JNL Series Trust

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


	Shares/Par (p)		Value
JNL/American Funds^® Blue Chip Income and Growth Fund
INVESTMENT COMPANIES - 99.7%
American Funds Insurance Series - Blue Chip Income and Growth Fund Class 1 (a)		24,663	$	236,761

Total Investment Companies (cost $219,687)				236,761

Total Investments - 99.7% (cost $219,687)				236,761
Other Assets and Liabilities, Net - 0.3%				605

Total Net Assets - 100.0%			$	237,366

JNL/American Funds Global Bond Fund
INVESTMENT COMPANIES - 99.7%
American Funds Insurance Series - Global Bond Fund Class 1 (a)		12,715	$	152,447

Total Investment Companies (cost $151,679)				152,447

Total Investments - 99.7% (cost $151,679)				152,447
Other Assets and Liabilities, Net - 0.3%				410

Total Net Assets - 100.0%			$	152,857

JNL/American Funds Global Small Capitalization Fund
INVESTMENT COMPANIES - 100.7%
American Funds Insurance Series - Global Small Capitalization Fund Class 1		4,781	$	104,661

Total Investment Companies (cost $96,645)				104,661

Total Investments - 100.7% (cost $96,645)				104,661
Other Assets and Liabilities, Net - (0.7%)				(679	)

Total Net Assets - 100.0%			$	103,982

JNL/American Funds Growth-Income Fund
INVESTMENT COMPANIES - 99.4%
American Funds Insurance Series - Growth- Income Fund Class 1		7,239	$	260,018

Total Investment Companies (cost $239,038)				260,018

Total Investments - 99.4% (cost $239,038)				260,018
Other Assets and Liabilities, Net - 0.6%				1,487

Total Net Assets - 100.0%			$	261,505


	Shares/Par (p)		Value
JNL/American Funds International Fund
INVESTMENT COMPANIES - 99.8%
American Funds Insurance Series - International Fund Class 1		7,756	$	144,104

Total Investment Companies (cost $133,323)				144,104

Total Investments - 99.8% (cost $133,323)				144,104
Other Assets and Liabilities, Net - 0.2%				312

Total Net Assets - 100.0%			$	144,416

JNL/American Funds New World Fund
INVESTMENT COMPANIES - 99.5%
American Funds Insurance Series - New World
Fund Class 1 (a)		7,418	$	175,217

Total Investment Companies (cost $164,749)				175,217

Total Investments - 99.5% (cost $164,749)				175,217
Other Assets and Liabilities, Net - 0.5%				958

Total Net Assets - 100.0%			$	176,175

JNL Institutional Alt 20 Fund (b)
INVESTMENT COMPANIES - 99.7%
JNL/BlackRock Commodity Securities Fund (1.3%) (a)		1,272	$	15,180
JNL/Goldman Sachs Emerging Markets Debt Fund (1.8%) (a)		1,037		14,439
JNL/Invesco Global Real Estate Fund (2.1%) (a)		1,623		14,087
JNL/Ivy Asset Strategy Fund (1.1%) (a)		1,206		14,369
JNL/Lazard Emerging Markets Fund (1.0%) (a)		1,207		14,456
JNL/Mellon Capital Management Bond Index Fund (15.5%) (a)		18,813		221,241
JNL/Mellon Capital Management Global Alpha Fund (6.2%) (a)		2,618		27,413
JNL/Mellon Capital Management International Index Fund (6.8%) (a)		6,506		83,994
JNL/Mellon Capital Management Nasdaq^® 25 Fund (12.0%) (a)		2,384		28,650
JNL/Mellon Capital Management S&P^® 24 Fund (20.3%) (a)		8,164		88,085
JNL/Mellon Capital Management S&P^® SMid 60 Fund (12.6%) (a)		4,270		51,884
JNL/Mellon Capital Management Small Cap Index Fund (3.8%) (a)		2,207		30,014
JNL/Mellon Capital Management Value Line^® 30 Fund (7.6%) (a)		4,724		65,007
JNL/PIMCO Real Return Fund (0.8%) (a)		1,142		14,078
JNL/PPM America High Yield Bond Fund (1.2%) (a)		2,022		14,049
JNL/Red Rocks Listed Private Equity Fund (2.0%) (a)		1,342		14,873

Total Investment Companies (cost $641,576)				711,819


	Shares/Par (p)		Value
Total Investments - 99.7% (cost $641,576)				711,819
Other Assets and Liabilities, Net - 0.3%				2,100

Total Net Assets - 100.0%			$	713,919

JNL Institutional Alt 35 Fund (b)
INVESTMENT COMPANIES - 99.8%
JNL/BlackRock Commodity Securities Fund (2.9%) (a)		2,923	$	34,868
JNL/Goldman Sachs Emerging Markets Debt Fund (4.0%) (a)		2,354		32,770
JNL/Invesco Global Real Estate Fund (6.3%) (a)		4,902		42,554
JNL/Ivy Asset Strategy Fund (3.4%) (a)		3,659		43,583
JNL/Lazard Emerging Markets Fund (2.3%) (a)		2,740		32,820
JNL/Mellon Capital Management Bond Index Fund (16.9%) (a)		20,470		240,722
JNL/Mellon Capital Management Global Alpha Fund (18.8%) (a)		7,924		82,962
JNL/Mellon Capital Management International Index Fund (9.4%) (a)		9,022		116,477
JNL/Mellon Capital Management Nasdaq 25 Fund (13.6%) (a)		2,704		32,502
JNL/Mellon Capital Management S&P 24 Fund (28.1%) (a)		11,316		122,103
JNL/Mellon Capital Management S&P SMid 60 Fund (16.3%) (a)		5,535		67,252
JNL/Mellon Capital Management Small Cap Index Fund (4.3%) (a)		2,503		34,034
JNL/Mellon Capital Management Value Line 30 Fund (10.3%) (a)		6,351		87,387
JNL/PIMCO Real Return Fund (1.2%) (a)		1,725		21,274
JNL/PPM America High Yield Bond Fund (1.8%) (a)		3,066		21,311
JNL/Red Rocks Listed Private Equity Fund (9.2%) (a)		6,055		67,088

Total Investment Companies (cost $968,680)				1,079,707

Total Investments - 99.8% (cost $968,680)				1,079,707
Other Assets and Liabilities, Net - 0.2%				1,760

Total Net Assets - 100.0%			$	1,081,467

JNL Institutional Alt 50 Fund (b)
INVESTMENT COMPANIES - 99.2%
JNL/BlackRock Commodity Securities Fund (5.9%) (a)		5,818	$	69,409
JNL/Goldman Sachs Emerging Markets Debt Fund (6.5%) (a)		3,840		53,448
JNL/Invesco Global Real Estate Fund (13.5%) (a)		10,511		91,236
JNL/Ivy Asset Strategy Fund (5.2%) (a)		5,603		66,738
JNL/Lazard Emerging Markets Fund (3.8%) (a)		4,470		53,547
JNL/Mellon Capital Management Bond Index Fund (16.2%) (a)		19,600		230,491
JNL/Mellon Capital Management Global Alpha Fund (31.6%) (a)		13,317		139,435
JNL/Mellon Capital Management International Index Fund (9.4%) (a)		9,037		116,669
JNL/Mellon Capital Management Nasdaq 25 Fund (11.1%) (a)		2,206		26,517


	Shares/Par (p)		Value
JNL/Mellon Capital Management S&P 24 Fund (25.0%) (a)		10,068		108,639
JNL/Mellon Capital Management S&P SMid 60 Fund (16.6%) (a)		5,642		68,557
JNL/Mellon Capital Management Small Cap Index Fund (3.5%) (a)		2,041		27,756
JNL/Mellon Capital Management Value Line 30 Fund (9.4%) (a)		5,830		80,220
JNL/PIMCO Real Return Fund (1.4%) (a)		2,105		25,952
JNL/PPM America High Yield Bond Fund (3.4%) (a)		5,624		39,084
JNL/Red Rocks Listed Private Equity Fund (17.0%) (a)		11,152		123,563

Total Investment Companies (cost $1,185,553)				1,321,261

Total Investments - 99.2% (cost $1,185,553)				1,321,261
Other Assets and Liabilities, Net - 0.8%				10,194

Total Net Assets - 100.0%			$	1,331,455

JNL Institutional Alt 65 Fund (b)
INVESTMENT COMPANIES - 99.8%
JNL/BlackRock Commodity Securities Fund (4.8%) (a)		4,786	$	57,100
JNL/Goldman Sachs Emerging Markets Debt Fund (5.6%) (a)		3,300		45,938
JNL/Invesco Global Real Estate Fund (10.6%) (a)		8,259		71,689
JNL/Ivy Asset Strategy Fund (5.0%) (a)		5,397		64,271
JNL/Lazard Emerging Markets Fund (3.3%) (a)		3,842		46,026
JNL/Mellon Capital Management Bond Index Fund (5.6%) (a)		6,742		79,279
JNL/Mellon Capital Management Global Alpha Fund (31.7%) (a)		13,340		139,673
JNL/Mellon Capital Management International Index Fund (5.0%) (a)		4,831		62,368
JNL/Mellon Capital Management Nasdaq 25 Fund (7.6%) (a)		1,516		18,225
JNL/Mellon Capital Management S&P 24 Fund (15.0%) (a)		6,054		65,322
JNL/Mellon Capital Management S&P SMid 60 Fund (9.1%) (a)		3,101		37,680
JNL/Mellon Capital Management Small Cap Index Fund (2.4%) (a)		1,402		19,069
JNL/Mellon Capital Management Value Line 30 Fund (4.3%) (a)		2,670		36,745
JNL/PIMCO Real Return Fund (1.0%) (a)		1,452		17,897
JNL/PPM America High Yield Bond Fund (3.1%) (a)		5,144		35,753
JNL/Red Rocks Listed Private Equity Fund (15.6%) (a)		10,221		113,251

Total Investment Companies (cost $819,972)				910,286

Total Investments - 99.8% (cost $819,972)				910,286
Other Assets and Liabilities, Net - 0.2%				1,989

Total Net Assets - 100.0%			$	912,275


	Shares/Par (p)		Value
JNL/BlackRock Commodity Securities Fund
COMMON STOCKS - 46.2%
ENERGY - 41.1%
Anadarko Petroleum Corp.		131	$	10,760
Apache Corp.		171		22,386
Arch Coal Inc.		29		1,042
Baker Hughes Inc.		102		7,505
Berry Petroleum Co. - Class A		71		3,585
Brigham Exploration Co. (c)		207		7,709
Cabot Oil & Gas Corp. - Class A		97		5,149
Cameron International Corp. (c)		183		10,445
Canadian Natural Resources Ltd.		193		9,554
Carrizo Oil & Gas Inc. (c)		63		2,317
Cenovus Energy Inc.		127		5,010
Chevron Corp.		146		15,686
Cimarex Energy Co.		48		5,549
CNOOC Ltd. - ADR (e)		28		7,088
Coastal Energy Co. (c)		64		419
ConocoPhillips		117		9,336
Consol Energy Inc.		50		2,703
Crew Energy Inc. (c)		255		4,627
Denbury Resources Inc. (c)		49		1,194
Devon Energy Corp.		178		16,336
Dresser-Rand Group Inc. (c)		192		10,275
Dril-Quip Inc. (c)		80		6,344
EnCana Corp. (e)		126		4,351
EOG Resources Inc.		204		24,157
EQT Corp.		98		4,898
EXCO Resources Inc.		99		2,048
Exxon Mobil Corp.		188		15,798
FMC Technologies Inc. (c)		146		13,760
Forest Oil Corp. (c)		46		1,742
Halliburton Co.		186		9,264
Helmerich & Payne Inc.		100		6,883
Hess Corp.		88		7,534
Husky Energy Inc.		95		2,892
Marathon Oil Corp.		145		7,752
MEG Energy Corp. (c)		45		2,275
Murphy Oil Corp.		243		17,871
Nabors Industries Ltd. (c)		109		3,317
National Oilwell Varco Inc.		237		18,760
Newfield Exploration Co. (c)		72		5,496
Nexen Inc.		90		2,246
Niko Resources Ltd.		20		1,957
Noble Corp.		145		6,631
Noble Energy Inc.		84		8,106
Occidental Petroleum Corp.		139		14,536
Pan Orient Energy Corp. (c)		116		826
Paramount Resources Ltd. - Class A (c)		37		1,297
Peabody Energy Corp.		128		9,181
PetroBakken Energy Ltd. (e)		50		945
PetroHawk Energy Corp. (c)		44		1,076
Petroleo Brasileiro SA - Petrobras - ADR		106		4,272
Pioneer Natural Resources Co.		60		6,123
Pride International Inc. (c)		140		5,997
Progress Energy Resources Corp.		146		2,102
Range Resources Corp.		150		8,756
Rowan Cos. Inc. (c)		51		2,242
Saipem SpA		126		6,705
Schlumberger Ltd.		140		13,084
Southwestern Energy Co. (c)		96		4,110
Subsea 7 SA - ADR		63		1,604
Suncor Energy Inc.		342		15,339
Talisman Energy Inc.		610		15,094
Technip SA - ADR		189		5,023
Tesco Corp. (c)		79		1,728


	Shares/Par (p)		Value
Total SA - ADR		106		6,447
Transocean Ltd. (c)		135		10,518
Trican Well Service Ltd.		73		1,652
Uranium Energy Corp. (c) (q)		366		1,459
Valero Energy Corp.		72		2,145
Weatherford International Ltd. (c)		123		2,775
Whiting Petroleum Corp. (c)		101		7,382
Williams Cos. Inc.		53		1,638

				486,813
INDUSTRIALS - 0.0%
Aegean Marine Petroleum Network Inc.		55		451
MATERIALS - 5.1%
Aluminum Corp. of China Ltd. - ADR (c) (e)		143		3,396
Barrick Gold Corp.		54		2,830
BHP Billiton Ltd.		61		2,935
EI Du Pont de Nemours & Co.		52		2,834
Eldorado Gold Corp.		428		6,980
Fibria Celulose SA - ADR (c)		66		1,076
First Quantum Minerals Ltd. (e)		42		5,373
Franco-Nevada Corp.		67		2,471
Gammon Gold Inc. (c)		130		1,349
Goldcorp Inc.		133		6,625
HudBay Minerals Inc.		184		2,996
Inmet Mining Corp.		11		770
Newcrest Mining Ltd.		151		6,216
Newmont Mining Corp.		8		452
Praxair Inc.		19		1,943
Southern Copper Corp.		147		5,929
Vale SA - ADR		178		5,952

				60,127

Total Common Stocks (cost $416,337)				547,391

WARRANTS - 0.0%
Uranium Energy Corp. (c) (f) (q)		183		92

Total Warrants (cost $0)				92

COMMODITY INDEXED STRUCTURED NOTES - 19.4%
Bank of America Corp., Dow Jones-UBS Commodity Index 2 Month Forward Total Return linked note - Series DJUB, 0.17%, 08/07/11 (f) (i)	$	7,000		12,834
Bank of America Corp., Dow Jones-UBS Commodity Index linked note, 0.01%, 08/18/11 (f) (i)		10,000		21,052
Bank of America Corp., Dow Jones-UBS Commodity Index linked note, 0.01%, 10/24/11 (f) (i)		10,000		17,333
Citigroup, Dow Jones-UBS Commodity Index Total Return linked note, 0.28%, 12/22/11 (f) (i)		28,000		39,578
JP Morgan, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 11/17/11 (f) (i)		6,000		8,734
JP Morgan, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 12/07/11 (f) (i)		16,000		22,734
JP Morgan, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 03/14/12 (f) (i)		5,000		5,567
JP Morgan, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 04/09/12 (f) (i)		6,000		6,187


	Shares/Par (p)		Value
Societe Generale, Dow Jones-UBS Commodity Index Total Return linked note, 0.27%, 08/19/11 (f) (i) (r)		10,000		20,424
Societe Generale, Dow Jones-UBS Commodity Index Total Return linked note, 0.31%, 02/13/12 (f) (i)		31,000		37,202
UBS, Dow Jones-UBS Commodity Index Total Return linked note, 0.24%, 12/30/11 (f) (i)		7,500		11,292
UBS, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 01/23/12 (f) (i)		5,000		6,348
UBS, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 02/21/12 (f) (i)		5,000		5,794
UBS, Dow Jones-UBS Commodity Index Total Return linked note, 0.26%, 04/06/12 (f) (i)		10,000		10,192
UBS, Dow Jones-UBS Commodity Index Total Return linked note, 0.24%, 04/23/12 (f) (i) (r)		5,000		5,176

Total Commodity Indexed Structured Notes (cost $161,500)				230,447

SHORT TERM INVESTMENTS - 35.4%
Investment Company - 6.9%
JNL Money Market Fund, 0.08% (a) (h)		81,206		81,206
Securities Lending Collateral - 1.3%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		15,284		15,284
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		371		362

				15,646
Treasury Securities - 27.2%
U.S. Treasury Bill
0.09%, 06/23/11	$	60,000		59,988
0.11%, 07/07/11		263,050		262,978

				322,966

Total Short Term Investments (cost $419,824)				419,818

Total Investments - 101.0% (cost $997,661)				1,197,748
Other Assets and Liabilities, Net - (1.0%)				(12,285	)

Total Net Assets - 100.0%			$	1,185,463

JNL/BlackRock Global Allocation Fund
INVESTMENT COMPANIES - 100.2%
Blackrock Global Allocation Portfolio (a)		18,652	$	300,863

Total Investment Companies (cost $291,584)				300,863

Total Investments - 100.2% (cost $291,584)				300,863
Other Assets and Liabilities, Net - (0.2%)				(505	)

Total Net Assets - 100.0%			$	300,358

JNL/Capital Guardian Global Balanced Fund
COMMON STOCKS - 64.1%
CONSUMER DISCRETIONARY - 7.4%
Anhanguera Educacional Participacoes SA		29	$	698
Berkeley Group Holdings Plc (c)		12		199
CBS Corp. - Class B		61		1,522
Coach Inc.		11		552


	Shares/Par (p)		Value
Comcast Corp. - Class A		68		1,671
Daimler AG (c)		52		3,702
Denso Corp.		64		2,120
Discovery Communications Inc. - Class A (c)		24		950
DreamWorks Animation SKG Inc. - Class A (c)		10		265
DSG International Plc (c)		1,268		256
Gannett Co. Inc.		132		2,004
GKN Plc		557		1,794
Hennes & Mauritz AB - Class B		18		581
Home Depot Inc.		20		730
Hyundai Mobis		3		803
Indorama Ventures PCL (q)		98		170
Li & Fung Ltd.		96		492
Li Ning Co. Ltd.		69		115
Lowe’s Cos. Inc.		10		256
Mazda Motor Corp.		39		86
McDonald’s Corp.		3		228
Nike Inc. - Class B		8		628
SES SA - FDR - Class A		69		1,788
Shimamura Co. Ltd.		5		449
Target Corp.		59		2,961
Time Warner Cable Inc.		4		293
TRW Automotive Holdings Corp. (c)		2		105
Urban Outfitters Inc. (c)		39		1,160
Urbi Desarrollos Urbanos SAB DE CV (c)		47		110
Virgin Media Inc.		11		292
Walt Disney Co.		16		689

				27,669
CONSUMER STAPLES - 3.7%
Ajinomoto Co. Inc.		88		917
Avon Products Inc.		12		333
Coca-Cola Amatil Ltd.		28		335
Colgate-Palmolive Co.		9		719
Danone SA		33		2,186
General Mills Inc.		2		66
Hypermarcas SA (c)		83		1,097
Imperial Tobacco Group Plc		16		504
Kraft Foods Inc. - Class A		6		201
Magnit OJSC - GDR		20		606
Nestle SA		22		1,260
Organizacion Soriana SAB de CV (e)		57		202
PepsiCo Inc.		5		290
Pernod-Ricard SA (e)		16		1,470
Philip Morris International Inc.		11		702
Procter & Gamble Co.		6		364
Tesco Plc		237		1,451
United Spirits Ltd.		60		1,376

				14,079
ENERGY - 8.3%
Anadarko Petroleum Corp.		21		1,753
Baker Hughes Inc.		13		940
BG Group Plc		102		2,535
Cairn Energy Plc (c)		104		770
Cameco Corp. (e)		83		2,490
Canadian Natural Resources Ltd.		7		346
Cenovus Energy Inc.		43		1,687
Chevron Corp.		8		806
China Shenhua Energy Co. Ltd. - Class H		84		394
EnCana Corp. (e)		23		792
EnCana Corp.		9		314
Fugro NV		3		307
Gazprom OAO - ADR		31		1,007
Halliburton Co.		60		2,976
Noble Energy Inc.		26		2,474
Oil Search Ltd.		30		217
QGEP Participacoes SA (c) (q)		17		238


	Shares/Par (p)		Value
Reliance Industries Ltd.		23		550
Repsol YPF SA		54		1,838
Royal Dutch Shell Plc - Class A		24		862
Sasol Ltd.		28		1,626
Schlumberger Ltd.		34		3,171
SeaDrill Ltd.		11		383
TMK OAO - GDR (c)		6		123
Transocean Ltd. (c)		4		296
Tullow Oil Plc		31		720
Uranium One Inc.		30		118
Weatherford International Ltd. (c)		66		1,489
YPF SA - ADR - Class D		4		156

				31,378
FINANCIALS - 11.5%
ACE Ltd.		3		201
Agricultural Bank of China - Class H (c) (q)		863		489
AIA Group Ltd. (c) (q)		768		2,364
Allianz SE		4		493
Allstate Corp.		49		1,560
AON Corp.		8		429
Arthur J Gallagher & Co.		27		812
Azrieli Group (c)		23		690
Banco Bradesco SA - ADR (e)		50		1,029
Banco Espirito Santo SA (e)		103		422
Banco Santander SA		87		1,011
Bank Mandiri Persero Tbk PT (q)		501		391
Bank of China Ltd. - Class H		914		509
Bank of New York Mellon Corp.		3		90
Barclays Plc		408		1,817
BB&T Corp.		12		338
BNP Paribas SA (q)		11		820
Charles Schwab Corp.		69		1,251
CIMB Group Holdings Bhd		356		965
DBS Group Holdings Ltd.		20		235
Deutsche Boerse AG		11		838
DLF Ltd.		345		2,077
First Pacific Co. Ltd.		188		168
Goldman Sachs Group Inc.		8		1,252
Grupo Financiero Inbursa SA		440		2,026
Hana Financial Group Inc.		15		636
HDFC Bank Ltd.		20		1,031
HSBC Holdings Plc		305		3,162
ICICI Bank Ltd.		5		128
Industrial & Commercial Bank of China - Class H		1,542		1,280
Intact Financial Corp.		3		150
Itau Unibanco Holding SA - ADR		10		252
JPMorgan Chase & Co.		15		701
Kotak Mahindra Bank Ltd.		50		517
Link Real Estate Investment Trust		166		520
Macquarie Group Ltd.		32		1,223
Mitsui Fudosan Co. Ltd.		35		578
NYSE Euronext		7		236
Plum Creek Timber Co. Inc.		12		519
Powszechny Zaklad Ubezpieczen SA		6		790
Progressive Corp.		35		742
Sampo Oyj - Class A (e)		28		899
Sberbank - GDR (e)		7		3,070
SinoPac Financial Holdings Co. Ltd.		964		434
Sumitomo Mitsui Financial Group Inc.		12		361
Swire Pacific Ltd. - Class A		27		396
UBS AG (c)		65		1,164
UniCredit SpA (q)		369		911
Vienna Insurance Group		4		234
VTB Bank OJSC - GDR		25		175


	Shares/Par (p)		Value
Wharf Holdings Ltd.		140		963

				43,349
HEALTH CARE - 4.5%
Allergan Inc.		7		490
AMERIGROUP Corp. (c)		6		392
Baxter International Inc.		14		753
Bayer AG		20		1,579
Cerner Corp. (c)		17		1,868
CSL Ltd.		39		1,438
Novo-Nordisk A/S - Class B		8		1,043
Pharmasset Inc. (c)		32		2,487
Roche Holding AG		16		2,251
Shire Plc		96		2,783
Shire Plc - ADR (e)		4		322
Sonova Holding AG		4		322
Sysmex Corp.		30		1,054

				16,782
INDUSTRIALS - 6.8%
Adani Enterprises Ltd.		43		648
Andritz AG (e)		9		831
Assa Abloy AB - Class B		46		1,308
Bilfinger Berger SE		11		969
CAE Inc.		24		321
China High Speed Transmission Equipment Group Co. Ltd.		108		173
China Railway Construction Corp. Ltd. - Class H		198		206
China Railway Group Ltd. - Class H		661		427
Cia de Concessoes Rodoviarias		33		964
Danaher Corp.		21		1,069
DP World Ltd.		190		113
Emerson Electric Co.		4		240
Empresas ICA SAB de CV (c) (e)		44		99
Fanuc Ltd.		6		832
FedEx Corp.		13		1,226
Harbin Power Equipment Co. Ltd.		554		573
Hyundai Engineering & Construction Co. Ltd.		3		252
IESI-BFC Ltd.		12		297
Impulsora del Desarrollo y El Empleo en America Latina SAB de CV (c)		112		177
Jacobs Engineering Group Inc. (c)		20		1,018
Jardine Matheson Holdings Ltd.		6		285
Kurita Water Industries Ltd.		41		1,218
Mills Estruturas e Servicos de Engenharia SA		4		42
Mitsubishi Corp.		16		441
Mitsui OSK Lines Ltd.		119		685
Nielsen Holdings NV (c)		18		492
Norfolk Southern Corp.		29		2,016
Sany Heavy Equipment International Holdings Co. Ltd. (e)		508		835
Schneider Electric SA		6		1,099
Siemens AG		24		3,325
SMC Corp.		4		609
Sumitomo Corp.		131		1,875
Sumitomo Electric Industries Ltd.		17		232
United Technologies Corp.		9		796

				25,693
INFORMATION TECHNOLOGY - 11.1%
		122		153
Akamai Technologies Inc. (c)		5		194
Apple Inc. (c)		3		1,011
ASML Holding NV (c)		52		2,280
Autonomy Corp. Plc (c)		17		426
Broadcom Corp. - Class A (c)		51		2,012
Canon Inc.		16		679


	Shares/Par (p)		Value
Cisco Systems Inc.		13		226
Daum Communications Corp.		4		335
Delta Electronics Inc.		200		792
First Solar Inc. (c) (e)		4		708
Flextronics International Ltd. (c)		36		267
Genpact Ltd. (c)		82		1,184
Google Inc. - Class A (c)		5		2,697
HON HAI Precision Industry Co. Ltd.		17		59
HON HAI Precision Industry Co. Ltd. - GDR		35		249
Hynix Semiconductor Inc.		5		138
Ibiden Co. Ltd.		16		490
International Business Machines Corp.		16		2,609
Juniper Networks Inc. (c)		104		4,372
Keyence Corp.		1		266
KLA-Tencor Corp.		44		2,070
MasterCard Inc.		1		176
Maxim Integrated Products Inc.		35		901
Microchip Technology Inc. (e)		8		304
Murata Manufacturing Co. Ltd.		40		2,844
Nintendo Co. Ltd.		8		2,188
Oracle Corp.		35		1,178
Oracle Corp. Japan		5		221
Premier Farnell Plc		54		234
QUALCOMM Inc.		36		1,979
Redecard SA		6		85
Samsung Electronics Co. Ltd.		2		1,827
Samsung Electronics Co. Ltd. - GDR		1		311
SAP AG		28		1,739
Suntech Power Holdings Co. Ltd. - ADR (c) (e)		23		229
TDK Corp.		4		236
Trend Micro Inc.		38		1,001
Visa Inc. - Class A		14		994
Wintek Corp. (c)		355		629
Wintek Corp. - ADR (c) (q)		45		401
Yahoo! Japan Corp. (e)		3		1,000

				41,694
MATERIALS - 6.1%
Air Liquide		4		551
Allegheny Technologies Inc.		32		2,174
Alumina Ltd.		446		1,135
Anglo American Plc		10		489
AngloGold Ashanti Ltd.		5		226
Barrick Gold Corp.		23		1,189
Centerra Gold Inc.		13		237
Cliffs Natural Resources Inc.		10		983
CRH Plc		38		869
Evraz Group SA - GDR (c)		4		145
Harmony Gold Mining Co. Ltd		9		125
Harmony Gold Mining Co. Ltd. - ADR (e)		21		305
HeidelbergCement AG		3		182
Holcim Ltd.		10		745
Indocement Tunggal Prakarsa Tbk PT		9		17
Inmet Mining Corp.		9		647
Ivanhoe Mines Ltd. (c)		13		369
Labrador Iron Ore Royalty Corp.		8		676
Lee & Man Paper Manufacturing Ltd.		738		505
LG Chem Ltd.		3		1,354
LG Chem Ltd. - GDR (c) (q)		2		335
Monsanto Co.		41		2,984
Petra Diamonds Ltd. (c)		98		251
Rio Tinto Plc		6		408
Sappi Ltd. (c)		124		658
Semen Gresik Persero Tbk PT		473		494
Shin-Etsu Chemical Co. Ltd.		3		154
Stora Enso Oyj - Class R (c)		22		262
Sumitomo Chemical Co. Ltd. (e)		287		1,432
Syngenta AG		7		2,132


	Shares/Par (p)		Value
United Co. RUSAL Plc (c)		144		249
Vale SA - ADR		3		74
Xstrata Plc		19		451

				22,807
TELECOMMUNICATION SERVICES - 3.6%
American Tower Corp. - Class A (c)		41		2,109
AT&T Inc.		25		777
France Telecom SA		7		168
Koninklijke KPN NV		55		937
Magyar Telekom Telecommunications Plc		63		198
Maxis Bhd		136		242
MTN Group Ltd.		13		262
Rostelecom OJSC - ADR (e)		1		42
SK Telecom Co. Ltd. - ADR		12		230
SoftBank Corp.		95		3,792
Tele Norte Leste Participacoes SA		2		48
Telefonos de Mexico SAB de CV		50		46
Telefonos de Mexico SAB de CV - ADR (e)		48		882
Telekomunikacja Polska SA		150		927
Telstra Corp. Ltd.		268		783
TELUS Corp.		5		262
Verizon Communications Inc.		38		1,449
Vodafone Group Plc		207		585

				13,739
UTILITIES - 1.1%
Cia Paranaense de Energia - ADR		4		100
Edison International		4		154
GDF Suez		49		1,991
Hong Kong & China Gas Co. Ltd.		215		516
National Grid Plc		25		237
Veolia Environnement		34		1,043

				4,041

Total Common Stocks (cost $198,564)				241,231

PREFERRED STOCKS - 0.4%
INFORMATION TECHNOLOGY - 0.0%
ASAT Holdings Ltd. (f) (q)		7		—
MATERIALS - 0.0%
Vale SA, Class A		6		174
TELECOMMUNICATION SERVICES - 0.1%
Tele Norte Leste Participacoes SA		20		346
UTILITIES - 0.3%
Cia Energetica de Sao Paulo, Class B		52		980

Total Preferred Stocks (cost $1,048)				1,500

CORPORATE BONDS AND NOTES - 7.1%
CONSUMER DISCRETIONARY - 0.7%
Altegrity Inc., 10.50%, 11/01/15 (q)	$	200		212
AMC Entertainment Inc., 8.75%, 06/01/19 (e)		300		325
CCO Holdings LLC, 7.25%, 10/30/17 (e)		400		418
Comcast Corp., 5.88%, 02/15/18		250		276
Michaels Stores Inc., 7.75%, 11/01/18 (e) (q)		250		255
Nextel Communications Inc., 7.38%, 08/01/15 (e)		300		301
Time Warner Inc., 5.88%, 11/15/16		450		502
Toys R Us Property Co. II LLC, 8.50%, 12/01/17		200		215

				2,504


	Shares/Par (p)		Value
CONSUMER STAPLES - 0.4%
Anheuser-Busch InBev NV, 8.63%, 01/30/17, EUR		425		745
Imperial Tobacco Finance Plc, 8.38%, 02/17/16, EUR		250		420
Tesco Plc, 5.50%, 01/13/33, GBP		300		481

				1,646
ENERGY - 0.1%
Petrobras International Finance Co., 6.88%, 01/20/40 (e)		85		89
TransCanada Pipelines Ltd., 6.50%, 08/15/18		350		408

				497
FINANCIALS - 3.3%
Bank of America Corp., 5.75%, 12/01/17		480		506
Barclays Bank Plc, 5.13%, 01/08/20		285		290
BNP Paribas SA, 5.00%, 01/15/21		500		505
CIT Group Inc., 7.00%, 05/01/15 (e)		800		807
Depfa ACS Bank, 3.25%, 02/15/12, EUR		550		773
Enel Finance International SA, 3.88%, 10/07/14 (q)		300		310
Eurohypo AG, 4.50%, 01/21/13, EUR		100		147
Ford Motor Credit Co. LLC, 8.00%, 12/15/16		375		426
Goldman Sachs Group Inc., 5.38%, 03/15/20		300		305
Intesa Sanpaolo SpA, 6.50%, 02/24/21 (q)		300		315
JPMorgan Chase & Co., 4.40%, 07/22/20		625		604
Liberty Mutual Group Inc., 7.50%, 08/15/36 (q)		350		374
Lloyds TSB Bank Plc, 6.50%, 03/24/20, EUR		500		674
Merrill Lynch & Co. Inc., 4.63%, 09/14/18, EUR		250		326
Morgan Stanley, 5.75%, 01/25/21		450		454
Muenchener Rueckversicherungs AG, 6.75%, 06/21/23 (i), EUR		150		225
Nordea Hypotek AB, 4.00%, 06/18/14, SEK		2,600		413
ProLogis, 7.38%, 10/30/19		600		679
Rodamco Europe Finance BV, 3.75%, 12/12/12, EUR		200		289
Royal Bank of Scotland Plc
4.38%, 07/13/16, EUR		250		355
6.93%, 04/09/18, EUR		550		764
Societe Generale S.A.
3.50%, 01/15/16 (e) (q)		750		740
5.75%, 04/20/16 (q)		150		156
Standard Chartered Bank, 6.40%, 09/26/17 (q)		300		324
Standard Chartered Plc, 3.85%, 04/27/15 (q)		225		230
UBS AG, 5.75%, 04/25/18		250		269
UBS AG Stamford, 5.88%, 12/20/17		175		191
Westfield Europe Finance Plc.
3.63%, 06/27/12, EUR		400		570
5.50%, 06/27/17, GBP		150		249

				12,270
HEALTH CARE - 0.6%
HCA Inc.
6.38%, 01/15/15		300		306
9.25%, 11/15/16		75		81
Merck & Co Inc., 5.38%, 10/01/14, EUR		350		532
Merck & Co. Inc., 6.00%, 09/15/17		475		548
Pfizer Inc., 6.20%, 03/15/19		400		461
Roche Holdings Inc., 6.00%, 03/01/19 (l) (q)		400		453

				2,381
INDUSTRIALS - 0.2%
TransDigm Inc., 7.75%, 12/15/18 (e) (q)		400		429
Volvo AB, 5.00%, 05/31/17, EUR		150		220

				649


	Shares/Par (p)		Value
INFORMATION TECHNOLOGY - 0.3%
First Data Corp.
9.88%, 09/24/15		23		24
8.25%, 01/15/21 (e) (q)		500		499
12.63%, 01/15/21 (q)		201		218
8.75%, 01/15/22 (e) (q)		100		99
NXP BV, 7.88%, 10/15/14		200		208

				1,048
MATERIALS - 0.1%
Georgia Gulf Corp., 9.00%, 01/15/17 (q)		300		329
TELECOMMUNICATION SERVICES - 0.6%
AT&T Inc., 2.50%, 08/15/15		600		596
AT&T Wireless Services Inc, 8.13%, 05/01/12 (e)		250		269
Koninklijke KPN NV, 4.75%, 01/17/17, EUR		200		294
Telecom Italia Finance SA, 7.75%, 01/24/33, EUR		150		227
Telecom Italia SpA, 8.25%, 03/21/16, EUR		150		246
Vodafone Group Plc, 4.75%, 06/14/16, EUR		350		519

				2,151
UTILITIES - 0.8%
Abu Dhabi National Energy Co., 6.17%,
10/25/17		300		314
AES Corp., 7.75%, 10/15/15		125		135
AES Panama SA, 6.35%, 12/21/16 (q)		300		319
Dubai Electricity & Water Authority
6.38%, 10/21/16 (q)		100		101
7.38%, 10/21/20 (q)		125		121
E.ON International Finance BV, 5.80%, 04/30/18 (q)		500		556
Edison Mission Energy, 7.75%, 06/15/16 (e)		150		127
Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14 (q)		525		533
National Grid Plc, 6.30%, 08/01/16 (e)		300		341
Veolia Environnement, 5.25%, 06/03/13		525		562

				3,109

Total Corporate Bonds and Notes (cost $25,701)				26,584

GOVERNMENT AND AGENCY OBLIGATIONS - 25.0%
GOVERNMENT SECURITIES - 22.1%
Sovereign - 15.4%
Argentine Republic Government International
Bond, 5.83%, 12/31/33, ARS		350		141
Brazil Notas do Tesouro Nacional - Series B, 6.00%, 05/15/17, BRL		580		722
Bundesrepublic Deutschland, 3.00%, 07/04/20, EUR		3,600		4,970
Canadian Government Bond 4.50%, 06/01/15, CAD		1,500		1,668
4.25%, 06/01/18, CAD		300		333
Colombia Government International Bond
12.00%, 10/22/15, COP		231,000		157
9.85%, 06/28/27, COP		485,000		312
Croatia Government International Bond, 6.75%, 11/05/19 (q)		625		655
Denmark Government Bond, 5.00%, 11/15/13, DKK		11,975		2,442
Dominican Republic International Bond, 8.63%, 04/20/27 (q)		150		158
France Government Bond, 4.25%, 10/25/23, EUR		300		441
German Treasury Bond, 4.00%, 01/04/37, EUR		100		144


	Shares/Par (p)		Value
Hungary Government International Bond
5.50%, 02/12/14, HUF		100,000		520
7.63%, 03/29/41		100		100
Indonesia Government Bond
12.50%, 03/15/13, IDR		250,000		32
11.00%, 10/15/14, IDR		65,000		8
9.50%, 06/15/15, IDR		4,000,000		492
10.75%, 05/15/16, IDR		145,000		19
12.80%, 06/15/21, IDR		495,000		75
Italy Buoni Poliennali Del Tesoro
5.00%, 02/01/12, EUR		825		1,200
4.50%, 03/01/19, EUR		350		497
Japan Government Bond
1.40%, 03/20/12, JPY		50,000		608
1.70%, 09/20/17, JPY		325,000		4,151
1.00%, 09/20/20, JPY		200,000		2,367
2.30%, 12/20/35, JPY		50,000		619
Korea Treasury Bond, 4.25%, 09/10/14, KRW		2,150,000		1,973
Malaysia Government Bond, 5.09%, 04/30/14, MYR		8,825		3,056
Mexican Bonos
9.50%, 12/18/14, MXN		29,000		2,670
7.75%, 12/14/17, MXN		3,800		330
Netherlands Government Bond, 3.25%, 07/15/15, EUR		1,250		1,816
Philippine Government Bond, 4.95%, 01/15/21		12,000		271
Poland Government Treasury International Bond
5.75%, 04/25/14, PLN		5,250		1,870
5.25%, 10/25/17, PLN		3,000		1,016
6.38%, 07/15/19		650		723
Queensland Treasury Corp., 6.00%, 10/14/15, AUD		2,050		2,168
Republic of Argentina
8.28%, 12/31/33		390		348
2.28%, 12/15/35 (i)		725		117
Republic of Deutschland
3.75%, 07/04/13, EUR		250		369
4.25%, 07/04/14 - 07/04/18 , EUR		4,195		6,363
3.25%, 07/04/15, EUR		825		1,205
4.75%, 07/04/34, EUR		950		1,518
Republic of Hungary, 6.25%, 01/29/20		400		407
Republic of Iraq, 5.80%, 01/15/28		500		459
Republic of Turkey, 7.50%, 11/07/19		150		175
Republic of Venezuela, 9.38%, 01/13/34		300		204
Singapore Government Bond, 3.75%, 09/01/16, SGD		1,950		1,736
Sweden Government Bond, 6.75%, 05/05/14 (e), SEK		15,750		2,783
Thailand Government Bond
5.25%, 05/12/14, THB		1,650		58
3.63%, 05/22/15, THB		7,150		239
Turkey Government International Bond
16.00%, 03/07/12 - 08/28/13 , TRY		350		256
6.75%, 05/30/40		150		156
United Kingdom Treasury Bond
2.75%, 01/22/15, GBP		200		327
4.00%, 09/07/16, GBP		300		511
4.50%, 03/07/19, GBP		375		646
5.00%, 03/07/25, GBP		400		704
4.75%, 12/07/38, GBP		350		598
Venezuela Government International Bond, 9.25%, 09/15/27		200		147

				58,050
Treasury Inflation Index Securities - 0.5%
Republic of Turkey Treasury Inflation Indexed
Note, 10.00%, 02/15/12 (n), TRY		306		212


	Shares/Par (p)		Value
U.S. Treasury Inflation Indexed Note, 2.00%, 07/15/14 (n)		1,490		1,635

				1,847
U.S. Treasury Securities - 6.2%
U.S. Treasury Bond
5.25%, 02/15/29		1,000		1,126
4.38%, 02/15/38		1,650		1,623
U.S. Treasury Note
0.75%, 05/31/12		1,000		1,004
2.75%, 02/28/13		2,650		2,751
4.25%, 08/15/13		4,025		4,336
4.25%, 11/15/13 (e)		1,750		1,895
1.38%, 11/30/15, TBA (g)		3,500		3,389
3.50%, 02/15/18 - 05/15/20		6,900		7,088

				23,212
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 2.9%
Federal National Mortgage Association - 2.9%
Federal National Mortgage Association
3.50%, 12/01/25		1,450		1,456
4.50%, 04/01/34, TBA (g)		1,750		1,781
5.50%, 04/12/36, TBA (g)		1,716		1,835
6.00%, 07/01/38		1,148		1,251
5.00%, 04/01/39		750		786
4.00%, 02/01/41		2,275		2,241
4.00%, 04/15/41, TBA (g)		1,800		1,770

Total Government and Agency Obligations (cost $91,455)				94,229

SHORT TERM INVESTMENTS - 8.8%
Investment Company - 3.7%
JNL Money Market Fund, 0.08% (a) (h)		14,098		14,098
Securities Lending Collateral - 5.1%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		18,597		18,597
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		640		625

				19,222

Total Short Term Investments (cost $33,335)				33,320

Total Investments - 105.4% (cost $350,103)				396,864
Other Assets and Liabilities, Net - (5.4%)				(20,384	)

Total Net Assets - 100.0%			$	376,480

JNL/Capital Guardian Global Diversified Research Fund
COMMON STOCKS - 98.3%
CONSUMER DISCRETIONARY - 7.8%
Comcast Corp. - Class A		104	$	2,578
Daimler AG (c)		35		2,482
Denso Corp.		53		1,772
Discovery Communications Inc. - Class A (c)		23		918
DreamWorks Animation SKG Inc. - Class A (c)		50		1,385
Gannett Co. Inc.		57		874
GKN Plc		313		1,008
Lowe’s Cos. Inc.		71		1,871
Mazda Motor Corp.		357		785
McDonald’s Corp.		24		1,819
Nike Inc. - Class B		16		1,226


	Shares/Par (p)		Value
Shimamura Co. Ltd.		13		1,154
Target Corp.		45		2,256
Time Warner Cable Inc.		28		1,976
TRW Automotive Holdings Corp. (c)		17		920
Urban Outfitters Inc. (c)		35		1,056
Virgin Media Inc.		57		1,576

				25,656
CONSUMER STAPLES - 7.2%
Ajinomoto Co. Inc.		111		1,157
Avon Products Inc.		49		1,333
Coca-Cola Amatil Ltd. (e)		241		2,931
Danone SA		53		3,438
General Mills Inc.		15		563
Imperial Tobacco Group Plc		84		2,589
Kraft Foods Inc. - Class A		60		1,879
PepsiCo Inc.		30		1,932
Pernod-Ricard SA		46		4,305
Philip Morris International Inc.		22		1,437
Procter & Gamble Co.		37		2,279

				23,843
ENERGY - 14.3%
BG Group Plc		344		8,559
Cairn Energy Plc (c)		361		2,675
Cameco Corp. (e)		44		1,317
Canadian Natural Resources Ltd.		42		2,091
Cenovus Energy Inc.		87		3,449
Chevron Corp.		48		5,146
China Shenhua Energy Co. Ltd. - Class H (e)		530		2,497
EnCana Corp.		46		1,599
Gazprom OAO - ADR		98		3,186
Halliburton Co.		57		2,836
Oil Search Ltd. (e)		279		2,056
Reliance Industries Ltd.		33		783
Royal Dutch Shell Plc - Class A		118		4,285
Schlumberger Ltd.		20		1,865
SeaDrill Ltd.		34		1,214
Transocean Ltd. (c)		15		1,154
Tullow Oil Plc		36		828
Weatherford International Ltd. (c)		76		1,727

				47,267
FINANCIALS - 17.3%
AIA Group Ltd. (c) (q)		851		2,619
Allstate Corp.		62		1,958
AON Corp.		45		2,378
Banco Espirito Santo SA (e)		430		1,762
Bank Mandiri Persero Tbk PT (q)		1,052		821
Bank of China Ltd. - Class H		5,185		2,886
Bank of New York Mellon Corp.		26		765
Barclays Plc		453		2,017
BB&T Corp.		24		662
BNP Paribas SA (q)		27		1,993
Charles Schwab Corp.		91		1,648
CIMB Group Holdings Bhd		375		1,014
DBS Group Holdings Ltd.		123		1,427
Deutsche Boerse AG		24		1,845
DLF Ltd.		87		522
Goldman Sachs Group Inc.		16		2,551
Grupo Financiero Inbursa SA		189		872
Hana Financial Group Inc.		46		2,002
HSBC Holdings Plc		267		2,745
Industrial & Commercial Bank of China - Class H		3,605		2,994
Intact Financial Corp.		24		1,254
Itau Unibanco Holding SA - ADR		50		1,200
JPMorgan Chase & Co.		37		1,710


	Shares/Par (p)		Value
Link Real Estate Investment Trust		1,087		3,401
Mitsui Fudosan Co. Ltd.		43		710
NYSE Euronext		43		1,516
Progressive Corp.		88		1,864
Sampo Oyj (e)		74		2,370
Sumitomo Mitsui Financial Group Inc.		69		2,139
UBS AG (c)		141		2,537
Wharf Holdings Ltd.		429		2,960

				57,142
HEALTH CARE - 8.3%
Allergan Inc.		50		3,515
AMERIGROUP Corp. (c)		32		2,050
Bayer AG		39		3,065
Cerner Corp. (c)		21		2,369
CSL Ltd.		59		2,190
Novo-Nordisk A/S - Class B		25		3,129
Pharmasset Inc. (c)		35		2,778
Roche Holding AG		12		1,759
Shire Plc		139		4,044
Sonova Holding AG		16		1,392
Sysmex Corp.		26		912

				27,203
INDUSTRIALS - 8.2%
Assa Abloy AB - Class B		101		2,901
China Railway Construction Corp. Ltd. - Class H		647		672
China Railway Group Ltd. - Class H		1,172		756
Cia de Concessoes Rodoviarias		43		1,255
Danaher Corp.		65		3,363
Emerson Electric Co.		19		1,081
FedEx Corp.		23		2,152
Jardine Matheson Holdings Ltd.		39		1,746
Kurita Water Industries Ltd.		29		854
Mitsui OSK Lines Ltd.		308		1,774
Nielsen Holdings NV (c)		46		1,262
Norfolk Southern Corp.		23		1,621
Schneider Electric SA		16		2,798
Siemens AG		14		1,987
Sumitomo Corp.		103		1,477
Sumitomo Electric Industries Ltd.		85		1,179

				26,878
INFORMATION TECHNOLOGY - 14.9%
Apple Inc. (c)		9		3,032
ASML Holding NV (c)		66		2,917
ASML Holding NV - NYS (c)		10		441
Autonomy Corp. Plc (c)		50		1,272
Canon Inc.		29		1,266
Cisco Systems Inc.		15		259
Delta Electronics Inc.		268		1,062
First Solar Inc. (c) (e)		4		692
Flextronics International Ltd. (c)		216		1,616
Google Inc. - Class A (c)		4		2,110
Ibiden Co. Ltd. (e)		31		982
International Business Machines Corp.		19		3,033
Juniper Networks Inc. (c)		54		2,268
Keyence Corp.		8		1,925
KLA-Tencor Corp.		22		1,018
MasterCard Inc.		6		1,611
Maxim Integrated Products Inc.		126		3,233
Murata Manufacturing Co. Ltd.		21		1,498
Nintendo Co. Ltd.		5		1,270
Oracle Corp.		73		2,439
Premier Farnell Plc		195		848
QUALCOMM Inc.		71		3,865
Samsung Electronics Co. Ltd.		2		1,285


	Shares/Par (p)		Value
Samsung Electronics Co. Ltd. - GDR		6		2,558
SAP AG		34		2,083
TDK Corp.		28		1,678
Trend Micro Inc.		46		1,220
Visa Inc. - Class A		22		1,620

				49,101
MATERIALS - 11.8%
Air Products & Chemicals Inc.		18		1,659
Allegheny Technologies Inc.		32		2,187
Anglo American Plc		56		2,891
Barrick Gold Corp.		28		1,438
Cliffs Natural Resources Inc.		33		3,224
CRH Plc		45		1,021
HeidelbergCement AG		15		1,048
Holcim Ltd.		18		1,367
Inmet Mining Corp.		37		2,629
LG Chem Ltd. - GDR (c) (q)		14		3,040
Monsanto Co.		11		809
Newcrest Mining Ltd.		56		2,317
Rio Tinto Plc		37		2,633
Sappi Ltd. (c)		165		876
Shin-Etsu Chemical Co. Ltd.		22		1,069
Stora Enso Oyj - Class R (c)		169		2,008
Sumitomo Chemical Co. Ltd. (e)		282		1,407
Syngenta AG		10		3,201
Vale SA - ADR		40		1,178
Xstrata Plc		120		2,814

				38,816
TELECOMMUNICATION SERVICES - 6.4%
American Tower Corp. - Class A (c)		120		6,229
France Telecom SA		67		1,512
Koninklijke KPN NV		212		3,619
MTN Group Ltd.		81		1,635
SoftBank Corp.		56		2,223
Telstra Corp. Ltd.		1,609		4,694
TELUS Corp.		26		1,283

				21,195
UTILITIES - 2.1%
Edison International		33		1,215
GDF Suez		37		1,506
Hong Kong & China Gas Co. Ltd.		739		1,773
National Grid Plc		151		1,441
Veolia Environnement		32		1,005

				6,940

Total Common Stocks (cost $264,651)				324,041

CORPORATE BONDS AND NOTES - 0.1%
ENERGY - 0.1%
Seadrill Ltd., 3.63%, 11/08/12	$	200		260

Total Corporate Bonds and Notes (cost $135)				260

SHORT TERM INVESTMENTS - 3.5%
Investment Company - 1.4%
JNL Money Market Fund, 0.08% (a) (h)		4,695		4,695
Securities Lending Collateral - 2.1%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		6,414		6,414


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		472		461

				6,875

Total Short Term Investments (cost $11,581)				11,570

Total Investments - 101.9% (cost $276,367)				335,871
Other Assets and Liabilities, Net - (1.9%)				(6,128	)

Total Net Assets - 100.0%			$	329,743

JNL/Capital Guardian U.S. Growth Equity Fund
COMMON STOCKS - 95.5%
CONSUMER DISCRETIONARY - 16.2%
Coach Inc.		181	$	9,393
Comcast Corp. - Class A		429		10,607
DreamWorks Animation SKG Inc. - Class A (c)		356		9,954
Gannett Co. Inc.		548		8,340
Home Depot Inc.		50		1,846
Lowe’s Cos. Inc.		120		3,182
Scripps Networks Interactive Inc. - Class A		91		4,578
Target Corp.		178		8,882
Tiffany & Co.		151		9,284
Time Warner Cable Inc.		42		3,025
Urban Outfitters Inc. (c)		237		7,058
Viacom Inc. - Class B		189		8,811

				84,960
CONSUMER STAPLES - 6.3%
Alberto-Culver Co.		58		2,143
Avon Products Inc.		283		7,650
Colgate-Palmolive Co.		36		2,883
General Mills Inc.		80		2,924
PepsiCo Inc.		137		8,850
Philip Morris International Inc.		97		6,386
Procter & Gamble Co.		35		2,137

				32,973
ENERGY - 14.1%
Anadarko Petroleum Corp.		121		9,929
Baker Hughes Inc.		80		5,904
Cenovus Energy Inc.		105		4,135
EnCana Corp.		149		5,148
Halliburton Co.		214		10,661
Noble Energy Inc.		86		8,351
Schlumberger Ltd.		165		15,360
Transocean Ltd. (c)		30		2,291
Weatherford International Ltd. (c)		541		12,233

				74,012
FINANCIALS - 6.0%
Bank of New York Mellon Corp.		65		1,930
Charles Schwab Corp.		784		14,141
Goldman Sachs Group Inc.		66		10,506
JPMorgan Chase & Co.		66		3,038
Progressive Corp.		99		2,090

				31,705
HEALTH CARE - 12.7%
Allergan Inc.		142		10,071
AMERIGROUP Corp. (c)		138		8,841
Boston Scientific Corp. (c)		677		4,865
Centene Corp. (c)		101		3,338


	Shares/Par (p)		Value
Cerner Corp. (c) (e)		130		14,489
Medtronic Inc.		59		2,318
Pharmasset Inc. (c)		168		13,197
Shire Plc - ADR (e)		85		7,412
Universal Health Services Inc. - Class B		49		2,431

				66,962
INDUSTRIALS - 9.6%
Danaher Corp.		196		10,157
Emerson Electric Co.		34		1,975
FedEx Corp.		60		5,613
Illinois Tool Works Inc.		87		4,663
Iron Mountain Inc.		172		5,368
Jacobs Engineering Group Inc. (c)		118		6,089
Nielsen Holdings NV (c)		521		14,220
WW Grainger Inc.		19		2,630

				50,715
INFORMATION TECHNOLOGY - 22.0%
Akamai Technologies Inc. (c)		121		4,613
Apple Inc. (c)		24		8,467
Broadcom Corp. - Class A (c)		153		6,005
Cisco Systems Inc.		256		4,382
eBay Inc. (c)		46		1,437
First Solar Inc. (c) (e)		30		4,841
Flextronics International Ltd. (c)		275		2,051
Google Inc. - Class A (c)		35		20,224
International Business Machines Corp.		15		2,495
Jabil Circuit Inc.		176		3,590
Juniper Networks Inc. (c)		233		9,822
KLA-Tencor Corp.		127		6,007
MasterCard Inc.		10		2,593
Maxim Integrated Products Inc.		97		2,486
Nintendo Co. Ltd. - ADR (e)		174		5,867
Oracle Corp.		392		13,094
QUALCOMM Inc.		222		12,189
Visa Inc. - Class A		75		5,522

				115,685
MATERIALS - 6.9%
Allegheny Technologies Inc.		137		9,284
Cliffs Natural Resources Inc.		74		7,253
Ecolab Inc.		87		4,429
Monsanto Co.		167		12,046
Vulcan Materials Co. (e)		66		3,014

				36,026
TELECOMMUNICATION SERVICES - 1.7%
American Tower Corp. - Class A (c)		172		8,908

Total Common Stocks (cost $407,859)				501,946

SHORT TERM INVESTMENTS - 6.9%
Investment Company - 4.5%
JNL Money Market Fund, 0.08% (a) (h)		23,641		23,641
Securities Lending Collateral - 2.4%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		11,866		11,866
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		895		874

				12,740

Total Short Term Investments (cost $36,402)				36,381


	Shares/Par (p)		Value
Total Investments - 102.4% (cost $444,261)				538,327
Other Assets and Liabilities, Net - (2.4%)				(12,809	)

Total Net Assets - 100.0%			$	525,518

JNL/Eagle Core Equity Fund
COMMON STOCKS - 93.2%
CONSUMER DISCRETIONARY - 9.8%
Bed Bath & Beyond Inc. (c)		91	$	4,399
Lowe’s Cos. Inc.		299		7,912
Omnicom Group Inc.		100		4,894
Staples Inc.		258		5,014

				22,219
CONSUMER STAPLES - 5.2%
Coca-Cola Co.		66		4,362
PepsiCo Inc.		59		3,780
Wal-Mart Stores Inc.		72		3,729

				11,871
ENERGY - 11.9%
Chevron Corp.		48		5,161
ConocoPhillips		65		5,208
Exxon Mobil Corp.		94		7,939
Schlumberger Ltd.		68		6,352
Valero Energy Corp.		83		2,469

				27,129
FINANCIALS - 16.4%
CME Group Inc.		19		5,607
Goldman Sachs Group Inc.		28		4,453
Invesco Ltd.		179		4,577
JPMorgan Chase & Co.		206		9,508
MetLife Inc.		152		6,802
Wells Fargo & Co.		205		6,505

				37,452
HEALTH CARE - 13.7%
Johnson & Johnson		62		3,660
Pfizer Inc.		402		8,169
St. Jude Medical Inc.		174		8,896
UnitedHealth Group Inc.		142		6,433
Zimmer Holdings Inc. (c)		68		4,137

				31,295
INDUSTRIALS - 8.3%
Boeing Co.		44		3,232
Tyco International Ltd.		147		6,596
Union Pacific Corp.		56		5,482
United Technologies Corp.		44		3,684

				18,994
INFORMATION TECHNOLOGY - 24.6%
Activision Blizzard Inc.		431		4,733
Adobe Systems Inc. (c)		171		5,659
Apple Inc. (c)		20		6,977
Cisco Systems Inc.		100		1,709
EMC Corp. (c)		304		8,063
Google Inc. - Class A (c)		8		4,493
Hewlett-Packard Co.		72		2,934
Intel Corp.		248		5,007
Microsoft Corp.		153		3,881
Oracle Corp.		215		7,170


	Shares/Par (p)		Value
QUALCOMM Inc.		98		5,372

				55,998
TELECOMMUNICATION SERVICES - 1.8%
Sprint Nextel Corp. (c)		860		3,988
UTILITIES - 1.5%
Dominion Resources Inc.		78		3,487

Total Common Stocks (cost $181,843)				212,433

INVESTMENT COMPANIES - 3.0%
Materials Select Sector SPDR Fund (e)		174		6,950

Total Investment Companies (cost $5,726)				6,950

SHORT TERM INVESTMENTS - 4.2%
Investment Company - 3.6%
JNL Money Market Fund, 0.08% (a) (h)		8,162		8,162
Securities Lending Collateral - 0.6%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		1,418		1,418

Total Short Term Investments (cost $9,580)				9,580

Total Investments - 100.4% (cost $197,149)				228,963
Other Assets and Liabilities, Net - (0.4%)				(1,015	)

Total Net Assets - 100.0%			$	227,948

JNL/Eagle SmallCap Equity Fund
COMMON STOCKS - 98.4%
CONSUMER DISCRETIONARY - 17.6%
American Axle & Manufacturing Holdings Inc. (c)		821	$	10,342
Bally Technologies Inc. (c)		276		10,436
BJ’s Restaurants Inc. (c)		247		9,712
Buffalo Wild Wings Inc. (c)		130		7,070
Chico’s FAS Inc.		465		6,934
Genesco Inc. (c)		516		20,741
Gentex Corp.		300		9,082
Orient-Express Hotels Ltd. - Class A (c)		345		4,272
Pinnacle Entertainment Inc. (c)		407		5,543
Shuffle Master Inc. (c)		1,027		10,967
Sotheby’s - Class A		118		6,182
Steven Madden Ltd. (c)		144		6,778
Universal Electronics Inc. (c)		315		9,313
Vitamin Shoppe Inc. (c)		436		14,745

				132,117
CONSUMER STAPLES - 1.7%
Herbalife Ltd.		80		6,502
The Fresh Market Inc. (c)		168		6,358

				12,860
ENERGY - 8.6%
Cloud Peak Energy Inc. (c)		345		7,447
CVR Energy Inc. (c)		193		4,480
Lufkin Industries Inc.		318		29,706
Oasis Petroleum Inc. (c)		374		11,814
OYO Geospace Corp. (c)		116		11,446

				64,893


	Shares/Par (p)		Value
FINANCIALS - 5.0%
Cash America International Inc.		336		15,463
Duff & Phelps Corp. - Class A		262		4,181
DuPont Fabros Technology Inc. (e)		116		2,803
Janus Capital Group Inc.		300		3,743
optionsXpress Holdings Inc.		192		3,515
Redwood Trust Inc. (e)		326		5,076
UMB Financial Corp.		68		2,543

				37,324
HEALTH CARE - 17.2%
Allscripts-Misys Healthcare Solutions Inc. (c)		446		9,370
American Medical Systems Holdings Inc. (c)		428		9,260
ArthroCare Corp. (c)		248		8,264
BioMarin Pharmaceutical Inc. (c) (e)		252		6,333
Bruker Corp. (c)		467		9,738
Catalyst Health Solutions Inc. (c)		171		9,561
Centene Corp. (c)		261		8,608
Delcath Systems Inc. (c) (e)		297		2,192
ICON Plc - ADR (c)		269		5,804
MedAssets Inc. (c)		303		4,631
Parexel International Corp. (c)		148		3,687
Quality Systems Inc. (e)		143		11,930
Regeneron Pharmaceuticals Inc. (c)		161		7,234
Salix Pharmaceuticals Ltd. (c)		185		6,470
Seattle Genetics Inc. (c) (e)		241		3,746
Sirona Dental Systems Inc. (c)		199		9,992
Thoratec Corp. (c)		378		9,814
Vital Images Inc. (c)		215		2,901

				129,535
INDUSTRIALS - 15.0%
Atlas Air Worldwide Holdings Inc. (c)		168		11,694
Geo Group Inc. (c)		485		12,434
GrafTech International Ltd. (c)		748		15,429
JetBlue Airways Corp. (c) (e)		1,164		7,299
Landstar System Inc.		158		7,203
Meritor Inc. (c)		516		8,753
Northwest Pipe Co. (c)		205		4,712
Regal-Beloit Corp.		132		9,726
Triumph Group Inc.		115		10,191
WABCO Holdings Inc. (c)		242		14,947
Waste Connections Inc.		371		10,670

				113,058
INFORMATION TECHNOLOGY - 27.3%
Ansys Inc. (c)		211		11,430
Coherent Inc. (c)		214		12,420
Compuware Corp. (c)		866		10,005
DTS Inc. (c)		280		13,070
EMS Technologies Inc. (c)		426		8,375
Fortinet Inc. (c)		223		9,827
Informatica Corp. (c)		269		14,026
Monster Worldwide Inc. (c)		199		3,163
NetLogic Microsystems Inc. (c)		244		10,263
Nice Systems Ltd. - ADR (c)		259		9,569
Progress Software Corp. (c)		281		8,178
QLIK Technologies Inc. (c)		217		5,638
Radiant Systems Inc. (c)		421		7,448
Riverbed Technology Inc. (c)		351		13,213
Rovi Corp. (c)		52		2,806
Sapient Corp. (c)		592		6,781
SuccessFactors Inc. (c)		324		12,680
Teradyne Inc. (c)		447		7,957
TIBCO Software Inc. (c)		584		15,925
Universal Display Corp. (c)		91		5,028


	Shares/Par (p)		Value
Varian Semiconductor Equipment Associates Inc. (c)		189		9,216
Veeco Instruments Inc. (c) (e)		172		8,719

				205,737
MATERIALS - 6.0%
Huntsman Corp.		712		12,375
Intrepid Potash Inc. (c) (e)		187		6,525
RTI International Metals Inc. (c)		324		10,082
Texas Industries Inc. (e)		223		10,078
Titanium Metals Corp. (c)		347		6,444

				45,504

Total Common Stocks (cost $561,274)				741,028

SHORT TERM INVESTMENTS - 7.6%
Investment Company - 2.1%
JNL Money Market Fund, 0.08% (a) (h)		15,540		15,540
Securities Lending Collateral - 5.5%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		40,576		40,576
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		886		865

				41,441

Total Short Term Investments (cost $57,002)				56,981

Total Investments - 106.0% (cost $618,276)				798,009
Other Assets and Liabilities, Net - (6.0%)				(44,883	)

Total Net Assets - 100.0%			$	753,126

JNL/Franklin Templeton Founding Strategy Fund (b)
INVESTMENT COMPANIES - 100.0%
JNL/Franklin Templeton Global Growth Fund (71.1%) (a)		43,329	$	372,196
JNL/Franklin Templeton Income Fund (32.1%) (a)		36,084		382,123
JNL/Franklin Templeton Mutual Shares Fund (54.6%) (a)		40,160		357,426

Total Investment Companies (cost $1,114,976)				1,111,745

Total Investments - 100.0% (cost $1,114,976)				1,111,745
Other Assets and Liabilities, Net - (0.0%)				(403	)

Total Net Assets - 100.0%			$	1,111,342

JNL/Franklin Templeton Global Growth Fund
COMMON STOCKS - 96.4%
CONSUMER DISCRETIONARY - 16.4%
Bayerische Motoren Werke AG		32	$	2,707
Comcast Corp. - Class A		30		753
Comcast Corp. - Special Class A		418		9,706
Compagnie Generale des Etablissements Michelin		40		3,368
Compass Group Plc		276		2,481
Expedia Inc.		29		646
Home Depot Inc.		62		2,316


	Shares/Par (p)		Value
Hyundai Motor Co.		33		6,059
Inditex SA		31		2,509
Kingfisher Plc		1,185		4,674
Marks & Spencer Group Plc		238		1,283
News Corp. - Class A		497		8,719
Nissan Motor Co. Ltd.		16		138
Pearson Plc		177		3,123
Persimmon Plc		174		1,240
Reed Elsevier NV		173		2,229
Target Corp.		46		2,316
Time Warner Cable Inc.		76		5,447
Time Warner Inc.		102		3,628
Toyota Motor Corp.		115		4,611
USS Co. Ltd.		19		1,497
Viacom Inc. - Class B		113		5,255
Vivendi SA		217		6,196
Walt Disney Co.		112		4,818

				85,719
CONSUMER STAPLES - 2.7%
CVS Caremark Corp.		152		5,223
Nestle SA		78		4,495
Tesco Plc		715		4,368

				14,086
ENERGY - 11.2%
Baker Hughes Inc.		62		4,581
BP Plc		857		6,244
Chevron Corp.		51		5,434
ENI SpA		152		3,740
Gazprom OAO - ADR		133		4,292
Halliburton Co.		108		5,380
Noble Corp.		89		4,060
Petroleo Brasileiro SA - ADR		61		2,156
Royal Dutch Shell Plc - Class B		241		8,738
SBM Offshore NV		76		2,193
StatoilHydro ASA		163		4,530
Total SA		116		7,087

				58,435
FINANCIALS - 15.6%
ACE Ltd.		50		3,243
AIA Group Ltd. (c)		888		2,735
American Express Co.		101		4,564
Aviva Plc		853		5,924
AXA SA		148		3,084
Bank of America Corp.		179		2,384
Bank of New York Mellon Corp.		68		2,035
Cheung Kong Holdings Ltd. (e)		223		3,635
Citigroup Inc. (c)		286		1,264
DBS Group Holdings Ltd.		322		3,740
HSBC Holdings Plc (e)		413		4,336
ICICI Bank Ltd. - ADR		66		3,312
ING Groep NV (c)		647		8,190
Intesa Sanpaolo SpA		791		2,341
JPMorgan Chase & Co.		70		3,222
KB Financial Group Inc. - ADR (e)		94		4,901
Muenchener Rueckversicherungs AG		23		3,607
Nomura Holdings Inc.		262		1,372
Progressive Corp.		172		3,630
RenaissanceRe Holdings Ltd.		37		2,583
Swire Pacific Ltd.		156		2,279
Swiss Reinsurance (c)		52		2,960
Torchmark Corp.		20		1,326
UBS AG (c)		66		1,189
UniCredit SpA		1,551		3,833

				81,689


	Shares/Par (p)		Value
HEALTH CARE - 15.0%
Abbott Laboratories		35		1,739
Amgen Inc. (c)		167		8,901
Biogen Idec Inc. (c)		33		2,415
Bristol-Myers Squibb Co.		62		1,634
Covidien Plc		125		6,493
GlaxoSmithKline Plc		367		7,003
Lonza Group AG (c)		25		2,134
Medtronic Inc.		150		5,884
Merck & Co. Inc.		162		5,337
Merck KGaA		30		2,728
Novartis AG		97		5,234
Pfizer Inc.		486		9,879
Quest Diagnostics Inc.		65		3,755
Roche Holding AG		40		5,747
Sanofi-Aventis SA		139		9,741

				78,624
INDUSTRIALS - 11.4%
Adecco SA		23		1,499
Alstom SA		43		2,570
BAE Systems Plc		367		1,913
Brambles Ltd.		160		1,173
Deutsche Lufthansa AG (c)		62		1,313
Deutsche Post AG		119		2,150
East Japan Railway Co.		25		1,362
Embraer SA - ADR		42		1,400
FedEx Corp.		49		4,564
General Electric Co.		293		5,873
Hays Plc		629		1,173
International Consolidated Airlines Group SA (c)		342		1,246
ITOCHU Corp.		133		1,388
Koninklijke Philips Electronics NV (e)		104		3,324
Randstad Holding NV		50		2,800
Rentokil Initial Plc (c)		396		572
Siemens AG		59		8,060
Tyco International Ltd.		146		6,547
United Parcel Service Inc. - Class B		79		5,891
Wolseley Plc		142		4,790

				59,608
INFORMATION TECHNOLOGY - 14.8%
Accenture Plc - Class A		215		11,825
Brocade Communications Systems Inc. (c)		449		2,759
Cisco Systems Inc.		285		4,881
Dell Inc. (c)		193		2,805
Flextronics International Ltd. (c)		258		1,928
FUJIFILM Holdings Corp.		50		1,549
Konica Minolta Holdings Inc.		154		1,291
Microsoft Corp.		359		9,103
Nintendo Co. Ltd.		10		2,728
Oracle Corp.		333		11,118
Samsung Electronics Co. Ltd. - GDR		2		967
Samsung Electronics Co. Ltd. - GDR (q)		17		7,320
SAP AG		92		5,618
Seagate Technology (c)		148		2,131
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR		429		5,227
TE Connectivity Ltd.		95		3,317
Telefonaktiebolaget LM Ericsson - Class B		233		3,008

				77,575
MATERIALS - 1.9%
Alcoa Inc.		131		2,310
CRH Plc		178		4,077
Svenska Cellulosa AB		112		1,809


	Shares/Par (p)		Value
Vale SA - ADR		59		1,733

				9,929
TELECOMMUNICATION SERVICES - 7.4%
China Telecom Corp. Ltd. - ADR (e)		34		2,076
France Telecom SA		262		5,876
Singapore Telecommunications Ltd.		2,869		6,874
Sprint Nextel Corp. (c)		815		3,783
Telefonica SA		163		4,072
Telekom Austria AG		160		2,341
Turkcell Iletisim Hizmet AS - ADR (e)		154		2,317
Vodafone Group Plc		4,069		11,521

				38,860

Total Common Stocks (cost $490,999)				504,525

SHORT TERM INVESTMENTS - 6.1%
Investment Company - 3.3%
JNL Money Market Fund, 0.08% (a) (h)		17,347		17,347
Securities Lending Collateral - 2.8%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		14,656		14,656
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		202		197

				14,853

Total Short Term Investments (cost $32,205)				32,200

Total Investments - 102.5% (cost $523,204)				536,725
Other Assets and Liabilities, Net - (2.5%)				(13,157	)

Total Net Assets - 100.0%			$	523,568

JNL/Franklin Templeton Income Fund
COMMON STOCKS - 36.7%
CONSUMER DISCRETIONARY - 0.8%
Charter Communications Inc. - Class A (c)		3	$	152
Comcast Corp. - Class A		150		3,708
Dex One Corp. (c) (e)		106		515
Home Depot Inc.		69		2,572
Target Corp.		60		3,000

				9,947
CONSUMER STAPLES - 0.7%
Diageo Plc		150		2,851
PepsiCo Inc.		90		5,778

				8,629
ENERGY - 7.3%
Alpha Natural Resources Inc. (c) (e)		25		1,484
Baker Hughes Inc.		50		3,671
BP Plc - ADR		200		8,828
Callon Petroleum Co. (c)		75		583
Canadian Oil Sands Ltd.		425		14,322
Chesapeake Energy Corp.		90		3,017
Chevron Corp.		30		3,223
ConocoPhillips		200		15,972
Exxon Mobil Corp.		300		25,239
Schlumberger Ltd.		40		3,730
Spectra Energy Corp.		165		4,474
Weatherford International Ltd. (c)		125		2,825

				87,368


	Shares/Par (p)		Value
FINANCIALS - 5.7%
Banco Santander SA		254		2,947
Bank of America Corp.		900		11,997
Barclays Plc		300		1,336
CIT Group Inc. (c)		50		2,127
Citigroup Inc. (c)		894		3,954
HSBC Holdings Plc		750		7,712
JPMorgan Chase & Co.		300		13,830
M&T Bank Corp. (e)		60		5,308
Wells Fargo & Co.		500		15,850
Westfield Retail Trust		813		2,203

				67,264
HEALTH CARE - 4.9%
Johnson & Johnson		225		13,331
Merck & Co. Inc.		500		16,505
Pfizer Inc.		500		10,155
Roche Holding AG		130		18,570

				58,561
INDUSTRIALS - 1.0%
Boeing Co.		35		2,588
General Electric Co.		450		9,022

				11,610
INFORMATION TECHNOLOGY - 1.5%
Intel Corp.		350		7,059
Maxim Integrated Products Inc.		200		5,120
Xerox Corp.		300		3,195
Xilinx Inc.		90		2,952

				18,326
MATERIALS - 1.4%
AngloGold Ashanti Ltd. - ADR		60		2,877
Barrick Gold Corp.		130		6,748
Newmont Mining Corp.		110		6,004
Nucor Corp.		20		920

				16,549
TELECOMMUNICATION SERVICES - 2.7%
AT&T Inc.		350		10,710
CenturyTel Inc.		70		2,909
Frontier Communications Corp.		116		954
Telstra Corp. Ltd.		900		2,625
Verizon Communications Inc.		150		5,781
Vodafone Group Plc		3,000		8,494

				31,473
UTILITIES - 10.7%
AGL Resources Inc.		100		3,984
American Electric Power Co. Inc.		170		5,974
CenterPoint Energy Inc.		95		1,668
Consolidated Edison Inc.		80		4,058
Dominion Resources Inc.		205		9,164
Duke Energy Corp.		550		9,982
Dynegy Inc. (c)		70		398
Entergy Corp.		120		8,065
FirstEnergy Corp.		75		2,782
NextEra Energy Inc.		170		9,370
NiSource Inc.		40		767
PG&E Corp.		250		11,045
Pinnacle West Capital Corp.		100		4,279
PPL Corp.		76		1,910
Progress Energy Inc.		200		9,228
Public Service Enterprise Group Inc.		250		7,878
Sempra Energy		150		8,025
Southern Co.		420		16,006


	Shares/Par (p)		Value
TECO Energy Inc.		200		3,752
Xcel Energy Inc.		350		8,362

				126,697

Total Common Stocks (cost $412,339)				436,424

PREFERRED STOCKS - 4.8%
CONSUMER DISCRETIONARY - 0.2%
General Motors Co., Convertible Preferred, 4.75%		44		2,130
Motors Liquidation Co., 6.25%, Series C (c) (d)		100		731

				2,861
ENERGY - 1.3%
Chesapeake Energy Corp., Convertible Preferred, 5.75% (m) (r)		5		6,168
SandRidge Energy Inc., Convertible Preferred, 7.00% (m) (r)		50		9,255

				15,423
FINANCIALS - 2.9%
Ally Financial Inc., 7.00%, (callable at 1000 beginning 12/31/11) (m) (r)		2		1,718
Bank of America Corp., Convertible Preferred, 7.25%, Series L (m)		10		9,981
Citigroup Inc., Convertible Preferred, 7.50%		60		7,590
Federal Home Loan Mortgage Corp., 8.38%, (callable at 25 beginning 12/31/12), Series Z (c) (d) (m)		186		315
Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)		65		110
Federal National Mortgage Association, 7.63% (callable at 25 beginning 11/21/12), Series R (c) (d) (m)		143		36
Federal National Mortgage Association, 6.75% (callable at 25 beginning 05/16/11), Series Q (c) (d) (m)		100		150
Federal National Mortgage Association, 5.38% (callable at 105,000 on 12/03/10) (c) (d) (m)		—		288
Federal National Mortgage Association, 8.75% Convertible Preferred (c) (d)		91		79
FelCor Lodging Trust Inc., Convertible Preferred, 10.38%, Series A (m)		60		1,620
MetLife Inc., 5.00%		40		3,386
Wells Fargo & Co., Convertible Preferred, 4.25%, Series L (m)		9		8,799

				34,072
HEALTH CARE - 0.2%
Tenet Healthcare Corp., 7.00%		2		2,346
MATERIALS - 0.1%
AngloGold Ashanti Ltd., 6.00%		30		1,615
UTILITIES - 0.1%
NextEra Energy Inc., Convertible Preferred, 8.38%		20		1,032

Total Preferred Stocks (cost $65,932)				57,349

WARRANTS - 0.0%
Charter Communications Inc. (c)		30		357

Total Warrants (cost $106)				357


	Shares/Par (p)		Value
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.7%
Banc of America Large Loan Inc. REMIC, 2.01%, 11/15/13 (i) (r)	$	7,382		6,984
Dynegy Roseton Pass Through Trust, 7.67%, 11/08/16 (e)		1,000		945

Total Non-U.S. Government Agency Asset- Backed Securities (cost $7,511)				7,929

CORPORATE BONDS AND NOTES - 52.5%
CONSUMER DISCRETIONARY - 6.3%
Cablevision Systems Corp.
8.63%, 09/15/17		1,000		1,113
7.75%, 04/15/18 (e)		3,000		3,240
8.00%, 04/15/20 (e)		3,000		3,270
CCH II LLC, 13.50%, 11/30/16		5,134		6,148
CCO Holdings LLC, 8.13%, 04/30/20 (e)		3,700		4,024
Cequel Communications Holdings I LLC, 8.63%, 11/15/17 (r)		2,500		2,606
CityCenter Holdings LLC
7.63%, 01/15/16 (e) (r)		2,000		2,065
10.75%, 01/15/17 (e) (r)		2,000		2,065
CKE Restaurants Inc., 11.38%, 07/15/18		1,000		1,103
Clear Channel Communications Inc., 9.00%, 03/01/21 (r)		6,000		5,985
Clear Channel Worldwide Holdings Inc., 9.25%, 12/15/17		1,600		1,754
ClubCorp Club Operations Inc., 10.00%, 12/01/18 (r)		5,000		5,025
Clubcorp Club Operations Inc. Term Loan B, 6.00%, 11/23/16 (i)		5,000		5,031
Diversey Holdings Inc., 10.50%, 05/15/20		1,600		1,858
Diversey Inc., 8.25%, 11/15/19		2,500		2,681
Goodyear Tire & Rubber Co., 8.25%, 08/15/20 (e)		2,300		2,461
Harrah’s Operating Co. Inc., 11.25%, 06/01/17 (e)		750		852
Interactive Data Corp., 10.25%, 08/01/18 (r)		500		561
KB Home
5.75%, 02/01/14 (e)		2,000		2,020
6.25%, 06/15/15		1,300		1,287
MGM Resorts International
6.75%, 04/01/13		2,900		2,922
10.00%, 11/01/16 (e) (r)		3,000		3,157
Reynolds Group Issuer Inc., 8.25%, 02/15/21 (r)		600		594
Unitymedia GmbH
8.13%, 12/01/17 (r), EUR		2,750		4,092
9.63%, 12/01/19 (r), EUR		1,500		2,317
UPC Germany GmbH, 8.13%, 12/01/17 (e) (r)		2,100		2,210
Visant Corp., 10.00%, 10/01/17		4,700		5,076

				75,517
CONSUMER STAPLES - 0.6%
Dean Foods Co., 9.75%, 12/15/18 (e) (r)		1,900		1,950
JBS USA LLC, 11.63%, 05/01/14 (e)		1,000		1,160
SUPERVALU Inc., 8.00%, 05/01/16 (e)		4,500		4,500

				7,610
ENERGY - 10.4%
Antero Resources Finance Corp., 9.38%, 12/01/17 (e)		2,000		2,180
ATP Oil & Gas Corp., 11.88%, 05/01/15		2,500		2,625
Calpine Corp., 7.25%, 10/15/17 (r)		1,000		1,040
Calpine Generating Co. LLC, 8.00%, 06/01/16 (e) (r)		1,750		1,908


	Shares/Par (p)		Value
Chesapeake Energy Corp.
9.50%, 02/15/15		2,500		3,100
6.50%, 08/15/17 (e)		4,000		4,325
6.88%, 08/15/18 (e)		1,600		1,740
7.25%, 12/15/18		5,000		5,587
Consol Energy Inc., 8.25%, 04/01/20		1,600		1,774
El Paso Corp.
6.50%, 09/15/20 (e) (r)		1,600		1,722
7.75%, 01/15/32		1,000		1,121
Energy Transfer Partners LP, 7.50%, 10/15/20 (e)		2,500		2,719
Energy XXI Gulf Coast Inc., 9.25%, 12/15/17 (r)		3,500		3,745
EXCO Resources Inc., 7.50%, 09/15/18		3,500		3,552
Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (e) (r)		2,800		2,772
Linn Energy LLC, 8.63%, 04/15/20 (r)		3,300		3,663
NXP BV, 9.75%, 08/01/18 (r)		1,200		1,344
Petrohawk Energy Corp.
10.50%, 08/01/14		2,000		2,298
7.88%, 06/01/15 (e)		3,200		3,392
Pioneer Natural Resources Co., 6.88%, 05/01/18		1,400		1,520
Plains Exploration & Production Co., 7.75%, 06/15/15		1,500		1,566
Sabine Pass LNG LP
7.25%, 11/30/13		1,350		1,380
7.50%, 11/30/16		2,500		2,569
SandRidge Energy Inc.
3.93%, 04/01/14 (e) (i)		2,000		1,971
9.88%, 05/15/16 (r)		2,600		2,886
8.00%, 06/01/18 (r)		2,500		2,619
8.75%, 01/15/20 (e)		650		709
7.50%, 03/15/21 (r)		4,400		4,565
SESI LLC, 6.88%, 06/01/14		1,370		1,397
Texas Competitive Electric Holdings Co. LLC
10.25%, 11/01/15 (e)		18,880		11,045
10.50%, 11/01/16		297		172
15.00%, 04/01/21 (e) (r)		15,255		12,585
Texas Competitive Electric Holdings Co. LLC Term Loan
3.76%, 10/10/14 (i)		4,560		3,838
3.76%, 10/10/14 (i)		2,970		2,474
3.80%, 10/10/14 (i)		1,975		1,662
3.75%, 10/10/14 (i)		264		222
Texas Competitive Electric Holdings Co. LLC Term Loan B-1
3.76%, 10/10/14 (i)		2,472		2,080
3.76%, 10/10/14 (i)		3,000		2,525
3.76%, 10/10/14 (i)		4,974		4,187
Texas Competitive Electric Holdings Co. LLC Term Loan B-2, 3.80%, 10/10/14 (i)		3,969		3,341
Texas Competitive Electric Holdings Co. LLC Term Loan B-3
3.76%, 10/10/14 (i)		1,985		1,666
3.76%, 10/10/14 (i)		2,977		2,499
W&T Offshore Inc., 8.25%, 06/15/14 (r)		3,000		3,105

				123,190
FINANCIALS - 12.2%
Abengoa Finance SAU, 8.88%, 11/01/17 (e) (r)		3,200		3,192
Ally Financial Inc., 8.00%, 03/15/20		3,500		3,811
Bank of America Corp., 8.13%, (callable at 100 beginning 05/15/18) (m)		1,000		1,075
CapitalSource Inc., 4.00%, 07/15/34 (k)		2,500		2,506
CEVA Group Plc
8.38%, 12/01/17 (r)		3,400		3,468
11.50%, 04/01/18 (e) (r)		3,600		3,911


	Shares/Par (p)		Value
CIT Group Inc.
7.00%, 05/01/14 (e)		800		815
7.00%, 05/01/15 (e)		12,000		12,105
7.00%, 05/01/16 (e)		20,500		20,526
7.00%, 05/01/17 (e)		13,000		13,016
6.63%, 04/01/18 (e) (r)		1,300		1,319
Felcor Lodging LP, 10.00%, 10/01/14 (e)		1,700		1,942
Ford Motor Credit Co. LLC
8.00%, 06/01/14 (e)		2,500		2,780
7.00%, 04/15/15		2,000		2,165
12.00%, 05/15/15		2,600		3,273
Host Hotels & Resorts LP, 9.00%, 05/15/17 (e)		600		677
International Lease Finance Corp.
8.88%, 09/15/15 (r)		700		770
9.00%, 03/15/17 (r)		2,000		2,250
8.88%, 09/01/17 (e)		4,700		5,299
7.13%, 09/01/18 (r)		5,400		5,802
iStar Financial Inc.
0.80%, 10/01/12 (i)		4,500		4,106
8.63%, 06/01/13 (e)		5,000		5,075
iStar Financial Inc. Term Loan, 7.00%, 06/11/14 (i)		8,000		7,984
JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (m)		11,500		12,582
Liberty Mutual Group Inc., 10.75%, 06/15/58 (i) (r)		2,500		3,250
Petroplus Finance Ltd.
6.75%, 05/01/14 (r)		3,500		3,430
7.00%, 05/01/17 (e) (r)		3,400		3,230
9.38%, 09/15/19 (e) (r)		2,000		2,025
Pinafore LLC, 9.00%, 10/01/18 (r)		700		760
SuperMedia Inc. Term Loan, 11.00%, 12/31/15 (i)		695		459
UPCB Finance III Ltd., 6.63%, 07/01/20 (r)		5,000		4,900
Wells Fargo Capital XIII, 7.70%, (callable at 100 beginning 03/26/13) (m)		900		927
Wells Fargo Capital XV, 9.75%, (callable at 100 beginning 09/26/13) (m)		5,000		5,488

				144,918
HEALTH CARE - 5.3%
Community Health Systems Inc., 8.88%, 07/15/15		5,000		5,275
Giant Funding Corp., 8.25%, 02/01/18 (r)		1,400		1,437
HCA Holdings Inc., 7.75%, 05/15/21 (e) (r)		5,000		5,212
HCA Inc.
6.38%, 01/15/15		1,500		1,530
6.50%, 02/15/16		1,500		1,526
9.25%, 11/15/16		3,500		3,767
8.50%, 04/15/19		6,000		6,660
7.88%, 02/15/20		6,000		6,525
Mylan Inc., 6.00%, 11/15/18 (e) (r)		5,000		5,000
Quintiles Transnational Corp., 9.50%, 12/30/14 (r)		4,000		4,090
Tenet Healthcare Corp.
9.25%, 02/01/15 (e)		5,000		5,506
9.00%, 05/01/15		3,500		3,850
10.00%, 05/01/18		3,500		4,099
8.00%, 08/01/20 (e)		2,600		2,711
Vanguard Health Holding Co. II LLC
8.00%, 02/01/18 (e)		3,700		3,788
7.75%, 02/01/19 (r)		1,100		1,114
Vanguard Health Systems Inc., 0.00%,
02/01/16 (j) (r)		1,700		1,080

				63,170
INDUSTRIALS - 3.2%
American Airlines Inc., 7.50%, 03/15/16 (e) (r)		8,300		8,207


	Shares/Par (p)		Value
Case New Holland Inc., 7.88%, 12/01/17 (r)		2,500		2,778
Ceridian Corp., 11.25%, 11/15/15		4,000		4,160
CHC Helicopter SA, 9.25%, 10/15/20 (r)		3,500		3,605
Hertz Corp.
8.88%, 01/01/14		3,663		3,755
6.75%, 04/15/19 (r)		1,100		1,090
Manitowoc Co. Inc., 9.50%, 02/15/18		1,000		1,105
Niska Gas Storage US LLC, 8.88%, 03/15/18 (e)		2,500		2,719
RBS Global & Rexnord LLC
11.75%, 08/01/16 (e)		1,500		1,609
8.50%, 05/01/18 (e)		4,500		4,860
Terex Corp., 8.00%, 11/15/17 (e)		2,000		2,107
United Rentals North America Inc., 8.38%, 09/15/20 (e)		1,600		1,672

				37,667
INFORMATION TECHNOLOGY - 7.3%
Advanced Micro Devices Inc.
6.00%, 05/01/15		477		492
8.13%, 12/15/17		1,000		1,040
CDW Escrow Corp., 8.50%, 04/01/19 (r)		5,000		5,006
CDW LLC
11.00%, 10/12/15		3,000		3,255
12.54%, 10/12/17		2,000		2,145
CommScope Inc., 8.25%, 01/15/19 (e) (r)		800		836
First Data Corp.
9.88%, 09/24/15		399		409
11.25%, 03/31/16 (e)		3,000		2,989
8.25%, 01/15/21 (e) (r)		10,914		10,887
12.63%, 01/15/21 (r)		6,391		6,934
8.75%, 01/15/22 (e) (r)		3,198		3,182
First Data Corp. Term Loan
3.00%, 09/24/14 (i)		1,870		1,790
3.00%, 09/24/14 (i)		158		152
3.00%, 09/24/14 (i)		1,699		1,627
First Data Corp. Term Loan B-1, 3.00%, 09/24/14 (i)		4,987		4,773
First Data Corp. Term Loan B-2, 3.00%, 09/24/14 (i)		4,987		4,775
First Data Corp. Term Loan B-3
3.00%, 09/24/14 (i)		142		136
3.00%, 09/24/14 (i)		1,647		1,577
3.00%, 09/24/14 (i)		79		76
3.00%, 09/24/14 (i)		2,992		2,864
Freescale Semiconductor Inc.
10.13%, 12/15/16 (e)		3,000		3,187
10.13%, 03/15/18 (r)		5,000		5,600
9.25%, 04/15/18 (r)		4,000		4,380
10.75%, 08/01/20 (e) (r)		9,500		10,664
Sanmina-SCI Corp.
6.75%, 03/01/13 (e)		1,200		1,200
8.13%, 03/01/16 (e)		1,500		1,552
SunGard Data Systems Inc.
10.63%, 05/15/15		2,500		2,741
7.63%, 11/15/20 (e) (r)		2,000		2,055

				86,324
MATERIALS - 2.7%
Berry Plastics Corp., 9.75%, 01/15/21 (r)		1,000		990
Cemex SAB de CV
3.25%, 03/15/16 (e) (r)		3,625		3,720
3.75%, 03/15/18 (r)		2,125		2,207
FMG Resources August 2006 Pty Ltd.
7.00%, 11/01/15 (r)		2,100		2,179
6.88%, 02/01/18 (e) (r)		7,500		7,819
Hexion US Finance Corp., 8.88%, 02/01/18		3,000		3,172


	Shares/Par (p)		Value
Huntsman International LLC, 5.50%, 06/30/16 (e)		1,000		983
Ineos Group Holdings Plc, 7.88%, 02/15/16 (r), EUR		3,250		4,502
Kerling Plc, 10.63%, 01/28/17 (r), EUR		3,600		5,561
NewPage Corp., 11.38%, 12/31/14 (e)		1,000		1,001

				32,134
TELECOMMUNICATION SERVICES - 1.5%
Clearwire Communications LLC
12.00%, 12/01/15 (r)		1,500		1,620
12.00%, 12/01/15 (e) (r)		2,500		2,700
Cricket Communications Inc., 7.75%, 10/15/20 (e)		5,500		5,541
Frontier Communications Corp.
8.25%, 04/15/17		800		864
8.50%, 04/15/20 (e)		900		975
Intelsat Jackson Holdings SA, 7.50%, 04/01/21 (r)		3,000		3,008
Virgin Media Secured Finance Plc, 7.00%, 01/15/18, GBP		2,000		3,469

				18,177
UTILITIES - 3.0%
Calpine Corp.
7.88%, 07/31/20 (e) (r)		800		850
7.50%, 02/15/21 (e) (r)		5,475		5,667
7.88%, 01/15/23 (e) (r)		3,000		3,112
Dynegy Holdings Inc.
7.50%, 06/01/15		11,000		9,254
8.38%, 05/01/16		4,750		3,978
7.75%, 06/01/19		2,000		1,553
Energy Future Holdings Corp., 6.55%, 11/15/34		9,000		4,140
Public Service Co. of New Mexico., 7.95%, 05/15/18		2,200		2,472
RRI Energy Inc., 7.88%, 06/15/17 (e)		5,000		4,962

				35,988

Total Corporate Bonds and Notes (cost $590,371)				624,695

GOVERNMENT AND AGENCY OBLIGATIONS - 0.5%
GOVERNMENT SECURITIES - 0.5%
Municipals - 0.5%
State of California
7.95%, 03/01/36		2,500		2,672
7.60%, 11/01/40		3,480		3,805

Total Government and Agency Obligations (cost $6,015)				6,477

OTHER EQUITY INTERESTS - 0.0%
SuperMedia Inc. Escrow Litigation Trust (f) (u)		868		9

Total Other Equity Interests (cost $14)				9

SHORT TERM INVESTMENTS - 19.6%
Investment Company - 4.4%
JNL Money Market Fund, 0.08% (a) (h)		52,396		52,396
Securities Lending Collateral - 15.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		180,210		180,210
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		1,300		1,269

				181,479

Total Short Term Investments (cost $233,906)				233,875


	Shares/Par (p)		Value
Total Investments - 114.8% (cost $1,316,194)				1,367,115
Other Assets and Liabilities, Net - (14.8%)				(176,483	)

Total Net Assets - 100.0%			$	1,190,632

JNL/Franklin Templeton International Small Cap Growth Fund
COMMON STOCKS - 93.9%
CONSUMER DISCRETIONARY - 23.3%
Asatsu-DK Inc. (e)		275	$	7,366
Carpetright Plc (e)		916		10,003
Dignity Plc		400		4,464
Headlam Group Plc		1,227		5,900
JUMBO SA		1,083		8,377
Paddy Power Plc		72		3,137
Sankyo Co. Ltd.		153		7,829
Vitec Group Plc		691		6,655

				53,731
CONSUMER STAPLES - 11.7%
Binggrae Co. Ltd.		80		4,720
C&C Group Plc		1,595		7,210
McBride Plc (e)		3,341		7,625
Sligro Food Group NV		49		1,662
Unihair Co. Ltd. (c) (e)		500		5,838

				27,055
FINANCIALS - 21.6%
ARA Asset Management Ltd.		4,972		6,943
Arch Capital Group Ltd. (c)		65		6,467
Daibiru Corp. (e)		1,016		8,794
Fairfax Financial Holdings Ltd. (e)		17		6,275
Lancashire Holdings Ltd.		665		6,372
RHJ International (c) (e)		1,179		9,522
Savills Plc		969		5,569

				49,942
HEALTH CARE - 0.5%
Genus Plc		75		1,141
INDUSTRIALS - 29.7%
DCC Plc		218		6,948
De La Rue Plc		651		8,240
Experian Plc		657		8,134
Flughafen Wien AG		67		4,256
HomeServe Plc		1,086		7,740
Nexans SA		98		9,356
Prysmian SPA		436		9,351
QinetiQ Group Plc (c)		2,137		4,172
Spirax-Sarco Engineering Plc		153		4,761
Wavin NV (c)		362		5,592

				68,550
INFORMATION TECHNOLOGY - 7.1%
Neopost SA (e)		111		9,690
Rotork Plc		244		6,832

				16,522

Total Common Stocks (cost $195,192)				216,941

SHORT TERM INVESTMENTS - 15.0%
Investment Company - 4.1%
JNL Money Market Fund, 0.08% (a) (h)		9,538		9,538


	Shares/Par (p)		Value
Securities Lending Collateral - 10.9%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		24,963		24,963
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		140		137

				25,100

Total Short Term Investments (cost $34,641)				34,638

Total Investments - 108.9% (cost $229,833)				251,579
Other Assets and Liabilities, Net - (8.9%)				(20,605	)

Total Net Assets - 100.0%			$	230,974

JNL/Franklin Templeton Mutual Shares Fund (t)
COMMON STOCKS - 90.6%
CONSUMER DISCRETIONARY - 8.2%
British Sky Broadcasting Group Plc		419	$	5,550
Cerberus Capital Management LP (c) (f) (q)		999		814
Cerberus Capital Management LP (c) (f) (q)		999		814
Cerberus Capital Management LP (c) (f) (q)		500		407
Comcast Corp. - Special Class A		74		1,710
Daimler AG (c) (e)		57		4,063
General Motors Co. (c)		103		3,183
Harrah’s Investment LP (c) (f) (q)		39		13
Mattel Inc.		190		4,741
News Corp. - Class A		519		9,110
Stanley Black & Decker Inc.		53		4,031
Thomas Cook Group Plc		121		330
Time Warner Cable Inc.		103		7,374
Time Warner Inc.		212		7,579
Viacom Inc.		14		656
Virgin Media Inc. (e)		121		3,367

				53,742
CONSUMER STAPLES - 21.4%
Altria Group Inc.		441		11,486
British American Tobacco Plc		379		15,212
Brown-Forman Corp. - Class B		2		106
Carlsberg A/S		4		432
Carrefour SA		61		2,694
Coca-Cola Enterprises Inc.		119		3,249
CVS Caremark Corp.		526		18,065
Dr. Pepper Snapple Group Inc.		162		6,008
General Mills Inc.		137		5,012
Imperial Tobacco Group Plc		338		10,435
Japan Tobacco Inc.		1		3,728
Kraft Foods Inc. - Class A		433		13,568
Kroger Co.		334		8,001
Lorillard Inc.		45		4,306
Nestle SA		181		10,374
PepsiCo Inc.		68		4,375
Pernod-Ricard SA		90		8,393
Philip Morris International Inc.		72		4,748
Reynolds American Inc.		168		5,953
Wal-Mart Stores Inc.		70		3,634

				139,779
ENERGY - 7.4%
BP Plc		320		2,331
Exterran Holdings Inc. (c)		46		1,090
Marathon Oil Corp.		259		13,784


	Shares/Par (p)		Value
Noble Energy Inc.		12		1,148
Pride International Inc. (c)		97		4,184
Prime AET&D Holdings No. 1 Pty Ltd. (c) (f)		402		—
Royal Dutch Shell Plc		259		9,411
Total SA		64		3,877
Transocean Ltd. (c)		121		9,424
Williams Cos. Inc.		103		3,219

				48,468
FINANCIALS - 12.3%
ACE Ltd.		107		6,908
Alexander’s Inc. (e)		8		3,255
Alleghany Corp. (c)		7		2,455
Bank of America Corp.		513		6,843
Barclays Plc		1,249		5,563
Bond Street Holding LLC (c) (f)		39		806
Canary Wharf Group Plc (c) (f)		405		1,835
CNO Financial Group Inc. (c)		97		728
Deutsche Boerse AG		51		3,864
Forestar Group Inc. (c)		62		1,171
Guaranty Bancorp (c)		49		63
Intesa Sanpaolo SpA		581		1,719
Link Real Estate Investment Trust		274		858
MetLife Inc.		40		1,794
Morgan Stanley		256		6,996
NYSE Euronext		33		1,172
Old Republic International Corp.		240		3,044
PNC Financial Services Group Inc.		120		7,544
UBS AG (c)		241		4,321
Wells Fargo & Co.		302		9,582
White Mountains Insurance Group Ltd.		17		6,241
Zurich Financial Services AG (c)		14		3,956

				80,718
HEALTH CARE - 14.4%
Alcon Inc. - ADR		29		4,790
Amgen Inc. (c)		121		6,463
Boston Scientific Corp. (c)		529		3,800
Cephalon Inc. (c)		26		1,960
Community Health Systems Inc. (c)		60		2,392
Coventry Health Care Inc. (c)		74		2,358
Eli Lilly & Co.		283		9,967
Genzyme Corp. (c)		94		7,133
Medtronic Inc.		195		7,691
Merck & Co. Inc.		348		11,501
Pfizer Inc.		632		12,837
Tenet Healthcare Corp. (c)		787		5,860
UnitedHealth Group Inc.		332		15,000
Zimmer Holdings Inc. (c)		43		2,579

				94,331
INDUSTRIALS - 4.8%
A P Moller - Maersk A/S - Class B		1		7,666
Alstom SA		66		3,919
Federal Signal Corp.		96		622
GenCorp Inc. (c)		59		351
Huntington Ingalls Industries Inc. (c)		11		457
Koninklijke Philips Electronics NV (e)		110		3,532
Orkla ASA		576		5,587
Owens Corning Inc. (c)		149		5,354
TNT NV		149		3,815

				31,303
INFORMATION TECHNOLOGY - 9.2%
Cisco Systems Inc.		318		5,457
Hewlett-Packard Co.		180		7,393
LSI Corp. (c)		964		6,558
Maxim Integrated Products Inc.		22		551


	Shares/Par (p)		Value
Microsoft Corp.		486		12,326
Motorola Solutions Inc. (c)		96		4,287
Nintendo Co. Ltd. (e)		14		3,756
Symantec Corp. (c)		201		3,730
TE Connectivity Ltd.		127		4,425
Xerox Corp.		1,093		11,635

				60,118
MATERIALS - 5.8%
Domtar Corp.		37		3,359
International Paper Co.		271		8,176
Linde AG		50		7,961
MeadWestvaco Corp.		117		3,538
ThyssenKrupp AG		164		6,702
Weyerhaeuser Co.		344		8,452

				38,188
TELECOMMUNICATION SERVICES - 3.2%
Cable & Wireless Communications Plc		1,730		1,264
Cable & Wireless Worldwide Plc		659		555
Telefonica SA		330		8,254
Vodafone Group Plc		3,699		10,475

				20,548
UTILITIES - 3.9%
Brookfield Infrastructure Partners LP		97		2,144
E.ON AG		214		6,574
Entergy Corp.		35		2,340
Exelon Corp.		129		5,313
GDF Suez		110		4,498
NRG Energy Inc. (c)		218		4,701

				25,570

Total Common Stocks (cost $539,881)				592,765

CORPORATE BONDS AND NOTES - 2.0%
CONSUMER DISCRETIONARY - 0.4%
Cerberus Capital Management LP
12.00%, 07/31/14 (f) (q)	$	780		635
12.00%, 07/31/14 (f) (q)		780		635
12.00%, 07/31/14 (f) (q)		390		318
Clear Channel Communications Inc. Delayed Draw Term Loan 2, 3.86%, 01/29/16 (i)		641		556
Clear Channel Communications Inc. Term Loan B, 3.90%, 01/29/16 (i)		269		237
Clear Channel Communications Inc. Term Loan C, 3.90%, 01/29/16 (i)		463		402

				2,783
ENERGY - 0.7%
Boston Generating LLC Term Loan, 0.18%, 12/21/13 (i)		4		2
Boston Generating LLC Term Loan B, 6.50%, 12/21/13 (i)		30		18
Boston Generating LLC Term Loan Revolver, 6.50%, 12/21/13 (i)		—		—
OPTI Canada Inc.
9.00%, 12/15/12 (e)		331		336
9.75%, 08/15/13 (e)		357		358
Texas Competitive Electric Holdings Co. LLC
Delay Draw Term Loan, 3.75%, 10/10/14 (i)		2,068		1,723
Texas Competitive Electric Holdings Co. LLC
Term Loan
3.75%, 10/10/14 (i)		1,416		1,192
3.75%, 10/10/14 (i)		223		187
3.75%, 10/10/14 (i)		687		577

				4,393


	Shares/Par (p)		Value
FINANCIALS - 0.9%
CIT Group Inc. Term Loan
6.25%, 01/20/12 (i)		250		253
6.25%, 01/20/12 (i)		639		648
Realogy Corp., 7.88%, 02/15/19 (e)		576		572
Realogy Corp. Extended First Lien Term Loan, 4.56%, 10/10/16 (i)		3,947		3,702
Realogy Corp. Extended Revolver Term Loan, 3.51%, 04/10/16 (i)		70		62
Realogy Corp. Term Loan, 1.47%, 10/10/13 (i)		441		421
Realogy Corp. Term Loan A, 13.50%, 10/15/17 (i)		93		100
Smurfit-Stone Container Enterprises Inc. Term Loan, 6.75%, 02/22/16 (i)		415		416
Tropicana Entertainment LLC, 9.63%, 12/15/14 (c) (d) (f)		1,130		—

				6,174

Total Corporate Bonds and Notes (cost $14,391)				13,350

OTHER EQUITY INTERESTS - 0.0%
Dana Corp. NT Escrow (f) (u)		72		—
Dana Corp. NT Escrow (f) (u)		65		—
Dana Corp. NT Escrow (f) (u)		115		—
Northwest Airlines Corp. Contingent Distribution (f) (u)		725		—

Total Other Equity Interests (cost $21)				—

SHORT TERM INVESTMENTS - 10.2%
Investment Company - 8.5%
JNL Money Market Fund, 0.08% (a) (h)		55,576		55,576
Securities Lending Collateral - 1.7%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		11,104		11,104

Total Short Term Investments (cost $66,680)				66,680

Total Investments - 102.8% (cost $620,973)				672,795
Other Assets and Liabilities, Net - (2.8%)				(18,169	)

Total Net Assets - 100.0%			$	654,626

JNL/Franklin Templeton Small Cap Value Fund
COMMON STOCKS - 92.0%
CONSUMER DISCRETIONARY - 18.6%
Autoliv Inc.		55	$	4,083
Brown Shoe Co. Inc.		294		3,594
Brunswick Corp.		165		4,206
Cato Corp. - Class A		122		2,985
Christopher & Banks Corp.		125		810
DR Horton Inc.		78		909
Drew Industries Inc.		58		1,291
Ethan Allen Interiors Inc. (e)		68		1,491
Fred’s Inc. - Class A (e)		208		2,774
GameStop Corp. (c) (e)		206		4,635
Gentex Corp.		150		4,537
Group 1 Automotive Inc. (e)		148		6,339
Hillenbrand Inc.		102		2,182
Hooker Furniture Corp.		40		475
J.C. Penney Co. Inc.		56		2,011
La-Z-Boy Inc. (c)		351		3,355


	Shares/Par (p)		Value
M/I Homes Inc. (c)		158		2,373
MDC Holdings Inc.		77		1,957
Men’s Wearhouse Inc.		169		4,568
Pier 1 Imports Inc. (c)		225		2,284
Regis Corp.		239		4,245
Saks Inc. (c) (e)		211		2,390
Thor Industries Inc.		214		7,128
Tuesday Morning Corp. (c) (e)		166		811
Warnaco Group Inc. (c)		35		2,024
West Marine Inc. (c) (e)		155		1,617
Winnebago Industries Inc. (c) (e)		153		2,051

				77,125
CONSUMER STAPLES - 1.8%
Casey’s General Stores Inc.		74		2,874
Lancaster Colony Corp. (e)		75		4,521

				7,395
ENERGY - 12.4%
Arch Coal Inc.		23		829
Atwood Oceanics Inc. (c)		123		5,730
Bristow Group Inc. (c)		144		6,792
Global Industries Ltd. (c)		461		4,514
Helix Energy Solutions Group Inc. (c)		245		4,205
Oil States International Inc. (c)		63		4,789
Overseas Shipholding Group Inc.		88		2,816
Rowan Cos. Inc. (c)		140		6,190
Teekay Corp.		77		2,859
Tidewater Inc.		121		7,230
Unit Corp. (c)		88		5,476

				51,430
FINANCIALS - 12.3%
American National Insurance Co.		14		1,109
Arthur J Gallagher & Co.		81		2,466
Aspen Insurance Holdings Ltd.		170		4,688
Chemical Financial Corp.		80		1,602
Erie Indemnity Co. - Class A		1		57
Hanover Insurance Group Inc.		47		2,140
HCC Insurance Holdings Inc.		49		1,537
Montpelier Re Holdings Ltd.		221		3,910
Old Republic International Corp.		317		4,022
Peoples Bancorp Inc. (e)		33		394
Protective Life Corp.		245		6,500
RLI Corp.		44		2,560
StanCorp Financial Group Inc.		88		4,054
Tower Group Inc.		191		4,599
Transatlantic Holdings Inc.		99		4,828
TrustCo Bank Corp.		325		1,927
Validus Holdings Ltd.		138		4,597

				50,990
HEALTH CARE - 4.3%
Mettler Toledo International Inc. (c)		14		2,408
Pharmaceutical Product Development Inc.		143		3,957
STERIS Corp.		141		4,867
Teleflex Inc.		72		4,192
West Pharmaceutical Services Inc.		56		2,489

				17,913
INDUSTRIALS - 29.8%
ABM Industries Inc.		191		4,855
American Woodmark Corp.		104		2,163
AO Smith Corp.		46		2,044
Apogee Enterprises Inc.		118		1,551
Applied Industrial Technologies Inc.		69		2,288
Astec Industries Inc. (c)		102		3,819
Brady Corp. - Class A		120		4,272


	Shares/Par (p)		Value
Briggs & Stratton Corp.		145		3,287
Carlisle Cos. Inc.		110		4,914
Ceradyne Inc. (c)		81		3,665
CIRCOR International Inc.		46		2,160
CNH Global NV (c)		12		578
EMCOR Group Inc. (c)		85		2,626
Franklin Electric Co. Inc.		66		3,058
Gardner Denver Inc.		52		4,050
Genesee & Wyoming Inc. - Class A (c)		92		5,372
Gibraltar Industries Inc. (c) (e)		191		2,281
Graco Inc.		119		5,432
Granite Construction Inc.		197		5,524
Insperity Inc.		78		2,382
Kennametal Inc.		127		4,961
Lincoln Electric Holdings Inc.		56		4,286
Mine Safety Appliances Co.		105		3,843
Mueller Industries Inc.		166		6,072
Nordson Corp.		32		3,659
Powell Industries Inc. (c)		47		1,862
Roper Industries Inc.		20		1,729
Schawk Inc.		31		597
Simpson Manufacturing Co. Inc.		139		4,101
SkyWest Inc.		274		4,634
Timken Co.		21		1,098
Trinity Industries Inc.		229		8,386
Universal Forest Products Inc.		138		5,065
Wabash National Corp. (c)		333		3,861
Watts Water Technologies Inc. - Class A		83		3,166

				123,641
INFORMATION TECHNOLOGY - 3.2%
Benchmark Electronics Inc. (c)		317		6,017
Cohu Inc.		165		2,536
Rofin-Sinar Technologies Inc. (c)		117		4,610

				13,163
MATERIALS - 6.9%
A. Schulman Inc.		51		1,254
AptarGroup Inc.		66		3,283
Cabot Corp.		102		4,708
Glatfelter		69		925
Reliance Steel & Aluminum Co.		81		4,703
RPM International Inc.		231		5,489
Sensient Technologies Corp.		69		2,480
Steel Dynamics Inc.		222		4,159
United States Steel Corp.		5		270
Westlake Chemical Corp.		22		1,236

				28,507
UTILITIES - 2.7%
Energen Corp.		49		3,093
NV Energy Inc.		358		5,334
PNM Resources Inc.		203		3,030

				11,457

Total Common Stocks (cost $313,731)				381,621

SHORT TERM INVESTMENTS - 11.6%
Investment Company - 8.4%
JNL Money Market Fund, 0.08% (a) (h)		34,981		34,981
Securities Lending Collateral - 3.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		12,788		12,788


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		515		503

				13,291

Total Short Term Investments (cost $48,284)				48,272

Total Investments - 103.6% (cost $362,015)				429,893
Other Assets and Liabilities, Net - (3.6%)				(14,889	)

Total Net Assets - 100.0%			$	415,004

JNL/Goldman Sachs Core Plus Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 15.1%
Adjustable Rate Mortgage Trust REMIC, 2.83%, 04/25/35 (i)	$	302	$	284
American Home Mortgage Assets REMIC, 1.01%, 02/25/47 (i)		3,348		1,670
Amortizing Residential Collateral Trust REMIC, 2.05%, 08/25/32 (i)		55		22
Arkle Master Issuer Plc, 1.71%, 08/17/13 (i) (r)		4,600		4,601
Asset Backed Securities Corp. Home Equity REMIC, 3.11%, 04/15/33 (i)		43		30
Banc of America Funding Corp. REMIC 5.61%, 06/20/36 (i)		1,929		1,472
5.79%, 10/25/36 (i) (q)		98		68
0.53%, 06/20/47 (i)		1,700		936
Banc of America Mortgage Securities Inc. REMIC, 3.18%, 09/25/35 (i)		1,087		912
BCAP LLC Trust REMIC, 0.89%, 11/25/36 (i)		23		23
Bear Stearns Adjustable Rate Mortgage Trust REMIC
2.50%, 04/25/34 (i)		318		301
3.61%, 11/25/34 (i)		910		908
Bear Stearns Alt-A Trust II REMIC, 5.45%, 09/25/47 (i)		2,801		1,757
Bear Stearns Mortgage Funding Trust REMIC, 0.41%, 12/25/36 (i)		3,173		1,967
Brazos Higher Education Authority, 1.11%, 02/25/30 (i)		5,000		5,001
Brazos Higher Education Authority, Inc., 1.21%, 11/25/22 (i)		5,034		5,022
Carrington Mortgage Loan Trust REMIC, 0.48%, 01/25/34 (i)		66		65
Chase Mortgage Finance Corp. REMIC, 2.90%, 02/25/37 (i)		427		396
CIT Mortgage Loan Trust REMIC 1.70%, 09/25/24 (i) (q)		1,280		745
1.25%, 10/25/37 (i) (q)		456		439
1.50%, 10/25/37 (i) (q)		700		515
Citigroup Mortgage Loan Trust Inc. REMIC, 3.07%, 12/25/35 (i)		1,524		1,013
College Loan Corp. Trust, 1.76%, 03/01/42 (f) (i) (q)		1,000		905
Commercial Mortgage Asset Trust REMIC, 7.35%, 01/17/32 (i)		400		436
Conseco Financial Corp. REMIC, 7.07%, 01/15/29		141		148
Countrywide Alternative Loan Trust REMIC 1.81%, 09/25/35 (i)		276		180
1.67%, 11/25/47 (i)		4,418		2,414
Countrywide Asset-Backed Certificates REMIC, 1.50%, 06/25/34 (i)		198		61


