JNL SERIES TRUST
SEMI-ANNUAL REPORT
JUNE 30, 2000
<PAGE>JNL/ALGER GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $396,520) ................ $ 497,529
Receivables:
Dividends and interest ................... 94
Investment securities sold ............... 6,521
Fund shares sold ......................... 385
Collateral for securities loaned ........... 4,166
--------------
TOTAL ASSETS ............................... 508,695
--------------
LIABILITIES
Payables:
Advisory fees ............................ 381
Administrative fees ...................... 40
Fund shares redeemed ..................... 74
Investment securities purchased .......... 8,402
Return of collateral for securities loaned . 4,166
--------------
TOTAL LIABILITIES .......................... 13,063
--------------
NET ASSETS ................................. $ 495,632
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 378,405
Accumulated net investment loss ............ (198)
Accumulated net realized gain on
investments ............................. 16,416
Net unrealized appreciation on investments . 101,009
--------------
$ 495,632
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 20,695
==============
NET ASSET VALUE PER SHARE .................. $ 23.95
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ 904
Interest ................................. 1,295
Securities lending ....................... 2
Foreign taxes withheld ................... (1)
--------------
TOTAL INVESTMENT INCOME .................... 2,200
--------------
EXPENSES
Advisory fees ............................ 2,173
Administrative fees ...................... 225
--------------
TOTAL EXPENSES ............................. 2,398
--------------
NET INVESTMENT LOSS ........................ (198)
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments ........... 14,894
Net change in unrealized appreciation on
investments .............................. 4,946
--------------
NET REALIZED AND UNREALIZED GAIN ........... 19,840
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 19,642
==============
See notes to the financial statements.
2
<PAGE>
JNL/ALGER GROWTH SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss .......................................................... $ (198) $ (589)
Net realized gain on investments ............................................. 14,894 30,528
Net change in unrealized appreciation on investments ......................... 4,946 53,379
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 19,642 83,318
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - -
From net realized gains on investment transactions ........................... - (38,424)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ - (38,424)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 150,810 212,363
Reinvestment of distributions ................................................ - 38,424
Cost of shares redeemed ...................................................... (75,459) (59,990)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 75,351 190,797
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 94,993 235,691
NET ASSETS BEGINNING OF PERIOD ................................................. 400,639 164,948
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 495,632 $ 400,639
============== ==============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ....................... $ (198) $ -
============== ==============
(1)SHARE TRANSACTIONS:
Shares sold .................................................................. 6,391 9,903
Reinvestment of distributions ................................................ - 1,684-
Shares redeemed .............................................................. (3,187) (2,802)
============== ==============
Net increase ................................................................. 3,204 8,785
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ...................................................... $ 254,365 $ 430,487
Proceeds from sales of securities ............................................ 187,168 293,992
</TABLE>
See notes to the financial statements.
3
<PAGE>
JNL/ALGER GROWTH SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, OCTOBER 16,
ENDED 1996 TO 1995* TO
JUNE 30, YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
2000 1999 1998 1997 1996 1996
-------- -------- -------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period .................... $22.91 $18.95 $13.56 $11.16 $10.38 $10.00
Income from operations:
Net investment income (loss) ............................ (0.01) (0.03) - (0.01) - -
Net realized and unrealized gains on investments ........ 1.05 6.42 6.20 2.93 0.78 0.38
-------- -------- -------- ------- ------- ------
Total income from operations ............................ 1.04 6.39 6.20 2.92 0.78 0.38
-------- -------- -------- ------- ------- ------
Less distributions:
From net investment income .............................. - - - - - -
From net realized gains on investment transactions ...... - (2.43) (0.81) (0.52) - -
-------- -------- -------- ------- ------- ------
Total distributions ..................................... - (2.43) (0.81) (0.52) - -
-------- -------- -------- ------- ------- ------
Net increase ............................................ 1.04 3.96 5.39 2.40 0.78 0.38
-------- -------- -------- ------- ------- ------
Net asset value, end of period .......................... $23.95 $22.91 $18.95 $13.56 $11.16 $10.38
======== ======== ======== ======= ======= ======
Total Return (a) ........................................ 4.54 % 33.80 % 45.66 % 26.20 % 7.51 % 3.80 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................ $495,632 $400,639 $164,948 $85,877 $38,252 $8,649
Ratio of expenses to average net assets (b) ............. 1.07 % 1.07 % 1.06 % 1.10 % 1.07 % 1.03 %
Ratio of net investment loss to average net assets (b) .. (0.09)% (0.22)% (0.02)% (0.07)% (0.02)% (0.17)%
Portfolio turnover ...................................... 45.53 % 122.58 % 121.39 % 125.44 % 59.92 % 50.85 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ............. n/a n/a 1.06 % 1.10 % 1.19 % 1.89 %
Ratio of net investment loss to average net assets (b) .. n/a n/a (0.02)% (0.07)% (0.14)% (1.03)%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
4
<PAGE>
JNL/ALGER GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------
COMMON STOCKS - 90.8%
ADVERTISING - 0.9%
Omnicom Group Inc. 51,700 $ 4,605
AEROSPACE & DEFENSE - 2.9%
United Technologies Corp. 242,700 14,289
BIOTECHNOLOGY - 3.4%
Amgen Inc. (a) 238,300 16,741
COMPUTERS - 9.7%
Cisco Systems Inc. (a) 259,100 16,404
Dell Computer Corp. (a) 320,200 15,790
Hewlett-Packard Co. 89,300 11,151
Sun Microsystems Inc. (a) 54,200 4,929
-----------
48,274
DIVERSIFIED FINANCIAL SERVICES -
6.5%
American Express Co. 42,600 2,221
Charles Schwab Corp. 149,025 5,011
Citigroup Inc. 209,600 12,628
Merrill Lynch & Co. Inc. 22,300 2,564
Morgan Stanley Dean Witter &
Co. 116,700 9,715
-----------
32,139
ELECTRONICS - 5.0%
Linear Technology Corp. 105,400 6,739
Maxim Integrated Products (a) 78,100 5,306
Solectron Corp. (a) 136,700 5,724
Teradyne Inc. (a) 97,300 7,151
-----------
24,920
FOOD - 3.3%
Kroger Co. (a) 260,500 5,747
Safeway Inc. (a) 233,800 10,550
-----------
16,297
HEALTHCARE - 1.0%
Medtronic Inc. 102,100 5,086
LEISURE TIME - 1.0%
Harley-Davidson Inc. 133,400 5,136
MANUFACTURING - 3.9%
Corning Inc. 72,600 19,593
MEDIA - 5.5%
AT&T - Liberty Media Group -
Class A (a) 284,000 6,887
Clear Channel Communications
Inc. (a) 73,000 5,475
Comcast Corp. (a) 82,000 3,321
Cox Communications Inc. (a) (c) 86,800 3,955
Time Warner Inc. 99,100 7,532
-----------
27,170
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
OIL & GAS PRODUCERS - 6.4%
Exxon Mobil Corp. 177,700 $ 13,949
Halliburton Co. 376,150 17,750
-----------
31,699
PHARMACEUTICALS - 9.0%
American Home Products Corp. 259,746 15,260
Cardinal Health Inc. 65,500 4,847
Eli Lilly & Co. 23,700 2,367
Pfizer Inc. 468,600 22,493
-----------
44,967
RETAIL - 9.2%
Best Buy Co. Inc. (a) 137,300 8,684
eBay Inc. (a) 202,200 10,982
Home Depot Inc. 207,025 10,338
Wal-Mart Stores Inc. 273,900 15,783
-----------
45,787
SEMICONDUCTORS - 13.4%
Altera Corp. (a) 93,700 9,552
Applied Materials Inc. (a) 188,900 17,119
Intel Corp. 107,800 14,411
Micron Technologies Inc. (a) 99,700 8,780
Motorola Inc. 316,200 9,190
Texas Instruments Inc. 113,500 7,796
-----------
66,848
SOFTWARE - 7.5%
America Online Inc. (a) 137,300 7,243
CNET Networks Inc. (a) 51,200 1,258
i2 Technologies Inc. (a) 23,045 2,403
Intuit Inc. (a) 66,900 2,768
Microsoft Corp. (a) 217,900 17,432
Oracle Corp. (a) 31,300 2,631
Yahoo Inc. (a) 29,190 3,616
-----------
37,351
TELECOMMUNICATIONS - 1.0%
Telefonatiebolaget LM Ericsson - 251,500 5,030
ADR
TRANSPORTATION - 1.2%
Kansas City Southern Industries 67,600 5,995
Inc.
-----------
Total Common Stocks
(cost $350,918) 451,927
-----------
See notes to the financial statements.
5
<PAGE>
JNL/ALGER GROWTH SERIES
Schedule of Investments (Unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
SHORT TERM INVESTMENTS - 9.2%
COMMERCIAL PAPER - 8.4%
Baus Funding LLC, 6.72%,
07/14/2000 $8,000,000 $ 7,980
BMW US Capital Corp., 6.52%,
07/11/2000 9,000,000 8,984
Motiva Enterprises LLC, 6.55%,
07/21/2000 8,000,000 7,971
Nestle Capital Corp., 6.66%,
07/07/2000 8,000,000 7,991
Salomon Smith Barney Holdings,
6.55%, 07/24/2000 9,000,000 8,962
-----------
41,888
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
MONEY MARKET FUND - 0.8%
Dreyfus Cash Management Plus, 3,714
6.51% (b) 3,713,627 $
-----------
Total Short Term Investments
(cost $45,602) 45,602
-----------
TOTAL INVESTMENTS - 100%
(cost $396,520) $ 497,529
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
(c) All or a portion of this security has been loaned.
Based on the cost of investments of $398,086 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $115,254, the gross
unrealized depreciation was $15,811 and the net unrealized appreciation on
investments was $99,443.
See notes to the financial statements.
6
<PAGE>
JNL/ALLIANCE GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $68,994) .................. $ 72,985
Receivables:
Dividends and interest .................... 32
Fund shares sold .......................... 998
Investment securities sold ................ 609
--------------
TOTAL ASSETS ................................ 74,624
--------------
LIABILITIES
Payables:
Advisory fees ............................. 43
Administrative fees ....................... 6
Fund shares redeemed ...................... 18
Investment securities purchased ........... 255
--------------
TOTAL LIABILITIES ........................... 322
--------------
NET ASSETS .................................. $ 74,302
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 70,256
Undistributed net investment income ......... 32
Accumulated net realized gain on
investments ................................. 23
Net unrealized appreciation on investments .. 3,991
--------------
$ 74,302
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 4,373
==============
NET ASSET VALUE PER SHARE ................... $ 16.99
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ 103
Interest .................................. 94
Foreign taxes withheld .................... (2)
--------------
TOTAL INVESTMENT INCOME ..................... 195
--------------
EXPENSES
Advisory fees ............................. 144
Administrative fees ....................... 19
--------------
TOTAL EXPENSES .............................. 163
--------------
NET INVESTMENT INCOME ....................... 32
--------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized loss on investments ............ (223)
Net change in unrealized appreciation on
investments ............................... 1,109
--------------
NET REALIZED AND UNREALIZED GAIN ............ 886
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .. $ 918
==============
See notes to the financial statements.
7
<PAGE>
JNL/ALLIANCE GROWTH SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ................................................. $ 32 $ (7)
Net realized gain (loss) on investments ...................................... (223) 701
Net change in unrealized appreciation on investments ......................... 1,109 2,063
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 918 2,757
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - -
From net realized gains on investment transactions ........................... - (415)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ - (415)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 60,137 14,632
Reinvestment of distributions ................................................ - 415
Cost of shares redeemed ...................................................... (5,009) (3,706)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 55,128 11,341
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 56,046 13,683
NET ASSETS BEGINNING OF PERIOD ................................................. 18,256 4,573
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 74,302 $ 18,256
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 32 -
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 3,583 973
Reinvestment of distributions ............................................. - 25
Shares redeemed ........................................................... (307) (245)
-------------- --------------
Net increase .............................................................. 3,276 753
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................... $ 57,747 $ 15,528
Proceeds from sales of securities ......................................... 6,840 5,099
</TABLE>
See notes to the financial statements.
8
<PAGE>
JNL/ALLIANCE GROWTH SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
--------------- --------------- ---------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ..................................... $ 16.64 $ 13.28 $ 10.00
--------------- --------------- ---------------
INCOME FROM OPERATIONS:
Net investment income (loss) ........................................... 0.01 (0.01) (0.01)
Net realized and unrealized gains on investments ....................... 0.34 3.76 3.29
--------------- --------------- ---------------
Total income from operations ........................................... 0.35 3.75 3.28
--------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ............................................. - - -
From net realized gains on investment transactions ..................... - (0.39) -
--------------- --------------- ---------------
Total distributions .................................................... - (0.39) -
--------------- --------------- ---------------
Net increase ........................................................... 0.35 3.36 3.28
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD ........................................... $ 16.99 $ 16.64 $ 13.28
=============== =============== ===============
TOTAL RETURN (A) ......................................................... 2.10% 28.23% 32.80%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ............................... $ 74,302 $ 18,256 $ 4,573
Ratio of expenses to average net assets (b) ............................ 0.875% 0.875% 0.925%
Ratio of net investment income (loss) to average net assets (b) ........ 0.17% (0.07)% (0.08)%
Portfolio turnover ..................................................... 19.59% 51.15% 136.69%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ............................ n/a n/a 2.13%
Ratio of net investment loss to average net assets (b) ................. n/a n/a (1.28)%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
9
<PAGE>
JNL/ALLIANCE GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 95.3%
AEROSPACE & DEFENSE - 2.1%
Honeywell International Inc. 10,900 $ 367
United Technologies Corp. 19,400 1,142
-----------
1,509
AIRLINES - 1.0%
Continental Airlines Inc. (a) 8,600 404
Delta Air Lines Inc. 2,100 106
UAL Corp. 4,200 245
-----------
755
BANKS - 1.4%
Bank of America Corp. 200 9
Chase Manhattan Corp. 16,200 746
Wells Fargo & Co. 7,000 271
-----------
1,026
COMPUTERS - 10.4%
Cisco Systems Inc. (a) 47,600 3,014
Dell Computer Corp. (a) 47,700 2,352
EMC Corp. (a) 21,700 1,670
International Business Machines
Corp. 4,000 438
Sun Microsystems Inc. (a) 1,200 109
-----------
7,583
COSMETICS & PERSONAL CARE - 0.8%
Colgate-Palmolive Co. 9,300 557
DIVERSIFIED FINANCIAL SERVICES - 13.4%
Associates First Capital Corp. 93,200 2,080
CIT Group Inc. 53,100 863
Citigroup Inc. 43,900 2,645
Fannie Mae 5,600 292
Freddie Mac 10,900 441
Goldman Sachs Group Inc. 4,200 398
Household International Inc. 27,300 1,135
MBNA Corp. 18,500 502
Morgan Stanley Dean Witter & Co. 17,300 1,440
-----------
9,796
ELECTRONICS - 0.2%
Solectron Corp. (a) 3,400 142
HEALTHCARE - 0.9%
Medtronic Inc. 12,500 623
INSURANCE - 1.1%
American International Group 6,600 776
Inc.
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
MANUFACTURING - 6.7%
Corning Inc. 5,100 $ 1,377
E-Tek Dynamics Inc. (a) 1,100 290
General Electric Co. 900 48
Tyco International Ltd. 67,700 3,207
-----------
4,922
MEDIA - 9.3%
AMFM Inc. (a) 6,200 428
AT&T - Liberty Media Group -
Class A (a) 84,100 2,039
Clear Channel Communications
Inc. (a) 3,300 248
MediaOne Group Inc. (a) 24,000 1,587
Time Warner Inc. 16,700 1,269
Viacom Inc. - Class B (a) 12,000 818
Walt Disney Co. 9,500 369
-----------
6,758
OIL & GAS PRODUCERS - 1.6%
BP Amoco Plc - ADR 21,352 1,208
PHARMACEUTICALS - 10.4%
Pfizer Inc. 95,525 4,585
Pharmacia Corp. 11,320 585
Schering-Plough Corp. 48,700 2,459
-----------
7,629
RETAIL - 6.5%
Costco Wholesale Corp. (a) 7,200 238
eBay Inc. (a) 2,600 141
Home Depot Inc. 47,100 2,352
Kohl's Corp. (a) 10,400 578
Lowe's Cos. Inc. 18,000 739
Wal-Mart Stores Inc. 3,900 225
Walgreen Co. 14,700 473
-----------
4,746
SEMICONDUCTORS - 11.5%
Applied Materials Inc. (a) 34,400 3,117
Intel Corp. 30,100 4,024
Micron Technology Inc. 8,200 722
Motorola Inc. 17,100 497
Texas Instruments Inc. 1,000 69
-----------
8,429
SOFTWARE - 5.5%
America Online Inc. (a) 3,100 164
Microsoft Corp. (a) 28,200 2,256
Oracle Corp. (a) 12,400 1,042
Yahoo Inc. (a) 4,300 533
-----------
3,995
TELECOMMUNICATIONS - 12.5%
Amdocs Ltd. (a) 2,800 215
See notes to the financial statements.
10
<PAGE>
JNL/ALLIANCE GROWTH SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
AT&T Wireless Group (a) 54,300 $ 1,513
Lucent Technologies Inc. 2,900 172
Nokia Corp. - ADR 69,300 3,461
Nortel Networks Corp. 21,800 1,488
Sprint Corp. (FON Group) 13,900 709
Vodafone AirTouch Plc - ADR 37,400 1,550
-----------
9,108
-----------
Total Common Stocks
(cost $65,570) 69,561
-----------
SHORT TERM INVESTMENT - 4.7%
MONEY MARKET FUND - 4.7%
Dreyfus Cash Management Plus,
6.51 % (b) 3,424,174 3,424
-----------
Total Short Term Investment
(cost $3,424) 3,424
-----------
TOTAL INVESTMENTS - 100%
(cost $68,994) $ 72,985
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
Based on the cost of investments of $69,025 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $7,640, the gross
unrealized depreciation was $3,680 and the net unrealized appreciation on
investments was $3,960.
See notes to the financial statements.
11
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $115,284) ................ $ 121,418
Receivables:
Dividends and interest ................... 97
Fund shares sold ......................... 249
Investment securities sold ............... 757
Collateral for securities loaned ........... 3,520
--------------
TOTAL ASSETS ............................... 126,041
--------------
LIABILITIES
Payables:
Advisory fees ............................ 84
Administrative fees ...................... 10
Fund shares redeemed ..................... 28
Investment securities purchased .......... 2,660
Options written, at value
(premiums received $9) ................... 4
Return of collateral for securities loaned . 3,520
--------------
TOTAL LIABILITIES .......................... 6,306
--------------
NET ASSETS ................................. $ 119,735
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 100,591
Undistributed net investment income ........ 399
Accumulated net realized gain on
investments .............................. 12,606
Net unrealized appreciation on investments
and options written ...................... 6,139
==============
$ 119,735
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 6,254
==============
NET ASSET VALUE PER SHARE .................. $ 19.14
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ 657
Interest ................................. 189
Securities lending ....................... 15
Foreign taxes withheld ................... (2)
--------------
TOTAL INVESTMENT INCOME .................... 859
--------------
EXPENSES
Advisory fees ............................ 477
Administrative fees ...................... 55
--------------
TOTAL EXPENSES ............................. 532
--------------
NET INVESTMENT INCOME ...................... 327
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on:
Investments ............................ 7,788
Options written ........................ 117
Net change in unrealized appreciation
(depreciation) on:
Investments ............................ (3,626)
Options written ........................ 5
--------------
NET REALIZED AND UNREALIZED GAIN ........... 4,284
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 4,611
==============
See notes to the financial statements.
12
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 327 $ 602
Net realized gain on:
Investments ................................................................ 7,788 10,754
Options written ............................................................ 117 -
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ (3,626) 3,781
Options written ............................................................ 5 (3)
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 4,611 15,134
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - (551)
From net realized gains on investment transactions ........................... - (5,169)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ - (5,720)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 47,475 63,703
Reinvestment of distributions ................................................ - 5,720
Cost of shares redeemed ...................................................... (27,680) (20,677)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 19,795 48,746
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 24,406 58,160
NET ASSETS BEGINNING OF PERIOD ................................................. 95,329 37,169
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 119,735 $ 95,329
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 399 $ 72
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 2,555 3,705
Reinvestment of distributions ............................................. - 311
Shares redeemed ........................................................... (1,462) (1,192)
-------------- --------------
Net increase .............................................................. 1,093 2,824
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities $ 130,453 $ 108,410
Proceeds from sales of securities 108,943 70,902
</TABLE>
See notes to the financial statements.
13
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS SEPTEMBER 16,
ENDED 1996* TO
JUNE 30, YEAR ENDED DECEMBER 31, DECEMBER 31,
2000 1999 1998 1997 1996
--------------- --------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period .................... $ 18.47 $ 15.91 $ 13.75 $ 10.62 $ 10.00
--------- -------- -------- -------- --------
Income from operations:
Net investment income ................................... 0.05 0.11 0.10 0.08 0.03
Net realized and unrealized gains on investments and
options written ......................................... 0.62 3.63 2.17 3.35 0.62
--------- -------- -------- -------- --------
Total income from operations ............................ 0.67 3.74 2.27 3.43 0.65
--------- -------- -------- -------- --------
Less distributions:
From net investment income .............................. - (0.11) (0.09) (0.08) (0.03)
From net realized gains on investment transactions ...... - (1.07) (0.02) (0.22) -
--------- -------- -------- -------- --------
Total distributions ..................................... - (1.18) (0.11) (0.30) (0.03)
--------- -------- -------- -------- --------
Net increase ............................................ 0.67 2.56 2.16 3.13 0.62
--------- -------- -------- -------- --------
Net asset value, end of period .......................... $ 19.14 $ 18.47 $ 15.91 $ 13.75 $ 10.62
========= ======== ======== ======== ========
Total Return (a) ........................................ 3.63 % 23.55 % 16.54 % 32.35 % 6.47 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................ $ 119,735 $ 95,329 $ 37,169 $ 11,896 $ 1,954
Ratio of expenses to average net assets (b) ............. 0.97 % 0.99 % 1.05 % 1.05 % 1.05 %
Ratio of net investment income to average net assets (b) 0.60 % 0.97 % 1.07 % 1.00 % 1.10 %
Portfolio turnover ...................................... 104.07 % 124.71 % 67.04 % 51.48 % 1.36 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ............. n/a n/a 1.17 % 1.54 % 4.57 %
Ratio of net investment income (loss) to average net
assets (b) .............................................. n/a n/a 0.95 % 0.51 % (2.42)%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
14
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 91.8%
ADVERTISING - 0.4%
Omnicom Group Inc. 6,000 $ 534
AEROSPACE & DEFENSE - 2.0%
Boeing Co. 25,000 1,045
Honeywell International Inc. 40,437 1,362
-----------
2,407
AUTO MANUFACTURERS - 0.8%
Ford Motor Co. 9,600 413
General Motors Corp. 10,529 611
-----------
1,024
AUTO PARTS & EQUIPMENT - 0.0%
Visteon Corp. 1,257 15
BANKS - 4.4%
Bank of America Corp. 33,000 1,419
Chase Manhattan Corp. 25,800 1,188
Fleet Boston Financial Corp. 33,000 1,122
Mellon Financial Corp. 17,000 619
Wells Fargo & Co. 25,000 969
-----------
5,317
BEVERAGES - 0.4%
PepsiCo Inc. 10,000 444
BIOTECHNOLOGY - 0.5%
Genentech Inc. (a) 2,300 396
PE Corp. - PE Biosystems Group 3,500 230
-----------
626
CHEMICALS - 2.4%
E.I. du Pont de Nemours & Co. 22,252 1,105
Praxair Inc. 22,600 846
Rohm and Haas Co. 28,000 966
-----------
2,917
COMPUTERS - 11.9%
Cisco Systems Inc. (a) 44,000 2,786
Compaq Computer Corp. 53,000 1,355
Dell Computer Corp. (a) 70,450 3,474
Electronic Data Systems Corp. 26,500 1,093
EMC Corp. (a) 25,300 1,946
Extreme Networks Inc. (a) 2,000 211
Foundry Networks Inc. (a) 1,000 110
Gateway Inc. (a) 11,900 675
Handspring Inc. (a) (d) 10,000 270
International Business Machines
Corp. 17,000 1,863
Sun Microsystems Inc. (a) 7,400 673
-----------
14,456
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -
7.5%
American Express Co. 15,150 $ 790
Associates First Capital Corp. 25,000 558
Capital One Financial Corp. 30,000 1,339
Charles Schwab Corp. 15,500 521
Citigroup Inc. 39,500 2,380
Freddie Mac 11,000 445
Goldman Sachs Group Inc. 7,900 749
Lehman Brothers Holdings Inc. 10,000 946
Morgan Stanley Dean Witter & Co. 9,250 770
Providian Financial Corp. 6,300 567
-----------
9,065
ELECTRIC - 0.1%
NiSource Inc. 8,000 149
ELECTRICAL COMPONENTS & EQUIPMENT - 0.1%
Interlink Electronics Inc. (a) 2,300 96
ELECTRONICS - 0.5%
Koninklijke Philips Electronics
NV - NYS 12,080 574
FOOD - 0.9%
H. J. Heinz Co. 10,600 464
Sysco Corp. 13,600 573
-----------
1,037
FOREST PRODUCTS & PAPER - 0.9%
International Paper Co. 35,000 1,043
HEALTHCARE - 3.4%
Bausch & Lomb Inc. 14,300 1,106
Baxter International Inc. 6,450 454
Guidant Corp. (a) 13,450 666
HCA - The Healthcare Co. 45,000 1,367
Medtronic Inc. 9,950 496
-----------
4,089
HOME FURNISHINGS - 0.3%
Gemstar International Group Ltd.
(a) 6,500 399
INSURANCE - 3.3%
American International Group Inc. 15,675 1,842
Marsh & McLennan Cos. Inc. 4,000 418
MetLife Inc. (a) (d) 87,000 1,832
-----------
4,092
MACHINERY - 0.6%
Cooper Cameron Corp. (a) 3,800 251
Deere & Co. 14,000 518
-----------
769
MANUFACTURING - 3.7%
E-Tek Dynamics Inc. (a) 1,550 409
Eaton Corp. 17,300 1,159
See notes to the financial statements.
15
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
General Electric Co. 21,850 $ 1,158
Harsco Corp. 19,000 485
Minnesota Mining & Manufacturing
Co. 13,000 1,073
Pall Corp. 12,000 222
-----------
4,506
MEDIA - 4.1%
Adelphia Communications Corp. -
Class A (a) 9,850 462
AMFM Inc. (a) 16,100 1,111
Charter Communications Inc. (a) 22,700 373
Comcast Corp. (a) 14,900 603
McGraw-Hill Cos. Inc. 11,000 594
MediaOne Group Inc. (a) 12,000 794
Viacom Inc. - Class A (a) 15,000 1,026
-----------
4,963
OIL & GAS PRODUCERS - 9.3%
Barrett Resources Corp. (a) 3,800 116
BP Amoco Plc - ADR 23,122 1,308
Burlington Resources Inc. 25,000 956
Conoco Inc. - Class B 30,056 738
El Paso Energy Corp. 25,400 1,294
Enron Corp. 5,250 339
Exxon Mobil Corp. 25,800 2,025
MCN Energy Group Inc. 10,000 214
Santa Fe International Corp. 30,900 1,080
Smith International Inc. (a) 2,700 197
Transocean Sedco Forex Inc. 17,000 908
UGI Corp. 15,000 308
USX-Marathon Group Inc. 41,300 1,035
Weatherford International Inc.
(a) 4,000 159
Williams Cos. Inc. 15,000 625
-----------
11,302
PHARMACEUTICALS - 4.5%
American Home Products Corp. 11,700 687
Johnson & Johnson 6,600 672
Merck & Co. Inc. 13,650 1,046
Pfizer Inc. 28,000 1,344
Pharmacia Corp. 25,706 1,329
Schering-Plough Corp. 6,950 351
-----------
5,429
REAL ESTATE - 0.4%
Nationwide Health Properties Inc. 12,000 167
Public Storage Inc. 6,500 152
Sun Communities Inc. 4,900 164
-----------
483
RETAIL - 5.5%
Costco Wholesale Corp. (a) 24,250 800
Federated Department Stores Inc. 25,200 851
(a)
Home Depot Inc. 34,850 1,740
Intimate Brands Inc. 30,000 593
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Target Corp. 6,700 $ 389
Wal-Mart Stores Inc. 40,000 2,305
-----------
6,678
SAVINGS & LOANS - 0.5%
Charter One Financial Inc. 26,000
598
SEMICONDUCTORS - 4.1%
Applied Materials Inc. (a) 4,400 399
Applied Micro Circuits Corp. (a) 3,600 356
Intel Corp. 24,500 3,275
Motorola Inc. 6,000 174
National Semiconductor Corp. (a) 5,000 284
SCG Holding Corp. (a) 24,300 532
-----------
5,020
SOFTWARE - 6.7%
America Online Inc. (a) 29,500 1,556
AsiaInfo Holdings Inc. (a) 400 18
Centillium Communications Inc.(a) 1,800 124
Integrated Circuit Systems Inc. (a) 9,350 160
Microsoft Corp. (a) 53,500 4,280
Nasdaq-100 Shares Index Tracking
Stock (a) (d) 10,200 951
Oracle Corp. (a) 4,000 336
Veritas Software Corp. (a) 3,700 418
Virage Inc. (a) 4,500 81
Yahoo Inc. (a) 2,000 248
-----------
8,172
TELECOMMUNICATIONS - 12.3%
Accelerated Networks Inc. (a) 1,950 82
Alltel Corp. 9,000 557
AT&T Corp. 11,000 348
AT&T Wireless Group (a) 251
9,000
CIENA Corp. (a) 800 133
Echostar Communications Corp. (a) 8,000 265
General Motors Corp. - Class H (a) 3,696 324
GTE Corp. 7,400 461
JDS Uniphase Corp. (a) 7,050 845
Juniper Networks Inc. (a) 2,000 291
LSI Logic Corp. (a) (d) 7,850 425
Lucent Technologies Inc. 27,700 1,641
Nokia Corp. - ADR 29,100 1,453
Nortel Networks Corp. 29,300 2,000
SBC Communications Inc. 37,300 1,613
Sprint Corp. (FON Group) 23,945 1,221
Sycamore Networks Inc. (a) 8,200 905
US West Inc. 25,300 2,169
-----------
14,984
WATER - 0.3%
American Water Works Inc. 13,700 343
-----------
Total Common Stocks
(cost $105,455) 111,531
-----------
See notes to the financial statements.
16
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
CONVERTIBLE BONDS - 0.8%
AUTO PARTS & EQUIPMENT - 0.2%
Magna International Inc.,
5.00%, 10/15/2002 $ 200,000 $ 204
COMMERCIAL SERVICES - 0.1%
Interim Services Inc., 4.50%, 135,000 104
06/01/2005
HEALTHCARE - 0.2%
Alpharma Inc., 3.00%, 06/01/2006 100,000 192
(c)
HOUSEHOLD PRODUCTS - 0.2%
Charming Shoppes Inc., 7.50%,
07/15/2006 300,000 262
TELECOMMUNICATIONS - 0.1%
Global Crossing Ltd., 6.75%, 800
04/15/2012 175
-----------
Total Convertible Bonds
(cost $912) 937
-----------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
PREFERRED STOCKS - 0.9%
DIVERSIFIED FINANCIAL SERVICES -
0.6%
Sovereign Bancorp Capital Trust II 3,200 $ 157
Wendy's International Inc. 12,000 540
-----------
697
ELECTRIC - 0.3%
Reliant Energy Inc. 3,000 369
-----------
Total Preferred Stocks
(cost $1,033) 1,066
-----------
SHORT TERM INVESTMENTS - 6.5%
MONEY MARKET FUNDS - 6.5%
Dreyfus Cash Management Plus,
6.51% (b) 5,951,833 5,952
Dreyfus Government Cash
Management, 6.25% (b) 1,932,214 1,932
-----------
Total Short Term Investments
(cost $7,884) 7,884
-----------
TOTAL INVESTMENTS - 100%
(cost $115,284) $ 121,418
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
(c) 144a security. Certain conditions for public sale may exist.
(d) All or a portion of this security has been loaned.
Based on the cost of investments of $115,676 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $12,322, the gross
unrealized depreciation was $6,580 and the net unrealized appreciation on
investments was $5,742.
SCHEDULE OF OPTIONS WRITTEN, JUNE 30, 2000:
MARKET
VALUE
CONTRACTS (000'S)
-------------- -----------
15 Marsh & McLennan Cos. Inc. Call Option
Expiration July 2000, Exercise price $105 $ 4
===========
SUMMARY OF WRITTEN CALL OPTIONS FOR THE SIX MONTHS ENDED JUNE 30, 2000:
NUMBER PREMIUM
OF (000'S)
CONTRACTS
---------- -----------
Options outstanding at December 31, 1999 - $ -
Options written during the period 290 179
Options closed during the period (135) (71)
Options exercised during the period (30) (10)
Options expired during the period (110) (89)
---------- -----------
Options outstanding at June 30, 2000 15 $ 9
========== ===========
See notes to the financial statements.
17
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
<PAGE>
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $74,955) ................ $ 84,594
Receivables:
Dividends and interest .................. 26
Fund shares sold ........................ 133
Collateral for securities loaned .......... 1,180
--------------
TOTAL ASSETS .............................. 85,933
--------------
LIABILITIES
Payables:
Advisory fees ........................... 59
Administrative fees ..................... 6
Investment securities purchased ......... 2,895
Fund shares redeemed .................... 34
Return of collateral for securities loaned 1,180
--------------
TOTAL LIABILITIES ......................... 4,174
--------------
NET ASSETS ................................ $ 81,759
==============
NET ASSETS CONSIST OF:
Paid-in capital ........................... $ 70,499
Accumulated net investment loss ........... (148)
Accumulated net realized gain on
investments ............................... 1,769
Net unrealized appreciation on investments 9,639
==============
$ 81,759
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 4,674
==============
NET ASSET VALUE PER SHARE ................. $ 17.49
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ............................... $ 78
Interest ................................ 142
Securities lending ...................... 6
Foreign taxes withheld .................. (1)
--------------
TOTAL INVESTMENT INCOME ................... 225
--------------
EXPENSES
Advisory fees ........................... 338
Administrative fees ..................... 35
--------------
TOTAL EXPENSES ............................ 373
--------------
NET INVESTMENT LOSS ....................... (148)
--------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments .......... 2,577
Net change in unrealized depreciation
on investments .......................... (419)
--------------
NET REALIZED AND UNREALIZED GAIN .......... 2,158
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS ......................... $ 2,010
==============
See notes to the financial statements.
18
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss ..................................................... $ (148) $ (156)
Net realized gain on investments ........................................ 2,577 1,543
Net change in unrealized appreciation (depreciation) on investments ..... (419) 8,269
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................ 2,010 9,656
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .............................................. - -
From net realized gains on investment transactions ...................... - (2,409)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ....................................... - (2,409)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................ 37,816 42,116
Reinvestment of distributions ........................................... - 2,409
Cost of shares redeemed ................................................. (19,571) (25,221)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........................ 18,245 19,304
-------------- --------------
NET INCREASE IN NET ASSETS ................................................ 20,255 26,551
NET ASSETS BEGINNING OF PERIOD ............................................ 61,504 34,953
-------------- --------------
NET ASSETS END OF PERIOD .................................................. $ 81,759 $ 61,504
============== ==============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) .................. $ (148) $ -
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold .......................................................... 2,197 2,762
Reinvestment of distributions ........................................ - 144
Shares redeemed ...................................................... (1,147) (1,641)
-------------- --------------
Net increase ......................................................... 1,050 1,265
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .............................................. $ 39,021 $ 41,952
Proceeds from sales of securities .................................... 26,419 25,958
</TABLE>
See notes to the financial statements.
19
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS SEPTEMBER 16,
ENDED 1996* TO
JUNE 30, YEAR ENDED DECEMBER 31, DECEMBER 31,
2000 1999 1998 1997 1996
---------------- ---------------- ------------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period .................. $ 16.97 $ 14.82 $ 14.73 $ 11.54 $ 10.00
-------- -------- -------- -------- --------
Income from operations:
Net investment loss ................................... (0.03) (0.04) (0.06) (0.07) (0.01)
Net realized and unrealized gains on investments ...... 0.55 2.88 0.23 3.26 1.55
-------- -------- -------- -------- --------
Total income from operations .......................... 0.52 2.84 0.17 3.19 1.54
-------- -------- -------- -------- --------
Less distributions:
From net investment income ............................ - - - - -
From net realized gains on investment transactions .... - (0.69) (0.08) - -
-------- -------- -------- -------- --------
Total distributions ................................... - (0.69) (0.08) - -
-------- -------- -------- -------- --------
Net increase .......................................... 0.52 2.15 0.09 3.19 1.54
-------- -------- -------- -------- --------
Net asset value, end of period ........................ $ 17.49 $ 16.97 $ 14.82 $ 14.73 $ 11.54
======== ======== ======== ======== ========
Total Return (a) ...................................... 3.06 % 19.27 % 1.18 % 27.64 % 15.40 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) .............. $ 81,759 $ 61,504 $ 34,953 $ 13,493 $ 1,944
Ratio of expenses to average net assets (b) ........... 1.05 % 1.05 % 1.10 % 1.10 % 1.10 %
Ratio of net investment loss to average net assets (b) (0.42)% (0.35)% (0.42)% (0.54)% (0.26)%
Portfolio turnover .................................... 39.31 % 61.69 % 51.90 % 60.78 % 28.01 %
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
20
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
Schedule of Investments (Unaudited)
June 30, 2000
See notes to the financial
statements.
20
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 88.9%
ADVERTISING - 1.1%
Catalina Marketing Corp. (a) 9,300 $ 949
AUTO PARTS & EQUIPMENT - 0.3%
Rockford Corp. (a) (c) 50,000 209
BIOTECHNOLOGY - 3.4%
Collateral Therapeutics Inc. (a) 60,000 1,521
Lexicon Genetics Inc. (a) (c) 40,000 1,375
-----------
2,896
COMMERCIAL SERVICES - 11.5%
CDI Corp. (a) 30,000 611
International FiberCom Inc. (a) 70,000 1,785
Iron Mountain Inc. (a) 50,000 1,700
Spherion Corp. (a) 120,000 2,130
Steiner Leisure Ltd. (a) 40,000 905
Strayer Education Inc. 59,750 1,434
TeleSpectrum Worldwide Inc. (a) 175,000 798
Wackenhut Corp. (a) 35,000 328
-----------
9,691
COMPUTERS - 3.1%
Bell & Howell Co. (a) 50,000 1,213
InFocus Corp. (a) 45,000 1,448
-----------
2,661
DIVERSIFIED FINANCIAL SERVICES -
3.1%
Dain Rauscher Corp. 40,250 2,657
ELECTRICAL COMPONENTS & EQUIPMENT - 9.3%
Artesyn Technologies Inc. (a) 90,000 2,503
CommScope Inc. (a) 60,000 2,460
Interlink Electronics Inc. (a) 22,500 942
Universal Electronics Inc. (a) 80,000 1,965
-----------
7,870
ELECTRONICS - 11.0%
Ampex Corp. (a) 169,200 286
Coherent Inc. (a) 50,000 4,194
Gentex Corp. (a) 57,000 1,432
OYO Geospace Corp. (a) 30,000 600
Sawtek Inc. (a) 48,000 2,763
-----------
9,275
ENTERTAINMENT - 2.5%
World Wrestling Federation
Entertainment Inc. (a) 100,000 2,081
ENVIRONMENTAL CONTROL - 0.2%
IMCO Recycling Inc. 33,400 182
HEALTHCARE - 0.2%
Horizon Health Corp. (a) 35,000 197
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.5%
Applica Inc. (a) 115,000 $ 1,301
LODGING - 0.1%
Lodgian Inc. (a) (c) 22,000 54
MANUFACTURING - 3.2%
Cytyc Corp. (a) 50,000 2,669
MEDIA - 1.8%
Mail-Well Inc. (a) 61,000 526
Quebecor World Inc. (a) 41,860 1,015
-----------
1,541
OIL & GAS PRODUCERS - 2.5%
Patterson Energy Inc. (a) 60,000 1,710
Pride International Inc. (a) 17,000 421
-----------
2,131
PHARMACEUTICALS - 3.0%
Edwards Lifesciences Corp. (a) 90,000 1,721
Praecis Pharmaceuticals Inc. 30,000 836
-----------
2,557
REAL ESTATE - 1.5%
Meristar Hospitality Corp. 60,000 1,260
RETAIL - 8.3%
Cash America International Inc. 160,000 1,180
Genesco Inc. (a) 92,700 1,489
Guitar Center Inc. (a) 74,000 777
Hughes Supply Inc. 70,000 1,383
Tech Data Corp. (a) 50,000 2,178
-----------
7,007
SAVINGS & LOANS - 0.9%
Commercial Federal Corp. 50,000 778
SOFTWARE - 12.3%
Avid Technology Inc. (a) 100,000 1,200
Cerner Corp. (a) 85,000 2,316
Datastream Systems Inc. (a) 150,000 1,875
INSpire Insurance Solutions Inc. 90,000 270
(a)
National Computer System Inc. (a) 36,500 1,798
Wind River Systems Inc. (a) 26,500 1,004
Xircom Inc. (a) 40,000 1,900
-----------
10,363
TELECOMMUNICATIONS - 8.1%
Accelerated Networks Inc. (a) 2,700 114
EMS Technologies Inc. (a) 110,000 1,980
MasTec Inc. (a) 21,500 821
Metrocall Inc. (a) 220,000 1,980
Paradyne Networks Corp. (a) 60,000 1,954
-----------
6,849
-----------
See notes the financial statements.
21
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Total Common Stocks
(cost $65,539) $ 75,178
-----------
SHORT TERM INVESTMENTS- 11.1%
MONEY MARKET FUNDS - 9.3%
Dreyfus Cash Management Plus,
6.51% (b) 3,955,308 3,955
Dreyfus Government Cash
Management, 6.25% (b) 3,955,113 3,955
-----------
7,910
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
REPURCHASE AGREEMENTS - 1.8%
Repurchase agreement with Boston
Safe Deposit & Trust, 4.15%
(Collateralized by $1,385,000
Federal Home Loan Mortgage Corp.
6.00%, due 01/01/2019, market
value $1,568,309) acquired on
06/30/2000, due
07/03/2000 $1,506,000 1,506
-----------
Total Short Term Investments
(cost $9,416) 9,416
-----------
TOTAL INVESTMENTS - 100%
(cost $74,955) $ 84,594
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
(c) All or a portion of this security has been loaned.
Based on the cost of investments of $75,027 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $17,556 the gross
unrealized depreciation was $7,989 and the net unrealized appreciation on
investments was $9,567.
See notes to the financial statements.
22
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $15,532) ................. $ 15,944
Receivables:
Dividends and interest ................... 15
Fund shares sold ......................... 166
Investment securities sold ............... 192
--------------
TOTAL ASSETS ............................... 16,317
--------------
LIABILITIES
Payables:
Administrative fees ...................... 1
Advisory fees ............................ 10
Fund shares redeemed ..................... 1
Investment securities purchased .......... 445
--------------
TOTAL LIABILITIES .......................... 457
--------------
NET ASSETS ................................. $ 15,860
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 15,489
Undistributed net investment income ........ 29
Accumulated net realized loss on
investments ................................ (70)
Net unrealized appreciation on investments . 412
--------------
$ 15,860
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 1,528
==============
NET ASSET VALUE PER SHARE .................. $ 10.38
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ 66
Interest ................................. 8
--------------
TOTAL INVESTMENT INCOME .................... 74
--------------
EXPENSES
Advisory fees ............................ 40
Administrative fees ...................... 5
--------------
TOTAL EXPENSES ............................. 45
--------------
NET INVESTMENT INCOME ...................... 29
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized loss on investments ........... (82)
Net change in unrealized appreciation
on investments ........................... 136
--------------
NET REALIZED AND UNREALIZED GAIN ........... 54
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 83
==============
See notes to the financial statements.
23
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MAY 16,
ENDED 1999* TO
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 29 $ 17
Net realized gain (loss) on investments ...................................... (82) 48
Net change in unrealized appreciation on investments ......................... 136 276
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 83 341
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - (17)
From net realized gains on investment transactions ........................... - (36)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ - (53
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 11,457 5,000
Reinvestment of distributions ................................................ - 53
Cost of shares redeemed ...................................................... (1,021) -
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 10,436 5,053
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 10,519 5,341
NET ASSETS BEGINNING OF PERIOD ................................................. 5,341 -
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 15,860 $ 5,341
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 29 $ -
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 1,122 500
Reinvestment of distributions ............................................. - 5
Shares redeemed ........................................................... (99) -
--------------- ---------------
Net increase .............................................................. 1,023 505
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities $ 12,534 $ 6,533
Proceeds from sales of securities 2,106 1,530
</TABLE>
--------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
24
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MAY 16,
ENDED 1999* TO
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
SELECTED PER SHARE DATA
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ......................................... $ 10.58 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ...................................................... 0.02 0.03
Net realized and unrealized gains (losses) on investments .................. (0.22) 0.65
--------------- ---------------
Total income (loss) from operations ........................................ (0.20) 0.68
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................. - (0.03)
From net realized gains on investment transactions ......................... - (0.07)
--------------- ---------------
Total distributions ........................................................ - (0.10)
--------------- ---------------
Net increase (decrease) .................................................... (0.20) 0.58
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ............................................... $ 10.38 $ 10.58
=============== ===============
TOTAL RETURN (A) ............................................................. (1.89)% 6.85%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................... $ 15,860 $ 5,341
Ratio of expenses to average net assets (b) ................................ 0.90% 0.90%
Ratio of net investment income to average net assets (b) ................... 0.57% 0.56%
Portfolio turnover ......................................................... 20.75% 34.39%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
25
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------------
COMMON STOCKS - 98.0%
AEROSPACE & DEFENSE - 1.1%
B.F. Goodrich Co. 400 $ 14
Boeing Co. 1,200 50
Honeywell International Inc. 2,900 98
Lockheed Martin Corp. 300 7
Raytheon Co. - Class B 100 2
------------
171
AIRLINES - 0.1%
AMR Corp. (a) 200 5
Delta Air Lines Inc. 100 5
Southwest Airlines Co. 230 5
------------
15
APPAREL - 0.2%
Jones Apparel Group Inc. (a) 400 9
Nordstrom Inc. 300 7
The Limited Inc. (a) 1,000 22
------------
38
AUTO MANUFACTURERS - 1.5%
Ford Motor Co. 2,900 125
General Motors Corp. 1,800 105
PACCAR Inc. 200 8
------------
238
AUTO PARTS & EQUIPMENT - 0.4%
Dana Corp. 500 11
Delphi Automotive Systems Corp. 1,600 23
Goodyear Tire & Rubber Co. 500 10
Johnson Controls Inc. 200 10
Visteon Corp. 367 5
------------
59
BANKS - 2.4%
AmSouth Bancorporation 100 2
Bank of America Corp. 700 30
Bank One Corp. 2,200 58
Banknorth Group Inc. 270 4
Comerica Inc. 100 4
Compass Bancshares Inc. 200 3
First Tennessee National Corp. 300 5
First Union Corp. 2,200 55
Firstar Corp. 1,500 32
Fleet Boston Financial Corp. 1,300 44
Hibernia Corp. 120 1
KeyCorp 1,000 18
Marshall & Ilsley Corp. 200 8
Mercantile Bankshares Corp. 150 4
North Fork Bancorporation Inc. 400 6
Paine Webber Group Inc. 100 5
PNC Financial Services Group 600 28
Regions Financial Corp. 400 8
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------------
SouthTrust Corp. 400 $ 9
Summit Bancorp 400 10
SunTrust Banks Inc. (a) 100 5
TCF Financial Corp. 160 4
U.S. Bancorp 1,800 35
------------
378
BEVERAGES - 0.6%
Coca-Cola Co. 1,800 103
BIOTECHNOLOGY - 0.2%
Genzyme Corp. General Division (a) 270 16
Incyte Genomics Inc. (a) 100 8
PE Corp.- PE Biosystems Group 100 7
------------
31
CHEMICALS - 0.8%
Air Products & Chemicals Inc. 1,000 31
Dow Chemical Co. 1,500 45
Praxair Inc. 700 26
Rohm & Haas Co. 700 24
------------
126
COMMERCIAL SERVICES - 0.3%
Cendant Corp. (a) 1,750 25
FedEx Corp. (a) 600 23
------------
48
COMPUTERS - 10.5%
3Com Corp. (a) 200 12
Apple Computer Inc. (a) 600 31
Cisco Systems Inc. (a) 11,300 715
Compaq Computer Corp. 2,400 61
Dell Computer Corp. (a) 4,400 217
Electronic Data Systems Corp. 600 25
EMC Corp. (a) 600 46
Hewlett-Packard Co. 1,700 212
International Business Machines
Corp. 800 87
Sun Microsystems Inc. (a) 2,900 264
------------
1,670
COSMETICS & PERSONAL CARE - 2.1%
Estee Lauder Cos. Inc. n 400 20
Gillette Co. 2,900 101
Kimberly-Clark Corp. 1,200 75
Procter & Gamble Co. 2,500 143
------------
339
DIVERSIFIED FINANCIAL SERVICES - 7.3%
A.G. Edwards Inc. (a) 200 8
Associated First Capital Corp. 1,700 38
Bear Stearns Cos. Inc. 205 9
Capital One Financial Corp. 400 18
Charles Schwab Corp. 3,520 118
CIT Group Inc. 600 10
Citigroup Inc. 6,400 386
Countrywide Credit Industries Inc. 100 3
See notes to the financial statements.
26
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
--------------------------------------------------- ------------
E*TRADE Group Inc. 700 $ 12
Fannie Mae 2,400 125
Franklin Resources Inc. 600 18
Freddie Mac 600 69
Goldman Sachs Group Inc. 1,100 104
John Hancock Financial Services
Inc. (a) 1,200 28
Lehman Brothers Holdings Inc. 300 28
Merrill Lynch & Co. Inc. 1,000 115
Morgan Stanley Dean Witter & Co. 400 33
Providian Financial Corp. 400 36
TD Waterhouse Group Inc. (a) 700 12
------------
1,170
ELECTRIC - 1.6%
Allegheny Energy Inc. 200 5
Ameren Corp. 300 10
American Electric Power Co. Inc. 420 12
Cinergy Corp. 400 10
CMS Energy Corp. 300 7
Consolidated Edison Inc. 500 15
Dominion Resources Inc. 400 17
DTE Energy Co. 400 12
Edison International 1,000 21
Entergy Corp. 700 19
FPL Group Inc. 500 25
GPU Inc. 400 11
NiSource Inc. 300 6
PG&E Corp. 1200 30
Pinnacle West Capital Corp. 200 7
PPL Corp. 400 9
Teco Energy Inc. 100 2
TXU Corp. 800 24
Wisconsin Energy Corp. 400 8
------------
250
ELECTRICAL COMPONENTS & EQUIPMENT -
0.4%
CP&L Energy Inc. 900 29
Emerson Electric Co. 700 42
------------
71
ELECTRONICS - 0.1%
Parker Hannifin Corp. 500 17
FOOD - 1.7%
Bestfoods 400 28
General Mills Inc. 300 11
H.J. Heinz Co. 1,000 44
Kellogg Co. 1,100 33
Kroger Co. (a) 1,900 42
Nabisco Holdings Corp. 20 1
Quaker Oats Co. 500 38
Safeway Inc. (a) 200 9
Unilever NV - NYS 1,400 60
------------
266
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------------
FOREST PRODUCTS & PAPER - 0.4%
Fort James Corp. 600 $ 14
Georgia-Pacific Corp. 500 13
International Paper Co. 1,200 36
------------
63
HAND & MACHINE TOOLS - 0.1%
W.W. Grainger Inc. 400 12
HEALTHCARE - 1.2%
Becton, Dickinson & Co. 1,000 29
Boston Scientific Corp. (a) 1,000 22
C.R. Bard Inc. (a) 200 10
Guidant Corp. 100 5
HCA-The Healthcare Co. 1,300 39
Medtronic Inc. 1,000 50
Tenet Healthcare Corp. (a) 1,110 30
Wellpoint Health Networks Inc. (a) 200 14
------------
199
HOLDING COMPANIES-DIVERSIFIED - 0.4%
Ameritrade Holding Corp. - Class A (a) 300 3
Seagram Co. Ltd. 1,030 60
------------
63
HOME BUILDERS - 0.0%
USG Corp. 50 2
HOUSEHOLD PRODUCTS - 0.1%
Clorox Co. 500 22
INSURANCE - 2.9%
Aetna Inc. 500 32
Allstate Corp. 2,700 60
AMBAC Financial Group Inc. 30 16
American General Corp. 300 18
American International Group Inc. 600 71
AON Corp. 800 25
AXA Financial Inc. 1,500 51
Cigna Corp. 500 47
Hartford Financial Services Group Inc. 700 39
Lincoln National Corp. 700 25
MBIA Inc. 300 15
MetLife Inc. (a) 2,800 59
Torchmark Corp. 400 10
------------
468
IRON & STEEL - 0.1%
Allegheny Technologies Inc. 240 4
Nucor Corp. 200 7
------------
11
LEISURE TIME - 0.1%
Hasbro Inc. 500 8
Mattel Inc. 1,000 13
------------
21
See notes to the financial statements.
27
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------------
LODGING - 0.2%
Marriott International Inc. - Class A 600 $ 22
Starwood Hotels & Resorts Worldwide Inc. 400 13
------------
35
MACHINERY - 0.7%
Caterpillar Inc. 1,300 44
Cooper Cameron Corp. (a) 100 7
Ingersoll-Rand Co. 800 32
Rockwell International Corp. 1,000 32
------------
115
MANUFACTURING - 6.1%
Agilent Technologies Inc. (a) 724 53
Cooper Industries Inc. 400 13
Corning Inc. 200 54
Eastman Kodak Co. 900 54
Eaton Corp. 400 27
General Electric Co. 12,200 647
ITT Industries Inc. 400 12
PPG Industries Inc. 700 31
Temple-Inland Inc. 200 8
Tyco International Ltd. 1,500 71
------------
970
MEDIA - 3.6%
AT&T -Liberty Media Group - Class A (a) 3,400 82
Comcast Corp. 2,000 81
Fox Entertainment Group Inc. (a) 400 12
Gannett Co. Inc. 700 42
Knight Ridder Inc. 200 11
MediaOne Group Inc. (a) 1,500 99
New York Times Co. 300 12
Time Warner Co. 3,100 236
------------
575
METALS & MINING - 0.6%
Alcoa Inc. 2,824 82
Phelps Dodge Corp. 200 7
------------
89
OFFICE & BUSINESS EQUIPMENT - 0.3%
Lexmark International Group Inc. (a) 300 20
Xerox Corp. 1,500 31
------------
51
OIL & GAS PRODUCERS - 6.0%
Apache Corp. 200 12
Baker Hughes Inc. 500 16
Chevron Corp. 1,000 85
Columbia Energy Group 90 6
Conoco Inc. - Class A 300 7
Conoco Inc. - Class B 700 17
Devon Energy Group 100 6
Diamond Offshore Drilling Inc. 100 4
Dynegy Inc. - Class A 200 14
El Paso Energy Corp. 400 20
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
------------------------------------------------------------------
Enron Corp. 100 $ 6
Ensco International Inc. 190 7
Exxon Mobil Corp. 5,500 432
Global Marine Inc. (a) 300 8
Phillips Petroleum Co. 100 5
Royal Dutch Petroleum Co. - NYS 3,400 209
Texaco Inc. 900 48
Tosco Corp. 20 6
Ultramar Diamond Shamrock Corp. 100 2
Union Pacific Resources Group Inc. 800 18
Williams Cos. Inc. 700 29
------------
957
PACKAGING & CONTAINERS - 0.1%
Smurfit-Stone Container Corp. (a) 700 9
PHARMACEUTICALS - 9.6%
Abbott Laboratories 2,400 107
ALZA Corp. (a) 900 53
American Home Products Corp. 2,170 127
Bristol-Myers Squibb Co. 3,300 192
Eli Lilly & Co. 1,900 190
Forest Laboratories Inc. (a) 400 40
IDEC Pharmaceuticals Corp. (a) 100 12
Johnson & Johnson 600 61
Merck & Co. Inc. 3,600 276
Pfizer Inc. 4,350 209
Pharmacia Corp. 2,100 109
Schering-Plough Corp. 2,400 121
St. Jude Medical Inc. (a) 300 14
Watson Pharmaceutical Inc. (a) 200 11
------------
1,522
RETAIL - 5.4%
Abercrombie & Fitch Co. - Class A (a) 40 1
Best Buy Co. Inc. (a) 500 32
Circuit City Stores Inc. 500 17
Federated Department Stores Inc. (a) 500 17
Gap Inc. 2,000 62
Home Depot Inc. 1,900 94
J.C. Penny Inc. 600 11
K Mart Corp. (a) 1,000 7
Lowes's Cos. Inc. 900 37
May Department Stores Co. 800 19
McDonald's Corp. 1,900 62
Sears, Roebuck & Co. 900 29
Target Corp. (a) 1,100 64
TJX Companies Inc. 700 13
Wal-Mart Stores Inc. 6,900 398
------------
863
SAVINGS & LOANS - 0.4%
Charter One Financial Inc. 400 9
Dime Bancorp Inc. 500 8
Golden West Financial Corp. 300 12
Greenpoint Financial Corp. 200 4
Washington Mutual Inc. 1,100 32
------------
65
See notes to the financial statements.
28
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 STOCK INDEX SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------------
SEMICONDUCTORS - 8.2%
Advanced Micro Devices (a) 300 $ 23
Altera Corp. (a) 500 51
Applied Materials Inc. (a) 1,600 145
Intel Corp. 5,400 722
Lattice Semiconductor Corp. (a) 200 14
Motorola Inc. 3,900 113
National Semiconductor Corp. (a) 400 23
Texas Instruments Inc. 3,100 213
------------
1,304
SOFTWARE - 8.7%
Adobe Systems Inc. 200 26
America Online Inc. (a) 3,300 174
Autodesk Inc. 100 3
Automatic Data Processing Inc. 100 5
BMC Software Inc. (a) 400 15
Citrix Systems Inc. (a) 500 9
Computer Associates International 1,200 61
Inc.
Microsoft Corp. (a) 8,600 688
Network Associates Inc. (a) 200 4
Oracle Corp. (a) 1,500 126
Seagate Technology Inc. (a) 600 33
Siebel Systems Inc. (a) 400 65
Symantec Corp. 100 5
TIBCO Software Inc. (a) 300 32
Veritas Software Corp. (a) 600 68
Yahoo Inc. (a) 600 74
------------
1,388
TELECOMMUNICATIONS - 9.8%
Allegiance Telecom Inc. (a) 400 26
Alltel Corp. 600 37
AT&T Corp. 3,900 123
BellSouth Corp. 300 13
DoubleClick Inc. (a) 300 11
Global Crossing Ltd. (a) 1,500 39
GTE Corp. 1,700 106
Human Genome Sciences Inc. (a) 100 13
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------------
Lucent Technologies Inc. 1,600 $ 95
Nortel Networks Corp. 5,600 382
Qualcomm Inc. (a) 400 24
SBC Communications Inc. 5,100 221
Sprint Corp. (PCS Group) (a) 1,000 60
Tellabs Inc. (a) 900 62
US West Inc. 500 43
Verizon Communications 2,100 107
WorldCom Inc. (a) 4,500 206
------------
1,568
TOBACCO - 1.1%
Philip Morris Cos. Inc. 6,700 183
TRANSPORTATION -- 0.5%
Burlington Northern Santa Fe Corp. 1,100 25
CSX Corp. 500 11
Norfolk Southern Corp. 900 13
Union Pacific Corp. 900 33
------------
82
WATER - 0.0%
American Waterworks Co. Inc. 200 5
------------
Total Common Stocks
(cost $15,220) 15,632
------------
SHORT TERM INVESTMENT - 2.0%
MONEY MARKET FUND - 2.0%
Dreyfus Cash Management Plus,
6.51% (b) 312,462 312
------------
Total Short Term Investment
(cost $312) 312
------------
TOTAL INVESTMENTS - 100%
(cost $15,532) $ 15,944
============
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
Based on the cost of investments of $15,534 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,659, the gross
unrealized depreciation was $1,249 and the net unrealized appreciation on
investments was $410.
