897
Sydney Harbour Casino Holdings Ltd.. 52,200 49,501
-----------
Total Australia................... 91,398
BRAZIL -- 1.27%
- ---------------
BANKS -- 0.25%
Banco Bradesco SA................... 13,040,953 128,534
Banco Bradesco SA................... 557,568 1,998
Banco Itau SA....................... 124,000 66,664
Uniao de Bancos Brasileiros SA...... 167 11
-----------
197,207
BASIC INDURSTRY -- 0.02%
Companhia Cimentu Partland Itau..... 73,000 14,063
CONSUMER PRODUCTS -- 0.04%
Brasmotor SA........................ 82,150 8,097
Companhia de Tecidos Norte de
Coteminas........................... 55,000 19,712
Lojas Americanas SA................. 815,665 3,800
-----------
31,609
ELECTRICAL EQUIPMENT -- 0.18%
Companhia Cemig - Cia Energetica de
Minas Gerais...................... 3,311,597 143,882
Empressa Nacional de Comercio
Redito e Participacoes SA......... 55,000 41
-----------
143,923
FOOD & BEVERAGES -- 0.11%
Companhia Cervejaria Brahma (a)..... 128,894 86,618
OIL -- 0.28%
Petrobras Brasileiro SA............. 930,094 217,512
<CAPTION>
SHARES MARKET VALUE
------ ------------
<S> <C> <C>
PREFERRED STOCKS (CONTINUED)
- ----------------------------
BRAZIL (CONTINUED)
- ------------------
STEEL -- 0.02%
Usinas Siderurgicas de Minas
Gerais ADR........................ 2,288 $ 13,531
TELECOMMUNICATIONS -- 0.37%
Telecommunicacoes de Rio
de Janiero SA..................... 165,546 17,207
Telecommunicacoes de Minas Gerais... 1,959 247
Telecommunicacoes de Minas Gerais... 365,000 46,114
Telecommunicacoes de Sao Paulo SA... 852,141 226,762
-----------
290,330
-----------
Total Brazil...................... 994,793
FINLAND -- 0.25%
- ----------------
TELECOMMUNICATIONS--0.25%
Nokia Oy AB Series A................ 2,710 192,401
GERMANY -- 0.31%
- ----------------
DRUGS & HEALTH CARE 0.10%
Fielmann AG......................... 336 7,471
Fresenius AG........................ 400 73,598
-----------
81,069
RETAIL -- 0.08%
Hornbach Holdings AG................ 940 65,055
SOFTWARE -- 0.13%
SAP AG.............................. 297 97,159
-----------
Total Germany..................... 243,283
UNITED STATES -- 0.12%
- ----------------------
STEEL -- 0.12%
Usinas Siderurgicas de
Minas Gerais ADR.................. 16,230 95,981
Total Preferred Stocks
(cost $1,602,182)............. 1,617,856
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 2.53%
- -------------------------------
MONEY MARKET FUND -- 2.53%
State Street Global Advisor Fund
5.42% (b)......................... $1,983,932 1,983,932
-----------
Total Short Term Investments
(cost $1,983,932)............. 1,983,932
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $73,454,612).................. $78,308,997
===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
91
<PAGE> 92
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
DECEMBER 31, 1997
MARKET
SHARES VALUE
------- ----------
<S> <C> <C>
COMMON STOCKS - 91.65%
- ----------------------
AEROSPACE & AIRCRAFT - 0.97%
BE Aerospace, Inc. (a)........... 46,000 $1,230,500
APPAREL & TEXTILES - 2.07%
Warnaco Group, Inc. ............. 84,000 2,635,500
AUTOMOBILES & PARTS - 2.00%
Danaher Corp. ................... 33,000 2,083,125
OEA, Inc. ....................... 15,900 460,105
---------
2,543,230
BROADCASTING - 3.27%
Comcast Corp. ................... 48,000 1,515,000
Cox Communications, Inc. (a)..... 45,000 1,802,813
Jacor Communications, Inc. (a)... 16,000 850,000
---------
4,167,813
BUILDING & CONSTRUCTION - 0.36%
Fastenal Co. .................... 12,000 459,000
BUSINESS SERVICES - 11.23%
AccuStaff, Inc. (a).............. 41,000 943,000
ADVO, Inc. (a)................... 16,000 312,000
Catalina Marketing Corp. (a)..... 27,600 1,276,500
Cendant Corp. (a)................ 51,416 1,767,408
Galileo International, Inc. ..... 60,000 1,657,500
Gartner Group, Inc. (a).......... 39,000 1,452,750
Interim Services, Inc. (a)....... 70,000 1,811,250
National Data Corp. ............. 33,000 1,192,125
Outdoor Systems, Inc. (a)........ 52,450 2,012,769
Sungard Data Systems, Inc. (a)... 60,600 1,878,600
----------
14,303,902
CHEMICALS - 0.92%
Great Lakes Chemical Corp. ...... 26,000 1,166,750
COMPUTERS & BUSINESS EQUIPMENT - 6.23%
Affiliated Computer Services, 84,000 2,210,250
Inc. (a)......................