	Shares/Par (p)		Value
Countrywide Home Loan Mortgage Pass-Through Trust REMIC
2.83%, 02/19/34 (i)		428		398
3.08%, 11/20/34 (i)		423		361
Credit Suisse Mortgage Capital Certificates REMIC
6.50%, 10/25/21 (q)		2,568		2,002
5.44%, 02/15/39 (i)		3,060		3,282
5.47%, 09/15/39		6,000		6,352
Deutsche Bank Alternate Loan Trust REMIC, 1.92%, 08/25/35 (i)		407		321
Downey Savings & Loan Association Mortgage Loan Trust REMIC, 1.23%, 03/19/46 (i)		461		260
Educational Services of America Inc., 1.15%, 07/25/23 (i) (q)		1,618		1,619
FDIC Structured Sale Guaranteed Notes REMIC, 0.80%, 03/02/48 (i) (r)		750		751
First Horizon Asset Securities Inc. REMIC, 2.77%, 12/25/34 (i)		166		159
First Union National Bank Commercial Mortgage Trust, Interest Only REMIC, 1.00%, 05/17/32 (i) (q)		1,920		67
GMAC Mortgage Corp. Loan Trust REMIC 7.00%, 09/25/37 (i)		293		208
7.00%, 09/25/37 (i)		376		257
Goal Capital Funding Trust, 1.01%, 08/25/48 (i) (r)		1,610		1,604
Granite Mortgages Plc 0.45%, 12/31/20 (i)		302		290
1.39%, 01/20/44 (i), EUR		1,058		1,439
1.31%, 09/20/44 (i), EUR		409		555
GSMPS Mortgage Loan Trust, 0.48%, 02/25/35 (i) (q)		109		98
GSR Mortgage Loan Trust REMIC, 2.90%, 10/25/35 (i)		589		442
Harborview Mortgage Loan Trust REMIC 0.59%, 06/20/35 (i)		1,138		949
3.64%, 08/19/36 (i)		2,015		1,262
Holmes Master Issuer Plc REMIC, 1.70%, 10/15/54 (i) (r)		2,000		2,003
HSBC Home Equity Loan Trust REMIC, 1.45%, 11/20/36 (i)		1,467		1,345
Impac CMB Trust REMIC, 0.89%, 03/25/35 (i) (q)		150		94
IndyMac Index Mortgage Loan Trust REMIC
0.87%, 06/25/34 (i)		331		237
2.71%, 03/25/35 (i)		599		510
2.59%, 08/25/35 (i)		683		568
0.46%, 05/25/46 (i)		1,026		649
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 4.94%, 08/15/42 (i)		7,000		7,457
LB-UBS Commercial Mortgage Trust REMIC, 5.37%, 09/15/39		1,000		1,067
Lehman Mortgage Trust REMIC, 7.25%, 09/25/37		5,141		2,819
Lehman XS Trust REMIC
0.51%, 02/25/46 (i)		2,141		1,288
1.10%, 09/25/47 (i)		1,535		1,064
Luminent Mortgage Trust REMIC, 0.44%, 05/25/46 (i)		621		348
MASTR Adjustable Rate Mortgages Trust REMIC
3.64%, 10/25/34 (i)		286		237
3.59%, 12/25/34 (i)		92		71
2.97%, 01/25/36 (i)		727		623
1.51%, 12/25/46 (i)		3,969		1,335
MASTR Seasoned Securities Trust REMIC, 4.22%, 10/25/32 (i)		309		276


	Shares/Par (p)		Value
Merit Securities Corp. REMIC, 1.75%, 09/28/32 (i) (q)		208		196
Merrill Lynch Alternative Note Asset Trust
REMIC, 0.44%, 07/25/37 (i)		772		430
Mid-State Trust, 7.34%, 07/01/35		214		224
Morgan Stanley Capital I REMIC, 5.20%, 11/14/42 (i)		1,500		1,616
Morgan Stanley Mortgage Loan Trust REMIC
2.95%, 08/25/34 (i)		175		144
2.62%, 03/25/36 (i)		1,728		1,054
NCUA Guaranteed Notes
0.69%, 01/08/20 (i)		2,652		2,656
0.62%, 03/06/20 (f) (i)		4,200		4,200
0.67%, 03/11/20 (i)		3,700		3,700
0.59%, 12/07/20 (i)		2,316		2,319
REMIC, 0.61%, 11/06/17 (i)		3,168		3,169
REMIC, 2.65%, 01/01/18		4,459		4,386
REMIC, 0.64%, 02/06/20 (i)		3,200		3,200
REMIC, 0.69%, 10/07/20 (i)		2,513		2,516
REMIC, 1.84%, 10/07/20		824		827
Nelnet Student Loan Trust, 1.10%, 02/25/43 (i) (r)		6,452		6,452
Permanent Master Issuer Plc, 0.89%, 04/15/20, GBP		2,000		3,132
Residential Accredit Loans Inc. REMIC
6.13%, 11/25/37 (i)		4,187		2,050
1.31%, 01/25/46 (i)		1,255		770
Residential Funding Mortgage Securities I Inc. REMIC
3.02%, 08/25/35 (i)		700		499
5.20%, 09/25/35 (i)		894		781
Silverstone Master Issuer PLC, 1.70%, 01/21/55 (i) (r)		4,800		4,810
Structured Adjustable Rate Mortgage Loan Trust REMIC
2.59%, 05/25/34 (i)		623		591
2.55%, 09/25/34 (i)		256		228
2.71%, 11/25/34 (i)		1,225		1,066
Structured Asset Mortgage Investments Inc.
REMIC, 2.64%, 08/25/35 (i)		92		79
Wachovia Bank Commercial Mortgage Trust, 5.77%, 07/15/45 (i)		4,500		4,870
Washington Mutual Mortgage Pass-Through Certificates REMIC
2.69%, 06/25/34 (i)		742		743
2.67%, 12/25/35 (i)		962		923
4.71%, 09/25/36 (i)		1,402		1,113
0.48%, 04/25/45 (i)		167		144
Wells Fargo Alternative Loan Trust REMIC, 6.13%, 12/25/37 (i)		3,086		2,365
Wells Fargo Mortgage Backed Securities Trust REMIC, 2.91%, 04/25/36 (i)		285		251

Total Non-U.S. Government Agency Asset- Backed Securities (cost $156,692)				138,462

CORPORATE BONDS AND NOTES - 34.3%
CONSUMER DISCRETIONARY - 2.4%
Allison Transmission Inc., 11.25%, 11/01/15 (r)		1,000		1,086
Charter Communications Operating LLC
8.00%, 04/30/12 (r)		1,125		1,181
10.88%, 09/15/14 (r)		875		980
Comcast Cable Communications Holdings Inc., 8.38%, 03/15/13		356		401
Comcast Holdings Corp., 10.63%, 07/15/12		875		976
COX Communications Inc., 8.38%, 03/01/39 (r)		1,505		1,910
CSC Holdings Inc., 7.63%, 04/01/11		250		250


	Shares/Par (p)		Value
DIRECTV Holdings LLC
3.50%, 03/01/16		625		626
5.88%, 10/01/19		825		892
6.35%, 03/15/40		650		650
6.00%, 08/15/40		800		766
DISH DBS Corp., 6.63%, 10/01/14		575		609
Goodyear Tire & Rubber Co., 10.50%, 05/15/16 (e)		1,975		2,212
NBC Universal Inc, 4.38%, 04/01/21 (r)		3,675		3,519
News America Inc., 6.15%, 02/15/41 (r)		1,975		1,959
Rensselaer Polytechnic Institute, 5.60%, 09/01/20		2,300		2,410
Whirlpool Corp.
8.00%, 05/01/12 (l)		400		426
8.60%, 05/01/14 (l)		500		580
WPP Finance Co.Ltd., 8.00%, 09/15/14 (l)		778		907

				22,340

CONSUMER STAPLES - 0.7%
Anheuser-Busch InBev Worldwide Inc.
7.20%, 01/15/14		850		966
7.75%, 01/15/19		1,325		1,630
Bunge Ltd. Finance Corp., 4.10%, 03/15/16		1,725		1,729
Kraft Foods Inc.
6.13%, 08/23/18		1,125		1,258
6.50%, 02/09/40		1,025		1,095

				6,678

ENERGY - 2.7%
Anadarko Petroleum Corp., 6.38%, 09/15/17		2,176		2,395
BP Capital Markets Plc, 3.88%, 03/10/15 (e)		1,125		1,168
Chesapeake Energy Corp., 6.50%, 08/15/17 (e)		275		297
DCP Midstream LLC, 9.75%, 03/15/19 (r)		800		1,031
Dolphin Energy Ltd., 5.89%, 06/15/19 (r)		775		824
El Paso Corp.
7.88%, 06/15/12 (e)		170		181
7.80%, 08/01/31		33		37
7.75%, 01/15/32		515		577
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 04/01/20		1,975		2,172
Energy Transfer Partners LP, 5.95%, 02/01/15		2,000		2,193
Enterprise Products Operating LLC
6.65%, 04/15/18		1,125		1,281
7.03%, 01/15/68 (e) (i)		775		804
Nexen Inc.
6.40%, 05/15/37		680		679
7.50%, 07/30/39		1,050		1,182
Petrobras International Finance Co., 5.38%, 01/27/21 (e)		960		963
Petroleos Mexicanos, 8.00%, 05/03/19		1,940		2,330
PTTEP Canada International Finance Ltd., 5.69%, 04/05/21 (q)		1,360		1,359
TransCanada PipeLines Ltd., 6.35%, 05/15/67 (i)		1,375		1,381
Transocean Inc.
4.95%, 11/15/15		750		793
6.50%, 11/15/20 (e)		2,550		2,811

				24,458
FINANCIALS - 22.7%
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (r)		5,700		5,903
Ally Financial Inc., 6.88%, 09/15/11 (e)		3,400		3,464
Bank of America Corp.
3.63%, 03/17/16 (e)		900		887
5.42%, 03/15/17		1,300		1,327
5.63%, 07/01/20		2,225		2,284


	Shares/Par (p)		Value
5.88%, 01/05/21		1,675		1,749
Bank of Scotland Plc, 5.25%, 02/21/17 (q)		1,500		1,541
BB&T Corp., 3.20%, 03/15/16		2,025		2,011
BBVA Bancomer SA, 7.25%, 04/22/20 (e) (r)		2,125		2,145
Bear Stearns Cos. Inc., 7.25%, 02/01/18		1,475		1,719
Brandywine Operating Partnership LP, 4.95%, 04/15/18		1,775		1,755
BRFkredit AS, 2.05%, 04/15/13 (r)		8,300		8,457
Caisse Centrale Desjardins du Quebec, 2.55%, 03/24/16 (e) (q)		2,800		2,763
Canadian Imperial Bank of Commerce
2.00%, 02/04/13 (e) (r)		4,100		4,172
2.60%, 07/02/15 (e) (r)		1,400		1,408
2.75%, 01/27/16 (e) (r)		5,700		5,707
Capital One Capital III, 7.69%, 08/15/36 (i)		1,125		1,157
Chubb Corp., 6.38%, 03/29/67 (i)		825		868
Cie de Financement Foncier
1.63%, 07/23/12 (e) (r)		2,400		2,405
2.13%, 04/22/13 (e) (r)		6,900		6,958
CIT Group Inc., 7.00%, 05/01/13 (e)		2,192		2,233
Citigroup Inc.
6.38%, 08/12/14		1,325		1,465
5.00%, 09/15/14		2,475		2,584
5.38%, 08/09/20 (e)		2,525		2,599
Danske Bank A/S, 2.50%, 05/10/12 (r)		2,000		2,035
Developer Diversified Realty Corp., 7.50%, 04/01/17		1,250		1,410
Developers Diversified Realty Corp.
9.63%, 03/15/16		795		969
4.75%, 04/15/18		750		730
Discover Bank, 8.70%, 11/18/19		2,325		2,786
DnB NOR Boligkreditt, 2.10%, 10/14/15 (i) (r)		4,600		4,452
DnB NOR Boligkreditt AS, 2.90%, 03/29/16 (q)		6,900		6,858
El Paso Performance-Linked Trust, 7.75%, 07/15/11 (q)		1,290		1,308
Endurance Specialty Holdings Ltd., 6.15%, 10/15/15		700		742
ENEL Finance International SA, 5.13%, 10/07/19 (e) (r)		1,300		1,311
Fifth Third Bancorp
0.42%, 05/17/13 (i)		1,325		1,303
3.63%, 01/25/16		950		949
FIH Erhvervsbank A/S, 2.00%, 06/12/13 (r)		3,800		3,863
First Niagara Financial Group Inc., 6.75%, 03/19/20		925		1,009
Ford Motor Credit Co. LLC, 5.56%, 06/15/11 (e) (i)		600		605
HCP Inc., 5.38%, 02/01/21 (e)		2,350		2,373
Healthcare Realty Trust Inc., 6.50%, 01/17/17		1,725		1,901
HSBC Bank USA, 4.88%, 08/24/20		1,498		1,466
HSBC Bank USA Credit Linked Note (Nota Do
Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A) (f) (i) (q), BRL		4,840		6,079
HSBC Holdings Plc, 6.80%, 06/01/38		2,650		2,775
ING Bank NV, 2.50%, 01/14/16 (r)		4,600		4,413
International Lease Finance Corp., 8.25%,
12/15/20 (e)		1,250		1,370
JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (m)		2,050		2,243
JPMorgan Chase Capital XX, 6.55%, 09/29/36 (i)		1,650		1,677
Landwirtschaftliche Rentenbank, 4.88%, 01/10/14		6,000		6,545
LeasePlan Corp. NV, 3.00%, 05/07/12 (r)		3,400		3,484
Liberty Property LP, 4.75%, 10/01/20		2,350		2,322
Lloyds TSB Bank Plc, 6.50%, 09/14/20 (r)		615		605
Merrill Lynch & Co. Inc., 6.05%, 05/16/16		1,125		1,189
MetLife Capital Trust X, 9.25%, 04/08/38 (i) (r)		500		604


	Shares/Par (p)		Value
Morgan Stanley
6.63%, 04/01/18		2,775		3,050
5.63%, 09/23/19		2,325		2,375
MUFG Capital Finance 1 Ltd., 6.35%, (callable at 100 beginning 07/25/16) (m)		1,310		1,312
National Bank of Canada, 1.65%, 01/30/14 (e) (r)		1,100		1,102
Nationwide Financial Services, 5.38%, 03/25/21 (q)		2,425		2,402
Nordea Eiendomskreditt AS, 1.88%, 04/07/14 (i) (q)		4,600		4,591
Northwestern Mutual Life Insurance Co., 6.06%, 03/30/40 (r)		2,175		2,297
Panhandle-Plains Higher Education Authority Inc. REMIC, 1.43%, 10/01/35 (i)		3,000		3,026
PNC Bank NA, 6.88%, 04/01/18		975		1,106
PNC Funding Corp., 1.88%, 06/22/11		5,300		5,321
ProLogis, 1.88%, 11/15/37 (e)		1,075		1,066
Prudential Financial Inc.
3.88%, 01/14/15		2,450		2,533
4.50%, 11/15/20 (e)		1,550		1,518
Resona Preferred Global Securities Cayman Ltd., 7.19%, (callable at 100 beginning 07/30/15) (m) (r)		1,525		1,520
Royal Bank of Scotland Group Plc, 1.50%, 03/30/12 (r)		7,500		7,569
Royal Bank of Scotland Plc, 4.88%, 08/25/14 (r)		1,850		1,921
Simon Property Group LP, 10.35%, 04/01/19 (e)		1,650		2,274
SLM Corp., 6.25%, 01/25/16		1,750		1,824
Smurfit Kappa Treasury Funding Ltd., 7.50%, 11/20/25		225		215
Sparebanken 1 Boligkreditt, 1.25%, 10/25/13 (e) (r)		8,000		7,918
Springleaf Finance Corp., 5.38%, 10/01/12		125		123
Stadshypotek AB, 1.45%, 09/30/13 (r)		3,400		3,382
SunTrust Banks Inc., 3.60%, 04/15/16 (e)		1,325		1,317
Swedbank AB, 3.00%, 12/22/11 (r)		300		305
Swedbank Hypotek AB
0.76%, 03/28/14 (i) (q)		1,800		1,800
2.95%, 03/28/16 (e) (q)		3,200		3,171
Transatlantic Holdings Inc., 8.00%, 11/30/39		975		1,024
UBS AG New Jersey-Credit Linked Note (Federative Republic of Brazil, 6.00%, 01/17/17, Moody rating Ba1) (q), BRL		1,620		481
UPCB Finance III Ltd., 6.63%, 07/01/20 (r)		1,325		1,299
WEA Finance LLC
7.50%, 06/02/14 (r)		475		544
7.13%, 04/15/18 (r)		900		1,044
Westpac Securities NZ Ltd., 2.50%, 05/25/12 (r)		800		815
ZFS Finance USA Trust I, 5.88%, 05/09/32 (i) (q)		1,225		1,220

				208,402
HEALTH CARE - 1.0%
Boston Scientific Corp., 4.50%, 01/15/15		2,050		2,114
Community Health Systems Inc., 8.88%, 07/15/15		2,075		2,189
DJO Finance LLC, 10.88%, 11/15/14		650		708
HCA Inc., 7.88%, 02/15/20		500		544
Hospira Inc., 5.60%, 09/15/40		1,150		1,099
Life Technologies Corp., 5.00%, 01/15/21		2,425		2,425

				9,079
INDUSTRIALS - 0.7%
Ashtead Capital Inc., 9.00%, 08/15/16 (q)		500		526


	Shares/Par (p)		Value
Iron Mountain Inc.
6.63%, 01/01/16		1,625		1,633
8.75%, 07/15/18		525		553
L-3 Communications Corp., 6.38%, 10/15/15		951		979
TransDigm Inc., 7.75%, 12/15/18 (q)		500		537
Transnet Ltd., 4.50%, 02/10/16 (r)		2,100		2,144

				6,372
INFORMATION TECHNOLOGY - 0.2%
Agilent Technologies Inc., 5.50%, 09/14/15		1,925		2,094
MATERIALS - 1.1%
Anglo American Capital Plc, 9.38%, 04/08/19 (r)		625		833
ArcelorMittal, 6.13%, 06/01/18		1,375		1,456
Dow Chemical Co., 7.60%, 05/15/14 (l)		1,625		1,878
Freeport-McMoRan Copper & Gold Inc., 8.38%, 04/01/17		1,950		2,150
International Paper Co., 7.95%, 06/15/18 (e)		625		752
Methanex Corp., 8.75%, 08/15/12		175		189
PE Paper Escrow GmbH, 12.00%, 08/01/14 (r)		600		690
Plastipak Holdings Inc.., 8.50%, 12/15/15 (r)		600		630
Radnor Holdings Corp., 11.00%, 06/15/11 (c) (d) (f) (q)		125		—
Rock-Tenn Co., 5.63%, 03/15/13		200		206
Teck Resources Ltd., 10.75%, 05/15/19		1,425		1,820

				10,604
TELECOMMUNICATION SERVICES - 1.9%
Frontier Communications Corp., 6.25%, 01/15/13		1,800		1,899
Intelsat Jackson Holdings SA, 7.25%, 04/01/19 (q)		1,875		1,877
Intelsat Subsidiary Holding Co. Ltd., 8.88%, 01/15/15		875		903
Qwest Communications International Inc.
7.50%, 02/15/14		255		259
8.00%, 10/01/15		319		352
Qwest Corp.
8.88%, 03/15/12		125		134
8.38%, 05/01/16		750		892
Sprint Capital Corp., 8.38%, 03/15/12		500		528
Telecom Italia Capital SA
6.20%, 07/18/11		975		990
7.00%, 06/04/18		1,175		1,278
6.00%, 09/30/34		925		837
Telemar Norte Leste SA, 5.50%, 10/23/20 (r)		1,000		982
Verizon Communications Inc., 6.40%, 02/15/38		1,300		1,362
Vimpel Communications
6.49%, 02/02/16 (e) (r)		400		414
9.13%, 04/30/18		460		522
7.75%, 02/02/21 (e) (r)		730		767
Virgin Media Finance Plc
9.13%, 08/15/16		625		663
9.50%, 08/15/16		1,225		1,393
Windstream Corp., 8.63%, 08/01/16		1,181		1,252

				17,304
UTILITIES - 0.9%
Arizona Public Service Co., 8.75%, 03/01/19		1,700		2,143
Nevada Power Co., 7.13%, 03/15/19		1,175		1,383
NRG Energy Inc., 7.38%, 02/01/16 (e)		2,250		2,329
Progress Energy Inc., 7.05%, 03/15/19		1,275		1,504
Puget Sound Energy Inc., 6.97%, 06/01/67 (i)		675		658

				8,017

Total Corporate Bonds and Notes (cost $307,309)				315,348


	Shares/Par (p)		Value
GOVERNMENT AND AGENCY OBLIGATIONS - 45.9%
GOVERNMENT SECURITIES - 18.0%
Federal Home Loan Bank - 0.9% (w)
Federal Home Loan Bank
5.38%, 05/15/19		3,600		4,068
5.63%, 06/11/21		3,200		3,661

				7,729
Municipals - 2.9%
Connecticut State Health & Educational Facility Authority, 5.00%, 07/01/42		975		983
Dallas Area Rapid Transit, 5.25%, 12/01/48		675		662
Missouri Higher Education Loan Authority, 1.16%, 11/26/32 (i)		3,078		3,086
New York City Municipal Water Finance Authority, 5.38%, 06/15/43		675		683
New York State Dormitory Authority, 5.00%, 07/01/40		1,275		1,275
North Carolina Capital Facilities Finance Agency, 5.00%, 10/01/44		745		743
Northstar Education Finance Inc. Student Loan Asset-Backed Note
0.47%, 04/29/19 (i)		6,000		5,938
0.61%, 04/01/42 (f)		2,300		1,932
1.11%, 01/29/46 (f)		75		64
1.17%, 01/29/46 (f)		2,000		1,712
State of California
7.95%, 03/01/36		1,290		1,379
7.63%, 03/01/40		3,475		3,801
State of California Various Purpose Bond
7.50%, 04/01/34		1,625		1,749
7.55%, 04/01/39		1,325		1,440
State of Illinois, Transit Improvements, GO,
7.35%, 07/01/35		1,525		1,558

				27,005
Sovereign - 2.3%
Brazilian Government International Bond, 4.88%, 01/22/21		2,210		2,254
Farmer Mac Guaranteed Notes Trust, 5.13%, 04/19/17 (r)		2,100		2,281
Peruvian Government International Bond, 5.63%, 11/18/50		290		263
Province of Quebec, Canada, 4.60%, 05/26/15 (e)		1,475		1,617
Qatar Government International Bond
5.15%, 04/09/14		290		311
5.25%, 01/20/20 (r)		4,350		4,515
Republic of Argentina, 2.84%, 12/15/35 (i), EUR		14,840		2,904
Swedish Housing Finance Corp., 3.13%, 03/23/12 (r)		1,100		1,123
Tennessee Valley Authority
4.38%, 06/15/15		2,400		2,622
5.98%, 04/01/36		1,250		1,438
4.63%, 09/15/60		800		741
United Mexican States, 6.05%, 01/11/40		1,000		1,030

				21,099
Treasury Inflation Index Securities - 2.4%
U.S. Treasury Inflation Indexed Note
2.38%, 04/15/11 (n) (o)		6,324		6,337
1.13%, 01/15/21 (n)		2,768		2,809
2.38%, 01/15/25 - 01/15/27 (n)		11,352		12,694
2.13%, 02/15/41 (n)		503		531

				22,371


	Shares/Par (p)		Value
U.S. Treasury Securities - 9.5%
U.S. Treasury Bond
6.50%, 11/15/26		10,900		13,930
4.50%, 02/15/36		5,700		5,755
4.25%, 11/15/40		1,300		1,243
U.S. Treasury Note
0.63%, 01/31/13		12,100		12,078
0.75%, 03/31/13		25,000		24,981
1.25%, 03/15/14 (e)		26,100		26,092
4.75%, 02/15/41		2,800		2,910

				86,989
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 27.9%
Federal Home Loan Mortgage Corp. - 2.7%
Federal Home Loan Mortgage Corp.
3.00%, 04/15/26, TBA (g)		1,000		975
5.00%, 04/01/35, TBA (g)		3,000		3,131
5.00%, 12/01/35		192		201
5.50%, 01/01/36 - 01/01/40		7,767		8,304
5.98%, 01/01/37 (i)		805		854
6.00%, 09/01/37 - 11/01/38		2,871		3,165
6.50%, 01/01/38 - 12/01/38		4,280		4,864
4.50%, 09/01/39 - 10/01/39		2,773		2,835
REMIC, 1.00%, 06/15/21 (q)		—		—
REMIC, 0.00%,09/15/35 (0.00% until LIBOR reaches 7.00%) (i) (q)		98		98

				24,427
Federal National Mortgage Association - 19.6%
Federal National Mortgage Association
5.00%, 03/01/18 - 07/01/36		5,923		6,309
4.50%, 05/01/18 - 01/01/40		5,951		6,147
6.50%, 02/01/19		2		2
4.51%, 06/01/19		4,400		4,571
6.00%, 09/01/19 - 11/01/38		4,539		4,967
4.50%, 05/01/20 - 04/01/34 , TBA (g)		65,000		66,390
3.42%, 10/01/20		1,200		1,144
3.54%, 10/01/20		2,800		2,656
3.38%, 11/01/20		1,700		1,614
3.63%, 12/01/20		900		870
3.76%, 12/01/20		5,189		5,075
5.50%, 09/01/23 - 08/01/39		14,797		16,045
8.00%, 08/01/29 - 02/01/31		91		104
7.00%, 07/01/32		12		13
6.00%, 04/15/34 (g)		13,000		14,138
2.29%, 11/01/35 (i)		86		88
5.00%, 04/12/36, TBA (g)		16,000		16,738
5.50%, 04/12/36, TBA (g)		7,000		7,486
2.57%, 05/01/36 (i)		526		536
2.75%, 05/01/36 - 08/01/36 (i)		1,072		1,109
2.62%, 09/01/36 (i)		539		557
4.00%, 10/01/39 - 02/01/40		5,446		5,365
3.50%, 04/15/41, TBA (g)		4,000		3,766
4.00%, 04/15/41, TBA (g)		13,000		12,785
3.74%, 05/01/41, TBA (g)		1,500		1,503
REMIC, 10.40%, 04/25/19		1		1
				179,979
Government National Mortgage Association - 5.6%
Government National Mortgage Association
3.95%, 07/15/25		1,087		1,082
6.00%, 06/15/34 - 11/15/38		281		311
4.50%, 04/01/35 - 04/15/41 , TBA (g)		19,000		19,595
5.00%, 04/01/35 - 04/15/41 , TBA (g)		28,000		29,696
4.50%, 06/15/39 - 10/15/39		275		285
5.00%, 07/15/39		87		92


	Shares/Par (p)		Value
3.50%, 10/15/40 - 01/15/41		960		916

				51,977

Total Government and Agency Obligations (cost $417,089)				421,576

COMMON STOCKS - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Home Interior Gift Inc. (c) (f) (q)		491		—
MATERIALS - 0.0%
Applied Extrusion Technologies Inc. - Class B (c) (f) (q)		2		—

Total Common Stocks (cost $226)				—

SHORT TERM INVESTMENTS - 28.6%
Investment Company - 21.0%
JNL Money Market Fund, 0.08% (a) (h)		193,403		193,403
Securities Lending Collateral - 7.6%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		69,698		69,698
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		322		315

				70,013

Total Short Term Investments (cost $263,423)				263,416

Total Investments - 123.9% (cost $1,144,739)				1,138,802
Other Assets and Liabilities, Net - (23.9%) (o)				(219,429	)

Total Net Assets - 100.0%			$	919,373

JNL/Goldman Sachs Emerging Markets Debt Fund
CORPORATE BONDS AND NOTES - 10.3%
ENERGY - 1.0%
Gazprom Via Gaz Capital SA
5.09%, 11/29/15 (r)	$	1,510	$	1,576
9.25%, 04/23/19		4,950		6,156

				7,732
FINANCIALS - 7.2%
Barclays Bank Plc-Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1) (f) (q), IDR		82,000,000		10,604
Credit Suisse Nassau Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A) (f) (q), BRL		3,300		4,145
Credit Suisse Nassau-Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A) (f) (q), BRL		2,300		2,889
Deutsche Bank AG-Credit Linked Note (Indonesia Government,10.75%, 5/15/2016, Moody rating Ba1) (f) (q), IDR		20,500,000		2,751
Evergrande Real Estate Group Ltd., 7.50%, 01/19/14 (e), CNY		21,020		3,098
Hongkong & Shanghai Banking Corp.-Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1) (f) (q), IDR		65,000,000		8,529


	Shares/Par (p)		Value
Hongkong & Shanghai Banking Corp.-Credit Linked Note (Indonesia Government, 10.75%, 05/15/16, Moody rating Ba1) f) (q), IDR		91,000,000		11,778
JPMorgan Chase & Co., 6.00%, 10/10/12 (q), PHP		40,000		977
JPMorgan Chase & Co.-Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1) (f) (q), IDR		16,100,000		2,041
JPMorgan Chase & Co.-Credit Linked Note (Indonesia Government, 11.00%, 11/15/20, Moody rating Ba1) (f) (q), IDR		20,000,000		2,883
Red Arrow International Leasing Plc, 8.38%, 06/30/12, RUB		18,873		668
RSHB Capital SA, 7.50%, 03/25/13, RUB		244,200		8,718

				59,081
INDUSTRIALS - 1.1%
Transnet Ltd.
9.25%, 11/14/17, ZAR		4,000		580
10.50%, 09/17/20, ZAR		5,000		768
8.90%, 11/14/27, ZAR		57,000		7,619

				8,967
MATERIALS - 0.5%
Cemex SAB de CV, 5.30%, 09/30/15 (i) (q)		4,080		4,047
TELECOMMUNICATION SERVICES - 0.5%
Vimpel Communications
6.49%, 02/02/16 (e) (r)		540		559
9.13%, 04/30/18		1,430		1,622
7.75%, 02/02/21 (e) (r)		1,820		1,911

				4,092

Total Corporate Bonds and Notes (cost $77,657)				83,919

GOVERNMENT AND AGENCY OBLIGATIONS - 59.0%
GOVERNMENT SECURITIES - 59.0%
Sovereign - 57.3%
Argentina Government International Bond, 3.26%, 12/15/35 (i),		4,110		664
Argentine Republic Government International Bond, 7.82%, 12/31/33, EUR		190		264
Brazil Notas do Tesouro Nacional, 10.00%, 01/01/12 - 01/01/21, BRL		67,732		37,719
Chile Government International Bond, 5.50%, 08/05/20, CLP		589,500		1,216
Colombia Government International Bond
7.75%, 04/14/21, COP		15,815,000		9,115
9.85%, 06/28/27, COP		14,609,000		9,408
Hungary Government International Bond
5.50%, 02/12/14 - 02/12/16 , HUF		5,590,180		28,312
8.00%, 02/12/15, HUF		6,686,000		37,166
6.50%, 06/24/19, HUF		238,790		1,221
Indonesia Government Bond
11.00%, 11/15/20, IDR		25,400,000		3,492
10.50%, 08/15/30, IDR		71,729,000		9,104
Indonesia Treasury Bond, 9.50%, 07/15/31, IDR		55,200,000		6,416
Malaysia Government Bond
3.43%, 08/15/14, MYR		26,000		8,580
3.74%, 02/27/15, MYR		65,675		21,861
4.26%, 09/15/16, MYR		61,000		20,693
4.38%, 11/29/19, MYR		57,700		19,540
4.16%, 07/15/21, MYR		5,900		1,954
Mexican Bonos - Series M, 8.00%, 06/11/20, MXN		86,169		7,483


	Shares/Par (p)		Value
Mexican Udibonos
4.00%, 06/13/19, MXN		44,104		18,006
2.50%, 12/10/20, MXN		36,112		12,915
Nota Do Tesouro Nacional
10.00%, 01/01/14, BRL		10,725		6,300
6.00%, 08/15/40, BRL		14,300		17,961
Peru Government International Bond, 9.91%, 05/05/15, PEN		750		309
Poland Government Bond
6.25%, 10/24/15, PLN		4,310		1,551
5.25%, 10/25/20, PLN		71,450		23,396
Republic of Argentina
2.84%, 12/15/35 (i), EUR		35,800		7,007
3.72%, 12/15/35, ARS		179,420		7,296
Republic of South Africa Government Bond
13.50%, 09/15/15 (e), ZAR		59,500		10,636
8.00%, 12/21/18, ZAR		17,540		2,498
6.75%, 03/31/21, ZAR		48,440		6,249
10.50%, 12/21/26, ZAR		208,030		34,610
Thailand Government Bond
5.25%, 05/12/14, THB		64,000		2,236
3.63%, 05/22/15, THB		1,041,200		34,747
3.13%, 12/11/15, THB		64,000		2,089
4.13%, 11/18/16, THB		495,050		16,882
2.80%, 10/10/17, THB		192,000		6,060
3.88%, 06/13/19, THB		89,500		3,023
Turkey Government Bond
0.00%,08/08/12 (j), TRY		47,825		27,551
11.00%, 08/06/14, TRY		5,775		3,955

				469,485
Treasury Inflation Index Securities - 1.7%
Poland Government Treasury Inflation Indexed
Bond, 3.00%, 08/24/16 (n), PLN		38,262		13,714

Total Government and Agency Obligations (cost $463,492)				483,199

SHORT TERM INVESTMENTS - 28.6%
Investment Company - 24.8%
JNL Money Market Fund, 0.08% (a) (h)		202,777		202,777
Securities Lending Collateral - 1.9%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		15,754		15,754
Treasury Securities - 1.9%
Bank of Thailand Treasury Bill
0.07%, 08/04/11, THB	$	158,500		5,192
0.07%, 11/03/11, THB		145,000		4,721
0.06%, 04/21/11, THB		60,000		1,981
0.07%, 10/06/11, THB		107,000		3,502

				15,396

Total Short Term Investments (cost $233,917)				233,927

Total Investments - 97.9% (cost $775,066)				801,045
Other Assets and Liabilities, Net - 2.1% (o)				17,329

Total Net Assets - 100.0%			$	818,374

JNL/Goldman Sachs Mid Cap Value Fund
COMMON STOCKS - 97.3%
CONSUMER DISCRETIONARY - 13.0%
CBS Corp. - Class B		281	$	7,030
DISH Network Corp. - Class A (c)		468		11,407


	Shares/Par (p)		Value
Hasbro Inc.		160		7,508
Lear Corp.		244		11,934
Liberty Global Inc. (c) (e)		170		7,047
Liberty Media Corp. - Interactive (c)		555		8,907
Mohawk Industries Inc. (c)		59		3,589
Newell Rubbermaid Inc.		441		8,444
NVR Inc. (c)		6		4,779
Royal Caribbean Cruises Ltd. (c)		142		5,859
Scripps Networks Interactive Inc.		105		5,247
TRW Automotive Holdings Corp. (c)		122		6,723
Wyndham Worldwide Corp.		188		5,987

				94,461
CONSUMER STAPLES - 4.7%
ConAgra Foods Inc.		286		6,799
Energizer Holdings Inc. (c)		103		7,342
Hansen Natural Corp. (c)		57		3,413
HJ Heinz Co.		64		3,149
JM Smucker Co.		182		13,010

				33,713
ENERGY - 11.6%
Alpha Natural Resources Inc. (c) (e)		134		7,932
Cameron International Corp. (c)		154		8,812
Consol Energy Inc.		67		3,581
Forest Oil Corp. (c)		283		10,698
Frontier Oil Corp.		236		6,931
Helmerich & Payne Inc.		51		3,474
Newfield Exploration Co. (c)		296		22,481
Oil States International Inc. (c)		97		7,381
Pioneer Natural Resources Co.		64		6,535
QEP Resources Inc.		156		6,304

				84,129
FINANCIALS - 27.9%
Alexandria Real Estate Equities Inc.		46		3,587
AvalonBay Communities Inc.		46		5,498
Camden Property Trust		74		4,231
CIT Group Inc. (c)		159		6,747
Douglas Emmett Inc.		103		1,940
Essex Property Trust Inc. (e)		18		2,240
Everest Re Group Ltd.		131		11,523
Fifth Third Bancorp		671		9,319
First Republic Bank (c) (e)		55		1,685
Genworth Financial Inc. - Class A (c)		555		7,472
Hartford Financial Services Group Inc.		304		8,177
Host Hotels & Resorts Inc.		396		6,977
Invesco Ltd.		302		7,729
Janus Capital Group Inc.		387		4,831
Kimco Realty Corp.		377		6,906
Lazard Ltd. - Class A		95		3,931
Legg Mason Inc.		199		7,180
Lincoln National Corp.		183		5,496
M&T Bank Corp.		87		7,662
Marsh & McLennan Cos. Inc.		143		4,267
MFA Financial Inc.		751		6,161
NASDAQ OMX Group Inc. (c)		223		5,755
PartnerRe Ltd.		14		1,134
Principal Financial Group Inc.		449		14,412
SLM Corp. (c)		701		10,722
SunTrust Banks Inc.		307		8,859
Tanger Factory Outlet Centers Inc.		193		5,071
Unum Group		274		7,186
Ventas Inc.		125		6,814
WR Berkley Corp.		283		9,103
XL Group Plc		375		9,215

				201,830


	Shares/Par (p)		Value
HEALTH CARE - 6.4%
Aetna Inc.		187		6,982
Biogen Idec Inc. (c)		78		5,709
Boston Scientific Corp. (c)		1,242		8,928
Hologic Inc. (c)		317		7,047
Kinetic Concepts Inc. (c)		155		8,428
Patterson Cos. Inc.		108		3,475
Warner Chilcott Plc		262		6,091

				46,660
INDUSTRIALS - 10.0%
BE Aerospace Inc. (c)		145		5,147
Cooper Industries Plc		89		5,744
Eaton Corp.		67		3,694
GrafTech International Ltd. (c)		170		3,505
JetBlue Airways Corp. (c) (e)		679		4,255
Kansas City Southern (c)		106		5,763
Masco Corp.		602		8,374
Parker Hannifin Corp.		82		7,768
Pentair Inc.		235		8,890
Republic Services Inc. - Class A		177		5,302
Ryder System Inc.		72		3,656
Spirit Aerosystems Holdings Inc. (c)		102		2,620
Textron Inc.		283		7,742

				72,460
INFORMATION TECHNOLOGY - 6.5%
Amphenol Corp. - Class A		90		4,892
BMC Software Inc. (c)		106		5,278
Brocade Communications Systems Inc. (c)		695		4,271
Check Point Software Technologies Ltd. (c)		77		3,942
Electronic Arts Inc. (c)		127		2,474
ON Semiconductor Corp. (c)		641		6,325
Parametric Technology Corp. (c)		244		5,494
Polycom Inc. (c)		75		3,893
Quest Software Inc. (c)		139		3,521
Xilinx Inc.		216		7,069

				47,159
MATERIALS - 4.5%
Albemarle Corp.		21		1,267
Cliffs Natural Resources Inc.		45		4,404
Cytec Industries Inc.		95		5,185
Huntsman Corp.		468		8,136
Owens-Illinois Inc. (c)		105		3,172
Stillwater Mining Co. (c)		174		4,000
Temple-Inland Inc.		166		3,875
Thompson Creek Metals Co. Inc. (c)		191		2,399

				32,438
TELECOMMUNICATION SERVICES - 3.2%
CenturyTel Inc.		224		9,307
Clearwire Corp. - Class A (c) (e)		543		3,038
Sprint Nextel Corp. (c)		2,301		10,676

				23,021
UTILITIES - 9.5%
CMS Energy Corp.		388		7,620
DPL Inc.		74		2,037
Edison International		84		3,086
Northeast Utilities		216		7,469
NV Energy Inc.		372		5,545
Pinnacle West Capital Corp.		111		4,732
PPL Corp.		351		8,890
SCANA Corp.		191		7,530
Sempra Energy		130		6,955
Westar Energy Inc. (e)		130		3,423


	Shares/Par (p)		Value
Xcel Energy Inc.		485		11,591

				68,878

Total Common Stocks (cost $627,279)				704,749

SHORT TERM INVESTMENTS - 7.0%
Investment Company - 3.7%
JNL Money Market Fund, 0.08% (a) (h)		26,869		26,869
Securities Lending Collateral - 3.3%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		23,610		23,610
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		356		348

				23,958

Total Short Term Investments (cost $50,835)				50,827

Total Investments - 104.3% (cost $678,114)				755,576
Other Assets and Liabilities, Net - (4.3%)				(30,844	)

Total Net Assets - 100.0%			$	724,732

JNL/Goldman Sachs U.S. Equity Flex Fund
COMMON STOCKS - 127.9%
CONSUMER DISCRETIONARY - 19.1%
CBS Corp. - Class B (o)		83	$	2,086
Comcast Corp. - Class A (o)		115		2,838
DISH Network Corp. - Class A (c) (o)		109		2,658
Ford Motor Co. (c) (o)		122		1,813
Fossil Inc. (c)		8		780
General Motors Co. (c) (o)		18		551
Hasbro Inc.		27		1,269
Johnson Controls Inc. (o)		35		1,441
Jos. A. Bank Clothiers Inc. (c) (o)		26		1,320
Lear Corp. (o)		40		1,978
Liberty Media Corp. - Interactive (c) (o)		70		1,128
Lowe’s Cos. Inc. (o)		45		1,194
Newell Rubbermaid Inc. (o)		65		1,250
Phillips-Van Heusen Corp.		10		657
TRW Automotive Holdings Corp. (c)		14		767
Yum! Brands Inc. (o)		19		983

				22,713
CONSUMER STAPLES - 9.8%
CVS Caremark Corp.		30		1,023
General Mills Inc. (o)		66		2,423
Hansen Natural Corp. (c)		11		632
PepsiCo Inc. (o)		46		2,958
Procter & Gamble Co. (o)		20		1,231
Unilever NV - NYS (o)		53		1,675
Wal-Mart Stores Inc. (o)		33		1,711

				11,653
ENERGY - 15.1%
Cameron International Corp. (c) (o)		38		2,187
ConocoPhillips		22		1,745
Devon Energy Corp. (o)		38		3,475
Forest Oil Corp. (c) (o)		51		1,927
Hess Corp.		15		1,305
Newfield Exploration Co. (c) (o)		44		3,341
Occidental Petroleum Corp. (o)		20		2,040
Schlumberger Ltd. (o)		20		1,857

				17,877


	Shares/Par (p)		Value
FINANCIALS - 22.6%
AFLAC Inc. (o)		16		869
Allstate Corp. (o)		47		1,483
Ameriprise Financial Inc.		8		474
Bank of America Corp. (o)		192		2,553
Bank of New York Mellon Corp. (o)		39		1,172
Capital One Financial Corp. (o)		23		1,178
Franklin Resources Inc. (o)		12		1,552
Hartford Financial Services Group Inc. (o)		55		1,489
Invesco Ltd. (o)		57		1,460
JPMorgan Chase & Co. (o)		100		4,625
MFA Financial Inc. (o)		79		646
Prudential Financial Inc. (o)		42		2,599
State Street Corp. (o)		27		1,209
SunTrust Banks Inc. (o)		53		1,516
Travelers Cos. Inc. (o)		25		1,497
U.S. Bancorp (o)		96		2,532

				26,854
HEALTH CARE - 11.7%
Baxter International Inc. (o)		18		942
Biogen Idec Inc. (c) (o)		27		1,969
Boston Scientific Corp. (c) (o)		185		1,334
Celgene Corp. (c) (o)		23		1,328
ICON Plc - ADR (c)		39		846
Merck & Co. Inc. (o)		87		2,859
Teva Pharmaceutical Industries Ltd. - ADR (o)		60		3,025
WellPoint Inc. (o)		23		1,586

				13,889
INDUSTRIALS - 12.8%
Boeing Co. (o)		48		3,583
General Electric Co. (o)		243		4,882
Honeywell International Inc. (o)		52		3,093
Illinois Tool Works Inc. (o)		25		1,333
Textron Inc. (o)		47		1,289
Union Pacific Corp. (o)		10		1,018

				15,198
INFORMATION TECHNOLOGY - 24.5%
Adobe Systems Inc. (c) (o)		79		2,607
Apple Inc. (c) (o)		14		4,952
BMC Software Inc. (c) (o)		14		700
Electronic Arts Inc. (c)		30		578
EMC Corp. (c) (o)		137		3,646
Google Inc. - Class A (c)		7		3,896
Microsoft Corp. (o)		122		3,082
Oracle Corp. (o)		76		2,521
Parametric Technology Corp. (c) (o)		52		1,163
QUALCOMM Inc. (o)		34		1,886
SS&C Technologies Holdings Inc. (c)		55		1,120
Texas Instruments Inc. (o)		42		1,467
Xilinx Inc. (o)		45		1,468

				29,086
MATERIALS - 4.4%
Cliffs Natural Resources Inc. (o)		15		1,476
Dow Chemical Co. (o)		32		1,205
Huntsman Corp. (o)		144		2,505

				5,186
TELECOMMUNICATION SERVICES - 5.0%
CenturyTel Inc. (o)		35		1,463
Clearwire Corp. - Class A (c) (o)		165		924
Sprint Nextel Corp. (c) (o)		773		3,587

				5,974


	Shares/Par (p)		Value
UTILITIES - 2.9%
American Electric Power Co. Inc.		30		1,050
Entergy Corp. (o)		18		1,181
PG&E Corp. (o)		28		1,246

				3,477

Total Common Stocks (cost $136,285)				151,907

SHORT TERM INVESTMENTS - 5.1%
Investment Company - 5.1%
JNL Money Market Fund, 0.08% (a) (h)		6,048		6,048

Total Short Term Investments (cost $6,048)				6,048
Total Investments - 133.0% (cost $142,333)				157,955
Total Securities Sold Short - (32.5)%
(proceeds $34,879)				(38,573	)
Other Assets and Liabilities, Net - (0.5%)				(622	)

Total Net Assets - 100.0%			$	118,760

Securities Sold Short - 32.5%
COMMON STOCKS - 32.5%
CONSUMER DISCRETIONARY - 8.7%
Aaron’s Inc.		15	$	374
American Axle & Manufacturing Holdings Inc.		50		625
AutoNation Inc.		21		743
Federal-Mogul Corp.		9		236
Gap Inc.		24		533
Garmin Ltd.		18		624
Genuine Parts Co.		7		352
Harman International Industries Inc.		10		468
J.C. Penney Co. Inc.		19		698
KB Home		23		290
Men’s Wearhouse Inc.		11		296
NetFlix Inc.		4		856
New York Times Co. - Class A		150		1,418
Penske Auto Group Inc.		45		902
Pool Corp.		12		297
Regis Corp.		34		599
Toll Brothers Inc.		20		389
VF Corp.		5		462
Whirlpool Corp.		2		177

				10,339
CONSUMER STAPLES - 1.7%
Campbell Soup Co.		16		518
Kimberly-Clark Corp.		9		573
Kraft Foods Inc. - Class A		28		874

				1,965
ENERGY - 2.8%
Apache Corp.		10		1,261
Noble Energy Inc.		13		1,234
Transocean Ltd.		11		821

				3,316
FINANCIALS - 3.0%
ACE Ltd.		6		400
eHealth Inc.		37		488
Federated Investors Inc. - Class B		22		577
Jefferies Group Inc.		23		570
MetLife Inc.		8		346
TCF Financial Corp.		73		1,165

				3,546


	Shares/Par (p)		Value
HEALTH CARE - 3.0%
Bristol-Myers Squibb Co.		31		828
Laboratory Corp. of America Holdings		6		593
Medco Health Solutions Inc.		9		525
Medtronic Inc.		16		623
Pfizer Inc.		49		990

				3,559
INDUSTRIALS - 1.8%
Huntington Ingalls Industries Inc.		1		61
Joy Global Inc.		9		845
Northrop Grumman Systems Corp.		9		549
Precision Castparts Corp.		5		739

				2,194
INFORMATION TECHNOLOGY - 6.1%
Altera Corp.		12		535
International Business Machines Corp.		7		1,195
Intuit Inc.		19		991
Manhattan Associates Inc.		16		522
Novellus Systems Inc.		40		1,470
SAIC Inc.		43		720
SAP AG - ADR		17		1,024
Tech Data Corp.		16		808

				7,265
MATERIALS - 1.5%
EI Du Pont de Nemours & Co.		23		1,257
United States Steel Corp.		10		565

				1,822
TELECOMMUNICATION SERVICES - 2.8%
Telefonos de Mexico SAB de CV - ADR		57		1,039
US Cellular Corp.		20		1,021
Verizon Communications Inc.		16		635
Windstream Corp.		48		619

				3,314
UTILITIES - 1.1%
Exelon Corp.		17		719
Piedmont Natural Gas Co. Inc.		18		534

				1,253

Total Securities Sold Short - 32.5%
(proceeds $34,879)			$	38,573

JNL/Invesco Global Real Estate Fund
COMMON STOCKS - 97.4%
CONSUMER DISCRETIONARY - 0.4%
Starwood Hotels & Resorts Worldwide Inc.		45	$	2,615
FINANCIALS - 97.0%
Real Estate Investment Trusts - 68.8%
Diversified - REITS - 20.1%
BGP Holdings Plc (c) (f)		5,552		—
British Land Co. Plc (e)		698		6,188
Canadian Real Estate Investment Trust		86		3,077
CapitaCommercial Trust (e)		2,335		2,575
Corio NV		120		8,379
Derwent London Plc		176		4,645
Dexus Property Group		5,267		4,631
Digital Realty Trust Inc. (e)		117		6,798
Fonciere Des Regions		34		3,614


	Shares/Par (p)		Value
Goodman Group		11,510		8,155
Hammerson Plc		722		5,178
Kenedix Realty Investment Corp.		—		1,937
Klepierre		117		4,762
Land Securities Group Plc		720		8,471
Mercialys SA		68		2,715
PS Business Parks Inc.		14		817
Segro Plc		724		3,734
Shaftesbury Plc		460		3,490
Stockland		3,411		13,089
Suntec Real Estate Investment Trust		3,506		4,283
Unibail-Rodamco SE		75		16,160
Vornado Realty Trust		230		20,130
Wereldhave NV		30		3,213

				136,041
Industrial - REITS - 2.7%
AMB Property Corp.		204		7,341
Hansteen Holdings Plc		455		621
ProLogis		639		10,203

				18,165
Office - REITS - 10.2%
Alexandria Real Estate Equities Inc.		72		5,578
Boston Properties Inc.		125		11,860
Douglas Emmett Inc.		169		3,169
Duke Realty Corp.		254		3,556
Great Portland Estates Plc		358		2,217
Highwoods Properties Inc.		148		5,164
ING Office Fund (e)		5,661		3,630
Japan Prime Realty Investment Corp.		1		2,913
Japan Real Estate Investment Corp. (e)		1		5,015
Kilroy Realty Corp.		90		3,508
Nippon Building Fund Inc.		1		5,336
Orix JREIT Inc.		—		2,648
SL Green Realty Corp.		151		11,378
Societe Immobiliere de Location pour l’Industrie et le Commerce		21		3,001

				68,973
Residential - REITS - 7.9%
AvalonBay Communities Inc.		110		13,207
BRE Properties Inc.		92		4,346
Camden Property Trust		166		9,448
Equity Residential		249		14,031
Essex Property Trust Inc.		90		11,116
Mid-America Apartment Communities Inc.		24		1,560

				53,708
Retail - REITS - 17.3%
Acadia Realty Trust		154		2,908
CapitaMall Trust		2,977		4,441
CFS Retail Property Trust		3,342		6,361
Developers Diversified Realty Corp.		167		2,338
Frontier Real Estate Investment Corp.		—		1,526
General Growth Properties Inc. (c)		257		3,983
Kimco Realty Corp.		639		11,714
Link Real Estate Investment Trust		1,464		4,581
Macerich Co.		218		10,819
Primaris Retail Real Estate Investment Trust		256		5,631
Regency Centers Corp.		217		9,448
RioCan Real Estate Investment Trust		111		2,912
Simon Property Group Inc.		275		29,461
Westfield Group		1,560		15,069
Westfield Retail Trust		2,188		5,930

				117,122
Specialized - REITS - 10.6%
Big Yellow Group Plc		444		2,357
Chartwell Seniors Housing REIT		395		3,774
DiamondRock Hospitality Co.		352		3,934


	Shares/Par (p)		Value
Extra Space Storage Inc.		202		4,177
HCP Inc.		216		8,200
Health Care REIT Inc.		274		14,395
Hersha Hospitality Trust		281		1,670
Host Hotels & Resorts Inc.		844		14,862
LaSalle Hotel Properties		18		492
Nationwide Health Properties Inc.		132		5,608
Public Storage		35		3,896
Sovran Self Storage Inc.		62		2,460
Ventas Inc.		109		5,926

				71,751
Real Estate Management & Development - 28.2%
Diversified - REITS - 0.3%
GPT Group		538		1,747

Real Estate Operating Companies - 23.0%
Agile Property Holdings Ltd. (e)		2,538		4,000
Beni Stabili SpA (c)		3,199		3,326
Brookfield Properties Corp.		667		11,811
CapitaLand Ltd.		2,916		7,634
China Overseas Land & Investment Ltd. (e)		3,893		7,918
China Resources Land Ltd.		578		1,082
City Developments Ltd.		146		1,334
Evergrande Real Estate Group Ltd.		8,211		4,518
Global Logistic Properties Ltd. (c)		2,096		3,109
Hang Lung Properties Ltd.		2,708		11,854
Henderson Land Development Co. Ltd.		99		686
Hongkong Land Holdings Ltd. (e)		1,761		12,327
Hysan Development Co. Ltd.		894		3,678
Keppel Land Ltd.		1,564		5,571
Kerry Properties Ltd.		987		4,933
Mitsui Fudosan Co. Ltd.		850		14,030
Multiplan Empreendimentos Imobiliarios SA		56		1,146
Retail Opportunity Investments Corp.		133		1,450
Shimao Property Holdings Ltd. (e)		1,758		2,490
Sino Land Co.		2,446		4,346
Sumitomo Realty & Development Co. Ltd.		405		8,102
Sun Hung Kai Properties Ltd.		1,577		24,977
Tokyu Land Corp.		557		2,424
Unite Group Plc (c)		592		2,053
Wharf Holdings Ltd.		1,607		11,084

				155,883
Real Estate Services - 4.9%
AEON Mall Co. Ltd.		48		1,026
Castellum AB (e)		310		4,504
Citycon Oyj (e)		190		870
Conwert Immobilien Invest SE		237		3,921
Mitsubishi Estate Co. Ltd.		784		13,261
Sponda OYJ (e)		701		3,983
Swiss Prime Site AG (c)		69		5,454

				33,019

Total Common Stocks (cost $604,583)				659,024

SHORT TERM INVESTMENTS - 6.5%
Investment Company - 2.1%
JNL Money Market Fund, 0.08% (a) (h)		13,819		13,819
Securities Lending Collateral - 4.4%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		29,129		29,129
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		809		790

				29,919

Total Short Term Investments (cost $43,757)				43,738


	Shares/Par (p)		Value
Total Investments - 103.9% (cost $648,340)				702,762
Other Assets and Liabilities, Net - (3.9%)				(26,356	)


Total Net Assets - 100.0%			$	676,406

JNL/Invesco International Growth Fund
COMMON STOCKS - 93.9%
CONSUMER DISCRETIONARY - 17.3%
Adidas AG		118	$	7,447
Bayerische Motoren Werke AG		97		8,053
Compagnie Generale des Etablissements Michelin		39		3,334
Compass Group Plc		1,298		11,670
Denso Corp.		149		4,957
Eutelsat Communications Group SA		100		3,982
Grupo Televisa SA - ADR (c)		246		6,026
Hyundai Mobis		36		10,631
Informa Plc		837		5,595
Kingfisher Plc		1,392		5,490
Li & Fung Ltd.		666		3,412
Next Plc		175		5,565
Publicis Groupe		65		3,635
Puma AG Rudolf Dassler Sport		11		3,341
Reed Elsevier Plc		710		6,152
Toyota Motor Corp.		183		7,378
WPP Plc		461		5,683
Yamada Denki Co. Ltd.		134		9,013

				111,364
CONSUMER STAPLES - 11.8%
Anheuser-Busch InBev NV		172		9,825
British American Tobacco Plc		200		8,024
Danone SA		115		7,487
Fomento Economico Mexicano SAB de CV - ADR		91		5,328
Imperial Tobacco Group Plc		361		11,174
Koninklijke Ahold NV		454		6,093
Nestle SA		189		10,808
Reckitt Benckiser Group Plc		72		3,676
Tesco Plc		1,235		7,550
Unilever NV		183		5,736

				75,701
ENERGY - 11.8%
BG Group Plc		387		9,617
Canadian Natural Resources Ltd.		128		6,340
Cenovus Energy Inc.		162		6,408
EnCana Corp. (e)		121		4,192
Gazprom OAO - ADR		259		8,375
Petroleo Brasileiro SA - ADR		161		5,709
Royal Dutch Shell Plc - Class B		234		8,472
Suncor Energy Inc.		150		6,708
Talisman Energy Inc.		164		4,044
Total SA		101		6,125
WorleyParsons Ltd.		306		9,821

				75,811
FINANCIALS - 10.2%
Akbank T.A.S.		918		4,460
Banco Bradesco SA - ADR (e)		517		10,719
BNP Paribas SA		111		8,108
Fairfax Financial Holdings Ltd.		13		4,814
Industrial & Commercial Bank of China		11,702		9,718
Julius Baer Group Ltd. (c)		157		6,819


	Shares/Par (p)		Value
Kinnevik Investment AB		145		3,377
QBE Insurance Group Ltd. (e)		249		4,546
Swedbank AB (e)		325		5,557
United Overseas Bank Ltd.		498		7,427

				65,545
HEALTH CARE - 12.3%
Bayer AG		82		6,386
Cochlear Ltd. (e)		75		6,444
CSL Ltd.		164		6,045
Fresenius Medical Care AG & Co. KGaA		92		6,205
Novartis AG		151		8,200
Novo-Nordisk A/S		87		10,876
Roche Holding AG		53		7,539
Shire Plc		464		13,494
Smith & Nephew Plc		252		2,846
Teva Pharmaceutical Industries Ltd. - ADR		221		11,065

				79,100
INDUSTRIALS - 9.4%
ABB Ltd. (c)		170		4,092
Bharat Heavy Electricals Ltd.		59		2,733
Canadian National Railway Co.		43		3,223
Fanuc Ltd.		50		7,629
Hutchison Whampoa Ltd.		651		7,708
Keppel Corp. Ltd.		1,155		11,271
Komatsu Ltd.		181		6,157
Nidec Corp. (e)		133		11,504
Volvo AB (e)		336		5,907

				60,224
INFORMATION TECHNOLOGY - 9.3%
Canon Inc.		140		6,101
Cap Gemini SA		129		7,515
HON HAI Precision Industry Co. Ltd.		1,331		4,661
Infosys Technologies Ltd. - ADR		121		8,695
Keyence Corp.		23		5,882
NHN Corp. (c)		39		6,749
SAP AG		111		6,802
Taiwan Semiconductor Manufacturing Co. Ltd.		3,485		8,368
Telefonaktiebolaget LM Ericsson		417		5,378

				60,151
MATERIALS - 4.1%
Agrium Inc.		34		3,177
BHP Billiton Ltd.		264		12,700
Lafarge SA		50		3,129
Syngenta AG		22		7,085

				26,091
TELECOMMUNICATION SERVICES - 5.3%
America Movil SAB de CV - ADR		202		11,744
Koninklijke KPN NV		383		6,532
Philippine Long Distance Telephone Co.		72		3,829
VimpelCom Ltd. - ADR		189		2,668
Vodafone Group Plc		3,216		9,105

				33,878
UTILITIES - 2.4%
Centrica Plc		1,588		8,286
International Power Plc		1,489		7,355

				15,641

Total Common Stocks (cost $510,249)				603,506


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 10.2%
Investment Company - 5.6%
JNL Money Market Fund, 0.08% (a) (h)		36,114		36,114
Securities Lending Collateral - 4.6%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		28,940		28,940
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		785		766

				29,706

Total Short Term Investments (cost $65,839)				65,820

Total Investments - 104.1% (cost $576,088)				669,326
Other Assets and Liabilities, Net - (4.1%)				(26,313	)

Total Net Assets - 100.0%			$	643,013

JNL/Invesco Large Cap Growth Fund
COMMON STOCKS - 97.6%
CONSUMER DISCRETIONARY - 12.3%
Amazon.com Inc. (c)		85	$	15,234
Chipotle Mexican Grill Inc. (c)		21		5,665
Coach Inc.		94		4,872
Comcast Corp. - Class A		612		15,137
DirecTV - Class A (c)		359		16,821
Ford Motor Co. (c)		241		3,589
Las Vegas Sands Corp. (c)		256		10,795
Limited Brands Inc.		493		16,222
NetFlix Inc. (c) (e)		54		12,861
Starwood Hotels & Resorts Worldwide Inc.		161		9,376
Tiffany & Co.		92		5,641
Walt Disney Co.		327		14,099

				130,312
CONSUMER STAPLES - 2.3%
Hansen Natural Corp. (c)		130		7,839
Mead Johnson Nutrition Co.		291		16,886

				24,725
ENERGY - 11.2%
Cameron International Corp. (c)		218		12,458
EOG Resources Inc.		93		11,024
Halliburton Co.		333		16,573
National Oilwell Varco Inc.		172		13,648
Peabody Energy Corp.		199		14,335
Schlumberger Ltd.		242		22,596
Transocean Ltd. (c)		127		9,868
Weatherford International Ltd. (c)		823		18,600

				119,102
FINANCIALS - 5.3%
Ameriprise Financial Inc.		254		15,494
Comerica Inc.		120		4,421
Franklin Resources Inc.		53		6,651
JPMorgan Chase & Co.		389		17,921
Moody’s Corp.		336		11,377

				55,864
HEALTH CARE - 9.5%
Allscripts-Misys Healthcare Solutions Inc. (c)		455		9,559
Baxter International Inc.		248		13,342
Dendreon Corp. (c)		216		8,098
Gilead Sciences Inc. (c)		312		13,231


	Shares/Par (p)		Value
Hospira Inc. (c)		261		14,386
Illumina Inc. (c)		175		12,268
McKesson Corp.		175		13,849
United Therapeutics Corp. (c)		118		7,938
UnitedHealth Group Inc.		185		8,346

				101,017
INDUSTRIALS - 13.0%
ABB Ltd. - ADR (c)		450		10,891
Cummins Inc.		70		7,642
Danaher Corp.		208		10,770
Deere & Co.		119		11,512
Embraer SA - ADR		240		8,083
Foster Wheeler AG (c)		439		16,513
Goodrich Corp.		231		19,770
Honeywell International Inc.		192		11,479
Ingersoll-Rand Plc		292		14,111
JB Hunt Transport Services Inc.		204		9,270
Union Pacific Corp.		187		18,353

				138,394
INFORMATION TECHNOLOGY - 35.6%
Accenture Plc - Class A		200		10,972
Agilent Technologies Inc. (c)		272		12,188
Apple Inc. (c)		230		80,316
Atmel Corp. (c)		655		8,926
Baidu.com - ADR (c)		228		31,452
Broadcom Corp. - Class A (c)		232		9,140
Citrix Systems Inc. (c)		217		15,924
Cognizant Technology Solutions Corp. - Class A (c)		169		13,745
EMC Corp. (c)		1,014		26,921
Google Inc. - Class A (c)		49		29,013
Hewlett-Packard Co.		241		9,859
Juniper Networks Inc. (c)		325		13,691
Micron Technology Inc. (c)		251		2,877
Oracle Corp.		503		16,783
QUALCOMM Inc.		260		14,270
Red Hat Inc. (c)		153		6,953
Rovi Corp. (c)		636		34,099
Salesforce.com Inc.		76		10,112
SanDisk Corp. (c)		220		10,150
Visa Inc. - Class A		176		12,961
Xilinx Inc.		241		7,899

				378,251
MATERIALS - 6.4%
CF Industries Holdings Inc.		75		10,238
Monsanto Co.		180		13,017
Potash Corp. of Saskatchewan Inc.		371		21,873
Silver Wheaton Corp. (e)		516		22,372

				67,500
TELECOMMUNICATION SERVICES - 2.0%
America Movil SAB de CV - ADR		133		7,742
American Tower Corp. - Class A (c)		263		13,608

				21,350

Total Common Stocks (cost $864,175)				1,036,515

SHORT TERM INVESTMENTS - 5.0%
Investment Company - 2.8%
JNL Money Market Fund, 0.08% (a) (h)		30,274		30,274
Securities Lending Collateral - 2.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		23,088		23,088


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		279		273

				23,361

Total Short Term Investments (cost $53,641)				53,635

Total Investments - 102.6% (cost $917,816)				1,090,150
Other Assets and Liabilities, Net - (2.6%)				(27,902	)

Total Net Assets - 100.0%			$	1,062,248

JNL/Invesco Small Cap Growth Fund
COMMON STOCKS - 93.3%
CONSUMER DISCRETIONARY - 16.0%
Buffalo Wild Wings Inc. (c)		24	$	1,328
Choice Hotels International Inc.		32		1,250
Darden Restaurants Inc.		27		1,318
Dick’s Sporting Goods Inc. (c)		40		1,597
DreamWorks Animation SKG Inc. - Class A (c)		30		849
DSW Inc. - Class A (c) (e)		36		1,426
Foot Locker Inc.		74		1,467
Group 1 Automotive Inc. (e)		39		1,661
Jack in the Box Inc. (c)		58		1,317
Maidenform Brands Inc. (c)		42		1,200
National CineMedia Inc.		63		1,183
Penn National Gaming Inc. (c)		48		1,774
PF Chang’s China Bistro Inc. (e)		38		1,746
Pool Corp.		46		1,119
Steven Madden Ltd. (c)		32		1,521
Tenneco Inc. (c)		36		1,536
Tractor Supply Co.		36		2,158
TRW Automotive Holdings Corp. (c)		40		2,204
Vitamin Shoppe Inc. (c)		46		1,543
Weight Watchers International Inc.		36		2,539
Williams-Sonoma Inc.		52		2,091
WMS Industries Inc. (c)		28		990

				33,817
CONSUMER STAPLES - 1.6%
Diamond Foods Inc. (e)		24		1,322
Nu Skin Enterprises Inc. - Class A		43		1,241
Ralcorp Holdings Inc. (c)		14		926

				3,489
ENERGY - 7.8%
Bill Barrett Corp. (c)		30		1,208
Carrizo Oil & Gas Inc. (c)		41		1,518
Dresser-Rand Group Inc. (c)		31		1,656
Dril-Quip Inc. (c)		19		1,466
FMC Technologies Inc. (c)		16		1,498
Frontier Oil Corp.		79		2,326
James River Coal Co. (c) (e)		55		1,323
Lufkin Industries Inc.		19		1,790
Patterson-UTI Energy Inc.		53		1,571
SandRidge Energy Inc. (c)		175		2,242

				16,598
FINANCIALS - 5.2%
Affiliated Managers Group Inc. (c)		18		1,918
Brown & Brown Inc.		37		966
City National Corp.		22		1,238
Greenhill & Co. Inc.		16		1,060
Huntington Bancshares Inc.		188		1,249
ProAssurance Corp. (c)		23		1,473


	Shares/Par (p)		Value
Stifel Financial Corp. (c)		17		1,241
SVB Financial Group (c)		31		1,777

				10,922
HEALTH CARE - 14.6%
Acorda Therapeutics Inc. (c)		37		850
Allscripts-Misys Healthcare Solutions Inc. (c)		77		1,619
BioMarin Pharmaceutical Inc. (c)		57		1,435
Bruker Corp. (c)		63		1,324
Chemed Corp.		27		1,781
Health Management Associates Inc.
- Class A (c)		129		1,408
Insulet Corp. (c)		52		1,063
Masimo Corp.		41		1,341
Medicis Pharmaceutical Corp. - Class A		47		1,494
Mednax Inc. (c)		20		1,308
Meridian Bioscience Inc.		45		1,069
Parexel International Corp. (c)		49		1,223
PerkinElmer Inc.		51		1,343
Perrigo Co.		21		1,645
PSS World Medical Inc. (c)		51		1,397
Quality Systems Inc.		18		1,535
Sirona Dental Systems Inc. (c)		32		1,589
Techne Corp.		17		1,222
United Therapeutics Corp. (c)		20		1,347
Valeant Pharmaceuticals International Inc.		44		2,169
VCA Antech Inc. (c)		46		1,162
Zoll Medical Corp. (c)		36		1,623

				30,947
INDUSTRIALS - 14.9%
Corrections Corp. of America (c)		58		1,421
CoStar Group Inc. (c) (e)		32		1,993
Forward Air Corp.		41		1,267
Fuel Tech Inc. (c)		61		539
Hexcel Corp. (c)		68		1,345
HUB Group Inc. - Class A (c)		47		1,714
Kaydon Corp.		29		1,128
Kennametal Inc.		35		1,368
Knight Transportation Inc. (e)		83		1,602
Lincoln Electric Holdings Inc.		20		1,518
Lindsay Corp. (e)		18		1,436
Meritor Inc. (c)		86		1,453
Regal-Beloit Corp.		29		2,131
Terex Corp. (c)		40		1,475
Tetra Tech Inc. (c)		52		1,293
Thomas & Betts Corp. (c)		26		1,549
TransDigm Group Inc. (c)		39		3,284
Wabtec Corp.		32		2,145
Watsco Inc.		17		1,160
WESCO International Inc. (c)		27		1,689

				31,510
INFORMATION TECHNOLOGY - 27.1%
Advanced Energy Industries Inc. (c)		85		1,394
Alliance Data Systems Corp. (c) (e)		17		1,450
Ansys Inc. (c)		27		1,436
Aspen Technology Inc. (c)		93		1,395
BroadSoft Inc. (c)		22		1,051
Ciena Corp. (c) (e)		58		1,511
Coherent Inc. (c)		29		1,688
CommVault Systems Inc. (c)		47		1,888
Cymer Inc. (c)		29		1,623
Fair Isaac Corp.		44		1,398
Finisar Corp. (c)		64		1,576
Global Payments Inc.		26		1,248
Harmonic Inc. (c)		143		1,342
Hittite Microwave Corp. (c)		27		1,727


	Shares/Par (p)		Value
Informatica Corp. (c)		60		3,109
Lawson Software Inc. (c)		176		2,131
Littelfuse Inc.		28		1,598
Manhattan Associates Inc. (c)		6		203
Micros Systems Inc. (c)		36		1,757
Microsemi Corp. (c)		78		1,616
NetGear Inc. (c)		42		1,359
Nice Systems Ltd. - ADR (c)		43		1,584
ON Semiconductor Corp. (c)		133		1,313
Open Text Corp. (c)		27		1,664
Parametric Technology Corp. (c)		56		1,251
Polycom Inc. (c)		61		3,149
Power Integrations Inc.		28		1,088
Quest Software Inc. (c)		66		1,666
Semtech Corp. (c)		59		1,465
SolarWinds Inc. (c)		40		945
SuccessFactors Inc. (c)		61		2,398
Teradyne Inc. (c)		103		1,831
ValueClick Inc. (c)		100		1,445
VistaPrint NV (c)		24		1,227
Volterra Semiconductor Corp. (c)		52		1,281
WebMD Health Corp. - Class A (c)		24		1,258
Websense Inc. (c)		59		1,356

				57,421
MATERIALS - 4.5%
Allied Nevada Gold Corp. (c)		11		401
Calgon Carbon Corp. (c)		54		861
Carpenter Technology Corp.		27		1,143
Detour Gold Corp. (c)		19		585
Grief Inc. - Class A		28		1,827
Intrepid Potash Inc. (c)		40		1,378
Olin Corp.		65		1,500
Rockwood Holdings Inc. (c)		36		1,787

				9,482
TELECOMMUNICATION SERVICES - 0.9%
SBA Communications Corp. (c)		47		1,853
UTILITIES - 0.7%
ITC Holdings Corp.		21		1,491

Total Common Stocks (cost $152,619)				197,530

SHORT TERM INVESTMENTS - 12.0%
Investment Company - 7.2%
JNL Money Market Fund, 0.08% (a) (h)		15,113		15,113
Securities Lending Collateral - 4.8%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		9,918		9,918
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		246		240

				10,158

Total Short Term Investments (cost $25,277)				25,271

Total Investments - 105.3% (cost $177,896)				222,801
Other Assets and Liabilities, Net - (5.3%)				(11,123	)

Total Net Assets - 100.0%			$	211,678

JNL/Ivy Asset Strategy Fund
COMMON STOCKS - 81.5%
CONSUMER DISCRETIONARY - 25.1%
Bayerische Motoren Werke AG		196	$	16,375


	Shares/Par (p)		Value
CBS Corp. - Class B		585		14,651
Compagnie Financiere Richemont SA		654		37,773
Hyundai Motor Co.		206		38,098
Li & Fung Ltd.		2,172		11,127
LVMH Moet Hennessy Louis Vuitton SA		154		24,426
Sands China Ltd. (c) (r)		17,632		39,352
Starbucks Corp.		433		16,007
Starwood Hotels & Resorts Worldwide Inc. (o)		547		31,792
Wynn Macau Ltd.		9,659		26,945
Wynn Resorts Ltd. (o)		533		67,843

				324,389
CONSUMER STAPLES - 2.1%
Mead Johnson Nutrition Co.		195		11,273
Philip Morris International Inc.		253		16,578

				27,851
ENERGY - 10.6%
ConocoPhillips (o)		481		38,436
Exxon Mobil Corp.		137		11,543
Halliburton Co. (o)		539		26,866
Kinder Morgan Inc. (c)		137		4,061
National Oilwell Varco Inc.		160		12,691
Schlumberger Ltd.		275		25,614
SeaDrill Ltd.		492		17,777

				136,988
FINANCIALS - 14.6%
AIA Group Ltd. (c) (r)		5,534		17,040
Apollo Global Management LLC - Class A (c)		639		11,507
Bank of China Ltd.		17,582		9,787
Blackstone Group LP		589		10,528
BOC Hong Kong Holdings Ltd.		4,380		14,273
China Construction Bank Corp.		12,457		11,675
China Pacific Insurance Group Co. Ltd.		4,996		21,001
Goldman Sachs Group Inc.		138		21,837
ICICI Bank Ltd.		556		13,924
Industrial & Commercial Bank of China		14,444		11,996
Itau Unibanco Holding SA - ADR (c)		390		9,389
KKR & Co. LP		359		5,886
Ping an Insurance Group Co. of China Ltd. (r)		772		7,820
Standard Chartered Plc		879		22,797

				189,460
HEALTH CARE - 0.4%
Allergan Inc.		72		5,128
INDUSTRIALS - 8.6%
Caterpillar Inc.		129		14,353
Cathay Pacific Airways Ltd.		3,299		7,906
China Railway Construction Corp. Ltd.		3,219		3,344
China Railway Group Ltd.		5,656		3,650
Cummins Inc.		124		13,571
Eaton Corp.		168		9,325
Honeywell International Inc.		202		12,079
Hutchison Port Holdings Trust (c)		112		111
Hutchison Whampoa Ltd.		1,562		18,494
Tata Motors Ltd.		505		14,148
Volvo AB - Class B		776		13,640

				110,621
INFORMATION TECHNOLOGY - 19.1%
Apple Inc. (c) (o)		125		43,399
ARM Holdings Plc - ADR		172		4,842
ASML Holding NV (c)		361		15,907
Baidu.com - ADR (c)		248		34,108
Broadcom Corp. (c)		321		12,621


	Shares/Par (p)		Value
Cognizant Technology Solutions Corp. - Class A (c) (o)		396		32,226
eBay Inc. (c)		102		3,166
First Solar Inc. (c)		71		11,404
Google Inc. - Class A (c)		36		21,338
Juniper Networks Inc. (c)		369		15,532
NetApp Inc. (c) (o)		477		22,987
Oracle Corp.		386		12,864
Tencent Holdings Ltd.		655		15,967

				246,361
MATERIALS - 1.0%
PTT Chemical PCL		1,373		6,721
Teck Resources Ltd.		112		5,931

				12,652

Total Common Stocks (cost $895,031)				1,053,450

PREFERRED STOCKS - 5.2%
CONSUMER DISCRETIONARY - 4.8%
Volkswagen AG		340		55,250
Volkswagen AG Rights,
Convertible Preferred (r)		42		6,838

				62,088
INDUSTRIALS - 0.4%
Volvo (r)		258		4,535

Total Preferred Stocks (cost $49,665)				66,623

PURCHASED OPTIONS - 0.0%
Brazil Bovespa Index Put Option, Strike Price
61,600, Expiration 04/13/11 (f) (v)		211		8

Total Options (cost $165)				8

PRECIOUS METALS - 9.7%
Gold Bullion		87,822		125,972

Total Precious Metals (cost $111,177)				125,972

SHORT TERM INVESTMENTS - 4.2%
Investment Company - 4.2%
JNL Money Market Fund, 0.08% (a) (h)		54,743		54,743

Total Short Term Investments (cost $54,743)				54,743

Total Investments - 100.6% (cost $1,110,781)				1,300,796
Other Assets and Liabilities, Net - (0.6%)				(8,023	)

Total Net Assets - 100.0%			$	1,292,773

JNL/JPMorgan International Value Fund
COMMON STOCKS - 96.0%
CONSUMER DISCRETIONARY - 7.7%
Bridgestone Corp.		247	$	5,165
Daimler AG (c) (e)		131		9,267
InterContinental Hotels Group Plc		359		7,352
Nissan Motor Co. Ltd. (e)		776		6,886
PPR SA		44		6,690
Sodexo SA		95		6,935
Toyota Motor Corp.		148		5,952


	Shares/Par (p)		Value
Vivendi SA		113		3,235

				51,482
CONSUMER STAPLES - 3.7%
British American Tobacco Plc		186		7,479
Japan Tobacco Inc.		2		7,435
Shiseido Co. Ltd. (e)		66		1,137
Unilever NV		274		8,588

				24,639
ENERGY - 9.3%
BP Plc		1,862		13,558
Cairn Energy Plc (c)		675		5,007
China Shenhua Energy Co. Ltd.		731		3,444
JX Holdings Inc.		1,336		8,995
Royal Dutch Shell Plc		776		28,180
Tullow Oil Plc		149		3,456

				62,640
FINANCIALS - 26.9%
African Bank Investments Ltd.		923		5,167
Allianz SE		88		12,353
Aviva Plc		1,085		7,532
Banco Bilbao Vizcaya Argentaria SA (e)		829		10,057
Barclays Plc		2,047		9,113
BNP Paribas SA		115		8,448
China Merchants Bank Co. Ltd. (e)		2,072		5,740
DnB NOR ASA		494		7,582
Erste Group Bank AG		144		7,282
HSBC Holdings Plc		634		6,524
ING Groep NV (c)		1,196		15,133
KBC Groep NV (c)		184		6,903
Lloyds Banking Group Plc (c)		5,837		5,439
Man Group Plc		1,069		4,218
QBE Insurance Group Ltd. (e)		221		4,031
Societe Generale		142		9,246
Standard Chartered Plc		190		4,935
Sumitomo Mitsui Financial Group Inc.		466		14,488
Sun Hung Kai Properties Ltd.		366		5,797
Swedbank AB (e)		348		5,957
UBS AG (c)		334		5,986
UniCredit SpA		3,478		8,596
Zurich Financial Services AG (c)		33		9,246

				179,773
HEALTH CARE - 6.0%
Bayer AG		158		12,310
GlaxoSmithKline Plc		600		11,448
Sanofi-Aventis SA		233		16,336

				40,094
INDUSTRIALS - 14.5%
Amada Co. Ltd.		548		4,572
Bouygues SA		99		4,739
Cookson Group Plc (c)		309		3,418
East Japan Railway Co.		93		5,143
Experian Plc		456		5,641
Hamburger Hafen und Logistik AG (e)		76		3,504
Hutchison Whampoa Ltd.		528		6,252
Koninklijke Philips Electronics NV (e)		143		4,575
Marubeni Corp.		673		4,846
Mitsubishi Electric Corp.		604		7,131
Mitsui & Co. Ltd.		532		9,532
Nippon Sheet Glass Co. Ltd.		955		2,755
Ruukki Group Oyj (c) (e)		583		1,497
Schneider Electric SA		68		11,694
Siemens AG		98		13,406


	Shares/Par (p)		Value
Sumitomo Corp. (e)		575		8,218

				96,923
INFORMATION TECHNOLOGY - 4.9%
FUJIFILM Holdings Corp.		262		8,102
Fujitsu Ltd. (e)		986		5,571
HON HAI Precision Industry Co. Ltd.		1,279		4,480
Nintendo Co. Ltd.		13		3,404
Ricoh Co. Ltd. (e)		243		2,851
Samsung Electronics Co. Ltd.		10		8,234

				32,642
MATERIALS - 6.0%
First Quantum Minerals Ltd. (e)		71		9,206
Holcim Ltd.		88		6,666
Lanxess AG		77		5,729
Petropavlovsk Plc		152		2,431
Rhodia SA		278		8,125
UPM-Kymmene Oyj		373		7,877

				40,034
TELECOMMUNICATION SERVICES - 9.9%
BT Group Plc		1,682		5,008
KDDI Corp.		2		10,519
Koninklijke KPN NV		552		9,406
Nippon Telegraph & Telephone Corp.		150		6,713
Singapore Telecommunications Ltd.		2,309		5,532
Telefonica SA		387		9,686
Vodafone Group Plc		6,766		19,159

				66,023
UTILITIES - 7.1%
Centrica Plc		1,748		9,123
Enel SpA		1,531		9,652
GDF Suez		401		16,355
International Power Plc		935		4,621
Snam Rete Gas SpA (e)		1,402		7,881

				47,632

Total Common Stocks (cost $575,681)				641,882

PREFERRED STOCKS - 1.5%
CONSUMER DISCRETIONARY - 1.5%
Volkswagen AG		62		10,008

Total Preferred Stocks (cost $6,358)				10,008

SHORT TERM INVESTMENTS - 11.9%
Investment Company - 3.4%
JNL Money Market Fund, 0.08% (a) (h)		22,824		22,824
Securities Lending Collateral - 8.5%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		56,133		56,133
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		708		691

				56,824

Total Short Term Investments (cost $79,665)				79,648

Total Investments - 109.4% (cost $661,704)				731,538
Other Assets and Liabilities, Net - (9.4%) (o)				(62,775	)

Total Net Assets - 100.0%			$	668,763


	Shares/Par (p)		Value
JNL/JPMorgan Mid Cap Growth Fund
COMMON STOCKS - 97.7%
CONSUMER DISCRETIONARY - 18.1%
Cheesecake Factory Inc. (c)		58	$	1,751
Coach Inc.		72		3,747
Dick’s Sporting Goods Inc. (c)		108		4,314
Gaylord Entertainment Co. (c)		46		1,592
Gentex Corp.		78		2,347
Harley-Davidson Inc.		134		5,672
Harman International Industries Inc.		65		3,048
International Game Technology		126		2,044
Lamar Advertising Co. - Class A (c)		96		3,532
MGM Resorts International (c)		89		1,170
O’Reilly Automotive Inc. (c)		47		2,718
OfficeMax Inc. (c)		137		1,777
Panera Bread Co. - Class A (c)		15		1,905
Polo Ralph Lauren Corp. - Class A		18		2,275
Priceline.com Inc. (c)		6		2,937
Scripps Networks Interactive Inc. - Class A		69		3,456
Sirius XM Radio Inc. (c) (e)		1,379		2,290
Sotheby’s - Class A		41		2,141
Starwood Hotels & Resorts Worldwide Inc.		48		2,813

				51,529
ENERGY - 6.6%
Cameron International Corp. (c)		67		3,832
CARBO Ceramics Inc.		23		3,189
Concho Resources Inc. (c)		57		6,138
Forest Oil Corp. (c)		72		2,735
Newfield Exploration Co. (c)		37		2,797

				18,691
FINANCIALS - 9.3%
AON Corp.		58		3,054
Apollo Global Management LLC (c) (f)		73		1,321
BOK Financial Corp.		46		2,393
Comerica Inc.		57		2,104
Invesco Ltd.		133		3,410
Lazard Ltd. - Class A		79		3,293
LPL Investment Holdings Inc. (c)		23		809
Moody’s Corp.		69		2,340
Och-Ziff Capital Management Group LLC - Class A		93		1,512
T. Rowe Price Group Inc.		59		3,948
TD Ameritrade Holding Corp.		118		2,472

				26,656
HEALTH CARE - 13.3%
Alexion Pharmaceuticals Inc. (c)		31		3,099
Brookdale Senior Living Inc. (c)		123		3,450
Cerner Corp. (c)		21		2,286
Coventry Health Care Inc. (c)		119		3,798
DaVita Inc. (c)		47		4,053
Humana Inc. (c)		56		3,917
Illumina Inc. (c)		31		2,193
Lincare Holdings Inc.		124		3,666
Sirona Dental Systems Inc. (c)		58		2,904
Thoratec Corp. (c)		94		2,440
Valeant Pharmaceuticals International Inc.		121		6,007

				37,813
INDUSTRIALS - 19.5%
AGCO Corp. (c)		43		2,353
Avis Budget Group Inc. (c)		171		3,059
Carlisle Cos. Inc.		88		3,911
Cummins Inc.		61		6,646


	Shares/Par (p)		Value
Delta Air Lines Inc. (c)		322		3,159
Goodrich Corp.		40		3,455
Hubbell Inc. - Class B		49		3,466
IHS Inc. - Class A (c)		34		3,000
JB Hunt Transport Services Inc.		67		3,034
Lennox International Inc.		46		2,413
Robert Half International Inc.		80		2,451
Rockwell Automation Inc.		44		4,146
Roper Industries Inc.		31		2,653
Stericycle Inc. (c)		37		3,277
Wabtec Corp.		60		4,043
WW Grainger Inc.		33		4,530

				55,596
INFORMATION TECHNOLOGY - 28.5%
Adobe Systems Inc. (c)		98		3,256
Agilent Technologies Inc. (c)		128		5,745
Alliance Data Systems Corp. (c) (e)		40		3,453
Amphenol Corp. - Class A		65		3,512
Autodesk Inc. (c)		82		3,608
Broadcom Corp. - Class A (c)		65		2,555
CGI Group Inc. - Class A (c)		116		2,426
Citrix Systems Inc. (c)		28		2,020
Concur Technologies Inc. (c)		35		1,924
Equinix Inc. (c)		19		1,767
F5 Networks Inc. (c)		29		2,923
FleetCor Technologies Inc. (c)		49		1,613
JDS Uniphase Corp. (c)		135		2,818
Juniper Networks Inc. (c)		78		3,299
Marvell Technology Group Ltd. (c)		102		1,591
Microchip Technology Inc. (e)		79		3,014
Micros Systems Inc. (c)		59		2,911
NetApp Inc. (c)		91		4,384
Nuance Communications Inc. (c)		103		2,021
Polycom Inc. (c)		49		2,515
Red Hat Inc. (c)		59		2,678
Riverbed Technology Inc. (c)		55		2,086
Salesforce.com Inc.		23		3,006
TE Connectivity Ltd.		126		4,384
Varian Semiconductor Equipment Associates Inc. (c)		78		3,777
VeriFone Holdings Inc. (c)		46		2,544
Xilinx Inc.		100		3,287
Zebra Technologies Corp. - Class A (c)		59		2,331

				81,448
MATERIALS - 2.4%
Grief Inc. - Class A		44		2,865
Sherwin-Williams Co.		49		4,115

				6,980

Total Common Stocks (cost $221,641)				278,713

SHORT TERM INVESTMENTS - 4.5%
Investment Company - 2.3%
JNL Money Market Fund, 0.08% (a) (h)		6,519		6,519
Securities Lending Collateral - 2.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		5,983		5,983
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		352		343

				6,326

Total Short Term Investments (cost $12,854)				12,845


	Shares/Par (p)		Value
Total Investments - 102.2% (cost $234,495)				291,558
Other Assets and Liabilities, Net - (2.2%)				(6,291	)

Total Net Assets - 100.0%			$	285,267

JNL/JPMorgan U.S. Government & Quality Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 3.2%
ACE Securities Corp. REMIC, 0.38%, 02/25/31 (i)	$	354	$	284
AH Mortgage Advance Trust REMIC, 4.21%, 05/10/11 (r)		2,219		2,225
Banc of America Commercial Mortgage Inc. REMIC, 6.62%, 09/11/36 (i) (q)		2,007		2,179
CompuCredit Acquired Portfolio Voltage Master Trust, 0.43%, 09/15/18 (i) (q)		405		371
Conseco Financial Corp. REMIC, 7.07%, 01/15/29		132		139
Countrywide Alternative Loan Trust REMIC
0.46%, 07/20/46 (i)		1,172		523
0.45%, 12/20/46 (i)		1,412		804
Countrywide Home Equity Loan Trust, 0.55%, 02/15/34 (i)		581		363
Credit Suisse First Boston Mortgage Securities Corp. REMIC, 6.00%, 09/25/34		1,116		1,177
IndyMac Seconds Asset Backed Trust REMIC, 0.38%, 06/25/36 (i)		958		106
LB-UBS Commercial Mortgage Trust REMIC, 5.35%, 11/15/38		2,520		2,666
MASTR Adjustable Rate Mortgages Trust REMIC, 2.29%, 02/25/34 (i)		732		626
Morgan Stanley Mortgage Loan Trust REMIC, 2.66%, 10/25/34 (i)		597		565
NCUA Guaranteed Notes, 1.60%, 10/29/20		2,407		2,347
Nomura Asset Acceptance Corp. REMIC, 6.50%, 03/25/34 (r)		4,675		4,726
Provident Funding Mortgage Loan Trust
REMIC, 2.81%, 10/25/35 (i)		482		451
SACO I Inc. REMIC, 0.51%, 06/25/36 (i)		390		126
Structured Asset Mortgage Investments Inc.
REMIC, 0.46%, 08/25/36 (i)		1,443		909
Vendee Mortgage Trust REMIC, 6.75%, 02/15/31		2,718		2,991
Wells Fargo Mortgage Backed Securities Trust REMIC
5.50%, 04/25/22		4,635		4,818
6.00%, 06/25/37		857		837

Total Non-U.S. Government Agency Asset- Backed Securities (cost $31,942)				29,233

CORPORATE BONDS AND NOTES - 0.7%
FINANCIALS - 0.7%
General Electric Capital Corp., 3.00%, 12/09/11		2,500		2,547
Morgan Stanley, 3.25%, 12/01/11 (e)		2,500		2,550
Wells Fargo & Co., 3.00%, 12/09/11 (e)		1,525		1,553

Total Corporate Bonds and Notes (cost $6,523)				6,650


	Shares/Par (p)		Value
GOVERNMENT AND AGENCY OBLIGATIONS - 88.2%
GOVERNMENT SECURITIES - 31.0%
Federal Farm Credit Bank - 0.9% (w)
Federal Farm Credit Bank, 5.75%, 12/07/28		7,000		7,887
Federal Home Loan Bank - 1.7% (w)
Federal Home Loan Bank
4.88%, 05/17/17 (e)		10,000		11,128
5.25%, 12/11/20		4,500		4,973

				16,101
Federal National Mortgage Association - 2.4% (w)
Federal National Mortgage Association, 0.00%,
10/09/19 - 11/15/20 (j)		33,000		22,284

				22,284
Sovereign - 3.1%
Financing Corp. Fico, 0.00%, 04/05/19 (j)		5,000		3,751
Israel Government AID Bond, 0.00%,
11/01/21 (j)		10,000		6,394
Residual Funding Strip Principal, 0.00%,
10/15/19 (j)		3,800		2,805
Residual Funding Strip Principal
0.00%,07/15/20 (j)		6,750		4,733
0.00%,01/15/30 (e) (j)		5,660		2,299
Tennessee Valley Authority Generic Strip,
0.00%, 01/15/21 - 07/15/21 (j)		14,487		9,265

				29,247
Treasury Inflation Index Securities - 2.7%
U.S. Treasury Inflation Indexed Note
1.38%, 07/15/18 (n)		15,319		16,311
2.00%, 01/15/26 (e) (n)		5,748		6,135
2.38%, 01/15/27 (n)		2,195		2,444

				24,890
U.S. Treasury Securities - 20.2%
U.S. Treasury Bond
0.00%,08/15/21 (e) (j)		25,000		16,816
5.25%, 11/15/28 (e)		20,000		22,516
5.25%, 02/15/29		10,000		11,262
5.38%, 02/15/31		13,000		14,867
U.S. Treasury Note
4.63%, 02/15/17		22,000		24,521
4.75%, 08/15/17		17,000		19,056
3.38%, 11/15/19		50,000		50,547
2.63%, 08/15/20		30,000		28,144

				187,729
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 57.2%
Federal Home Loan Mortgage Corp. - 22.1%
Federal Home Loan Mortgage Corp.
7.00%, 07/01/11 - 08/01/32		238		274
6.50%, 08/01/13		4		4
8.00%, 07/01/20		17		19
6.00%, 11/01/28		211		232
5.00%, 08/01/33 - 12/01/34		4,537		4,779
5.25%, 12/01/35 (i)		3,681		3,899
5.52%, 01/01/37 (i)		354		373
REMIC, 5.00%, 10/15/17 - 08/15/39		97,225		103,493
REMIC, 4.50%, 06/15/18 - 07/15/34		33,283		35,150
REMIC, 5.50%, 01/15/27 - 07/15/40		47,180		50,907
REMIC, 4.00%, 06/15/36		5,000		4,723
REMIC, 6.00%, 07/15/37		2,000		2,186

				206,039
Federal National Mortgage Association - 27.4%
Federal National Mortgage Association
12.50%, 09/20/15 - 01/15/16		3		4


	Shares/Par (p)		Value
12.00%, 01/01/16 - 01/15/16		19		22
5.00%, 02/01/19 - 12/01/39		30,917		32,629
11.50%, 09/01/19		—		—
10.50%, 08/01/20		4		4
4.00%, 02/01/25 - 09/01/25		24,531		25,256
6.50%, 03/01/26 - 03/01/36		2,138		2,406
7.00%, 05/01/26 - 01/01/30		21		24
8.00%, 07/01/29 - 03/01/31		155		182
6.00%, 02/01/31 - 12/01/36		26,482		29,170
7.50%, 02/01/31		24		28
5.50%, 02/01/35 - 10/01/36		17,419		18,768
REMIC, 5.00%, 05/25/18 - 09/25/39		37,209		39,489
REMIC, 4.00%, 01/25/19 - 04/25/30		28,000		27,176
REMIC, 4.50%, 04/25/23 - 02/25/40		27,826		28,992
REMIC, 3.50%, 07/25/33		1,920		1,979
REMIC, 5.50%, 12/25/34 - 11/25/35		16,064		17,544
REMIC, 11.03%, 02/25/40 (i)		1,031		1,063
REMIC, 7.50%, 12/25/41		10,084		11,530
REMIC, 5.75%, 06/25/42		2,741		2,959
REMIC, 4.68%, 06/25/43		7,702		7,895
REMIC, 6.00%, 12/25/49		2,816		3,104
Federal National Mortgage Association Strip Principal REMIC, 0.00%, 04/25/36 (j)		6,211		5,208

				255,432
Government National Mortgage Association - 7.7%
Government National Mortgage Association
6.00%, 04/15/29 - 01/15/36		3,344		3,702
REMIC, 6.50%, 06/20/28 - 06/16/31		4,388		4,812
REMIC, 5.00%, 09/20/32 - 11/20/36		10,518		11,270
REMIC, 5.50%, 03/20/33 - 02/16/38		25,610		27,325
REMIC, 6.00%, 12/16/33		3,087		3,242
REMIC, 3.00%, 04/20/39		9,909		9,917
REMIC, 4.50%, 06/20/39		10,000		9,997
Government National Mortgage Association Interest Only REMIC
6.50%, 11/20/34		348		18
6.15%, 05/16/38 (i)		7,752		1,171

				71,454

Total Government and Agency Obligations (cost $784,703)				821,063

SHORT TERM INVESTMENTS - 10.0%
Investment Company - 7.6%
JNL Money Market Fund, 0.08% (a) (h)		70,898		70,898
Securities Lending Collateral - 2.4%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		19,956		19,956
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		2,663		2,600

				22,556

Total Short Term Investments (cost $93,517)				93,454

Total Investments - 102.1% (cost $916,685)				950,400
Other Assets and Liabilities, Net - (2.1%)				(19,144	)

Total Net Assets - 100.0%			$	931,256

JNL/Lazard Emerging Markets Fund


	Shares/Par (p)		Value
COMMON STOCKS - 93.0%
CONSUMER DISCRETIONARY - 5.1%
Desarrolladora Homex SAB de CV
- ADR (c) (e)		257	$	7,014
Grupo Televisa SA - ADR (c)		596		14,613
Hyundai Mobis		64		19,219
Truworths International Ltd.		1,510		15,741
Woongjin Coway Co. Ltd.		421		14,541

				71,128
CONSUMER STAPLES - 12.2%
British American Tobacco Malaysia Bhd		510		8,091
Cia de Bebidas das Americas - ADR		537		15,194
Eastern Tobacco		280		4,942
Fomento Economico Mexicano SAB de CV - ADR		176		10,338
Hite Brewery Co. Ltd.		61		6,050
Kimberly-Clark de Mexico SAB de CV (e)		1,475		9,177
KT&G Corp.		388		20,209
Magnit OJSC - GDR		370		11,215
Massmart Holdings Ltd.		589		12,205
Natura Cosmeticos SA		690		19,431
Oriflame Cosmetics SA - SDR (e)		227		11,722
Shoprite Holdings Ltd.		1,081		16,588
Souza Cruz SA		1,330		13,849
Tiger Brands Ltd.		474		12,270

				171,281
ENERGY - 5.0%
Banpu Public Co. Ltd.		723		18,351
LUKOIL OAO - ADR		46		3,328
Oil & Gas Development Co. Ltd.		4,432		7,040
Pakistan Petroleum Ltd.		3,917		9,697
Tambang Batubara Bukit Asam Tbk PT		4,390		10,588
YPF SA - ADR		472		21,003

				70,007
FINANCIALS - 22.1%
Akbank T.A.S.		3,576		17,371
Banco do Brasil SA		2,770		49,972
Bank Mandiri Persero Tbk PT		16,382		12,793
Bank of India		1,414		15,071
China Construction Bank Corp.		15,768		14,778
Commercial International Bank		1,861		10,194
Kasikornbank PCL		2,347		10,206
KB Financial Group Inc.		225		11,820
Korea Life Insurance Co. Ltd. (c)		2,668		18,434
Nedbank Group Ltd.		628		13,129
OTP Bank Rt (c) (e)		521		15,420
Punjab National Bank Ltd.		1,184		32,189
Sanlam Ltd.		3,540		14,441
Shinhan Financial Group Co. Ltd.		699		31,751
Standard Bank Group Ltd.		793		12,197
Turkiye Is Bankasi SA		9,528		30,484

				310,250
INDUSTRIALS - 7.0%
Bharat Heavy Electricals Ltd.		384		17,747
Bidvest Group Ltd.		590		12,976
Cia de Concessoes Rodoviarias		407		11,883
KOC Holding AS		2,467		11,473
Murray & Roberts Holdings Ltd.		2,110		8,278
Orascom Construction Industries		379		15,629
United Tractors Tbk PT		4,346		10,832
Weichai Power Co. Ltd. (e)		1,634		9,926

				98,744


	Shares/Par (p)		Value
INFORMATION TECHNOLOGY - 16.3%
Cielo SA		4,829		40,993
Delta Electronics Inc.		2,441		9,670
HON HAI Precision Industry Co. Ltd. - GDR		2,565		18,263
HTC Corp.		299		11,697
Infosys Technologies Ltd. - ADR		143		10,239
MediaTek Inc.		1,590		18,275
Netease.com - ADR (c)		217		10,724
NHN Corp. (c)		104		18,149
Redecard SA		3,149		46,191
Samsung Electronics Co. Ltd.		31		26,066
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR		1,540		18,759

				229,026
MATERIALS - 14.3%
		136		1,709
Cia Siderurgica Nacional SA - ADR		1,250		20,832
First Quantum Minerals Ltd. (e)		181		23,363
Grupo Mexico SAB de CV		5,940		22,274
Huabao International Holdings Ltd.		7,670		11,793
Jindal Steel & Power Ltd.		1,060		16,577
Kumba Iron Ore Ltd. (e)		286		20,234
Pretoria Portland Cement Co. Ltd.		2,668		9,466
Semen Gresik Persero Tbk PT		11,764		12,294
Uralkali - GDR		394		16,325
Vale SA - ADR		1,359		45,309

				200,176
TELECOMMUNICATION SERVICES - 9.5%
America Movil SAB de CV - ADR		366		21,236
Egyptian Co. for Mobile Services		186		4,915
Mobile Telesystems - ADR		1,341		28,479
Philippine Long Distance Telephone Co. - ADR		481		25,728
PT Telekomunikasi Indonesia - ADR		813		27,296
Turkcell Iletisim Hizmet AS		4,392		25,997

				133,651
UTILITIES - 1.5%
		3,280		1,469
Companhia Energetica de Minas Gerais - ADR		981		18,909

				20,378

Total Common Stocks (cost $1,125,637)				1,304,641

PREFERRED STOCKS - 2.0%
ENERGY - 0.5%
Ultrapar Participacoes SA		462		7,649
MATERIALS - 1.5%
Usinas Siderurgicas de Minas Gerais SA,
Class A		1,626		19,645
Vale Fertilizantes SA		101		978

				20,623

Total Preferred Stocks (cost $28,959)				28,272

SHORT TERM INVESTMENTS - 7.0%
Investment Company - 4.2%
JNL Money Market Fund, 0.08% (a) (h)		58,868		58,868
Securities Lending Collateral - 2.8%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		38,206		38,206


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		674		658

				38,864

Total Short Term Investments (cost $97,748)				97,732

Total Investments - 102.0% (cost $1,252,344)				1,430,645
Other Assets and Liabilities, Net - (2.0%)				(28,195	)

Total Net Assets - 100.0%			$	1,402,450

JNL/Lazard Mid Cap Equity Fund
COMMON STOCKS - 96.2%
CONSUMER DISCRETIONARY - 16.9%
AutoZone Inc. (c)		15	$	4,158
Cablevision Systems Corp. - Class A		75		2,589
Darden Restaurants Inc.		70		3,444
DeVry Inc.		70		3,833
DreamWorks Animation SKG Inc. (c)		62		1,743
International Game Technology		206		3,335
Interpublic Group of Cos. Inc.		105		1,322
Lear Corp.		67		3,265
Mattel Inc.		110		2,745
Newell Rubbermaid Inc.		291		5,575
Ross Stores Inc.		23		1,643
Sirius XM Radio Inc. (c) (e)		542		900
Stanley Black & Decker Inc.		34		2,581
TJX Cos. Inc.		32		1,601

				38,734
CONSUMER STAPLES - 6.6%
Avon Products Inc.		61		1,647
Campbell Soup Co.		80		2,659
Energizer Holdings Inc. (c)		—		28
Molson Coors Brewing Co. - Class B		128		5,979
Ralcorp Holdings Inc. (c) (e)		72		4,906

				15,219
ENERGY - 8.7%
Arch Coal Inc.		60		2,162
EQT Corp.		84		4,167
Noble Energy Inc.		22		2,165
Rowan Cos. Inc. (c)		91		4,020
Tidewater Inc.		61		3,669
Williams Cos. Inc.		123		3,845

				20,028
FINANCIALS - 13.4%
Ameriprise Financial Inc.		93		5,662
City National Corp.		59		3,343
Fifth Third Bancorp		177		2,462
Invesco Ltd.		176		4,501
KeyCorp		177		1,569
Macerich Co.		52		2,556
NYSE Euronext		32		1,125
PartnerRe Ltd.		39		3,059
Principal Financial Group Inc.		104		3,330
Weingarten Realty Investors		130		3,248

				30,855
HEALTH CARE - 9.1%
CareFusion Corp. (c)		105		2,950
Dentsply International Inc.		43		1,583
Healthsouth Corp. (c)		63		1,574
Hospira Inc. (c)		47		2,600


	Shares/Par (p)		Value
Laboratory Corp. of America Holdings (c)		21		1,962
Life Technologies Corp. (c)		56		2,945
Medicis Pharmaceutical Corp.		36		1,144
Warner Chilcott Plc - Class A		128		2,977
Zimmer Holdings Inc. (c)		52		3,160

				20,895
INDUSTRIALS - 14.4%
Corrections Corp. of America (c)		128		3,123
Dover Corp.		121		7,942
Equifax Inc.		119		4,619
Foster Wheeler AG (c)		57		2,137
Joy Global Inc.		22		2,184
Parker Hannifin Corp.		52		4,933
Rockwell Collins Inc.		86		5,601
Thomas & Betts Corp. (c)		45		2,670

				33,209
INFORMATION TECHNOLOGY - 15.0%
Amdocs Ltd. (c)		94		2,709
Analog Devices Inc.		71		2,796
AOL Inc. (c)		56		1,090
BMC Software Inc. (c)		83		4,129
Ingram Micro Inc. - Class A (c)		228		4,784
Intuit Inc. (c)		45		2,411
Lender Processing Services Inc.		50		1,603
Motorola Mobility Holdings Inc. (c)		60		1,459
Quest Software Inc. (c)		73		1,846
Symantec Corp. (c)		180		3,337
Teradata Corp. (c)		47		2,388
Teradyne Inc. (c)		153		2,730
Xilinx Inc.		97		3,165

				34,447
MATERIALS - 8.1%
Ball Corp.		142		5,073
Cliffs Natural Resources Inc.		29		2,860
Compass Minerals International Inc.		39		3,601
Eastman Chemical Co.		23		2,284
Rock-Tenn Co. (e)		40		2,753
United States Steel Corp.		39		2,093

				18,664
UTILITIES - 4.0%
CMS Energy Corp.		118		2,311
Energen Corp.		74		4,646
Wisconsin Energy Corp.		75		2,278

				9,235

Total Common Stocks (cost $184,949)				221,286

PREFERRED STOCKS - 0.4%
INDUSTRIALS - 0.4%
Better Place (f) (q)		338		1,015

Total Preferred Stocks (cost $1,015)				1,015

SHORT TERM INVESTMENTS - 6.6%
Investment Company - 3.1%
JNL Money Market Fund, 0.08% (a) (h)		7,087		7,087
Securities Lending Collateral - 3.5%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		7,740		7,740


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		361		352

				8,092

Total Short Term Investments (cost $15,188)				15,179

Total Investments - 103.2% (cost $201,152)				237,480
Other Assets and Liabilities, Net - (3.2%)				(7,471	)

Total Net Assets - 100.0%			$	230,009

JNL/M&G Global Basics Fund
COMMON STOCKS - 96.2%
CONSUMER DISCRETIONARY - 5.3%
Compagnie des Alpes (e)		64	$	2,057
Compagnie Financiere Richemont SA		5		311
Hongkong & Shanghai Hotels		3,381		6,198
Yum! Brands Inc.		126		6,448

				15,014
CONSUMER STAPLES - 18.7%
Agrana Beteiligungs AG		42		4,810
Baron de Ley SA (c) (e)		22		1,456
Colgate-Palmolive Co.		89		7,147
Elizabeth Arden Inc. (c)		90		2,695
Kerry Group Plc		170		6,345
Kirin Holdings Co. Ltd.		307		4,034
Marico Ltd.		418		1,306
Nestle SA		25		1,457
Petra Foods Ltd.		264		335
Pilgrim’s Pride Corp. (c)		153		1,178
PZ Cussons Plc		1,080		5,659
Unilever Plc		286		8,711
Wimm-Bill-Dann Foods OJSC - ADR (c)		172		5,767
Yakult Honsha Co. Ltd. (e)		74		1,879

				52,779
ENERGY - 14.0%
Aquila Resources Ltd. (c) (e)		815		7,874
Chevron Corp.		114		12,242
Equatorial Resources Ltd. (c)		223		695
Nexus Energy Ltd. (c)		4,073		2,022
Santos Ltd.		205		3,300
Tap Oil Ltd. (c)		259		296
Tullow Oil Plc		565		13,132

				39,561
FINANCIALS - 2.6%
AMMB Holdings Bhd		3,452		7,398
HEALTH CARE - 3.8%
Ansell Ltd.		622		8,701
Genus Plc		63		953
Mesoblast Ltd. (c) (e)		129		964

				10,618
INDUSTRIALS - 15.9%
Acuity Brands Inc.		51		2,983
All America Latina Logistica SA		317		2,610
DP World Ltd.		4,951		2,946
Flowserve Corp.		5		631
Fluor Corp.		83		6,143
Fraser and Neave Ltd.		2,328		11,100
G4S Plc		1,515		6,208
Noble Group Ltd. (e)		4,542		7,711


	Shares/Par (p)		Value
United Technologies Corp.		38		3,174
Wienerberger AG (c) (e)		64		1,295

				44,801
MATERIALS - 35.9%
Alacer Gold Corp. (c)		188		1,723
AMCOL International Corp.		78		2,821
Boral Ltd. (e)		1,221		6,315
Centerra Gold Inc.		255		4,575
Cudeco Ltd. (c) (e) (f)		219		699
Eramet		24		9,001
Harry Winston Diamond Corp. (c)		91		1,473
Hochschild Mining Plc (e)		480		4,968
Iluka Resources Ltd.		977		13,438
Imerys SA		116		8,523
K+S AG		112		8,523
Lonmin Plc		177		4,822
Monsanto Co.		59		4,292
OZ Minerals Ltd.		3,419		5,641
Panoramic Resources Ltd. (e)		368		863
Resolute Mining Ltd. (c)		999		1,286
Scotts Miracle-Gro Co. - Class A		94		5,432
SEMAFO Inc. (c)		69		663
Sherritt International Corp.		501		4,114
Sims Metal Management Ltd. (e)		82		1,479
St. Barbara Ltd. (c) (e)		217		489
Symrise AG		292		8,593
Uralkali - GDR (e)		14		580
White Energy Co. Ltd. (c) (e)		278		892

				101,205

Total Common Stocks (cost $226,701)				271,376

PREFERRED STOCKS - 0.1%
INDUSTRIALS - 0.1%
Villeroy & Boch AG		26		210

Total Preferred Stocks (cost $189)				210

SHORT TERM INVESTMENTS - 7.5%
Investment Company - 3.3%
JNL Money Market Fund, 0.08% (a) (h)		9,292		9,292
Securities Lending Collateral - 4.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		11,797		11,797

Total Short Term Investments (cost $21,089)				21,089

Total Investments - 103.8% (cost $247,979)				292,675
Other Assets and Liabilities, Net - (3.8%)				(10,727	)

Total Net Assets - 100.0%			$	281,948

JNL/M&G Global Leaders Fund
COMMON STOCKS - 93.1%
CONSUMER DISCRETIONARY - 10.2%
CBS Corp.		28	$	706
Chico’s FAS Inc.		21		311
Harley-Davidson Inc.		11		472
Magna International Inc. (e)		6		288
MGM Resorts International (c)		18		243
Orient-Express Hotels Ltd. - Class A (c)		15		185
Pioneer Corp. (c)		70		290


	Shares/Par (p)		Value
Pulte Homes Inc. (c)		26		193
Time Warner Cable Inc.		8		542
Toyota Motor Corp.		13		504

				3,734
CONSUMER STAPLES - 7.0%
Foster’s Group Ltd.		81		478
Kerry Group Plc		10		377
Kobayashi Pharmaceutical Co. Ltd.		8		380
Lawson Inc.		7		333
Metro AG		7		511
Walgreen Co.		12		470

				2,549
ENERGY - 10.7%
Anadarko Petroleum Corp.		7		606
BP Plc		26		191
Forest Oil Corp. (c)		12		439
Hess Corp.		7		588
Marathon Oil Corp.		12		645
Repsol YPF SA		13		451
Sunoco Inc.		6		260
Talisman Energy Inc.		30		739

				3,919
FINANCIALS - 15.6%
Citigroup Inc. (c)		112		493
GAM Holding Ltd. (c)		29		550
HSBC Holdings Plc		40		415
ING Groep NV (c)		38		483
JPMorgan Chase & Co.		16		733
Krung Thai Bank PCL		594		362
Principal Financial Group Inc.		15		480
State Bank of India Ltd. - GDR		3		408
UBS AG (c)		30		537
Unum Group		16		417
Wells Fargo & Co.		27		843

				5,721
HEALTH CARE - 4.9%
Astellas Pharma Inc.		18		656
Haemonetics Corp. (c)		—		26
Pfizer Inc.		55		1,117

				1,799
INDUSTRIALS - 17.0%
ABM Industries Inc.		20		503
AGCO Corp. (c)		5		280
Deere & Co.		4		417
Fiat Industrial SpA (c)		25		356
Hutchison Whampoa Ltd.		56		663
ITT Corp.		9		540
JGC Corp.		11		258
Nidec Corp.		3		260
Norfolk Southern Corp.		7		459
Siemens AG		3		412
Snap-On Inc.		6		360
Spirit Aerosystems Holdings Inc. (c)		16		421
Timken Co.		7		382
Toyota Tsusho Corp.		19		307
UTi Worldwide Inc.		16		318
Vallourec SA		3		296