See notes to the financial statements.
29
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $8,997) $ 10,017
Foreign currency 126
Receivables:
Dividends and interest 8
Forward currency contracts 8
Foreign taxes recoverable 18
Fund shares sold 1
Investment securities sold 245
Variation margin 1
--------------
TOTAL ASSETS 10,424
--------------
LIABILITIES
Cash overdraft 189
Payables:
Advisory fees 8
Administrative fees 1
Forward currency contracts 25
Fund shares redeemed 4
Investment securities purchased 163
--------------
TOTAL LIABILITIES 390
--------------
NET ASSETS $ 10,034
==============
NET ASSETS CONSIST OF:
Paid-in capital ................................ $ 8,512
Undistributed net investment income ............ 45
Accumulated net realized gain on investments
and foreign currency related items ........... 475
Net unrealized appreciation (depreciation)
on: Investments and foreign currency
related items ................................ 1,004
Futures contracts ............................ (2)
==============
$ 10,034
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .................. 787
==============
NET ASSET VALUE PER SHARE ...................... $ 12.75
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends .................................... $ 91
Foreign taxes withheld ....................... (11)
--------------
TOTAL INVESTMENT INCOME ........................ 80
--------------
EXPENSES
Advisory fees ................................ 43
Administrative fees .......................... 4
--------------
TOTAL EXPENSES ................................. 47
--------------
NET INVESTMENT INCOME .......................... 33
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments .................................. 305
Futures contracts ............................ (19)
Foreign currency related items ............... (10)
Net change in unrealized depreciation on:
Investments .................................. (476)
Futures contracts ............................ (24)
Foreign currency related items ............... (16)
--------------
NET REALIZED AND UNREALIZED LOSS ............... (240)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS .............................. $ (207)
==============
See notes to the financial statements.
30
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 33 $ 31
Net realized gain (loss) on:
Investments ................................................................ 305 459
Futures contracts .......................................................... (19) 47
Foreign currency related items ............................................. (10) 104
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ (476) 1,410
Futures contracts .......................................................... (24) 22
Foreign currency related items ............................................. (16) (26)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... (207) 2,047
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - (118)
From net realized gains on investment transactions ........................... - (113)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ - (231)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 3,069 1,868
Reinvestment of distributions ................................................ - 231
Cost of shares redeemed ...................................................... (605) (1,135)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 2,464 964
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 2,257 2,780
NET ASSETS AT BEGINNING OF PERIOD .............................................. 7,777 4,997
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 10,034 $ 7,777
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 45 $ 12
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold .................................................................. 243 165
Reinvestment of distributions ................................................ - 17
Shares redeemed .............................................................. (47) (100)
--------------- ---------------
Net increase ................................................................. 196 82
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ...................................................... $ 5,749 $ 4,860
Proceeds from sales of securities ............................................ 3,062 3,728
</TABLE>
See notes to the financial statements.
31
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
---------------- ---------------- ----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................ $ 13.15 $ 9.82 $ 10.00
---------------- ---------------- ----------------
INCOME FROM OPERATIONS:
Net investment income ..................................................... 0.04 0.06 0.08
Net realized and unrealized gains (losses) on investments
futures contracts and foreign currency related items .................... (0.44) 3.67 (0.20)
---------------- ---------------- ----------------
Total income (loss) from operations ....................................... (0.40) 3.73 (0.12)
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income ................................................ - (0.21) (0.06)
From net realized gains on investment transactions ........................ - (0.19) -
---------------- ---------------- ----------------
Total distributions ....................................................... - (0.40) (0.06)
---------------- ---------------- ----------------
Net increase (decrease) ................................................... (0.40) 3.33 (0.18)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD .............................................. $ 12.75 $ 13.15 $ 9.82
================ ================ ================
TOTAL RETURN (A) ............................................................ (3.04)% 38.02% (1.24)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .................................. $ 10,034 $ 7,777 $ 4,997
Ratio of expenses to average net assets (b) ............................... 1.075% 1.075% 1.125%
Ratio of net investment income to average net assets (b) .................. 0.75% 0.53% 0.62%
Portfolio turnover ........................................................ 36.18% 66.82% 231.88%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ............................... n/a n/a 2.64%
Ratio of net investment loss to average net assets (b) .................... n/a n/a (0.90)%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
32
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 96.4%
AIRLINES - 0.6%
British Airways Plc 9,900 $ 57
AUTO MANUFACTURERS - 1.2%
Honda Motor Co. Ltd. 2,000 68
Hyuandai Motor Company Ltd. -
GDR (a) 8,300 54
-----------
122
AUTO PARTS & EQIUPMENT - 0.6%
Autoliv Inc - SDR (a) 2,200 54
BANKS - 12.3%
Banco Bilbao Vizcaya Argentaria 9,800 147
SA
Banco Santander Central Hispano 8,800 93
SA
Bank Austria AG 940 46
Bank of East Asia 36,500 85
BNP Paribas 2,000 193
Chuo Mitsui Trust & Banking Co. 7,000 31
Ltd.
Credit Suisse Group 640 128
DBS Group Holdings Ltd. 7,440 96
Fuji Bank Ltd. 12,000 91
H&CB - GDR 1,200 28
Lloyds TSB Group Plc 2,200 21
Overseas Union Bank Ltd. 13,392 52
Royal Bank of Canada 1,080 56
Skandinaviska Enskilda Banken 4,700 56
UBS AG 760 112
-----------
1,235
BEVERAGES - 0.4%
Heineken Holding NV - Class A (a) 1,000 39
BUILDING MATERIALS - 1.0%
Taiheiyo Cement Corp. 16,000 34
Tostem Corp. 4,000 65
-----------
99
CHEMICALS - 3.6%
Akzo Nobel NV 2,590 110
Mitsubishi Chemical Corp. 34,000 140
Rhodia SA 6,200 105
-----------
355
COMMERCIAL SERVICES - 3.2%
Dai Nippon Printing Co. Ltd. 3,000 53
Vedior NV 1,458 18
Vivendi SA 2,810 249
-----------
320
COMPUTERS - 2.4%
Equant NV (a) 870 35
Fujitsu Ltd. 6,000 208
-----------
243
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COSMETICS & PERSONAL CARE - 1.2%
Christian Dior SA 291 $ 66
Givaudian (a) 11 3
Paris Miki Inc. 792 52
-----------
121
DIVERSIFIED FINANCIAL SERVICES -
1.1%
Guoco Group Ltd. 8,000 16
Skandia Forsakrings AB 1,560 41
Unicredito Italiano SpA 11,500 55
-----------
112
ELECTRIC - 2.6%
First Philippine Holdings Corp. 31,000 16
Hongkong Electric Holdings Ltd. 47,000 151
Huaneng Power International
Inc. 58,000 19
Huaneng Power International Inc.
- ADR 5,600 75
-----------
261
ELECTRICAL COMPONENTS & EQUIPMENT - 3.9%
Koninklijke (Royal) Philips
Electronics NV(a) 7,700 365
National Power Plc 4,000 26
-----------
391
ENGINEERING & CONSTRUCTION - 3.7%
ABB Ltd. 800 93
ACS SA 2,150 61
Compagnie de Saint-Gobain 200 27
Suez Lyonnaise des Eaux SA 1,090 192
-----------
373
FOOD - 3.0%
Bary Callebaut AG 100 14
Greencore Group Plc 5,700 15
Groupe Danone (a) 350 47
Laurus NV 3,300 40
Nestle SA 90 181
-----------
297
FOREST PRODUCTS & PAPER - 0.6%
Stora Enso Oyj 6,788 62
HOLDINGS COMPANIES - DIVERSIFIED -
2.0%
Hutchison Whampoa Ltd. 5,900 74
South African Breweries Plc 16,534 123
-----------
197
INSURANCE - 5.9%
Allied Zurich Plc 9,500 112
Bayerische Vita SpA 1,300 11
CGNU Plc 3,024 50
Royal & Sun Alliance
Insurance Group Plc 18,745 122
See notes to the financial statements.
33
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Schedule of Investments (Unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Sampo Insurance Co. Ltd. - Class A 1,200 $ 49
Swiss Re 65 133
Tokio Marine & Fire Insurance 10,000 116
Co. Ltd.
-----------
593
IRON & STEEL - 0.9%
Acerinox SA 1,446 42
Nisshin Steel Co. Ltd. 42,000 46
-----------
88
MACHINERY - 0.8%
Sidel SA 930 76
MANUFACTURING - 1.4%
Mitsubishi Corp. 15,000 136
Toppan Forms Co. Ltd. 100 2
-----------
138
MEDIA - 4.0%
ABS-CBN Broadcasting Corp. - ADR 37,500 46
Grupo Televisa SA - GDR (a) 1,900 131
News Corp. Ltd. 7,900 109
Singapore Press Holdings Ltd. 5,000 78
Toppan Printing Co. Ltd. 3,900 41
-----------
405
METAL & MINING - 1.4%
WMC Ltd. (a) 32,000 144
OIL & GAS PRODUCERS - 7.9%
Coflexip SA 1,097 134
Santos Ltd. (a) 35,500 109
Shell Transport & Trading Co. 12,500 104
Southern Pacific Petroleum NL (a) 29,770 34
Surgutneftegaz - ADR 8,900 119
Total Fina Elf SA 1,850 285
Total Fina SA - Class B 10 2
-----------
787
PHARMACEUTICALS - 7.0%
Merck KgaA 800 24
Novartis AG 73 116
Roche Holding AG 17 166
Schering AG 2,190 122
Takeda Chemical Industries Ltd. 2,788 183
Yamanouchi Pharmaceutical Co.
Ltd. 1,600 88
-----------
699
REAL ESTATE - 0.3%
Consorcio ARA SA (a) 29,800 35
RETAIL - 1.3%
Carrefour SA 1,110 76
Tesco Plc 17,900 56
-----------
132
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
SEMICONDUCTORS - 4.1%
Chartered Semiconductor
Manufacturing Ltd. - ADR (a) 1,400 $ 126
Rohm Co. Ltd. 700 205
STMicroelectronics NV (a) 1,220 77
-----------
408
SOFTWARE - 0.8%
Softbank Corp. 600 82
TELECOMMUNICATIONS - 13.7%
Alcatel 5,230 344
Cable & Wireless Plc 3,850 65
China Unicom - ADR (a) 2,650 56
China Unicom Ltd. (a) 58,000 123
Compania Anonima Nacional
Telefonos
de Venezuela - ADR 2,900 79
Embratel Participacoes SA - ADR 7,650 181
Indra Sistemas SA 1,818 42
Swisscom AG 370 129
Vodafone AirTouch Plc 87,745 355
-----------
1,374
TOBACCO - 0.9%
British American Tobacco Plc 4,600 31
Cie. Financiere Richemont- A
Units 22 59
-----------
90
TRANSPORTATION - 2.6%
Neptune Orient Lines Ltd. 51,000 47
Nippon Yusen Kabushiki Kaisha 16,000 77
Railtrack Group Plc 3,000 47
Stolt-Nielsen SA - ADR 1,800 32
West Japan Railway Co. 15 61
-----------
264
-----------
Total Common Stocks
(cost $8,694) 9,653
-----------
PREFERRED STOCKS - 1.0%
DIVERSIFIED FINANCIAL SERVICES -
0.3%
Marschollek Lautenschlaeger und
Partner AG 70 35
MEDIA - 0.7%
News Corp. Ltd. 5,600 68
-----------
Total Preferred Stocks
(cost $99) 103
-----------
CONVERTIBLE BONDS - 2.1%
ELECTRIC - 0.7%
Huaneng Power International Plc,
1.75%, 05/21/2004 $ 65,000 72
See notes to the financial statements.
34
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Schedule of Investments (Unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
TELECOMMUNICATIONS - 1.4%
Telefonica Europe BV,
2.00%, 07/15/2002 (a) $ 64,000 $ 140
-----------
Total Convertible Bonds
(cost $155) 212
-----------
SHORT TERM INVESTMENT - 0.5%
U.S. TREASURY SECURITY - 0.5%
U.S. Treasury Bill, 10/12/2000 (b) 50,000 49
-----------
Total Short Term Investment
(cost $49) 49
-----------
TOTAL INVESTMENTS - 100%
(cost $8,997) $ 10,017
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Security has been pledged to cover margin requirements for open futures
contracts.
Based on the cost of investments of $9,004 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,596, the gross
unrealized depreciation was $583 and the net unrealized appreciation on
investments was $1,013.
FORWARD CURRENCY CONTRACTS, OPEN AT JUNE 30, 2000 (IN THOUSANDS):
CURRENCY
UNITS
CURRENCY PURCHASED/SOLD PURCHASED CURRENCY UNREALIZED
AND SETTLEMENT DATE (SOLD) VALUE IN $ GAIN (LOSS)
U.S.
--------------------------- ------------- -------------- --------------
Australian
Dollar 09/14/00 (371) $ 223 $ (4)
British Pound 09/14/00 34 51 2
British Pound 09/14/00 402 609 -
Canadian Dollar 09/14/00 75 51 -
Canadian Dollar 09/14/00 484 327 (2)
Danish Krone 09/14/00 209 27 -
Euro 09/14/00 110 106 (1)
Euro 09/14/00 75 72 -
Euro 09/14/00 597 575 1
Euro 09/14/00 (107) 103 (1)
Hong Kong Dollar 09/14/00 161 21 (1)
Hong Kong Dollar 09/14/00 (1,513) 194 -
Japanese Yen 09/14/00 19,372 186 (7)
Japanese Yen 09/14/00 14,000 134 (1)
Japanese Yen 09/14/00 12,886 123 1
Norwegian Krone 09/14/00 (221) 26 (1)
Singapore Dollar 09/14/00 (501) 292 1
Swedish Krona 09/14/00 1,443 166 -
Swedish Krona 09/14/00 (897) 103 2
Swiss Franc 09/14/00 (780) 483 (6)
==============
$ (17)
==============
See notes to the financial statements.
35
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Schedule of Investments (Unaudited)(continued)
SCHEDULE OF FUTURES CONTRACTS, JUNE 30, 2000:
CONTRACTS UNREALIZED
($100,000 DEPRECIATION
PER CONTRACT) (000'S)
---------------- --------------
1 Euro Stoxx 50 Index Future
Expiration September 2000 $ (2)
==============
SUMMARY OF INVESTMENTS BY COUNTRY, JUNE 30, 2000:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
-------------------------------------------------------- ------------------
Australia 4.6% $ 463
Austria 0.5% 46
Belgium 0.0% 2
Canada 0.6% 56
China 1.6% 166
Finland 0.5% 49
France 18.7% 1,871
Germany 1.8% 181
Hong Kong 4.5% 450
Ireland 0.1% 15
Italy 0.7% 66
Japan 17.8% 1,779
Mexico 1.7% 166
Netherlands 7.5% 748
Norway 0.3% 32
Philippines 0.6% 62
Russia 1.2% 119
Singapore 2.7% 273
South Africa 1.2% 123
South Korea 0.8% 81
Spain 3.8% 385
Sweden 3.1% 307
Switzerland 10.4% 1,041
United Kingdom 10.4% 1,045
United States 4.9% 491
------------------- ------------------
TOTAL 100.0% $ 10,017
=================== ==================
See notes to the financial statements.
36
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $712,600) ................. $ 838,195
Foreign currency ............................ 8
Receivables:
Dividends and interest .................... 135
Forward currency contracts ................ 1,085
Fund shares sold .......................... 5,521
Investment securities sold ................ 2,876
Collateral for securities loaned ............ 27,135
--------------
TOTAL ASSETS ................................ 874,955
--------------
LIABILITIES
Payables:
Advisory fees ............................. 610
Administrative fees ....................... 69
Forward currency contracts ................ 1,008
Fund shares redeemed ...................... 238
Investment securities purchased ........... 258
Return of collateral for securities loaned .. 27,135
--------------
TOTAL LIABILITIES ........................... 29,318
--------------
NET ASSETS .................................. $ 845,637
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 610,240
Accumulated net investment loss ............. (418)
Accumulated net realized gain on
investments and foreign currency
related items ............................. 110,144
Net unrealized appreciation on investments
and foreign currency related items ........ 125,671
==============
$ 845,637
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 21,739
==============
NET ASSET VALUE PER SHARE ................... $ 38.90
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ 952
Interest .................................. 2,841
Securities lending ........................ 132
Foreign taxes withheld .................... (64)
--------------
TOTAL INVESTMENT INCOME ..................... 3,861
--------------
EXPENSES
Advisory fees ............................. 3,416
Administrative fees ....................... 389
--------------
TOTAL EXPENSES .............................. 3,805
--------------
NET INVESTMENT INCOME ....................... 56
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on:
Investments ............................... 65,360
Foreign currency related items ............ 5,137
Net change in unrealized depreciation on:
Investments ............................... (99,844)
Foreign currency related items ............ (1,736)
--------------
NET REALIZED AND UNREALIZED LOSS ............ (31,083)
--------------
NET DECREASE IN NET ASSETS FROM OPERATIONS .. $ (31,027)
==============
See notes to the financial statements.
37
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
---------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ........................................................... $ 56 $ (1,333)
Net realized gain on:
Investments .......................................................................... 65,360 74,216
Foreign currency related items ....................................................... 5,137 435
Net change in unrealized appreciation (depreciation) on:
Investments .......................................................................... (99,844) 182,082
Foreign currency related items ....................................................... (1,736) 1,792
---------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................................... (31,027) 257,192
---------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................. - -
From net realized gains on investment transactions ..................................... - (44,748)
---------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ...................................................... - (44,748)
---------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ....................................................... 482,437 395,548
Reinvestment of distributions .......................................................... - 44,748
Cost of shares redeemed ................................................................ (260,319) (160,036)
---------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ....................................... 222,118 280,260
---------------- --------------
NET INCREASE IN NET ASSETS ............................................................... 191,091 492,704
NET ASSETS BEGINNING OF PERIOD ........................................................... 654,546 161,842
---------------- --------------
NET ASSETS END OF PERIOD ................................................................. $ 845,637 $ 654,546
================ ==============
ACCUMULATED NET INVESTMENT LOSS .......................................................... $ (418) $ (474)
================ ==============
(1)SHARE TRANSACTIONs:
Shares sold ......................................................................... 11,616 13,189
Reinvestment of distributions ....................................................... - 1,132
Shares redeemed ..................................................................... (6,251) (5,275)
---------------- --------------
Net increase ........................................................................ 5,365 9,046
================ ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................. $ 283,823 $ 512,220
Proceeds from sales of securities ................................................... 177,799 299,891
</TABLE>
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
2000 1999 1998 1997
--------------------------------------------------------
<S> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ................ $ 39.97 $ 22.09 $ 14.53 $ 13.38
-------- -------- -------- --------
Income from operations:
Net investment income (loss) ........................ 0.01 (0.06) (0.06) 0.04
Net realized and unrealized gains (losses) on
investments and foreign currency related items ...... (1.08) 20.87 8.45 1.65
-------- -------- -------- --------
Total income (loss) from operations ................. (1.07) 20.81 8.39 1.69
-------- -------- -------- --------
Less distributions:
From net investment income .......................... - - (0.05) -
From net realized gains on investment transactions .. - (2.93) (0.78) (0.54)
Return of capital ................................... - - - -
-------- -------- -------- --------
Total distributions ................................. - (2.93) (0.83) (0.54)
-------- -------- -------- --------
Net increase (decrease) ............................. (1.07) 17.88 7.56 1.15
-------- -------- -------- --------
Net asset value, end of period ...................... $ 38.90 $ 39.97 $ 22.09 $ 14.53
======== ======== ======== ========
Total Return (a) .................................... (2.68)% 94.43 % 57.66 % 12.67 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ............ 845,637 $ 654,546 $ 161,842 $ 78,870
Ratio of expenses to average net assets (b) ......... 0.98 % 1.01 % 1.10 % 1.10 %
Ratio of net investment income (loss) to average
net assets (b) ...................................... 0.01 % (0.40)% (0.35)% 0.39 %
Portfolio turnover .................................. 26.05 % 95.06 % 114.51 % 137.26 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ......... n/a n/a 1.10 % 1.17 %
Ratio of net investment income (loss) to average
net assets (b) ...................................... n/a n/a (0.35)% 0.32 %
</TABLE>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
DECEMBER 31, MARCH 31,
1996 1996
----------------------------
Net asset value, beginning of period ................ $ 13.13 $ 10.00
Income from operations:
Net investment income (loss) ........................ 0.05 0.01
Net realized and unrealized gains (losses) on
investments and foreign currency related items ...... 1.10 3.53
Total income (loss) from operations ................. 1.15 3.54
Less distributions:
From net investment income .......................... (0.05) -
From net realized gains on investment transactions .. (0.71) (0.41)
Return of capital ................................... (0.14) -
Total distributions ................................. (0.90) (0.41)
Net increase (decrease) ............................. 0.25 3.13
Net asset value, end of period ...................... $ 13.38 $ 13.13
Total Return (a) .................................... 8.72 % 35.78 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ............ $ 29,555 $ 8,527
Ratio of expenses to average net assets (b) ......... 1.09 % 1.09 %
Ratio of net investment income (loss) to average
net assets (b) ...................................... 0.77 % 0.27 %
Portfolio turnover .................................. 85.22 % 163.84 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ......... 1.40 % 2.77 %
Ratio of net investment income (loss) to average
net assets (b) ...................................... 0.46 % (1.41)%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
39
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
COMMON STOCKS - 80.8%
ADVERTISING - 1.3%
GoTo.com Inc. (a) 37,390 $ 573
Lamar Advertising Co. (a) 39,706 1,720
Ticketmaster Online-CitySearch
Inc. -
Class B (a) 9,305 148
TMP Worldwide Inc. (a) 116,655 8,611
-----------
11,052
BANKS - 1.7%
Fifth Third Bancorp 148,250 9,377
Firstar Corp. 225,864 4,757
-----------
14,134
BIOTECHNOLOGY - 1.0%
PE Corp. - PE Biosystems Group 127,430 8,395
COMMERCIAL SERVICES - 2.3%
InfoSpace Inc (a) 65,830 3,637
Lycos Inc. (a) 90,785 4,902
MarchFirst Inc. (a) 141,026 2,574
Sapient Corp. (a) 79,380 8,489
-----------
19,602
COMPUTERS - 6.6%
3Com Corp. (a) 203,040 11,700
ASM Lithography Holding NV (a) 227,230 10,027
Cisco Systems Inc. (a) 254,565 16,117
EMC Corp. (a) 230,100 17,703
-----------
55,547
DIVERSIFIED FINANCIAL SERVICES - 1.7%
American Express Co. 172,620 8,998
E*TRADE Group Inc. (a) 306,125 5,051
-----------
14,049
ELECTRONICS - 1.6%
Analog Devices Inc. (a) 116,230 8,833
iGate Capital Corp. (a) 87,405 1,202
Maxim Integrated Products Inc. (a) 50,720 3,446
-----------
13,481
ENTERTAINMENT - 0.1%
Liberty Digital Inc. (a) 21,200 636
HEALTHCARE - 2.5%
Medtronic Inc. 332,378 16,557
MiniMed Inc. (a) 41,010 4,839
-----------
21,396
HOME FURNISHINGS - 0.8%
SONY Corp. (c) 75,700 7,083
MANUFACTURING - 0.4%
E-Tek Dynamics Inc. (a) 13,420
3,540
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
MEDIA - 11.1%
AT&T - Liberty Media Group --
Class A (a) 1,366,850 $ 33,146
Charter Communications Inc. (a) 276,450 4,544
Comcast Corp. (a) 287,915 11,661
Cox Communications Inc. (a) (c) 123,760 5,639
Infinity Broadcasting Corp. (a) 168,897 6,154
Time Warner Inc. 352,409 26,783
UnitedGlobalCom Inc. (a) 105,770 4,945
-----------
92,872
OIL & GAS PRODUCERS - 4.7%
Enron Corp. 607,655 39,194
RETAIL - 3.7%
Amazon.com Inc. (a) 346,745 12,591
eBay Inc. (a) 113,320 6,155
Home Depot Inc. 147,240 7,353
Priceline.com Inc. (a) 122,580 4,656
-----------
30,755
SEMICONDUCTORS - 2.8%
Applied Materials Inc. (a) 134,310 12,172
Texas Instruments Inc. 159,380 10,947
-----------
23,119
SOFTWARE - 8.5%
Electronic Arts Inc. (a) 203,955 14,876
i2 Technologies Inc. (a) 156,345 16,301
Inktomi Corp. (a) 31,690 3,747
Microsoft Corp. (a) 86,565 6,925
NetZero Inc. (a) 40,470 211
Phone.com Inc. (a) 89,530 5,831
Scient Corp. (a) 15,755 702
Software.com Inc. (a) 100,100 13,001
Verio Inc. (a) 58,095 3,223
Veritas Software Corp. (a) (c) 58,755 6,640
-----------
71,457
TELECOMMUNICATIONS - 30.0%
AT&T Corp. 38,425 1,215
Cablevision Systems Corp. (a) 108,425 7,360
China Telecom (Hong Kong) Ltd. (a) 1,294,000 11,412
China Telecom (Hong Kong) Ltd. -
ADR (a) 2,140 381
China Unicom - ADR (a) 577,270 12,267
DoubleClick Inc. (a) 138,440 5,278
Exodus Communications Inc. (a) 153,400 7,066
JDS Uniphase Corp. (a) 41,860 5,018
Level 3 Communications Inc. (a) 151,605 13,341
Nokia Corp. - ADR 1,518,083 75,809
Nokia Oyj 142,536 7,303
NTL Inc. (a) (c) 71,059 4,255
NTT DoCoMo Inc. 225 6,103
Qualcomm Inc. (a) 130,140 7,808
Sprint Corp. (PCS Group) (a) 141,195 8,401
See notes to the financial statements.
40
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
Telefonaktiebolaget Ericsson LM
- Class B 217,840 $ 4,334
Telefonaktiebolaget LM Ericsson
- ADR 662,555 13,251
Telefonica SA (c) 332,234 7,166
Telefonos de Mexico SA - ADR 196,660 11,234
VeriSign Inc. (a) 56,580 9,986
Vodafone AirTouch Plc 3,764,142 15,215
Vodafone AirTouch Plc - ADR (c) 103,385 4,284
Voicestream Wireless Corp. (a) 78,835 9,168
Winstar Communications Inc. (a) 104,640 3,545
-----------
251,200
-----------
Total Common Stocks
(cost $551,917) 677,512
-----------
SHORT TERM INVESTMENTS - 19.2%
COMMERCIAL PAPER - 4.8%
Associates Corp. NA, 6.85%,
07/03/2000 $40,000,000 39,985
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
6.51% (b) 97,991 98
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 14.4%
Federal Home Loan Bank
6.35%, 07/03/2000 $ 20,000,000 $ 19,993
6.42%, 07/31/2000 40,000,000 39,786
5.90%, 08/01/2000 14,000,000 13,931
5.98%, 08/03/2000 20,000,000 19,890
6.35%, 10/02/2000 25,000,000 24,601
Federal Home Loan Mortgage Corp.,
5.95%, 07/03/2000 2,400,000 2,399
-----------
120,600
-----------
Total Short Term Investments
(cost $160,683) 160,683
-----------
TOTAL INVESTMENTS - 100%
(cost $712,600)
$ 838,195
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000. (c) All or a portion of this
security has been loaned.
Based on the cost of investments of $713,047 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $196,386, the gross
unrealized depreciation was $71,238 and the net unrealized appreciation on
investments was $125,148.
FORWARD CURRENCY CONTRACTS, OPEN AT JUNE 30, 2000 (IN 000'S):
CURRENCY
CURRENCY PURCHASED (SOLD) AND UNITS CURRENCY
SETTLEMENT DATE PURCHASED VALUE IN $ UNREALIZED
(SOLD) U.S. GAIN (LOSS)
-------------------------------- ------------- -------------- --------------
Euro 09/08/00 15,800 $ 15,205 $ 384
Euro 09/08/00 (43,200) 41,573 (597)
Euro 09/22/00 (19,400) 18,865 36
Euro 10/05/00 (2,400) 2,313 (7)
Euro 01/26/01 4,600 4,457 88
Euro 01/26/01 (12,800) 12,480 (66)
Hong Kong Dollar 03/16/01 (8,000) 1,027 -
Hong Kong Dollar 06/27/01 (34,000) 4,365 1
Japanese Yen 09/08/00 114,000 1,091 (21)
Japanese Yen 09/08/00 (521,000) 4,985 118
Japanese Yen 09/14/00 20,000 192 2
Japanese Yen 09/14/00 (151,000) 1,446 6
Japanese Yen 09/22/00 100,000 959 23
Japanese Yen 09/22/00 (100,000) 959 20
Japanese Yen 10/05/00 235,000 2,259 27
Japanese Yen 10/05/00 (235,000) 2,259 63
--------------
$ 77
==============
See notes to the financial statements.
41
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Schedule of Investments (Unaudited) (continued)
SUMMARY OF INVESTMENTS BY COUNTRY, JUNE 30, 2000:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
-------------------------------------------------------- ------------------
Finland 9.9% $ 83,112
Germany 2.3% 19,499
Hong Kong 1.4% 11,793
Japan 1.6% 13,186
Mexico 1.3% 11,234
Netherlands 1.2% 10,027
Spain 0.9% 7,166
Sweden 2.1% 17,585
United States 79.3% 664,593
=================== ==================
TOTAL 100.0% $ 838,195
=================== ==================
See notes to the financial statements.
42
<PAGE>
JNL/JANUS BALANCED SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $24,631) ................. $ 24,738
Cash ....................................... 47
Receivables:
Dividends and interest ................... 178
Fund shares sold ......................... 333
Investment securities sold ............... 24
--------------
TOTAL ASSETS ............................... 25,320
--------------
LIABILITIES
Payables:
Advisory fees ............................ 16
Administrative fees ...................... 2
Fund shares redeemed ..................... 1
Investment securities purchased .......... 2,154
--------------
TOTAL LIABILITIES .......................... 2,173
--------------
NET ASSETS ................................. $ 23,147
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 23,117
Undistributed net investment income ........ 74
Accumulated net realized loss on
investments .............................. (151)
Net unrealized appreciation on investments . 107
--------------
$ 23,147
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 2,320
==============
NET ASSET VALUE PER SHARE .................. $ 9.98
==============
Statement of Operations
For the Period Ended June 30, 2000*
INVESTMENT INCOME
Dividends ................................ $ 8
Interest ................................. 97
--------------
TOTAL INVESTMENT INCOME .................... 105
--------------
EXPENSES
Advisory fees ............................ 28
Administrative fees ...................... 3
--------------
TOTAL EXPENSES ............................. 31
--------------
NET INVESTMENT INCOME ...................... 74
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized loss on investments ........... (151)
Net change in unrealized appreciation
on investments ........................... 107
--------------
NET REALIZED AND UNREALIZED LOSS ........... (44)
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 30
==============
--------------------------------------------------------------------------------
* For the period beginning May 1, 2000 (commencement of operations).
See notes to the financial statements.
43
<PAGE>
JNL/JANUS BALANCED SERIES
Statement of Changes in Net Assets (Unaudited)
(in thousands)
PERIOD FROM
MAY 1,
2000* TO
JUNE 30,
2000
-----------------
OPERATIONS
Net investment income .................................. $ 74
Net realized loss on investments ....................... (151)
Net change in unrealized appreciation on investments ... 107
-----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ............... 30
-----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................. -
From net realized gains on investment transactions ..... -
-----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ...................... -
-----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ....................... 23,573
Reinvestment of distributions .......................... -
Cost of shares redeemed ................................ (456)
-----------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ....... 23,117
-----------------
NET INCREASE IN NET ASSETS ............................... 23,147
NET ASSETS BEGINNING OF PERIOD ........................... -
-----------------
NET ASSETS END OF PERIOD ................................. $ 23,147
=================
UNDISTRIBUTED NET INVESTMENT INCOME ...................... $ 74
=================
(1)SHARE TRANSACTIONS:
Shares sold ............................................ 2,367
Reinvestment of distributions .......................... -
Shares redeemed ........................................ (47)
=================
Net increase ........................................... 2,320
=================
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................ $ 20,986
Proceeds from sales of securities ...................... 1,056
Purchases of U.S. Government obligations ............... $ 5,500
Proceeds from sales of U.S. Government obligations ..... -
----------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
44
<PAGE>
JNL/JANUS BALANCED SERIES
Financial Highlights (Unaudited)
PERIOD FROM
MAY 1,
2000* TO
JUNE 30,
2000
---------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ...................... $ 10.00
INCOME FROM OPERATIONS:
Net investment income ................................... 0.03
Net realized and unrealized loss on investments ......... (0.05)
---------------
Total loss from operations .............................. (0.02)
---------------
LESS DISTRIBUTIONS:
From net investment income .............................. -
From net realized gains on investment transactions ...... -
---------------
Total distributions ..................................... -
---------------
Net decrease ............................................ (0.02)
---------------
NET ASSET VALUE, END OF PERIOD ............................ $ 9.98
===============
(0.20)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................ $ 23,147
Ratio of expenses to average net assets (b) ............. 1.05%
Ratio of net investment income to average net
assets (b) .............................................. 2.47%
Portfolio turnover ...................................... 8.99%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
45
<PAGE>
JNL/JANUS BALANCED SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
COMMON STOCKS - 37.3%
BEVERAGES - 0.4%
Anheuser - Busch Cos. Inc. 1,270 $ 95
BIOTECHNOLOGY - 0.7%
Genentech Inc. (a) 1,055 181
CHEMICALS - 1.1%
E.I. du Pont de Nemours & Co. 700 31
Lyondell Chemical Co. 11,840 198
Praxair Inc. 1,055 39
-------------
268
COMMERCIAL SERVICES - 0.5%
Paychex Inc. 3,212 135
COMPUTERS - 5.1%
Cisco Systems Inc. (a) 4,110 260
EMC Corp. (a) 6,945 534
Sun Microsystems Inc. (a) 2,545 232
Symbol Technologies Inc. 4,290 232
-------------
1,258
DIVERSIFIED FINANCIAL SERVICES - 2.5%
American Express Co. 4,950 258
Associates First Capital Corp. 4,845 108
Citigroup Inc. 4,200 253
-------------
619
ELECTRICAL COMPONENTS AND EQUIPMENT - 0.9%
Samsung Electronics - GDR 2,430 222
ELECTRONICS - 0.8%
Maxim Integrated Products Inc. (a) 3,025 206
LEISURE TIME - 0.2%
Harley-Davidson Inc. 1,335 51
MANUFACTURING - 4.0%
Corning Inc. 625 169
General Electric Co. 15,420 817
-------------
986
MEDIA - 6.3% (a)
AT&T - Liberty Media Group -
Class A (a) 12,845 312
Comcast Corp. 8,200 332
Hispanic Broadcasting Corp. (a) 3,445 114
Infinity Broadcasting Corp. (a) 7,750 282
Univision Communications Inc. (a) 1,655 171
Viacom Inc. - Class B (a) 5,115 349
-------------
1,560
OIL & GAS PRODUCERS - 0.6%
El Paso Energy Corp. 210 11
Enron Corp. 2,195 142
-------------
153
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
PHARMACEUTICALS - 1.8%
Pfizer Inc. 3,840 $ 184
Pharmacia Corp. 5,030 260
-------------
444
RETAIL - 2.1%
Gap Inc. 2,990 94
Home Depot Inc. 2,790 139
Staples Inc. (a) 470 7
Wal-Mart Stores Inc. 4,785 276
-------------
516
SEMICONDUCTORS - 2.0%
Advanced Micro Devices Inc. (a) 2,450 189
Texas Instruments Inc. 4,465 307
-------------
496
SOFTWARE - 2.5%
Automatic Data Processing Inc. 4,435 238
Cadence Design Systems Inc. (a) 2,735 56
Oracle Corp. (a) 2,075 174
Veritas Software Corp. (a) 1,240 140
-------------
608
TELECOMMUNICATIONS - 5.8%
DoubleClick Inc. (a) 170 7
McLeodUSA Inc. (a) 5,325 110
Nextel Communications Inc. (a) 1,915 117
Nokia Corp. - ADR 9,400 470
Nokia OYJ 1,645 84
Sprint Corp. (PCS Group) (a) 970 58
Telefonaktiebolaget LM Ericsson -
ADR 6,655 133
Telefonica S.A. - ADR 3,860 247
Verisign Inc. (a) 1,175 207
-------------
1,433
-------------
Total Common Stocks
(cost $9,157) 9,231
-------------
CORPORATE BONDS - 18.1%
BANKS - 0.8%
Morgan Stanley Dean Witter & Co.,
7.75%, 06/15/2005 $ 200,000 201
CHEMICALS - 0.6%
Lyondell Chemical Co., 9.625%,
05/01/2007 160,000 158
DIVERSIFIED FINANCIAL SERVICES - 4.4%
American Express Co., 6.75%,
06/23/2004 575,000 561
Fannie Mae, 5.75%, 04/15/2003 340,000 330
General Electric Capital Corp.
7.25%, 05/03/2004 174,477 175
7.375%, 01/19/2010 45,000 45
-------------
1,111
See notes to the financial statements.
46
<PAGE>
JNL/JANUS BALANCED SERIES
Schedule of Investments (Unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
MEDIA - 2.8%
Cox Communications Inc., 7.875%,
08/15/2009 $ 695,000 $ 693
RETAIL - 2.4%
Wal-Mart Stores Inc., 6.875%,
08/10/2009 600,000 588
SAVING & LOAN - 2.3%
Ford Motor Credit Co., 7.75%,
02/15/2007 565,000 564
SOFTWARE - 1.4%
BEA Systems Inc., 4.00%, 12/15/2006
(c) (d) 69,000 107
Exodus Communications Inc., 4.75%,
07/15/2008 (d) 61,000 87
i2 Technologies Inc., 5.25%,
12/15/2006 (d) 96,000 147
-------------
341
TELECOMMUNICATIONS - 3.4%
Clear Channel Communications Inc.,
2.625%, 04/01/2003 (d) 160,000 206
Nextel Communications Inc., 4.75%,
07/01/2007 (d) 95,000 251
NTL Inc., 7.00%, 12/15/2008 (d) 104,000 166
Telefonos de Mexico SA, 4.25%,
06/15/2004 (d) 107,000 143
Telewest Communications Plc, 5.25%,
02/19/2007 (c) (d) 48,000 65
-------------
831
-------------
Total Corporate Bonds
(cost $4,460) 4,487
-------------
PREFERRED STOCKS - 3.7%
ELECTRIC - 1.1%
Reliant Energy Inc. 725 89
Reliant Energy Inc. Zero - Premium
Exchangeable Subordinated Notes (a) 2,510 182
-------------
271
MEDIA - 1.0%
Tribune Co. Exchangeable
Subordinated Debentures (a) 2,095 242
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
TELECOMMUNICATIONS - 1.6%
Comcast Corp. Exchangeable
Subordinated Debentures (a) 2,880 $ 317
MediaOne Group Inc. (a) 815 73
-------------
390
-------------
Total Preferred Stocks
(cost $966) 903
-------------
GOVERNMENT SECURITIES -22.5%
U.S. GOVERNMENT AGENCIES - 4.0%
Federal Home Loan Mortgage Corp.,
7.00%, 03/15/2010 $ 1,000,000 992
U.S. TREASURY BOND - 4.2%
6.125%, 08/15/2029 1,035,000 1,046
U.S. TREASURY NOTES - 14.3%
5.875%, 11/30/2001 1,025,000 1,016
6.00%, 08/15/2009 2,540,000 2,519
-------------
3,535
-------------
Total Government Securities
(cost $5,504) 5,573
-------------
SHORT TERM INVESTMENTS - 18.4%
MONEY MARKET FUND - 0.2%
Dreyfus Cash Management Plus,
6.51% (b) 47,198 47
U.S. GOVERNMENT AGENCIES - 18.2%
Federal Home Loan Bank, 6.28%,
07/05/2000 $ 3,800,000 3,797
Federal Home Loan Mortgage Corp.,
5.95%, 07/03/2000 700,000 700
-------------
4,497
-------------
Total Short Term Securities
(cost $4,544) 4,544
-------------
TOTAL INVESTMENTS - 100%
(cost $24,631) $ 24,738
=============
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 2000.
(c) 144a security. Certain conditions for public sale may exist.
(d) Convertible security.
Based on the cost of investments of $24,631 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $578, the gross unrealized
depreciation was $471 and the net unrealized appreciation on investments was
$107.
See notes to the financial statements.
47
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $589,993) ................. $ 701,388
Receivables:
Fund shares sold .......................... 473
Investment securities sold ................ 1,532
Collateral for securities loaned ............ 5,474
--------------
TOTAL ASSETS ................................ 708,867
--------------
LIABILITIES
Payables:
Advisory fees ............................. 501
Administrative fees ....................... 56
Fund shares redeemed ...................... 305
Return of collateral for securities loaned .. 5,474
--------------
TOTAL LIABILITIES ........................... 6,336
--------------
NET ASSETS .................................. $ 702,531
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 489,328
Accumulated net investment loss ............. (2,106)
Accumulated net realized gain on
investments and foreign
currency related items .................... 103,914
Net unrealized appreciation on investments .. 111,395
==============
$ 702,531
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 16,355
==============
NET ASSET VALUE PER SHARE ................... $ 42.96
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ 95
Interest .................................. 760
Securities lending ........................ 267
--------------
TOTAL INVESTMENT INCOME ..................... 1,122
--------------
EXPENSES
Advisory fees ............................. 2,766
Administrative fees ....................... 312
--------------
TOTAL EXPENSES .............................. 3,078
--------------
NET INVESTMENT LOSS ......................... (1,956)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments .............................. 63,449
Foreign currency related items ............ (2)
Net change in unrealized depreciation on
investments .............................. (82,550)
--------------
NET REALIZED AND UNREALIZED LOSS ........... (19,103)
--------------
NET DECREASE IN NET ASSETS FROM OPERATIONS . $ (21,059)
==============
See notes to the financial statements.
48
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss ...................................................................... $ (1,956) $ (1,666)
Net realized gains (losses) on:
Investments ............................................................................ 63,449 68,596
Foreign currency related items ......................................................... (2) (2)
Net change in unrealized appreciation (depreciation) on:
Investments ............................................................................ (82,550) 165,791
Foreign currency related items ......................................................... - (3)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ...................................... (21,059) 232,716
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................... - -
From net realized gains on investment transactions ....................................... - (30,899)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ........................................................ - (30,899)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ......................................................... 299,215 239,269
Reinvestment of distributions ............................................................ - 30,899
Cost of shares redeemed .................................................................. (84,711) (73,936)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ......................................... 214,504 196,232
-------------- --------------
NET INCREASE IN NET ASSETS ................................................................. 193,445 398,049
NET ASSETS BEGINNING OF PERIOD ............................................................. 509,086 111,037
-------------- --------------
NET ASSETS END OF PERIOD ................................................................... $ 702,531 $ 509,086
============== ==============
ACCUMULATED NET INVESTMENT LOSS ............................................................ $ (2,106) $ (150)
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ........................................................................... 6,617 8,203
Reinvestment of distributions ......................................................... - 714
Shares redeemed ....................................................................... (1,932) (2,603)
-------------- --------------
Net increase .......................................................................... 4,685 6,314
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................... $ 657,134 $ 387,928
Proceeds from sales of securities ..................................................... 449,322 227,797
</TABLE>
See notes to the financial statements.
49
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
2000 1999 1998 1997
----------------------------------------------------------
<S> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period .................. $ 43.62 $ 20.73 $ 16.50 $ 14.46
-------- -------- -------- --------
Income from operations:
Net investment income (loss) .......................... (0.12) (0.13) (0.12) (0.06)
Net realized and unrealized gains (losses)
on investments and foreign currency related items ..... (0.54) 25.85 5.92 2.23
-------- -------- -------- --------
Total income (loss) from operations ................... (0.66) 25.72 5.80 2.17
-------- -------- -------- --------
Less distributions:
From net investment income ............................ - - - (0.02)
From net realized gains on investment transactions .... - (2.83) (1.57) (0.04)
Return of capital ..................................... - - - (0.07)
-------- -------- -------- --------
Total distributions ................................... - (2.83) (1.57) (0.13)
-------- -------- -------- --------
Net increase (decrease) ............................... (0.66) 22.89 4.23 2.04
-------- -------- -------- --------
Net asset value, end of period ........................ $ 42.96 $ 43.62 $ 20.73 $ 16.50
======== ======== ======== ========
Total Return (a) ...................................... (1.51)% 124.19 % 35.16 % 15.01 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) .............. $ 702,531 $ 509,086 $ 111,037 $ 73,749
Ratio of expenses to average net assets (b) ........... 0.99 % 1.03 % 1.09 % 1.10 %
Ratio of net investment income (loss) to average
net assets (b) ........................................ (0.63)% (0.75)% (0.68)% (0.30)%
Portfolio turnover .................................... 73.88 % 102.26 % 128.95 % 131.43 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ........... n/a n/a 1.09 % 1.11 %
Ratio of net investment income (loss) to average
net assets (b) ........................................ n/a n/a (0.68)% (0.31)%
</TABLE>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
DECEMBER 31, MARCH 31,
1996 1996
---------------------------
Selected Per Share Data
Net asset value, beginning of period .................. $ 13.86 $ 10.00
-------- --------
Income from operations:
Net investment income (loss) .......................... 0.06 -
Net realized and unrealized gains (losses)
on investments and foreign currency related items ..... 0.70 4.70
-------- --------
Total income (loss) from operations ................... 0.76 4.70
-------- --------
Less distributions:
From net investment income ............................ - -
From net realized gains on investment transactions .... (0.16) (0.84)
Return of capital ..................................... - -
-------- --------
Total distributions ................................... (0.16) (0.84)
-------- --------
Net increase (decrease) ............................... 0.60 3.86
-------- --------
Net asset value, end of period ........................ $ 14.46 $ 13.86
======== ========
Total Return (a) ...................................... 5.45 % 47.94 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) .............. $ 36,946 $ 9,578
Ratio of expenses to average net assets (b) ........... 1.09 % 1.09 %
Ratio of net investment income (loss) to average
net assets (b) ........................................ 0.91 % (0.49)%
Portfolio turnover .................................... 115.88 % 128.56 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ........... 1.27 % 2.08 %
Ratio of net investment income (loss) to average
net assets (b) ........................................ 0.73 % (1.48)%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
50
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
COMMON STOCKS - 98.1%
ADVERTISING - 3.5%
Lamar Advertising Co. (a) 243,315 $ 10,539
TMP Worldwide Inc. (a) 189,520 13,989
------------
24,528
BIOTECHNOLOGY - 5.2%
CuraGen Corp. (a) 89,405 3,403
Human Genome Sciences Inc. (a) 76,005 10,137
Maxygen Inc. (a) (c) 77,465 4,397
Millennium Pharmaceuticals Inc. 162,590 18,190
(a)
------------
36,127
COMMERCIAL SERVICES - 6.4%
Apollo Group Inc. (a) 352,087 9,858
Paychex Inc. 838,373 35,212
------------
45,070
COMPUTERS - 1.7%
Brocade Communications Systems
Inc. (a) 64,910 11,910
DIVERSIFIED FINANCIAL SERVICES -
0.2%
E*TRADE Group Inc. (a) 69,990 1,155
ELECTRICAL COMPONENTS & EQUIPMENT -
0.6%
Pinnacle Holdings Inc. (a) 83,555 4,512
ELECTRONICS - 7.7%
SDL Inc. (a) 127,070 36,239
Vitesse Semiconductor Corp. (a) 244,330 17,973
------------
54,212
ENTERTAINMENT - 2.1%
Premier Parks Inc. (a) (c) 338,850 7,709
SFX Entertainment Inc. (a) 151,007 6,843
------------
14,552
HEALTHCARE - 0.8%
MiniMed Inc. (a) 45,670 5,389
MEDIA - 12.8%
AMFM Inc. (a) 496,970 34,291
Citadel Communications Corp. (a) 97,195 3,396
Cox Radio Inc. (a) 120,375 3,371
Hispanic Broadcasting Corp. (a) 243,560 8,068
Metromedia Fiber Network Inc.(a) 718,540 28,517
Radio One Inc. (a) 103,240 3,052
Radio One Inc. - Class D (a) 206,480 4,555
Univision Communications Inc. (a) 43,485 4,501
------------
89,751
OIL & GAS PRODUCERS - 0.1%
Hanover Compressor Co. (a) 25,050 952
PHARMACEUTICALS - 10.7%
Abgenix Inc. (a) 118,390 14,190
Andrx Corp. (a) 164,000 10,483
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
King Pharmaceuticals Inc. (a) 209,145 $ 9,176
Medarex Inc. (a) 124,610 10,530
MedImmune Inc. (a) 129,174 9,559
Sepracor Inc. (a) 174,795 21,085
------------
75,023
RETAIL - 2.4%
eBay Inc. (a) 135,840 7,378
Priceline.com Inc. (a) 240,875 9,149
------------
16,527
SEMICONDUCTORS - 6.9%
Applied Micro Circuits Corp. (a) 118,695 11,721
Cree Inc. (a) 37,980 5,070
Intersil Holdings Corp. (a) 158,560 8,572
Triquint Semiconductor Inc. (a) 97,455 9,325
Xilinx Inc. (a) 170,385 14,067
------------
48,755
SOFTWARE - 7.6%
Inktomi Corp. (a) 156,315 18,484
Liberate Technologies Inc. (a) 165,730 4,858
Portal Software Inc. (a) 155,200 9,913
PSINet Inc. (a) 580,795 14,592
TenFold Corp. (a) 22,360 368
Viasystems Group Inc. (a) 279,805 4,827
------------
53,042
TELECOMMUNICATIONS - 29.4%
American Tower Corp. (a) 360,965 15,048
AT&T Canada Inc. (a) 309,450 10,270
Clearnet Communications Inc. (a) 207,070 5,749
Crown Castle International 513,570 18,745
Corp. (a)
DoubleClick Inc. (a) 177,985 6,786
Entercom Communications Corp. 115,445 5,628
(a)
Exodus Communications Inc. (a) 535,470 24,665
Level 3 Communications Inc. (a) 70,320 6,188
McLeodUSA Inc. (a) 784,860 16,237
Microcell Telecommunications
Inc. (a) 143,987 5,202
Millicom International Cellular
SA (a) 13 444
MRV Communications Inc. (a) 98,850 6,648
Net2Phone Inc. (a) 73,430 2,621
Netro Corp. (a) 20,045 1,153
NEXTLINK Communications Inc. (a) 144,390 5,478
Powertel Inc. (a) 121,040 8,586
RF Micro Devices Inc. (a) 56,900 4,986
Sycamore Networks Inc. (a) 9,445 1,042
VeriSign Inc. (a) 178,318 31,472
Voicestream Wireless Corp. (a) 121,516 14,132
Western Wireless Corp. (a) 284,685 15,515
------------
206,595
------------
Total Common Stocks
(cost $ 576,705) 688,100
------------
See notes to the financial statements.
51
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
SHORT TERM INVESTMENTS - 1.9%
COMMERCIAL PAPER - 1.9%
Associates Corp. - NA,
6.85%, 07/03/2000 $13,200,000 $ 13,195
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
6.51% (b) 92,539 93
------------
Total Short Term Investments
(cost $13,288) 13,288
------------
TOTAL INVESTMENTS - 100%
(cost $589,993) $ 701,388
============
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000. (c) All or a portion of this
security has been loaned.
Based on the cost of investments of $590,682 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $174,921, the gross
unrealized depreciation was $64,215 and the net unrealized appreciation on
investments was $110,706.
See notes to the financial statements.
52
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $570,182) ................ $ 777,229
Foreign currency ........................... 5,347
Receivables:
Dividends and interest ................... 133
Forward currency contracts ............... 3,240
Foreign taxes recoverable ................ 197
Fund shares sold ......................... 21,485
Investment securities sold ............... 2,214
Collateral for securities loaned ........... 39,744
--------------
TOTAL ASSETS ............................... 849,589
--------------
LIABILITIES
Payables:
Advisory fees ............................ 593
Administrative fees ...................... 64
Forward currency contracts ............... 2,093
Fund shares redeemed ..................... 240
Investment securities purchased .......... 6,210
Return of collateral for securities loaned . 39,744
--------------
TOTAL LIABILITIES .......................... 48,944
--------------
NET ASSETS ................................. $ 800,645
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 524,183
Accumulated net investment loss ............ (790)
Accumulated net realized gain on
investments and foreign currency
related items ............................ 69,033
Net unrealized appreciation on investments
and foreign currency related items ....... 208,219
==============
$ 800,645
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 22,196
==============
NET ASSET VALUE PER SHARE .................. $ 36.07
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ 1,657
Interest ................................. 2,098
Securities lending ....................... 89
Foreign taxes withheld ................... (164)
--------------
TOTAL INVESTMENT INCOME .................... 3,680
--------------
EXPENSES
Advisory fees ............................ 3,314
Administrative fees ...................... 356
--------------
TOTAL EXPENSES ............................. 3,670
--------------
NET INVESTMENT INCOME ...................... 10
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on:
Investments .............................. 48,392
Foreign currency related items ........... 7,341
Net change in unrealized depreciation on:
Investments .............................. (46,870)
Foreign currency related items ........... (204)
--------------
NET REALIZED AND UNREALIZED GAIN ........... 8,659
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 8,669
==============
See notes to the financial statements.
53
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ..................................................................... $ 10 $ 23
Net realized gain (loss) on:
Investments ............................................................................. 48,392 27,633
Foreign currency related items .......................................................... 7,341 (2,375)
Net change in unrealized appreciation (depreciation) on:
Investments ............................................................................. (46,870) 191,069
Foreign currency related items .......................................................... (204) 2,200
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................................................. 8,669 218,550
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................ - -
From net realized gains on investment transactions ........................................ - (11,540)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ......................................................... - (11,540)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares .......................................................... 959,621 524,284
Reinvestment of distributions ............................................................. - 11,540
Cost of shares redeemed ................................................................... (764,886) (385,978)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .......................................... 194,735 149,846
-------------- --------------
NET INCREASE IN NET ASSETS .................................................................. 203,404 356,856
NET ASSETS BEGINNING OF PERIOD .............................................................. 597,241 240,385
-------------- --------------
NET ASSETS END OF PERIOD .................................................................... $ 800,645 $ 597,241
============== ==============
ACCUMULATED NET INVESTMENT LOSS ............................................................. $ (790) $ (800)
============== ==============
(1)SHARE TRANSACTIONS:
Shares sold ............................................................................... 25,901 19,630
Reinvestment of distributions ............................................................. - 325
Shares redeemed ........................................................................... (20,440) (14,090)
-------------- --------------
Net increase .............................................................................. 5,461 5,865
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................................... $ 295,754 $ 321,068
Proceeds from sales of securities ......................................................... 165,083 198,473
</TABLE>
See notes to the financial statements.
54
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
2000 1999 1998 1997
------------- -------------- -------------- ------------------
<S> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ....................... $ 35.69 $ 22.11 $ 17.48 $ 15.20
-------- -------- -------- --------
Income from operations:
Net investment income ...................................... 0.01 - 0.04 0.07
Net realized and unrealized gains on investments and
foreign currency related items ............................. 0.37 14.27 4.66 2.84
-------- -------- -------- --------
Total income from operations ............................... 0.38 14.27 4.70 2.91
-------- -------- -------- --------
Less distributions:
From net investment income ................................. - - (0.07) -
From net realized gains on investment transactions ......... - (0.69) - (0.63)
Return of capital .......................................... - - - -
-------- -------- -------- --------
Total distributions ........................................ - (0.69) (0.07) (0.63)
-------- -------- -------- --------
Net increase ............................................... 0.38 13.58 4.63 2.28
-------- -------- -------- --------
Net asset value, end of period ............................. $ 36.07 $ 35.69 $ 22.11 $ 17.48
======== ======== ======== ========
Total Return (a) ........................................... 1.06 % 64.58 % 26.87 % 19.12 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................... $800,645 $597,241 $240,385 $151,050
Ratio of expenses to average net assets (b) ................ 1.03 % 1.06 % 1.14 % 1.15 %
Ratio of net investment income to average net assets (b) ... - % 0.01 % 0.13 % 0.33 %
Portfolio turnover ......................................... 28.90 % 61.60 % 81.46 % 97.21 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ................ n/a n/a 1.30 % 1.37 %
Ratio of net investment income (loss) to average net
assets (b) ................................................. n/a n/a (0.03)% 0.11 %
</TABLE>
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
DECEMBER 31, MARCH 31,
1996 1996
------------- -----------------
<S> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ........................ $ 13.75 $ 10.00
-------- --------
Income from operations:
Net investment income ....................................... 0.03 0.10
Net realized and unrealized gains on investments and
foreign currency related items .............................. 2.72 4.02
-------- --------
Total income from operations ................................ 2.75 4.12
-------- --------
Less distributions:
From net investment income ................................... (0.08) -
From net realized gains on investment transactions ........... (0.90) (0.37)
Return of capital ............................................ (0.32) -
-------- --------
Total distributions .......................................... (1.30) (0.37)
-------- --------
Net increase ................................................. 1.45 3.75
-------- --------
Net asset value, end of period .............................. $ 15.20 $ 13.75
======== ========
Total Return (a) ............................................. 19.99 % 41.51 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ..................... $ 48,638 $ 16,141
Ratio of expenses to average net assets (b) .................. 1.14 % 1.15 %
Ratio of net investment income to average net assets (b) ..... 0.37 % 0.39 %
Portfolio turnover ........................................... 52.02 % 142.36 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) .................. 1.63 % 2.25 %
Ratio of net investment income (loss) to average net
assets (b) ................................................... (0.12)% (0.71)%
</TABLE>
--------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total
Return is not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
55
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
COMMON STOCKS - 87.1%
AEROSPACE & DEFENSE - 0.1%
Finmeccanica SpA (a) (d) 662,500 $ 914
BANKS - 2.4%
Banco Bilbao Vizcaya Argentaria SA 799,674 11,997
Chase Manhattan Corp. 73,013 3,363
Fuji Bank Ltd. (d) 396,000 3,016
------------
18,376
BIOTECHNOLOGY - 0.7%
Genentech Inc. (a) 9,720 1,672
Incyte Genomics Inc. (a) 8,060 662
Millennium Pharmaceuticals Inc.(a) 625 70
PE Corp.- Celera Genomics Group (a) 10,700 1,000
PE Corp.- PE Biosystems Group 26,960 1,776
------------
5,180
CHEMICALS - 0.6%
Reliance Industries Ltd. - GDR 228,984 4,866
COMMERCIAL SERVICES - 1.7%
Capita Group Plc 22,324 546
Celestica Inc. (a) 4,708 229
Celestica Inc. (a) 93,200 4,625
Hays Plc 216,611 1,208
Paychex Inc. 26,590 1,117
Securitas AB 273,189 5,824
------------
13,549
COMPUTERS - 10.2%
3Com Corp. (a) 65,155 3,754
ASM Lithography Holding NV (a) 18,000 794
ASM Lithography Holding NV (a) 45,024 1,943
Atos SA (a) 15,554 1,461
Check Point Software Technologies
Ltd. (a) 44,875 9,502
Cisco Systems Inc. (a) 470,995 29,820
Comverse Technology Inc. (a) 39,090 3,635
Dimension Data Holdings Ltd. (a) 759,800 6,287
EMC Corp. (a) 117,920 9,073
Fujitsu Ltd. 89,000 3,087
Getronics NV 192,480 2,980
Legend Holdings Ltd. (d) 604,000 585
Sun Microsystems Inc. (a) 70,080 6,373
------------
79,294
DIVERSIFIED FINANCIAL SERVICES - 0.7%
American Express Co. 97,065 5,059
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
ELECTRICAL COMPONENTS &
EQUIPMENT - 3.8%
Furukawa Electric Co. Ltd. (d) 385,000 $ 8,060
Hirose Electric Co. Ltd. 10,000 1,560
Koninklijke (Royal) Philips
Electronics NV 208,483 9,873
NEC Corp. (d) 244,000 7,679
Schneider Electric SA 32,516 2,275
------------
29,447
ELECTRONICS - 2.7%
Flextronics International Ltd. (a) 10,970 752
Koninklijke Philips Electronics
NV - NYS 95,613 4,542
Murata Manufacturing Co. Ltd. 29,000 4,172
Samsung Electronics 35,390 11,712
------------
21,178
FOOD - 0.5 %
Compass Group Plc 166,226 2,191
Unilever NV - CVA 35,339 1,628
------------
3,819
HEALTHCARE - 1.1%
Medtronic Inc. 115,880 5,772
Oxford GlycoSciences Plc (a) 25,328 725
Synthes-Stratec Inc. (c) 4,783 2,176
------------
8,673
HOLDING COMPANIES - DIVERSIFIED -
0.7%
Citic Pacific Ltd. 1,070,000 5,600
HOME FURNISHINGS - 1.3%
SONY Corp. (d) 111,800 10,461
INSURANCE - 0.2%
Tokio Marine & Fire Insurance Co. Ltd. 153,000 1,770
MANUFACTURING - 1.9%
Corning Inc. 26,945 7,272
General Electric Co. 143,130 7,586
------------
14,858
MEDIA - 7.1%
AMFM Inc. (a) 18,050 1,245
AT&T - Liberty Media Group -
Class A (a) 342,240 8,299
Canal Plus 8,536 1,440
Clear Channel Communications Inc. (a) 38,365 2,877
Comcast Corp. (a) 118,140 4,785
EM.TV & Merchandising AG 50,221 2,978
Grupo Televisa SA - GDR (a) 120,690 8,320
Infinity Broadcasting Corp. (a) 13,000 474
News Corp. Ltd. - ADR 5,515 301
See notes to the financial statements.