CheckFree Holding Corp. (a)...... 33,000 891,000
DST Systems, Inc. (a)............ 41,000 1,750,187
Microchip Technology Inc.(a)..... 24,000 720,000
Network Associates, Inc. (a)..... 32,000 1,692,000
Security Dynamics Technologies,
Inc, (a)...................... 19,000 679,250
----------
7,942,687
DRUGS & HEALTH CARE - 13.29%
Agouron Pharmaceuticals, Inc. (a) 22,000 643,500
ALZA Corp. (a)................... 41,000 1,304,312
Biogen, Inc. (a)................. 64,000 2,328,000
Cardinal Health, Inc. ........... 15,000 1,126,875
Covance, Inc. (a)................ 77,000 1,530,375
General Nutrition Cos., Inc. (a). 38,000 1,292,000
Gilead Sciences, Inc. (a)........ 35,400 1,354,050
<CAPTION>
MARKET
SHARES VALUE
------- -------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------
DRUGS & HEALTH CARE (CONTINUED)
Henry Schein, Inc. (a)........... 11,500 $ 402,500
Omnicare, Inc. .................. 45,000 1,395,000
Quorum Health Group, Inc. (a).... 58,600 1,530,925
St. Jude Medical, Inc. .......... 34,000 1,037,000
Sybron International Corp. (a)... 28,000 1,314,250
US Surgical Corp................. 43,000 1,260,437
Vencor, Inc.(a)................. 17,000 415,437
----------
16,934,661
ELECTRICAL EQUIPMENT - 0.50%
Anixter International, Inc. (a).. 39,000 643,500
ELECTRONICS - 4.19%
Analog Devices, Inc. (a)......... 34,000 941,375
Maxim Integrated Products,
Inc. (a)....................... 33,000 1,138,500
PMC - Sierra, Inc.(a)............ 21,000 651,000
Teleflex, Inc. .................. 42,000 1,585,500
Xilinx, Inc. (a)................. 29,000 1,016,812
----------
5,333,187
FINANCIAL SERVICES - 4.01%
Capital One Financial Corp....... 25,800 1,398,038
Corporate Express, Inc. (a)...... 94,500 1,216,688
FINOVA Group, Inc................ 34,000 1,689,375
Newcourt Credit Group Inc........ 24,000 809,188
----------
5,113,289
FOOD & BEVERAGES - 6.48%
JP Foodservice, Inc. (a)......... 65,000 2,400,938
Meyer Fred Inc. (a).............. 36,000 1,309,500
Outback Steakhouse, Inc. (a)..... 38,000 1,092,500
Richfood Holdings, Inc. ......... 42,000 1,186,500
Suiza Foods Corp. (a)............ 38,000 2,263,375
----------
8,252,813
FUNERAL SERVICES - 0.72%
Stewart Enterprises, Inc......... 19,700 918,512
GAS & PIPELINE UTILITIES - 1.05%
Cooper Cameron Corp. (a)......... 22,000 1,342,000
GAS EXPLORATION - 0.95%
Weatherford Enterra, Inc. (a).... 27,600 1,207,500
GOLD - 1.63%
Battle Mountain Gold Co. ........ 176,000 1,034,000
Cambior, Inc. ................... 70,000 411,250
TVX Gold, Inc. (a)............... 186,000 627,750
----------
2,073,000
HOTELS & RESTAURANTS - 0.82%
La Quinta Inns, Inc. ............ 54,000 1,042,875
</TABLE>
See notes to the financial statements.