				6,232
INFORMATION TECHNOLOGY - 16.8%
Ancestry.com Inc. (c)		2		67
Celestica Inc. (c)		36		381
eBay Inc. (c)		29		891


	Shares/Par (p)		Value
Hewlett-Packard Co.		11		438
Hitachi Ltd.		117		609
Hoya Corp.		11		253
Microsoft Corp.		14		348
Nomura Research Institute Ltd.		22		483
Parametric Technology Corp. (c)		22		495
QUALCOMM Inc.		14		751
SAP AG		9		522
Yahoo! Inc. (c)		31		511
Yokogawa Electric Corp. (c)		50		383

				6,132
MATERIALS - 7.1%
AbitibiBowater Inc. (c)		13		341
Anglo American Plc		10		493
Boral Ltd. (e)		105		544
Koninklijke DSM NV		11		677
Sherritt International Corp.		22		179
ThyssenKrupp AG		9		375

				2,609
TELECOMMUNICATION SERVICES - 2.8%
China Communication Services Corp. Ltd.		606		368
SK Telecom Co. Ltd. - ADR		15		273
Vodafone Group Plc		131		371

				1,012
UTILITIES - 1.0%
EDP - Energias do Brasil SA		16		377

Total Common Stocks (cost $30,078)				34,084

PREFERRED STOCKS - 2.0%
INFORMATION TECHNOLOGY - 2.0%
Samsung Electronics Co. Ltd.		1		720

Total Preferred Stocks (cost $557)				720

SHORT TERM INVESTMENTS - 5.1%
Investment Company - 4.3%
JNL Money Market Fund, 0.08% (a) (h)		1,582		1,582
Securities Lending Collateral - 0.8%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		276		276

Total Short Term Investments (cost $1,858)				1,858

Total Investments - 100.2% (cost $32,493)				36,662
Other Assets and Liabilities, Net - (0.2%)				(71	)

Total Net Assets - 100.0%			$	36,591

JNL/Mellon Capital Management 10 x 10 Fund (b)
INVESTMENT COMPANIES - 100.1%
JNL/Mellon Capital Management Bond Index Fund (1.9%) (a)		2,304	$	27,091
JNL/Mellon Capital Management International Index Fund (2.2%) (a)		2,146		27,707
JNL/Mellon Capital Management JNL 5 Fund (3.9%) (a)		15,428		140,704
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (3.7%) (a)		1,942		29,408


	Shares/Par (p)		Value
JNL/Mellon Capital Management S&P 500 Index Fund (1.9%) (a)		2,526		28,287
JNL/Mellon Capital Management Small Cap Index Fund (3.6%) (a)		2,134		29,027

Total Investment Companies (cost $237,005)				282,224

Total Investments - 100.1% (cost $237,005)				282,224
Other Assets and Liabilities, Net - (0.1%)				(222	)

Total Net Assets - 100.0%			$	282,002

JNL/Mellon Capital Management Index 5 Fund (b)
INVESTMENT COMPANIES - 99.8%
JNL/Mellon Capital Management Bond Index Fund (5.3%) (a)		6,395	$	75,200
JNL/Mellon Capital Management International Index Fund (6.2%) (a)		5,957		76,911
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (10.2%) (a)		5,392		81,630
JNL/Mellon Capital Management S&P 500 Index Fund (5.1%) (a)		7,011		78,520
JNL/Mellon Capital Management Small Cap Index Fund (10.1%) (a)		5,924		80,573

Total Investment Companies (cost $320,483)				392,834

Total Investments - 99.8% (cost $320,483)				392,834
Other Assets and Liabilities, Net - 0.2%				703

Total Net Assets - 100.0%			$	393,537

JNL/Mellon Capital Management European 30 Fund
COMMON STOCKS - 96.8%
CONSUMER DISCRETIONARY - 6.5%
M6-Metropole Television SA		30	$	780
Next Plc		23		745

				1,525
CONSUMER STAPLES - 6.2%
Heineken Holding NV		17		799
Tesco Plc		108		663

				1,462
ENERGY - 13.4%
BP Plc		99		724
ENI SpA		33		812
Royal Dutch Shell Plc - Class B		22		794
Total SA		14		830

				3,160
FINANCIALS - 9.5%
BNP Paribas SA		11		830
Danske Bank A/S (c)		28		624
Zurich Financial Services AG (c)		3		781

				2,235
HEALTH CARE - 21.9%
Actelion Ltd. (c)		13		759


	Shares/Par (p)		Value
AstraZeneca Plc		16		728
GlaxoSmithKline Plc		37		709
Merck KGaA		9		816
Novartis AG		12		664
Roche Holding AG		5		702
Sanofi-Aventis SA		11		792

				5,170
INDUSTRIALS - 9.7%
A P Moller - Maersk A/S		—		753
BAE Systems Plc		140		731
Balfour Beatty Plc		148		816

				2,300
MATERIALS - 6.2%
Rio Tinto Plc		10		722
Svenska Cellulosa AB		46		738

				1,460
TELECOMMUNICATION SERVICES - 13.2%
France Telecom SA		35		776
Koninklijke KPN NV		49		843
Mobistar SA		11		772
Swisscom AG		2		730

				3,121
UTILITIES - 10.2%
Enel SpA		144		911
RWE AG		11		691
Snam Rete Gas SpA (e)		145		816

				2,418

Total Common Stocks (cost $22,158)				22,851

SHORT TERM INVESTMENTS - 3.7%
Investment Company - 0.4%
JNL Money Market Fund, 0.08% (a) (h)		94		94
Securities Lending Collateral - 3.3%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		768		768

Total Short Term Investments (cost $862)				862

Total Investments - 100.5% (cost $23,020)				23,713
Other Assets and Liabilities, Net - (0.5%)				(109	)

Total Net Assets - 100.0%			$	23,604

JNL/Mellon Capital Management Pacific Rim 30 Fund
COMMON STOCKS - 96.7%
CONSUMER STAPLES - 13.4%
FamilyMart Co. Ltd.		34	$	1,263
Metcash Ltd. (e)		301		1,294
Nissin Foods Holdings Co. Ltd. (e)		35		1,244
Woolworths Ltd.		46		1,274

				5,075
FINANCIALS - 24.4%
Australia & New Zealand Banking Group Ltd.		53		1,304
Bank of Yokohama Ltd.		244		1,159
Commonwealth Bank of Australia		24		1,319
Goodman Group		1,901		1,347


	Shares/Par (p)		Value
National Australia Bank Ltd.		52		1,394
United Overseas Bank Ltd.		89		1,328
Westpac Banking Corp.		56		1,400

				9,251
HEALTH CARE - 12.2%
Alfresa Holdings Corp.		29		1,095
Chugai Pharmaceutical Co. Ltd.		69		1,188
Daiichi Sankyo Co. Ltd.		58		1,116
Tsumura & Co.		39		1,227

				4,626
INDUSTRIALS - 9.9%
Cathay Pacific Airways Ltd.		459		1,100
Mitsui & Co. Ltd.		77		1,373
SembCorp Industries Ltd.		316		1,306

				3,779
MATERIALS - 6.6%
Amcor Ltd.		183		1,337
MacArthur Coal Ltd.		97		1,159

				2,496
TELECOMMUNICATION SERVICES - 13.1%
Nippon Telegraph & Telephone Corp.		28		1,257
NTT DoCoMo Inc. (e)		1		1,275
Telecom Corp. of New Zealand Ltd.		747		1,146
Telstra Corp. Ltd.		443		1,292

				4,970
UTILITIES - 17.1%
Chubu Electric Power Co. Inc.		52		1,145
Hongkong Electric Holdings Ltd.		201		1,344
Kansai Electric Power Co. Inc. (e)		51		1,117
Toho Gas Co. Ltd. (e)		253		1,305
Tokyo Electric Power Co. Inc.		52		289
Tokyo Gas Co. Ltd. (e)		285		1,302

				6,502

Total Common Stocks (cost $37,242)				36,699

INVESTMENT COMPANIES - 2.5%
Vanguard Pacific VIPERs		17		957

Total Investment Companies (cost $954)				957

SHORT TERM INVESTMENTS - 15.1%
Investment Company - 1.7%
JNL Money Market Fund, 0.08% (a) (h)		634		634
Securities Lending Collateral - 13.4%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		5,099		5,099

Total Short Term Investments (cost $5,733)				5,733

Total Investments - 114.3% (cost $43,929)				43,389
Other Assets and Liabilities, Net - (14.3%)				(5,412	)

Total Net Assets - 100.0%			$	37,977


	Shares/Par (p)		Value
JNL/Mellon Capital Management S&P 500 Index Fund
COMMON STOCKS - 95.3%
CONSUMER DISCRETIONARY - 10.0%
Abercrombie & Fitch Co. - Class A		10	$	594
Amazon.com Inc. (c)		43		7,749
Apollo Group Inc. - Class A (c)		15		625
AutoNation Inc. (c) (e)		8		287
AutoZone Inc. (c)		3		953
Bed Bath & Beyond Inc. (c)		31		1,519
Best Buy Co. Inc.		41		1,186
Big Lots Inc. (c)		9		388
Cablevision Systems Corp. - Class A		29		1,002
Carmax Inc. (c)		27		864
Carnival Corp.		52		1,986
CBS Corp. - Class B		81		2,037
Coach Inc.		36		1,890
Comcast Corp. - Class A		337		8,319
Darden Restaurants Inc.		17		826
DeVry Inc.		7		384
DirecTV - Class A (c)		96		4,493
Discovery Communications Inc. - Class A (c)		34		1,360
DR Horton Inc.		33		388
Expedia Inc.		24		546
Family Dollar Stores Inc.		15		792
Ford Motor Co. (c)		457		6,809
Fortune Brands Inc.		18		1,139
GameStop Corp. - Class A (c) (e)		20		440
Gannett Co. Inc.		28		432
Gap Inc.		55		1,245
Genuine Parts Co.		19		1,019
Goodyear Tire & Rubber Co. (c)		29		436
H&R Block Inc.		39		659
Harley-Davidson Inc.		28		1,198
Harman International Industries Inc.		8		369
Hasbro Inc.		17		774
Home Depot Inc.		198		7,325
International Game Technology		36		584
Interpublic Group of Cos. Inc.		58		728
J.C. Penney Co. Inc.		29		1,024
Johnson Controls Inc.		81		3,381
Kohl’s Corp.		37		1,949
Leggett & Platt Inc.		17		405
Lennar Corp. - Class A (e)		18		333
Limited Brands Inc.		31		1,026
Lowe’s Cos. Inc.		166		4,399
Macy’s Inc.		50		1,221
Marriott International Inc. - Class A		35		1,247
Mattel Inc.		42		1,056
McDonald’s Corp.		126		9,592
McGraw-Hill Cos. Inc.		38		1,484
NetFlix Inc. (c) (e)		5		1,241
Newell Rubbermaid Inc.		34		644
News Corp. - Class A		275		4,837
Nike Inc. - Class B		46		3,511
Nordstrom Inc.		20		900
O’Reilly Automotive Inc. (c)		17		951
Omnicom Group Inc.		36		1,766
Polo Ralph Lauren Corp. - Class A		8		979
Priceline.com Inc. (c)		6		2,999
Pulte Homes Inc. (c)		38		284
RadioShack Corp.		15		227
Ross Stores Inc.		15		1,033
Scripps Networks Interactive Inc. - Class A		11		537
Sears Holdings Corp. (c) (e)		5		453
Stanley Black & Decker Inc.		20		1,511


	Shares/Par (p)		Value
Staples Inc.		87		1,694
Starbucks Corp.		90		3,328
Starwood Hotels & Resorts Worldwide Inc.		23		1,318
Target Corp.		85		4,271
Tiffany & Co.		15		940
Time Warner Cable Inc.		42		2,963
Time Warner Inc.		134		4,776
TJX Cos. Inc.		48		2,409
Urban Outfitters Inc. (c)		16		465
VF Corp.		11		1,037
Viacom Inc. - Class B		73		3,377
Walt Disney Co.		229		9,881
Washington Post Co. - Class B (e)		1		287
Whirlpool Corp. (e)		9		783
Wyndham Worldwide Corp.		22		690
Wynn Resorts Ltd.		9		1,132
Yum! Brands Inc.		57		2,904

				152,590
CONSUMER STAPLES - 9.7%
Altria Group Inc.		252		6,555
Archer-Daniels-Midland Co.		77		2,766
Avon Products Inc.		51		1,385
Brown-Forman Corp. - Class B		13		885
Campbell Soup Co.		22		744
Clorox Co.		17		1,178
Coca-Cola Co.		277		18,393
Coca-Cola Enterprises Inc.		41		1,115
Colgate-Palmolive Co.		60		4,813
ConAgra Foods Inc.		53		1,264
Constellation Brands Inc. - Class A (c)		22		453
Costco Wholesale Corp.		53		3,863
CVS Caremark Corp.		165		5,669
Dean Foods Co. (c)		21		211
Dr. Pepper Snapple Group Inc.		27		1,014
Estee Lauder Cos. Inc. - Class A		14		1,325
General Mills Inc.		77		2,819
Hershey Co.		19		1,049
HJ Heinz Co.		39		1,889
Hormel Foods Corp.		16		449
JM Smucker Co.		14		1,029
Kellogg Co.		31		1,648
Kimberly-Clark Corp.		49		3,224
Kraft Foods Inc. - Class A		211		6,607
Kroger Co.		77		1,850
Lorillard Inc.		18		1,735
McCormick & Co. Inc.		16		764
Mead Johnson Nutrition Co.		24		1,411
Molson Coors Brewing Co. - Class B		19		868
PepsiCo Inc.		191		12,312
Philip Morris International Inc.		217		14,250
Procter & Gamble Co.		338		20,835
Reynolds American Inc.		41		1,449
Safeway Inc.		46		1,092
Sara Lee Corp.		77		1,355
SUPERVALU Inc. (e)		24		218
Sysco Corp.		71		1,957
Tyson Foods Inc. - Class A		37		704
Wal-Mart Stores Inc.		236		12,299
Walgreen Co.		111		4,457
Whole Foods Market Inc.		18		1,186

				149,089
ENERGY - 12.6%
Anadarko Petroleum Corp.		60		4,897
Apache Corp.		46		6,034
Baker Hughes Inc.		52		3,820
Cabot Oil & Gas Corp. - Class A		12		632


	Shares/Par (p)		Value
Cameron International Corp. (c)		29		1,671
Chesapeake Energy Corp.		79		2,644
Chevron Corp.		243		26,075
ConocoPhillips		173		13,803
Consol Energy Inc.		27		1,448
Denbury Resources Inc. (c)		48		1,176
Devon Energy Corp.		52		4,789
Diamond Offshore Drilling Inc. (e)		8		651
El Paso Corp.		85		1,529
EOG Resources Inc.		32		3,831
EQT Corp.		18		884
Exxon Mobil Corp.		599		50,415
FMC Technologies Inc. (c)		14		1,342
Halliburton Co.		110		5,467
Helmerich & Payne Inc.		13		876
Hess Corp.		36		3,083
Marathon Oil Corp.		86		4,565
Massey Energy Co.		12		842
Murphy Oil Corp.		23		1,682
Nabors Industries Ltd. (c)		34		1,026
National Oilwell Varco Inc.		51		4,012
Newfield Exploration Co. (c)		16		1,227
Noble Corp.		31		1,393
Noble Energy Inc.		21		2,019
Occidental Petroleum Corp.		98		10,241
Peabody Energy Corp.		32		2,313
Pioneer Natural Resources Co.		14		1,427
QEP Resources Inc.		20		827
Range Resources Corp.		19		1,129
Rowan Cos. Inc. (c)		15		673
Schlumberger Ltd.		165		15,347
Southwestern Energy Co. (c)		41		1,779
Spectra Energy Corp.		77		2,106
Sunoco Inc.		14		652
Tesoro Corp. (c)		17		464
Valero Energy Corp.		68		2,017
Williams Cos. Inc.		70		2,179

				192,987
FINANCIALS - 14.9%
ACE Ltd.		41		2,646
AFLAC Inc.		57		3,000
Allstate Corp.		64		2,044
American Express Co.		126		5,709
American International Group Inc. (c) (e)		17		609
Ameriprise Financial Inc.		31		1,864
AON Corp.		40		2,128
Apartment Investment & Management Co. - Class A		14		350
Assurant Inc.		14		531
AvalonBay Communities Inc.		10		1,235
Bank of America Corp.		1,222		16,291
Bank of New York Mellon Corp. (a)		150		4,469
BB&T Corp.		83		2,271
Berkshire Hathaway Inc. - Class B (c)		209		17,454
Boston Properties Inc.		17		1,632
Capital One Financial Corp.		55		2,835
CB Richard Ellis Group Inc. - Class A (c)		34		918
Charles Schwab Corp.		120		2,157
Chubb Corp.		37		2,239
Cincinnati Financial Corp.		20		645
Citigroup Inc. (c)		3,504		15,486
CME Group Inc.		8		2,415
Comerica Inc.		21		775
Discover Financial Services		66		1,584
E*Trade Financial Corp. (c)		27		416
Equity Residential		35		1,999
Federated Investors Inc. - Class B (e)		11		289


	Shares/Par (p)		Value
Fifth Third Bancorp		110		1,521
First Horizon National Corp.		31		353
Franklin Resources Inc.		18		2,207
Genworth Financial Inc. - Class A (c)		59		788
Goldman Sachs Group Inc.		63		9,953
Hartford Financial Services Group Inc.		53		1,425
HCP Inc.		45		1,698
Health Care REIT Inc. (e)		21		1,114
Host Hotels & Resorts Inc.		82		1,445
Hudson City Bancorp Inc.		62		602
Huntington Bancshares Inc.		104		691
IntercontinentalExchange Inc. (c)		9		1,061
Invesco Ltd.		56		1,428
Janus Capital Group Inc.		22		276
JPMorgan Chase & Co.		481		22,161
KeyCorp		106		943
Kimco Realty Corp.		49		891
Legg Mason Inc.		20		712
Leucadia National Corp.		23		877
Lincoln National Corp.		38		1,129
Loews Corp.		39		1,660
M&T Bank Corp.		14		1,258
Marsh & McLennan Cos. Inc.		65		1,930
Marshall & Ilsley Corp.		61		484
MetLife Inc.		127		5,685
Moody’s Corp.		24		819
Morgan Stanley		187		5,095
NASDAQ OMX Group Inc. (c)		18		464
Northern Trust Corp.		29		1,468
NYSE Euronext		31		1,107
People’s United Financial Inc.		45		567
Plum Creek Timber Co. Inc.		20		851
PNC Financial Services Group Inc.		63		3,995
Principal Financial Group Inc.		39		1,241
Progressive Corp.		80		1,693
ProLogis		67		1,075
Prudential Financial Inc.		59		3,605
Public Storage		17		1,843
Regions Financial Corp.		149		1,081
Simon Property Group Inc.		36		3,841
SLM Corp. (c)		63		971
State Street Corp.		60		2,695
SunTrust Banks Inc.		60		1,724
T. Rowe Price Group Inc.		31		2,059
Torchmark Corp.		9		618
Travelers Cos. Inc.		53		3,166
U.S. Bancorp		231		6,115
Unum Group		39		1,015
Ventas Inc. (e)		20		1,067
Vornado Realty Trust		19		1,691
Wells Fargo & Co.		636		20,165
XL Group Plc		41		1,004
Zions Bancorporation		21		482

				227,800
HEALTH CARE - 10.4%
Abbott Laboratories		186		9,145
Aetna Inc.		47		1,743
Allergan Inc.		37		2,610
AmerisourceBergen Corp.		34		1,335
Amgen Inc. (c)		114		6,091
Baxter International Inc.		70		3,766
Becton Dickinson & Co.		27		2,130
Biogen Idec Inc. (c)		29		2,150
Boston Scientific Corp. (c)		183		1,318
Bristol-Myers Squibb Co.		205		5,427
Cardinal Health Inc.		43		1,775
CareFusion Corp. (c)		26		742


	Shares/Par (p)		Value
Celgene Corp. (c)		57		3,266
Cephalon Inc. (c)		9		687
Cerner Corp. (c)		8		935
CIGNA Corp.		33		1,463
Coventry Health Care Inc. (c)		17		543
Covidien Plc		61		3,142
CR Bard Inc.		10		1,024
DaVita Inc. (c)		12		1,059
Dentsply International Inc.		17		644
Eli Lilly & Co.		122		4,304
Express Scripts Inc. (c)		63		3,511
Forest Laboratories Inc. (c)		35		1,133
Genzyme Corp. (c)		31		2,379
Gilead Sciences Inc. (c)		97		4,129
Hospira Inc. (c)		20		1,096
Humana Inc. (c)		20		1,390
Intuitive Surgical Inc. (c)		5		1,562
Johnson & Johnson		331		19,625
Laboratory Corp. of America Holdings (c)		12		1,145
Life Technologies Corp. (c)		23		1,181
McKesson Corp.		30		2,397
Medco Health Solutions Inc. (c)		49		2,748
Medtronic Inc.		130		5,125
Merck & Co. Inc.		372		12,266
Mylan Inc. (c)		52		1,177
Patterson Cos. Inc.		11		350
PerkinElmer Inc.		14		359
Pfizer Inc.		966		19,621
Quest Diagnostics Inc.		19		1,079
St. Jude Medical Inc.		41		2,093
Stryker Corp.		41		2,504
Tenet Healthcare Corp. (c)		57		426
Thermo Fisher Scientific Inc. (c)		48		2,644
UnitedHealth Group Inc.		133		5,996
Varian Medical Systems Inc. (c)		15		998
Waters Corp. (c)		11		957
Watson Pharmaceuticals Inc. (c)		15		831
WellPoint Inc.		45		3,170
Zimmer Holdings Inc. (c)		24		1,448

				158,639
INDUSTRIALS - 10.8%
3M Co.		86		8,062
Avery Dennison Corp.		13		560
Boeing Co.		88		6,541
Caterpillar Inc.		77		8,588
CH Robinson Worldwide Inc.		20		1,484
Cintas Corp.		16		477
CSX Corp.		46		3,578
Cummins Inc.		24		2,626
Danaher Corp.		65		3,357
Deere & Co.		51		4,953
Dover Corp.		23		1,481
Dun & Bradstreet Corp.		6		468
Eaton Corp.		41		2,277
Emerson Electric Co.		91		5,304
Equifax Inc.		14		562
Expeditors International Washington Inc.		26		1,284
Fastenal Co. (e)		17		1,130
FedEx Corp.		38		3,550
Flowserve Corp.		7		869
Fluor Corp.		22		1,588
General Dynamics Corp.		46		3,523
General Electric Co.		1,285		25,765
Goodrich Corp.		15		1,281
Honeywell International Inc.		94		5,619
Huntington Ingalls Industries Inc. (c)		6		248
Illinois Tool Works Inc.		60		3,213


	Shares/Par (p)		Value
Ingersoll-Rand Plc		39		1,889
Iron Mountain Inc.		24		745
ITT Corp.		22		1,330
Jacobs Engineering Group Inc. (c)		15		782
Joy Global Inc.		12		1,218
L-3 Communications Holdings Inc.		13		1,052
Lockheed Martin Corp.		35		2,789
Masco Corp.		41		571
Norfolk Southern Corp.		44		3,061
Northrop Grumman Systems Corp.		36		2,252
PACCAR Inc.		44		2,283
Pall Corp.		14		812
Parker Hannifin Corp.		19		1,824
Pitney Bowes Inc.		25		642
Precision Castparts Corp.		17		2,548
Quanta Services Inc. (c)		26		583
Raytheon Co.		44		2,222
Republic Services Inc. - Class A		38		1,127
Robert Half International Inc.		17		518
Rockwell Automation Inc.		17		1,619
Rockwell Collins Inc.		19		1,226
Roper Industries Inc.		11		960
RR Donnelley & Sons Co.		25		471
Ryder System Inc.		6		290
Snap-On Inc.		7		421
Southwest Airlines Co.		90		1,138
Stericycle Inc. (c)		10		904
Textron Inc.		33		892
Tyco International Ltd.		57		2,565
Union Pacific Corp.		60		5,858
United Parcel Service Inc. - Class B		119		8,865
United Technologies Corp.		111		9,428
Waste Management Inc.		58		2,153
WW Grainger Inc.		7		1,017

				164,443
INFORMATION TECHNOLOGY - 17.4%
Adobe Systems Inc. (c)		63		2,084
Advanced Micro Devices Inc. (c)		68		583
Agilent Technologies Inc. (c)		42		1,864
Akamai Technologies Inc. (c)		22		820
Altera Corp.		39		1,699
Amphenol Corp. - Class A		21		1,145
Analog Devices Inc.		36		1,404
Apple Inc. (c)		111		38,762
Applied Materials Inc.		160		2,507
Autodesk Inc. (c)		27		1,183
Automatic Data Processing Inc.		60		3,078
BMC Software Inc. (c)		22		1,079
Broadcom Corp. - Class A (c)		57		2,258
CA Inc.		46		1,111
Cisco Systems Inc.		669		11,465
Citrix Systems Inc. (c)		22		1,634
Cognizant Technology Solutions Corp. - Class A (c)		37		2,980
Computer Sciences Corp.		18		900
Compuware Corp. (c)		27		309
Corning Inc.		188		3,889
Dell Inc. (c)		205		2,982
eBay Inc. (c)		138		4,273
Electronic Arts Inc. (c)		40		772
EMC Corp. (c)		249		6,598
F5 Networks Inc. (c)		10		1,000
Fidelity National Information Services Inc.		32		1,048
First Solar Inc. (c) (e)		6		1,026
Fiserv Inc. (c)		18		1,143
FLIR Systems Inc.		19		642
Google Inc. - Class A (c)		30		17,751


	Shares/Par (p)		Value
Harris Corp.		15		738
Hewlett-Packard Co.		263		10,778
Intel Corp.		663		13,377
International Business Machines Corp.		147		24,035
Intuit Inc. (c)		34		1,828
Jabil Circuit Inc.		24		483
JDS Uniphase Corp. (c)		27		560
Juniper Networks Inc. (c)		65		2,716
KLA-Tencor Corp.		20		968
Lexmark International Inc. - Class A (c)		10		352
Linear Technology Corp.		27		914
LSI Corp. (c)		73		499
MasterCard Inc. - Class A		12		2,912
MEMC Electronic Materials Inc. (c)		27		353
Microchip Technology Inc. (e)		22		845
Micron Technology Inc. (c)		103		1,184
Microsoft Corp.		894		22,662
Molex Inc. (e)		17		419
Monster Worldwide Inc. (c)		16		249
Motorola Mobility Holdings Inc. (c)		35		848
Motorola Solutions Inc. (c)		41		1,816
National Semiconductor Corp.		29		414
NetApp Inc. (c)		44		2,139
Novell Inc. (c)		41		243
Novellus Systems Inc. (c)		12		431
Nvidia Corp. (c)		69		1,266
Oracle Corp.		470		15,675
Paychex Inc.		39		1,217
QUALCOMM Inc.		198		10,878
Red Hat Inc. (c)		22		1,020
SAIC Inc. (c)		35		586
Salesforce.com Inc.		14		1,905
SanDisk Corp. (c)		28		1,304
Symantec Corp. (c)		95		1,768
Tellabs Inc.		44		230
Teradata Corp. (c)		20		1,024
Teradyne Inc. (c)		22		390
Texas Instruments Inc.		142		4,894
Total System Services Inc.		22		405
VeriSign Inc.		21		772
Visa Inc. - Class A		59		4,331
Western Digital Corp. (c)		27		1,023
Western Union Co.		79		1,644
Xerox Corp.		169		1,798
Xilinx Inc.		32		1,053
Yahoo! Inc. (c)		159		2,647

				265,582
MATERIALS - 3.6%
Air Products & Chemicals Inc.		26		2,331
Airgas Inc.		9		605
AK Steel Holding Corp.		12		186
Alcoa Inc.		128		2,261
Allegheny Technologies Inc. (e)		12		804
Ball Corp.		21		752
Bemis Co. Inc.		13		431
CF Industries Holdings Inc.		9		1,170
Cliffs Natural Resources Inc.		16		1,593
Dow Chemical Co.		141		5,323
Eastman Chemical Co.		9		864
Ecolab Inc.		27		1,401
EI Du Pont de Nemours & Co.		111		6,116
FMC Corp.		9		745
Freeport-McMoRan Copper & Gold Inc. (e)		114		6,348
International Flavors & Fragrances Inc.		10		601
International Paper Co.		52		1,576
MeadWestvaco Corp.		20		596
Monsanto Co.		65		4,704


	Shares/Par (p)		Value
Newmont Mining Corp.		59		3,246
Nucor Corp.		38		1,734
Owens-Illinois Inc. (c)		19		568
PPG Industries Inc.		20		1,892
Praxair Inc.		37		3,754
Sealed Air Corp.		19		509
Sherwin-Williams Co.		11		925
Sigma-Aldrich Corp.		15		925
Titanium Metals Corp. (c)		10		193
United States Steel Corp. (e)		17		926
Vulcan Materials Co. (e)		15		698
Weyerhaeuser Co.		64		1,564

				55,341
TELECOMMUNICATION SERVICES - 2.9%
American Tower Corp. - Class A (c)		48		2,497
AT&T Inc.		713		21,812
CenturyTel Inc.		37		1,532
Frontier Communications Corp.		119		975
MetroPCS Communications Inc. (c)		32		524
Qwest Communications International Inc.		210		1,435
Sprint Nextel Corp. (c)		356		1,654
Verizon Communications Inc.		341		13,140
Windstream Corp. (e)		58		748

				44,317
UTILITIES - 3.0%
AES Corp. (c)		78		1,014
Ameren Corp.		29		801
American Electric Power Co. Inc.		57		2,012
CenterPoint Energy Inc.		50		880
CMS Energy Corp.		29		579
Consolidated Edison Inc.		35		1,777
Constellation Energy Group Inc.		23		731
Dominion Resources Inc.		69		3,106
DTE Energy Co.		20		987
Duke Energy Corp.		160		2,899
Edison International		39		1,420
Entergy Corp.		23		1,518
Exelon Corp.		80		3,290
FirstEnergy Corp.		50		1,871
Integrys Energy Group Inc.		9		446
NextEra Energy Inc.		51		2,801
Nicor Inc.		5		286
NiSource Inc.		34		644
Northeast Utilities		21		736
NRG Energy Inc. (c)		31		664
Oneok Inc.		13		839
Pepco Holdings Inc. (e)		27		498
PG&E Corp.		47		2,089
Pinnacle West Capital Corp.		13		550
PPL Corp.		57		1,455
Progress Energy Inc.		35		1,630
Public Service Enterprise Group Inc.		60		1,906
SCANA Corp.		14		538
Sempra Energy		30		1,582
Southern Co.		101		3,855
TECO Energy Inc.		24		454
Wisconsin Energy Corp.		28		843
Xcel Energy Inc.		58		1,389

				46,090

Total Common Stocks (cost $1,227,119)				1,456,878

SHORT TERM INVESTMENTS - 5.2%
Investment Company - 4.2%
JNL Money Market Fund, 0.08% (a) (h)		64,208		64,208


	Shares/Par (p)		Value
Securities Lending Collateral - 0.7%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		9,593		9,593
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		958		936

				10,529
Treasury Securities - 0.3%
U.S. Treasury Bill, 0.19%, 06/16/11 (o)	$	4,285		4,285

Total Short Term Investments (cost $79,044)				79,022

Total Investments - 100.5% (cost $1,306,163)				1,535,900
Other Assets and Liabilities, Net - (0.5%)				(7,526	)

Total Net Assets - 100.0%			$	1,528,374

JNL/Mellon Capital Management S&P 400 MidCap Index Fund
COMMON STOCKS - 95.4%
CONSUMER DISCRETIONARY - 13.2%
99 Cents Only Stores (c)		28	$	543
Aaron’s Inc.		46		1,175
Advance Auto Parts Inc.		51		3,336
Aeropostale Inc. (c)		56		1,360
American Eagle Outfitters Inc.		124		1,970
American Greetings Corp. - Class A		24		560
ANN Inc. (c)		36		1,049
Ascena Retail Group Inc. (c)		43		1,382
Bally Technologies Inc. (c)		34		1,295
Barnes & Noble Inc. (e)		23		210
Bob Evans Farms Inc.		20		637
BorgWarner Inc. (c)		71		5,627
Boyd Gaming Corp. (c) (e)		32		304
Brinker International Inc.		57		1,432
Career Education Corp. (c)		40		905
Cheesecake Factory Inc. (c)		37		1,100
Chico’s FAS Inc.		109		1,627
Chipotle Mexican Grill Inc. - Class A (c)		20		5,328
Collective Brands Inc. (c)		40		874
Deckers Outdoor Corp. (c)		24		2,103
Dick’s Sporting Goods Inc. (c)		56		2,244
Dollar Tree Inc. (c)		79		4,396
DreamWorks Animation SKG Inc. - Class A (c)		44		1,230
Eastman Kodak Co. (c) (e)		159		514
Foot Locker Inc.		99		1,945
Fossil Inc. (c)		33		3,046
Gentex Corp.		89		2,687
Guess? Inc.		40		1,583
HanesBrands Inc. (c)		61		1,642
Harte-Hanks Inc.		23		274
International Speedway Corp. - Class A		17		517
ITT Educational Services Inc. (c) (e)		16		1,128
John Wiley & Sons Inc. - Class A		29		1,493
KB Home (e)		46		577
Lamar Advertising Co. - Class A (c)		35		1,302
Life Time Fitness Inc. (c)		26		970
LKQ Corp. (c)		91		2,204
Matthews International Corp. - Class A (e)		19		728
MDC Holdings Inc.		24		614
Meredith Corp. (e)		22		756
Mohawk Industries Inc. (c)		36		2,179
New York Times Co. - Class A (c) (e)		75		713
NVR Inc. (c)		4		2,796


	Shares/Par (p)		Value
Office Depot Inc. (c)		174		806
Panera Bread Co. - Class A (c)		20		2,509
PetSmart Inc.		74		3,047
Phillips-Van Heusen Corp.		42		2,732
Polaris Industries Inc.		21		1,869
Regis Corp.		37		655
Rent-A-Center Inc.		39		1,378
Ryland Group Inc.		28		451
Saks Inc. (c) (e)		103		1,162
Scholastic Corp. (e)		16		420
Scientific Games Corp. - Class A (c)		36		316
Service Corp. International		155		1,713
Sotheby’s - Class A		42		2,234
Strayer Education Inc. (e)		8		1,087
Thor Industries Inc.		26		876
Timberland Co. - Class A (c)		24		980
Toll Brothers Inc. (c)		91		1,807
Tractor Supply Co.		46		2,763
Tupperware Brands Corp.		40		2,387
Under Armour Inc. - Class A (c) (e)		22		1,518
Warnaco Group Inc. (c)		28		1,614
Wendy’s/Arby’s Group Inc.		206		1,036
Williams-Sonoma Inc.		67		2,722
WMS Industries Inc. (c)		37		1,298

				105,735
CONSUMER STAPLES - 3.7%
Alberto-Culver Co.		54		2,026
BJ’s Wholesale Club Inc. (c)		35		1,689
Church & Dwight Co. Inc.		45		3,570
Corn Products International Inc.		48		2,481
Energizer Holdings Inc. (c)		45		3,178
Flowers Foods Inc.		48		1,312
Green Mountain Coffee Roasters Inc. (c)		73		4,738
Hansen Natural Corp. (c)		44		2,634
Lancaster Colony Corp.		12		743
Ralcorp Holdings Inc. (c)		35		2,380
Ruddick Corp.		26		1,020
Smithfield Foods Inc. (c)		105		2,529
Tootsie Roll Industries Inc. (e)		15		433
Universal Corp.		15		665

				29,398
ENERGY - 6.3%
Arch Coal Inc.		103		3,703
Atwood Oceanics Inc. (c)		36		1,651
Bill Barrett Corp. (c)		29		1,176
Cimarex Energy Co.		54		6,169
Comstock Resources Inc. (c) (e)		30		937
Dril-Quip Inc. (c)		22		1,717
Exterran Holdings Inc. (c) (e)		40		958
Forest Oil Corp. (c)		72		2,715
Frontier Oil Corp.		66		1,924
Helix Energy Solutions Group Inc. (c)		66		1,142
Northern Oil and Gas Inc. (c)		33		889
Oceaneering International Inc. (c)		34		3,063
Overseas Shipholding Group Inc.		16		510
Patriot Coal Corp. (c)		56		1,447
Patterson-UTI Energy Inc.		98		2,867
Plains Exploration & Production Co. (c)		89		3,211
Pride International Inc. (c)		111		4,771
Quicksilver Resources Inc. (c)		75		1,068
SM Energy Co.		40		2,960
Southern Union Co.		79		2,256
Superior Energy Services Inc. (c)		50		2,047
Tidewater Inc.		33		1,948


	Shares/Par (p)		Value
Unit Corp. (c)		25		1,562

				50,691
FINANCIALS - 18.5%
Affiliated Managers Group Inc. (c)		33		3,567
Alexandria Real Estate Equities Inc.		35		2,731
AMB Property Corp.		106		3,830
American Financial Group Inc.		49		1,699
Apollo Investment Corp.		120		1,446
Arthur J Gallagher & Co.		68		2,076
Aspen Insurance Holdings Ltd.		44		1,224
Associated Banc-Corp		110		1,629
Astoria Financial Corp.		53		757
BancorpSouth Inc. (e)		47		727
Bank of Hawaii Corp.		31		1,465
BRE Properties Inc. - Class A		41		1,916
Brown & Brown Inc.		74		1,912
Camden Property Trust		43		2,470
Cathay General Bancorp		50		845
City National Corp.		29		1,677
Commerce Bancshares Inc.		49		1,986
Corporate Office Properties Trust		41		1,486
Cousins Properties Inc.		66		553
Cullen/Frost Bankers Inc.		39		2,277
Duke Realty Corp.		160		2,237
East West Bancorp Inc.		94		2,058
Eaton Vance Corp.		75		2,415
Equity One Inc.		30		561
Essex Property Trust Inc.		20		2,507
Everest Re Group Ltd.		35		3,051
Federal Realty Investment Trust		39		3,174
Fidelity National Financial Inc. - Class A		144		2,031
First American Financial Corp.		66		1,093
First Niagara Financial Group Inc.		132		1,799
FirstMerit Corp.		67		1,142
Fulton Financial Corp.		123		1,364
Greenhill & Co. Inc.		16		1,021
Hanover Insurance Group Inc.		28		1,255
HCC Insurance Holdings Inc.		73		2,286
Highwoods Properties Inc.		45		1,582
Hospitality Properties Trust		78		1,811
International Bancshares Corp.		34		622
Jefferies Group Inc.		80		2,005
Jones Lang LaSalle Inc.		27		2,692
Liberty Property Trust (e)		72		2,379
Macerich Co.		82		4,075
Mack-Cali Realty Corp.		54		1,842
Mercury General Corp.		23		889
MSCI Inc. - Class A (c)		75		2,768
Nationwide Health Properties Inc.		80		3,397
New York Community Bancorp Inc.		275		4,753
NewAlliance Bancshares Inc.		67		991
Old Republic International Corp.		161		2,046
Omega Healthcare Investors Inc.		63		1,402
PacWest Bancorp (e)		19		409
Potlatch Corp.		25		1,022
Prosperity Bancshares Inc.		29		1,239
Protective Life Corp.		54		1,442
Raymond James Financial Inc.		63		2,420
Rayonier Inc.		51		3,176
Realty Income Corp. (e)		79		2,749
Regency Centers Corp.		52		2,254
Reinsurance Group of America Inc.		49		3,098
SEI Investments Co.		92		2,206
Senior Housing Properties Trust		89		2,043
SL Green Realty Corp.		49		3,722
StanCorp Financial Group Inc.		29		1,353
SVB Financial Group (c)		27		1,519


	Shares/Par (p)		Value
Synovus Financial Corp. (e)		484		1,162
Taubman Centers Inc.		35		1,856
TCF Financial Corp.		98		1,559
Transatlantic Holdings Inc.		40		1,949
Trustmark Corp.		36		851
UDR Inc.		115		2,809
Unitrin Inc.		32		977
Valley National Bancorp		99		1,384
Waddell & Reed Financial Inc. - Class A		54		2,196
Washington Federal Inc.		70		1,211
Webster Financial Corp.		45		961
Weingarten Realty Investors		76		1,912
Westamerica Bancorporation		18		930
WR Berkley Corp.		73		2,358

				148,288
HEALTH CARE - 10.9%
Allscripts-Misys Healthcare Solutions Inc. (c)		118		2,486
Beckman Coulter Inc.		44		3,638
Bio-Rad Laboratories Inc. - Class A (c)		12		1,483
Charles River Laboratories International Inc. (c)		37		1,408
Community Health Systems Inc. (c)		59		2,343
Covance Inc. (c) (e)		39		2,123
Edwards Lifesciences Corp. (c)		72		6,277
Endo Pharmaceuticals Holdings Inc. (c)		73		2,791
Gen-Probe Inc. (c)		31		2,026
Health Management Associates Inc.
- Class A (c)		159		1,732
Health Net Inc. (c)		59		1,931
Henry Schein Inc. (c)		58		4,094
Hill-Rom Holdings Inc.		40		1,518
Hologic Inc. (c)		164		3,649
Idexx Laboratories Inc. (c) (e)		36		2,810
Immucor Inc. (c)		45		885
Kindred Healthcare Inc. (c)		25		605
Kinetic Concepts Inc. (c)		40		2,158
LifePoint Hospitals Inc. (c)		34		1,351
Lincare Holdings Inc.		62		1,834
Masimo Corp.		36		1,204
Medicis Pharmaceutical Corp. - Class A		38		1,206
Mednax Inc. (c)		30		2,012
Mettler Toledo International Inc. (c)		20		3,512
Omnicare Inc.		73		2,202
Owens & Minor Inc.		39		1,269
Perrigo Co.		52		4,174
Pharmaceutical Product Development Inc.		73		2,022
ResMed Inc. (c)		96		2,870
STERIS Corp.		38		1,304
Techne Corp.		24		1,683
Teleflex Inc.		25		1,425
Thoratec Corp. (c)		36		942
United Therapeutics Corp. (c)		32		2,125
Universal Health Services Inc. - Class B		62		3,041
VCA Antech Inc. (c)		55		1,379
Vertex Pharmaceuticals Inc. (c)		128		6,154
WellCare Health Plans Inc. (c)		27		1,126

				86,792
INDUSTRIALS - 14.7%
Acuity Brands Inc.		27		1,597
AECOM Technology Corp. (c)		75		2,082
AGCO Corp. (c) (e)		59		3,235
AirTran Holdings Inc. (c)		86		640
Alaska Air Group Inc. (c)		23		1,440
Alexander & Baldwin Inc.		26		1,171
Alliant Techsystems Inc.		21		1,496
AMETEK Inc.		101		4,439
BE Aerospace Inc. (c)		65		2,300


	Shares/Par (p)		Value
Brink’s Co.		29		968
Bucyrus International Inc. - Class A		51		4,684
Carlisle Cos. Inc.		39		1,722
Clean Harbors Inc. (c)		15		1,435
Con-Way Inc.		34		1,328
Copart Inc. (c)		38		1,635
Corporate Executive Board Co.		22		871
Corrections Corp. of America (c)		70		1,705
Crane Co.		29		1,419
Deluxe Corp.		33		870
Donaldson Co. Inc.		48		2,967
FTI Consulting Inc. (c)		30		1,131
Gardner Denver Inc.		33		2,592
GATX Corp.		29		1,113
Graco Inc.		38		1,727
Granite Construction Inc.		22		616
Harsco Corp.		51		1,800
Herman Miller Inc. (e)		36		998
HNI Corp.		29		903
Hubbell Inc. - Class B		38		2,698
Huntington Ingalls Industries Inc. (c)		31		1,268
IDEX Corp.		52		2,263
JB Hunt Transport Services Inc.		55		2,507
JetBlue Airways Corp. (c) (e)		129		806
Kansas City Southern (c)		65		3,534
KBR Inc.		95		3,607
Kennametal Inc.		52		2,028
Kirby Corp. (c)		34		1,943
Korn/Ferry International (c)		30		661
Landstar System Inc.		30		1,385
Lennox International Inc.		28		1,490
Lincoln Electric Holdings Inc.		27		2,032
Manpower Inc.		52		3,244
Mine Safety Appliances Co.		20		726
MSC Industrial Direct Co. - Class A		28		1,933
Nordson Corp.		21		2,473
Oshkosh Corp. (c)		57		2,033
Pentair Inc.		62		2,361
Regal-Beloit Corp.		24		1,806
Rollins Inc.		40		818
Shaw Group Inc. (c)		54		1,905
SPX Corp.		32		2,523
Terex Corp. (c)		69		2,553
Thomas & Betts Corp. (c)		33		1,953
Timken Co.		51		2,668
Towers Watson & Co. - Class A		29		1,592
Trinity Industries Inc. (e)		49		1,804
United Rentals Inc. (c)		38		1,267
URS Corp. (c)		51		2,350
Valmont Industries Inc. (e)		13		1,371
Wabtec Corp.		30		2,061
Waste Connections Inc.		73		2,099
Watsco Inc.		17		1,206
Werner Enterprises Inc.		28		747
Woodward Governor Co.		36		1,259

				117,858
INFORMATION TECHNOLOGY - 15.5%
ACI Worldwide Inc. (c)		21		698
Acxiom Corp. (c)		50		717
ADTRAN Inc.		40		1,697
Advent Software Inc. (c)		20		582
Alliance Data Systems Corp. (c) (e)		32		2,775
Ansys Inc. (c)		58		3,120
AOL Inc. (c)		66		1,281
Arrow Electronics Inc. (c)		73		3,069
Atmel Corp. (c)		290		3,950
Avnet Inc. (c)		96		3,277


	Shares/Par (p)		Value
Broadridge Financial Solutions Inc.		79		1,797
Cadence Design Systems Inc. (c)		169		1,651
Ciena Corp. (c) (e)		60		1,547
Concur Technologies Inc. (c)		29		1,623
Convergys Corp. (c)		77		1,111
CoreLogic Inc. (c)		64		1,185
Cree Inc. (c)		69		3,167
Cypress Semiconductor Corp. (c)		109		2,111
Diebold Inc.		40		1,432
Digital River Inc. (c)		25		934
DST Systems Inc.		23		1,198
Equinix Inc. (c)		29		2,652
Factset Research Systems Inc.		29		3,072
Fair Isaac Corp.		26		808
Fairchild Semiconductor International Inc. (c)		79		1,443
Gartner Inc. - Class A (c)		54		2,258
Global Payments Inc.		50		2,467
Informatica Corp. (c)		59		3,102
Ingram Micro Inc. - Class A (c)		99		2,089
Integrated Device Technology Inc. (c)		96		706
International Rectifier Corp. (c)		44		1,458
Intersil Corp. - Class A		77		955
Itron Inc. (c)		26		1,449
Jack Henry & Associates Inc.		54		1,839
Lam Research Corp. (c)		78		4,405
Lender Processing Services Inc.		56		1,811
Mantech International Corp. - Class A (c)		14		614
Mentor Graphics Corp. (c)		69		1,009
Micros Systems Inc. (c)		51		2,521
National Instruments Corp.		56		1,827
NCR Corp. (c)		101		1,901
NeuStar Inc. - Class A (c)		47		1,205
Parametric Technology Corp. (c)		75		1,680
Plantronics Inc.		31		1,123
Polycom Inc. (c)		55		2,857
QLogic Corp. (c)		67		1,252
Quest Software Inc. (c)		40		1,009
Rackspace Hosting Inc. (c)		61		2,634
RF Micro Devices Inc. (c)		169		1,083
Riverbed Technology Inc. (c)		95		3,571
Rovi Corp. (c)		71		3,810
Semtech Corp. (c)		39		971
Silicon Laboratories Inc. (c)		27		1,166
Skyworks Solutions Inc. (c)		116		3,757
Solera Holdings Inc.		44		2,273
SRA International Inc. - Class A (c)		27		778
Synopsys Inc. (c)		94		2,600
Tech Data Corp. (c)		29		1,463
TIBCO Software Inc. (c)		106		2,880
Trimble Navigation Ltd. (c)		77		3,884
ValueClick Inc. (c)		51		735
Varian Semiconductor Equipment Associates Inc. (c)		47		2,280
Vishay Intertechnology Inc. (c)		104		1,853
Zebra Technologies Corp. - Class A (c)		36		1,415

				123,587
MATERIALS - 6.5%
Albemarle Corp.		58		3,462
AptarGroup Inc.		42		2,130
Ashland Inc.		50		2,882
Cabot Corp.		41		1,918
Carpenter Technology Corp.		27		1,166
Commercial Metals Co.		71		1,218
Compass Minerals International Inc.		21		1,939
Cytec Industries Inc.		31		1,702
Grief Inc. - Class A		19		1,262
Intrepid Potash Inc. (c) (e)		28		980


	Shares/Par (p)		Value
Louisiana-Pacific Corp. (c)		83		873
Lubrizol Corp.		41		5,429
Martin Marietta Materials Inc. (e)		29		2,584
Minerals Technologies Inc.		12		812
NewMarket Corp.		6		993
Olin Corp.		49		1,133
Packaging Corp. of America		65		1,877
Reliance Steel & Aluminum Co.		47		2,728
Rock-Tenn Co. - Class A (e)		25		1,710
RPM International Inc.		82		1,938
Scotts Miracle-Gro Co. - Class A		29		1,685
Sensient Technologies Corp.		31		1,099
Silgan Holdings Inc.		32		1,216
Sonoco Products Co.		63		2,299
Steel Dynamics Inc.		137		2,579
Temple-Inland Inc.		68		1,599
Valspar Corp.		61		2,374
Worthington Industries Inc.		34		709

				52,296
TELECOMMUNICATION SERVICES - 0.5%
Telephone & Data Systems Inc.		58		1,962
tw telecom inc. (c)		96		1,841

				3,803
UTILITIES - 5.6%
AGL Resources Inc.		49		1,970
Alliant Energy Corp.		70		2,731
Aqua America Inc.		87		1,994
Atmos Energy Corp.		57		1,953
Black Hills Corp.		25		828
Cleco Corp.		37		1,285
DPL Inc.		75		2,065
Energen Corp.		45		2,871
Great Plains Energy Inc.		86		1,721
Hawaiian Electric Industries Inc.		60		1,484
IDACORP Inc.		31		1,196
MDU Resources Group Inc.		119		2,737
National Fuel Gas Co.		52		3,846
NSTAR		66		3,033
NV Energy Inc.		149		2,217
OGE Energy Corp.		62		3,118
PNM Resources Inc.		55		827
Questar Corp.		111		1,931
UGI Corp.		70		2,301
Vectren Corp.		50		1,366
Westar Energy Inc. (e)		71		1,865
WGL Holdings Inc.		32		1,229

				44,568

Total Common Stocks (cost $625,761)				763,016

SHORT TERM INVESTMENTS - 8.2%
Investment Company - 4.3%
JNL Money Market Fund, 0.08% (a) (h)		34,496		34,496
Securities Lending Collateral - 3.6%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		27,352		27,352
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		1,445		1,411

				28,763
Treasury Securities - 0.3%
U.S. Treasury Bill, 0.19%, 06/16/11 (o)	$	2,160		2,160

Total Short Term Investments (cost $65,452)				65,419


	Shares/Par (p)		Value
Total Investments - 103.6% (cost $691,213)				828,435
Other Assets and Liabilities, Net - (3.6%)				(29,000	)

Total Net Assets - 100.0%			$	799,435

JNL/Mellon Capital Management Small Cap Index Fund
COMMON STOCKS - 98.4%
CONSUMER DISCRETIONARY - 12.8%
1-800-Flowers.com Inc. - Class A (c)		14	$	47
99 Cents Only Stores (c)		29		565
AFC Enterprises Inc. (c)		15		222
AH Belo Corp. - Class A (c)		14		119
Ambassadors Group Inc.		11		120
America’s Car-Mart Inc. (c)		5		133
American Apparel Inc. (c)		16		15
American Axle & Manufacturing Holdings Inc. (c)		39		486
American Greetings Corp. - Class A		24		570
American Public Education Inc. (c)		12		467
Amerigon Inc. (c)		15		235
Ameristar Casinos Inc.		16		277
ANN Inc. (c)		36		1,057
Arbitron Inc.		16		652
Arctic Cat Inc. (c)		9		143
Asbury Automotive Group Inc. (c)		17		323
Ascena Retail Group Inc. (c)		37		1,214
Ascent Media Corp. (c)		9		452
Audiovox Corp. - Class A (c)		14		115
Ballantyne Strong Inc. (c)		8		55
Barnes & Noble Inc. (e)		23		208
Beazer Homes USA Inc. (c) (e)		45		207
Bebe Stores Inc.		18		104
Belo Corp. (c)		57		505
Big 5 Sporting Goods Corp.		13		152
Biglari Holdings Inc. (c)		1		362
BJ’s Restaurants Inc. (c)		13		531
Blue Nile Inc. (c) (e)		8		427
Bluegreen Corp. (c)		6		26
Blyth Inc.		4		114
Bob Evans Farms Inc.		19		635
Body Central Corp. (c)		5		105
Bon-Ton Stores Inc. (c) (e)		9		143
Books-A-Million Inc. (e)		3		13
Boyd Gaming Corp. (c) (e)		33		310
Bravo Brio Restaurant Group Inc. (c)		6		100
Bridgepoint Education Inc. (c) (e)		13		216
Brookfield Homes Corp. (c) (e)		6		56
Brown Shoe Co. Inc.		25		311
Brunswick Corp.		56		1,417
Buckle Inc. (e)		16		633
Buffalo Wild Wings Inc. (c)		11		617
Build-A-Bear Workshop Inc. (c)		13		79
Cabela’s Inc. - Class A (c)		25		614
California Pizza Kitchen Inc. (c)		11		184
Callaway Golf Co.		40		270
Cambium Learning Group Inc. (c)		9		30
Capella Education Co. (c) (e)		10		519
Caribou Coffee Co. Inc. (c)		7		70
Carmike Cinemas Inc. (c)		8		60
Carrol’s Restaurant Group Inc. (c)		8		70
Carter’s Inc. (c)		38		1,075
Casual Male Retail Group Inc. (c)		27		135


	Shares/Par (p)		Value
Cato Corp. - Class A		17		418
Cavco Industries Inc. (c)		4		171
CEC Entertainment Inc.		12		462
Charming Shoppes Inc. (c)		74		315
Cheesecake Factory Inc. (c)		38		1,147
Cherokee Inc.		5		91
Childrens Place Retail Stores Inc. (c)		17		822
Christopher & Banks Corp.		24		155
Churchill Downs Inc.		7		278
Cinemark Holdings Inc.		35		685
Citi Trends Inc. (c)		9		190
CKX Inc. (c)		35		146
Coinstar Inc. (c) (e)		20		923
Coldwater Creek Inc. (c)		32		84
Collective Brands Inc. (c)		40		863
Columbia Sportswear Co. (e)		7		418
Conn’s Inc. (c) (e)		10		43
Cooper Tire & Rubber Co.		39		997
Core-Mark Holding Co. Inc. (c)		6		213
Corinthian Colleges Inc. (c) (e)		56		250
CPI Corp. (e)		4		79
Cracker Barrel Old Country Store Inc.		14		709
Crocs Inc. (c)		54		969
Crown Media Holdings Inc. - Class A (c) (e)		5		12
CSS Industries Inc.		6		107
Culp Inc. (c)		5		44
Cumulus Media Inc. - Class A (c)		12		51
Dana Holding Corp. (c)		88		1,530
Deckers Outdoor Corp. (c)		24		2,089
Delta Apparel Inc. (c)		3		46
Denny’s Corp. (c)		57		230
Destination Maternity Corp.		6		134
Dex One Corp. (c) (e)		29		141
Dillard’s Inc. - Class A (e)		25		1,022
DineEquity Inc. (c) (e)		11		590
Domino’s Pizza Inc. (c)		23		423
Dorman Products Inc. (c)		7		278
Drew Industries Inc.		11		254
Drugstore.com Inc. (c)		53		204
DSW Inc. - Class A (c) (e)		9		351
Eastman Kodak Co. (c) (e)		172		556
Einstein Noah Restaurant Group Inc.		2		38
Empire Resorts Inc. (c) (e)		14		8
Entercom Communications Corp. - Class A (c)		13		139
Entravision Communications Corp. - Class A (c)		26		71
Ethan Allen Interiors Inc. (e)		16		342
EW Scripps Co. - Class A (c)		20		201
Exide Technologies (c)		47		520
Express Inc. f		10		205
Finish Line - Class A		30		605
Fisher Communications Inc. (c)		4		123
Fred’s Inc. - Class A		23		310
Fuel Systems Solutions Inc. (c) (e)		10		312
Furniture Brands International Inc. (c)		31		140
G-III Apparel Group Ltd. (c)		10		358
Gaiam Inc. - Class A		8		53
Gaylord Entertainment Co. (c)		21		744
Genesco Inc. (c)		15		602
Global Sources Ltd. (c)		11		123
Gordman’s Stores Inc. (c)		2		37
Grand Canyon Education Inc. (c)		19		272
Gray Television Inc. (c)		26		54
Group 1 Automotive Inc. (e)		16		671
Harte-Hanks Inc.		23		274
Haverty Furniture Cos. Inc.		10		136
Helen of Troy Ltd. (c)		18		541
hhgregg Inc. (c) (e)		7		94


	Shares/Par (p)		Value
Hibbett Sports Inc. (c)		18		643
Hooker Furniture Corp.		5		62
HOT Topic Inc.		27		153
Hovnanian Enterprises Inc. - Class A (c) (e)		43		151
HSN Inc. (c)		25		790
Iconix Brand Group Inc. (c)		46		982
Interval Leisure Group Inc. (c)		24		395
iRobot Corp. (c)		13		412
Isle of Capri Casinos Inc. (c)		12		113
Jack in the Box Inc. (c)		32		731
Jakks Pacific Inc. (c)		17		322
Jamba Inc. (c) (e)		45		100
Joe’s Jeans Inc. (c) (e)		23		24
Johnson Outdoors Inc. - Class A (c) (e)		2		36
Jos. A. Bank Clothiers Inc. (c)		17		867
Journal Communications Inc. - Class A (c)		27		162
K-Swiss Inc. - Class A (c)		15		169
K12 Inc. (c)		16		543
Kenneth Cole Productions Inc. - Class A (c)		5		66
Kid Brands Inc. (c)		7		50
Kirkland’s Inc. (c)		9		141
Knology Inc. (c)		20		261
Krispy Kreme Doughnuts Inc. (c)		35		247
La-Z-Boy Inc. (c)		33		317
LaCrosse Footwear Inc. (e)		3		46
Leapfrog Enterprises Inc. - Class A (c)		24		102
Learning Tree International Inc.		5		43
Lee Enterprises Inc. (c) (e)		24		65
Libbey Inc. (c)		12		196
Life Time Fitness Inc. (c)		26		985
Lifetime Brands Inc. (c)		5		75
LIN TV Corp. - Class A (c)		17		99
Lincoln Educational Services Corp.		9		142
Lions Gate Entertainment Corp. (c)		44		273
Lithia Motors Inc. - Class A		14		201
Live Nation Inc. (c)		87		868
Liz Claiborne Inc. (c) (e)		62		333
LodgeNet Interactive Corp. (c) (e)		22		80
Lumber Liquidators Holdings Inc. (c) (e)		14		338
M/I Homes Inc. (c)		11		161
Mac-Gray Corp.		8		123
Maidenform Brands Inc. (c)		14		396
Marcus Corp.		12		128
Marine Products Corp. (c) (e)		5		42
MarineMax Inc. (c)		17		163
Martha Stewart Living Omnimedia Inc. - Class A (c) (e)		19		71
Matthews International Corp. - Class A (e)		19		723
McClatchy Co. - Class A (c) (e)		38		128
McCormick & Schmick’s Seafood Restaurants Inc. (c)		10		69
Media General Inc. - Class A (c) (e)		15		105
Men’s Wearhouse Inc.		32		879
Meritage Homes Corp. (c)		21		498
Midas Inc. (c)		10		78
Modine Manufacturing Co. (c)		29		468
Monarch Casino & Resort Inc. (c)		5		53
Monro Muffler Brake Inc.		19		628
Morgans Hotel Group Co. (c) (e)		13		127
Movado Group Inc. (c)		10		145
Multimedia Games Inc. (c)		18		105
National American University Holdings Inc.		4		30
National CineMedia Inc.		34		634
National Presto Industries Inc. (e)		3		329
New York & Co. Inc. (c)		21		146
Nexstar Broadcasting Group Inc. - Class A (c) (e)		6		50
NutriSystem Inc. (e)		16		231


	Shares/Par (p)		Value
O’Charley’s Inc. (c) (e)		12		74
OfficeMax Inc. (c)		51		663
Orbitz Worldwide Inc. (c)		13		48
Orient-Express Hotels Ltd. - Class A (c)		63		783
Outdoor Channel Holdings Inc. (c)		6		48
Overstock.com Inc. (c) (e)		9		146
Oxford Industries Inc.		9		308
Pacific Sunwear of California Inc. (c) (e)		39		142
Papa John’s International Inc. (c)		13		417
Peets Coffee & Tea Inc. (c) (e)		8		367
Penske Auto Group Inc. (c)		28		568
PEP Boys-Manny Moe & Jack		32		403
Perry Ellis International Inc. (c)		6		160
PetMed Express Inc. (e)		15		245
PF Chang’s China Bistro Inc. (e)		15		682
Pier 1 Imports Inc. (c)		67		678
Pinnacle Entertainment Inc. (c)		38		514
Polaris Industries Inc.		20		1,701
Pool Corp.		31		740
Pre-Paid Legal Services Inc. (c) (e)		5		310
PRIMEDIA Inc.		12		59
Princeton Review Inc. (c) (e)		7		3
Quicksilver Inc. (c)		82		362
Radio One Inc. - Class D (c) (e)		17		33
RC2 Corp. (c)		13		371
ReachLocal Inc. (c) (e)		3		52
Red Lion Hotels Corp. (c)		10		85
Red Robin Gourmet Burgers Inc. (c)		10		278
Regis Corp.		36		634
Rent-A-Center Inc.		40		1,411
Rentrak Corp. (c)		6		153
Retail Ventures Inc. (c)		14		240
RG Barry Corp.		5		59
Ruby Tuesday Inc. (c)		40		527
Rue21 Inc. (c) (e)		9		266
Ruth’s Hospitality Group Inc. (c)		20		105
Ryland Group Inc.		28		451
Saks Inc. (c) (e)		86		968
Sally Beauty Holdings Inc. (c)		60		838
Scholastic Corp. (e)		16		443
Scientific Games Corp. - Class A (c)		42		370
Sealy Corp. (c) (e)		35		90
Select Comfort Corp. (c)		34		404
Shiloh Industries Inc.		3		33
Shoe Carnival Inc. (c)		6		167
Shuffle Master Inc. (c)		35		373
Shutterfly Inc. (c)		18		945
Sinclair Broadcast Group Inc. - Class A		28		351
Skechers U.S.A. Inc. - Class A (c)		22		445
Skyline Corp.		5		102
Smith & Wesson Holding Corp. (c) (e)		42		149
Sonic Automotive Inc. - Class A (e)		25		348
Sonic Corp. (c)		39		350
Sotheby’s - Class A		42		2,211
Spartan Motors Inc.		21		143
Speedway Motorsports Inc.		6		102
Stage Stores Inc.		22		421
Standard Motor Products Inc.		11		151
Standard-Pacific Corp. (c) (e)		68		255
Stein Mart Inc.		15		156
Steiner Leisure Ltd. (c)		9		432
Steinway Musical Instruments Inc. (c)		4		85
Steven Madden Ltd. (c)		15		715
Stewart Enterprises Inc. - Class A (e)		53		403
Stoneridge Inc. (c)		11		154
Sturm Ruger & Co. Inc. (e)		12		267
Summer Infant Inc. (c)		6		46
Superior Industries International Inc.		15		378


	Shares/Par (p)		Value
SuperMedia Inc. (c) (e)		9		56
Systemax Inc. (c)		5		71
Talbots Inc. (c)		41		247
Tenneco Inc. (c)		37		1,555
Texas Roadhouse Inc. - Class A (e)		37		624
The Jones Group Inc.		53		725
Timberland Co. - Class A (c)		25		1,024
Tower International Inc. (c)		4		74
True Religion Apparel Inc. (c)		16		370
Tuesday Morning Corp. (c)		19		92
U.S. Auto Parts Network Inc. (c)		9		74
Ulta Salon Cosmetics & Fragrance Inc. (c)		20		956
Under Armour Inc. - Class A (c) (e)		22		1,506
Unifi Inc. (c)		7		124
Universal Electronics Inc. (c)		9		251
Universal Technical Institute Inc.		13		253
Vail Resorts Inc. (c)		23		1,115
Valassis Communications Inc. (c)		32		920
Value Line Inc.		1		9
Vera Bradley Inc. (c)		8		341
Vitacost.com Inc. (c) (e) (f)		8		45
Vitamin Shoppe Inc. (c)		10		336
Volcom Inc.		13		240
Warnaco Group Inc. (c)		27		1,557
Warner Music Group Corp. (c) (e)		24		163
West Marine Inc. (c)		9		93
Westwood One Inc. (c) (e)		3		20
Wet Seal Inc. - Class A (c)		65		280
Weyco Group Inc.		3		77
Winmark Corp. (e)		1		59
Winnebago Industries Inc. (c)		17		227
Wolverine World Wide Inc.		31		1,138
World Wrestling Entertainment Inc. - Class A (e)		14		182
Zumiez Inc. (c) (e)		13		336

				102,642
CONSUMER STAPLES - 2.9%
Alico Inc.		2		43
Alliance One International Inc. (c)		57		231
Andersons Inc.		12		575
Arden Group Inc. - Class A		1		43
B&G Foods Inc.		30		572
Boston Beer Co. Inc. - Class A (c)		5		484
Cal-Maine Foods Inc. (e)		9		275
Calavo Growers Inc. (e)		6		131
Casey’s General Stores Inc.		24		935
Central Garden & Pet Co. - Class A (c)		34		313
Chiquita Brands International Inc. (c)		27		417
Coca-Cola Bottling Co. Consolidated		3		172
Darling International Inc. (c)		68		1,038
Diamond Foods Inc. (e)		14		755
Dole Food Co. Inc. (c) (e)		23		311
Elizabeth Arden Inc. (c)		15		445
Farmer Bros. Co.		3		37
Female Health Co.		7		35
Fresh Del Monte Produce Inc.		24		630
Griffin Land & Nurseries Inc. - Class A		2		49
Hain Celestial Group Inc. (c)		27		881
Harbinger Group Inc. (c)		4		20
Heckmann Corp. (c)		57		372
Imperial Sugar Co.		9		116
Ingles Markets Inc. - Class A		7		146
Inter Parfums Inc.		8		146
J&J Snack Foods Corp.		9		422
John B. Sanfilippo & Son (c)		4		50
Lancaster Colony Corp.		12		727
Lifeway Foods Inc. (c) (e)		2		23


	Shares/Par (p)		Value
Limoneira Co. (e)		4		103
Medifast Inc. (c) (e)		8		159
MGP Ingredients Inc.		6		51
Nash Finch Co.		7		281
National Beverage Corp.		8		104
Natures Sunshine Products Inc. (c) (e)		4		36
Nu Skin Enterprises Inc. - Class A		30		873
Nutraceutical International Corp. (c)		5		73
Oil-Dri Corp. of America		2		49
Pantry Inc. (c)		13		189
Pilgrim’s Pride Corp. (c)		31		242
Prestige Brands Holdings Inc. (c)		26		300
PriceSmart Inc.		10		358
Primo Water Corp. (c)		8		102
Revlon Inc. - Class A (c)		6		93
Rite Aid Corp. (c)		350		371
Ruddick Corp.		28		1,069
Sanderson Farms Inc. (e)		14		636
Schiff Nutrition International Inc. (e)		9		83
Seneca Foods Corp. - Class A (c)		5		152
Smart Balance Inc. (c)		35		162
Snyders-Lance Inc.		16		314
Spartan Stores Inc.		15		223
Spectrum Brands Holdings Inc. (c)		11		308
Star Scientific Inc. (c) (e)		63		286
Susser Holdings Corp. (c)		3		45
Synutra International Inc. (c) (e)		13		149
The Fresh Market Inc. (c)		10		361
Tootsie Roll Industries Inc.		16		453
TreeHouse Foods Inc. (c)		21		1,218
United Natural Foods Inc. (c)		30		1,323
Universal Corp.		15		656
USANA Health Sciences Inc. (c) (e)		4		127
Vector Group Ltd. (e)		27		469
Village Super Market Inc. - Class A		4		111
WD-40 Co.		10		442
Weis Markets Inc.		7		280
Winn-Dixie Stores Inc. (c)		37		262

				22,907
ENERGY - 7.0%
Abraxas Petroleum Corp. (c)		54		313
Alon USA Energy Inc. (e)		5		63
Amyris Inc. (c) (e)		4		118
Apco Oil And Gas International Inc. (e)		6		481
Approach Resources Inc. (c)		11		373
ATP Oil & Gas Corp. (c) (e)		27		487
Basic Energy Services Inc. (c)		15		376
Berry Petroleum Co. - Class A		31		1,582
Bill Barrett Corp. (c) (e)		29		1,157
BPZ Resources Inc. (c) (e)		61		326
Brigham Exploration Co. (c)		73		2,707
Bristow Group Inc. (c)		22		1,047
Cal Dive International Inc. (c)		58		403
Callon Petroleum Co. (c)		22		173
CAMAC Energy Inc. (c) (e)		26		38
CARBO Ceramics Inc.		12		1,691
Carrizo Oil & Gas Inc. (c)		22		801
Cheniere Energy Inc. (c) (e)		37		349
Clayton Williams Energy Inc. (c)		4		379
Clean Energy Fuels Corp. (c) (e)		30		486
Cloud Peak Energy Inc. (c)		19		414
Complete Production Services Inc. (c)		49		1,555
Contango Oil & Gas Co. (c)		7		460
Crosstex Energy Inc.		27		265
CVR Energy Inc. (c)		19		445
Dawson Geophysical Co. (c)		5		225
Delek US Holdings Inc.		9		121


	Shares/Par (p)		Value
Delta Petroleum Corp. (c) (e)		90		82
DHT Holdings Inc. (e)		31		151
Dril-Quip Inc. (c)		21		1,685
Endeavour International Corp. (c) (e)		12		156
Energy Partners Ltd. (c)		18		329
Energy XXI Bermuda Ltd. (c)		45		1,540
Evolution Petroleum Corp. (c)		8		62
FX Energy Inc. (c)		25		205
Gastar Exploration Ltd. (c)		34		163
General Maritime Corp. (e)		43		88
GeoResources Inc. (c)		10		328
Global Geophysical Services Inc. (c)		4		58
Global Industries Ltd. (c)		65		635
GMX Resources Inc. (c) (e)		30		188
Golar LNG Ltd. (e)		23		596
Goodrich Petroleum Corp. (c)		14		317
Green Plains Renewable Energy Inc. (c) (e)		11		128
Gulf Island Fabrication Inc.		9		294
Gulfmark Offshore Inc. - Class A (c)		14		638
Gulfport Energy Corp. (c)		16		586
Hallador Energy Co. (e)		2		24
Harvest Natural Resources Inc. (c)		21		313
Helix Energy Solutions Group Inc. (c)		66		1,135
Hercules Offshore Inc. (c)		74		488
Hornbeck Offshore Services Inc. (c)		15		462
Houston American Energy Corp. (e)		12		190
International Coal Group Inc. (c)		81		920
ION Geophysical Corp. (c)		77		981
Isramco Inc. (c) (e)		—		30
James River Coal Co. (c) (e)		18		434
Key Energy Services Inc. (c)		77		1,202
Knightsbridge Tankers Ltd. (e)		15		373
Kodiak Oil & Gas Corp. (c) (e)		113		755
L&L Energy Inc. (c) (e)		12		83
Lufkin Industries Inc.		18		1,720
Magnum Hunter Resources Corp. (c) (e)		39		335
Matrix Service Co. (c)		18		244
McMoRan Exploration Co. (c)		59		1,043
Miller Petroleum Inc. (c) (e)		14		71
Natural Gas Services Group Inc. (c)		8		150
Newpark Resources Inc. (c)		57		452
Nordic American Tanker Shipping Ltd. (e)		30		740
Northern Oil and Gas Inc. (c)		33		888
Oasis Petroleum Inc. (c)		31		966
Overseas Shipholding Group Inc.		16		513
OYO Geospace Corp. (c)		3		258
Panhandle Oil and Gas Inc. - Class A		5		143
Parker Drilling Co. (c)		75		518
Patriot Coal Corp. (c)		48		1,241
Penn Virginia Corp.		28		472
Petroleum Development Corp. (c)		15		715
PetroQuest Energy Inc. (c)		35		331
PHI Inc. (c)		8		178
Pioneer Drilling Co. (c)		32		448
RAM Energy Resources Inc. (c) (e)		30		62
Rentech Inc. (c) (e)		148		185
Resolute Energy Corp. (c) (e)		23		423
Rex Energy Corp. (c)		20		232
Rex Stores Corp. (c)		4		68
Rosetta Resources Inc. (c)		32		1,539
RPC Inc. (e)		28		700
Scorpio Tankers Inc. (c)		11		109
Ship Finance International Ltd. (e)		28		577
Stone Energy Corp. (c)		27		913
Swift Energy Co. (c)		26		1,101
Syntroleum Corp. (c) (e)		47		106
Teekay Tankers Ltd. - Class A (e)		25		263
Tesco Corp. (c)		19		417


	Shares/Par (p)		Value
Tetra Technologies Inc. (c)		46		713
TransAtlantic Petroleum Ltd. (c)		90		280
Union Drilling Inc. (c)		10		105
Uranium Energy Corp. (c) (e)		37		146
USEC Inc. (c)		67		294
VAALCO Energy Inc. (c)		31		242
Vantage Drilling Co. (c)		97		174
Venoco Inc. (c)		15		249
W&T Offshore Inc.		22		500
Warren Resources Inc. (c)		46		232
Western Refining Inc. (c) (e)		32		541
Willbros Group Inc. (c)		29		322
World Fuel Services Corp.		43		1,751

				56,124
FINANCIALS - 19.5%
1st Source Corp.		10		193
1st United Bancorp Inc. (c)		15		106
Abington Bancorp Inc.		14		168
Acadia Realty Trust		25		466
Advance America Cash Advance Centers Inc.		36		189
Agree Realty Corp. (e)		6		142
Alexander’s Inc.		1		524
Alliance Financial Corp. (e)		3		94
Alterra Capital Holdings Ltd.		61		1,354
American Campus Communities Inc.		40		1,323
American Capital Agency Corp.		58		1,679
American Capital Ltd. (c)		213		2,108
American Equity Investment Life Holding Co.		37		480
American National Bankshares Inc. (e)		3		60
American Safety Insurance Holdings Ltd. (c)		7		155
Ameris Bancorp (c)		13		133
Amerisafe Inc. (c)		12		275
Ames National Corp. (e)		4		85
AmTrust Financial Services Inc.		14		273
Anworth Mortgage Asset Corp.		74		526
Apollo Commercial Real Estate Finance Inc.		11		185
Apollo Investment Corp.		122		1,470
Argo Group International Holdings Ltd.		19		622
Arlington Asset Investment Corp. - Class A		5		155
Arrow Financial Corp.		5		133
Artio Global Investors Inc.		16		266
Ashford Hospitality Trust Inc.		29		320
Asset Acceptance Capital Corp. (c) (e)		7		35
Associated Estates Realty Corp.		25		399
Asta Funding Inc.		6		49
Astoria Financial Corp.		55		792
Avatar Holdings Inc. (c)		5		96
Baldwin & Lyons Inc. - Class B		4		88
BancFirst Corp.		4		176
Banco Latinoamericano de Comercio Exterior SA - Class E		18		307
Bancorp Inc. (c)		16		149
Bancorp Rhode Island Inc.		2		50
Bank Mutual Corp.		26		111
Bank of Marin Bancorp. (e)		3		124
Bank of the Ozarks Inc.		8		342
BankFinancial Corp.		10		92
Beneficial Mutual Bancorp Inc. (c)		21		185
Berkshire Hills Bancorp Inc.		9		184
BGC Partners Inc. - Class A		36		338
BioMed Realty Trust Inc.		80		1,526
BlackRock Kelso Capital Corp. (e)		43		433
BofI Holding Inc. (c) (e)		4		59
Boston Private Financial Holdings Inc.		47		330
Bridge Bancorp Inc. (e)		4		95
Brookline Bancorp Inc.		39		408
Bryn Mawr Bank Corp.		6		123


	Shares/Par (p)		Value
Calamos Asset Management Inc. - Class A		12		198
California First National Bancorp.		1		14
Camden National Corp.		5		167
Campus Crest Communities Inc.		20		233
Capital City Bank Group Inc. (e)		5		68
Capital Southwest Corp.		2		147
CapLease Inc.		38		211
Capstead Mortgage Corp.		43		548
Cardinal Financial Corp.		19		219
Cardtronics Inc. (c)		17		344
Cash America International Inc.		18		826
Cathay General Bancorp		50		854
CBL & Associates Properties Inc.		87		1,512
Cedar Shopping Centers Inc.		37		222
Center Financial Corp. (c)		24		178
CenterState Banks of Florida Inc.		17		116
Century Bancorp. Inc. - Class A		2		42
Chatham Lodging Trust		7		117
Chemical Financial Corp.		15		300
Chesapeake Lodging Trust		10		166
Citizens & Northern Corp.		6		96
Citizens Inc. - Class A (c) (e)		22		163
Citizens Republic Bancorp Inc. (c)		218		194
City Holdings Co. (e)		9		332
Clifton Savings Bancorp Inc. (e)		5		56
CNA Surety Corp. (c)		12		294
CNB Financial Corp. (e)		6		82
CNO Financial Group Inc. (c)		140		1,054
CoBiz Financial Inc.		18		127
Cogdell Spencer Inc.		23		140
Cohen & Steers Inc. (e)		11		319
Colonial Properties Trust		48		922
Colony Financial Inc.		11		212
Columbia Banking System Inc.		24		456
Community Bank System Inc.		21		498
Community Trust Bancorp Inc.		8		227
Compass Diversified Holdings (e)		21		316
CompuCredit Holdings Corp. (c) (e)		6		37
Consolidated-Tomoka Land Co. (e)		3		102
Coresite Realty Corp.		13		205
Cousins Properties Inc.		55		457
Cowen Group Inc. - Class A (c) (e)		20		79
Crawford & Co. - Class B		11		54
Credit Acceptance Corp. (c)		4		257
CreXus Investment Corp. (e)		9		105
CVB Financial Corp. (e)		55		508
Cypress Sharpridge Investments Inc.		44		563
Danvers BanCorp Inc.		12		260
DCT Industrial Trust Inc.		156		864
Delphi Financial Group Inc. - Class A		30		924
Diamond Hill Investment Group Inc.		2		127
DiamondRock Hospitality Co.		102		1,136
Dime Community Bancshares Inc.		15		228
Dollar Financial Corp. (c)		22		458
Donegal Group Inc. - Class A		5		70
Doral Financial Corp. (c)		10		11
Duff & Phelps Corp. - Class A		17		278
DuPont Fabros Technology Inc. (e)		26		619
Dynex Capital Inc.		18		178
Eagle Bancorp Inc. (c)		11		152
EastGroup Properties Inc.		16		720
Education Realty Trust Inc.		46		367
eHealth Inc. (c)		14		181
EMC Insurance Group Inc.		3		64
Employer Holdings Inc.		24		492
Encore Bancshares Inc. (c)		4		52
Encore Capital Group Inc. (c)		8		201
Enstar Group Ltd. (c)		4		393


	Shares/Par (p)		Value
Enterprise Financial Services Corp. (e)		11		154
Entertainment Properties Trust		29		1,370
Epoch Holding Corp.		8		126
Equity Lifestyle Properties Inc.		17		954
Equity One Inc.		25		473
ESB Financial Corp. (e)		5		72
ESSA BanCorp Inc.		8		109
Evercore Partners Inc. - Class A		9		319
Excel Trust Inc.		11		131
Extra Space Storage Inc.		55		1,140
EZCORP Inc. - Class A (c)		29		919
FBL Financial Group Inc. - Class A		8		261
FBR Capital Markets Corp. (c)		28		102
Federal Agricultural Mortgage Corp. - Class C (e)		6		124
FelCor Lodging Trust Inc. (c)		59		360
Fifth Street Finance Corp. (e)		43		569
Financial Engines Inc. (c)		9		239
Financial Institutions Inc.		7		114
First American Financial Corp.		66		1,082
First Bancorp (c) (e)		12		58
First Bancorp Inc. (e)		14		196
First Busey Corp. (e)		37		187
First Cash Financial Services Inc. (c)		19		740
First Commonwealth Financial Corp.		64		438
First Community Bancshares Inc.		10		143
First Financial Bancorp		36		593
First Financial Bankshares Inc. (e)		13		659
First Financial Corp.		7		218
First Financial Holdings Inc.		10		115
First Industrial Realty Trust Inc. (c)		39		469
First Interstate BancSystem Inc.		8		113
First Marblehead Corp. (c)		33		72
First Merchants Corp.		16		130
First Midwest Bancorp Inc.		46		543
First of Long Island Corp.		4		118
First Potomac Realty Trust		32		506
First South Bancorp Inc.		4		19
FirstMerit Corp.		66		1,131
Flagstar Bancorp Inc. (c)		50		75
Flagstone Reinsurance Holdings SA		28		248
Flushing Financial Corp.		19		277
FNB Corp.		75		787
Forestar Group Inc. (c)		22		427
Fox Chase Bancorp Inc.		3		37
FPIC Insurance Group Inc. (c)		5		202
Franklin Street Properties Corp. (e)		43		605
GAMCO Investors Inc.		4		206
German American Bancorp Inc. (e)		6		95
Gerova Financial Group Ltd. (c) (f)		1		4
Getty Realty Corp.		14		320
GFI Group Inc.		38		190
Glacier Bancorp Inc.		44		666
Gladstone Capital Corp. (e)		13		148
Gladstone Commercial Corp.		5		90
Gladstone Investment Corp.		11		83
Gleacher & Co. Inc. (c)		42		74
Glimcher Realty Trust		62		576
Global Indemnity Plc (c)		9		191
Golub Capital BDC Inc.		4		63
Government Properties Income Trust		17		445
Great Southern Bancorp Inc. (e)		5		111
Green Bankshares Inc. (c) (e)		6		18
Greenlight Capital Re Ltd. - Class A (c)		17		489
Hallmark Financial Services Inc. (c)		6		53
Hancock Holding Co. (e)		18		596
Hanmi Financial Corp. (c) (e)		63		78
Harleysville Group Inc.		7		235


	Shares/Par (p)		Value
Harris & Harris Group Inc. (c)		20		108
Hatteras Financial Corp.		36		999
Healthcare Realty Trust Inc.		43		965
Heartland Financial USA Inc.		7		126
Hercules Technology Growth Capital Inc.		23		257
Heritage Financial Corp. (c)		8		112
Heritage Financial Group Inc.		1		10
Hersha Hospitality Trust		81		479
HFF Inc. - Class A (c)		10		154
Highwoods Properties Inc.		44		1,537
Hilltop Holdings Inc. (c)		23		230
Home Bancorp Inc. (c)		4		60
Home Bancshares Inc.		13		294
Home Federal Bancorp Inc.		11		124
Home Properties Inc.		24		1,391
Horace Mann Educators Corp.		24		396
Hudson Pacific Properties Inc.		10		146
Hudson Valley Holding Corp.		8		174
IberiaBank Corp.		16		992
Independent Bank Corp. (e)		13		362
Infinity Property & Casualty Corp.		8		448
Inland Real Estate Corp.		48		458
International Bancshares Corp.		33		605
INTL FCStone Inc. (c) (e)		8		199
Invesco Mortgage Capital Inc.		31		675
Investment Technology Group Inc. (c)		28		509
Investors Bancorp Inc. (c)		30		450
Investors Real Estate Trust		48		460
iStar Financial Inc. (c) (e)		58		529
JMP Group Inc.		9		74
Kaiser Federal Financial Group Inc.		1		16
Kansas City Life Insurance Co. (e)		2		69
Kayne Anderson Energy Development Co.		7		132
KBW Inc.		23		595
Kearny Financial Corp.		9		85
Kennedy-Wilson Holdings Inc. (c) (e)		11		121
Kilroy Realty Corp.		34		1,328
Kite Realty Group Trust		36		192
Knight Capital Group Inc. - Class A (c)		57		767
LaBranche & Co. Inc. (c)		26		102
Ladenburg Thalmann Financial Services Inc. (c)		49		56
Lakeland Bancorp Inc. (e)		13		136
Lakeland Financial Corp.		10		231
LaSalle Hotel Properties		44		1,188
Lexington Realty Trust (e)		66		616
Life Partners Holdings Inc. (e)		6		50
LTC Properties Inc.		16		440
Maiden Holdings Ltd.		32		239
Main Street Capital Corp. (e)		10		176
MainSource Financial Group Inc.		12		124
MarketAxess Holdings Inc.		17		412
Marlin Business Services Inc. (c)		5		57
MB Financial Inc.		34		711
MCG Capital Corp.		48		309
Meadowbrook Insurance Group Inc.		33		346
Medallion Financial Corp.		7		63
Medical Properties Trust Inc.		71		817
Merchants Bancshares Inc.		2		56
Meridian Interstate BanCorp Inc. (c)		4		61
Metro Bancorp Inc. (c)		7		91
MF Global Holdings Ltd. (c)		74		613
MFA Financial Inc.		172		1,409
MGIC Investment Corp. (c)		127		1,128
Mid-America Apartment Communities Inc.		20		1,294
Midsouth Bancorp Inc.		5		69
MidWestOne Financial Group Inc. (e)		4		55
Mission West Properties Inc.		12		76


	Shares/Par (p)		Value
Monmouth Real Estate Investment Corp. - Class A		16		133
Montpelier Re Holdings Ltd.		42		749
MPG Office Trust Inc. (c) (e)		38		141
MVC Capital Inc. (e)		16		217
Nara Bancorp Inc. (c)		24		227
NASB Financial Inc. (c) (e)		2		31
National Bankshares Inc. (e)		4		104
National Financial Partners Corp. (c)		26		381
National Health Investors Inc.		15		726
National Interstate Corp.		3		59
National Penn Bancshares Inc.		81		627
National Retail Properties Inc. (e)		52		1,370
National Western Life Insurance Co. - Class A		1		201
Navigators Group Inc. (c)		8		387
NBT Bancorp Inc.		21		475
Nelnet Inc. - Class A		16		349
Netspend Holdings Inc. (c)		19		198
NewAlliance Bancshares Inc.		65		969
Newcastle Investment Corp. (c)		40		242
NewStar Financial Inc. (c)		17		180
NGP Capital Resources Co.		15		141
Northfield Bancorp Inc. (e)		11		150
NorthStar Realty Finance Corp. (e)		49		261
Northwest Bancshares Inc.		68		849
OceanFirst Financial Corp.		8		110
Ocwen Financial Corp. (c)		45		498
Old National Bancorp		58		623
Omega Healthcare Investors Inc.		60		1,351
OmniAmerican Bancorp Inc. (c)		6		97
One Liberty Properties Inc.		8		124
Oppenheimer Holdings Inc. - Class A		6		194
optionsXpress Holdings Inc.		26		473
Oriental Financial Group Inc.		28		347
Oritani Financial Corp.		34		431
Orrstown Financial Services Inc. (e)		5		131
Pacific Continental Corp.		11		111
PacWest Bancorp (e)		19		410
Park National Corp. (e)		8		503
Parkway Properties Inc.		14		245
Peapack Gladstone Financial Corp. (e)		4		55
Pebblebrook Hotel Trust		22		493
PennantPark Investment Corp.		26		314
Penns Woods Bancorp Inc. (e)		2		65
Pennsylvania Real Estate Investment Trust (e)		33		473
Pennymac Mortgage Investment Trust		15		283
Penson Worldwide Inc. (c)		12		81
Peoples Bancorp Inc.		5		58
PHH Corp. (c)		35		767
Phoenix Cos. Inc. (c)		77		211
Pico Holdings Inc. (c)		14		409
Pinnacle Financial Partners Inc. (c)		22		364
Piper Jaffray Cos. (c)		10		404
Platinum Underwriters Holdings Ltd.		23		872
PMI Group Inc. (c)		88		239
Porter Bancorp Inc.		1		11
Portfolio Recovery Associates Inc. (c)		10		876
Post Properties Inc.		30		1,174
Potlatch Corp.		25		991
Presidential Life Corp.		12		116
Primerica Inc. (e)		15		375
Primus Guaranty Ltd. (c) (e)		12		59
PrivateBancorp Inc.		33		498
ProAssurance Corp. (c)		19		1,198
Prospect Capital Corp. (e)		56		686
Prosperity Bancshares Inc.		29		1,226
Provident Financial Services Inc.		36		536
Provident New York Bancorp		24		245


	Shares/Par (p)		Value
PS Business Parks Inc.		11		666
Pzena Investment Management Inc. - Class A		4		28
Radian Group Inc.		82		557
RAIT Financial Trust (e)		60		147
Ramco-Gershenson Properties Trust		24		298
Redwood Trust Inc. (e)		49		769
Renasant Corp. (e)		15		252
Republic Bancorp Inc. - Class A		6		118
Resource Capital Corp. (e)		29		189
Retail Opportunity Investments Corp.		26		287
RLI Corp.		11		657
Rockville Financial Inc. (e)		10		100
Rodman & Renshaw Capital Group Inc. (c) (e)		9		18
Roma Financial Corp.		4		47
S&T Bancorp Inc. (e)		16		338
Sabra Healthcare REIT Inc.		15		264
Safety Insurance Group Inc.		8		352
Sanders Morris Harris Group Inc.		9		71
Sandy Spring Bancorp Inc.		14		264
Saul Centers Inc.		4		185
SCBT Financial Corp.		8		267
SeaBright Insurance Holdings Inc.		13		137
Selective Insurance Group		32		562
Sierra Bancorp		7		81
Signature Bank (c)		25		1,416
Simmons First National Corp. - Class A		11		288
Solar Capital Ltd.		3		72
Southside Bancshares Inc. (e)		9		196
Southwest Bancorp Inc. (c)		12		165
Sovran Self Storage Inc.		17		664
Starwood Property Trust Inc.		44		985
State Auto Financial Corp.		8		152
State Bancorp. Inc.		7		77
StellarOne Corp.		14		203
Sterling Bancorp		17		167
Sterling Bancshares Inc.		56		486
Stewart Information Services Corp. (e)		10		105
Stifel Financial Corp. (c)		21		1,539
Strategic Hotels & Resorts Inc. (c)		90		581
Suffolk Bancorp (e)		7		145
Sun Communities Inc.		11		409
Sunstone Hotel Investors Inc. (c)		73		745
Susquehanna Bancshares Inc.		83		774
SVB Financial Group (c)		26		1,498
SWS Group Inc.		20		120
SY Bancorp Inc. (e)		7		184
Tanger Factory Outlet Centers Inc.		51		1,337
Taylor Capital Group Inc. (c) (e)		5		54
Tejon Ranch Co. (c)		9		312
Terreno Realty Corp		7		114
Territorial Bancorp Inc.		8		153
Teton Advisors Inc. - Class A		—		—
Texas Capital Bancshares Inc. (c)		23		611
THL Credit Inc.		5		66
Thomas Properties Group Inc. (c)		19		63
TICC Capital Corp.		18		201
Tompkins Financial Corp.		5		201
Tower Bancorp Inc.		6		141
Tower Group Inc.		24		575
TowneBank (e)		14		214
TradeStation Group Inc. (c)		25		179
Triangle Capital Corp. (e)		12		225
Trico Bancshares (e)		7		107
TrustCo Bank Corp.		49		293
Trustmark Corp. (e)		39		922
Two Harbors Investment Corp.		26		272
U-Store-It Trust		60		628
UMB Financial Corp.		20		756


	Shares/Par (p)		Value
UMH Properties Inc.		4		39
Umpqua Holdings Corp.		73		836
Union First Market Bankshares Corp.		11		126
United Bankshares Inc. (e)		25		660
United Community Banks Inc. (c)		67		159
United Financial Bancorp Inc.		9		147
United Fire & Casualty Co.		13		272
Universal Health Realty Income Trust		7		302
Universal Insurance Holdings Inc.		9		51
Univest Corp. of Pennsylvania		9		165
Urstadt Biddle Properties Inc. - Class A		14		262
ViewPoint Financial Group		9		114
Virginia Commerce Bancorp (c) (e)		11		62
Virtus Investment Partners Inc. (c)		3		181
Walter Investment Management Corp.		15		246
Washington Banking Co. (e)		8		113
Washington REIT		39		1,225
Washington Trust Bancorp Inc.		9		204
Waterstone Financial Inc. (c) (e)		3		11
Webster Financial Corp.		44		935
WesBanco Inc.		14		283
West Bancorp Inc.		8		61
West Coast Bancorp (c) (e)		61		213
Westamerica Bancorporation		19		957
Western Alliance Bancorp (c)		41		337
Westfield Financial Inc.		15		137
Westwood Holdings Group Inc.		4		151
Whitney Holding Corp.		60		813
Wilshire Bancorp Inc. (c)		16		76
Winthrop Realty Trust		14		176
Wintrust Financial Corp. (e)		22		806
World Acceptance Corp. (c) (e)		10		666
WSFS Financial Corp.		3		160

				155,984
HEALTH CARE - 12.3%
Abaxis Inc. (c)		14		411
Abiomed Inc. (c)		19		274
Accelrys Inc. (c)		34		271
Accretive Health Inc. (c) (e)		8		219
Accuray Inc. (c)		33		294
Acorda Therapeutics Inc. (c)		25		576
Acura Pharmaceuticals Inc. (c) (e)		4		12
Aegerion Pharmaceuticals Inc. (c)		4		63
Affymax Inc. (c)		15		87
Affymetrix Inc. (c)		48		249
Air Methods Corp. (c)		7		465
Akorn Inc. (c)		37		216
Albany Molecular Research Inc. (c)		15		63
Alexza Pharmaceuticals Inc. (c) (e)		21		35
Align Technology Inc. (c)		37		750
Alimera Sciences Inc. (c) (e)		4		27
Alkermes Inc. (c)		58		747
Alliance HealthCare Services Inc. (c)		19		82
Allied Healthcare International Inc. (c)		20		50
Allos Therapeutics Inc. (c)		47		149
Almost Family Inc. (c)		5		179
Alnylam Pharmaceuticals Inc. (c)		24		233
Alphatec Holdings Inc. (c)		28		75
AMAG Pharmaceuticals Inc. (c)		12		201
Amedisys Inc. (c)		17		601
America Service Group Inc.		5		138
American Dental Partners Inc. (c)		8		103
American Medical Systems Holdings Inc. (c)		48		1,031
AMERIGROUP Corp. (c)		32		2,083
AMN Healthcare Services Inc. (c)		28		242
Amsurg Corp. (c)		19		478
Anacor Pharmaceuticals Inc. (c) (e)		12		83


	Shares/Par (p)		Value
Analogic Corp.		8		470
AngioDynamics Inc. (c)		14		213
Antares Pharma Inc. (c) (e)		38		68
Aoxing Pharmaceutical Co. Inc. (c) (e)		13		28
Ardea Biosciences Inc. (c)		10		275
Arena Pharmaceuticals Inc. (c) (e)		88		123
Ariad Pharmaceuticals Inc. (c) (e)		79		597
ArQule Inc. (c)		32		230
Array BioPharma Inc. (c)		35		107
ArthroCare Corp. (c)		17		575
Assisted Living Concepts Inc. - Class A (c)		6		235
athenahealth Inc. (c) (e)		21		945
Atrion Corp.		1		160
Auxilium Pharmaceuticals Inc. (c) (e)		26		557
AVANIR Pharmaceuticals - Class A (c) (e)		54		221
AVEO Pharmaceuticals Inc. (c)		8		107
AVI BioPharma Inc. (c) (e)		70		130
Bio-Reference Labs Inc. (c)		15		341
BioCryst Pharmaceuticals Inc. (c) (e)		16		59
Biodel Inc. (c) (e)		10		22
BioMimetic Therapeutics Inc. (c)		11		140
Biosante Pharmaceuticals Inc. (c) (e)		55		109
BioScrip Inc. (c)		21		100
BioSpecifics Technologies Corp. (c) (e)		2		41
Biotime Inc. (c) (e)		17		128
Bruker Corp. (c)		45		937
Cadence Pharmaceuticals Inc. (c) (e)		18		165
Caliper Life Sciences Inc. (c)		29		198
Cambrex Corp. (c)		16		90
Cantel Medical Corp.		8		198
Capital Senior Living Corp. (c)		15		162
Caraco Pharmaceutical Laboratories Ltd. (c)		5		27
CardioNet Inc. (c)		16		78
Catalyst Health Solutions Inc. (c)		24		1,337
Celera Corp. (c)		53		430
Celldex Therapeutics Inc. (c) (e)		23		91
Centene Corp. (c)		31		1,024
Cepheid Inc. (c) (e)		37		1,028
Cerus Corp. (c) (e)		32		91
Chelsea Therapeutics International Inc. (c)		33		129
Chemed Corp.		14		939
Chindex International Inc. (c) (e)		9		138
Clinical Data Inc. (c) (e)		7		225
Codexis Inc. (c)		6		76
Computer Programs & Systems Inc.		6		400
Conceptus Inc. (c)		20		287
Conmed Corp. (c)		18		480
Continucare Corp. (c)		22		115
Corcept Therapeutics Inc. (c)		22		95
Cornerstone Therapeutics Inc. (c)		3		19
Corvel Corp. (c)		4		215
Cross Country Healthcare Inc. (c)		21		164
CryoLife Inc. (c)		17		102
Cubist Pharmaceuticals Inc. (c)		37		933
Cumberland Pharmaceuticals Inc. (c)		5		27
Curis Inc. (c) (e)		50		161
Cutera Inc. (c)		7		63
Cyberonics Inc. (c)		17		530
Cynosure Inc. - Class A (c)		6		81
Cytokinetics Inc. (c)		25		38
Cytori Therapeutics Inc. (c) (e)		26		207
CytRx Corp. (c) (e)		70		61
Delcath Systems Inc. (c) (e)		27		200
DepoMed Inc. (c)		34		346
DexCom Inc. (c)		38		596
Dionex Corp. (c)		10		1,227
Durect Corp. (c)		54		194
Dyax Corp. (c)		50		80


	Shares/Par (p)		Value
Dynavax Technologies Inc. (c) (e)		58		160
Dynavox Inc. - Class A (c)		5		28
Emergent BioSolutions Inc. (c)		13		314
Emeritus Corp. (c)		13		334
Endologix Inc. (c) (e)		28		193
Ensign Group Inc.		9		296
Enzo Biochem Inc. (c)		21		87
Enzon Pharmaceuticals Inc. (c) (e)		31		335
eResearch Technology Inc. (c)		31		212
Exact Sciences Corp. (c)		28		205
ExacTech Inc. (c)		4		67
ExamWorks Group Inc. (c)		8		175
Exelixis Inc. (c)		67		758
Five Star Quality Care Inc. (c)		23		187
Furiex Pharmaceuticals Inc. (c)		5		80
Genomic Health Inc. (c) (e)		8		209
Gentiva Health Services Inc. (c)		18		503
Geron Corp. (c) (e)		72		363
Greatbatch Inc. (c)		14		382
Haemonetics Corp. (c)		15		1,015
Halozyme Therapeutics Inc. (c)		50		333
Hanger Orthopedic Group Inc. (c)		16		429
Hansen Medical Inc. (c) (e)		23		51
Healthsouth Corp. (c)		59		1,470
HealthSpring Inc. (c)		36		1,362
Healthways Inc. (c)		22		337
HeartWare International Inc. (c) (e)		6		483
Hi-Tech Pharmacal Co. Inc. (c)		6		117
HMS Holdings Corp. (c)		17		1,398
ICU Medical Inc. (c)		7		305
Idenix Pharmaceuticals Inc. (c) (e)		19		64
Immucor Inc. (c)		44		876
Immunogen Inc. (c) (e)		41		373
Immunomedics Inc. (c) (e)		43		163
Impax Laboratories Inc. (c)		39		983
Incyte Corp. (c)		54		862
Infinity Pharmaceuticals Inc. (c) (e)		8		46
Inhibitex Inc. (c)		26		96
Inovio Pharmaceuticals Inc. (c)		43		47
Inspire Pharmaceuticals Inc. (c)		33		129
Insulet Corp. (c)		27		564
Integra LifeSciences Holdings Corp. (c)		13		637
InterMune Inc. (c)		28		1,330
Invacare Corp.		18		565
IPC The Hospitalist Co. Inc. (c)		10		465
IRIS International Inc. (c)		8		76
Ironwood Pharmaceuticals Inc. (c)		13		185
Isis Pharmaceuticals Inc. (c)		59		532
Jazz Pharmaceuticals Inc. (c) (e)		10		310
Kendle International Inc. (c)		9		92
Kensey Nash Corp. (c)		5		115
Keryx Biopharmaceuticals Inc. (c) (e)		27		137
Kindred Healthcare Inc. (c)		24		574
Landauer Inc.		6		376
Lannett Co. Inc. (c)		11		61
LCA-Vision Inc. (c) (e)		12		79
Lexicon Pharmaceuticals Inc. (c)		128		216
LHC Group Inc. (c)		10		309
Ligand Pharmaceuticals Inc. (c)		12		118
Luminex Corp. (c)		24		454
Magellan Health Services Inc. (c)		21		1,034
MAKO Surgical Corp. (c) (e)		20		478
MannKind Corp. (c) (e)		37		134
MAP Pharmaceuticals Inc. (c)		10		140
Masimo Corp.		33		1,085
Maxygen Inc.		17		88
MedAssets Inc. (c)		27		410
MedCath Corp. (c)		14		190


	Shares/Par (p)		Value
Medical Action Industries Inc. (c)		10		87
Medicines Co. (c)		33		542
Medicis Pharmaceutical Corp. - Class A		38		1,218
Medidata Solutions Inc. (c)		12		307
Medivation Inc. (c) (e)		22		405
MELA Sciences Inc. (c)		16		56
Merge Healthcare Inc. (c)		32		154
Meridian Bioscience Inc.		25		608
Merit Medical Systems Inc. (c)		17		327
Metabolix Inc. (c) (e)		17		175
Metropolitan Health Networks Inc. (c)		30		140
Micromet Inc. (c) (e)		53		300
Molina Healthcare Inc. (c)		10		384
Momenta Pharmaceuticals Inc. (c) (e)		29		454
MWI Veterinary Supply Inc. (c)		7		596
Nabi Biopharmaceuticals (c)		28		163
Nanosphere Inc. (c)		7		21
National Healthcare Corp.		5		251
National Research Corp.		1		26
Natus Medical Inc. (c)		19		315
Nektar Therapeutics (c)		70		665
Neogen Corp. (c)		14		560
NeoStem Inc. (c) (e)		14		23
Neuralstem Inc. (c) (e)		23		41
Neurocrine Biosciences Inc. (c)		30		224
NeurogesX Inc. (c) (e)		5		19
Novavax Inc. (c) (e)		51		131
NPS Pharmaceuticals Inc. (c)		41		395
NuVasive Inc. (c)		25		633
NxStage Medical Inc. (c)		17		377
Nymox Pharmaceutical Corp. (c) (e)		10		78
Obagi Medical Products Inc. (c)		12		150
Omeros Corp. (c) (e)		10		81
Omnicell Inc. (c)		21		317
Onyx Pharmaceuticals Inc. (c)		39		1,386
Opko Health Inc. (c) (e)		57		214
Optimer Pharmaceuticals Inc. (c)		26		313
OraSure Technologies Inc. (c)		28		223
Orexigen Therapeutics Inc. (c) (e)		18		52
Orthofix International NV (c)		10		336
Orthovita Inc. (c) (e)		41		87
Osiris Therapeutics Inc. (c) (e)		13		92
Owens & Minor Inc. (e)		39		1,260
Pacific Biosciences of California Inc. (c) (e)		11		149
Pain Therapeutics Inc. (c)		21		197
Palomar Medical Technologies Inc. (c)		13		189
Par Pharmaceutical Cos. Inc. (c)		22		674
Parexel International Corp. (c)		37		921
PDI Inc. (c)		5		39
PDL BioPharma Inc.		84		487
Peregrine Pharmaceuticals Inc. (c) (e)		40		94
Pharmacyclics Inc. (c) (e)		28		163
Pharmasset Inc. (c)		20		1,551
PharMerica Corp. (c)		18		201
Pozen Inc. (c)		17		90
Progenics Pharmaceuticals Inc. (c)		17		105
Providence Services Corp. (c)		9		133
PSS World Medical Inc. (c)		35		959
PURE Bioscience Inc. (c) (e)		19		29
Quality Systems Inc. (e)		12		970
Questcor Pharmaceuticals Inc. (c)		35		511
Quidel Corp. (c) (e)		14		173
RehabCare Group Inc. (c)		15		556
Rigel Pharmaceuticals Inc. (c)		31		219
Rochester Medical Corp. (c)		4		49
RTI Biologics Inc. (c)		33		95
Rural/Metro Corp. (c)		10		175
Salix Pharmaceuticals Ltd. (c)		36		1,258


	Shares/Par (p)		Value
Sangamo Biosciences Inc. (c) (e)		30		252
Santarus Inc. (c)		37		125
Savient Pharmaceuticals Inc. (c) (e)		41		439
Sciclone Pharmaceuticals Inc. (c)		27		108
Seattle Genetics Inc. (c) (e)		59		923
Select Medical Holdings Corp. (c)		33		263
Sequenom Inc. (c) (e)		65		410
SIGA Technologies Inc. (c) (e)		20		239
Sirona Dental Systems Inc. (c)		21		1,061
Skilled Healthcare Group Inc. - Class A (c)		12		177
Solta Medical Inc. (c)		41		134
Somaxon Pharmaceuticals Inc. (c) (e)		30		85
SonoSite Inc. (c)		8		282
Spectranetics Corp. (c)		15		71
Spectrum Pharmaceuticals Inc. (c) (e)		31		280
Staar Surgical Co. (c)		24		132
StemCells Inc. (c) (e)		72		66
Stereotaxis Inc. (c)		20		79
STERIS Corp.		37		1,289
Sucampo Pharmaceuticals Inc. - Class A (c)		4		18
Sun Healthcare Group Inc. (c)		15		211
Sunrise Senior Living Inc. (c)		35		417
SuperGen Inc. (c)		31		96
SurModics Inc. (c)		12		149
Symmetry Medical Inc. (c)		20		198
Syneron Medical Ltd. (c)		23		294
Synovis Life Technologies Inc. (c)		7		136
Synta Pharmaceuticals Corp. (c) (e)		14		73
Targacept Inc. (c)		14		384
Team Health Holdings Inc. (c)		10		183
Theravance Inc. (c)		40		958
TomoTherapy Inc. (c)		31		140
Transcend Services Inc. (c)		6		139
Transcept Pharmaceuticals Inc. (c)		3		24
Triple-S Management Corp. - Class B (c)		12		249
Unilife Corp. (c) (e)		33		186
Universal American Corp.		20		457
US Physical Therapy Inc.		6		137
Vanda Pharmaceuticals Inc. (c)		16		118
Vascular Solutions Inc. (c)		9		100
Vical Inc. (c) (e)		53		156
ViroPharma Inc. (c)		49		980
Vital Images Inc. (c)		9		120
Vivus Inc. (c) (e)		50		308
Volcano Corp. (c)		32		817
WellCare Health Plans Inc. (c)		27		1,123
West Pharmaceutical Services Inc.		21		943
Wright Medical Group Inc. (c)		25		417
XenoPort Inc. (c)		21		123
Young Innovations Inc.		3		91
Zalicus Inc. (c)		35		85
ZIOPHARM Oncology Inc. (c) (e)		34		214
Zoll Medical Corp. (c)		13		578

				98,243
INDUSTRIALS - 15.5%
3D Systems Corp. (c)		12		567
A123 Systems Inc. (c) (e)		43		271
AAON Inc.		7		234
AAR Corp. (c)		24		672
ABM Industries Inc. (e)		32		815
Acacia Research Corp. (c)		21		735
ACCO Brands Corp. (c)		32		304
Aceto Corp.		16		130
Actuant Corp. - Class A		43		1,242
Acuity Brands Inc.		27		1,599
Advanced Battery Technologies Inc. (c) (e)		35		69
Advisory Board Co. (c)		10		499


	Shares/Par (p)		Value
AeroVironment Inc. (c)		11		370
Air Transport Services Group Inc (c)		34		288
Aircastle Ltd.		32		381
AirTran Holdings Inc. (c)		86		643
Alamo Group Inc.		3		93
Alaska Air Group Inc. (c)		23		1,427
Albany International Corp. - Class A		18		440
Allegiant Travel Co.		9		400
Altra Holdings Inc. (c)		16		378
AMERCO (c)		5		501
Ameresco Inc. - Class A (c)		7		95
American Railcar Industries Inc. (c)		6		161
American Reprographics Co. (c)		22		228
American Science & Engineering Inc.		6		520
American Superconductor Corp. (c) (e)		31		777
American Woodmark Corp.		5		99
Ameron International Corp.		6		389
Ampco-Pittsburgh Corp.		5		138
AO Smith Corp.		23		1,019
APAC Customer Services Inc. (c)		20		118
Apogee Enterprises Inc.		16		214
Applied Energetics Inc. (c)		42		27
Applied Industrial Technologies Inc.		27		892
Argan Inc. (c) (e)		3		27
Arkansas Best Corp.		16		414
Astec Industries Inc. (c)		12		449
Astronics Corp. (c)		6		143
Atlas Air Worldwide Holdings Inc. (c)		16		1,137
Avis Budget Group Inc. (c)		63		1,134
AZZ Inc.		8		354
Badger Meter Inc. (e)		9		390
Baltic Trading Ltd.		12		109
Barnes Group Inc. (e)		31		653
Barrett Business Services Inc.		3		55
Beacon Roofing Supply Inc. (c)		29		596
Belden Inc.		29		1,080
Blount International Inc. (c)		29		460
BlueLinx Holdings Inc. (c)		5		20
Brady Corp. - Class A		31		1,100
Briggs & Stratton Corp.		31		705
Brink’s Co.		30		979
Broadwind Energy Inc. (c) (e)		71		92
Builders FirstSource Inc. (c)		25		71
CAI International Inc. (c)		7		178
Capstone Turbine Corp. (c) (e)		157		284
Cascade Corp.		6		254
Casella Waste Systems Inc. - Class A (c)		18		131
CBIZ Inc. (c) (e)		22		161
CDI Corp.		8		121
Celadon Group Inc. (c)		12		200
Cenveo Inc. (c)		33		217
Ceradyne Inc. (c)		16		704
Chart Industries Inc. (c)		17		962
CIRCOR International Inc.		10		486
CLARCOR Inc.		31		1,391
Clean Harbors Inc. (c)		15		1,432
Coleman Cable Inc. (c) (e)		4		38
Colfax Corp. (c)		14		328
Columbus Mckinnon Corp. (c)		12		221
Comfort Systems USA Inc.		24		335
Commercial Vehicle Group Inc. (c)		15		275
Consolidated Graphics Inc. (c)		6		324
Corporate Executive Board Co.		22		877
CoStar Group Inc. (c) (e)		13		803
Courier Corp.		6		89
CRA International Inc. (c)		7		191
Cubic Corp.		10		566
Curtiss-Wright Corp. (e)		29		1,019


	Shares/Par (p)		Value
Deluxe Corp.		32		842
DigitalGlobe Inc. (c)		17		483
Dolan Media Co. (c)		18		222
Dollar Thrifty Automotive Group Inc. (c)		18		1,180
Douglas Dynamics Inc.		6		88
Ducommun Inc.		6		147
DXP Enterprises Inc. (c)		5		122
Dycom Industries Inc. (c)		21		365
Dynamic Materials Corp.		9		246
Eagle Bulk Shipping Inc. (c) (e)		41		152
EMCOR Group Inc. (c)		42		1,292
Encore Wire Corp.		12		282
Ener1 Inc. (c) (e)		37		110
Energy Recovery Inc. (c) (e)		24		75
EnergySolutions Inc.		55		330
EnerNOC Inc. (c) (e)		12		228
EnerSys		30		1,211
Ennis Inc.		15		255
EnPro Industries Inc. (c)		13		481
ESCO Technologies Inc.		16		626
Esterline Technologies Corp. (c)		19		1,328
Excel Maritime Carriers Ltd. (c) (e)		21		92
Exponent Inc. (c)		9		393
Federal Signal Corp.		40		259
Flow International Corp. (c)		35		156
Force Protection Inc. (c)		45		221
Forward Air Corp.		18		543
Franklin Covey Co. (c)		9		74
Franklin Electric Co. Inc.		14		656
FreightCar America Inc. (c)		7		233
Fuel Tech Inc. (c)		12		107
FuelCell Energy Inc. (c) (e)		60		128
Furmanite Corp. (c)		25		202
G&K Services Inc. - Class A		11		376
Genco Shipping & Trading Ltd. (c) (e)		17		181
GenCorp Inc. (c)		39		235
Generac Holdings Inc. (c)		13		257
Genesee & Wyoming Inc. - Class A (c)		24		1,420
Geo Group Inc. (c)		39		991
GeoEye Inc. (c)		14		588
Gibraltar Industries Inc. (c)		20		234
Global Defense Technology & Systems Inc. (c)		4		96
Gorman-Rupp Co.		7		292
GP Strategies Corp. (c)		11		152
GrafTech International Ltd. (c)		76		1,561
Graham Corp.		7		162
Granite Construction Inc.		22		611
Great Lakes Dredge & Dock Corp.		37		284
Greenbrier Cos. Inc. (c)		14		386
Griffon Corp. (c)		26		345
GT Solar International Inc. (c)		33		356
H&E Equipment Services Inc. (c)		17		334
Hawaiian Holdings Inc. (c)		32		193
Healthcare Services Group Inc. (e)		41		716
Heartland Express Inc.		32		568
HEICO Corp. (e)		18		1,130
Heidrick & Struggles International Inc.		11		302
Herman Miller Inc.		35		967
Hexcel Corp. (c)		60		1,174
Higher One Holdings Inc. (c)		7		100
Hill International Inc. (c)		18		96
HNI Corp.		29		904
Hoku Corp. (c) (e)		9		18
Horizon Lines Inc. - Class A (e)		21		18
Houston Wire & Cable Co. (e)		12		176
HUB Group Inc. - Class A (c)		23		818
Hudson Highland Group Inc. (c)		21		134
Huron Consulting Group Inc. (c)		14		378