56
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
Time Warner Inc. 223,035 $ 16,951
Viacom Inc. - Class B (a) 106,695 7,275
------------
54,945
METALS & MINING - 0.8%
Assa Abloy AB - Class B 298,372 6,021
OIL & GAS PRODUCERS - 2.8%
Enron Corp. 52,425 3,381
Petroleo Brasileiro SA - ADR 275,750 8,132
Total Fina Elf SA 66,956 10,308
------------
21,821
PHARMACEUTICALS - 5.4%
Astrazeneca Group Plc 158,109 7,384
Astrazeneca Group Plc - ADR 1,325 62
Johnson & Johnson 69,110 7,041
Pfizer Inc. 233,006 11,184
Pharmacia Corp. 83,220 4,301
Schering-Plough Corp. 36,255 1,831
Sepracor Inc. (a) 23,990 2,894
Takeda Chemical Industries Ltd. 85,000 5,591
Yamanouchi Pharmaceutical Co. Ltd. 29,000 1,587
------------
41,875
RETAIL - 0.6%
Amazon.com Inc. (a) 42,625 1,548
Gap Inc. 58,805 1,838
Ito-Yokado Co. Ltd. 14,000 844
Staples Inc. (a) 46,275 711
------------
4,941
SEMICONDUCTORS - 4.3%
Applied Materials Inc. (a) 17,350 1,572
Chartered Semiconductor
Manufacturing Ltd. - ADR (a) 59,000 5,310
Conexant Systems Inc. 45,315 2,203
Lattice Semiconductor Corp. (a) 20,820 1,439
Rohm Co. Ltd. 3,500 1,026
STMicroelectronics NV - NYS 156,690 10,058
STMicroelectronics NV 105,524 6,676
Texas Instruments Inc. 72,220 4,961
------------
33,245
SOFTWARE - 3.4%
America Online Inc. (a) 67,830 3,578
Autonomy Corp. Plc (a) 4,008 485
Autonomy Corp. Plc (a) (d) 7,630 938
BEA Systems Inc. (a) 27,530 1,361
Cap Gemini SA 11,962 2,116
i2 Technologies Inc. (a) 14,610 1,523
Interactive Investor
International Plc (a) 1,004,149 684
Intershop Communications AG (a) 2,482 1,135
Logica Plc 82,811 1,961
Microsoft Corp. (a) 18,635 1,491
Phone.com Inc. (a) 23,780 1,549
Sage Group Plc (a) 301,692 2,443
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
Sema Group Plc 91,591 $ 1,303
Softbank Corp. 25,400 3,457
Tietoenator Oyj 44,970 1,507
Veritas Software Corp. (a) (d) 5,092 575
------------
26,106
TELECOMMUNICATIONS - 34.1%
Alcatel SA - ADR 31,735 2,110
Alcatel (a) 99,455 6,550
Amdocs Ltd. (a) 107,220 8,229
AT&T Corp. 20,595 651
Carrier 1 International SA (a) (d) 16,346 960
China Telecom (Hong Kong) Ltd. (a) 2,008,000 17,709
China Telecom (Hong Kong) Ltd. -
ADR (a) 120,500 21,426
China Unicom - ADR (a) 89,755 1,907
Colt Telecom Group Plc (a) 223,357 7,439
Energis Plc (a) 99,064 3,716
Human Genome Sciences Inc. (a) 6,450 860
JDS Uniphase Corp. (a) 63,020 7,554
Le Groupe Videotron Ltee. 130,315 3,025
Level 3 Communications Inc. (a) 26,965 2,373
Nippon Telegraph & Telephone Corp. 75 999
Nokia Corp. - ADR 285,200 14,242
Nokia Oyj (a) (d) 469,424 24,052
Nortel Networks Corp. (a) 170,800 11,657
NTL Inc. (a) 33,078 1,980
NTT DoCoMo Inc. 976 26,474
Qualcomm Inc. (a) 11,640 698
Rogers Communications Inc. -
Class B (a) 77,567 2,196
Shaw Communications Inc. 167,355 4,123
SK Telecom Co. Ltd. - ADR 140,255 5,093
Tele Norte Leste Participacoes SA 1 13
Tele Sudeste Celular 9,841 300
Participacoes SA
Telecomunicacoes Brasileiras SA -
ADR 49,205 4,779
Telecomunicacoes de Sao Paulo SA 49,205 910
Telefonaktiebolaget Ericsson LM -
Class B 325,588 6,478
Telefonaktiebolaget LM Ericsson -
ADR 336,748 6,735
Telefonica SA (d) 532,262 11,480
Telefonica SA - ADR (d) 10,538 675
Telefonos de Mexico SA - ADR 324,335 18,528
Telewest Communications Plc (a) 308,331 1,064
VeriSign Inc. (a) 16,595 2,929
VersaTel Telecom International NV
(a) (d) 155,604 6,563
Viatel Inc. (a) 48,540 1,386
Vodafone AirTouch Plc 5,654,837 22,857
Vodafone AirTouch Plc - ADR (d) 96,560 4,001
------------
264,721
------------
Total Common Stocks
(cost $473,123) 676,719
------------
See notes to the financial statements.
57
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
CORPORATE BONDS - 0.0%
SOFTWARE - 0.0%
United Pan-Europe Communications
NV, 11.25%, 02/01/2010 $ 245,000 $ 218
------------
Total Corporate Bonds
(cost $243) 218
------------
PREFERRED STOCKS - 1.1%
AUTO MANUFACTURERS - 0.4%
Porsche AG 1,207 3,298
DIVERSIFIED FINANCIAL SERVICES - 0.6%
Marschollek Lautenschlaeger und
Partner AG 9,119 4,581
MEDIA - 0.1%
News Corp. Ltd. 11,820 561
------------
Total Preferred Stocks
(cost $4,964) 8,440
------------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
SHORT TERM INVESTMENTS - 11.8%
DIVERSIFIED FINANCIAL SERVICES -
11.8%
Associated Corp. NA, 6.85%,
07/03/2000 $ 17,600,000 $ 17,593
Federal Home Loan Bank, 5.84%,
08/14/2000 15,000,000 14,882
Federal Home Loan Bank, 6.43%,
08/15/2000 10,000,000 9,920
Federal Home Loan Bank, 6.01%,
09/11/2000 50,000,000 49,399
------------
91,794
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
6.51% (b) 58,218 58
------------
Total Short Term Investments
(cost $91,852) 91,852
------------
TOTAL INVESTMENTS - 100%
(cost $570,182) $ 777,229
============
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
(c) 144a security. Certain conditions for public sale may exist.
(d) All or a portion of this security has been loaned.
Based on the cost of investments of $570,478 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $241,164, the gross
unrealized depreciation was $34,413 and the net unrealized appreciation on
investments was $206,751.
See notes to the financial statements.
58
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Schedule of Investments (Unaudited) (continued)
FORWARD CURRENCY CONTRACTS, OPEN AT JUNE 30, 2000 (IN 000'S):
CURRENCY
UNITS
CURRENCY PURCHASED/SOLD PURCHASED CURRENCY UNREALIZED
AND SETTLEMENT DATE (SOLD) VALUE IN $ GAIN (LOSS)
U.S.
----------------------------- ------------- -------------- --------------
British Pound 09/08/00 1,200 $ 1,818 $ 39
British Pound 09/08/00 (5,100) (7,728) 336
British Pound 09/22/00 1,000 1,516 (70)
British Pound 09/22/00 (2,100) (3,183) 162
British Pound 09/29/00 1,000 1,516 (11)
British Pound 09/29/00 (5,000) (7,580) 358
British Pound 01/26/01 (4,000) (6,077) 45
Canadian Dollar 09/22/00 (1,600) (1,082) 20
Canadian Dollar 11/17/00 (1,600) (1,084) (2)
Euro 09/08/00 29,300 28,196 912
Euro 09/08/00 (30,700) (29,544) (590)
Euro 09/22/00 600 578 32
Euro 09/22/00 (6,000) (5,779) 11
Euro 09/29/00 3,000 2,891 101
Euro 09/29/00 (15,400) (14,839) 74
Euro 10/05/00 10,700 10,314 341
Euro 10/05/00 (17,050) (16,434) (49)
Euro 11/17/00 (8,000) (7,731) (411)
Euro 01/19/01 (5,000) (4,845) (119)
Euro 01/26/01 3,985 3,861 72
Euro 01/26/01 (7,900) (7,655) 36
Hong Kong Dollar 03/16/01 (147,900) (18,989) (6)
Hong Kong Dollar 05/07/01 (87,500) (11,234) (14)
Hong Kong Dollar 05/10/01 (52,000) (6,676) (15)
Hong Kong Dollar 06/27/01 (38,200) (4,904) (1)
Japanese Yen 09/01/00 480,000 4,587 43
Japanese Yen 09/01/00 (1,400,000) (13,378) (156)
Japanese Yen 09/08/00 (2,125,000) (20,332) 174
Japanese Yen 09/14/00 570,000 5,460 (98)
Japanese Yen 09/14/00 (870,000) (8,333) (44)
Japanese Yen 09/22/00 650,000 6,235 (82)
Japanese Yen 09/22/00 (650,000) (6,235) 128
Japanese Yen 09/29/00 280,000 2,689 (74)
Japanese Yen 09/29/00 (400,000) (3,842) 53
Japanese Yen 10/05/00 295,000 2,836 4
Japanese Yen 10/05/00 (400,000) (3,846) 107
Japanese Yen 11/17/00 (533,750) (5,174) (136)
Japanese Yen 01/26/01 (200,000) (1,955) (7)
South Korean Won 01/26/01 (110,000) (99) (1)
South Korean Won 02/08/01 (330,000) (296) (1)
South Korean Won 02/15/01 (458,000) (411) (1)
--------------
$ 1,160
==============
See notes to the financial statements.
59
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Schedule of Investments (Unaudited) (continued)
SUMMARY OF INVESTMENTS BY COUNTRY, JUNE 30, 2000:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
-------------------------------------------------------- ------------------
Australia 0.1% $ 862
Brazil 1.8% 14,121
Canada 3.3% 25,855
Finland 5.1% 39,801
France 4.2% 32,937
Germany 1.6% 11,990
Hong Kong 5.8% 45,321
Israel 1.2% 9,502
India 0.6% 4,866
Italy 0.1% 915
Japan 10.3% 79,785
Mexico 3.5% 26,848
Netherlands 5.0% 38,598
South Africa 0.8% 6,287
South Korea 2.2% 16,805
Spain 3.1% 24,152
Sweden 3.2% 25,058
Switzerland 0.4% 3,137
United Kingdom 7.6% 59,010
United States 40.1% 311,379
------------------- ------------------
TOTAL 100.0% $ 777,229
=================== ==================
See notes to the financial statements.
60
<PAGE>
JNL/JANUS GROWTH & INCOME SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $15,700) ............... $ 15,945
Receivables:
Dividends and interest ................. 2
Fund shares sold ....................... 212
Investment securities sold ............. 307
--------------
TOTAL ASSETS ............................. 16,466
--------------
LIABILITIES
Payables:
Advisory fees .......................... 11
Administrative fees .................... 1
Fund shares redeemed ................... 2
Investment securities purchased ........ 1,440
--------------
TOTAL LIABILITIES ........................ 1,454
--------------
NET ASSETS ............................... $ 15,012
==============
NET ASSETS CONSIST OF:
Paid-in capital .......................... $ 15,206
Undistributed net investment income ...... 75
Accumulated net realized loss on
investments,
futures contracts, and foreign currency
related items .......................... (514)
Net unrealized appreciation on investments 245
==============
$ 15,012
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............ 1,630
==============
NET ASSET VALUE PER SHARE ................ $ 9.21
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends .............................. $ 30
Interest ............................... 97
--------------
TOTAL INVESTMENT INCOME .................. 127
--------------
EXPENSES
Advisory fees .......................... 47
Administrative fees .................... 5
--------------
TOTAL EXPENSES ........................... 52
--------------
NET INVESTMENT INCOME .................... 75
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments ............................ 167
Futures contracts ...................... (18)
Foreign currency related items ......... (3)
Net change in unrealized depreciation on:
Investments ............................ (253)
Futures contracts ..................... (14)
--------------
NET REALIZED AND UNREALIZED LOSS ......... (121)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS ........................ $ (46)
==============
See notes to the financial statements.
61
<PAGE>
JNL/JANUS GROWTH & INCOME SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income .................................................................... $ 75 $ 72
Net realized gain (loss) on:
Investments ............................................................................ 167 (164)
Futures contracts ...................................................................... (18) 30
Foreign currency related items and options written ..................................... (3) 4
Net change in unrealized appreciation (depreciation) on:
Investments ............................................................................ (253) 411
Futures contracts ...................................................................... (14) 14
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ...................................... (46) 367
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................... - (72)
From net realized gains on investments ................................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ........................................................ - (72)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ......................................................... 9,044 6,241
Reinvestment of distribution ............................................................. - 72
Cost of shares redeemed .................................................................. (1,663) (3,242)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ......................................... 3,071
7,381
--------------- ---------------
NET INCREASE IN NET ASSETS ................................................................. 7,335 3,366
NET ASSETS BEGINNING OF PERIOD ............................................................. 7,677 4,311
--------------- ---------------
NET ASSETS END OF PERIOD ................................................................... $ 15,012 $ 7,677
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ........................................................ $ 75 $ -
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ........................................................................... 993 668
Reinvestment of distributions ......................................................... - 8
Shares redeemed ....................................................................... (183) (335)
-------------- ----------------
Net increase .......................................................................... 810 341
============== ================
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................... $ 14,358 $ 9,134
Proceeds from sales of securities ..................................................... 12,298 6,514
</TABLE>
See notes to the financial statements.
62
<PAGE>
JNL/JANUS GROWTH & INCOME SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
--------------- --------------- ---------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ............................................. $ 9.36 $ 9.00 $ 10.00
--------------- --------------- ---------------
INCOME FROM OPERATIONS:
Net investment income .......................................................... 0.05 0.09 0.07
Net realized and unrealized gains (losses) on investments, futures contracts,
options written and foreign currency related items ........................... (0.20) 0.36 (1.00)
--------------- --------------- ---------------
Total income (loss) from operations ............................................ (0.15) 0.45 (0.93)
--------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ..................................................... - (0.09) (0.07)
From net realized gains on investment transactions ............................. - - -
--------------- --------------- ---------------
Total distributions ............................................................ - (0.09) (0.07)
--------------- --------------- ---------------
Net increase (decrease) ........................................................ (0.15) 0.36 (1.00)
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................... $ 9.21 $ 9.36 $ 9.00
=============== =============== ===============
TOTAL RETURN (A) ................................................................. (1.60)% 4.98% (9.31)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ....................................... $ 15,012 $ 7,677 $ 4,311
Ratio of expenses to average net assets (b) .................................... 1.04% 1.025% 1.075%
Ratio of net investment income to average net assets (b) ....................... 1.48% 1.17% 1.01%
Portfolio turnover ............................................................. 188.28% 120.54% 129.99%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................... n/a n/a 2.16%
Ratio of net investment loss to average net assets (b) ......................... n/a n/a (0.08)%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
63
<PAGE>
JNL/JANUS GROWTH & INCOME SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 51.7%
AUTO MANUFACTURERS - 0.3%
Ford Motor Co. 1,125 $ 48
AUTO PARTS & EQUIPMENT - 0.0%
Visteon Corp. 147 2
BANKS - 1.0%
Firstar Corp. 7,540 159
BEVERAGES - 0.1%
Anheuser-Busch Cos. Inc. 200 15
BIOTECHNOLOGY - 0.1%
PE Corp. - PE Biosystems Group 200 13
CHEMICALS - 0.3%
E.I. du Pont de Nemours & Co. 975 43
COMMERCIAL SERVICES - 1.0%
Paychex Inc. 2,267 95
Valassis Communications Inc. (a) 1,715 65
-----------
160
COMPUTERS - 4.9%
Cisco Systems Inc. (a) 6,300 399
EMC Corp. (a) 2,000 154
Sun Microsystems Inc. (a) 2,440 222
-----------
775
DIVERSIFIED FINANCIAL SERVICES -
4.2%
American Express Co. 3,460 180
Associates First Capital Corp. 4,505 101
Charles Schwab Corp. 2,385 80
Citigroup Inc. 3,245 196
Household International Inc. 955 40
John Hancock Financial Services
Inc. (a) 3,185 76
-----------
673
ELECTRONICS - 0.5%
Maxim Integrated Products Inc.(a) 1,080 73
ENTERTAINMENT - 0.3%
SFX Entertainment Inc. (a) 870 39
FOOD - 0.1%
Bestfoods 195 14
HEALTHCARE - 0.9%
Allergan Inc. 955 71
Medtronic Inc. 1,410 70
-----------
141
HOME FURNISHINGS - 0.7%
SONY Corp. 1,200 112
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
INSURANCE - 0.6%
American International Group Inc. 570 $ 67
ReliaStar Financial Corp. 600 31
-----------
98
LEISURE TIME - 0.5%
Harley-Davidson Inc. 910 35
Mattel Inc. 500 7
Royal Caribbean Cruises Ltd. 2,355 44
-----------
86
MANUFACTURING - 3.8%
Corning Corp. 680 184
General Electric Co. 7,950 421
-----------
605
MEDIA - 10.0%
AT&T - Liberty Media Group
- Class A (a) 17,560 426
Clear Channel Communications 1,710 128
Inc. (a)
Comcast Corp. 8,520 345
Cox Communications Inc. (a) 3,165 144
Hispanic Broadcasting Corp. (a) 1,125 37
Infinity Broadcasting Corp. (a) 3,110 113
Time Warner Inc. 2,915 222
Viacom Inc. - Class B (a) 2,685 183
-----------
1,598
OIL & GAS PRODUCERS - 0.8%
Coastal Corp. 200 12
Enron Corp. 1,710 110
Kinder Morgan Inc. 250 9
-----------
131
PHARMACEUTICALS - 1.1%
Pfizer Inc. 3,640 175
RETAIL - 1.1%
Home Depot Inc. 2,690 134
Staples Inc. (a) 2,720 42
-----------
176
SEMICONDUCTORS - 3.2%
Advanced Micro Devices Inc. (a) 340 26
Intel Corp. 810 108
Texas Instruments Inc. 5,495 377
-----------
511
SOFTWARE - 3.3%
Electronic Arts Inc. (a) 195 14
Genuity Inc. (a) 35,100 320
Oracle Corp. (a) 1,900 160
PSINet Inc. (a) 100 3
Veritas Software Corp. (a) 290 33
-----------
530
See notes to the financial statements.
64
<PAGE>
JNL/JANUS GROWTH & INCOME SERIES
SCHEDULE OF INVESTMENTS (unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
TELECOMMUNICATIONS - 12.9%
Allegiance Telecom Inc. (a) 1,090 $ 70
DoubleClick Inc. (a) 1,270 48
McLeodUSA Inc. (a) 11,725 242
Nextel Communications Inc. (a) 3,200 196
Nokia Corp. - ADR 9,245 462
Nortel Networks Corp. (a) 2,120 145
Sprint Corp. (PCS Group) (a) 3,055 182
Telefonaktiebolaget LM Ericsson
- ADR 7,175 143
Telefonica SA 7,535 163
Telefonos de Mexico SA - ADR 2,265 129
Vodafone AirTouch Plc 36,867 149
Voicestream Wireless Corp. (a) 1,150 134
-----------
2,063
-----------
Total Common Stocks
(cost $7,981) 8,240
-----------
CORPORATE BONDS - 1.9%
BANKS - 0.3%
Firstar Bank NA, 7.125%,
12/01/2009 $ 50,000 47
COMPUTERS - 0.2%
Sun Microsystems Inc., 7.50%,
08/15/2006 35,000 35
DIVERSIFIED FINANCIAL SERVICES - 1.4%
General Electric Capital Corp.
7.00%, 03/01/2002 80,000 80
6.52%, 10/08/2002 15,000 15
7.00%, 02/03/2003 120,000 120
-----------
215
-----------
Total Corporate Bonds
(cost $297) 297
-----------
PREFERRED STOCK - 2.3%
AUTO MANUFACTURERS - 0.8%
Porsche AG 45 123
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
ELECTRIC - 0.8%
Reliant Energy Inc. 1,000 $ 123
SOFTWARE - 0.3%
PSINet Inc. (a) 1,735 59
TELECOMMUNICATIONS - 0.4%
MediaOne Group Inc. (a) 745 67
-----------
Total Preferred Stock
(cost $386) 372
-----------
SHORT TERM INVESTMENTS - 44.1%
MONEY MARKET FUND - 0.3%
Dreyfus Cash Management Plus,
6.51% (b) 57,159 57
U.S. GOVERNMENT AGENCIES- 43.8%
Federal Home Loan Bank, 6.28%,
07/05/2000 $ 2,000,000 1,999
Federal Home Loan Mortgage Corp.,
5.95%, 07/03/2000 3,000,000 2,999
Federal National Mortgage Assoc.,
6.43%, 08/22/2000 2,000,000 1,981
-----------
6,979
-----------
Total Short Term Investments
(cost $7,036) 7,036
-----------
TOTAL INVESTMENTS - 100%
(cost $15,700) $ 15,945
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
Based on the cost of investments of $15,796 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $538, the gross unrealized
depreciation was $389 and the net unrealized appreciation on investments was
$149.
See notes to the financial statements.
65
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $19,813) .................. $ 19,566
Foreign currency ............................ 25
Receivables:
Interest .................................. 166
Fund shares sold .......................... 96
Investment securities sold ................ 2,421
Variation margin .......................... 2
Other ....................................... 10
---------------
TOTAL ASSETS ................................ 22,286
---------------
LIABILITIES
Cash overdraft .............................. 200
Payables:
Advisory fees ............................. 8
Administrative fees ....................... 1
Forward currency contracts ................ 5
Fund shares redeemed ...................... 1
Investment securities purchased ........... 5,259
Investments securities sold short, at value
(proceeds received $2,393) ................ 2,410
Options written, at value
(premiums received $5) .................... 4
Other ....................................... 2
---------------
TOTAL LIABILITIES ........................... 7,890
---------------
NET ASSETS .................................. $ 14,396
===============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 14,413
Accumulated net investment income ........... 326
Accumulated net realized loss on investments (109)
Net unrealized depreciation on investments,
futures contracts, options written and
foreign currency related items ............ (234)
---------------
$ 14,396
===============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 1,437
===============
NET ASSET VALUE PER SHARE ................... $ 10.01
===============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest .................................. $ 376
---------------
EXPENSES
Advisory fees ............................. 39
Administrative fees ....................... 6
---------------
TOTAL EXPENSES .............................. 45
---------------
NET INVESTMENT INCOME ....................... 331
---------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments ............................... 49
Foreign currency related items ............ 25
Futures contracts and options written ..... (28)
Net change in unrealized appreciation
(depreciation) on:
Investments ............................... 39
Foreign currency related items ............ (5)
Futures contracts and options written ..... 37
---------------
NET REALIZED AND UNREALIZED GAIN ............ 117
---------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS ........................... $ 448
===============
See notes to the financial statements.
66
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income .................................................................. $ 331 $ 462
Net realized gains (losses) on:
Investments .......................................................................... 49 (63)
Foreign currency related items ....................................................... 25 (3)
Futures contracts and options written ................................................ (28) (91)
Net change in unrealized appreciation (depreciation) on:
Investments .......................................................................... 39 (324)
Foreign currency related items ....................................................... (5) 4
Futures contracts and options written ................................................ 37 3
--------------- ---------------
NET INCREASE (DECREASE) NET ASSETS FROM OPERATIONS ....................................... 448 (12)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................. - (463)
From net realized gains on investment transactions ..................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ...................................................... - (463)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ....................................................... 6,776 6,970
Reinvestment of distributions .......................................................... - 463
Cost of shares redeemed ................................................................ (2,279) (3,640)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ....................................... 4,497 3,793
--------------- ---------------
NET INCREASE IN NET ASSETS ............................................................... 4,945 3,318
NET ASSETS BEGINNING OF PERIOD ........................................................... 9,451 6,133
--------------- ---------------
NET ASSETS END OF PERIOD ................................................................. $ 14,396 $ 9,451
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ................................. $ 326 $ (5)
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ......................................................................... 689 690
Reinvestment of distributions ....................................................... - 48
Shares redeemed ..................................................................... (233) (360)
--------------- ---------------
Net increase ........................................................................ 456 378
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................. $ 19,819 $ 13,209
Proceeds from sales of securities ................................................... 14,839 6,908
</TABLE>
See notes to the financial statements.
67
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
------------- -------------- ----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ...................................... $ 9.64 $ 10.16 $ 10.00
------------- -------------- ----------------
INCOME FROM OPERATIONS:
Net investment income ................................................... 0.23 0.49 0.31
Net realized and unrealized gains (losses) on
investments, futures contracts,
options written and foreign currency related items .................... 0.14 (0.52) 0.26
------------- -------------- ----------------
Total income (loss) from operations ..................................... 0.37 (0.03) 0.57
------------- -------------- ----------------
LESS DISTRIBUTIONS:
From net investment income .............................................. - (0.49) (0.31)
From net realized gains on investment transactions ...................... - - (0.10)
------------- -------------- ----------------
Total distributions ..................................................... - (0.49) (0.41)
------------- -------------- ----------------
Net increase (decrease) ................................................. 0.37 (0.52) 0.16
------------- -------------- ----------------
NET ASSET VALUE, END OF PERIOD ............................................ $ 10.01 $ 9.64 $ 10.16
============= ============== ================
TOTAL RETURN (A) .......................................................... 3.84% (0.26)% 5.70%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................ $ 14,396 $ 9,451 $ 6,133
Ratio of expenses to average net assets (b) ............................. 0.80% 0.80% 0.85%
Ratio of net investment income to average net assets (b) ................ 5.93% 5.41% 4.95%
Portfolio turnover ...................................................... 138.65% 91.12% 269.16%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ............................. n/a n/a 1.57%
Ratio of net investment income to average net assets (b) ................ n/a n/a 4.23%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
68
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
--------------------------------------------------------------
ASSET BACKED SECURITIES - 19.5%
DIVERSIFIED FINANCIAL SERVICES - 19.5%
AFC Mortgage Loan Asset Backed
Notes, Series 2000-2, 6.965%,
07/25/2020 (d) $ 400,000 $ 400
Bank One Corp., 6.81%, 05/07/2002
(d) 400,000 400
Caterpillar Financial Services
Corp., 6.875%, 08/01/2004 400,000 394
Green Tree Financial Corp., 7.86%,
04/01/2031 300,000 285
Heller Financial Inc., 6.44%,
02/05/2001 (d) 300,000 300
Irwin Low Balance Home Equity Loan
Trust, 7.0488%, 06/25/2021 200,000 200
Morgan Stanley Capital I, 6.59%,
10/03/2030 275,953 270
Parker Hannifin Employee Stock
Ownership Trust, 6.34%,
07/15/2008 222,638 205
Residential Funding Mortgage
Securities I,
6.75%, 06/25/2028 300,000 273
Sears Roebuck Acceptance Corp.,
7.03%, 06/04/2003 200,000 197
Conseco Finance Recreational
Enthusiast
Consumer Trust 2000-A,
7.56%, 02/24/2030 (d) 200,000 200
Ameriquest Mortgage Securities
Inc.,
7.1904%, 07/15/2030 400,000 400
GE Capital Mortgage Services Inc.,
6.00%, 07/25/2029 300,000 292
------------
Total Asset Backed Securities
(cost $3,897) 3,816
------------
CORPORATE BONDS - 24.4%
AUTO PARTS & EQUIPMENT - 2.5%
DaimlerChrysler North American
Holdings
Inc., 6.90%, 09/01/2004 (d) 500,000 489
BANKS - 7.4%
Bank of America, 6.20%, 08/15/2003 200,000 192
Bank One Corp., 8.25%, 06/15/2002 200,000 203
Banque Cent de Tunisie, 7.50%,
08/06/2009 (c) 300,000 287
Goldman Sachs Group LP, 7.80%,
07/15/2002 (c) 115,000 116
Lehman Brothers Holdings Plc,
6.41%, 09/03/2002 200,000 198
Merrill Lynch & Co. Inc., 6.62%,
01/11/2002 250,000 250
PNC Bank NA, 6.52%, 08/15/2002 200,000 200
------------
1,446
MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
--------------------------------------------------------------
CHEMICALS - 1.0%
Dow Chemical Co., 8.04%, 07/02/2005 $ 200,000 $ 204
COMMERCIAL SERVICES - 1.3%
Cox Enterprises Inc.,
6.625%, 06/14/2002 250,000 245
HEALTHCARE - 1.6%
Tenet Healthcare Corp., 7.875%,
01/15/2003 (d) 330,000 322
INSURANCE - 2.0%
Allstate Corp., 6.75%, 06/15/2003 200,000 196
SAFECO Corp., 7.02%, 09/18/2002 200,000 198
------------
394
OIL & GAS PRODUCERS - 1.3%
Nabors Industries Inc., 6.80%,
04/15/2004 250,000 245
SAVINGS & LOAN - 5.8%
Advanta Mortgage Loan Trust
5.99%, 08/25/2029 263,217 264
6.81%, 05/25/2014 193,556 192
Ford Motor Credit Co., 6.70%,
07/16/2004 (d) 500,000 483
General Motors Acceptance Corp.,
6.33%, 04/29/2002 200,000 200
------------
1,139
TELECOMMUNICATIONS - 1.5%
US West Communications Inc.,
5.65%, 11/01/2004 315,000 291
------------
Total Corporate Bonds
(cost $4,867) 4,775
------------
GOVERNMENT SECURITIES - 48.6%
SOVEREIGN - 2.3%
Bundesrepublik Deutschland,
6.25%, 01/04/2024 (c) 10,000 10
6.25%, 01/04/2030 (c) 60,000 64
Republic of Brazil,
7.375%, 04/15/2006 279,000 255
7.00%, 01/01/2001 (d) 123,000 123
------------
452
U.S. GOVERNMENT AGENCIES - 38.3%
Federal Home Loan Mortgage Corp.,
7.00%, 05/15/2023 (d) 1,311,602 1,218
6.00%, 07/17/2030 (c) 130,000 119
See notes to the financial statements.
69
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Schedule of Investments (Unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
--------------------------------------------------------------
Federal National Mortgage
Assocation,
6.00%, TBA (c) $ 600,000 $ 549
7.00%, TBA (c) 100,000 96
FH ARM, 07/01/27, 6.903%
07/01/2027 (c)
42,259 42
FHA- St. Regis Nursing Home
7.50%, 03/01/2032 (c) 59,665 58
7.50%, 03/01/2032 (d) 140,344 135
Government National Mortgage
Assoc. II,
6.375%, 02/20/2027 158,590 159
7.00%, 04/20/2030 500,000 498
6.50%, 05/20/2030 300,000 297
6.50%, TBA (c) 500,000 472
7.00%, TBA (c) 150,000 145
Government National Mortgage
Association,
6.50%, TBA (c) 2,700,000 2,562
7.00%, TBA (c) 350,000 344
7.50%, TBA (c) 700,000 695
8.00%, TBA (c) 100,000 101
------------
7,490
U.S. TREASURY SECURITIES - 8.0%
U.S. Treasury Bonds,
10.625%, 08/15/2015 (d) 100,000 142
8.75%, 08/15/2020 (d) 500,000 641
U.S. Treasury Inflation Index
Notes,
3.375%, 01/15/2007 (d) 540,725 519
3.625%, 07/15/2002 (d) 213,788 212
U.S. Treasury Note,
5.125%, 08/31/2000 (d) 35,000 35
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
--------------------------------------------------------------
U.S. Treasury Principal Strip,
6.223% ,
11/15/2021 (d) $ 100,000 $ 27
------------
1,576
------------
Total Government Securities
(cost $9,592) 9,518
------------
SHORT TERM INVESTMENTS - 7.5%
U.S. TREASURY BILL - 0.2%
5.59%, 09/21/2000 (b) 40,000 39
MONEY MARKET FUNDS - 5.6%
Dreyfus Cash Management Plus, 6.51% 707,607 708
(a)
Dreyfus Government Cash
Management, 6.25% (a) 376,073 376
------------
1,084
REPURCHASE AGREEMENT - 1.7%
Repurchase agreement with , 3.5%,
(Collateralized by $402,471
Federal Home Loan Mortgage Corp.,
6.00%, due 12/01/2018, market
value $366,466) acquired on
06/30/2000, due 07/03/2000 $ 334,000 334
------------
Total Short Term Investments
(cost $1,457) 1,457
------------
TOTAL INVESTMENTS - 100%
(cost $19,813) $ 19,566
============
--------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 2000.
(b) Security has been pledged to cover margin requirements for open futures
contracts. (c) Investment purchased on a when-issued basis. (d)
Security pledged as collateral for investment purchased on a
when-issued basis.
Based on the cost of investments of $19,813 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $69 the gross unrealized
depreciation was $316 and the net unrealized depreciation on investments was
$247.
MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
--------------------------------------------------------------
INVESTMENT SECURITIES SOLD SHORT
U.S. Treasury Note, 5.875%,
11/15/2004 $1,800,000 $ 1,772
United Kingdom Gilt Bond,
5.75%, 12/07/2009 400,000 473
6.25%, 11/25/2010 100,000 165
------------
Total Investment Securities Sold
Short
(Proceeds $2,393) $ 2,410
============
See notes to the financial statements.
70
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Schedule of Investments (Unaudited)(continued)
SCHEDULE OF FUTURES CONTRACTS, JUNE 30, 2000:
UNREALIZED
CONTRACTS APPRECIATION
--------------- ---------------
1 Euro Bund Futures
Expiration September 2000 .... $ -
9 Eurodollar Futures
Expiration March 2001 ......... 5
1 Long Gilt Futures
Expiration September 2000 ..... 1
17 U.S. Treasury Note Futures
Expiration September 2000 .... 20
===============
$ 26
===============
SCHEDULE OF OPTIONS WRITTEN, JUNE 30, 2000:
<TABLE>
<CAPTION>
MARKET
CONTRACTS VALUE
---------------- --------------
<S> <C>
2 Eurodollar Future Put Option
Expiration December 2000, Exercise price $92.50 ........................ $ -
2 Eurodollar Future Put Option
Expiration December 2000, Exercise price $93 ........................... (1)
5 U.S. Treasury Note Future Call Option
Expiration August 2000, Exercise price $100 ............................ (2)
500,000 Receiver Swaption
Expiration September 2000, Exercise rate 7% ............................ (1)
1 U.S. Treasury Bond Future Put Option
Expiration August 2000, Exercise price $94 ............................. -
==============
$ (4)
==============
</TABLE>
SUMMARY OF WRITTEN CALL OPTIONS FOR THE SIX MONTHS ENDED JUNE 30, 2000:
NUMBER OF PREMIUM
CONTRACTS (000'S)
-------------- -------------
Options outstanding at December 31, 1999 .. 17 $ 10
Options written during the period ....... 500,027 13
Options closed during the period ........ (10) (10)
Options expired during the period ....... (24) (8)
-------------- -------------
Options outstanding at June 30, 2000 ..... 500,010 $ 5
============== =============
SUMMARY OF SWAP AGREEMENTS, JUNE 30, 2000:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
AMOUNT APPRECIATION
------------------------------
<S> <C> <C>
Receive floating rate based on 6 month LIBOR plus 0.499% and pay fixed rate .... $ 50,000 $ 1
Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 6.175% 40,000 (1)
Receive floating rate based on 3 month LIBOR and pay fixed rate equal to 7.67% . 210,000 6
Receive floating rate based on 6 month LIBOR less 0.54% and pay fixed rate
equal to 6.25% ............................................................... 10,000 (1)
Receive floating rate based on 3 month LIBOR less 0.59% and pay fixed rate
equal to 6.01% ............................................................... 30,000 -
Five year spread rate lock, 1.112%, 02/16/2005 ................................. 200,000 3
===============
$ 8
===============
</TABLE>
See notes to the financial statements.
71
<PAGE>
JNL/PUTNAM GROWTH SERIES
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $448,572) ............... $ 547,344
Cash ...................................... 3
Receivables:
Dividends and interest .................. 157
Fund shares sold ........................ 454
Investment securities sold .............. 3,931
Collateral for securities loaned .......... 6,461
--------------
Total assets .............................. 558,350
--------------
Liabilities
Payables:
Advisory fees ........................... 365
Administrative fees ..................... 43
Fund shares redeemed .................... 586
Investment securities purchased ......... 7,479
Return of collateral for securities loaned 6,461
--------------
Total liabilities ......................... 14,934
--------------
Net assets ................................ $ 543,416
==============
Net assets consist of:
Paid-in capital ........................... $ 429,297
Accumulated net investment loss ........... (637)
Accumulated net realized gain on investments 15,984
Net unrealized appreciation on investments 98,772
--------------
$ 543,416
==============
Shares outstanding (no par value),
unlimited shares authorized ............. 19,579
==============
Net asset value per share ................. $ 27.76
==============
Statement of Operations
For the Six Months Ended June 30, 2000
Investment income
Dividends ............................... $ 1,246
Interest ................................ 410
Securities lending ...................... 16
Foreign taxes withheld .................. (16)
--------------
Total investment income ................... 1,656
--------------
Expenses
Advisory fees ........................... 2,050
Administrative fees ..................... 242
--------------
Total expenses ............................ 2,292
--------------
Net investment loss ....................... (636)
--------------
Realized and unrealized gain (loss)
Net realized gain on investments .......... 6,577
Net change in unrealized depreciation
on investments .......................... (16,486)
--------------
Net realized and unrealized loss .......... (9,909)
--------------
Net decrease in net assets
from operations ......................... $ (10,545)
==============
See notes to the financial statements.
72
<PAGE>
JNL/PUTNAM GROWTH SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
--------------- ---------------
<S> <C> <C>
Net investment loss .......................................................... $ (636) $ (622)
Net realized gain on investments ............................................. 6,577 27,454
Net change in unrealized appreciation (depreciation)
on investments ........................................................... (16,486) 65,202
--------------- ---------------
Net increase (decrease) in net assets from operations .......................... (10,545) 92,034
--------------- ---------------
Distributions to shareholders
From net investment income ................................................... - -
From net realized gains on investment transactions ........................... - (17,617)
--------------- ---------------
Total distributions to shareholders ............................................ - (17,617)
--------------- ---------------
Share transactions(1)
Proceeds from the sale of shares ............................................. 155,593 241,774
Reinvestment of distributions ................................................ - 17,617
Cost of shares redeemed ...................................................... (56,025) (61,512)
--------------- ---------------
Net increase in net assets from share transactions ............................. 99,568 197,879
--------------- ---------------
Net increase in net assets ..................................................... 89,023 272,296
Net assets beginning of period ................................................. 454,393 182,097
--------------- ---------------
Net assets end of period ....................................................... $ 543,416 $ 454,393
=============== ===============
Accumulated net investment loss ................................................ $ (637) $ (1)
=============== ===============
Share Transactions(1):
Shares sold ............................................................... 5,654 9,871
Reinvestment of distributions ............................................. - 624
Shares redeemed ........................................................... (2,049) (2,481)
-------------- ---------------
Net increase .............................................................. 3,605 8,014
============== ===============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ................................................... $ 242,799 $ 389,306
Proceeds from sales of securities ......................................... 148,038 211,000
</TABLE>
See notes to the financial statements.
73
<PAGE>
JNL/PUTNAM GROWTH SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from Period from
Six months April 1, May 15,
ended 1996 to 1995* to
June 30, Year ended December 31, December 31, March 31,
2000 1999 1998 1997 1996 1996
-------------- ------------- -------------- ------------- ---------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ....... $28.45 $22.88 $16.99 $14.21 $12.50 $10.00
-------------- ------------- -------------- ------------- ---------------- -----------
Income from operations:
Net investment income (loss) ............... (0.03) (0.04) (0.01) 0.04 0.04 0.01
Net realized and unrealized gains (losses)
on investments ............................ (0.66) 6.76 5.94 3.07 2.12 3.66
-------------- ------------- -------------- ------------- ---------------- -----------
Total income (loss) from operations ........ (0.69) 6.72 5.93 3.11 2.16 3.67
-------------- ------------- -------------- ------------- ---------------- -----------
Less distributions:
From net investment income ................. - - (0.01) (0.02) (0.05) -
From net realized gains on investment
transactions ............................... - (1.15) (0.03) (0.31) (0.40) (1.17)
-------------- ------------- -------------- ------------- ---------------- -----------
Total distributions ........................ - (1.15) (0.04) (0.33) (0.45) (1.17)
-------------- ------------- -------------- ------------- ---------------- -----------
Net increase (decrease) .................... (0.69) 5.57 5.89 2.78 1.71 2.50
-------------- ------------- -------------- ------------- ---------------- -----------
Net asset value, end of period ............. $27.76 $28.45 $22.88 $16.99 $14.21 $12.50
============== ============= ============== ============= ================ ===========
Total Return (a) ........................... (2.43)% 29.41% 34.93% 21.88% 17.28% 37.69%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ... $543,416 454,393 $182,097 $83,612 $22,804 $2,518
Ratio of expenses to average net
assets (b)(c) .............................. 0.95% 0.97% 1.01% 1.13% 1.04% 0.95%
Ratio of net investment income (loss)
to average net assets (b) .................. (0.26)% (0.21)% (0.07)% 0.31% 0.94% 0.28%
Portfolio turnover ......................... 31.06% 74.67% 70.55% 194.81% 184.33% 255.03%
Ratio information assuming no expense
reimbursement:
Ratio of expenses to average net assets (b) n/a n/a 1.01% 1.13% 1.27% 5.38%
Ratio of net investment income (loss)
to average net assets(b) ................... n/a n/a (0.07)% 0.31% 0.71% (4.15)%
------------------------------------------------------------------------------------------------------------------------------------
*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 periods less than one year.
(b) Annualized for periods less than one year.
(c) For the year ended December 31, 1997, the ratio of expenses to average net
assets excluding non-operating expenses was 1.05%.
See notes to the financial statements.
74
</TABLE>
<PAGE>
JNL/PUTNAM GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Prinicipal Value
Amount (000's)
------------------------------------------------------------
Common Stocks - 96.7%
Advertising - 1.4%
Interpublic Group Cos. Inc. 119,400 $ 5,134
Omnicom Group Inc. 27,700 2,467
-----------
7,601
Banks - 2.3%
Bank of America Corp. 35,300 1,518
Bank of New York Co. Inc. 10,000 465
Fifth Third Bancorp 67,300 4,257
Firstar Corp. 168,200 3,543
Northern Trust Corp. 21,100 1,373
State Street Corp. 4,300 456
Zions Bancorporation 23,200 1,064
-----------
12,676
Beverages - 0.4%
Anheuser-Busch Cos. Inc. 29,200 2,181
Biotechnology - 2.6%
Amgen Inc. (a) 99,800 7,011
Genentech Inc. (a) 27,400 4,713
PE Corp.-PE Biosystems Group 40,600 2,675
-----------
14,399
Chemicals - 0.4%
Praxair Inc. 65,500 2,490
Commercial Services - 0.4%
United Parcel Service Inc. 35,000 2,065
Computers - 10.0%
Apple Computer Inc. (a) 92,800 4,860
Brocade Communications Systems 21,400 3,926
Inc. (a)
Cisco Systems Inc. (a) 302,400 19,146
Comverse Technology Inc. (a) 36,500 3,395
EMC Corp. (a) 115,600 8,894
Hewlett-Packard Co. 47,200 5,894
Sun Microsystems Inc. (a) 92,500 8,412
-----------
54,527
Cosmetics & Personal Care - 2.7%
Avon Products Inc. 31,200 1,388
Colgate-Palmolive Co. 69,400 4,155
Estee Lauder Cos. Inc. 91,000 4,499
Kimberly-Clark Corp. 86,600 4,969
-----------
15,011
Diversified Financial Services - 5.7%
American Express Co. 149,400 7,788
Charles Schwab Corp. 142,550 4,793
Citigroup Inc. 193,000 11,628
Merrill Lynch & Co. Inc. 24,400 2,806
Shares
or Market
Principal Value
Amount (000's)
-------------------------------------------------------------
Morgan Stanley Dean Witter & Co. 49,300 $ 4,104
-----------
31,119
Electronics - 2.0%
Linear Technology Corp. 72,500 4,635
SCI Systems Inc. (a) 65,500 2,567
Teradyne Inc. (a) 50,900 3,741
-----------
10,943
Food - 0.5%
Sysco Corp. 59,800 2,519
Healthcare - 1.3%
Allergan Inc. 61,000 4,545
Baxter International Inc. 39,900 2,805
-----------
7,350
Insurance - 2.3%
American International Group Inc. 92,600 10,880
Cigna Corp. 19,500 1,823
-----------
12,703
Manufacturing - 8.6%
Corning Inc. 22,700 6,126
General Electric Co. 421,800 22,355
Tyco International Ltd. 394,800 18,704
-----------
47,185
Media - 7.7%
AT&T - Liberty Media Group - Class 432,600 10,491
A (a)
Clear Channel Communications Inc. 97,400 7,305
(a)
Time Warner Inc. 95,600 7,266
Viacom Inc. - Class B (a) 252,516 17,218
-----------
42,280
Oil & Gas Producers - 5.6%
Anadarko Petroleum Corp. 58,000 2,860
Apache Corp. 50,900 2,993
Conoco Inc. - Class A 176,900 3,892
Enron Corp. 131,000 8,449
Exxon Mobil Corp. 95,600 7,505
Royal Dutch Petroleum Co. - NYS 79,900 4,919
-----------
30,618
Packaging & Containers - 0.8%
Avery Dennison Corp. 38,800 2,604
Sealed Air Corp. (a) 33,200 1,739
-----------
4,343
Pharmaceuticals - 7.3%
American Home Products Corp. 82,200 4,829
Eli Lilly & Co. 47,600 4,754
Pfizer Inc. 334,400 16,051
Pharmacia Corp. 73,700 3,809
Schering-Plough Corp. 205,300 10,368
-----------
39,811
See notes to the financial statements.
75
<PAGE>
JNL/PUTNAM GROWTH SERIES
Schedule of Investments (Unaudited)(continued)
Shares
or Market
Principal Value
Amount (000's)
-------------------------------------------------------------
Retail - 6.8%
CVS Corp. 72,800 $ 2,912
Home Depot Inc. 200,400 10,007
Kohl's Corp. (a) 40,300 2,242
RadioShack Corp. 94,400 4,472
Target Corp. 75,200 4,362
TJX Companies Inc. 181,000 3,394
Wal-Mart Stores Inc. 168,800 9,727
-----------
37,116
Semiconductors - 7.7%
Applied Materials Inc. (a) 83,000 7,522
Broadcom Corp. (a) 11,200 2,453
Intel Corp. 140,000 18,716
Texas Instruments Inc. 117,000 8,036
Xilinx Inc. (a) 66,200 5,466
-----------
42,193
Software - 7.8%
America Online Inc. (a) 80,000 4,220
BEA Systems Inc. (a) 39,200 1,938
i2 Technologies Inc. (a) 26,800 2,794
Microsoft Corp. (a) 182,800 14,624
Oracle Corp. (a) 82,800 6,960
Siebel Systems Inc. (a) 19,800 3,239
Veritas Software Corp. (a) (c) 58,950 6,662
Yahoo Inc. (a) 16,400 2,032
-----------
42,469
Telecommunications - 12.4%
Alltel Corp. 62,400 3,866
Echostar Communications Corp. (a) 39,100 1,294
General Motors Corp. - Class H (a) 28,900 2,536
JDS Uniphase Corp. (a) 65,000 7,792
LSI Logic Corp. (a) (c) 50,200 2,717
Nextel Communications Inc. (a) 111,200 6,804
Nokia Corp. - ADR 149,200 7,451
Nortel Networks Corp. 176,100 12,019
Sprint Corp. (FON Group) 119,700 6,105
Sprint Corp. (PCS Group) (a) 87,200 5,188
Tellabs Inc. (a) 56,200 3,846
Vodafone AirTouch Plc - ADR (c) 113,900 4,720
Voicestream Wireless Corp. (a) 30,347 3,529
-----------
67,867
-----------
Total Common Stocks
(cost $430,694) 529,466
-----------
Shares
or Market
Principal Value
Amount (000's)
-------------------------------------------------------------
Short Term Investments - 3.3%
Money Market Fund - 0.0%
Dreyfus Cash Management Plus,
6.51% (b) 916 $ 1
Repurchase Agreement - 3.3%
Repurchase agreement with Warburg
Dillon Read, 6.58%
(Collateralized by
$17,682,000 U.S. Treasury
Bond, 6.25%, due 08/15/2023,
market value $18,204,855),
acquired on 06/30/2000,
due 07/03/2000 $17,877,000 17,877
-----------
Total Short Term Investments
(cost $17,878) 17,878
-----------
Total Investments - 100%
(cost $448,572) $ 547,344
===========
-------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions.
Rate is the quoted yield as of June 30, 2000.
(c) All or a portion of this security has been loaned.
Based on the cost of investments of $448,763 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $121,296, the gross
unrealized depreciation was $22,715 and the net unrealized appreciation on
investments was $98,581.
See notes to the financial statements.
76
<PAGE>
JNL/PUTNAM INTERNATIONAL EQUITY SERIES
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $110,364) .............. $ 120,243
Foreign currency ......................... 233
Receivables:
Dividends and interest ................. 61
Foreign taxes recoverable .............. 84
Forward currency contracts ............. 4
Fund shares sold ....................... 3,432
Investment securities sold ............. 855
Collateral for securities loaned ......... 4,458
----------------
Total assets ............................. 129,370
----------------
Liabilities
Payables:
Advisory fees .......................... 104
Administrative fees .................... 9
Forward currency contracts ............. 3
Fund shares redeemed ................... 21
Investment securities purchased ........ 1,830
Return of collateral for securities loaned 4,458
----------------
Total liabilities ........................ 6,425
----------------
Net assets ............................... $ 122,945
================
Net assets consist of:
Paid-in capital .......................... $ 94,515
Undistributed net investment income ...... 28
Accumulated net realized gain on
investments and foreign currency
related items .......................... 18,524
Net unrealized appreciation on investments
and foreign currency related items ..... 9,878
----------------
$ 122,945
================
Total shares outstanding (no par value),
unlimited shares authorized ............ 7,663
================
Net asset value per share ................ $ 16.04
===============
Statement of Operations
For the Six Months Ended June 30, 2000
Investment income
Dividends .............................. $ 901
Interest ............................... 366
Securities lending ..................... 14
Foreign taxes withheld ................. (156)
--------------
Total investment income .................. 1,125
--------------
Expenses
Advisory fees .......................... 595
Administrative fees .................... 55
--------------
Total expenses ........................... 650
--------------
Net investment income .................... 475
--------------
Realized and unrealized gains (losses)
Net realized gain (loss) on:
Investments ............................ 18,166
Foreign currency related items ......... (382)
Net change in unrealized appreciation
(depreciation) on:
Investments ............................ (21,959)
Foreign currency related items ......... 1
--------------
Net realized and unrealized loss ......... (4,174)
--------------
Net decrease in net assets
from operations ........................ $ (3,699)
==============
See notes to the financial statements.
77
<PAGE>
JNL/PUTNAM INTERNATIONAL EQUITY SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
-------------- --------------
<S> <C> <C>
Operations
Net investment income ........................................................ $ 475 $ 518
Net realized gain (loss) on:
Investments ................................................................ 18,166 4,296
Foreign currency related items ............................................. (382) (51)
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ (21,959) 21,302
Foreign currency related items ............................................. 1 (5)
-------------- --------------
Net increase (decrease) in net assets from operations ........................ (3,699) 26,060
-------------- --------------
Distributions to shareholders
From net investment income ................................................... - (963)
From net realized gains on investment transactions ........................... - (6,259)
-------------- --------------
Total distributions to shareholders ............................................ - (7,222)
-------------- --------------
Share transactions(1)
Proceeds from the sale of shares ............................................. 155,789 114,111
Reinvestment of distributions ................................................ - 7,222
Cost of shares redeemed ...................................................... (134,179) (106,064)
-------------- --------------
Net increase in net assets from share transactions ............................. 21,610 15,269
-------------- --------------
Net increase in net assets ..................................................... 17,911 34,107
Net assets beginning of period ................................................. 105,034 70,927
-------------- --------------
Net assets end of period ....................................................... $ 122,945 $ 105,034
============== ==============
Undistributed (accumulated) net investment income (loss) ....................... $ 28 $ (447)
============== ==============
Share Transactions(1):
Shares sold ............................................................... 9,731 7,682
Reinvestment of distributions ............................................. - 431
Shares redeemed ........................................................... (8,326) (7,064)
-------------- --------------
Net increase .............................................................. 1,405 1,049
============== ==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ................................................... $ 128,711 $ 28,987
Proceeds from sales of securities ......................................... 107,568 21,037
</TABLE>
See notes to the financials statements.
78
<PAGE>
JNL/PUTNAM INTERNATIONAL EQUITY SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from Period from
Six months April 1, May 15,
ended 1996 to 1995* to
June 30, Year ended December 31, December 31, March 31,
2000 1999 1998 1997 1996 1996
------------ ----------- --------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ..................... $16.79 $13.62 $12.09 $12.08 $11.25 $10.00
------------ ----------- --------- ----------- ------------ ------------
Income from operations:
Net investment income .................................... 0.08 0.09 0.16 0.09 0.06 0.04
Net realized and unrealized gains (losses) on investments
and foreign cy related items ............................ (0.83) 4.28 1.58 0.23 0.90 1.21
------------ ----------- --------- ----------- ------------ ------------
Total income (loss) from operations ...................... (0.75) 4.37 1.74 0.32 0.96 1.25
------------ ----------- --------- ----------- ------------ ------------
Less distributions:
From net investment income ............................... - (0.16) (0.19) (0.08) (0.12) -
From net realized gains on investment transactions ....... - (1.04) (0.02) (0.23) (0.01) -
------------ ----------- --------- ----------- ------------ ------------
Total distributions ...................................... - (1.20) (0.21) (0.31) (0.13) -
------------ ----------- --------- ----------- ------------ ------------
Net increase (decrease) .................................. (0.75) 3.17 1.53 0.01 0.83 1.25
------------ ----------- --------- ----------- ------------ ------------
Net asset value, end of period ........................... $16.04 $16.79 $13.62 $12.09 $12.08 $11.25
============ =========== ========= =========== ============ ============
Total Return (a) ......................................... (4.47)% 32.11% 14.43% 2.65% 8.54% 12.50%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................. $122,945 $105,034 $70,927 $78,685 $48,204 $24,211
Ratio of expenses to average net assets (b) .............. 1.17% 1.18% 1.23% 1.24% 1.25% 1.25%
Ratio of net investment income to average net
assets (b) ............................................... 0.86% 0.63% 0.88% 0.74% 1.09% 0.78%
Portfolio turnover ....................................... 112.00% 26.19% 16.39% 18.81% 5.93% 16.45%
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) .............. n/a n/a 1.28 % 1.32 % 1.29 % 2.14 %
Ratio of net investment income (loss) to average
net assets (b) ........................................... n/a n/a 0.83 % 0.66 % 1.05 % (0.11)%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
79
<PAGE>
JNL/PUTNAM INTERNATIONAL EQUITY SERIES
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Common Stocks - 97.8%
Advertising - 2.3%
Aegis Group Plc 135,924 $ 400
Asatsu-DK Inc. 3,600 148
Havas Advertising SA 35,000 804
Publicis SA 1,211 477
WPP Group Plc 63,418 926
-----------
2,755
Airlines - 0.4%
Deutsche Lufthansa AG (c) 19,627 455
Apparel - 1.0%
Gucci Group NV - NYS 13,380 1,268
Auto Manufacturers - 1.1%
Bayerische Motoren Werke (BMW) AG 42,585 1,292
Banks - 6.4%
Banca Intesa Spa 70,700 318
Banco Bilbao Vizcaya Argentaria 24,833 373
SA
Bank of Nova Scotia 24,851 610
DBS Group Holdings Ltd. 34,000 437
ING Groep NV 45,552 3,092
Julius Baer Holdings AG - Class 263 1,043
B
Oversea-Chinese Banking Corp. 63,000 434
Ltd. (a)
Royal Bank of Scotland Group Plc 50,383 844
Svenska Handelsbanken AB - 35,933 524
Class A
-----------
7,675
Beverages - 0.5%
Diageo Plc 61,840 555
Building Materials - 2.9%
Bouygues SA (a) 2,268 1,522
CRH Plc 63,407 1,152
CSR Ltd. 22,900 64
Lafarge SA 9,861 769
-----------
3,507
Chemicals - 2.4%
Akzo Nobel NV 33,530 1,430
BOC Group Plc 58,651 844
Clariant AG 1,648 614
-----------
2,888
Commercial Services - 1.6%
Granada Group Plc 191,727 1,916
Computers - 2.4%
Fujitsu Ltd. 72,000 2,497
Misys Plc 42,028 355
-----------
2,852
Cosmetics & Personal Care - 0.1%
Shiseido Co. Ltd. 10,000 155
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Diversified Financial Services -
2.1%
Nikko Securities Co. Ltd. 220,000 $ 2,183
Nomura Securities Co. Ltd. 15,000 368
-----------
2,551
Electric - 1.6%
Hongkong Electric Holdings Ltd. 10,000 32
Iberdrola SA 30,896 400
Korea Electrical Power Corp. - 28,000 516
ADR (a)
ScottishPower Plc 108,422 919
-----------
1,867
Electrical Components & Equipment -
6.9%
Koninklijke (Royal) Philips
Electronics NV 78,572 3,721
Kyocera Corp. 7,600 1,292
NEC Corp. 83,000 2,612
Toshiba Corp. 62,000 701
-----------
8,326
Electronics - 2.1%
Samsung Electronics 7,801 2,582
Engineering & Construction - 0.4%
ABB Ltd. 945 110
New ABB Ltd. 3,218 386
-----------
496
Entertainment - 0.6%
EMI Group Plc 85,993 781
Food - 1.7%
Groupe Danone 5,223 696
Nestle SA 674 1,353
-----------
2,049
Forest Products & Paper - 0.2%
Stora Enso Oyj - Class R 32,404 297
Hand & Machine Tools - 0.3%
Sandvik AB 18,343 387
Holding Companies - Diversified -
1.6%
Investor AB - Class B 100,086 1,375
Seagram Co. Ltd. 8,900 516
-----------
1,891
Home Furnishings - 0.7%
SONY Corp. (c) 9,100 851
Household Products - 0.2%
Williams Plc 40,995 239
Insurance - 3.9%
Alleanza Assicurazioni SpA (c) 1,505 20
Allianz AG 2,059 750
See notes to the financial statements.