92
<PAGE> 93
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------- -------
<S> <C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------
INDUSTRIAL MACHINERY - 1.78%
TriMas Corp. .................... 66,000 $2,268,750
INSURANCE - 3.75%
Ace Ltd. ........................ 19,000 1,833,500
Fairfax Financial Holdings,
Ltd. (a)........................ 4,900 1,090,375
Partner Re, Ltd. ................ 40,000 1,855,000
----------
4,778,875
INVESTMENT COMPANIES - 1.30%
Franklin Resources, Inc. ........ 19,000 1,651,813
LEISURE TIME - 1.59%
Royal Carribean Cruises, Ltd. ... 38,000 2,025,875
OFFICE FURNISHINGS & SUPPLIES - 0.48%
Ikon Office Solutions, Inc. ..... 22,000 618,750
PETROLEUM SERVICES 2.89%
Camco International, Inc. ....... 22,400 1,426,600
Smith International, Inc. (a).... 20,600 1,264,325
United Meridian Corp. (a)........ 35,300 992,813
----------
3,683,738
POLLUTION CONTROL - 2.49%
Culligan Water Technologies,
Inc.(a)......................... 39,000 1,959,750
USA Waste Services, Inc. (a)..... 31,000 1,216,750
----------
3,176,500
REAL ESTATE -1.93%
INMC Mortgage Holdings, Inc...... 48,000 1,125,000
Security Capital Group Inc.(a)... 41,000 1,332,500
----------
2,457,500
RETAIL - 7.50%
BJ's Wholesale Club Inc. (a)..... 45,000 1,411,875
Circuit City Stores, Inc. ....... 53,500 1,895,481
Costco Companies, Inc. (a)....... 35,000 1,561,875
Gymboree Corp. (a)............... 54,000 1,478,250
Kohls Corp. (a).................. 17,000 1,158,125
MSC Industrial Direct Co.,
Inc. (a)........................ 28,800 1,220,400
ShopKo Stores, Inc. (a).......... 38,500 837,375
----------
9,563,381
SOFTWARE - 3.51%
BMC Software, Inc. (a)........... 15,000 984,375
Intuit, Inc. (a)................. 16,000 660,000
Platinum Technology, Inc. (a).... 12,000 339,000
Sterling Commerce, Inc. (a)...... 36,000 1,383,750
Synopsys, Inc. (a)............... 31,000 1,108,250
----------
4,475,375
<CAPTION>
MARKET
SHARES VALUE
------ -------
<S> <C> <C>
COMMON STOCKS - (CONTINUED)
- ---------------------------
TELECOMMUNICATIONS - 3.74%
Cincinnati Bell, Inc............. 28,000 $ 868,000
Omnipoint Corp. (a).............. 38,000 883,500
Paging Network, Inc. (a)......... 89,000 956,750
360 Communications Co. (a)....... 83,000 1,675,563
Vanguard Cellular Systems,
Inc. (a)........................ 30,000 382,500
-----------
4,766,313
-----------
Total Common Stocks
(cost $97,011,710)......... 116,777,589
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS - 8.35%
- -------------------------------
U.S. GOVERNMENT AGENCIES - 2.68%
Federal Home Loan Mortgage
Corp. Discount Notes
4.75%, 01/02/1998........... $2,033,000 2,032,732
5.52%, 01/16/1998........... 172,000 171,604
------------
2,204,336
Federal National Mortgage
Association Discount Notes
5.69%, 01/05/1998........... 765,000 764,516
5.78%, 01/20/1998........... 447,000 445,636
------------
1,210,152
MONEY MARKET FUND - 0.00%
State Street Global Advisor
Fund, 5.42%, (b)................. 488 488
UNITED STATES TREASURY BILLS - 5.67%
5.15%, 01/22/1998................ 130,000 129,610
5.16%, 01/22/1998................ 6,781,000 6,760,590
5.20%, 01/22/1998................ 332,000 330,994
------------
7,221,194
------------
Total Short Term Investments
(cost $10,636,170)........... 10,636,170
------------
TOTAL INVESTMENTS - 100%
(cost $107,647,880).............. $127,413,759
============
</TABLE>
- -------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions.
Rate stated is the quoted yield as of December 31, 1997.
See notes to the financial statements.
93
<PAGE> 94
JACKSON NATIONAL FINANCIAL SERVICES, INC.