	Shares/Par (p)		Value
ICF International Inc. (c)		11		220
II-VI Inc. (c)		16		793
InnerWorkings Inc. (c) (e)		14		101
Insituform Technologies Inc. - Class A (c)		24		651
Insperity Inc.		14		417
Insteel Industries Inc.		12		174
Interface Inc. - Class A		30		561
Interline Brands Inc. (c)		21		422
International Shipholding Corp.		4		102
JetBlue Airways Corp. (c)		154		969
John Bean Technologies Corp.		18		344
Kadant Inc. (c)		8		204
Kaman Corp. - Class A		16		560
Kaydon Corp.		21		832
Kelly Services Inc. - Class A (c)		16		355
Keyw Holding Corp. (c)		6		79
Kforce Inc. (c)		19		351
Kimball International Inc. - Class B		17		120
Knight Transportation Inc.		37		710
Knoll Inc.		29		614
Korn/Ferry International (c)		29		636
Kratos Defense & Security Solutions Inc. (c)		15		221
LaBarge Inc. (c)		7		129
Ladish Co. Inc. (c)		10		551
Lawson Products Inc.		2		49
Layne Christensen Co. (c)		13		437
LB Foster Co.		6		266
LECG Corp. (c) (e)		14		3
Lindsay Corp. (e)		8		631
LMI Aerospace Inc. (c)		6		115
LSI Industries Inc.		13		93
Lydall Inc. (c)		14		121
M&F Worldwide Corp. (c)		6		151
Marten Transport Ltd.		9		203
MasTec Inc. (c)		33		676
McGrath RentCorp		14		395
Meritor Inc. (c)		58		982
Met-Pro Corp.		11		130
Metalico Inc. (c)		23		140
Michael Baker Corp. (c)		5		138
Middleby Corp. (c)		10		956
Miller Industries Inc.		6		100
Mine Safety Appliances Co.		17		607
Mistras Group Inc. (c)		8		135
Mobile Mini Inc. (c)		22		538
Moog Inc. - Class A (c)		29		1,312
Mueller Industries Inc.		23		854
Mueller Water Products Inc.		98		437
Multi-Color Corp.		7		138
MYR Group Inc. (c)		13		305
NACCO Industries Inc. - Class A		4		388
Navigant Consulting Inc. (c)		32		322
NCI Building Systems Inc. (c)		13		163
Nordson Corp.		21		2,458
Northwest Pipe Co. (c)		6		145
Old Dominion Freight Line Inc. (c)		26		928
Omega Flex Inc. (c) (e)		1		13
On Assignment Inc. (c)		24		229
Orbital Sciences Corp. (c)		37		695
Orion Marine Group Inc. (c)		17		184
Otter Tail Corp.		23		525
P.A.M. Transportation Services (c)		2		30
Pacer International Inc. (c)		25		133
Park-Ohio Holdings Corp. (c)		4		87
Patriot Transportation Holding Inc. (c)		3		89
PGT Inc. (c) (e)		10		24
Pike Electric Corp. (c)		11		103
Pinnacle Airlines Corp. (c)		10		57


	Shares/Par (p)		Value
PMFG Inc. (c) (e)		10		217
Polypore International Inc. (c)		13		764
Powell Industries Inc. (c)		6		227
PowerSecure International Inc. (c) (e)		12		106
Preformed Line Products Co.		2		106
Primoris Services Corp. (e)		14		141
Quality Distribution Inc. (c)		5		57
Quanex Building Products Corp.		24		466
RailAmerica Inc. (c)		13		225
Raven Industries Inc.		10		637
RBC Bearings Inc. (c)		13		499
Republic Airways Holdings Inc. (c) (e)		28		180
Resources Connection Inc.		30		576
Roadrunner Transportation Systems Inc. (c)		6		85
Robbins & Myers Inc.		24		1,120
Rollins Inc.		40		809
RSC Holdings Inc. (c)		31		444
Rush Enterprises Inc. - Class A (c)		19		371
Saia Inc. (c)		11		175
SatCon Technology Corp. (c) (e)		71		273
Sauer-Danfoss Inc. (c)		7		354
Schawk Inc. - Class A		7		143
School Specialty Inc. (c) (e)		10		150
Seaboard Corp.		—		492
SeaCube Container Leasing Ltd.		8		125
SFN Group Inc. (c)		33		461
Simpson Manufacturing Co. Inc.		24		719
SkyWest Inc.		34		578
Standard Parking Corp. (c)		10		174
Standard Register Co.		14		45
Standex International Corp.		8		304
Steelcase Inc. - Class A		49		562
Sterling Construction Co. Inc. (c)		10		163
Sun Hydraulics Corp.		8		343
Sykes Enterprises Inc. (c)		25		492
TAL International Group Inc.		10		378
Taser International Inc. (c) (e)		41		168
Team Inc. (c)		12		319
Tecumseh Products Co. - Class A (c)		10		101
Teledyne Technologies Inc. (c)		22		1,153
Tennant Co.		12		497
Tetra Tech Inc. (c)		39		964
Textainer Group Holdings Ltd.		6		215
Titan International Inc. (e)		22		589
Titan Machinery Inc. (c) (e)		8		208
Tredegar Corp.		15		331
Trex Co. Inc. (c) (e)		10		310
TriMas Corp. (c)		10		208
Triumph Group Inc.		11		934
TrueBlue Inc. (c)		27		448
Tutor Perini Corp. (e)		17		421
Twin Disc Inc.		6		184
Ultrapetrol Ltd. (c) (e)		13		67
UniFirst Corp.		9		467
United Capital Corp. (c)		1		25
United Rentals Inc. (c)		38		1,268
United Stationers Inc.		15		1,086
Universal Forest Products Inc.		12		445
Universal Truckload Services Inc. (c)		3		47
UQM Technologies Inc. (c) (e)		19		58
US Airways Group Inc. (c)		100		867
US Ecology Inc.		11		184
USA Truck Inc. (c)		3		45
Viad Corp.		13		314
Vicor Corp.		12		190
VSE Corp.		2		63
Wabash National Corp. (c)		42		481
Watsco Inc.		18		1,223


	Shares/Par (p)		Value
Watts Water Technologies Inc. - Class A		18		681
Werner Enterprises Inc.		27		708
Woodward Governor Co.		38		1,326
Xerium Technologies Inc. (c)		5		114

				124,243
INFORMATION TECHNOLOGY - 19.0%
ACI Worldwide Inc. (c)		21		695
Acme Packet Inc. (c)		29		2,089
Actuate Corp. (c)		28		143
Acxiom Corp. (c)		43		624
ADTRAN Inc.		39		1,658
Advanced Analogic Technologies Inc. (c)		26		99
Advanced Energy Industries Inc. (c)		23		377
Advent Software Inc. (c)		19		541
Agilysys Inc. (c)		11		62
Alpha & Omega Semiconductor Ltd. (c)		3		35
American Software Inc. - Class A		11		79
Amkor Technology Inc. (c) (e)		68		456
Anadigics Inc. (c)		42		187
Anaren Inc. (c)		9		172
Ancestry.com Inc. (c)		12		409
Anixter International Inc.		18		1,237
Applied Micro Circuits Corp. (c)		39		410
Archipelago Learning Inc. (c)		6		54
Ariba Inc. (c)		56		1,925
Arris Group Inc. (c)		80		1,022
Aruba Networks Inc. (c)		47		1,605
Aspen Technology Inc. (c)		40		596
ATMI Inc. (c)		19		367
Aviat Networks Inc. (c)		35		179
Avid Technology Inc. (c)		18		411
Axcelis Technologies Inc. (c)		69		183
AXT Inc. (c) (e)		20		144
Bel Fuse Inc. - Class B		6		139
Benchmark Electronics Inc. (c)		39		740
BigBand Networks Inc. (c)		27		69
Black Box Corp.		10		363
Blackbaud Inc.		28		756
Blackboard Inc. (c) (e)		21		747
Blue Coat Systems Inc. (c)		25		711
Bottomline Technologies Inc. (c)		21		538
Brightpoint Inc. (c)		43		465
BroadSoft Inc. (c)		5		240
Brooks Automation Inc. (c)		40		555
Cabot Microelectronics Corp. (c)		14		753
CACI International Inc. - Class A (c)		19		1,170
Calix Inc. (c)		6		121
Cass Information Systems Inc.		5		215
Cavium Networks Inc. (c)		28		1,258
CDC Corp. - Class A (c) (e)		18		45
Ceva Inc. (c)		13		349
Checkpoint Systems Inc. (c)		24		544
Ciber Inc. (c)		40		267
Cirrus Logic Inc. (c)		44		921
Cognex Corp.		24		680
Coherent Inc. (c)		16		907
Cohu Inc.		16		243
CommVault Systems Inc. (c)		27		1,062
Computer Task Group Inc. (c)		9		123
comScore Inc. (c)		13		397
Comtech Telecommunications Corp.		17		473
Comverge Inc. (c) (e)		17		81
Concur Technologies Inc. (c)		25		1,405
Conexant Systems Inc. (c) (e)		61		145
Constant Contact Inc. (c) (e)		17		600
Convio Inc. (c)		3		37
Cray Inc. (c)		24		154


	Shares/Par (p)		Value
CSG Systems International Inc. (c)		22		439
CTS Corp.		20		212
Cymer Inc. (c)		19		1,050
Daktronics Inc.		20		218
DDi Corp.		10		107
DealerTrack Holdings Inc. (c)		24		555
Deltek Inc. (c)		8		64
DemandTec Inc. (c)		12		163
DG FastChannel Inc. (c)		16		519
Dice Holdings Inc. (c)		11		162
Digi International Inc. (c)		14		144
Digimarc Corp. (c) (e)		5		142
Digital River Inc. (c) (e)		25		940
Diodes Inc. (c)		21		704
DSP Group Inc. (c)		15		118
DTS Inc. (c)		11		507
Earthlink Inc.		69		542
Ebix Inc. (c) (e)		18		429
Echelon Corp. (c)		21		214
Echo Global Logistics Inc. (c) (e)		6		76
Electro Rent Corp.		9		155
Electro Scientific Industries Inc. (c)		18		307
Electronics for Imaging Inc. (c)		28		411
EMS Technologies Inc. (c)		10		188
Emulex Corp. (c)		56		593
Energy Conversion Devices Inc. (c) (e)		31		70
Entegris Inc. (c)		80		703
Entropic Communications Inc. (c) (e)		40		334
Envestnet Inc. (c)		6		76
Epicor Software Corp. (c)		31		343
EPIQ Systems Inc.		19		272
ePlus Inc. (c)		3		67
Euronet Worldwide Inc. (c)		31		591
Evergreen Solar Inc. (c) (e)		16		21
Exar Corp. (c) (e)		24		142
ExlService Holdings Inc. (c)		9		192
Extreme Networks (c)		61		212
Fabrinet (c)		7		134
Fair Isaac Corp.		26		819
FalconStor Software Inc. (c) (e)		18		83
FARO Technologies Inc. (c)		11		421
FEI Co. (c)		24		793
Finisar Corp. (c)		50		1,224
FormFactor Inc. (c)		32		329
Forrester Research Inc.		10		364
Fortinet Inc. (c)		26		1,135
FSI International Inc. (c)		28		124
Gerber Scientific Inc. (c)		19		175
Global Cash Access Holdings Inc. (c)		41		134
Globecomm Systems Inc. (c)		13		163
GSI Commerce Inc. (c)		41		1,198
GSI Technology Inc. (c)		12		111
Guidance Software Inc. (c)		7		60
Hackett Group Inc. (c)		19		72
Harmonic Inc. (c)		72		671
Heartland Payment Systems Inc.		23		404
Hittite Microwave Corp. (c)		17		1,101
Hughes Communications Inc. (c)		5		328
Hutchinson Technology Inc. (c) (e)		13		35
Hypercom Corp. (c)		29		350
iGate Corp.		15		286
Ikanos Communications Inc. (c) (e)		16		18
Imation Corp. (c)		17		187
Immersion Corp. (c)		20		154
Infinera Corp. (c) (e)		57		476
Infospace Inc. (c)		23		199
Inphi Corp. (c)		5		102
Insight Enterprises Inc. (c)		28		474


	Shares/Par (p)		Value
Integral Systems Inc. (c)		10		123
Integrated Device Technology Inc. (c)		94		694
Integrated Silicon Solutions Inc. (c)		19		174
Interactive Intelligence Inc. (c)		8		317
InterDigital Inc. (e)		27		1,287
Intermec Inc. (c)		30		320
Internap Network Services Corp. (c)		32		213
Internet Capital Group Inc. (c)		22		306
Intevac Inc. (c)		14		174
IntraLinks Holdings Inc. (c)		7		189
IPG Photonics Corp. (c) (e)		16		908
Ixia (c)		22		357
IXYS Corp. (c)		15		199
j2 Global Communications Inc. (c)		29		845
Jack Henry & Associates Inc.		54		1,815
JDA Software Group Inc. (c)		27		820
Kenexa Corp. (c)		14		385
Keynote Systems Inc.		7		134
KIT Digital Inc. (c) (e)		17		200
Knot Inc. (c)		19		223
Kopin Corp. (c)		41		190
Kulicke & Soffa Industries Inc. (c)		42		390
KVH Industries Inc. (c)		9		129
L-1 Identity Solutions Inc. (c)		48		564
Lattice Semiconductor Corp. (c)		69		408
Lawson Software Inc. (c)		88		1,060
Limelight Networks Inc. (c)		29		207
Lionbridge Technologies Inc. (c)		36		123
Liquidity Services Inc. (c)		8		140
Littelfuse Inc.		14		796
LivePerson Inc. (c)		27		339
Local.com Corp. (c) (e)		19		73
LogMeIn Inc. (c)		9		384
LoopNet Inc. (c)		12		177
Loral Space & Communications Inc. (c)		7		507
LTX-Credence Corp. (c)		32		290
Magma Design Automation Inc. (c)		39		265
Manhattan Associates Inc. (c)		14		457
Mantech International Corp. - Class A (c)		14		587
Marchex Inc. - Class B		13		104
Mattson Technology Inc. (c)		34		82
MAXIMUS Inc.		11		860
MaxLinear Inc. - Class A (c) (e)		4		33
Maxwell Technologies Inc. (c)		17		286
Measurement Specialties Inc. (c)		8		287
Mediamind Technologies Inc. (c)		3		48
Mentor Graphics Corp. (c)		66		964
Mercury Computer Systems Inc. (c)		17		364
Meru Networks Inc. (c) (e)		3		59
Methode Electronics Inc.		25		296
Micrel Inc.		31		415
Microsemi Corp. (c)		52		1,086
MicroStrategy Inc. - Class A (c)		5		717
Microvision Inc. (c) (e)		52		69
Mindspeed Technologies Inc. (c) (e)		24		202
MIPS Technologies Inc. - Class A (c) (e)		32		331
MKS Instruments Inc.		31		1,029
ModusLink Global Solutions Inc.		32		176
MoneyGram International Inc. (c)		60		205
Monolithic Power Systems Inc. (c)		19		275
Monotype Imaging Holdings Inc. (c)		13		187
MoSys Inc. (c) (e)		18		109
Motricity Inc. (c) (e)		4		57
Move Inc. (c)		90		214
MTS Systems Corp.		9		422
Multi-Fineline Electronix Inc. (c)		6		170
Nanometrics Inc. (c)		12		210
NCI Inc. - Class A (c)		4		106


	Shares/Par (p)		Value
NetGear Inc. (c)		22		706
NetLogic Microsystems Inc. (c)		39		1,653
NetScout Systems Inc. (c)		18		502
NetSuite Inc. (c) (e)		11		321
Network Engines Inc. (c)		19		39
Network Equipment Technologies Inc. (c)		13		48
Newport Corp. (c)		24		424
NIC Inc.		34		426
Novatel Wireless Inc. (c)		21		114
NVE Corp. (c)		3		181
Oclaro Inc. (c)		30		351
Omnivision Technologies Inc. (c)		34		1,220
Online Resources Corp. (c)		20		74
OpenTable Inc. (c) (e)		10		1,039
Openwave Systems Inc. (c)		62		134
Oplink Communications Inc. (c)		12		241
OPNET Technologies Inc.		8		323
Opnext Inc. (c)		37		91
OSI Systems Inc. (c)		10		360
Parametric Technology Corp. (c)		73		1,640
Park Electrochemical Corp.		13		410
PC Connection Inc. (c)		5		41
PC-Tel Inc. (c)		10		80
PDF Solutions Inc. (c)		12		81
Pegasystems Inc. (e)		10		367
Perficient Inc. (c)		13		154
Pericom Semiconductor Corp. (c)		16		164
Photronics Inc. (c) (e)		34		308
Plantronics Inc.		30		1,115
Plexus Corp. (c)		26		899
PLX Technology Inc. (c)		24		86
Power Integrations Inc.		16		604
Power-One Inc. (c) (e)		42		367
Powerwave Technologies Inc. (c)		100		451
Presstek Inc. (c) (e)		15		31
Progress Software Corp. (c)		42		1,231
PROS Holdings Inc. (c)		12		177
Pulse Electronics Corp.		29		174
QAD Inc. - Class A (c)		2		27
QLIK Technologies Inc. (c)		8		218
Quantum Corp. (c)		131		330
Quest Software Inc. (c)		38		963
QuinStreet Inc. (c) (e)		7		153
Rackspace Hosting Inc. (c)		61		2,602
Radiant Systems Inc. (c)		20		353
Radisys Corp. (c)		13		116
RealD Inc. (c) (e)		9		250
RealNetworks Inc. (c)		47		176
RealPage Inc. (c)		9		246
Renaissance Learning Inc.		7		84
RF Micro Devices Inc. (c)		165		1,058
Richardson Electronics Ltd.		11		142
RightNow Technologies Inc. (c)		14		438
Rimage Corp.		4		72
Riverbed Technology Inc. (c)		84		3,149
Rofin-Sinar Technologies Inc. (c)		18		693
Rogers Corp. (c)		10		442
Rosetta Stone Inc. (c) (e)		6		75
Rubicon Technology Inc. (c) (e)		10		290
Rudolph Technologies Inc. (c)		19		206
S1 Corp. (c)		32		210
Saba Software Inc. (c)		18		179
Safeguard Scientifics Inc. (c)		12		239
Sanmina-SCI Corp. (c)		49		551
Sapient Corp. (c)		62		714
SAVVIS Inc. (c)		23		861
ScanSource Inc. (c)		17		635
SeaChange International Inc. (c)		19		183


	Shares/Par (p)		Value
Semtech Corp. (c)		38		960
ShoreTel Inc. (c)		29		239
Sigma Designs Inc. (c)		20		258
Silicon Graphics International Corp. (c)		18		383
Silicon Image Inc. (c)		48		432
Smart Modular Technologies WWH Inc. (c)		34		264
Smith Micro Software Inc. (c)		19		178
SolarWinds Inc. (c)		21		495
Sonus Networks Inc. (c)		131		493
Sourcefire Inc. (c)		17		456
Spansion Inc. (c)		10		180
Spectrum Control Inc. (c)		8		158
SPS Commerce Inc. (c)		3		39
SRA International Inc. - Class A (c)		27		754
SRS Labs Inc. (c)		5		44
SS&C Technologies Holdings Inc. (c)		9		185
Stamps.com Inc.		6		86
Standard Microsystems Corp. (c)		13		327
STEC Inc. (c) (e)		25		494
Stratasys Inc. (c)		12		582
SuccessFactors Inc. (c)		40		1,546
Super Micro Computer Inc. (c)		16		249
Supertex Inc. (c)		7		147
support.com Inc. (c)		26		133
Sycamore Networks Inc.		11		279
Symmetricom Inc. (c)		27		164
Synaptics Inc. (c) (e)		21		569
Synchronoss Technologies Inc. (c)		15		508
SYNNEX Corp. (c)		14		443
Syntel Inc.		9		445
Take-Two Interactive Software Inc. (c)		45		690
Taleo Corp. - Class A (c)		25		899
TechTarget Inc. (c) (e)		8		73
Tekelec (c)		41		331
TeleCommunication Systems Inc. - Class A (c)		29		121
TeleNav Inc. (c) (e)		4		51
TeleTech Holdings Inc. (c)		18		345
Terremark Worldwide Inc. (c)		34		655
Tessco Technologies Inc.		3		31
Tessera Technologies Inc. (c)		32		588
THQ Inc. (c)		39		177
TIBCO Software Inc. (c)		104		2,832
Tier Technologies Inc. - Class B (c)		8		41
TiVo Inc. (c)		71		626
TNS Inc. (c)		17		259
Travelzoo Inc. (c) (e)		4		243
Trident Microsystems Inc. (c)		49		57
TriQuint Semiconductor Inc. (c)		98		1,263
TTM Technologies Inc. (c)		51		922
Tyler Technologies Inc. (c) (e)		17		404
Ultimate Software Group Inc. (c)		16		928
Ultra Clean Holdings Inc. (c)		16		168
Ultratech Inc. (c)		15		444
Unisys Corp. (c)		26		820
United Online Inc.		52		325
Universal Display Corp. (c)		19		1,048
UTStarcom Inc. (c)		80		187
ValueClick Inc. (c)		50		729
VASCO Data Security International Inc. (c)		16		227
Veeco Instruments Inc. (c) (e)		26		1,298
VeriFone Holdings Inc. (c)		53		2,936
ViaSat Inc. (c)		21		838
Viasystems Group Inc. (c)		2		63
VirnetX Holding Corp. (e)		21		424
Virtusa Corp. (c)		9		163
Vocus Inc. (c)		10		259
Volterra Semiconductor Corp. (c)		15		380
Wave Systems Corp. (c) (e)		53		164


	Shares/Par (p)		Value
Websense Inc. (c)		26		593
Wright Express Corp. (c)		24		1,267
X-Rite Inc. (c) (e)		19		91
Xyratex Ltd. (c)		18		207
Zixit Corp. (c)		39		143
Zoran Corp. (c)		33		339
Zygo Corp. (c)		11		159

				151,850
MATERIALS - 5.8%
A. Schulman Inc.		19		469
AEP Industries Inc. (c)		3		87
Allied Nevada Gold Corp. (c)		47		1,669
AM Castle & Co. (c)		10		190
AMCOL International Corp.		14		517
American Vanguard Corp. (e)		13		113
Arch Chemicals Inc.		14		567
Balchem Corp.		18		676
Boise Inc.		43		392
Buckeye Technologies Inc.		24		654
Calgon Carbon Corp. (c)		36		573
Capital Gold Corp. (c)		35		227
Century Aluminum Co. (c)		41		758
Clearwater Paper Corp. (c)		7		582
Coeur d’Alene Mines Corp. (c)		55		1,920
Deltic Timber Corp.		6		424
Ferro Corp. (c)		55		906
General Moly Inc. (c) (e)		42		228
Georgia Gulf Corp. (c)		21		794
Glatfelter		28		370
Globe Specialty Metals Inc.		38		865
Golden Star Resources Ltd. (c)		160		476
Graham Packaging Co. Inc. (c)		11		196
Graphic Packaging Holding Co. (c)		70		382
Hawkins Inc.		5		226
Haynes International Inc.		7		414
HB Fuller Co.		30		652
Headwaters Inc. (c)		37		216
Hecla Mining Co. (c)		175		1,586
Horsehead Holding Corp. (c)		28		476
Innophos Holdings Inc.		13		592
Jaguar Mining Inc. (c) (e)		51		267
Kaiser Aluminum Corp.		9		459
KapStone Paper and Packaging Corp. (c)		23		388
KMG Chemicals Inc.		3		65
Koppers Holdings Inc.		13		564
Kraton Performance Polymers Inc. (c)		7		279
Landec Corp. (c)		16		103
Louisiana-Pacific Corp. (c)		80		845
LSB Industries Inc. (c)		11		419
Materion Corp. (c)		12		499
Metals USA Holdings Corp. (c)		6		101
Minerals Technologies Inc.		12		797
Molycorp Inc. (c) (e)		16		975
Myers Industries Inc.		23		226
Neenah Paper Inc.		10		214
NewMarket Corp.		6		920
NL Industries Inc.		4		53
Noranda Aluminium Holding Corp. (c)		9		148
Olin Corp.		49		1,115
Olympic Steel Inc.		5		180
OM Group Inc. (c)		19		699
Omnova Solutions Inc. (c)		27		212
PolyOne Corp.		59		837
Quaker Chemical Corp.		7		268
Rock-Tenn Co. - Class A (e)		24		1,695
Rockwood Holdings Inc. (c)		33		1,611
RTI International Metals Inc. (c)		18		574


	Shares/Par (p)		Value
Schweitzer-Mauduit International Inc.		11		577
Senomyx Inc. (c) (e)		26		158
Sensient Technologies Corp.		30		1,093
Silgan Holdings Inc.		34		1,296
Solutia Inc. (c)		76		1,934
Spartech Corp. (c)		18		130
Stepan Co.		5		351
Stillwater Mining Co. (c)		28		633
STR Holdings Inc. (c)		17		327
Texas Industries Inc. (e)		13		566
Thompson Creek Metals Co. Inc. (c)		101		1,264
TPC Group Inc. (c)		4		122
United States Lime & Minerals Inc. (c)		1		57
Universal Stainless & Alloy Products Inc. (c)		5		162
US Energy Corp. Wyoming (c)		18		111
US Gold Corp. (c) (e)		64		565
Verso Paper Corp. (c) (e)		8		42
Wausau Paper Corp.		29		225
Westlake Chemical Corp.		12		690
Worthington Industries Inc.		34		717
WR Grace & Co. (c)		46		1,747
Zep Inc.		14		252
Zoltek Cos. Inc. (c) (e)		17		226

				45,955
TELECOMMUNICATION SERVICES - 0.7%
AboveNet Inc.		14		925
Alaska Communications Systems Group Inc. (e)		29		312
Atlantic Tele-Network Inc.		5		194
Cbeyond Inc. (c)		16		187
Cincinnati Bell Inc. (c)		131		352
Cogent Communications Group Inc. (c)		27		381
Consolidated Communications Holdings Inc.		15		277
FiberTower Corp. (c)		30		60
General Communication Inc. - Class A (c)		25		269
Global Crossing Ltd. (c)		18		255
Globalstar Inc. (c) (e)		37		48
ICO Global Communications Holdings Ltd. - Class A (c) (e)		62		166
IDT Corp. - Class B		9		248
Iridium Communications Inc. (c) (e)		23		185
Neutral Tandem Inc. (c)		21		304
NTELOS Holdings Corp.		19		342
PAETEC Holding Corp. (c)		75		249
Premiere Global Services Inc. (c)		38		292
Shenandoah Telecommunications Co.		14		248
USA Mobility Inc.		13		189
Vonage Holdings Corp. (c)		68		310

				5,793
UTILITIES - 2.9%
Allete Inc.		19		751
American DG Energy Inc. (c) (e)		10		22
American States Water Co.		12		431
Artesian Resources Corp. - Class A (e)		3		53
Avista Corp.		34		786
Black Hills Corp.		25		831
Cadiz Inc. (c) (e)		6		74
California Water Service Group		13		472
Central Vermont Public Service Corp.		9		206
CH Energy Group Inc.		10		514
Chesapeake Utilities Corp.		6		239
Cleco Corp.		38		1,311
Connecticut Water Services Inc.		5		138
Consolidated Water Co. Ltd. (e)		10		104
Dynegy Inc. (c)		63		357
El Paso Electric Co. (c)		27		824


	Shares/Par (p)		Value
Empire District Electric Co. (e)		24		523
IDACORP Inc.		30		1,156
Laclede Group Inc.		14		520
MGE Energy Inc.		14		583
Middlesex Water Co.		8		152
New Jersey Resources Corp.		25		1,092
Nicor Inc.		28		1,491
Northwest Natural Gas Co.		17		778
NorthWestern Corp.		22		667
Piedmont Natural Gas Co. Inc.		45		1,370
PNM Resources Inc.		54		801
Portland General Electric Co.		47		1,129
SJW Corp.		8		177
South Jersey Industries Inc.		18		1,031
Southwest Gas Corp.		28		1,089
UIL Holdings Corp.		31		949
UniSource Energy Corp.		22		789
Unitil Corp.		7		160
WGL Holdings Inc. (e)		32		1,245
York Water Co. (e)		8		135

				22,950

Total Common Stocks (cost $616,064)				786,691

RIGHTS - 0.0%
Empire Resorts Inc. (c) (f)		14		—

Total Rights (cost $0)				—

SHORT TERM INVESTMENTS - 11.2%
Investment Company - 1.5%
JNL Money Market Fund, 0.08% (a) (h)		11,536		11,536
Securities Lending Collateral - 9.6%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		74,890		74,890
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		1,998		1,951

				76,841
Treasury Securities - 0.1%
U.S. Treasury Bill, 0.19%, 06/16/11 (o)	$	660		660

Total Short Term Investments (cost $89,084)				89,037

Total Investments - 109.6% (cost $705,148)				875,728
Other Assets and Liabilities, Net - (9.6%)				(76,514	)

Total Net Assets - 100.0%			$	799,214

JNL/Mellon Capital Management International Index Fund
COMMON STOCKS - 96.8%
CONSUMER DISCRETIONARY - 9.5%
ABC-Mart Inc.		3	$	120
Accor SA		15		673
Adidas AG		22		1,386
Aisin Seiki Co. Ltd.		20		691
Asics Corp.		14		187
Autogrill SpA (c) (e)		11		158
Axel Springer AG		2		256
Bayerische Motoren Werke AG		36		2,962
Benesse Holdings Inc.		8		319
Billabong International Ltd. (e)		22		174
Bridgestone Corp.		68		1,433


	Shares/Par (p)		Value
British Sky Broadcasting Group Plc		120		1,584
Burberry Group Plc		45		851
Canon Marketing Japan Inc.		5		63
Carnival Plc		19		751
Casio Computer Co. Ltd. (e)		27		212
Christian Dior SA		7		946
Compagnie Financiere Richemont SA		56		3,231
Compagnie Generale des Etablissements Michelin		19		1,564
Compass Group Plc		198		1,776
Continental AG (c)		5		479
Crown Ltd. (e)		48		404
Daihatsu Motor Co. Ltd. (e)		22		321
Daimler AG (c) (e)		95		6,760
Dena Co. Ltd.		9		336
Denso Corp.		51		1,689
Dentsu Inc. (e)		18		475
Electrolux AB (e)		25		643
Esprit Holdings Ltd.		118		541
Eutelsat Communications Group SA		11		421
Fairfax Media Ltd. (e)		209		279
Fast Retailing Co. Ltd.		6		688
Fiat SpA (e)		79		718
Fuji Heavy Industries Ltd. (e)		62		400
Fuji Media Holdings Inc.		—		22
Genting International Plc (c) (e)		661		1,075
Gestevision Telecinco SA (c)		18		210
Hakuhodo DY Holdings Inc.		2		110
Harvey Norman Holdings Ltd. (e)		55		171
Hennes & Mauritz AB		108		3,583
Home Retail Group Plc		91		281
Honda Motor Co. Ltd.		172		6,477
Husqvarna AB		43		370
Inditex SA		23		1,836
InterContinental Hotels Group Plc		30		605
Isetan Mitsukoshi Holdings Ltd. (c)		40		356
Isuzu Motors Ltd. (e)		131		518
ITV Plc (c)		382		474
J. Front Retailing Co. Ltd.		53		221
Jardine Cycle & Carriage Ltd.		12		345
JC Decaux SA (c)		7		250
Jupiter Telecommunications Co. Ltd.		—		251
Kabel Deutschland Holding AG (c)		6		306
Kingfisher Plc		244		961
Koito Manufacturing Co. Ltd.		11		176
Lagardere SCA		13		540
Li & Fung Ltd.		304		1,556
Lifestyle International Holdings Ltd.		69		164
Luxottica Group SpA (e)		13		425
LVMH Moet Hennessy Louis Vuitton SA		26		4,094
M6-Metropole Television SA		7		194
Marks & Spencer Group Plc		164		883
Marui Group Co. Ltd. (e)		25		158
Mazda Motor Corp.		169		372
McDonald’s Holdings Co. Japan Ltd. (e)		6		150
Mediaset SpA		76		485
Mitsubishi Motors Corp. (c) (e)		415		509
Modern Times Group AB - Class B		5		409
Namco Bandai Holdings Inc.		18		194
Next Plc		20		622
NGK Spark Plug Co. Ltd.		19		260
NHK Spring Co. Ltd.		15		149
Nikon Corp.		34		705
Nissan Motor Co. Ltd.		267		2,367
Nisshinbo Holdings Inc. (e)		15		146
Nitori Co. Ltd.		4		325
NOK Corp.		12		220
Nokian Renkaat Oyj		11		487


	Shares/Par (p)		Value
OPAP SA		25		528
Oriental Land Co. Ltd.		6		437
PagesJaunes Groupe SA (e)		16		162
Panasonic Corp.		234		2,975
Pandora A/S		6		300
Pearson Plc		85		1,507
Peugeot SA (c)		16		626
Pirelli & C. SpA (e)		24		209
PPR SA		8		1,225
ProSiebenSat.1 Media AG		8		240
Publicis Groupe		14		764
Puma AG Rudolf Dassler Sport		—		144
Rakuten Inc. (e)		1		712
Reed Elsevier NV		75		962
Reed Elsevier Plc		128		1,108
Renault SA (c)		20		1,118
Rinnai Corp. (e)		4		279
Sands China Ltd. (c)		252		563
Sankyo Co. Ltd.		6		297
Sanoma Oyj (e)		9		206
Sega Sammy Holdings Inc.		21		359
Sekisui Chemical Co. Ltd.		46		360
Sekisui House Ltd.		62		581
SES SA - FDR		33		841
Shangri-La Asia Ltd.		150		388
Sharp Corp. (e)		105		1,041
Shimamura Co. Ltd.		3		229
Shimano Inc.		8		375
Singapore Press Holdings Ltd. (e)		164		513
SJM Holdings Ltd.		165		289
SKYCITY Entertainment Group Ltd.		71		184
Societe Television Francaise 1		11		210
Sodexo SA		10		754
Sony Corp.		106		3,395
Stanley Electric Co. Ltd.		17		273
Sumitomo Rubber Industries Inc.		16		163
Suzuki Motor Corp.		36		798
Swatch Group AG		7		1,770
Tabcorp Holdings Ltd.		76		586
Takashimaya Co. Ltd.		25		160
Tatts Group Ltd.		127		308
Thomas Cook Group Plc		86		237
Toho Co. Ltd. (e)		12		176
Toyoda Gosei Co. Ltd.		6		125
Toyota Boshoku Corp.		7		106
Toyota Industries Corp.		19		578
Toyota Motor Corp.		292		11,759
TUI AG (c) (e)		15		181
TUI Travel Plc		60		219
USS Co. Ltd.		2		156
Vivendi SA		130		3,727
Volkswagen AG		3		503
Whitbread Plc		18		490
Wolters Kluwer NV		31		726
WPP Plc		136		1,675
Wynn Macau Ltd.		164		459
Yamada Denki Co. Ltd.		9		608
Yamaha Corp.		17		196
Yamaha Motor Co. Ltd. (c) (e)		29		508
Yue Yuen Industrial Holdings Ltd.		85		270

				118,141
CONSUMER STAPLES - 9.3%
AEON Co. Ltd. (e)		66		759
Ajinomoto Co. Inc.		73		761
Anheuser-Busch InBev NV		76		4,345
Anheuser-Busch InBev NV - Strip VVPR (c)		13		—
Aryzta AG		9		463


	Shares/Par (p)		Value
Asahi Breweries Ltd.		42		703
Associated British Foods Plc		37		591
Beiersdorf AG		11		657
British American Tobacco Plc		211		8,478
Carlsberg A/S		11		1,214
Carrefour SA		64		2,845
Casino Guichard Perrachon SA		6		576
Coca-Cola Amatil Ltd.		59		716
Coca-Cola Hellenic Bottling Co. SA		20		542
Coca-Cola West Co. Ltd.		4		84
Colruyt SA		8		401
Danone SA		62		4,021
Delhaize Group		11		855
Diageo Plc		264		5,027
FamilyMart Co. Ltd.		8		282
Foster’s Group Ltd.		203		1,203
Golden Agri-Resources Ltd.		648		355
Goodman Fielder Ltd.		140		178
Heineken Holding NV		12		581
Heineken NV		27		1,489
Henkel AG & Co. KGaA		14		706
Imperial Tobacco Group Plc		107		3,322
Ito En Ltd.		4		77
J Sainsbury Plc		133		713
Japan Tobacco Inc.		—		1,702
Jeronimo Martins SGPS SA (c)		25		398
Kao Corp.		58		1,454
Kerry Group Plc		15		561
Kesko Oyj		7		309
Kikkoman Corp. (e)		17		160
Kirin Holdings Co. Ltd.		88		1,156
Koninklijke Ahold NV		128		1,723
L’Oreal SA		26		2,994
Lawson Inc.		7		318
Lindt & Spruengli AG		—		423
MEIJI Holdings Co. Ltd. (e)		8		310
Metcash Ltd. (e)		83		357
Metro AG		14		964
Nestle SA		367		21,033
Nippon Meat Packers Inc. (e)		19		240
Nisshin Seifun Group Inc.		18		206
Nissin Foods Holdings Co. Ltd. (e)		7		254
Olam International Ltd. (e)		128		283
Parmalat SpA (e)		191		639
Pernod-Ricard SA		21		1,938
Reckitt Benckiser Group Plc		65		3,342
SABMiller Plc		100		3,555
Sapporo Holdings Ltd.		26		97
Seven & I Holdings Co. Ltd.		81		2,065
Shiseido Co. Ltd. (e)		35		611
Suedzucker AG		7		195
Swedish Match AB		24		799
Tesco Plc		848		5,186
Toyo Suisan Kaisha Ltd.		9		195
Unicharm Corp. (e)		14		502
Unilever NV		172		5,398
Unilever Plc		136		4,131
UNY Co. Ltd.		22		204
Wesfarmers Ltd.		108		3,539
Wesfarmers Ltd.		16		542
Wilmar International Ltd. (e)		203		879
WM Morrison Supermarkets Plc		231		1,022
Woolworths Ltd.		128		3,570
Yakult Honsha Co. Ltd. (e)		10		261
Yamazaki Baking Co. Ltd.		15		175

				115,634


	Shares/Par (p)		Value
ENERGY - 8.3%
Aker Solutions ASA (c)		18		414
AMEC Plc		35		660
BG Group Plc		358		8,912
BP Plc		1,990		14,490
Cairn Energy Plc (c)		144		1,071
Caltex Australia Ltd.		16		254
Cie Generale de Geophysique-Veritas (c)		16		572
Cosmo Oil Co. Ltd.		68		212
ENI SpA		275		6,761
Essar Energy Plc (c) (e)		33		254
Fugro NV		7		612
Galp Energia SGPS SA		24		507
Idemitsu Kosan Co. Ltd.		2		283
INPEX Corp.		—		1,798
Japan Petroleum Exploration Co.		3		125
JX Holdings Inc.		236		1,586
Neste Oil Oyj		14		288
OMV AG		15		688
Origin Energy Ltd.		112		1,886
Paladin Energy Ltd. (c) (e)		75		281
Petrofac Ltd.		28		663
Repsol YPF SA		79		2,693
Royal Dutch Shell Plc		375		13,631
Royal Dutch Shell Plc - Class B		285		10,342
Saipem SpA		28		1,479
Santos Ltd.		88		1,410
SBM Offshore NV		19		539
SeaDrill Ltd. (e)		29		1,035
Showa Shell Sekiyu KK		21		218
StatoilHydro ASA		120		3,315
Subsea 7 SA		30		760
Technip SA		10		1,084
Tenaris SA		50		1,222
TonenGeneral Sekiyu KK		31		383
Total SA		224		13,619
Transocean Ltd. (c)		34		2,690
Tullow Oil Plc		95		2,216
Woodside Petroleum Ltd.		67		3,240
WorleyParsons Ltd.		20		643
				102,836
FINANCIALS - 23.5%
3i Group Plc		107		515
77 Bank Ltd.		41		206
Admiral Group Plc		22		537
Aegon NV (c)		186		1,390
AEON Credit Service Co. Ltd.		7		94
AEON Mall Co. Ltd.		9		192
Ageas		233		661
AIA Group Ltd. (c)		841		2,588
Allianz SE		48		6,760
Alpha Bank AE (c)		57		365
AMP Ltd.		218		1,226
Anglo Irish Bank Corp. Plc (c) (f)		34		—
Aozora Bank Ltd.		67		151
Ascendas Real Estate Investment Trust (f)		159		255
Assicurazioni Generali SpA		125		2,712
ASX Ltd. (e)		18		643
Australia & New Zealand Banking Group Ltd.		271		6,669
Aviva Plc		303		2,104
AXA Asia Pacific Holdings Ltd. (f)		108		716
AXA SA		181		3,788
Baloise Holding AG		5		520
Banca Carige SpA (e)		60		143
Banca Monte dei Paschi di Siena SpA (c) (e)		251		314
Banco Bilbao Vizcaya Argentaria SA		451		5,471


	Shares/Par (p)		Value
Banco Comercial Portugues SA (e)		259		211
Banco de Sabadell SA (e)		122		534
Banco de Valencia SA (c) (e)		19		85
Banco Espirito Santo SA (e)		49		201
Banco Popolare SC (e)		170		506
Banco Popular Espanol SA		91		535
Banco Santander SA		881		10,233
Bank Hapoalim BM (c)		99		515
Bank Leumi Le-Israel BM		126		646
Bank of Cyprus Public Co. Ltd.		94		341
Bank of East Asia Ltd.		159		674
Bank of Kyoto Ltd.		32		283
Bank of Yokohama Ltd.		134		636
Bankinter SA (e)		32		220
Barclays Plc		1,223		5,446
Bendigo and Adelaide Bank Ltd.		42		410
BGP Holdings Plc (c) (f)		479		—
BNP Paribas SA		101		7,415
BOC Hong Kong Holdings Ltd.		390		1,271
British Land Co. Plc (e)		96		854
Capital Shopping Centres Group		63		384
CapitaLand Ltd.		280		733
CapitaMall Trust		216		322
CapitaMalls Asia Ltd. (e)		139		196
CFS Retail Property Trust		236		449
Cheung Kong Holdings Ltd.		149		2,429
China Bank Ltd.		80		448
Chugoku Bank Ltd. (e)		17		193
Chuo Mitsui Trust Holdings Inc. (e)		333		1,181
City Developments Ltd.		60		548
CNP Assurances SA		17		355
Commerzbank AG (c) (e)		88		687
Commonwealth Bank of Australia		164		8,881
Corio NV		7		462
Credit Agricole SA		104		1,699
Credit Saison Co. Ltd.		17		267
Credit Suisse Group AG		119		5,058
Criteria CaixaCorp SA		88		623
Dai-Ichi Life Insurance Co. Ltd.		1		1,267
Daito Trust Construction Co. Ltd. (e)		8		537
Daiwa House Industry Co. Ltd.		53		651
Daiwa Securities Group Inc.		172		790
Danske Bank A/S (c)		64		1,421
DBS Group Holdings Ltd.		187		2,166
Delta Lloyd NV		8		212
Deutsche Bank AG		98		5,804
Deutsche Boerse AG		20		1,558
Dexia SA (c)		62		240
Dexus Property Group		471		414
DnB NOR ASA		103		1,574
EFG Eurobank Ergasias SA (c)		33		204
Erste Group Bank AG		20		1,007
Eurazeo		3		249
Exor SpA		7		206
Fonciere Des Regions		3		296
Fukuoka Financial Group Inc.		81		337
GAM Holding Ltd. (c)		23		433
Gecina SA		2		284
Global Logistic Properties Ltd. (c)		163		242
Goodman Group		613		435
GPT Group		181		587
Groupe Bruxelles Lambert SA		8		782
Groupe Bruxelles Lambert SA - Strip VVPR (c)		—		—
Gunma Bank Ltd.		41		217
Hachijuni Bank Ltd.		47		273
Hammerson Plc		76		545
Hang Lung Group Ltd.		84		520
Hang Lung Properties Ltd.		266		1,164


	Shares/Par (p)		Value
Hang Seng Bank Ltd.		81		1,300
Hannover Rueckversicherung AG		7		371
Henderson Land Development Co. Ltd.		119		825
Hiroshima Bank Ltd. (e)		55		240
Hokuhoku Financial Group Inc.		134		261
Hong Kong Exchanges & Clearing Ltd.		110		2,390
Hopewell Holdings Ltd.		63		189
HSBC Holdings Plc		1,873		19,258
Hysan Development Co. Ltd.		66		272
Icade SA		2		283
ICAP Plc		62		526
IMMOFINANZ Immobilien Anlagen AG (c) (e)		107		483
Industrivarden AB		13		228
ING Groep NV (c)		405		5,123
Insurance Australia Group Ltd. (e)		227		843
Intesa Sanpaolo SpA		826		2,445
Intesa Sanpaolo SpA		102		271
Investec Plc		55		420
Investor AB		49		1,198
Israel Discount Bank Ltd. (c)		85		179
Iyo Bank Ltd.		27		225
Japan Prime Realty Investment Corp.		—		194
Japan Real Estate Investment Corp.		—		473
Japan Retail Fund Investment Corp.		—		252
Joyo Bank Ltd.		64		252
Julius Baer Group Ltd. (c)		21		926
KBC Groep NV (c)		17		631
Keppel Land Ltd.		83		296
Kerry Properties Ltd.		74		370
Kinnevik Investment AB		24		560
Klepierre		10		398
Land Securities Group Plc		79		930
Legal & General Group Plc		618		1,142
Lend Lease Corp. Ltd.		55		519
Link Real Estate Investment Trust		243		759
Lloyds Banking Group Plc (c)		4,254		3,964
London Stock Exchange Group Plc		15		196
Macquarie Group Ltd.		36		1,374
Man Group Plc		185		728
Mapfre SA		75		282
Matsui Securities Co. Ltd. (e)		16		85
Mediobanca SpA		49		497
Mirvac Group		361		465
Mitsubishi Estate Co. Ltd.		127		2,148
Mitsubishi UFJ Financial Group Inc. (e)		1,347		6,217
Mitsubishi UFJ Lease & Finance Co. Ltd.		6		232
Mitsui Fudosan Co. Ltd.		88		1,453
Mizrahi Tefahot Bank Ltd.		14		160
Mizuho Financial Group Inc.		2,161		3,585
Mizuho Securities Co. Ltd. (c)		67		178
Mizuho Trust & Banking Co. Ltd. (e)		171		154
MS&AD Insurance Group Holdings (e)		57		1,287
Muenchener Rueckversicherungs AG		20		3,188
National Australia Bank Ltd.		226		6,041
National Bank of Greece SA (c)		99		878
Nationale A Portefeuille		2		168
Natixis (c)		92		520
New World Development Ltd. Nair		275		485
Nippon Building Fund Inc.		—		575
Nishi-Nippon City Bank Ltd.		74		213
NKSJ Holdings Inc. (e)		153		998
Nomura Holdings Inc.		380		1,985
Nomura Real Estate Holdings Inc.		11		168
Nomura Real Estate Office Fund Inc.		—		203
Nordea Bank AB (e)		278		3,041
NTT Urban Development Corp. (e)		—		93
Old Mutual Plc		573		1,250
ORIX Corp. (e)		11		1,061


	Shares/Par (p)		Value
Oversea-Chinese Banking Corp. Ltd.		270		2,049
Pargesa Holding SA		3		296
Pohjola Bank Plc (e)		13		184
Prudential plc (a)		273		3,093
QBE Insurance Group Ltd.		113		2,068
Raiffeisen International Bank Holding AG		5		270
Ratos AB Series B		10		407
Resolution Ltd.		149		706
Resona Holdings Inc.		200		950
Royal Bank of Scotland Plc (c)		1,789		1,171
RSA Insurance Group Plc		381		803
Sampo Oyj (e)		44		1,409
Sapporo Hokuyo Holdings Inc.		38		182
SBI Holdings Inc. (c) (e)		2		281
Schroders Plc		12		326
SCOR SE		19		508
Segro Plc		80		412
Senshu Ikeda Holdings Inc.		56		76
Seven Bank Ltd. (e)		—		125
Shinsei Bank Ltd. (e)		79		93
Shizuoka Bank Ltd. (e)		64		529
Singapore Exchange Ltd.		90		561
Sino Land Co.		265		470
Skandinaviska Enskilda Banken AB (e)		148		1,323
Societe Generale		67		4,354
Sony Financial Holdings Inc.		20		389
Standard Chartered Plc		248		6,432
Standard Life Plc		248		824
Stockland		246		946
Sumitomo Mitsui Financial Group Inc.		142		4,412
Sumitomo Realty & Development Co. Ltd.		38		750
Sun Hung Kai Properties Ltd.		152		2,407
Suncorp-Metway Ltd.		132		1,157
Suruga Bank Ltd.		23		204
Svenska Handelsbanken (e)		53		1,729
Swedbank AB (e)		77		1,322
Swire Pacific Ltd.		81		1,187
Swiss Life Holding AG (c) (e)		3		541
Swiss Reinsurance (c)		38		2,165
T&D Holdings Inc. (e)		28		697
The Governor & Co. of the Bank of Ireland (c) (f)		307		96
Tokio Marine Holdings Inc.		78		2,078
Tokyo Tatemono Co. Ltd. (e)		43		161
Tokyu Land Corp.		49		213
TrygVesta AS		3		189
UBS AG (c)		385		6,906
Unibail-Rodamco SE		10		2,137
UniCredit SpA		1,424		3,519
Unione di Banche Italiane SCPA (e)		65		553
United Overseas Bank Ltd.		133		1,984
UOL Group Ltd.		45		168
Vienna Insurance Group		4		219
Westfield Group		236		2,276
Westfield Retail Trust		315		853
Westpac Banking Corp.		316		7,957
Wharf Holdings Ltd.		160		1,107
Wheelock & Co. Ltd.		89		334
Wing Hang Bank Ltd.		9		107
Yamaguchi Financial Group Inc.		24		222
Zurich Financial Services AG (c)		15		4,305

				290,462
HEALTH CARE - 7.7%
Actelion Ltd. (c)		11		614
Alfresa Holdings Corp.		5		177
Astellas Pharma Inc. (e)		47		1,724
AstraZeneca Plc		150		6,869


	Shares/Par (p)		Value
Bayer AG		87		6,803
BioMerieux SA		1		123
Celesio AG		8		186
Chugai Pharmaceutical Co. Ltd.		24		408
Cie Generale d’Optique Essilor International SA		22		1,620
Cochlear Ltd.		6		539
Coloplast A/S		3		371
CSL Ltd.		59		2,177
Daiichi Sankyo Co. Ltd.		71		1,364
Dainippon Sumitomo Pharma Co. Ltd.		15		139
Eisai Co. Ltd. (e)		27		958
Elan Corp. Plc (c)		55		379
Fresenius Medical Care AG & Co. KGaA		20		1,363
Fresenius SE		12		1,098
Getinge AB		21		510
GlaxoSmithKline Plc		550		10,491
Grifols SA		14		247
Hisamitsu Pharmaceutical Co. Inc.		7		270
kyowa Hakko Kirin Co. Ltd.		25		232
Lonza Group AG (c)		5		403
Medipal Holdings Corp.		16		145
Merck KGaA		7		599
Miraca Holdings Inc.		6		230
Mitsubishi Tanabe Pharma Corp.		23		373
Novartis AG		223		12,114
Novo-Nordisk A/S		44		5,559
Olympus Corp.		22		612
Ono Pharmaceutical Co. Ltd. (e)		9		462
Orion Oyj (e)		9		228
Otsuka Holdings Co. Ltd.		26		630
Qiagen NV (c)		25		502
Ramsay Health Care Ltd.		14		280
Roche Holding AG		74		10,620
Sanofi-Aventis SA		111		7,777
Santen Pharmaceutical Co. Ltd.		9		343
Shionogi & Co. Ltd.		31		532
Shire Plc		59		1,713
Smith & Nephew Plc		96		1,087
Sonic Health Care Ltd. (e)		38		472
Sonova Holding AG		5		427
Straumann Holding AG		1		223
Suzuken Co. Ltd.		6		165
Synthes Inc.		6		875
Sysmex Corp.		7		233
Taisho Pharmaceutical Co. Ltd. (e)		14		303
Takeda Pharmaceutical Co. Ltd.		79		3,694
Terumo Corp.		17		917
Teva Pharmaceutical Industries Ltd.		99		4,962
Tsumura & Co.		6		179
UCB SA		10		395
William Demant Holding AS (c)		2		212

				95,928
INDUSTRIALS - 12.7%
A P Moller - Maersk A/S - Class A		—		505
A P Moller - Maersk A/S - Class B		—		1,308
ABB Ltd. (c)		232		5,562
Abertis Infraestructuras SA		30		654
ACS Actividades de Construccion y Servicios SA		14		673
Adecco SA		13		838
Aeroports de Paris		3		298
Aggreko Plc		28		702
Air France-KLM (c)		14		227
Alfa Laval AB		35		761
All Nippon Airways Co. Ltd. (e)		89		265
Alstom SA		22		1,282


	Shares/Par (p)		Value
Amada Co. Ltd.		40		334
Asahi Glass Co. Ltd.		106		1,333
Asciano Group		323		581
Assa Abloy AB		34		976
Atlantia SpA		31		701
Atlas Copco AB - Class A		70		1,872
Atlas Copco AB - Class B		40		975
Auckland International Airport Ltd.		86		145
Babcock International Group Plc		40		396
BAE Systems Plc		357		1,859
Balfour Beatty Plc		75		416
Bekaert SA		4		445
Bouygues SA		25		1,202
Brambles Ltd.		156		1,139
Brenntag AG (c)		4		416
Brisa-Auto Estradas de Portugal SA		19		132
Bunzl Plc		36		430
Bureau Veritas SA		5		410
Capita Group Plc		64		761
Cathay Pacific Airways Ltd.		112		268
Central Japan Railway Co.		—		1,252
Chiyoda Corp. (e)		19		174
Cie de Saint-Gobain		43		2,617
Cobham Plc		130		480
ComfortDelgro Corp. Ltd.		181		224
Cosco Corp. Singapore Ltd. (e)		108		176
CSR Ltd. (e)		47		160
Dai Nippon Printing Co. Ltd.		61		743
Daikin Industries Ltd.		24		728
Delek Group Ltd.		1		143
Deutsche Lufthansa AG (c)		23		497
Deutsche Post AG		91		1,649
DSV A/S		23		557
East Japan Railway Co.		36		2,029
Edenred (c)		17		506
Eiffage SA		4		250
Elbit Systems Ltd.		3		151
European Aeronautic Defence & Space Co. NV (c)		43		1,250
Experian Plc		107		1,326
Fanuc Ltd.		21		3,103
Ferrovial SA		45		565
Fiat Industrial SpA (c)		83		1,190
Finmeccanica SpA		43		546
Firstgroup Plc		51		266
Fomento de Construcciones y Contratas SA (e)		6		201
Fraport AG Frankfurt Airport Services Worldwide		4		273
Fraser and Neave Ltd.		101		479
Fuji Electric Holdings Co. Ltd. (e)		67		212
Furukawa Electric Co. Ltd.		68		275
G4S Plc		151		617
GEA Group AG		17		559
Geberit AG		4		922
Groupe Eurotunnel SA		59		626
GS Yuasa Corp. (e)		37		246
Hankyu Hanshin Holdings Inc. (e)		117		541
Hexagon AB - B Shares		28		666
Hino Motors Ltd. (e)		28		137
Hitachi Construction Machinery Co. Ltd. (e)		11		278
Hochtief AG		5		510
Hutchison Whampoa Ltd.		225		2,664
IHI Corp. (e)		151		369
International Consolidated Airlines
Group SA (c)		100		367
Intertek Group Plc		17		549
Invensys Plc		90		496
ITOCHU Corp.		162		1,699


	Shares/Par (p)		Value
Japan Steel Works Ltd. (e)		31		243
JGC Corp.		22		515
JS Group Corp. (e)		27		696
JTEKT Corp.		24		306
Kajima Corp. (e)		92		258
Kamigumi Co. Ltd.		29		248
Kawasaki Heavy Industries Ltd. (e)		152		669
Kawasaki Kisen Kaisha Ltd.		67		247
Keihin Electric Express Railway Co. Ltd. (e)		49		353
Keio Corp.		66		394
Keisei Electric Railway Co. Ltd.		31		178
Keppel Corp. Ltd.		135		1,317
Kinden Corp.		16		146
Kintetsu Corp. (e)		167		536
Komatsu Ltd.		100		3,400
Kone Oyj		17		975
Koninklijke Boskalis Westminster NV		8		419
Koninklijke Philips Electronics NV (e)		106		3,377
Koninklijke Vopak NV		8		361
Kubota Corp.		125		1,178
Kuehne & Nagel International AG		6		785
Kurita Water Industries Ltd.		13		384
Legrand SA		16		665
Leighton Holdings Ltd. (e)		15		449
Mabuchi Motor Co. Ltd.		2		109
Makita Corp.		12		535
Man AG (c)		11		1,394
MAp Group		55		174
Marubeni Corp.		174		1,253
Metso Oyj (e)		13		714
Minebea Co. Ltd.		37		204
Mitsubishi Corp.		143		3,979
Mitsubishi Electric Corp.		204		2,408
Mitsubishi Heavy Industries Ltd.		319		1,465
Mitsubishi Logistics Corp.		13		145
Mitsui & Co. Ltd.		186		3,338
Mitsui Engineering & Shipbuilding Co. Ltd. (e)		65		156
Mitsui OSK Lines Ltd.		122		703
MTR Corp.		155		572
Nabtesco Corp.		10		262
Neptune Orient Lines Ltd. (c) (e)		94		145
NGK Insulators Ltd.		27		483
Nidec Corp. (e)		12		995
Nippon Express Co. Ltd.		88		337
Nippon Sheet Glass Co. Ltd.		93		268
Nippon Yusen KK		168		656
Noble Group Ltd. (e)		315		535
NSK Ltd.		44		379
NTN Corp.		49		235
NWS Holdings Ltd.		147		225
Obayashi Corp.		65		289
Odakyu Electric Railway Co. Ltd. (e)		67		565
Orient Overseas International Ltd.		23		245
Orkla ASA		84		818
Prysmian SPA		22		472
Qantas Airways Ltd. (c)		104		234
QR National Ltd. (c)		188		651
Randstad Holding NV		12		659
Rolls-Royce Group Plc (c)		201		2,000
Ryanair Holdings Plc		2		9
Safran SA		17		615
Sandvik AB		108		2,046
Scania AB		34		794
Schindler Holding AG		2		273
Schneider Electric SA		26		4,387
Secom Co. Ltd.		22		1,008
Securitas AB		32		384
SembCorp Industries Ltd.		101		417


	Shares/Par (p)		Value
SembCorp Marine Ltd.		93		433
Serco Group Plc		53		476
SGS SA		1		1,008
Shimizu Corp.		60		267
Siemens AG		87		11,938
Singapore Airlines Ltd.		59		644
Singapore Technologies Engineering Ltd.		171		442
Skanska AB (e)		44		916
SKF AB		41		1,198
SMC Corp.		6		971
Smiths Group Plc		43		886
Societe BIC SA		3		271
Sojitz Corp.		125		249
Sumitomo Corp.		118		1,685
Sumitomo Electric Industries Ltd.		82		1,131
Sumitomo Heavy Industries Ltd.		59		385
Taisei Corp.		121		298
Thales SA		10		390
THK Co. Ltd.		13		319
TNT NV		39		995
Tobu Railway Co. Ltd. (e)		88		360
Tokyu Corp.		117		485
Toll Holdings Ltd. (e)		70		428
Toppan Printing Co. Ltd.		59		465
TOTO Ltd.		33		265
Toyota Tsusho Corp.		23		379
Transurban Group		135		750
Ushio Inc. (e)		10		200
Vallourec SA		12		1,345
Vestas Wind Systems A/S (c)		21		918
Vinci SA		47		2,960
Volvo AB (e)		148		2,603
Wartsila Oyj		16		625
Weir Group Plc		23		642
West Japan Railway Co. (e)		—		718
Wolseley Plc		30		1,014
Yamato Holdings Co. Ltd. (e)		42		658
Yangzijiang Shipbuilding Holdings Ltd.		191		274
Zardoya Otis SA (e)		14		236

				156,995
INFORMATION TECHNOLOGY - 4.7%
Advantest Corp. (e)		16		286
Alcatel-Lucent (c)		250		1,438
Amadeus IT Holding SA (c)		20		389
ARM Holdings Plc		139		1,278
ASM Pacific Technology Ltd.		22		274
ASML Holding NV (c)		46		2,044
Atos Origin SA (c)		5		286
Autonomy Corp. Plc (c)		23		594
Brother Industries Ltd. (e)		25		373
Canon Inc.		120		5,214
Cap Gemini SA (e)		16		935
Citizen Holdings Co. Ltd.		30		173
Computershare Ltd. (e)		49		473
Dassault Systemes SA		6		494
Elpida Memory Inc. (c) (e)		20		256
Foxconn International Holdings Ltd. (c) (e)		243		146
FUJIFILM Holdings Corp.		49		1,505
Fujitsu Ltd.		196		1,107
Gree Inc.		11		183
Hamamatsu Photonics KK		7		265
Hirose Electric Co. Ltd. (e)		3		355
Hitachi High-Technologies Corp.		7		146
Hitachi Ltd. (e)		484		2,520
Hoya Corp.		46		1,052
Ibiden Co. Ltd.		13		407
Indra Sistemas SA		8		166


	Shares/Par (p)		Value
Infineon Technologies AG		114		1,176
Itochu Techno-Solutions Corp.		3		110
Keyence Corp.		5		1,153
Konami Corp. (e)		11		206
Konica Minolta Holdings Inc.		49		410
Kyocera Corp.		18		1,774
Logitech International SA (c) (e)		21		373
Mitsumi Electric Co. Ltd.		7		89
Murata Manufacturing Co. Ltd.		21		1,534
NEC Corp. (c)		285		620
Neopost SA (e)		3		274
NICE Systems Ltd. (c)		6		219
Nintendo Co. Ltd.		11		2,863
Nippon Electric Glass Co. Ltd.		37		524
Nokia Oyj		401		3,432
Nomura Research Institute Ltd.		11		238
NTT Data Corp. (e)		—		433
Obic Co. Ltd.		1		165
Omron Corp.		22		613
Oracle Corp. Japan		5		187
Otsuka Corp.		1		90
Renewable Energy Corp. AS (c) (e)		49		173
Ricoh Co. Ltd. (e)		71		833
Rohm Co. Ltd.		11		670
Sage Group Plc		135		601
SAP AG		91		5,556
Seiko Epson Corp. (e)		14		224
Shimadzu Corp. (e)		26		231
Shinko Electric Industries Co. Ltd.		6		63
Square Enix Holdings Co. Ltd.		6		104
STMicroelectronics NV		68		837
Sumco Corp. (c) (e)		13		260
TDK Corp.		13		792
Telefonaktiebolaget LM Ericsson		318		4,100
Tokyo Electron Ltd.		18		998
Toshiba Corp.		432		2,114
Trend Micro Inc.		11		288
United Internet AG		14		256
Yahoo! Japan Corp.		1		529
Yaskawa Electric Corp. (e)		25		296
Yokogawa Electric Corp. (c)		24		182

				57,949
MATERIALS - 11.0%
Acerinox SA (e)		12		229
Air Liquide		30		3,972
Air Water Inc.		14		171
Akzo Nobel NV		24		1,670
Alumina Ltd.		248		630
Amcor Ltd.		133		973
Anglo American Plc		140		7,181
Antofagasta Plc		41		890
ArcelorMittal		92		3,328
Asahi Kasei Corp.		137		924
BASF SE		97		8,416
BHP Billiton Ltd.		356		17,123
BHP Billiton Plc		233		9,192
BlueScope Steel Ltd.		188		385
Boliden AB		30		648
Boral Ltd.		79		409
Cimpor Cimentos de Portugal SGPS SA		17		126
CRH Plc		74		1,703
Daicel Chemical Industries Ltd.		28		173
Daido Steel Co. Ltd.		32		182
Denki Kagaku Kogyo K K		49		242
Dowa Holdings Co. Ltd.		24		149
Eramet		1		198
Eurasian Natural Resources Corp.		29		431


	Shares/Par (p)		Value
Fletcher Building Ltd.		67		480
Fortescue Metals Group Ltd. (e)		136		899
Fresnillo Plc		20		491
Givaudan SA (c)		1		889
HeidelbergCement AG		15		1,017
Hitachi Chemical Co. Ltd.		12		235
Hitachi Metals Ltd. (e)		17		214
Holcim Ltd.		26		1,936
Holmen AB (e)		5		173
Imerys SA		4		280
Incitec Pivot Ltd.		173		774
Israel Chemicals Ltd.		46		758
Israel Corp. Ltd. (c)		—		270
James Hardie Industries SE (c) (e)		46		291
JFE Holdings Inc.		48		1,416
Johnson Matthey Plc		24		702
JSR Corp. (e)		19		375
K+S AG		16		1,178
Kaneka Corp.		32		223
Kansai Paint Co. Ltd.		22		191
Kazakhmys Plc		23		513
Kobe Steel Ltd. (e)		266		691
Koninklijke DSM NV		16		979
Kuraray Co. Ltd.		36		467
Lafarge SA		21		1,316
Lanxess AG		9		681
Linde AG		18		2,863
Lonmin Plc		17		466
MacArthur Coal Ltd. (e)		18		212
Makhteshim-Agan Industries Ltd. (c)		29		151
Maruichi Steel Tube Ltd.		6		143
Mitsubishi Chemical Holdings Corp.		139		876
Mitsubishi Gas Chemical Co. Inc.		42		301
Mitsubishi Materials Corp.		110		373
Mitsui Chemicals Inc. (e)		88		311
Mitsui Mining & Smelting Co. Ltd. (e)		63		219
Newcrest Mining Ltd.		82		3,377
Nippon Paper Group Inc.		11		224
Nippon Steel Corp.		535		1,711
Nissan Chemical Industries Ltd. (e)		15		150
Nisshin Steel Co. Ltd.		62		133
Nitto Denko Corp.		18		949
Norsk Hydro ASA		97		799
Novozymes A/S		5		735
OJI Paper Co. Ltd. (e)		88		418
OneSteel Ltd.		147		370
Orica Ltd.		37		1,020
Outokumpu Oyj (e)		15		261
OZ Minerals Ltd.		334		551
Randgold Resources Ltd. (c)		10		793
Rautaruukki Oyj (e)		8		199
Rexam Plc		90		527
Rio Tinto Ltd. (e)		46		4,033
Rio Tinto Plc		153		10,778
Salzgitter AG		4		354
Shin-Etsu Chemical Co. Ltd.		44		2,192
Showa Denko KK		154		309
Sika AG		—		506
Sims Metal Management Ltd. (e)		16		295
Solvay SA		6		768
SSAB Svenskt Stal AB - Class A (c)		19		303
Stora Enso Oyj (c)		59		704
Sumitomo Chemical Co. Ltd. (e)		163		813
Sumitomo Metal Industries Ltd. (e)		349		780
Sumitomo Metal Mining Co. Ltd.		54		929
Svenska Cellulosa AB		59		952
Syngenta AG		10		3,294
Taiyo Nippon Sanso Corp. (e)		28		233


	Shares/Par (p)		Value
Teijin Ltd.		104		465
ThyssenKrupp AG		36		1,473
Tokuyama Corp.		36		192
Tokyo Steel Manufacturing Co. Ltd. (e)		11		127
Toray Industries Inc.		159		1,156
Tosoh Corp.		50		180
Toyo Seikan Kaisha Ltd.		15		249
Ube Industries Ltd.		102		325
Umicore		12		603
UPM-Kymmene Oyj		56		1,192
Vedanta Resources Plc (e)		13		504
Voestalpine AG		12		570
Wacker Chemie AG		2		342
Xstrata Plc		219		5,125
Yamato Kogyo Co. Ltd.		4		133
Yara International ASA		20		989

				135,784
TELECOMMUNICATION SERVICES - 5.4%
Belgacom SA		16		600
Bezeq Israeli Telecommunication Corp. Ltd.		174		515
BT Group Plc		833		2,481
Cable & Wireless Worldwide Plc		278		234
Cellcom Israel Ltd.		5		169
Deutsche Telekom AG		299		4,612
Elisa Oyj (e)		15		337
France Telecom SA		196		4,387
Hellenic Telecommunications Organization SA		25		277
Iliad SA (e)		2		229
Inmarsat Plc		49		472
KDDI Corp.		—		1,944
Koninklijke KPN NV		169		2,874
Millicom International Cellular SA - SDR		8		796
Mobistar SA		3		190
Nippon Telegraph & Telephone Corp.		51		2,280
NTT DoCoMo Inc. (e)		2		2,842
Partner Communications Co. Ltd.		9		168
PCCW Ltd.		321		134
Portugal Telecom SGPS SA		64		736
Singapore Telecommunications Ltd.		858		2,055
SoftBank Corp.		86		3,421
StarHub Ltd.		65		139
Swisscom AG		3		1,127
Tele2 AB		33		756
Telecom Corp. of New Zealand Ltd.		200		306
Telecom Italia SpA (e)		1,012		1,557
Telefonica SA		435		10,882
Telekom Austria AG		34		497
Telenor ASA		87		1,434
TeliaSonera AB (e)		235		2,032
Telstra Corp. Ltd.		458		1,336
Vodafone Group Plc		5,527		15,648

				67,467
UTILITIES - 4.7%
A2A SpA (e)		129		209
Acciona SA		3		283
AGL Energy Ltd.		47		693
Centrica Plc		553		2,884
Cheung Kong Infrastructure Holdings Ltd. (e)		46		217
Chubu Electric Power Co. Inc.		68		1,512
Chugoku Electric Power Co. Inc. (e)		32		586
CLP Holdings Ltd.		202		1,633
Contact Energy Ltd. (c)		37		166
E.ON AG		190		5,844
EDP Renovaveis SA (c)		25		181
Electric Power Development Co. Ltd.		12		355
Electricite de France SA		27		1,130


	Shares/Par (p)		Value
Enagas SA		18		398
Enel Green Power SpA (c)		195		540
Enel SpA		695		4,382
Energias de Portugal SA		203		789
Fortum Oyj (e)		47		1,585
Gas Natural SDG SA		33		619
GDF Suez		131		5,327
Hokkaido Electric Power Co. Inc.		19		368
Hokuriku Electric Power Co.		18		412
Hong Kong & China Gas Co. Ltd.		468		1,122
Hongkong Electric Holdings Ltd.		144		959
Iberdrola Renovables SA (e)		85		366
Iberdrola SA		401		3,488
International Power Plc		166		823
Kansai Electric Power Co. Inc. (e)		81		1,759
Kyushu Electric Power Co. Inc.		40		785
National Grid Plc		369		3,515
Osaka Gas Co. Ltd. (e)		202		806
Public Power Corp. SA		14		243
Red Electrica Corp. SA		11		628
RWE AG		45		2,875
Scottish & Southern Energy Plc		100		2,028
Severn Trent Plc		25		582
Shikoku Electric Power Co. Inc. (e)		19		525
Snam Rete Gas SpA		148		833
SP AusNet		110		101
Suez Environnement SA		27		567
Terna Rete Elettrica Nazionale SpA		133		635
Toho Gas Co. Ltd. (e)		40		206
Tohoku Electric Power Co. Inc. (e)		44		745
Tokyo Electric Power Co. Inc.		155		867
Tokyo Gas Co. Ltd. (e)		269		1,229
United Utilities Group Plc		69		656
Veolia Environnement		37		1,140
Verbund - Oesterreichische Elektrizitaetswirtschafts AG (e)		7		328

				57,924

Total Common Stocks (cost $1,125,629)				1,199,120

PREFERRED STOCKS - 0.6%
CONSUMER DISCRETIONARY - 0.3%
Bayerische Motoren Werke AG		5		308
Porsche Automobil Holding SE		9		608
Volkswagen AG		18		2,963

				3,879
CONSUMER STAPLES - 0.1%
Henkel AG & Co. KGaA		19		1,165
Lindt & Spruengli AG		—		272

				1,437
INDUSTRIALS - 0.1%
Schindler Holding AG		5		611
TELECOMMUNICATION SERVICES - 0.1%
Telecom Italia SpA - RSP		656		883
UTILITIES - 0.0%
RWE AG (e)		4		241

Total Preferred Stocks (cost $5,549)				7,051

RIGHTS - 0.0%
Porsche Automobil Holding SE (c)		9		80

Total Rights (cost $0)				80


	Shares/Par (p)		Value
OTHER EQUITY INTERESTS - 0.0%
IMMOEAST AG - Escrow Shares (c) (f) (u)		37		—
IMMOFINANZ AG - Escrow Shares (c) (f) (u)		27		—

Total Other Equity Interests (cost $0)				—

SHORT TERM INVESTMENTS - 9.0%
Investment Company - 1.8%
JNL Money Market Fund, 0.08% (a) (h)		21,765		21,765
Securities Lending Collateral - 7.0%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		86,303		86,303
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		1,054		1,030

				87,333
Treasury Securities - 0.2%
U.S. Treasury Bill, 0.19%, 06/16/11 (o)	$	1,940		1,940

Total Short Term Investments (cost $111,062)				111,038

Total Investments - 106.4% (cost $1,242,240)				1,317,289
Other Assets and Liabilities, Net - (6.4%)				(79,117	)

Total Net Assets - 100.0%			$	1,238,172

JNL/Mellon Capital Management Bond Index Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.8%
Ally Auto Receivables Trust
0.91%, 11/17/14	$	500	$	498
1.11%, 01/15/15		500		500
Banc of America Commercial Mortgage Inc. REMIC
5.93%, 05/10/45 (i)		1,500		1,629
5.96%, 05/10/45 (i)		550		570
4.89%, 07/10/45		370		380
5.45%, 01/15/49		200		210
5.45%, 01/15/49		1,500		1,578
5.48%, 01/15/49 (i)		350		347
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.72%, 05/11/17 (i)		300		324
5.12%, 02/11/41 (i)		1,150		1,227
5.54%, 10/12/41		1,250		1,342
Capital One Multi-Asset Execution Trust, 4.70%, 06/15/15		1,000		1,053
Centerpoint Energy Transition Co. LLC Secured Transition Bond, 5.17%, 08/01/19		741		822
Citibank Credit Card Issuance Trust, 5.30%, 03/15/16		900		1,000
Citigroup Commercial Mortgage Trust REMIC, 5.25%, 04/15/40 (i)		167		173
Citigroup/Deutsche Bank Commercial Mortgage Trust REMIC
5.32%, 03/11/12 (e)		1,000		1,051
5.62%, 10/15/48		250		269
5.65%, 10/15/48		500		503
Commercial Mortgage Loan Trust REMIC, 6.21%, 12/10/49 (i)		750		743
Continental Airlines Inc. Pass Through Trust - Class A, 4.75%, 01/12/21		300		294


	Shares/Par (p)		Value
Credit Suisse First Boston Mortgage Securities Corp. REMIC
4.94%, 12/15/35		700		730
5.14%, 08/15/36 (i)		1,500		1,588
Credit Suisse Mortgage Capital Certificates REMIC, 5.38%, 02/15/40		250		258
CS First Boston Mortgage Securities Corp. REMIC
5.01%, 01/15/12 (i)		800		846
5.42%, 05/15/36 (i)		350		376
5.10%, 08/15/38 (i)		350		364
Delta Air Lines Pass-Through Trust - Class A, 6.82%, 02/10/24 (i) (r)		392		405
GE Capital Commercial Mortgage Corp. REMIC, 5.49%, 11/10/45 (i)		200		207
Greenwich Capital Commercial Funding Corp. REMIC
4.57%, 01/10/12		500		505
5.28%, 04/10/37 (i)		1,000		1,009
GS Mortgage Securities Corp. II REMIC
5.56%, 11/10/39		400		430
6.00%, 08/10/45 (e) (i)		850		903
JPMorgan Chase & Co. Commercial Mortgage Securities Inc. REMIC, 5.74%, 05/12/17 (i)		1,000		992
JPMorgan Chase Commercial Mortgage Securities Corp.
4.88%, 01/12/38 (i)		800		844
REMIC, 5.17%, 08/12/40 (i)		382		395
REMIC, 5.54%, 06/12/41 (i)		850		921
REMIC, 4.88%, 01/15/42		750		801
REMIC, 4.74%, 07/15/42		500		527
REMIC, 4.78%, 07/15/42		500		519
REMIC, 4.94%, 08/15/42 (i)		278		296
REMIC, 5.42%, 01/15/49 (e)		250		264
REMIC, 5.74%, 02/12/49 (i)		200		214
REMIC, 5.79%, 02/12/51 (i)		521		561
LB-UBS Commercial Mortgage Trust REMIC
3.85%, 05/15/27		129		132
5.59%, 06/15/31		75		78
4.17%, 05/15/32		165		171
5.66%, 03/15/39 (i)		750		809
5.42%, 02/15/40		330		350
5.87%, 09/15/45 (i)		2,000		2,141
Merrill Lynch Mortgage Trust REMIC, 5.74%, 08/12/43 (i)		250		266
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC
5.66%, 02/12/39 (i)		250		258
5.41%, 07/12/46 (i)		200		212
5.17%, 12/12/49		200		210
5.74%, 06/12/50 (i)		532		555
Morgan Stanley Capital I REMIC
5.60%, 06/12/12 (i)		375		381
5.60%, 03/12/17 (i)		400		411
4.80%, 01/13/41		250		265
5.33%, 11/12/41		250		265
5.73%, 10/15/42 (i)		270		296
Wachovia Bank Commercial Mortgage Trust REMIC
4.44%, 11/15/34		37		37
5.22%, 01/15/41 (i)		100		107
5.31%, 07/15/41 (i)		250		268
4.89%, 10/15/41		200		203
4.90%, 10/15/41 (i)		500		511
5.12%, 07/15/42 (i)		410		441
5.25%, 12/15/43		500		512
5.36%, 12/15/44 (i)		200		197
5.42%, 01/15/45 (i)		350		376


	Shares/Par (p)		Value
5.99%, 06/15/45 (i)		500		486
5.57%, 10/15/48		250		264
5.31%, 11/15/48		1,082		1,158

Total Non-U.S. Government Agency Asset- Backed Securities (cost $37,363)				39,828

CORPORATE BONDS AND NOTES - 22.3%
CONSUMER DISCRETIONARY - 1.7%
Ace INA Holdings Inc., 5.88%, 06/15/14		500		555
CBS Corp., 5.75%, 04/15/20 (e)		700		740
Comcast Cable Communications Holdings Inc.
8.38%, 03/15/13		357		402
9.46%, 11/15/22 (e)		500		677
Comcast Corp.
5.30%, 01/15/14		500		544
6.50%, 01/15/15		50		57
5.15%, 03/01/20 (e)		1,000		1,041
5.65%, 06/15/35		100		94
6.50%, 11/15/35		100		104
6.95%, 08/15/37		100		109
COX Communications Inc., 5.45%, 12/15/14		150		166
Daimler Finance North America LLC
6.50%, 11/15/13		100		112
8.50%, 01/18/31		550		739
Diageo Capital Plc, 4.83%, 07/15/20 (e)		895		925
DIRECTV Holdings LLC
4.75%, 10/01/14		600		646
3.55%, 03/15/15 (e)		200		204
3.50%, 03/01/16		400		401
4.60%, 02/15/21		200		195
6.00%, 08/15/40		200		192
6.38%, 03/01/41		400		402
Discovery Communications LLC
3.70%, 06/01/15 (e)		100		103
5.63%, 08/15/19		100		108
5.05%, 06/01/20		200		208
6.35%, 06/01/40		100		104
Fortune Brands Inc., 5.38%, 01/15/16		250		265
Grupo Televisa SA, 6.63%, 03/18/25		100		110
Hasbro Inc., 6.35%, 03/15/40		300		301
Historic TW Inc., 6.63%, 05/15/29		100		107
Home Depot Inc.
5.25%, 12/16/13		250		273
5.40%, 03/01/16		500		553
5.88%, 12/16/36		250		249
Johnson Controls Inc.
5.50%, 01/15/16		250		277
4.25%, 03/01/21		400		395
Lowe’s Cos. Inc.
4.63%, 04/15/20 (e)		100		104
5.50%, 10/15/35		150		151
5.80%, 04/15/40		100		103
McDonald’s Corp.
5.35%, 03/01/18		300		336
6.30%, 03/01/38		500		576
NBC Universal Inc.
2.10%, 04/01/14 (e) (r)		500		498
5.15%, 04/30/20 (r)		200		206
6.40%, 04/30/40 (r)		200		205
News America Inc.
5.30%, 12/15/14		175		193
5.65%, 08/15/20 (e)		300		326
4.50%, 02/15/21 (r)		400		392
6.20%, 12/15/34		50		50
6.40%, 12/15/35		100		103
6.65%, 11/15/37		300		315


	Shares/Par (p)		Value
6.15%, 02/15/41 (r)		300		297
Omnicom Group Inc., 5.90%, 04/15/16		250		280
Reed Elsevier Capital Inc., 8.63%, 01/15/19		500		634
Target Corp.
5.88%, 07/15/16		250		287
7.00%, 07/15/31		500		589
6.50%, 10/15/37		300		337
Thomson Reuters Corp., 6.50%, 07/15/18		500		579
Time Warner Cable Inc.
6.20%, 07/01/13		700		770
5.85%, 05/01/17		150		164
8.75%, 02/14/19		169		211
6.55%, 05/01/37 (e)		250		254
7.30%, 07/01/38		300		332
6.75%, 06/15/39 (e)		300		314
Time Warner Entertainment Co. LP, 8.38%, 03/15/23		600		740
Time Warner Inc.
3.15%, 07/15/15		200		203
5.88%, 11/15/16		350		390
4.70%, 01/15/21 (e)		200		199
7.63%, 04/15/31		250		288
6.20%, 03/15/40		400		396
6.10%, 07/15/40		200		196
Toll Brothers Finance Corp., 4.95%, 03/15/14		50		52
Viacom Inc.
5.63%, 09/15/19 (e)		500		547
7.88%, 07/30/30 (e)		125		145
Walt Disney Co., 7.00%, 03/01/32		50		61
Yale University, 2.90%, 10/15/14 (e)		300		310
Yum! Brands Inc., 6.88%, 11/15/37 (e)		200		223

				23,714
CONSUMER STAPLES - 1.6%
Altria Group Inc.
8.50%, 11/10/13 (l)		500		583
9.70%, 11/10/18 (e) (l)		500		658
9.25%, 08/06/19 (e) (l)		100		131
9.95%, 11/10/38 (l)		100		140
10.20%, 02/06/39 (l)		100		142
Anheuser-Busch Cos. Inc.
4.95%, 01/15/14 (e)		200		216
5.05%, 10/15/16		100		108
6.45%, 09/01/37		300		339
Anheuser-Busch InBev Worldwide Inc.
3.00%, 10/15/12 (e)		600		617
7.20%, 01/15/14		400		454
6.88%, 11/15/19		400		473
5.38%, 01/15/20 (e)		400		429
8.20%, 01/15/39		400		544
6.38%, 01/15/40		300		336
Archer-Daniels-Midland Co., 5.45%, 03/15/18		350		389
Bottling Group LLC, 6.95%, 03/15/14 (e)		200		230
Bunge Ltd. Finance Corp., 5.35%, 04/15/14		75		80
Coca-Cola Co.
0.75%, 11/15/13		600		591
3.15%, 11/15/20		300		279
ConAgra Foods Inc., 7.00%, 04/15/19 (e)		300		340
CVS Caremark Corp.
6.13%, 08/15/16		250		282
5.75%, 06/01/17		500		551
Diageo Investment Corp., 8.00%, 09/15/22		100		123
General Mills Inc.
5.65%, 09/10/12		200		213
5.20%, 03/17/15		500		549
H.J. Heinz Finance Co., 6.75%, 03/15/32		100		113
Kellogg Co.
5.13%, 12/03/12		200		213


	Shares/Par (p)		Value
4.00%, 12/15/20		400		392
Kraft Foods Inc.
6.25%, 06/01/12		183		194
5.25%, 10/01/13		400		434
4.13%, 02/09/16		100		104
6.13%, 02/01/18		300		335
5.38%, 02/10/20		100		106
6.50%, 11/01/31 (e)		100		110
7.00%, 08/11/37		300		337
6.88%, 02/01/38		150		166
6.88%, 01/26/39		100		111
6.50%, 02/09/40		100		107
Kroger Co.
5.50%, 02/01/13		100		107
6.40%, 08/15/17		200		230
6.15%, 01/15/20 (e)		500		564
7.50%, 04/01/31		150		179
Lorillard Tobacco Co., 8.13%, 06/23/19 (l)		500		582
Pepsi Bottling Group Inc., 7.00%, 03/01/29		75		93
PepsiCo Inc.
5.15%, 05/15/12		300		314
4.65%, 02/15/13		800		853
7.90%, 11/01/18		55		70
3.13%, 11/01/20		300		277
5.50%, 01/15/40		300		309
Philip Morris International Inc.
6.88%, 03/17/14		500		574
5.65%, 05/16/18		250		278
Procter & Gamble Co.
4.95%, 08/15/14		150		166
4.70%, 02/15/19		500		542
5.55%, 03/05/37		100		107
Reynolds American Inc., 7.63%, 06/01/16		250		297
Safeway Inc.
5.80%, 08/15/12		100		106
6.35%, 08/15/17 (e)		500		559
Unilever Capital Corp.
2.75%, 02/10/16		400		402
5.90%, 11/15/32		300		333
Wal-Mart Stores Inc.
4.55%, 05/01/13		100		107
3.20%, 05/15/14		500		524
2.25%, 07/08/15 (e)		300		300
5.80%, 02/15/18		350		399
4.13%, 02/01/19 (e)		300		308
3.63%, 07/08/20		300		290
7.55%, 02/15/30		300		382
6.20%, 04/15/38		300		329
4.88%, 07/08/40		300		274
Walgreen Co., 4.88%, 08/01/13		700		758

				22,132
ENERGY - 1.9%
Alberta Energy Co. Ltd., 7.38%, 11/01/31		100		117
Ameren Energy Generating Co., 7.00%,
04/15/18 (e)		205		208
Anadarko Petroleum Corp.
5.95%, 09/15/16		100		109
8.70%, 03/15/19 (e)		500		612
6.45%, 09/15/36		150		150
Apache Corp.
5.25%, 04/15/13		250		270
3.63%, 02/01/21		400		379
BP Capital Markets Plc
5.25%, 11/07/13		400		433
3.13%, 10/01/15		500		503
4.50%, 10/01/20		500		496


	Shares/Par (p)		Value
Burlington Resources Finance Co., 7.20%, 08/15/31		100		121
Canadian Natural Resources Ltd.
5.85%, 02/01/35		150		155
6.25%, 03/15/38		300		323
Cenovus Energy Inc., 4.50%, 09/15/14		800		859
CenterPoint Energy Resources Corp.
4.50%, 01/15/21 (r)		43		42
6.63%, 11/01/37		200		217
Conoco Funding Co., 7.25%, 10/15/31		75		92
ConocoPhillips
6.65%, 07/15/18		75		88
5.75%, 02/01/19		300		340
6.00%, 01/15/20 (e)		300		345
6.50%, 02/01/39		300		342
ConocoPhillips Holding Co., 6.95%, 04/15/29		200		239
Devon Energy Corp., 7.95%, 04/15/32		100		130
Devon Financing Corp. ULC, 7.88%, 09/30/31 (e)		100		128
Enbridge Energy Partners LP, 7.50%, 04/15/38		200		238
Encana Corp., 6.50%, 08/15/34		100		107
Energy Transfer Partners LP
5.95%, 02/01/15		250		274
7.50%, 07/01/38		200		231
Enterprise Products Operating LLC
4.60%, 08/01/12		425		442
5.60%, 10/15/14		25		28
3.70%, 06/01/15		100		103
3.20%, 02/01/16		300		298
5.25%, 01/31/20		300		311
6.88%, 03/01/33		25		27
6.45%, 09/01/40 (e)		100		104
5.95%, 02/01/41 (e)		300		292
EOG Resources Inc., 4.40%, 06/01/20		200		201
Halliburton Co., 7.45%, 09/15/39		250		316
Hess Corp.
7.30%, 08/15/31		35		41
5.60%, 02/15/41		400		382
Husky Energy Inc., 7.25%, 12/15/19 (e)		500		592
Kinder Morgan Energy Partners LP
5.85%, 09/15/12		225		239
5.00%, 12/15/13		75		81
6.00%, 02/01/17		150		167
6.85%, 02/15/20		500		573
6.50%, 09/01/39		200		205
Magellan Midstream Partners LP, 4.25%, 02/01/21		300		293
Marathon Oil Corp., 5.90%, 03/15/18		228		256
Marathon Petroleum Corp.
5.13%, 03/01/21 (e) (r)		475		479
6.50%, 03/01/41 (e) (r)		300		303
Nabors Industries Inc., 6.15%, 02/15/18		300		328
Nexen Inc.
5.88%, 03/10/35		50		47
6.40%, 05/15/37		100		100
Noble Energy Inc., 8.25%, 03/01/19		300		377
Noble Holding International Ltd.
3.45%, 08/01/15		200		204
6.20%, 08/01/40		200		204
Occidental Petroleum Corp., 4.10%, 02/01/21 (e)		500		495
ONEOK Partners LP, 6.65%, 10/01/36		150		159
PC Financial Partnership, 5.00%, 11/15/14		500		539
Pemex Project Funding Master Trust
5.75%, 03/01/18		500		529
6.63%, 06/15/35 (e)		150		150
Petro-Canada, 7.00%, 11/15/28		75		83


	Shares/Par (p)		Value
Petrobras International Finance Co.
3.88%, 01/27/16		500		503
6.13%, 10/06/16		100		111
5.88%, 03/01/18		150		159
7.88%, 03/15/19		500		587
6.88%, 01/20/40 (e)		400		419
Petroleos Mexicanos, 5.50%, 01/21/21		500		508
Plains All American Pipeline LP
3.95%, 09/15/15 (e)		300		309
6.50%, 05/01/18		100		112
6.70%, 05/15/36		100		108
Rowan Cos. Inc., 7.88%, 08/01/19		300		356
Shell International Finance BV
4.00%, 03/21/14 (e)		500		534
5.20%, 03/22/17		250		278
4.38%, 03/25/20		300		310
6.38%, 12/15/38		200		226
5.50%, 03/25/40		300		304
Southern Natural Gas Co., 5.90%, 04/01/17 (r)		250		278
Spectra Energy Capital LLC, 8.00%, 10/01/19		250		304
StatoilHydro ASA, 5.25%, 04/15/19		500		546
Suncor Energy Inc.
5.95%, 12/01/34		100		100
6.50%, 06/15/38		300		324
Total Capital SA
3.00%, 06/24/15 (e)		400		408
2.30%, 03/15/16		500		487
TransCanada Pipelines Ltd.
6.50%, 08/15/18		700		816
3.80%, 10/01/20		400		385
6.20%, 10/15/37		100		106
Transocean Inc.
4.95%, 11/15/15		500		528
6.80%, 03/15/38		150		158
Valero Energy Corp.
6.88%, 04/15/12		500		529
7.50%, 04/15/32		100		110
Weatherford International Inc., 6.35%, 06/15/17		250		276
Weatherford International Ltd. Bermuda, 5.13%, 09/15/20		400		397
Williams Cos. Inc., 8.75%, 03/15/32		186		241
Williams Partners LP
3.80%, 02/15/15		100		104
5.25%, 03/15/20 (e)		100		104
6.30%, 04/15/40		200		208

				27,729
FINANCIALS - 10.0%
Aegon NV, 4.75%, 06/01/13		150		158
AFLAC Inc., 8.50%, 05/15/19		500		604
African Development Bank, 3.00%, 05/27/14		500		521
Allstate Corp.
6.75%, 05/15/18		300		345
7.45%, 05/16/19		300		356
5.35%, 06/01/33		75		72
5.55%, 05/09/35		100		98
Ally Financial Inc., 2.20%, 12/19/12		500		512
American Express Bank FSB, 5.55%, 10/17/12		1,000		1,060
American Express Centurion Bank, 5.55%, 10/17/12		300		318
American Express Co.
4.88%, 07/15/13		250		267
6.15%, 08/28/17		250		280
8.15%, 03/19/38		100		134
American Express Credit Corp., 2.75%, 09/15/15		500		491
American International Group Inc.
4.25%, 05/15/13		500		517


	Shares/Par (p)		Value
5.85%, 01/16/18		200		208
6.40%, 12/15/20 (e)		500		534
6.25%, 03/15/37 (i)		400		366
Ameriprise Financial Inc., 7.52%, 06/01/66 (i)		250		263
Asian Development Bank
3.63%, 09/05/13		500		529
4.25%, 10/20/14		250		271
2.50%, 03/15/16		500		502
5.59%, 07/16/18		400		454
6.38%, 10/01/28		210		240
Assurant Inc., 6.75%, 02/15/34		100		98
AXA SA, 8.60%, 12/15/30		100		118
Bank of America Corp.
2.10%, 04/30/12		400		407
3.13%, 06/15/12		1,650		1,701
4.88%, 09/15/12		150		157
4.88%, 01/15/13		200		210
4.90%, 05/01/13		200		211
4.75%, 08/15/13		200		210
7.38%, 05/15/14		200		226
4.50%, 04/01/15 (e)		500		519
3.70%, 09/01/15 (e)		600		601
3.63%, 03/17/16		500		493
6.50%, 08/01/16		300		332
5.75%, 12/01/17		675		711
5.65%, 05/01/18		500		523
5.49%, 03/15/19 (e)		200		201
Bank of America NA, 6.00%, 10/15/36		250		243
Bank of New York Mellon Corp.
4.95%, 11/01/12 (a)		500		531
2.50%, 01/15/16 (a)		500		497
Bank of Nova Scotia
2.38%, 12/17/13		172		175
2.05%, 10/07/15 (e)		500		488
Bank One Corp., 7.63%, 10/15/26		500		592
Barclays Bank Plc
5.45%, 09/12/12		500		530
5.20%, 07/10/14		1,000		1,081
3.90%, 04/07/15 (e)		500		517
BB&T Capital Trust I, 5.85%, 08/18/35		100		95
BB&T Capital Trust II, 6.75%, 06/07/36		150		150
BB&T Corp., 5.20%, 12/23/15		300		322
Bear Stearns Cos. Inc.
5.70%, 11/15/14		200		220
6.40%, 10/02/17		500		562
Berkshire Hathaway Finance Corp.
4.60%, 05/15/13		100		107
4.63%, 10/15/13		250		270
4.85%, 01/15/15		100		109
5.40%, 05/15/18		500		551
4.25%, 01/15/21 (e)		300		300
Berkshire Hathaway Inc., 5.13%, 09/15/12		500		529
BlackRock Inc., 3.50%, 12/10/14		200		209
BNP Paribas, 2.13%, 12/21/12		500		507
BNP Paribas SA, 5.00%, 01/15/21 (e)		400		404
Boeing Capital Corp.
5.80%, 01/15/13		125		135
3.25%, 10/27/14		300		313
Boston Properties LP, 5.63%, 11/15/20		200		214
Camden Property Trust, 5.00%, 06/15/15		100		107
Capital One Bank USA NA, 6.50%, 06/13/13		250		272
Capital One Capital III, 7.69%, 08/15/36 (i)		100		103
Capital One Capital V, 10.25%, 08/15/39		400		434
Capital One Financial Corp., 6.15%, 09/01/16		250		274
Caterpillar Financial Services Corp.
1.55%, 12/20/13 (e)		450		451
4.75%, 02/17/15		100		109
2.75%, 06/24/15		200		204


	Shares/Par (p)		Value
Caterpillar Inc., 7.30%, 05/01/31		92		117
Chubb Corp., 5.20%, 04/01/13		100		107
Cincinnati Financial Corp., 6.13%, 11/01/34		100		97
Citigroup Funding Inc.
1.88%, 10/22/12		1,000		1,019
1.88%, 11/15/12		1,000		1,019
Citigroup Inc.
2.13%, 04/30/12		1,000		1,019
5.50%, 04/11/13		500		535
6.50%, 08/19/13		500		547
5.00%, 09/15/14		400		418
6.01%, 01/15/15		500		546
4.75%, 05/19/15		500		524
5.85%, 08/02/16		250		271
5.50%, 02/15/17 (e)		350		364
6.00%, 08/15/17		250		272
6.13%, 11/21/17 (e)		700		763
6.13%, 05/15/18		400		436
8.50%, 05/22/19		350		432
6.00%, 10/31/33		50		48
5.88%, 05/29/37 (e)		500		488
8.13%, 07/15/39		600		752
CNA Financial Corp., 5.75%, 08/15/21 (e)		400		410
CommonWealth REIT, 6.25%, 08/15/16		500		537
ConocoPhillips Canada Funding Co. I, 5.63%, 10/15/16		300		339
Corp. Andina de Fomento, 3.75%, 01/15/16		200		198
Credit Suisse AG, 5.40%, 01/14/20		300		303
Credit Suisse New York
5.50%, 05/01/14		1,200		1,315
3.50%, 03/23/15		500		511
Credit Suisse USA Inc.
5.50%, 08/15/13		450		487
5.13%, 08/15/15 (e)		200		217
7.13%, 07/15/32		100		117
Deutsche Bank AG London
4.88%, 05/20/13		450		478
3.45%, 03/30/15 (e)		500		511
Deutsche Bank Financial LLC, 5.38%, 03/02/15 (r)		250		266
Discover Bank, 7.00%, 04/15/20		300		330
Duke Realty LP, 7.38%, 02/15/15		150		170
Eksportfinans ASA, 3.00%, 11/17/14		500		515
ERP Operating LP
5.25%, 09/15/14		250		272
5.75%, 06/15/17		150		165
European Bank for Reconstruction & Development
2.75%, 04/20/15		500		514
2.50%, 03/15/16		500		497
European Investment Bank
1.75%, 09/14/12		600		609
1.88%, 06/17/13 (e)		500		508
1.25%, 09/17/13 (e)		500		501
1.25%, 02/14/14		500		497
4.63%, 05/15/14		150		164
3.13%, 06/04/14		500		523
2.75%, 03/23/15 (e)		400		412
1.63%, 09/01/15		600		586
4.88%, 02/16/16		250		277
2.25%, 03/15/16 (e)		500		495
2.50%, 05/16/16 (r)		500		499
5.13%, 09/13/16		500		561
5.13%, 05/30/17		500		561
2.88%, 09/15/20 (e)		600		559
4.00%, 02/16/21 (e)		500		506
Export-Import Bank of Korea
8.13%, 01/21/14		500		573


	Shares/Par (p)		Value
5.13%, 03/16/15		200		214
Fidelity National Financial Inc., 6.60%, 05/15/17		400		414
Fifth Third Bancorp, 6.25%, 05/01/13 (e)		300		325
Fifth Third Capital Trust IV, 6.50%, 04/15/37 (i)		200		195
Franklin Resources Inc., 3.13%, 05/20/15		300		307
General Electric Capital Corp.
2.20%, 06/08/12		1,000		1,021
6.00%, 06/15/12		200		212
2.00%, 09/28/12		500		510
5.25%, 10/19/12		400		424
2.63%, 12/28/12		1,000		1,032
2.80%, 01/08/13 (e)		200		205
5.45%, 01/15/13 (e)		1,000		1,069
1.88%, 09/16/13		500		500
2.10%, 01/07/14		400		400
3.50%, 06/29/15 (e)		500		511
5.00%, 01/08/16 (e)		300		323
5.63%, 09/15/17 (e)		200		217
5.63%, 05/01/18		700		757
5.50%, 01/08/20		200		212
4.63%, 01/07/21		400		394
6.75%, 03/15/32 (e)		850		934
5.88%, 01/14/38		400		395
6.88%, 01/10/39		800		893
Genworth Financial Inc., 7.70%, 06/15/20		350		359
Goldman Sachs Group Inc.
3.25%, 06/15/12 (e)		400		413
5.45%, 11/01/12		600		638
5.25%, 04/01/13		600		640
4.75%, 07/15/13		275		291
6.00%, 05/01/14		500		549
5.13%, 01/15/15		200		214
3.70%, 08/01/15 (e)		500		504
3.63%, 02/07/16		200		198
5.75%, 10/01/16		250		272
6.25%, 09/01/17		200		219
5.95%, 01/18/18		300		322
6.15%, 04/01/18		375		407
7.50%, 02/15/19		100		116
5.38%, 03/15/20		400		406
5.95%, 01/15/27		250		251
6.13%, 02/15/33 (e)		850		866
6.75%, 10/01/37		200		202
6.25%, 02/01/41		600		598
Hartford Financial Services Group Inc.
5.38%, 03/15/17		500		518
6.10%, 10/01/41		75		71
HCP Inc.
2.70%, 02/01/14		700		702
6.00%, 01/30/17 (e)		150		162
5.38%, 02/01/21 (e)		300		303
Health Care REIT Inc., 6.13%, 04/15/20		400		423
Hospitality Properties Trust, 5.63%, 03/15/17		500		519
HSBC Bank USA
4.88%, 08/24/20		300		294
7.00%, 01/15/39 (e)		340		381
HSBC Finance Capital Trust IX, 5.91%, 11/30/35 (e) (i)		250		239
HSBC Finance Corp., 4.75%, 07/15/13 (e)		600		640
HSBC Holdings Plc
5.25%, 12/12/12		500		529
7.63%, 05/17/32		150		165
6.50%, 05/02/36		150		154
HSBC USA Inc., 5.00%, 09/27/20 (e)		500		491
ICICI Bank Ltd., 6.63%, 10/03/12 (r)		200		212
Inter-American Development Bank
4.38%, 09/20/12		500		527


	Shares/Par (p)		Value
1.75%, 10/22/12		490		498
1.63%, 07/15/13		400		405
4.50%, 09/15/14		500		547
5.13%, 09/13/16		250		282
3.88%, 02/14/20		200		207
International Bank for Reconstruction & Development
2.00%, 04/02/12		1,000		1,016
0.80%, 07/13/12		500		501
1.75%, 07/15/13		350		356
1.13%, 08/25/14		500		492
2.38%, 05/26/15		200		204
2.13%, 03/15/16		500		498
7.63%, 01/19/23		300		402
International Business Machines International Group Capital LLC, 5.05%, 10/22/12		300		319
International Finance Corp., 2.13%, 11/17/17		500		484
International Lease Finance Corp., 3.00%, 04/22/14		500		522
Japan Bank of International Cooperation, 2.13%, 11/05/12		500		509
Jefferies Group Inc.
6.45%, 06/08/27		100		100
6.25%, 01/15/36 (e)		500		462
Jefferson-Pilot Corp., 4.75%, 01/30/14		400		420
John Deere Capital Corp.
1.88%, 06/17/13		200		203
5.75%, 09/10/18		500		564
JPMorgan Chase & Co.
2.20%, 06/15/12		500		511
5.38%, 10/01/12		1,500		1,593
2.13%, 12/26/12 (e)		500		512
5.75%, 01/02/13		300		321
2.05%, 01/24/14		300		299
4.75%, 03/01/15		250		267
5.15%, 10/01/15		250		268
3.45%, 03/01/16		300		299
5.55%, 01/22/17		500		531
6.00%, 01/15/18		400		439
4.40%, 07/22/20 (e)		600		580
JPMorgan Chase Bank NA, 6.00%, 10/01/17		250		273
JPMorgan Chase Capital XX, 6.55%, 09/29/36 (i)		100		102
JPMorgan Chase Capital XXV, 6.80%, 10/01/37		600		603
KeyBank NA, 5.80%, 07/01/14		100		109
KeyCorp
3.75%, 08/13/15		500		505
5.10%, 03/24/21		500		497
Korea Development Bank, 5.30%, 01/17/13		800		844
Kreditanstalt fuer Wiederaufbau
2.25%, 04/16/12		600		611
1.25%, 06/15/12		500		504
1.88%, 01/14/13		200		204
3.25%, 03/15/13		250		261
3.50%, 05/16/13		400		421
1.38%, 07/15/13		500		504
1.38%, 01/13/14		500		500
4.13%, 10/15/14		650		706
2.75%, 10/21/14		500		517
2.63%, 03/03/15 (e)		500		513
2.63%, 02/16/16		500		504
5.13%, 03/14/16		500		560
4.88%, 01/17/17 (e)		500		554
4.88%, 06/17/19		500		553
4.00%, 01/27/20 (e)		600		620
2.75%, 09/08/20		500		462
0.00%,06/29/37 (j)		500		134


	Shares/Par (p)		Value
Landwirtschaftliche Rentenbank
1.88%, 09/24/12		500		504
3.25%, 03/15/13 (e)		500		522
2.50%, 02/15/16 (e)		1,000		998
Lincoln National Corp., 8.75%, 07/01/19		500		633
Lloyds TSB Bank Plc, 6.38%, 01/21/21		500		521
Marsh & McLennan Cos. Inc., 5.75%, 09/15/15		100		109
Merrill Lynch & Co. Inc.
6.05%, 08/15/12		500		531
5.00%, 01/15/15		550		582
6.05%, 05/16/16		250		264
5.70%, 05/02/17		500		519
6.88%, 04/25/18		650		722
6.75%, 06/01/28		800		852
7.75%, 05/14/38 (e)		400		459
MetLife Inc.
5.00%, 11/24/13		100		108
6.75%, 06/01/16		500		578
7.72%, 02/15/19		500		608
5.70%, 06/15/35		100		100
6.40%, 12/15/36 (i)		100		96
Morgan Stanley
6.60%, 04/01/12		300		317
1.95%, 06/20/12		400		407
5.75%, 08/31/12		500		530
5.25%, 11/02/12		500		529
4.75%, 04/01/14		450		469
6.00%, 04/28/15		500		545
5.38%, 10/15/15		500		531
5.75%, 10/18/16		250		268
5.45%, 01/09/17		350		369
6.63%, 04/01/18		500		550
7.30%, 05/13/19		300		337
5.63%, 09/23/19		300		306
5.50%, 01/26/20		500		502
5.75%, 01/25/21		400		404
7.25%, 04/01/32		25		29
MUFG Capital Finance 1 Ltd., 6.35%, (callable at 100 beginning 07/25/16) (m)		250		250
National City Bank, 4.63%, 05/01/13		100		106
National Rural Utilities Cooperative Finance Corp.
10.38%, 11/01/18		200		273
8.00%, 03/01/32		150		194
NB Capital Trust II, 7.83%, 12/15/26		100		102
Nomura Holdings Inc, 6.70%, 03/04/20		400		426
Nordic Investment Bank, 3.63%, 06/17/13		600		634
Northern Trust Corp., 3.45%, 11/04/20		300		285
Oesterreichische Kontrollbank AG
4.75%, 10/16/12		650		688
1.75%, 03/11/13 (e)		300		304
PNC Funding Corp.
5.25%, 11/15/15		250		269
6.70%, 06/10/19		500		582
Principal Life Income Funding Trusts, 5.10%,
04/15/14		150		161
ProLogis, 6.25%, 03/15/17		400		433
Prudential Financial Inc.
4.75%, 09/17/15		500		532
5.38%, 06/21/20		200		208
5.75%, 07/15/33 (e)		400		389
5.70%, 12/14/36		250		245
6.63%, 06/21/40 (e)		200		220
Realty Income Corp., 6.75%, 08/15/19		150		171
Royal Bank of Canada, 2.10%, 07/29/13 (e)		200		204
Royal Bank of Scotland Group Plc
5.00%, 10/01/14		100		100
6.40%, 10/21/19 (e)		200		206


	Shares/Par (p)		Value
Royal Bank of Scotland Plc
3.25%, 01/11/14		300		304
4.88%, 03/16/15		300		312
3.95%, 09/21/15		500		500
6.13%, 01/11/21 (e)		300		308
Simon Property Group LP
5.75%, 12/01/15		400		445
5.25%, 12/01/16		250		272
6.75%, 02/01/40 (e)		100		114
SLM Corp.
5.00%, 10/01/13		520		538
5.05%, 11/14/14		250		252
8.00%, 03/25/20 (e)		100		109
SunTrust Banks Inc., 3.60%, 04/15/16		500		497
SunTrust Capital VIII, 6.10%, 12/01/66 (i)		99		97
Teco Finance Inc., 5.15%, 03/15/20		200		207
Toyota Motor Credit Corp.
3.20%, 06/17/15		500		508
4.25%, 01/11/21 (e)		400		398
Transatlantic Holdings Inc., 5.75%, 12/14/15 (e)		200		211
Travelers Cos. Inc., 6.25%, 06/15/37		150		161
Travelers Property Casualty Corp., 6.38%, 03/15/33		400		432
UBS AG Stamford
3.88%, 01/15/15 (e)		500		512
5.88%, 07/15/16		250		268
5.88%, 12/20/17		250		273
4.88%, 08/04/20		500		504
Union Bank NA, 5.95%, 05/11/16		500		530
US Bancorp
1.38%, 09/13/13		580		579
2.45%, 07/27/15		800		791
US Bank, 4.80%, 04/15/15		500		536
Validus Holding Ltd., 8.88%, 01/26/40		500		525
Wachovia Bank NA
4.88%, 02/01/15		200		213
6.00%, 11/15/17		250		278
5.85%, 02/01/37		250		255
6.60%, 01/15/38 (e)		300		337
Wachovia Corp.
5.50%, 05/01/13		500		539
5.25%, 08/01/14		250		267
5.63%, 10/15/16		500		540
Wells Fargo & Co.
2.13%, 06/15/12 (e)		300		306
4.95%, 10/16/13 (e)		700		748
5.00%, 11/15/14		200		214
3.63%, 04/15/15 (e)		400		412
3.68%, 06/15/16 (e)		600		604
5.63%, 12/11/17 (e)		300		328
4.60%, 04/01/21		500		494
Wells Fargo Bank NA, 4.75%, 02/09/15		250		266
Wells Fargo Financial Inc., 5.50%, 08/01/12		250		265
Westpac Banking Corp.
2.25%, 11/19/12		300		305
4.20%, 02/27/15		500		523

				142,969
HEALTH CARE - 1.2%
Abbott Laboratories
5.15%, 11/30/12		500		536
5.88%, 05/15/16		250		286
6.00%, 04/01/39		550		596
Aetna Inc., 6.63%, 06/15/36		150		166
Amgen Inc.
5.85%, 06/01/17		200		228
6.38%, 06/01/37		400		443


	Shares/Par (p)		Value
AstraZeneca Plc
5.90%, 09/15/17		250		285
6.45%, 09/15/37		250		283
Baxter International Inc.
4.00%, 03/01/14		300		318
4.63%, 03/15/15		75		82
4.25%, 03/15/20		200		203
Becton Dickinson and Co., 3.25%, 11/12/20		300		280
Bristol-Myers Squibb Co.
5.45%, 05/01/18		150		167
5.88%, 11/15/36		67		73
Celgene Corp., 3.95%, 10/15/20		300		283
Covidien International Finance SA, 6.00%, 10/15/17		300		342
Eli Lilly & Co.
5.20%, 03/15/17		500		553
5.55%, 03/15/37		100		103
Express Scripts Inc., 5.25%, 06/15/12		200		210
Genentech Inc.
4.75%, 07/15/15		50		54
5.25%, 07/15/35		250		246
GlaxoSmithKline Capital Inc.
4.85%, 05/15/13		375		403
4.38%, 04/15/14		150		162
5.65%, 05/15/18		250		281
5.38%, 04/15/34 (e)		150		151
Hospira Inc., 6.05%, 03/30/17		500		554
Humana Inc., 7.20%, 06/15/18 (l)		500		568
Johnson & Johnson
3.80%, 05/15/13		500		529
5.95%, 08/15/37 (e)		250		283
Medco Health Solutions Inc., 7.13%, 03/15/18 (l)		500		583
Medtronic Inc., 4.45%, 03/15/20 (e)		400		410
Merck & Co. Inc.
4.75%, 03/01/15		250		273
6.00%, 09/15/17		250		288
6.50%, 12/01/33 (e) (l)		350		412
6.55%, 09/15/37		300		355
Novartis Capital Corp., 4.13%, 02/10/14		800		855
Pfizer Inc.
5.35%, 03/15/15 (e)		100		112
6.20%, 03/15/19		500		576
Pharmacia Corp., 6.60%, 12/01/28		50		59
Sanofi-Aventis SA, 2.63%, 03/29/16		500		496
Teva Pharmaceutical Finance LLC, 6.15%, 02/01/36		150		164
Thermo Fisher Scientific Inc.
2.05%, 02/21/14 (e)		400		404
5.00%, 06/01/15		200		218
3.20%, 03/01/16		300		305
UnitedHealth Group Inc.
5.38%, 03/15/16		250		275
6.00%, 02/15/18		150		167
4.70%, 02/15/21 (e)		400		404
5.80%, 03/15/36		150		149
5.95%, 02/15/41		450		453
WellPoint Inc.
5.25%, 01/15/16 (e)		300		330
4.35%, 08/15/20		200		200
5.85%, 01/15/36		100		101
5.80%, 08/15/40		200		197
Wyeth
5.50%, 03/15/13 (l)		100		108
5.50%, 02/15/16		500		559
6.45%, 02/01/24		100		117