80
<PAGE>
JNL/PUTNAM INTERNATIONAL EQUITY SERIES
Schedule of Investments (Unaudited)(continued)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
AXA 12,538 $1,983
Sun Life Financial Services of
Canada (a) 34,504 581
Swiss Re 645 1,319
-----------
4,653
Iron & Steel - 0.3%
Pohang Iron & Steel Co. - ADR 13,576 326
Manufacturing - 1.3%
Hon Hai Precision Industry Co.
Ltd. - 16,702 418
GDR (a) (c)
Invensys Plc 111,791 420
SKF AB - Class A 10,081 161
Sumitomo Corp. 49,000 552
Venture Manufacturing 2,000 20
(Singapore) Ltd.
-----------
1,571
Media - 6.0%
Carlton Communications Plc 101,556 1,307
EMAP Plc 27,664 445
Grupo Televisa SA - GDR (a) 6,031 416
Mediaset SpA (c) 55,088 845
News Corp. Ltd. 48,734 673
News Corp. Ltd. - ADR 29,610 1,614
Societe Television Francaise 1 15,250 1,067
Wolters Kluwer NV 32,303 864
-----------
7,231
Oil & Gas Producers - 11.0%
BP Amoco Plc 235,169 2,257
ENI SpA (c) 230,500 1,337
Hong Kong & China Gas Co. Ltd. 18,000 20
Shell Transport & Trading Co. 461,131 3,850
Suncor Energy Inc. 10,466 242
Total Fina Elf SA 35,558 5,474
-----------
13,180
Pharmaceuticals - 7.3%
AstraZeneca Group Plc 23,503 1,098
Aventis SA 2,572 189
Aventis SA 30,730 2,209
Eisai Corp. Ltd. 18,000 578
Elan Corp. Plc (a) 18,746 877
Elan Corp. Plc - ADR (a) (c) 9,800 475
Fujisawa Pharmaceutical Co. Ltd. 5,000 203
Sanofi-Synthelabo SA 31,808 1,522
Serono SA - Class B 1,895 1,585
-----------
8,736
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Real Estate - 1.1%
Cheung Kong Holdings Ltd. 123,000 $ 1,361
Retail - 2.6%
Bulgari SpA 29,456 395
Koninklijke Ahold NV 24,114 713
Tesco Plc 249,592 776
The Swatch Group AG 1,100 288
The Swatch Group AG - Class B 770 982
-----------
3,154
Semiconductors - 1.0%
ARM Holdings Plc (a) 15,000 161
Chartered Semiconductor (a) 105,000 917
Rohm Co. Ltd. 300 88
-----------
1,166
Software - 0.5%
Nintendo Co. Ltd. 3,500 613
Telecommunications - 21.7%
BCE Inc. 36,900 879
Cable & Wireless Plc 41,281 699
Carso Global Telecom (a) 146,297 416
China Telecom (Hong Kong) Ltd. 259,000 2,284
(a)
France Telecom SA (a) 8,022 1,126
Korea Telecom Corp. - ADR 14,300 692
NetCom AB - Class B (a) 4,877 362
Nippon Telegraph & Telephone 281 3,745
Corp.
Nokia Oyj 67,108 3,438
Nortel Networks Corp. 36,570 2,535
NTL Inc. (a) 1,230 74
Sonera Oyj 6,912 316
Telecomunicacoes De Sao Paulo SA 12,542 232
Telefonaktiebolaget Ericsson LM
- Class B 80,786 1,607
Telefonica SA (c) 78,822 1,700
Telefonos de Mexico SA - ADR 22,250 1,271
Vodafone AirTouch Plc 1,155,470 4,671
-----------
26,047
Tobacco - 1.6%
Cie. Financiere Richemont - A 710 1,919
Units -----------
Total Common Stocks
(cost $107,713) 117,592
-----------
See notes to financial statements.
81
<PAGE>
JNL/PUTNAM INTERNATIONAL EQUITY SERIES
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Short Term Investment - 2.2%
Repurchase Agreement - 2.2%
Repurchase agreement with J.P.
Morgan & Co., 6.45%
(Collateralized by $2,294,000
U.S. Treasury Bond, 7.625%, due
11/15/2022, market value
$2,702,000) acquired on
06/30/2000, due 07/03/2000 $ 2,651,000 $ 2,651
-----------
Total Short Term Investment
(cost $2,651) 2,651
-----------
Total Investments - 100%
(cost $110,364) $ 120,243
===========
------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions.
Rate stated is the quoted yield as of June 30, 2000.
(c) All or a portion of this security has been loaned.
Based on the cost of investments of $110,425 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $13,936, the gross
unrealized depreciation was $4,118 and the net unrealized appreciation on
investments was $9,818.
Summary of Investments by Country, June 30, 2000:
% of Investment Market Value
Country Securities (000's)
------------------------------------------------------ -----------------
Australia 2.0% $ 2,351
Brazil 0.2% 232
Canada 4.5% 5,363
Finland 3.4% 4,051
France 14.8% 17,838
Germany 2.1% 2,498
Hong Kong 3.1% 3,698
Ireland 2.1% 2,504
Italy 2.4% 2,915
Japan 13.8% 16,588
Korea, Republic of 3.4% 4,115
Mexico 1.7% 2,103
Netherlands 9.2% 11,087
Singapore 1.5% 1,808
Spain 2.0% 2,472
Sweden 3.8% 4,526
Switzerland 7.9% 9,490
United Kingdom 19.5% 23,462
United States 2.6% 3,142
----------------- -----------------
Total 100.0% $ 120,243
================= =================
See notes to the financial statements.
82
<PAGE>
JNL/PUTNAM MIDCAP GROWTH SERIES
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $24,063) ................. $ 24,726
Receivables:
Dividends and interest ................... 7
Fund shares sold ......................... 245
Investment securities sold ............... 29
--------------
Total assets ............................... 25,007
--------------
Liabilities
Cash overdraft ............................. 1
Payables:
Advisory fees ............................ 17
Administrative fees ...................... 2
Fund shares redeemed ..................... 4
Investment securities purchased .......... 889
--------------
Total liabilities .......................... 913
--------------
Net assets ................................. $ 24,094
==============
Net assets consist of:
Paid-in capital ............................ $ 23,670
Undistributed net investment income ........ 8
Accumulated net realized loss on investments (247)
Net unrealized appreciation on investments . 663
--------------
$ 24,094
==============
Shares outstanding (no par value),
unlimited shares authorized .............. 2,374
==============
Net asset value per share .................. $ 10.15
==============
Statement of Operations
For the Period Ended June 30, 2000*
Investment income
Dividends ................................ $ 20
Interest ................................. 22
--------------
Total investment income .................... 42
--------------
Expenses
Advisory fees ............................ 31
Administrative fees ...................... 3
--------------
Total expenses ............................. 34
--------------
Net investment income ...................... 8
--------------
Realized and unrealized gain (loss)
Net realized loss on investments ........... (247)
Net change in unrealized appreciation
on investments ........................... 663
--------------
Net realized and unrealized gain ........... 416
--------------
Net increase in net assets
from operations .......................... $ 424
==============
---------------------------------------------------------------
* For the period beginning May 1, 2000 (commencement of operations).
See notes to the financial statements.
83
<PAGE>
JNL/PUTNAM MIDCAP GROWTH SERIES
Statement of Changes in Net Assets (Unaudited)
(in thousands)
Period from
May 1,
2000* to
June 30,
2000
---------------
Operations
Net investment income .......................... $ 8
Net realized loss on investments ............... (247)
Net change in unrealized appreciation on ....... 663
investments ---------------
Net increase in net assets from operations ....... 424
---------------
Distributions to shareholders
From net investment income ..................... -
From net realized gains on investment
transactions .................................. -
---------------
Total distributions to shareholders .............. -
---------------
Share transactions(1)
Proceeds from the sale of shares ............... 24,210
Reinvestment of distributions .................. -
Cost of shares redeemed ........................ (540)
---------------
Net increase in net assets from share transactions 23,670
---------------
Net increase in net assets ....................... 24,094
Net assets beginning of period ................... -
---------------
Net assets end of period ......................... $ 24,094
===============
Undistributed net investment income .............. $ 8
===============
Share Transactions(1):
Shares sold ................................. 2,431
Reinvestment of distributions ............... -
Shares redeemed ............................. (57)
--------------
Net increase ................................ 2,374
==============
Purchases and sales of investment
securities (excluding short-term
securities):
Purchases of securities ..................... $ 25,455
Proceeds from sales of securities ........... 2,526
--------------------------------------------------------------------------------
* Commencement of operations
See notes to the financial statements.
84
<PAGE>
JNL/PUTNAM MIDCAP GROWTH SERIES
Financial Highlights (Unaudited)
Period from
May 1,
2000* to
June 30,
2000
---------------
Selected Per Share Data
Net asset value, beginning of period ................. $ 10.00
---------------
Income from operations:
Net investment income .............................. -
Net realized and unrealized gains on
investments ....................................... 0.15
---------------
Total income from operations 0.15
---------------
Less distributions:
From net investment income ......................... -
From net realized gains on investment transactions . -
---------------
Total distributions ................................ -
---------------
Net increase ....................................... 0.15
---------------
Net asset value, end of period ....................... $ 10.15
===============
Total Return (a) 1.50%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ........... $ 24,094
Ratio of expenses to average net assets (b) 1.05%
Ratio of net investment income to average
net assets (b) .................................. 2.47%
Portfolio turnover ................................. 18.31%
-------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
85
<PAGE>
JNL/PUTNAM MIDCAP GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------------
Common Stocks - 93.1%
---------------------
Advertising - 2.1%
Omnicom Group Inc 2,100 $ 187
TMP Worldwide Inc. (a) 1,400 103
Young and Rubicam Inc. 4,000 229
------------
519
Banks - 3.3%
M&T Bank Corp. 700 315
National Commerce Bancorporation 10,300 166
North Fork Bancorporation 8,600 130
Zions Bancorporation 4,300 197
------------
808
Biotechnology - 0.7%
Diversa Corp. (a) 1,600 53
PE Corp - PE Biosystems Group 2,000 132
------------
185
Chemicals - 1.0%
Praxair Inc. 6,800 255
Commercial Services - 4.5%
Convergys Corp. (a) 7,900 410
Fiserv Inc. (a) 9,200 398
UTI Energy Corp. (a) 5,100 205
Valassis Communications Inc. (a) 2,300 88
------------
1,101
Computers - 6.4%
Apple Computer Inc. (a) 3,900 204
Brocade Communications Systems Inc.(a) 1,300 239
Comverse Technology Inc. (a) 3,500 326
Handspring Inc. (a) 1,900 51
Redback Networks Inc. (a) 800 142
StorageNetworks Inc. 100 9
Symbol Technologies Inc. 11,600 626
------------
1,597
Cosmetics & Personal Care - 1.0%
Estee Lauder Cos. Inc. 4,900 242
Diversified Financial Services - 1.4%
Investors Financial Services Corp. 1,900 75
Legg Mason Inc. 2,100 105
Paine Webber Group Inc. 3,900 177
------------
357
Electric - 4.0%
Calpine Corp. (a) 5,800 381
Florida Progress Corp. 4,200 197
IPALCO Enterprises Inc. 6,100 123
Northeast Utilities 8,900 194
Potomac Electric Power Co. 3,700 92
------------
987
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------------
Electrical Components & Equipment - 0.8%
Jabil Circuit Inc. (a) 3,900 $194
Electronics - 4.1%
Maxim Integrated Products Inc. (a) 2,300 156
Sanmina Corp. (a) 3,600 308
Sawtek Inc. (a) 2,800 161
SCI Systems Inc. (a) 7,100 278
Teradyne Inc. (a) 1,500 110
------------
1,013
Engineering & Construction - 1.1%
Dycom Industries Inc. (a) 6,000 276
Entertainment - 1.0%
Pegasus Communications Corp. (a) 5,100 250
Food - 0.5%
Darden Restaurants Inc. 7,600 124
Healthcare - 1.8%
Allergan Inc. 4,900 365
Health Management Associates Inc. (a) 7,000 91
------------
456
Home Furnishings - 0.8%
Furniture Brands International Inc.(a) 5,600 85
Mohawk Industries Inc. (a) 5,300 115
------------
200
Household Products - 1.3%
Ecolab Inc. 8,000 313
Insurance - 0.1%
Hartford Life Inc. 400 20
Leisure Time - 1.6%
Harley-Davidson Inc. 6,400 246
PRIMEDIA Inc. (a) 6,700 152
------------
398
Machinery - 1.0%
Cooper Cameron Corp. (a) 3,900 257
Manufacturing - 0.9%
Danaher Corp. 4,600 227
Media - 3.7%
AT&T - Liberty Media Group-Class A(a) 100 2
Radio One Inc. (a) 3,000 89
Radio One Inc. - Class D (a) 6,000 132
Spanish Broadcasting System Inc. (a) 10,700 220
Univision Communications Inc. (a) 4,600 476
------------
919
See notes to the financial statements.
86
<PAGE>
JNL/PUTNAM MIDCAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------------
Office & Business Equipment - 0.6%
Lexmark International Group Inc. (a) 2,000 $ 135
Oil & Gas Producers - 11.1%
BJ Services Co. (a) 3,300 206
Coastal Corp. (a) 2,700 164
Devon Energy Corp. 5,100 287
Dynegy Inc. - Class A (a) 4,000 273
El Paso Energy Corp. 4,000 204
Energy East Corp. 8,600 164
Global Marine Inc. (a) 13,400 378
Murphy Oil Corp. 3,400 202
Noble Drilling Corp. (a) 6,400 264
Smith International Inc. (a) 3,400 247
Transocean Sedco Forex Inc. 6,500 347
------------
2,736
Packaging & Containers - 0.4%
Sealed Air Corp. (a) 1,900 100
Pharmaceuticals - 10.4%
Andrx Corp. (a) 1,800 115
Forest Laboratories Inc. (a) 3,700 374
Gilead Sciences Inc. (a) 3,400 242
Immunex Corp. (a) 1,200 59
Inhale Therapeutic Systems Inc. (a) 1,800 183
IVAX Corp. (a) 8,600 357
MedImmune Inc. (a) 7,100 525
PerkinElmer Inc. 4,300 284
Sepracor Inc. (a) 3,600 434
------------
2,573
Retail - 5.9%
BJ's Wholesale Club Inc. (a) 11,300 373
Circuit City Stores Inc. 3,300 110
Dollar Tree Stores Inc. 3,425 136
Family Dollar Stores Inc. 16,500 323
Ross Stores Inc. 5,300 90
Starbucks Corp. (a) 2,700 103
Tiffany & Co. 4,600 311
------------
1,446
Savings & Loans - 1.5%
Charter One Financial Inc. 9,600 221
Greenpoint Financial Corp. 7,600 143
------------
364
Semiconductors - 3.3%
Atmel Corp. (a) 4,800 177
Lam Research Corp. (a) 5,100 191
LTX Corp. (a) 3,100 108
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------------
Vitesse Semiconductor Corp. (a) 4,600 $ 338
------------
814
Software - 7.0%
BEA Systems Inc. (a) 1,100 54
Intuit Inc. (a) 5,800 240
ISS Group Inc. (a) 1,100 109
Macromedia Inc. (a) 1,400 135
Peregrine Systems Inc. (a) 10,000 347
Phone.com Inc. (a) 900 59
Rational Software Corp. (a) 4,700 437
Vignette Corp. (a) 5,500 286
Ziff-Davis Inc. (a) 8,400 75
------------
1,742
Telecommunications - 7.9%
Allegiance Telecom Inc. (a) 2,500 160
Bookham Technology Plc (a) 3,000 178
Crown Castle International Corp. (a) 5,000 183
Diamond Technology Partners Inc. (a) 3,000 264
Entercom Communications Corp. (a) 2,600 127
Finisar Corp. (a) 4,400 116
LSI Logic Corp. (a) 1,500 81
MasTec Inc. (a) 4,300 164
McLeodUSA Inc. (a) 9,500 197
Telephone & Data Systems Inc. 2,600 261
Voicestream Wireless Corp. (a) 1,900 221
------------
1,952
Textiles - 1.9%
Cintas Corp. 7,800 286
Linens `n Things Inc. (a) 6,600 179
------------
465
------------
Total Common Stocks
(cost $22,362) 23,025
------------
Short Term Investment - 6.9%
Repurchase Agreement - 6.9% Repurchase agreement with J.P.
Morgan & Co., 6.45%,
(Collateralized by $1,472,000 U.S.
Treasury Bond, 7.625%, due
11/15/2022, market value
$1,733,528) acquired on 06/30/2000,
due 07/03/2000 $1,701,000 1,701
------------
Total Short Term Investment
(cost $1,701) 1,701
------------
Total Investments - 100%
(cost $24,063) $ 24,726
============
-------------------------------------------------------------------------------
(a) Non-income producing security.
Based on the cost of investments of $24,063 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,849, the gross
unrealized depreciation was $1,186 and the net unrealized appreciation on
investments was $663.
See notes to the financial statements.
87
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $361,629) ............... $ 365,877
Receivables:
Dividends and interest .................. 450
Foreign taxes recoverable ............... 4
Fund shares sold ........................ 210
Investment securities sold .............. 3,011
--------------
Total assets .............................. 369,552
--------------
Liabilities
Payables:
Advisory fees ........................... 260
Administrative fees ..................... 30
Fund shares redeemed .................... 101
Investment securities purchased ......... 2,638
--------------
Total liabilities ......................... 3,029
--------------
Net assets ................................ $ 366,523
==============
Net assets consist of:
Paid-in capital ........................... $ 386,330
Undistributed net investment income ....... 1,750
Accumulated net realized loss on
investments ............................. (25,805)
Net unrealized appreciation on investments 4,248
--------------
$ 366,523
==============
Shares outstanding (no par value),
unlimited shares authorized ............. 22,203
==============
Net asset value per share ................. $ 16.51
==============
Statement of Operations
For the Six Months Ended June 30, 2000
Investment income
Dividends ............................... $ 2,980
Interest ................................ 402
Securities lending ...................... 1
Foreign taxes withheld .................. (11)
--------------
Total investment income ................... 3,372
--------------
Expenses
Advisory fees ........................... 1,454
Administrative fees ..................... 168
--------------
Total expenses ............................ 1,622
--------------
Net investment income ..................... 1,750
--------------
Realized and unrealized gain (loss)
Net realized loss on investments .......... (22,558)
Net change in unrealized appreciation
on investments .......................... 17,614
--------------
Net realized and unrealized loss .......... (4,944)
--------------
Net decrease in net assets
from operations ......................... $ (3,194)
==============
See notes to the financial statements.
88
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
------------- ---------------
<S> <C> <C>
Operations
Net investment income .................................................. $ 1,750 3,221
Net realized gain (loss) on investments ................................ (22,558) 13,355
Net change in unrealized appreciation (depreciation) on investments .... 17,614 (27,252)
------------- ---------------
Net decrease in net assets from operations ............................... (3,194) (10,676)
------------- ---------------
Distributions to shareholders
From net investment income ............................................. - (3,456)
From net realized gains on investment transactions ..................... - (18,948)
------------- ---------------
Total distributions to shareholders ...................................... - (22,404)
------------- ---------------
Share transactions(1)
Proceeds from the sale of shares ....................................... 125,171 188,014
Reinvestment of distributions .......................................... - 22,404
Cost of shares redeemed ................................................ (74,908) (53,820)
------------- ---------------
Net increase in net assets from share transactions ....................... 50,263 156,598
------------- ---------------
Net increase in net assets ............................................... 47,069 123,518
Net assets beginning of period ........................................... 319,454 195,936
------------- ---------------
Net assets end of period ................................................. $ 366,523 319,454
============= ===============
Undistributed net investment income ...................................... $ 1,750 -
============= ===============
Share Transactions(1):
Shares sold ......................................................... 7,783 9,827
Reinvestment of distributions ....................................... - 1,340
Shares redeemed ..................................................... (4,621) (2,868)
-------------- --------------
Net increase ........................................................ 3,162 8,299
============== ==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ............................................. $ 228,739 $ 315,325
Proceeds from sales of securities ................................... 174,688 185,067
</TABLE>
See notes to the financial statements.
89
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from Period from
Six months April 1, May 15,
ended 1996 to 1995* to
June 30, Year ended December 31, December 31, March 31,
2000 1999 1998 1997 1996 1996
------------ ------------ ------------ ------------ ------------ --------
<S> <C> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ................. $ 16.78 $ 18.24 $ 16.82 $ 14.50 $ 12.77 $ 10.00
------------ ------------ ------------ ------------ ------------ --------
Income from operations:
Net investment income .............................. 0.08 0.19 0.16 0.13 0.10 0.23
Net realized and unrealized gains
(losses)on investments ............................ (0.35) (0.38) 1.94 3.03 1.97 2.86
------------ ------------ ------------ ------------ ------------ --------
Total income (loss) from operations ............... (0.27) (0.19) 2.10 3.16 2.07 3.09
Less distributions:
From net investment income ......................... - (0.20) (0.16) (0.13) (0.15) (0.17)
From net realized gains on investment transactions . - (1.07) (0.52) (0.71) (0.19) (0.15)
------------ ------------ ------------ ------------ ------------ --------
Total distributions ................................ - (1.27) (0.68) (0.84) (0.34) (0.32)
------------ ------------ ------------ ------------ ------------ --------
Net increase (decrease) ............................ (0.27) (1.46) 1.42 2.32 1.73 2.77
------------ ------------ ------------ ------------ ------------ --------
Net asset value, end of period ....................... $ 16.51 $ 16.78 $ 18.24 $ 16.82 $ 14.50 $ 12.77
=========== ============= ============ ============ ============ ========
Total Return (a) ..................................... (1.61)% (1.04)% 12.48% 21.82% 16.25% 31.14%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ........... $ 366,523 $ 319,454 $ 195,936 $ 108,565 $ 17,761 3,365
Ratio of expenses to average net assets (b) ........ 0.97% 0.98% 1.01% 1.03% 0.85% 0.87%
Ratio of net investment income to average net
assets (b) ....................................... 1.04% 1.19% 1.06% 1.43% 2.29% 2.33%
Portfolio turnover ................................. 53.66% 72.23% 77.80% 112.54% 13.71% 30.12%
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ........ n/a n/a 1.01% 1.09% 1.53% 2.28%
Ratio of net investment income to average net
assets (b) ....................................... n/a n/a 1.06% 1.37% 1.61% 0.91%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
</TABLE>
See notes to the financial statements.
90
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Schedule of Investments (Unaudited)
June 30, 2000
Shares Market
or Value
Principal (000's)
Amount
---------------------------------------------------------------
Common Stocks - 95.7%
Aerospace & Defense - 1.1%
Boeing Co. 56,200 $ 2,350
Honeywell International Inc. 28,390 956
United Technologies Corp. 13,595 800
------------
4,106
Banks - 9.6%
Bank of America Corp. 92,211 3,965
Bank One Corp. 127,458 3,386
Chase Manhattan Corp. 36,450 1,679
Comerica Inc. 73,150 3,283
First Union Corp. 51,475 1,277
Fleet Boston Financial Corp. 133,224 4,530
J.P. Morgan & Co. 24,235 2,669
National City Corp. 114,905 1,960
Paine Webber Group Inc. 48,500 2,207
PNC Financial Services Group 83,926 3,934
Wells Fargo & Co. 84,875 3,289
Zions Bancorporation 67,300 3,088
------------
35,267
Beverages - 3.7%
Coca-Cola Co. 109,800 6,307
Coca-Cola Enterprises Inc. 104,500 1,705
PepsiCo Inc. 122,555 5,446
------------
13,458
Chemicals - 1.3%
Dow Chemical Co. 52,935 1,598
E.I. du Pont de Nemours & Co. 48,725 2,132
Rohm and Haas Co. 27,800 959
------------
4,689
Commercial Services - 0.2%
Service Corp. International 269,145 858
Computers - 6.7%
Apple Computer Inc. (a) 28,800 1,508
Dell Computer Corp. (a) 76,200 3,758
Electronic Data Systems Corp. 92,320 3,808
Gateway Inc. (a) 41,800 2,372
Hewlett-Packard Co. 51,980 6,491
International Business Machines 52,175 5,716
Corp.
NCR Corp. (a) 21,590 841
------------
24,494
Cosmetics & Personal Care - 0.8%
Kimberly-Clark Corp. 47,730 2,738
Diversified Financial Services - 4.0%
American Express Co. 72,900 3,800
Associates First Capital Corp. 40,960 914
Citigroup Inc. 58,800 3,543
Shares Market
or Value
Principal (000's)
Amount
---------------------------------------------------------------
Fannie Mae 65,750 $ 3,431
Merrill Lynch & Co. Inc. 24,405 2,806
------------
14,494
Electric - 4.5%
Cinergy Corp. 109,685 2,790
Dominion Resources Inc. 67,863 2,910
Edison International 112,430 2,305
Entergy Corp. 128,015 3,480
NiSource Inc. 59,300 1,104
Reliant Energy Inc. 83,400 2,466
TXU Corp. 52,645 1,553
------------
16,608
Electrical Components & Equipment -
1.4%
CP&L Energy Inc. 56,900 1,817
Emerson Electric Co. 53,470 3,228
------------
5,045
Electronics - 0.6%
Linear Technology Corp. 32,700 2,091
Food - 1.2%
General Mills Inc. 55,425 2,120
Quaker Oats Co. 30,045 2,257
------------
4,377
Forest Products & Paper - 0.6%
Boise Cascade Corp. 37,190 962
Weyerhaeuser Co. 30,320 1,304
------------
2,266
Hand & Machine Tools - 0.1%
W.W. Grainger Inc. 17,320 534
Healthcare - 3.2%
Bausch & Lomb Inc. 32,455 2,511
Baxter International Inc. 81,090 5,702
Mallinckrodt Inc. 83,270 3,617
------------
11,830
Insurance - 5.0%
American General Corp. 39,455 2,407
American International Group Inc. 69,500 8,166
Cigna Corp. 46,320 4,331
Jefferson-Pilot Corp. 21,405 1,208
Lincoln National Corp. 57,670 2,083
------------
18,195
Leisure Time - 0.3%
Hasbro Inc. 61,999 934
Machinery - 0.7%
Caterpillar Inc. 22,500 762
Rockwell International Corp. 51,865 1,634
------------
2,396
See notes to the financial statements.
91
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
---------------------------------------------------------------
Manufacturing - 5.4%
Agilent Technologies Inc. (a) 19,825 $ 1,462
Corning Inc. 6,900 1,862
General Electric Co. 201,700 10,690
Tyco International Ltd. 125,400 5,941
------------
19,955
Media - 1.6%
Adelphia Communications Corp-Class A 51,200 2,400
Gannett Co. Inc. 15,600 933
Tribune Co. 73,300 2,565
------------
5,898
Metals & Mining - 0.4%
Alcoa Inc. 48,790 1,415
Office & Business Supplies - 1.1%
Lexmark International Group Inc. (a) 59,900 4,028
Oil & Gas Producers - 8.7%
BP Amoco Plc - ADR 53,600 3,032
Conoco Inc. - Class A 83,050 1,827
Conoco Inc. - Class B 110,000 2,702
El Paso Energy Corp. 45,045 2,294
Exxon Mobil Corp. 128,929 10,121
Halliburton Co. 22,800 1,076
Royal Dutch Petroleum Co. - NYS 97,475 6,001
Schlumberger Ltd. 11,920 890
Tosco Corp. 72,140 2,042
Williams Cos. Inc. 45,405 1,893
------------
31,878
Packaging & Containers - 0.6%
Avery Dennison Corp. 11,300 759
Owens-Illinois Inc. (a) 55,765 652
Smurfit-Stone Container Corp. (a) 51,825 667
------------
2,078
Pharmaceuticals - 12.3%
Abbott Laboratories 77,170 3,439
American Home Products Corp. 65,665 3,858
Bristol-Myers Squibb Co. 123,170 7,175
Johnson & Johnson 98,000 9,984
Merck & Co. Inc. 94,445 7,237
Pharmacia Corp. 94,806 4,900
Pfizer Inc. 104,775 5,029
Schering-Plough Corp. 46,200 2,333
St. Jude Medical Inc. (a) 21,000 963
------------
44,918
Shares or Market
Principal Value
Amount (000's)
---------------------------------------------------------------
Retail - 2.4%
CVS Corp. 90,500 $ 3,620
Federated Department Stores Inc. (a) 35,295 1,191
Lowe's Cos. Inc. 38,600 1,585
Sears, Roebuck & Co. 49,100 1,602
Staples Inc. (a) 47,800 735
------------
8,733
Savings & Loans - 1.1%
Charter One Financial Inc. 173,270 3,985
Semiconductors - 2.9%
Intel Corp. 69,500 9,291
Motorola Inc. 49,125 1,428
------------
10,719
Software - 4.1%
Automatic Data Processing Inc. 67,300 3,605
BMC Software Inc. (a) 47,600 1,737
Computer Associates International 72,300 3,701
Inc.
Microsoft Corp. (a) 58,000 4,640
Parametric Technology Corp. (a) 35,400 389
Seagate Technology Inc. (a) 18,615 1,024
------------
15,096
Telecommunications - 9.7%
Alltel Corp. 55,835 3,458
AT&T Wireless Group (a) 63,700 1,776
GTE Corp. 54,515 3,394
Nortel Networks Corp. 74,200 5,064
SBC Communications Inc. 251,343 10,871
Sprint Corp. (FON Group) 92,425 4,714
Verizon Communications (a) 119,760 6,085
------------
35,362
Transportation - 0.5%
Burlington Northern Santa Fe Corp. 74,484 1,708
------------
Total Common Stocks
(cost $345,905) 350,153
------------
Short Term Investments - 4.3%
Money Market Fund - 0.0%
Dreyfus Cash Management Plus,
6.51% (b) 1,731 2
See notes to the financial statements.
92
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Schedule of Investments (Unaudited) (continued)
Shares or Market
Principal Value
Amount (000's)
---------------------------------------------------------------
Repurchase Agreement - 4.3%
Repurchase Agreement with
Salomon Brothers, 6.50%,
(Collateralized by
$12,270,000 U.S. Treasury
Bond, 8.875%, due 08/15/2017,
market value $16,033,918),
acquired on 06/30/2000,
due 07/03/2000 $15,722,000 $ 15,722
------------
Total Short Term Investments
(cost $15,724) 15,724
------------
Total Investments - 100%
(cost $361,629) $ 365,877
============
-------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions.
Rate is the quoted yield as of June 30, 2000.
Based on the cost of investments of $363,530 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $36,609, the gross
unrealized depreciation was $34,262 and the net unrealized appreciation on
investments was $2,347.
See notes to the financial statements.
93
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $103,370) ............... $ 107,212
Receivables:
Dividends and interest .................. 2
Fund shares sold ........................ 104
--------------
TOTAL ASSETS .............................. 107,318
--------------
LIABILITIES
Payables:
Advisory fees ........................... 99
Fund shares redeemed .................... 6
--------------
TOTAL LIABILITIES ......................... 105
--------------
NET ASSETS ................................ $ 107,213
==============
NET ASSETS CONSIST OF:
Paid-in capital ........................... $ 96,396
Undistributed net investment income ....... 4,109
Accumulated net realized gain on
investments ............................. 2,866
Net unrealized appreciation on investments 3,842
==============
$ 107,213
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 8,417
==============
NET ASSET VALUE PER SHARE ................. $ 12.74
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest ................................ $ 166
--------------
TOTAL INVESTMENT INCOME ................... 166
--------------
EXPENSES
Advisory fees ........................... 88
--------------
TOTAL EXPENSES ............................ 88
--------------
NET INVESTMENT INCOME ..................... 78
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments .......... 2,211
Net change in unrealized depreciation
on investments .......................... (345)
--------------
NET REALIZED AND UNREALIZED GAIN .......... 1,866
--------------
NET INCREASE IN NET ASSETS FROM ........... $ 1,944
==============
See notes to the financial statements.
94
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ............................................................... $ 78 $ 4,031
Net realized gain on investments .................................................... 2,211 672
Net change in unrealized appreciation (depreciation) on investments ................. (345) 3,885
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ............................................ 1,944 8,588
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .......................................................... - (367)
From net realized gains on investment transactions .................................. - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ................................................... - (367)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares .................................................... 40,486 61,894
Reinvestment of distributions ....................................................... - 367
Cost of shares redeemed ............................................................. (8,215) (7,510)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .................................... 32,271 54,751
--------------- ---------------
NET INCREASE IN NET ASSETS ............................................................ 34,215 62,972
NET ASSETS BEGINNING OF PERIOD ........................................................ 72,998 10,026
--------------- ---------------
NET ASSETS END OF PERIOD .............................................................. $ 107,213 $ 72,998
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ................................................... $ 4,109 $ 4,031
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ...................................................................... 3,210 5,534
Reinvestment of distributions .................................................... - 29
Shares redeemed .................................................................. (654) (660)
-------------- --------------
Net increase ..................................................................... 2,556 4,903
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .......................................................... $ 48,544 $ 63,215
Proceeds from sales of securities ................................................ 15,931 5,067
</TABLE>
See notes to the financial statements.
95
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 9,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
----------------- ----------------- ----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ....................................... $ 12.45 $ 10.47 $ 10.00
----------------- ----------------- ----------------
INCOME FROM OPERATIONS:
Net investment income .................................................... (0.20) 0.37 0.38
Net realized and unrealized gains on investments ......................... 0.49 1.67 0.09
----------------- ----------------- ----------------
Total income from operations ............................................. 0.29 2.04 0.47
----------------- ----------------- ----------------
LESS DISTRIBUTIONS:
From net investment income ............................................... - (0.06) -
From net realized gains on investment transactions ....................... - - -
----------------- ----------------- ----------------
Total distributions ...................................................... - (0.06) -
----------------- ----------------- ----------------
Net increase ............................................................. 0.29 1.98 0.47
----------------- ----------------- ----------------
NET ASSET VALUE, END OF PERIOD ............................................. $ 12.74 $ 12.45 $ 10.47
================= ================= ================
TOTAL RETURN (A) ........................................................... 2.33% 19.52% 4.70%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................. $ 107,213 $ 72,998 $ 10,026
Ratio of expenses to average net assets (b) .............................. 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) ................. 0.18% 10.35% 14.15%
Portfolio turnover ....................................................... 17.95% 12.96% 36.08%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
96
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
----------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alger Growth Series ................... 445,272 $ 10,664
JNL/Eagle Core Equity Series .............. 560,804 10,734
JNL/Janus Aggressive Growth Series ........ 128,623 5,004
JNL/Janus Balanced Series ................. 107,729 1,075
JNL/Janus Global Equities Series .......... 290,475 10,477
JNL/Putnam Growth Series .................. 387,177 10,748
JNL/Putnam Value Equity Series ............ 847,374 13,990
PPM America/JNL High Yield Bond Series .... 754,446 7,530
PPM America/JNL Money Market Series ....... 10,844,361 10,844
Salomon Brothers/JNL Global Bond Series ... 1,353,182 14,168
Salomon Brothers/JNL U.S. Government &
Quality Bond Series .................... 1,018,738 10,941
T. Rowe Price/ JNL Value Series ........... 107,432 1,037
--------------
TOTAL INVESTMENTS - 100%
(cost $103,370) ........................... $ 107,212
==============
-------------------------------------------------------------------------------
Based on the cost of investments of $103,402 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $5,742, the gross
unrealized depreciation was $1,932 and the net unrealized appreciation on
investments was $3,810.
See notes to the financial statements.
97
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $169,737) ................ $ 178,755
Receivables:
Dividends and interest ................... 1
Fund shares sold ......................... 247
--------------
TOTAL ASSETS ............................... 179,003
--------------
LIABILITIES
Payables:
Advisory fees ............................ 158
Fund shares redeemed .................... 7
--------------
TOTAL LIABILITIES .......................... 165
--------------
NET ASSETS ................................. $ 178,838
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 159,033
Undistributed net investment income ........ 6,275
Accumulated net realized gain on
investments .............................. 4,512
Net unrealized appreciation on investments . 9,018
--------------
$ 178,838
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 13,061
==============
NET ASSET VALUE PER SHARE .................. $ 13.69
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest ................................. $ 79
--------------
EXPENSES
Advisory fees ............................ 140
--------------
TOTAL EXPENSES ............................. 140
--------------
NET INVESTMENT LOSS ........................ (61)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 3,042
Net change in unrealized depreciation
on investments ........................... (395)
--------------
NET REALIZED AND UNREALIZED GAIN ........... 2,647
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 2,586
==============
See notes to the financial statements.
98
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .............................................................. $ (61) $ 6,336
Net realized gain on investments .......................................................... 3,042 1,607
Net change in unrealized appreciation (depreciation) on investments ....................... (395) 8,624
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................................................. 2,586 16,567
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................ - (428)
From net realized gains on investment transactions ........................................ - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ......................................................... - (428)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares .......................................................... 75,396 91,407
Reinvestment of distributions ............................................................. - 428
Cost of shares redeemed ................................................................... (9,752) (9,978)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .......................................... 65,644 81,857
--------------- ---------------
NET INCREASE IN NET ASSETS .................................................................. 68,230 97,996
NET ASSETS BEGINNING OF PERIOD 12,612
............................................................................................ 110,608
--------------- ---------------
NET ASSETS END OF PERIOD .................................................................... $ 178,838 $ 110,608
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ......................................................... $ 6,275 $ 6,336
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold .............................................................................. 5,535 7,850
Reinvestment of distributions ............................................................ - 32
Shares redeemed .......................................................................... (714) (828)
--------------- ---------------
Net increase ............................................................................. 4,821 7,054
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .................................................................. $ 93,902 $ 96,909
Proceeds from sales of securities ........................................................ 28,105 9,443
</TABLE>
See notes to the financial statements.
99
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 9,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
---------------- ---------------- --------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................................. $ 13.42 $ 10.63 $ 10.00
---------------- ---------------- --------------
INCOME FROM OPERATIONS:
Net investment income ............................................. 0.02 0.46 0.36
Net realized and unrealized gain on investments ................... 0.25 2.38 0.27
---------------- ---------------- --------------
Total income from operations ...................................... 0.27 2.84 0.63
---------------- ---------------- --------------
LESS DISTRIBUTIONS:
From net investment income ........................................ - (0.05) -
From net realized gains on investment transactions ................ - - -
---------------- ---------------- --------------
Total distributions ............................................... - (0.05) -
---------------- ---------------- --------------
Net increase ...................................................... 0.27 2.79 0.63
---------------- ---------------- --------------
NET ASSET VALUE, END OF PERIOD ....................................... $ 13.69 $ 13.42 $ 10.63
================ ================ ==============
TOTAL RETURN (A) ..................................................... 2.01% 26.74% 6.30%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......................... $ 178,838 $ 110,608 $ 12,612
Ratio of expenses to average net assets (b) ....................... 0.20% 0.20% 0.20%
Ratio of net investment income (loss) to average net assets (b) ... (0.09)% 11.55% 13.74%
Portfolio turnover ................................................ 19.81% 17.15% 57.96%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
100
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alger Growth Series ..................... 747,315 $ 17,898
JNL/Eagle Core Equity Series ................ 940,534 18,002
JNL/Janus Aggressive Growth Series ......... 432,133 16,810
JNL/Janus Balanced Series ................... 361,405 3,607
JNL/Janus Global Equities Series ............ 487,551 17,586
JNL/Putnam Growth Series .................... 974,400 27,049
JNL/Putnam Value Equity Series .............. 1,202,212 19,849
PPM America/JNL High Yield Bond Series ...... 1,265,205 12,627
PPM America/JNL Money Market Series ......... 9,090,239 9,090
Salomon Brothers/JNL Global Bond Series ..... 1,396,224 14,618
Salomon Brothers/JNL U.S. Government
& Quality Bond Series ..................... 853,975 9,172
T. Rowe Price/JNL Mid-Cap Growth Series ..... 358,478 8,969
T. Rowe Price/JNL Value Series ............ 360,373 3,478
--------------
TOTAL INVESTMENTS - 100%
(cost $169,737) ............................. $ 178,755
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $169,781for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $11,386, the gross
unrealized depreciation was $2,412 and the net unrealized appreciaton on
investments was $8,974.
See notes to the financial statements.
101
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $73,958) .................. $ 76,697
Receivable:
Fund shares sold .......................... 305
--------------
TOTAL ASSETS ................................ 77,002
--------------
LIABILITIES
Payables:
Advisory fees ............................. 63
Fund shares redeemed ...................... 6
--------------
TOTAL LIABILITIES ........................... 69
--------------
NET ASSETS .................................. $ 76,933
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 68,646
Undistributed net investment income ......... 2,391
Accumulated net realized gain on
investments ............................... 3,157
Net unrealized appreciation on investments .. 2,739
--------------
$ 76,933
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 5,180
==============
NET ASSET VALUE PER SHARE ................... $ 14.85
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ -
--------------
EXPENSES
Advisory fees ............................. 57
--------------
TOTAL EXPENSES .............................. 57
--------------
NET INVESTMENT LOSS ......................... (57)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ............ 2,456
Net change in unrealized depreciation
on investments ............................ (1,988)
--------------
NET REALIZED AND UNREALIZED GAIN ............ 468
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .. $ 411
==============
See notes to the financial statements.
102
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ............................................................... $ (57) $ 2,448
Net realized gain on investments ........................................................... 2,456 821
Net change in unrealized appreciation (depreciation) on investments ........................ (1,988) 4,324
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................................... 411 7,593
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................. - (109)
From net realized gains on investment transactions ......................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .......................................................... - (109)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................................... 38,877 32,211
Reinvestment of distributions .............................................................. - 109
Cost of shares redeemed .................................................................... (3,684) (2,900)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........................................... 35,193 24,420
--------------- ---------------
NET INCREASE IN NET ASSETS ................................................................... 35,604 36,904
NET ASSETS BEGINNING OF PERIOD ............................................................... 41,329 4,425
--------------- ---------------
NET ASSETS END OF PERIOD ..................................................................... $ 76,93 $ 41,329
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME .......................................................... $ 2,391 $ 2,448
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................................. 2,615 2,625
Reinvestment of distributions ........................................................... - 7
Shares redeemed ......................................................................... (248) (226)
--------------- ---------------
Net increase ............................................................................ 2,367 2,406
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................................. $ 51,523 $ 36,638
Proceeds from sales of securities ....................................................... 16,595 4,909
</TABLE>
See notes to the financial statements.
103
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 8,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 2000
------------------ ----------------- -----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ..................................... $ 14.69 $ 10.88 $ 10.00
------------------ ----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income (loss) ........................................... (0.18) 0.64 0.27
Net realized and unrealized gains on investments ....................... 0.34 3.21 0.61
------------------ ----------------- -----------------
Total income from operations ........................................... 0.16 3.85 0.88
------------------ ----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ............................................. - (0.04) -
From net realized gains on investment transactions ..................... - - -
------------------ ----------------- -----------------
Total distributions .................................................... - (0.04) -
------------------ ----------------- -----------------
Net increase ........................................................... 0.16 3.81 0.88
------------------ ----------------- -----------------
NET ASSET VALUE, END OF PERIOD ........................................... $ 14.85 $ 14.69 $ 10.88
================== ================= =================
TOTAL RETURN (A) ......................................................... 1.09% 35.38% 8.80%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ............................... $ 76,933 $ 41,329 $ 4,425
Ratio of expenses to average net assets (b) ............................ 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) ............... (0.20)% 13.46% 7.34%
Portfolio turnover ..................................................... 28.87% 26.50% 126.18%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
104
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
-------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alger Growth Series .......................... 322,133 $ 7,715
JNL/Alliance Growth Series ....................... 227,142 3,859
JNL/Eagle Core Equity Series ..................... 405,134 7,754
JNL/Janus Aggressive Growth Series ............... 279,556 10,875
JNL/Janus Balanced Series ........................ 233,542 2,331
JNL/Janus Capital Growth Series .................. 92,822 3,988
JNL/Janus Global Equities Series ................. 210,174 7,581
JNL/Putnam Growth Series ......................... 419,885 11,656
JNL/Putnam Value Equity Series ................... 423,437 6,991
PPM America/JNL High Yield Bond Series ........... 233,561 2,331
Salomon Brothers/JNL Global Bond Series .......... 526,133 5,509
T. Rowe Price/JNL Mid-Cap Growth Series .......... 154,376 3,862
T. Rowe Price/JNL Value Series ................... 232,689 2,245
--------------
TOTAL INVESTMENTS - 100%
(cost $73,958) ................................... $ 76,697
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $73,976 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $4,415, the gross
unrealized depreciation was $1,694 and the net unrealized appreciation on
investments was $2,721.
See notes to the financial statements.
105
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $46,825) .................. $ 47,282
Receivables:
Fund shares sold ......................... 35
--------------
TOTAL ASSETS ................................ 47,317
--------------
LIABILITIES
Payables:
Advisory fees ............................. 38
Fund shares redeemed ...................... 16
--------------
TOTAL LIABILITIES ........................... 54
--------------
NET ASSETS .................................. $ 47,263
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 41,987
Undistributed net investment income ......... 1,493
Accumulated net realized gain on
investments ............................... 3,326
Net unrealized appreciation on investments .. 457
--------------
$ 47,263
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 2,820
==============
NET ASSET VALUE PER SHARE ................... $ 16.76
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ -
--------------
EXPENSES
Advisory fees ............................. 35
--------------
TOTAL EXPENSES .............................. 35
--------------
NET INVESTMENT LOSS ......................... (35)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ............ 2,132
Net change in unrealized appreciation
on investments ............................ (2,146)
--------------
NET REALIZED AND UNREALIZED LOSS ............ (14)
--------------
NET DECREASE IN NET ASSETS FROM OPERATIONS .. $ (49)
==============
See notes to the financial statements.
106
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ............................................................... $ (35) $ 1,528
Net realized gain on investments ........................................................... 2,132 1,194
Net change in unrealized appreciation (depreciaiton) on investments ........................ (2,146) 2,372
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ........................................ (49) 5,094
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................. - (52)
From net realized gains on investment transactions ......................................... - (15)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .......................................................... - (67)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................................... 26,371 29,471
Reinvestment of distributions .............................................................. - 67
Cost of shares redeemed .................................................................... (2,647) (13,418)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........................................... 23,724 16,120
--------------- ---------------
NET INCREASE IN NET ASSETS ................................................................... 23,675 21,147
NET ASSETS BEGINNING OF PERIOD ............................................................... 23,588 2,441
--------------- ---------------
NET ASSETS END OF PERIOD ..................................................................... $ 47,263 $ 23,588
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME .......................................................... $ 1,493 $ 1,528
=============== ===============
(1)SHARE TRANSACTIONS:
Shares sold ................................................................................ 1,557 2,214
Reinvestment of distributions .............................................................. - 4
Shares redeemed ............................................................................ (157) (1,016)
--------------- ---------------
Net increase ............................................................................... 1,400 1,202
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .................................................................... $ 35,704 $ 30,689
Proceeds from sales of securities .......................................................... 12,021 13,083
</TABLE>
See notes to the financial statements.
107
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 1,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
------------------ ----------------- ---------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.61 $ 11.19 $ 10.00
------------------ ----------------- ---------------
INCOME FROM OPERATIONS:
Net investment income (loss) (0.35) 0.88 0.24
Net realized and unrealized gains on investments ................... 0.50 4.59 0.95
------------------ ----------------- ---------------
Total income from operations ....................................... 0.15 5.47 1.19
------------------ ----------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ......................................... - (0.04) -
From net realized gains on investment transactions ................. - (0.01) -
------------------ ----------------- ---------------
Total distributions ................................................ - (0.05) -
------------------ ----------------- ---------------
Net increase ....................................................... 0.15 5.42 1.19
------------------ ----------------- ---------------
NET ASSET VALUE, END OF PERIOD ....................................... $ 16.76 $ 16.61 $ 11.19
================== ================= ===============
TOTAL RETURN (A) ..................................................... 1.09% 48.86% 11.90%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ........................... $ 47,263 $ 23,588 $ 2,441
Ratio of expenses to average net assets (b) ........................ 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) ........... (0.20)% 16.71% 5.73%
Portfolio turnover ................................................. 34.30% 141.89% 121.03%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
108
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
-------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alger Growth Series .......................... 398,382 $ 9,541
JNL/Eagle SmallCap Equity Series ................. 143,009 2,498
JNL/Alliance Growth Series ....................... 280,928 4,773
JNL/Janus Capital Growth Series .................. 114,850 4,934
JNL/Janus Aggressive Growth Series ............... 288,050 11,205
JNL/Janus Global Equities Series ................. 129,978 4,688
JNL/Putnam Growth Series ......................... 173,114 4,806
JNL/Putnam Midcap Growth Series .................. 241,179 2,448
T. Rowe Price/JNL Mid-Cap Growth Series .......... 95,478 2,389
--------------
TOTAL INVESTMENTS - 100%
(cost $46,825) ................................... $ 47,282
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $46,906 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,993, the gross
unrealized depreciation was $1,617 and the net unrealized appreciation on
investments was $376.
See notes to the financial statements.
109
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $104,242) ................ $ 108,276
Receivable:
Fund shares sold ......................... 320
--------------
TOTAL ASSETS ............................... 108,596
--------------
LIABILITIES
Payables:
Advisory fees ............................ 93
Fund shares redeemed ..................... 10
--------------
TOTAL LIABILITIES .......................... 103
--------------
NET ASSETS ................................. $ 108,493
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 95,136
Undistributed net investment income ........ 3,444
Accumulated net realized gain on
investments .............................. 5,879
Net unrealized appreciation on investments . 4,034
--------------
$ 108,493
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 7,068
==============
NET ASSET VALUE PER SHARE .................. $ 15.35
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ -
--------------
EXPENSES
Advisory fees ............................ 84
--------------
TOTAL EXPENSES ............................. 84
--------------
NET INVESTMENT LOSS ........................ (84)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 4,538
Net change in unrealized depreciation
on investments ........................... (4,310)
--------------
NET REALIZED AND UNREALIZED GAIN ........... 228
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 144
==============
See notes to the financial statements.
110
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .............................................................. $ (84) $ 3,528
Net realized gain on investments 4,538 1,400
Net change in unrealized appreciation (depreciation) on investments ....................... (4,310) 7,866
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................................................. 144 12,794
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................ - (98)
From net realized gains on investment transactions ........................................ - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ......................................................... - (98)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares .......................................................... 52,676 50,984
Reinvestment of distributions ............................................................. - 98
Cost of shares redeemed ................................................................... (5,206) (7,934)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .......................................... 47,470 43,148
--------------- ---------------
NET INCREASE IN NET ASSETS .................................................................. 47,614 55,844
NET ASSETS BEGINNING OF PERIOD .............................................................. 60,879 5,035
--------------- ---------------
NET ASSETS END OF PERIOD .................................................................... $ 108,493 $ 60,879
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ......................................................... $ 3,444 $ 3,528
=============== ===============
(1)SHARE TRANSACTIONS:
Shares sold ............................................................................... 3,410 4,163
Reinvestment of distributions ............................................................. - 6
Shares redeemed ........................................................................... (344) (640)
--------------- ---------------
Net increase .............................................................................. 3,066 3,529
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................................... $ 76,779 $ 55,329
Proceeds from sales of securities ......................................................... 29,468 8,894
</TABLE>
See notes to the financial statements.
111
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 13,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
------------------ --------------- ---------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ..................................... $ 15.21 $ 10.64 $ 10.00
------------------ --------------- ---------------
INCOME FROM OPERATIONS:
Net investment income (loss) ........................................... (0.39) 0.70 0.21
Net realized and unrealized gains on investments ....................... 0.53 3.89 0.43
------------------ --------------- ---------------
Total income from operations ............................................ 0.14 4.59 0.64
------------------ --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ............................................. - (0.02) -
From net realized gains on investment transactions ..................... - - -
------------------ --------------- ---------------
Total distributions .................................................... - (0.02) -
------------------ --------------- ---------------
Net increase ........................................................... 0.14 4.57 0.64
------------------ --------------- ---------------
NET ASSET VALUE, END OF PERIOD ........................................... $ 15.35 $ 15.21 $ 10.64
================== =============== ===============
TOTAL RETURN (A) ......................................................... 0.92% 43.19% 6.40%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ............................... $ 108,493 $ 60,879 $ 5,035
Ratio of expenses to average net assets (b) ............................ 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) ............... (0.20)% 14.02% 6.93%
Portfolio turnover ..................................................... 34.92% 34.62% 72.69%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
112
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
-------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alger Growth Series ...................... 683,954 $ 16,381
JNL/Alliance Growth Series ................... 643,601 10,935
JNL/Eagle Core Equity Series ................. 287,039 5,494
JNL/Janus Capital Growth Series .............. 131,311 5,641
JNL/Janus Aggressive Growth Series ........... 527,135 20,506
JNL/Janus Global Equities Series ............. 297,365 10,726
JNL/Putnam Growth Series ..................... 792,776 22,007
JNL/Putnam Midcap Growth Series .............. 552,067 5,604
JNL/Putnam Value Equity Series ............... 333,690 5,509
T. Rowe Price/JNL Mid-Cap Growth Series ...... 218,758 5,473
-------------
TOTAL INVESTMENTS - 100%
(cost $104,242) .............................. $ 108,276
=============
--------------------------------------------------------------------------------
Based on the cost of investments of $104,254 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $6,338, the gross
unrealized depreciation was $2,316 and the net unrealized appreciation on
investments was $4,022.
See notes to the financial statements.
113
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $31,482) ................ $ 32,866
Receivables:
Fund shares sold ...................... 8
--------------
TOTAL ASSETS 32,874
LIABILITIES
Payables:
Advisory fees ........................... 28
Fund shares redeemed .................... 1
--------------
TOTAL LIABILITIES ......................... 29
--------------
NET ASSETS ................................ $ 32,845
==============
NET ASSETS CONSIST OF:
Paid-in capital ........................... $ 28,098
Undistributed net investment income ....... 1,109
Accumulated net realized gain on
investments ............................. 2,254
Net unrealized appreciation on investments 1,384
==============
$ 32,845
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 2,086
==============
NET ASSET VALUE PER SHARE ................. $ 15.75
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ............................... $ -
--------------
EXPENSES
Advisory fees ........................... 25
--------------
TOTAL EXPENSES ............................ 25
--------------
NET INVESTMENT LOSS ....................... (25)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments .......... 1,585
Net change in unrealized depreciation
on investments .......................... (1,440)
--------------
NET REALIZED AND UNREALIZED GAIN .......... 145
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 120
==============
See notes to the financial statements.
114
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
Statements of Changes in Net Assets (Unauditd)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ............................................................. $ (25) $ 1,134
Net realized gain on investments ......................................................... 1,585 708
Net change in unrealized appreciation on investments ..................................... (1,440) 2,499
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................................. 120 4,341
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................... - (64)
From net realized gains on investment transactions ....................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ........................................................ - (64)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ......................................................... 16,441 14,331
Reinvestment of distributions ............................................................ - 64
Cost of shares redeemed .................................................................. (2,396) (3,230)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ......................................... 14,045 11,165
--------------- ---------------
NET INCREASE IN NET ASSETS ................................................................. 14,165 15,442
NET ASSETS BEGINNING OF PERIOD ............................................................. 18,680 3,238
--------------- ---------------
NET ASSETS END OF PERIOD ................................................................... $ 32,845 $ 18,680
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ........................................................ $ 1,109 $ 1,134
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ........................................................................... 1,037 1,152
Reinvestment of distributions ......................................................... - 4
Shares redeemed ....................................................................... (151) (257)
--------------- ---------------
Net increase .......................................................................... 886 899
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................... $ 22,090 $ 15,783
Proceeds from sales of securities ..................................................... 8,074 3,523
</TABLE>
See notes to the financial statements.
115
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 15,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
---------------- ----------------- -----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .................................... $ 15.56 $ 10.75 $ 10.00
---------------- ----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income (loss) .......................................... (0.26) 0.79 0.21
Net realized and unrealized gains on investments ...................... 0.45 4.07 0.54
---------------- ----------------- -----------------
Total income from operations .......................................... 0.19 4.86 0.75
---------------- ----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ............................................ - (0.05) -
From net realized gains on investment transactions .................... - - -
---------------- ----------------- -----------------
Total distributions ................................................... - (0.05) -
---------------- ----------------- -----------------
Net increase .......................................................... 0.19 4.81 0.75
---------------- ----------------- -----------------
NET ASSET VALUE, END OF PERIOD .......................................... $ 15.75 $ 15.56 $ 10.75
================ ================= =================
TOTAL RETURN (A) ........................................................ 1.22% 45.25% 7.50%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .............................. $ 32,845 $ 18,680 $ 3,238
Ratio of expenses to average net assets (b) ........................... 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) .............. (0.20)% 13.54% 7.01%
Portfolio turnover .................................................... 32.18% 41.60% 67.88%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
116
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alger Growth Series ...................... 207,919 $ 4,980
JNL/Alliance Growth Series ................. 195,580 3,323
JNL/Eagle Core Equity Series ................. 87,216 1,669
JNL/Eagle SmallCap Equity Series ............. 99,492 1,738
JNL/Janus Aggressive Growth Series ........... 200,431 7,797
JNL/Janus Capital Growth Series .............. 39,939 1,716
JNL/Janus Global Equities Series ............. 90,397 3,261
JNL/Putnam Growth Series ..................... 180,710 5,016
JNL/Putnam Midcap Growth Series .............. 167,778 1,703
T. Rowe Price/JNL Mid-Cap Growth Series ...... 66,465 1,663
--------------
TOTAL INVESTMENTS - 100%
(cost $31,482) ............................... $ 32,866
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $31,485 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $2,140, the gross
unrealized depreciation was $759 and the net unrealized appreciation on
investments was $1,381.
See notes to the financial statements.
117
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $7,938) .................. $ 8,196
Receivable:
Funds shares sold ........................ 2
--------------
TOTAL ASSETS ............................... 8,198
--------------
LIABILITIES
Payable:
Advisory fees ............................ 8
--------------
TOTAL LIABILITIES .......................... 8
--------------
NET ASSETS ................................. $ 8,190
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 8,070
Undistributed net investment income ........ 253
Accumulated net realized loss on
investments ............................... (391)
Net unrealized appreciation on investments 258
--------------
$ 8,190
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 741
==============
NET ASSET VALUE PER SHARE .................. $ 11.05
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ -
--------------
EXPENSES
Advisory fees ............................ 7
--------------
TOTAL EXPENSES ............................. 7
--------------
NET INVESTMENT LOSS ........................ (7)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 119
Net change in unrealized depreciation
on investments ........................... (85)
--------------
NET REALIZED AND UNREALIZED GAIN ........... 34
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 27
==============
See notes to the financial statements.
118
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ............................................................... $ (7) $ 260
Net realized gain on investments ........................................................... 119 184
Net change in unrealized appreciation (depreciation) on investments ........................ (85) 278
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................................... 27 722
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................. - (41)
From net realized gains on investment transactions ......................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .......................................................... - (41)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................................... 2,513 5,743
Reinvestment of distributions .............................................................. - 41
Cost of shares redeemed .................................................................... (863) (1,653)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........................................... 1,650 4,131
--------------- ---------------
NET INCREASE IN NET ASSETS ................................................................... 1,677 4,812
NET ASSETS BEGINNING OF PERIOD ............................................................... 6,513 1,701
--------------- ---------------
NET ASSETS END OF PERIOD ..................................................................... $ 8,190 $ 6,513
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME .......................................................... $ 253 $ 260
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold .............................................................................. 228 573
Reinvestment of distributions ............................................................ - 4
Shares redeemed .......................................................................... (78) (164)
--------------- ---------------
Net increase ............................................................................. 150 413
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .................................................................. $ 2,914 $ 6,546
Proceeds from sales of securities ........................................................ 1,265 2,196
</TABLE>
See notes to the financial statements.
119
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 13,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
----------------- -------------- --------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................................... $ 11.01 $ 9.54 $ 10.00
----------------- -------------- --------------
INCOME FROM OPERATIONS:
Net investment income (loss) ......................................... (0.10) 0.28 0.23
Net realized and unrealized gain (loss) on investments ............... 0.14 1.26 (0.69)
----------------- -------------- --------------
Total income (loss) from operations .................................. 0.04 1.54 (0.46)
----------------- -------------- --------------
LESS DISTRIBUTIONS:
From net investment income ........................................... - (0.07) -
From net realized gains on investment transactions ................... - - -
----------------- -------------- --------------
Total distributions .................................................. - (0.07) -
----------------- -------------- --------------
Net increase (decrease) .............................................. 0.04 1.47 (0.46)
----------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD ......................................... $ 11.05 $ 11.01 $ 9.54
================= ============== ==============
TOTAL RETURN (A) ....................................................... 0.36% 16.14% (4.60)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ............................. $ 8,190 $ 6,513 $ 1,710
Ratio of expenses to average net assets (b) .......................... 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) ............. (0.20)% 6.57% 2.29%
Portfolio turnover ................................................... 18.04% 55.32% 369.99%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements
120
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
---------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series ................... 72,265 $ 1,228
JNL/Janus Aggressive Growth Series ........... 19,722 767
JNL/Janus Global Equities Series ............. 22,278 804
JNL/Janus Growth & Income Series ............. 45,641 420
JNL/PIMCO Total Return Bond Series ........... 83,976 841
JNL/Putnam Growth Series ..................... 29,666 823
JNL/Putnam Value Equity Series ............... 49,960 825
Salomon Brothers/JNL Balanced Series ......... 79,414 829
Salomon Brothers/JNL Global Bond Series ...... 79,744 835
Salomon Brothers/JNL High Yield Bond Series .. 97,961 824
--------------
TOTAL INVESTMENTS - 100%
(cost $7,938) ................................ $ 8,196
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $7,965 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $469, the gross unrealized
depreciation was $238 and the net unrealized appreciation on investments was
$231.
See notes to the financial statements.
121
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $13,875) ................. $ 14,690
Receivable:
Fund shares sold ......................... 83
--------------
TOTAL ASSETS 14,773
--------------
LIABILITIES
Payables:
Advisory fees ............................ 14
Fund shares redeemed .................... 1
--------------
TOTAL LIABILITIES .......................... 15
--------------
NET ASSETS ................................. $ 14,758
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 13,035
Undistributed net investment income 372
Accumulated net realized gain on
investments .............................. 536
Net unrealized appreciation on investments . 815
==============
$ 14,758
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 1,173
==============
NET ASSET VALUE PER SHARE .................. $ 12.58
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ -
--------------
EXPENSES
Advisory fees ............................ 13
--------------
TOTAL EXPENSES ............................. 13
--------------
NET INVESTMENT LOSS ........................ (13)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 260
Net change in unrealized depreciation
on investments ........................... (158)
--------------
NET REALIZED AND UNREALIZED GAIN ........... 102
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 89
==============
See notes to the financial statements.
122
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .............................................................. $ (13) $ 385
Net realized gain on investments .......................................................... 260 290
Net change in unrealized appreciation (depreciation) on investments ....................... (158) 812
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................................................. 89 1,487
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................ - (47)
From net realized gains on investment transactions ........................................ - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ......................................................... - (47)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares .......................................................... 5,287 7,717
Reinvestment of distributions ............................................................. - 47
Cost of shares redeemed ................................................................... (1,068) (1,610)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .......................................... 4,219 6,154
--------------- ---------------
NET INCREASE IN NET ASSETS .................................................................. 4,308 7,594
NET ASSETS BEGINNING OF PERIOD .............................................................. 10,450 2,856
--------------- ---------------
NET ASSETS END OF PERIOD .................................................................... $ 14,758 $ 10,450
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ......................................................... $ 372 $ 385
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold .............................................................................. 421 699
Reinvestment of distributions ............................................................ - 4
Shares redeemed .......................................................................... (85) (145)
--------------- ---------------
Net increase ............................................................................. 336 558
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .................................................................. $ 6,260 $ 8,886
Proceeds from sales of securities ........................................................ 2,120 2,405
</TABLE>
See notes to the financial statements.
124
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX APRIL 13,
MONTHS
ENDED YEAR ENDED 1998* TO
JUNE DECEMBER 31, DECEMBER 31,
30,
2000 1999 1998
---------------- -------------- --------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................ $ 12.49 $ 10.22 $ 10.00
---------------- -------------- --------------
INCOME FROM OPERATIONS:
Net investment income (loss) ............................................. (0.14) 0.35 0.17
Net realized and unrealized gain on investments .......................... 0.23 1.98 0.05
---------------- -------------- --------------
Total income from operations
............................................................................ 0.09 2.33 0.22
---------------- -------------- --------------
LESS DISTRIBUTIONS:
From net investment income ............................................... - (0.06) -
From net realized gains on investment transactions ....................... - - -
---------------- -------------- --------------
Total distributions ...................................................... - (0.06) -
---------------- -------------- --------------
Net increase ............................................................. 0.09 2.27 0.22
---------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD .............................................. $ 12.58 $ 12.49 $ 10.22
================ ============== ==============
TOTAL RETURN (A) ............................................................ 0.72% 22.77% 2.20%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................. $ 14,758 $ 10,450 $ 2,856
Ratio of expenses to average net assets (b) .............................. 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) ................. (0.20)% 6.14% 4.09%
Portfolio turnover ....................................................... 17.20% 38.38% 103.28%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
125
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
--------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series 130,107 $ 2,211
JNL/Janus Aggressive Growth Series 53,270 2,072
JNL/Janus Global Equities Series 40,069 1,445
JNL/Janus Growth & Income Series 131,427 1,211
JNL/PIMCO Total Return Bond Series 75,554 756
JNL/Putnam Growth Series 53,428 1,483
JNL/Putnam Midcap Growth Series 44,648 453
JNL/Putnam Value Equity Series 89,901 1,484
Lazard/JNL Mid Cap Value Series 57,255 590
Salomon Brothers/JNL Balanced Series 142,933 1,492
Salomon Brothers/JNL Global Bond Series 71,751 751
Salomon Brothers/JNL High Yield Bond Series 88,161 742
--------------
TOTAL INVESTMENTS - 100%
(cost $13,875) $ 14,690
==============
--------------------------------------------------------
Based on the cost of investments of $13,898 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,145, the gross
unrealized depreciation was $353 and the net unrealized appreciation on
investments was $792.
See notes to the financial statements.
126
<PAGE>
JNL/S&P Aggressive Growth Series II
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $4,852) .................. $ 5,094
Receivable:
Fund shares sold ......................... 3
--------------
Total assets ............................... 5,097
--------------
Liabilities
Payable:
Advisory fees ............................ 5
--------------
Total liabilities .......................... 5
--------------
Net assets ................................. $ 5,092
==============
Net assets consist of:
Paid-in capital ............................ $ 4,538
Undistributed net investment income ........ 127
Accumulated net realized gain on
investments ................................ 185
Net unrealized appreciation on investments . 242
--------------
$ 5,092
==============
Total shares outstanding (no par value),
unlimited shares authorized .............. 392
==============
Net asset value per share .................. $ 12.98
==============
Statement of Operations
For the Period Ended June 30, 2000
Investment income
Dividends ................................ $ -
--------------
Expenses
Advisory fees ............................ 4
--------------
Total expenses ............................. 4
--------------
Net investment loss ........................ (4)
--------------
Realized and unrealized gains (losses)
Net realized gain on investments ........... 127
Net change in unrealized depreciation
on investments ........................... (99)
--------------
Net realized and unrealized gain ........... 28
--------------
Net increase in net assets from operations . $ 24
==============
See notes to the financial statements.
127
<PAGE>
JNL/S&P Aggressive Growth Series II
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six Months
ended Year ended
June 30, December 31,
2000 1999
--------------- ---------------
<S> <C> <C>
Operations
Net investment income (loss) ................................................ $ (4) $ 131
Net realized gain on investments ............................................ 127 64
Net change in unrealized appreciation (depreciation) on investments ......... (99) 330
--------------- ---------------
Net increase in net assets from operations .................................... 24 525
--------------- ---------------
Distributions to shareholders
From net investment income .................................................. - (3)
From net realized gains on investment transactions .......................... - -
--------------- ---------------
Total distributions to shareholders ........................................... - (3)
--------------- ---------------
Share transactions(1)
Proceeds from the sale of shares ............................................ 2,677 3,316
Reinvestment of distributions ............................................... - 3
Cost of shares redeemed ..................................................... (988) (729)
--------------- ---------------
Net increase in net assets from share transactions ............................ 1,689 2,590
--------------- ---------------
Net increase in net assets .................................................... 1,713 3,112
Net assets beginning of period ................................................ 3,379 267
--------------- ---------------
Net assets end of period ...................................................... $ 5,092 $ 3,379
=============== ===============
Undistributed net investment income ........................................... $ 127 $ 131
=============== ===============
(1)Share Transactions:
Shares sold .............................................................. 207 300
Reinvestment of distributions ............................................ - -
Shares redeemed .......................................................... (76) (66)
--------------- ---------------
Net increase ............................................................. 131 234
=============== ===============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities .................................................. $ 2,987 $ 3,896
Proceeds from sales of securities ........................................ 1,291 1,186
</TABLE>
See notes to the financial statements.
128
<PAGE>
JNL/S&P Aggressive Growth Series II
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from
Six months April 13,
ended Year ended 1998* to
June 30, December 31, December 31,
2000 1999 1998
------------------ --------------- ---------------
<S> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ................................... $12.92 $10.05 $10.00
------------------ --------------- ---------------
Income from operations:
Net investment income (loss) ........................................... (0.18) 0.41 0.10
Net realized and unrealized gains (losses) on investments .............. 0.24 2.47 (0.05)
------------------ --------------- ---------------
Total income from operations ........................................... 0.06 2.88 0.05
------------------ --------------- ---------------
Less distributions:
From net investment income ............................................. - (0.01) -
From net realized gains on investment transactions ..................... - - -
------------------ --------------- ---------------
Total distributions .................................................... - (0.01) -
------------------ --------------- ---------------
Net increase ........................................................... 0.06 2.87 0.05
------------------ --------------- ---------------
Net asset value, end of period ......................................... $12.98 $12.92 $10.05
================== =============== ===============
Total Return (a) ....................................................... 0.46 % 28.66 % 0.50 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ............................... $5,092 $3,379 $267
Ratio of expenses to average net assets (b) ............................ 0.20 % 0.20 % 0.20 %
Ratio of net investment income to average net assets (b) ............... (0.20)% 7.97 % 2.19 %
Portfolio turnover ..................................................... 30.39 % 72.67 % 165.71 %
</TABLE>
--------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
129
<PAGE>
JNL/S&P Aggressive Growth Series II
Schedule of Investments (Unaudited)
June 30, 2000
<TABLE>
<CAPTION>
Shares Market
Value
(000's)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Company Securities - 100%
JNL/Alliance Growth Series .................................................. 60,265 $ 1,024
JNL/Janus Aggressive Growth Series .......................................... 18,559 722
JNL/Janus Global Equities Series ............................................ 13,950 503
JNL/Janus Growth & Income Series ............................................ 45,591 420
JNL/Putnam Growth Series .................................................... 27,878 774
JNL/Putnam Midcap Growth Series ............................................. 15,526 157
JNL/Putnam Value Equity Series .............................................. 46,754 772
Lazard/JNL Mid Cap Value Series ............................................. 19,854 205
Salomon Brothers/JNL Global Bond Series ..................................... 24,861 260
Salomon Brothers/JNL High Yield Bond Series ................................. 30,526 257
--------------
Total Investments - 100%
(cost $4,852) ............................................................... $ 5,094
==============
</TABLE>
--------------------------------------------------------------------------------
Based on the cost of investments of $4,873 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $328, the gross unrealized
depreciation was $107 and the net unrealized appreciation on investments was
$321.
See notes to the financial statements.
130
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $3,608) ................. $ 3,855
Receivable:
Fund shares sold ........................ 2
---------------
TOTAL ASSETS .............................. 3,857
---------------
LIABILITIES
Payable:
Advisory fees ........................... 4
---------------
TOTAL LIABILITIES ......................... 4
---------------
NET ASSETS ................................ $ 3,853
===============
NET ASSETS CONSIST OF:
Paid-in capital ........................... $ 3,211
Undistributed net investment income ....... 124
Accumulated net realized gain on
investments ............................... 271
Net unrealized appreciation on investments 247
===============
$ 3,853
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 249
===============
NET ASSET VALUE PER SHARE ................. $ 15.48
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ............................... $ -
---------------
EXPENSES
Advisory fees ........................... 3
---------------
TOTAL EXPENSES ............................ 3
---------------
NET INVESTMENT LOSS ....................... (3)
---------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments .......... 117
Net change in unrealized depreciation
on investments .......................... (112)
---------------
NET REALIZED AND UNREALIZED GAIN .......... 5
---------------
NET INCREASE IN NET ASSETS FROM
operations ................................ $ 2
===============
See notes to the financial statements.
131
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ........................................................... $ (3) $ 127
Net realized gain on investments ....................................................... 117 154
Net change in unrealized appreciation (depreciation) on investments .................... (112) 338
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ............................................... 2 619
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................. - (1)
From net realized gains on investment transactions ..................................... - (1)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ...................................................... - (2)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ....................................................... 1,243 4,245
Reinvestment of distributions .......................................................... - 2
Cost of shares redeemed ................................................................ (514) (1,897)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ....................................... 729 2,350
--------------- ---------------
NET INCREASE IN NET ASSETS ............................................................... 731 2,967
NET ASSETS BEGINNING OF PERIOD ........................................................... 3,122 155
--------------- ---------------
NET ASSETS END OF PERIOD ................................................................. $ 3,853 $ 3,122
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ...................................................... $ 124 4 127
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ......................................................................... 79 337
Reinvestment of distributions ....................................................... - -
Shares redeemed ..................................................................... (33) (148)
--------------- ---------------
Net increase ........................................................................ 46 189
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................. $ 1,377 4,427
Proceeds from sales of securities ................................................... 641 1,959
</TABLE>
See notes to the financial statements.
132
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 13,
ENDED, YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
----------------- ----------------- ----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .................................... $ 15.37 $ 10.80 $ 10.00
----------------- ----------------- ----------------
INCOME FROM OPERATIONS:
Net investment income (loss) .......................................... (0.13) 0.57 0.07
Net realized and unrealized gains on investments ...................... 0.24 4.01 0.73
----------------- ----------------- ----------------
Total income from operations .......................................... 0.11 4.58 0.80
----------------- ----------------- ----------------
LESS DISTRIBUTIONS:
From net investment income ............................................ - - -
From net realized gains on investment transactions .................... - (0.01) -
----------------- ----------------- ----------------
Total distributions ................................................... - (0.01) -
----------------- ----------------- ----------------
Net increase .......................................................... 0.11 4.57 0.80
----------------- ----------------- ----------------
NET ASSET VALUE, END OF PERIOD .......................................... $ 15.48 $ 15.37 $ 10.80
================= ================= ================
TOTAL RETURN (A) ........................................................ 0.72% 42.42% 8.00%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .............................. $ 3,853 $ 3,122 $ 155
Ratio of expenses to average net assets (b) ........................... 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) .............. (0.20)% 9.04% 0.91%
Portfolio turnover .................................................... 18.13% 145.99% 208.66%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
133
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
--------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series ................. 69,480 $ 1,180
JNL/Janus Aggressive Growth Series ......... 28,378 1,104
JNL/Janus Global Equities Series ........... 10,686 385
JNL/Putnam Growth Series ................... 14,258 396
JNL/Putnam Midcap Growth Series ............ 11,916 121
JNL/Putnam Value Equity Series ............. 9,618 159
Lazard/JNL Mid Cap Value Series ............ 15,313 158
Lazard/JNL Small Cap Value Series .......... 16,701 155
T. Rowe Price/JNL Mid-Cap Growth Series .... 7,873 197
--------------
TOTAL INVESTMENTS - 100%
(cost $3,608) $ 3,855
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $3,636 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $286, the gross unrealized
depreciation was $67 and the net unrealized appreciation on investments was
$219.
See notes to the financial statements.
134
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $8,800) .................. $ 9,265
Receivable:
Fund shares sold ......................... 2
---------------
TOTAL ASSETS ............................... 9,267
---------------
LIABILITIES
Payables:
Advisory fees ............................ 7
Fund shares redeemed ..................... 39
---------------
TOTAL LIABILITIES .......................... 46
---------------
NET ASSETS ................................. $ 9,221
===============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 8,354
Undistributed net investment income ........ 189
Accumulated net realized gain on
investments .............................. 213
Net unrealized appreciation on investments . 465
===============
$ 9,221
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 671
===============
NET ASSET VALUE PER SHARE .................. $ 13.75
===============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ -
---------------
EXPENSES
Advisory fees ............................ 7
---------------
TOTAL EXPENSES ............................. 7
---------------
NET INVESTMENT LOSS ........................ (7)
---------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 82
Net change in unrealized depreciation
on investments ........................... (41)
---------------
NET REALIZED AND UNREALIZED GAIN ........... 41
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 34
===============
See the notes to the financial statements.
135
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .......................................................... $ (7) $ 196
Net realized gain on investments ...................................................... 82 141
Net change in unrealized appreciation (depreciation) on investments ................... (41) 443
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .............................................. 34 780
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................ - (5)
From net realized gains on investment transactions .................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ..................................................... - (5)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ...................................................... 4,935 4,141
Reinvestment of distributions ......................................................... - 5
Cost of shares redeemed ............................................................... (481) (788)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ...................................... 4,454 3,358
--------------- ---------------
NET INCREASE IN NET ASSETS .............................................................. 4,488 4,133
NET ASSETS BEGINNING OF PERIOD .......................................................... 4,733 600
--------------- ---------------
NET ASSETS END OF PERIOD ................................................................ $ 9,921 $ 4,733
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ..................................................... $ 189 $ 196
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ........................................................................ 359 356
Reinvestment of distributions ...................................................... - -
Shares redeemed .................................................................... (34) (70)
--------------- ---------------
Net increase ....................................................................... 325 286
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................ $ 5,327 $ 4,639
Proceeds from sales of securities .................................................. 739 1,097
</TABLE>
See notes to the financial statements.
136
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 13,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
----------------- ----------------- -----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .................................... $ 13.67 $ 10.04 $ 10.00
----------------- ----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income (loss) .......................................... (0.28) 0.50 0.08
Net realized and unrealized gains (losses) on investments ............. 0.36 3.14 (0.04)
----------------- ----------------- -----------------
Total income from operations .......................................... 0.08 3.64 0.04
----------------- ----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ............................................ - (0.01) -
From net realized gains on investment transactions .................... - - -
----------------- ----------------- -----------------
Total distributions ................................................... - (0.01) -
----------------- ----------------- -----------------
Net increase .......................................................... 0.08 3.63 0.04
----------------- ----------------- -----------------
NET ASSET VALUE, END OF PERIOD .......................................... $ 13.75 $ 13.67 $ 10.04
================= ================= =================
TOTAL RETURN (A) ........................................................ 0.59% 36.29% 0.40%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .............................. $ 9,921 $ 4,733 $ 600
Ratio of expenses to average net assets (b) ........................... 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) .............. (0.20)% 10.87% 1.82%
Portfolio turnover .................................................... 10.94% 59.07% 121.14%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
137
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
Schedule Of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
---------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series 110,234 $ 1,873
JNL/Janus Aggressive Growth Series 45,319 1,763
JNL/Janus Global Equities Series 25,540 921
JNL/Janus Growth & Income Series 31,274 288
JNL/Putnam Growth Series 67,952 1,886
JNL/Putnam Midcap Growth Series 28,404 288
JNL/Putnam Value Equity Series 57,031 942
Lazard/JNL Mid Cap Value Series 49,628 462
Lazard/JNL Small Cap Value Series 36,309 374
T. Rowe Price/JNL Mid-Cap Growth Series 18,724 468
--------------
TOTAL INVESTMENTS - 100%
(cost $8,800) $ 9,265
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $8,810 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $594, the gross unrealized
depreciation was $139 and the net unrealized appreciation on investments was
$455.
See notes to the financial statements.
138
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $ 2,622) ................. $ 2,700
Receivable:
Fund shares sold ........................ 16
--------------
TOTAL ASSETS ............................... 2,716
--------------
LIABILITIES
Payable:
Advisory fees ........................... 2
--------------
TOTAL LIABILITIES .......................... 2
--------------
NET ASSETS ................................. $ 2,714
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 2,508
Undistributed net investment income ........ 37
Accumulated net realized gain on
investments .............................. 91
Net unrealized appreciation on investments . 78
==============
$ 2,714
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 186
==============
NET ASSET VALUE PER SHARE .................. $ 14.56
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ -
--------------
EXPENSES
Advisory fees ............................ 2
--------------
TOTAL EXPENSES ............................. 2
--------------
NET INVESTMENT LOSS ........................ (2)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 54
Net change in unrealized depreciation
on investments ........................... (38)
--------------
NET REALIZED AND UNREALIZED GAIN ........... 16
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 14
==============
See notes to the financial statements.
139
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .............................................................. $ (2) $ 39
Net realized gain on investments .......................................................... 54 42
Net change in unrealized appreciation (depreciation) on investments ....................... (38) 97
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................................................. 14 178
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................ - (2)
From net realized gains on investment transactions ........................................ - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ......................................................... - (2)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares .......................................................... 2,157 1,449
Reinvestment of distributions ............................................................. - 2
Cost of shares redeemed ................................................................... (403) (905)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .......................................... 1,754 546
--------------- ---------------
NET INCREASE IN NET ASSETS .................................................................. 1,768 722
NET ASSETS BEGINNING OF PERIOD .............................................................. 946 224
--------------- ---------------
NET ASSETS END OF PERIOD .................................................................... $ 2,714 $ 946
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ......................................................... $ 37 $ 39
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................................ 149 122
Reinvestment of distributions .......................................................... - -
Shares redeemed ........................................................................ (28) (79)
--------------- ---------------
Net increase ........................................................................... 121 43
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................................ $ 2,137 $ 1,582
Proceeds from sales of securities ...................................................... 400 999
</TABLE>
See notes to the financial statements.
140
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS APRIL 23,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
--------------- ------------------ -----------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .................................... $ 14.44 $ 10.36 $ 10.00
--------------- ------------------ -----------------
INCOME FROM OPERATIONS:
Net investment income (loss) .......................................... (0.39) 0.54 0.07
Net realized and unrealized gains on investments ...................... 0.51 3.56 0.29
--------------- ------------------ -----------------
Total income from operations .......................................... 0.12 4.10 0.36
--------------- ------------------ -----------------
LESS DISTRIBUTIONS:
From net investment income (loss) ..................................... - (0.02) -
From net realized gains on investment transactions .................... - - -
--------------- ------------------ -----------------
Total distributions ................................................... - (0.02) -
--------------- ------------------ -----------------
Net increase .......................................................... 0.12 4.08 0.36
--------------- ------------------ -----------------
NET ASSET VALUE, END OF PERIOD .......................................... $ 14.56 $ 14.44 $ 10.36
=============== ================== =================
TOTAL RETURN (A) ........................................................ 0.83% 39.61% 3.60%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .............................. $ 2,714 $ 946 $ 224
Ratio of expenses to average net assets (b) ........................... 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets (b) .............. (0.20)% 7.76% 1.22%
Portfolio turnover .................................................... 22.07% 202.45% 157.21%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
141
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
--------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series .................. 40,401 $ 686
JNL/Janus Aggressive Growth Series .......... 16,488 641
JNL/Janus Global Equities Series ............ 7,461 269
JNL/Putnam Growth Series .................... 14,924 414
JNL/Putnam Midcap Growth Series ............. 8,318 84
JNL/Putnam Value Equity Series .............. 13,426 222
Lazard/JNL Mid Cap Value Series ............. 10,672 110
Lazard/JNL Small Cap Value Series ........... 14,572 136
T. Rowe Price/JNL Mid-Cap Growth Series ... 5,493 138
--------------
TOTAL INVESTMENTS - 100%
(cost $2,622) ............................... $ 2,700
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $2,643 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $106, the gross unrealized
depreciation was $49 and the net unrealized appreciation on investments was $57.
See notes to the financial statements.
142
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $9,830) .................. $ 9,833
Receivable:
Fund shares sold ......................... 500
---------------
TOTAL ASSETS ............................... 10,333
---------------
LIABILITIES
Payable:
Advisory fees ............................ 5
---------------
TOTAL LIABILITIES .......................... 5
---------------
NET ASSETS ................................. $ 10,328
===============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 10,289
Accumulated net investment loss ............ (5)
Accumulated net realized gain on
investments .............................. 41
Net unrealized appreciation on investments . 3
===============
$ 10,328
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 952
===============
NET ASSET VALUE PER SHARE .................. $ 10.85
===============
Statement of Operations
For the Period Ended June 30, 2000*
INVESTMENT INCOME
Dividends ................................ $ -
---------------
EXPENSES
Advisory fees ............................ 5
---------------
TOTAL EXPENSES ............................. 5
---------------
NET INVESTMENT LOSS ........................ (5)
---------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments ........... 41
Net change in unrealized appreciation
on investments ........................... 3
---------------
NET REALIZED AND UNREALIZED GAIN ........... 44
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 39
===============
--------------------------------------------------------------------------------
* For the period beginning January 13, 2000 (commencement of operations).
See notes to the financial statements.
143
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES
Statement of Changes in Net Assets (Unaudited)
(in thousands)
PERIOD FROM
JANUARY 13,
2000* TO
JUNE 30,
2000
---------------
OPERATIONS
Net investment loss ......................................... $ (5)
Net realized gain on investments ............................ 41
Net change in unrealized appreciation on investments ........ 3
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................. 39
---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .................................. -
From net realized gains on investment transactions .......... -
---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ......................... -
---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................ 10,896
Reinvestment of distributions ............................... -
Cost of shares redeemed ..................................... (607)
---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS .......... 10,289
---------------
NET INCREASE IN NET ASSETS .................................. 10,328
NET ASSETS BEGINNING OF PERIOD .............................. -
---------------
NET ASSETS END OF PERIOD .................................... $ 10,328
===============
ACCUMULATED NET INVESTMENT LOSS ............................. $ (5)
===============
(1)SHARE TRANSACTIONs:
Shares sold .............................................. 1,009
Reinvestment of distributions ............................ -
Shares redeemed .......................................... (57)
---------------
Net increase ............................................. 952
===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .................................. $ 10,517
Proceeds from sales of securities ........................ 728
--------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
144
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES
Financial Highlights (Unaudited)
PERIOD FROM
JANUARY 13,
2000* TO
JUNE 30,
2000
---------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................ $ 10.00
---------------
INCOME FROM OPERATIONS:
Net investment income ..................................... -
Net realized and unrealized gains on investments .......... 0.85
---------------
Total income from operations .............................. 0.85
---------------
LESS DISTRIBUTIONS:
From net investment income ................................ -
From net realized gains on investment transactions ........ -
---------------
Total distributions ....................................... -
---------------
Net increase .............................................. 0.85
---------------
NET ASSET VALUE, END OF PERIOD .............................. $ 10.85
===============
TOTAL RETURN (A) ............................................ 8.50%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .................. $ 10,328
Ratio of expenses to average net assets (b) ............... 0.20%
Ratio of net investment income to average net assets (b) .. (0.20)%
Portfolio turnover ........................................ 15.46%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
145
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
-------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series ...................... 146,753 $ 2,494
JNL/Janus Aggressive Growth Series .............. 60,775 2,364
JNL/Janus Global Equities Series ................ 27,347 986
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series .................................. 191,330 1,986
JNL/Putnam Midcap Series ........................ 50,460 512
Lazard/JNL Mid Cap Value Series ................. 28,882 298
Lazard/JNL Small Cap Value Series ............... 21,095 196
T. Rowe Price/JNL Mid-Cap Growth Series ......... 39,856 997
--------------
TOTAL INVESTMENTS - 100%
(cost $9,830) ................................... $ 9,833
==============
Based on the cost of investments of $9,830 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $250, the gross unrealized
depreciation was $247 and the net unrealized appreciation on investments was $3.
See notes to the financial statements.
146
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $5,482) .................. $ 5,483
Receivable:
Fund shares sold ......................... 1
---------------
TOTAL ASSETS ............................... 5,484
---------------
LIABILITIES
Payable:
Advisory fees ............................ 3
---------------
TOTAL LIABILITIES .......................... 3
---------------
NET ASSETS ................................. $ 5,481
===============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 5,476
Undistributed net investment income ........ -
Accumulated net realized gain on
investments .............................. 4
Net unrealized appreciation on investments . 1
===============
$ 5,481
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 536
===============
NET ASSET VALUE PER SHARE .................. $ 10.22
===============
Statement of Operations
For the Period Ended June 30, 2000*
INVESTMENT INCOME
Interest ................................. $ 2
---------------
EXPENSES
Advisory fees ............................ 2
---------------
TOTAL EXPENSES ............................. 2
---------------
NET INVESTMENT INCOME ...................... -
---------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments ........... 4
Net change in unrealized appreciation
on investments ........................... 1
---------------
NET REALIZED AND UNREALIZED GAIN ........... 5
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . $ 5
===============
--------------------------------------------------------------------------------
* For the period beginning January 26, 2000 (commencement of operations).
See notes to the financial statements.
147
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES
Statement of Changes in Net Assets (Unaudited)
(in thousands)
PERIOD FROM
JANUARY 26,
2000* TO
JUNE 30,
2000
---------------
OPERATIONS
Net investment income ........................................ $ -
Net realized gain on investments ............................. 4
Net change in unrealized appreciation on investments ......... 1
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................... 5
---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................... -
From net realized gains on investment transactions ........... -
---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................ -
---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................... 5,834
Reinvestment of distributions .............................. -
Cost of shares redeemed .................................... (358)
---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........... 5,476
---------------
NET INCREASE IN NET ASSETS ................................... 5,481
NET ASSETS BEGINNING OF PERIOD ............................... -
---------------
NET ASSETS END OF PERIOD ..................................... $ 5,481
===============
UNDISTRIBUTED NET INVESTMENT INCOME .......................... $ -
===============
(1)SHARE TRANSACTIONS:
Shares sold ................................................ 571
Reinvestment of distributions .............................. -
Shares redeemed ............................................ (35)
--------------
Net increase ............................................... 536
==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .................................... $ 5,839
Proceeds from sales of securities .......................... 361
--------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
148
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES
Financial Highlights (Unaudited)
PERIOD FROM
JANUARY 26,
2000* TO
JUNE 30,
2000
---------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $ 10.00
---------------
INCOME FROM OPERATIONS:
Net investment income .................................... -
Net realized and unrealized gains on investments ......... 0.22
---------------
Total income from operations ............................. 0.22
---------------
LESS DISTRIBUTIONS:
From net investment income ............................... -
From net realized gains on investment transactions ....... -
---------------
Total distributions ...................................... -
---------------
Net increase ............................................. 0.22
---------------
NET ASSET VALUE, END OF PERIOD ............................. $ 10.22
===============
TOTAL RETURN (A) ........................................... 2.20%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................. $ 5,481
Ratio of expenses to average net assets (b) .............. 0.20%
Ratio of net investment loss to average net assets (b) ... (0.02)%
Portfolio turnover ....................................... 13.62%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
149
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
-------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series ....................... 48,346 $ 822
JNL/Janus Aggressive Growth Series ............... 13,270 516
JNL/Janus Global Equities Series ................. 14,961 540
JNL/Janus Growth & Income Series ................. 60,838 560
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series ................................... 52,579 546
JNL/PIMCO Total Return Bond Series ............... 56,037 561
PPM America/JNL Money Market Series .............. 277,148 277
Salomon Brothers/JNL Balanced Series ............. 53,003 553
Salomon Brothers/JNL Global Bond Series .......... 53,266 558
Salomon Brothers/JNL High Yield Bond Series ...... 65,405 550
--------------
TOTAL INVESTMENTS - 100%
(cost $5,482) .................................... $ 5,483
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $5,482 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $87, the gross unrealized
depreciation was $86 and the net unrealized appreciation on investments was $1.
See notes to the financial statements.
150
<PAGE>
JNL/S&P MODERATE GROWTH SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $11,133) ................. $ 11,089
Receivable:
Fund shares sold ......................... 341
---------------
TOTAL ASSETS ............................... 11,430
---------------
LIABILITIES
Payable:
Advisory fees ............................ 4
---------------
TOTAL LIABILITIES .......................... 4
---------------
NET ASSETS ................................. $ 11,426
===============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 11,451
Accumulated net investment loss ............ (4)
Accumulated net realized gain on
investments .............................. 23
Net unrealized depreciation on investments . (44)
===============
$ 11,426
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 1,119
===============
NET ASSET VALUE PER SHARE .................. $ 10.21
===============
Statement of Operations
For the Period Ended June 30, 2000*
INVESTMENT INCOME
Dividends ................................ $ -
---------------
EXPENSES
Advisory fees ............................ 4
---------------
TOTAL EXPENSES ............................. 4
---------------
NET INVESTMENT LOSS ........................ (4)
---------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments ........... 23
Net change in unrealized depreciation
on investments ........................... (44)
---------------
NET REALIZED AND UNREALIZED LOSS ........... (21)
---------------
NET DECREASE IN NET ASSETS FROM OPERATIONS . $ (25)
===============
--------------------------------------------------------------------------------
* For the period beginning January 13, 2000 (commencement of operations).
See notes to the financial statements.
151
<PAGE>
JNL/S&P MODERATE GROWTH SERIES
Statement of Changes in Net Assets (Unaudited)
(in thousands)
PERIOD FROM
JANUARY 13,
2000* TO
JUNE 30,
2000
----------------
OPERATIONS
Net investment loss ................................... $ (4)
Net realized gain on investments ...................... 23
Net change in unrealized depreciation on investments .. (44)
----------------
NET DECREASE IN NET ASSETS FROM OPERATIONS .............. (25)
----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................ -
From net realized gains on investment transactions .... -
----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ..................... -
----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ...................... 11,803
Reinvestment of distributions ......................... -
Cost of shares redeemed ............................... (352)
----------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ...... 11,451
----------------
NET INCREASE IN NET ASSETS .............................. 11,426
NET ASSETS BEGINNING OF PERIOD .......................... -
----------------
NET ASSETS END OF PERIOD ................................ $ 11,426
================
ACCUMULATED NET INVESTMENT LOSS ......................... $ (4)
================
(1)SHARE TRANSACTIONS:
Shares sold ........................................... 1,153
Reinvestment of distributions ......................... -
Shares redeemed ....................................... (34)
----------------
Net increase .......................................... 1,119
================
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................... $ 11,602
Proceeds from sales of securities ..................... 492
--------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
152
<PAGE>
JNL/S&P MODERATE GROWTH SERIES
Financial Highlights (Unaudited)
PERIOD FROM
JANUARY 13,
2000* TO
JUNE 30,
2000
---------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ......................... $ 10.00
---------------
INCOME FROM OPERATIONS:
Net investment income ...................................... -
Net realized and unrealized gains on investments ........... 0.21
---------------
Total income from operations ............................... 0.21
---------------
LESS DISTRIBUTIONS:
From net investment income ................................. -
From net realized gains on investment transactions ......... -
---------------
Total distributions ........................................ -
---------------
Net increase ............................................... 0.21
---------------
NET ASSET VALUE, END OF PERIOD ............................... $ 10.21
===============
TOTAL RETURN (A) ............................................. 2.10%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................... $ 11,426
Ratio of expenses to average net assets (b) ................ 0.20%
Ratio of net investment income to average net assets (b) ... (0.20)%
Portfolio turnover ......................................... 10.60%
--------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statments.
153
<PAGE>
JNL/S&P MODERATE GROWTH SERIES
Schedule of Investments (Unaudited)
June 30, 2000
MARKET
VALUE
SHARES (000'S)
-------------------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100%
JNL/Alliance Growth Series ....................... 131,489 2,234
JNL/Janus Aggressive Growth Series ............... 54,595 2,124
JNL/Janus Global Equities Series ................. 30,672 1,106
JNL/Janus Growth & Income Series ................. 61,650 568
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series ................................... 160,719 1,668
JNL/PIMCO Total Return Bond Series ............... 113,548 1,137
JNL/Putnam Midcap Series ......................... 33,933 344
Lazard/JNL Mid Cap Value Series .................. 21,519 222
Salomon Brothers/JNL Balanced Series ............. 53,784 561
Salomon Brothers/JNL Global Bond Series .......... 54,042 566
Salomon Brothers/JNL High Yield Bond Series ...... 66,409 559
--------------
TOTAL INVESTMENTS - 100%
(cost $11,133) ................................... $ 11,089
==============
--------------------------------------------------------------------------------
Based on the cost of investments of $11,133 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $207, the gross unrealized
depreciation was $251 and the net unrealized depreciation on investments was
$44.
See notes to the financial statements.
154
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $9,520) .................. $ 9,606
Receivables:
Dividends and interest ................... 12
Foreign taxes recoverable ................ 1
Fund shares sold ......................... 30
--------------
TOTAL ASSETS ............................... 9,649
--------------
LIABILITIES
Payables:
Advisory fees ............................ 8
Administrative fees ...................... 1
Fund shares redeemed ..................... 2
Investment securities purchased .......... 172
--------------
TOTAL LIABILITIES .......................... 183
--------------
NET ASSETS ................................. $ 9,466
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 8,911
Undistributed net investment income ........ 13
Accumulated net realized gain on
investments .............................. 456
Net unrealized appreciation on investments . 86
==============
$ 9,466
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 919
==============
NET ASSET VALUE PER SHARE .................. $ 10.31
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................ $ 41
Interest ................................. 14
--------------
TOTAL INVESTMENT INCOME .................... 55
--------------
EXPENSES
Advisory fees ............................ 38
Administrative fees ...................... 4
--------------
TOTAL EXPENSES ............................. 42
--------------
NET INVESTMENT INCOME ...................... 13
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments ........... 421
Net change in unrealized appreciation
on investments ........................... 160
--------------
NET REALIZED AND UNREALIZED GAIN ........... 581
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 594
==============
See notes to the financial statements.
155
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income .............................................................. $ 13 $ 13
Net realized gain on investments ................................................... 421 341
Net change in unrealized appreciation (depreciation) on investments ................ 160 (24)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ........................................... 594 330
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ......................................................... - (13)
From net realized gains on investment transactions ................................. - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .................................................. - (13)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ................................................... 4,423 6,698
Reinvestment of distributions ...................................................... - 13
Cost of shares redeemed ............................................................ (1,945) (5,365)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ................................... 2,478 1,346
--------------- ---------------
NET INCREASE IN NET ASSETS ........................................................... 3,072 1,663
NET ASSETS BEGINNING OF PERIOD ....................................................... 6,394 4,731
--------------- ---------------
NET ASSETS END OF PERIOD ............................................................. $ 9,466 $ 6,394
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME .................................................. $ 13 $ -
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ..................................................................... 445 729
Reinvestment of distributions ................................................... - 1
Shares redeemed ................................................................. (190) (580)
--------------- ---------------
Net increase .................................................................... 255 150
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ......................................................... $ 7,860 $ 7,355
Proceeds from sales of securities ............................................... 5,266 6,170
</TABLE>
See notes to the financial statements.
156
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
--------------- --------------- ---------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ....................................... $ 9.63 $ 9.21 $ 10.00
--------------- --------------- ---------------
INCOME FROM OPERATIONS:
Net investment income .................................................... 0.01 0.02 0.03
Net realized and unrealized gains (losses) on investments ................ 0.67 0.42 (0.79)
--------------- --------------- ---------------
Total income (loss) from operations ...................................... 0.68 0.44 (0.76)
--------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ............................................... - (0.02) (0.03)
From net realized gains on investment transactions ....................... - - -
--------------- --------------- ---------------
Total distributions ...................................................... - (0.02) (0.03)
--------------- --------------- ---------------
Net increase (decrease) .................................................. 0.68 0.42 (0.79)
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD ............................................. $ 10.31 $ 9.63 $ 9.21
=============== =============== ===============
TOTAL RETURN (A) ........................................................... 7.06% 4.77% (7.64)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................. $ 9,466 $ 6,394 $ 4,731
Ratio of expenses to average net assets (b) .............................. 1.075% 1.075% 1.125%
Ratio of net investment income to average net assets (b) ................. 0.34% 0.25% 0.34%
Portfolio turnover ....................................................... 70.70% 118.56% 70.72%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .............................. n/a n/a 1.85%
Ratio of net investment loss to average net assets (b) ................... n/a n/a (0.38)%
</TABLE>
See notes to the financial statements.
157
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS -94.9%
AEROSPACE & DEFENSE - 0.3%
B.F. Goodrich Co. 900 $ 31
AUTO PARTS & EQUIPMENT - 3.7%
Borg-Warner Inc. 2,200 77
Delphi Automotive Systems Corp. 11,000 160
SPX Corp. (a) 1,000 121
-----------
358
BANKS - 5.6%
Comerica Inc. 2,900 130
North Fork Bancorporation Inc. 12,050 182
Paine Webber Group Inc. 1,800 82
SouthTrust Corp. 6,500 147
-----------
541
BEVERAGES - 2.3%
Whitman Corp. 17,800 220
BIOTECHNOLOGY - 1.8%
Biogen Inc. (a) 700 45
Genzyme Corp. General Division (a) 2,200 131
-----------
176
CHEMICALS - 1.2%
Eastman Chemical Co. 2,400 115
COMMERCIAL SERVICES -5.5%
Gartner Group Inc. 14,400 173
Sabre Holdings Corp. 6,500 185
Valassis Communications Inc. (a) 4,400 168
-----------
526
COMPUTERS - 5.8%
Ceridian Corp. (a) 8,600 207
Electronics for Imaging Inc. (a) 6,800 172
NCR Corp. (a) 4,200 164
StorageNetworks Inc. (a) 200 18
-----------
561
COSMETICS & PERSONAL CARE - 1.2%
Avon Products Inc. 2,600 116
DIVERSIFIED FINANCIAL SERVICES -
3.1%
Capital One Financial Corp. 2,900 129
Franklin Resources Inc. 5,600 170
-----------
299
ELECTRIC - 3.0%
Entergy Corp. 4,900 133
GPU Inc. 5,800 157
-----------
290
ELECTRICAL COMPONENTS AND EQUIPMENT - 3.5%
Amphenol Corp. (a) 2,600 172
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Diebold Inc. (a) 6,000 $ 167
-----------
339
ELECTRONICS - 0.6%
Kemet Corp. (a) 2,200 55
ENVIRONMENTAL CONTROL - 1.1%
Republic Services Inc. (a) 6,500 104
FOOD - 4.5%
Adolph Coors Co. - Class B 3,400 206
Keebler Foods Co. 3,600 134
Nabisco Group Holdings Corp. 3,600 93
-----------
433
FOREST PRODUCTS & PAPER - 3.0%
Bowater Inc. 2,300 101
Consolidated Papers Inc. (a) 5,000 183
-----------
284
HAND & MACHINE TOOLS - 1.3%
Black & Decker Corp. 3,200 126
INSURANCE - 5.3%
ACE Ltd. 7,200 202
AMBAC Financial Group Inc. 3,300 181
Everest Re Group Ltd. 3,800 125
-----------
508
MACHINERY - 2.0%
Cooper Cameron Corp. (a) 1,700 112
Ingersoll-Rand Co. 1,900 76
-----------
188
MANUFACTURING - 3.2%
PPG Industries Inc. 2,700 120
Textron Inc. 3,500 190
-----------
310
MEDIA - 2.3%
New York Times Co. 1,300 51
USA Networks Inc. (a) 7,900 171
-----------
222
OFFICE & BUSINESS EQUIPMENT - 1.8%
Harris Corp. 5,200 170
OIL & GAS PRODUCERS - 7.8%
Baker Hughes Inc. 1,800 58
Coastal Corp. (a) 3,200 195
Devon Energy Corp. 2,500 140
EOG Resources Inc. 4,800 161
Tidewater Inc. 1,600 58
USX-Marathon Group Inc. 5,600 140
-----------
752
See notes to the financial statements.
158
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
Schedule of Investments (Unaudited)(continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
PACKAGING AND CONTAINERS - 0.6%
Sealed Air Corp. (a) 1,100 $ 58
PHARMACEUTICALS - 1.3%
Watson Pharmaceuticals Inc. (a) 2,200 118
RETAIL - 7.1%
Borders Group Inc. (a) 12,600 196
Office Depot Inc. (a) 16,500 103
Saks Inc. (a) 4,100 43
Tricon Global Restaurants Inc. 6,600 186
(a)
Venator Group Inc. (a) 15,100 155
-----------
683
SOFTWARE - 11.2%
Acxiom Corp. (a) 4,000 112
At Home Corp. (a) 9,600 199
Autodesk Inc. 5,300 184
IMS Health Inc. 9,800 176
Intuit Inc. (a) 1,300 54
J.D. Edwards & Co. (a) 12,200 184
Seagate Technology Inc. (a) 3,000 165
-----------
1,074
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
TELECOMMUNICATIONS - 4.8%
Cablevision Systems Corp. (a) 2,600 $ 176
LSI Logic Corp. (a) 4,000 217
Western Wireless Corp. (a) 1,300 71
-----------
464
-----------
Total Common Stocks
(cost $9,035) 9,121
-----------
SHORT TERM INVESTMENTS - 5.1%
MONEY MARKET FUNDS - 5.1%
Dreyfus Cash Management
Plus, 6.51% (b) 470,841 471
Dreyfus Government Cash
Management, 6.25% (b) 14,375 14
-----------
Total Short Term Investments
(cost $485) 485
-----------
TOTAL INVESTMENTS - 100%
(cost $9,520) $ 9,606
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
quoted yield as of June 30, 2000.
Based on the cost of investments of $9,522 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,037, the gross
unrealized depreciation was $953 and the net unrealized appreciation on
investments was $84.
See notes to the financial statements.
159
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $10,100) .................. $ 10,170
Receivables:
Dividends and interest .................... 8
Fund shares sold .......................... 68
Investment securities sold ................ 103
--------------
TOTAL ASSETS 10,349
--------------
LIABILITIES
Payables:
Advisory fees ............................. 9
Administrative fees ....................... 1
Fund shares redeemed ...................... 2
Investment securities purchased ........... 125
--------------
TOTAL LIABILITIES ........................... 137
--------------
NET ASSETS .................................. $ 10,212
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 10,320
Undistributed net investment income ......... 23
Accumulated net realized loss on
investments ............................... (201)
Net unrealized appreciation on investments .. 70
==============
$ 10,212
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 1,098
==============
NET ASSET VALUE PER SHARE ................... $ 9.30
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ 50
Interest .................................. 15
--------------
TOTAL INVESTMENT INCOME ..................... 65
--------------
EXPENSES
Advisory fees ............................. 43
Administrative fees ....................... 4
--------------
TOTAL EXPENSES .............................. 47
--------------
NET INVESTMENT INCOME ....................... 18
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments ............ 22
Net change in unrealized appreciation
on investments ............................ 385
--------------
NET REALIZED AND UNREALIZED GAIN ............ 407
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS ........................... $ 425
==============
See notes to the financial statements.
160
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ................................................................. $ 18 $ 23
Net realized gain (loss) on investments ............................................... 22 (83)
Net change in unrealized appreciation on investments .................................. 385 181
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .............................................. 425 121
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................ - (20)
From net realized gains on investment transactions .................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ..................................................... - (20)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ...................................................... 4,335 2,516
Reinvestment of distributions ......................................................... - 20
Cost of shares redeemed ............................................................... (861) (1,128)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ...................................... 3,474 1,408
--------------- ---------------
NET INCREASE IN NET ASSETS .............................................................. 3,899 1,509
NET ASSETS BEGINNING OF PERIOD .......................................................... 6,313 4,804
--------------- ---------------
NET ASSETS END OF PERIOD ................................................................ $ 10,212 $ 6,313
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ..................................................... $ 23 $ 5
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ........................................................................ 477 286
Reinvestment of distributions ...................................................... - 2
Shares redeemed .................................................................... (93) (126)
--------------- --------------
Net increase ....................................................................... 384 162
=============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................ $ 5,397 $ 4,000
Proceeds from sales of securities .................................................. 1,892 2,808
</TABLE>
See notes to the financial statements.
161
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
--------------- --------------- --------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................................ $ 8.84 $ 8.70 $ 10.00
--------------- --------------- --------------
INCOME FROM OPERATIONS:
Net investment income (loss) ...................................... (0.01) 0.03 (0.01)
Net realized and unrealized gains (losses) on investments ......... 0.45 0.14 (1.28)
--------------- --------------- --------------
Total income (loss) from operations ............................... 0.46 0.17 (1.29)
--------------- --------------- --------------
LESS DISTRIBUTIONS:
From net investment income ........................................ - (0.03) -
From net realized gains on investment transactions ................ - - -
Return of capital ................................................. - - (0.01)
--------------- --------------- --------------
Total distributions ............................................... - (0.03) (0.01)
--------------- --------------- --------------
Net increase (decrease) ........................................... 0.46 0.14 (1.30)
--------------- --------------- --------------
NET ASSET VALUE, END OF PERIOD ...................................... $ 9.30 $ 8.84 $ 8.70
=============== =============== ==============
TOTAL RETURN (A) .................................................... 5.20% 1.96% (12.92)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......................... $ 10,212 $ 6,313 $ 4,804
Ratio of expenses to average net assets (b) ....................... 1.15% 1.15% 1.20%
Ratio of net investment income (loss) to average net assets (b) ... 0.47% 0.43% (0.04)%
Portfolio turnover ................................................ 24.60% 53.35% 40.15%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ....................... n/a n/a 1.89%
Ratio of net investment loss to average net assets (b) ............ n/a n/a (0.73)%
</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 periods less than one year.
(b) Annualized for periods less than one year. See notes to the financial
statements.
162
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
----------------------------------------------------------------
COMMON STOCKS - 94.8%
ADVERTISING - 0.9%
R.H. Donnelley Corp. (a) 4,800 $ 93
AEROSPACE & DEFENSE - 0.2%
AAR Corp. 1,300 15
AIRLINES - 0.8%
Alaska Air Group Inc. (a) 3,200 87
APPAREL - 0.7%
Men's Wearhouse Inc. (a) 3,400 76
AUTO PARTS & EQUIPMENT - 2.7%
Borg Warner Inc. 2,500 88
Pennzoil-Quaker State Co. 11,000 133
Tower Automotive Inc. (a) 4,600 57
-----------
278
BANKS - 3.1%
Banta Corp. 5,700 108
Chittenden Corp. 2,500 61
Southwest Bancorp of Texas Inc. (a) 4,100 85
Wilmington Trust Corp. 1,400 60
-----------
314
BEVERAGES - 1.0%
Whitman Corp. 8,400 104
BIOTECHNOLOGY - 0.7%
Enzon Inc. (a) 1,600 68
BUILDING MATERIALS - 1.0%
Martin Marietta Materials Inc. 2,500 101
CHEMICALS - 2.1%
Ferro Corp. 3,900 82
H.B. Fuller Co. 1,700 77
Minerals Technologies Inc. 1,300 60
-----------
219
COMMERCIAL SERVICES - 10.8%
ACNielsen Corp. (a) 4,700 103
American Management Systems Inc. (a) 4,000 131
CDI Corp. (a) 3,000 61
DeVry Inc. (a) 1200 32
Gartner Group Inc. 8,000 96
Houghton Mifflin Co. 2,700 126
ITT Educational Services Inc. (a) 2,400 42
MAXIMUS Inc. (a) 3,300 73
Pittston Brink's Group 3,063 42
Polaroid Corp. 4,500 81
Spherion Corp. (a) 3,600 64
Standard Register Co. 1,300 18
United Stationers Inc. (a) 3,000 97
Valassis Communications Inc. (a) 3,700 141
-----------
1,107
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
----------------------------------------------------------------
COMPUTERS - 5.9%
Affiliates Computer Services Inc. -
Class A (a) 1,000 $ 33
Anixter International Inc. (a) 2,500 66
answerthink inc. (a) 1,100 18
Bell & Howell Co. (a) 5,200 126
Electronics for Imaging Inc. (a) 2,400 61
Micron Electronics Inc. (a) 6,600 83
Quantum Corp.-Hard Disk Drive Group (a) 10,400 115
RadiSys Corp. (a) 1,800 102
-----------
604
DIVERSIFIED FINANCIAL SERVICES - 2.5%
BISYS Group Inc. (a) 1,000 62
Heller Financial Inc. 4,200 86
Profit Recovery Group 6,500 108
International Inc. (a)
-----------
256
ELECTRIC - 0.6 %
Sierra Pacific Resources 4,704 60
ELECTRICAL COMPONENTS & EQUIPMENT -
3.2%
Belden Inc. 1,600 41
Diebold Inc. 2,400 67
General Semiconductor Inc. (a) 4,600 68
Mentor Graphics Corp. (a) 7,400 147
-----------
323
ELECTRONICS - 2.5%
Credence Systems Corp. (a) 600 33
Kemet Corp. (a) 2,400 60
Sensormatic Electronics Corp. (a) 6,500 103
Tectronix Inc. 600 44
-----------
240
ENGINEERING & CONSTRUCTION - 2.8%
Coflexip SA - ADR 2,000 121
Dycom Industries Inc. (a) 1,700 78
Granite Construction Inc. 1,900 47
Insituform Technologies Inc. (a) 1,400 38
-----------
284
ENTERTAINMENT - 0.6%
Imax Corp. (a) 2,900 66
FOOD - 4.0%
Adolph Coors Co. - Class B 1,100 67
American Italian Pasta Co. (a) 1,800 37
Flowers Industries Inc. 5,700 114
Ralcorp Holdings Inc. (a) 4,100 50
Whole Foods Market Inc. (a) 3,300 136
-----------
404
FOREST PRODUCTS & PAPER - 0.6%
Wausau-Mosinee Paper Corp. 7,000 60
See notes to the financial statements.
163
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
----------------------------------------------------------------
HAND & MACHINE TOOLS - 1.4%
Regal-Beloit Corp. 4,000 $ 64
Snap-On Inc. 3,100 82
-----------
146
HEALTHCARE - 5.7%
Apria Healthcare Group Inc. (a) 8,400 103
Hooper Holms Inc. (a) 2,600 21
Inamed Group. (a) 2,500 92
Invacare Corp. 6,300 165
MedQuist Inc. (a) 1,420 48
STERIS Corp. (a) 9,100 81
Varian Medical Systems Inc. (a) 1,900 74
-----------
584
HOME BUILDERS - 1.1%
Kaufman & Broad Home Corp. 2,000 40
Toll Brothers Inc. (a) 3,700 76
-----------
116
HOME FURNISHINGS - 3.3%
Bassett Furniture Industries Inc. 2,100 26
Ethan Allen Interiors Inc. 2,700 65
Furniture Brands International Inc. 5,800 88
(a)
Harman International Industries Inc. 2,600 159
-----------
338
INSURANCE - 4.4%
Arthur J. Gallagher & Co. 2,300 96
Everest Re Group Ltd. (a) 3,800 125
HCC Insurance Holdings Inc. 2,700 51
Radian Group Inc. 2,026 105
RenaissanceRE Holdings Ltd. 1,600 70
-----------
447
LEISURE TIME - 0.4%
Polaris Industries Inc. 1,200 38
LODGING - 0.5%
Prime Hospitality Corp. (a) 5,100 47
MACHINERY - 0.5%
JLG Industries Inc. 4,000 48
MANUFACTURING - 2.7%
Circor International Inc. 50 1
Crane Co. 3,450 83
Federal Signal Corp. 5,100 84
Mark IV Industries Inc. 2,000 42
Roper Industries Inc. 2,600 67
-----------
277
MEDIA - 2.0%
Bowne & Co. Inc. 6,700 67
Mail-Well Inc. (a) 6,200 54
Pulitzer Inc. 2,000 84
-----------
205
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
----------------------------------------------------------------
OFFICE & BUSINESS EQUIPMENT - 1.5%
Black Box Corp. 600 $ 47
Dentsply International Inc. 3,400 105
-----------
152
OIL & GAS PRODUCERS - 4.7%
Barrett Resources Corp. (a) 3,200 97
Core Laboratories N.V. (a) 3,300 96
Devon Energy Corp. 4,000 150
Helmerich & Payne Inc. 3,200 100
Louis Dreyfus Natural Gas Corp. (a) 1,500 34
-----------
477
PACKAGING & CONTAINERS - 1.1%
American National Can Group Inc. 2,000 34
Packaging Corp. of America (a) 7,500 76
-----------
110
PHARMACEUTICALS - 1.2%
AmeriSource Health Corp. (a) 3,800 118
REAL ESTATE - 3.5%
Catellus Development Corp. (a) 4,900 73
Chateau Communities Inc. 2,400 68
Chelsea GCA Realty Inc. 1,100 38
FelCor Lodging Trust Inc. 3,400 63
Kilroy Realty Corp. 2,100 54
Mack-Cali Realty Corp. 2,200 57
-----------
353
RETAIL - 5.5%
Ambercrombie & Fitch Co. - Class A (a) 500 6
Borders Group Inc. (a) 8,300 129
Brightpoint Inc. 9,900 86
Hughes Supply Inc. 3,200 63
Lone Star Steakhouse & Saloon Inc. 1,300 13
Pier 1 Imports Inc. 12,800 125
Venator Group Inc. (a) 13,600 140
-----------
562
SAVINGS & LOANS - 2.1%
Astoria Financial Corp. 2,135 55
Queens County Bancorp Inc. 4,200 77
Staten Island Bancorp Inc. 4,700 83
-----------
215
SEMICONDUCTORS - 0.1%
Lam Research Corp. (a) 300 11
SOFTWARE - 3.2%
Acxiom Corp. (a) 3,400 95
ChoicePoint Inc. (a) 900 37
Dendrite International Inc. (a) 1,400 46
National Data Corp. 2,900 68
Transactions Systems Architects
Inc. (a) 5,000 86
-----------
332
See notes to the financial statements.
164
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
----------------------------------------------------------------
STORAGE & WAREHOUSING - 0.5%
Storage Technology Corp. (a) 5,000 $ 55
TELECOMMUNICATIONS - 1.7%
Allen Telecom Inc. (a) 4,200 74
ANTEC Corp. (a) 1,400 58
Paradyne Networks Corp. (a) 1,300 42
-----------
174
TRANSPORTATION - 0.7%
CNF Transportation Inc. 3,300 76
-----------
Total Common Stocks
(cost $9,570) 9,640
-----------
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
----------------------------------------------------------------
SHORT TERM INVESTMENTS - 5.2%
MONEY MARKET FUNDS - 5.2%
Dreyfus Cash Management Plus, 6.51% (b) 513,582 $ 514
Dreyfus Government Cash
Management, 6.25% (b) 15,737 16
-----------
Total Short Term Investments
(cost $530) 530
-----------
TOTAL INVESTMENTS - 100%
(cost $10,100) $ 10,170
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000.