	Shares/Par (p)		Value
5.95%, 04/01/37		250		267

				17,505
INDUSTRIALS - 1.2%
3M Co., 5.70%, 03/15/37		150		163
Boeing Co., 4.88%, 02/15/20		500		534
Browning-Ferris Industries Inc., 7.40%, 09/15/35		95		112
Burlington Northern Santa Fe Corp.
5.90%, 07/01/12		150		159
4.70%, 10/01/19		300		313
6.15%, 05/01/37		100		106
5.75%, 05/01/40		400		405
Canadian National Railway Co., 5.55%, 03/01/19		400		446
Caterpillar Inc.
7.90%, 12/15/18 (e)		500		642
6.05%, 08/15/36		150		169
CSX Corp.
7.38%, 02/01/19		300		363
6.00%, 10/01/36		200		207
Dover Corp., 5.38%, 03/01/41		500		502
Emerson Electric Co.
4.50%, 05/01/13		414		441
5.00%, 12/15/14		100		111
GE Capital Trust I, 6.38%, 11/15/67 (i)		500		512
General Dynamics Corp., 4.25%, 05/15/13		250		266
General Electric Co., 5.00%, 02/01/13		800		852
Honeywell International Inc.
5.00%, 02/15/19 (e)		500		544
5.38%, 03/01/41		300		303
Ingersoll-Rand Global Holding Co. Ltd., 6.88%, 08/15/18		200		232
Koninklijke Philips Electronics NV, 5.75%, 03/11/18		350		392
L-3 Communications Corp., 4.95%, 02/15/21		500		503
Lockheed Martin Corp.
6.15%, 09/01/36		175		190
5.72%, 06/01/40 (e) (r)		200		204
Norfolk Southern Corp.
5.90%, 06/15/19 (e)		300		340
7.25%, 02/15/31		75		92
7.05%, 05/01/37		100		121
Northrop Grumman Corp., 5.05%, 08/01/19 (e)		210		223
PACCAR Inc., 6.88%, 02/15/14		200		228
Parker Hannifin Corp., 3.50%, 09/15/22		300		278
Pitney Bowes Inc., 5.75%, 09/15/17		500		537
Raytheon Co., 3.13%, 10/15/20		500		458
Republic Services Inc.
5.00%, 03/01/20		300		311
6.20%, 03/01/40		430		454
RR Donnelley & Sons Co.
4.95%, 04/01/14		200		207
5.50%, 05/15/15		50		52
Ryder System Inc., 3.15%, 03/02/15		500		502
Tyco Electronics Group SA, 6.00%, 10/01/12 (l)		300		320
Tyco International Finance SA, 4.63%, 01/15/23		200		200
Tyco International Group SA, 6.00%, 11/15/13		500		554
Union Pacific Corp.
7.00%, 02/01/16		500		587
5.70%, 08/15/18		250		280
6.63%, 02/01/29		25		29
5.78%, 07/15/40		300		309
United Parcel Service Inc.
3.13%, 01/15/21		500		463
6.20%, 01/15/38		350		391


	Shares/Par (p)		Value
United Technologies Corp.
4.88%, 05/01/15		300		330
6.13%, 02/01/19		250		292
6.70%, 08/01/28		50		60
5.70%, 04/15/40		500		536
Waste Management Inc.
6.38%, 11/15/12 (e)		500		542
6.10%, 03/15/18		200		223

				17,590
INFORMATION TECHNOLOGY - 0.8%
Adobe Systems Inc., 4.75%, 02/01/20 (e)		300		304
Agilent Technologies Inc., 5.00%, 07/15/20 (e)		200		204
Amphenol Corp., 4.75%, 11/15/14		600		644
Cisco Systems Inc.
1.63%, 03/14/14		500		499
2.90%, 11/17/14		500		519
5.50%, 02/22/16		250		281
5.90%, 02/15/39		250		259
Dell Inc.
4.70%, 04/15/13		200		213
5.40%, 09/10/40 (e)		200		186
EnCana Corp., 6.50%, 02/01/38		300		321
Fiserv Inc., 6.13%, 11/20/12		500		537
Harris Corp., 4.40%, 12/15/20		500		498
Hewlett-Packard Co.
6.50%, 07/01/12		250		267
4.50%, 03/01/13 (e)		300		320
6.13%, 03/01/14		400		448
2.13%, 09/13/15		300		294
3.75%, 12/01/20		300		288
International Business Machines Corp.
1.00%, 08/05/13		500		497
5.70%, 09/14/17		300		340
6.50%, 01/15/28		200		237
5.60%, 11/30/39		330		345
Juniper Networks Inc., 3.10%, 03/15/16		500		499
Microsoft Corp.
1.63%, 09/25/15		200		194
3.00%, 10/01/20		300		278
5.30%, 02/08/41		300		304
Oracle Corp.
5.75%, 04/15/18		350		392
3.88%, 07/15/20 (e) (r)		300		295
6.13%, 07/08/39 (e)		300		320
5.38%, 07/15/40 (r)		500		487
Western Union Co., 5.25%, 04/01/20		500		520
Xerox Corp., 6.35%, 05/15/18 (e)		500		565

				11,355
MATERIALS - 1.1%
Agrium Inc., 7.13%, 05/23/36		300		347
Air Products & Chemicals Inc., 4.38%, 08/21/19		400		408
Alcoa Inc.
5.38%, 01/15/13		50		53
5.55%, 02/01/17 (e)		200		211
6.75%, 07/15/18		300		332
ArcelorMittal
9.85%, 06/01/19 (e)		500		634
7.00%, 10/15/39 (l)		200		201
Barrick Gold Corp.
6.95%, 04/01/19 (e)		350		419
5.95%, 10/15/39 (e)		300		309
BHP Billiton Finance USA Ltd.
4.80%, 04/15/13		100		107
5.50%, 04/01/14		100		111
5.25%, 12/15/15		90		100
5.40%, 03/29/17		200		223


	Shares/Par (p)		Value
CRH America Inc., 6.00%, 09/30/16		250		269
Dow Chemical Co.
6.00%, 10/01/12		50		53
7.60%, 05/15/14 (l)		250		289
2.50%, 02/15/16		500		481
8.55%, 05/15/19 (l)		197		249
7.38%, 11/01/29		500		598
Eastman Chemical Co., 3.00%, 12/15/15		500		496
EI du Pont de Nemours & Co.
4.75%, 11/15/12		100		106
1.75%, 03/25/14		300		299
2.75%, 04/01/16		300		298
4.25%, 04/01/21		300		297
5.60%, 12/15/36 (e)		400		420
4.90%, 01/15/41 (e)		300		280
Freeport-McMoRan Copper & Gold Inc.,
8.38%, 04/01/17		700		772
International Paper Co.
7.95%, 06/15/18 (e)		150		180
8.70%, 06/15/38		300		385
Lafarge SA, 6.50%, 07/15/16		250		265
Newmont Mining Corp.
5.88%, 04/01/35		50		51
6.25%, 10/01/39 (e)		400		424
Nucor Corp., 5.00%, 06/01/13		500		538
Plum Creek Timberlands LP, 4.70%, 03/15/21		400		385
Potash Corp. of Saskatchewan Inc.
4.88%, 03/01/13		250		267
5.25%, 05/15/14		500		545
PPG Industries Inc., 3.60%, 11/15/20 (e)		400		377
Praxair Inc.
3.95%, 06/01/13		100		106
5.38%, 11/01/16		500		558
Rio Tinto Alcan Inc.
4.88%, 09/15/12		50		53
6.13%, 12/15/33 (e)		425		448
Rio Tinto Finance USA Ltd.
1.88%, 11/02/15		500		481
3.50%, 11/02/20		400		373
RPM International Inc., 6.13%, 10/15/19		200		210
Southern Copper Corp., 7.50%, 07/27/35		150		162
Teck Resources Ltd., 10.75%, 05/15/19		500		638
Vale Overseas Ltd.
6.25%, 01/11/16		100		111
6.25%, 01/23/17		150		167
8.25%, 01/17/34		500		609
6.88%, 11/21/36		100		106

				15,801
TELECOMMUNICATION SERVICES - 1.2%
America Movil SAB de CV
3.63%, 03/30/15		200		206
5.00%, 03/30/20		200		206
6.38%, 03/01/35 (e)		200		216
6.13%, 03/30/40		300		314
AT&T Corp., 8.00%, 11/15/31 (l)		17		21
AT&T Inc.
4.95%, 01/15/13		750		799
5.10%, 09/15/14		550		601
2.50%, 08/15/15		500		496
5.80%, 02/15/19 (e)		500		555
6.15%, 09/15/34		350		349
6.30%, 01/15/38		300		302
6.55%, 02/15/39		250		261
5.35%, 09/01/40 (r)		705		632
AT&T Wireless Services Inc, 8.13%, 05/01/12		200		215
BellSouth Capital Funding Corp., 7.88%, 02/15/30		100		121


	Shares/Par (p)		Value
BellSouth Corp., 5.20%, 09/15/14		100		109
British Telecommunications Plc, 9.88%, 12/15/30 (l)		150		207
CenturyTel Inc., 6.00%, 04/01/17		250		267
Deutsche Telekom International Finance BV
5.25%, 07/22/13		200		216
5.75%, 03/23/16 (e)		250		280
8.75%, 06/15/30 (l)		300		393
Embarq Corp., 8.00%, 06/01/36		100		113
France Telecom SA, 8.50%, 03/01/31 (l)		250		336
GTE Corp.
6.84%, 04/15/18		250		289
6.94%, 04/15/28		50		55
Qwest Corp.
8.38%, 05/01/16		500		595
6.50%, 06/01/17 (e)		250		276
7.25%, 09/15/25		110		117
Rogers Communications Inc., 6.80%, 08/15/18		500		585
Southwestern Bell Telephone LP, 7.00%, 07/01/15		100		115
Telecom Italia Capital SA
5.25%, 11/15/13		500		528
6.18%, 06/18/14 (e)		300		322
4.95%, 09/30/14		100		104
5.25%, 10/01/15		200		207
6.38%, 11/15/33		50		47
6.00%, 09/30/34		100		91
Telefonica Emisiones SAU
3.73%, 04/27/15		100		101
3.99%, 02/16/16 (e)		400		402
5.88%, 07/15/19 (e)		500		526
5.13%, 04/27/20		100		100
Telefonica Europe BV, 8.25%, 09/15/30 (e)		200		242
Verizon Communications Inc.
5.25%, 04/15/13		200		216
5.55%, 02/15/16		200		222
8.75%, 11/01/18		350		448
6.35%, 04/01/19 (e)		500		569
5.85%, 09/15/35		350		348
6.90%, 04/15/38		300		333
6.00%, 04/01/41		400		398
Verizon Florida LLC, 6.86%, 02/01/28		200		212
Verizon Global Funding Corp., 7.75%, 12/01/30		200		241
Verizon Wireless Capital LLC
7.38%, 11/15/13		750		856
8.50%, 11/15/18 (e)		150		193
Vodafone Group Plc
5.00%, 12/16/13		150		163
5.38%, 01/30/15		100		110
5.63%, 02/27/17		600		663
7.88%, 02/15/30		200		253

				17,142
UTILITIES - 1.6%
Alabama Power Co., 6.00%, 03/01/39		250		271
Ameren Energy Generating Co., 6.30%,
04/01/20 (e)		150		147
Cleveland Electric Illuminating Co., 5.95%, 12/15/36		500		468
Consolidated Edison Co. of New York Inc.
4.88%, 02/01/13 (e)		300		318
4.45%, 06/15/20		200		205
5.30%, 03/01/35		250		244
5.85%, 03/15/36		300		315
5.70%, 06/15/40 (e)		100		104
Constellation Energy Group Inc., 7.60%, 04/01/32		150		170


	Shares/Par (p)		Value
Consumers Energy Co.
5.50%, 08/15/16		25		28
6.70%, 09/15/19		400		470
Detroit Edison Co., 5.60%, 06/15/18		250		272
Dominion Resources Inc.
1.80%, 03/15/14		400		399
8.88%, 01/15/19		350		447
4.45%, 03/15/21		400		397
7.00%, 06/15/38		200		234
Duke Energy Carolinas LLC
5.63%, 11/30/12		150		161
5.30%, 10/01/15		200		223
7.00%, 11/15/18		100		120
5.30%, 02/15/40		300		295
Duke Energy Corp., 6.30%, 02/01/14		700		780
Enersis SA, 7.40%, 12/01/16		150		173
Entergy Arkansas Inc., 3.75%, 02/15/21		400		372
Entergy Corp., 3.63%, 09/15/15 (l)		300		297
Exelon Corp., 4.90%, 06/15/15		200		210
Exelon Generation Co. LLC
5.35%, 01/15/14		150		161
6.20%, 10/01/17		200		222
5.20%, 10/01/19		500		507
First Energy Solutions Corp., 6.80%, 08/15/39		200		198
FirstEnergy Corp., 7.38%, 11/15/31		425		460
Florida Power & Light Co.
5.63%, 04/01/34		100		103
4.95%, 06/01/35		300		283
5.95%, 02/01/38		250		269
Florida Power Corp.
5.65%, 06/15/18		350		391
4.55%, 04/01/20 (e)		300		309
6.40%, 06/15/38		300		337
FPL Group Capital Inc., 6.00%, 03/01/19		100		110
Georgia Power Co.
1.30%, 09/15/13		500		500
4.25%, 12/01/19		300		307
Iberdrola USA Inc, 6.75%, 07/15/36 (e)		150		157
Indiana Michigan Power Co., 7.00%, 03/15/19		250		293
Kentucky Utilities Co., 5.13%, 11/01/40 (e) (r)		300		287
LG&E and KU Energy LLC, 3.75%, 11/15/20 (r)		300		277
MidAmerican Energy Co.
5.65%, 07/15/12		100		106
6.75%, 12/30/31		50		58
MidAmerican Energy Holdings Co.
5.88%, 10/01/12		100		107
6.13%, 04/01/36		350		371
National Grid Plc, 6.30%, 08/01/16 (e)		150		170
Nevada Power Co., 7.13%, 03/15/19		250		294
NiSource Finance Corp.
5.40%, 07/15/14		75		82
6.80%, 01/15/19		300		343
Northern States Power Co.
8.00%, 08/28/12		100		109
5.25%, 03/01/18		350		382
Ohio Power Co., 6.00%, 06/01/16		250		281
Oncor Electric Delivery Co.
6.38%, 01/15/15		150		168
7.00%, 09/01/22		150		173
Pacific Gas & Electric Co.
4.80%, 03/01/14		250		268
6.05%, 03/01/34 (e)		500		521
PacifiCorp
7.70%, 11/15/31		450		568
5.75%, 04/01/37		150		156
Panhandle Eastern Pipeline Co. LP, 6.20%, 11/01/17		500		554
Progress Energy Inc., 7.75%, 03/01/31		150		186


	Shares/Par (p)		Value
PSEG Power LLC
2.50%, 04/15/13		300		304
8.63%, 04/15/31		75		94
Public Service Co. of Colorado, 7.88%, 10/01/12		500		549
Public Service Electric & Gas Co., 5.50%, 03/01/40		200		201
Puget Sound Energy Inc., 5.76%, 10/01/39		200		203
San Diego Gas & Electric Co., 5.35%, 05/15/40 (e)		200		202
Scottish Power Ltd., 5.38%, 03/15/15		50		53
Sempra Energy
6.00%, 02/01/13		250		268
2.00%, 03/15/14		500		497
South Carolina Electric & Gas Co., 6.05%, 01/15/38 (e)		400		433
Southern California Edison Co.
6.00%, 01/15/34		75		82
5.95%, 02/01/38 (e)		400		430
Southwestern Electric Power Co.
6.45%, 01/15/19		300		335
6.20%, 03/15/40		200		200
Toledo Edison Co., 7.25%, 05/01/20		300		355
TransAlta Corp., 6.50%, 03/15/40		300		307
Union Electric Co., 6.40%, 06/15/17		100		113
Veolia Environnement, 6.00%, 06/01/18		200		222
Virginia Electric & Power Co.
5.95%, 09/15/17		250		286
6.00%, 01/15/36		150		161

				22,483

Total Corporate Bonds and Notes (cost $309,734)				318,420

GOVERNMENT AND AGENCY OBLIGATIONS - 73.2%
GOVERNMENT SECURITIES - 39.8%
Federal Farm Credit Bank - 0.2% (w)
Federal Farm Credit Bank
2.13%, 06/18/12		1,000		1,019
1.88%, 12/07/12		500		510
1.75%, 02/21/13		500		508
3.88%, 10/07/13 (e)		500		534
2.12%, 09/08/16		400		384
2.95%, 12/13/18		200		194

				3,149
Federal Home Loan Bank - 1.1% (w)
Federal Home Loan Bank
5.75%, 05/15/12		1,125		1,192
1.13%, 05/18/12		500		504
0.60%, 07/20/12		350		349
0.88%, 08/22/12		1,000		1,004
1.75%, 08/22/12		1,000		1,016
1.63%, 09/26/12 (e)		1,000		1,015
4.50%, 11/15/12		400		424
1.63%, 11/21/12		1,000		1,015
0.55%, 12/03/12 (e)		500		499
1.50%, 01/16/13		1,000		1,011
3.88%, 06/14/13		1,600		1,700
1.88%, 06/21/13		1,000		1,019
4.50%, 09/16/13 (e)		1,000		1,080
3.63%, 10/18/13		1,000		1,059
5.25%, 06/18/14		1,090		1,216
5.00%, 12/21/15		500		563
5.38%, 05/18/16		500		569
4.75%, 12/16/16		300		332
5.65%, 04/20/22		125		132


	Shares/Par (p)		Value
5.50%, 07/15/36		400		433
				16,132
Federal Home Loan Mortgage Corp. - 1.8% (w)
Federal Home Loan Mortgage Corp.
2.13%, 03/23/12 - 10/29/13		2,250		2,284
1.75%, 06/15/12 - 09/10/15		2,000		1,997
5.13%, 07/15/12 - 10/18/16		1,598		1,733
1.13%, 07/27/12 - 01/14/13		1,200		1,208
0.70%, 10/25/12		500		499
4.63%, 10/25/12		300		319
4.50%, 01/15/13 - 04/02/14		2,265		2,434
1.63%, 04/15/13		500		508
3.50%, 05/29/13		1,400		1,477
1.15%, 09/03/13		250		249
1.20%, 09/24/13 - 04/28/14		750		743
4.13%, 09/27/13 (e)		2,000		2,146
4.88%, 11/15/13		500		548
1.45%, 02/24/14		250		249
2.50%, 04/23/14		1,000		1,032
5.05%, 01/26/15		100		112
2.88%, 02/09/15 (e)		1,000		1,036
4.38%, 07/17/15		300		328
2.25%, 08/12/15		250		249
4.75%, 01/19/16		2,100		2,326
5.25%, 04/18/16		1,000		1,132
3.00%, 07/14/16		250		250
3.75%, 03/27/19 (e)		1,500		1,546
5.00%, 04/29/25		250		251
6.75%, 09/15/29 - 03/15/31		180		229
6.25%, 07/15/32		600		730
6.00%, 04/16/37		100		103

				25,718
Federal National Mortgage Association - 2.6% (w)
Federal National Mortgage Association
6.13%, 03/15/12		1,000		1,055
1.30%, 05/25/12		500		501
1.13%, 07/30/12		1,000		1,008
1.75%, 08/10/12 - 11/17/15		3,250		3,292
4.38%, 09/15/12 - 10/15/15		1,290		1,374
0.70%, 10/19/12		250		249
0.50%, 10/30/12		1,500		1,496
0.55%, 11/01/12		500		498
1.80%, 02/08/13		500		503
2.00%, 04/19/13 - 03/28/16		2,350		2,331
1.38%, 07/19/13		300		300
1.25%, 07/29/13 - 10/28/14		790		786
1.35%, 08/16/13		250		249
1.00%, 09/20/13 - 04/25/14		1,750		1,738
0.88%, 11/08/13		500		493
0.75%, 12/18/13		1,500		1,477
2.75%, 02/05/14 (e)		900		935
2.75%, 03/13/14		2,000		2,079
2.50%, 05/15/14 (e)		675		697
1.55%, 08/12/14 - 10/27/15		600		587
1.50%, 08/26/14 - 09/08/14		1,000		990
4.63%, 10/15/14		550		605
2.63%, 11/20/14		1,000		1,031
5.00%, 04/15/15 - 09/01/35		3,210		3,534
1.63%, 10/26/15		1,500		1,460
4.88%, 12/15/16		500		557
0.00%,06/01/17 (j)		1,250		1,015
5.38%, 04/11/22		50		52
5.78%, 06/07/22		250		263
4.00%, 09/30/25		700		667
5.95%, 06/07/27		100		101
6.25%, 05/15/29		525		631
7.13%, 01/15/30		1,270		1,677


	Shares/Par (p)		Value
7.25%, 05/15/30		540		729
6.63%, 11/15/30		690		871
6.00%, 04/18/36		200		215
Principal Only, 0.00%,10/09/19 (j)		800		543

				36,589
Municipals - 0.7%
American Municipal Power-Ohio Inc., 7.50%, 02/15/50		400		415
Bay Area Toll Authority, 6.26%, 04/01/49		200		201
Chicago Transit Authority, 6.90%, 12/01/40		500		490
City of New York, 5.97%, 03/01/36		200		200
Commonwealth of Massachusetts, Ad Valorem Property Tax, GO, 4.91%, 05/01/29		300		270
Cook County, Illinois, 6.23%, 11/15/34		200		191
Dallas Convention Center Hotel Development Corp., 7.09%, 01/01/42		200		199
Dallas County Hospital District, Series C, 5.62%, 08/15/44		300		300
Dallas Independent School District, 6.45%, 02/15/35		300		313
Indianapolis Local Public Improvement Bond Bank, 6.12%, 01/15/40		200		205
Los Angeles Unified School District, 5.75%, 07/01/34		300		282
Los Angeles Unified School District, Ad Valorem Property Tax, GO, 5.76%, 07/01/29		200		191
Metropolitan Transportation Authority, Transit Revenue, RB
6.55%, 11/15/31		200		202
6.65%, 11/15/39		150		152
Municipal Electric Authority of Georgia, 7.06%, 04/01/57		400		377
New Jersey Economic Development Authority (insured by National Public Finance Guarantee Corp), 7.43%, 02/15/29		200		207
New Jersey State Turnpike Authority, 7.10%, 01/01/41		500		538
New Jersey State Turnpike Authority (insured by AMBAC Assurance Corp.), Series B, 4.25%, 01/01/16		95		98
New Jersey State Turnpike Authority (Prerefunded at 01/01/15, insured by AMBAC Assurance Corp.), Series B, 4.25%, 01/01/16		5		5
New York City Municipal Water Finance Authority, 6.01%, 06/15/42		200		205
New York Dormitory Authority, RB, 5.60%, 03/15/40		200		194
New York, NJ, Port Authority Revenue, 6.04%, 12/01/29		200		205
Ohio State University, College & University Revenue, 4.91%, 06/01/40		400		366
Oregon State Department of Transportation, 5.83%, 11/15/34		300		298
State of California
5.75%, 03/01/17		500		528
7.63%, 03/01/40		300		328
7.60%, 11/01/40		300		328
State of California Various Purpose Bond, 7.50%, 04/01/34		500		538
State of Connecticut, 5.09%, 10/01/30		250		237
State of Connecticut, Ad Valorem Property Tax, GO, Series A, 5.85%, 03/15/32		200		205
State of Georgia, GO, Series H, 4.50%, 11/01/25		300		299
State of Illinois, 5.10%, 06/01/33		700		568
State of Texas, 5.52%, 04/01/39		465		469


	Shares/Par (p)		Value
State of Texas, Series A, 4.68%, 04/01/40		400		354
University of California, 6.55%, 05/15/48		300		295

				10,253
Sovereign - 1.8%
Brazilian Government International Bond
10.50%, 07/14/14		400		505
7.88%, 03/07/15 (e)		565		673
6.00%, 01/17/17		500		560
5.88%, 01/15/19		200		222
8.88%, 04/15/24		135		184
10.13%, 05/15/27		235		356
7.13%, 01/20/37		455		538
11.00%, 08/17/40 (e)		300		403
Canadian Government Bond, 2.38%, 09/10/14 (e)		500		513
Chile Government International Bond, 5.50%, 01/15/13		100		107
Export Development Canada, 2.25%, 05/28/15 (e)		200		202
Federal Republic of Brazil, 12.25%, 03/06/30 (e)		220		389
Financement-Quebec, 5.00%, 10/25/12		100		106
Hungary Government International Bond, 4.75%, 02/03/15		250		251
Hydro Quebec
8.00%, 02/01/13		250		279
7.50%, 04/01/16		100		122
9.40%, 02/01/21		250		356
Israel Government AID Bond, 5.50%, 04/26/24		500		564
Israel Government International Bond
4.63%, 06/15/13		75		79
5.50%, 11/09/16		450		498
7.25%, 12/15/28		200		232
Italy Government International Bond
5.63%, 06/15/12		250		262
4.38%, 06/15/13 (e)		500		527
4.50%, 01/21/15		1,000		1,052
6.88%, 09/27/23 (e)		450		505
5.38%, 06/15/33		500		492
Japan Finance Corp., 2.88%, 02/02/15 (e) (r)		500		511
Japan Finance Organization for Municipalities, 4.00%, 01/13/21		500		494
Mexico Government International Bond
6.38%, 01/16/13		339		369
5.88%, 01/15/14		250		275
6.63%, 03/03/15		93		106
5.63%, 01/15/17		750		827
5.13%, 01/15/20		600		628
8.30%, 08/15/31		300		400
7.50%, 04/08/33		250		306
6.75%, 09/27/34		300		338
Panama Government International Bond
5.20%, 01/30/20		500		530
6.70%, 01/26/36		400		449
Peru Government International Bond
7.13%, 03/30/19		200		236
8.75%, 11/21/33		200		269
Poland Government Treasury International Bond, 5.00%, 10/19/15		650		685
Province of British Columbia, Canada
2.85%, 06/15/15		200		205
6.50%, 01/15/26		70		85
Province of Manitoba, Canada, 2.63%, 07/15/15 (e)		500		507
Province of New Brunswick, Canada, 5.20%, 02/21/17 (e)		250		279


	Shares/Par (p)		Value
Province of Nova Scotia, Canada, 8.75%, 04/01/22		250		344
Province of Ontario, Canada
1.88%, 11/19/12 (e)		700		712
4.10%, 06/16/14		500		537
4.50%, 02/03/15		100		109
2.70%, 06/16/15		300		306
5.45%, 04/27/16 (e)		250		283
4.00%, 10/07/19 (e)		500		508
4.40%, 04/14/20		200		207
Province of Quebec, Canada
4.60%, 05/26/15 (e)		500		548
7.50%, 07/15/23		100		130
7.13%, 02/09/24		250		316
Republic of Korea
5.13%, 12/07/16		150		161
5.63%, 11/03/25		250		262
Republic of Peru, 6.55%, 03/14/37		250		271
Republic of South Africa Government Bond
7.38%, 04/25/12		100		107
6.50%, 06/02/14		200		224
5.50%, 03/09/20		200		212
Svensk Exportkredit AB, 5.13%, 03/01/17		200		221
Tennessee Valley Authority
5.50%, 07/18/17		1,000		1,146
5.25%, 09/15/39		500		524
United Mexican States, 6.05%, 01/11/40		300		309

				24,913
U.S. Treasury Securities - 31.6%
U.S. Treasury Bond
10.63%, 08/15/15		450		615
7.25%, 05/15/16 - 08/15/22		2,400		3,057
7.50%, 11/15/16 - 11/15/24		1,140		1,501
8.75%, 05/15/17 - 08/15/20		1,555		2,182
8.88%, 08/15/17		780		1,066
9.13%, 05/15/18 (e)		315		444
8.88%, 02/15/19 (e)		590		835
8.13%, 08/15/19 - 05/15/21		3,100		4,290
8.50%, 02/15/20 (e)		926		1,307
7.88%, 02/15/21		1,420		1,956
8.00%, 11/15/21		2,350		3,282
7.13%, 02/15/23		1,255		1,664
6.25%, 08/15/23 - 05/15/30		1,880		2,343
7.63%, 02/15/25		239		334
6.88%, 08/15/25		410		540
6.00%, 02/15/26		730		889
6.75%, 08/15/26		870		1,137
6.50%, 11/15/26		1,060		1,355
6.63%, 02/15/27		545		705
6.38%, 08/15/27		380		481
6.13%, 11/15/27 - 08/15/29		2,295		2,840
5.50%, 08/15/28		850		984
5.25%, 11/15/28 (e)		1,470		1,655
5.25%, 02/15/29		645		726
5.38%, 02/15/31		800		914
4.50%, 02/15/36 - 08/15/39		6,265		6,284
4.75%, 02/15/37		1,545		1,617
5.00%, 05/15/37		1,450		1,576
4.38%, 02/15/38 - 05/15/40		8,950		8,760
3.50%, 02/15/39		2,300		1,928
4.25%, 05/15/39 (e)		2,580		2,475
4.63%, 02/15/40		3,355		3,421
3.88%, 08/15/40		3,250		2,908
4.25%, 11/15/40		3,900		3,730
U.S. Treasury Note
1.38%, 03/15/12 - 05/15/13		28,889		29,222
1.00%, 03/31/12 - 01/15/14		7,750		7,786


	Shares/Par (p)		Value
4.50%, 03/31/12 - 05/15/17		7,445		8,146
4.50%, 04/30/12 (e)		355		371
0.75%, 05/31/12 - 12/15/13		7,500		7,465
4.75%, 05/31/12 - 02/15/41		7,265		7,807
1.88%, 06/15/12 - 10/31/17		17,500		17,215
0.63%, 06/30/12 - 02/28/13		15,700		15,702
4.88%, 06/30/12 - 08/15/16		3,620		4,012
1.50%, 07/15/12 - 12/31/13		4,700		4,755
4.63%, 07/31/12 - 02/15/17		4,190		4,639
1.75%, 08/15/12 - 07/31/15		14,390		14,556
4.38%, 08/15/12		1,900		2,001
0.38%, 08/31/12 - 10/31/12		9,000		8,977
4.13%, 08/31/12 - 05/15/15		3,490		3,776
4.25%, 09/30/12 - 11/15/17		14,280		15,521
3.88%, 10/31/12 - 05/15/18		3,635		3,850
4.00%, 11/15/12 - 08/15/18		8,330		8,939
0.50%, 11/30/12 - 11/15/13		6,000		5,949
3.38%, 11/30/12 - 11/15/19		9,920		10,254
1.13%, 12/15/12 - 06/15/13		7,030		7,078
3.63%, 12/31/12 - 02/15/21		9,600		9,931
2.88%, 01/31/13		2,900		3,016
2.75%, 02/28/13 - 02/15/19		16,940		17,013
2.50%, 03/31/13 - 06/30/17		8,565		8,732
3.13%, 04/30/13 - 05/15/19		17,985		18,547
3.50%, 05/31/13 - 05/15/20		8,740		8,994
0.75%, 09/15/13, TBA (g)		3,000		2,981
0.50%, 10/15/13, TBA (g)		3,000		2,959
2.00%, 11/30/13 - 01/31/16		5,070		5,112
1.25%, 02/15/14 - 09/30/15		5,700		5,585
2.25%, 05/31/14 - 11/30/17		7,550		7,611
2.63%, 06/30/14 - 11/15/20		25,435		25,275
2.38%, 08/31/14 - 07/31/17		24,800		25,099
2.13%, 11/30/14 - 05/31/15		8,000		8,115
2.50%, 04/30/15, TBA (g)		3,800		3,904
1.25%, 10/31/15, TBA (g)		3,000		2,895
1.38%, 11/30/15, TBA (g)		900		872
2.13%, 12/31/15 - 02/29/16 (e)		4,500		4,489
5.13%, 05/15/16		2,560		2,917
3.25%, 05/31/16 - 03/31/17		7,085		7,377
3.25%, 06/30/16 (e)		2,000		2,092
3.00%, 08/31/16 - 02/28/17		7,500		7,714
2.63%, 01/31/18 (e)		3,000		2,958
3.75%, 11/15/18		4,065		4,271
3.63%, 02/15/20 (e)		4,200		4,314

				450,595
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 33.4%
Federal Home Loan Bank - 0.1%
Federal Home Loan Bank
0.80%, 11/18/13		750		741
5.00%, 11/17/17		900		1,009
4.00%, 01/13/21		500		497

				2,247
Federal Home Loan Mortgage Corp. - 9.8%
Federal Home Loan Mortgage Corp.
2.13%, 09/21/12		1,000		1,022
1.38%, 02/25/14		1,500		1,501
6.50%, 06/01/14 - 03/01/39		4,547		5,096
7.00%, 08/01/15 - 08/01/37		352		400
6.00%, 12/01/16 - 11/01/39		15,177		16,580
4.50%, 01/01/18 - 12/01/40		35,425		36,322
5.50%, 01/01/18 - 10/01/39		23,370		25,049
4.00%, 04/01/19 - 02/01/41		19,799		19,853
5.00%, 04/01/19 - 07/01/40		24,138		25,358
3.50%, 10/01/25 - 02/01/26		2,876		2,890
7.50%, 11/01/31 - 04/01/32		179		207


	Shares/Par (p)		Value
5.74%, 01/01/37 (i)		54		57
6.03%, 01/01/37 (i)		220		238
5.63%, 02/01/37 (i)		312		336
5.00%, 08/01/40 - 08/01/40 , TBA (g)		3,036		3,173
4.00%, 12/01/40, TBA (g)		2,186		2,149

				140,231
Federal National Mortgage Association - 16.9%
Federal National Mortgage Association
1.00%, 04/04/12		1,000		1,006
1.88%, 04/20/12		1,000		1,015
4.75%, 11/19/12		1,900		2,025
1.25%, 08/20/13		1,000		1,003
5.50%, 01/01/14 - 01/01/40		37,775		40,623
1.25%, 02/27/14 (e)		1,500		1,496
1.50%, 03/28/14		500		498
6.00%, 01/01/16 - 09/01/39		23,098		25,247
2.75%, 03/28/16		350		350
6.50%, 09/01/16 - 03/01/40		6,644		7,480
5.25%, 09/15/16		900		1,019
5.00%, 10/01/17 - 06/01/40		34,712		36,594
4.50%, 02/01/18 - 03/01/41		46,774		47,997
4.00%, 07/01/18 - 02/01/41		33,966		33,946
3.50%, 08/01/25 - 01/01/41		7,965		7,855
4.00%, 02/01/31, TBA (g)		1,097		1,102
7.00%, 02/01/31 - 04/01/39		1,195		1,368
4.50%, 04/01/34, TBA (g)		1,000		1,018
2.60%, 05/01/35 (i)		65		68
2.73%, 05/01/35 (i)		202		211
2.89%, 10/01/35 (i)		336		353
5.00%, 04/12/36 - 08/01/40, TBA (g)		14,630		15,306
5.23%, 02/01/37 (i)		35		37
5.47%, 02/01/37 (i)		368		389
5.61%, 02/01/37 - 04/01/37 (i)		298		318
5.83%, 04/01/37 (i)		604		640
7.50%, 11/01/37		44		51
5.33%, 01/01/38 (i)		577		614
5.66%, 03/01/38 (i)		708		759
6.00%, 12/01/38, TBA (g)		900		985
4.42%, 07/01/39 (i)		2,029		2,141
3.82%, 12/01/39 (i)		648		673
3.71%, 02/01/40 (i)		1,728		1,799
3.35%, 03/01/40 (i)		816		839
4.21%, 03/01/40 (i)		781		809
3.13%, 06/01/40 (i)		377		386
3.23%, 07/01/40 (i)		902		929
3.57%, 08/01/40 (i)		429		438
3.32%, 12/01/40 (i)		493		501
2.86%, 01/01/41 (i)		495		494

				240,382
Government National Mortgage Association - 6.6%
Government National Mortage Association
4.00%, 09/20/40 - 11/20/40		993		995
6.00%, 12/20/40		574		630
5.50%, 01/15/24 - 07/15/40		11,186		12,153
4.00%, 08/15/24 - 02/15/41		11,523		11,619
3.50%, 12/15/25		347		354
8.00%, 04/15/30		9		10
8.50%, 06/15/30 - 12/15/30		6		7
6.50%, 01/15/32 - 10/15/38		2,208		2,493
6.00%, 05/15/32 - 12/15/39		6,845		7,547
5.00%, 03/15/33 - 01/20/41		22,371		23,807
5.00%, 04/01/35, TBA (g)		1,700		1,803
5.50%, 04/23/35, TBA (g)		1,200		1,299
7.00%, 11/15/36		113		130
4.50%, 03/15/38 - 01/20/41		28,239		29,196
3.50%, 07/20/40 (i)		383		394
2.50%, 11/20/40 - 12/20/40 (i)		993		998


	Shares/Par (p)		Value
3.00%, 01/20/41 (i)		698		703

				94,138

Total Government and Agency Obligations (cost $1,033,918)				1,044,347

SHORT TERM INVESTMENTS - 8.1%
Investment Company - 2.4%
JNL Money Market Fund, 0.08% (a) (h)		34,020		34,020
Securities Lending Collateral - 5.7%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		78,496		78,496
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		2,432		2,374

				80,870

Total Short Term Investments (cost $114,948)				114,890

Total Investments - 106.5% (cost $1,495,963)				1,517,485
Total Forward Sales Commitments - (0.2)% (proceeds $2,917)				(2,919	)
Other Assets and Liabilities, Net - (6.3%)				(89,030	)

Total Net Assets - 100.0%	$			1,425,536

Forward Sales Commitments - 0.2%
GOVERNMENT AND AGENCY OBLIGATIONS - 0.2%
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.2%
Federal National Mortgage Association – 0.2%
Federal National Mortgage Association
4.50%, 05/01/20, TBA (g)	$	200	$	209
6.00%, 04/15/34		2,000		2,175
5.50%, 04/12/36, TBA (g)		500		535

Total Government and Agency Obligations - 0.2% (proceeds $2,917)	$			2,919

JNL/Mellon Capital Management Global Alpha Fund
SHORT TERM INVESTMENTS - 99.8%
Commercial Paper - 14.3%
Bank of America Corp., 0.21%, 04/18/11	$	6,000	$	5,999
Bank of Nova Scotia, 0.27%, 04/01/11		6,000		6,000
Citigroup Funding Inc., 0.24%, 04/08/11		6,000		5,999
Commonwealth Bank of Australia, 0.18%, 04/07/11		5,000		5,000
Natixis US Finance Co., 0.25%, 04/01/11		10,000		10,000
Swedbank AB, 0.25%, 04/05/11		10,000		10,000
Toronto Dominion, 0.22%, 04/08/11		6,000		6,000
Toyota Motor Credit Corp., 0.10%, 04/11/11		8,000		8,000
UBS Finance, 0.13%, 04/29/11		6,000		5,999

				62,997
Federal Home Loan Bank - 20.7%
Federal Home Loan Bank
0.16%, 04/04/11		10,000		10,000
0.09%, 04/06/11		1,000		1,000
0.17%, 04/11/11		2,000		2,000
0.10%, 04/12/11		15,500		15,499
0.08%, 04/13/11 - 04/15/11		11,000		11,000


	Shares/Par (p)		Value
0.05%, 04/25/11		20,300		20,299
0.06%, 04/25/11		23,500		23,499
0.04%, 04/27/11		8,000		8,000

				91,297
Federal Home Loan Mortgage Corp. - 9.4%
Federal Home Loan Mortgage Corp.
0.17%, 04/12/11		8,000		8,000
0.08%, 05/18/11		33,600		33,596

				41,596
Federal National Mortgage Association - 14.8%
Federal National Mortgage Association
0.08%, 04/14/11		15,000		14,999
0.07%, 04/15/11		49,999		49,998

				64,997
Investment Company - 5.7%
JNL Money Market Fund, 0.08% (a) (h)		25,179		25,179
Treasury Securities - 34.9%
U.S. Treasury Bill
0.09%, 04/14/11	$	20,000		19,999
0.12%, 04/21/11		32,000		31,998
0.16%, 04/28/11		10,000		9,999
0.06%, 05/12/11		38,720		38,717
0.05%, 05/19/11		10,000		9,999
0.07%, 06/16/11 (o)		22,470		22,467
0.12%, 04/07/11		15,050		15,050
0.08%, 05/05/11		5,580		5,580

				153,809

Total Short Term Investments (cost $439,876)				439,875

Total Investments - 99.8% (cost $439,876)				439,875
Other Assets and Liabilities, Net - 0.2%				933

Total Net Assets - 100.0%			$	440,808

JNL/Oppenheimer Global Growth Fund
COMMON STOCKS - 96.1%
CONSUMER DISCRETIONARY - 14.8%
Bayerische Motoren Werke AG		13	$	1,097
Carnival Corp.		209		8,017
Grupo Televisa SA - ADR (c)		260		6,382
Inditex SA		92		7,367
Lottomatica SpA (e)		80		1,440
LVMH Moet Hennessy Louis Vuitton SA		54		8,523
McDonald’s Corp.		109		8,276
McGraw-Hill Cos. Inc.		79		3,119
PPR SA		18		2,811
Shuffle Master Inc. (c)		125		1,331
Sony Corp.		246		7,885
Tiffany & Co.		151		9,263
Tod’s SpA		49		5,803
Walt Disney Co.		219		9,424
Wire & Wireless India Ltd. (c)		217		46
Zee Entertainment Enterprises Ltd.		766		2,123
Zee Learn Ltd. (c)		68		35

				82,942
CONSUMER STAPLES - 7.7%
Cia de Bebidas das Americas - ADR		177		5,021
Colgate-Palmolive Co.		91		7,368
Fomento Economico Mexicano SAB de CV (e)		1,284		7,542


	Shares/Par (p)		Value
Grupo Modelo SAB de CV (e)		551		3,314
Nestle SA		100		5,750
Shinsegae Co. Ltd.		12		2,849
Unilever Plc		216		6,572
Wal-Mart Stores Inc.		93		4,828

				43,244
ENERGY - 3.9%
Technip SA (e)		78		8,328
Total SA		112		6,809
Transocean Ltd. (c)		84		6,580

				21,717
FINANCIALS - 16.2%
3i Group Plc		508		2,435
AFLAC Inc.		91		4,815
Allianz SE		60		8,495
Banco Bilbao Vizcaya Argentaria SA (e)		513		6,228
BM&F Bovespa SA		496		3,597
Credit Suisse Group AG		282		11,992
Dai-Ichi Life Insurance Co. Ltd.		4		6,034
DLF Ltd.		122		733
Fidelity National Financial Inc. - Class A		186		2,625
Goldman Sachs Group Inc.		37		5,852
HSBC Holdings Plc		576		6,059
Investor AB - Class B		262		6,371
SLM Corp. (c)		242		3,700
Societe Generale - Class A		63		4,106
Sumitomo Mitsui Financial Group Inc.		139		4,325
UBS AG (c)		415		7,442
XL Group Plc - Class A		229		5,641

				90,450
HEALTH CARE - 8.6%
Aetna Inc.		197		7,358
Allergan Inc.		20		1,393
Amgen Inc. (c)		24		1,289
Amylin Pharmaceuticals Inc. (c)		208		2,369
Basilea Pharmaceutical AG (c)		3		187
Bayer AG		67		5,239
Dendreon Corp. (c)		40		1,483
Gilead Sciences Inc. (c)		46		1,948
Mitsubishi Tanabe Pharma Corp.		153		2,483
Pfizer Inc.		74		1,508
Regeneron Pharmaceuticals Inc. (c)		18		812
Roche Holding AG		20		2,803
Teva Pharmaceutical Industries Ltd. - ADR		46		2,322
Theravance Inc. (c) (e)		112		2,710
WellPoint Inc.		116		8,077
Zimmer Holdings Inc. (c)		103		6,214

				48,195
INDUSTRIALS - 13.4%
3M Co.		74		6,911
All America Latina Logistica SA		64		530
Assa Abloy AB		301		8,666
Embraer SA - ADR		169		5,702
Emerson Electric Co.		86		5,013
European Aeronautic Defence & Space Co. NV (c)		270		7,861
Fanuc Ltd.		22		3,299
Koninklijke Philips Electronics NV (e)		225		7,197
Multiplus SA		22		385
Nidec Corp. (e)		34		2,917
Prysmian SPA		130		2,790
Secom Co. Ltd.		67		3,132
Siemens AG		121		16,646


	Shares/Par (p)		Value
TNT NV		141		3,622

				74,671
INFORMATION TECHNOLOGY - 27.6%
Adobe Systems Inc. (c)		206		6,823
Altera Corp.		279		12,268
Automatic Data Processing Inc.		108		5,557
Corning Inc.		262		5,406
eBay Inc. (c)		479		14,862
Hoya Corp.		201		4,580
Infosys Technologies Ltd.		98		7,148
Intuit Inc. (c)		198		10,499
Juniper Networks Inc. (c)		253		10,640
Keyence Corp.		19		4,736
Kyocera Corp.		32		3,213
Maxim Integrated Products Inc.		274		7,022
MediaTek Inc.		290		3,338
Microsoft Corp.		303		7,690
Murata Manufacturing Co. Ltd.		103		7,410
Nintendo Co. Ltd.		12		3,188
SAP AG		177		10,809
Taiwan Semiconductor Manufacturing Co. Ltd.		2,561		6,148
Telefonaktiebolaget LM Ericsson		1,799		23,198

				154,535
MATERIALS - 0.7%
Linde AG		23		3,684
TELECOMMUNICATION SERVICES - 2.3%
America Movil SAB de CV - ADR		23		1,344
KDDI Corp.		1		5,597
Vodafone Group Plc		2,022		5,726

				12,667
UTILITIES - 0.9%
Fortum Oyj (e)		151		5,113

Total Common Stocks (cost $472,612)				537,218

PREFERRED STOCKS - 1.3%
CONSUMER DISCRETIONARY - 1.3%
Bayerische Motoren Werke AG		133		7,507

Total Preferred Stocks (cost $5,423)				7,507

SHORT TERM INVESTMENTS - 6.2%
Investment Company - 2.4%
JNL Money Market Fund, 0.08% (a) (h)		13,365		13,365
Securities Lending Collateral - 3.8%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		20,486		20,486
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		520		508

				20,994

Total Short Term Investments (cost $34,371)				34,359

Total Investments - 103.6% (cost $512,406)				579,084
Other Assets and Liabilities, Net - (3.6%)				(19,960	)

Total Net Assets - 100.0%			$	559,124


	Shares/Par (p)		Value
JNL/PAM Asia ex-Japan Fund
COMMON STOCKS - 98.0%
CONSUMER DISCRETIONARY - 2.4%
Esprit Holdings Ltd. (e)		158	$	725
Hankook Tire Co. Ltd.		33		1,089
Kangwon Land Inc.		66		1,521

				3,335
CONSUMER STAPLES - 3.2%
Hengan International Group Co. Ltd.		330		2,444
Shinsegae Co. Ltd.		9		2,075

				4,519
ENERGY - 8.9%
Banpu Public Co. Ltd.		82		2,069
Cairn India Ltd. (c)		272		2,137
China Petroleum & Chemical Corp.		1,356		1,360
China Shenhua Energy Co. Ltd.		384		1,809
CNOOC Ltd.		1,739		4,382
GS Holdings Corp.		11		910

				12,667
FINANCIALS - 34.4%
AIA Group Ltd. (c)		466		1,435
Alam Sutera Realty Tbk PT		32,054		1,049
AMMB Holdings Bhd		750		1,606
Bangkok Bank PCL		369		2,114
Bank of China Ltd.		8,757		4,875
Bumi Serpong Damai PT		9,896		955
China Construction Bank Corp.		3,167		2,968
China Pacific Insurance Group Co. Ltd. (e)		852		3,581
DBS Group Holdings Ltd.		266		3,094
Global Logistic Properties Ltd. (c)		736		1,092
Hana Financial Group Inc.		32		1,397
Hang Seng Bank Ltd.		102		1,652
Henderson Land Development Co. Ltd.		421		2,917
Infrastructure Development Finance Co. Ltd.		603		2,092
KB Financial Group Inc.		10		510
Korea Exchange Bank		132		1,162
Longfor Properties Co. Ltd.		363		612
Mahindra & Mahindra Financial Services Ltd.		51		887
Metropolitan Bank & Trust Co. (c)		673		995
PT Bank Rakyat Indonesia		4,205		2,777
Rural Electrification Corp. Ltd.		267		1,520
Samsung Fire & Marine Insurance Co. Ltd.		20		4,466
Sino-Ocean Land Holdings Ltd. (e)		2,141		1,327
Wharf Holdings Ltd.		186		1,281
Yuanta Financial Holding Co. Ltd.		3,223		2,318

				48,682
HEALTH CARE - 1.3%
Ranbaxy Laboratories Ltd. (c)		192		1,914
INDUSTRIALS - 11.7%
Far Eastern New Century Corp		673		1,039
Hutchison Whampoa Ltd.		298		3,528
Hyundai Engineering & Construction Co. Ltd.		51		3,709
IVRCL Infrastructures & Projects Ltd.		407		746
S1 Corp.		20		1,015
SembCorp Industries Ltd.		760		3,141
Suzlon Energy Ltd. (c)		546		547
Tata Motors Ltd.		129		2,009
Voltas Ltd.		201		825

				16,559
INFORMATION TECHNOLOGY - 18.8%
AAC Acoustic Technologies Holdings Inc.		1,394		3,764


	Shares/Par (p)		Value
Acer Inc.		154		315
Foxconn Technology Co. Ltd.		619		2,356
HON HAI Precision Industry Co. Ltd.		1,288		4,512
Largan Precision Co. Ltd.		59		1,597
Mphasis Ltd.		159		1,479
Samsung Electronics Co. Ltd.		7		6,186
Shanda Games Ltd. - ADR (c)		256		1,625
Taiwan Semiconductor Manufacturing Co. Ltd.		1,191		2,859
Wistron Corp.		1,221		1,935

				26,628
MATERIALS - 9.6%
China Resources Cement Holdings Ltd. (c)		2,064		2,046
China Shanshui Cement Group Ltd.		2,581		2,409
Hindalco Industries Ltd.		333		1,563
Huabao International Holdings Ltd.		1,325		2,037
POSCO Inc.		3		1,285
Taiwan Fertilizer Co. Ltd.		701		2,062
Xingda International Holdings Ltd.		2,323		2,171

				13,573
TELECOMMUNICATION SERVICES - 4.6%
Axiata Group Bhd (c)		1,491		2,359
China Mobile Ltd.		157		1,446
KT Corp.		30		1,048
Telekomunikasi Indonesia Tbk PT		1,617		1,365
Total Access Communication PCL		206		326

				6,544
UTILITIES - 3.1%
China Resources Power Holdings Co. Ltd.		162		312
GVK Power & Infrastructure Ltd. (c)		1,434		833
Korea Electric Power Corp. (c)		132		3,229

				4,374

Total Common Stocks (cost $125,980)				138,795

WARRANTS - 0.0%
Henderson Land Development Co. Ltd. (c)		77		5

Total Warrants (cost $0)				5

SHORT TERM INVESTMENTS - 4.0%
Investment Company - 2.2%
JNL Money Market Fund, 0.08% (a) (h)		3,157		3,157
Securities Lending Collateral - 1.8%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		2,499		2,499
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		24		23

				2,522

Total Short Term Investments (cost $5,680)				5,679

Total Investments - 102.0% (cost $131,660)				144,479
Other Assets and Liabilities, Net - (2.0%)				(2,801	)

Total Net Assets - 100.0%			$	141,678

JNL/PAM China-India Fund
COMMON STOCKS - 96.5%
CONSUMER DISCRETIONARY - 9.4%
BYD Co. Ltd. (c) (e)		824	$	3,156


	Shares/Par (p)		Value
Focus Media Holding Ltd. - ADR (c)		500		15,344
GOME Electrical Appliances Holdings Ltd. (c) (e)		9,008		3,173
Mahindra & Mahindra Ltd.		445		6,984
Shenzhou International Group Holdings Ltd.		1,299		1,533
Sun TV Network Ltd.		565		5,693

				35,883
CONSUMER STAPLES - 2.9%
Colgate-Palmolive India Ltd.		325		5,931
ITC Ltd.		1,219		4,978

				10,909
ENERGY - 16.2%
China Petroleum & Chemical Corp. (e)		8,408		8,431
China Shenhua Energy Co. Ltd.		1,886		8,886
CNOOC Ltd.		5,236		13,193
Oil & Natural Gas Corp. Ltd.		931		6,082
Oil India Ltd.		171		5,045
Reliance Industries Ltd.		842		19,797

				61,434
FINANCIALS - 33.6%
Bank of China Ltd.		52,928		29,463
China Pacific Insurance Group Co. Ltd.		2,063		8,671
Evergrande Real Estate Group Ltd. (e)		16,044		8,828
Franshion Properties China Ltd. (e)		13,910		4,006
HDFC Bank Ltd.		80		4,188
ICICI Bank Ltd.		614		15,369
Industrial & Commercial Bank of China		20,996		17,437
Infrastructure Development Finance Co. Ltd.		1,913		6,631
LIC Housing Finances Ltd.		1,341		6,797
Mahindra & Mahindra Financial Services Ltd.		507		8,832
Ping an Insurance Group Co. of China Ltd.		798		8,084
Rural Electrification Corp. Ltd.		1,172		6,666
Sino-Ocean Land Holdings Ltd. (e)		4,107		2,545

				127,517
HEALTH CARE - 3.0%
Dr. Reddy’s Laboratories Ltd.		307		11,285
INDUSTRIALS - 3.6%
Bharat Heavy Electricals Ltd.		39		1,823
Mundra Port and Special Economic Zone Ltd.		496		1,519
Sinotrans Shipping Ltd. (e)		5,125		1,660
Tata Motors Ltd.		154		4,323
Tata Motors Ltd. - Class A		282		4,397

				13,722
INFORMATION TECHNOLOGY - 12.1%
AAC Acoustic Technologies Holdings Inc.		1,038		2,802
Infosys Technologies Ltd.		288		20,947
Mphasis Ltd.		470		4,378
OnMobile Global Ltd. (c)		289		1,569
Sohu.com Inc. (c)		137		12,215
Travelsky Technology Ltd.		4,345		4,240

				46,151
MATERIALS - 9.0%
China Resources Cement Holdings Ltd. (c)		8,752		8,675
China Zhongwang Holdings Ltd. (e)		4,931		2,320
Fosun International Ltd.		4,862		3,731
Hindalco Industries Ltd.		1,946		9,125
Huabao International Holdings Ltd.		3,232		4,970
Sterlite Industries India Ltd.		497		1,936
Xingda International Holdings Ltd.		3,853		3,601

				34,358


	Shares/Par (p)		Value
TELECOMMUNICATION SERVICES - 5.3%
China Mobile Ltd.		791		7,286
China Unicom Hong Kong Ltd.		7,847		13,033

				20,319
UTILITIES - 1.4%
GAIL India Ltd.		523		5,446

Total Common Stocks (cost $316,698)				367,024

CORPORATE BONDS AND NOTES - 0.1%
HEALTH CARE - 0.1%
Dr. Reddy’s Laboratories Ltd., 9.25%, 03/24/14 (f), INR	$	1,842		207

Total Corporate Bonds and Notes (cost $0)				207

SHORT TERM INVESTMENTS - 7.8%
Investment Company - 3.5%
JNL Money Market Fund, 0.08% (a) (h)		13,331		13,331
Securities Lending Collateral - 4.3%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		16,351		16,351
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		29		28

				16,379

Total Short Term Investments (cost $29,711)				29,710

Total Investments - 104.4% (cost $346,409)				396,941
Other Assets and Liabilities, Net - (4.4%)				(16,849	)

Total Net Assets - 100.0%			$	380,092

JNL/PIMCO Real Return Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 13.9%
ACE Securities Corp. REMIC, 0.34%, 06/25/37 (i)	$	117	$	115
American General Mortgage Loan Trust REMIC, 5.15%, 03/25/40 (i) (r)		3,859		3,986
American Home Mortgage Assets REMIC, 0.44%, 09/25/46 (i)		4,780		2,691
American Money Management Corp., 0.54%, 05/03/18 (f) (i) (r)		500		469
Aquilae CLO Plc, 1.47%, 01/17/23 (f) (i), EUR		2,366		3,034
ARES CLO Funds, 0.54%, 03/12/18 (f) (i) (r)		1,484		1,391
Arkle Master Issuer Plc
0.40%, 02/17/52 (i) (r)		14,700		14,593
REMIC, 1.46%, 05/17/60 (i) (r)		4,000		4,004
Arran Residential Mortgages Funding Plc, 2.29%, 05/16/47 (i), EUR		742		1,052
Banc of America Commercial Mortgage Inc. REMIC
5.89%, 07/10/44 (i)		2,000		2,164
0.40%, 06/10/49 (i) (r)		344		330
5.80%, 06/10/49 (i)		344		357
Banc of America Large Loan Inc. REMIC
2.01%, 11/15/13 (i) (r)		15,355		14,528
5.64%, 07/17/17 (i) (r)		600		638
5.62%, 06/24/50 (i) (r)		1,100		1,172
Banc of America Large Loans Inc. REMIC, 0.77%, 08/15/29 (i) (r)		1,073		1,030


	Shares/Par (p)		Value
Banc of America Mortgage Securities Inc. REMIC, 2.87%, 06/25/35 (i)		368		316
Bear Stearns Adjustable Rate Mortgage Trust REMIC
2.65%, 05/25/33 (i)		88		88
2.86%, 02/25/34 (i)		627		562
3.61%, 11/25/34 (i)		637		635
3.12%, 01/25/35 (i)		1,222		1,122
5.02%, 01/25/35 (i)		470		434
2.73%, 03/25/35 (i)		101		97
2.78%, 03/25/35 (i)		730		596
2.29%, 08/25/35 (i)		106		102
2.40%, 08/25/35 (i)		187		179
Bear Stearns Alt-A Trust REMIC
2.66%, 01/25/36 (i)		905		522
2.93%, 08/25/36 (i)		368		197
Bear Stearns Asset Backed Securities Trust REMIC, 1.25%, 08/25/37 (i)		1,058		705
Bear Stearns Commercial Mortgage Securities Inc. Principal Only REMIC, 0.00%, 05/18/11 (f) (j) (r)		2,200		2,184
Bear Stearns Structured Products Inc. REMIC
2.68%, 01/26/36 (i)		1,010		671
5.22%, 12/26/46 (i)		1,033		732
Capital Auto Receivables Asset Trust, 1.71%, 10/15/12 (i)		4,229		4,242
Chase Mortgage Finance Corp. REMIC, 2.90%, 02/25/37 (i)		213		198
Chevy Chase Mortgage Funding Corp. REMIC, 0.38%, 05/25/48 (i) (r)		967		442
Citibank Omni Master Trust, 3.01%, 08/15/18 (i) (r)		2,500		2,647
Citigroup Mortgage Loan Trust Inc. REMIC
2.51%, 08/25/35 (i)		127		120
2.56%, 08/25/35 (i)		167		148
2.91%, 08/25/35 (i)		867		484
0.33%, 01/25/37 (i)		229		174
0.31%, 05/25/37 (i)		326		310
5.77%, 09/25/37 (i)		2,830		2,007
0.31%, 08/25/45 (i)		542		449
College Loan Corp. Trust, 0.55%, 01/25/24 (i)		800		804
Commercial Mortgage Pass Through Certificates REMIC, 3.16%, 11/10/15 (r)		1,688		1,683
Conseco Finance Securitizations Corp., 6.68%, 07/01/31		77		83
Countrywide Alternative Loan Trust REMIC, 0.42%, 05/25/47 (i)		8,525		5,700
Countrywide Asset-Backed Certificates REMIC
0.50%, 04/25/36 (i)		222		199
0.43%, 07/25/36 (i)		3,875		3,364
0.43%, 09/25/36 (i)		618		524
0.35%, 09/25/37 (i)		235		231
Countrywide Home Loan Mortgage Pass-Through Trust REMIC
2.98%, 08/25/34 (i)		530		393
3.05%, 04/20/35 (i)		614		589
Credit Suisse Mortgage Capital Certificates REMIC
5.38%, 11/15/16 (r)		1,000		1,063
5.86%, 02/25/37 (i)		1,115		723
5.47%, 09/19/39 (r)		1,400		1,496
Credit-Based Asset Servicing and Securitization LLC REMIC, 0.37%, 07/25/37 (i) (r)		353		317
CS First Boston Mortgage Securities Corp. REMIC, 2.50%, 04/25/34 (i)		664		663
Deutsche Mortgage Securities Inc., 1.50%, 06/25/47 (i) (r)		834		833


	Shares/Par (p)		Value
Duane Street CLO, 0.56%, 11/08/17 (f) (i) (r)		970		928
First Franklin Mortgage Loan Asset Backed Certificates REMIC, 0.30%, 11/25/36 (i)		67		66
First NLC Trust REMIC, 0.32%, 08/25/37 (i) (r)		521		343
Ford Credit Auto Owner Trust, 2.76%, 05/15/13 (i)		5,323		5,372
Gallatin Funding Ltd., 0.56%, 08/15/17 (f) (i) (r)		1,200		1,154
GE Capital Commercial Mortgage Corp. REMIC, 4.71%, 05/10/43		93		93
GMAC Commercial Mortgage Securities Inc. REMIC, 5.24%, 11/10/45 (i)		2,000		2,122
Gracechurch Mortgage Financing Plc, 0.39%, 11/20/56 (i) (r)		418		413
Granite Master Issuer Plc
0.29%, 12/20/54 (i)		1,225		1,159
0.34%, 12/20/54 (i)		261		247
0.35%, 12/20/54 (i)		366		346
Granite Mortgages Plc, 1.00%, 09/20/44 (i), GBP		1,159		1,781
Greenwich Capital Commercial Funding Corp. REMIC, 5.44%, 03/10/39 (e)		4,000		4,234
GS Mortgage Securities Corp. REMIC, 4.59%, 08/12/43 (r)		4,300		4,321
GS Mortgage Securities Corp. II
1.14%, 03/06/20 (i) (r)		416		416
1.32%, 03/06/20 (i) (r)		3,100		3,101
GSR Mortgage Loan Trust REMIC, 3.04%, 01/25/35 (i)		516		484
Harborview Mortgage Loan Trust REMIC, 2.69%, 04/19/34 (i)		719		706
Hillmark Funding, 0.56%, 05/21/21 (f) (i) (q)		9,000		8,373
Holmes Master Issuer Plc
1.11%, 07/15/40 (i), EUR		11,300		16,009
2.34%, 10/15/54 (i), EUR		9,600		13,604
HSBC Home Equity Loan Trust REMIC
0.40%, 03/20/36 (i)		1,785		1,679
5.91%, 03/20/36 (i)		447		448
HSI Asset Securitization Corp. REMIC, 0.31%, 05/25/37 (i)		145		142
IndyMac Index Mortgage Loan Trust REMIC
2.71%, 03/25/35 (i)		1,140		1,051
5.06%, 11/25/35 (i)		1,586		1,377
IndyMac Residential Asset Backed Trust REMIC, 0.38%, 04/25/37 (i)		99		97
JP Morgan Mortgage Trust REMIC
3.08%, 08/25/35 (i)		840		714
3.14%, 08/25/35 (i)		591		512
5.44%, 09/25/35 (i)		220		204
5.49%, 07/27/37 (r)		1,347		1,155
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 3.01%, 07/25/35 (i)		544		532
Landmark CDO Ltd., 0.61%, 06/01/17 (f) (i) (r)		4,534		4,349
LB-UBS Commercial Mortgage Trust REMIC, 5.42%, 02/15/40		6,200		6,584
Lehman Brothers Mortgage Loan Trust REMIC, 0.34%, 06/25/37 (i) (r)		450		187
MASTR Adjustable Rate Mortgages Trust REMIC, 2.56%, 12/25/33 (i)		1,213		1,149
MASTR Asset Backed Securities Trust REMIC, 0.33%, 05/25/37 (i)		221		211
Merrill Lynch First Franklin Mortgage Loan Trust REMIC, 0.31%, 07/25/37 (i)		99		98
Merrill Lynch Mortgage Investors Inc. REMIC
2.30%, 02/25/33 (i)		277		265
2.59%, 02/25/34 (i)		576		564
MLCC Mortgage Investors Inc. REMIC, 4.25%, 10/25/35 (i)		780		661


	Shares/Par (p)		Value
Morgan Stanley Capital I REMIC, 0.31%, 05/25/37 (i)		300		257
Nationstar Home Equity Loan Trust REMIC, 0.31%, 06/25/37 (i)		218		214
Nautique Funding Ltd. - Series 2006-1A, 0.55%, 04/15/20 (f) (i) (r)		481		445
Navigare Funding CLO Ltd., 0.57%, 05/20/19 (f) (i) (r)		500		464
Navigator CDO Ltd., 1.16%, 11/15/15 (f) (i) (r)		337		323
NCUA Guaranteed Notes REMIC
0.69%, 10/07/20 (i)		4,188		4,194
0.86%, 12/08/20 (i)		4,761		4,785
Nelnet Student Loan Trust, 1.00%, 07/25/18 (i)		1,025		1,030
New York Life Investment Management Flatiron CLO Ltd., 0.53%, 08/08/20 (f) (i) (r)		500		465
Penta CLO SA, 1.48%, 06/04/24 (f) (i), EUR		2,614		3,345
Provident Funding Mortgage Loan Trust REMIC, 2.75%, 08/25/33 (i)		461		441
RBSCF Trust REMIC, 6.01%, 08/16/17 (i) (r)		1,700		1,874
Residential Asset Securities Corp. REMIC, 0.36%, 02/25/30 (i)		107		106
Residential Asset Securitization Trust REMIC, 5.50%, 06/25/33		229		232
Sequoia Mortgage Trust REMIC, 0.45%, 07/20/36 (i)		1,896		1,565
SLM Student Loan Trust
0.75%, 01/25/17 (i)		3,100		3,105
0.41%, 04/25/17 (i)		232		232
1.91%, 12/15/17 (i) (r)		2,134		2,150
1.80%, 04/25/23 (i)		9,332		9,633
1.11%, 10/25/23 (i), EUR		2,700		3,593
4.50%, 11/16/43 (i) (r)		6,044		5,869
REMIC, 0.34%, 04/25/19 (i)		6,300		6,084
REMIC, 6.26%, 07/15/42 (i) (r)		4,963		4,795
Structured Adjustable Rate Mortgage Loan Trust REMIC, 2.59%, 02/25/34 (i)		926		892
Structured Asset Mortgage Investments Inc. REMIC
0.58%, 10/19/34 (i)		45		42
0.35%, 04/25/37 (i)		14		14
Swan 2010-1, 6.13%, 04/25/41, AUD		750		771
Symphony CLO Ltd., 0.55%, 05/15/19 (f) (i) (r)		2,200		2,022
TBW Mortgage Backed Pass-Through Certificates REMIC, 5.97%, 09/25/36 (i)		485		127
Thornburg Mortgage Securities Trust REMIC
0.35%, 03/25/37 (i)		1,575		1,526
0.35%, 03/25/37 (i)		817		800
Vornado DP LLC, 4.00%, 09/13/20 (r)		4,600		4,419
Wachovia Bank Commercial Mortgage Trust REMIC
0.34%, 06/15/20 (i) (r)		1,026		950
0.35%, 09/15/21 (i) (r)		1,428		1,415
5.09%, 08/15/41 (i)		1,000		1,064
Washington Mutual Alternative Mortgage Pass-Through Certificates REMIC, 5.25%, 12/25/35 (i)		509		471
Washington Mutual Mortgage Pass-Through Certificates REMIC
2.25%, 03/25/33 (i)		177		170
2.70%, 06/25/33 (i)		581		554
2.78%, 09/25/33 (i)		628		634
5.50%, 08/25/35 (i)		610		546
1.31%, 08/25/46 (i)		1,604		1,043
1.08%, 05/25/47 (i)		758		529
Wells Fargo Mortgage Backed Securities Trust REMIC
4.97%, 12/25/34 (i)		632		619
2.78%, 04/25/36 (i)		2,221		1,910


	Shares/Par (p)		Value
Wind River CLO Ltd., 0.64%, 12/19/16 (f) (i) (r)		1,000		973
Wood Street CLO BV, 1.76%, 03/29/21 (f) (i) (r), EUR		591		773

Total Non-U.S. Government Agency Asset- Backed Securities (cost $256,637)				255,298

CORPORATE BONDS AND NOTES - 33.1%
CONSUMER DISCRETIONARY - 1.0%
Macy’s Retail Holdings Inc., 7.45%, 07/15/17		1,000		1,130
Videotron Ltee, 6.88%, 01/15/14		1,400		1,419
Volkswagen International Finance NV, 0.76%, 10/01/12 (i) (r)		15,500		15,505

				18,054
CONSUMER STAPLES - 0.1%
Reynolds American Inc., 1.01%, 06/15/11 (i)		700		700
WM Wrigley Jr. Co., 1.68%, 06/28/11 (i) (r)		1,500		1,501

				2,201
ENERGY - 0.9%
Gaz Capital SA, 7.34%, 04/11/13 (r)		300		330
Gazprom Via Gaz Capital SA, 5.09%, 11/29/15 (r)		1,600		1,670
Kinder Morgan Energy Partners LP, 5.70%, 01/05/16		5,000		5,244
Petrobras International Finance Co., 3.88%, 01/27/16		8,200		8,255
Petroleos Mexicanos, 5.50%, 01/21/21		1,200		1,218

				16,717
FINANCIALS - 29.8%
ABN Amro Bank NV, 2.07%, 01/30/14 (e) (i) (r)		8,600		8,605
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (e) (r)		4,000		4,142
Ally Financial Inc.
5.38%, 06/06/11 (e)		500		503
6.88%, 09/15/11		500		509
3.51%, 02/11/14 (i)		11,800		11,829
8.30%, 02/12/15 (e)		1,500		1,644
American Express Bank FSB, 0.38%, 05/29/12 (i)		800		798
American Express Credit Corp., 0.37%, 02/24/12 (i)		1,700		1,697
American International Group Inc.
0.41%, 10/18/11 (i)		1,000		996
5.05%, 10/01/15		1,200		1,237
5.85%, 01/16/18		1,100		1,146
8.25%, 08/15/18		1,000		1,170
8.18%, 05/15/58 (e) (i)		4,700		5,058
ANZ National International Ltd.
6.20%, 07/19/13 (r)		2,000		2,182
0.75%, 08/19/14 (i) (r)		2,000		2,013
Australia & New Zealand Banking Group Ltd., 0.59%, 06/18/12 (i) (r)		5,000		5,006
Banco Mercantil del Norte SA, 4.38%, 07/19/15 (r)		3,900		3,939
Banco Santander Brazil SA
0.00%,12/28/11 (j) (q)		600		587
2.41%, 03/18/14 (i) (r)		4,900		4,862
Bank of America Corp., 5.38%, 06/15/14		600		642
Bank of Montreal, 2.85%, 06/09/15 (e) (r)		5,500		5,547
Bank of Scotland Plc, 4.88%, 04/15/11		1,400		1,402
Barclays Bank Plc
7.43% (callable at 100 beginning 12/15/17) (m) (r)		200		200
6.05%, 12/04/17 (e) (r)		2,000		2,084


	Shares/Par (p)		Value
BBVA Bancomer SA, 6.50%, 03/10/21 (e) (r)		6,300		6,225
BPCE SA, 2.38%, 10/04/13 (r)		2,700		2,698
Citibank NA, 1.38%, 08/10/11		11,100		11,148
Citigroup Inc.
5.25%, 02/27/12		1,300		1,350
5.30%, 10/17/12		1,000		1,055
1.16%, 02/15/13 (i)		29,100		29,186
5.50%, 04/11/13 (e)		1,200		1,284
7.38%, 06/16/14, EUR		3,600		5,595
0.59%, 11/05/14 (e) (i)		800		779
Commonwealth Bank of Australia
0.71%, 07/12/13 (i) (r)		14,700		14,724
0.81%, 06/25/14 (i) (r)		3,800		3,829
0.59%, 09/17/14 (i) (r)		3,800		3,803
Countrywide Financial Corp., 5.80%, 06/07/12 (e)		7,000		7,363
Credit Suisse New York, 1.24%, 01/14/14 (i)		34,100		34,521
DanFin Funding Ltd., 1.00%, 07/16/13 (i) (r)		5,800		5,794
Dexia Credit Local
0.96%, 09/23/11 (i) (r)		1,300		1,302
0.71%, 03/05/13 (i) (r)		3,100		3,079
0.78%, 04/29/14 (i) (r)		18,700		18,593
FIH Erhvervsbank A/S, 2.00%, 06/12/13 (r)		800		813
Ford Motor Credit Co. LLC
7.25%, 10/25/11 (e)		3,150		3,242
7.80%, 06/01/12		650		689
7.00%, 10/01/13		2,200		2,375
General Electric Capital Corp.
0.31%, 09/21/12 (i)		15,200		15,211
0.31%, 12/21/12 (i)		34,600		34,664
Goldman Sachs Group Inc., 1.39%, 11/15/14 (i), EUR		3,200		4,386
Harvest CLO SA, 2.00%, 03/29/17 (i), EUR		447		583
HSBC Finance Corp.
0.65%, 07/19/12 (i)		1,200		1,196
1.50%, 04/05/13 (i), EUR		2,600		3,592
ING Bank NV
0.91%, 01/13/12 (i) (r)		7,700		7,719
1.62%, 10/18/13 (i) (r)		4,100		4,117
International Lease Finance Corp.
0.63%, 07/01/11 (i)		2,000		1,998
6.38%, 03/25/13		700		724
5.63%, 09/20/13 (e)		1,100		1,118
6.63%, 11/15/13		500		517
6.50%, 09/01/14 (r)		1,000		1,067
6.75%, 09/01/16 (r)		900		963
7.13%, 09/01/18 (r)		1,700		1,827
LeasePlan Corp. NV, 3.00%, 05/07/12 (r)		5,300		5,431
Lehman Brothers Holdings Inc.
6.20%, 09/26/14 (c) (d)		200		52
6.88%, 05/02/18 (c) (d)		1,200		315
7.00%, 09/27/27 (c) (d)		100		26
Macquarie Bank Ltd.
2.60%, 01/20/12 (r)		900		915
4.10%, 12/17/13 (e)		27,200		29,015
Magnolia Funding Ltd., 3.00%, 04/20/17 (r), EUR		687		972
Marsh & McLennan Cos. Inc., 5.75%, 09/15/15		1,000		1,086
Merrill Lynch & Co. Inc.
0.54%, 06/05/12 (i)		1,000		996
6.05%, 08/15/12		16,100		17,110
1.95%, 09/27/12 (i), EUR		600		829
1.32%, 01/31/14 (i), EUR		2,200		3,029
5.45%, 07/15/14 (e)		200		214
Metropolitan Life Global Funding I, 1.43%, 09/17/12 (i) (r)		1,100		1,113
Morgan Stanley
1.16%, 12/01/11 (i)		2,000		2,008


	Shares/Par (p)		Value
1.42%, 03/01/13 (i), EUR		2,100		2,933
2.81%, 05/14/13 (i)		2,600		2,692
1.39%, 11/29/13 (i), EUR		6,300		8,671
0.59%, 01/09/14 (i)		5,300		5,217
0.76%, 10/15/15 (i)		1,000		960
0.75%, 10/18/16 (i)		1,000		935
National Australia Bank Ltd.
5.35%, 06/12/13 (r)		1,700		1,829
0.79%, 07/08/14 (i) (r)		1,900		1,919
New York Life Global Funding, 4.65%, 05/09/13 (r)		1,800		1,917
NIBC Bank NV, 2.80%, 12/02/14 (r)		15,100		15,603
Nordea Bank AB, 1.18%, 01/14/14 (i) (r)		16,600		16,600
Pacific Life Global Funding, 5.15%, 04/15/13 (r)		500		530
Pearson Dollar Finance Plc, 5.70%, 06/01/14 (r)		1,000		1,093
Racers Trust, 0.51%, 07/25/17 (f) (i) (r)		994		976
Royal Bank of Scotland Group Plc, 0.57%, 03/30/12 (i) (r)		18,800		18,828
Royal Bank of Scotland Plc
1.45%, 10/20/11 (r)		15,300		15,394
3.00%, 12/09/11 (r)		1,600		1,629
1.20%, 04/23/12 (i)		400		403
2.73%, 08/23/13 (i)		19,700		20,235
Santander US Debt SA Unipersonal, 1.11%, 03/30/12 (i) (r)		12,700		12,582
SLM Corp.
1.38%, 04/26/11 (i), EUR		400		566
0.53%, 10/25/11 (i)		1,400		1,385
5.38%, 01/15/13		400		416
5.05%, 11/14/14		600		606
Svenska Handelsbanken AB, 1.31%, 09/14/12 (i) (r)		4,300		4,337
TransCapitalInvest Ltd., 7.70%, 08/07/13 (r)		1,500		1,680
UBS AG Stamford
1.41%, 02/23/12 (i)		4,000		4,031
2.25%, 08/12/13		7,100		7,169
Wachovia Corp., 1.24%, 02/13/14 (i), EUR		3,200		4,434
Wells Fargo & Co.
7.98% (callable at 100 beginning 03/15/18) (m)		1,300		1,423
0.50%, 10/28/15 (e) (i)		500		489
Wells Fargo Capital XIII, 7.70%, (callable at 100 beginning 03/26/13) (m)		800		824
Westpac Banking Corp.
1.04%, 03/31/14 (i) (q)		10,100		10,085
3.59%, 08/14/14 (r)		4,400		4,616
0.59%, 09/10/14 (i) (r)		700		701
Westpac Securities NZ Ltd., 2.50%, 05/25/12 (r)		2,700		2,752

				546,498
HEALTH CARE - 0.3%
HCA Inc., 7.25%, 09/15/20		4,700		5,029
INDUSTRIALS - 0.1%
GATX Financial Corp., 5.80%, 03/01/16		1,000		1,075
INFORMATION TECHNOLOGY - 0.3%
Seagate Technology Inc., 6.38%, 10/01/11 (e)		5,000		5,112
MATERIALS - 0.3%
Dow Chemical Co.
2.56%, 08/08/11 (i)		4,000		4,030
4.85%, 08/15/12		1,000		1,048
Rexam Plc, 6.75%, 06/01/13 (r)		700		759

				5,837


	Shares/Par (p)		Value
TELECOMMUNICATION SERVICES - 0.3%
Telefonica Emisiones SAU, 0.64%, 02/04/13 (i)		4,641		4,597
Verizon Wireless Capital LLC, 3.75%, 05/20/11		1,300		1,306

				5,903

Total Corporate Bonds and Notes (cost $596,945)				606,426

GOVERNMENT AND AGENCY OBLIGATIONS - 89.7%
GOVERNMENT SECURITIES - 87.5%
Federal Home Loan Mortgage Corp. - 1.7% (w)
Federal Home Loan Mortgage Corp., 0.21%, 03/21/13 (i)		31,300		31,270
Federal National Mortgage Association - 2.0% (w)
Federal National Mortgage Association
0.75%, 12/18/13		21,300		20,976
1.25%, 03/14/14		7,100		7,064
6.00%, 03/09/20		6,700		6,857
5.38%, 04/11/22		1,100		1,147
6.28%, 06/15/27		1,000		1,037

				37,081
Municipals - 0.1%
Illinois Student Assistance Commission, 0.78%, 04/25/17 (i)		1,364		1,364
Tobacco Settlement Authority of West Virgina, 7.47%, 06/01/47		475		331
Tobacco Settlement Financing Corp., 4.75%, 06/01/34		1,000		610
Tobacco Settlement Funding Corp., 5.00%, 06/01/41		200		121

				2,426
Sovereign - 2.7%
Australia Government Bond
3.00%, 09/20/25, AUD		10,800		12,132
2.50%, 09/20/30, AUD		800		816
Instituto de Credito Oficial, 2.94%, 03/25/14 (i) (q), EUR		12,800		18,119
New South Wales Treasury Corp., 2.75%, 11/20/25, AUD		6,100		6,625
Societe Financement de l’Economie Francaise
2.13%, 01/30/12 (e) (r)		400		406
0.50%, 07/16/12 (i) (r)		10,600		10,627

				48,725
Treasury Inflation Index Securities - 81.0%
Australian Government Treasury Inflation Indexed Bond, 4.00%, 08/20/20 (s), AUD		1,300		2,204
Italy Buoni Poliennali Del Tesoro Inflation Indexed Note, 2.10%, 09/15/16 (n), EUR		3,117		4,500
U.S. Treasury Inflation Indexed Note
2.38%, 04/15/11 - 01/15/25 (n)		28,942		31,353
3.38%, 01/15/12 (n) (o)		46,013		48,220
3.38%, 01/15/12, TBA (g) (n)		8,292		8,690
2.00%, 04/15/12 - 01/15/26 , TBA (g) (n)		208,033		225,770
3.00%, 07/15/12 (n)		7,410		7,937
3.00%, 07/15/12 - 07/15/12 , TBA (g) (n)		22,221		23,801
0.63%, 04/15/13 (n)		46,573		48,742
1.88%, 07/15/13 - 07/15/19 (n)		39,518		42,896
1.88%, 07/15/13 - 07/15/15 , TBA (g) (n)		141,428		154,340
2.00%, 01/15/14 - 07/15/14 (n)		47,117		51,645
1.25%, 04/15/14 (e) (n)		42,144		45,036
1.63%, 01/15/15 - 01/15/18 (n)		12,417		13,445
1.63%, 01/15/15 - 01/15/15 , TBA (g) (n)		88,345		95,764
2.00%, 01/15/16 (n) (o)		608		671
2.50%, 07/15/16 - 01/15/29 (n)		43,841		49,674
2.50%, 07/15/16 - 01/15/29 , TBA (g) (n)		32,449		36,796


	Shares/Par (p)		Value
2.63%, 07/15/17 (n)		8,075		9,275
2.63%, 07/15/17, TBA (g) (n)		24,385		28,006
1.63%, 01/15/18, TBA (g) (n)		56,853		61,472
1.38%, 01/15/20 (n)		27,497		28,831
1.38%, 01/15/20 - 01/15/20 , TBA (g) (n)		42,811		44,889
2.38%, 01/15/25 - 01/15/27 , TBA (g) (n)		100,318		112,154
2.00%, 01/15/26 (e) (n) (o)		47,156		50,332
2.38%, 01/15/27 (e) (n)		55,366		61,651
1.75%, 01/15/28 (e) (n) (o)		49,007		49,949
3.63%, 04/15/28 (n) (o)		207		267
3.63%, 04/15/28, TBA (g) (n)		72,933		94,061
3.88%, 04/15/29 (n)		38,849		51,984

				1,484,355
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 2.2%
Federal Home Loan Mortgage Corp. - 0.6%
Federal Home Loan Mortgage Corp.
6.61%, 07/01/36 - 10/01/36 (i)		1,184		1,243
6.28%, 09/01/36 (i)		539		563
REMIC, 0.71%, 08/15/33 (i)		8,509		8,511
REMIC, 1.51%, 10/25/44 (i)		745		735
REMIC, 1.52%, 02/25/45 (i)		553		538

				11,590
Federal National Mortgage Association - 1.1%
Federal National Mortgage Association
4.50%, 04/01/23 - 04/01/24		9,429		9,905
2.41%, 11/01/35 (i)		160		167
5.57%, 03/01/36 (i)		378		406
5.86%, 06/01/36 (i)		147		159
REMIC, 5.00%, 02/25/17		162		164
REMIC, 1.05%, 02/25/36 (i)		669		669
REMIC, 0.31%, 07/25/37 (i)		540		532
REMIC, 0.93%, 02/25/41 (i)		8,576		8,597

				20,599
Government National Mortgage Association - 0.4%
Government National Mortgage Association REMIC, 0.55%, 03/20/37 (i)		7,982		7,920
Small Business Administration Participation Certificates - 0.1%
Small Business Administration Participation Certificates, 5.29%, 12/01/27		1,440		1,539

Total Government and Agency Obligations (cost $1,630,391)				1,645,505

PREFERRED STOCKS - 0.0%
FINANCIALS - 0.0%
Wells Fargo & Co., Convertible Preferred, Series L (m)		1		518

Total Preferred Stocks (cost $500)				518

SHORT TERM INVESTMENTS - 22.2%
Certificates of Deposit - 3.5%
Banco Bradesco SA, 1.36%, 06/27/11	$	9,100		9,093
Banco do Brasil NY, 1.31%, 11/15/11		3,300		3,315
Barclays Bank Plc, 1.41%, 12/16/11 (i)		11,800		11,799
BNP Paribas SF, 0.66%, 03/02/12 (i)		22,000		22,020
Itau Unibanco NY, 1.69%, 03/02/12		17,800		17,516

				63,743
Federal Home Loan Bank - 2.7%
Federal Home Loan Bank
0.02%, 04/14/11		48,180		48,179


	Shares/Par (p)		Value
0.12%, 06/15/11		1,000		1,000

				49,179
Federal Home Loan Mortgage Corp. - 0.2%
Federal Home Loan Mortgage Corp.
0.12%, 06/13/11		1,890		1,889
0.13%, 06/20/11		1,400		1,400

				3,289
Investment Company - 0.3%
JNL Money Market Fund, 0.08% (a) (h)		5,242		5,242
Securities Lending Collateral - 11.0%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		202,106		202,106
Treasury Securities - 4.5%
Japan Treasury Bill, 0.11%, 04/27/11, JPY		6,710,000		80,661
U.S. Treasury Bill
0.18%, 06/16/11 (o)	$	20		20
0.16%, 08/25/11 (o)		210		210
0.12%, 07/07/11 (o)		450		450
0.15%, 09/15/11 (o)		1,350		1,349

				82,690

Total Short Term Investments (cost $407,040)				406,249

Total Investments - 158.9% (cost $2,891,513)				2,913,996
Other Assets and Liabilities, Net - (58.9%)				(1,080,436	)

Total Net Assets - 100.0%			$	1,833,560

JNL/PIMCO Total Return Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 6.8%
Access Group Inc., 1.60%, 10/27/25 (i)	$	6,854	$	6,922
Ally Auto Receivables Trust, 1.32%, 03/15/12 (r)		340		341
American Home Mortgage Investment Trust REMIC, 2.25%, 02/25/45 (i)		352		321
Amortizing Residential Collateral Trust REMIC, 0.83%, 07/25/32 (i)		15		14
Arran Residential Mortgages Funding Plc
2.29%, 05/16/47 (i), EUR		1,670		2,368
2.49%, 05/16/47, EUR		4,800		6,806
Asset Backed Securities Corp. Home Equity REMIC, 0.52%, 09/25/34 (i)		294		268
Banc of America Commercial Mortgage Inc. REMIC
5.93%, 05/10/45 (i)		2,000		2,172
5.80%, 06/10/49 (i)		2,830		2,989
Banc of America Funding Corp. REMIC, 2.83%, 05/25/35 (i)		485		473
Banc of America Large Loan Inc. REMIC, 2.01%, 11/15/13 (i) (r)		2,380		2,252
Banc of America Mortgage Securities Inc. REMIC
6.50%, 10/25/31		54		55
6.50%, 09/25/33		30		31
Bear Stearns Adjustable Rate Mortgage REMIC
3.39%, 11/25/30 (i)		3		3
2.77%, 02/25/33 (i)		13		12
5.67%, 02/25/33 (i)		15		15
2.73%, 04/25/33 (i)		74		73
3.08%, 01/25/34 (i)		287		279


	Shares/Par (p)		Value
Bear Stearns Adjustable Rate Mortgage Trust REMIC
3.06%, 11/25/34 (i)		1,472		1,242
3.61%, 11/25/34 (i)		410		409
2.73%, 03/25/35 (i)		3,511		3,373
Bear Stearns Alt-A Trust REMIC
2.64%, 05/25/35 (i)		677		566
2.99%, 09/25/35 (i)		429		333
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.33%, 02/11/44		300		314
5.47%, 01/12/45 (i)		700		751
Bear Stearns Structured Products Inc. REMIC
2.68%, 01/26/36 (i)		1,262		839
5.22%, 12/26/46 (i)		710		503
Chase Issuance Trust, 1.81%, 09/15/15 (i)		12,800		13,199
Citigroup Mortgage Loan Trust Inc. REMIC
2.67%, 12/25/35 (i)		193		186
0.31%, 08/25/45 (i)		1,355		1,122
Commercial Mortgage Pass-Through Certificates REMIC, 5.31%, 12/10/46		2,100		2,214
Countrywide Alternative Loan Trust REMIC, 0.43%, 05/25/47 (i)		851		495
Countrywide Home Loan Mortgage Pass-Through Trust REMIC
3.12%, 11/25/34 (i)		1,014		878
2.81%, 02/20/35 (i)		1,740		1,486
5.75%, 12/25/35		9,891		8,738
3.02%, 02/20/36 (i)		237		197
Credit Suisse Mortgage Capital Certificates REMIC
5.66%, 03/15/39 (i)		200		215
5.70%, 09/15/40 (i)		7,800		8,105
CS First Boston Mortgage Securities Corp. REMIC, 0.88%, 03/25/32 (i) (r)		23		20
CVS Pass-Through Trust, 6.94%, 01/10/30		373		405
Equity One ABS Inc., 0.81%, 11/25/32 (i)		164		145
European Loan Conduit, 1.24%, 05/15/19 (i), EUR		429		540
First American Alternative Mortgage Securities REMIC, 2.37%, 09/25/35 (i)		520		394
First Horizon Asset Securities Inc. REMIC
2.88%, 10/25/35 (i)		3,292		2,878
5.68%, 02/25/36 (i)		3,823		3,645
Galaxy CLO Ltd., 0.58%, 04/17/17 (f) (i) (q)		4,635		4,462
GE Capital Commercial Mortgage Corp. REMIC, 4.23%, 12/10/37		270		271
Granite Master Issuer Plc
0.34%, 12/17/54 (i)		3,032		2,869
0.35%, 12/20/54 (e) (i)		17,200		16,275
1.00%, 12/20/54 (i), EUR		6,326		8,481
REMIC, 0.39%, 12/20/54 (i) (r)		1,386		1,311
GreenPoint Mortgage Funding Trust REMIC, 0.33%, 01/25/47 (i)		251		232
Greenwich Capital Commercial Funding Corp. REMIC
5.44%, 03/10/39 (e)		1,000		1,059
4.80%, 08/10/42 (i)		100		106
GS Mortgage Securities Corp. II, 1.14%, 03/06/20 (i) (r)		1,634		1,634
GSR Mortgage Loan Trust REMIC
2.80%, 09/25/35 (i)		2,257		2,196
5.18%, 11/25/35 (i)		1,022		982
Harborview Mortgage Loan Trust REMIC
0.47%, 05/19/35 (i)		188		128
2.94%, 07/19/35 (i)		882		712
HSBC Home Equity Loan Trust REMIC, 0.54%, 01/20/34 (i)		1,222		1,119


	Shares/Par (p)		Value
HSI Asset Securitization Corp. REMIC, 0.30%, 12/25/36 (i)		24		24
IndyMac Adjustable Rate Mortgage Trust REMIC, 1.96%, 01/25/32 (i)		1		1
IndyMac Index Mortgage Loan Trust REMIC, 2.55%, 01/25/36 (i)		900		564
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC
4.07%, 09/15/20 (r)		4,600		4,422
5.34%, 05/15/47		1,900		1,989
5.44%, 06/12/47		11,300		11,916
5.42%, 01/15/49 (e)		6,400		6,750
5.79%, 02/12/51 (i)		14,500		15,618
5.88%, 02/15/51 (i)		700		749
JPMorgan Mortgage Trust REMIC
5.04%, 02/25/35 (i)		348		353
5.75%, 01/25/36		446		418
Long Beach Mortgage Loan Trust REMIC, 0.53%, 10/25/34 (i)		34		28
MASTR Asset Backed Securities Trust REMIC
0.30%, 01/25/37 (i)		534		181
0.33%, 05/25/37 (i)		253		241
Mellon Residential Funding Corp. REMIC
2.61%, 10/20/29 (i)		183		169
0.74%, 06/15/30 (i)		371		365
Merrill Lynch Mortgage Investors Inc. REMIC
2.33%, 05/25/33 (i)		667		671
0.46%, 02/25/36 (i)		433		329
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC
5.96%, 07/12/17 (i)		10,700		11,490
5.49%, 03/12/51 (i)		1,500		1,571
Mid-State Trust REMIC, 8.33%, 04/01/30		9		9
MLCC Mortgage Investors Inc. REMIC
1.25%, 10/25/35 (i)		193		168
0.50%, 11/25/35 (i)		344		309
Morgan Stanley Asset-Backed Securities Capital I REMIC, 0.29%, 01/25/37 (i)		152		148
Morgan Stanley Capital I REMIC
0.32%, 10/15/20 (i) (r)		273		263
5.81%, 12/12/49		100		108
Morgan Stanley Re-REMIC Trust REMIC, 5.81%, 04/12/17 (e) (i) (r)		800		864
Park Place Securities Inc. REMIC, 0.56%, 10/25/34 (i)		107		106
Prime Mortgage Trust REMIC
0.65%, 02/25/19 (i)		9		9
0.65%, 02/25/34 (i)		70		64
Securitized Asset Backed Receivables LLC Trust REMIC, 0.31%, 12/25/36 (i)		343		124
Sequoia Mortgage Trust REMIC, 0.60%, 10/19/26 (i)		76		66
SLM Student Loan Trust
0.60%, 01/25/15 (i)		253		253
0.30%, 10/25/16 (i)		90		90
2.91%, 12/16/19 (i) (r)		1,000		1,024
1.80%, 04/25/23 (i)		10,642		10,985
Structured Asset Mortgage Investments Inc. REMIC
0.91%, 09/19/32 (i)		73		66
0.50%, 07/19/35 (i)		868		816
0.38%, 03/25/37 (i)		1,621		992
Structured Asset Securities Corp. REMIC
2.68%, 02/25/32 (i)		3		2
0.54%, 01/25/33 (i)		10		9
0.30%, 10/25/36 (i)		51		50
Thornburg Mortgage Securities Trust REMIC
0.37%, 08/25/11 (i)		1,942		1,924


	Shares/Par (p)		Value
0.36%, 12/25/36 (i)		575		567
Vendee Mortgage Trust REMIC, 6.50%, 09/15/24		540		565
Wachovia Bank Commercial Mortgage Trust REMIC
0.34%, 06/15/20 (i) (r)		1,832		1,696
0.35%, 09/15/21 (i) (r)		5,863		5,811
Washington Mutual Mortgage Pass-Through Certificates REMIC
2.14%, 02/25/31 (i)		1		1
1.71%, 08/25/42 (i)		169		152
1.51%, 11/25/42 (i)		93		82
0.54%, 10/25/45 (i)		188		162
Wells Fargo Mortgage Backed Securities Trust REMIC
4.91%, 01/25/35 (i)		947		951
2.77%, 03/25/36 (i)		937		833
2.91%, 04/25/36 (i)		5,104		4,687

Total Non-U.S. Government Agency Asset- Backed Securities (cost $205,074)				212,228

CORPORATE BONDS AND NOTES - 34.3%
CONSUMER DISCRETIONARY - 0.3%
Comcast Corp.
5.88%, 02/15/18		400		441
6.45%, 03/15/37		400		410
Ford Motor Co. Term Loan B, 3.01%, 12/15/13 (i)		2,481		2,478
Target Corp., 5.13%, 01/15/13		3,000		3,212
Volkswagen International Finance NV, 0.92%, 04/01/14 (i) (r)		2,600		2,601

				9,142
CONSUMER STAPLES - 0.7%
Altria Group Inc., 4.13%, 09/11/15		2,500		2,599
Anheuser-Busch Cos. Inc., 5.50%, 01/15/18		100		110
Campbell Soup Co., 4.50%, 02/15/19		6,800		7,118
Kraft Foods Inc.
2.63%, 05/08/13		3,000		3,070
6.13%, 02/01/18 (e)		1,400		1,565
6.88%, 02/01/38		600		665
Philip Morris International Inc., 5.65%, 05/16/18		1,200		1,336
Reynolds Group Issuer Inc., 6.88%, 02/15/21 (r)		4,000		4,030

				20,493
ENERGY - 2.7%
Chesapeake Energy Corp., 2.25%, 12/15/38 (e)		900		827
El Paso Corp.
8.05%, 10/15/30		600		683
7.80%, 08/01/31		800		887
Gaz Capital SA
6.21%, 11/22/16 (r)		300		328
9.25%, 04/23/19		7,900		9,825
Gazprom International SA, 7.20%, 02/01/20		104		112
Gazprom OAO, 9.63%, 03/01/13		200		227
Kinder Morgan Energy Partners LP, 5.95%, 02/15/18		6,400		7,047
Korea Hydro & Nuclear Power Co. Ltd., 6.25%, 06/17/14 (r)		3,300		3,609
Novatek Finance Ltd., 5.33%, 02/03/16 (r)		900		926
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 06/30/21 (e) (r)		1,000		1,054
Peabody Energy Corp., 7.88%, 11/01/26		500		563


	Shares/Par (p)		Value
Petrobras International Finance Co.
5.88%, 03/01/18		1,300		1,377
8.38%, 12/10/18		700		844
7.88%, 03/15/19		16,800		19,725
Petroleos Mexicanos
8.00%, 05/03/19		6,500		7,806
5.50%, 01/21/21		6,900		7,003
Petroleum Export Ltd. Term Loan B, 3.31%, 12/20/12 (f)		3,817		3,808
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.84%, 09/30/27 (r)		500		501
Shell International Finance BV, 5.50%, 03/25/40		800		811
Total Capital SA, 4.45%, 06/24/20		1,000		1,021
Transocean Inc.
4.95%, 11/15/15		700		740
1.50%, 12/15/37 (e)		13,900		13,674

				83,398
FINANCIALS - 25.6%
Allstate Life Global Funding Trust, 5.38%, 04/30/13		1,900		2,050
Ally Financial Inc.
6.88%, 08/28/12 (e)		2,400		2,520
7.50%, 12/31/13 (e)		10,000		10,763
3.51%, 02/11/14 (i)		700		702
8.30%, 02/12/15 (e)		1,400		1,535
6.25%, 12/01/17 (e) (r)		5,000		5,094
7.50%, 09/15/20 (r)		1,900		2,026
8.00%, 11/01/31 (e)		10,000		10,900
American Express Bank FSB
5.50%, 04/16/13 (r)		2,700		2,896
6.00%, 09/13/17		300		332
American Express Centurion Bank, 6.00%, 09/13/17		300		334
American Express Co., 7.00%, 03/19/18		2,100		2,454
American General Finance Corp.
0.56%, 12/15/11 (i)		10,300		9,946
4.88%, 07/15/12 (e)		500		491
American General Finance Corp. Term Loan, 7.25%, 04/16/15 (i)		1,000		1,001
American International Group Inc.
4.00%, 09/20/11, EUR		2,500		3,553
5.05%, 10/01/15		200		206
5.85%, 01/16/18		19,700		20,520
8.25%, 08/15/18		10,100		11,812
6.25%, 05/01/36 (e)		6,800		6,724
6.25%, 03/15/37 (i)		800		732
8.18%, 05/15/58 (i)		4,400		4,736
ANZ National International Ltd., 6.20%, 07/19/13 (r)		2,200		2,400
Australia & New Zealand Banking Group Ltd., 2.13%, 01/12/14 (e) (r)		6,400		6,402
Banco Santander Brazil SA, 2.41%, 03/18/14 (i) (r)		4,100		4,068
Banco Santander Chile SA, 1.55%, 04/20/12 (i) (r)		4,500		4,499
Bank of America Corp.
4.50%, 04/01/15		3,400		3,531
6.50%, 08/01/16		10,500		11,620
6.00%, 09/01/17		1,700		1,822
5.65%, 05/01/18		9,300		9,719
Bank of America NA
0.59%, 06/15/16 (i)		700		652
6.00%, 10/15/36		600		583
Bank of China Hong Kong Ltd., 5.55%, 02/11/20 (e) (r)		800		821
Bank of Montreal, 2.85%, 06/09/15 (r)		1,800		1,815


	Shares/Par (p)		Value
Bank of Nova Scotia, 1.65%, 10/29/15 (r)		2,200		2,110
Barclays Bank Plc
5.93% (callable at 100 beginning 12/15/16) (m) (r)		5,000		4,650
7.43% (callable at 100 beginning 12/15/17) (m) (r)		15,000		15,000
5.45%, 09/12/12		10,700		11,350
2.38%, 01/13/14		5,200		5,229
5.00%, 09/22/16 (e)		10,600		11,238
6.05%, 12/04/17 (r)		1,600		1,667
BBVA Bancomer SA
4.50%, 03/10/16 (r)		1,200		1,203
6.50%, 03/10/21 (r)		2,400		2,372
Bear Stearns Cos. Inc., 6.95%, 08/10/12		3,500		3,768
BNP Paribas SA, 5.19%, (callable at 100 beginning 06/29/15) (m) (r)		4,100		3,936
BPCE SA, 2.38%, 10/04/13 (r)		900		899
Cemex 10 Capital SPV Ltd., 6.72%, (callable at 100 beginning 12/31/16) (m) (r)		1,000		775
CIT Group Inc., 5.25%, 04/01/14 (r)		800		805
Citigroup Capital XXI, 8.30%, 12/21/57 (i)		9,800		10,192
Citigroup Inc.
5.50%, 08/27/12		1,500		1,580
5.63%, 08/27/12 (e)		1,000		1,051
5.30%, 10/17/12		600		633
5.50%, 04/11/13		13,900		14,873
5.85%, 07/02/13		400		431
5.50%, 10/15/14		10,900		11,757
6.00%, 08/15/17		2,200		2,390
8.50%, 05/22/19		1,000		1,234
6.13%, 08/25/36		1,700		1,621
Countrywide Financial Corp., 5.80%, 06/07/12 (e)		2,300		2,419
Credit Agricole SA, 8.38%, (callable at 100 beginning 10/13/19) (m) (r)		15,500		16,585
Credit Suisse New York, 2.20%, 01/14/14		1,900		1,907
Dai-ichi Life Insurance Co. Ltd., 7.25%, (callable at 100 beginning 07/25/21) (e) (m) (q)		2,300		2,274
Deutsche Bank AG London, 6.00%, 09/01/17		3,000		3,326
Dexia Credit Local
0.96%, 09/23/11 (i) (r)		5,600		5,609
0.78%, 04/29/14 (e) (i) (r)		8,300		8,253
ENEL Finance International SA, 6.25%, 09/15/17 (r)		4,700		5,147
Export-Import Bank of Korea
1.05%, 03/03/12 (q), SGD		5,600		4,431
5.88%, 01/14/15		9,700		10,622
5.13%, 06/29/20		1,400		1,412
FCE Bank Plc, 7.13%, 01/16/12, EUR		4,000		5,839
Fibria Overseas Finance Ltd., 7.50%, 05/04/20 (r)		7,400		8,029
Fifth Third Bancorp, 8.25%, 03/01/38		10,200		12,172
FIH Erhvervsbank A/S, 0.68%, 06/13/13 (i) (r)		31,900		31,872
Ford Motor Credit Co. LLC
7.80%, 06/01/12		500		530
7.50%, 08/01/12 (e)		2,800		2,986
7.00%, 10/01/13		500		540
5.63%, 09/15/15 (e)		10,000		10,472
Fortis Bank Nederland Holding, 3.00%, 04/17/12, EUR		500		718
Gazprom - White Nights
10.50%, 03/08/14		1,000		1,205
10.50%, 03/25/14		300		362
General Electric Capital Corp.
0.49%, 01/08/16 (e) (i)		100		96
5.50%, 09/15/67 (r), EUR		6,100		7,888
6.38%, 11/15/67 (i)		3,200		3,288


	Shares/Par (p)		Value
GMAC LLC, 6.88%, 08/28/12 (e)		100		105
Goldman Sachs Group Inc.
1.43%, 05/23/16 (i), EUR		1,800		2,404
5.63%, 01/15/17		1,800		1,897
6.25%, 09/01/17 (e)		4,400		4,818
5.95%, 01/18/18		1,200		1,289
6.15%, 04/01/18		600		651
6.75%, 10/01/37 (e)		6,300		6,354
HBOS Capital Funding LP, 6.46%, (callable at 100 beginning 11/30/18) (m), GBP		5,700		7,864
HSBC Bank Plc, 2.00%, 01/19/14 (r)		2,000		1,994
HSBC Holdings Plc
5.10%, 04/05/21		29,900		30,151
6.50%, 05/02/36		500		512
6.50%, 09/15/37		700		714
ING Bank NV, 1.11%, 03/30/12 (i) (r)		21,700		21,765
International Lease Finance Corp.
1.47%, 08/15/11 (i), EUR		2,800		3,894
5.55%, 09/05/12 (e)		4,200		4,284
6.75%, 09/01/16 (r)		1,900		2,033
JPMorgan Chase & Co.
7.90% (callable at 100 beginning 04/30/18) (m)		4,200		4,595
1.45%, 09/26/13 (i), EUR		100		140
6.00%, 01/15/18		1,200		1,316
JPMorgan Chase Bank NA, 6.00%, 10/01/17		4,100		4,484
JPMorgan Chase Capital XX, 6.55%, 09/29/36 (i)		300		305
Korea Development Bank, 8.00%, 01/23/14		1,200		1,370
Korea Housing Finance Corp., 4.13%, 12/15/15 (r)		2,900		2,961
LBG Capital No.1 Plc
8.50% (callable at 100 beginning 12/17/21) (f) (m)		200		187
7.87%, 12/17/19, GBP		1,900		2,896
6.44%, 05/23/20, EUR		3,100		3,866
LBG Capital No.2 Plc
15.00%, 12/21/19, GBP		1,200		2,608
8.88%, 02/07/20, EUR		1,200		1,735
LeasePlan Corp. NV, 3.13%, 02/10/12, EUR		3,500		5,015
Lehman Brothers Holdings Inc.
0.00%,11/24/08 (c) (d)		4,800		1,218
0.00%,12/23/08 (c) (d)		200		51
0.00%,04/03/09 (c) (d)		600		152
0.00%,11/10/09 (c) (d)		900		228
0.00%,11/16/09 (c) (d)		400		102
0.00%,06/15/11 (c) (d)		1,100		279
0.00%,07/18/11 (c) (d)		1,100		279
5.63%, 01/24/13 (c) (d)		1,600		416
6.20%, 09/26/14 (c) (d)		1,700		442
6.88%, 05/02/18 (c) (d)		1,000		263
Merrill Lynch & Co. Inc.
6.05%, 08/15/12		600		638
6.40%, 08/28/17		1,900		2,071
MetLife Inc., 6.40%, 12/15/36 (i)		500		482
Metropolitan Life Global Funding I, 0.68%, 07/13/11 (i) (r)		14,500		14,508
Morgan Stanley
6.60%, 04/01/12		2,500		2,643
2.81%, 05/14/13 (i)		1,500		1,553
6.25%, 08/28/17		1,200		1,304
5.95%, 12/28/17		1,800		1,933
7.30%, 05/13/19 (e)		200		225
National Australia Bank Ltd., 5.35%, 06/12/13 (r)		1,900		2,044
Nationwide Building Society, 4.65%, 02/25/15 (e) (r)		3,500		3,546


	Shares/Par (p)		Value
Nationwide Life Global Funding I, 5.45%, 10/02/12 (r)		16,200		17,040
Nordea Bank AB, 2.13%, 01/14/14 (e) (r)		900		898
Northern Rock Plc, 5.63%, 06/22/17 (q)		16,000		16,437
Ohio National Financial Services Inc., 6.38%, 04/30/20 (r)		900		949
Pacific LifeCorp, 6.00%, 02/10/20 (r)		900		958
Petroleum Export Ltd., 5.27%, 06/15/11 (r)		17		17
Principal Life Income Funding Trusts, 5.30%, 04/24/13 (e)		1,700		1,829
RBS Capital Trust I, 4.71%, (callable at 100 beginning 07/01/13) (m)		800		614
Resona Bank Ltd., 5.85%, (callable at 100 beginning 04/15/16) (m) (r)		300		297
Royal Bank of Scotland Group Plc, 6.99%, (callable at 100 beginning 10/05/17) (m) (r)		2,100		1,877
Royal Bank of Scotland Plc
0.71%, 04/08/11 (i) (r)		8,100		8,100
1.45%, 10/20/11 (r)		22,900		23,041
3.00%, 12/09/11 (r)		6,700		6,820
2.63%, 05/11/12 (r)		2,100		2,146
4.88%, 08/25/14 (r)		400		415
3.95%, 09/21/15 (e)		500		500
4.38%, 03/16/16		12,400		12,479
RZD Capital Ltd., 5.74%, 04/03/17		1,500		1,563
Santander Finance Preferred SA Unipersonal, 11.30%, (callable at 100 beginning 07/27/14) (m), GBP		700		1,213
Santander US Debt SA Unipersonal
1.11%, 03/30/12 (i) (r)		13,100		12,978
2.99%, 10/07/13 (r)		8,800		8,745
SLM Corp.
5.40%, 10/25/11		5,324		5,432
5.13%, 08/27/12		500		516
3.13%, 09/17/12, EUR		2,500		3,411
1.50%, 06/17/13 (i), EUR		1,250		1,623
6.25%, 01/25/16		100		104
8.45%, 06/15/18 (e)		3,400		3,808
8.00%, 03/25/20		1,100		1,199
5.63%, 08/01/33		800		684
Springleaf Finance Corp., 6.90%, 12/15/17 (e)		1,900		1,736
State Bank of India, 4.50%, 07/27/15 (r)		2,500		2,551
State Street Capital Trust III, 5.30%, (callable at 100 beginning 03/15/13) (m)		1,700		1,702
State Street Capital Trust IV, 1.31%, 06/15/37 (i)		200		165
Stone Street Trust, 5.90%, 12/15/15 (r)		7,000		7,293
Sumitomo Mitsui Banking Corp., 1.95%, 01/14/14 (r)		6,000		5,942
Svenska Handelsbanken AB, 1.31%, 09/14/12 (i) (r)		17,000		17,146
Sydney Airport Finance Co. Pty Ltd., 5.13%, 02/22/21 (l) (r)		500		489
Temasek Financial I Ltd., 4.30%, 10/25/19 (e) (r)		1,800		1,825
TNK-BP Finance SA, 6.13%, 03/20/12 (r)		300		313
TransCapitalInvest Ltd., 8.70%, 08/07/18 (r)		800		990
UBS AG Stamford
1.41%, 02/23/12 (i)		1,600		1,612
1.30%, 01/28/14 (i)		1,000		1,009
5.88%, 12/20/17		1,200		1,310
UBS Preferred Funding Trust V, 6.24%, (callable at 100 beginning 05/15/16) (m)		10,000		9,875
USB Capital IX, 6.19%, (callable at 100 beginning 04/15/11) (m)		200		168
VEB Finance Ltd., 6.90%, 07/09/20 (r)		23,500		25,291
Vnesheconombank Via VEB Finance Ltd., 5.45%, 11/22/17 (r)		1,100		1,117


	Shares/Par (p)		Value
Wachovia Corp.
0.41%, 10/15/11 (i)		3,200		3,203
5.75%, 02/01/18		4,300		4,737
Wells Fargo & Co., 7.98%, (callable at 100 beginning 03/15/18) (m)		2,400		2,628
Westpac Banking Corp.
0.78%, 07/16/14 (i) (r)		1,000		1,004
3.59%, 08/14/14 (r)		1,800		1,889
ZFS Finance USA Trust I, 5.88%, 05/09/32 (i) (r)		175		174

				794,451
HEALTH CARE - 0.7%
Amgen Inc., 6.15%, 06/01/18		7,300		8,380
AstraZeneca Plc, 5.90%, 09/15/17		600		685
Novartis Capital Corp., 4.13%, 02/10/14		5,800		6,203
Roche Holdings Inc., 7.00%, 03/01/39 (l) (r)		3,600		4,383
UnitedHealth Group Inc., 4.88%, 02/15/13		1,600		1,699

				21,350
INDUSTRIALS - 0.6%
CSN Islands XI Corp., 6.88%, 09/21/19 (r)		700		777
CSN Resources SA, 6.50%, 07/21/20 (e) (r)		7,900		8,413
Noble Group Ltd.
4.88%, 08/05/15 (r)		1,000		1,035
6.75%, 01/29/20		2,600		2,782
Union Pacific Corp., 5.70%, 08/15/18		4,000		4,479

				17,486
INFORMATION TECHNOLOGY - 0.9%
Dell Inc., 4.70%, 04/15/13		3,600		3,834
International Business Machines Corp., 5.70%, 09/14/17		13,200		14,940
Oracle Corp.
4.95%, 04/15/13		4,200		4,525
5.75%, 04/15/18		4,100		4,591

				27,890
MATERIALS - 0.8%
Alcoa Inc., 6.15%, 08/15/20 (e)		2,900		3,064
Corp. Nacional del Cobre de Chile
7.50%, 01/15/19 (r)		1,900		2,295
6.15%, 10/24/36 (e) (r)		200		220
Gerdau Holdings Inc.
7.00%, 01/20/20 (r)		4,400		4,873
5.75%, 01/30/21 (e) (r)		6,400		6,480
Nucor Corp., 5.75%, 12/01/17		2,400		2,716
Rio Tinto Alcan Inc., 4.88%, 09/15/12		4,300		4,525
Rohm & Haas Co., 6.00%, 09/15/17 (e)		900		994
Vale Overseas Ltd.
6.25%, 01/23/17		300		334
6.88%, 11/21/36		300		319

				25,820
TELECOMMUNICATION SERVICES - 1.0%
AT&T Inc.
4.95%, 01/15/13		2,000		2,130
5.50%, 02/01/18 (e)		2,000		2,183
6.30%, 01/15/38		1,400		1,411
Qtel International Finance Ltd.
3.38%, 10/14/16 (r)		300		289
4.75%, 02/16/21 (r)		200		187
Qwest Corp., 7.63%, 06/15/15		800		920
Telecom Italia Capital SA, 0.91%, 07/18/11 (i)		6,900		6,901
TELUS Corp., 8.00%, 06/01/11		2,528		2,558
Verizon Wireless Capital LLC
2.91%, 05/20/11 (i)		4,900		4,917