Based on the cost of investments of $10,114 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $1,192, the gross
unrealized depreciation was $1,136 and the net unrealized appreciation on
investments was $56.
See notes to the financial statements.
165
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $151,414) ................. $ 139,388
Receivables:
Dividends and interest .................... 1,061
Fund shares sold .......................... 37
Collateral for securities loaned ............ 23,024
--------------
TOTAL ASSETS 163,510
--------------
LIABILITIES
Payables:
Advisory fees ............................. 85
Administrative fees ....................... 12
Fund shares redeemed ...................... 166
Return of collateral for securities loaned .. 23,024
--------------
TOTAL LIABILITIES ........................... 23,287
--------------
NET ASSETS .................................. $ 140,223
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 150,258
Undistributed net investment income ......... 2,921
Accumulated net loss realized on
investments ............................... (930)
Net unrealized depreciation on investments .. (12,026)
--------------
$ 140,223
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 11,502
==============
NET ASSET VALUE PER SHARE ................... $ 12.19
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ 990
Interest .................................. 2,476
Securities lending ........................ 26
--------------
TOTAL INVESTMENT INCOME ..................... 3,492
--------------
EXPENSES
Advisory fees ............................. 502
Administrative fees ....................... 70
--------------
TOTAL EXPENSES .............................. 572
--------------
NET INVESTMENT INCOME ....................... 2,920
--------------
REALIZED AND UNREALIZED LOSSES
Net realized loss on investments ............ (965)
Net change in unrealized depreciation
on investments ............................ (6,633)
--------------
NET REALIZED AND UNREALIZED LOSS ............ (7,598)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS ........................... $ (4,678)
==============
See notes to the financial statements.
166
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 2,920 $ 4,615
Net realized gain (loss) on investments ...................................... (965) 4,135
Net change in unrealized depreciation on investments ......................... (6,633) (9,915)
-------------- --------------
NET DECREASE IN NET ASSETS FROM OPERATIONS ..................................... (4,678) (1,165)
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - (4,660)
From net realized gains on investment transactions ........................... - (4,522)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ - (9,182)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 29,781 77,818
Reinvestment of distributions ................................................ - 9,182
Cost of shares redeemed ...................................................... (27,892) (29,615)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 1,889 57,385
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS .......................................... (2,789) 47,038
NET ASSETS BEGINNING OF PERIOD ................................................. 143,012 95,974
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 140,223 $ 143,012
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 2,921 $ 1
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 2,427 5,662
Reinvestment of distributions ............................................. - 730
Shares redeemed ........................................................... (2,273) (2,162)
-------------- --------------
Net increase .............................................................. 154 4,230
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................... $ 21,631 $ 99,324
Proceeds from sales of securities ......................................... 15,084 42,607
Purchases of U.S. Government obligations .................................. $ - $ 18,615
Proceeds from sales of U.S. Government obligations ........................ 1,573 3,419
</TABLE>
See notes to the financial statements.
167
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* TO
JUNE 30, YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
2000 1999 1998 1997 1996 1996
------------- ------------- ----------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 12.60 $ 13.48 13.06 11.92 $ 11.17 $ 10.00
------------- ------------- ----------- ------------ ------------- -----------
INCOME FROM OPERATIONS:
Net investment income ............................ 0.25 0.44 0.47 0.36 0.10 0.25
Net realized and unrealized gains (losses) on
investments .................................... (0.66) (0.45) 0.84 1.83 0.98 1.40
------------- ------------- ----------- ------------ ------------- -----------
Total income (loss) from operations .............. (0.41) (0.01) 1.31 2.19 1.08 1.65
------------- ------------- ----------- ------------ ------------- -----------
LESS DISTRIBUTIONS:
From net investment income ....................... - (0.44) (0.47) (0.36) (0.15) (0.19)
From net realized gains on investment transactions - (0.43) (0.42) (0.69) (0.18) (0.29)
------------- ------------- ----------- ------------ ------------- -----------
Total distributions .............................. - (0.87) (0.89) (1.05) (0.33) (0.48)
------------- ------------- ----------- ------------ ------------- -----------
Net increase (decrease) .......................... (0.41) (0.88) 0.42 1.14 0.75 1.17
------------- ------------- ----------- ------------ ------------- -----------
NET ASSET VALUE, END OF PERIOD ..................... $ 12.19 $ 12.60 $ 13.48 $ 13.06 $ 11.92 $ 11.17
============= ============= =========== ============ ============= ===========
TOTAL RETURN (A) ................................... (3.25)% (0.11)% 10.06% 18.43% 9.72% 16.60%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ......... $ 140,223 $ 143,012 $ 95,974 $ 59,694 $ 24,419 $ 4,761
Ratio of expenses to average net assets (b) ...... 0.82% 0.82% 0.85% 0.93% 1.04% 1.01%
Ratio of net investment income to average net
assets (b) ..................................... 4.18% 3.71% 3.87% 3.72% 2.39% 2.99%
Portfolio turnover ............................... 12.12% 35.02% 33.74% 160.88% 158.15% 115.84%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ...... n/a n/a 0.85% 0.94% 1.22% 3.71%
Ratio of net investment income to average net
assets (b) ..................................... n/a n/a 3.87% 3.71% 2.21% 0.29%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
168
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
COMMON STOCKS - 50.9%
AEROSPACE & DEFENSE - 1.8%
Lockheed Martin Corp. 55,900 $ 1,387
United Technologies Corp. 18,600 1,095
-------------
2,482
APPAREL - 1.7%
Liz Claiborne Inc. 28,100 990
V.F. Corp. 58,400 1,398
-------------
2,388
AUTO MANUFACTURERS - 1.7%
Ford Motor Co. 31,500 1,354
General Motors Corp. 16,700 970
-------------
2,324
AUTO PARTS & EQUIPMENT - 1.9%
Delphi Automotive Systems Corp. 85,400 1,243
TRW Inc. 31,300 1,358
Visteon Corp. 4,124 50
-------------
2,651
BANKS - 3.4%
Bank of America Corp. 30,200 1,299
Chase Manhattan Corp. 28,950 1,333
KeyCorp 83,800 1,477
SouthTrust Corp. 27,100 613
-------------
4,722
CHEMICALS - 1.1%
Rohm & Haas Co. 46,400 1,601
DIVERSIFIED FINANCIAL SERVICES - 0.7%
Franklin Resources Inc. 32,500 987
ELECTRIC - 2.1%
FirstEnergy Corp. 61,900 1,447
GPU Inc. (e) 52,700 1,426
-------------
2,873
ELECTRONICS - 0.8%
Parker Hannifin Corp. 32,600 1,117
FOREST PRODUCTS & PAPER - 1.5%
Fort James Corp. 46,100 1,066
Mead Corp. 38,400 970
-------------
2,036
HEALTHCARE - 1.2%
HCA - The Healthcare Co. 56,300 1,710
HOME FURNISHINGS - 1.1%
Maytag Corp. 42,400 1,564
HOUSEHOLD PRODUCTS - 0.8%
Fortune Brands Inc. 48,400 1,116
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
INSURANCE - 5.0%
Aetna Inc. 26,100 $ 1,675
American Financial Group Inc. 28,400 705
American General Corp. 23,900 1,458
Cigna Corp. 18,100 1,692
Hartford Financial Services Group 26,800 1,499
Inc.
-------------
7,029
IRON & STEEL - 1.0%
Nucor Corp. 40,300 1,337
LEISURE TIME - 0.6%
Brunswick Corp. 52,100 863
MANUFACTURING - 2.5%
Cooper Industries Inc. 31,100 1,013
ITT Industries Inc. 35,900 1,090
PPG Industries Inc. 31,200 1,383
-------------
3,486
METALS & MINING - 0.9%
Phelps Dodge Corp. 34,600 1,287
OFFICE & BUSINESS EQUIPMENT - 0.9%
Xerox Corp. 58,300 1,210
OIL & GAS PRODUCERS - 3.4%
Ashland Inc. 40,000 1,403
Chevron Corp. 7,700 653
Occidental Petroleum Corp. 62,200 1,310
Phillips Petroleum Co. 26,800 1,358
-------------
4,724
PACKAGING & CONTAINERS - 0.5%
Pactiv Corp. (a) 81,800 644
RETAIL - 2.9%
Federated Department Stores Inc. (a) 44,900 1,516
K Mart Corp. (a) 210,400 1,433
Sears, Roebuck & Co. 33,200 1,083
-------------
4,032
SAVINGS & LOANS - 3.2%
Charter One Financial Inc. 78,900 1,814
Sovereign Bancorp Inc. 144,200 1,014
Washington Mutual Inc. 56,200 1,623
-------------
4,451
SOFTWARE - 2.4%
Computer Associates International
Inc. 33,800 1,730
Compuware Corp. (a) 152,600 1,583
-------------
3,313
TELECOMMUNICATIONS - 4.7%
BellSouth Corp. 23,400 997
CenturyTel Inc. 45,200 1,300
GTE Corp. 24,200 1,506
See notes to the financial statements.
169
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
SBC Communications Inc. 40,000 $ 1,730
Verizon Communications (a) 20,600 1,047
-------------
6,580
TOBACCO - 1.2%
Philip Morris Cos. Inc. 66,200 1,759
TRANSPORTATION - 1.9%
Burlington Northern Santa Fe Corp. 56,400 1,294
CSX Corp. 66,600 1,411
-------------
2,705
-------------
Total Common Stocks
(cost $80,992) 70,991
-------------
CORPORATE BONDS - 12.1%
AEROSPACE & DEFENSE - 0.9%
K & F Industries Inc., 9.25%,
10/15/2007 $ 300,000 283
Lockheed Martin Corp., 8.50%,
12/01/2029 1,000,000 1,019
-------------
1,302
AIRLINES - 0.7%
Atlas Air Inc., 8.77%, 01/02/2011 956,990 945
COMMERCIAL SERVICES - 0.7%
Aramark Services Inc., 7.00%,
07/15/2006 1,000,000 933
DIVERSIFIED FINANCIAL SERVICES - 1.3%
Erac USA Finance Co., 6.75%,
05/15/2009 (d) 1,000,000 899
Heller Financial Inc., 7.375%,
11/01/2009 1,000,000 941
-------------
1,840
ELECTRIC - 0.7%
Southern Energy Inc., 7.90%,
07/15/2009 (d) 1,000,000 914
ENTERTAINMENT - 0.7%
International Speedway Corp.,
7.875%,
10/15/2004 1,000,000 995
FOOD - 1.4%
Canandaigua Brands, 8.625%,
08/01/2006 (e) 1,000,000 988
Nabisco Inc., 7.05%, 07/15/2007 1,000,000 905
-------------
1,893
FOREST PRODUCTS & PAPER - 0.0%
Buckeye Cellulose Corp., 9.25%,
09/15/2008 15,000 15
HEALTHCARE - 0.7%
Tenet Healthcare Corp., 8.625%,
01/15/2007 1,000,000 955
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
HOLDING COMPANIES - DIVERSIFIED - 0.3%
Capstar Broadcasting Partners Inc.,
(Step-Up Bond), 12.75%, $ 500,000 $ 460
HOME FURNISHINGS - 0.2%
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008
300,000 294
LEISURE TIME - 0.9%
Harrah's Operating Co. Inc., 7.50%,
01/15/2009 1,000,000 928
MGM Grand Inc., 6.875%, 02/06/2008 300,000 269
-------------
1,197
MEDIA - 1.2%
British Sky Broadcasting Group Plc,
8.20%, 07/15/2009 1,000,000 938
Century Communications Corp.,
9.50%, 08/15/2000 250,000 250
FrontierVision Holdings LP,
(Step-Up Bond), 11.875%,
09/15/2007 (c) 500,000 430
-------------
1,618
PACKAGING & CONTAINERS - 0.4%
Stone Container Corp., 12.25%,
04/01/2002 300,000 300
U.S. Can Corp., 10.125%, 10/15/2006 300,000 307
-------------
607
RETAIL - 0.2%
United Stationers Supply Co.,
8.375%, 04/15/2008 300,000 274
SEMICONDUCTORS - 0.2%
Hadco Corp., 9.50%, 06/15/2008 300,000 302
TELECOMMUNICATIONS - 1.0%
AT&T Canada Inc., 12.00%, 300,000 337
08/15/2007
Rogers Cantel Inc., 9.375%, 1,000,000 1,030
06/01/2008
-------------
1,367
TOBACCO - 0.6%
Imperial Tobacco Overseas BV,
7.125%,
04/01/2009 1,000,000 890
-------------
Total Corporate Bonds
(cost $17,530) 16,801
-------------
U.S. GOVERNMENT SECURITIES - 34.7%
U.S. GOVERNMENT AGENCIES - 21.0%
Federal Home Loan Mortgage Corp.
6.50%, 05/01/2001 270,605 267
6.00%, 07/01/2001 225,035 220
6.45%, 04/29/2009 3,400,000 3,166
7.50%, 11/01/2011 450,626 450
6.50%, 04/01/2012 506,577 493
See notes to the financial statements.
170
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
7.00%, 01/01/2013 $ 632,689 $ 625
8.00%, 10/01/2024 331,413 333
7.50%, 11/01/2024 354,040 351
6.50%, 02/01/2027 304,274 292
7.50%, 03/01/2027 365,607 362
6.50%, 12/01/2027 397,414 378
7.00%, 09/01/2028 420,972 410
7.00%, 11/01/2028 484,335 469
7.50%, 02/01/2029 449,310 446
6.50%, 05/01/2029 498,716 471
Federal National Mortgage
Association
7.10%, 10/18/2004 (e) 3,400,000 3,355
7.50%, 04/01/2012 258,005 257
5.50%, 01/01/2014 707,380 659
6.50%, 05/01/2014 927,957 895
7.50%, 10/01/2025 1,227,457 1,214
7.00%, 09/01/2027 589,167 574
6.50%, 08/01/2028 653,108 619
7.00%, 08/01/2028 603,641 585
7.00%, 08/01/2028 365,674 355
7.00%, 09/01/2028 652,225 632
6.50%, 10/01/2028 490,294 462
6.50%, 11/01/2028 880,233 833
6.50%, 12/01/2028 569,335 537
6.00%, 03/01/2029 954,407 878
7.50%, 05/01/2029 716,901 708
7.50%, 09/01/2029 2,042,483 2,014
Government National Mortgage
Association
7.00%, 09/15/2013 423,302 419
6.00%, 04/15/2014 1,153,550 1,099
6.50%, 04/15/2026 828,440 794
7.50%, 07/15/2027 289,673 288
8.00%, 02/15/2028 350,302 354
7.00%, 05/15/2028 347,720 340
7.00%, 06/15/2028 676,912 660
7.50%, 04/15/2029 821,962 816
7.00%, 07/15/2029 1,187,573 1,155
-------------
29,235
U.S. TREASURY SECURITIES - 13.7%
U.S. Treasury Bonds
6.25%, 08/15/2023 (e) 3,000,000 3,019
U.S. Treasury Notes
6.125%, 07/31/2000 (e) 1,000,000 1,000
6.25%, 08/31/2000 (e) 2,200,000 2,201
6.25%, 10/31/2001 (e) 3,500,000 3,488
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
----------------------------------------------------------------
6.25%, 02/15/2003 (e) $ 1,300,000 $ 1,296
5.50%, 02/28/2003 (e) 2,100,000
2,055
7.875%, 11/15/2004 (e) 550,000 582
5.875%, 11/15/2005 (e) 3,145,000 3,091
U.S. Treasury Strips
Interest Strip, 5.97%, 05/15/2007 1,745,000 1,147
Interest Strip, 6.03%, 08/15/2003 1,530,000 1,266
(e)
-------------
19,145
-------------
Total U.S. Government Securities
(cost $49,712) 48,380
-------------
WARRANTS - 0.0%
AT&T Canada Inc. (d) 300 34
Knology Holdings Inc. 600 2
-------------
Total Warrants
(cost $0) 36
-------------
SHORT TERM INVESTMENTS - 2.3%
COMMERCIAL PAPER - 2.3%
Household Finance Corp., 6.88%, 3,163,790 3,164
07/03/2000
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
6.51% (b) 16,254 16
-------------
Total Short Term Investments
(cost $3,180) 3,180
-------------
TOTAL INVESTMENTS - 100%
(cost $151,414) $ 139,388
=============
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 2000.
(c) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(d) 144a security. Certain conditions for public sale may exist. (e) All or a
portion of this security has been loaned.
Based on the cost of investments of $151,720 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $4,367, the gross
unrealized depreciation was $16,699 and the net unrealized depreciation on
investments was $12,332.
See notes to the financial statements.
171
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $159,937) ............... $ 144,407
Receivables:
Interest ................................ 3,430
Fund shares sold ........................ 101
Investment securities sold .............. 3,759
Collateral for securities loaned .......... 26,079
--------------
TOTAL ASSETS .............................. 177,776
--------------
LIABILITIES
Payables:
Advisory fees ........................... 86
Administrative fees ..................... 12
Fund shares redeemed .................... 128
Investment securities purchased ......... 3,213
Return of collateral for securities loaned 26,079
--------------
TOTAL LIABILITIES ......................... 29,518
--------------
NET ASSETS ................................ $ 148,258
==============
NET ASSETS CONSIST OF:
Paid-in capital ........................... $ 165,050
Undistributed net investment income ....... 7,376
Accumulated net realized loss on
investments ............................. (8,638)
Net unrealized depreciation on investments (15,530)
--------------
$ 148,258
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 14,849
==============
NET ASSET VALUE PER SHARE ................. $ 9.98
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest ................................ $ 7,957
Securities lending ...................... 13
--------------
TOTAL INVESTMENT INCOME ................... 7,970
--------------
EXPENSES
Advisory fees ........................... 521
Administrative fees ..................... 73
--------------
TOTAL EXPENSES ............................ 594
--------------
NET INVESTMENT INCOME ..................... 7,376
--------------
REALIZED AND UNREALIZED LOSSES
Net realized loss on investments .......... (3,433)
Net change in unrealized depreciation
on investments .......................... (6,106)
--------------
NET REALIZED AND UNREALIZED LOSS .......... (9,539)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS ......................... $ (2,163)
==============
See notes to the financial statements.
172
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income .................................................................. $ 7,376 $ 11,710
Net realized loss on investments ....................................................... (3,433) (4,904)
Net change in unrealized depreciation on investments ................................... (6,106) (5,574)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................................... (2,163) 1,232
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ............................................................. - (11,745)
From net realized gains on investment transactions ..................................... - -
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ...................................................... - (11,745)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ....................................................... 36,630 81,314
Reinvestment of distributions .......................................................... - 11,745
Cost of shares redeemed ................................................................ (33,232) (37,008)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ....................................... 3,398 56,051
-------------- --------------
NET INCREASE IN NET ASSETS ............................................................... 1,235 45,538
NET ASSETS BEGINNING OF PERIOD ........................................................... 147,023 101,485
-------------- --------------
NET ASSETS END OF PERIOD ................................................................. $ 148,258 $ 147,023
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ...................................................... $ 7,376 $ -
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ......................................................................... 3,657 7,408
Reinvestment of distributions ....................................................... - 1,159
Shares redeemed ..................................................................... (3,317) (3,375)
-------------- --------------
Net increase ........................................................................ 340 5,192
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ............................................................. $ 50,910 $ 121,389
Proceeds from sales of securities ................................................... 41,835 72,666
</TABLE>
See notes to the financial statements.
173
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* TO
JUNE 30, YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
2000 1999 1998 1997 1996 1996
------------- ----------- ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 10.13 $ 10.89 $ 11.48 $ 10.67 $ 10.23 $ 10.00
------------- ----------- ----------- ------------ ------------- ------------
INCOME FROM OPERATIONS:
Net investment income ............................ 0.50 0.88 0.91 0.59 0.51 0.73
Net realized and unrealized gains (losses)
on investments ................................. (0.65) (0.76) (0.47) 1.02 0.64 0.04
------------- ----------- ----------- ------------ ------------- ------------
Total income (loss) from operations .............. (0.15) 0.12 0.44 1.61 1.15 0.77
------------- ----------- ----------- ------------ ------------- ------------
LESS DISTRIBUTIONS:
From net investment income ....................... - (0.88) (0.91) (0.59) (0.69) (0.54)
From net realized gains on investment transactions - - (0.12) (0.21) (0.02) -
------------- ----------- ----------- ------------ ------------- ------------
Total distributions .............................. - (0.88) (1.03) (0.80) (0.71) (0.54)
------------- ----------- ----------- ------------ ------------- ------------
Net increase (decrease) .......................... (0.15) (0.76) (0.59) 0.81 0.44 0.23
------------- ----------- ----------- ------------ ------------- ------------
NET ASSET VALUE, END OF PERIOD ..................... $ 9.98 $ 10.13 $ 10.89 $ 11.48 $ 10.67 $ 10.23
============= =========== =========== ============ ============= ============
TOTAL RETURN (A) ................................... (1.48)% 1.09% 3.84% 15.05% 11.24% 7.82%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ......... $ 148,258 $ 147,023 $ 101,485 $ 62,712 $ 13,396 $ 6,156
Ratio of expenses to average net assets (b) ...... 0.82% 0.82% 0.83% 0.90% 0.88% 0.88%
Ratio of net investment income to average net
assets (b) ....................................... 10.14% 9.22% 8.62% 8.15% 8.64% 8.34%
Portfolio turnover ............................... 31.49% 61.03% 129.85% 189.25% 113.08% 186.21%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ...... n/a n/a 0.83% 0.90% 1.21% 1.50%
Ratio of net investment income to average net
assets (b) ..................................... n/a n/a 8.62% 8.15% 8.31% 7.72%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
174
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
--------------------------------------------------------------
CORPORATE BONDS - 90.3%
AEROSPACE & DEFENSE - 0.7%
K&F Industries Inc., 9.25%,
10/15/2007 $ 1,100,000 $ 1,039
BEVERAGES - 1.3%
National Wine & Spirits Inc.,
10.125%,
01/15/2009 2,000,000 1,940
BUILDING MATERIALS - 6.0%
Brand Scaffold Services Inc.,
10.25%,
02/15/2008 2,000,000 1,755
Juno Lighting Inc.,
11.875%
07/01/2009 (e) 2,100,000 1,743
NCI Building Systems Inc., 9.25%,
05/01/2009 (e) 2,000,000 1,880
Nortek Inc., 9.25%, 03/15/2007 2,000,000 1,870
Schuff Steel Co., 10.50%,
06/01/2008 (e) 2,000,000 1,380
------------
8,628
CHEMICALS - 2.4%
Georgia Gulf Corp., 10.375%, 1,200,000 1,248
11/01/2007
Lyondell Chemical Co.,
10.875%, 05/01/2009 (e) 1,000,000 988
PCI Chemicals Canada Inc.,
9.25%, 10/15/2007 (e) 1,965,000 1,218
------------
3,454
COMMERCIAL SERVICES - 1.9%
Iron Mountain Inc., 8.125%,
05/15/2008 1,000,000 880
Marsulex Inc., 9.625%, 07/01/2008(e) 2,000,000 1,860
------------
2,740
COMPUTERS - 0.5%
Globix Corp., 12.50%, 02/01/2010 800,000 656
DIVERSIFIED FINANCIAL SERVICES - 2.5%
DVI Inc., 9.875%, 02/01/2004 2,000,000 1,820
Knology Holdings Inc., (Step-Up
Bond),
11.875%, 10/15/2007 (a) 3,200,000 1,728
------------
3,548
ENTERTAINMENT - 5.7%
Alliance Atlantis Communications
Corp.,
13.00%, 12/15/2009 2,065,000 2,117
Hollywood Casino Shreveport,
13.00%, 08/01/2006 1,600,000 1,700
Horseshoe Gaming Holdings Corp.,
8.625%,
05/15/2009,
(Step-Up Bond) (a) (e) 1,800,000 1,696
Imax Corp., 7.875%, 12/01/2005 2,500,000 2,262
Station Casinos Inc., 9.875%,
07/01/2010 400,000 401
------------
8,176
FOOD - 2.5%
Agrilink Foods Inc.,
11.875%, 11/01/2008 (e) 2,000,000 1,560
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
--------------------------------------------------------------
Canandaigua Brands Inc.,
8.625%, 08/01/2006 (e) $ 2,000,000 $ 1,975
------------
3,535
FOREST PRODUCTS & PAPER - 0.6%
Kappa Beheer BV, 10.625%,
07/15/2009 800,000 816
HEALTHCARE - 3.9%
Eye Care Centers of America Inc.,
9.125%, 05/01/2008 (e)
2,000,000 1,140
LifePoint Hospitals Holdings Inc.,
10.75%, 05/15/2009 (e) 2,000,000 2,060
Tenet Healthcare Corp.
8.625%, 01/15/2007 2,000,000 1,910
8.125%, 12/01/2008 500,000 457
------------
5,567
HOLDING COMPANIES - DIVERSIFIED - 2.4%
Capstar Broadcasting Partners
Inc., (Step-Up Bond), 12.75%,
02/01/2009 (a) 2,350,000 2,162
Elgar Holdings Inc., 9.875%,
02/01/2008 2,400,000 1,320
------------
3,482
HOME BUILDERS - 1.5%
D.R. Horton Inc., 10.50%,
04/01/2005 (e) 2,200,000 2,214
HOME FUNISHINGS - 1.6%
Windmere - Durable Holdings
Inc.,
10.00%, 07/31/2008 2,400,000 2,352
LEISURE TIME - 1.3%
Jupiters Ltd., 8.50%, 03/01/2006 2,000,000 1,865
LODGING - 1.3%
HMH Properties, 7.875%, 08/01/2005 2,000,000 1,850
MACHINERY - 1.1%
National Equipment Services Inc.,
10.00%, 11/30/2004 2,000,000 1,660
MANUFACTURING - 1.2%
Prestolite Electric Inc., 9.625%,
02/01/2008 2,060,000 1,318
WR Carpenter North America,
10.625%, 06/15/2007 1,850,000 370
------------
1,688
MEDIA - 9.3%
Advanstar Communications Inc.,
9.25%, 05/01/2008 1,000,000 960
CBS Radio Inc., 11.375%,
01/15/2009 568,900 617
Charter Communications Holdings,
10.25%, 01/15/2010 (e) 1,000,000 967
11.75%, 01/15/2010 (Step-Up Bond)
(a) 2,725,000 1,550
Echostar DBS Corp., 9.375%,
02/01/2009 2,000,000 1,920
FrontierVision Holdings LP
11.00%, 10/15/2006 400,000 404
11.875%, 09/15/2007 (Step-Up
Bond) (a) 1,300,000 1,118
See notes to the financial statements.
175
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
--------------------------------------------------------------
Gray Communications System Inc.,
10.625%, 10/01/2006 $ 1,100,000 $ 1,095
Primedia Inc., 8.50%, 02/01/2006 2,000,000 1,890
Rogers Cablesystems Ltd.,
10.00%, 03/15/2005 1,100,000 1,125
United Pan-Europe Communications
NV,
11.25%, 02/01/2010 (e) 3,900,000 1,833
------------
13,479
OFFICE & BUSINESS EQUIPMENT - 0.9%
General Binding Corp.,
9.375%, 06/01/2008 2,000,000 1,300
PACKAGING & CONTAINERS - 7.1%
Four M Corp., 12.00%, 06/01/2006 2,000,000 1,840
Huntsman Packaging Corp.,
13.00%, 06/01/2010 1,000,000 1,030
Packaging Corp. of America,
9.625%, 04/01/2009 1,000,000 992
Riverwood International Corp.,
10.625%, 08/01/2007 2,000,000 1,940
Stone Container Corp.,
12.25%, 04/01/2002 2,400,000 2,400
U.S. Can Corp., 10.125%,
10/15/2006 2,000,000 2,045
------------
10,247
RETAIL - 4.5%
APCOA Inc., 9.25%, 03/15/2008 (c) 1,500,000 527
Buhrmann U.S. Inc.,
12.25%, 11/01/2009 1,850,000 1,942
Finlay Enterprises Inc.,
9.00%, 05/01/2008 2,075,000 1,826
Jo-Ann Stores Inc., 10.375%,
05/01/2007 (e) 2,500,000 2,238
------------
6,533
SEMICONDUCTORS - 1.4%
Hadco Corp., 9.50%, 06/15/2008 2,000,000 2,015
SOFTWARE - 2.3%
Covad Communications Group,
12.00%, 02/15/2010 1,950,000 1,521
PSINet Inc., 11.00%, 08/01/2009 2,000,000 1,860
------------
3,381
TELECOMMUNICATIONS - 24.1%
Adelphia Communications,
9.375%, 11/15/2009 1,000,000 925
AT&T Canada Inc. 9.95%,
06/15/2008,
(Step-Up Bond) (a) 1,000,000 812
12.00%, 08/15/2007 800,000 898
Crown Castle International Corp.,
10.75%, 08/01/2011 (e) 2,000,000 2,027
Focal Communications Corp.,
11.875%, 01/15/2010 (d) 1,525,000 1,533
Insight Midwest, 9.75%, 10/01/2009
(e) 2,000,000 1,960
Intermedia Communications Inc.,
(Step-
Up Bond), 12.25%, 03/01/2009 (a) 2,750,000 1,657
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
--------------------------------------------------------------
KMC Telecom Holdings Inc.,
13.50%, 05/15/2009 $ 1,000,000 $ 880
Level 3 Communications Inc.
9.125%, 05/01/2008 (e) 1,250,000 1,122
11.00%, 03/15/2008 (Step-Up Bond)
(a)(d) 1,000,000 990
McLeodUSA Inc., 9.25%, 07/15/2007 2,000,000 1,930
Metrocall Inc., 11.00%, 09/15/2008
(e) 2,000,000 1,400
Metromedia Fiber Network Inc.,
10.00%, 12/15/2009 (e) 2,000,000 1,970
Nextel Communications Inc.,
(Step-Up Bond), 9.95%,
02/15/2008 (a) (d) 2,550,000 1,868
NEXTLINK Communications Inc.,
10.75%, 06/01/2009 2,000,000 1,970
NorthEast Optic Network Inc.,
12.75%, 08/15/2008 2,000,000 1,910
Primus Telecommunications Group
Inc.,
11.25%, 01/15/2009 2,000,000 1,560
RCN Corp., 10.00%, 10/15/2007 (e) 2,000,000 1,695
Rogers Cablesystems Ltd., 10.00%,
12/01/2007 1,000,000 1,022
Rogers Cantel Inc.
8.80%, 10/01/2007 1,000,000 995
9.375%, 06/01/2008 1,000,000 1,030
9.75%, 06/01/2016 200,000 216
Williams Communications Group Inc.,
10.875%, 10/01/2009 (e) 2,500,000 2,444
Winstar Communicastions Inc.,
(Step-Up Bond), 14.75%,
04/15/2010 (a) (d) 4,300,000 2,000
------------
34,814
TEXTILES - 0.3%
Pillowtex Corp., 10.00%, 11/15/2006 1,330,000 466
TRANSPORTATION - 2.0%
GulfMark Offshore Inc.,
8.75%, 06/01/2008 1,000,000 928
Ultrapetrol (Bahamas) Ltd.,
10.50%, 04/01/2008 2,400,000 1,968
------------
2,896
------------
Total Corporate Bonds
(cost $145,894) 130,341
------------
GOVERNMENT SECURITY - 1.3%
SOVEREIGN - 1.3%
Republic of Argentina,
11.00%, 10/09/2006 2,000,000 1,880
------------
Total Government Security
(cost $2,026) 1,880
------------
See notes to the financial statements.
176
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Schedule of Investments (Unaudited) (continued)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
--------------------------------------------------------------
WARRANTS - 0.1%
@Track Communications Inc. 1,500 $ 15
AT&T Canada Inc. (d) 1,300 146
Knology Holdings Inc. 2,200 9
Terex Corp. 400 6
------------
Total Warrants
(cost $7) 176
------------
SHORT TERM INVESTMENTS - 8.3%
COMMERCIAL PAPER - 8.3%
American Express Credit Corp.
6.65%, 07/03/2000 $ 1,000,000 1,000
6.78%, 07/05/2000 1,850,000 1,804
6.75%, 07/06/2000 1,000,000 999
DaimlerChrysler NA Holdings Inc.,
6.81%, 07/05/2000
3,700,000 3,697
SHARES MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
--------------------------------------------------------------
Ford Motor Credit Co., 6.81%,
07/05/2000 $1,000,000 $ 999
Household Finance Corp., 6.88%,
07/03/2000 3,500,000 3,499
------------
11,998
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
6.51%, (b) 12,361 12
------------
Total Short Term Investments
(cost $12,010) 12,010
------------
TOTAL INVESTMENTS - 100%
(cost $159,937) $ 144,407
============
--------------------------------------------------------------------------------
(a) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000.
(c) Security pledged as collateral for investment purchased on a when-issued or
delayed settlement basis.
(d) 144a security. Certain conditions for public sale may exist.
(e) All or a portion of this security has been loaned.
Based on the cost of investments of $159,937 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $898, the gross unrealized
depreciation was $16,428 and the net unrealized depreciation on investments was
$15,530.
See notes to the financial statements.
177
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $167,643) ............... $ 167,643
Receivables:
Fund shares sold ........................ 876
--------------
TOTAL ASSETS .............................. 168,519
--------------
LIABILITIES
Payables:
Advisory fees ........................... 80
Administrative fees ..................... 14
Fund shares redeemed .................... 21,083
--------------
TOTAL LIABILITIES ......................... 21,177
--------------
NET ASSETS ................................ $ 147,342
==============
NET ASSETS CONSIST OF:
Paid-in capital ........................ $ 147,342
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............. 147,342
==============
NET ASSET VALUE PER SHARE ................. $ 1.00
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest ................................ $ 4,541
--------------
EXPENSES
Advisory fees ........................... 441
Administrative fees ..................... 74
--------------
TOTAL EXPENSES ............................ 515
--------------
NET INVESTMENT INCOME ................... 4,026
--------------
NET INCREASE IN NET ASSETS FROM ........... $ 4,026
==============
See notes to the financial statements.
178
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ................................................................... $ 4,026 $ 4,635
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .............................................................. (4,026) (4,635)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................................ 778,672 529,903
Reinvestment of distributions ........................................................... 4,026 4,635
Cost of shares redeemed ................................................................. (799,802) (426,441)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS ............................. (17,104) 108,097
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS ..................................................... (17,104) 108,097
NET ASSETS BEGINNING OF PERIOD ............................................................ 164,446 56,349
-------------- --------------
NET ASSETS END OF PERIOD .................................................................. $ 147,342 $ 164,446
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold .......................................................................... 778,672 529,903
Reinvestment of distributions ........................................................ 4,026 4,635
Shares redeemed ...................................................................... (799,802) (426,441)
-------------- --------------
Net increase (decrease) .............................................................. (17,104) 108,097
============== ==============
</TABLE>
See notes to the financial statements.
179
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
SIX MONTHS APRIL 1, MAY 15,
ENDED 1996 TO 1995* TO
JUNE 30, YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
2000 1999 1998 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 $ 1.00 $ 1.00 $ 1.00
--------------- ------------- --------------- ---------------- --------------- ------------
INCOME FROM OPERATIONS:
Net investment income ................ 0.03 0.05 0.05 0.05 0.04 0.04
--------------- ------------- --------------- ---------------- --------------- ------------
LESS DISTRIBUTIONS:
From net investment income ........... (0.03) (0.05) (0.05) (0.05) (0.04) (0.04)
--------------- ------------- --------------- ---------------- --------------- ------------
Net increase ......................... - - - - - -
--------------- ------------- --------------- ---------------- --------------- ------------
NET ASSET VALUE, END OF PERIOD ......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=============== ============= =============== ================ =============== ============
TOTAL RETURN (A) ....................... 2.74% 4.67% 4.99% 5.01% 3.61% 4.59%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands) ........................ $ 147,342 $ 164,446 $ 56,349 $ 41,808 $ 23,752 $ 6,816
Ratio of expenses to average net
assets (b) ........................ 0.70% 0.70% 0.74% 0.75% 0.75% 0.75%
Ratio of net investment income to
average net assets (b) ............ 5.46% 4.63% 4.87% 4.92% 4.75% 5.06%
RATIO INFORMATION ASSUMING NO EXPENSE:
Ratio of expenses to average net
assets (b) ........................ n/a n/a 0.75% 0.76% 0.85% 1.30%
Ratio of net investment income to
average net assets (b) ............ n/a n/a 4.86% 4.91% 4.65% 4.51%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
180
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
Schedule of Investments (Unaudited)
June 30, 2000
AMORTIZED
PRINCIPAL COST
AMOUNT (000'S)
----------------------------------------------------------------
COMMERCIAL PAPER - 100%
AUTO MANUFACTURERS - 3.6%
DaimlerChrysler NA Holdings Inc.,
6.54%, 07/05/2000 $6,000,000 $ 5,996
AUTO PARTS & EQUIPMENT - 0.5%
Goodyear Tire & Rubber, 6.80%, 950,000 944
08/01/2000
BEVERAGES - 3.6%
Coca-Cola Co.
6.53%, 07/21/2000 2,200,000 2,192
6.50%, 07/27/2000 3,800,000 3,782
------------
5,974
CHEMICALS - 3.2%
E.I. du Pont de Nemours & Co.
6.15%, 07/10/2000 2,500,000 2,496
6.10%, 07/17/2000 1,400,000 1,396
6.59%, 08/17/2000 1,475,000 1,462
------------
5,354
COMPUTERS - 2.1%
International Business Machines
Corp.,
6.46%, 07/14/2000 3,600,000 3,592
DIVERSIFIED FINANCIAL SERVICES - 37.9%
American Express Credit Corp.
6.50%, 07/07/2000 4,545,000 4,540
6.52%, 07/31/2000 1,500,000 1,492
American General Finance Corp.
6.00%, 07/28/2000 1,700,000 1,692
6.00%, 07/31/2000 4,000,000 3,980
CIT Group Holding Inc., 6.60%,
07/31/2000 6,000,000 5,967
Countywide Home Loans Inc.
6.75%, 07/20/2000 4,000,000 3,986
6.59%, 08/07/2000 2,020,000 2,006
Ford Motor Credit Co., 6.53%,
07/24/2000 5,500,000 5,477
General Electric Capital Corp.
6.66%, 07/13/2000 210,000 210
6.09%, 10/02/2000 1,200,000 1,181
General Motors Acceptance Corp.
5.98%, 07/10/2000 2,500,000 2,496
6.52%, 07/21/2000 3,000,000 2,989
GTE Corp., 6.60%, 07/21/2000 1,765,000 1,759
Heller Financial Inc., 6.87%,
07/05/2000 1,000,000 999
Honeywell International Inc.
6.48%, 07/05/2000 780,000 779
6.50%, 07/05/2000 4,000,000 3,997
Household Finance Corp., 6.88%,
07/03/2000 7,000,000 6,997
John Deere Capital, 6.39%, 07/10/2000 6,000,000 5,990
Merrill Lynch & Co. Inc.
6.52%, 07/12/2000 660,000 659
6.68%, 09/05/2000 390,000 385
USAA Capital Corp.
6.10%, 07/10/2000 1,400,000 1,398
6.55%, 09/08/2000 4,600,000 4,542
------------
63,521
AMORTIZED
PRINCIPAL COST
AMOUNT (000'S)
----------------------------------------------------------------
ELECTRIC - 3.6%
Florida Power & Light Co.
6.52%, 07/10/2000 $ 4,300,000 $ 4,293
6.53%, 07/25/2000 1,700,000 1,693
------------
5,986
ENTERTAINMENT - 3.1%
Walt Disney Co.
6.02%, 07/10/2000 2,690,000 2,686
6.06%, 07/10/2000 2,500,000 2,496
------------
5,182
FOOD - 13.9%
Campbell Soup Co., 6.10%, 07/18/2000 6,000,000 5,983
ConAgra Inc., 6.73%, 08/02/2000 950,000 944
H.J. Heinz Co., 6.53%, 08/02/2000 4,400,000 4,375
Hershey Foods Corp.
6.50%, 07/06/2000 120,000 120
6.51%, 07/31/2000 6,000,000 5,967
Sara Lee Corp., 6.53%, 07/06/2000 5,875,000 5,870
------------
23,259
HEALTHCARE - 6.7%
Allergan Inc., 6.65%, 08/04/2000 5,500,000 5,465
Schering Corp.
6.70%, 11/14/2000 2,500,000 2,437
6.70%, 11/21/2000 3,500,000 3,407
------------
11,309
HOUSEHOLD PRODUCTS - 1.8%
Procter & Gamble Co., 6.57%, 3,030,000 2,996
08/31/2000
MEDIA - 3.9%
Cox Enterprises Inc., 6.90%, 1,000,000 986
09/11/2000
McGraw Hill Cos. Inc., 6.15%, 5,500,000 5,478
07/25/2000
------------
6,464
OIL & GAS PRODUCERS - 7.2%
Chevron UK Investment Plc
6.47%, 07/10/2000 1,500,000 1,498
6.38%, 07/11/2000 5,000,000 4,991
Consolidated Natural Gas Co.
6.42%, 07/05/2000 3,000,000 2,998
6.63%, 08/01/2000 2,700,000 2,685
------------
12,172
TELECOMMUNICATIONS - 8.9% AT&T Corp.
6.56%, 08/11/2000 3,000,000 2,978
6.62%, 11/01/2000 2,700,000 2,639
BellSouth Telecommunications Inc.,
6.63%, 07/11/2000 5,800,000 5,789
GTE Corp., 6.60%, 07/25/2000 1,488
1,495,000
SBC Communications Inc., 6.08%, 2,000,000 1,999
07/05/2000
------------
14,893
------------
Total Commercial Paper
(cost $167,642) 167,642
------------
See notes to the financial statements.
181
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
Schedule of Investments (Unaudited) (continued)
AMORTIZED
COST
SHARES (000'S)
----------------------------------------------------------------
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus, 6.51%
(a)
(cost $1) 1,091 $ 1
------------
TOTAL INVESTMENTS - 100%
(cost $167,643) $ 167,643
============
--------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000.
See notes to the financial statements.
182
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $11,085) .................. $ 11,044
Receivables:
Dividends and interest .................... 43
Fund shares sold .......................... 26
Investment securities sold ................ 2
--------------
TOTAL ASSETS ................................ 11,115
--------------
LIABILITIES
Payables:
Advisory fees ............................. 7
Administrative fees ....................... 1
Investment securities purchased ........... 753
--------------
TOTAL LIABILITIES ........................... 761
--------------
NET ASSETS .................................. $ 10,354
==============
NET ASSETS CONSIST OF:
Paid-in capital ............................. $ 10,239
Undistributed net investment income ......... 228
Accumulated net realized loss on
investments ............................... (72)
Net unrealized depreciation on investments .. (41)
--------------
$ 10,354
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED ............... 991
==============
NET ASSET VALUE PER SHARE ................... $ 10.44
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Dividends ................................. $ 119
Interest .................................. 143
--------------
TOTAL INVESTMENT INCOME ..................... 262
--------------
EXPENSES
Advisory fees ............................. 35
Administrative fees ....................... 4
--------------
TOTAL EXPENSES .............................. 39
--------------
NET INVESTMENT INCOME ....................... 223
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized loss on investments ............ (4)
Net change in unrealized appreciation
on investments ............................ 100
--------------
NET REALIZED AND UNREALIZED GAIN ............ 96
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .. $ 319
==============
See notes to the financial statements.
183
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ...................................................................... $ 223 $ 206
Net realized loss on investments ........................................................... (4) (52)
Net change in unrealized appreciation (depreciation) on investments ........................ 100 (211)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ........................................ 319 (57)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................................. - (202)
From net realized gains on investment transactions ......................................... - -
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .......................................................... - (202)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................................... 5,181 5,952
Reinvestment of distributions .............................................................. - 202
Cost of shares redeemed .................................................................... (2,663) (1,675)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........................................... 2,518 4,479
--------------- ---------------
NET INCREASE IN NET ASSETS ................................................................... 2,837 4,220
NET ASSETS BEGINNING OF PERIOD ............................................................... 7,517 3,297
--------------- ---------------
NET ASSETS END OF PERIOD ..................................................................... $ 10,354 $ 7,517
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME .......................................................... $ 228 $ 5
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................................. 506 566
Reinvestment of distributions ........................................................... - 20
Shares redeemed ......................................................................... (259) (160)
-------------- --------------
Net increase ............................................................................ 247 426
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ................................................................. $ 2,071 $ 6,980
Proceeds from sales of securities ....................................................... 1,389 3,234
Purchases of U.S. Government obligations ................................................ $ 175 $ 1,201
Proceeds from sales of U.S. Government obligations ...................................... 48 1,251
</TABLE>
See notes to the financial statements.
184
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD ENDED
SIX MONTHS MARCH 2,
ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998
---------------- --------------- ---------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ...................................... $ 10.11 $ 10.38 $ 10.00
---------------- --------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ................................................... 0.22 0.28 0.21
Net realized and unrealized gains (losses) on investments ............... 0.11 (0.27) 0.38
---------------- --------------- ---------------
Total income from operations ........................................... 0.33 0.01 0.59
---------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income .............................................. - (0.28) (0.21)
From net realized gains on investment transactions ...................... - - -
---------------- --------------- ---------------
Total distributions ..................................................... - (0.28) (0.21)
---------------- --------------- ---------------
Net increase (decrease) ................................................. 0.33 (0.27) 0.38
---------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD ............................................ $ 10.44 $ 10.11 $ 10.38
================ =============== ===============
TOTAL RETURN (A) .......................................................... 3.26% 0.09% 5.91%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................ $ 10,354 $ 7,517 $ 3,297
Ratio of expenses to average net assets (b) ............................. 0.90% 0.90% 0.95%
Ratio of net investment income to average net assets (b) ................ 5.06% 3.54% 3.49%
Portfolio turnover ...................................................... 19.41% 59.53% 128.41%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ............................. n/a n/a 2.38%
Ratio of net investment income to average net assets (b) ................ n/a n/a 2.06%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
185
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 46.0%
AEROSPACE & DEFENSE - 0.1%
Honeywell International Inc. 450 $ 15
AUTO MANUFACTURERS - 0.3%
DaimlerChrysler AG (a) 598 31
BANKS - 2.1%
Bank of America Corp. 1,405 60
Chase Manhattan Corp. 1,500 69
First Union Corp. 1,500 37
Fleet Boston Financial Corp. 1,000 34
Mercantile Bancshares Corp. 900 27
-----------
227
BEVERAGES - 4.1%
Anheuser-Busch Cos. Inc. 2,200 164
Coca-Cola Co. 2,900 166
PepsiCo Inc. 2,600 116
-----------
446
CHEMICALS - 0.1%
USEC Inc. 2,900 13
COMMERCIAL SERVICES - 0.7%
Reynolds & Reynolds Co. 3,300 60
United Parcel Service Inc. 300 18
-----------
78
COMPUTERS - 4.0%
Compaq Computer Corp. 3,400 87
International Business Machines
Corp. 3,200 351
-----------
438
COSMETICS & PERSONAL CARE - 3.1%
Avon Products Inc. 2,000 89
Gillette Co. 2,500 87
Kimberly-Clark Corp. 900 52
Procter & Gamble Co. 1,900 109
-----------
337
DIVERSIFIED FINANCIAL SERVICES -
1.1%
Associates First Capital Corp. 1,700 38
Berkshire Hathaway Inc. - Class
B (a) 45 79
-----------
117
ELECTRIC - 0.7%
American Electric Power Co. Inc. 1,100 32
Edison International 1,300 27
Reliant Energy Inc. 700 21
-----------
80
ELECTRICAL COMPONENTS & EQUIPMENT - 0.0%
Energizer Holdings Inc. 333 6
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
FOOD - 2.4%
H.J. Heinz Co. 1,800 $ 79
Hormel Foods Corp. 2,800 47
Ralston-Ralston Purina Group 1,000 20
Safeway Inc. (a) 1,700 77
Sara Lee Corp. 2,200 43
-----------
266
HEALTHCARE - 0.8%
Bausch & Lomb Inc. 1,200 93
INSURANCE - 3.0%
Allstate Corp. 4,200 93
American International Group
Inc. 677 80
Chubb Corp. 900 55
Cigna Corp. 800 75
Horace Mann Educators Corp. 2,200 33
-----------
336
MANUFACTURING - 1.9%
Cooper Industries Inc. 600 20
Eastman Kodak Co. 1,100 65
General Electric Co. 2,400 127
-----------
212
OFFICE & BUSINESS EQUIPMENT - 0.6%
Xerox Corp. 3,200 66
OIL & GAS PRODUCERS - 2.7%
Amerada Hess Corp. 700 43
BP Amoco Plc - ADR 894 51
Exxon Mobil Corp. 800 63
Royal Dutch Petroleum Co. - NYS 800 49
Schlumberger Ltd. 1,200 90
-----------
296
PHARMACEUTICALS - 7.5%
Abbott Laboratories 2,200 98
American Home Products Corp. 1,600 94
Bristol-Myers Squibb Co. 1,200 70
Johnson & Johnson 1,300 132
Merck & Co. Inc. 1,800 138
Pfizer Inc. 4,350 209
Pharmacia Corp. 1,785 92
-----------
833
RETAIL - 3.2%
Costco Wholesale Corp. (a) 2,100 69
Delhaize America Inc. 900 14
K Mart Corp. (a) 2,500 17
McDonald's Corp. 4,000 132
Sears, Roebuck & Co. 1,100 36
Wal-Mart Stores Inc. 1,400 81
-----------
349
SEMICONDUCTORS - 0.5%
Intel Corp 400 54
See notes to the financial statements.
186
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
TELECOMMUNICATIONS - 6.4%
Alcatel SA- ADR 1,700 $ 113
AT&T Corp. 2,300 73
BCE Inc. 900 21
GTE Corp. 200 12
Lucent Technologies Inc. 1,900 113
Nortel Networks Corp. (a) 1,413 96
SBC Communications Inc. 1,200 52
US West Inc. 1,300 111
Verizon Communications 1,100 56
WorldCom Inc. (a) 1,350 62
-----------
709
TRANSPORTATION - 0.7%
Canadian National Railway Co. 1,400 41
Union Pacific Corp. 900 33
-----------
74
-----------
Total Common Stocks
(cost $5,016) 5,076
-----------
CORPORATE BONDS - 9.7%
AEROSPACE & DEFENSE - 0.2%
Raytheon Co., 6.15%, 11/01/2008 $ 20,000 18
ASSET BACKED SECURITIES - 0.9%
LB Commercial Conduit Mortgage
Trust, 6.78%, 04/15/2009 100,000 96
AUTO MANUFACTURER - 0.2%
DaimlerChrysler NA Holding Corp,
7.75%, 05/27/2003 25,000 25
BANKS - 1.4%
Bank of America Corp., 7.875%,
05/16/2005 75,000 76
Morgan Stanley Dean Witter & Co.,
7.75% , 06/15/2005 75,000 75
-----------
151
COMMERCIAL SERVICES - 0.6%
Cendant Corp., 7.75%, 12/01/2003 65,000 63
DIVERSIFIED FINANCIAL SERVICES -
2.4%
Countrywide Home Loans Inc.,
6.25%, 04/15/2009 50,000 44
Donaldson, Lufkin & Jenrette
Inc.,
5.875%, 04/01/2002 50,000 49
Lehman Brothers Inc., 7.25%,
04/15/2003 98,000 97
Sears Roebuck Acceptance Corp.,
7.00%, 06/15/2007 75,000 71
-----------
261
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT - 0.4%
Duke Energy Corp., 7.375%,
03/01/2010 $ 50,000 $ 49
HOLDING COMPANIES - DIVERSIFIED -
0.2%
Paine Webber Group Inc., 7.625%,
12/01/2009 25,000 24
INSURANCE - 0.3%
Fremont General Corp., 7.70%,
03/17/2004 75,000 31
IRON & STEEL - 0.4%
USX Corp., 7.20%, 02/15/2004 50,000 49
MEDIA - 0.4%
A.H. Belo Corp., 7.25%, 50,000 41
09/15/2027
OIL & GAS PRODUCERS - 0.4%
Union Oil Co. of California,
7.35%, 06/15/2009 50,000 49
REAL ESTATE - 0.4%
Spieker Properties Inc., 7.25%,
05/01/2009 50,000 46
RETAIL - 0.7%
Wal-Mart Stores Inc., 7.55%, 75,000 77
02/15/2030
TELECOMMUNICATIONS - 0.8%
GTE Corp., 6.94%, 04/15/2028 50,000 44
Sprint Capital Corp., 5.70%,
11/15/2003 50,000 47
-----------
91
-----------
Total Corporate Bonds
(cost $1,146) 1,071
-----------
PREFERRED STOCKS - 0.5%
MEDIA - 0.5%
News Corp. Ltd. 1,200 57
-----------
Total Preferred Stocks
(cost $46) 57
-----------
U.S. GOVERNMENT SECURITIES - 16.8%
U.S. GOVERNMENT AGENCIES - 10.2%
Federal Home Loan Mortgage
Corp., 6.25%, 07/15/2004 $ 125,000 122
See notes to the financial statements.
187
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Federal National Mortgage
Association
6.50%, 07/01/2028 (c) $ 181,877 $ 172
7.00%, 02/01/2029 (c) 82,491 80
6.00%, TBA (b) 230,000 210
7.00%, TBA (b) 100,000 96
7.00%, TBA (b) 50,000 49
7.50%, TBA (b) 150,000 148
8.00%, TBA (b) 250,000 251
-----------
1,006
U.S. TREASURY SECURITIES - 6.6%
U.S. Treasury Bond
6.125%, 08/15/2029 (c) 250,000 253
6.25%, 05/15/2030 (c) 50,000 53
U.S. Treasury Note
6.00%, 08/15/2004 (c) 325,000 322
5.625%, 05/15/2008 (c) 100,000 95
6.00%, 08/15/2009 10,000 10
-----------
733
-----------
Total U.S. Government
Securities
(cost $1,898) 1,861
-----------
SHORT TERM INVESTMENTS - 27.0%
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management
Plus, 6.51% (d) 1,189 1
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
REPURCHASE AGREEMENTS - 27.0%
Repurchase agreement with SBC
Warburg Dillon Reed, 6.55%,
(Collateralized by $1,473,000
U.S. Treasury Bond, 6.25%, due
08/15/2023, market value
$1,516,556) acquired on
06/30/2000, due 07/03/2000 $ 1,489,000 $ 1,489
Repurchase agreement with State
Street Bank, 6.40%,
(Collateralized by $1,365,000
U.S. Treasury Bond, 7.25%, due
05/15/2016, market value
$1,514,557) acquired on
06/30/2000, due 07/03/2000 1,489,000 1,489
-----------
2,978
-----------
Total Short Term Investments
(cost $2,979) 2,979
-----------
TOTAL INVESTMENTS - 100%
(cost $11,085) $ 11,044
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Investment purchased on a when-issued basis.
(c) Security pledged as collateral for investment purchased on a when-issued
basis.
(d) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000.
Based on the cost of investments of $11,085 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $658, the gross unrealized
depreciation was $699 and the net unrealized depreciation on investments was
$41.
See notes to the financial statements.
188
<PAGE>
Salomon Brothers/JNL Global Bond Series
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $128,021) ................. $ 124,922
Foreign currency ............................ 33
Receivables:
Interest .................................. 1,076
Forward currency contracts ................ 174
Fund shares sold .......................... 121
Investment securities sold ................ 583
---------------
Total assets ................................ 126,909
---------------
Liabilities
Payables:
Advisory fees ............................. 66
Administrative fees ....................... 23
Forward currency contracts ................ 173
Fund shares redeemed ...................... 51
Investment securities purchased ........... 29,849
---------------
Total liabilities ........................... 30,162
---------------
Net assets .................................. $ 96,747
===============
Net assets consist of:
Paid-in capital ............................. $ 99,219
Undistributed net investment income ......... 3,407
Accumulated net realized loss on investments
and foreign currency related items ........ (2,782)
Net unrealized depreciation on investments
and foreign currency related items ........ (3,097)
---------------
$ 96,747
===============
Shares outstanding (no par value),
unlimited shares authorized ............... 9,236
===============
Net asset value per share ................... $ 10.47
===============
Statement of Operations
For the Period Ended June 30, 2000
Investment income
Interest .................................. $ 3,742
Dividends ................................. 2
--------------
Total investment income ..................... 3,744
--------------
Expenses
Advisory fees ............................. 379
Administrative fees ....................... 44
--------------
Total expenses .............................. 423
--------------
Net investment income ....................... 3,321
--------------
Realized and unrealized gains (loss)
Net realized gain (loss) on:
Investments ............................... (389)
Foreign currency related items ............ (31)
Net change in unrealized appreciation
(depreciation) on:
Investments ............................... (1,228)
Foreign currency related items ............ 267
--------------
Net realized and unrealized losses .......... (1,381)
--------------
Net increase in net assets
from operations ........................... $ 1,940
==============
See notes to the financial statements.
189
<PAGE>
Salomon Brothers/JNL Global Bond Series
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
-------------- --------------
<S> <C> <C>
Operations
Net investment income ..................................................................... $ 3,321 $ 4,669
Net realized gain (loss) on:
Investments ............................................................................. (389) (1,228)
Foreign currency related items .......................................................... (31) 9
Net change in unrealized appreciation (depreciation) on:
Investments ............................................................................. (1,228) (1,978)
Foreign currency related items .......................................................... 267 (6)
-------------- --------------
Net increase in net assets from operations .................................................. 1,940 1,466
-------------- --------------
Distributions to shareholders
From net investment income ................................................................ - (4,624)
From net realized gains on investment transactions ........................................ - -
-------------- --------------
Total distributions to shareholders ......................................................... - (4,624)
-------------- --------------
Share transactions(1)
Proceeds from the sale of shares .......................................................... 33,529 49,908
Reinvestment of distributions ............................................................. - 4,624
Cost of shares redeemed ................................................................... (19,783) (18,480)
-------------- --------------
Net increase in net assets from share transactions .......................................... 13,746 36,052
-------------- --------------
Net increase in net assets .................................................................. 15,686 32,894
Net assets beginning of period .............................................................. 81,061 48,167
-------------- --------------
Net assets end of period .................................................................... $ 96,747 $ 81,061
============== ==============
Undistributed net investment income ......................................................... $ 3,407 $ 86
============== ==============
(1)Share Transactions:
Shares sold ............................................................................ 3,242 4,672
Reinvestment of distributions .......................................................... - 451
Shares redeemed ........................................................................ (1,914) (1,728)
-------------- --------------
Net increase ........................................................................... 1,328 3,395
============== ==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ................................................................ $ 171,581 $ 72,538
Proceeds from sales of securities....................................................... 169,536 49,035
Purchases of U.S. Government obligations ............................................... $ 6,358 $ 6,193
Proceeds from sales of U.S. Government obligations ..................................... 6,707 3,144
</TABLE>
See notes to the financial statements.
190
<PAGE>
Salomon Brothers/JNL Global Bond Series
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from Period from
Six months April 1, May 15,
ended 1996 to 1995* to
June 30, Year ended December 31, December 31, March 31,
2000 1999 1998 1997 1996 1996
------------- --------------- ------------ ------------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ......... $ 10.25 $ 10.67 $ 11.12 $ 10.63 $ 10.46 $ 10.00
------------- --------------- ------------ ------------- ------------ ----------
Income from operations:
Net investment income ...................... 0.36 0.62 0.72 0.54 0.42 0.81
Net realized and unrealized gains (losses)
on investments and foreign currency
related items ......................... (0.14) (0.42) (0.45) 0.59 0.70 0.24
------------- --------------- ------------ ------------- ------------ ----------
Total income from operations ............... 0.22 0.20 0.27 1.13 1.12 1.05
------------- --------------- ------------ ------------- ------------ ----------
Less distributions:
From net investment income ................. - (0.62) (0.72) (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 ........................ - (0.62) (0.72) (0.64) (0.95) (0.59)
Net increase (decrease) .................... 0.22 (0.42) (0.45) 0.49 0.17 0.46
------------- --------------- ------------ ------------- ------------ ----------
Net asset value, end of period ............... $ 10.47 $ 10.25 $ 10.67 $ 11.12 $ 10.63 $ 10.46
============= =============== ============ ============= ============ ==========
Total Return (a) ............................. 2.15% 1.87% 2.46% 10.66% 10.68% 10.74%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ... $96,747 $81,061 $ 48,167 $ 36,725 $ 12,483 $ 6,380
Ratio of expenses to average net assets (b)
(c) ...................................... 0.95% 0.95% 1.00% 1.01% 0.99% 1.00%
Ratio of net investment income to average
net assets (b) ........................... 7.45% 7.22% 7.05% 6.83% 7.52% 9.01%
Portfolio turnover ......................... 71.99% 98.01% 261.87% 134.55% 109.85% 152.89%
Ratio information assuming no expense
reimbursement:
Ratio of expenses to average net assets (b) n/a n/a 1.01% 1.08% 1.44% 2.14%
Ratio of net investment income to average
net assets (b) ........................... n/a n/a 7.04% 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 periods less than one year.