	Shares/Par (p)		Value
5.25%, 02/01/12		9,900		10,262

				31,758
UTILITIES - 1.0%
Centrais Eletricas Brasileiras SA, 6.88%, 07/30/19 (r)		5,000		5,600
CMS Energy Corp., 5.05%, 02/15/18		2,300		2,291
Electricite de France SA
5.50%, 01/26/14 (r)		1,600		1,753
6.50%, 01/26/19 (e) (r)		1,600		1,834
6.95%, 01/26/39 (r)		1,600		1,860
Entergy Corp., 3.63%, 09/15/15 (l)		5,200		5,146
Majapahit Holding BV
8.00%, 08/07/19 (r)		2,200		2,497
7.75%, 01/20/20 (r)		5,000		5,625
NRG Energy Inc., 8.25%, 09/01/20 (e) (r)		3,500		3,640
NV Energy Inc., 6.25%, 11/15/20		1,800		1,832

				32,078

Total Corporate Bonds and Notes (cost $1,011,960)				1,063,866

GOVERNMENT AND AGENCY OBLIGATIONS - 40.7%
GOVERNMENT SECURITIES - 10.0%
Federal National Mortgage Association - 0.6% (w)
Federal National Mortgage Association, 0.50%, 10/30/12		17,400		17,348
Municipals - 3.2%
Bay Area Toll Authority, Toll Bridge Revenue, RB, Series S1, 7.04%, 04/01/50		3,400		3,470
Buckeye Tobacco Settlement Financing Authority (insured by AMBAC Assurance Corp.), 5.88%, 06/01/30		1,000		722
California Infrastructure & Economic Development Bank, 6.49%, 05/15/49		1,000		996
California State University, 6.43%, 11/01/30		1,400		1,414
Calleguas - Las Virgenes Public Financing Authority, 5.94%, 07/01/40		1,100		1,073
Chicago Transit Authority
6.30%, 12/01/21 - 12/01/21		300		321
6.20%, 12/01/40		1,000		929
6.90%, 12/01/40 - 12/01/40		4,100		4,022
City of North Las Vegas Nevada, Ad Valorem Property Tax, GO, 6.57%, 06/01/40		9,200		9,406
County of Clark Nevada, 6.82%, 07/01/45		1,600		1,584
Golden State Tobacco Securitization Corp., 5.75%, 06/01/47		6,900		4,598
Illinois Municipal Electric Agency, 6.83%, 02/01/35		1,800		1,864
Irvine Ranch Water District Series B, 6.62%, 05/01/40		16,800		17,181
Los Angeles Unified School District, 6.76%, 07/01/34		3,100		3,247
Los Angeles Unified School District (insured by National Public Finance Guarantee Corp), 4.50%, 01/01/28		6,300		5,512
Los Angeles Unified School District Series A-1 (insured by Assured Guaranty Municipal Corp.), 4.50%, 07/01/22		3,600		3,581
New Jersey State Turnpike Authority, 7.41%, 01/01/40		7,800		8,632
New York State Dormitory Authority, 5.05%, 09/15/27		4,700		4,410
North Carolina Turnkpike Authority, Series B, 6.70%, 01/01/39		2,000		2,071
Pennsylvania Economic Development Financing Authority, 6.53%, 06/15/39		1,900		1,818


	Shares/Par (p)		Value
Port Authority of New York & New Jersey, 5.65%, 11/01/40		1,100		1,053
San Diego Tobacco Settlement Revenue Funding Corp., 7.13%, 06/01/32		815		618
State of California, 7.95%, 03/01/36		600		641
State of California Various Purpose Bond
7.50%, 04/01/34		600		646
5.65%, 04/01/39		600		630
7.55%, 04/01/39		600		652
State of Illinois
4.07%, 01/01/14		2,400		2,397
6.90%, 03/01/35		1,000		975
6.73%, 04/01/35		900		863
State of Iowa, 6.75%, 06/01/34		4,100		4,302
State of Texas, 4.75%, 04/01/35		500		485
Texas State Transportation Commission, Highway Revenue Tolls, RB, Series B, 5.18%, 04/01/30		1,000		983
Tobacco Settlement Authority of Iowa, 6.50%, 06/01/23		225		203
Tobacco Settlement Authority of West Virgina, 7.47%, 06/01/47		1,700		1,184
Washington State Convention Center Public Facilities District, 6.79%, 07/01/40		5,600		5,483
Washington State Municipal Bond (insured by National Public Finance Guarantee Corp), 0.00%, 12/01/20 (j)		1,400		952

				98,918
Sovereign - 3.1%
Banco Nacional de Desenvolvimento Economico e Social, 4.13%, 09/15/17, EUR		1,000		1,353
Brazil Notas do Tesouro Nacional, 10.00%, 01/01/12 - 01/01/17, BRL		2,662		1,489
Canada Housing Trust No. 1
3.95%, 12/15/11, CAD		900		946
4.00%, 06/15/12, CAD		4,800		5,094
4.80%, 06/15/12, CAD		3,600		3,856
4.55%, 12/15/12, CAD		8,300		8,954
2.75%, 12/15/15 (q), CAD		4,000		4,100
3.35%, 12/15/20, CAD		7,000		6,995
Canadian Government Bond
1.75%, 03/01/13, CAD		9,500		9,789
2.50%, 09/01/13, CAD		7,600		7,933
2.00%, 12/01/14, CAD		5,500		5,593
4.50%, 06/01/15, CAD		700		778
3.00%, 12/01/15, CAD		800		837
Export-Import Bank of China, 4.88%, 07/21/15 (r)		200		215
Instituto de Credito Oficial, 2.94%, 03/25/14 (i) (q), EUR		5,100		7,219
Mexican Bonos, 6.00%, 06/18/15, MXN		24,700		2,016
Panama Government International Bond, 7.25%, 03/15/15		400		465
Province of Ontario, Canada
4.30%, 03/08/17, CAD		1,200		1,301
4.20%, 03/08/18, CAD		300		321
5.50%, 06/02/18, CAD		700		805
4.40%, 06/02/19, CAD		2,400		2,571
4.70%, 06/02/37, CAD		6,100		6,445
4.60%, 06/02/39, CAD		1,700		1,774
Province of Quebec, Canada, 4.50%, 12/01/16, CAD		100		110
Republic of Korea, 4.38%, 08/10/15		7,200		7,475
Republic of South Africa Government Bond, 5.88%, 05/30/22		100		107
Russian Foreign Bond, 3.63%, 04/29/15		500		506


	Shares/Par (p)		Value
Societe Financement de l’Economie Francaise
2.13%, 05/20/12, EUR		300		428
0.50%, 07/16/12 (i) (r)		2,000		2,005
3.38%, 05/05/14 (r)		4,200		4,410
United Mexican States, 6.05%, 01/11/40		1,500		1,545

				97,435
Treasury Inflation Index Securities - 3.1%
U.S. Treasury Inflation Indexed Note
2.38%, 01/15/25 - 01/15/27 (n)		21,917		24,461
2.00%, 01/15/26 (e) (n)		17,531		18,712
1.75%, 01/15/28 (n)		37,107		37,821
2.50%, 01/15/29 (n)		11,693		13,245
3.88%, 04/15/29 (n)		1,875		2,510

				96,749
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 30.7%
Federal Home Loan Mortgage Corp. - 3.5%
Federal Home Loan Mortgage Corp.
6.00%, 03/01/16 - 08/01/38		35,323		38,450
2.78%, 07/01/27 (i)		1		1
7.50%, 03/01/32 (f)		179		178
6.00%, 04/03/35, TBA (g)		1,000		1,086
5.50%, 12/01/36 - 08/15/40		20,869		22,295
4.50%, 09/01/38 - 03/01/41		6,661		6,779
4.50%, 04/15/41, TBA (g)		25,000		25,398
REMIC, 0.41%, 07/15/19 - 08/15/19 (i)		3,057		3,039
REMIC, 7.00%, 05/15/23		248		275
REMIC, 0.71%, 11/15/30 (i)		4		4
REMIC, 4.50%, 03/15/34		8,491		8,387
REMIC, 0.29%, 12/25/36 (i)		1,636		1,627
REMIC, 1.52%, 02/25/45 (i)		89		86

				107,605
Federal National Mortgage Association - 26.5%
Federal National Mortgage Association
6.00%, 05/01/16 - 08/01/40		93,447		101,854
5.50%, 04/01/20 - 05/01/36 , TBA (g)		63,000		67,220
4.50%, 05/01/20 - 04/01/34 , TBA (g)		362,800		370,933
5.50%, 04/01/22 - 05/01/40		50,755		54,471
6.50%, 07/01/29 - 03/01/38		4,043		4,539
5.00%, 02/01/34 - 03/01/35		7,573		7,978
6.00%, 04/15/34, TBA (g)		36,000		39,150
4.50%, 05/01/34 - 03/01/41		22,051		22,487
2.20%, 01/01/35 (i)		1,587		1,643
5.00%, 05/01/36, TBA (g)		119,000		124,095
5.50%, 08/01/37 (o)		18,251		19,613
1.71%, 09/01/40 (i)		10		10
1.51%, 06/01/43 (i)		515		515
REMIC, 5.00%, 02/25/17 - 04/25/33		480		513
REMIC, 2.54%, 05/25/35 (i)		123		126
REMIC, 0.70%, 09/25/35 (i)		3,941		3,935
REMIC, 0.56%, 04/25/37 (i)		1,955		1,945
REMIC, 0.31%, 07/25/37 (i)		978		965
REMIC, 6.50%, 12/25/42		70		82
REMIC, 0.60%, 03/25/44 (i)		495		479

				822,553
Government National Mortgage Association - 0.0%
Government National Mortgage Association
3.38%, 05/20/26 - 05/20/30 (i)		84		87
2.75%, 02/20/32 (i)		64		66
3.00%, 02/20/32 (i)		44		45

				198
Small Business Administration Participation Certificates - 0.7%
Small Business Administration Participation Certificates
6.29%, 01/01/21		22		24


	Shares/Par (p)		Value
5.13%, 09/01/23		46		49
5.52%, 06/01/24		1,010		1,078
5.29%, 12/01/27		864		923
5.16%, 02/01/28		9,535		10,054
5.49%, 03/01/28		8,736		9,325

				21,453

Total Government and Agency Obligations (cost $1,248,789)				1,262,259

PREFERRED STOCKS - 0.8%
CONSUMER DISCRETIONARY - 0.1%
Motors Liquidation Co. (c) (d)		128		928
FINANCIALS - 0.7%
American International Group Inc., Convertible Preferred		44		196
DG Funding Trust, (callable at 10,000 beginning 09/30/10) (f) (m) (q)		—		3,175
GMAC Capital Trust I		740		18,870

				22,241

Total Preferred Stocks (cost $23,610)				23,169

COMMON STOCKS - 0.0%
American International Group Inc. (c) (e)		2		64

Total Common Stocks (cost $95)				64

SHORT TERM INVESTMENTS - 44.4%
Certificates of Deposit - 1.8%
Banco Bradesco SA, 1.36%, 06/27/11	$	28,600		28,579
Bank of Nova Scotia, 0.56%, 08/09/12 (i)		7,600		7,597
Intesa Sanpaolo SpA, 2.38%, 12/21/12		15,200		15,299
Itau Usa Securities Inc., 1.45%, 12/05/11		2,700		2,671

				54,146
Commercial Paper - 3.4%
Kells Fund LLC
0.27%, 04/04/11		55,900		55,899
0.32%, 08/01/11		26,900		26,871
Straight-A Funding LLC
0.25%, 05/11/11		15,800		15,795
0.25%, 05/16/11		1,900		1,900
0.25%, 05/11/11		6,000		5,998

				106,463
Securities Lending Collateral - 6.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		193,550		193,550
Treasury Securities - 33.0%
Japan Treasury Bill
0.11%, 04/25/11, JPY		13,110,000		157,597
0.11%, 06/13/11, JPY		50,000		601
U.S. Treasury Bill
0.16%, 08/25/11 (e)	$	25,500		25,486
0.16%, 07/14/11 (e) (o)		41,010		40,998
0.18%, 07/21/11 (e) (o)		92,109		92,080
0.14%, 08/04/11 (e)		19,500		19,493
0.16%, 08/11/11 (e) (o)		134,900		134,838
0.15%, 08/18/11 (e) (o)		423,300		423,079
0.14%, 09/08/11		85,000		84,943
0.14%, 09/15/11		29,400		29,378
0.05%, 04/07/11 (e)		16,000		16,000


	Shares/Par (p)		Value
0.16%, 07/28/11 (e)		463		463

				1,024,956

Total Short Term Investments (cost $1,381,062)				1,379,115

Total Investments - 127.0% (cost $3,870,590)				3,940,701
Total Forward Sales Commitments - (1.0)% (proceeds $30,642)				(30,649	)
Other Assets and Liabilities, Net - (26.0%)				(805,955	)

Total Net Assets - 100.0%			$	3,104,097

Forward Sales Commitments - 1.0%
GOVERNMENT AND AGENCY OBLIGATIONS - 1.0%
GOVERNMENT SECURITIES - 0.2%
U.S. Treasury Securities - 0.2%
U.S. Treasury Note
2.63%, 11/15/20	$	800	$	747
3.63%, 02/15/21		4,600		4,665
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.8%
Federal National Mortgage Association - 0.8%
Federal National Mortgage Association
5.50%, 04/12/36, TBA (g)		22,600		24,168
5.50%, 03/13/37		1,000		1,069

Total Forward Sales Commitments - 1.0% (proceeds $30,642)			$	30,649

JNL/PPM America Floating Rate Income Fund (t)
CORPORATE BONDS AND NOTES - 10.2%
CONSUMER DISCRETIONARY - 2.3%
Cablevision Systems Corp., 8.63%, 09/15/17	$	1,000	$	1,112
Ford Motor Co., 7.45%, 07/16/31		1,000		1,083
Harrah’s Operating Co. Inc., 10.75%, 02/01/16		1,000		935
J.C. Penney Co. Inc., 6.38%, 10/15/36		1,000		901
Levi Strauss & Co., 7.63%, 05/15/20		1,000		1,003
MGM Resorts International, 11.13%, 11/15/17		1,000		1,145
Univision Communications Inc., 7.88%, 11/01/20 (r)		1,000		1,057
Wynn Las Vegas LLC, 7.75%, 08/15/20		1,000		1,060

				8,296
ENERGY - 1.7%
Calpine Corp., 7.25%, 10/15/17 (r)		1,000		1,040
Chesapeake Energy Corp., 6.63%, 08/15/20		1,000		1,065
El Paso Corp., 7.80%, 08/01/31		1,000		1,109
Kinder Morgan Kansas Inc., 6.50%, 09/01/12		1,000		1,060
Linn Energy LLC, 8.63%, 04/15/20 (r)		1,000		1,110
Tesoro Corp., 6.50%, 06/01/17		1,000		1,030

				6,414
FINANCIALS - 1.5%
Ally Financial Inc., 8.00%, 11/01/31		1,000		1,110
CIT Group Inc., 7.00%, 05/01/17		1,000		1,001
International Lease Finance Corp., 9.00%, 03/15/17 (r)		1,000		1,125
Nielsen Finance LLC, 7.75%, 10/15/18 (r)		1,000		1,073
Reynolds Group Inc., 7.75%, 10/15/16 (r)		1,000		1,058

				5,367


	Shares/Par (p)		Value
HEALTH CARE - 0.3%
HCA Inc., 8.50%, 04/15/19		1,000		1,110
INDUSTRIALS - 1.2%
BE Aerospace Inc., 8.50%, 07/01/18		1,000		1,107
Delta Air Lines Inc., 12.25%, 03/15/15 (r)		1,000		1,120
L-3 Communications Corp., 6.38%, 10/15/15		1,000		1,030
United Rentals North America Inc., 8.38%, 09/15/20		1,000		1,045

				4,302
INFORMATION TECHNOLOGY - 0.3%
SunGard Data Systems Inc., 10.25%, 08/15/15		1,000		1,050
MATERIALS - 1.4%
Ball Corp., 5.75%, 05/15/21		1,000		980
Georgia-Pacific LLC, 5.40%, 11/01/20 (r)		1,000		987
Ineos Group Holdings Plc, 8.50%, 02/15/16 (r)		1,000		1,009
Momentive Performance Materials Inc., 9.00%, 01/15/21 (r)		1,000		1,034
Steel Dynamics Inc., 6.75%, 04/01/15		1,000		1,024

				5,034
TELECOMMUNICATION SERVICES - 0.9%
Qwest Communications International Inc., 7.13%, 04/01/18		1,000		1,079
Sprint Capital Corp., 6.88%, 11/15/28		1,000		922
Wind Acquisition Finance SA, 11.75%, 07/15/17 (r)		1,000		1,150

				3,151
UTILITIES - 0.6%
AES Corp., 9.75%, 04/15/16		1,000		1,148
NRG Energy Inc., 7.38%, 02/01/16		1,000		1,035

				2,183

Total Corporate Bonds and Notes (cost $36,573)				36,907

VARIABLE RATE SENIOR LOAN INTERESTS - 89.0% (i)
CONSUMER DISCRETIONARY - 26.1%
Acosta Inc. Term Loan, 4.75%, 02/22/18		1,400		1,401
Advantage Sales & Marketing 1st Lien Term Loan, 5.25%, 12/17/17		1,995		1,996
Affinion Group Replacement Term Loan, 5.00%, 10/10/16		2,000		1,997
Allison Transmission Inc. Term Loan
3.01%, 08/07/14		782		774
3.01%, 08/07/14		66		66
3.01%, 08/07/14		335		332
3.01%, 08/07/14		782		774
3.01%, 08/07/14		1,034		1,024
AMC Entertainment Inc. Term Loan, 3.51%, 12/16/16		1,995		1,987
ARAMARK Corp. Extended Term Loan
3.51%, 01/26/14		123		123
3.55%, 07/26/16		1,877		1,876
Atlantic Broadband Term Loan B, 4.00%, 03/08/16		430		431
AutoTrader.com Inc. New Term Loan, 4.75%, 12/15/16		2,000		2,010
Bass Pro Group LLC Term Loan
5.00%, 04/12/15		1,511		1,518
5.00%, 04/12/15		126		126
5.00%, 04/12/15		252		253
5.00%, 04/12/15		96		96
5.67%, 04/12/15		15		15


	Shares/Par (p)		Value
Burger King Corp. Term Loan B, 4.50%, 10/19/16		1,995		1,992
Carmike Cinemas Inc. Initial Term Loan, 5.50%, 01/27/16		934		936
Cedar Fair LP U.S.Term Loan I, 4.00%, 12/15/17		2,000		2,010
Cequel Communications LLC 1st Lien Term Loan, 2.26%, 11/05/13		1,995		1,979
Charter Communications Operating LLC Term Loan, 3.56%, 09/06/16		2,000		1,999
Clarke American Corp. Term Loan B
2.76%, 06/30/14		403		383
2.76%, 06/30/14		294		279
2.80%, 06/30/14		636		604
2.80%, 06/30/14		244		231
2.80%, 06/30/14		419		398
Dollar General Corp. Term Loan B-1, 3.01%, 07/06/14		551		551
Dollar General Corp. Term Loan B-2, 3.05%, 07/06/14		419		419
Dollar General Corp. Term Loan B-3, 3.05%, 07/06/14		419		419
Dollar General Corp. Term Loan B-4, 3.01%, 07/06/14		533		533
Dollar General Corp. Term Loan B-5, 3.00%, 07/06/14		78		78
Ford Motor Co. Term Loan B
3.01%, 12/15/13		573		573
3.01%, 12/15/13		1,316		1,315
3.01%, 12/15/13		100		100
FoxCo Acquisition Sub LLC Term Loan B, 6.00%, 07/14/15		1,500		1,499
FTD Group Inc. Term Loan B, 6.75%, 08/04/14		1,000		1,002
GNC Corp. Term Loan B
4.25%, 03/04/18		1,000		999
4.25%, 03/04/18		560		560
Goodyear Engineered Products Delayed Draw Term Loan, 2.77%, 07/31/14		125		116
Goodyear Engineered Products Term Loan B, 2.77%, 07/31/14		1,870		1,728
Gymboree Corp. 1st Lien Term Loan, 5.00%, 02/23/18		1,120		1,118
Harbor Freight Tools USA Term Loan B, 6.50%, 12/17/17		1,995		2,012
Hargray 1st Lien Term Loan B
2.56%, 06/29/14		726		717
2.56%, 06/29/14		234		231
2.56%, 06/29/14		40		40
Harrah’s Operating Co. Inc. Term Loan B-2, 3.00%, 01/28/15		1,000		929
Isle of Capri Casinos Inc. Term Loan B, 3.50%, 03/22/17		988		992
J. Crew Group Inc. Term Loan
4.75%, 03/07/17		4		3
4.75%, 03/07/17		349		348
4.75%, 03/07/17		1,047		1,044
Jarden Corp. Term Loan B, 5.25%, 01/31/17		1,976		1,989
JRD Holdings Inc. Term Loan B, 2.50%, 07/02/14		2,000		1,991
Knology Inc. Term Loan B, 4.00%, 08/28/17		1,400		1,397
Las Vegas Sands LLC Extended Term Loan B, 3.04%, 11/23/16		1,665		1,625
Las Vegas Sands LLC Delayed Draw Term Loan, 3.04%, 11/23/16		334		326
Live Nation Entertainment Inc. Term Loan B, 4.50%, 11/05/16		1,995		2,000
NDS Treasury LLC Term Loan B, 4.00%, 03/18/18		840		837


	Shares/Par (p)		Value
Neiman Marcus Group Term Loan B-2, 4.31%, 04/06/16		2,000		2,003
OSI Restaurant Partners LLC Pre-Funded RC Term Loan
2.38%, 06/14/14		69		67
2.56%, 06/14/14		19		19
OSI Restaurant Partners LLC Term Loan B, 2.63%, 06/14/14		912		886
PETCO Animal Supplies Inc. New Term Loan, 4.50%, 11/25/17		1,782		1,786
Pilot Travel Centers LLC Term Loan B, 3.25%, 03/30/18		2,000		2,008
Regal Cinemas Corp. Term Loan, 3.55%, 08/23/17		1,955		1,958
Rent-A-Center Inc. Extended Term Loan B
3.31%, 03/31/15		843		837
3.31%, 03/31/15		271		269
Rent-A-Center Inc. Extended Term Loan C, 3.31%, 03/31/15		885		879
Reynolds Group Holdings Term Loan E
4.25%, 02/09/18		707		710
4.25%, 02/09/18		366		367
4.25%, 02/09/18		628		630
Roundy’s Inc. Extended Term Loan, 5.00%, 11/03/13		2,000		2,004
Rovi Corp. Term Loan A, 2.82%, 02/07/16		500		499
Rovi Corp. Term Loan B, 4.00%, 02/07/18		500		503
Sabre Inc. Term Loan
2.26%, 09/30/14		362		341
2.30%, 09/30/14		628		591
Sally Holdings LLC Term Loan B
2.51%, 11/16/13		1,249		1,247
2.51%, 11/16/13		711		710
Savers Inc. Term Loan, 4.25%, 03/04/17		2,000		2,012
ServiceMaster Co. Delayed Draw Term Loan, 2.76%, 07/24/14		181		177
ServiceMaster Co. Term Loan
2.77%, 07/24/14		696		683
2.77%, 07/24/14		727		713
2.81%, 07/24/14		391		384
Tenneco Inc. Term Loan B, 4.50%, 06/03/16		2,000		2,005
Univision Communications First Lien Term Loan, 4.51%, 03/31/17		2,974		2,900
UPC Financing Partnership Term Loan X, 3.76%, 12/31/17		2,897		2,898
Visant Holding Corp. Term Loan B, 5.25%, 12/22/16		2,394		2,388
WaveDivision Holdings LLC Delayed Draw Term Loan B
2.56%, 06/30/14		204		199
2.60%, 06/30/14		796		779
Weather Channel Term Loan, 4.25%, 02/11/17		998		1,004
Wendy’s/Arby’s Restaurants, LLC Term Loan, 5.00%, 05/24/17		1,900		1,911
WideOpenWest Finance LLC 1st Lien New Term Loan
2.76%, 06/28/14		1,000		949
4.68%, 06/28/14		—		—
WideOpenWest Finance LLC New Term Loan A
6.76%, 06/28/14		1,999		2,001
8.75%, 06/28/14		—		—
Windsor Quality Food Co. Ltd. Term Loan B, 5.07%, 02/09/17		680		679

				95,097
CONSUMER STAPLES - 4.1%
Darling International Term Loan
5.00%, 12/17/16		667		670


	Shares/Par (p)		Value
5.00%, 12/17/16		200		201
5.67%, 12/17/16		200		201
Del Monte New Term Loan B, 4.50%, 02/16/18		1,000		1,002
DineEquity Inc. Term Loan B-1, 4.25%, 10/19/17		664		669
Dunkin Brands Term Loan B1
4.25%, 11/23/17		1,995		2,007
5.25%, 11/23/17		5		5
Green Mountain Coffee, Inc. Term Loan B, 5.50%, 12/20/16		2,000		2,015
Michael Foods Group Inc. Term Loan B, 4.25%, 02/25/18		700		704
NBTY Inc. Term Loan B-1, 4.25%, 10/01/17		1,300		1,302
Spectrum Brands Inc. Term Loan
5.00%, 06/17/16		549		552
5.00%, 06/17/16		441		444
6.16%, 06/17/16		10		10
SUPERVALU Inc. Term Loan B-2, 3.51%, 10/05/15		3,135		3,137
Wm. Bolthouse Farms Inc. Term Loan B, 5.50%, 02/11/16		1,966		1,981

				14,900
ENERGY - 3.1%
Calpine Corp. Term Loan, 4.50%, 03/07/18		2,000		2,006
EquiPower Resources Holdings LLC Term Loan B, 5.75%, 01/26/18		2,000		2,015
Helix Energy Solutions Group Inc. Term Loan
2.50%, 07/01/13		1,161		1,147
2.51%, 07/01/13		1,104		1,090
Hercules Offshore Term Loan, 6.00%, 07/11/13		1,000		987
Oxbow Carbon LLC Term Loan B-1
3.76%, 05/08/16		149		150
3.80%, 05/08/16		1,851		1,860
Texas Competitive Electric Holdings Co. LLC Term Loan B-2
3.76%, 10/10/14		798		671
3.80%, 10/10/14		72		61
3.80%, 10/10/14		1,125		947
Walter Energy Inc. Term Loan B, 3.00%, 03/04/18		280		282

				11,216
FINANCIALS - 9.8%
Altegrity Inc. Term Loan, 3.06%, 02/21/15		2,000		1,972
American General Finance Corp. Term Loan, 7.25%, 04/21/15		3,000		3,002
AmWINS Group Inc. 1st Lien Term Loan
2.81%, 06/08/13		422		418
2.82%, 06/08/13		578		572
Asurion LLC Term Loan B-2
6.75%, 03/31/15		1,106		1,118
6.75%, 03/31/15		889		898
Capital Automotive LLC Term Loan B, 5.00%, 03/15/17		2,497		2,471
CNO Financial Group Inc. Term Loan, 7.50%, 09/30/16		867		871
CPG International I Inc. 1st Lien Term Loan, 6.00%, 02/18/16		1,600		1,599
Fidelity National Information Services Term Loan B
5.25%, 07/18/16		1,995		2,007
5.25%, 07/18/16		5		5
First American Payment Systems Term Loan
6.75%, 10/28/16		650		655
6.75%, 10/28/16		350		353
Goodman Global Inc. Initial Term Loan, 5.75%, 10/28/16		3,000		3,007


	Shares/Par (p)		Value
HarbourVest Partners, LP 1st Lien Term Loan
6.25%, 12/25/16		25		25
6.25%, 12/25/16		963		967
Hub International Holdings, Inc. Delayed Draw Term Loan
2.80%, 06/13/14		176		173
2.80%, 06/13/14		84		82
2.80%, 06/13/14		107		105
Hub International Holdings, Inc. Term Loan B, 2.80%, 06/13/14		1,633		1,606
Information Resources Inc. Term Loan
3.25%, 05/16/14		154		154
3.31%, 05/16/14		321		321
3.31%, 05/16/14		214		214
5.25%, 05/16/14		6		6
KAR Holdings Inc. Incremental Term Loan
3.02%, 10/21/13		641		639
3.02%, 10/21/13		1,704		1,697
3.02%, 10/21/13		655		653
KIK Custom Products Inc. Canadian Term Loan, 2.56%, 05/31/14		146		127
KIK Custom Products Inc. U.S. Term Loan, 2.56%, 05/31/14		851		739
Nielsen Finance LLC Term Loan Class C, 3.76%, 05/02/16		1,995		1,988
Nuveen Investments Inc. Extended Term Loan
5.80%, 05/13/17		1,632		1,635
5.80%, 05/13/17		162		162
5.80%, 05/13/17		1,206		1,209
Realogy Corp. Extended Term Loan
4.51%, 10/10/16		104		98
4.56%, 10/10/16		615		577
Sedgwick CMS Holdings Term Loan B-1, 5.00%, 12/31/16		518		518
TransUnion LLC Term Loan, 4.75%, 02/11/18		1,000		1,004
West Corp. Term Loan B-4
4.55%, 07/15/16		258		259
4.56%, 07/15/16		439		440
4.71%, 07/15/16		295		295
West Corp. Term Loan B-5, 4.55%, 07/15/16		360		361
West Corp. Term Loan B-6, 4.56%, 07/15/16		225		225
West Corp. Term Loan B-7, 4.71%, 07/15/16		408		409

				35,636
HEALTH CARE - 15.6%
Axcan Intermediate Holdings Inc. Term Loan
5.50%, 02/11/17		1,000		997
5.50%, 02/11/17		569		567
5.50%, 02/11/17		97		97
5.50%, 02/11/17		333		332
Carestream Health Inc. Term Loan, 5.00%, 02/23/17		1,960		1,922
Community Health Systems Delayed Draw Term Loan, 2.54%, 07/25/14		146		145
Community Health Systems Term Loan, 2.54%, 07/25/14		2,848		2,817
Convatec Inc. Dollar Term Loan, 5.75%, 12/22/16		2,000		2,002
Da Vita Inc. Term Loan B, 4.50%, 10/20/16		2,000		2,007
Fenwal Inc. 1st Lien Term Loan B, 2.56%, 02/28/14		854		802
Fenwal Inc. Delayed Draw Term Loan, 2.56%, 02/28/14		146		138
Gentiva Health Services Inc. Term Loan B1, 4.75%, 08/17/16		2,000		2,013
Grifols Inc. Term Loan B, 4.25%, 11/23/16		1,000		1,006
HCA Inc. Term Loan B-1, 2.55%, 11/18/13		4,000		3,979


	Shares/Par (p)		Value
HCR ManorCare Inc. Term Loan, 3.50%, 03/09/18		2,000		1,962
Health Management Associates Inc. Term Loan, 2.05%, 02/28/14		1,994		1,974
IMS Health Inc. Dollar Term Loan B
4.75%, 02/26/16		474		476
5.25%, 02/26/16		557		560
5.25%, 02/26/16		142		143
Inventiv Health Inc. Term Loan B, 4.75%, 05/11/11		2,000		2,003
Inverness Medical Innovations 1st Lien Term Loan B
2.26%, 06/26/14		806		794
2.26%, 06/26/14		1,151		1,134
2.26%, 06/26/14		43		42
Kindred Healthcare, Inc. Term Loan, 0.00%, 04/04/18 (x)		1,976		1,973
Manor Care Inc. Term Loan B, 2.76%, 12/22/14		3,000		2,989
Multiplan Inc. Term Loan, 4.75%, 08/26/17		2,976		2,980
PTS Acquisition Corp. Dollar Term Loan, 2.51%, 04/13/14		1,995		1,937
Quintiles Transnational Corp. Term Loan B, 2.31%, 03/31/13		1,995		1,985
Radnet Management Inc. Term Loan B
5.75%, 04/06/16		1,995		1,997
5.92%, 04/06/16		5		5
RehabCare Group Inc. Term Loan B, 6.00%, 11/30/15		1,916		1,914
Renal Advantage Holdings Term Loan B, 5.75%, 12/17/16		1,995		2,012
Select Medical Corp.Term Loan B, 3.75%, 08/22/14		1,919		1,916
Surgical Care Affiliates LLC Term Loan, 2.30%, 12/29/14		1,995		1,934
Universal Health Services Term Loan B
5.50%, 11/15/16		1,969		1,978
5.50%, 11/15/16		797		800
Vanguard Health Systems Term Loan B, 5.00%, 01/29/16		2,000		2,004
Warner Chilcott Plc Term Loan B-2, 4.25%, 03/15/18		527		530
Warner Chilcott Plc Term Loan B-3, 4.25%, 03/15/18		724		729
Warner Chilcott Plc Term Loan B-1, 4.25%, 03/15/18		1,054		1,061

				56,656
INDUSTRIALS - 8.7%
Aquilex Holdings LLC Term Loan, 5.50%, 04/01/16		997		995
Bombardier Recreational Products Term Loan B
2.81%, 06/28/13		1,122		1,109
2.81%, 06/28/13		878		867
Brickman Group Holdings Term Loan B, 7.25%, 10/14/16		1,995		2,033
Dyncorp International Inc. Term Loan, 6.25%, 07/07/16		1,824		1,830
Earthbound Holdings III LLC Term Loan, 4.00%, 12/21/16		2,112		2,118
Edwards Ltd. Extended Term Loan, 4.00%, 05/31/16		1,000		996
Edwards Ltd. Incremental Term Loan, 5.50%, 05/31/16		998		994
EnergySolutions LLC Term Loan B
4.50%, 08/10/16		1,000		1,004
6.25%, 08/10/16		1,000		1,004
Hertz Corp. Term Loan B
2.75%, 03/09/18		1,000		1,001


	Shares/Par (p)		Value
3.75%, 03/09/18		1,400		1,401
Metaldyne LLC Initial Term Loan, 7.75%, 10/22/16		1,000		1,016
Novelis Inc. Term Loan, 4.00%, 03/10/17		998		999
Polypore Inc. Incremental Term Loan, 2.27%, 07/03/14		1,995		1,975
RBS Global & Rexnord LLC Term Loan B
2.81%, 07/19/13		702		696
2.81%, 07/19/13		1,298		1,289
Sensata Technologies Finance Co., LLC Term Loan
2.03%, 04/27/13		5		5
2.05%, 04/27/13		1,995		1,974
Swift Transportation Co. Inc. Term Loan, 6.00%, 12/21/16		1,887		1,896
TASC Inc. Term Loan B, 5.75%, 12/18/15		1,000		1,001
TransDigm Inc. Term Loan, 5.25%, 02/14/17		559		562
Transtar Industries Inc. 1st Lien Term Loan
3.25%, 12/17/16		1,000		994
4.50%, 12/17/16		1,000		994
UCI International Inc. Term Loan, 5.50%, 03/23/17		2,000		2,012
ValleyCrest Companies LLC Term Loan A, 6.50%, 10/04/16		1,000		992

				31,757
INFORMATION TECHNOLOGY - 6.1%
Attachmate Corp. Term Loan, 5.00%, 03/04/17		840		833
AVG Technologies NV Term Loan, 7.50%, 03/15/16		1,700		1,668
Brocade Communications Systems Inc. Term Loan, 7.00%, 10/07/13		887		889
CommScope Inc. Term Loan
5.00%, 01/14/18		1,350		1,358
5.00%, 01/14/18		150		151
First Data Corp. Term Loan B-3, 3.00%, 09/24/14		2,000		1,915
Freescale Semiconductor Inc. Term Loan B, 4.51%, 12/01/16		2,990		2,970
Kronos Incorporated 1st Lien Term Loan, 2.05%, 06/11/14		997		985
Mediacom Broadband Term Loan D-2, 1.99%, 01/31/15		3,000		2,899
Nuance Communications Inc. Term Loan, 2.02%, 03/31/13		1,000		991
Nuance Communications Inc. Term Loan B-1, 2.01%, 03/31/13		1,000		992
Reynolds & Reynolds Term Loan, 5.25%, 04/21/17		1,426		1,423
SunGard Data Systems Inc. Term Loan B
3.91%, 02/28/16		2,866		2,868
3.91%, 02/28/16		134		134
Verint Systems Inc. Term Loan, 5.25%, 05/25/14		2,000		2,002

				22,078
MATERIALS - 9.8%
Berry Plastics Corp. Term Loan, 2.31%, 04/03/15		2,333		2,238
Brenntag Holding GmbH & Co. Acquisition Facility Term Loan, 3.50%, 01/20/14		127		127
Brenntag Holding GmbH & Co. Term Loan B-2, 3.50%, 01/20/14		1,873		1,876
BWAY Holding Corp. Replacement Term Loan B
4.50%, 02/23/18		98		98
4.50%, 02/23/18		1,662		1,667
4.50%, 02/23/18		78		78
4.50%, 02/23/18		19		19


	Shares/Par (p)		Value
4.50%, 02/23/18		144		144
4.93%, 02/23/18		—		—
Fairmount Minerals Ltd. Term Loan B, 5.25%, 03/15/15		1,400		1,401
General Chemical Holding New Term Loan B, 3.50%, 10/06/15		2,000		2,001
Graham Packaging Co. Inc. Term Loan D
6.00%, 09/23/16		988		996
6.00%, 09/23/16		992		999
6.00%, 09/23/16		20		20
Graphic Packaging International, Inc. Term Loan
2.30%, 05/16/14		639		634
2.30%, 05/16/14		60		60
2.30%, 05/16/14		929		922
2.30%, 05/16/14		290		288
2.30%, 05/16/14		290		288
2.30%, 05/16/14		224		222
Hexion US Term Loan C-1B, 4.06%, 05/05/15		1,402		1,386
Hexion US Term Loan C-2B, 4.06%, 05/05/15		590		583
Houghton International Inc. Term B1, 6.84%, 01/31/16		1,991		2,005
Huntsman International LLC Term Loan C
2.50%, 06/30/16		1,053		1,042
2.53%, 06/30/16		1,947		1,926
JMC Steel Group Inc. Term Loan, 4.75%, 04/01/17		650		652
Nalco Comp. Term Loan B-1
4.50%, 10/06/17		1,923		1,938
4.50%, 10/06/17		72		73
OMNOVA Solutions Inc. Term Loan, 5.75%, 04/25/17		1,995		2,008
Pelican Products Inc. Term Loan, 5.00%, 03/07/17		559		559
Rock-Tenn Co. Term Loan B, 0.00%, 04/04/18 (x)		1,482		1,490
Smurfit-Stone Container Enterprises Term Loan, 6.75%, 06/30/16		2,000		2,004
Solutia Inc. Term Loan 1, 3.50%, 08/01/17		2,156		2,167
Styron S.A.R.L. Replacement Term Loan, 6.00%, 08/02/17		2,000		2,011
Univar Inc. Term Loan B
3.50%, 06/30/17		838		841
3.50%, 06/30/17		1,000		1,003

				35,766
TELECOMMUNICATION SERVICES - 5.3%
Alaska Communications Inc. Term Loan, 5.50%, 10/21/16		2,000		2,001
Global Tel*Link Corp. Term Loan, 5.00%, 11/10/16		2,180		2,179
Intelsat Jackson Holdings Term Loan B, 5.25%, 04/02/18		3,000		3,016
IPC Information Systems LLC 1st Lien Term Loan
2.51%, 05/31/14		414		399
2.55%, 05/31/14		586		565
nTelos Inc. Term Loan B, 6.00%, 08/07/15		2,000		2,001
Syniverse Holdings Inc. Term Loan, 5.25%, 12/21/17		2,000		2,007
Targus Information Corp. Initial Term Loan, 7.00%, 12/29/16		1,000		1,008
Telcordia Technologies Inc. Term Loan, 6.75%, 04/30/16		1,995		1,990
Telesat LLC U.S. Term Loan I, 3.27%, 10/31/14		1,842		1,835
Telesat LLC U.S. Term Loan II, 3.27%, 10/31/14		158		158
TowerCo Finance LLC Term Loan, 5.25%, 02/02/17		250		251


	Shares/Par (p)		Value
Transaction Network Services 1st Lien Term Loan
6.00%, 11/18/15		48		48
6.00%, 11/18/15		1,634		1,636
Transaction Network Services New Term Loan 1, 6.00%, 11/18/15		318		318

				19,412
UTILITIES - 0.4%
NRG Energy Inc. Credit-Linked Deposit Term Loan, 2.05%, 02/01/13		791		786
NRG Energy Inc. Term Loan
2.05%, 02/01/13		785		780
4.00%, 02/01/13		80		80

				1,646

Total Variable Rate Senior Loan Interests (cost $325,236)				324,164

OTHER EQUITY INTERESTS - 0.0%
Wind Acquisition Escrow, 07/23/47 (f)		1,000		2

Total Other Equity Interests (cost $0)				2

SHORT TERM INVESTMENTS - 8.2%
Investment Companies - 8.2%
State Street Institutional Liquid Reserves Fund, 0.19% (h)		29,973		29,973

Total Short Term Investments (cost $29,973)				29,973

Total Investments - 107.4% (cost $391,782)				391,046
Other Assets and Liabilities, Net - (7.4%)				(26,954	)

Total Net Assets - 100.0%			$	364,092

JNL/PPM America High Yield Bond Fund (t)
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 3.2%
Ahold Lease USA Inc., 7.82%, 01/02/20 (k)	$	1,494	$	1,664
American Airlines Pass-Through Trust, 10.38%, 07/02/19		1,362		1,600
Banc of America Commercial Mortgage Inc. REMIC
5.68%, 07/10/46		1,305		1,336
5.48%, 01/15/49 (i)		3,000		2,971
Bear Stearns CMBS REMIC, 5.92%, 06/11/50 (i)		359		364
Bear Stearns Commercial Mortgage Securities Inc. REMIC, 5.95%, 09/11/38 (i)		1,000		972
Citigroup Commercial Mortgage Trust REMIC
5.89%, 06/10/17 (i)		1,905		1,925
5.73%, 03/15/49 (i)		2,000		2,074
Credit Suisse Mortgage Capital Certificates REMIC
5.44%, 02/15/39 (i)		1,085		1,119
5.44%, 02/15/39 (i)		550		529
5.34%, 12/15/39		112		114
6.13%, 09/15/40 (i)		2,000		1,471
CW Capital Cobalt Ltd. REMIC, 5.29%, 08/15/48		4,000		3,386
Delta Air Lines Inc. Pass-Through Trust
6.38%, 01/02/16 (r)		1,000		980
7.75%, 06/17/21		1,616		1,769


	Shares/Par (p)		Value
JP Morgan Chase Commercial Mortgage Securities Corp. REMIC
5.50%, 02/12/17 (i)		2,000		1,756
6.06%, 08/15/17 (i)		3,684		3,778
5.86%, 04/15/45 (i)		4,000		3,913
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC, 6.10%, 06/12/46 (i)		515		543
Morgan Stanley Capital I REMIC, 5.73%, 10/15/42 (i)		150		158
United Air Lines Inc. Pass-Through Trust, 10.40%, 11/01/16 (e)		3,657		4,187

Total Non-U.S. Government Agency Asset- Backed Securities (cost $27,628)				36,609

CORPORATE BONDS AND NOTES - 85.7%
CONSUMER DISCRETIONARY - 21.5%
Affinion Group Inc., 11.63%, 11/15/15 (r)		4,000		4,070
Allbritton Communications Co., 8.00%, 05/15/18 (e)		2,929		3,090
AMC Entertainment Holdings Inc., 9.75%, 12/01/20 (e) (r)		4,429		4,739
Ameristar Casinos Inc., 9.25%, 06/01/14		1,231		1,353
Armored Autogroup Inc., 9.25%, 11/01/18 (r)		2,000		2,035
Aviation Capital Group Corp., 6.75%, 04/06/21 (q)		6,462		6,450
Beazer Homes USA Inc., 9.13%, 05/15/19 (r)		4,909		4,964
Belo Corp.
8.00%, 11/15/16		393		431
7.25%, 09/15/27 (e)		3,000		2,663
Blue Merger Sub Inc., 7.63%, 02/15/19 (e) (r)		4,950		5,018
Boyd Gaming Corp., 9.13%, 12/01/18 (r)		3,183		3,286
Bresnan Broadband Holdings LLC, 8.00%, 12/15/18 (r)		495		522
Cablevision Systems Corp.
8.63%, 09/15/17 (e)		1,000		1,113
7.75%, 04/15/18 (e)		512		553
8.00%, 04/15/20 (e)		313		341
CCH II LLC, 13.50%, 11/30/16		1,467		1,756
CCO Holdings LLC, 7.00%, 01/15/19 (e)		3,143		3,222
Cequel Communications Holdings I LLC, 8.63%, 11/15/17 (r)		4,496		4,687
CityCenter Holdings LLC
7.63%, 01/15/16 (e) (r)		4,709		4,862
10.75%, 01/15/17 (e) (r)		1,429		1,475
CKE Restaurants Inc., 11.38%, 07/15/18 (e)		3,364		3,709
Cooper-Standard Automotive Inc., 8.50%, 05/01/18 (e)		820		882
Dana Holding Corp.
6.50%, 02/15/19 (e)		1,184		1,178
6.75%, 02/15/21		774		774
DISH DBS Corp., 7.88%, 09/01/19		1,538		1,665
Diversey Inc., 8.25%, 11/15/19		767		823
Dollar General Corp., 11.88%, 07/15/17		1,373		1,582
Easton-Bell Sports Inc., 9.75%, 12/01/16		1,400		1,575
Ford Motor Co., 7.45%, 07/16/31 (e)		9,000		9,743
Giraffe Acquisition Corp., 9.13%, 12/01/18 (e) (r)		2,000		1,940
Hanesbrands Inc.
8.00%, 12/15/16 (e)		370		401
6.38%, 12/15/20 (e)		1,100		1,073
Harrah’s Operating Co. Inc.
5.38%, 12/15/13		4,500		4,185
10.75%, 02/01/16 (e)		1,000		935
11.25%, 06/01/17 (e)		1,291		1,467
10.00%, 12/15/18 (e)		2,000		1,825
Interactive Data Corp., 10.25%, 08/01/18 (r)		730		819


	Shares/Par (p)		Value
Interpublic Group Cos. Inc., 10.00%, 07/15/17		3,793		4,514
J.C. Penney Co. Inc.
6.88%, 10/15/15		1,000		1,086
5.65%, 06/01/20		2,488		2,398
6.38%, 10/15/36		511		461
Jarden Corp., 6.13%, 11/15/22 (e)		857		838
Lear Corp.
7.88%, 03/15/18		1,591		1,730
8.13%, 03/15/20 (e)		955		1,051
Lennar Corp., 12.25%, 06/01/17		2,000		2,480
Levi Strauss & Co.
8.88%, 04/01/16 (e)		2,000		2,085
7.63%, 05/15/20 (e)		1,812		1,817
Libbey Glass Inc., 10.00%, 02/15/15		519		566
Live Nation Entertainment Inc., 8.13%, 05/15/18 (e) (r)		574		590
Limited Brands Inc., 6.63%, 04/01/21 (e)		5,960		6,094
Macy’s Retail Holdings Inc.
6.63%, 04/01/11 (e)		500		500
5.90%, 12/01/16		1,000		1,075
6.65%, 07/15/24		500		510
6.90%, 01/15/32		1,000		995
6.38%, 03/15/37		1,000		1,000
Marina District Finance Co. Inc., 9.88%, 08/15/18 (e) (r)		6,000		6,277
MCE Finance Ltd., 10.25%, 05/15/18 (e)		3,000		3,476
MDC Partners Inc., 11.00%, 11/01/16		2,279		2,552
Meritage Homes Corp., 6.25%, 03/15/15		2,000		2,015
MGM Resorts International
6.75%, 04/01/13		2,600		2,620
7.63%, 01/15/17		925		873
11.38%, 03/01/18 (e)		2,000		2,220
9.00%, 03/15/20		329		361
Michaels Stores Inc., 7.75%, 11/01/18 (e) (r)		2,000		2,040
NCL Corp. Ltd., 9.50%, 11/15/18 (r)		920		968
Neiman-Marcus Group Inc., 10.38%, 10/15/15		4,205		4,431
Newsday Secured Term Loan
10.50%, 08/01/13 (i)		2,000		2,116
10.50%, 12/31/49 (i)		808		855
Nielsen Finance LLC, 11.50%, 05/01/16		288		339
Ono Finance II Plc, 10.88%, 07/15/19 (e) (r)		5,172		5,534
Palace Entertainment Holdings LLC, 8.88%, 04/15/17 (r)		4,667		4,772
Petco Animal Supplies Inc., 9.25%, 12/01/18 (e) (r)		3,125		3,344
Phillips-Van Heusen Corp., 7.38%, 05/15/20		320		338
Pinnacle Entertainment Inc., 8.75%, 05/15/20 (e)		3,424		3,561
QVC Inc., 7.50%, 10/01/19 (r)		2,649		2,781
Regal Entertainment Group, 9.13%, 08/15/18 (e)		3,215		3,440
Reynolds Group Inc.
7.13%, 04/15/19 (r)		948		972
9.00%, 04/15/19 (r)		1,538		1,592
Reynolds Group Issuer Inc., 8.25%, 02/15/21 (r)		4,000		3,960
Royal Caribbean Cruises Ltd., 7.25%, 06/15/16		3,500		3,749
Sally Holdings LLC, 10.50%, 11/15/16		1,500		1,631
Scientific Games International Inc., 9.25%, 06/15/19		2,167		2,378
Seminole Indian Tribe of Florida, 7.75%, 10/01/17 (e) (r)		2,583		2,732
ServiceMaster Co., 10.75%, 07/15/15 (r)		3,000		3,188
Sheraton Holding Corp., 7.38%, 11/15/15		1,000		1,120
Shingle Springs Tribal Gaming Authority, 9.38%, 06/15/15 (r)		4,000		2,640
Sirius XM Radio Inc.
8.75%, 04/01/15 (r)		3,000		3,375


	Shares/Par (p)		Value
9.75%, 09/01/15 (e) (r)		1,000		1,126
Standard Pacific Corp.
8.38%, 05/15/18 (e)		983		1,021
8.38%, 05/15/18 (e) (r)		2,000		2,078
8.38%, 01/15/21 (r)		4,000		4,135
Station Casinos Inc.
6.00%, 04/01/12 (c) (d)		90		—
6.50%, 02/01/14 (c) (d)		1,000		—
6.88%, 03/01/16 (c) (d)		2,175		—
7.75%, 08/15/16 (c) (d)		690		—
6.63%, 03/15/18 (c) (d)		50		—
Tenneco Inc.
7.75%, 08/15/18		508		542
6.88%, 12/15/20 (e)		2,211		2,288
Ticketmaster Entertainment Inc., 10.75%, 08/01/16		1,125		1,229
TRW Automotive Inc.
7.00%, 03/15/14 (e) (r)		1,500		1,635
8.88%, 12/01/17 (r)		2,000		2,240
Universal City Development Partners Ltd.
8.88%, 11/15/15		842		917
10.88%, 11/15/16		418		469
Univision Communications Inc.
7.88%, 11/01/20 (e) (r)		3,447		3,645
8.50%, 05/15/21 (e) (r)		6,355		6,577
UPC Germany GmbH, 8.13%, 12/01/17 (e) (r)		2,000		2,105
Videotron Ltee, 6.38%, 12/15/15		1,000		1,030
Virgin Media Inc., 6.50%, 11/15/16		1,000		1,694
Visant Corp., 10.00%, 10/01/17 (e)		4,000		4,320
WMG Holdings Corp., 9.50%, 12/15/14 (e) (k)		3,165		3,228
Wynn Las Vegas LLC, 7.75%, 08/15/20 (e)		3,680		3,901
YCC Holdings LLC, 10.25%, 02/15/16 (e) (r)		947		954
Yonkers Racing Corp, 11.38%, 07/15/16 (r)		1,196		1,331

				249,711
CONSUMER STAPLES - 2.3%
Altria Group Inc., 10.20%, 02/06/39 (l)		1,000		1,419
Constellation Brands Inc., 7.25%, 05/15/17		1,000		1,085
Dole Food Co. Inc., 8.00%, 10/01/16 (r)		345		366
Michael Foods Inc., 9.75%, 07/15/18 (r)		900		983
New Albertson’s Inc.
7.75%, 06/15/26		1,000		833
8.00%, 05/01/31		1,000		820
Pinnacle Foods Finance LLC, 9.25%, 04/01/15		2,000		2,087
Reynolds Group Issuer Inc., 6.88%, 02/15/21 (r)		1,435		1,446
Rite Aid Corp.
9.50%, 06/15/17		1,000		899
10.25%, 10/15/19 (e)		1,000		1,094
8.00%, 08/15/20 (e)		2,000		2,117
Smithfield Foods Inc., 10.00%, 07/15/14		857		1,009
Spectrum Brands Inc., 9.50%, 06/15/18 (r)		2,070		2,282
Toys R Us Property Co. I LLC, 10.75%, 07/15/17		3,000		3,405
Tyson Foods Inc., 10.50%, 03/01/14		929		1,115
Verso Paper Holdings LLC, 8.75%, 02/01/19 (e) (r)		2,583		2,686
Yankee Acquisition Corp.
8.50%, 02/15/15		2,000		2,075
9.75%, 02/15/17		250		266

				25,987
ENERGY - 12.4%
Aquilex Holdings LLC, 11.13%, 12/15/16		3,225		3,406
Arch Coal Inc., 7.25%, 10/01/20		1,302		1,396
Boart Longyear Management Pty Ltd., 7.00%, 04/01/21 (r)		2,695		2,762
BreitBurn Energy Partners LP, 8.63%, 10/15/20		1,000		1,048


	Shares/Par (p)		Value
Chaparral Energy Inc., 9.88%, 10/01/20 (e) (r)		3,636		4,036
Chesapeake Energy Corp.
6.88%, 08/15/18		1,824		1,984
6.13%, 02/15/21 (e)		4,433		4,577
Cie Generale de Geophysique-Veritas, 9.50%, 05/15/16		1,500		1,672
Clayton Williams Energy Inc., 7.75%, 04/01/19 (e) (r)		2,857		2,861
Cloud Peak Energy Resources LLC, 8.50%, 12/15/19 (e)		3,582		3,967
Consol Energy Inc.
8.00%, 04/01/17		718		786
8.25%, 04/01/20		1,191		1,321
6.38%, 03/01/21 (r)		667		668
Denbury Resources Inc.
9.75%, 03/01/16		1,251		1,411
6.38%, 08/15/21 (e)		2,302		2,360
Dresser-Rand Group Inc., 6.50%, 05/01/21 (r)		2,100		2,166
El Paso Corp.
7.80%, 08/01/31		2,460		2,729
7.75%, 01/15/32		3,430		3,844
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 04/01/20		7,000		7,697
Energy XXI Gulf Coast Inc., 7.75%, 06/15/19 (r)		1,000		1,003
Enterprise Products Operating LLC
8.38%, 08/01/66 (e) (i)		860		929
7.03%, 01/15/68 (e) (i)		3,700		3,839
Gibson Energy ULC, 10.00%, 01/15/18		2,900		3,030
Goodrich Petroleum Corp., 8.88%, 03/15/19 (r)		6,667		6,667
Hilcorp Energy Co., 8.00%, 02/15/20 (e) (r)		2,000		2,130
Holly Corp., 9.88%, 06/15/17		1,000		1,130
Hornbeck Offshore Services Inc., 8.00%, 09/01/17 (e)		3,000		3,097
Laredo Petroleum Inc., 9.50%, 02/15/19 (r)		4,353		4,533
Linn Energy LLC
8.63%, 04/15/20 (e) (r)		2,811		3,120
7.75%, 02/01/21 (e) (r)		3,000		3,202
MarkWest Energy Partners LP, 8.75%, 04/15/18		1,517		1,654
MEG Energy Corp., 6.50%, 03/15/21 (r)		2,220		2,256
Newfield Exploration Co., 6.88%, 02/01/20		3,430		3,619
NXP BV, 9.75%, 08/01/18 (r)		2,000		2,240
Overseas Shipholding Group Inc, 7.50%, 02/15/24		3,000		2,572
Petrohawk Energy Corp.
10.50%, 08/01/14		198		227
7.88%, 06/01/15 (e)		1,000		1,060
7.25%, 08/15/18 (r)		2,083		2,145
PetroHawk Energy Corp., 7.25%, 08/15/18 (e)		1,391		1,433
Plains Exploration & Production Co., 6.63%, 05/01/21 (e)		4,445		4,445
Precision Drilling Corp., 6.63%, 11/15/20 (e) (r)		4,650		4,789
Pride International Inc., 6.88%, 08/15/20		2,970		3,367
QEP Resources Inc., 6.88%, 03/01/21		1,160		1,218
Quicksilver Resources Inc.
11.75%, 01/01/16		1,944		2,265
7.13%, 04/01/16 (e)		3,428		3,385
Range Resources Corp.
7.50%, 05/15/16		2,000		2,075
7.25%, 05/01/18		294		315
6.75%, 08/01/20		1,494		1,591
SandRidge Energy Inc.
8.00%, 06/01/18 (r)		1,160		1,215
8.75%, 01/15/20 (e)		1,275		1,390
7.50%, 03/15/21 (r)		2,049		2,126
Stone Energy Corp., 8.63%, 02/01/17		2,658		2,771
Targa Resources Partners LP
8.25%, 07/01/16		1,000		1,052


	Shares/Par (p)		Value
6.88%, 02/01/21 (e) (r)		1,342		1,329
Teekay Corp., 8.50%, 01/15/20		459		497
Tesoro Corp.
6.50%, 06/01/17		2,000		2,060
9.75%, 06/01/19 (e)		378		429
Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 (e)		2,000		1,165
Texas Competitive Electric Holdings Co. LLC Term Loan, 3.76%, 10/10/14		3,899		3,273
Valero Energy Corp., 9.38%, 03/15/19		1,767		2,259

				143,593
FINANCIALS - 11.6%
Abengoa Finance SAU, 8.88%, 11/01/17 (e) (r)		6,483		6,467
Ally Financial Inc. - Series 8
6.75%, 12/01/14 (e)		3,000		3,161
8.00%, 11/01/31		2,000		2,180
American General Finance Corp., 6.50%, 09/15/17		1,000		890
American General Finance Corp. Term Loan, 7.25%, 04/16/15 (i)		2,444		2,445
BAC Capital Trust VI, 5.63%, 03/08/35		4,000		3,491
Bank of America Corp., 8.00%, (callable at 100 beginning 01/30/18) (m)		1,500		1,613
Capital One Capital VI, 8.88%, 05/15/40		3,852		4,059
CIT Group Inc.
7.00%, 05/01/16 (e)		5,000		5,006
7.00%, 05/01/17 (e)		11,000		11,014
Citigroup Capital XXI, 8.30%, 12/21/57 (i)		2,050		2,132
Citigroup Inc.
5.50%, 02/15/17 (e)		1,000		1,039
8.50%, 05/22/19		802		990
CKE Holdings Inc., 10.50%, 03/14/16 (r)		3,000		2,842
CNO Financial Group Inc., 9.00%, 01/15/18 (r)		1,242		1,317
Ford Motor Credit Co. LLC
5.63%, 09/15/15		5,000		5,236
8.13%, 01/15/20 (e)		1,053		1,206
5.75%, 02/01/21		4,920		4,858
Genworth Financial Inc.
8.63%, 12/15/16 (e)		1,416		1,555
7.63%, 09/24/21		2,466		2,474
International Lease Finance Corp.
5.63%, 09/20/13 (e)		1,396		1,419
5.65%, 06/01/14 (e)		4,604		4,627
8.88%, 09/15/15 (r)		2,988		3,287
9.00%, 03/15/17 (r)		6,179		6,951
8.88%, 09/01/17 (e)		4,644		5,236
8.25%, 12/15/20 (e)		3,003		3,292
JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (m)		2,983		3,264
Liberty Mutual Group Inc., 7.80%, 03/15/37 (i) (r)		2,300		2,288
Nielsen Finance LLC, 7.75%, 10/15/18 (e) (r)		3,019		3,238
Petroplus Finance Ltd., 9.38%, 09/15/19 (e) (r)		1,179		1,194
Pinnacle Foods Finance LLC
10.63%, 04/01/17 (e)		1,000		1,073
8.25%, 09/01/17 (e)		2,000		2,090
PNC Preferred Funding Trust III, 8.70%, (callable at 100 beginning 03/15/13) (m) (r)		3,000		3,208
SLM Corp., 6.25%, 01/25/16		6,715		7,000
Smurfit Kappa Group Term Loan, 6.75%, 02/10/16 (i)		2,726		2,730
Springleaf Finance Corp., 6.90%, 12/15/17		5,000		4,569
UnumProvident Finance Co. Plc, 6.85%, 11/15/15 (r)		1,000		1,113
UPCB Finance III Ltd., 6.63%, 07/01/20 (r)		8,159		7,996
Washington Mutual Bank, 6.88%, 06/15/11 (c) (d)		1,500		2


	Shares/Par (p)		Value
WEA Finance LLC, 6.75%, 09/02/19 (r)		2,694		3,091
Wells Fargo & Co., 7.98%, (callable at 100 beginning 03/15/18) (m)		1,000		1,095
Wells Fargo Capital XIII, 7.70%, (callable at 100 beginning 03/26/13) (m)		2,000		2,060

				134,798
HEALTH CARE - 6.5%
Alere Inc., 8.63%, 10/01/18		4,174		4,419
American Renal Holdings, 8.38%, 05/15/18		427		450
Aviv Healthcare Properties LP, 7.75%, 02/15/19 (r)		2,000		2,085
Biomet Inc., 10.38%, 10/15/17		2,000		2,198
Boston Scientific Corp., 6.00%, 01/15/20 (e)		5,000		5,239
Community Health Systems Inc., 8.88%, 07/15/15		2,733		2,883
DaVita Inc., 6.38%, 11/01/18 (e)		1,499		1,514
Endo Pharmaceuticals Holdings Inc., 7.00%, 12/15/20 (r)		1,760		1,819
Fresenius Medical Care US Finance Inc., 5.75%, 02/15/21 (r)		3,667		3,552
HCA Inc.
6.25%, 02/15/13		2,234		2,318
5.75%, 03/15/14		3,561		3,628
6.50%, 02/15/16		4,000		4,070
HealthSouth Corp.
10.75%, 06/15/16		2,000		2,130
7.25%, 10/01/18		1,700		1,757
8.13%, 02/15/20 (e)		2,000		2,165
IASIS Health Care LLC, 8.75%, 06/15/14		2,300		2,349
Mylan Inc., 7.88%, 07/15/20 (r)		2,216		2,410
Omnicare Inc., 7.75%, 06/01/20 (e)		1,436		1,522
Phibro Animal Health Corp., 9.25%, 07/01/18 (r)		1,400		1,495
Radnet Management Inc., 10.38%, 04/01/18		5,000		5,056
Res-Care Inc., 10.75%, 01/15/19 (r)		3,555		3,866
Talecris Biotherapeutics Holdings Corp., 7.75%, 11/15/16		498		547
Tenet Healthcare Corp., 8.00%, 08/01/20 (e)		2,000		2,085
US Oncology Inc. Escrow, 9.13%, 02/16/47 (f)		828		—
Valeant Pharmaceuticals International
6.75%, 10/01/17 (r)		812		800
6.88%, 12/01/18 (r)		4,356		4,269
Valeant Pharmaceuticals International Inc., 6.75%, 08/15/21 (r)		3,000		2,846
Vanguard Health Holding Co. II LLC
8.00%, 02/01/18 (e)		2,679		2,743
8.00%, 02/01/18 (e) (r)		2,000		2,043
Vanguard Health Systems Inc., 0.00%, 02/01/16 (j) (r)		5,400		3,429

				75,687
INDUSTRIALS - 8.9%
ACCO Brands Corp., 10.63%, 03/15/15		469		529
Air Canada, 9.25%, 08/01/15 (r)		3,000		3,127
Aircastle Ltd., 9.75%, 08/01/18		5,000		5,537
American Commercial Lines Inc., 10.63%, 02/15/16 (r)		4,200		4,284
ARAMARK Corp.
3.80%, 02/01/15 (i)		220		218
8.50%, 02/01/15 (e)		1,900		1,981
ArvinMeritor Inc., 10.63%, 03/15/18		2,500		2,812
BE Aerospace Inc., 8.50%, 07/01/18 (e)		1,500		1,661
Bombardier Inc., 7.50%, 03/15/18 (e) (r)		2,730		2,948
Case New Holland Inc., 7.88%, 12/01/17 (r)		3,925		4,362
Casella Waste Systems Inc., 7.75%, 02/15/19 (r)		1,333		1,333
Columbus McKinnon Corp., 7.88%, 02/01/19 (r)		2,000		2,053


	Shares/Par (p)		Value
Delta Air Lines Inc., 12.25%, 03/15/15 (e) (r)		4,963		5,559
Dyncorp International Inc., 10.38%, 07/01/17 (e) (r)		1,619		1,753
EnergySolutions Inc., 10.75%, 08/15/18 (r)		5,150		5,716
FGI Operating Co. Inc., 10.25%, 08/01/15 (e)		571		609
Florida East Coast Holdings Corp., 10.50%, 08/01/17 (r)		1,000		1,023
Florida East Coast Railway Corp., 8.13%, 02/01/17 (r)		2,296		2,396
Geo Group Inc., 6.63%, 02/15/21 (r)		3,000		2,970
Hertz Corp., 6.75%, 04/15/19 (r)		7,188		7,125
International Wire Group Inc., 9.75%, 04/15/15 (r)		3,000		3,184
L-3 Communications Corp., 6.38%, 10/15/15		1,000		1,030
Liberty Tire Recycling, 11.00%, 10/01/16 (r)		2,000		2,245
Manitowoc Co. Inc.
9.50%, 02/15/18		1,429		1,579
8.50%, 11/01/20 (e)		1,782		1,911
Masco Corp.
6.13%, 10/03/16 (e)		2,000		2,051
7.13%, 03/15/20		644		666
Novelis Inc., 8.75%, 12/15/20 (r)		7,000		7,700
Oshkosh Corp., 8.50%, 03/01/20		720		807
Owens Corning, 9.00%, 06/15/19 (e)		1,383		1,635
Polymer Group Inc., 7.75%, 02/01/19 (r)		530		547
RBS Global & Rexnord LLC, 8.50%, 05/01/18 (e)		3,256		3,516
Spirit Aerosystems Inc., 7.50%, 10/01/17		485		521
Terex Corp., 10.88%, 06/01/16 (e)		2,000		2,325
Tower Automotive Holdings USA LLC, 10.63%, 09/01/17 (e) (r)		3,000		3,345
Trans Union LLC, 11.38%, 06/15/18 (e) (r)		2,006		2,292
Trimas Corp., 9.75%, 12/15/17 (e)		2,500		2,753
United Air Lines Inc., 12.00%, 11/01/13 (r)		2,000		2,173
United Rentals North America Inc., 8.38%, 09/15/20 (e)		1,923		2,010
Western Express Inc., 12.50%, 04/15/15 (e) (r)		3,000		2,895

				103,181
INFORMATION TECHNOLOGY - 3.0%
Advanced Micro Devices Inc., 7.75%, 08/01/20		363		373
First Data Corp.
9.88%, 09/24/15		171		175
10.55%, 09/24/15 (e)		235		244
7.38%, 06/15/19 (q)		4,107		4,194
8.25%, 01/15/21 (e) (r)		2,813		2,806
12.63%, 01/15/21 (r)		1,813		1,967
Freescale Semiconductor Inc., 10.75%, 08/01/20 (e) (r)		5,800		6,511
Jabil Circuit Inc., 5.63%, 12/15/20		2,430		2,415
Sanmina-SCI Corp., 8.13%, 03/01/16 (e)		683		707
Seagate HDD Cayman, 7.75%, 12/15/18 (e) (r)		4,734		4,900
SunGard Data Systems Inc.
10.25%, 08/15/15 (e)		2,515		2,641
7.38%, 11/15/18 (r)		2,000		2,045
Unisys Corp.
12.75%, 10/15/14 (r)		333		395
14.25%, 09/15/15 (r)		260		311
UPC Holding BV, 9.88%, 04/15/18 (r)		1,573		1,738
Viasat Inc., 8.88%, 09/15/16		628		673
Viasystems Group Inc., 12.00%, 01/15/15 (r)		2,000		2,260

				34,355
MATERIALS - 8.2%
Aperam
7.38%, 04/01/16 (q)		1,789		1,820
7.75%, 04/01/18 (q)		1,292		1,318


	Shares/Par (p)		Value
Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (e) (r)		833		902
Atkore International Inc., 9.88%, 01/01/18 (r)		4,000		4,270
Ball Corp., 5.75%, 05/15/21		410		402
Berry Plastics Corp.
9.50%, 05/15/18 (e)		2,000		1,990
9.75%, 01/15/21 (e) (r)		4,000		3,960
Building Materials Corp. of America
6.88%, 08/15/18 (r)		1,582		1,618
7.00%, 02/15/20 (r)		658		683
7.50%, 03/15/20 (r)		1,172		1,219
BWAY Holdings Co., 10.00%, 06/15/18 (e) (r)		967		1,064
BWAY Parent Co. Inc., 10.13%, 11/01/15 (r)		3,000		3,090
Cemex Finance LLC, 9.50%, 12/14/16 (e) (r)		6,417		6,914
Cemex SAB de CV, 9.00%, 01/11/18 (e) (r)		1,779		1,866
Crown Americas LLC, 6.25%, 02/01/21 (r)		9,176		9,337
FMG Resources August 2006 Pty Ltd., 6.88%, 02/01/18 (e) (r)		3,934		4,101
Georgia-Pacific LLC
7.13%, 01/15/17 (r)		4,000		4,245
5.40%, 11/01/20 (e) (r)		1,646		1,625
Gerdau Holdings Inc., 7.00%, 01/20/20 (e) (r)		2,020		2,237
Graphic Packaging International Corp., 7.88%, 10/01/18 (e)		475		509
Hanson Ltd., 6.13%, 08/15/16		1,231		1,280
Hexion Specialty Chemicals Inc., 9.20%, 03/15/21		2,165		2,013
Hexion US Finance Corp.
8.88%, 02/01/18		1,641		1,735
9.00%, 11/15/20 (e) (r)		2,000		2,074
Huntsman International LLC
7.38%, 01/01/15		850		869
8.63%, 03/15/20		769		838
Ineos Finance Plc, 9.00%, 05/15/15 (e) (r)		708		773
Ineos Group Holdings Plc, 8.50%, 02/15/16 (e) (r)		2,000		2,018
Lyondell Chemical Co., 8.00%, 11/01/17 (r)		4,683		5,163
Mercer International Inc., 9.50%, 12/01/17 (r)		2,000		2,190
Momentive Performance Materials Inc., 9.00%, 01/15/21 (e) (r)		3,000		3,101
Omnova Solutions Inc., 7.88%, 11/01/18 (r)		3,066		3,104
Owens-Illinois Inc., 7.80%, 05/15/18		2,000		2,182
Plastipak Holdings Inc., 10.63%, 08/15/19 (r)		2,400		2,736
Ply Gem Industries Inc., 8.25%, 02/15/18 (e) (r)		1,333		1,370
Radnor Holdings Corp., 11.00%, 06/15/11 (c) (d) (f) (q)		100		—
Smurfit Kappa Funding Plc, 7.75%, 04/01/15		575		588
Steel Dynamics Inc., 6.75%, 04/01/15		2,000		2,047
Verso Paper Holdings LLC
11.50%, 07/01/14		1,800		1,967
11.38%, 08/01/16		1,000		1,060
Weyerhaeuser Co., 7.38%, 03/15/32		5,000		5,272

				95,550
TELECOMMUNICATION SERVICES - 8.0%
Avaya Inc., 7.00%, 04/01/19 (e) (r)		3,945		3,846
Buccaneer Merger Sub Inc., 9.13%, 01/15/19 (r)		1,960		2,078
Cincinnati Bell Inc., 8.75%, 03/15/18 (e)		5,312		5,013
Clearwire Communications LLC
12.00%, 12/01/15 (e) (r)		3,488		3,767
12.00%, 12/01/17 (e) (r)		4,667		4,988
Frontier Communications Corp.
8.25%, 04/15/17		938		1,013
8.13%, 10/01/18		882		949
7.13%, 03/15/19		620		629
8.50%, 04/15/20 (e)		3,244		3,516
Inmarsat Finance Plc, 7.38%, 12/01/17 (r)		781		824


	Shares/Par (p)		Value
Intelsat Jackson Holding Ltd., 7.25%, 10/15/20 (r)		1,990		1,990
Intelsat Jackson Holdings SA, 7.25%, 04/01/19 (q)		1,846		1,848
Intelsat Luxembourg SA, 11.25%, 02/04/17		7,500		8,194
ITC Deltacom Inc., 10.50%, 04/01/16		3,000		3,307
Level 3 Communications Inc., 11.88%, 02/01/19 (e) (r)		2,000		1,885
Level 3 Financing Inc.
9.25%, 11/01/14		1,000		1,023
10.00%, 02/01/18		2,000		2,003
9.38%, 04/01/19 (r)		3,500		3,386
Nextel Communications Inc.
6.88%, 10/31/13		371		374
5.95%, 03/15/14		2,629		2,636
PAETEC Escrow Corp., 9.88%, 12/01/18 (e) (r)		2,000		2,110
Qwest Communications International Inc.
8.00%, 10/01/15		1,188		1,311
7.13%, 04/01/18		1,844		1,989
Sprint Capital Corp.
6.90%, 05/01/19 (e)		5,000		5,162
6.88%, 11/15/28		6,665		6,148
Sprint Nextel Corp., 6.00%, 12/01/16 (e)		2,654		2,664
Telesat Canada
11.00%, 11/01/15		2,000		2,228
12.50%, 11/01/17		500		596
Virgin Media Finance Plc
9.50%, 08/15/16 (e)		2,000		2,275
8.38%, 10/15/19		2,319		2,609
West Corp., 7.88%, 01/15/19 (e) (r)		5,488		5,591
Wind Acquisition Finance SA, 11.75%, 07/15/17 (e) (r)		1,113		1,280
Windstream Corp.
7.75%, 10/15/20 (r)		3,333		3,425
7.75%, 10/15/20 (e)		2,000		2,055

				92,712
UTILITIES - 3.3%
AES Corp.
9.75%, 04/15/16		1,355		1,555
8.00%, 10/15/17		2,000		2,150
8.00%, 06/01/20		2,000		2,160
Calpine Corp.
7.88%, 07/31/20 (e) (r)		3,000		3,187
7.88%, 01/15/23 (e) (r)		4,149		4,305
CMS Energy Corp., 6.55%, 07/17/17		1,500		1,636
Copano Energy LLC, 7.13%, 04/01/21		1,684		1,705
Dynegy Holdings Inc.
7.75%, 06/01/19 (e)		2,500		1,941
7.63%, 10/15/26		125		87
Edison Mission Energy
7.75%, 06/15/16 (e)		940		799
7.00%, 05/15/17		1,900		1,525
Energy Future Holdings Corp.
10.88%, 11/01/17 (e)		688		574
11.25%, 11/01/17 (e)		703		581
10.00%, 12/01/20		1,380		1,462
GenOn Energy Term Loan B, 6.00%, 09/20/17 (i)		3,190		3,222
GenOn Escrow Corp., 9.88%, 10/15/20 (e) (r)		5,956		6,224
Ipalco Enterprises Inc., 7.25%, 04/01/16 (r)		800		866
NRG Energy Inc., 7.63%, 01/15/18 (e) (r)		3,000		3,112
RRI Energy Inc., 7.88%, 06/15/17 (e)		1,500		1,489

				38,580

Total Corporate Bonds and Notes (cost $934,661)				994,154


	Shares/Par (p)		Value
COMMON STOCKS - 2.1%
CONSUMER DISCRETIONARY - 0.3%
DISH Network Corp. - Class A (c)		150		3,654
Home Interior Gift Inc. (c) (f) (q)		429		—
				3,654

CONSUMER STAPLES - 0.3%
B&G Foods Inc.		200		3,754
ENERGY - 0.3%
Chesapeake Energy Corp.		14		480
Inergy LP		80		3,208

				3,688
FINANCIALS - 0.5%
JPMorgan Chase & Co.		70		3,227
Wells Fargo & Co.		70		2,219

				5,446
HEALTH CARE - 0.3%
DaVita Inc. (c)		35		2,993
MATERIALS - 0.1%
Applied Extrusion Technologies Inc. - Class B (c) (f) (q)		3		—
Smurfit-Stone Container Corp. (c)		42		1,642

				1,642
TELECOMMUNICATION SERVICES - 0.3%
Manitoba Telecom Services Inc. (q)		1		16
Windstream Corp. (e)		240		3,089

				3,105

Total Common Stocks (cost $19,615)				24,282

PREFERRED STOCKS - 1.6%
FINANCIALS - 1.6%
Ally Financial Inc., 7.00%, (callable at 1000 beginning 12/31/11), (m) (r)		1		944
Ally Financial Inc., 8.50%, (callable at 25 beginning 05/15/16) (m)		480		11,938
Citigroup Capital XIII, 7.88%, (callable at 25 on 10/30/15) (m)		191		5,233
Federal Home Loan Mortgage Corp., 8.38%, (callable at 25 beginning 12/31/12), Series Z (c) (d) (m)		50		85
Federal National Mortgage Association, 8.25%, (callable at 25 beginning 05/20/13), Series T (c) (d) (m)		40		66
Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)		19		32
Wells Fargo Capital XII, 7.88%, (callable at 25 beginning 03/15/13) (m)		18		472

Total Preferred Stocks (cost $20,412)				18,770

INVESTMENT COMPANIES - 0.6%
Eaton Vance Senior Floating-Rate Trust		150		2,468
Invesco Van Kampen Senior Income Trust (e)		400		2,052
Pimco Floating Rate Strategy Fund		267		2,781

Total Investment Companies (cost $5,446)				7,301

OTHER EQUITY INTERESTS - 0.0%
Stone Container Finance Co., 7.38%, 07/15/14 (f) (u)		1,375		—


	Shares/Par (p)		Value
Wind Acquisition Escrow, 07/23/47 (f) (u)		1,113		2

Total Other Equity Interests (cost $0)				2

SHORT TERM INVESTMENTS - 31.2%
Investment Company - 6.3%
JNL Money Market Fund, 0.08% (a) (h)		73,687		73,687
Securities Lending Collateral - 24.9%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		287,870		287,870
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		717		700

				288,570

Total Short Term Investments (cost $362,274)				362,257

Total Investments - 124.4% (cost $1,370,036)				1,443,375
Other Assets and Liabilities, Net - (24.4%)				(282,696	)

Total Net Assets - 100.0%			$	1,160,679

JNL/PPM America Mid Cap Value Fund
COMMON STOCKS - 98.3%
CONSUMER DISCRETIONARY - 15.0%
Abercrombie & Fitch Co. - Class A		47	$	2,735
Bally Technologies Inc. (c)		74		2,808
Macy’s Inc.		164		3,981
Newell Rubbermaid Inc.		199		3,805
Royal Caribbean Cruises Ltd. (c)		33		1,349
Skechers U.S.A. Inc. - Class A (c)		162		3,330
VF Corp.		40		3,912
Viacom Inc. - Class B		37		1,721

				23,641
CONSUMER STAPLES - 2.6%
Corn Products International Inc.		78		4,052
ENERGY - 8.3%
Comstock Resources Inc. (c) (e)		103		3,190
Helix Energy Solutions Group Inc. (c)		175		3,003
National Oilwell Varco Inc.		38		2,988
Patterson-UTI Energy Inc.		135		3,968

				13,149
FINANCIALS - 14.2%
Allstate Corp.		96		3,051
American Financial Group Inc.		111		3,891
Astoria Financial Corp.		272		3,907
Hartford Financial Services Group Inc.		142		3,816
Lincoln National Corp.		125		3,767
Reinsurance Group of America Inc.		62		3,880

				22,312
HEALTH CARE - 8.4%
CIGNA Corp.		89		3,919
LifePoint Hospitals Inc. (c)		78		3,130
Owens & Minor Inc.		96		3,115
Teleflex Inc.		53		3,061

				13,225
INDUSTRIALS - 24.0%
Belden Inc.		42		1,585
Con-Way Inc.		81		3,194
Esterline Technologies Corp. (c)		55		3,897


	Shares/Par (p)		Value
GATX Corp.		73		2,818
Goodrich Corp.		45		3,866
Kennametal Inc.		98		3,810
Lincoln Electric Holdings Inc.		52		3,956
SkyWest Inc.		89		1,506
Spirit Aerosystems Holdings Inc. (c)		149		3,835
Steelcase Inc. - Class A		170		1,935
Terex Corp. (c)		100		3,700
Textron Inc.		139		3,796

				37,898
INFORMATION TECHNOLOGY - 10.7%
Avnet Inc. (c)		113		3,862
Computer Sciences Corp.		78		3,811
Fairchild Semiconductor International Inc. (c)		214		3,893
Omnivision Technologies Inc. (c)		44		1,560
Teradyne Inc. (c)		214		3,804

				16,930
MATERIALS - 10.4%
Allegheny Technologies Inc.		35		2,357
Nucor Corp.		33		1,500
Olin Corp.		95		2,184
PPG Industries Inc.		35		3,371
Reliance Steel & Aluminum Co.		68		3,935
Steel Dynamics Inc.		163		3,063

				16,410
UTILITIES - 4.7%
Edison International		106		3,871
Westar Energy Inc. (e)		135		3,572

				7,443

Total Common Stocks (cost $135,439)				155,060

SHORT TERM INVESTMENTS - 5.8%
Investment Company - 1.8%
JNL Money Market Fund, 0.08% (a) (h)		2,878		2,878
Securities Lending Collateral - 4.0%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		6,366		6,366

Total Short Term Investments (cost $9,244)				9,244

Total Investments - 104.1% (cost $144,683)				164,304
Other Assets and Liabilities, Net - (4.1%)				(6,522	)

Total Net Assets - 100.0%			$	157,782

JNL/PPM America Small Cap Value Fund
COMMON STOCKS - 91.7%
CONSUMER DISCRETIONARY - 17.9%
Bally Technologies Inc. (c)		59	$	2,214
Bob Evans Farms Inc.		66		2,158
Columbia Sportswear Co. (e)		37		2,199
Jakks Pacific Inc. (c)		111		2,142
K-Swiss Inc. - Class A (c)		61		692
Liz Claiborne Inc. (c) (e)		139		750
RC2 Corp. (c)		69		1,925
Skechers U.S.A. Inc. - Class A (c)		111		2,274
Superior Industries International Inc. (e)		89		2,282

				16,636


	Shares/Par (p)		Value
CONSUMER STAPLES - 3.7%
Corn Products International Inc.		25		1,311
Hain Celestial Group Inc. (c) (e)		66		2,118

				3,429
ENERGY - 8.2%
Comstock Resources Inc. (c) (e)		69		2,138
Helix Energy Solutions Group Inc. (c)		102		1,749
Hercules Offshore Inc. (c)		283		1,873
Patterson-UTI Energy Inc.		66		1,928

				7,688
FINANCIALS - 11.0%
American Financial Group Inc.		24		854
Astoria Financial Corp.		150		2,153
Delphi Financial Group Inc. - Class A		70		2,144
Independent Bank Corp.		82		2,217
Reinsurance Group of America Inc.		12		741
SeaBright Insurance Holdings Inc.		209		2,144

				10,253
HEALTH CARE - 6.9%
LifePoint Hospitals Inc. (c)		54		2,178
Owens & Minor Inc.		66		2,134
Teleflex Inc.		37		2,139

				6,451
INDUSTRIALS - 26.1%
Apogee Enterprises Inc.		158		2,079
Belden Inc.		58		2,167
Con-Way Inc.		56		2,204
Esterline Technologies Corp. (c)		30		2,115
GATX Corp.		55		2,111
GenCorp Inc. (c)		361		2,161
Kennametal Inc.		54		2,086
Lincoln Electric Holdings Inc.		28		2,156
SkyWest Inc.		126		2,123
Spirit Aerosystems Holdings Inc. (c)		50		1,276
Steelcase Inc. - Class A		162		1,848
Terex Corp. (c)		53		1,974

				24,300
INFORMATION TECHNOLOGY - 12.4%
Benchmark Electronics Inc. (c)		115		2,183
Fairchild Semiconductor International Inc. (c)		115		2,087
Novell Inc. (c)		136		808
Omnivision Technologies Inc. (c)		62		2,196
SYNNEX Corp. (c)		66		2,170
Teradyne Inc. (c)		117		2,077

				11,521
MATERIALS - 4.1%
Olin Corp.		96		2,198
Reliance Steel & Aluminum Co.		15		849
Steel Dynamics Inc.		44		826

				3,873
UTILITIES - 1.4%
Westar Energy Inc. (e)		48		1,276

Total Common Stocks (cost $71,485)				85,427

SHORT TERM INVESTMENTS - 17.9%
Investment Company - 10.8%
JNL Money Market Fund, 0.08% (a) (h)		10,023		10,023


	Shares/Par (p)		Value
Securities Lending Collateral - 7.1%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		6,584		6,584

Total Short Term Investments (cost $16,607)				16,607

Total Investments - 109.6% (cost $88,092)				102,034
Other Assets and Liabilities, Net - (9.6%)				(8,938	)

Total Net Assets - 100.0%			$	93,096

JNL/PPM America Value Equity Fund
COMMON STOCKS - 100.0%
CONSUMER DISCRETIONARY - 11.9%
Abercrombie & Fitch Co. - Class A		23	$	1,327
Comcast Corp. - Class A		131		3,236
Macy’s Inc.		91		2,195
Newell Rubbermaid Inc.		113		2,162
Royal Caribbean Cruises Ltd. (c)		26		1,052
VF Corp.		24		2,394
Viacom Inc. - Class B		71		3,298

				15,664
CONSUMER STAPLES - 7.3%
Altria Group Inc.		128		3,327
Archer-Daniels-Midland Co.		86		3,093
CVS Caremark Corp.		45		1,534
Procter & Gamble Co.		27		1,676

				9,630
ENERGY - 11.1%
Apache Corp.		25		3,260
Chevron Corp.		32		3,459
ConocoPhillips		30		2,420
National Oilwell Varco Inc.		25		1,990
Occidental Petroleum Corp.		19		2,017
Patterson-UTI Energy Inc.		50		1,475

				14,621
FINANCIALS - 23.1%
Allstate Corp.		75		2,393
Bank of America Corp.		244		3,251
Goldman Sachs Group Inc.		20		3,170
Hartford Financial Services Group Inc.		123		3,323
JPMorgan Chase & Co.		71		3,259
Lincoln National Corp.		106		3,178
Morgan Stanley		121		3,295
Travelers Cos. Inc.		50		2,974
U.S. Bancorp		94		2,487
Wells Fargo & Co.		103		3,262

				30,592
HEALTH CARE - 11.6%
CIGNA Corp.		76		3,343
Johnson & Johnson		45		2,654
Medtronic Inc.		68		2,684
Merck & Co. Inc.		100		3,301
Pfizer Inc.		167		3,384

				15,366
INDUSTRIALS - 10.6%
Caterpillar Inc.		30		3,374
Goodrich Corp.		24		2,010
Lockheed Martin Corp.		37		2,983


	Shares/Par (p)		Value
Spirit Aerosystems Holdings Inc. (c)		68		1,740
Terex Corp. (c)		34		1,263
Textron Inc.		98		2,684

				14,054
INFORMATION TECHNOLOGY - 15.4%
Applied Materials Inc.		126		1,967
Avnet Inc. (c)		38		1,285
Computer Sciences Corp.		55		2,675
Hewlett-Packard Co.		77		3,142
Intel Corp.		161		3,247
International Business Machines Corp.		20		3,327
Microsoft Corp.		127		3,231
Texas Instruments Inc.		41		1,410

				20,284
MATERIALS - 3.7%
Allegheny Technologies Inc.		20		1,328
Nucor Corp.		41		1,905
PPG Industries Inc.		18		1,704

				4,937
TELECOMMUNICATION SERVICES - 3.2%
AT&T Inc.		92		2,818
Verizon Communications Inc.		37		1,415

				4,233
UTILITIES - 2.1%
Edison International		76		2,777

Total Common Stocks (cost $103,635)				132,158

SHORT TERM INVESTMENTS - 0.1%
Securities Lending Collateral - 0.1%
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		135		131

Total Short Term Investments (cost $135)				131

Total Investments - 100.1% (cost $103,770)				132,289
Other Assets and Liabilities, Net - (0.1%)				(124	)

Total Net Assets - 100.0%			$	132,165

JNL/Red Rocks Listed Private Equity Fund
COMMON STOCKS - 96.5%
DIVERSIFIED - 11.0%
Holding Companies - Diversified - 11.0%
Ackermans & van Haaren NV		199	$	19,166
Aker ASA (c)		385		11,869
HAL Trust NV		149		21,222
Remgro Ltd.		440		7,240
Wendel Investissement		189		20,580

				80,077
FINANCIALS - 79.5%
Closed - End Funds - 25.0%
AP Alternative Assets LP (e)		1,730		21,192
ARC Capital Holdings Ltd. (c)		8,556		9,369
Candover Investments Plc (c)		642		6,245
Castle Private Equity Ltd. (c)		335		3,100
Conversus Capital LP (c)		1,428		28,988
Electra Private Equity Plc (c)		916		24,452
Graphite Enterprise Trust Plc		1,962		10,998


	Shares/Par (p)		Value
HBM BioVentures AG - Class A (c)		241		11,702
HgCapital Trust Plc		836		14,418
Pantheon International, LLC (c)		800		8,845
Princess Private Equity Holding Ltd. (c)		1,876		16,486
Standard Life European Private Equity Trust Plc		246		616
SVG Capital Plc (c)		6,379		25,469

				181,880
Diversified Financial Services - 22.6%
Blackstone Group LP		1,766		31,576
Brookfield Asset Management Inc. - Class A		635		20,612
GP Investments Ltd. - BDR (c)		3,750		14,700
Intermediate Capital Group Plc		4,135		21,658
KKR & Co. LP		1,900		31,179
Onex Corp.		930		32,605
Partners Group Holding AG		61		11,586

				163,916
Holding Companies - Diversified - 4.2%
Leucadia National Corp.		809		30,368
Investment Companies - 9.7%
Bure Equity AB		942		5,120
China Merchants China Direct Investments Ltd.		2,973		6,421
Investor AB (e)		1,085		26,335
LMS Capital Plc (c)		2,848		2,627
Ratos AB Series B (e)		600		23,689
THL Credit Inc.		434		5,924

				70,116
Venture Capital - 18.0%
3i Group Plc		6,300		30,208
Altamir Amboise (c) (e)		1,063		12,203
Apollo Global Management LLC - Class A (c)		442		7,964
Deutsche Beteiligungs AG (e)		239		6,801
Dinamia Capital Privado Scr SA		159		1,884
Eurazeo		421		32,923
Gimv NV		308		18,532
IP Group Plc (c)		5,547		4,227
Jafco Co. Ltd. (c) (e)		313		8,053
Marfin Investment Group SA (c)		7,181		7,938

				130,733
INDUSTRIALS - 3.4%
Orkla ASA		2,183		21,158
Schouw & Co.		133		3,709

				24,867
INFORMATION TECHNOLOGY - 2.6%
Internet Capital Group Inc. (c)		657		9,338
Safeguard Scientifics Inc. (c)		452		9,192

				18,530

Total Common Stocks (cost $570,207)				700,487

RIGHTS - 0.0%
HgCapital Trust Plc (c)		153		300

Total Rights (cost $0)				300

SHORT TERM INVESTMENTS - 7.3%
Mutual Funds - 3.4%
JNL Money Market Fund, 0.08% (a) (h)		24,536		24,536
Securities Lending Collateral - 3.9%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		28,427		28,427


	Shares/Par (p)		Value
Total Short Term Investments (cost $52,963)				52,963

Total Investments - 103.8% (cost $623,170)				753,750
Other Assets and Liabilities, Net - (3.8%)				(27,668	)

Total Net Assets - 100.0%			$	726,082

JNL/S&P Managed Conservative Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Eagle Core Equity Fund (13.3%) (a)		3,900	$	30,340
JNL/Goldman Sachs Core Plus Bond Fund (12.3%) (a)		9,279		113,114
JNL/Goldman Sachs Emerging Markets Debt Fund (3.9%) (a)		2,302		32,045
JNL/Goldman Sachs Mid Cap Value Fund (3.0%) (a)		1,961		21,946
JNL/Invesco International Growth Fund (3.8%) (a)		2,271		24,298
JNL/Invesco Large Cap Growth Fund (2.9%) (a)		2,317		30,975
JNL/JPMorgan International Value Fund (3.4%) (a)		2,886		22,597
JNL/JPMorgan U.S. Government & Quality Bond Fund (11.4%) (a)		8,161		106,172
JNL/Oppenheimer Global Growth Fund (2.0%) (a)		1,020		11,288
JNL/PIMCO Real Return Fund (5.7%) (a)		8,488		104,658
JNL/PIMCO Total Return Bond Fund (3.6%) (a)		9,012		112,565
JNL/PPM America Floating Rate Income Fund (31.4%) (a)		11,392		114,485
JNL/Select Value Fund (3.2%) (a)		2,246		41,192
JNL/T. Rowe Price Established Growth Fund (2.1%) (a)		1,683		37,571
JNL/T. Rowe Price Value Fund (2.9%) (a)		3,395		39,317
JNL/T. Rowe Short-Term Bond Fund (18.8%) (a)		19,616		194,589

Total Investment Companies (cost $989,518)				1,037,152

Total Investments - 99.9% (cost $989,518)				1,037,152
Other Assets and Liabilities, Net - 0.1%				830

Total Net Assets - 100.0%			$	1,037,982

JNL/S&P Managed Moderate Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Franklin Templeton International Small Cap Growth Fund (0.4%) (a)		99	$	819
JNL/Goldman Sachs Core Plus Bond Fund (15.3%) (a)		11,544		140,722
JNL/Goldman Sachs Emerging Markets Debt Fund (6.8%) (a)		4,001		55,691
JNL/Goldman Sachs Mid Cap Value Fund (10.0%) (a)		6,494		72,665
JNL/Invesco Global Real Estate Fund (0.9%) (a)		727		6,314
JNL/Invesco International Growth Fund (6.1%) (a)		3,660		39,163
JNL/Invesco Large Cap Growth Fund (10.0%) (a)		7,960		106,421


	Shares/Par (p)		Value
JNL/JPMorgan International Value Fund (5.7%) (a)		4,831		37,829
JNL/JPMorgan U.S. Government & Quality Bond Fund (14.4%) (a)		10,297		133,970
JNL/Lazard Emerging Markets Fund (2.7%) (a)		3,164		37,909
JNL/M&G Global Basics Fund (14.5%) (a)		2,622		40,880
JNL/Oppenheimer Global Growth Fund (7.3%) (a)		3,677		40,709
JNL/PIMCO Real Return Fund (9.6%) (a)		14,307		176,400
JNL/PIMCO Total Return Bond Fund (4.6%) (a)		11,504		143,680
JNL/PPM America Floating Rate Income Fund (35.3%) (a)		12,791		128,545
JNL/Select Value Fund (9.9%) (a)		6,915		126,818
JNL/T. Rowe Price Established Growth Fund (7.5%) (a)		6,016		134,271
JNL/T. Rowe Price Mid-Cap Growth Fund (3.2%) (a)		1,678		54,316
JNL/T. Rowe Price Value Fund (9.4%) (a)		11,019		127,601
JNL/T. Rowe Short-Term Bond Fund (23.2%) (a)		24,233		240,390

Total Investment Companies (cost $1,716,151)				1,845,113

Total Investments - 99.9% (cost $1,716,151)				1,845,113
Other Assets and Liabilities, Net - 0.1%				1,473

Total Net Assets - 100.0%			$	1,846,586

JNL/S&P Managed Moderate Growth Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/BlackRock Commodity Securities Fund (1.2%) (a)		1,195	$	14,261
JNL/Capital Guardian U.S. Growth Equity Fund (8.0%) (a)		1,864		41,948
JNL/Eagle SmallCap Equity Fund (3.2%) (a)		1,018		24,083
JNL/Franklin Templeton International Small Cap Growth Fund (8.2%) (a)		2,295		18,983
JNL/Franklin Templeton Small Cap Value Fund (9.4%) (a)		3,318		38,947
JNL/Goldman Sachs Core Plus Bond Fund (16.4%) (a)		12,375		150,848
JNL/Goldman Sachs Emerging Markets Debt Fund (11.8%) (a)		6,917		96,279
JNL/Goldman Sachs Mid Cap Value Fund (22.2%) (a)		14,377		160,883
JNL/Invesco Global Real Estate Fund (1.4%) (a)		1,111		9,645
JNL/Invesco International Growth Fund (19.8%) (a)		11,880		127,111
JNL/Invesco Large Cap Growth Fund (23.5%) (a)		18,703		250,061
JNL/JPMorgan International Value Fund (19.3%) (a)		16,470		128,957
JNL/JPMorgan MidCap Growth Fund (3.8%) (a)		498		10,785
JNL/JPMorgan U.S. Government & Quality Bond Fund (17.4%) (a)		12,487		162,461
JNL/Lazard Emerging Markets Fund (6.7%) (a)		7,886		94,472
JNL/M&G Global Basics Fund (17.8%) (a)		3,221		50,208
JNL/Oppenheimer Global Growth Fund (12.5%) (a)		6,303		69,772
JNL/PIMCO Real Return Fund (11.4%) (a)		17,027		209,939
JNL/PIMCO Total Return Bond Fund (4.3%) (a)		10,808		134,996


	Shares/Par (p)		Value
JNL/PPM America Floating Rate Income Fund (29.8%) (a)		10,792		108,460
JNL/PPM America High Yield Bond Fund (4.8%) (a)		8,083		56,176
JNL/PPM America Mid Cap Value Fund (9.9%) (a)		1,326		15,592
JNL/Select Value Fund (25.7%) (a)		17,947		329,150
JNL/T. Rowe Price Established Growth Fund (15.6%) (a)		12,603		281,307
JNL/T. Rowe Price Mid-Cap Growth Fund (7.3%) (a)		3,816		123,494
JNL/T. Rowe Price Value Fund (24.8%) (a)		28,908		334,755
JNL/T. Rowe Short-Term Bond Fund (19.8%) (a)		20,645		204,795

Total Investment Companies (cost $3,005,939)				3,248,368

Total Investments - 99.9% (cost $3,005,939)				3,248,368
Other Assets and Liabilities, Net - 0.1%				1,631

Total Net Assets - 100.0%			$	3,249,999

JNL/S&P Managed Growth Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/BlackRock Commodity Securities Fund (4.3%) (a)		4,252	$	50,727
JNL/Capital Guardian U.S. Growth Equity Fund (7.4%) (a)		1,739		39,118
JNL/Eagle Core Equity Fund (28.0%) (a)		8,203		63,817
JNL/Eagle SmallCap Equity Fund (12.6%) (a)		4,020		95,115
JNL/Franklin Templeton International Small Cap Growth Fund (10.4%) (a)		2,916		24,115
JNL/Franklin Templeton Small Cap Value Fund (12.7%) (a)		4,488		52,694
JNL/Goldman Sachs Core Plus Bond Fund (1.5%) (a)		1,148		13,989
JNL/Goldman Sachs Emerging Markets Debt Fund (8.6%) (a)		5,032		70,051
JNL/Goldman Sachs Mid Cap Value Fund (14.6%) (a)		9,428		105,500
JNL/Invesco Global Real Estate Fund (3.0%) (a)		2,356		20,452
JNL/Invesco International Growth Fund (15.4%) (a)		9,231		98,772
JNL/Invesco Large Cap Growth Fund (22.7%) (a)		18,072		241,620
JNL/JPMorgan International Value Fund (13.7%) (a)		11,687		91,511
JNL/JPMorgan MidCap Growth Fund (6.7%) (a)		878		18,998
JNL/JPMorgan U.S. Government & Quality Bond Fund (3.1%) (a)		2,187		28,454
JNL/Lazard Emerging Markets Fund (5.8%) (a)		6,820		81,707
JNL/M&G Global Basics Fund (33.4%) (a)		6,047		94,271
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.9%) (a)		268		8,382
JNL/Oppenheimer Global Growth Fund (13.2%) (a)		6,652		73,643
JNL/PIMCO Real Return Fund (6.0%) (a)		8,850		109,115
JNL/PIMCO Total Return Bond Fund (2.1%) (a)		5,129		64,059
JNL/PPM America High Yield Bond Fund (5.4%) (a)		8,965		62,304
JNL/PPM America Mid Cap Value Fund (9.9%) (a)		1,326		15,592
JNL/Select Value Fund (20.0%) (a)		13,959		256,013


	Shares/Par (p)		Value
JNL/T. Rowe Price Established Growth Fund (13.6%) (a)		10,946		244,307
JNL/T. Rowe Price Mid-Cap Growth Fund (7.0%) (a)		3,640		117,793
JNL/T. Rowe Price Value Fund (19.5%) (a)		22,760		263,565

Total Investment Companies (cost $2,157,031)				2,405,684

Total Investments - 99.9% (cost $2,157,031)				2,405,684
Other Assets and Liabilities, Net - 0.1%				3,605

Total Net Assets - 100.0%			$	2,409,289

JNL/S&P Managed Aggressive Growth Fund (b)
INVESTMENT COMPANIES - 99.6%
JNL/BlackRock Commodity Securities Fund (2.5%) (a)		2,471	$	29,481
JNL/Eagle SmallCap Equity Fund (5.2%) (a)		1,668		39,457
JNL/Franklin Templeton International Small Cap Growth Fund (6.7%) (a)		1,885		15,589
JNL/Franklin Templeton Small Cap Value Fund (8.7%) (a)		3,079		36,151
JNL/Goldman Sachs Emerging Markets Debt Fund (2.1%) (a)		1,212		16,867
JNL/Goldman Sachs Mid Cap Value Fund (7.2%) (a)		4,692		52,501
JNL/Invesco Global Real Estate Fund (1.1%) (a)		832		7,223
JNL/Invesco International Growth Fund (5.8%) (a)		3,494		37,387
JNL/Invesco Large Cap Growth Fund (7.8%) (a)		6,190		82,759
JNL/JPMorgan International Value Fund (5.5%) (a)		4,698		36,782
JNL/JPMorgan MidCap Growth Fund (4.8%) (a)		629		13,619
JNL/Lazard Emerging Markets Fund (2.5%) (a)		2,963		35,492
JNL/M&G Global Basics Fund (15.2%) (a)		2,755		42,951
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.6%) (a)		182		5,720
JNL/Oppenheimer Global Growth Fund (8.1%) (a)		4,067		45,019
JNL/PIMCO Real Return Fund (1.6%) (a)		2,370		29,225
JNL/PPM America High Yield Bond Fund (2.7%) (a)		4,591		31,908
JNL/Select Value Fund (7.1%) (a)		4,989		91,496
JNL/T. Rowe Price Established Growth Fund (5.5%) (a)		4,441		99,134
JNL/T. Rowe Price Mid-Cap Growth Fund (2.8%) (a)		1,449		46,890
JNL/T. Rowe Price Value Fund (6.3%) (a)		7,363		85,265

Total Investment Companies (cost $791,083)				880,916

Total Investments - 99.6% (cost $791,083)				880,916
Other Assets and Liabilities, Net - 0.4%				3,584

Total Net Assets - 100.0%			$	884,500


	Shares/Par (p)		Value
JNL/S&P Disciplined Moderate Fund (b)
INVESTMENT COMPANIES - 99.8%
JNL/Goldman Sachs Core Plus Bond Fund (1.6%) (a)		1,244	$	15,160
JNL/Goldman Sachs Emerging Markets Debt Fund (1.4%) (a)		803		11,176
JNL/JPMorgan U.S. Government & Quality Bond Fund (1.6%) (a)		1,166		15,173
JNL/Mellon Capital Management International Index Fund (4.8%) (a)		4,562		58,902
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (4.7%) (a)		2,460		37,240
JNL/Mellon Capital Management S&P 500 Index Fund (10.0%) (a)		13,581		152,107
JNL/Mellon Capital Management Small Cap Index Fund (1.6%) (a)		955		12,996
JNL/PIMCO Real Return Fund (1.8%) (a)		2,704		33,335
JNL/PIMCO Total Return Bond Fund (0.5%) (a)		1,215		15,182
JNL/PPM America Floating Rate Income Fund (3.4%) (a)		1,247		12,533
JNL/T. Rowe Short-Term Bond Fund (2.6%) (a)		2,761		27,386

Total Investment Companies (cost $349,697)				391,190

Total Investments - 99.8% (cost $349,697)				391,190
Other Assets and Liabilities, Net - 0.2%				721

Total Net Assets - 100.0%			$	391,911

JNL/S&P Disciplined Moderate Growth Fund (b)
INVESTMENT COMPANIES - 100.1%
JNL/Goldman Sachs Emerging Markets Debt Fund (1.4%) (a)		834	$	11,615
JNL/Mellon Capital Management 25 Fund (4.5%) (a)		1,912		25,559
JNL/Mellon Capital Management International Index Fund (6.9%) (a)		6,579		84,938
JNL/Mellon Capital Management Oil & Gas Sector Fund (1.0%) (a)		301		9,437
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (5.0%) (a)		2,643		40,007
JNL/Mellon Capital Management S&P 500 Index Fund (13.1%) (a)		17,875		200,202
JNL/Mellon Capital Management Small Cap Index Fund (2.2%) (a)		1,319		17,940
JNL/PIMCO Real Return Fund (1.8%) (a)		2,708		33,383
JNL/PIMCO Total Return Bond Fund (0.5%) (a)		1,231		15,378

Total Investment Companies (cost $373,034)				438,459

Total Investments - 100.1% (cost $373,034)				438,459
Other Assets and Liabilities, Net - (0.1%)				(251	)

Total Net Assets - 100.0%			$	438,208

JNL/S&P Disciplined Growth Fund (b)
INVESTMENT COMPANIES - 99.8%
JNL/Goldman Sachs Emerging Markets Debt Fund (0.4%) (a)		217	$	3,021


	Shares/Par (p)		Value
JNL/Mellon Capital Management 25 Fund (1.4%) (a)		579		7,737
JNL/Mellon Capital Management International Index Fund (3.1%) (a)		2,995		38,662
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.6%) (a)		169		5,300
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (2.3%) (a)		1,188		17,994
JNL/Mellon Capital Management S&P 500 Index Fund (4.2%) (a)		5,799		64,951
JNL/Mellon Capital Management Small Cap Index Fund (1.2%) (a)		716		9,743
JNL/PIMCO Real Return Fund (0.3%) (a)		512		6,308
JNL/PPM America High Yield Bond Fund (0.4%) (a)		600		4,169

Total Investment Companies (cost $135,698)				157,885

Total Investments - 99.8% (cost $135,698)				157,885
Other Assets and Liabilities, Net - 0.2%				245

Total Net Assets - 100.0%			$	158,130

JNL/S&P Competitive Advantage Fund
COMMON STOCKS - 99.1%
CONSUMER DISCRETIONARY - 28.9%
Apollo Group Inc. - Class A (c)		286	$	11,928
Best Buy Co. Inc.		227		6,531
DeVry Inc.		226		12,469
Family Dollar Stores Inc.		194		9,938
Gap Inc.		457		10,355
RadioShack Corp.		527		7,904
Ross Stores Inc.		150		10,700
Starbucks Corp.		318		11,740
TJX Cos. Inc.		213		10,600

				92,165
CONSUMER STAPLES - 2.9%
Sysco Corp.		335		9,278
ENERGY - 3.6%
Southwestern Energy Co. (c)		270		11,587
FINANCIALS - 3.5%
Federated Investors Inc. - Class B (e)		412		11,013
HEALTH CARE - 9.9%
Eli Lilly & Co.		289		10,157
Gilead Sciences Inc. (c)		267		11,350
Varian Medical Systems Inc. (c)		148		9,987

				31,494
INDUSTRIALS - 10.5%
Lockheed Martin Corp.		143		11,489
Rockwell Collins Inc.		174		11,288
WW Grainger Inc.		78		10,714

				33,491
INFORMATION TECHNOLOGY - 33.1%
Apple Inc. (c)		31		10,932
Intel Corp.		460		9,282
International Business Machines Corp.		69		11,253
Lexmark International Inc. - Class A (c)		268		9,935
MasterCard Inc. - Class A		41		10,324
Microsoft Corp.		387		9,821
Paychex Inc.		341		10,683


	Shares/Par (p)		Value
Teradata Corp. (c)		237		11,997
Texas Instruments Inc.		307		10,608
Western Digital Corp. (c)		290		10,820

				105,655
MATERIALS - 6.7%
Ecolab Inc.		203		10,373
Sherwin-Williams Co.		132		11,054

				21,427

Total Common Stocks (cost $285,110)				316,110

SHORT TERM INVESTMENTS - 3.8%
Investment Company - 0.6%
JNL Money Market Fund, 0.08% (a) (h)		2,048		2,048
Securities Lending Collateral - 3.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		9,991		9,991
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		212		207

				10,198

Total Short Term Investments (cost $12,251)				12,246

Total Investments - 102.9% (cost $297,361)				328,356
Other Assets and Liabilities, Net - (2.9%)				(9,372	)

Total Net Assets - 100.0%			$	318,984

JNL/S&P Dividend Income & Growth Fund
COMMON STOCKS - 99.4%
CONSUMER DISCRETIONARY - 10.0%
Home Depot Inc.		498	$	18,445
McDonald’s Corp.		192		14,622
VF Corp. (e)		180		17,770

				50,837
CONSUMER STAPLES - 9.3%
Clorox Co.		242		16,946
Kimberly-Clark Corp.		242		15,766
Sysco Corp.		518		14,362

				47,074
ENERGY - 12.3%
Chevron Corp.		186		19,946
Exxon Mobil Corp.		216		18,187
Marathon Oil Corp.		449		23,936

				62,069
FINANCIALS - 10.0%
Kimco Realty Corp.		897		16,457
M&T Bank Corp.		194		17,183
Public Storage		155		17,163

				50,803
HEALTH CARE - 9.6%
Bristol-Myers Squibb Co.		592		15,654
Merck & Co. Inc.		437		14,410
Pfizer Inc.		923		18,746

				48,810
INDUSTRIALS - 10.2%
Lockheed Martin Corp.		221		17,770


	Shares/Par (p)		Value
Pitney Bowes Inc.		681		17,502
Raytheon Co.		323		16,442

				51,714
INFORMATION TECHNOLOGY - 9.2%
Automatic Data Processing Inc.		335		17,208
Intel Corp.		712		14,370
Microsoft Corp.		597		15,134

				46,712
MATERIALS - 10.0%
Air Products & Chemicals Inc.		173		15,637
PPG Industries Inc.		192		18,254
Praxair Inc.		162		16,500

				50,391
TELECOMMUNICATION SERVICES - 9.7%
AT&T Inc.		538		16,462
CenturyTel Inc. (e)		350		14,542
Verizon Communications Inc.		470		18,105

				49,109
UTILITIES - 9.1%
Consolidated Edison Inc.		311		15,774
PPL Corp.		592		14,981
Southern Co.		399		15,200

				45,955

Total Common Stocks (cost $439,982)				503,474

SHORT TERM INVESTMENTS - 3.0%
Investment Company - 0.7%
JNL Money Market Fund, 0.08% (a) (h)		3,551		3,551
Securities Lending Collateral - 2.3%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		11,623		11,623
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		255		249

				11,872

Total Short Term Investments (cost $15,429)				15,423

Total Investments - 102.4% (cost $455,411)				518,897
Other Assets and Liabilities, Net - (2.4%)				(12,313	)

Total Net Assets - 100.0%			$	506,584

JNL/S&P Intrinsic Value Fund
COMMON STOCKS - 97.8%
CONSUMER DISCRETIONARY - 16.0%
GameStop Corp. - Class A (c) (e)		521	$	11,741
H&R Block Inc.		822		13,762
RadioShack Corp.		563		8,451
VF Corp.		125		12,308
Washington Post Co. - Class B (e)		27		12,015

				58,277
HEALTH CARE - 37.1%
Abbott Laboratories		224		10,970
Aetna Inc.		349		13,082
AmerisourceBergen Corp.		336		13,274
Amgen Inc. (c)		197		10,553
Cardinal Health Inc.		291		11,968


	Shares/Par (p)		Value
CIGNA Corp.		281		12,454
Humana Inc. (c)		185		12,920
Medtronic Inc.		309		12,151
Quest Diagnostics Inc.		211		12,171
UnitedHealth Group Inc.		283		12,813
Zimmer Holdings Inc. (c)		210		12,719

				135,075
INDUSTRIALS - 13.0%
General Dynamics Corp.		157		11,993
L-3 Communications Holdings Inc.		148		11,580
Pitney Bowes Inc.		472		12,114
Raytheon Co.		225		11,439

				47,126
INFORMATION TECHNOLOGY - 19.0%
Dell Inc. (c)		786		11,400
Fiserv Inc. (c)		188		11,795
Harris Corp.		234		11,609
Microsoft Corp.		413		10,464
Symantec Corp. (c)		619		11,478
Total System Services Inc. (e)		686		12,362

				69,108
MATERIALS - 6.6%
Ball Corp.		316		11,319
MeadWestvaco Corp.		417		12,641

				23,960
TELECOMMUNICATION SERVICES - 3.4%
Verizon Communications Inc.		324		12,505
UTILITIES - 2.7%
Entergy Corp.		146		9,808

Total Common Stocks (cost $322,681)				355,859

SHORT TERM INVESTMENTS - 7.3%
Investment Company - 0.8%
JNL Money Market Fund, 0.08% (a) (h)		2,968		2,968
Securities Lending Collateral - 6.5%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		23,255		23,255
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		274		268

				23,523

Total Short Term Investments (cost $26,497)				26,491

Total Investments - 105.1% (cost $349,178)				382,350
Other Assets and Liabilities, Net - (5.1%)				(18,671	)

Total Net Assets - 100.0%			$	363,679

JNL/S&P Total Yield Fund
COMMON STOCKS - 99.3%
CONSUMER DISCRETIONARY - 25.0%
DR Horton Inc.		886	$	10,320
Gannett Co. Inc.		681		10,371
Gap Inc.		416		9,431
H&R Block Inc.		707		11,827
Limited Brands Inc.		264		8,678
O’Reilly Automotive Inc. (c)		148		8,531
RadioShack Corp.		480		7,199


	Shares/Par (p)		Value
Washington Post Co. - Class B (e)		24		10,284

				76,641
CONSUMER STAPLES - 2.9%
SUPERVALU Inc. (e)		988		8,824
ENERGY - 3.9%
ConocoPhillips		148		11,846
FINANCIALS - 32.8%
American Express Co.		205		9,264
Bank of America Corp.		812		10,829
Capital One Financial Corp.		239		12,417
Chubb Corp.		157		9,604
Citigroup Inc. (c)		2,117		9,356
Goldman Sachs Group Inc.		57		9,022
JPMorgan Chase & Co.		238		10,963
Legg Mason Inc.		274		9,880
State Street Corp.		207		9,292
Vornado Realty Trust		109		9,580

				100,207
HEALTH CARE - 7.0%
Biogen Idec Inc. (c)		139		10,166
WellPoint Inc.		160		11,136

				21,302
INDUSTRIALS - 13.8%
General Electric Co.		564		11,306
Huntington Ingalls Industries Inc. (c)		24		994
L-3 Communications Holdings Inc.		126		9,901
Northrop Grumman Systems Corp.		144		9,008
Textron Inc.		399		10,935

				42,144
INFORMATION TECHNOLOGY - 3.3%
Fiserv Inc. (c)		161		10,083
MATERIALS - 3.5%
MeadWestvaco Corp.		359		10,900
TELECOMMUNICATION SERVICES - 7.1%
Sprint Nextel Corp. (c)		2,353		10,920
Verizon Communications Inc.		278		10,705

				21,625

Total Common Stocks (cost $277,964)				303,572

SHORT TERM INVESTMENTS - 6.4%
Investment Company - 0.4%
JNL Money Market Fund, 0.08% (a) (h)		1,407		1,407
Securities Lending Collateral - 6.0%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		17,702		17,702
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		640		625

				18,327

Total Short Term Investments (cost $19,749)				19,734

Total Investments - 105.7% (cost $297,713)				323,306
Other Assets and Liabilities, Net - (5.7%)				(17,560	)

Total Net Assets - 100.0%			$	305,746


	Shares/Par (p)		Value
JNL/S&P 4 Fund (b)
INVESTMENT COMPANIES - 99.6%
JNL/S&P Competitive Advantage Fund
(70.0%) (a)		19,806	$	223,211
JNL/S&P Dividend Income & Growth Fund
(45.9%) (a)		22,318		232,332
JNL/S&P Intrinsic Value Fund (64.5%) (a)		21,500		234,357
JNL/S&P Total Yield Fund (76.0%) (a)		22,477		232,186

Total Investment Companies (cost $718,551)				922,086

Total Investments - 99.6% (cost $718,551)				922,086
Other Assets and Liabilities, Net - 0.4%				3,726

Total Net Assets - 100.0%			$	925,812

JNL/Select Balanced Fund
COMMON STOCKS - 66.3%
CONSUMER DISCRETIONARY - 5.7%
Comcast Corp. - Class A		679	$	16,773
Expedia Inc.		68		1,536
Honda Motor Co. Ltd. - ADR (e)		234		8,784
Johnson Controls Inc.		185		7,699
Lowe’s Cos. Inc.		462		12,221
News Corp. - Class A		745		13,083
Omnicom Group Inc.		42		2,048
Staples Inc.		456		8,857
Target Corp.		96		4,801
Time Warner Inc.		222		7,913

				83,715
CONSUMER STAPLES - 4.4%
Colgate-Palmolive Co.		47		3,782
CVS Caremark Corp.		261		8,944
PepsiCo Inc.		273		17,590
Philip Morris International Inc.		224		14,729
Procter & Gamble Co.		161		9,907
Unilever NV - NYS		345		10,823

				65,775
ENERGY - 9.7%
Anadarko Petroleum Corp.		181		14,823
Baker Hughes Inc.		181		13,269
Chevron Corp.		324		34,829
Exxon Mobil Corp.		503		42,326
Occidental Petroleum Corp.		142		14,830
Total SA - ADR		168		10,270
Ultra Petroleum Corp. (c)		266		13,094

				143,441
FINANCIALS - 12.0%
ACE Ltd.		251		16,256
Bank of America Corp.		931		12,414
BB&T Corp.		303		8,311
Chubb Corp.		130		7,961
Duke Realty Corp.		373		5,228
Goldman Sachs Group Inc.		37		5,927
Hartford Financial Services Group Inc.		300		8,066
JPMorgan Chase & Co.		680		31,362
MetLife Inc.		375		16,751
PNC Financial Services Group Inc.		219		13,804
Principal Financial Group Inc.		147		4,724
UBS AG (c)		566		10,209


	Shares/Par (p)		Value
Wells Fargo & Co.		1,146		36,319

				177,332
HEALTH CARE - 8.4%
Cardinal Health Inc.		275		11,328
Eli Lilly & Co.		487		17,137
Johnson & Johnson		336		19,901
Medtronic Inc.		389		15,308
Merck & Co. Inc.		662		21,863
Pfizer Inc.		1,635		33,203
Teva Pharmaceutical Industries Ltd. - ADR		95		4,772

				123,512
INDUSTRIALS - 8.9%
Cooper Industries Plc		212		13,754
Deere & Co.		110		10,697
FedEx Corp.		112		10,482
General Dynamics Corp.		162		12,384
General Electric Co.		722		14,481
Honeywell International Inc.		117		6,970
Huntington Ingalls Industries Inc. (c)		23		970
Masco Corp.		369		5,136
Northrop Grumman Systems Corp.		140		8,798
Pentair Inc.		274		10,336
Siemens AG - ADR (e)		80		10,967
United Continental Holdings Inc. (c)		330		7,585
United Parcel Service Inc. - Class B		140		10,382
Waste Management Inc.		218		8,130

				131,072
INFORMATION TECHNOLOGY - 9.0%
Accenture Plc - Class A		230		12,644
Analog Devices Inc.		278		10,931
Automatic Data Processing Inc.		212		10,878
Avnet Inc. (c)		206		7,010
Cisco Systems Inc.		544		9,329
eBay Inc. (c)		208		6,471
Hewlett-Packard Co.		186		7,613
International Business Machines Corp.		178		29,059
Microsoft Corp.		591		14,993
QUALCOMM Inc.		198		10,845
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR		643		7,831
Xilinx Inc.		167		5,478

				133,082
MATERIALS - 3.0%
Barrick Gold Corp.		104		5,404
Dow Chemical Co.		297		11,196
Owens-Illinois Inc. (c)		249		7,521
Praxair Inc.		52		5,255
Rio Tinto Plc - ADR (e)		109		7,739
Temple-Inland Inc.		297		6,940

				44,055
TELECOMMUNICATION SERVICES - 2.5%
AT&T Inc.		1,224		37,456
UTILITIES - 2.7%
Dominion Resources Inc. (e)		256		11,435
Exelon Corp.		189		7,786
PG&E Corp.		161		7,105
PPL Corp.		205		5,190
Xcel Energy Inc.		360		8,612

				40,128

Total Common Stocks (cost $833,766)				979,568


	Shares/Par (p)		Value
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 1.1%
Ally Auto Receivables Trust, 1.35%, 12/15/15	$	275		269
AmeriCredit Automobile Receivables Trust, 3.34%, 04/08/16		455		465
Avis Budget Rental Car Funding AESOP LLC,
2.09%, 04/20/14 (r)		1,375		1,366
Banc of America Commercial Mortgage Inc. REMIC
5.12%, 07/11/43		750		766
5.93%, 05/10/45 (i)		350		380
5.37%, 09/10/47 (i)		1,200		1,294
Bank of America-First Union NB Commercial Mortgage REMIC, 5.46%, 04/11/37		303		305
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.70%, 04/12/38 (i)		168		184
5.91%, 09/11/38 (i)		540		592
5.20%, 12/11/38		780		823
5.62%, 03/11/39 (i)		915		994
5.54%, 09/11/41		600		643
5.54%, 10/12/41		545		585
CarMax Auto Owner Trust, 4.79%, 02/15/13		416		424
Citibank Credit Card Issuance Trust, 5.65%, 09/20/19		750		844
Continental Airlines Inc. Pass-Through Trust - Class A, 5.98%, 10/19/23		270		277
DBUBS Mortgage Trust REMIC, 3.74%, 11/10/46 (r)		1,272		1,289
Ford Credit Floorplan Master Owner Trust, 1.91%, 12/15/14 (i) (r)		1,000		1,019
GS Mortgage Securities Corp. II REMIC, 4.75%, 07/10/39		900		947
Marriott Vacation Club Trust, 5.36%, 10/20/28 (r)		28		29
Merrill Lynch Mortgage Trust REMIC, 5.05%, 07/12/38 (i)		500		533
Morgan Stanley Dean Witter Capital I REMIC, 5.98%, 01/15/39		526		544
OBP Depositor LLC Trust, 4.65%, 07/15/45 (r)		495		503
SBA Tower Trust, 4.25%, 04/15/40 (r)		420		438
Southwest Airlines Co. Pass-Through Trust, 6.15%, 02/01/24 (e)		221		239

Total Non-U.S. Government Agency Asset-Backed Securities (cost $15,155)				15,752

CORPORATE BONDS AND NOTES - 8.9%
CONSUMER DISCRETIONARY - 0.8%
CBS Corp.
5.75%, 04/15/20 (e)		805		851
4.30%, 02/15/21		25		24
Comcast Corp.
6.50%, 01/15/17		750		854
6.55%, 07/01/39 (e)		375		389
COX Communications Inc., 5.45%, 12/15/14		500		552
Daimler Finance North America LLC
6.50%, 11/15/13		425		475
8.50%, 01/18/31		300		403
DIRECTV Holdings LLC
3.13%, 02/15/16		900		887
6.38%, 03/01/41		635		639
Grupo Televisa SA, 6.63%, 01/15/40		375		397
Lowe’s Cos. Inc., 6.65%, 09/15/37		420		484
NBC Universal Inc., 2.88%, 04/01/16 (r)		1,700		1,661
News America Inc., 5.65%, 08/15/20 (e)		845		919
Staples Inc., 9.75%, 01/15/14 (l)		335		402


	Shares/Par (p)		Value
Target Corp., 5.38%, 05/01/17		800		891
Time Warner Cable Inc.
5.85%, 05/01/17		270		295
5.00%, 02/01/20		500		505
Time Warner Inc., 4.88%, 03/15/20 (e)		500		510
Viacom Inc., 6.88%, 04/30/36		670		734

				11,872
CONSUMER STAPLES - 0.6%
Anheuser-Busch InBev Worldwide Inc.
6.88%, 11/15/19		680		803
5.38%, 01/15/20 (e)		170		183
CVS Caremark Corp.
6.13%, 08/15/16		400		451
5.75%, 06/01/17		245		270
Dr. Pepper Snapple Group Inc., 2.90%, 01/15/16		247		245
Kellogg Co., 4.00%, 12/15/20 (e)		1,300		1,272
Kraft Foods Inc., 6.25%, 06/01/12		302		320
PepsiCo Inc., 3.13%, 11/01/20		1,800		1,659
SABMiller Plc, 6.50%, 07/15/18 (r)		600		694
Wal-Mart Stores Inc., 3.63%, 07/08/20		2,300		2,225
WM Wrigley Jr. Co., 3.70%, 06/30/14 (r)		925		946

				9,068
ENERGY - 0.3%
BP Capital Markets Plc, 4.75%, 03/10/19		675		702
ConocoPhillips, 4.60%, 01/15/15		500		545
EOG Resources Inc., 5.63%, 06/01/19		190		208
Motiva Enterprises LLC, 5.75%, 01/15/20 (r)		75		82
Occidental Petroleum Corp., 4.10%, 02/01/21 (e)		941		932
Shell International Finance BV
3.10%, 06/28/15		400		410
3.25%, 09/22/15 (e)		550		568
4.38%, 03/25/20		675		697
StatoilHydro ASA, 5.25%, 04/15/19		215		235
TransCanada Pipelines Ltd., 3.80%, 10/01/20 (e)		975		939

				5,318
FINANCIALS - 5.0%
Ace Capital Trust II, 9.70%, 04/01/30		525		661
American Express Centurion Bank, 6.00%, 09/13/17		850		947
American Express Credit Corp., 2.75%, 09/15/15 (e)		500		491
American Honda Finance Corp., 2.50%, 09/21/15 (r)		1,000		983
Ameriprise Financial Inc., 5.30%, 03/15/20		170		180
ANZ National International Ltd., 2.38%, 12/21/12 (r)		260		263
ASIF Global Financing XIX, 4.90%, 01/17/13 (r)		500		522
AXA SA, 8.60%, 12/15/30		425		503
Bank of America Corp.
6.50%, 08/01/16 (e)		2,000		2,213
5.42%, 03/15/17		700		715
7.63%, 06/01/19		800		927
Bank of New York Mellon Corp.
4.30%, 05/15/14		240		257
5.45%, 05/15/19		500		548
Bank of Nova Scotia, 3.40%, 01/22/15		625		647
Barclays Bank Plc, 6.75%, 05/22/19		320		361
Canadian Imperial Bank of Commerce, 2.35%, 12/11/15 (e)		1,300		1,261
Capital One Capital IV, 6.75%, 02/17/37 (i)		250		251
Caterpillar Financial Services Corp., 2.75%, 06/24/15		600		611


	Shares/Par (p)		Value
CDP Financial, 4.40%, 11/25/19 (r)		600		605
Charles Schwab Corp., 4.95%, 06/01/14		190		206
Citigroup Inc.
5.50%, 10/15/14		515		555
4.59%, 12/15/15 (e)		535		553
5.85%, 08/02/16		1,300		1,409
8.50%, 05/22/19		400		494
8.13%, 07/15/39 (e)		115		144
Comerica Inc., 3.00%, 09/16/15		95		95
Credit Agricole SA, 3.50%, 04/13/15 (r)		740		743
Credit Suisse New York, 3.50%, 03/23/15 (e)		345		352
Deutsche Bank AG London, 3.45%, 03/30/15 (e)		500		511
Discover Financial Services, 6.45%, 06/12/17		90		97
Eaton Vance Corp., 6.50%, 10/02/17		160		181
ENEL Finance International SA
5.13%, 10/07/19 (r)		350		353
6.80%, 09/15/37 (r)		235		236
ERAC USA Finance LLC, 2.25%, 01/10/14 (r)		975		973
ERP Operating LP, 4.75%, 07/15/20 (e)		765		775
Everest Reinsurance Holdings Inc., 5.40%, 10/15/14		215		229
General Electric Capital Corp.
3.00%, 12/09/11		5,000		5,093
5.90%, 05/13/14		250		276
2.25%, 11/09/15		1,000		961
5.63%, 09/15/17 (e)		1,700		1,845
4.63%, 01/07/21		1,000		985
Goldman Sachs Group Inc.
1.63%, 07/15/11		4,000		4,016
5.35%, 01/15/16		900		961
5.63%, 01/15/17 (e)		1,350		1,423
6.25%, 02/01/41 (e)		940		936
Hartford Financial Services Group Inc., 6.10%, 10/01/41		700		664
HCP Inc., 6.00%, 01/30/17 (e)		365		394
HSBC Bank Plc, 4.13%, 08/12/20 (r)		900		861
HSBC Bank USA, 5.88%, 11/01/34		250		245
HSBC Finance Corp., 6.38%, 11/27/12		500		538
ING Bank NV, 2.00%, 10/18/13 (r)		1,850		1,829
John Deere Capital Corp., 2.95%, 03/09/15		180		185
JPMorgan Chase & Co.
3.70%, 01/20/15 (e)		600		617
3.40%, 06/24/15		1,800		1,811
6.30%, 04/23/19		475		526
6.40%, 05/15/38		425		470
Kimco Realty Corp., 5.78%, 03/15/16		345		379
Kreditanstalt fuer Wiederaufbau, 1.25%, 10/26/15 (e)		2,000		1,911
Liberty Mutual Insurance Co., 7.88%, 10/15/26		475		516
Liberty Property LP, 6.63%, 10/01/17		225		254
Lloyds TSB Bank Plc., 4.38%, 01/12/15 (r)		625		637
MassMutual Global Funding II, 2.88%, 04/21/14 (r)		172		178
MetLife Global Funding I Inc., 2.50%, 09/29/15 (r)		1,200		1,169
Metropolitan Life Global Funding I, 2.88%, 09/17/12 (r)		600		612
Morgan Stanley
2.00%, 09/22/11		5,000		5,043
6.00%, 05/13/14		400		435
5.38%, 10/15/15		170		181
5.45%, 01/09/17		1,700		1,792
National Rural Utilities Cooperative Finance Corp., 5.45%, 02/01/18		1,000		1,095
Nomura Holdings Inc., 5.00%, 03/04/15		280		290
Nordea Bank AB, 3.70%, 11/13/14 (r)		345		357
Northern Trust Corp., 3.45%, 11/04/20		490		465


	Shares/Par (p)		Value
PNC Funding Corp., 5.40%, 06/10/14 (e)		525		575
Private Export Funding Corp., 2.25%, 12/15/17		1,985		1,883
Prudential Financial Inc.
5.50%, 03/15/16		425		455
6.00%, 12/01/17		450		495
Rabobank Nederland NV, 3.20%, 03/11/15 (r)		750		763
Realty Income Corp.
6.75%, 08/15/19 (e)		355		405
5.75%, 01/15/21		335		353
Royal Bank of Scotland Plc, 4.88%, 03/16/15		500		520
Simon Property Group LP
4.20%, 02/01/15 (e)		600		631
6.10%, 05/01/16		325		367
Sovereign Bank, 8.75%, 05/30/18		450		508
Standard Chartered Plc, 3.85%, 04/27/15 (r)		265		271
Svenska Handelsbanken AB, 4.88%, 06/10/14 (r)		700		750
Toyota Motor Credit Corp., 2.80%, 01/11/16		1,020		1,016
U.S. Bank NA, 4.95%, 10/30/14		450		490
US Bancorp, 2.88%, 11/20/14		500		513
Wachovia Corp.
5.25%, 08/01/14		500		535
5.75%, 06/15/17		1,500		1,662
WEA Finance LLC
5.70%, 10/01/16 (r)		100		109
7.13%, 04/15/18 (r)		350		406
Wells Fargo & Co., 3.75%, 10/01/14		575		602

				74,111
HEALTH CARE - 0.5%
Amgen Inc.
6.15%, 06/01/18		425		488
5.70%, 02/01/19		350		391
Express Scripts Inc., 6.25%, 06/15/14		160		178
McKesson Corp., 3.25%, 03/01/16		175		176
Merck & Co. Inc., 4.00%, 06/30/15 (e)		370		394
Pfizer Inc., 6.20%, 03/15/19		700		807
Roche Holdings Inc., 6.00%, 03/01/19 (l) (r)		750		850
Sanofi-Aventis SA, 4.00%, 03/29/21 (e)		1,025		1,008
Schering-Plough, 5.30%, 12/01/13 (l)		450		496
Thermo Fisher Scientific Inc.
3.25%, 11/20/14		140		145
3.20%, 05/01/15		180		184
UnitedHealth Group Inc.
5.50%, 11/15/12		379		406
3.88%, 10/15/20 (e)		600		571
WellPoint Inc., 4.35%, 08/15/20		1,000		998

				7,092
INDUSTRIALS - 0.3%
Boeing Co., 3.75%, 11/20/16 (e)		860		900
Cargill Inc., 5.60%, 09/15/12 (r)		485		516
Deere & Co., 4.38%, 10/16/19		185		193
Pitney Bowes Inc., 5.75%, 09/15/17		385		414
Raytheon Co., 1.63%, 10/15/15 (e)		835		797
Siemens Financieringsmaatschappij NV, 5.75%, 10/17/16 (r)		675		760
Southwest Airlines Co., 5.75%, 12/15/16 (e)		500		541
United Parcel Service Inc., 4.88%, 11/15/40		370		348

				4,469
INFORMATION TECHNOLOGY - 0.4%
Cisco Systems Inc., 4.45%, 01/15/20		500		513
Dell Inc., 5.88%, 06/15/19 (e)		460		505
Fiserv Inc., 6.13%, 11/20/12		247		265
Hewlett-Packard Co., 3.75%, 12/01/20		1,000		961
International Business Machines Corp., 2.00%, 01/05/16 (e)		1,300		1,265


	Shares/Par (p)		Value
Intuit Inc., 5.40%, 03/15/12		550		572
Microsoft Corp., 4.50%, 10/01/40		650		581
Oracle Corp., 6.13%, 07/08/39 (e)		500		534
Xerox Corp.
8.25%, 05/15/14		345		403
6.75%, 02/01/17 (e)		75		86
6.35%, 05/15/18 (e)		50		56
5.63%, 12/15/19 (e)		30		32

				5,773
MATERIALS - 0.1%
Agrium Inc., 6.13%, 01/15/41		210		218
ArcelorMittal, 6.75%, 03/01/41 (l)		576		565

				783
TELECOMMUNICATION SERVICES - 0.3%
AT&T Inc.
2.50%, 08/15/15 (e)		500		496
6.45%, 06/15/34		480		494
6.80%, 05/15/36		150		160
BellSouth Corp., 6.55%, 06/15/34		300		314
BellSouth Telecommunications Inc., 7.00%, 12/01/95		70		71
Deutsche Telekom International Finance BV, 8.75%, 06/15/30 (l)		275		361
France Telecom SA, 4.38%, 07/08/14		230		247
Telecom Italia Capital SA, 5.25%, 10/01/15		675		699
Verizon Global Funding Corp., 7.75%, 12/01/30		500		602
Verizon Wireless Capital LLC, 5.55%, 02/01/14		500		549
Virgin Media Secured Finance Plc, 5.25%, 01/15/21 (e) (r)		460		462
Vodafone Group Plc, 5.45%, 06/10/19 (e)		600		656

				5,111
UTILITIES - 0.6%
Abu Dhabi National Energy Co.
5.62%, 10/25/12 (r)		250		260
5.88%, 10/27/16 (r)		195		205
Atmos Energy Corp., 6.35%, 06/15/17		385		429
Consolidated Edison Co. of New York Inc., 5.30%, 12/01/16		250		278
Duke Energy Carolinas LLC, 4.30%, 06/15/20		875		885
Florida Power & Light Co., 5.25%, 02/01/41		1,465		1,439
Indianapolis Power & Light Co. (insured by AMBAC Assurance Corp.), 6.60%, 06/01/37 (r)		500		559
MidAmerican Energy Co., 5.65%, 07/15/12		500		528
MidAmerican Energy Holdings Co., 6.13%, 04/01/36		350		371
Niagara Mohawk Power Corp., 3.55%, 10/01/14 (r)		415		427
Oncor Electric Delivery Co. LLC, 5.25%, 09/30/40 (e) (r)		325		298
Pennsylvania Electric Co., 5.20%, 04/01/20		600		613
PPL Electric Utilities Corp., 6.25%, 05/15/39		60		66
Public Service Co. of Colorado, 5.13%, 06/01/19		500		543
Public Service Electric & Gas Co., 2.70%, 05/01/15		230		231
San Diego Gas & Electric Co.
6.00%, 06/01/39		100		110
5.35%, 05/15/40 (e)		800		807
Southern California Edison Co., 5.55%, 01/15/37		500		509

				8,558

Total Corporate Bonds and Notes (cost $129,262)				132,155


	Shares/Par (p)		Value
GOVERNMENT AND AGENCY OBLIGATIONS - 18.8%
GOVERNMENT SECURITIES - 8.0%
Federal Home Loan Mortgage Corp. - 0.4% (w)
Federal Home Loan Mortgage Corp., 3.50%, 05/29/13		5,000		5,275
Municipals - 0.8%
Bay Area Toll Authority, 6.26%, 04/01/49		600		603
City of Chicago, IL, 6.85%, 01/01/38		700		684
Dallas Area Rapid Transit (insured by AMBAC Assurance Corp.), 6.00%, 12/01/44		890		918
Illinois State Toll Highway Municipal Bond, 6.18%, 01/01/34		565		543
Irvine Ranch Water District, 2.61%, 03/15/14		545		555
Los Angeles Unified School District, 5.75%, 07/01/34		800		751
Maryland Transportation Authority, 5.89%, 07/01/43		270		280
Massachusetts School Building Authority, 5.72%, 08/15/39		500		506
Metropolitan Transportation Authority
7.34%, 11/15/39		75		85
6.09%, 11/15/40		405		393
New Jersey State Turnpike Authority, 7.41%, 01/01/40		705		780
New York State Thruway Authority, Miscellaneous Revenue, RB, 5.88%, 04/01/30		840		846
New York, NJ, Port Authority Revenue
5.86%, 12/01/24		180		187
6.04%, 12/01/29		105		107
North Texas Tollway Authority, 6.72%, 01/01/49		850		844
Oregon School Boards Association (insured by AMBAC Assurance Corp.), 4.76%, 06/30/28		420		376
Oregon State Department of Transportation, 5.83%, 11/15/34		255		254
San Antonio Texas Electric & Gas, 5.99%, 02/01/39		135		139
State of California, 7.63%, 03/01/40		400		438
State of Illinois
5.37%, 03/01/17		20		20
5.67%, 03/01/18		370		369
5.88%, 03/01/19		300		300
State of Utah, Series B, 3.29%, 07/01/20		1,000		951
University of California Build America Bond, 5.77%, 05/15/43		615		591
University of California, Series F, 6.58%, 05/15/49		370		365
University of Missouri, 5.96%, 11/01/39		360		380

				12,265
Sovereign - 0.4%
Financing Corp. Fico, 0.00%, 12/06/13 - 12/27/13 (j)		495		475
Province of Ontario, Canada, 4.00%, 10/07/19 (e)		550		558
Resolution Funding Corp., 0.00%, 04/15/14 (j)		2,550		2,418
Tennessee Valley Authority, 4.38%, 06/15/15		1,900		2,076

				5,527
U.S. Treasury Securities - 6.4%
U.S. Treasury Bond
4.25%, 05/15/39 - 11/15/40		3,100		2,968
4.38%, 11/15/39		2,438		2,385
4.63%, 02/15/40		3,830		3,905
U.S. Treasury Note
0.88%, 04/30/11		6,100		6,103
1.00%, 09/30/11		15,500		15,562


	Shares/Par (p)		Value
4.50%, 03/31/12		2,225		2,317
1.38%, 05/15/12		13,000		13,145
4.75%, 05/31/12		2,000		2,101
0.63%, 12/31/12 - 01/31/13		15,800		15,781
3.13%, 09/30/13		2,500		2,630
1.88%, 02/28/14		2,000		2,037
1.75%, 07/31/15		7,000		6,948
1.25%, 10/31/15, TBA (g)		5,000		4,825
2.00%, 01/31/16		7,000		6,949
3.88%, 05/15/18		1,000		1,063
3.63%, 02/15/20		3,915		4,021
2.63%, 11/15/20		2,400		2,240

				94,980
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 10.8%
Federal Home Loan Mortgage Corp. - 4.5%
Federal Home Loan Mortgage Corp.
6.00%, 04/01/17 - 12/01/39		1,964		2,139
6.50%, 11/01/17		30		33
4.50%, 05/01/18 - 03/01/39		8,891		9,081
7.00%, 11/01/30 - 10/01/32		171		197
5.00%, 04/01/35, TBA (g)		2,700		2,818
5.50%, 04/02/35, TBA (g)		2,400		2,560
6.00%, 04/03/35, TBA (g)		3,500		3,802
3.50%, 04/15/41, TBA (g)		10,500		9,865
4.00%, 04/15/41, TBA (g)		26,000		25,529
4.50%, 04/15/41, TBA (g)		10,400		10,566

				66,590
Federal National Mortgage Association - 6.0%
Federal National Mortgage Association
6.00%, 01/01/18 - 09/01/38		134		146
3.50%, 10/01/25 - 03/01/26		6,472		6,497
5.00%, 06/01/28 - 08/01/40		3,793		3,981
7.50%, 09/01/29		28		32
7.00%, 10/01/33		145		166
4.50%, 04/01/34, TBA (g)		15,500		15,774
6.00%, 04/15/34 (g)		9,600		10,440
6.50%, 04/01/36, TBA (g)		6,500		7,285
5.00%, 04/12/36, TBA (g)		19,000		19,876
5.50%, 04/12/36, TBA (g)		15,600		16,682
5.50%, 03/01/38 - 11/01/38		6,425		6,881

				87,760
Government National Mortgage Association - 0.3%
Government National Mortgage Association
6.50%, 04/15/26		36		40
5.50%, 11/15/32 - 02/15/36		313		340
7.00%, 01/15/33 - 05/15/33		49		57
6.00%, 02/15/33 - 01/15/35		264		292
5.00%, 06/20/33 - 09/15/38		3,837		4,096
REMIC, 7.50%, 09/16/35		19		21

				4,846

Total Government and Agency Obligations (cost $276,312)				277,243

SHORT TERM INVESTMENTS - 12.6%
Investment Company - 11.3%
JNL Money Market Fund, 0.08% (a) (h)		166,453		166,453
Securities Lending Collateral - 1.3%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		18,893		18,893


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		1,112		1,086

				19,979

Total Short Term Investments (cost $186,458)				186,432

Total Investments - 107.7% (cost $1,440,953)				1,591,150
Other Assets and Liabilities, Net - (7.7%) (o)				(114,064	)

Total Net Assets - 100.0%			$	1,477,086

JNL/Select Money Market Fund
CORPORATE BONDS AND NOTES - 6.8%
FINANCIALS - 5.5%
Bank of America NA
0.40%, 07/18/11	$	6,700	$	6,700
0.35%, 07/27/11 (i)		4,000		4,000
Bear Stearns Cos. Inc., 0.50%, 11/28/11 (i)		1,750		1,752
Goldman Sachs Group Inc.
0.53%, 08/05/11 (i)		3,500		3,502
0.69%, 10/07/11 (i)		4,500		4,508
6.60%, 01/15/12		5,250		5,492
0.49%, 02/06/12 (i)		1,245		1,244
Toyota Motor Credit Corp., 0.29%, 02/02/12 (i) (r)		6,000		6,000
Wachovia Corp., 0.41%, 10/15/11 (i)		2,750		2,752
Wells Fargo & Co.
5.30%, 08/26/11		3,421		3,489
0.39%, 01/24/12 (i)		2,750		2,752

				42,191
HEALTH CARE - 0.8%
Pfizer Inc., 4.45%, 03/15/12		5,550		5,756
INFORMATION TECHNOLOGY - 0.5%
Hewlett-Packard Co., 4.25%, 02/24/12		3,500		3,619

Total Corporate Bonds and Notes (cost $51,566)				51,566

GOVERNMENT AND AGENCY OBLIGATIONS - 5.1%
GOVERNMENT SECURITIES - 5.1%
Federal Home Loan Bank - 1.4% (w)
Federal Home Loan Bank
0.45%, 03/06/12		4,250		4,250
0.47%, 03/16/12		6,250		6,250

				10,500
Treasury Inflation Index Securities - 3.7%
U.S. Treasury Inflation Indexed Note, 2.38%, 04/15/11 (n)		28,477		28,566

Total Government and Agency Obligations (cost $39,066)				39,066

SHORT TERM INVESTMENTS - 80.5%
Certificates of Deposit - 30.8%
Bank of America Corp., 0.35%, 09/06/11		6,700		6,700
Bank of Montreal
0.33%, 05/31/11		8,000		8,000
0.20%, 10/03/11 (i)		6,400		6,400
0.35%, 10/26/11		10,000		10,000
Bank of Nova Scotia
0.81%, 05/12/11 (i)		2,850		2,852
0.35%, 06/27/11		3,700		3,700


	Shares/Par (p)		Value
0.36%, 11/28/11		8,000		8,000
0.30%, 01/25/12 (i)		3,500		3,500
Barclays Bank Plc
0.60%, 07/01/11		2,000		2,000
0.76%, 10/25/11		7,500		7,500
0.81%, 02/16/12		5,200		5,200
BNP Paribas SA
0.38%, 04/08/11		5,000		5,000
0.48%, 08/29/11		8,000		8,000
0.76%, 03/01/12		3,500		3,500
Canadian Imperial Bank of Commerce
0.29%, 07/12/11 (i)		3,500		3,500
0.50%, 01/19/12 (i)		3,400		3,405
0.45%, 03/12/12		7,000		7,000
Citibank
0.25%, 06/10/11		7,300		7,300
0.27%, 07/21/11		4,500		4,500
Citibank NA, 0.26%, 05/23/11		3,300		3,300
Credit Agricole SA, 0.25%, 04/29/11		10,500		10,500
DnB NOR Bank ASA
0.37%, 11/07/11 (i)		4,000		4,000
0.48%, 11/22/11		3,800		3,800
0.34%, 03/31/12 (i)		8,000		8,000
Rabobank Nederland NV
0.34%, 09/12/11		7,000		7,000
0.31%, 11/07/11 (i)		4,000		4,000
Royal Bank of Canada
0.33%, 08/15/11		9,900		9,901
0.29%, 03/02/12 (i)		2,000		2,000
Societe Generale
0.41%, 04/08/11		6,900		6,900
0.22%, 05/03/11		6,100		6,100
Standard Chartered Bank
0.31%, 07/29/11 (i)		8,000		8,000
0.47%, 12/05/11 (i)		1,900		1,900
Svenska Handels NY, 0.30%, 04/15/11		7,400		7,400
Svenska Handelsbanken, 0.35%, 08/15/11		5,000		5,000
Toronto-Dominion Bank NY
0.20%, 04/27/11		11,500		11,500
0.32%, 05/24/11		5,900		5,900
0.32%, 10/28/11 (i)		5,500		5,500
UBS AG
0.40%, 12/22/11 (i)		7,400		7,400
0.62%, 03/02/12		4,500		4,500
UBS AG Stamford
0.53%, 07/15/11		1,500		1,500
0.53%, 11/23/11 (i)		4,700		4,700

				234,858
Commercial Paper - 25.5%
Amsterdam Funding Corp., 0.24%, 05/19/11 (r)		8,200		8,197
CAFCO Financial Services LLC, 0.29%, 04/06/11 (r)		10,600		10,600
Cargill Inc., 0.27%, 04/08/11 (r)		3,000		3,000
Chariot Funding LLC
0.26%, 04/19/11 (r)		5,500		5,499
0.24%, 06/08/11 (r)		4,500		4,498
Ciesco LLC
0.21%, 04/07/11 (r)		1,000		1,000
0.20%, 04/08/11 (r)		4,400		4,400
0.21%, 04/08/11 (r)		1,700		1,700
0.29%, 05/10/11 (r)		3,600		3,599
Coca-Cola Co.
0.23%, 05/13/11 (r)		11,700		11,697
0.25%, 07/06/11 (r)		5,500		5,496
Colgate-Palmolive Co., 0.14%, 04/07/11 (r)		2,500		2,500
CRC Funding LLC
0.29%, 04/15/11 (r)		5,000		4,999


	Shares/Par (p)		Value
0.28%, 04/18/11 (r)		5,000		4,999
Falcon Asset Securitization Co. LLC
0.21%, 04/13/11 (r)		8,600		8,599
0.26%, 05/23/11 (r)		1,800		1,799
General Electric Capital Corp.
0.26%, 04/04/11		3,000		3,000
0.32%, 06/14/11		14,300		14,291
Jupiter Securitization Corp.
0.22%, 04/04/11 (r)		3,000		3,000
0.26%, 04/04/11 (r)		7,300		7,300
0.19%, 04/28/11 (r)		1,800		1,800
Market Street Funding Corp., 0.27%, 06/13/11 (r)		4,608		4,605
Market Street Funding LLC
0.27%, 04/21/11 (r)		1,500		1,500
0.26%, 07/01/11 (r)		6,000		5,996
Novartis AG, 0.21%, 04/11/11 (r)		5,500		5,500
Old Line Funding LLC
0.27%, 04/11/11 (r)		6,600		6,599
0.25%, 06/14/11		4,300		4,298
0.25%, 07/01/11 (r)		1,300		1,299
Procter & Gamble Co.
0.25%, 04/06/11 (r)		6,400		6,400
0.19%, 06/10/11 (r)		4,000		3,998
Sanoti-Aventis SA
0.31%, 08/18/11 (r)		8,600		8,590
0.37%, 10/14/11 (r)		9,400		9,381
Toyota Motor Credit Corp., 0.31%, 04/01/11 (r)		8,500		8,500
Wal-Mart Stores Inc., 0.18%, 04/11/11 (r)		5,100		5,100
Windmill Funding LLC
0.24%, 04/14/11 (r)		700		700
0.25%, 04/14/11 (r)		2,800		2,800
0.30%, 07/01/11		7,000		6,995

				194,234
Investment Company - 0.0%
JPMorgan Prime Money Market Fund, 0.05% (h)		10		10
Repurchase Agreements - 24.2%
Repurchase Agreement with Bank of America Securities, 0.14% (Collateralized by $69,013 Federal National Mortgage Association, 4.50% - 5.00%, due 07/01/35 - 11/01/40, value $72,012) acquired on 03/31/11, due 04/01/11 at $70,600	$	70,600		70,600
Repurchase Agreement with Goldman Sachs and Co., 0.17% (Collateralized by $29,819 Federal National Mortgage Association, 4.50%, due 04/01/31 - 03/01/41 value $30,600) acquired on 03/29/11, due 04/28/11 at $30,004 (q)		30,000		30,000
Repurchase Agreement with HSBC Securities, 0.18% (Collateralized by $21,298 Federal National Mortgage Association, 4.50% - 5.00%, due 06/01/34 - 06/01/39, value $22,440) acquired on 03/31/11, due 04/01/11 at $22,000		22,000		22,000


	Shares/Par (p)		Value
Repurchase Agreement with UBS Securities, 0.18% (Collateralized by $43,117 Federal Home Loan Mortgage Corp, 4.00%, due 01/01/41, value $42,519 and $20,164 Federal National Mortgage Association, 4.00%, due 04/01/26, value $20,823) acquired on 03/31/11, due 04/01/11 at $62,100		62,100		62,100

				184,700

Total Short Term Investments (cost $613,802)				613,802

Total Investments - 92.4% (cost $704,434)				704,434
Other Assets and Liabilities, Net - 7.6%				57,595

Total Net Assets - 100.0%			$	762,029

JNL/Select Value Fund
COMMON STOCKS - 98.3%
CONSUMER DISCRETIONARY - 10.0%
CBS Corp. - Class B		527	$	13,206
Comcast Corp. - Class A		843		20,848
General Motors Co. (c)		152		4,726
Home Depot Inc.		370		13,697
Kohl’s Corp.		308		16,342
Mattel Inc.		476		11,869
Nordstrom Inc.		145		6,517
Stanley Black & Decker Inc.		330		25,270
Staples Inc.		491		9,535
Target Corp.		120		5,986

				127,996
CONSUMER STAPLES - 7.0%
CVS Caremark Corp.		374		12,839
General Mills Inc.		248		9,061
Kraft Foods Inc. - Class A		463		14,510
Molson Coors Brewing Co. - Class B		274		12,848
PepsiCo Inc.		202		12,991
Philip Morris International Inc.		233		15,259
Sysco Corp.		425		11,759

				89,267
ENERGY - 13.8%
Apache Corp.		123		16,077
Baker Hughes Inc.		238		17,440
Chevron Corp.		384		41,264
ConocoPhillips		163		12,985
EOG Resources Inc.		76		9,042
Exxon Mobil Corp.		228		19,140
Marathon Oil Corp.		323		17,235
Occidental Petroleum Corp.		264		27,533
Royal Dutch Shell Plc - ADR - Class B		87		6,365
Southwestern Energy Co. (c)		225		9,668

				176,749
FINANCIALS - 23.1%
ACE Ltd.		373		24,120
Ameriprise Financial Inc.		162		9,889
Bank of America Corp.		1,395		18,590
Bank of New York Mellon Corp.		418		12,493
BlackRock Inc.		70		14,051
Chubb Corp.		242		14,806
Credit Suisse Group AG - ADR		305		12,991
Goldman Sachs Group Inc.		121		19,238


	Shares/Par (p)		Value
JPMorgan Chase & Co.		984		45,344
Marsh & McLennan Cos. Inc.		630		18,771
PNC Financial Services Group Inc.		406		25,593
Principal Financial Group Inc.		339		10,895
U.S. Bancorp		438		11,584
Unum Group		506		13,270
Wells Fargo & Co.		1,395		44,222

				295,857
HEALTH CARE - 12.8%
Abbott Laboratories		217		10,639
Amgen Inc. (c)		234		12,507
Baxter International Inc.		231		12,442
Covidien Plc		306		15,894
HCA Holdings Inc. (c)		447		15,154
Johnson & Johnson		188		11,133
Merck & Co. Inc.		435		14,366
Pfizer Inc.		1,634		33,189
Teva Pharmaceutical Industries Ltd. - ADR		306		15,362
UnitedHealth Group Inc.		363		16,385
Zimmer Holdings Inc. (c)		123		7,445

				164,516
INDUSTRIALS - 12.0%
3M Co.		123		11,472
Boeing Co.		159		11,718
General Electric Co.		1,529		30,648
Illinois Tool Works Inc.		252		13,532
Ingersoll-Rand Plc (e)		445		21,493
Lockheed Martin Corp.		101		8,128
PACCAR Inc.		246		12,889
Textron Inc.		514		14,068
Tyco International Ltd.		414		18,548
Waste Management Inc.		302		11,266

				153,762
INFORMATION TECHNOLOGY - 7.7%
Analog Devices Inc.		343		13,503
Cisco Systems Inc.		676		11,585
Hewlett-Packard Co.		270		11,070
Intel Corp.		755		15,232
Maxim Integrated Products Inc.		373		9,549
Microsoft Corp.		637		16,142
Nokia OYJ (e)		661		5,629
Xilinx Inc.		482		15,806

				98,516
MATERIALS - 6.2%
CF Industries Holdings Inc.		72		9,794
Dow Chemical Co.		402		15,187
EI Du Pont de Nemours & Co.		237		13,039
Mosaic Co.		163		12,805
Nucor Corp.		139		6,397
Rexam Plc - ADR		201		5,917
Steel Dynamics Inc.		832		15,607

				78,746
TELECOMMUNICATION SERVICES - 2.8%
AT&T Inc.		1,188		36,354
UTILITIES - 2.9%
Edison International		258		9,422
Entergy Corp.		162		10,895
NextEra Energy Inc.		99		5,473
Northeast Utilities		312		10,792

				36,582

Total Common Stocks (cost $1,060,801)				1,258,345


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 2.8%
Investment Company - 1.6%
JNL Money Market Fund, 0.08% (a) (h)		20,195		20,195
Securities Lending Collateral - 1.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		15,215		15,215
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		183		178

				15,393

Total Short Term Investments (cost $35,593)				35,588

Total Investments - 101.1% (cost $1,096,394)				1,293,933
Other Assets and Liabilities, Net - (1.1%)				(13,652	)

Total Net Assets - 100.0%			$	1,280,281

JNL/T.Rowe Price Established Growth Fund
COMMON STOCKS - 98.6%
CONSUMER DISCRETIONARY - 16.9%
Amazon.com Inc. (c)		365	$	65,693
AutoZone Inc. (c)		25		6,921
Carmax Inc. (c)		330		10,583
Carnival Plc		232		9,114
Chipotle Mexican Grill Inc. - Class A (c)		38		10,432
Coach Inc.		394		20,509
Ctrip.com International Ltd. - ADR (c)		219		9,103
Discovery Communications Inc. - Class A (c)		153		6,113
Fossil Inc. (c)		48		4,486
General Motors Co. (c)		208		6,460
Johnson Controls Inc.		193		8,002
Las Vegas Sands Corp. (c)		208		8,782
Liberty Media Corp. - Interactive (c)		683		10,960
Marriott International Inc. - Class A		457		16,277
MGM Resorts International (c) (e)		203		2,667
NetFlix Inc. (c) (e)		8		1,875
Nike Inc. - Class B		213		16,109
O’Reilly Automotive Inc. (c)		131		7,516
Priceline.com Inc. (c)		39		19,962
Ross Stores Inc.		92		6,529
Royal Caribbean Cruises Ltd. (c)		169		6,952
Starbucks Corp.		493		18,224
Starwood Hotels & Resorts Worldwide Inc.		228		13,257
Walt Disney Co.		412		17,745

				304,271
CONSUMER STAPLES - 2.4%
Costco Wholesale Corp.		178		13,043
Green Mountain Coffee Roasters Inc. (c) (e)		127		8,225
PepsiCo Inc.		125		8,019
Procter & Gamble Co.		148		9,134
Whole Foods Market Inc.		73		4,837

				43,258
ENERGY - 9.0%
Alpha Natural Resources Inc. (c)		60		3,533
Cameron International Corp. (c)		265		15,137
Cimarex Energy Co.		59		6,822
Continental Resources Inc. (c) (e)		126		9,027
EOG Resources Inc.		161		19,080
FMC Technologies Inc. (c)		160		15,098
McDermott International Inc. (c)		286		7,262
Occidental Petroleum Corp.		189		19,790


	Shares/Par (p)		Value
Peabody Energy Corp.		188		13,500
Schlumberger Ltd.		359		33,462
Suncor Energy Inc.		447		20,034

				162,745
FINANCIALS - 7.3%
American Express Co.		494		22,347
CB Richard Ellis Group Inc. (c)		263		7,022
Discover Financial Services		254		6,134
Franklin Resources Inc.		209		26,179
IntercontinentalExchange Inc. (c)		109		13,404
Invesco Ltd.		647		16,525
JPMorgan Chase & Co.		443		20,399
Northern Trust Corp.		187		9,500
U.S. Bancorp		345		9,124

				130,634
HEALTH CARE - 6.4%
Alexion Pharmaceuticals Inc. (c)		27		2,625
Allergan Inc.		141		10,014
AmerisourceBergen Corp.		99		3,925
Celgene Corp. (c)		136		7,841
Covidien Plc		50		2,576
Edwards Lifesciences Corp. (c)		105		9,126
Express Scripts Inc. (c)		546		30,380
Human Genome Sciences Inc. (c)		260		7,132
Illumina Inc. (c)		130		9,088
McKesson Corp.		266		21,051
Stryker Corp.		188		11,443

				115,201
INDUSTRIALS - 17.2%
3M Co.		161		15,063
Babcock & Wilcox Co. (c)		184		6,149
Boeing Co.		206		15,237
Caterpillar Inc.		69		7,694
Cooper Industries Plc		132		8,534
Cummins Inc.		84		9,241
Danaher Corp.		1,044		54,173
Deere & Co.		99		9,582
Emerson Electric Co.		211		12,323
Expeditors International Washington Inc.		232		11,607
Fastenal Co. (e)		287		18,600
FedEx Corp.		319		29,871
Fluor Corp.		78		5,731
Joy Global Inc.		101		9,980
PACCAR Inc.		202		10,559
Precision Castparts Corp.		143		21,032
Rockwell Automation Inc.		67		6,359
Roper Industries Inc.		95		8,231
Textron Inc.		201		5,497
Union Pacific Corp.		184		18,053
United Parcel Service Inc. - Class B		220		16,373
WW Grainger Inc.		71		9,720

				309,609
INFORMATION TECHNOLOGY - 30.3%
Accenture Plc - Class A		340		18,684
Apple Inc. (c)		372		129,728
Autodesk Inc. (c)		58		2,545
Baidu.com - ADR (c)		311		42,790
Broadcom Corp. - Class A (c)		370		14,571
Corning Inc.		1,218		25,133
Dolby Laboratories Inc. - Class A (c)		236		11,636
eBay Inc. (c)		553		17,150
EMC Corp. (c)		251		6,651
Google Inc. - Class A (c)		128		75,269
Juniper Networks Inc. (c)		607		25,547


	Shares/Par (p)		Value
Mail.ru Group Ltd. - GDR (c) (f) (q)		52		1,563
MasterCard Inc. - Class A		111		27,966
NetApp Inc. (c)		185		8,900
Nuance Communications Inc. (c)		28		552
QUALCOMM Inc.		870		47,724
Red Hat Inc. (c)		113		5,115
Rovi Corp. (c)		180		9,656
Salesforce.com Inc.		55		7,293
Samsung Electronics Co. Ltd.		7		5,850
SanDisk Corp. (c)		116		5,333
Tencent Holdings Ltd.		604		14,715
Trimble Navigation Ltd. (c)		138		6,954
Visa Inc. - Class A		282		20,739
Western Union Co.		578		12,005

				544,069
MATERIALS - 5.4%
Agnico-Eagle Mines Ltd.		75		4,943
Air Products & Chemicals Inc.		95		8,540
BHP Billiton Ltd.		342		16,454
Freeport-McMoRan Copper & Gold Inc.		210		11,654
Potash Corp. of Saskatchewan Inc.		181		10,637
Praxair Inc.		382		38,791
Walter Industries Inc.		41		5,485

				96,504
TELECOMMUNICATION SERVICES - 3.7%
American Tower Corp. - Class A (c)		611		31,657
Crown Castle International Corp. (c)		827		35,168

				66,825

Total Common Stocks (cost $1,380,050)				1,773,116

PREFERRED STOCKS - 0.4%
CONSUMER DISCRETIONARY - 0.4%
Groupon Inc. (f) (q)		108		3,407
Zynga Inc. (f) (q)		137		3,838

Total Preferred Stocks (cost $7,245)				7,245

SHORT TERM INVESTMENTS - 2.5%
Investment Companies - 1.3%
JNL Money Market Fund, 0.08% (a) (h)		300		300
T. Rowe Price Reserves Investment Fund, 0.19% (a) (h)		23,113		23,113
Securities Lending Collateral - 1.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		20,049		20,049
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		1,473		1,439

				21,488

Total Short Term Investments (cost $44,935)				44,901

Total Investments - 101.5% (cost $1,432,230)				1,825,262
Other Assets and Liabilities, Net - (1.5%)				(26,674	)

Total Net Assets - 100.0%			$	1,798,588

JNL/T.Rowe Price Mid-Cap Growth Fund
COMMON STOCKS - 95.1%
CONSUMER DISCRETIONARY - 12.8%
Bed Bath & Beyond Inc. (c)		156	$	7,530


	Shares/Par (p)		Value
Cablevision Systems Corp. - Class A		396		13,706
Carmax Inc. (c)		555		17,815
Chipotle Mexican Grill Inc. - Class A (c)		59		16,070
Choice Hotels International Inc.		179		6,954
Coach Inc.		152		7,910
Discovery Communications Inc. - Class A (c)		231		9,217
Discovery Communications Inc. - Class C (c)		275		9,683
Dollar General Corp. (c)		665		20,848
Expedia Inc.		397		8,996
Lamar Advertising Co. - Class A (c)		442		16,327
Liberty Media Corp. - Starz (c)		117		9,079
Liberty Media Corp. - Interactive (c)		700		11,228
Madison Square Garden Inc. - Class A (c)		104		2,807
Marriott International Inc. - Class A		469		16,687
O’Reilly Automotive Inc. (c)		242		13,905
Panera Bread Co. - Class A (c)		62		7,874
Starbucks Corp.		156		5,764
Tim Hortons Inc.		176		7,975
Wynn Resorts Ltd.		37		4,708

				215,083
CONSUMER STAPLES - 1.8%
Shoppers Drug Mart Corp. (e)		441		18,131
Whole Foods Market Inc.		196		12,917

				31,048
ENERGY - 9.3%
Alpha Natural Resources Inc. (c) (e)		104		6,174
Consol Energy Inc.		310		16,625
Continental Resources Inc. (c)		136		9,720
EQT Corp.		313		15,619
FMC Technologies Inc. (c)		117		11,054
McDermott International Inc. (c)		957		24,298
Peabody Energy Corp.		98		7,052
QEP Resources Inc.		233		9,444
Range Resources Corp.		352		20,578
SM Energy Co.		156		11,574
Trican Well Service Ltd.		469		10,589
Ultra Petroleum Corp. (c)		274		13,495

				156,222
FINANCIALS - 8.2%
AON Corp.		274		14,511
Apollo Global Management LLC - Class A (c)		11		203
BankUnited Inc.		125		3,586
CBOE Holdings Inc. (e)		252		7,300
Eaton Vance Corp.		272		8,769
Fifth Third Bancorp		349		4,844
HCC Insurance Holdings Inc.		262		8,203
Interactive Brokers Group Inc.		189		3,003
IntercontinentalExchange Inc. (c)		90		11,119
Jones Lang LaSalle Inc.		13		1,297
MSCI Inc. - Class A (c)		469		17,269
NYSE Euronext		129		4,537
Popular Inc. (c)		1,136		3,306
Principal Financial Group Inc.		389		12,491
SunTrust Banks Inc.		195		5,624
TCF Financial Corp.		544		8,628
TD Ameritrade Holding Corp.		704		14,692
WR Berkley Corp.		289		9,309

				138,691
HEALTH CARE - 16.2%
Alexion Pharmaceuticals Inc. (c)		99		9,769
BioMarin Pharmaceutical Inc. (c)		156		3,920
Bruker Corp. (c)		527		10,988
CareFusion Corp. (c)		508		14,326
Cephalon Inc. (c)		274		20,764


	Shares/Par (p)		Value
Community Health Systems Inc. (c)		430		17,196
Covance Inc. (c)		313		17,127
CR Bard Inc.		156		15,492
Dentsply International Inc.		391		14,463
Edwards Lifesciences Corp. (c)		117		10,179
Elan Corp. Plc - ADR (c)		540		3,715
Henry Schein Inc. (c)		254		17,823
Human Genome Sciences Inc. (c)		428		11,749
Idexx Laboratories Inc. (c) (e)		156		12,046
Illumina Inc. (c)		158		11,071
Laboratory Corp. of America Holdings (c)		97		8,937
Qiagen NV (c) (e)		449		9,003
Regeneron Pharmaceuticals Inc. (c)		195		8,763
SXC Health Solutions Corp. (c)		74		4,055
Theravance Inc. (c) (e)		235		5,692
Valeant Pharmaceuticals International Inc.		443		22,066
Vertex Pharmaceuticals Inc. (c)		138		6,614
Waters Corp. (c)		195		16,946

				272,704
INDUSTRIALS - 18.2%
A123 Systems Inc. (c) (e)		193		1,226
Acuity Brands Inc.		6		351
Alliant Techsystems Inc.		12		855
AMETEK Inc.		625		27,419
Babcock & Wilcox Co. (c)		528		17,625
Crane Co.		78		3,777
Danaher Corp.		76		3,944
Fastenal Co. (e)		295		19,125
Foster Wheeler AG (c)		153		5,756
Gardner Denver Inc.		268		20,912
Goodrich Corp.		109		9,323
Hertz Global Holdings Inc. (c)		1,088		17,005
IDEX Corp.		352		15,365
IHS Inc. - Class A (c) (e)		268		23,785
Manpower Inc.		161		10,124
MSC Industrial Direct Co. - Class A		133		9,106
Nielsen Holdings NV (c)		203		5,544
Quanta Services Inc. (c)		782		17,540
Robert Half International Inc.		438		13,403
Rockwell Collins Inc.		195		12,642
Roper Industries Inc.		274		23,690
Textron Inc.		508		13,914
UTi Worldwide Inc.		400		8,096
Verisk Analytics Inc. - Class A (c)		241		7,895
WABCO Holdings Inc. (c)		253		15,595
Wabtec Corp.		48		3,256

				307,273
INFORMATION TECHNOLOGY - 25.0%
Akamai Technologies Inc. (c)		45		1,710
Altera Corp.		189		8,320
Atheros Communications Inc. (c)		191		8,528
Concur Technologies Inc. (c)		78		4,325
Cree Inc. (c)		156		7,201
Dolby Laboratories Inc. - Class A (c)		291		14,296
Electronic Arts Inc. (c)		368		7,187
Equinix Inc. (c)		78		7,106
Factset Research Systems Inc.		138		14,453
First Solar Inc. (c) (e)		47		7,559
Fiserv Inc. (c)		332		20,823
FLIR Systems Inc.		399		13,809
Gartner Inc. - Class A (c)		469		19,543
Global Payments Inc.		410		20,057
Intersil Corp. - Class A		645		8,030
JDS Uniphase Corp. (c)		1,173		24,445
Juniper Networks Inc. (c)		377		15,864
Marvell Technology Group Ltd. (c)		544		8,459


	Shares/Par (p)		Value
MEMC Electronic Materials Inc. (c)		664		8,605
Microchip Technology Inc. (e)		362		13,760
Micros Systems Inc. (c)		235		11,616
Motorola Mobility Holdings Inc. (c)		390		9,516
National Semiconductor Corp.		699		10,024
Nuance Communications Inc. (c)		1,106		21,628
Nvidia Corp. (c)		625		11,538
PMC - Sierra Inc. (c)		336		2,520
Rackspace Hosting Inc. (c)		136		5,828
Red Hat Inc. (c)		352		15,977
Rovi Corp. (c)		281		15,076
Silicon Laboratories Inc. (c)		215		9,290
Solera Holdings Inc.		113		5,774
TIBCO Software Inc. (c)		193		5,259
Trimble Navigation Ltd. (c)		352		17,790
Varian Semiconductor Equipment Associates Inc. (c)		118		5,743
WebMD Health Corp. - Class A (c)		77		4,113
Western Union Co.		860		17,862
Xilinx Inc.		547		17,942

				421,576
MATERIALS - 2.4%
Agnico-Eagle Mines Ltd.		263		17,450
Franco-Nevada Corp.		312		11,453
HudBay Minerals Inc.		322		5,257
Rockwood Holdings Inc. (c)		141		6,940

				41,100
UTILITIES - 1.2%
Calpine Corp. (c)		1,225		19,441

Total Common Stocks (cost $1,196,989)				1,603,138

SHORT TERM INVESTMENTS - 10.4%
Investment Companies - 5.3%
JNL Money Market Fund, 0.08% (a) (h)		6,900		6,900
T. Rowe Price Reserves Investment Fund, 0.19% (a) (h)		81,997		81,997
Securities Lending Collateral - 5.1%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		82,713		82,713
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		3,135		3,061

				85,774

Total Short Term Investments (cost $174,745)				174,671

Total Investments - 105.5% (cost $1,371,734)				1,777,809
Other Assets and Liabilities, Net - (5.5%)				(93,295	)

Total Net Assets - 100.0%			$	1,684,514

JNL/T.Rowe Price Short-Term Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 12.4%
Ally Auto Receivables Trust
1.45%, 05/15/14	$	1,815	$	1,829
1.38%, 07/15/14		3,119		3,135
American Express Credit Account Master Trust, 5.55%, 01/15/14		875		884
AmeriCredit Automobile Receivables Trust
0.97%, 01/15/13		945		945
3.72%, 11/17/14		355		366


	Shares/Par (p)		Value
Banc of America Commercial Mortgage Inc. REMIC
4.63%, 12/10/42		680		701
4.62%, 07/10/43		3,200		3,258
Bank of America Auto Trust
0.75%, 06/15/12 (r)		300		300
1.31%, 07/15/14		3,520		3,544
BCAP LLC Trust REMIC, 0.89%, 11/25/36 (i)		7		7
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.70%, 06/11/50		960		1,009
5.61%, 06/13/50		2,065		2,124
Cabela’s Master Credit Card Trust
5.26%, 10/15/14 (r)		300		306
1.71%, 01/16/18 (i) (r)		1,700		1,759
CarMax Auto Owner Trust
4.79%, 02/15/13		648		662
1.56%, 07/15/14		1,325		1,334
1.41%, 02/16/15		2,490		2,508
2.04%, 10/15/15		2,420		2,439
3.75%, 12/15/15		660		688
4.88%, 08/15/16		420		451
Chase Issuance Trust, 5.12%, 10/15/14		4,345		4,627
Citibank Credit Card Issuance Trust, 0.56%, 10/07/13 (i)		2,350		2,346
CitiFinancial Auto Issuance Trust
2.59%, 10/15/13 (r)		1,538		1,560
3.15%, 08/15/16 (r)		3,690		3,788
CNH Equipment Trust
1.85%, 12/16/13		508		511
1.54%, 07/15/14		1,569		1,580
1.03%, 11/17/14		1,630		1,630
3.00%, 08/17/15		2,445		2,515
Commercial Mortgage Loan Trust REMIC
6.21%, 09/10/12 (i)		2,353		2,430
6.21%, 12/10/49 (i)		940		978
CS First Boston Mortgage Securities Corp. REMIC
5.01%, 01/15/12 (i)		1,455		1,539
6.53%, 06/15/34		263		262
Discover Card Master Trust
1.56%, 12/15/14 (i)		3,500		3,547
0.91%, 09/15/15 (i)		3,090		3,113
0.61%, 08/15/16 (i)		3,570		3,579
Ford Credit Auto Owner Trust
1.51%, 01/15/14		1,990		2,004
0.98%, 10/15/14		2,500		2,501
2.42%, 11/15/14		1,823		1,865
8.14%, 02/15/16 (r)		415		466
Ford Credit Floorplan Master Owner Trust
4.20%, 02/15/17 (r)		438		463
REMIC, 1.50%, 09/15/15		3,700		3,677
GE Capital Credit Card Master Note Trust, 2.21%, 06/15/16		3,770		3,830
GE Equipment Midticket LLC, 0.94%, 07/14/14 (r)		2,710		2,707
GS Auto Loan Trust, 5.48%, 12/15/14		2,267		2,300
GS Mortgage Securities Corp. II REMIC
2.33%, 12/10/15 (r)		5,050		5,090
6.00%, 08/10/45 (i)		1,065		1,116
Honda Auto Receivables Owner Trust
1.25%, 10/21/13		1,680		1,689
1.34%, 03/18/14		1,890		1,903
1.98%, 05/23/16		545		553
HSBC Home Equity Loan Trust REMIC, 0.40%, 03/20/36 (i)		1,606		1,511
John Deere Owner Trust, 1.57%, 10/15/13		626		629


	Shares/Par (p)		Value
JP Morgan Chase Commercial Mortgage Securities Corp. REMIC
4.68%, 07/15/42		1,162		1,201
1.87%, 02/15/46 (r)		2,570		2,557
JP Morgan Mortgage Trust REMIC, 2.89%, 07/25/35 (i)		390		340
MMAF Equipment Finance LLC, 2.37%, 11/15/13 (r)		1,572		1,586
Morgan Stanley Capital I REMIC
4.99%, 08/13/42		1,565		1,669
6.28%, 01/11/43 (i)		2,430		2,627
Navistar Financial Corp. Owner Trust, 1.08%, 03/18/14 (r)		1,425		1,423
Nissan Auto Lease Trust, 3.51%, 11/17/14		880		886
Sequoia Mortgage Trust REMIC, 3.75%, 02/25/40 (i)		286		290
SMART Trust, 1.77%, 10/14/14 (f) (r)		1,280		1,275
Structured Asset Securities Corp. REMIC, 2.54%, 09/25/33 (i)		785		726
Thornburg Mortgage Securities Trust REMIC, 0.37%, 07/25/36 (i)		1,452		1,443
Toyota Auto Receivables Owner Trust, 1.47%, 01/17/17		1,385		1,390
USAA Auto Owner Trust
1.30%, 06/16/14		1,120		1,126
2.14%, 09/15/15		895		911
Volkswagen Auto Loan Enhanced Trust
0.66%, 05/21/12		474		474
1.22%, 06/22/15		5,030		5,019
Wachovia Bank Commercial Mortgage Trust REMIC, 4.94%, 04/15/42		670		714
Wells Fargo & Co. Commercial Mortgage Trust, 2.50%, 02/15/44		1,250		1,263
Wells Fargo Mortgage Backed Securities Trust REMIC, 2.76%, 04/25/35 (i)		2,614		2,519
World Financial Network Credit Card Master Trust
3.79%, 05/15/16		570		589
4.66%, 05/15/17		3,640		3,870

Total Non-U.S. Government Agency Asset-Backed Securities (cost $128,553)				128,456

CORPORATE BONDS AND NOTES - 48.6%
CONSUMER DISCRETIONARY -3.4%
Anglo American Capital Plc, 2.15%, 09/27/13 (r)		2,040		2,055
COX Communications Inc., 5.45%, 12/15/14		2,100		2,318
Daimler Finance North America LLC, 0.92%, 03/28/14 (i) (r)		4,380		4,381
DIRECTV Holdings LLC, 4.75%, 10/01/14		4,735		5,099
Johnson Controls Inc., 0.72%, 02/04/14 (i)		3,385		3,392
NBC Universal Inc., 2.10%, 04/01/14 (r)		3,010		2,996
Staples Inc.
7.75%, 04/01/11 (l)		2,140		2,140
9.75%, 01/15/14 (l)		4,125		4,952
TCM Sub LLC, 3.55%, 01/15/15 (r)		3,250		3,290
Thomson Reuters Corp., 5.95%, 07/15/13		1,000		1,102
Time Warner Cable Inc., 5.40%, 07/02/12		3,870		4,069

				35,794
CONSUMER STAPLES - 3.6%
Altria Group Inc., 8.50%, 11/10/13 (l)		2,465		2,875
Anheuser-Busch InBev Worldwide Inc.
3.00%, 10/15/12		3,830		3,940
7.20%, 01/15/14		3,000		3,408
BAT International Finance Plc, 8.13%, 11/15/13 (r)		4,500		5,212


	Shares/Par (p)		Value
Church & Dwight Co. Inc., 3.35%, 12/15/15		800		802
Coca-Cola Amatil Ltd., 3.25%, 11/02/14 (r)		2,165		2,211
Coca-Cola Bottling Co., 5.00%, 11/15/12		2,000		2,116
Coca-Cola Co., 0.75%, 11/15/13		4,215		4,154
Coca-Cola Enterprises Inc., 1.13%, 11/12/13		3,060		3,017
General Mills Inc., 6.00%, 02/15/12		1,400		1,465
Kraft Foods Inc.
6.25%, 06/01/12		433		459
2.63%, 05/08/13		1,130		1,157
Kroger Co.
6.80%, 04/01/11		885		885
6.75%, 04/15/12		625		662
7.50%, 01/15/14		700		797
SABMiller Plc, 6.20%, 07/01/11 (r)		2,090		2,117
Safeway Inc., 5.80%, 08/15/12		2,080		2,213

				37,490
ENERGY - 4.5%
Canadian Natural Resources Ltd.
5.45%, 10/01/12		565		598
5.15%, 02/01/13		2,630		2,803
CenterPoint Energy Resources Corp., 7.88%, 04/01/13		1,575		1,763
Devon Financing Corp. ULC, 6.88%, 09/30/11		4,783		4,929
Ensco Plc, 3.25%, 03/15/16		2,290		2,282
Enterprise Products Operating LLC
4.60%, 08/01/12		1,785		1,857
6.38%, 02/01/13		675		730
EOG Resources Inc., 6.13%, 10/01/13		3,475		3,848
Korea Hydro & Nuclear Power Co. Ltd., 3.13%, 09/16/15 (r)		1,275		1,241
MidAmerican Energy Holdings Co., 5.00%, 02/15/14		1,825		1,960
Nabors Industries Inc., 5.38%, 08/15/12		910		952
Noble Holding International Ltd., 3.45%, 08/01/15		370		378
Occidental Petroleum Corp., 1.45%, 12/13/13		3,300		3,301
Plains All American Pipeline LP, 4.25%, 09/01/12		4,090		4,246
SeaRiver Maritime Inc., 0.00%, 09/01/12 (j)		1,800		1,742
Shell International Finance BV, 1.88%, 03/25/13 (e)		2,615		2,662
Texas Gas Transmission LLC, 5.50%, 04/01/13 (r)		2,151		2,290
Total Capital Canada Ltd., 0.68%, 01/17/14 (i)		1,925		1,931
Transocean Inc., 5.25%, 03/15/13 (e)		2,185		2,319
Weatherford International Inc., 5.95%, 06/15/12		2,965		3,114
Williams Partners LP, 3.80%, 02/15/15		1,496		1,549

				46,495
FINANCIALS - 21.1%
Allstate Corp., 6.13%, 02/15/12		2,400		2,512
American Express Bank FSB, 5.55%, 10/17/12		1,375		1,457
American Express Centurion Bank, 5.55%, 10/17/12		1,500		1,590
American Honda Finance Corp.
0.53%, 08/28/12 (i) (r)		2,440		2,432
2.38%, 03/18/13 (r)		1,260		1,278
ANZ National International Ltd., 2.38%, 12/21/12 (r)		2,915		2,953
Australia & New Zealand Banking Group Ltd., 2.40%, 01/11/13 (r)		730		740
Banco Bradesco SA, 4.10%, 03/23/15 (r)		1,115		1,130
Bank of America Corp., 1.72%, 01/30/14 (i)		4,115		4,182
Bank of New York Mellon Corp., 0.58%, 01/31/14 (i)		4,335		4,353
Bank of Nova Scotia
2.25%, 01/22/13		925		945


	Shares/Par (p)		Value
2.38%, 12/17/13		3,280		3,346
Barclays Bank Plc, 5.20%, 07/10/14		5,285		5,712
BB&T Corp.
3.85%, 07/27/12		2,770		2,868
5.70%, 04/30/14		2,300		2,540
Bear Stearns Cos. Inc., 6.95%, 08/10/12		2,429		2,615
Berkshire Hathaway Finance Corp., 4.60%, 05/15/13		2,300		2,457
BPCE SA, 2.38%, 10/04/13 (r)		4,125		4,122
Caterpillar Financial Services Corp., 0.59%, 04/01/14 (i)		6,700		6,714
Charles Schwab Corp., 4.95%, 06/01/14		850		924
Citigroup Inc.
1.23%, 04/01/14 (i)		6,800		6,804
6.38%, 08/12/14		1,000		1,105
5.50%, 10/15/14		1,125		1,213
Commonwealth Bank of Australia, 2.75%, 10/15/12 (r)		1,170		1,195
Credit Suisse New York, 3.45%, 07/02/12		1,275		1,314
Crown Castle Towers LLC, 4.52%, 01/15/15 (r)		1,515		1,569
Deutsche Bank AG London, 5.38%, 10/12/12		3,090		3,279
Enel Finance International SA, 3.88%, 10/07/14 (r)		2,420		2,501
ERAC USA Finance Co.
5.80%, 10/15/12 (r)		5,782		6,145
2.75%, 07/01/13 (r)		1,030		1,043
Fifth Third Bancorp, 6.25%, 05/01/13		3,120		3,384
General Electric Capital Corp.
3.50%, 08/13/12		5,110		5,275
2.00%, 09/28/12		5,200		5,307
3.75%, 11/14/14		800		833
2.25%, 11/09/15		2,950		2,834
Goldman Sachs Group Inc., 1.31%, 02/07/14 (i)		8,525		8,587
HSBC Bank Plc, 1.63%, 08/12/13 (r)		2,005		2,003
HSBC Holdings Plc, 5.25%, 12/12/12		1,640		1,735
John Deere Capital Corp.
1.06%, 06/10/11 (i)		1,800		1,803
4.95%, 12/17/12		3,810		4,064
JPMorgan Chase & Co.
0.96%, 02/26/13 (i)		2,310		2,325
4.65%, 06/01/14		885		946
KeyCorp, 3.75%, 08/13/15		2,560		2,587
Kilroy Realty LP, 5.00%, 11/03/15		2,045		2,041
Kreditanstalt fuer Wiederaufbau, 4.75%, 05/15/12		4,500		4,707
LeasePlan Corp. NV, 3.00%, 05/07/12 (r)		1,900		1,947
Lloyds TSB Bank Plc., 4.38%, 01/12/15 (r)		2,950		3,005
MassMutual Global Funding II, 3.63%, 07/16/12 (r)		2,400		2,472
Merrill Lynch & Co. Inc., 0.50%, 07/25/11 (i)		1,250		1,250
MetLife Inc., 1.56%, 08/06/13 (i)		2,220		2,244
MetLife Institutional Funding II, 1.20%, 04/04/14 (i) (r)		5,880		5,880
Morgan Stanley, 1.90%, 01/24/14 (i)		7,745		7,898
National Australia Bank Ltd., 2.35%, 11/16/12 (r)		2,150		2,181
National Rural Utilities Cooperative Finance Corp.
7.25%, 03/01/12		665		705
2.63%, 09/16/12		1,070		1,094
1.13%, 11/01/13		1,235		1,225
New York Life Global Funding, 2.25%, 12/14/12 (r)		2,415		2,465
Nordea Bank AB
2.50%, 11/13/12 (r)		765		778
1.75%, 10/04/13 (r)		2,795		2,778
2.13%, 01/14/14 (r)		2,120		2,115
PACCAR Financial Corp.
1.95%, 12/17/12		1,620		1,645


	Shares/Par (p)		Value
2.05%, 06/17/13		970		981
Principal Financial Group Inc., 7.88%, 05/15/14 (e)		1,500		1,733
Prudential Financial Inc.
3.63%, 09/17/12		3,080		3,172
2.75%, 01/14/13		490		500
Rabobank Nederland NV, 4.20%, 05/13/14 (r)		1,150		1,218
Regions Financial Corp., 5.75%, 06/15/15		1,330		1,355
Royal Bank of Scotland Plc
2.63%, 05/11/12 (r)		5,200		5,315
3.40%, 08/23/13		3,645		3,728
Santander US Debt SA Unipersonal
2.49%, 01/18/13 (r)		1,800		1,767
2.99%, 10/07/13 (r)		800		795
Simon Property Group LP, 4.20%, 02/01/15		540		568
SLM Corp., 5.13%, 08/27/12 (e)		2,810		2,900
Societe Generale, 2.50%, 01/15/14 (r)		3,110		3,086
Standard Chartered Plc, 3.85%, 04/27/15 (r)		1,840		1,883
State Street Corp., 0.66%, 03/07/14 (i)		2,700		2,688
U.S. Bank NA, 6.38%, 08/01/11		2,700		2,752
UBS AG Stamford
1.41%, 02/23/12 (i)		1,475		1,486
1.30%, 01/28/14 (i)		2,995		3,022
US Bancorp, 2.00%, 06/14/13		1,810		1,837
Ventas Realty LP, 3.13%, 11/30/15		1,220		1,184
Wachovia Capital Trust III, 5.57%, (callable at 100 beginning 06/15/11) (m)		425		390
WEA Finance LLC, 5.40%, 10/01/12 (r)		550		582
Wells Fargo & Co., 5.25%, 10/23/12		1,435		1,521
Westpac Banking Corp., 2.10%, 08/02/13		3,250		3,281
Woodside Finance Ltd.
6.70%, 08/01/11 (r)		300		306
4.50%, 11/10/14 (r)		1,020		1,080

				218,281
HEALTH CARE - 3.8%
AmerisourceBergen Corp., 5.63%, 09/15/12		4,435		4,691
Boston Scientific Corp., 4.50%, 01/15/15		4,465		4,605
Cardinal Health Inc., 5.50%, 06/15/13		2,835		3,050
Express Scripts Inc., 5.25%, 06/15/12		4,455		4,668
Life Technologies Corp.
3.38%, 03/01/13		3,695		3,795
3.50%, 01/15/16		1,910		1,904
McKesson Corp., 3.25%, 03/01/16		735		740
Novartis Capital Corp., 1.90%, 04/24/13		3,000		3,051
Sanofi-Aventis SA, 0.62%, 03/28/14 (i)		3,840		3,850
Teva Pharmaceutical Finance III BV, 0.81%, 03/21/14 (i)		2,705		2,715
Teva Pharmaceutical Finance III LLC, 1.50%, 06/15/12		1,865		1,878
Watson Pharmaceuticals Inc., 5.00%, 08/15/14		1,500		1,613
WellPoint Inc., 6.80%, 08/01/12		2,230		2,386

				38,946
INDUSTRIALS - 1.0%
CSX Corp.
6.30%, 03/15/12		220		231
5.75%, 03/15/13		1,760		1,897
GATX Corp., 4.75%, 10/01/12		1,970		2,059
Republic Services Inc., 6.75%, 08/15/11		875		891
Southwest Airlines Co., 6.50%, 03/01/12		3,805		3,981
Waste Management Inc., 6.38%, 11/15/12		1,083		1,174

				10,233
INFORMATION TECHNOLOGY - 2.2%
Agilent Technologies Inc., 2.50%, 07/15/13		630		636
Broadcom Corp., 1.50%, 11/01/13 (r)		1,065		1,055
Cisco Systems Inc., 0.56%, 03/14/14 (i)		4,870		4,886


	Shares/Par (p)		Value
Hewlett Packard Co., 2.25%, 05/27/11		2,500		2,508
International Business Machines Corp., 1.00%, 08/05/13		5,000		4,970
Microsoft Corp., 0.88%, 09/27/13		3,970		3,942
Xerox Corp.
5.50%, 05/15/12		2,085		2,181
5.65%, 05/15/13		2,100		2,262

				22,440
MATERIALS - 2.2%
ArcelorMittal, 5.38%, 06/01/13		1,900		2,021
Barrick Gold Corp., 6.13%, 09/15/13		3,600		3,992
BHP Billiton Finance USA Ltd.
5.13%, 03/29/12		655		685
4.80%, 04/15/13		375		402
CRH America Inc., 5.30%, 10/15/13		980		1,042
Dow Chemical Co.
6.00%, 10/01/12		1,451		1,552
2.50%, 02/15/16		2,615		2,517
Lafarge SA, 6.15%, 07/15/11		3,370		3,420
Praxair Inc., 2.13%, 06/14/13		2,425		2,484
Rio Tinto Finance USA Ltd., 8.95%, 05/01/14 (l)		3,905		4,698

				22,813
TELECOMMUNICATION SERVICES - 3.0%
America Movil SAB de CV, 3.63%, 03/30/15		1,580		1,626
American Tower Corp., 4.63%, 04/01/15		2,380		2,471
AT&T Corp., 7.30%, 11/15/11 (l)		2,500		2,603
British Telecommunications Plc, 5.15%, 01/15/13		2,565		2,729
Rogers Cable Inc.
6.25%, 06/15/13		1,070		1,179
5.50%, 03/15/14		275		302
Rogers Wireless Communications Inc., 6.38%, 03/01/14		900		1,009
Telecom Italia Capital SA
6.20%, 07/18/11		2,575		2,614
5.25%, 11/15/13		2,940		3,104
Telefonica Emisiones SAU
5.98%, 06/20/11		230		232
5.86%, 02/04/13		2,190		2,335
2.58%, 04/26/13		2,590		2,615
Verizon Virginia Inc., 4.63%, 03/15/13		4,870		5,136
Verizon Wireless Capital LLC, 3.75%, 05/20/11		1,125		1,130
Vodafone Group Plc, 5.35%, 02/27/12 (e)		1,650		1,720

				30,805
UTILITIES - 3.8%
Abu Dhabi National Energy Co., 5.62%, 10/25/12 (r)		1,625		1,690
Allegheny Energy Supply, 8.25%, 04/15/12 (q)		890		944
Appalachian Power Co., 5.65%, 08/15/12		1,750		1,845
Commonwealth Edison Co., 1.63%, 01/15/14		2,485		2,469
Dominion Resources Inc.
5.70%, 09/17/12		1,020		1,084
2.25%, 09/01/15		1,275		1,239
Duke Energy Corp., 6.30%, 02/01/14		1,575		1,756
Duke Energy Ohio Inc., 2.10%, 06/15/13		745		759
FirstEnergy Corp., 6.45%, 11/15/11		32		33
Florida Gas Transmission Co. LLC, 4.00%, 07/15/15 (r)		640		654
Georgia Power Co., 1.30%, 09/15/13		1,850		1,850
Great Plains Energy Inc., 2.75%, 08/15/13		1,365		1,382
Kentucky Utilities Co., 1.63%, 11/01/15 (r)		915		870
Nevada Power Co., 8.25%, 06/01/11		2,015		2,039
NiSource Finance Corp., 6.15%, 03/01/13		1,355		1,469
Northeast Utilities, 5.65%, 06/01/13		3,775		4,064


	Shares/Par (p)		Value
PPL Energy Supply LLC, 6.40%, 11/01/11		1,200		1,239
Progress Energy Inc., 6.05%, 03/15/14		875		968
PSEG Power LLC
6.95%, 06/01/12		1,020		1,087
2.50%, 04/15/13		2,535		2,572
Sempra Energy, 1.07%, 03/15/14 (i)		4,435		4,457
Sierra Pacific Power Co., 5.45%, 09/01/13		2,310		2,504
Southern California Edison Co., 0.70%, 10/21/11 (i)		1,110		1,113
Southern Co., 5.30%, 01/15/12		1,250		1,294

				39,381

Total Corporate Bonds and Notes (cost $497,637)				502,678

GOVERNMENT AND AGENCY OBLIGATIONS - 29.9%
GOVERNMENT SECURITIES - 7.7%
Federal Home Loan Bank - 0.9% (w)
Federal Home Loan Bank, 1.63%, 11/21/12		9,010		9,145
Federal Home Loan Mortgage Corp. - 1.1% (w)
Federal Home Loan Mortgage Corp.
1.75%, 06/15/12		2,100		2,132
0.88%, 10/28/13		9,530		9,451

				11,583
Federal National Mortgage Association - 1.0% (w)
Federal National Mortgage Association
1.25%, 06/22/12		7,360		7,428
1.00%, 09/23/13		3,015		3,002

				10,430
Sovereign - 1.8%
Canada Housing Trust No. 1, 4.00%, 06/15/12, CAD		6,310		6,697
Kommunalbanken AS, 5.13%, 05/30/12		7,400		7,786
Mexican Bonos, 9.00%, 12/22/11, MXN		48,575		4,205

				18,688
Treasury Inflation Index Securities - 0.7%
U.S. Treasury Inflation Indexed Note
1.88%, 07/15/13 (n)		2,038		2,205
0.50%, 04/15/15 (n)		4,248		4,409

				6,614
U.S. Treasury Securities - 2.2%
U.S. Treasury Note, 1.00%, 07/31/11		23,000		23,066
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 22.2%
Federal Home Loan Mortgage Corp. - 2.6%
Federal Home Loan Mortgage Corp.
4.00%, 02/01/14 - 07/01/25		1,801		1,858
5.00%, 10/01/17 - 09/01/38		12,207		13,008
4.50%, 04/01/18 - 08/01/25		2,625		2,762
5.50%, 10/01/19 - 07/01/20		1,623		1,762
2.57%, 09/01/33 (i)		213		224
2.92%, 09/01/33 (i)		31		33
2.37%, 10/01/34 (i)		93		97
2.50%, 11/01/34 (i)		178		187
2.72%, 11/01/34 (i)		62		65
2.90%, 11/01/34 (i)		86		91
2.97%, 11/01/34 (i)		46		48
2.43%, 01/01/35 - 02/01/35 (i)		187		197
2.36%, 02/01/35 - 03/01/36 (i)		820		860
2.38%, 02/01/35 - 02/01/35 (i)		180		188
2.47%, 02/01/35 (i)		54		56
2.49%, 02/01/35 (i)		174		183
2.65%, 02/01/35 (i)		92		97
2.68%, 06/01/35 (i)		1,030		1,074
2.66%, 09/01/35 (i)		1,052		1,105


	Shares/Par (p)		Value
2.86%, 10/01/35 (i)		683		717
2.48%, 11/01/35 (i)		441		463
REMIC, 5.00%, 10/15/21		1,389		1,473

				26,548
Federal National Mortgage Association - 19.5%
Federal National Mortgage Association
5.50%, 01/01/17 - 05/01/40		59,716		64,041
5.00%, 07/01/19 - 06/01/23		12,485		13,337
4.50%, 08/01/24 - 09/01/25		56,627		59,582
4.00%, 02/01/25 - 01/01/26		29,425		30,303
2.35%, 03/01/33 (i)		6		7
1.92%, 06/01/33 (i)		71		73
2.56%, 06/01/33 (i)		773		813
2.59%, 07/01/33 (i)		54		57
2.75%, 09/01/33 (i)		6		6
2.32%, 12/01/33 (i)		2		2
2.47%, 12/01/33 (i)		851		891
2.50%, 04/01/34 - 05/01/35 (i)		7,028		7,378
2.62%, 04/01/34 (i)		19		20
2.63%, 10/01/34 (i)		30		31
2.58%, 11/01/34 - 11/01/35 (i)		556		584
2.68%, 11/01/34 - 06/01/35 (i)		1,804		1,895
2.69%, 11/01/34 - 04/01/35 (i)		410		429
2.36%, 12/01/34 - 01/01/35 (i)		232		244
2.34%, 01/01/35 (i)		128		135
2.37%, 01/01/35 (i)		102		107
2.38%, 02/01/35 (i)		66		69
2.45%, 02/01/35 (i)		322		337
2.15%, 03/01/35 (i)		97		100
2.12%, 04/01/35 (i)		709		727
2.86%, 04/01/35 (i)		505		527
2.22%, 05/01/35 (i)		385		399
2.29%, 05/01/35 (i)		865		892
2.67%, 06/01/35 (i)		727		764
2.80%, 07/01/35 (i)		679		715
2.87%, 07/01/35 (i)		629		660
1.88%, 08/01/35 (i)		1,388		1,429
2.57%, 08/01/35 (i)		704		739
2.49%, 11/01/35 - 03/01/36 (i)		1,835		1,921
2.30%, 02/01/36 (i)		1,001		1,040
2.46%, 02/01/36 (i)		612		643
2.39%, 03/01/36 (i)		495		519
6.00%, 01/01/38		1,819		1,982
REMIC, 5.00%, 08/25/19 - 11/25/21		7,705		8,201

				201,599
Government National Mortgage Association - 0.1%
Government National Mortgage Association
7.00%, 12/15/17		1,002		1,054
5.50%, 07/15/20		299		325

				1,379

Total Government and Agency Obligations (cost $305,830)				309,052

INVESTMENT COMPANIES - 0.2%
T. Rowe Price Term Asset-Backed Securities Loan Facility (a) (c) (f) (q)		258		2,033

Total Investment Companies (cost $2,836)				2,033

SHORT TERM INVESTMENTS - 9.5%
Certificates of Deposit - 0.4%
Svenska Handelsbanken, 0.76%, 03/18/13 (i)	$	4,200		4,196
Investment Companies - 8.9%
JNL Money Market Fund, 0.08% (a) (h)		4,587		4,587


	Shares/Par (p)		Value
T. Rowe Price Reserves Investment Fund, 0.19% (a) (h)		87,098		87,098
Securities Lending Collateral - 0.2%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		1,723		1,723
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		631		616

				2,339

Total Short Term Investments (cost $98,239)				98,220

Total Investments - 100.6% (cost $1,033,095)				1,040,439
Other Assets and Liabilities, Net - (0.6%)				(6,277	)

Total Net Assets - 100.0%			$	1,034,162

JNL/T.Rowe Price Value Fund
COMMON STOCKS - 96.9%
CONSUMER DISCRETIONARY - 10.1%
Bed Bath & Beyond Inc. (c)		35	$	1,694
Cablevision Systems Corp. - Class A		235		8,133
Carnival Corp.		137		5,252
Comcast Corp. - Special Class A		509		11,817
Discovery Communications Inc. - Class C (c)		373		13,119
General Motors Co. (c)		321		9,961
H&R Block Inc.		740		12,381
Harley-Davidson Inc.		156		6,620
Home Depot Inc.		50		1,838
International Game Technology		456		7,393
Kohl’s Corp.		263		13,971
Liberty Media Corp. (c)		27		2,112
Lowe’s Cos. Inc.		272		7,189
Madison Square Garden Inc. - Class A (c)		128		3,459
Time Warner Cable Inc.		199		14,168
Time Warner Inc.		496		17,693

				136,800
CONSUMER STAPLES - 4.4%
Archer-Daniels-Midland Co.		92		3,327
Avon Products Inc.		271		7,314
General Mills Inc.		110		4,031
Kellogg Co.		138		7,444
Kimberly-Clark Corp.		143		9,321
Kroger Co.		247		5,923
PepsiCo Inc.		170		10,943
Philip Morris International Inc.		57		3,761
Procter & Gamble Co.		124		7,663

				59,727
ENERGY - 17.7%
Alpha Natural Resources Inc. (c) (e)		156		9,279
Baker Hughes Inc.		132		9,714
Chevron Corp.		310		33,314
ConocoPhillips		68		5,446
Consol Energy Inc.		148		7,937
El Paso Corp.		1,200		21,598
EOG Resources Inc.		44		5,262
EQT Corp.		222		11,098
Exxon Mobil Corp.		146		12,275
Hess Corp.		90		7,649
Murphy Oil Corp.		197		14,427
Nexen Inc.		655		16,325
Noble Corp.		177		8,052
Peabody Energy Corp.		185		13,313


	Shares/Par (p)		Value
Royal Dutch Shell Plc - ADR		244		17,763
Schlumberger Ltd.		122		11,415
Spectra Energy Corp.		705		19,151
Total SA - ADR		161		9,841
Weatherford International Ltd. (c)		232		5,243

				239,102
FINANCIALS - 21.5%
Allstate Corp.		48		1,525
American Express Co.		258		11,639
Ameriprise Financial Inc.		29		1,796
AON Corp.		315		16,672
Assured Guaranty Ltd.		275		4,099
Bank of America Corp.		1,302		17,354
CIT Group Inc. (c)		218		9,255
Citigroup Inc. (c)		3,647		16,118
Fifth Third Bancorp		132		1,832
First Horizon National Corp.		823		9,225
Goldman Sachs Group Inc.		48		7,670
JPMorgan Chase & Co.		638		29,407
Lazard Ltd. - Class A		227		9,426
Marsh & McLennan Cos. Inc.		285		8,508
MetLife Inc.		96		4,312
Moody’s Corp.		638		21,628
Morgan Stanley		464		12,685
NYSE Euronext		255		8,961
PNC Financial Services Group Inc.		116		7,326
Principal Financial Group Inc.		217		6,978
Regions Financial Corp.		1,586		11,517
SLM Corp. (c)		851		13,020
St. Joe Co. (c) (e)		225		5,633
SunTrust Banks Inc.		332		9,585
U.S. Bancorp		447		11,819
Wells Fargo & Co.		925		29,307
Willis Group Holdings Plc		90		3,636

				290,933
HEALTH CARE - 10.8%
Amgen Inc. (c)		260		13,918
CIGNA Corp.		283		12,509
Covidien Plc		374		19,420
Gilead Sciences Inc. (c)		254		10,767
Johnson & Johnson		223		13,225
Medtronic Inc.		153		6,005
Merck & Co. Inc.		487		16,072
Pfizer Inc.		2,067		41,979
WellPoint Inc.		163		11,383

				145,278
INDUSTRIALS - 9.3%
3M Co.		167		15,643
Boeing Co.		88		6,535
Fluor Corp.		138		10,180
General Electric Co.		1,201		24,080
Honeywell International Inc.		215		12,832
Illinois Tool Works Inc.		226		12,162
Lockheed Martin Corp.		56		4,486
Raytheon Co.		146		7,422
Republic Services Inc. - Class A		399		11,977
Southwest Airlines Co.		1,125		14,205
Union Pacific Corp.		65		6,382

				125,904
INFORMATION TECHNOLOGY - 9.8%
Amdocs Ltd. (c)		93		2,686
Analog Devices Inc.		139		5,490
Applied Materials Inc.		1,014		15,842
Cisco Systems Inc.		247		4,236


	Shares/Par (p)		Value
Computer Sciences Corp.		98		4,751
Dell Inc. (c)		127		1,847
Electronic Arts Inc. (c)		367		7,162
Hewlett-Packard Co.		188		7,690
International Business Machines Corp.		106		17,285
Microsoft Corp.		735		18,650
Motorola Mobility Holdings Inc. (c)		171		4,166
TE Connectivity Ltd.		299		10,401
Texas Instruments Inc.		558		19,267
Visa Inc.		64		4,741
Western Union Co.		418		8,678

				132,892
MATERIALS - 5.1%
Anglo American Plc		204		10,506
International Paper Co.		646		19,487
MeadWestvaco Corp.		88		2,663
Monsanto Co.		132		9,502
United States Steel Corp. (e)		204		11,020
Vulcan Materials Co. (e)		112		5,084
Weyerhaeuser Co.		415		10,202

				68,464
TELECOMMUNICATION SERVICES - 2.1%
AT&T Inc.		767		23,470
Vodafone Group Plc		1,527		4,323

				27,793
UTILITIES - 6.1%
AES Corp. (c)		1,217		15,822
CenterPoint Energy Inc.		455		7,990
Entergy Corp.		159		10,707
Exelon Corp.		173		7,126
FirstEnergy Corp.		197		7,324
MDU Resources Group Inc.		136		3,133
NiSource Inc.		299		5,741
NRG Energy Inc. (c)		570		12,269
PPL Corp.		459		11,603

				81,715

Total Common Stocks (cost $1,114,849)				1,308,608

PREFERRED STOCKS - 1.3%
FINANCIALS - 1.2%
Citigroup Inc., Convertible Preferred		64		8,045
Fifth Third Bancorp, Convertible Preferred, Series G (m)		55		8,170

				16,215
UTILITIES - 0.1%
PPL Corp., Convertible Preferred		27		1,401

Total Preferred Stocks (cost $13,825)				17,616

CORPORATE BONDS AND NOTES - 0.2%
CONSUMER DISCRETIONARY - 0.1%
International Game Technology, 3.25%, 05/01/14 (e)	$	1,007		1,156
FINANCIALS - 0.0%
Assured Guaranty Municipal Holdings Inc., 6.40%, 12/15/66 (i) (q)		900		589
MATERIALS - 0.1%
United States Steel Corp., 4.00%, 05/15/14		327		596

Total Corporate Bonds and Notes (cost $1,906)				2,341


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 2.7%
Investment Companies - 1.1%
JNL Money Market Fund, 0.08% (a) (h)		4,425		4,425
T. Rowe Price Reserves Investment Fund, 0.19% (a) (h)		10,996		10,996
Securities Lending Collateral - 1.6%
Securities Lending Cash Collateral Fund LLC, 0.31% (a) (h)		20,775		20,775
Securities Lending Liquidating Fund LLC, 0.33% (a) (h)		978		954

				21,729

Total Short Term Investments (cost $37,174)				37,150

Total Investments - 101.1% (cost $1,167,754)				1,365,715
Other Assets and Liabilities, Net - (1.1%)				(14,502	)

Total Net Assets - 100.0%			$	1,351,213

Restricted Securities - Restricted securities are often purchased in private placement transactions and cannot be sold without prior registration unless the sale is pursuant to an exemption under the Securities Exchange Act of 1933, as amended. The following table details restricted securities, including Rule 144A securities that have not been deemed liquid, held by the Funds at March 31, 2011.

Sub-Adviser Affiliates - The following sub-advisers are affiliates of Jackson National Asset Management, LLC (“Adviser” or “JNAM”) to certain Funds. PPM America, Inc. serves as sub-adviser for JNL/PPM America High Yield Bond Fund, JNL/PPM America Floating Rate Income Fund, JNL/PPM America Mid Cap Value Fund, JNL/PPM America Small Cap Value Fund and JNL/PPM America Value Equity Fund. Prudential Asset Management (Singapore) Limited serves as sub-adviser for JNL/PAM Asia ex-Japan Fund and JNL/PAM China-India Fund. M&G Investment Management Limited serves as sub-adviser for JNL/M&G Global Basics Fund and JNL/M&G Global Leaders Fund.

Investments in Affiliates - For the period ended March 31, 2011, certain Funds invested in money market funds, which are managed by the Adviser or an affiliate of the Funds. The JNL Money Market Fund is offered as a cash management tool to the Funds and their affiliates and is not available for direct purchase by members of the public. In addition, JPMorgan Chase Bank, N.A. (“JPM Chase” or “Custodian”) is an affiliate of the Funds for which J.P. Morgan Investment Management Inc. is the sub-adviser. Certain Funds participating in securities lending receive cash collateral, which is invested by the Custodian in the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC, which are affiliates of the Funds’ Adviser. JNAM serves as the Administrator for the Securities Lending Cash Collateral Fund LLC and Securities Lending Liquidating Fund LLC. The fair value and par value of the investment in the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC are reported under Securities Lending Collateral in the Schedules of Investments. Income received from the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC is aggregated with income from securities lending when received from the custodian. The JNL Institutional Alt 20 Fund, JNL Institutional Alt 35 Fund, JNL Institutional Alt 50 Fund, JNL Institutional Alt 65 Fund, JNL/Franklin Templeton Founding Strategy Fund, JNL/Mellon Capital Management 10 x 10 Fund, JNL/Mellon Capital Management Index 5 Fund, JNL/S&P 4 Fund, JNL/S&P Managed Conservative Fund, JNL/S&P Managed Moderate Fund, JNL/S&P Managed Moderate Growth Fund, JNL/S&P Managed Growth Fund, JNL/S&P Managed Aggressive Growth Fund, JNL/S&P Disciplined Moderate Fund, JNL/S&P Disciplined Moderate Growth Fund and JNL/S&P Disciplined Growth Fund invested solely in the Class A shares of other affiliated Funds of the Trust and the JNL Variable Funds LLC. Each of the JNL/American Funds Blue Chip Income and Growth Fund, JNL/American Funds Global Bond Fund, JNL/American Funds New World Fund and JNL/BlackRock Global Allocation Fund operate as a “Feeder Fund” and seeks to achieve its investment objective by investing primarily all its investable assets in a separate mutual fund (“Master Fund”). Due to each Fund’s ownership of more than 5% of the shares of its corresponding Master Fund, these Funds may be deemed an affiliated person thereof under the Investment Company Act of 1940, as amended (“1940 Act”). The JNL/Mellon Capital Management International Index Fund invested in Prudential plc, the parent company of Jackson National Life Insurance Company^®. Prudential plc is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is in the United States of America. The JNL/Mellon Capital Management S&P 500 Index Fund and JNL/Mellon Capital Management Bond Index Fund invested in Bank of New York Mellon Corp., the parent company of the Fund’s sub-adviser. The JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund, JNL/T. Rowe Price Short-Term Bond Fund and JNL/T. Rowe Price Value Fund invested in T. Rowe Price Reserves Investment Fund; JNL/T. Rowe Price Value Fund invested in T. Rowe Price Institutional Floating Rate Fund; and JNL/T. Rowe Price Short-Term Bond Fund invested in T. Rowe Price Term Asset-Backed Securities Loan Facility, LLC which are affiliates of each Fund’s sub-adviser.

The following table details each Fund’s long-term investments in affiliates held during the period March 31, 2011.

The following table details cash management investments in affiliates held at March 31, 2011. There was no realized gain or loss relating to transactions in these investments during the period ended March 31, 2011.

Unfunded Loan Commitments - A Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Unfunded loan commitments and funded portions of credit agreements are marked to market daily. Funded portions of credit agreements are presented in the Schedules of Investments. The following table details unfunded loan commitments at March 31, 2011.

Securities Lending and Securities Lending Collateral – A Fund may lend securities to certain brokers, dealers or other financial institutions in order to earn additional income. The borrowers and the Funds’ securities lending agent exchange negotiated lender fees and the Funds receive a fee equal to a percentage of the net negotiated lender fees and the net income generated by the securities lending collateral held during each lending transaction. The securities lending agent is authorized to loan securities on behalf of the Funds to approved borrowers and is required to maintain collateral at least equal to the value of the securities loaned based on the previous day’s value of the securities loaned, marked to market daily. Any shortfalls are adjusted the next business day. In the event of bankruptcy or other default of the borrower, a Fund could experience delays in liquidating the loan collateral or recovering the loaned securities and incur expenses related to enforcing its rights. In addition, there could be a decline in the value of the collateral or in the value of the securities loaned while a Fund seeks to enforce its rights thereto and the Fund could experience subnormal levels of income or lack of access to income during that period. The Funds also bear the risk of any deficiency in the amount of collateral available for return to a borrower due to a loss in an approved investment. Each Fund is responsible for returning the full amount of collateral received for a particular loan when the borrower returns the applicable security.

JPM Chase serves as custodian and securities lending agent to the Trust for all Funds except for the JNL/PPM America Floating Rate Income Fund. The Funds have cash collateral invested in the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC, each a limited liability company sponsored by the Adviser. As the assets in the Securities Lending Liquidating Fund LLC mature or are liquidated, the proceeds are invested in the Securities Lending Cash Collateral Fund LLC. Although the Securities Lending Cash Collateral Fund LLC is not a registered fund under the 1940 Act, and is not a “money market fund”, it typically invests in high quality U.S. dollar-denominated instruments that qualify at time of purchase as “eligible securities” within the meaning of Rule 2a-7 under the 1940 Act, which governs money market funds. The Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC are only offered to the Funds and JNAM affiliated Funds.

Short-term securities in the Securities Lending Cash Collateral Fund LLC and securities maturing within 60 days in Securities Lending Liquidating LLC are valued at amortized cost, unless it is determined that such practice does not approximate market value. Securities that are not valued at amortized cost in the Securities Lending Liquidating Fund LLC are generally valued based on prices furnished by pricing services. If pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or widely used quotation system.

Security Valuation – The net asset value (“NAV”) of each Fund shall be determined as of the close of trading (generally, 4:00 PM Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading. Stocks traded on an exchange are generally valued at the official closing price of the exchange where the security is principally traded. If there is no official closing price for the security, the security may be valued at the last quoted sale price on the exchange where the security is principally traded or final bid price in the absence of a sale. Stocks not listed on a national or foreign stock exchange may be valued at the closing bid price on the over-the-counter market. Investments in mutual funds are valued at the NAV per share determined as of the close of the NYSE on each valuation date. Each Feeder Fund’s investment in its corresponding Master Fund is valued at the NAV per share of the applicable Master Fund determined as of the close of the NYSE on each valuation date. Valuation of the investments by the Master Funds is discussed in the Master Funds’ Form N-Q, which is available on the SEC’s website at www.sec.gov. The securities lending collateral funds, which provide daily liquidity, are valued as a practical expedient at the daily reported NAV of the funds as of the close of the NYSE on each valuation date. All securities in the JNL/Select Money Market Fund, as permitted by compliance with applicable provisions under Rule 2a-7 under the 1940 Act, and other short-term securities maturing within sixty (60) days are valued at amortized cost, unless it is determined that such practice does not approximate market value. Debt securities are generally valued by pricing services approved by the Board. If pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or widely used quotation system. Term loans are generally valued at the composite bid prices provided by approved pricing services. Commodity-linked structured notes and credit-linked notes are valued by pricing models using observable inputs or at the most recent bid quotation obtained from a broker/dealer. Futures contracts traded on a liquid exchange are valued at the settlement price. If the

settlement price is not available, exchange trade futures are valued at the last sales price as of the close of business on the local exchange. Options traded on a liquid exchange are valued at the last traded price as of the close of business on the local exchange. If the last trade is determined to not be representative of fair value, exchange-traded options are valued at the last bid. Options traded on an illiquid exchange are valued at the most recent bid quotation obtained from a broker/dealer. Forward foreign currency contracts are valued at the foreign currency exchange rate as of the close of the NYSE, unless the Adviser determines that such markets lack an appropriate level of liquidity at that time. In such instances, the Funds will generally utilize foreign currency exchange rates as of the close of the London Stock Exchange. Non-exchange traded derivatives, such as options and swap agreements, are generally valued by approved pricing services. If the pricing services are unable to provide valuations, non-exchange traded derivatives are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or by pricing models using observable inputs. Pricing services utilized to value debt and derivatives securities may use various pricing techniques which take into account appropriate factors such as: yield; credit quality; coupon rate; maturity; type of issue; trading characteristics; call features; credit ratings; and other data, as well as broker quotes.

Market quotations may not be readily available for certain investments or it may be determined that a quotation for an investment does not represent market value. In such instances, the investment is valued as determined in good faith using procedures adopted by the Board. Situations that may require an investment to be fair valued may include instances where a security is thinly traded, halted or restricted as to resale. In addition, investments may be fair valued based on the occurrence of a significant event. Significant events may be specific to a particular issuer, such as mergers, restructurings or defaults. Alternatively, significant events may affect an entire market, such as natural disasters, government actions, and significant changes in value of U.S. securities markets. Securities are fair valued based on observable and unobservable inputs, including the Adviser’s own assumptions in determining fair value of an investment. Under the procedures adopted by the Board, the Adviser may rely on pricing services or other sources to assist in determining the fair value of an investment. Factors considered to determine fair value may include the correlation with price movement of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading or other market data. The Board has retained an independent statistical fair value pricing service to assist in the fair valuation process for securities traded in foreign markets in order to adjust for possible changes in value that may occur between the close of the foreign exchange and the time at which the NAVs are determined.

If an investment is valued at a fair value for purposes of calculating a Fund’s NAV, the value may be different from the last quoted price for the investment depending on the source and method used to determine the value. Although there can be no assurance, in general, the fair value of the investment is the amount the owner of such investment might reasonably expect to receive upon its current sale.

In January 2010, the FASB issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements”. ASU No. 2010-06 clarifies existing disclosure and requires additional disclosures regarding fair value measurements. Entities are required to disclose significant transfers into and out of Level 1 and 2 measurements in the fair value hierarchy and the reasons for those transfers. Effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years, entities will need to disclose information about purchases, sales, issuances and settlements of Level 3 securities on a gross basis, rather than as a net number.

FASB ASC Topic 820, “Fair Value Measurements and Disclosure” - This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance. The inputs are summarized into three broad categories. Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on a national or foreign stock exchange, investments in mutual funds or securities lending collateral, which are valued as a practical expedient at its daily reported NAV. Level 2 includes valuations for which all significant inputs are observable, either directly or indirectly. Direct observable inputs include broker quotes, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including term loans, priced by pricing services, over the counter derivatives, broker quotes in active markets, securities subject to corporate actions, international equity securities priced by an independent statistical fair value pricing service, swap agreements valued by pricing services, or ADRs and GDRs for which quoted prices in active markets are not available. Level 3 includes valuations based on inputs that are unobservable and significant to the fair value measurement including the Adviser’s own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features or maturity; or industry specific inputs such as: trading activity of similar markets or securities, or changes in the security’s underlying index or comparable securities’ models. Level 3 valuations include securities that are priced based on single source broker quotes, where prices may be unavailable due to halted trading, restricted to resale due to market events, newly issued or for which reliable quotes are not available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes each Fund’s investments in securities and other financial instruments as of March 31, 2011 by valuation level.

The only significant transfers between Level 1 and Level 2 valuations during the period ended March 31, 2011, related to certain Fund’s using an independent statistical fair value model pricing service to value certain foreign securities as described in Security Valuation in these Notes to the Schedules of Investments. In instances when criteria constituting a significant event exist and foreign investments are valued using an independent statistical fair value pricing service, they are considered Level 2 valuations. In the absence of the existence of such criteria, the same foreign investments are generally valued using market prices from the applicable exchange and are considered Level 1 valuations. Significant event criteria existed as of December 31, 2010 and did not exist at March 31, 2011 and therefore, certain foreign investments were valued as Level 2 valuations at December 31, 2010 and level 1 at March 31, 2011. There were no significant transfers into or out of Level 3.

The following table is a rollforward of Level 3 investments by category for which significant unobservable inputs were used to determine fair value during the period:

FASB ASC Topic 815, “Derivatives and Hedging” – This standard includes the requirement for enhanced qualitative disclosures about objectives and strategies for using derivative instruments and disclosures regarding credit related contingent features in derivative instruments; as well as requiring quantitative disclosures in the semi-annual and annual financial statements about fair value, realized and unrealized gains and losses and volume of activity for derivative instruments. Information about these instruments is disclosed in the context of each instrument’s primary underlying risk exposure which is categorized as credit, equity price, interest rate and foreign currency exchange rate risk. The objectives, strategies and underlying risks for each instrument held by the Funds are discussed in the following paragraph.

Options Transactions – A Fund may be subject to equity price, interest rate and foreign currency exchange rate risk in the normal course of pursuing its investment objective. A Fund may buy and sell (“write”) call and put options on securities, futures, currencies and swaps (“swaptions”) and on inflation caps and floors. During the period, JNL/Ivy Asset Strategy Fund used options to manage exposure to or hedge changes in securities prices. JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund used written options to generate income and used straddle options to take a position on expectations of volatility of the reference entity. Straddle options are written or purchased with premiums to be determined on a future date which are based upon implied volatility parameters at specified terms. The purpose of an inflation cap is to protect the buyer from inflation erosion above a certain rate. An inflation floor can be used to provide downside protection to investments in inflation-linked products.

When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost basis of the underlying investment or offset against the proceeds of the underlying investment transaction to determine realized gain or loss. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. The risks associated with purchasing options are limited to premiums paid and the failure of the counterparty to honor its obligation under the contract.

When a Fund writes a call or put option or inflation cap or floor, the premium received by the Fund is recorded as a liability and is subsequently marked to market to reflect the current value of the option. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds of the underlying investment transaction or reduce the cost basis of the underlying investment to determine the realized gain or loss. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. Writing put options tends to increase a Fund’s exposure to the underlying instrument. The risk associated with writing an option that is exercised is that an unfavorable change in the price of the security underlying the option could result in a Fund buying the underlying security at a price higher than the current value. There is also the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. Options written by a Fund do not give rise to counterparty credit risk, as they obligate the Fund, not the counterparty, to perform. The maximum potential amount of future payments (undiscounted) that a Fund could be required to make under an inflation cap or floor would be the notional amount times the percentage increase (for an inflation cap) or decrease (for an inflation floor) in inflation determined by the difference between the index’s current value and the value at the time the inflation cap or floor was entered into.

Futures Contracts - A Fund may be subject to equity price, interest rate and foreign currency exchange rate risk in the normal course of pursuing its investment objective. During the period, these Funds entered into futures contracts for the following reasons: JNL/Mellon Capital Management Global Alpha Fund as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy; JNL/JPMorgan International Value Fund to gain exposure to markets for efficient management of cash flows; JNL/Mellon Capital Management S&P 500 Index Fund, JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund, JNL/Mellon Capital Management Small Cap Index Fund and JNL/Mellon Capital Management International Index to hedge accrued dividends and for efficient management of cash flows; JNL/Goldman Sachs Core Plus Bond Fund, JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund to manage their exposure to or hedge interest rates and as an efficient means of adjusting overall exposure to certain markets as part of their investment strategy; and JNL/Select Balanced Fund and JNL/T. Rowe Price Short-Term Bond Fund to manage their exposure or hedge interest rates. Upon entering into a futures contract, the Fund is required to deposit with the broker or counterparty an amount of cash or cash equivalents equal to a certain percentage of the contract amount known as the “initial margin”. The Fund receives from or pays to the counterparty 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 Fund 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 variation margin recorded by the Fund. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund or the change in the market value of an underlying entity and the prices of the futures contracts and the possibility a Fund may not be able to enter into a closing transaction because of an illiquid market. The Funds may also suffer a loss on futures contacts. With futures, there is minimal counterparty risk to a Fund since future contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the future contracts against default.

Forward Foreign Currency Contracts - A Fund may be subject to foreign currency exchange rate risk in the normal course of pursuing its investment objective. During the period, these Funds entered into forward foreign currency contracts for the following reasons: JNL/Capital Guardian Global Balanced Fund, JNL/Franklin Templeton Mutual Shares Fund, JNL/Goldman Sachs Core Plus Bond Fund, JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/Ivy Asset Strategy Fund, JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund to minimize foreign currency exposure on portfolio securities denominated in foreign currencies and as part of their investment strategy; JNL/Capital Guardian

Global Diversified Research Fund to minimize foreign currency exposure on portfolio securities denominated in foreign currencies; JNL/JPMorgan International Value Fund to minimize foreign currency exposure on portfolio securities denominated in foreign currencies and to strive to reduce currency deviations from its benchmark as a means of risk management; JNL/Mellon Capital Management International Index Fund to create foreign currency exposure in U.S. dollar cash balances; and JNL/Melon Capital Management Global Alpha Fund and JNL/T. Rowe Price Short-Term Bond Fund as part of their investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund’s portfolio securities, but it does establish a rate of currency exchange that can be achieved in the future. The value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss and as a receivable or payable from forward foreign currency contracts. Upon settlement, or delivery or receipt of the currency, a realized gain or loss is recorded which is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Forward foreign currency contracts involve market risk in excess of the receivable or payable related to forward foreign currency contracts recorded by the Funds. 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, a Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparty to a contract is unable to meet the terms of the contract or if the value of the currency changes unfavorably to the value of the offsetting currency.

Credit Linked Notes - A Fund may invest in credit linked notes in the normal course of pursuing its investment objective. During the period, JNL/Goldman Sachs Emerging Markets Debt Fund and JNL/Goldman Sachs Core Plus Bond Fund invested in credit linked notes to manage portfolio risk and to gain exposure to certain foreign markets. The value of a credit linked note is based on the price movements of a particular credit, known as a reference credit. Credit linked notes that the Funds invest in are listed instruments that typically provide the same return as the underlying reference credit. Credit linked notes are intended to replicate the economic effects that would apply had a Fund directly purchased the underlying reference credit. The Fund generally will receive a fixed or floating coupon and the note’s par value upon maturity. If a specified credit event occurs, such as default or bankruptcy, the Fund may experience a delay in payment or forego interest. The maximum potential risk of loss is limited to the par amount of the credit linked note plus any accrued interest. The reference credit and its credit rating, for each credit linked note, is presented parenthetically in the Schedules of Investments.

Swap Agreements - Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are illiquid investments. If a Fund transacts in swap agreements, they are a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements (“ISDA Master Agreements”) with select counterparties. The ISDA Master Agreements govern transactions in over-the-counter derivative and forward foreign currency contracts and maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early termination could be material to the financial statements. The amount of collateral exchanged is based on provisions within the ISDA Master Agreements and is determined by the net exposure with the counterparty and is not identified for a specific swap agreement. The Fund’s pledged collateral, which is delivered to counterparties, or segregated collateral, which is at the Custodian, as of March 31, 2011 is included in a table in the Notes to the Schedules of Investments.