(b) Annualized for periods less than one year.
(c) For the year ended December 31, 1997, the ratio of expenses to average net
assets excluding non-operating expenses was 1.00%.
See notes to the financial statements.
191
<PAGE>
Salomon Brothers/JNL Global Bond Series
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Corporate Bonds - 24.6%
Aerospace & Defense - 0.2%
Raytheon Co., 6.15%, 11/01/2008 $ 100,000 $ 89
Sequa Corp., 9.00%, 08/01/2009 125,000 120
-----------
209
Airlines - 0.5%
Airplanes Pass-through Trust,
10.875%, 03/15/2012 246,925 201
Continental Airlines Inc.,
9.50%, 12/15/2001 250,000 255
Northwest Airlines Inc.,
7.625%, 03/15/2005 250,000 220
-----------
676
Apparel - 0.0%
Levi Strauss & Co., 7.00%, 75,000 57
11/01/2006
Asset Backed Securities - 5.9%
Commercial Mortgage Asset Trust,
7.35%, 08/17/2013 1,000,000 947
Contimortgage Home Equity Loan
Trust,
7.00%, 12/25/2029 500,000 448
Countrywide Mortgage Backed
Securities Inc., 7.75%, 658,379 644
06/25/2024
DLJ Commercial Mortgage Corp.
7.50%, 05/10/2023 - Interest 4,395,091 170
only
9.67%, 11/12/2031 - Interest 4,413,840 212
only
DLJ Mortgage Acceptance Corp.,
Series
1997 - CF2, 1.36%, 11/15/2004 -
Interest only (g) 24,500,000 1,201
First Union Securitization Trust,
7.00%, 08/25/2028 96,806 86
GE Capital Mortgage Services
Inc.,
6.75%, 10/25/2028 392,792 353
Green Tree Financial Corp.,
7.07%, 01/15/2029 554,367 524
LB Commercial Conduit Mortgage
Trust,
6.78%, 04/15/2009 1,000,000 957
Mid-State Trust, 7.34%, 693,708 668
07/01/2035
PNC Mortgage Securities Corp.
6.75%, 05/25/2028 146,626 127
6.84%, 05/25/2028 219,724 193
6.73%, 07/25/2028 194,226 168
6.77%, 03/25/2029 419,513 377
6.90%, 04/25/2029 358,301 313
-----------
7,388
Auto Manufacturers - 0.6%
DaimlerChrysler NA Holdings Corp.,
7.75%, 05/27/2003 500,000 504
Derby Cycle Corp., 10.00%,
05/15/2008 125,000 50
Navistar International Corp.,
8.00%,
02/01/2008 150,000 137
-----------
691
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Auto Parts & Equipment - 0.5%
Advanced Stores Co. Inc., 10.25%,
04/15/2008 $ 250,000 $ 206
Breed Technologies Inc.,
9.25%, 04/15/2008 (f) 250,000 2
Federal-Mogul Co., 7.375%,
01/15/2006 185,000 134
J.H. Heafner Co. Inc., 10.00%,
05/15/2008 300,000 219
Lear Corp., 8.11%, 05/15/2009 125,000 114
-----------
675
Banks - 1.1%
Bank of America Corp., 7.875%,
05/16/2005 550,000 557
ContiFinancial Corp.,
8.125%, 04/01/2008 (f) 250,000 30
Morgan Stanley Dean Witter,
7.75%, 06/15/2005 600,000 603
Sovereign Bancorp, 10.50%, 125,000 123
11/15/2006
Sudwest LB Capital Market,
17.50%,
05/05/2003 PLN 270,000 63
-----------
1,376
Building Materials - 0.2%
American Standard Inc., 7.375%,
04/15/2005 250,000 234
Chemicals - 0.5%
Aqua Chemical Inc., 11.25%, 75,000 42
07/01/2008
Borden Chemical & Plastics L.P.,
9.50%, 05/01/2005 200,000 180
Lyondell Chemical Co.,
9.875%, 05/01/2007 250,000 247
Safety-Kleen Services,
9.25%, 06/01/2008 (f) 375,000 30
United Industries Corp.,
9.875%, 04/01/2009 250,000 138
-----------
637
Commercial Services - 1.2%
Avis Rent A Car Inc., 11.00%,
05/01/2009 250,000 260
Cendant Corp., 7.75%, 12/01/2003 600,000 580
Integrated Electric Services
Inc.,
9.375%, 02/01/2009 200,000 162
Iron Mountain Inc.,
10.125%, 10/01/2006 150,000 150
Metris Cos. Inc., 10.125%, 125,000 119
07/15/2006
Primark Corp., 9.25%, 12/15/2008 250,000 275
-----------
1,546
Cosmetics & Personal Care - 0.3%
American Safety Razor Co.,
9.875%,
08/01/2005 125,000 120
French Fragrances Inc., 10.375%,
05/15/2007 125,000 120
See notes to the financial statements.
192
<PAGE>
Salomon Brothers/JNL Global Bond Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Revlon Consumer Products Corp.,
8.625%, 02/01/2008 $ 35,000 $ 17
9.00%, 11/01/2006 100,000 72
-----------
329
Diversified Financial Services -1.0%
Countrywide Home Loans Inc.,
6.25%,
04/15/2009 350,000 306
DVI Inc., 9.875%, 02/01/2004 250,000 228
High Voltage Engineering Corp.,
10.50%, 08/15/2004 125,000 86
Paine Webber Group Inc.,
6.45%, 12/01/2003 600,000 573
TPSA Finance BV, 7.75%,
12/10/2008 (g) 100,000 92
-----------
1,285
Electric - 0.2%
Calpine Corp., 8.75%, 07/15/2007 250,000 243
Electronics - 0.1%
Amphenol Corp., 9.875%, 150,000 151
05/15/2007
Entertainment - 0.7%
Horseshoe Gaming LLC,
9.375%, 06/15/2007 250,000 246
MGM Grand Inc., 9.75%, 06/01/2007 150,000 153
Mohegan Tribal Gaming, 8.75%,
01/01/2009 150,000 143
Station Casinos Inc., 9.875%,
07/01/2010 (g) 125,000 125
Sun International Hotels Ltd.,
8.625%,
12/15/2007 250,000 226
-----------
893
Environmental Control - 0.2%
Allied Waste North America Inc.,
7.875%, 01/01/2009 250,000 213
Food - 0.4%
Kroger Co., 7.65%, 04/15/2007 500,000 489
Pueblo Xtra International Inc.,
9.50%,
08/01/2003 60,000 28
Vlasic Foods International Inc.,
10.25%, 07/01/2009 75,000 26
-----------
543
Forest Products & Paper - 0.1%
Repap New Brunswick,
10.625%, 04/15/2005 120,000 106
Healthcare - 0.4%
Fresenius Medical Care Capital
Trust I, 250,000 238
9.00%, 12/01/2006
HCA - The Healthcare Company,
6.91%, 06/15/2005 125,000 114
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Tenet Healthcare Corp., $ 200,000 $ 202
9.25%, 09/01/2010 -----------
554
Holding Companies - Diversified - 0.2%
Murrin Murrin Holdings Property Ltd.
9.375%, 08/31/2007 125,000 108
Nebco Evans Holding Co., (Step-Up
Bond), 12.375%, 07/15/2007 (c)(f0 350,000 1
P&L Coal Holdings Corp.,
9.625%, 05/15/2008 125,000 116
-----------
225
Home Furnishings - 0.3%
Pillowtex Corp., 9.00%,
12/15/2007 25,000 9
Simmons Co., 10.25%, 03/15/2009 250,000 222
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008
125,000 123
-----------
354
Insurance - 0.1%
Fremont General Corp., 7.70%,
03/17/2004
225,000 95
Iron & Steel - 0.5%
AK Steel Corp., 7.875%, 100,000 89
02/15/2009
LTV Corp., 11.75%, 11/15/2009 75,000 63
USX Corp., 7.20%, 02/15/2004 500,000 492
-----------
644
Leisure Time - 0.3%
Park Place Entertainment Corp.,
7.875%, 12/15/2005 250,000 235
Polaroid Corp., 11.50%, 02/15/2006 125,000 130
-----------
365
Lodging -0.3%
Aztar Corp., 8.875%, 05/15/2007 100,000 94
Harrah's Operating Co. Inc.,
7.875%, 12/15/2005 125,000 118
HMH Properties, 7.875%, 250,000 224
08/01/2008 -----------
436
Manufacturing - 0.8%
Axiohm Transaction Solutions
Inc.,
9.75%, 10/01/2007 (f) 150,000 30
Blount Inc., 13.00%, 08/01/2009 250,000 255
Foamex LP, 9.875%, 06/15/2007 250,000 190
Jordan Industries, 10.375%,
08/01/2007 125,000 114
Pacifica Paper Inc., 10.00%,
03/15/2009 250,000 246
Tenneco Automotive Inc., 11.625%,
10/15/2009 125,000 111
-----------
946
Media - 1.5%
Adelphia Communications Corp.
10.50%, 07/15/2004 100,000 100
See note to the financial statements.
193
<PAGE>
Salomon Brothers/JNL Global Bond Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Adelphia Communications Corp.
9.875%, 03/01/2007 $ 150,000 $ 143
Charter Communications Holdings
LLC, (Step-Up Bond), 9.92%,
04/01/2011 (c) 500,000 284
CSC Holdings Inc., 10.50%,
05/15/2016 250,000 266
Diamond Cable Communications Plc,
(Step-Up Bond), 11.75%,
12/15/2005 (c) 150,000 142
Hollinger International
Publishing Inc.,
9.25%, 02/01/2006 250,000 247
Price Communications Wireless
Inc.,
9.125%, 12/15/2006 125,000 126
Rogers Cablestystems Inc.,
10.125%,
09/01/2012 125,000 128
Telewest Communications Plc,
(Step-Up
Bond), 11.00%, 10/01/2007 (c) 150,000 142
UnitedGlobalCom Inc., (Step-Up
Bond),
10.75%, 02/15/2008 (c) 400,000 280
-----------
1,858
Metals & Mining - 0.2%
Glencore Nickel Property Ltd.,
9.00%, 12/01/2014 175,000 146
Oxford Automotive Inc.,
10.125%, 06/15/2007 75,000 65
-----------
211
Oil & Gas Producers - 1.7%
Belco Oil & Gas Corp., 175,000 162
8.875%, 09/15/2007
Canadian Forest Oil Ltd., 8.75%,
09/15/2007 125,000 118
Continental Resources Inc.,
10.25%, 08/01/2008 250,000 223
Devon Energy Corp.,
10.25%, 11/01/2005 250,000 273
Gulf Canada Resources Ltd.,
9.625%, 07/01/2005 125,000 127
HS Resources Inc., 9.25%, 100,000 97
11/15/2006
Key Energy Services Inc.,
14.00%, 01/15/2009 125,000 141
Ocean Energy Inc., 8.875%, 125,000 124
07/15/2007
Pioneer Natural Resources,
9.625%, 04/01/2010 125,000 129
Plains Resources Inc., 10.25%,
03/15/2006 125,000 126
Range Resources Corp.,
8.75%, 01/15/2007 250,000 215
Union Oil Co. of California,
7.35%, 06/15/2009 400,000 389
-----------
2,124
Packaging & Containers - 0.2%
Owens-Illinois Inc., 7.50%, 250,000 214
05/15/2010
Radnor Holdings Corp., 10.00%,
12/01/2003 100,000 90
-----------
304
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Real Estate - 0.4%
CB Richard Ellis Services Inc.,
8.875%,
06/01/2006 $ 250,000 $ 213
Forest City Enterprises Inc.,
8.50%,
03/15/2008 125,000 113
Spieker Properties Inc., 7.25%,
05/01/2009 200,000 186
-----------
512
Retail - 0.9%
Cole National Group Inc.,
8.625%, 08/15/2007 75,000 50
Finlay Fine Jewelry Corp.,
8.375%, 05/01/2008 300,000 267
Guitar Center Inc.,
11.00%, 07/01/2006 250,000 241
Indesco International Inc.,
9.75%, 04/15/2008 250,000 93
R.H. Donnelly Inc., 9.125%, 125,000 118
06/01/2008
Wal-Mart Stores, 7.55%, 350,000 358
02/15/2030 -----------
1,127
Software - 0.3%
Covad Communications Group,
12.00%, 02/15/2010 125,000 98
Exodus Communications,
11.625%, 07/15/2010 125,000 125
PSINet Inc., 11.00%, 08/01/2009
125,000 116
-----------
339
Storage & Warehouse - 0.2%
Quantum Corp., 7.00%, 08/01/2004
250,000 197
Telecommunications - 1.9%
AT&T Canada Inc., (Step-Up
Bond),
9.95, 06/15/2008 (c) 250,000 203
Centennial Cellular Corp.,
10.75%, 02/15/2008 110,000 107
Crown Castle International Corp.,
10.75%, 08/01/2011 75,000 76
Global Crossing Holdings Ltd.,
9.50%, 11/15/2009 75,000 72
GTE Corp., 6.94%, 04/15/2028 150,000 133
ICG Holdings Inc., (Step-Up
Bond),
12.50%, 05/01/2006 (c) 250,000 207
Intermedia Communication Inc.,
8.50%, 01/15/2008 145,000 133
Level 3 Communications Inc.,
9.125%, 05/01/2008 125,000 112
Nextel Communications, Inc.,
(Step-Up
Bond), 9.75%, 10/31/2007 (c) 350,000 260
NEXTLINK Communications Inc.,
10.75%, 06/01/2009 125,000 123
NTL Inc., (Step-Up Bond),
11.50%, 02/01/2006 (c) 225,000 208
Rogers Cantel Inc., 8.80%, 125,000 125
10/01/2007
Sprint Capital Corp., 5.70%, 600,000 568
11/15/2003
-----------
2,327
See notes to the financial statements.
194
<PAGE>
Salomon Brothers/JNL Global Bond Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Textiles - 0.2%
Collins & Aikman Floorcoverings,
10.00%, 01/15/2007 $ 150,000 $ 146
Westpoint Stevens Inc.,
7.875%, 06/15/2005 125,000 104
-----------
250
Tobacco - 0.1%
North Atlantic Trading Co.,
11.00%, 06/15/2004 125,000 114
Transportation - 0.2%
Holt Group Inc., 9.75%, 200,000 19
01/15/2006
Stena AB, 8.75%, 06/15/2007 125,000 109
TFM SA, (Step-Up Bond),
11.75%, 06/15/2009 (c) 220,000 151
-----------
279
Water - 0.2%
Azurix Corp., 10.75%, 250,000 241
02/15/2010 -----------
Total Corporate Bonds
(cost $33,840) 30,754
-----------
Government Securities - 46.8%
Sovereign - 11.2%
Federal Republic of Brazil,
14.50%, 10/15/2009 425,000 454
Federal Republic of Germany
6.50%, 07/15/2003 EUR
140,000 139
4.25%, 11/26/2004 EUR 88,000 82
7.375%, 01/03/2005 EUR 3,600,000 3,746
5.625%, 01/04/2028 EUR 85,000 83
Federation of Russia
6.9063%, 12/15/2015 1,000,000 305
6.9063%, 12/15/2020 2,000,000 605
12.75%, 06/24/2028 650,000 560
KFW International Finance,
16.30%, 06/24/2003 PLN 330,000 75
Kingdom of Morocco,
6.0625%, 01/01/2009 300,413 269
Kingdom of Spain
6.00%, 01/31/2008 590,000 582
6.15%, 01/31/2013 EUR 55,000 55
Kingdom of Sweden,
10.25%, 05/05/2003 SEK 400,000 51
National Republic of Bulgaria
6.50%, 07/28/2011 225,000 177
2.75%, 07/28/2012 (Step-Up 250,000 184
Bond) (d)
Republic of Algeria, 6.375%, 375,000 290
03/04/2010
Republic of Argentina
11.75%, 04/07/2009 275,000 256
11.75%, 06/15/2015 350,000 317
11.375%, 01/30/2017 275,000 246
6.00%, 03/31/2023 1,050,000 697
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Republic Of Brazil
14.50%, 10/15/2009 $ 400,000 $ 427
7.00%, 04/15/2012 375,000 277
5.00%, 04/15/2014 (h) 645,260 475
Republic of Columbia,
10.875%, 03/09/2004 365,000 340
Republic of Croatia,
6.4563%, 07/31/2006 (e) 296,021 280
Republic of Ecuador, (Step-Up
Bond),
4.00%, 02/28/2025 (d) (f) 500,000 169
Republic of Greece
9.70%, 05/27/2001 GRD 58,000,000 169
Republic of Italy, 9.50%, 67,000 66
02/01/2001
Republic Of Ivory Coast,
(Step-Up Bond), 2.00%, 900,000 144
03/29/2018 (d)
Republic of Panama,(Step-Up Bond),
4.25%, 07/17/2014 (d) 250,000 199
Republic of Peru, (Step-Up Bond),
4.50%, 03/07/2017 (d) (g) 300,000 200
Republic of Philippines
9.875%, 01/15/2019 150,000 123
8.60%, 06/15/2027 125,000 89
Republic of Venezuela
6.875%, 03/31/2007 (e) 499,997 410
13.625%, 08/15/2018 775,000 716
United Mexican States
10.375%, 02/17/2009 150,000 158
11.375%, 09/15/2016 496,000 567
-----------
13,982
U.S. Government Agencies - 25.7%
Federal Home Loan Mortgage Corp.
10.00%, 05/15/2020 15,304 16
7.34%, 06/15/2021 - Interest 712 18
only
Federal National Mortgage
Association 7.3935%, 08/17/2003 226,581 226
7.3685%, 01/17/2013 1,968,722 1,993
13.00%, 11/15/2015 4,213 5
10.40%, 04/25/2019 26,953 28
9.65%, 03/17/2020 - Interest 674,705 13
only
6.50%, 02/01/2026 193,886 185
9.65%, 02/25/2035 - Interest 2,147,413 137
only
9.65%, 10/17/2036 - Interest 4,192,421 96
only
9.65%, 06/25/2038 - Interest 6,190,207 330
only
7.00%, TBA (a) 9,500,000 9,164
7.50%, TBA (a) 14,500,000 14,287
8.00%, TBA (a) 5,500,000 5,519
-----------
32,017
U.S. Treasury Securities - 9.9%
U.S. Treasury Bonds
6.125%, 11/15/2027 (b) 100,000 100
5.50%, 08/15/2028 (b) 70,000 64
5.25%, 11/15/2028 (b) 1,500,000 1,328
5.25%, 02/15/2029 (b) 500,000 444
6.125%, 08/15/2029 1,500,000 1,516
U.S. Treasury Notes
5.25%, 05/31/2001 (b) 2,000,000 1,978
See notes to the financial statements.
195
<PAGE>
Salomon Brothers/JNL Global Bond Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
6.50%, 03/31/2002 $2,300,000 $ 2,301
5.875%, 11/15/2004
1,000,000 984
6.25%, 05/15/2030 (b) 3,500,000 3,674
-----------
12,389
-----------
Total Government Securities
(cost $58,401) 58,388
-----------
Short Term Investments - 28.6%
Commercial Paper - 23.1%
Air Products & Chemicals,
6.77%, 07/11/2000 1,000,000 997
Armstrong World Industries Inc.,
6.80%, 07/10/2000 2,906,000 2,900
Duke Energy Field Services., Inc.
6.93%, 07/12/2000 5,000,000 4,990
Earthgrains Co., 6.80%, 5,000,000 4,990
07/12/2000 (b)
Fort James Corp., 6.78%, 4,768,000 4,760
07/10/2000 (b)
Houston Industries Finance
Company LP, 6.95%, 07/12/2000 5,300,000 5,289
Texas Utilities Co.,
6.75%, 07/10/2000 5,000,000 4,991
-----------
28,917
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1 $ 1
6.51% (i)
Repurchase Agreement - 5.5%
Repurchase agreement with State
Street Bank, 6.40%,
(Collateralized by $5,510,000
U.S. Treasury Bond, 8.75%, due
05/15/2017, market value
$7,064,853), acquired on $ 6,862,000 6,862
06/30/2000, due 07/03/2000
-----------
Total Short Term Investments
(cost $35,780) 35,780
-----------
Total Investments - 100%
(cost $128,021) $ 124,922
===========
-------------------------------------------------------------------------------
(a) Investment purchased on a when-issued basis.
(b) Security pledged as collateral for investment purchased on a
when-issued basis.
(c) Denotes deferred interest security that receives no coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(d) Coupon payment periodically increases over the life of the security.
Rate is in effect as of June 30, 2000.
(e) Coupon is indexed to six month Libor. Rate stated is in effect as of
June 30, 2000.
(f) Bond is in default.
(g) 144a security. Certain conditions for public sale may exist.
(h) Denotes payment-in-kind security, which may pay interest in additional
principal amount.
(i) Dividend yield changes daily to reflect current market conditions.
Rate it the quoted yield as of June 30, 2000.
EUR - Euro; GRD - Greek Drachma; PLN - Polish Zloty; SEK - Swedish Krona
Based on the cost of investments of $128,087 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $929, the gross unrealized
depreciation was $4,094 and the net unrealized depreciation on investments was
$3,165.
See notes to the financial statements.
196
<PAGE>
Salomon Brothers/JNL Global Bond Series
Schedule of Investments (Unaudited) (continued)
Forward Currency Contracts, Open at June 30, 2000 (in 000's):
Currency
Units
Currency Purchased/Sold Purchased Currency Unrealized
and Settlement Date (Sold) Value in $U.S Gain (Loss)
--------------------------- ------------- -------------- --------------
British Pound 07/28/00 119 $ 180 -
British Pound 07/28/00 (120) 182 (2)
Canadian 07/28/00 111 75 (1)
Dollar
Canadian 07/28/00 2,245 1,517 -
Dollar
Canadian 07/28/00 (2,357) 1,592 2
Dollar
Euro 07/28/00 236 226 1
Euro 07/28/00 2,823 2,710 88
Euro 07/28/00 (1,461) 1,402 (54)
Greek Drachma 07/28/00 193,083 549 25
Greek Drachma 07/28/00 (193,083) 549 (32)
Japanese Yen 07/28/00 30,139 286 1
Japanese Yen 07/28/00 87,514 831 21
Japanese Yen 07/28/00 (93,950) 892 (8)
Polish Zloty 07/28/00 4,547 1,044 (10)
Polish Zloty 07/28/00 (4,547) 1,044 (20)
Swedish Krona 07/28/00 1,361 156 (1)
Swedish Krona 07/28/00 2,907 332 8
Swedish Krona 07/28/00 (4,268) 488 (18)
---------------
$ -
===============
Summary of Investments by Country, June 30, 2000:
% of Investment Market Value
Country Securities (000's)
-------------------------------------------------------- ------------------
Algeria 0.2% $ 290
Argentina 1.2% 1,516
Australia 0.2% 253
Bahamas 0.2% 226
Brazil 1.3% 1,633
Bulgaria 0.3% 361
Canada 0.8% 1,051
Columbia 0.3% 340
Ecuador 0.1% 169
Germany 3.2% 4,051
Greece 0.1% 169
Hungary 0.2% 280
Italy 0.1% 66
Mexico 0.7% 876
Morocco 0.2% 269
Netherlands 0.1% 92
Panama 0.2% 199
Peru 0.2% 200
Philippines 0.2% 211
Russia 0.7% 865
Spain 0.5% 638
Sweden 0.1% 161
United Kingdom 0.3% 347
United States 87.7% 109,532
Venezuela 0.9% 1,127
------------------- ------------------
Total 100.0% $ 124,922
=================== ==================
See notes to the financial statements.
197
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $15,461) ............... $ 13,774
Receivables:
Interest ............................... 295
Fund shares sold ....................... 37
Investment securities sold ............ 7
---------------
Total assets ............................. 14,113
---------------
Liabilities
Payables:
Advisory fees .......................... 9
Administrative fees .................... 1
Investment securities purchased ........ 448
---------------
Total liabilities ........................ 458
---------------
Net assets ............................... $ 13,655
===============
Net assets consist of:
Paid-in capital .......................... $ 15,362
Undistributed net investment income ...... 522
Accumulated net realized loss on .........
investments ............................ (542)
Net unrealized depreciation on investments (1,687)
---------------
$ 13,655
===============
Shares outstanding (no par value),
unlimited shares authorized ............ 1,624
===============
Net asset value per share ................ $ 8.41
===============
Statement of Operations
For the Six Months Ended June 30, 2000
Investment income
Interest ............................... $ 574
--------------
Expenses
Advisory fees .......................... 46
Administrative fees .................... 6
--------------
Total expenses ........................... 52
--------------
Net investment income .................... 522
--------------
Realized and unrealized losses
Net realized loss on investments ......... (205)
Net change in unrealized depreciation
on investments ......................... (702)
--------------
Net realized and unrealized loss ......... (907)
--------------
Net decrease in net assets from operations $ (385)
==============
See notes to the financial statements.
198
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
--------------- ---------------
<S> <C> <C>
Operations
Net investment income ...................................................................... $ 522 $ 805
Net realized loss on investments ........................................................... (205) (324)
Net change in unrealized depreciation on investments ....................................... (702) (682)
--------------- ---------------
Net decrease in net assets from operations ................................................... (385) (201)
--------------- ---------------
Distributions to shareholders
From net investment income ................................................................. - (807)
From net realized gains on investment transactions ......................................... - -
--------------- ---------------
Total distributions to shareholders .......................................................... - (807)
--------------- ---------------
Share transactions(1)
Proceeds from the sale of shares ........................................................... 4,799 5,748
Reinvestment of distributions .............................................................. - 807
Cost of shares redeemed .................................................................... (1,449) (2,245)
--------------- ---------------
Net increase in net assets from share transactions ........................................... 3,350 4,310
--------------- ---------------
Net increase in net assets ................................................................... 2,965 3,302
Net assets beginning of period ............................................................... 10,690 7,388
--------------- ---------------
Net assets end of period ..................................................................... $ 13,655 $ 10,690
=============== ===============
Undistributed net investment income .......................................................... $ 522 $ -
=============== ===============
(1)Share Transactions:
Shares sold ............................................................................. 568 600
Reinvestment of distributions ........................................................... - 93
Shares redeemed ......................................................................... (171) (236)
--------------- --------------
Net increase ............................................................................ 397 457
=============== ==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ................................................................. $ 6,066 $ 7,935
Proceeds from sales of securities ....................................................... 2,247 4,223
</TABLE>
See notes to the financial statements.
199
<PAGE>
Salomon Brothers/JNL High Yield Bond Series
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from
Six months March 2,
ended Year ended 1998* to
June 30, December 31, December 31,
2000 1999 1998
--------------- ------------- -------------
<S> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ....................................... $ 8.71 $ 9.59 $ 10.00
--------------- ------------- -------------
Income from operations:
Net investment income .................................................... 0.32 0.71 0.54
Net realized and unrealized losses on investments ........................ (0.62) (0.88) (0.41)
--------------- -------------- ------------
Total income (loss) from operations ...................................... (0.30) (0.17) 0.13
--------------- -------------- ------------
Less distributions:
From net investment income ............................................... - (0.71) (0.54)
From net realized gains on investment transactions ....................... - - -
--------------- ------------- -------------
Total distributions ...................................................... - (0.71) (0.54)
--------------- ------------- -------------
Net decrease ............................................................. (0.30) (0.88) (0.41)
--------------- ------------- -------------
Net asset value, end of period ............................................. $ 8.41 $ 8.71 $ 9.59
=============== ============= ==============
Total Return (a) ........................................................... (3.44)% (1.76)% 1.32%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................................. $ 13,655 $ 10,690 $ 7,388
Ratio of expenses to average net assets (b) .............................. 0.90% 0.90% 0.95%
Ratio of net investment income to average net assets (b) ................. 9.02% 8.74% 7.80%
Portfolio turnover ....................................................... 21.35% 31.39% 37.45%
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) .............................. n/a n/a 1.39%
Ratio of net investment income to average net assets (b) ................. n/a n/a 7.36%
</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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
200
<PAGE>
Salomon Brothers/JNL High Yield Bonds
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Corporate Bonds - 89.1%
Advertising - 0.8%
SITEL Corp., 9.25%, 03/15/2006 $ 125,000 $ 114
Aerospace & Defense - 1.0%
Sequa Corp., 9.00%, 08/01/2009 125,000 120
Stellex Industries Inc., 9.50%, 125,000 12
11/01/2007 (d) -----------
132
Agriculture - 0.5%
Hines Horticulture Inc., 11.75%,
10/15/2005 75,000 75
Airlines - 1.5%
Airplanes Pass through Trust,
10.875%,
03/15/2012 123,463 100
Northwest Airlines Inc., 7.625%
03/15/2012 125,000 110
-----------
210
Apparel - 0.4%
Levi Strauss & Co., 7.00%, 75,000 57
11/01/2006
Auto Manufacturers - 1.2%
Derby Cycle Corp., 10.00% 125,000 50
05/15/2008
Navistar International Corp.,
8.00%,
02/01/2008 125,000 115
-----------
165
Auto Parts & Equipment - 3.0%
Advanced Stores Co. Inc.,
10.25%, 04/15/2008 125,000 103
Federal-Mogul Corp., 7.50%, 125,000 86
01/15/2009
J.L. French Automotive Castings
Inc.,
11.50%, 06/01/2009 125,000 114
Lear Corp., 8.11%, 05/15/2009 (c) 125,000 114
-----------
417
Banks - 0.9%
Sovereign Bancorp, 8.125%, 125,000 123
11/15/2006
Building Materials - 1.2%
International Utility Structures
Inc.,
10.75%, 02/01/2008 50,000 41
Nortak Inc., 9.875%, 03/01/2004 125,000 119
-----------
160
Chemicals - 3.6%
Aqua Chemical Inc., 11.25%, 50,000 28
07/01/2008
Borden Chemical & Plastics L.P.,
9.50%
05/01/2005 125,000 112
Lyondell Chemical Co.,
9.875%, 05/01/2007 125,000 123
PCI Chemicals Canada Inc.,
9.25%, 10/15/2007 125,000 78
Safety-Kleen Services,
9.25%, 06/01/2008 (d) 125,000 10
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Sterling Chemicals Inc.,
12.375%, 07/15/2006 $ 75,000 $ 76
United Industries Corp.,
9.875%, 04/01/2009 125,000 69
-----------
496
Commercial Services - 4.5%
Avis Rent A Car Inc.,
11.00%, 05/01/2009 125,000 130
Iron Mountain Inc., 8.75%, 125,000 115
09/30/2009
Metris Co. Inc., 8.375%, 125,000 119
11/15/2008
Primark Corp., 9.25%, 12/15/2008 125,000 137
World Color Press Inc., 8.375%,
11/15/2008 125,000 121
-----------
622
Cosmetics & Personal Care - 1.5%
French Fragrances Inc., 10.375%,
05/15/2007 125,000 120
Revlon Consumer Products Corp,
9.00%, 11/01/2006 100,000 72
8.625%, 02/01/2008 20,000 10
-----------
202
Diversified Financial Services -1.3%
ContiFinancial Corp.
7.50%, 03/15/2002 (d) 50,000 6
8.125%, 04/01/2008 (d) 75,000 9
DVI Inc., 9.875%, 02/01/2004 125,000 114
High Voltage Engineering Corp,
10.50%, 08/15/2004 75,000 52
-----------
181
Electric - 0.9%
Capline Corp., 8.75%, 125,000 121
07/15/2007
Entertainment - 5.8%
Charter Communications Holdings LLC,
8.625%, 12/15/2007 250,000 220
MGM Grand Inc., 9.75%, 06/01/2007 125,000 127
Mohegan Tribal Gaming, 8.75%,
01/01/2009 100,000 95
Park Place Entertainment, 9.375%,
02/15/2007 125,000 125
Station Casinos Inc., 9.875%, 125,000 125
07/01/2010 (c)
Sun International Hotel Ltd., 125,000 113
8.625%, 12/15/2007 -----------
805
Environmental Control - 0.8%
Allied Waste North America,
7.875%, 01/01/2009 125,000 107
Food - 1.0%
Premier International Foods Plc,
12.00%, 09/01/2009 (c) 125,000 112
See notes to the financial statements.
201
<PAGE>
Salomon Brothers/JNL High Yield Bond Series
Schedule of Investments (Unaudited) (continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Vlasic Foods International Inc., $ 75,000 $26
10.25%, 07/01/2009 -----------
138
Forest Products & Paper - 0.8%
Mail-Well I Corp., 8.75%,
12/15/2008 125,000 105
Healthcare - 2.4%
Fresenius Medical Care Capital 125,000 119
Trust, 9.00%, 12/01/2006
HCA-The Healthcare Company, 125,000 114
6.91%, 06/15/2005
Tenet Healthcare Corp.,
7.625%, 06/01/2008 75,000 69
9.25%, 09/01/2010 (c) 25,000 25
-----------
327
Holding Companies-Diversified - 0.7%
P&L Coal Holdings Corp.,
9.625%, 05/15/2008 100,000 93
Home Furnishings - 2.4%
Home Interiors & Gifts Inc.,
10.125%, 06/01/2008 125,000 71
PillowTex Corp., 9.00%, 75,000 26
12/15/2007
Simmons Co., 10.25%, 03/15/2009 125,000 111
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008 125,000 122
-----------
330
Household Products - 0.0%
Breed Technologies Inc., 9.25%
04/15/2008 (d) 100,000 1
Iron & Steel - 0.9%
AK Steel Corp., 7.875%, 100,000 89
02/15/2009
LTV Corp., 11.75%, 11/15/2009 (c) 50,000 42
-----------
131
Leisure Time - 2.7%
Hollywood Park Inc., 9.25%, 124
02/15/2007 125,000
Park Place Entertainment Corp.,
7.875%, 12/15/2005 125,000 118
Polaroid Corp., 11.50%, 125,000 130
02/15/2006
-----------
372
Lodging - 3.2%
Aztar Corp., 8.875%, 05/15/2007 100,000 94
Harrah's Operating Co. Inc.,
7.875%
08/01/2008 125,000 118
HMH Properties, 7.875%, 125,000 112
08/01/2008
Meristar Hospitality Corp.,
8.75%, 08/15/2007 125,000 114
-----------
438
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Manufacturing - 6.2%
Axiohm Transaction Solutions
Inc.,
9.75%, 10/01/2007 (d) $ 125,000 $ 25
Blount Inc., 13.00%, 08/01/2009 125,000 127
Foamex LP, 9.875%, 06/15/2007 125,000 95
Gentek Inc., 11.00%, 08/01/2009 125,000 127
Hexcel Corp., 9.75%, 01/15/2009 75,000 67
Jordan Industries, 10.375%,
08/01/2007 125,000 114
Mattress Discounters Corp.,
12.625%, 07/15/2007 100,000 91
Pacifica Paper Inc., 10.00%, 125,000 123
03/15/2009
Polymer Group Inc., 9.00%, 100,000 85
07/01/2007 -----------
854
Media - 6.5%
Adelphia Communications Corp.,
9.50%, 02/15/2004 17,090 17
CDS Holdings Inc., 9.875%, 75,000 77
04/01/2023
Century Communications Corp.,
8.375%, 12/15/2007 125,000 111
CSC Holdings Inc., 7.625%, 125,000 112
07/15/2018
FrontierVision Holdings LP,
11.00%, 10/15/2006 125,000 126
Price Communications Wireless 125,000 126
Inc., 9.125%, 12/15/2006
Sinclair Broadcast Group Inc.,
9.00%, 07/15/2007 125,000 112
Telewest Communications Plc,
(Step-Up 125,000 68
Bond), 9.25%, 04/15/2009 (b) (c)
UnitedGlobalCom Inc., (Step-Up
Bond),
10.75%, 02/15/2008 (b) 200,000 140
-----------
889
Metals & Mining - 0.2%
AEI Resources Inc.,
10.50%, 12/15/2005 (c) 125,000 25
Oil & Gas Producers - 10.5%
Belco Oil & Gas Corp.,
8.875%, 09/15/2007 125,000 116
Canadian Forest Oil Ltd.,
8.75%, 09/15/2007 125,000 117
Clark Refining & Marketing Inc.,
8.875%, 11/15/2007 125,000 80
Devon Energy Corp., 10.25%,
11/01/2005 125,000 137
Gulf Canada Resources Ltd.,
9.625%, 07/01/2005 125,000 127
HS Resources Inc., 9.25%, 100,000 97
11/15/2006
Key Energy Services Inc., 14.00%,
01/15/2009 125,000 141
Ocean Energy Inc., 8.875%, 125,000 124
07/15/2007
See notes to the financial statements.
202
<PAGE>
Salomon Brothers/JNL High Yield Bond Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Pioneer Natural Resources,
9.625%, 02/01/2004 $ 125,000 $ 129
Plains Resources Inc.,
10.25%, 03/15/2006 (c) 125,000 126
R&B Falcon Corp, 9.50%, 125,000 126
12/15/2008
Western Gas Resources Inc.,
10.00%, 06/15/2009 125,000 129
-----------
1,449
Packaging & Containers - 2.4%
Delta Beverage Group Inc., 9.75%,
12/15/2003 125,000 118
Owens-Illinois Inc., 7.50%, 125,000 107
05/15/2010
Radnor Holdings Corp., 10.00%, 125,000 112
12/01/2003 -----------
337
Real Estate - 0.7%
Forest City Enterprises Inc.,
8.50%, 03/15/2008 125,000 91
Retail - 5.6%
Cole National Group Inc.,
8.625%, 08/15/2007 75,000 49
Duane Reade Inc., 9.25%, 125,000 111
02/15/2008
Finaly Fine Jewelry Corp.,
8.375%, 05/01/2008 125,000 111
Guitar Center Inc., 11.00%, 125,000 121
07/01/2006
Hollinger International
Publishing Inc.,
9.25%, 03/15/2007 125,000 123
Indesco International Inc.,
9.75%, 04/15/2008 125,000 46
Leslie's Poolmart, 10.375%, 125,000 93
07/15/2004
R.H. Donnelly Inc., 9.125%, 125,000 118
06/01/2008 -----------
772
Software - 2.0%
Covad Communications Group,
12.00%, 02/15/2010 75,000 59
Exodus Communications, 11.625%,
07/15/2010 100,000 100
PSInet Inc., 11.50%, 11/01/2008 125,000 117
-----------
276
Telecommunications - 8.9%
Centennial Cellular Corp.,
10.75%, 02/15/2008 50,000 49
Crown Castle International Corp.,
10.75%, 08/01/2011 75,000 76
Energis Plc, 9.75%, 06/15/2009 125,000 123
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Global Crossing Holding Ltd.,
9.625%, 05/15/2008 $ 125,000 $ 121
ICG Holdings Inc., (Step-Up Bond)
05/01/2006 (b) 125,000 103
Insight Midwest, 9.75%, 125,000 122
10/01/2009
Intermedia Communications,
8.50%, 01/15/2008 125,000 115
Level 3 Communications Inc.,
9.125%, 05/01/2008 125,000 112
Nextel Communications Inc.,
(Step-Up Bond), 9.75%, 10/31/2007(b) 200,000 149
NEXTLINK Communications,
10.75%, 06/01/2009 125,000 123
NTL Inc., (Step-Up Bond),
11.50%, 02/01/2006 (b) 150,000 138
-----------
1,231
Textiles - 0.8%
WestPoint Stevens Inc., 7.875%,
06/15/2005 125,000 104
Tobacco - 0.8%
North Atlantic Trading Co.,
11.00%, 06/15/2004 125,000 113
Transportation - 0.6%
Enterprises Shipholding Corp.,
8.875%, 05/01/2008 125,000 70
Holt Group, 9.75%, 01/15/2006 125,000 12
-----------
82
Water - 0.9%
Azurix Corp., 10.75%, 02/15/2010 125,000 120
-----------
Total Corporate Bonds
(cost $13,950) 12,265
-----------
Preferred Stocks - 0.5%
Rural Cellular Corp. (a) 77 73
-----------
Total Preferred Stocks
(cost $75) 73
-----------
Short Term Investments - 10.4%
Money Market Fund - 0.0%
Dreyfus Cash Management Plus, 923 1
6.51% (a)
See notes to the financial statements.
203
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Repurchase Agreement - 10.4%
Repurchase agreement with State
Street
Bank, 6.40% (Collateralized by
$155,000 U. S. Treasury Bond,
8.75%, due 05/15/2017, market
value $1,468,294), acquired on $ 1,435,000 $1,435
06/30/2000,
due 07/03/2000 -----------
Total Short Term Investments
(cost $1,436) 1,436
-----------
Total Invesments - 100%
(cost $15,461) $ 13,774
===========
--------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000.
(b) Denoted deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(c) 144a security. Certain conditions for public sale may exist.
(d) Bond in default.
Based on the cost of investments of $15,461 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $83, the gross unrealized
depreciation was $1,770 and the net unrealized depreciation on investments was
$1,687.
See notes to the financial statements.
204
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
FINANCIAL STATEMENTS (UNAUDITED)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
ASSETS
Investments (cost $148,536) ................ $ 146,901
Cash ....................................... 3
Receivables:
Interest ................................. 894
Fund shares sold ......................... 36
Investment securities sold ............... 129
---------------
TOTAL ASSETS ............................... 147,963
---------------
LIABILITIES
Payables:
Advisory fees ............................ 66
Administrative fees ...................... 9
Fund shares redeemed ..................... 41
Investment securities purchased .......... 30,426
---------------
TOTAL LIABILITIES .......................... 30,542
---------------
NET ASSETS ................................. $ 117,421
===============
NET ASSETS CONSIST OF:
Paid-in capital ............................ $ 119,262
Undistributed net investment income ........ 3,376
Accumulated net realized loss on
investments .............................. (3,582)
Net unrealized depreciation on investments . (1,635)
---------------
$ 117,421
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED .............. 10,936
==============
NET ASSET VALUE PER SHARE .................. $ 10.74
==============
Statement of Operations
For the Six Months Ended June 30, 2000
INVESTMENT INCOME
Interest ................................. $ 3,698
Securities lending ....................... 37
--------------
TOTAL INVESTMENT INCOME .................... 3,735
--------------
EXPENSES
Advisory fees ............................ 379
Administrative fees ...................... 54
--------------
TOTAL EXPENSES ............................. 433
--------------
NET INVESTMENT INCOME ...................... 3,302
--------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized loss on investments ........... (2,205)
Net change in unrealized appreciation
on investments ........................... 2,872
--------------
NET REALIZED AND UNREALIZED GAIN ........... 667
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................... $ 3,969
==============
See notes to the financial statements.
205
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ................................................................... $ 3,302 $ 5,021
Net realized loss on investments ........................................................ (2,205) (1,298)
Net change in unrealized appreciation (depreciation) on investments ..................... 2,872 (5,840)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ..................................... 3,969 (2,117)
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .............................................................. - (5,026)
From net realized gains on investment transactions ...................................... - (24)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ....................................................... - (5,050)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ........................................................ 29,852 84,784
Reinvestment of distributions ........................................................... - 5,050
Cost of shares redeemed ................................................................. (22,729) (40,123)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ........................................ 7,123 49,711
-------------- --------------
NET INCREASE IN NET ASSETS ................................................................ 11,092 42,544
NET ASSETS BEGINNING OF PERIOD ............................................................ 106,329 63,785
-------------- --------------
NET ASSETS END OF PERIOD .................................................................. $ 117,421 $ 106,329
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ....................................................... $ 3,376 $ 74
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold .......................................................................... 2,845 7,726
Reinvestment of distributions ........................................................ - 487
Shares redeemed ...................................................................... (2,175) (3,668)
-------------- --------------
Net increase ......................................................................... 670 4,545
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES
(EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities .............................................................. $ 48,570 $ 121,554
Proceeds from sales of securities .................................................... 47,915 100,473
Purchases of U.S. Government obligations ............................................. $ 48,570 $ 120,204
Proceeds from sales of U.S. Government obligations ................................... 47,515 100,473
</TABLE>
See notes to the financial statements.
206
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
PERIOD
PERIOD FROM FROM MAY
SIX MONTH APRIL 1, 15,
ENDED 1996 TO 1995* TO
JUNE 30, DECEMBER 31, MARCH 31,
2000 1999 1998 1997 1996 1996
------------- ------------ ------------- ------------- -------------- -----------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.36 $ 11.15 $ 10.69 $ 10.20 $ 10.09 $ 10.00
------------- ------------ ------------- ------------- -------------- -----------
INCOME FROM OPERATIONS:
Net investment income 0.30 0.51 0.41 0.44 0.24 0.45
Net realized and unrealized gains (losses) on
investments 0.08 (0.79) 0.60 0.49 0.24 0.02
------------- ------------ ------------- ------------- -------------- -----------
Total income (loss) from operations 0.38 (0.28) 1.01 0.93 0.48 0.47
------------- ------------ ------------- ------------- -------------- -----------
LESS DISTRIBUTIONS:
From net investment income - (0.51) (0.41) (0.42) (0.34) (0.34)
From net realized gains on investment
transactions - - (0.14) (0.02) (0.03) (0.04)
------------- ------------ ------------- ------------- -------------- -----------
Total distributions - (0.51) (0.55) (0.44) (0.37) (0.38)
------------- ------------ ------------- ------------- -------------- -----------
Net increase (decrease) 0.38 (0.79) 0.46 0.49 0.11 0.09
------------- ------------ ------------- ------------- -------------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.74 $ 10.36 $ 11.15 $ 10.69 $ 10.20 $ 10.09
============= ============ ============= ============= ============== ===========
TOTAL RETURN (A) 3.67% (2.50)% 9.40% 9.16% 4.82% 4.65%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $ 117,421 $ 106,329 $ 63,785 $ 25,389 $ 9,832 $ 3,007
Ratio of expenses to average net assets (b) (c) 0.80% 0.80% 1.28% 0.94% 0.84% 0.84%
Ratio of net investment income to average net
assets (b) 6.10% 5.45% 5.33% 5.99% 5.72% 5.41%
Portfolio turnover 50.76% 122.72% 429.70% 378.59% 218.50% 253.37%
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT:
Ratio of expenses to average net assets (b) n/a n/a 1.29% 1.05% 1.37% 2.53%
Ratio of net investment income to average net
assets (b) n/a n/a 5.32% 5.88% 5.19% 3.72%
</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 periods less than one year.
(b) Annualized for periods less than one year.
(c) For the years ended December 31, 1998 and 1997, the ratio of expenses to
average net assets excluding non-operating expenses was 0.85% for each
year.
See notes to the financial statements.
207
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
Schedule of Investments (Unaudited)
June 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
CORPORATE BONDS - 0.9%
ASSET BACKED SECURITIES - 0.9%
Green Tree Financial Corp.,
7.07%, 01/15/2029 (b) $ 1,385,918 $ 1,310
-----------
Total Corporate Bonds
(cost $1,331) 1,310
-----------
U.S. GOVERNMENT SECURITIES - 67.5%
U.S. GOVERNMENT AGENCIES - 41.4%
Federal Home Loan Bank
5.80%, 09/02/2008 3,500,000 3,204
Federal Home Loan Mortgage Corp.
6.00%, 09/01/2010 1,967 2
7.00%, 07/01/2011 63,917 63
6.50%, 08/01/2013 388,690 377
8.25%, 04/01/2017 142,252 144
10.50%, 06/01/2020 398,964 428
8.00%, 07/01/2020 550,109 558
10.00%, 09/01/2020 759,553 808
8.50%, 03/15/2024 (b) 1,750,000 1,795
6.00%, 11/01/2028 4,213,838 3,878
6.50%, TBA (a) 9,000,000 8,497
Federal National Mortgage
Association
7.3685%, 01/17/2013 (b) 2,953,082 2,990
14.50%, 11/15/2014 2,990 4
12.50%, 09/20/2015 11,005 12
13.00%, 11/15/2015 8,987 10
12.00%, 01/01/2016 295,798 326
12.00%, 01/15/2016 10,298 12
12.50%, 01/15/2016 157,649 179
11.50%, 09/01/2019 2,696 3
10.50%, 08/01/2020 55,216 59
6.50%, 03/01/2026 266,886 256
7.00%, 05/01/2026 193,356 189
9.00%, 08/01/2026 74,753 77
7.00%, 11/01/2028 501,056 487
7.00%, 12/01/2028 229,872 223
6.69%, 12/28/2028 1,475,200 1,404
7.00%, 03/01/2029 928,491 902
6.50%, 04/01/2029 (b) 4,130,374 3,907
6.50%, 04/01/2029 (b) 2,308,628 2,183
7.00%, 01/01/2030 (b) 2,487,227 2,401
6.527%, 05/25/2030 2,250,000 2,118
6.00%, TBA (a) 10,570,000 9,668
6.50%, TBA (a) 800,000 754
7.50%, TBA (a) 5,000,000 4,923
8.00%, TBA (a) 6,650,000 6,673
Government National Mortgage
Association
13.50%, 07/15/2010 144,672 164
8.50%, 01/15/2018 156,918 161
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Government National Mortgage
Association II
9.00%, 12/20/2019 $ 3,102,007 $ 3,171
-----------
60,827
U.S. TREASURY SECURITIES - 26.1%
U.S. Treasury Bonds
6.625%, 02/15/2027 (d) 2,350,000 2,492
5.25%, 11/15/2028 (d) 2,000,000 1,770
5.25%, 02/15/2029 (d) 2,000,000 1,774
6.125%, 08/15/2029 (d) 5,750,000 5,813
U.S. Treasury Notes
5.25%, 05/31/2001 (d) 1,000,000 989
5.25%, 05/15/2004 (d) 8,500,000 8,200
5.875%, 11/15/2004 (d) 5,000,000 4,922
6.50%, 02/15/2010 (d) 11,000,000 11,357
U.S. Treasury Strips
6.375%, 08/15/2027 (d) 1,000,000 1,028
-----------
38,345
-----------
Total U.S. Government
Securities
(cost $100,786) 99,172
-----------
SHORT TERM INVESTMENTS - 31.6%
COMMERCIAL PAPER - 21.7%
Armstrong World Industries Inc.,
6.80%, 07/10/2000 (b) 5,000,000 4,992
Boral Ltd., 6.80%, 07/12/2000 (b) 4,000,000 3,992
Duke Energy Field Service,
6.93%, 07/12/2000 (b) 5,000,000 4,989
Earthgrains Co., 6.80%,
07/12/2000 (b) 5,000,000 4,990
Houston Industries Finance
Company LP, 6.95%, 07/12/2000 (b) 5,000,000 4,989
Imperial Tobacco Finance, 6.85%,
07/11/2000 (b) 5,000,000 4,990
Solutia Inc., 6.84%, 07/11/2000(b) 3,000,000 2,994
-----------
31,936
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
6.51% (c) 585 1
REPURCHASE AGREEMENTS - 9.9%
Repurchase agreement with SBC
Warburg Dillon Read Inc., 6.55%
(Collateralized by $9,122,000
U.S. Treasury Bond, 8.125%, due
05/15/2021, market value
$11,201,000) acquired on
06/30/2000, due 07/03/2000 11,000,000 11,000
See notes to the financial statments.
208
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
Schedule of Investments (Unaudited) (continued)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
Repurchase agreement with State
Street Bank, 6.40%
(Collateralized by $3,190,000
U.S. Treasury Bond, 7.25%, due
05/15/2016, market value
$3,548,000) acquired on
06/30/2000, due 07/03/2000 $ 3,482,000 $ 3,482
-----------
14,482
-----------
Total Short Term Investments
(cost $46,419) 46,419
-----------
TOTAL INVESTMENTS - 100%
(cost $148,536) $ 146,901
===========
--------------------------------------------------------------------------------
(a) Investment purchased on a when-issued basis.
(b) Security pledged as collateral for investment purchased on a when-issued
basis.
(c) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000. (d) All or a portion of this security
has been loaned.
Based on the cost of investments of $148,675 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $842, the gross unrealized
depreciation was $2,616 and the net unrealized depreciation on investments was
$1,774.
See notes to the financial statements.
209
<PAGE>
T. Rowe Price/JNL Established Growth Series
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $338,400) ................ $ 418,677
Foreign currency ........................... 68
Receivables:
Dividends and interest ................... 241
Foreign taxes recoverable ................ 5
Fund shares sold ......................... 250
Investment securities sold ............... 3,770
Collateral for securities loaned ........... 9,227
---------------
Total assets ............................... 432,238
---------------
Liabilities
Payables:
Advisory fees ............................ 273
Administrative fees ...................... 33
Fund shares redeemed ..................... 118
Investment securities purchased .......... 6,936
Return of collateral for securities loaned 9,227
---------------
Total liabilities .......................... 16,587
---------------
Net assets ................................. $ 415,651
===============
Net assets consist of:
Paid-in capital ............................ $ 300,211
Undistributed net investment income ........ 43
Accumulated net realized gain on
investments
and foreign currency related items ....... 35,121
Net unrealized appreciation on investments
and foreign currency related items ....... 80,276
---------------
$ 415,651
===============
Shares outstanding (no par value),
unlimited shares authorized .............. 17,762
==============
Net asset value per share .................. $ 23.40
==============
Statement of Operations
For the Six Months Ended June 30, 2000
Investment income
Dividends ................................ $ 1,369
Interest ................................. 374
Securities lending ....................... 16
Foreign taxes withheld ................... (44)
Total investment income .................... 1,715
Expenses
Advisory fees ............................ 1,531
Administrative fees ...................... 187
Total expenses ............................. 1,718
---------------
Net investment loss ........................ (3)
Realized and unrealized gains (losses)
Net realized gain (loss) on:
Investments .............................. 26,339
Foreign currency related items ........... (277)
Net change in unrealized appreciation
(depreciation) on:
Investments .............................. 3,069
Foreign currency related items ........... (1)
---------------
Net realized and unrealized gain ........... 29,130
Net increase in net assets from operations . $ 29,127
===============
See notes to the financial statements.
210
<PAGE>
T. Rowe Price/JNL Established Growth Series
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
------------- --------------
<S> <C> <C>
Operations
Net investment income (loss) ............................... $ (3) $ 449
Net realized gain (loss) on:
Investments .............................................. 26,339 27,184
Foreign currency related items ........................... (277) 14
Net change in unrealized appreciation (depreciation) on:
Investments .............................................. 3,069 31,750
Foreign currency related items ........................... (1) (1)
------------- --------------
Net increase in net assets from operations ................... 29,127 59,396
------------- --------------
Distributions to shareholders
From net investment income ................................. - (421)
From net realized gains on investment transactions ......... - (22,355)
------------- -------------
Total distributions to shareholders .......................... - (22,776)
------------- --------------
Share transactions(1)
Proceeds from the sale of shares ........................... 73,118 123,172
Reinvestment of distributions .............................. - 22,776
Cost of shares redeemed .................................... (37,932) (47,829)
------------- --------------
Net increase in net assets from share transactions ........... 35,186 98,119
------------- --------------
Net increase in net assets ................................... 64,313 134,739
Net assets beginning of period ............................... 351,338 216,599
------------- --------------
Net assets end of period ..................................... $ 415,651 $ 351,338
============= ==============
Undistributed net investment income .......................... $ 43 $ 46
============= ==============
(1)Share Transactions:
Shares sold ............................................. 3,294 6,147
Reinvestment of distributions ........................... - 1,053
Shares redeemed ......................................... (1,723) (2,374)
------------- --------------
Net increase ............................................ 1,571 4,826
============= ==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ................................. $ 179,048 $ 235,082
Proceeds from sales of securities ....................... 146,239 159,357
</TABLE>
See notes to the financial statements
211
<PAGE>
T. Rowe Price/JNL Established Growth Series
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from Period from
Six months April 1, May 15,
ended 1996 to 1995* to
June 30, Year ended December 31, December 31, March 31,
2000 1999 1998 1997 1996 1996
--------- ------------ ---------- --------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ....................... $21.70 $19.06 $15.62 $12.56 $11.36 $10.00
--------- ------------ ---------- --------- ------------ -----------
Income from operations:
Net investment income ...................................... - 0.03 0.05 0.06 0.03 0.07
Net realized and unrealized gains on investments and
foreign currency related items ............................. 1.70 4.12 4.29 3.64 1.81 2.68
--------- ------------ ---------- --------- ------------ -----------
Total income from operations ............................... 1.70 4.15 4.34 3.70 1.84 2.75
--------- ------------ ---------- --------- ------------ -----------
Less distributions:
From net investment income ................................. - (0.03) (0.06) (0.03) (0.04) (0.06)
From net realized gains on investment transactions ......... - (1.48) (0.84) (0.61) (0.09) (1.33)
Return of capital .......................................... - - - - (0.51) -
--------- ------------ ---------- --------- ------------ -----------
Total distributions ........................................ - (1.51) (0.90) (0.64) (0.64) (1.39)
--------- ------------ ---------- --------- ------------ -----------
Net increase ............................................... 1.7 2.64 3.44 3.06 1.2 1.36
--------- ------------ ---------- --------- ------------ -----------
Net asset value, end of period ............................. $23.40 $21.70 $19.06 $15.62 $12.56 $11.36
========= ============ ========== ========= ============ ===========
Total Return (a) ........................................... 7.83 % 21.77 % 27.78 % 29.47 % 16.12 % 28.23 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................... $415,651 $351,338 $216,599 $124,022 $32,291 $8,772
Ratio of expenses to average net assets (b) ................ 0.92 % 0.93 % 0.95 % 0.98 % 1.00 % 1.00 %
Ratio of net investment income to average net assets (b) ... - 0.16 % 0.38 % 0.43 % 0.59 % 0.75 %
Portfolio turnover ......................................... 39.95 % 61.45 % 54.93 % 47.06 % 36.41 % 101.13 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ................ n/a n/a 0.95 % 0.98 % 1.11 % 2.09 %
Ratio of net investment income (loss) to average net
assets (b) ................................................. n/a n/a 0.38 % 0.43 % 0.48 % (0.34)%
</TABLE>
--------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
212
<PAGE>
T. Rowe Price/JNL Established Growth Series
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Common Stocks - 96.2%
Advertising - 0.7%
Omnicom Group Inc. 31,700 $ 2,823
Aerospace & Defense - 0.3%
United Technologies Corp. 24,700 1,454
Banks - 3.2%
Bank of New York Co. Inc. 72,400 3,367
Chase Manhattan Corp. 17,250 795
Firstar Corp. 161,100 3,393
Mellon Financial Corp. 66,400 2,419
State Street Corp. 17,500 1,856
Wells Fargo & Co. 39,700 1,538
-----------
13,368
Beverages - 1.4%
Coca-Cola Co. 34,100 1,958
PepsiCo Inc. 89,200 3,964
-----------
5,922
Biotechnology - 1.4%
Amgen Inc. (a) 16,500 1,159
Genentech Inc. (a) 21,300 3,664
PE Corp.-PE Biosystems Group 17,900 1,179
-----------
6,002
Building Materials - 0.2%
Masco Corp. 49,200 889
Commercial Services - 1.1%
Concord EFS Inc. (a) 80,600 2,096
Randstad Holdings NV 72,100 2,678
-----------
4,774
Computers - 7.0%
Ariba Inc. (a) 32,900 3,226
Ceridian Corp. (a) 54,800 1,319
Cisco Systems Inc. (a) 178,000 11,270
Dell Computer Corp. (a) 140,400 6,923
Hewlett-Packard Co. 20,400 2,547
SanDisk Corp. 32,300 1,976
Sun Microsystems Inc. (a) 24,100 2,192
-----------
29,453
Cosmetics & Personal Care - 0.6%
Gillette Co. 30,500 1,065
Kimberly-Clark Corp. 21,800 1,251
-----------
2,316
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Diversified Financial Services -
6.5%
Associates First Capital Corp. 80,900 $ 1,805
Capital One Financial Corp. 66,100 2,950
Citigroup Inc. 123,775 7,458
Fannie Mae 64,100 3,345
Freddie Mac 174,300 7,059
Morgan Stanley Dean Witter & Co. 33,600 2,797
Providian Financial Corp. 19,100 1,719
-----------
27,133
Electrical Components & Equipment - 1.5%
Koninklijke (Royal) Phillips
Electronics NV 96,600 4,575
Kyocera Corp. 10,300 1,751
-----------
6,326
Electronics - 4.8%
Analog Devices Inc. (a) 15,400 1,171
Flextronics International Ltd. 81,700 5,612
(a)
Maxim Integrated Products Inc. 61,900 4,205
(a)
Samsung Electronics 8,700 2,879
SDL Inc. (a) 6,600 1,882
Solectron Corp. (a) 100,900 4,225
-----------
19,974
Entertainment - 0.7%
MGM Grand Inc. 85,000 2,731
Food - 2.2%
Compass Group Plc 100,700 1,327
Kroger Co. (a) 113,900 2,513
Safeway Inc. (a) 117,400 5,298
-----------
9,138
Healthcare - 3.1%
Baxter International Inc. 69,800 4,908
UnitedHealth Group Inc. 50,700 4,347
Wellpoint Health Networks Inc.(a) 52,400 3,796
-----------
13,051
Holding Companies - Diversified -
1.1%
Hutchison Whampoa Ltd. 290,510 3,652
Tomkins Plc 324,340 1,055
-----------
4,707
Home Furnishings - 0.5%
SONY Corp. (c) 22,600 2,115
Insurance - 2.8%
ACE Ltd. 166,700 4,668
AMBAC Financial Group Inc. (a) 18,300 1,003
Fairfax Financial Holdings Ltd. (a) 5,700 623
See notes to the financial statements.
213
<PAGE>
T. Rowe Price/JNL Established Growth Series
Schedule of Investments (Unaudited) (continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Hartford Financial Services
Group Inc. 40,400 $ 2,260
Marsh & McLennan Cos. Inc. 10,100 1,055
Mutual Risk Management Ltd. 42,000 727
PartnerRe Ltd. 17,200 609
XL Capital Ltd. 10,600 574
-----------
11,519
Lodging - 0.3%
Starwood Hotels & Resorts
Worldwide Inc. 42,300 1,367
Manufacturing - 6.7%
Corning Inc. 25,400 6,855
Danaher Corp. 35,500 1,755
General Electric Co. 142,300 7,542
Teleflex Inc. 23,400 867
Tyco International Ltd. 166,424 7,884
Waters Corp. (a) 24,400 3,046
-----------
27,949
Media - 4.8%
AT&T - Liberty Media Group
- Class A (a) 122,800 2,978
Clear Channel Communications
Inc. (a) 31,100 2,332
Comcast Corp. (a) 113,600 4,601
Infinity Broadcasting Corp. (a) 68,800 2,507
Time Warner Inc. 21,000 1,596
Viacom Inc. - Class B (a) 73,272 4,996
VNU NV 21,300 1,105
-----------
20,115
Office & Business Equipment - 0.1%
Lexmark International Group Inc. 8,700 585
(a)
Oil & Gas Producers - 3.9%
Baker Hughes Inc. 111,300 3,562
Chevron Corp. 41,100 3,486
Exxon Mobil Corp. 53,505 4,200
Royal Dutch Petroleum Co. - NYS 79,400 4,888
-----------
16,136
Pharmaceuticals - 8.1%
American Home Products Corp. 55,900 3,284
Bristol-Myers Squibb Co. 29,200 1,701
Eli Lilly & Co. 49,500 4,944
Medimmune Inc. 36,300 2,686
Merck & Co. Inc. 19,100 1,463
Pfizer Inc. 283,125 13,590
Pharmacia Corp. 69,823 3,609
Schering-Plough Corp. 45,000 2,272
-----------
33,549
Retail - 4.8%
Circuit City Stores Inc. 39,400 1,307
CVS Corp. 91,072 3,643
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Home Depot Inc. 72,650 $ 3,628
Lowe's Cos. Inc. 42,000 1,725
McDonald's Corp. 16,200 534
Priceline.com Inc. 27,000 1,025
Target Corp. 31,600 1,833
Wal-Mart de Mexico SA de
CV - ADR (a) 66,900 1,570
Wal-Mart Stores Inc. 82,500 4,754
-----------
20,019
Semiconductors - 6.2%
Altera Corp. (a) 39,200 3,996
Applied Materials Inc. (a) 51,800 4,694
Applied Micro Circuits Corp. (a) 19,300 1,906
Atmel Corp. (a) 30,200 1,114
Intel Corp. 55,200 7,379
Motorola Inc. 30,900 898
PMC - Sierra Inc. (a) 11,700 2,079
Texas Instruments Inc. 56,500 3,881
-----------
25,947
Software - 11.4%
America Online Inc. (a) 83,400 4,399
Automatic Data Processing Inc. 68,000 3,642
BMC Software Inc. (a) 82,200 2,999
Computer Associates
International Inc. 23,500 1,202
Electronic Arts Inc. (a) 23,300 1,700
First Data Corp. 82,500 4,094
Macromedia Inc. (a) 6,800 658
Microsoft Corp. (a) 127,800 10,224
Oracle Corp. (a) 79,800 6,708
Peregrine Systems Inc. (a) 25,300 877
Siebel Systems Inc. (a) (c) 21,900 3,582
Softbank Corp. 4,400 599
Veritas Software Corp. (a) (c) 31,975 3,614
Vitria Technology Inc. (a) 23,000 1,406
Yahoo Inc. (a) 15,700 1,945
-----------
47,649
Telecommunications - 10.4%
China Telecom (Hong Kong) Ltd. 101,000 891
(a)
China Unicom - ADR (a) 60,300 1,281
Crown Castle International Corp. 9,900 361
(a)
JDS Uniphase Corp. (a) 43,600 5,226
Nextel Communications Inc. (a) 84,400 5,164
NEXTLINK Communications Inc. (a) 60,800 2,306
Nokia Corp. - ADR 76,800 3,835
Nortel Networks Corp. 69,500 4,743
Sprint Corp. (PCS Group) (a) 47,800 2,844
Telefonaktiebolaget Ericsson LM
SA - Class B 107,800 2,145
Telesp Celular Participacoes 34,000 1,526
Vodafone AirTouch Plc (c) 1,224,423 4,950
Vodafone AirTouch Plc - ADR 33,200 1,376
WorldCom Inc. (a) 149,926 6,879
-----------
43,527
See notes to the financial statements.
214
<PAGE>
T. Rowe Price/JNL Established Growth Series
Schedule of Investments (Unaudited) (continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Tobacco - 0.5%
Philip Morris Cos. Inc. 78,700 $ 2,090
-----------
Total Common Stocks
(cost $322,351) 402,628
-----------
Short Term Investments - 3.8%
Money Market Funds - 3.8%
Dreyfus Cash Management Plus,
6.51% (b)
6,260,827 6,261
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
T. Rowe Price Reserves
Investment Fund, 6.07% (b) 9,788,123 $ 9,788
-----------
Total Short Term Investments
(cost $16,049)
16,049
-----------
Total Investments - 100%
(cost $338,400) $ 418,677
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 2000.
(c) All or a portion of this security has been loaned.
Based on the cost of investments of $338,972 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $97,931, the gross
unrealized depreciation was $18,226 and the net unrealized appreciation on
investments was $79,705.
Summary of Investments by Country, June 30, 2000:
% of Investment Market Value
Country Securities (000's)
------------------------------------------------------- ------------------
Bermuda 0.3% $ 1,301
Brazil 0.3% 1,526
Mexico 0.4% 1,570
Sweden 0.5% 2,144
Korea 0.7% 2,879
Finland 1.0% 3,835
Japan 1.1% 4,465
Hong Kong 1.1% 4,543
Canada 1.3% 5,367
United Kingdom 2.1% 8,707
Netherlands 3.1% 13,245
United States 88.1% 369,095
------------------- ------------------
Total 100.0% $ 418,677
=================== ==================
See notes to the financial statements.
215
<PAGE>
T. Rowe Price/JNL Mid-Cap Growth Series
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investments (cost $280,244) .............. $ 353,328
Receivables:
Dividends and interest ................. 194
Fund shares sold ....................... 2,094
Investment securities sold ............. 1,875
---------------
Total assets ............................. 357,491
---------------
Liabilities
Payables:
Advisory fees .......................... 267
Administrative fees .................... 29
Fund shares redeemed ................... 106
Investment securities purchased ........ 1,299
--------------
Total liabilities ........................ 1,701
---------------
Net assets ............................... $ 355,790
==============
Net assets consist of:
Paid-in capital .......................... $ 257,530
Accumulated net investment loss .......... (402)
Accumulated net realized gain on
investments and foreign currency
related items .......................... 25,578
Net unrealized appreciation on investments 73,084
---------------
$ 355,790
===============
Shares outstanding (no par value),
unlimited shares authorized ............ 14,219
==============
Net asset value per share ................ $ 25.02
===============
Statement of Operations
For the Six Months Ended June 30, 2000
Investment income
Dividends .............................. $ 469
Interest ............................... 765
Foreign taxes withheld ................. (3)
--------------
Total investment income .................. 1,231
--------------
Expenses
Advisory fees .......................... 1,473
Administrative fees .................... 160
--------------
Total expenses ........................... 1,633
--------------
Net investment loss ...................... (402)
--------------
Realized and unrealized gains (losses)
Net realized gain on investments ......... 19,768
Net change in unrealized depreciation
on investments ......................... (1,684)
--------------
Net realized and unrealized gain ......... 18,084
--------------
Net increase in net assets from operations $ 17,682
==============
See notes to the financial statements.
216
<PAGE>
T. Rowe Price/JNL Mid-Cap Growth Series
Statements of Changes in Net Assets (Unaudited)
(in thousands)
<TABLE>
<CAPTION>
Six months
ended Year ended
June 30, December 31,
2000 1999
-------------- --------------
<S> <C> <C>
Operations
Net investment loss ................................................................ $ (402) $ (638)
Net realized gain (loss) on:
Investments ...................................................................... 19,768 22,884
Foreign currency related items - (260)
Net change in unrealized appreciation (depreciation) on investments ................ (1,684) 31,332
-------------- --------------
Net increase in net assets from operations ........................................... 17,682 53,318
-------------- --------------
Distributions to shareholders
From net investment income ......................................................... - -
From net realized gains on investment transactions ................................. - (18,310)
-------------- --------------
Total distributions to shareholders .................................................. - (18,310)
-------------- --------------
Share transactions(1)
Proceeds from the sale of shares ................................................... 153,124 146,513
Reinvestment of distributions ...................................................... - 18,310
Cost of shares redeemed ............................................................ (101,518) (102,965)
-------------- --------------
Net increase in net assets from share transactions ................................... 51,606 61,858
-------------- --------------
Net increase in net assets ........................................................... 69,288 96,866
Net assets beginning of period ....................................................... 286,502 189,636
-------------- --------------
Net assets end of period ............................................................. $ 355,790 $ 286,502
============== ==============
Accumulated net investment loss ...................................................... $ (402) $ -
============== ==============
(1)Share Transactions:
Shares sold ..................................................................... 6,306 6,735
Reinvestment of distributions ................................................... - 782
Shares redeemed ................................................................. (4,172) (4,715)
-------------- --------------
Net increase .................................................................... 2,134 2,802
============== ==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ......................................................... $ 129,945 $ 151,575
Proceeds from sales of securities ............................................... 83,131 117,551
</TABLE>
See notes to the financial statements.
217
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
December 31, 1999
T. Rowe Price/JNL Mid-Cap Growth Series
Financial Highlights (Unaudited)
<TABLE>
<CAPTION>
Period from Period from
Six months April 1, May 15,
ended 1996 to 1995* to
June 30, Year ended December 31, December 31, March 31,
2000 1999 1998 1997 1996 1996
------------ ----------- ---------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $23.71 $20.43 $17.37 $14.89 $13.43 $10.00
------------ ----------- ---------- ------------ ------------- ------------
Income from operations:
Net investment income (loss) ....................... (0.03) (0.05) (0.07) (0.03) (0.05) 0.06
Net realized and unrealized gains on investments and
foreign currency related items ..................... 1.34 4.93 3.8 2.74 1.92 3.9
------------ ----------- ---------- ------------ ------------- ------------
Total income from operations ....................... 1.31 4.88 3.73 2.71 1.87 3.96
------------ ----------- ---------- ------------ ------------- ------------
Less distributions:
From net investment income ......................... - - - - -0.05 -
From net realized gains on investment transactions . - (1.60) (0.67) (0.23) (0.36) (0.53)
------------ ----------- ---------- ------------ ------------- ------------
Total distributions ................................ - (1.60) (0.67) (0.23) (0.41) (0.53)
------------ ----------- ---------- ------------ ------------- ------------
Net increase ....................................... 1.31 3.28 3.06 2.48 1.46 3.43
------------ ----------- ---------- ------------ ------------- ------------
Net asset value, end of period ..................... $25.02 $23.71 $20.43 $17.37 $14.89 $13.43
============ =========== ========== ============ ============= ============
Total Return (a) ................................... 5.53% 24.01% 21.49% 18.21% 13.91% 40.06%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) .......... 355,790 $286,502 $189,636 $127,052 $47,104 $10,545
Ratio of expenses to average net assets (b) ....... 1.02% 1.03% 1.04% 1.06% 1.10% 1.10%
Ratio of net investment income (loss) to average net
assets (b) ........................................ (0.25)% (0.28)% (0.37)% (0.26)% 0.18)% 0.82%
Portfolio turnover ................................ 28.00% 56.68% 50.92% 41.43% 25.05% 66.04%
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ....... n/a n/a 1.04% 1.06% 1.14% 2.10%
Ratio of net investment loss to average net assets (b) n/a n/a (0.37)% (0.26)% (0.22)% (0.18)%
</TABLE>
See notes to the financial statements.
218
<PAGE>
T. Rowe Price/JNL Mid-Cap Growth Series
Schedule of Investments (Unaudited)
June 30, 2000
Shares Market
or Value
Principal (000's)
Amount
-------------------------------------------------------------
Common Stocks - 92.3%
Advertising - 1.9%
Catalina Marketing Corp. (a) 33,000$ 3,366
Lamar Advertising Co. (a) 30,900 1,338
TMP Worldwide Inc. (a) 28,000 2,067
------------
6,771
Apparel - 0.6%
Jones Apparel Group Inc. (a) 89,000 2,091
Auto Parts & Equipment - 1.1%
Hertz Corp. 80,000 2,245
United Rentals Inc. (a) 100,900 1,728
------------
3,973
Banks - 0.4%
North Fork Bancorporation Inc. 97,000 1,467
Biotechnology - 0.9%
Affymetrix Inc. (a) 11,700 1,932
Incyte Genomics Inc. 16,900 1,389
------------
3,321
Building Materials - 0.6%
Martin Marietta Materials Inc. 48,700 1,969
Commercial Services - 7.1%
Concord EFS Inc. (a) 177,000 4,602
eLoyalty Corp. 30,000 383
Fiserv Inc. 21,500 930
Keane Inc. (a) 117,000 2,530
Manpower Inc. 101,000 3,232
NOVA Corp. (a) 159,400 4,453
Robert Half International Inc. (a) 178,000 5,073
Viad Corp. 140,000 3,815
------------
25,018
Computers - 3.0%
Affiliated Computer Services Inc.
- Class A (a) 103,100 3,409
Ceridian Corp. (a) 115,300 2,774
Ciber Inc. (a) 133,900 1,774
SunGard Data Systems Inc. (a) 83,000 2,573
------------
10,530
Diversified Financial Services - 7.0%
BISYS Group Inc. 15,000 923
Capital One Financial Corp. 60,000 2,677
E*TRADE Group Inc. (a) 126,000 2,079
Federated Investors Inc. 140,000 4,909
Heller Financial Inc. 149,000 3,054
MGIC Investment Corp. 56,000 2,548
NextCard Inc. (a) 27,000 229
Waddell & Reed Financial Inc. -
Class A 183,000 6,005
Waddell & Reed Financial Inc. -
Class B 81,000 2,354
------------
24,778
Shares Market
or Value
Principal (000's)
Amount
-------------------------------------------------------------
Electrical Components & Equipment - 1.3%
Jabil Circuit Inc. (a) 37,000 $ 1,836
Pinnacle Holdings Inc. (a) 53,000 2,862
------------
4,698
Electronics - 6.2%
Analog Devices Inc. (a) 92,600 7,038
CTS Corp. 9,800 441
Flextronics International Ltd. (a) 32,000 2,198
Maxim Integrated Products Inc. (a) 62,000 4,212
Molex Inc. 57,500 2,012
Sanmina Corp. (a) 35,000 2,993
SCI Systems Inc. (a) 75,400 2,955
------------
21,849
Entertainment - 0.7%
Premier Parks Inc. (a) 99,000 2,252
Environmental Control - 1.2%
Republic Services Inc. (a) 270,000 4,320
Food - 0.7%
HomeGrocer.com (a) 80,000 483
Whole Foods Market Inc. (a) 52,000 2,148
------------
2,631
Healthcare - 1.9%
Linecare Holdings Inc. (a) 122,000 3,004
Wellpoint Health Networks Inc. (a) 52,000 3,767
------------
6,771
Insurance - 2.2%
ACE Ltd. 103,000 2,884
Protective Life Corp. 73,000 1,944
Radian Group Inc. 57,000 2,950
------------
7,778
Iron & Steel - 0.3%
Allegheny Technologies Inc. 59,000 1,062
Leisure Time - 0.7%
Galileo International Inc. 118,000 2,463
Manufacturing - 5.8%
Danaher Corp. 49,000 2,422
ITT Industries Inc. 54,000 1,640
Millipore Corp. 24,000 1,809
Pentair Inc. 103,000 3,657
Sybron International Corp. (a) 155,000 3,071
Teleflex Inc. 59,000 2,187
Waters Corp. (a) 44,400 5,542
------------
20,328
Media - 1.6%
Charter Communications Inc. (a) 88,000 1,447
Internet Capital Group Inc. (a) 61,000 2,258
Univision Communications Inc. (a) 20,000 2,070
------------
5,775
See notes to the financial statements.
219
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (continued)
Shares or Market
Principal Value
Amount (000's)
------------------------------------------------------------
Oil & Gas Producers - 6.0%
BJ Services Co. (a) 59,000 $ 3,688
Devon Energy Corp. 96,000 5,394
Diamond Offshore Drilling Inc. 59,000 2,072
Ocean Energy Inc. (a) 237,000 3,362
Smith International Inc. (a) 43,000 3,131
Tidewater Inc. 103,000 3,708
------------
21,355
Pharmaceuticals - 11.6%
Abgenix Inc. (a) 12,000 1,462
ALZA Corp. (a) 6,500 384
AmeriSource Health Corp. (a) 178,000 5,518
Gilead Sciences Inc. (a) 64,000 4,552
IDEC Pharmaceuticals Corp. (a) 24,000 2,816
MedImmune Inc. (a) 66,500 4,921
Omnicare Inc. 266,000 2,411
QLT Photo Therapeutics Inc. (a) 32,000 2,474
Sepracor Inc. (a) 44,000 5,308
Shire Pharmaceuticals Group Plc 83,000 4,306
- ADR (a)
Teva Pharmaceutical Industries 91,000 5,044
Ltd. - ADR
Watson Pharmaceutical Inc. (a) 30,000 1,612
------------
40,808
Retail - 8.6%
BJ's Wholesale Club Inc. (a) 100,000 3,300
Borders Group Inc. (a) 71,000 1,105
Circuit City Stores Inc. 133,000 4,414
Consolidated Stores Corp. (a) 119,000 1,539
Family Dollar Stores Inc. 190,000 3,717
MSC Industrial Direct Co. Inc. (a) 77,000 1,612
O'Reilly Automotive Inc. (a) 116,000 1,610
Outback Steakhouse Inc. (a) 100,000 2,925
Priceline.com Inc. (a) 49,000 1,861
Shopko Stores Inc. (a) 58,800 904
Tech Data Corp. (a) 91,000 3,964
TJX Companies Inc. 176,000 3,300
------------
30,251
Semiconductors - 4.4%
KLA-Tencor Corp. (a) 49,000 2,870
Lattice Semiconductor Corp. (a) 49,000 3,387
PMC - Sierra Inc. (a) 23,000 4,087
Xilinx Inc. (a) 62,000 5,119
------------
15,463
Software - 8.9%
Cambridge Technology Partners 57,000 497
Inc. (a)
CNET Networks Inc. (a) 61,000 1,498
Commerce One Inc. (a) 14,100 640
Covad Communications Group Inc. 35,500 572
(a)
Shares or Market
Principal Value
Amount (000's)
-------------------------------------------------------------
Digex Inc. (a) 27,500 $ 1,868
Electronic Arts Inc. (a) 35,000 2,553
eSPEED Inc. (a) 8,600 374
HomeStore.com Inc. (a) 67,000 1,956
Informatica Corp. (a) 27,300 2,237
Intuit Inc. (a) 105,000 4,344
ISS Group Inc. (a) 23,000 2,271
Macromedia Inc. (a) 18,200 1,760
Mercury Interactive Corp. (a) 15,000 1,451
NetIQ Corp. (a) 30,000 1,789
Peregrine Systems Inc. (a) 91,000 3,157
Rythms NetConnections Inc. (a) 59,000 741
Usintrenetworking Inc. (a) 67,000 1,369
Vitria Technology Inc. (a) 31,500 1,925
XPedior Inc. (a) 25,700 355
------------
31,357
Telecommunications - 6.9%
Allegiance Telecom Inc. (a) 17,500 1,120
AT&T Canada Inc. 52,000 1,727
Crown Castle International Corp. 87,000 3,175
(a)
DoubleClick Inc. (a) 55,000 2,097
Efficient Networks Inc. (a) 10,300 758
McLeodUSA Inc. (a) 67,000 1,386
Rogers Communications Inc. - 75,000 2,137
Class B (a)
Voicestream Wireless Corp. (a) 44,500 5,175
Western Wireless Corp. (a) 127,000 6,921
------------
24,496
Transportation - 0.7%
C.H. Robinson Worldwide Inc. 25,400 1,257
Expeditors International of
Washington Inc. 24,000 1,140
------------
2,397
------------
Total Common Stocks
(cost $252,888) 325,972
------------
Short Term Investments - 7.7%
Money Market Funds - 7.7%
Dreyfus Cash Management Plus,
6.51% (b) 1,818,137 1,818
T. Rowe Price Reserves Investment
Fund, 6.07% (b) 25,538,140 25,538
------------
Total Short Term Investments
(cost $27,356) 27,356
------------
Total Investments - 100%
(cost $280,244) $ 353,328
============
------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions.
Rate stated is the quoted yield as of June 30, 2000.
Based on the cost of investments of $280,312 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $101,424, the gross
unrealized depreciation was $28,408 and the net unrealized appreciation on
investments was $73,016.
See notes to the financial statements.
220
<PAGE>
T. Rowe Price/JNL Value Series
Financial Statements (Unaudited)
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
June 30, 2000
Assets
Investment (cost $16,459) ................. $ 15,800
Receivables:
Dividends and interest .................. 27
Fund shares sold ........................ 172
Investment securities sold .............. 220
---------------
Total assets .............................. 16,219
---------------
Liabilities
Payables:
Advisory fees ........................... 11
Administrative fees ..................... 1
Fund shares redeemed .................... 3
Investment securities purchased ......... 574
--------------
Total liabilities ......................... 589
---------------
Net assets ................................ $ 15,630
==============
Net assets consist of:
Paid-in capital ........................... $ 16,269
Undistributed net investment income ....... 44
Accumulated net realized loss on
investments
and foreign currency related items ...... (24)
Net unrealized depreciation on investments (659)
---------------
$ 15,630
===============
Shares outstanding (no par value),
unlimited shares authorized ............. 1,619
==============
Net asset value per share ................. $ 9.65
===============
Statement of Operations
For the Period Ended June 30, 2000*
Investment income
Dividends ............................... $ 48
Interest ................................ 17
--------------
Total investment income ................... 65
--------------
Expenses
Advisory fees ........................... 19
Administrative fees ..................... 2
--------------
Total expenses ............................ 21
--------------
Net investment income ..................... 44
--------------
Realized and unrealized losses Net realized
loss on:
Investments ............................. (22)
Foreign currency related items .......... (2)
Net change in unrealized depreciation
on investments .......................... (659)
--------------
Net realized and unrealized loss .......... (683)
--------------
Net decrease in net assets from operations $ (639)
==============
------------------------------------------------------------
* For the period beginning May 1, 2000 (commencement of operations).
See notes to the financial statements
221
<PAGE>
T. Rowe Price/JNL Value Series
Statement of Changes in Net Assets (Unaudited)
(in thousands)
Period from
May 1,
2000*to
June 30,
2000
--------------
Operations
Net investment income .................................. $ 44
Net realized loss on:
Investments .......................................... (22)
Foreign currency related items ....................... (2)
Net change in unrealized depreciation on investments ... (659)
--------------
Net decrease in net assets from operations ............... (639)
--------------
Distributions to shareholders
From net investment income ............................. -
From net realized gains on investment transactions ..... -
--------------
Total distributions to shareholders ...................... -
--------------
Share transactions(1)
Proceeds from the sale of shares ....................... 16,472
Reinvestment of distributions .......................... -
Cost of shares redeemed ................................ (203)
--------------
Net increase in net assets from share transactions ....... 16,269
--------------
Net increase in net assets ............................... 15,630
Net assets beginning of period .......................... -
--------------
Net assets end of period ................................ $ 15,630
==============
Undistributed net investment income ..................... $ 44
==============
(1)Share Transactions:
Shares sold .................................... 1,639
Reinvestment of distributions -
Shares redeemed ................................ (20)
--------------
Net increase ................................... 1,619
==============
Purchases and sales of investment securities
(excluding short-term securities):
Purchases of securities ........................ $ 16,397
Proceeds from sales of securities .............. 1,077
--------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements
222
<PAGE>
T. Rowe Price/JNL Value Series
Financial Highlights (Unaudited)
Period from
May 1,
2000* to
June 30,
2000
---------------
Selected Per Share Data
Net asset value, beginning of period ................. $ 10.00
---------------
Income from operations:
Net investment income .............................. 0.03
Net realized and unrealized losses on
investments and foreign currency related items .... (.38)
---------------
Total loss from operations ......................... (0.35)
---------------
Less distributions:
From net investment income ......................... -
From net realized gains on investment transactions . -
---------------
Total distributions ................................ -
---------------
Net decrease ....................................... (0.35)
---------------
Net asset value, end of period ....................... $ 9.65
===============
Total Return (a) ..................................... (3.50)%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) .......... $ 15,630
Ratio of expenses to average net assets (b) ....... 1.00%
Ratio of net investment income to average
net assets (b) .................................. 2.04%
Portfolio turnover ................................ 12.23%
-------------------------------------------------------------------------------
* 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 periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
223
<PAGE>
T. Rowe Price/JNL Value Series
Schedule of Investments (Unaudited)
June 30, 2000
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Common Stocks - 92.7%
Aerospace & Defense - 2.8%
Honeywell International Inc. 5,50 $ 185
Lockheed Martin Corp. 10,10 251
-----------
436
Airlines - 1.2%
Delta Air Lines Inc. 3,60 182
Apparel - 1.0%
Nordstrom Inc. 6,70 162
Auto Manufacturers - 0.5%
Ford Motor Co. 1,90 82
Auto Parts & Equipment - 0.9%
Dana Corp. 6,50 138
Visteon Corp. (a) 24 3
-----------
141
Banks - 6.0%
AmSouth Bancorporation 7,00 110
Bank of America Corp. 2,90 125
Bank One Corp. 5,60 149
Firststar Corp. 7,10 150
Huntington Bancshares Inc. 4,70 74
KeyCorp 5,40 95
Mellon Financial Corp. 3,90 142
Summit Bancorporation 4,40 108
-----------
953
Beverages - 0.8%
Coca-Cola Enterprises Inc. 7,50 122
Chemicals - 4.3%
Cabot Corp. (a) 7,60 207
Great Lakes Chemical Corp. 8,00 252
Hercules Inc. 8,10 114
W.R. Grace & Co. (a) 9,20 111
-----------
684
Coal - 0.9%
Newmont Mining Corp. 156,75 136
Commercial Services - 1.8%
H&R Block Inc. 4,70 152
Dun & Bradstreet Corp. 4,00 115
ServiceMaster Co. 2,20 25
-----------
292
Computers - 3.7%
Ceridian Corp. (a) 7,60 183
Compaq Computer Corp. 6,60 169
NCR Corp. (a) 3,00 117
Unisys Corp. (a) 7,40 108
-----------
577
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Cosmetics & Personal Care - 1.4%
Gillette Co. 6,20 $ 217
Diversified Financial Services -
1.7%
Citigroup Inc. 2,80 169
Fannie Mae 1,80 94
-----------
263
Electric - 1.0%
Niagara Mohawk Holdings Inc. (a) 11,000 153
Electrical Components & Equipment - 0.6%
Hubbell Inc. - Class B 3,800 97
Environmental Control - 1.1%
Waste Management Inc. 9,000 171
Food - 2.1%
McCormick & Co. Inc. 3,800 123
Safeway Inc. (a) 4,700 212
-----------
335
Forest Products & Paper - 1.8%
Fort James Corp. 5,800 134
Georgia-Pacific Corp. 4,400 95
Louisiana-Pacific Corp. 5,500 60
-----------
289
Hand & Machine Tools - 2.7%
Black & Decker Corp. 5,700 224
Stanley Works 8,200 195
-----------
419
Healthcare - 2.7%
Becton, Dickinson, and Co. 6,500 186
Hillenbrand Industries Inc. 7,400 232
-----------
418
Holding Companies - Diversified -
2.2%
Berkshire Hathaway Inc. - Class
A (a) 3 161
Seagram Co. Ltd. 3,200 186
-----------
347
Household Products - 1.3%
Fortune Brands Inc. 4,400 101
Tupperware Corp. 4,700 103
-----------
204
Insurance - 9.9%
Aetna Inc. 3,800 244
Allstate Corp. 5,500 122
AON Corp. 6,200 193
Chubb Corp. 2,700 166
Hartford Financial Services 4,600 257
Group Inc.
Loews Corp. 3,200 192
See notes to the financial statements.
224
<PAGE>
T. Rowe Price/JNL Value Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
------------------------------------------------------------
PartnerRe Ltd. 5,000 $ 177
Safeco Corp. 3,000 60
UnumProvident Corp. 7,700 154
-----------
1,565
Iron & Steel - 0.7%
Allegheny Technologies Inc. 6,200 112
Leisure Time - 1.5%
Galileo International Inc. 3,900 81
Hasbro Inc. 10,300 155
-----------
236
Lodging - 2.6%
Hilton Hotels Corp. 18,300 172
Starwood Hotels & Resorts
Worldwide Inc. 7,400 239
-----------
411
Machinery - 1.1%
Rockwell International Corp. 5,700 179
Manufacturing - 3.9%
Cooper Industries Inc. 4,700 153
Eaton Corp. 1,400 94
ITT Industries Inc. 1,800 55
Pall Corp. 8,400 155
Textron Inc. 2,900 158
-----------
615
Media - 6.9%
Chris-Craft Industries Inc. (a) 2,000 132
Comcast Corp. 5,700 231
Harcourt General Inc. 2,000 109
R.R. Donnelley & Sons Co. 6,600 149
Reed International Plc 19,700 171
Viacom Inc. - Class B 2,110 144
Walt Disney Co. 3,800 148
-----------
1,084
Metals & Mining - 0.7%
Phelps Dodge Corp. 3,100 115
Office & Business Equipment - 0.7%
Xerox Corp. 5,300 110
Oil & Gas Producers - 5.6%
Amerada Hess Corp. 3,300 204
Baker Hughes Inc. 3,400 109
BP Amoco Plc - ADR 3,500 198
Burlington Resources Inc. 4,100 157
Unocal Corp. (a) 3,800 126
USX - Marathon Group Inc. 3,900 98
-----------
892
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Packaging & Containers - 0.7%
Crown Cork & Seal Co. Inc. 7,800 $ 117
Pharmaceuticals - 1.4%
American Home Products Corp. 3,800 223
Retail - 4.3%
Dillard's Inc. - Class A 9,200 113
May Department Stores Co. 2,800 67
The Neiman Marcus Group Inc. -
Class A (a) 5,500 166
Toys "R" Us, Inc. (a) 12,000 175
Tricon Global Restaurants Inc.(a) 5,500 155
---------
676
Savings & Loans - 1.2%
Washington Mutual Inc. 6,600 191
Semiconductors - 0.3%
Motorola Inc. 1,800 52
Software - 0.9%
BMC Software Inc. (a) 3,900 142
Telecommunications - 3.5%
AT&T Corp. 5,500 174
CenturyTel Inc. 5,700 164
Sprint Corp. (FON Group) 4,100 209
---------
547
Tobacco - 0.4%
UST Inc. 4,700 69
Transportation - 3.9%
Canadian Pacific Ltd. 6,600 173
CNF Transportation Inc. 4,800 109
Norfolk Southern Corp. 7,500 112
Ryder System Inc. 6,800 129
Union Pacific Corp. 2,700 100
----------
623
----------
Total Common Stocks
(cost $15,298) 14,639
----------
See notes to the financial statements
225
<PAGE>
T. Rowe Price/JNL Value Series
Schedule of Investments (Unaudited)(continued)
Shares or Market
Principal Value
Amount (000's)
-----------------------------------------------------------
Short Term Investments - 7.3%
Money Market Funds - 7.3%
Dreyfus Cash Management Plus,
6.51% (b) 105,169 $ 105
T. Rowe Price Reserves Investment
Fund, 6.07% (b) 1,056,056 1,056
-----------
Total Short Term Investments
(cost $1,161) 1,161
-----------
Total Investments - 100%
(cost $16,459) $ 15,800
===========
-------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of June 30, 2000.
Based on the cost of investments of $16,459 for federal income tax purposes at
June 30, 2000, the gross unrealized appreciation was $465, the gross unrealized
depreciation was $1,124 and the net unrealized depreciation on investments was
$659.
See notes to the financial statements
226
<PAGE>
--------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
JNL Series Trust ("Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated June
1, 1994. The Trust, consisting of diversified and non-diversified Series, is
registered with the Securities and Exchange Commission under the Investment
Company Act of 1940. The Trust currently offers shares in forty-three (43)
separate Series, each with its own investment objective. JNL/Alger Growth
Series, for which Fred Alger Management, Inc serves as the sub-adviser;
JNL/Alliance Growth Series, for which Alliance Capital Management L.P. serves as
the sub-adviser; JNL/Eagle Core Equity Series and JNL/Eagle SmallCap Equity
Series, for which Eagle Asset Management, Inc. serves as the sub-adviser;
JNL/J.P. Morgan Enhanced S&P 500 Stock Index Series and JNL/J.P. Morgan
International & Emerging Markets Series, for which J.P. Morgan Investment
Management Inc. serves as the sub-adviser; JNL/Janus Aggressive Growth Series,
JNL/Janus Balanced Series, JNL/Janus Capital Growth Series, JNL/Janus Global
Equities Series and JNL/Janus Growth & Income Series, for which Janus Capital
Corporation serves as the sub-adviser; JNL/PIMCO Total Return Bond Series, for
which Pacific Investment Management Company serves as the sub-adviser;
JNL/Putnam Growth Series, JNL/Putnam International Equity Series, JNL/Putnam
Midcap Growth Series and JNL/Putnam Value Equity Series, for which Putnam
Investment Management, Inc. serves as the sub-adviser; Lazard/JNL Mid Cap Value
Series and Lazard/JNL Small Cap Value Series, for which Lazard Asset Management
serves as sub-adviser; PPM America/JNL Balanced Series, PPM America/JNL High
Yield Bond Series and PPM America/JNL Money Market Series, for which PPM America
Inc. serves as sub-adviser; Salomon Brothers/JNL Balanced Series, Salomon
Brothers/JNL Global Bond Series, Salomon Brothers/JNL High Yield Bond Series,
and Salomon Brothers/JNL U.S. Government & Quality Bond Series, for which
Salomon Brothers Asset Management Inc. serves as the sub-adviser; T. Rowe
Price/JNL Established Growth Series, T. Rowe Price/JNL Mid-Cap Growth Series and
T. Rowe Price/JNL Value Series, for which T. Rowe Price Associates, Inc. serves
as the sub-adviser; JNL/S&P Conservative Growth Series, JNL/S&P Conservative
Growth Series I, JNL/S&P Conservative Growth Series II, JNL/S&P Moderate Growth
Series, JNL/S&P Moderate Growth Series I, JNL/S&P Moderate Growth Series II,
JNL/S&P Aggressive Growth Series, JNL/S&P Aggressive Growth Series I, JNL/S&P
Aggressive Growth Series II, JNL/S&P Very Aggressive Growth Series I, JNL/S&P
Very Aggressive Growth Series II, JNL/S&P Equity Growth Series I, JNL/S&P Equity
Growth Series II, JNL/S&P Equity Aggressive Growth Series I and JNL/S&P Equity
Aggressive Growth Series II for which Standard & Poor's Investment Advisory
Services, Inc. serves as the sub-adviser.
Effective May 1, 2000, the Goldman Sachs/JNL Growth & Income Series became
the JNL/Janus Growth & Income Series and is managed by Janus Capital Corporation
and the T. Rowe Price/JNL International Equity Investment Series became the
JNL/Putnam International Equity Series and is managed by Putnam Investment
Management, Inc.
The shares of the Trust are sold primarily to life insurance company
separate accounts to fund the benefits of variable annuity policies.
Jackson National Financial Services, LLC ("JNFS"), 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 and
consistently applied by the Trust in the preparation of its financial
statements.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions. Actual results could differ from those estimates.
SECURITY VALUATION -- Bonds are valued on the basis of prices furnished by
pricing services which determine prices for normal institutional size trading
units of bonds or based on quotations provided by reputable broker-dealers. When
quotations are not readily available, bonds are valued at fair market value
determined by procedures approved by the Board of Trustees. Stocks listed on a
national or foreign stock exchange are valued at the final sale price, or final
bid price in absence of a sale. Stocks not listed on a national or foreign stock
exchange are valued at the closing bid price on the over-the-counter market.
Short-term securities maturing within 60 days of purchase, and all securities in
the PPM America/JNL Money Market Series, are valued at amortized cost, which
approximates market value. American Depository Receipts ("ADRs") and Global
Depository Receipts ("GDRs"), which are certificates representing shares of
foreign securities deposited in domestic and foreign banks, are traded and
valued in U.S. dollars.
227
<PAGE>
--------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
--------------------------------------------------------------------------------
The JNL/S&P Conservative Growth, JNL/S&P Conservative Growth I, JNL/S&P
Conservative Growth II, JNL/S&P Moderate Growth, JNL/S&P Moderate Growth I,
JNL/S&P Moderate Growth II, JNL/S&P Aggressive Growth, JNL/S&P Aggressive Growth
I, JNL/S&P Aggressive Growth II, JNL/S&P Very Aggressive Growth I, JNL/S&P Very
Aggressive Growth II, JNL/S&P Equity Growth I, JNL/S&P Equity Growth II, JNL/S&P
Equity Aggressive Growth I and JNL/S&P Equity Aggressive Growth II are valued at
the net asset value per share of each underlying Series determined as of the
close of the New York Stock Exchange on the valuation date.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Dividend income, net of applicable withholding
taxes, 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 as of noon Eastern Standard Time. 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 income securities, entering into forward
foreign currency exchange contracts, and accruing income or settling portfolio
purchases and sales denominated in a foreign currency paid or received at a
later date are recorded as net realized foreign currency related gains (losses)
and are considered ordinary income for tax purposes. Realized and unrealized
gains and losses on investments which result from changes in foreign currency
exchange rates are primarily included in net realized gains (losses) on
investments and net unrealized appreciation (depreciation) on investments,
respectively.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- A Series may enter into
forward foreign currency exchange contracts ("contracts"), generally to hedge
foreign currency exposure between trade date and settlement date on security
purchases and sales ("spot hedges") or to minimize foreign currency risk on
portfolio securities denominated in foreign currencies ("position hedges"). All
contracts are valued at the forward currency exchange rate and are
marked-to-market daily. When the contract is open, the change in market value is
recorded as net unrealized appreciation (depreciation) on foreign currency
related items. When the contract is closed, the difference between the value of
the contract at the time it was opened and the value at the time it was closed
is recorded as net realized gain (loss) on foreign currency related items.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of the Series' portfolio securities, but
it does establish a rate of exchange that can be achieved in the future. 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.
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.
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.
228
<PAGE>
--------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
--------------------------------------------------------------------------------
FUTURES CONTRACTS -- A Series may utilize futures contracts to a limited
extent. The risks associated with the use of futures contracts include 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. Upon
entering into a futures contract, the Series is required to deposit with the
broker an amount of cash or cash equivalents equal to a certain percentage of
the contract amount. This is known as the "initial margin". Futures contracts
are valued based upon their quoted daily settlement prices. The Series receive
from or pay to brokers an amount of cash equal to the daily fluctuation in the
value of the contracts. Such receipts or payments, known as the "variation
margin," are recorded by the Series as unrealized appreciation (depreciation)
until the contracts are terminated at which time realized gains and losses are
recognized. Futures contracts involve, to varying degrees, risk of loss in
excess of the futures variation margin reflected in the Statements of Assets and
Liabilities.
DOLLAR ROLL TRANSACTIONS -- A Series may enter into dollar roll
transactions with respect to mortgage securities in which the Series sells
mortgage securities and simultaneously agrees to repurchase similar (same type,
coupon and maturity) securities at a later date at an agreed upon price. The
value of the dollar roll transactions are reflected in the Series' Statements
of Assets and Liabilities. During the period between the sale and repurchase,
the Series forgoes principal and interest paid on the mortgage securities sold.
The Series is compensated by the interest earned on the cash proceeds of the
initial sale and from negotiated fees paid by brokers offered as an inducement
to the Series to "roll over" its purchase commitments. These fees are accrued
as income over the life of the dollar roll contract. 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.
SECURITIES LOANED -- The SerieS has entered into a securities lending
arrangement with the custodian. Under the terms of the agreement, the Series
receives a fee equal to a percentage of the annual net income from lending
transactions. In exchange for such fees, the custodian is authorized to loan
securities on behalf of the Series, against receipt of collateral at least equal
in value to the value of the securities loaned. Cash collateral is invested by
the custodian in a pooled money market instrument approved by the Advisor. The
Series bears the risk of any deficiency in the amount of collateral available
for return to a borrower due to a loss in an approved investment.
DISTRIBUTIONS TO SHAREHOLDERS -- The PPM Amer-ica/JNL Money Market Series
declares dividends daily and pays dividends monthly. For all other Series,
dividends from net investment income are declared and paid annually, but may be
done more frequently to avoid excise tax. Distributions of net realized capital
gains, if any, will be distributed at least annually.
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 periodically makes reclassifications
among certain of its capital accounts as a result of the recognition and
characterization of certain income and capital gain distributions determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles.
229
<PAGE>
--------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
--------------------------------------------------------------------------------
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has an investment advisory agreement with JNFS whereby JNFS
provides investment management and transfer agency services. Each Series pays
JNFS 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 JNFS.
<TABLE>
<CAPTION>
$0 TO $25 TO $50 TO $100 TO $150 TO $200 TO $250 TO $300 TO
(M - MILLIONS) $25 M $50 M $100 M $150 M $200 M $250 M $300 M $350 M
-------------- ----- ----- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
JNL/Alger Growth Series ............................ .975% .975% .975% .975% .975% .975% .975% .95%
JNL/Alliance Growth Series ......................... .775% .775% .775% .775% .775% .775% .70% .70%
JNL/Eagle Core Equity Series ....................... .90% .90% .85% .85% .85% .85% .85% .75%
JNL/Eagle SmallCap Equity Series ................... .95% .95% .95% .90% .90% .90% .90% .90%
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series ..................................... .80% .75% .75% .75% .75% .75% .75% .75%
JNL/J.P. Morgan International & Emerging
Markets Series ................................... .975% .975% .95% .95% .95% .90% .90% .90%
JNL/Janus Aggressive Growth Series ................. .95% .95% .95% .95% .90% .90% .90% .85%
JNL/Janus Balanced Series .......................... .95% .95% .95% .95% .90% .90% .90% .90%
JNL/Janus Capital Growth Series .................... .95% .95% .95% .95% .90% .90% .90% .85%
JNL/Janus Global Equities Series ................... 1.00% 1.00% 1.00% 1.00% .95% .95% .95% .90%
JNL/Janus Growth & Income Series ................... .95% .95% .95% .95% .95% .95% .95% .90%
JNL/PIMCO Total Return Bond Series ................. .70% .70% .70% .70% .70% .70% .70% .70%
JNL/Putnam Growth Series ........................... .90% .90% .90% .90% .85% .85% .85% .80%
JNL/Putnam International Equity Series ............. 1.10% 1.10% 1.05% 1.05% 1.00% 1.00% 1.00% .95%
JNL/Putnam Midcap Growth Series .................... .95% .95% .95% .95% .95% .95% .95% .90%
JNL/Putnam Value Equity Series ..................... .90% .90% .90% .90% .85% .85% .85% .80%
Lazard/JNL Mid Cap Value Series .................... .975% .975% .975% .975% .925% .925% .925% .90%
Lazard/JNL Small Cap Value Series .................. 1.05% 1.05% 1.00% 1.00% .975% .975% .975% .925%
PPM America/JNL Balanced Series .................... .75% .75% .70% .70% .675% .675% .675% .65%
PPM America/JNL High Yield Bond Series ............. .75% .75% .70% .70% .675% .675% .675% .65%
PPM America/JNL Money Market Series ................ .60% .60% .60% .60% .575% .575% .575% .55%
Salomon Brothers/JNL Balanced Series ............... .80% .80% .75% .75% .70% .70% .70% .70%
Salomon Brothers/JNL Global Bond Series ............ .85% .85% .85% .85% .80% .80% .80% .80%
Salomon Brothers/JNL High Yield Bond Series ........ .80% .80% .75% .75% .70% .70% .70% .70%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series .............................. .70% .70% .70% .70% .65% .65% .65% .60%
T. Rowe Price/JNL Established Growth Series ........ .85% .85% .85% .85% .80% .80% .80% .80%
T. Rowe Price/JNL Mid-Cap Growth Series ............ .95% .95% .95% .95% .90% .90% .90% .90%
T. Rowe Price/JNL Value Series ..................... .90% .90% .90% .90% .90% .90% .90% .85%
JNL/S&P Conservative Growth Series ................. .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Moderate Growth Series ..................... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Aggressive Growth Series .................. .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Conservative Growth Series I ............... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Moderate Growth Series I ................... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Aggressive Growth Series I ................ .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Very Aggressive Growth Series I ............ .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Growth Series I ..................... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Aggressive Growth Series I .......... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Conservative Growth Series II .............. .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Moderate Growth Series II .................. .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Aggressive Growth Series II ............... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Very Aggressive Growth Series II ........... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Growth Series II .................... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Aggressive Growth Series II ......... .20% .20% .20% .20% .20% .20% .20% .20%
</TABLE>
$350 TO OVER
(M - MILLIONS) $500 M $500 M
-------------- ------ ------
JNL/Alger Growth Series ............................ .95% .90%
JNL/Alliance Growth Series ......................... .70% .70%
JNL/Eagle Core Equity Series ....................... .75% .75%
JNL/Eagle SmallCap Equity Series ................... .90% .85%
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series ..................................... .75% .75%
JNL/J.P. Morgan International & Emerging
Markets Series ................................... .85% .85%
JNL/Janus Aggressive Growth Series ................. .85% .85%
JNL/Janus Balanced Series .......................... .90% .90%
JNL/Janus Capital Growth Series .................... .85% .85%
JNL/Janus Global Equities Series ................... .90% .90%
JNL/Janus Growth & Income Series ................... .90% .90%
JNL/PIMCO Total Return Bond Series ................. .70% .70%
JNL/Putnam Growth Series ........................... .80% .80%
JNL/Putnam International Equity Series ............. .95% .90%
JNL/Putnam Midcap Growth Series .................... .90% .90%
JNL/Putnam Value Equity Series ..................... .80% .80%
Lazard/JNL Mid Cap Value Series .................... .90% .90%
Lazard/JNL Small Cap Value Series .................. .925% .925%
PPM America/JNL Balanced Series .................... .65% .625%
PPM America/JNL High Yield Bond Series ............. .65% .625%
PPM America/JNL Money Market Series ................ .55% .525%
Salomon Brothers/JNL Balanced Series ............... .70% .70%
Salomon Brothers/JNL Global Bond Series ............ .80% .75%
Salomon Brothers/JNL High Yield Bond Series ........ .70% .70%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series .............................. .60% .55%
T. Rowe Price/JNL Established Growth Series ........ .80% .80%
T. Rowe Price/JNL Mid-Cap Growth Series ............ .90% .90%
T. Rowe Price/JNL Value Series ..................... .85% .85%
JNL/S&P Conservative Growth Series ................. .20% .15%
JNL/S&P Moderate Growth Series ..................... .20% .15%
JNL/S&P Aggressive Growth Series .................. .20% .15%
JNL/S&P Conservative Growth Series I ............... .20% .15%
JNL/S&P Moderate Growth Series I ................... .20% .15%
JNL/S&P Aggressive Growth Series I ................ .20% .15%
JNL/S&P Very Aggressive Growth Series I ............ .20% .15%
JNL/S&P Equity Growth Series I ..................... .20% .15%
JNL/S&P Equity Aggressive Growth Series I .......... .20% .15%
JNL/S&P Conservative Growth Series II .............. .20% .15%
JNL/S&P Moderate Growth Series II .................. .20% .15%
JNL/S&P Aggressive Growth Series II ............... .20% .15%
JNL/S&P Very Aggressive Growth Series II ........... .20% .15%
JNL/S&P Equity Growth Series II .................... .20% .15%
JNL/S&P Equity Aggressive Growth Series II ......... .20% .15%
230
<PAGE>
As compensation for their services, the sub-advisers receive fees from JNFS
calculated on the basis of the average daily net assets of each Series. The
following is a schedule of the fees JNFS 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 $25 TO $50 TO $100 TO $150 TO $200 TO $250 TO $300 TO
(M - MILLIONS) $25 M $50 M $100 M $150M $200 M $250 M $300M $350 M
-------------- ----- ----- ------ ----- ------ ------ ----- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
JNL/Alger Growth Series ............................. .55% .55% .55% .55% .55% .55% .55% .50%
JNL/Eagle Core Equity Series ........................ .45% .45% .40% .40% .40% .40% .40% .30%
JNL/Eagle SmallCap Equity Series .................... .50% .50% .50% .50% .45% .45% .45% .45%
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series ...................................... .35% .35% .30% .30% .30% .30% .30% .30%
JNL/J.P. Morgan International & Emerging
Markets Series .................................... .55% .55% .50% .50% .50% .45% .45% .45%
JNL/Janus Aggressive Growth Series .................. .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Janus Balanced Series ........................... .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Janus Capital Growth Series ..................... .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Janus Global Equities Series .................... .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Janus Growth & Income Series .................... .55% .55% .55% .50% .50% .50% .50% .50%
JNL/PIMCO Total Return Bond Series .................. .25% .25% .25% .25% .25% .25% .25% .25%
JNL/Putnam Growth Series ............................ .50% .50% .50% .50% .45% .45% .45% .35%
JNL/Putnam International Equity Series .............. .65% .65% .65% .65% .55% .55% .55% .45%
JNL/Putnam Midcap Growth Series ..................... .50% .50% .50% .50% .50% .50% .45% .45%
JNL/Putnam Value Equity Series ...................... .50% .50% .50% .50% .45% .45% .45% .35%
Lazard/JNL Mid Cap Value Series ..................... .55% .55% .525% .525% .475% .475% .475% .45%
Lazard/JNL Small Cap Value Series ................... .625% .625% .575% .575% .525% .525% .525% .475%
PPM America/JNL Balanced Series ..................... .25% .25% .20% .20% .175% .175% .175% .15%
PPM America/JNL High Yield Bond Series .............. .25% .25% .20% .20% .175% .175% .175% .15%
PPM America/JNL Money Market Series ................. .20% .20% .15% .15% .125% .125% .125% .10%
Salomon Brothers/JNL Balanced Series ................ .35% .35% .30% .25% .25% .25% .25% .25%
Salomon Brothers/JNL Global Bond Series ............. .375% .375% .35% .35% .30% .30% .30% .30%
Salomon Brothers/JNL High Yield Bond Series ........ .35% .35% .30% .25% .25% .25% .25% .25%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series ............................... .225% .225% .225% .225% .175% .175% .175% .15%
T. Rowe Price/JNL Value Series ...................... .50% .50% .40% .40% .40% .40% .40% .40%
JNL/S&P Conservative Growth Series .................. .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Moderate Growth Series ...................... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Aggressive Growth Series ................... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Conservative Growth Series I ................ .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Moderate Growth Series I .................... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Aggressive Growth Series I ................. .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Very Aggressive Growth Series I ............. .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Growth Series I ...................... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Aggressive Growth Series I ........... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Conservative Growth Series II ............... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Moderate Growth Series II ................... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Aggressive Growth Series II ................ .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Very Aggressive Growth Series II ............ .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Growth Series II ..................... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Aggressive Growth Series II .......... .10% .10% .10% .10% .10% .10% .10% .10%
</TABLE>
$350 TO OVER
(M - MILLIONS) $500M $500 M
-------------- ----- ------
JNL/Alger Growth Series ............................. .50% .45%
JNL/Eagle Core Equity Series ........................ .30% .30%
JNL/Eagle SmallCap Equity Series .................... .45% .40%
JNL/J.P. Morgan Enhanced S&P 500 Stock
Index Series ...................................... .30% .30%
JNL/J.P. Morgan International & Emerging
Markets Series .................................... .40% .40%
JNL/Janus Aggressive Growth Series .................. .50% .45%
JNL/Janus Balanced Series ........................... .50% .45%
JNL/Janus Capital Growth Series ..................... .50% .45%
JNL/Janus Global Equities Series .................... .50% .45%
JNL/Janus Growth & Income Series .................... .50% .45%
JNL/PIMCO Total Return Bond Series .................. .25% .25%
JNL/Putnam Growth Series ............................ .35% .35%
JNL/Putnam International Equity Series .............. .45% .45%
JNL/Putnam Midcap Growth Series ..................... .45% .45%
JNL/Putnam Value Equity Series ...................... .35% .35%
Lazard/JNL Mid Cap Value Series ..................... .45% .45%
Lazard/JNL Small Cap Value Series ................... .475% .475%
PPM America/JNL Balanced Series ..................... .15% .125%
PPM America/JNL High Yield Bond Series .............. .15% .125%
PPM America/JNL Money Market Series ................. .10% .075%
Salomon Brothers/JNL Balanced Series ................ .25% .25%
Salomon Brothers/JNL Global Bond Series ............. .30% .25%
Salomon Brothers/JNL High Yield Bond Series ........ .25% .25%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series ............................... .15% .10%
T. Rowe Price/JNL Value Series ...................... .40% .40%
JNL/S&P Conservative Growth Series .................. .10% .075%
JNL/S&P Moderate Growth Series ...................... .10% .075%
JNL/S&P Aggressive Growth Series ................... .10% .075%
JNL/S&P Conservative Growth Series I ................ .10% .075%
JNL/S&P Moderate Growth Series I .................... .10% .075%
JNL/S&P Aggressive Growth Series I ................. .10% .075%
JNL/S&P Very Aggressive Growth Series I ............. .10% .075%
JNL/S&P Equity Growth Series I ...................... .10% .075%
JNL/S&P Equity Aggressive Growth Series I ........... .10% .075%
JNL/S&P Conservative Growth Series II ............... .10% .075%
JNL/S&P Moderate Growth Series II ................... .10% .075%
JNL/S&P Aggressive Growth Series II ................ .10% .075%
JNL/S&P Very Aggressive Growth Series II ............ .10% .075%
JNL/S&P Equity Growth Series II ..................... .10% .075%
JNL/S&P Equity Aggressive Growth Series II .......... .10% .075%
<TABLE>
<CAPTION>
$0 TO $10 TO $20 TO $40 TO OVER
$10 M $20 M $40 M $60 M $60M
----- ----- ----- ----- ----
<S> <C> <C> <C> <C> <C>
JNL/Alliance Growth Series .90% .75% .625% .375% .25%
</TABLE>
$0 TO $20 TO $50 TO OVER
$20 M $50 M $200 M $200M
----- ----- ------ -----
T. Rowe Price/JNL Established Growth .45% .40% .40%* .40%
Series
T. Rowe Price/JNL Mid-Cap Growth Series .60% .50% .50%* .50%
--------------------------------------------------------------------------------
* When average net assets exceed this amount, the sub-advisory fee asterisked
is applicable to all assets in this Series.
231
<PAGE>
ADMINISTRATIVE FEE - In addition to the investment advisory fee, each
Series except the JNL/S&P Series, pays to JNFS an Administrative Fee of .10% of
the average daily net assets of the Series. The JNL/S&P Series do not pay an
Administrative Fee. In return for the fee, JNFS provides or procures all
necessary administrative functions and services for the operation of the Series.
In accordance with the agreement, JNFS is responsible for payment of expenses
related to legal, audit, fund accounting, custody, printing and mailing, trustee
fees, and all other services necessary for the operation of each Series. Each
Series is responsible for trading expenses including brokerage commissions,
interest and taxes.
During the period ended June 30, 2000, JNL/Alger Growth Series, JNL/Eagle
Core Equity Series, JNL/Eagle SmallCap Equity Series, JNL/Putnam International
Equity Series and T. Rowe Price/JNL Established Growth Series, paid, $365, $1,
$2, $3 and $1, in thousands respectively, to affiliates of the Series for
brokerage fees on the execution of purchases and sales of portfolio investments.
NOTE 4. 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 5. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At December 31, 1999, the following Series had accumulated net realized
capital loss carryovers for U.S. federal income tax purposes which may be used
to offset future realized capital gains:
<TABLE>
<CAPTION>
AMOUNT YEAR(S) OF
(000'S) EXPIRATION
--------------- -----------------
<S> <C> <C>
JNL/J.P. Morgan International & Emerging Markets Series ... $ 85 2007
JNL/Janus Growth & Income Series .......................... 439 2006, 2007
JNL/PIMCO Total Return Bond Series ........................ 161 2007
JNL/S&P Conservative Growth Series II ..................... 490 2006
Lazard/JNL Small Cap Value Series ......................... 91 2006
PPM America/JNL High Yield Bond Series .................... 4,664 2007
Salomon Brothers/JNL Balanced Series ...................... 62 2006, 2007
Salomon Brothers/JNL Global Bond Series ................... 1,661 2006, 2007
Salomon Brothers/JNL Global Bond Series ................... 1,661 2006, 2007
Salomon Brothers/JNL High Yield Bond Series ............... 229 2006, 2007
Salomon Brothers/JNL U.S. Government
& Quality Bond Series ................................... 1,021 2007
</TABLE>
232