Swap agreements are marked-to-market daily and change in value is recorded by a Fund as an unrealized gain or loss. Swap premiums paid or received at the beginning of the measurement period which are recorded by the Fund represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions relating to credit spreads, interest rates, currency exchange rates, and other relevant factors as appropriate. These upfront payments are amortized over the life of the swap agreement and recorded as a realized gain or loss upon termination or maturity of the swap agreement. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss. Net periodic payments received or paid by a Fund are included as part of realized gain or loss.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the unrealized gain or loss recorded by the Fund. Such risks involve the possibility that there will be no liquid market for these agreements, that there may be unfavorable changes in interest rates or value of underlying securities and that the counterparty to the agreements may default on its obligation to perform. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The credit risk associated with contracts is reduced by master netting arrangements to the extent that if an event of default occurs, all amounts with the counterparty are terminated and settled on a net basis. A Fund’s overall exposure to credit risk subject to master netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.

Interest Rate Swap Agreements - A Fund may be subject to interest rate risk and credit risk in the normal course of pursuing its investment objective. During then period, JNL/Goldman Sachs Core Plus Bond Fund and JNL/Goldman Sachs Emerging Markets Debt Fund entered into interest rate swap agreements to hedge against the risk that the value of their fixed rate bond investments will decrease/increase as interest rates rise/fall; to execute yield curve, swap spread and sovereign relative value trades; and to express views on a country’s interest rates. JNL/PIMCO

Real Return Fund and JNL/PIMCO Total Return Bond Fund entered into interest rate swap agreements to manage interest rate and yield curve exposure and as a substitute for investment in physical securities. Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Forms of interest rate swap agreements may include: interest rate caps, under which, in return for a premium, one party agrees to make payments to the other party to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a premium, one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate, or “floor”; interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding certain levels; callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date; or forward spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark.

A Fund’s maximum risk of loss from counterparty credit risk for an interest rate swap agreement is the discounted net value of the cash flows to be received from or paid to the counterparty over the contract’s remaining life, to the extent this amount is positive. This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.

Credit Default Swap Agreements – A Fund may be subject to credit rate risk in the normal course of pursuing its investment objective. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return if a credit event occurs for the referenced entity, obligation or index. A credit event is defined under the terms of each swap agreement and may include, but is not limited to, underlying entity default, bankruptcy, write-down, principal shortfall, or interest shortfall.

A Fund may use credit default swap agreements on corporate or sovereign issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

A Fund may use credit default swap agreements on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Unlike credit default swaps on corporate or sovereign issues, deliverable obligations in most instances would be limited to the specific referenced obligation because performance for asset-backed securities can vary across deals. Write-downs, such as prepayments and principal pay downs, or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts.

A Fund may also use credit default swap agreements to generate income. In such an arrangement, a Fund would write protection on a security or instrument, and receive a premium in return for such protection. Written credit default swaps offer the Fund an opportunity to generate income, but may expose the Fund to risk of loss where there is a credit event.

A Fund may use credit default swap agreements on credit indices to hedge a portfolio of credit default swap agreements or bonds, to protect investors owning bonds against default and to speculate on changes in credit quality. A credit index is a basket of credit instruments or exposures designed to represent a portion of the credit market. These indices consist of reference credits that are considered to be the liquid entities in the credit default swap market based on the index sector. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities and emerging market securities. These components can be determined based upon various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the issuers in the index, and if there is a credit event, the credit event is settled based on that issuer’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each issuer has an equal weight in the index.

During the period, these Funds entered into credit default swap agreements for the following reasons: JNL/Goldman Sachs Core Plus Bond Fund to provide a measure of protection against defaults of the issuers, to manage duration at the cross sector level and to manage credit exposure; JNL/PIMCO Total Return Bond Fund to manage credit exposure; and JNL/PIMCO Real Return Fund to manage credit exposure and in combination with cash bonds (1) take advantage of spread variances between cash bonds and the credit default swap agreement or (2) to hedge the underlying exposure to the cash bonds.

A Fund can be either a seller or buyer of protection when entering into a credit default swap agreement. As a seller of protection, the Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap if there is no credit event. As a seller, the Fund adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the

swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Until a credit event occurs, recovery values are determined by market makers considering either industry standard recovery rates or entity specific factors and considerations. When a credit event occurs, the recovery value is determined by a facilitated auction, administered by ISDA, whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Either as a seller of protection or a buyer of protection of a credit default swap agreement, a Fund’s maximum risk of loss from counterparty risk is the fair value of the agreement. This risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by posting collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of March 31, 2011, for which the Fund is the seller of protection are disclosed in these Notes to the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

Total Return Swap Agreements - A Fund may be subject to equity price and interest rate risk in the normal course of pursuing its investment objective. During the period, JNL/Goldman Sachs Emerging Markets Debt Fund and JNL/Ivy Asset Strategy Fund entered into total return swap agreements to manage their exposure to or hedge against changes in securities prices or as an efficient means of adjusting overall exposure to certain markets as part of their investment strategy. Some total return swap agreements involve a commitment to pay periodic interest payments in exchange for a market-linked return based on a security or a basket of securities. To the extent the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. A Fund’s maximum risk of loss from counterparty credit risk for this type of total return swap agreement is the discounted net value of the cash flows to be received from or paid to the counterparty over the contract’s remaining life, to the extent this amount is positive. Other total return swap agreements involve a right to receive the appreciation in value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon rate. To the extent the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the value of that decline to the counterparty. A Fund’s maximum risk of loss from counterparty credit risk for this type of total return swap agreement is the value of the underlying security, index or other financial instrument.

The counterparty credit risk for the total return swap agreement is mitigated by having a master netting arrangement between a Fund and the counterparty and by posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.


	Expiration	Contracts Long / (Short)			Unrealized Appreciation / (Depreciation)
JNL/Goldman Sachs Core Plus Bond Fund
CME Ultra Long Term U.S. Treasury Bond Future	June 2011		266		$	247
Euro Schatz DUA Index Future	June 2011		310			(173	)
Euro-Bobl Future	June 2011		101			(5	)
Euro-Bund Future	June 2011		113			(51	)
U.S. Treasury Note Future, 10-Year	June 2011		107			(134	)
U.S. Treasury Note Future, 2-Year	June 2011		268			46
U.S. Treasury Note Future, 30-Year	June 2011		(165	)		(17	)
U.S. Treasury Note Future, 5-Year	June 2011		789			(557	)

					$	(644	)

JNL/Mellon Capital Management Global Alpha Fund
Amsterdam Exchange Index Future	April 2011		223		$	727
ASX SPI 200 Index Future	June 2011		(64	)		(384	)
Australia Commonwealth Treasury Bond Future, 10-Year	June 2011		298			(41	)
CAC 40 10 Euro Index Future	April 2011		(100	)		(398	)
Canadian Bond Future, 10-Year	June 2011		(130	)		(74	)
DAX Index Future	June 2011		68			1,098
Euro-Bund Future	June 2011		361			(152	)
FTSE 100 Index Future	June 2011		491			1,520
FTSE/MIB Index Future	June 2011		35			128
Hang Seng Index Future	April 2011		(224	)		(548	)
IBEX 35 Index Future	April 2011		14			57
Japanese Government Bond Future, 10-Year	June 2011		(817	)		(785	)
S&P 500 E-Mini Index Future	June 2011		(541	)		(402	)
S&P/TSX 60 Index Future	June 2011		(171	)		(854	)
Topix Index Future	June 2011		150			790
U.K. Long Gilt Future	June 2011		(569	)		(831	)
U.S. Treasury Note Future, 10-Year	June 2011		1,496			515

					$	366

JNL/Mellon Capital Management International Index Fund
ASX SPI 200 Index Future	June 2011		22		$	112
Euro Stoxx 50 Index Future	June 2011		260			262
FTSE 100 Index Future	June 2011		91			195
Topix Index Future	June 2011		68			65

					$	634

JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund
S&P MidCap 400 E-Mini Index Future	June 2011		369		$	1,022

JNL/Mellon Capital Management S&P 500 Index Fund
S&P 500 E-Mini Index Future	June 2011		1,053		$	649

JNL/Mellon Capital Management Small Cap Index Fund
Russell 2000 Mini Index Future	June 2011		151		$	554

JNL/PIMCO Real Return Fund
90-Day Eurodollar Future	June 2012		71		$	(39	)
90-Day Eurodollar Future	December 2011		120			(13	)
90-Day Eurodollar Future	September 2011		268			51
90-Day Eurodollar Future	March 2012		675			(104	)

					$	(105	)

JNL/PIMCO Total Return Bond Fund
90-Day Eurodollar Future	December 2012		255		$	(606	)


	Expiration	Contracts Long / (Short)			Unrealized Appreciation / (Depreciation)
JNL/PIMCO Total Return Bond Fund (continued)
90-Day Eurodollar Future	June 2011		457		$	47
90-Day Eurodollar Future	September 2013		671			(1,200	)
90-Day Eurodollar Future	June 2012		2,348			(673	)
90-Day Eurodollar Future	September 2011		3,200			835
90-Day Eurodollar Future	March 2012		3,406			141
90-Day Eurodollar Future	December 2011		4,949			2,228
U.S. Treasury Note Future, 10-Year	June 2011		(669	)		(283	)
U.S. Treasury Note Future, 2-Year	June 2011		38			4

					$	493

JNL/Select Balanced Fund
U.S. Treasury Note Future, 10-Year	June 2011		(57	)	$	(9	)

JNL/T.Rowe Price Short-Term Bond Fund
U.S. Treasury Note Future, 5-Year	June 2011		(105	)	$	32


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Capital Guardian Global Balanced Fund
	EUR/JPY	04/04/2011	BOA	JPY		(359,177	)	$	(4,318	)	$	167
	EUR/JPY	04/08/2011	CSI	JPY		(215,692	)		(2,593	)		67
	EUR/USD	04/08/2011	UBS	EUR		2,971			4,211			65
	EUR/USD	04/11/2011	BOA	EUR		900			1,275			25
	EUR/USD	04/28/2011	BOA	EUR		2,124			3,009			9
	JPY/EUR	04/04/2011	BOA	EUR		(1,972	)		(2,795	)		(148	)
	JPY/EUR	04/04/2011	BOA	EUR		(1,258	)		(1,783	)		(112	)
	JPY/EUR	04/08/2011	CSI	EUR		(1,952	)		(2,766	)		(173	)
	JPY/EUR	04/15/2011	BNY	EUR		(2,300	)		(3,259	)		(190	)
	JPY/USD	04/11/2011	BOA	JPY		701,199			8,430			(70	)
	JPY/USD	04/15/2011	JPM	JPY		81,900			985			(15	)
	JPY/USD	04/21/2011	BNY	JPY		32,762			394			(1	)
	USD/EUR	04/28/2011	BNY	EUR		(42	)		(59	)		—
	USD/EUR	04/28/2011	BNY	EUR		(1,374	)		(1,947	)		7
	USD/JPY	04/21/2011	BNY	JPY		(65,527	)		(788	)		46

								$	(2,004	)	$	(323	)

	JNL/Franklin Templeton Mutual Shares Fund
	CHF/USD	05/10/2011	DUB	CHF		316		$	344		$	—
	CHF/USD	05/10/2011	DUB	CHF		192			209			17
	CHF/USD	05/10/2011	DUB	CHF		401			437			35
	CHF/USD	05/10/2011	DUB	CHF		280			305			19
	CHF/USD	05/10/2011	BOA	CHF		318			346			15
	CHF/USD	05/10/2011	BOA	CHF		199			217			10
	CHF/USD	05/10/2011	SSB	CHF		185			201			3
	DKK/USD	04/26/2011	SSB	DKK		350			66			3
	DKK/USD	04/26/2011	DUB	DKK		854			162			5
	DKK/USD	04/26/2011	HMS	DKK		575			109			3
	DKK/USD	04/26/2011	DUB	DKK		596			113			3
	DKK/USD	04/26/2011	DUB	DKK		802			152			3
	DKK/USD	04/26/2011	DUB	DKK		590			112			2
	DKK/USD	04/26/2011	DUB	DKK		467			89			1
	DKK/USD	04/26/2011	DUB	DKK		505			96			2
	DKK/USD	04/26/2011	DUB	DKK		552			105			3
	DKK/USD	04/26/2011	DUB	DKK		550			104			2
	DKK/USD	04/26/2011	DUB	DKK		302			57			1
	DKK/USD	04/26/2011	DUB	DKK		457			87			1
	DKK/USD	04/26/2011	SSB	DKK		675			128			—
	DKK/USD	04/26/2011	DUB	DKK		557			106			—
	DKK/USD	04/26/2011	DUB	DKK		514			98			—
	DKK/USD	04/26/2011	DUB	DKK		319			61			—
	DKK/USD	04/26/2011	DUB	DKK		398			76			—
	EUR/USD	04/15/2011	BCL	EUR		150			213			4
	GBP/USD	05/12/2011	DUB	GBP		71			114			—
	GBP/USD	05/12/2011	DUB	GBP		316			507			1
	JPY/USD	04/20/2011	BOA	JPY		30,053			361			(9	)
	USD/CHF	05/10/2011	BOA	CHF		(275	)		(299	)		(11	)
	USD/CHF	05/10/2011	DUB	CHF		(500	)		(545	)		(18	)
	USD/CHF	05/10/2011	SSB	CHF		(119	)		(129	)		(2	)
	USD/CHF	05/10/2011	DUB	CHF		(6,489	)		(7,067	)		(336	)
	USD/CHF	05/10/2011	SSB	CHF		(4,060	)		(4,421	)		(211	)
	USD/CHF	05/10/2011	DUB	CHF		(216	)		(236	)		(18	)
	USD/CHF	05/10/2011	SSB	CHF		(150	)		(163	)		(10	)
	USD/DKK	04/26/2011	SSB	DKK		(11,203	)		(2,129	)		(109	)
	USD/EUR	04/15/2011	SSB	EUR		(32,904	)		(46,623	)		(2,810	)
	USD/EUR	04/15/2011	DUB	EUR		(438	)		(620	)		(39	)
	USD/EUR	04/15/2011	DUB	EUR		(183	)		(260	)		(14	)
	USD/EUR	04/15/2011	BOA	EUR		(209	)		(296	)		(15	)
	USD/EUR	04/15/2011	DUB	EUR		(240	)		(341	)		(17	)
	USD/EUR	04/15/2011	DUB	EUR		(99	)		(141	)		(7	)
	USD/EUR	04/15/2011	HSB	EUR		(1,610	)		(2,281	)		(93	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Franklin Templeton Mutual Shares Fund (continued)
	USD/EUR	04/15/2011	DUB	EUR		(232	)	$	(329	)	$	(14	)
	USD/EUR	04/15/2011	SSB	EUR		(116	)		(164	)		(6	)
	USD/EUR	04/15/2011	DUB	EUR		(398	)		(564	)		(22	)
	USD/EUR	04/15/2011	DUB	EUR		(238	)		(337	)		(12	)
	USD/EUR	04/15/2011	SSB	EUR		(99	)		(141	)		(5	)
	USD/EUR	04/15/2011	DUB	EUR		(195	)		(276	)		(9	)
	USD/EUR	04/15/2011	DUB	EUR		(279	)		(395	)		(16	)
	USD/EUR	04/15/2011	BCL	EUR		(202	)		(286	)		(12	)
	USD/EUR	04/15/2011	DUB	EUR		(397	)		(562	)		(20	)
	USD/EUR	04/15/2011	DUB	EUR		(700	)		(992	)		(32	)
	USD/EUR	04/15/2011	DUB	EUR		(463	)		(655	)		(26	)
	USD/EUR	04/15/2011	DUB	EUR		(206	)		(291	)		(13	)
	USD/EUR	04/15/2011	DUB	EUR		(102	)		(145	)		(7	)
	USD/EUR	04/15/2011	DUB	EUR		(284	)		(402	)		(19	)
	USD/EUR	04/15/2011	DUB	EUR		(221	)		(313	)		(11	)
	USD/EUR	04/15/2011	DUB	EUR		(137	)		(194	)		(7	)
	USD/EUR	04/15/2011	DUB	EUR		(755	)		(1,069	)		(32	)
	USD/EUR	04/15/2011	DUB	EUR		(292	)		(414	)		(6	)
	USD/EUR	04/15/2011	DUB	EUR		(379	)		(537	)		(7	)
	USD/EUR	04/15/2011	DUB	EUR		(458	)		(649	)		(4	)
	USD/GBP	05/12/2011	SSB	GBP		(197	)		(315	)		1
	USD/GBP	05/12/2011	DUB	GBP		(25,594	)		(41,039	)		14
	USD/GBP	05/12/2011	HSB	GBP		(1,400	)		(2,245	)		14
	USD/GBP	05/12/2011	SSB	GBP		(197	)		(316	)		—
	USD/GBP	05/12/2011	DUB	GBP		(185	)		(297	)		—
	USD/JPY	04/20/2011	SSB	JPY		(24,558	)		(295	)		5
	USD/JPY	04/20/2011	DUB	JPY		(18,700	)		(225	)		1
	USD/JPY	04/20/2011	DUB	JPY		(8,000	)		(96	)		2
	USD/JPY	04/20/2011	DUB	JPY		(19,500	)		(234	)		—
	USD/JPY	04/20/2011	SSB	JPY		(9,926	)		(119	)		3
	USD/JPY	04/20/2011	BCL	JPY		(201,784	)		(2,426	)		63
	USD/JPY	04/20/2011	DUB	JPY		(10,400	)		(125	)		4
	USD/JPY	04/20/2011	DUB	JPY		(6,139	)		(74	)		1
	USD/JPY	04/20/2011	DUB	JPY		(4,163	)		(50	)		—
	USD/JPY	04/20/2011	DUB	JPY		(6,508	)		(78	)		—
	USD/JPY	04/20/2011	BOA	JPY		(3,216	)		(39	)		—
	USD/JPY	04/20/2011	DUB	JPY		(7,043	)		(85	)		—
	USD/NOK	05/18/2011	BOA	NOK		(26,978	)		(4,867	)		(274	)

								$	(122,216	)	$	(4,032	)

	JNL/Goldman Sachs Core Plus Bond Fund
	AUD/CAD	06/15/2011	CIT	CAD		(1,482	)	$	(1,526	)	$	41
	AUD/CHF	06/15/2011	CIT	CHF		(1,387	)		(1,511	)		14
	AUD/EUR	06/15/2011	BOA	EUR		(1,067	)		(1,510	)		3
	AUD/USD	06/15/2011	WBC	AUD		4,350			4,458			175
	AUD/USD	06/15/2011	WBC	AUD		1,524			1,562			49
	AUD/USD	06/15/2011	MSC	AUD		1,507			1,544			29
	CAD/CHF	06/15/2011	UBS	CHF		(1,155	)		(1,258	)		10
	CAD/EUR	06/15/2011	RBC	EUR		(532	)		(753	)		(10	)
	CAD/GBP	06/15/2011	RBC	GBP		(265	)		(425	)		6
	CAD/JPY	06/15/2011	BOA	JPY		(111,530	)		(1,341	)		48
	CAD/USD	06/15/2011	RBS	CAD		7,697			7,926			145
	CHF/EUR	06/15/2011	JPM	EUR		(1,050	)		(1,486	)		(5	)
	CHF/EUR	06/15/2011	UBS	EUR		(1,091	)		(1,544	)		(48	)
	CHF/EUR	06/15/2011	UBS	EUR		(1,077	)		(1,524	)		(32	)
	CHF/EUR	06/15/2011	UBS	EUR		(1,081	)		(1,530	)		(25	)
	CHF/USD	06/15/2011	WBC	CHF		820			893			12
	CHF/USD	06/15/2011	UBS	CHF		4,622			5,035			20
	CHF/USD	06/15/2011	UBS	CHF		1,378			1,501			(30	)
	EUR/CAD	06/15/2011	RBC	CAD		(1,442	)		(1,485	)		23
	EUR/CAD	06/15/2011	RBC	CAD		(754	)		(777	)		(4	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Core Plus Bond Fund (continued)
	EUR/CHF	06/15/2011	UBS	CHF		(1,370	)	$	(1,493	)	$	19
	EUR/CHF	06/15/2011	CSI	CHF		(2,071	)		(2,256	)		35
	EUR/CHF	06/15/2011	RBC	CHF		(687	)		(748	)		15
	EUR/GBP	06/15/2011	BOA	GBP		(899	)		(1,441	)		66
	EUR/GBP	06/15/2011	HSB	GBP		(901	)		(1,444	)		40
	EUR/GBP	06/15/2011	BOA	GBP		(944	)		(1,512	)		23
	EUR/GBP	06/15/2011	JPM	GBP		(665	)		(1,066	)		3
	EUR/NZD	06/15/2011	HSB	NZD		(1,405	)		(1,067	)		(23	)
	EUR/NZD	06/15/2011	DUB	NZD		(2,140	)		(1,625	)		(81	)
	EUR/SEK	06/15/2011	HSB	SEK		(4,946	)		(781	)		(8	)
	EUR/USD	06/15/2011	RBS	EUR		1,066			1,509			47
	EUR/USD	06/15/2011	JPM	EUR		1,066			1,509			42
	EUR/USD	06/15/2011	JPM	EUR		1,066			1,509			43
	EUR/USD	06/15/2011	DUB	EUR		1,054			1,492			24
	EUR/USD	06/15/2011	WBC	EUR		2,094			2,963			36
	EUR/USD	06/15/2011	RBS	EUR		1,078			1,526			(2	)
	EUR/USD	06/15/2011	JPM	EUR		2,152			3,045			(8	)
	GBP/CHF	06/15/2011	HSB	CHF		(1,384	)		(1,507	)		(2	)
	GBP/EUR	06/15/2011	UBS	EUR		(2,110	)		(2,986	)		(85	)
	GBP/EUR	06/15/2011	BOA	EUR		(1,170	)		(1,656	)		(48	)
	GBP/EUR	06/15/2011	CIT	EUR		(1,080	)		(1,528	)		(21	)
	GBP/USD	04/04/2011	MSC	GBP		1,347			2,160			(8	)
	GBP/USD	06/15/2011	UBS	GBP		450			721			(5	)
	GBP/USD	06/15/2011	UBS	GBP		904			1,449			(17	)
	GBP/USD	06/15/2011	HSB	GBP		652			1,045			(22	)
	GBP/USD	06/15/2011	CIT	GBP		945			1,514			(13	)
	JPY/CAD	06/15/2011	UBS	CAD		(726	)		(748	)		(24	)
	JPY/EUR	06/15/2011	CSI	EUR		(638	)		(903	)		(33	)
	JPY/NOK	06/15/2011	HSB	NOK		(5,760	)		(1,037	)		(28	)
	JPY/NOK	06/15/2011	DUB	NOK		(8,320	)		(1,498	)		(36	)
	JPY/NOK	06/15/2011	HSB	NOK		(4,286	)		(772	)		(27	)
	JPY/NZD	06/15/2011	WBC	NZD		(913	)		(693	)		(43	)
	JPY/USD	06/15/2011	JPM	JPY		72,431			871			(7	)
	JPY/USD	06/15/2011	UBS	JPY		91,433			1,100			(15	)
	JPY/USD	06/15/2011	HSB	JPY		122,249			1,470			(5	)
	JPY/USD	06/15/2011	SSB	JPY		243,580			2,930			(113	)
	NOK/EUR	06/15/2011	CIT	EUR		(3,832	)		(5,423	)		15
	NOK/JPY	06/15/2011	CIT	JPY		(119,935	)		(1,443	)		32
	NOK/USD	06/15/2011	HSB	NOK		8,549			1,540			11
	NOK/USD	06/15/2011	RBS	NOK		8,526			1,535			7
	NZD/AUD	06/15/2011	HSB	AUD		(866	)		(888	)		(5	)
	NZD/EUR	06/15/2011	WBC	EUR		(1,088	)		(1,540	)		23
	NZD/USD	06/15/2011	WBC	NZD		958			727			6
	NZD/USD	06/15/2011	MSC	NZD		6,594			5,007			36
	NZD/USD	06/15/2011	CIT	NZD		981			745			18
	NZD/USD	06/15/2011	WBC	NZD		2,071			1,573			60
	NZD/USD	06/15/2011	WBC	NZD		2,086			1,584			62
	SEK/EUR	06/15/2011	HSB	EUR		(1,069	)		(1,513	)		(24	)
	SEK/EUR	06/15/2011	RBS	EUR		(713	)		(1,009	)		(9	)
	SEK/EUR	06/15/2011	HSB	EUR		(538	)		(761	)		—
	SEK/USD	06/15/2011	BCL	SEK		12,638			1,995			37
	USD/AUD	06/15/2011	WBC	AUD		(835	)		(856	)		(22	)
	USD/AUD	06/15/2011	HSB	AUD		(1,442	)		(1,478	)		(33	)
	USD/AUD	06/15/2011	CIT	AUD		(1,985	)		(2,034	)		(81	)
	USD/AUD	06/15/2011	UBS	AUD		(1,534	)		(1,572	)		(73	)
	USD/AUD	06/15/2011	CIT	AUD		(3,029	)		(3,104	)		(79	)
	USD/BRL	04/11/2011	UBS	BRL		(9,229	)		(5,645	)		(288	)
	USD/CAD	06/15/2011	RBC	CAD		(1,004	)		(1,033	)		(1	)
	USD/CAD	06/15/2011	RBC	CAD		(1,498	)		(1,543	)		(22	)
	USD/CHF	06/15/2011	UBS	CHF		(4,936	)		(5,377	)		(186	)
	USD/CHF	06/15/2011	CIT	CHF		(799	)		(870	)		(25	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Core Plus Bond Fund (continued)
	USD/CHF	06/15/2011	CIT	CHF		(1,370	)	$	(1,492	)	$	(35	)
	USD/CHF	06/15/2011	UBS	CHF		(1,398	)		(1,523	)		(2	)
	USD/EUR	06/15/2011	DUB	EUR		(281	)		(398	)		(17	)
	USD/EUR	06/15/2011	HSB	EUR		(1,066	)		(1,509	)		(46	)
	USD/EUR	06/15/2011	JPM	EUR		(1,067	)		(1,510	)		(37	)
	USD/EUR	06/15/2011	CSI	EUR		(306	)		(433	)		(8	)
	USD/EUR	06/15/2011	HSB	EUR		(761	)		(1,077	)		(8	)
	USD/GBP	04/04/2011	JPM	GBP		(1,922	)		(3,083	)		13
	USD/GBP	06/15/2011	HSB	GBP		(73	)		(117	)		1
	USD/GBP	06/15/2011	MSC	GBP		(756	)		(1,212	)		13
	USD/GBP	06/15/2011	CIT	GBP		(906	)		(1,452	)		10
	USD/GBP	06/15/2011	CIT	GBP		(471	)		(755	)		9
	USD/GBP	06/15/2011	HSB	GBP		(958	)		(1,535	)		(9	)
	USD/JPY	06/15/2011	BOA	JPY		(684,115	)		(8,228	)		(33	)
	USD/JPY	06/15/2011	HSB	JPY		(67,773	)		(815	)		1
	USD/JPY	06/15/2011	HSB	JPY		(120,881	)		(1,454	)		18
	USD/JPY	06/15/2011	CIT	JPY		(120,464	)		(1,449	)		82
	USD/NOK	06/15/2011	MSC	NOK		(5,996	)		(1,080	)		(25	)
	USD/NOK	06/15/2011	HSB	NOK		(8,705	)		(1,568	)		(37	)
	USD/NZD	06/15/2011	CIT	NZD		(1,791	)		(1,360	)		(42	)
	USD/NZD	06/15/2011	WBC	NZD		(2,119	)		(1,609	)		(88	)
	USD/NZD	06/15/2011	MSC	NZD		(1,334	)		(1,013	)		(41	)
	USD/NZD	06/15/2011	CIT	NZD		(2,065	)		(1,568	)		(49	)

								$	(51,322	)	$	(731	)

	JNL/Goldman Sachs Emerging Markets Debt Fund
	BRL/USD	04/11/2011	UBS	BRL		19,362		$	11,843		$	604
	BRL/USD	04/11/2011	RBC	BRL		6,393			3,911			145
	BRL/USD	04/11/2011	HSB	BRL		21,453			13,123			211
	CLP/USD	04/11/2011	RBC	CLP		619,658			1,296			12
	CLP/USD	04/11/2011	DUB	CLP		6,124,778			12,813			123
	CLP/USD	04/25/2011	HSB	CLP		6,188,324			12,927			142
	CNY/USD	07/07/2011	BCL	CNY		91,357			14,023			(6	)
	CNY/USD	07/07/2011	HSB	CNY		67,696			10,391			(3	)
	CNY/USD	07/07/2011	BCL	CNY		245,302			37,653			119
	CNY/USD	07/07/2011	DUB	CNY		8,039			1,234			3
	COP/USD	04/11/2011	DUB	COP		22,663,419			12,119			140
	COP/USD	04/11/2011	BOA	COP		3,545,289			1,896			(7	)
	EUR/PLN	06/15/2011	DUB	PLN		(5,209	)		(1,823	)		(34	)
	EUR/PLN	06/15/2011	BCL	PLN		(13,179	)		(4,612	)		(85	)
	EUR/PLN	06/15/2011	HSB	PLN		(36,834	)		(12,890	)		88
	EUR/USD	06/15/2011	DUB	EUR		21,883			30,967			769
	EUR/USD	06/15/2011	BCL	EUR		2,308			3,266			68
	EUR/USD	06/15/2011	UBS	EUR		5,542			7,843			84
	EUR/USD	06/15/2011	RBC	EUR		9,159			12,961			56
	HUF/EUR	06/15/2011	BOA	EUR		(4,422	)		(6,258	)		110
	HUF/EUR	06/15/2011	HSB	EUR		(4,505	)		(6,375	)		99
	HUF/EUR	06/15/2011	BCL	EUR		(4,518	)		(6,394	)		89
	HUF/EUR	06/15/2011	DUB	EUR		(3,978	)		(5,629	)		64
	IDR/USD	04/11/2011	DUB	IDR		131,615,914			15,098			730
	IDR/USD	04/11/2011	RBC	IDR		34,734,945			3,985			200
	IDR/USD	04/11/2011	BCL	IDR		62,795,270			7,204			371
	IDR/USD	04/11/2011	RBC	IDR		22,588,498			2,591			25
	IDR/USD	04/11/2011	BCL	IDR		15,044,172			1,726			10
	ILS/USD	06/15/2011	CIT	ILS		22,751			6,518			59
	INR/USD	04/11/2011	HSB	INR		562,520			12,597			339
	INR/USD	04/11/2011	DUB	INR		815,169			18,255			573
	INR/USD	04/11/2011	BOA	INR		117,857			2,639			83
	INR/USD	04/11/2011	DUB	INR		283,314			6,345			151
	INR/USD	04/11/2011	HSB	INR		284,093			6,362			67
	INR/USD	04/11/2011	DUB	INR		283,842			6,357			62


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund (continued)
	INR/USD	04/28/2011	JPM	INR		575,069		$	12,837		$	52
	INR/USD	07/14/2011	DUB	INR		293,009			6,445			53
	INR/USD	07/14/2011	HSB	INR		290,772			6,396			4
	JPY/USD	06/15/2011	RBC	JPY		415,566			4,998			(86	)
	KRW/USD	04/11/2011	HSB	KRW		8,618,625			7,854			193
	KRW/USD	04/11/2011	BCL	KRW		5,194,840			4,734			137
	KRW/USD	04/11/2011	HSB	KRW		13,707,588			12,491			355
	KRW/USD	04/11/2011	HSB	KRW		17,037,440			15,525			313
	KRW/USD	04/11/2011	DUB	KRW		6,791,947			6,189			115
	KRW/USD	04/11/2011	HSB	KRW		13,708,003			12,491			103
	KRW/USD	04/11/2011	BCL	KRW		7,043,481			6,418			151
	KRW/USD	04/11/2011	HSB	KRW		4,325,952			3,942			95
	KRW/USD	04/11/2011	MSC	KRW		1,328,792			1,211			40
	KRW/USD	04/11/2011	UBS	KRW		7,113,657			6,482			90
	KRW/USD	04/28/2011	RBC	KRW		14,351,163			13,064			279
	KRW/USD	07/14/2011	RBS	KRW		14,217,258			12,877			287
	KRW/USD	07/14/2011	CIT	KRW		7,229,352			6,548			156
	MXN/USD	06/15/2011	DUB	MXN		322,628			26,942			562
	MXN/USD	06/15/2011	HSB	MXN		131,837			11,009			202
	MXN/USD	06/15/2011	HSB	MXN		56,214			4,694			72
	MXN/USD	06/15/2011	HSB	MXN		150,222			12,545			104
	MXN/USD	06/15/2011	RBC	MXN		76,413			6,381			45
	MXN/USD	06/15/2011	BCL	MXN		71,825			5,998			26
	MXN/USD	06/15/2011	BOA	MXN		23,768			1,985			33
	MXN/USD	06/15/2011	BCL	MXN		77,448			6,468			26
	MXN/USD	06/15/2011	HSB	MXN		390,550			32,614			224
	MXN/USD	06/15/2011	HSB	MXN		77,476			6,470			11
	MYR/USD	04/11/2011	RBC	MYR		23,535			7,767			106
	MYR/USD	04/11/2011	RBC	MYR		14,154			4,671			74
	MYR/USD	04/11/2011	BCL	MYR		106,965			35,300			591
	MYR/USD	04/11/2011	WBC	MYR		9,548			3,151			48
	MYR/USD	04/11/2011	DUB	MYR		37,742			12,456			51
	MYR/USD	04/11/2011	MSC	MYR		4,701			1,551			—
	MYR/USD	04/11/2011	DUB	MYR		37,040			12,224			28
	MYR/USD	07/14/2011	CIT	MYR		38,345			12,572			(18	)
	MYR/USD	07/14/2011	BCL	MYR		38,890			12,751			(44	)
	MYR/USD	07/14/2011	DUB	MYR		7,520			2,466			(11	)
	PEN/USD	04/11/2011	HSB	PEN		2,127			758			3
	PEN/USD	04/11/2011	HSB	PEN		8,515			3,034			5
	PEN/USD	04/11/2011	DUB	PEN		25,205			8,980			(8	)
	PEN/USD	07/14/2011	CIT	PEN		8,890			3,152			(44	)
	PHP/USD	04/11/2011	DUB	PHP		85,585			1,971			19
	PHP/USD	04/12/2011	HSB	PHP		333,407			7,679			18
	PHP/USD	04/12/2011	CIT	PHP		890,749			20,516			418
	PHP/USD	04/12/2011	HSB	PHP		586,597			13,510			41
	PHP/USD	04/12/2011	DUB	PHP		267,619			6,164			9
	PHP/USD	04/12/2011	DUB	PHP		204,293			4,705			(24	)
	PHP/USD	07/14/2011	DUB	PHP		546,368			12,534			(56	)
	PLN/EUR	06/15/2011	CIT	EUR		(34,453	)		(48,756	)		(351	)
	PLN/USD	06/15/2011	RBC	PLN		5,694			1,993			41
	PLN/USD	06/15/2011	MLP	PLN		29,918			10,470			38
	PLN/USD	06/15/2011	CIT	PLN		34,378			12,031			(74	)
	RUB/USD	04/11/2011	DUB	RUB		1,811,758			63,686			4,953
	RUB/USD	04/11/2011	HSB	RUB		461,496			16,222			1,259
	RUB/USD	04/11/2011	BCL	RUB		184,041			6,469			384
	RUB/USD	04/11/2011	CIT	RUB		182,706			6,422			348
	RUB/USD	04/11/2011	CIT	RUB		182,720			6,423			227
	RUB/USD	04/11/2011	BCL	RUB		151,947			5,341			192
	RUB/USD	04/11/2011	UBS	RUB		33,537			1,179			8
	RUB/USD	07/14/2011	UBS	RUB		360,515			12,574			(16	)
	RUB/USD	07/14/2011	BCL	RUB		360,174			12,562			(128	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund (continued)
	SGD/USD	06/15/2011	MSC	SGD		23,716		$	18,817		$	276
	SGD/USD	06/15/2011	HSB	SGD		15,958			12,662			72
	SGD/USD	06/15/2011	CIT	SGD		15,896			12,613			23
	TRY/USD	06/15/2011	RBS	TRY		60,919			38,965			1,529
	TRY/USD	06/15/2011	CIT	TRY		3,115			1,993			87
	TRY/USD	06/15/2011	RBC	TRY		2,503			1,601			76
	TRY/USD	06/15/2011	RBC	TRY		20,024			12,808			218
	TRY/USD	06/15/2011	BCL	TRY		10,152			6,493			63
	TRY/USD	06/15/2011	CIT	TRY		10,132			6,480			38
	TWD/USD	04/11/2011	RBC	TWD		337,987			11,495			131
	TWD/USD	04/11/2011	RBC	TWD		215,008			7,313			(119	)
	TWD/USD	04/11/2011	HSB	TWD		140,827			4,790			23
	TWD/USD	04/11/2011	BCL	TWD		140,306			4,772			22
	TWD/USD	04/11/2011	HSB	TWD		235,894			8,023			32
	USD/BRL	04/11/2011	RBC	BRL		(6,711	)		(4,105	)		(100	)
	USD/BRL	04/11/2011	RBC	BRL		(711	)		(435	)		(13	)
	USD/CLP	04/11/2011	HSB	CLP		(63,361	)		(133	)		(6	)
	USD/CLP	04/11/2011	DUB	CLP		(5,936,277	)		(12,419	)		22
	USD/CLP	04/11/2011	HSB	CLP		(3,040,330	)		(6,361	)		(25	)
	USD/CLP	04/11/2011	MLP	CLP		(2,651,666	)		(5,547	)		(73	)
	USD/COP	04/11/2011	DUB	COP		(2,338,752	)		(1,251	)		(3	)
	USD/EUR	06/15/2011	RBC	EUR		(4,442	)		(6,286	)		1
	USD/EUR	06/15/2011	WBC	EUR		(18,074	)		(25,577	)		(61	)
	USD/EUR	06/15/2011	CIT	EUR		(4,520	)		(6,396	)		(13	)
	USD/EUR	06/15/2011	RBC	EUR		(9,089	)		(12,862	)		(99	)
	USD/EUR	06/15/2011	RBC	EUR		(4,531	)		(6,412	)		(22	)
	USD/HUF	06/15/2011	HSB	HUF		(583,395	)		(3,080	)		(44	)
	USD/HUF	06/15/2011	DUB	HUF		(5,366,763	)		(28,334	)		(1,712	)
	USD/HUF	06/15/2011	RBC	HUF		(475,680	)		(2,511	)		(111	)
	USD/IDR	04/11/2011	BCL	IDR		(68,972,416	)		(7,912	)		(360	)
	USD/IDR	04/11/2011	BCL	IDR		(62,329,040	)		(7,150	)		(278	)
	USD/IDR	04/11/2011	DUB	IDR		(14,076,229	)		(1,615	)		(30	)
	USD/INR	04/11/2011	BCL	INR		(279,120	)		(6,251	)		(158	)
	USD/INR	04/11/2011	BCL	INR		(325,524	)		(7,290	)		(218	)
	USD/INR	04/11/2011	CIT	INR		(573,635	)		(12,846	)		(422	)
	USD/INR	04/11/2011	CIT	INR		(556,737	)		(12,468	)		(336	)
	USD/INR	04/11/2011	UBS	INR		(43,842	)		(982	)		(13	)
	USD/JPY	06/15/2011	HSB	JPY		(421,898	)		(5,074	)		77
	USD/KRW	04/11/2011	DUB	KRW		(6,813,193	)		(6,208	)		(115	)
	USD/KRW	04/11/2011	RBC	KRW		(10,330,436	)		(9,414	)		(255	)
	USD/KRW	04/11/2011	HSB	KRW		(10,318,455	)		(9,403	)		(253	)
	USD/KRW	04/11/2011	BOA	KRW		(13,958,364	)		(12,719	)		(295	)
	USD/KRW	04/11/2011	UBS	KRW		(6,904,928	)		(6,292	)		(226	)
	USD/KRW	04/11/2011	DUB	KRW		(10,528,338	)		(9,594	)		(274	)
	USD/KRW	04/11/2011	BCL	KRW		(10,548,205	)		(9,612	)		(274	)
	USD/MXN	06/15/2011	DUB	MXN		(153,424	)		(12,812	)		(309	)
	USD/MXN	06/15/2011	HSB	MXN		(106,654	)		(8,906	)		(80	)
	USD/MXN	06/15/2011	BCL	MXN		(32,159	)		(2,686	)		(16	)
	USD/MXN	06/15/2011	BCL	MXN		(31,142	)		(2,601	)		(25	)
	USD/MYR	04/11/2011	DUB	MYR		(17,926	)		(5,916	)		(55	)
	USD/MYR	04/11/2011	DUB	MYR		(37,460	)		(12,363	)		(157	)
	USD/MYR	04/11/2011	BCL	MYR		(23,674	)		(7,813	)		(37	)
	USD/MYR	04/11/2011	CIT	MYR		(24,081	)		(7,947	)		(94	)
	USD/MYR	04/11/2011	BCL	MYR		(20,070	)		(6,623	)		(72	)
	USD/MYR	04/11/2011	DUB	MYR		(43,928	)		(14,497	)		(146	)
	USD/PEN	04/11/2011	DUB	PEN		(4,289	)		(1,528	)		20
	USD/PHP	04/12/2011	BCL	PHP		(267,415	)		(6,159	)		(103	)
	USD/PHP	04/12/2011	RBC	PHP		(184,900	)		(4,259	)		(62	)
	USD/PHP	04/12/2011	BCL	PHP		(543,521	)		(12,518	)		(312	)
	USD/PHP	04/12/2011	HSB	PHP		(267,086	)		(6,152	)		(86	)
	USD/PHP	04/12/2011	BCL	PHP		(136,431	)		(3,142	)		(23	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund (continued)
	USD/PHP	04/12/2011	DUB	PHP		(135,616	)	$	(3,123	)	$	(24	)
	USD/PLN	06/15/2011	BCL	PLN		(4,487	)		(1,570	)		(13	)
	USD/RUB	04/04/2011	UBS	RUB		(173,671	)		(6,108	)		(10	)
	USD/RUB	04/04/2011	RBC	RUB		(176,003	)		(6,190	)		4
	USD/RUB	04/11/2011	BCL	RUB		(368,780	)		(12,963	)		(45	)
	USD/RUB	04/11/2011	CGM	RUB		(368,357	)		(12,948	)		(30	)
	USD/RUB	04/11/2011	HSB	RUB		(369,419	)		(12,986	)		(800	)
	USD/RUB	04/11/2011	BCL	RUB		(182,798	)		(6,426	)		(402	)
	USD/RUB	04/11/2011	HSB	RUB		(57,111	)		(2,008	)		(110	)
	USD/RUB	04/11/2011	HSB	RUB		(174,296	)		(6,127	)		(29	)
	USD/RUB	04/11/2011	CIT	RUB		(175,547	)		(6,171	)		23
	USD/RUB	04/11/2011	BCL	RUB		(216,362	)		(7,605	)		(24	)
	USD/RUB	04/11/2011	HSB	RUB		(216,305	)		(7,603	)		(22	)
	USD/SGD	06/15/2011	HSB	SGD		(7,991	)		(6,341	)		(90	)
	USD/SGD	06/15/2011	HSB	SGD		(8,051	)		(6,388	)		(106	)
	USD/TWD	04/11/2011	HSB	TWD		(166,084	)		(5,649	)		149
	USD/TWD	04/11/2011	DUB	TWD		(166,432	)		(5,660	)		137
	USD/TWD	04/11/2011	RBC	TWD		(220,479	)		(7,499	)		181
	USD/TWD	04/11/2011	HSB	TWD		(361,916	)		(12,309	)		96
	USD/TWD	04/11/2011	DUB	TWD		(360,331	)		(12,255	)		(59	)
	USD/ZAR	06/15/2011	BCL	ZAR		(25,526	)		(3,733	)		(126	)
	USD/ZAR	06/15/2011	RBC	ZAR		(34,696	)		(5,074	)		(91	)
	USD/ZAR	06/15/2011	HSB	ZAR		(254,428	)		(37,206	)		(1,759	)
	USD/ZAR	06/15/2011	HSB	ZAR		(11,408	)		(1,668	)		(36	)
	ZAR/USD	06/15/2011	RBC	ZAR		54,211			7,927			311
	ZAR/USD	06/15/2011	RBC	ZAR		10,941			1,600			44
	ZAR/USD	06/15/2011	BCL	ZAR		44,024			6,438			143
	ZAR/USD	06/15/2011	CIT	ZAR		44,012			6,436			141
	ZAR/USD	06/15/2011	HSB	ZAR		16,513			2,415			54
	ZAR/USD	06/15/2011	CIT	ZAR		44,722			6,540			148
	ZAR/USD	06/15/2011	BOA	ZAR		147,174			21,522			353
	ZAR/USD	06/15/2011	MSC	ZAR		114,938			16,808			121
	ZAR/USD	06/15/2011	BCL	ZAR		44,544			6,514			55

								$	451,052		$	10,599

	JNL/Ivy Asset Strategy Fund
	CNY/USD	06/28/2012	CIT	CNY		184,000		$	28,354		$	(554	)
	CNY/USD	06/28/2012	CIT	CNY		1,610			248			—
	CNY/USD	06/28/2012	JPM	CNY		4,600			709			—
	CNY/USD	06/28/2012	CIT	CNY		1,900			293			1
	CNY/USD	06/28/2012	CIT	CNY		4,490			692			2
	EUR/USD	04/11/2011	CIT	EUR		9,800			13,887			543
	EUR/USD	04/11/2011	CIT	EUR		13,400			18,988			796
	EUR/USD	04/11/2011	CIT	EUR		10,500			14,879			606
	EUR/USD	04/11/2011	CIT	EUR		4,500			6,377			292
	EUR/USD	04/11/2011	CIT	EUR		1,500			2,126			106
	EUR/USD	04/11/2011	CIT	EUR		5,941			8,418			221
	JPY/USD	04/12/2011	DUB	JPY		56,000			673			(11	)
	USD/CHF	04/11/2011	DUB	CHF		(15,320	)		(16,680	)		(789	)
	USD/CHF	07/11/2011	CIT	CHF		(6,040	)		(6,581	)		(312	)
	USD/EUR	04/11/2011	CIT	EUR		(32,481	)		(46,026	)		(3,824	)
	USD/EUR	04/11/2011	CIT	EUR		(4,500	)		(6,377	)		(551	)
	USD/EUR	04/11/2011	CIT	EUR		(3,220	)		(4,563	)		(387	)
	USD/EUR	04/11/2011	CIT	EUR		(5,440	)		(7,709	)		(641	)
	USD/JPY	04/12/2011	DUB	JPY		(3,524,000	)		(42,368	)		(1	)
	USD/JPY	07/12/2011	CIT	JPY		(939,800	)		(11,306	)		(9	)

								$	(45,966	)	$	(4,512	)

	JNL/JPMorgan International Value Fund
	AUD/USD	05/27/2011	SSB	AUD		52,414		$	53,845		$	1,811
	CHF/USD	05/27/2011	SSB	CHF		12,485			13,597			258


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/JPMorgan International Value Fund (continued)
	EUR/USD	05/27/2011	SSB	EUR		5,120		$	7,248		$	107
	EUR/USD	05/27/2011	WBC	EUR		1,472			2,085			30
	EUR/USD	05/27/2011	SSB	EUR		1,484			2,101			11
	GBP/JPY	05/27/2011	CSI	JPY		(312,819	)		(3,762	)		58
	GBP/USD	05/27/2011	SSB	GBP		1,201			1,926			(33	)
	GBP/USD	05/27/2011	SSB	GBP		1,231			1,974			(11	)
	HKD/USD	05/27/2011	WBC	HKD		16,095			2,070			6
	JPY/USD	05/27/2011	SSB	JPY		254,453			3,060			1
	JPY/USD	05/27/2011	MLP	JPY		606,926			7,299			(36	)
	JPY/USD	05/27/2011	SSB	JPY		189,692			2,281			(15	)
	NOK/USD	05/27/2011	GSC	NOK		15,949			2,875			88
	SEK/USD	05/27/2011	MLP	SEK		83,732			13,228			217
	SGD/USD	05/27/2011	MLP	SGD		6,984			5,541			62
	USD/CAD	05/27/2011	SSB	CAD		(7,502	)		(7,729	)		(156	)
	USD/EUR	05/27/2011	BCL	EUR		(6,319	)		(8,947	)		(399	)
	USD/EUR	05/27/2011	SSB	EUR		(12,339	)		(17,468	)		(534	)
	USD/EUR	05/27/2011	WBC	EUR		(1,440	)		(2,039	)		(61	)
	USD/GBP	05/27/2011	BCL	GBP		(2,917	)		(4,677	)		1
	USD/GBP	05/27/2011	SSB	GBP		(27,826	)		(44,607	)		583
	USD/HKD	05/27/2011	MSC	HKD		(27,274	)		(3,508	)		(8	)
	USD/JPY	05/27/2011	MSC	JPY		(212,749	)		(2,558	)		3
	USD/JPY	05/27/2011	WBC	JPY		(117,883	)		(1,418	)		80
	USD/JPY	05/27/2011	UBS	JPY		(323,075	)		(3,885	)		97

								$	18,532		$	2,160

	JNL/Mellon Capital Management Global Alpha Fund
	AUD/USD	06/15/2011	BOA	AUD		38,362		$	39,315		$	949
	AUD/USD	06/15/2011	HSB	AUD		38,800			39,764			1,053
	AUD/USD	06/15/2011	BCL	AUD		1,789			1,833			24
	AUD/USD	06/15/2011	UBS	AUD		596			611			8
	AUD/USD	06/15/2011	UBS	AUD		1,789			1,833			23
	AUD/USD	06/15/2011	HSB	AUD		2,385			2,444			38
	AUD/USD	06/15/2011	DUB	AUD		3,578			3,666			47
	AUD/USD	06/15/2011	RBS	AUD		1,789			1,833			25
	CAD/USD	06/15/2011	RBS	CAD		5,873			6,047			32
	CAD/USD	06/15/2011	BOA	CAD		6,575			6,771			18
	CAD/USD	06/15/2011	RBS	CAD		10,430			10,740			1
	CAD/USD	06/15/2011	BOA	CAD		770			793			8
	CAD/USD	06/15/2011	UBS	CAD		75			78			—
	CAD/USD	06/15/2011	BCL	CAD		374			385			2
	CAD/USD	06/15/2011	HSB	CAD		299			308			2
	CAD/USD	06/15/2011	BOA	CAD		448			462			3
	CAD/USD	06/15/2011	DUB	CAD		298			307			2
	CHF/USD	06/15/2011	BCL	CHF		8,468			9,224			173
	CHF/USD	06/15/2011	UBS	CHF		11,194			12,194			119
	CHF/USD	06/15/2011	UBS	CHF		1,028			1,119			6
	CHF/USD	06/15/2011	BCL	CHF		1,000			1,089			9
	CHF/USD	06/15/2011	BOA	CHF		1,254			1,366			12
	CHF/USD	06/15/2011	DUB	CHF		1,009			1,100			8
	CHF/USD	06/15/2011	UBS	CHF		7,275			7,925			(24	)
	CHF/USD	06/15/2011	DUB	CHF		2,527			2,753			(58	)
	CHF/USD	06/15/2011	BCL	CHF		2,527			2,753			(57	)
	CHF/USD	06/15/2011	RBS	CHF		2,527			2,753			(53	)
	CHF/USD	06/15/2011	HSB	CHF		5,054			5,506			(97	)
	EUR/USD	06/15/2011	UBS	EUR		18,670			26,421			532
	EUR/USD	06/15/2011	BOA	EUR		3,201			4,530			67
	EUR/USD	06/15/2011	BCL	EUR		2,551			3,610			54
	EUR/USD	06/15/2011	UBS	EUR		2,623			3,712			46
	EUR/USD	06/15/2011	DUB	EUR		2,576			3,645			51
	EUR/USD	06/15/2011	UBS	EUR		16,020			22,671			271
	EUR/USD	06/15/2011	BOA	EUR		7,266			10,282			(5	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	EUR/USD	06/15/2011	RBS	EUR		2,906		$	4,113		$	(6	)
	EUR/USD	06/15/2011	HSB	EUR		2,180			3,085			1
	EUR/USD	06/15/2011	BCL	EUR		2,180			3,085			—
	EUR/USD	06/15/2011	BOA	EUR		13,633			19,293			(33	)
	EUR/USD	06/15/2011	UBS	EUR		1,645			2,328			(5	)
	EUR/USD	06/15/2011	RBS	EUR		1,645			2,328			(4	)
	EUR/USD	06/15/2011	DUB	EUR		3,291			4,657			(8	)
	EUR/USD	06/15/2011	UBS	EUR		548			776			(1	)
	EUR/USD	06/15/2011	HSB	EUR		2,194			3,105			(1	)
	EUR/USD	06/15/2011	BCL	EUR		1,645			2,328			(4	)
	EUR/USD	06/15/2011	BCL	EUR		2,951			4,176			20
	EUR/USD	06/15/2011	UBS	EUR		596			844			4
	EUR/USD	06/15/2011	HSB	EUR		2,361			3,341			17
	EUR/USD	06/15/2011	BOA	EUR		3,542			5,012			23
	EUR/USD	06/15/2011	DUB	EUR		2,355			3,333			19
	GBP/USD	06/15/2011	RBS	GBP		15,111			24,217			(159	)
	GBP/USD	06/15/2011	UBS	GBP		2,726			4,368			(43	)
	GBP/USD	06/15/2011	HSB	GBP		3,818			6,119			(37	)
	GBP/USD	06/15/2011	DUB	GBP		1,909			3,060			(17	)
	GBP/USD	06/15/2011	RBS	GBP		1,909			3,060			5
	GBP/USD	06/15/2011	BCL	GBP		1,909			3,060			5
	GBP/USD	06/15/2011	BOA	GBP		3,041			4,874			(101	)
	JPY/USD	06/15/2011	BCL	JPY		23,342			281			(15	)
	JPY/USD	06/15/2011	HSB	JPY		46,684			562			(32	)
	JPY/USD	06/15/2011	DUB	JPY		23,342			281			(16	)
	JPY/USD	06/15/2011	RBS	JPY		23,342			281			(14	)
	JPY/USD	06/15/2011	BOA	JPY		117,164			1,409			(39	)
	JPY/USD	06/15/2011	UBS	JPY		17,490			210			(6	)
	JPY/USD	06/15/2011	HSB	JPY		23,319			280			(8	)
	JPY/USD	06/15/2011	DUB	JPY		34,979			421			(12	)
	JPY/USD	06/15/2011	UBS	JPY		5,830			70			(2	)
	JPY/USD	06/15/2011	RBS	JPY		17,490			210			(6	)
	JPY/USD	06/15/2011	BCL	JPY		17,490			210			(6	)
	NOK/USD	06/15/2011	BOA	NOK		8,507			1,532			14
	NOK/USD	06/15/2011	BCL	NOK		3,065			552			1
	NOK/USD	06/15/2011	DUB	NOK		6,129			1,104			4
	NOK/USD	06/15/2011	RBS	NOK		3,065			552			3
	NOK/USD	06/15/2011	HSB	NOK		4,086			736			4
	NOK/USD	06/15/2011	UBS	NOK		1,022			184			1
	NOK/USD	06/15/2011	UBS	NOK		3,065			552			1
	NZD/USD	06/15/2011	RBS	NZD		761			578			21
	NZD/USD	06/15/2011	BCL	NZD		571			433			16
	NZD/USD	06/15/2011	BOA	NZD		1,902			1,444			58
	NZD/USD	06/15/2011	HSB	NZD		571			433			16
	NZD/USD	06/15/2011	BCL	NZD		1,446			1,098			13
	NZD/USD	06/15/2011	UBS	NZD		292			222			2
	NZD/USD	06/15/2011	HSB	NZD		1,157			878			10
	NZD/USD	06/15/2011	DUB	NZD		1,154			876			12
	NZD/USD	06/15/2011	BOA	NZD		1,735			1,317			15
	SEK/USD	06/15/2011	UBS	SEK		100,312			15,831			72
	SEK/USD	06/15/2011	BOA	SEK		135,311			21,355			163
	SEK/USD	06/15/2011	HSB	SEK		32,108			5,067			34
	SEK/USD	06/15/2011	DUB	SEK		157,879			24,917			112
	SEK/USD	06/15/2011	BCL	SEK		1,037			164			1
	SEK/USD	06/15/2011	DUB	SEK		1,047			165			1
	SEK/USD	06/15/2011	BOA	SEK		1,302			205			1
	SEK/USD	06/15/2011	UBS	SEK		1,066			168			1
	SEK/USD	06/15/2011	UBS	SEK		1,766			279			4
	USD/AUD	06/15/2011	DUB	AUD		(77	)		(79	)		(2	)
	USD/AUD	06/15/2011	BCL	AUD		(77	)		(79	)		(2	)
	USD/AUD	06/15/2011	UBS	AUD		(79	)		(81	)		(2	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	USD/AUD	06/15/2011	BOA	AUD		(96	)	$	(99	)	$	(3	)
	USD/AUD	06/15/2011	UBS	AUD		(17,522	)		(17,958	)		(778	)
	USD/AUD	06/15/2011	RBS	AUD		(153	)		(156	)		(8	)
	USD/AUD	06/15/2011	DUB	AUD		(153	)		(156	)		(8	)
	USD/AUD	06/15/2011	BCL	AUD		(153	)		(156	)		(8	)
	USD/AUD	06/15/2011	HSB	AUD		(305	)		(313	)		(16	)
	USD/AUD	06/15/2011	HSB	AUD		(50	)		(51	)		(1	)
	USD/AUD	06/15/2011	BCL	AUD		(50	)		(51	)		(1	)
	USD/AUD	06/15/2011	BOA	AUD		(168	)		(172	)		(6	)
	USD/AUD	06/15/2011	RBS	AUD		(67	)		(69	)		(2	)
	USD/AUD	06/15/2011	BOA	AUD		(13,990	)		(14,338	)		(352	)
	USD/AUD	06/15/2011	UBS	AUD		(183	)		(187	)		(1	)
	USD/AUD	06/15/2011	HSB	AUD		(725	)		(743	)		(5	)
	USD/AUD	06/15/2011	BOA	AUD		(1,087	)		(1,114	)		(7	)
	USD/AUD	06/15/2011	BCL	AUD		(906	)		(928	)		(6	)
	USD/AUD	06/15/2011	DUB	AUD		(723	)		(741	)		(5	)
	USD/CAD	06/15/2011	BCL	CAD		(113	)		(117	)		(1	)
	USD/CAD	06/15/2011	UBS	CAD		(117	)		(120	)		(1	)
	USD/CAD	06/15/2011	DUB	CAD		(115	)		(118	)		(1	)
	USD/CAD	06/15/2011	BOA	CAD		(142	)		(147	)		(1	)
	USD/CAD	06/15/2011	UBS	CAD		(15,398	)		(15,856	)		(236	)
	USD/CAD	06/15/2011	HSB	CAD		(1,042	)		(1,073	)		(19	)
	USD/CAD	06/15/2011	DUB	CAD		(521	)		(537	)		(10	)
	USD/CAD	06/15/2011	RBS	CAD		(521	)		(537	)		(13	)
	USD/CAD	06/15/2011	BCL	CAD		(521	)		(537	)		(12	)
	USD/CAD	06/15/2011	RBS	CAD		(292	)		(301	)		(2	)
	USD/CAD	06/15/2011	BCL	CAD		(219	)		(226	)		(2	)
	USD/CAD	06/15/2011	HSB	CAD		(219	)		(226	)		(2	)
	USD/CAD	06/15/2011	BOA	CAD		(731	)		(753	)		(11	)
	USD/CAD	06/15/2011	UBS	CAD		(354	)		(365	)		(2	)
	USD/CAD	06/15/2011	BCL	CAD		(354	)		(365	)		(3	)
	USD/CAD	06/15/2011	RBS	CAD		(354	)		(365	)		(2	)
	USD/CAD	06/15/2011	HSB	CAD		(473	)		(487	)		(3	)
	USD/CAD	06/15/2011	DUB	CAD		(709	)		(730	)		(4	)
	USD/CAD	06/15/2011	UBS	CAD		(118	)		(122	)		(1	)
	USD/CHF	06/15/2011	BCL	CHF		(294	)		(321	)		5
	USD/CHF	06/15/2011	HSB	CHF		(294	)		(321	)		4
	USD/CHF	06/15/2011	RBS	CHF		(393	)		(428	)		7
	USD/CHF	06/15/2011	BOA	CHF		(982	)		(1,069	)		17
	USD/CHF	06/15/2011	BOA	CHF		(3,869	)		(4,214	)		69
	USD/CHF	06/15/2011	UBS	CHF		(1,342	)		(1,461	)		20
	USD/CHF	06/15/2011	RBS	CHF		(1,342	)		(1,461	)		23
	USD/CHF	06/15/2011	DUB	CHF		(2,683	)		(2,923	)		43
	USD/CHF	06/15/2011	HSB	CHF		(1,789	)		(1,949	)		31
	USD/CHF	06/15/2011	BCL	CHF		(1,342	)		(1,461	)		20
	USD/CHF	06/15/2011	UBS	CHF		(447	)		(487	)		6
	USD/CHF	06/15/2011	BCL	CHF		(664	)		(724	)		1
	USD/CHF	06/15/2011	UBS	CHF		(134	)		(146	)		—
	USD/CHF	06/15/2011	HSB	CHF		(531	)		(579	)		—
	USD/CHF	06/15/2011	BOA	CHF		(797	)		(868	)		2
	USD/CHF	06/15/2011	DUB	CHF		(530	)		(577	)		1
	USD/EUR	06/15/2011	DUB	EUR		(2,270	)		(3,213	)		(37	)
	USD/EUR	06/15/2011	HSB	EUR		(4,541	)		(6,426	)		(77	)
	USD/EUR	06/15/2011	BCL	EUR		(2,270	)		(3,213	)		(56	)
	USD/EUR	06/15/2011	RBS	EUR		(2,270	)		(3,213	)		(58	)
	USD/GBP	06/15/2011	BCL	GBP		(1,677	)		(2,687	)		11
	USD/GBP	06/15/2011	BOA	GBP		(2,104	)		(3,372	)		16
	USD/GBP	06/15/2011	UBS	GBP		(1,724	)		(2,763	)		22
	USD/GBP	06/15/2011	DUB	GBP		(1,693	)		(2,714	)		14
	USD/GBP	06/15/2011	UBS	GBP		(10,414	)		(16,689	)		37
	USD/GBP	06/15/2011	BCL	GBP		(1,193	)		(1,912	)		26


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	USD/GBP	06/15/2011	BOA	GBP		(3,976	)	$	(6,372	)	$	70
	USD/GBP	06/15/2011	RBS	GBP		(1,590	)		(2,549	)		38
	USD/GBP	06/15/2011	HSB	GBP		(1,193	)		(1,912	)		27
	USD/GBP	06/15/2011	UBS	GBP		(1,553	)		(2,488	)		18
	USD/GBP	06/15/2011	UBS	GBP		(518	)		(829	)		4
	USD/GBP	06/15/2011	HSB	GBP		(2,070	)		(3,318	)		30
	USD/GBP	06/15/2011	DUB	GBP		(3,105	)		(4,977	)		44
	USD/GBP	06/15/2011	BCL	GBP		(1,553	)		(2,488	)		14
	USD/GBP	06/15/2011	RBS	GBP		(1,553	)		(2,488	)		22
	USD/GBP	06/15/2011	HSB	GBP		(1,099	)		(1,762	)		(2	)
	USD/GBP	06/15/2011	BCL	GBP		(1,374	)		(2,202	)		(3	)
	USD/GBP	06/15/2011	DUB	GBP		(1,097	)		(1,757	)		(5	)
	USD/GBP	06/15/2011	UBS	GBP		(278	)		(445	)		(1	)
	USD/GBP	06/15/2011	BOA	GBP		(1,649	)		(2,643	)		(1	)
	USD/JPY	06/15/2011	UBS	JPY		(6,720	)		(81	)		—
	USD/JPY	06/15/2011	BCL	JPY		(173,007	)		(2,081	)		35
	USD/JPY	06/15/2011	BOA	JPY		(217,070	)		(2,611	)		45
	USD/JPY	06/15/2011	UBS	JPY		(177,859	)		(2,139	)		41
	USD/JPY	06/15/2011	DUB	JPY		(174,691	)		(2,101	)		36
	USD/JPY	06/15/2011	UBS	JPY		(793,548	)		(9,545	)		286
	USD/JPY	06/15/2011	HSB	JPY		(124,072	)		(1,492	)		35
	USD/JPY	06/15/2011	BCL	JPY		(124,072	)		(1,492	)		36
	USD/JPY	06/15/2011	RBS	JPY		(165,429	)		(1,990	)		54
	USD/JPY	06/15/2011	BOA	JPY		(413,573	)		(4,974	)		139
	USD/JPY	06/15/2011	HSB	JPY		(65,113	)		(783	)		14
	USD/JPY	06/15/2011	UBS	JPY		(16,441	)		(198	)		4
	USD/JPY	06/15/2011	DUB	JPY		(64,951	)		(781	)		14
	USD/JPY	06/15/2011	BCL	JPY		(81,392	)		(979	)		18
	USD/JPY	06/15/2011	BOA	JPY		(97,670	)		(1,175	)		21
	USD/NOK	06/15/2011	UBS	NOK		(164,961	)		(29,709	)		(147	)
	USD/NOK	06/15/2011	BCL	NOK		(95,235	)		(17,151	)		(192	)
	USD/NOK	06/15/2011	HSB	NOK		(89,715	)		(16,157	)		(148	)
	USD/NOK	06/15/2011	BCL	NOK		(7,520	)		(1,354	)		(21	)
	USD/NOK	06/15/2011	DUB	NOK		(7,593	)		(1,367	)		(20	)
	USD/NOK	06/15/2011	UBS	NOK		(7,731	)		(1,392	)		(20	)
	USD/NOK	06/15/2011	BOA	NOK		(9,435	)		(1,699	)		(27	)
	USD/NOK	06/15/2011	UBS	NOK		(9,978	)		(1,797	)		(44	)
	USD/NOK	06/15/2011	HSB	NOK		(12,668	)		(2,282	)		(44	)
	USD/NOK	06/15/2011	BCL	NOK		(6,334	)		(1,141	)		(29	)
	USD/NOK	06/15/2011	DUB	NOK		(6,334	)		(1,141	)		(23	)
	USD/NOK	06/15/2011	RBS	NOK		(6,334	)		(1,141	)		(30	)
	USD/NOK	06/15/2011	BOA	NOK		(7,664	)		(1,380	)		(7	)
	USD/NOK	06/15/2011	BCL	NOK		(2,299	)		(414	)		(3	)
	USD/NOK	06/15/2011	HSB	NOK		(2,299	)		(414	)		(3	)
	USD/NOK	06/15/2011	RBS	NOK		(3,065	)		(552	)		(4	)
	USD/NOK	06/15/2011	HSB	NOK		(523	)		(94	)		(1	)
	USD/NOK	06/15/2011	UBS	NOK		(132	)		(24	)		—
	USD/NOK	06/15/2011	BCL	NOK		(654	)		(118	)		(1	)
	USD/NOK	06/15/2011	DUB	NOK		(521	)		(94	)		(1	)
	USD/NOK	06/15/2011	BOA	NOK		(784	)		(141	)		(2	)
	USD/NZD	06/15/2011	UBS	NZD		(14,879	)		(11,298	)		(409	)
	USD/NZD	06/15/2011	DUB	NZD		(4,793	)		(3,639	)		(113	)
	USD/NZD	06/15/2011	RBS	NZD		(33,046	)		(25,092	)		(800	)
	USD/NZD	06/15/2011	BOA	NZD		(16,282	)		(12,362	)		(406	)
	USD/NZD	06/15/2011	BCL	NZD		(1,512	)		(1,148	)		(40	)
	USD/NZD	06/15/2011	UBS	NZD		(1,554	)		(1,180	)		(38	)
	USD/NZD	06/15/2011	DUB	NZD		(1,527	)		(1,159	)		(40	)
	USD/NZD	06/15/2011	BOA	NZD		(1,897	)		(1,440	)		(50	)
	USD/NZD	06/15/2011	UBS	NZD		(3,352	)		(2,545	)		(105	)
	USD/NZD	06/15/2011	BCL	NZD		(1,664	)		(1,264	)		(68	)
	USD/NZD	06/15/2011	RBS	NZD		(1,664	)		(1,264	)		(69	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	USD/NZD	06/15/2011	HSB	NZD		(3,329	)	$	(2,528	)	$	(145	)
	USD/NZD	06/15/2011	DUB	NZD		(1,664	)		(1,264	)		(69	)
	USD/NZD	06/15/2011	UBS	NZD		(361	)		(274	)		(4	)
	USD/NZD	06/15/2011	BCL	NZD		(361	)		(274	)		(5	)
	USD/NZD	06/15/2011	DUB	NZD		(722	)		(548	)		(9	)
	USD/NZD	06/15/2011	UBS	NZD		(120	)		(91	)		(2	)
	USD/NZD	06/15/2011	HSB	NZD		(481	)		(365	)		(6	)
	USD/NZD	06/15/2011	RBS	NZD		(361	)		(274	)		(5	)
	USD/SEK	06/15/2011	BCL	SEK		(3,867	)		(610	)		4
	USD/SEK	06/15/2011	BOA	SEK		(12,891	)		(2,034	)		16
	USD/SEK	06/15/2011	HSB	SEK		(3,867	)		(610	)		2
	USD/SEK	06/15/2011	RBS	SEK		(5,156	)		(814	)		4
	USD/SEK	06/15/2011	BOA	SEK		(43,682	)		(6,894	)		(6	)
	USD/SEK	06/15/2011	BCL	SEK		(3,234	)		(510	)		1
	USD/SEK	06/15/2011	RBS	SEK		(3,234	)		(510	)		—
	USD/SEK	06/15/2011	UBS	SEK		(1,078	)		(170	)		—
	USD/SEK	06/15/2011	UBS	SEK		(3,234	)		(510	)		—
	USD/SEK	06/15/2011	DUB	SEK		(6,468	)		(1,021	)		—
	USD/SEK	06/15/2011	HSB	SEK		(4,312	)		(681	)		—
	USD/SEK	06/15/2011	UBS	SEK		(1,536	)		(242	)		(2	)
	USD/SEK	06/15/2011	HSB	SEK		(6,082	)		(960	)		(9	)
	USD/SEK	06/15/2011	BCL	SEK		(7,603	)		(1,200	)		(12	)
	USD/SEK	06/15/2011	BOA	SEK		(9,123	)		(1,440	)		(13	)
	USD/SEK	06/15/2011	DUB	SEK		(6,067	)		(957	)		(11	)

								$	74,232		$	(147	)

	JNL/Mellon Capital Management International Index Fund
	AUD/USD	06/15/2011	CCI	AUD		3,565		$	3,654		$	104
	AUD/USD	06/15/2011	CCI	AUD		119			122			4
	AUD/USD	06/15/2011	CCI	AUD		232			238			12
	AUD/USD	06/15/2011	CCI	AUD		573			587			32
	AUD/USD	06/15/2011	CCI	AUD		342			350			14
	AUD/USD	06/15/2011	CSI	AUD		117			119			3
	AUD/USD	06/15/2011	CSI	AUD		334			342			8
	AUD/USD	06/15/2011	CSI	AUD		234			240			6
	AUD/USD	06/15/2011	CSI	AUD		236			242			3
	AUD/USD	06/15/2011	CCI	AUD		238			244			3
	AUD/USD	06/15/2011	CSI	AUD		120			123			—
	EUR/USD	06/15/2011	CCI	EUR		6,513			9,217			168
	EUR/USD	06/15/2011	JPM	EUR		3,364			4,761			92
	EUR/USD	06/15/2011	CCI	EUR		264			374			9
	EUR/USD	06/15/2011	CSI	EUR		260			368			6
	EUR/USD	06/15/2011	CCI	EUR		685			969			19
	EUR/USD	06/15/2011	CCI	EUR		1,405			1,988			22
	EUR/USD	06/15/2011	CCI	EUR		569			805			2
	EUR/USD	06/15/2011	CCI	EUR		109			154			—
	EUR/USD	06/15/2011	CSI	EUR		445			629			(2	)
	EUR/USD	06/15/2011	CSI	EUR		417			590			1
	EUR/USD	06/15/2011	CSI	EUR		334			473			2
	EUR/USD	06/15/2011	CSI	EUR		199			281			1
	EUR/USD	06/15/2011	CCI	EUR		341			482			3
	EUR/USD	06/15/2011	CCI	EUR		653			923			7
	EUR/USD	06/15/2011	CSI	EUR		199			281			2
	GBP/USD	06/15/2011	DUB	GBP		6,206			9,947			(98	)
	GBP/USD	06/15/2011	CCI	GBP		119			190			(1	)
	GBP/USD	06/15/2011	CSI	GBP		175			280			(1	)
	GBP/USD	06/15/2011	CCI	GBP		462			740			1
	GBP/USD	06/15/2011	CCI	GBP		947			1,517			(8	)
	GBP/USD	06/15/2011	CCI	GBP		452			724			(6	)
	GBP/USD	06/15/2011	CCI	GBP		57			91			(1	)
	GBP/USD	06/15/2011	CSI	GBP		344			552			(11	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management International Index Fund (continued)
	GBP/USD	06/15/2011	CSI	GBP		287		$	459		$	(6	)
	GBP/USD	06/15/2011	CSI	GBP		860			1,377			(17	)
	GBP/USD	06/15/2011	CSI	GBP		230			368			(3	)
	GBP/USD	06/15/2011	CSI	GBP		234			375			(1	)
	GBP/USD	06/15/2011	CCI	GBP		176			282			—
	GBP/USD	06/15/2011	CCI	GBP		527			845			4
	GBP/USD	06/15/2011	CSI	GBP		118			189			—
	JPY/USD	06/15/2011	DUB	JPY		908,862			10,932			(69	)
	JPY/USD	06/15/2011	CCI	JPY		18,730			225			(1	)
	JPY/USD	06/15/2011	CSI	JPY		27,210			327			(5	)
	JPY/USD	06/15/2011	CCI	JPY		82,700			995			(29	)
	JPY/USD	06/15/2011	CCI	JPY		112,140			1,349			(61	)
	JPY/USD	06/15/2011	CCI	JPY		57,505			692			(18	)
	JPY/USD	06/15/2011	CSI	JPY		49,290			593			(16	)
	JPY/USD	06/15/2011	CSI	JPY		17,250			207			(6	)
	JPY/USD	06/15/2011	CSI	JPY		42,625			513			(14	)
	JPY/USD	06/15/2011	CSI	JPY		25,365			305			(8	)
	JPY/USD	06/15/2011	CCI	JPY		16,980			204			(4	)
	JPY/USD	06/15/2011	CCI	JPY		76,635			922			(10	)
	JPY/USD	06/15/2011	CSI	JPY		17,080			205			—
	USD/AUD	06/15/2011	CCI	AUD		(3,079	)		(3,155	)		(82	)
	USD/AUD	06/15/2011	CSI	AUD		(342	)		(350	)		(15	)
	USD/AUD	06/15/2011	CSI	AUD		(688	)		(705	)		(36	)
	USD/EUR	06/15/2011	CCI	EUR		(7,820	)		(11,067	)		(207	)
	USD/EUR	06/15/2011	CCI	EUR		(320	)		(453	)		(12	)
	USD/EUR	06/15/2011	CSI	EUR		(896	)		(1,268	)		(21	)
	USD/EUR	06/15/2011	CSI	EUR		(1,591	)		(2,251	)		(28	)
	USD/GBP	06/15/2011	CCI	GBP		(5,561	)		(8,912	)		89
	USD/GBP	06/15/2011	CCI	GBP		(175	)		(281	)		(1	)
	USD/GBP	06/15/2011	CSI	GBP		(678	)		(1,087	)		3
	USD/GBP	06/15/2011	CSI	GBP		(1,114	)		(1,785	)		8
	USD/JPY	06/15/2011	CCI	JPY		(659,716	)		(7,935	)		57
	USD/JPY	06/15/2011	CCI	JPY		(27,645	)		(333	)		4
	USD/JPY	06/15/2011	CSI	JPY		(76,900	)		(925	)		29
	USD/JPY	06/15/2011	CSI	JPY		(144,180	)		(1,734	)		98
	USD/JPY	06/15/2011	CSI	JPY		(92,750	)		(1,116	)		31

								$	20,604		$	49

	JNL/PIMCO Real Return Fund
	BRL/USD	04/04/2011	MSC	BRL		13,709		$	8,397		$	268
	BRL/USD	06/02/2011	CIT	BRL		13,709			8,290			197
	CAD/USD	06/20/2011	JPM	CAD		16,093			16,570			99
	CNY/USD	11/15/2011	JPM	CNY		26,142			4,028			(42	)
	CNY/USD	02/13/2012	DUB	CNY		26,791			4,129			(8	)
	IDR/USD	10/31/2011	CIT	IDR		18,745,600			2,086			66
	IDR/USD	10/31/2011	CIT	IDR		11,555,200			1,286			30
	INR/USD	08/12/2011	DUB	INR		90,400			1,978			44
	INR/USD	08/12/2011	MSC	INR		186,200			4,075			121
	INR/USD	08/12/2011	MSC	INR		480,909			10,524			278
	KRW/USD	05/09/2011	CIT	KRW		823,805			749			19
	KRW/USD	05/09/2011	DUB	KRW		1,655,220			1,506			36
	KRW/USD	05/09/2011	CIT	KRW		2,441,930			2,221			66
	KRW/USD	05/09/2011	CIT	KRW		1,711,000			1,556			31
	KRW/USD	05/09/2011	CIT	KRW		455,000			414			14
	KRW/USD	05/09/2011	DUB	KRW		681,900			620			20
	KRW/USD	05/09/2011	UBS	KRW		227,640			207			7
	KRW/USD	05/09/2011	CIT	KRW		2,477,200			2,253			60
	KRW/USD	05/09/2011	JPM	KRW		2,783,400			2,532			78
	KRW/USD	05/09/2011	CIT	KRW		2,682,857			2,441			45
	KRW/USD	05/09/2011	JPM	KRW		8,679,060			7,895			401
	MXN/USD	07/07/2011	MSC	MXN		22,003			1,834			14


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/PIMCO Real Return Fund (continued)
	MXN/USD	07/07/2011	MSC	MXN		8,217		$	685		$	5
	MYR/USD	05/11/2011	CIT	MYR		16,997			5,598			74
	PHP/USD	06/15/2011	CIT	PHP		21,940			504			5
	PHP/USD	06/15/2011	CIT	PHP		23,300			535			5
	PHP/USD	06/15/2011	DUB	PHP		10,603			244			4
	PHP/USD	06/15/2011	CIT	PHP		42,461			975			15
	PHP/USD	06/15/2011	JPM	PHP		22,628			520			4
	PHP/USD	06/15/2011	DUB	PHP		110,386			2,535			18
	PHP/USD	06/15/2011	CIT	PHP		87,500			2,010			10
	PHP/USD	11/15/2011	CIT	PHP		71,700			1,639			22
	PHP/USD	11/15/2011	CIT	PHP		47,268			1,081			29
	PHP/USD	11/15/2011	JPM	PHP		90,678			2,073			55
	SGD/USD	06/09/2011	BOA	SGD		6,257			4,964			76
	SGD/USD	09/09/2011	CIT	SGD		500			397			5
	SGD/USD	09/09/2011	JPM	SGD		600			476			7
	SGD/USD	09/09/2011	CIT	SGD		600			476			7
	SGD/USD	09/09/2011	JPM	SGD		300			238			4
	SGD/USD	09/09/2011	JPM	SGD		1,142			906			10
	SGD/USD	09/09/2011	DUB	SGD		900			714			9
	USD/AUD	04/29/2011	DUB	AUD		(4,877	)		(5,029	)		(261	)
	USD/BRL	04/04/2011	CIT	BRL		(13,709	)		(8,397	)		(193	)
	USD/EUR	04/19/2011	UBS	EUR		(26,065	)		(36,929	)		(1,791	)
	USD/EUR	04/19/2011	JPM	EUR		(9,564	)		(13,550	)		(594	)
	USD/EUR	04/19/2011	DUB	EUR		(1,979	)		(2,804	)		(94	)
	USD/EUR	04/19/2011	DUB	EUR		(2,364	)		(3,349	)		(100	)
	USD/EUR	04/19/2011	BOA	EUR		(1,118	)		(1,584	)		(35	)
	USD/EUR	04/19/2011	MSC	EUR		(4,750	)		(6,730	)		(125	)
	USD/EUR	04/19/2011	DUB	EUR		(3,891	)		(5,513	)		(104	)
	USD/EUR	04/19/2011	JPM	EUR		(2,696	)		(3,820	)		(80	)
	USD/EUR	04/19/2011	CIT	EUR		(3,148	)		(4,460	)		(50	)
	USD/EUR	04/19/2011	MSC	EUR		(15,334	)		(21,725	)		(52	)
	USD/EUR	04/19/2011	DUB	EUR		(11,318	)		(16,035	)		9
	USD/GBP	06/13/2011	BOA	GBP		(1,221	)		(1,957	)		3
	USD/JPY	04/14/2011	CIT	JPY		(183,846	)		(2,210	)		119
	USD/JPY	04/27/2011	CIT	JPY		(6,710,000	)		(80,679	)		1,150

								$	(102,610	)	$	10

	JNL/PIMCO Total Return Bond Fund
	AUD/USD	04/29/2011	UBS	AUD		9,784		$	10,089		$	529
	BRL/USD	04/04/2011	MSC	BRL		83,706			51,270			1,634
	BRL/USD	07/05/2011	MSC	BRL		83,706			50,255			1,062
	BRL/USD	09/02/2011	BOA	BRL		1,303			771			71
	BRL/USD	09/02/2011	MSC	BRL		1,302			771			71
	CAD/USD	06/20/2011	JPM	CAD		29,937			30,824			184
	CAD/USD	06/20/2011	CSI	CAD		3,467			3,570			64
	CNY/USD	11/15/2011	JPM	CNY		22,631			3,487			(30	)
	CNY/USD	11/15/2011	CIT	CNY		115,099			17,737			(69	)
	EUR/USD	04/19/2011	DUB	EUR		438			621			9
	EUR/USD	04/19/2011	UBS	EUR		1,926			2,729			55
	EUR/USD	04/19/2011	JPM	EUR		74			105			—
	EUR/USD	04/19/2011	DUB	EUR		1,201			1,702			(1	)
	EUR/USD	04/19/2011	UBS	EUR		1,400			1,984			13
	IDR/USD	04/15/2011	MSC	IDR		9,090,000			1,042			42
	IDR/USD	04/15/2011	JPM	IDR		25,844,000			2,963			163
	IDR/USD	04/15/2011	JPM	IDR		4,420,000			507			7
	IDR/USD	04/15/2011	JPM	IDR		1,767,000			203			3
	IDR/USD	04/15/2011	JPM	IDR		5,258,400			603			3
	IDR/USD	07/27/2011	JPM	IDR		60,433,400			6,805			221
	IDR/USD	07/27/2011	BNP	IDR		23,625,000			2,660			160
	IDR/USD	01/31/2012	BOA	IDR		46,379,400			5,162			47
	INR/USD	05/09/2011	BOA	INR		46,450			1,035			35


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount		Value		Unrealized Gain/(Loss)
	JNL/PIMCO Total Return Bond Fund (continued)
	INR/USD	05/09/2011	JPM	INR		168,696	$	3,758	$	136
	INR/USD	05/09/2011	JPM	INR		46,540		1,037		37
	INR/USD	05/09/2011	MSC	INR		46,070		1,026		26
	INR/USD	05/09/2011	MSC	INR		46,160		1,028		28
	INR/USD	05/09/2011	MSC	INR		95,445		2,126		26
	INR/USD	08/12/2011	CIT	INR		170,049		3,721		91
	KRW/USD	05/09/2011	CIT	KRW		787,000		716		14
	KRW/USD	05/09/2011	MSC	KRW		1,010,817		920		20
	KRW/USD	05/09/2011	MSC	KRW		1,009,017		918		18
	KRW/USD	05/09/2011	CIT	KRW		1,139,100		1,036		28
	KRW/USD	05/09/2011	JPM	KRW		1,280,000		1,164		36
	KRW/USD	05/09/2011	CIT	KRW		1,233,773		1,122		21
	KRW/USD	05/09/2011	CIT	KRW		448,800		408		8
	KRW/USD	05/09/2011	JPM	KRW		446,560		406		6
	KRW/USD	05/09/2011	CIT	KRW		447,520		407		7
	KRW/USD	05/09/2011	JPM	KRW		445,240		405		5
	KRW/USD	05/09/2011	JPM	KRW		449,080		409		9
	KRW/USD	05/09/2011	CIT	KRW		447,400		407		7
	KRW/USD	05/09/2011	CIT	KRW		445,040		405		5
	KRW/USD	05/09/2011	CIT	KRW		450,000		409		9
	KRW/USD	05/09/2011	BOA	KRW		569,150		518		18
	KRW/USD	05/09/2011	JPM	KRW		568,250		517		17
	KRW/USD	05/09/2011	JPM	KRW		914,080		832		32
	KRW/USD	05/09/2011	JPM	KRW		454,400		413		13
	KRW/USD	05/09/2011	JPM	KRW		340,110		309		9
	KRW/USD	05/09/2011	CIT	KRW		342,060		311		11
	KRW/USD	05/09/2011	JPM	KRW		463,880		422		22
	KRW/USD	05/09/2011	JPM	KRW		11,629,523		10,579		538
	KRW/USD	05/09/2011	UBS	KRW		464,600		423		23
	KRW/USD	05/09/2011	MSC	KRW		564,625		514		14
	KRW/USD	05/09/2011	MSC	KRW		564,350		513		13
	KRW/USD	05/09/2011	JPM	KRW		113,200		103		3
	KRW/USD	05/09/2011	MSC	KRW		451,260		410		11
	KRW/USD	05/09/2011	MSC	KRW		224,800		204		4
	KRW/USD	05/09/2011	MSC	KRW		334,050		304		4
	KRW/USD	05/09/2011	JPM	KRW		1,129,000		1,027		27
	KRW/USD	05/09/2011	MSC	KRW		224,500		204		4
	KRW/USD	05/09/2011	MSC	KRW		448,240		408		8
	KRW/USD	05/09/2011	MSC	KRW		790,510		719		19
	KRW/USD	05/09/2011	MSC	KRW		677,520		616		16
	KRW/USD	05/09/2011	MSC	KRW		225,800		205		5
	KRW/USD	05/09/2011	MSC	KRW		672,690		612		12
	KRW/USD	05/09/2011	MSC	KRW		1,344,720		1,223		23
	KRW/USD	08/12/2011	MSC	KRW		338,220		306		5
	KRW/USD	08/12/2011	CIT	KRW		1,352,400		1,223		23
	MXN/USD	07/07/2011	DUB	MXN		7,421		619		19
	MXN/USD	07/07/2011	CIT	MXN		386,144		32,186		382
	MXN/USD	07/07/2011	MSC	MXN		9,779		815		15
	MXN/USD	07/07/2011	MSC	MXN		9,777		815		15
	MXN/USD	07/07/2011	CIT	MXN		12,137		1,012		12
	MXN/USD	07/07/2011	UBS	MXN		9,774		815		15
	MXN/USD	07/07/2011	CIT	MXN		1,308		109		3
	MXN/USD	07/07/2011	UBS	MXN		15,935		1,328		28
	MXN/USD	07/07/2011	JPM	MXN		29,182		2,432		32
	MYR/USD	08/11/2011	CIT	MYR		2,420		792		10
	MYR/USD	08/11/2011	CIT	MYR		1,700		556		5
	MYR/USD	08/11/2011	JPM	MYR		1,700		556		5
	MYR/USD	08/11/2011	CIT	MYR		3,100		1,014		9
	MYR/USD	08/11/2011	CIT	MYR		3,000		982		7
	MYR/USD	08/11/2011	MSC	MYR		3,425		1,121		7
	NOK/USD	05/05/2011	JPM	NOK		5,593		1,010		13


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/PIMCO Total Return Bond Fund (continued)
	PHP/USD	04/15/2011	CIT	PHP		21,375		$	492		$	(8	)
	PHP/USD	04/15/2011	JPM	PHP		21,340			491			(9	)
	PHP/USD	04/15/2011	JPM	PHP		26,250			604			5
	PHP/USD	04/15/2011	CIT	PHP		26,166			603			3
	PHP/USD	04/15/2011	BOA	PHP		22,000			507			7
	PHP/USD	06/15/2011	CIT	PHP		18,760			431			4
	PHP/USD	06/15/2011	CIT	PHP		19,900			457			4
	PHP/USD	06/15/2011	JPM	PHP		19,354			445			3
	PHP/USD	06/15/2011	DUB	PHP		94,415			2,168			16
	PHP/USD	06/15/2011	JPM	PHP		43,200			992			(8	)
	PHP/USD	06/15/2011	DUB	PHP		25,926			595			(5	)
	PHP/USD	06/15/2011	CIT	PHP		38,430			883			(17	)
	PHP/USD	06/15/2011	JPM	PHP		21,770			500			—
	PHP/USD	06/15/2011	JPM	PHP		40,320			926			26
	PHP/USD	06/15/2011	JPM	PHP		22,460			516			16
	PHP/USD	06/15/2011	JPM	PHP		8,720			200			—
	PHP/USD	11/15/2011	CIT	PHP		38,790			887			(13	)
	PHP/USD	11/15/2011	CIT	PHP		34,716			794			(6	)
	PHP/USD	11/15/2011	CIT	PHP		36,975			845			(5	)
	PHP/USD	11/15/2011	DUB	PHP		37,443			856			6
	PHP/USD	11/15/2011	JPM	PHP		22,050			504			4
	PHP/USD	11/15/2011	CIT	PHP		21,945			502			2
	PHP/USD	11/15/2011	CIT	PHP		17,820			407			7
	PHP/USD	11/15/2011	JPM	PHP		17,748			406			6
	PHP/USD	11/15/2011	CIT	PHP		22,105			505			5
	PHP/USD	11/15/2011	CIT	PHP		28,500			652			9
	PHP/USD	11/15/2011	JPM	PHP		36,116			826			22
	PHP/USD	11/15/2011	CIT	PHP		18,828			430			12
	PHP/USD	03/15/2012	MSC	PHP		117,131			2,678			(12	)
	RUB/USD	04/01/2011	JPM	RUB		26,073			917			17
	RUB/USD	07/01/2011	CGM	RUB		26,073			911			5
	SEK/USD	05/05/2011	MSC	SEK		1,271			201			2
	SGD/USD	06/09/2011	DUB	SGD		1,200			952			32
	SGD/USD	06/09/2011	DUB	SGD		658			522			16
	SGD/USD	06/09/2011	JPM	SGD		1,162			922			22
	SGD/USD	06/09/2011	JPM	SGD		773			613			13
	SGD/USD	06/09/2011	CIT	SGD		515			408			8
	SGD/USD	06/09/2011	CIT	SGD		386			306			6
	SGD/USD	06/09/2011	JPM	SGD		450			357			7
	SGD/USD	06/09/2011	JPM	SGD		1,820			1,444			44
	SGD/USD	06/09/2011	JPM	SGD		905			718			18
	SGD/USD	06/09/2011	JPM	SGD		655			520			20
	SGD/USD	06/09/2011	BOA	SGD		5,594			4,438			68
	SGD/USD	09/09/2011	CIT	SGD		800			635			9
	SGD/USD	09/09/2011	JPM	SGD		900			714			11
	SGD/USD	09/09/2011	CIT	SGD		1,400			1,111			17
	SGD/USD	09/09/2011	JPM	SGD		700			556			9
	SGD/USD	09/09/2011	DUB	SGD		2,800			2,222			27
	SGD/USD	09/09/2011	JPM	SGD		3,372			2,676			28
	TWD/USD	04/06/2011	DUB	TWD		2,500			85			4
	TWD/USD	04/06/2011	BOA	TWD		3,523			120			4
	TWD/USD	04/06/2011	JPM	TWD		3,615			123			3
	TWD/USD	01/11/2012	CIT	TWD		9,638			329			(7	)
	USD/AUD	04/29/2011	JPM	AUD		(93	)		(96	)		(3	)
	USD/BRL	04/04/2011	MSC	BRL		(83,706	)		(51,270	)		(1,087	)
	USD/EUR	04/19/2011	UBS	EUR		(48,689	)		(68,983	)		(3,346	)
	USD/EUR	04/19/2011	UBS	EUR		(6,181	)		(8,757	)		(326	)
	USD/EUR	04/19/2011	DUB	EUR		(1,313	)		(1,860	)		(73	)
	USD/EUR	04/19/2011	JPM	EUR		(89	)		(126	)		(2	)
	USD/EUR	04/19/2011	JPM	EUR		(3,941	)		(5,584	)		(117	)
	USD/EUR	04/19/2011	MSC	EUR		(4,982	)		(7,059	)		(17	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/PIMCO Total Return Bond Fund (continued)
	USD/GBP	06/13/2011	BOA	GBP		(6,108	)	$	(9,789	)	$	17
	USD/GBP	06/13/2011	BOA	GBP		(4,908	)		(7,866	)		43
	USD/IDR	04/15/2011	BOA	IDR		(46,379,400	)		(5,317	)		(1	)
	USD/JPY	04/14/2011	CIT	JPY		(410,784	)		(4,939	)		184
	USD/JPY	04/18/2011	CIT	JPY		(394,675	)		(4,745	)		176
	USD/JPY	04/25/2011	BOA	JPY		(13,110,000	)		(157,629	)		1,860
	USD/JPY	06/13/2011	CIT	JPY		(50,000	)		(601	)		3
	USD/PHP	04/15/2011	MSC	PHP		(117,131	)		(2,697	)		—
	USD/RUB	04/01/2011	CGM	RUB		(26,073	)		(917	)		(5	)
	ZAR/USD	04/28/2011	JPM	ZAR		6,970			1,027			27
	ZAR/USD	04/28/2011	MSC	ZAR		6,977			1,028			28
	ZAR/USD	07/28/2011	JPM	ZAR		56,570			8,221			(48	)
	ZAR/USD	07/28/2011	CGM	ZAR		696			101			1
	ZAR/USD	09/13/2011	MSC	ZAR		2,280			329			29
	ZAR/USD	09/13/2011	UBS	ZAR		5,320			768			68

								$	3,941		$	4,129

	JNL/T.Rowe Price Short-Term Bond Fund
	CNY/USD	12/16/2011	JPM	CNY		55,585		$	8,566		$	30

Pledged or Segregated Collateral – The following table summarizes cash and securities collateral pledged for options contracts, futures contracts and forwards contracts or segregated for securities sold short, swap agreements and delayed delivery securities:

Federal Income Tax Matters - As of March 31, 2011, the cost of investments and the components of net unrealized appreciation/(depreciation) for U.S federal income tax purposes were as follows:

Subsequent Events - At a meeting held February 28, 2011, the Board voted to approve changing the name of JNL/Select Balanced Fund, JNL/Select Money Market Fund and JNL/Select Value Fund to JNL/WMC Balanced Fund, JNL/WMC Money Market Fund and JNL/WMC Value Fund, respectively, effective May 1, 2011. At the same meeting, the Board voted to approve adding Mellon Capital Management Corporation as a co-sub-adviser for the JNL/T. Rowe Price Mid-Cap Growth Fund effective May 1, 2011.

For additional information on the Funds’ policies regarding valuation of investments and other significant accounting matters, please refer to the Funds’ most recent annual or semi-annual report.

Within ninety (90) days prior to the filing date of this Quarterly Schedule of Portfolio Holdings on Form N-Q, the registrant had carried out an evaluation, under the supervision and with the participation of the registrant’s management, including the registrant’s principal executive officer and the registrant’s principal financial officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the registrant’s principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures are effective.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


ARS - Argentine Peso	EUR - European Currency Unit (Euro)	MYR - Malaysian Ringgit	THB - Thai Baht
AUD - Australian Dollar	GBP - British Pound	NOK - Norwegian Krone	TRY - New Turkish Lira
BRL - Brazilian Real	HKD - Hong Kong Dollar	NZD - New Zealand Dollar	TWD - Taiwan Dollar
CAD - Canadian Dollar	HUF - Hungarian Forint	PEN - Peruvian Nuevo Sol	USD - United States Dollar
CHF - Swiss Franc	IDR - Indonesian Rupiah	PHP - Philippine Peso	ZAR - South African Rand
CLP - Chilean Peso	INR - Indian Rupee	PLN - Polish Zloty
CNY - Chinese Yuan	JPY - Japanese Yen	RUB - Russian Ruble
COP - Colombian Peso	KRW - Korean Won	SEK - Swedish Krona
DKK - Danish Krone	MXN - Mexican Peso	SGD - Singapore Dollar


“-” Amount rounds to less than one thousand
ABS - Asset Backed Security		ETF - Exchange-Traded Fund
ADR - American Depositary Receipt		Euro-Bobl - debt instrument issued by the Federal Republic of Germany with a term of 4.5 to 5.5 years
AMBAC - AMBAC Indemnity Corp.
ASX - Australian Stock Exchange		Euro-Bund - debt instrument issued by the Federal Republic of Germany with a term of 8.5 to 10.5 years
BDR - Brazilian Depository Receipt
CAC - Cotation Assistee en Continu		FDR - Fiduciary Depository Receipt
CDO - Collateralized Debt Obligation		FTSE - Financial Times and the London Stock Exchange
CDX - Credit Default Swap Index		GDR - Global Depository Receipt
CLO - Collateralized Loan Obligation		GO - General Obligation
CPI - Consumer Price Index		HSCEI - Hang Seng China Enterprises Index
CPURNSA - CPI Urban Consumers Index Non-Seasonably Adjusted		IBEX - Iberia Index
CPURNSA - CPI Urban Consumers Index Non-Seasonably Adjusted		KOSPI - Korea Composite Stock Price Index


DAX - Deutscher Aktienindex		LIBOR - London Interbank Offered Rate
MBS - Mortgage Backed Security		SPI - Schedule Performance Index
MIB - Milano Indice Borsa		TBA - To Be Announced (Securities purchased on a delayed delivery basis)
NYS - New York Registered Shares
RB - Revenue Bond		TSX - Toronto Stock Exchange
REIT - Real Estate Investment Trust		TAIEX - Taiwan Stock Exchange Capitalization Weighted Stock Index
REMIC - Real Estate Mortgage Investment Conduit
RSP - Risparmio Shares		virt-x - a cross border recognized investment exchange
SDR - Swedish Depository Receipt		VVPR - Voter-Verified Paper Record
SPDR - Standard & Poor’s Depository Receipt


	Initial Acquisition Date		Cost		Ending Value		Percent of Net Assets
JNL/BlackRock Commodity Securities Fund
Uranium Energy Corp.		11/02/2010	$	1,244	$	1,459		0.1	%
Uranium Energy Corp. Warrant		11/02/2010		—		92		—

			$	1,244	$	1,551		0.1	%


JNL/Capital Guardian Global Balanced Fund
AES Panama SA, 6.35%, 12/21/16		01/04/2008	$	298	$	319		0.1	%
AIA Group Ltd.		10/25/2010		2,095		2,364		0.6
ASAT Holdings Ltd.		07/28/2006		1		—		—
Agricultural Bank of China - Class H		07/09/2010		361		489		0.1
Altegrity Inc., 10.50%, 11/01/15		07/27/2009		159		212		—
BNP Paribas SA		11/28/2007		830		820		0.2
Bank Mandiri Persero Tbk PT		01/27/2011		294		391		0.1
Croatia Government International Bond, 6.75%, 11/05/19		10/30/2009		630		655		0.2
Dominican Republic International Bond, 8.63%, 04/20/27		12/17/2009		158		158		—
Dubai Electricity & Water Authority, 6.38%, 10/21/16		10/15/2010		100		101		—
Dubai Electricity & Water Authority, 7.38%, 10/21/20		10/15/2010		125		121		—
E.ON International Finance BV, 5.80%, 04/30/18		01/14/2010		541		556		0.2
Enel Finance International SA, 3.88%, 10/07/14		01/11/2011		303		310		0.1
First Data Corp., 8.25%, 01/15/21		12/22/2009		486		499		0.1
First Data Corp., 8.75%, 01/15/22		12/22/2009		88		99		—
First Data Corp., 12.63%, 01/15/21		12/22/2009		167		218		0.1
Georgia Gulf Corp., 9.00%, 01/15/17		10/11/2010		320		329		0.1
Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14		01/12/2011		519		533		0.1
Indorama Ventures PCL		01/18/2011		144		170		—
Intesa Sanpaolo SpA, 6.50%, 02/24/21		03/25/2011		315		315		0.1
LG Chem Ltd. - GDR		09/08/2009		134		335		0.1
Liberty Mutual Group Inc., 7.50%, 08/15/36		08/06/2009		264		374		0.1
Michaels Stores Inc., 7.75%, 11/01/18		12/15/2010		247		255		0.1
QGEP Participacoes SA		02/09/2011		196		238		0.1
Roche Holdings Inc., 6.00%, 03/01/19		05/19/2009		417		453		0.1
Societe Generale, 3.50%, 01/15/16		03/18/2011		746		740		0.2
Societe Generale, 5.75%, 04/20/16		08/07/2008		144		156		—
Standard Chartered Bank, 6.40%, 09/26/17		12/18/2007		299		324		0.1
Standard Chartered Plc, 3.85%, 04/27/15		03/17/2011		233		230		0.1
TransDigm Inc., 7.75%, 12/15/18		12/02/2010		400		429		0.1
UniCredit SpA		09/09/2009		1,205		911		0.3
Wintek Corp. - ADR		01/31/2011		374		401		0.1

			$	12,593	$	13,505		3.5	%


	Initial Acquisition Date		Cost		Ending Value		Percent of Net Assets
JNL/Goldman Sachs Emerging Markets Debt Fund
Barclays Bank Plc-Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1), IDR		06/04/2009	$	9,059	$	10,604		1.3	%
Cemex SAB de CV, 5.30%, 09/30/15		03/30/2011		4,039		4,047		0.5
Credit Suisse Nassau Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A), BRL		03/29/2011		4,147		4,145		0.5
Credit Suisse Nassau-Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A), BRL		11/16/2010		2,838		2,889		0.4
Deutsche Bank AG-Credit Linked Note (Indonesia Government, 10.75%, 5/15/2016, Moody rating Ba1), IDR		01/26/2010		2,406		2,751		0.3
Hongkong & Shanghai Banking Corp.-Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1), IDR		07/24/2009		7,246		8,529		1.0
Hongkong & Shanghai Banking Corp.-Credit Linked Note (Indonesia Government, 10.75%, 05/15/16, Moody rating Ba1), IDR		11/16/2009		10,390		11,778		1.4
JPMorgan Chase & Co., 6.00%, 10/10/12, PHP		08/07/2009		820		977		0.1
JPMorgan Chase & Co.-Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1), IDR		03/08/2010		1,903		2,041		0.2
JPMorgan Chase & Co.-Credit Linked Note (Indonesia Government, 11.00%, 11/15/20, Moody rating Ba1), IDR		04/16/2010		2,620		2,883		0.4

			$	45,468	$	50,644		6.1	%


JNL/JPMorgan U.S. Government & Quality Bond Fund
Banc of America Commercial Mortgage Inc. REMIC, 6.62%, 09/11/36		12/29/2006	$	2,125	$	2,179		0.2	%
CompuCredit Acquired Portfolio Voltage Master Trust, 0.43%, 09/15/18		09/18/2006		405		371		0.1

			$	2,530	$	2,550		0.3	%


JNL/Lazard Mid Cap Equity Fund
Better Place		04/23/2010	$	1,015	$	1,015		0.4	%


JNL/PIMCO Real Return Fund
Banco Santander Brazil SA, 0.00%, 12/28/11		12/21/2010	$	589	$	587		—	%
Hillmark Funding, 0.56%, 05/21/21		03/14/2011		8,395		8,373		0.5
Instituto de Credito Oficial, 2.94%, 03/25/14, EUR		03/25/2011		18,131		18,119		1.0
Westpac Banking Corp., 1.04%, 03/31/14		03/29/2011		10,100		10,085		0.6

			$	37,215	$	37,164		2.1	%


JNL/PIMCO Total Return Bond Fund
Canada Housing Trust No. 1, 2.75%, 12/15/15, CAD		12/17/2010	$	3,968	$	4,100		0.1	%
DG Funding Trust, (callable at 10,000 beginning 09/30/10)		11/10/2003		4,427		3,175		0.1
Dai-ichi Life Insurance Co. Ltd., 7.25%, (callable at 100 beginning 07/25/21)		03/09/2011		2,300		2,274		0.1
Export-Import Bank of Korea, 1.05%, 03/03/12, SGD		03/01/2011		4,403		4,431		0.1
Galaxy CLO Ltd., 0.58%, 04/17/17		03/03/2011		4,480		4,462		0.2
Instituto de Credito Oficial, 2.94%, 03/25/14, EUR		03/25/2011		7,224		7,219		0.2
Northern Rock Plc, 5.63%, 06/22/17		06/08/2009		14,117		16,437		0.5

			$	40,919	$	42,098		1.3	%


JNL/PPM America High Yield Bond Fund
Aperam, 7.38%, 04/01/16		03/28/2011	$	1,789	$	1,820		0.1	%
Aperam, 7.75%, 04/01/18		03/28/2011		1,292		1,318		0.1
Applied Extrusion Technologies Inc. - Class B		05/05/2005		63		—		—
Aviation Capital Group Corp., 6.75%, 04/06/21		03/31/2011		6,462		6,450		0.6
First Data Corp., 7.38%, 06/15/19		03/31/2011		4,107		4,194		0.4
Home Interior Gift Inc.		02/22/2006		174		—		—
Intelsat Jackson Holdings SA, 7.25%, 04/01/19		03/23/2011		1,846		1,848		0.1
Manitoba Telecom Services Inc.		06/10/2005		—		16		—
Radnor Holdings Corp., 11.00%, 06/15/11		11/13/2003		100		—		—

			$	15,833	$	15,646		1.3	%


Fund	Affiliate	Value Beginning of Period		Purchases		Sales Proceeds		Dividend/ Interest Income		Realized Gain (Loss)		Value End of Period
JNL/American Funds Blue Chip Income and Growth Fund	American Funds Insurance Series – Blue Chip Income and Growth Fund Class 1	$	149,079	$	81,319	$	—	$	—	$	—	$	236,761
JNL/American Funds Global Bond Fund	American Funds Insurance Series – Global Bond Fund Class 1		105,387		46,214		1,142		—		45		152,447
JNL/American Funds New World Fund	American Funds Insurance Series – New World Fund Class 1		133,548		45,390		6,782		—		1,117		175,217
JNL/BlackRock Global Allocation Fund	BlackRock Global Allocation Portfolio		179,646		129,334		16,599		—		583		300,863
JNL/Mellon Capital Management S&P 500 Index Fund	Bank of New York Mellon Corp.		4,327		198		—		13		—		4,469
JNL/Mellon Capital Management International Index Fund	Prudential plc		2,552		314		—		76		—		3,093
JNL/Mellon Capital Management Bond Index Fund	Bank of New York Mellon Corp., 4.95%, 11/01/12		—		537		—		6		—		531
JNL/Mellon Capital Management Bond Index Fund	Bank of New York Mellon Corp., 2.50%, 01/15/16		—		499		—		3		—		497
JNL/T. Rowe Price Short-Term Bond Fund	T. Rowe Price Term Asset-Backed Securities Loan Facility		2,543		—		—		514		—		2,033
JNL/T. Rowe Price Value Fund	T. Rowe Price Institutional Floating Rate Fund		4,227		40		4,318		25		580		—


	JNL Money Market Fund
Fund	Beginning Amortized Cost		Ending Amortized Cost		Dividend Income
JNL/BlackRock Commodity Securities Fund	$	62,860	$	81,206	$	11
JNL/Capital Guardian Global Balanced Fund		16,241		14,098		2
JNL/Capital Guardian Global Diversified Research Fund		14,275		4,694		2
JNL/Capital Guardian U.S. Growth Equity Fund		55,757		23,641		9
JNL/Eagle Core Equity Fund		9,525		8,162		1
JNL/Eagle SmallCap Equity Fund		21,944		15,540		3
JNL/Franklin Templeton Global Growth Fund		28,349		17,347		5
JNL/Franklin Templeton Income Fund		67,966		52,396		18
JNL/Franklin Templeton International Small Cap Growth Fund		7,881		9,538		1
JNL/Franklin Templeton Mutual Shares Fund		62,650		55,576		11
JNL/Franklin Templeton Small Cap Value Fund		20,020		34,981		6
JNL/Goldman Sachs Core Plus Bond Fund		356,880		193,403		42
JNL/Goldman Sachs Emerging Markets Debt Fund		211,959		202,777		32
JNL/Goldman Sachs Mid Cap Value Fund		23,029		26,869		3
JNL/Goldman Sachs U.S. Equity Flex Fund		4,931		6,048		1
JNL/Invesco International Growth Fund		37,733		36,114		8
JNL/Invesco Large Cap Growth Fund		18,815		30,274		4
JNL/Invesco Global Real Estate Fund		8,742		13,819		2
JNL/Invesco Small Cap Growth Fund		4,579		15,113		2
JNL/Ivy Asset Strategy Fund		100,979		54,743		16
JNL/JPMorgan International Value Fund		11,098		22,824		3
JNL/JPMorgan MidCap Growth Fund		5,111		6,519		2
JNL/JPMorgan U.S. Government & Quality Bond Fund		36,257		70,898		9
JNL/Lazard Emerging Markets Fund		60,363		58,868		9
JNL/Lazard Mid Cap Equity Fund		11,284		7,088		2
JNL/M&G Global Basics Fund		5,571		9,292		1
JNL/M&G Global Leaders Fund		—		1,582		—
JNL/Mellon Capital Management European 30 Fund		79		94		—
JNL/Mellon Capital Management Pacific Rim 30 Fund		134		634		—
JNL/Mellon Capital Management S&P 500 Index Fund		16,641		64,208		7
JNL/Mellon Capital Management S&P 400 MidCap Index Fund		12,073		34,496		4
JNL/Mellon Capital Management Small Cap Index Fund		12,878		11,536		3
JNL/Mellon Capital Management International Index Fund		28,075		21,765		5
JNL/Mellon Capital Management Bond Index Fund		44,153		34,020		6
JNL/Mellon Capital Management Global Alpha Fund		3,593		25,179		3
JNL/Oppenheimer Global Growth Fund		7,173		13,365		2
JNL/PAM Asia ex-Japan Fund		1,752		3,157		—
JNL/PAM China-India Fund		20,481		13,331		1
JNL/PIMCO Real Return Fund		400		5,242		—
JNL/PIMCO Total Return Bond Fund		15,624		—		1
JNL/PPM America High Yield Bond Fund		35,569		73,687		11
JNL/PPM America Mid Cap Value Fund		864		2,878		—
JNL/PPM America Small Cap Value Fund		634		10,023		—
JNL/PPM America Value Equity Fund		233		—		—
JNL/Red Rocks Listed Private Equity Fund		20,746		24,536		3
JNL/S&P Competitive Advantage Fund		613		2,048		—
JNL/S&P Dividend Income & Growth Fund		5,012		3,551		1
JNL/S&P Intrinsic Value Fund		1,339		2,968		—
JNL/S&P Total Yield Fund		518		1,407		—
JNL/Select Balanced Fund		130,095		166,453		30
JNL/Select Value Fund		26,760		20,195		5
JNL/T. Rowe Price Established Growth Fund		250		300		—
JNL/T. Rowe Price Mid-Cap Growth Fund		4,056		6,899		1
JNL/T. Rowe Price Short-Term Bond Fund		6,234		4,587		1
JNL/T. Rowe Price Value Fund		4,638		4,425		1


	T. Rowe Price Reserves Investment Fund
Fund	Beginning Amortized Cost		Ending Amortized Cost		Dividend Income
JNL/T. Rowe Price Established Growth Fund	$	21,210	$	23,113	$	10
JNL/T. Rowe Price Mid-Cap Growth Fund		62,363		81,997		44
JNL/T. Rowe Price Short-Term Bond Fund		50,383		87,098		35
JNL/T. Rowe Price Value Fund		14,447		10,996		7


	Unfunded Commitment
JNL/Franklin Templeton Mutual Shares Fund
Realogy Corp. Extended Revolver Term Loan, 3.51%, 04/10/16	$	379


JNL/PPM America Floating Rate Income Fund
CB Richard Ellis Services Inc. Term Loan C, 0.00%, 03/04/18	$	1,114
CB Richard Ellis Services Inc. Term Loan D, 0.00%, 03/04/18		1,114

	$	2,228

JNL/PPM America High Yield Bond Fund
Echostar Satellite Services LLC Term Loan, 0.00%, 01/31/19 (f)	$	7,000


	Assets - Securities
	Level 1		Level 2		Level 3		Total
JNL/American Funds Blue Chip Income and Growth Fund
Investment Companies	$	236,761	$	—	$	—	$	236,761

Fund Total	$	236,761	$	—	$	—	$	236,761
JNL/American Funds Global Bond Fund
Investment Companies	$	152,447	$	—	$	—	$	152,447

Fund Total	$	152,447	$	—	$	—	$	152,447
JNL/American Funds Global Small Capitalization Fund
Investment Companies	$	104,661	$	—	$	—	$	104,661

Fund Total	$	104,661	$	—	$	—	$	104,661
JNL/American Funds Growth-Income Fund
Investment Companies	$	260,018	$	—	$	—	$	260,018

Fund Total	$	260,018	$	—	$	—	$	260,018
JNL/American Funds International Fund
Investment Companies	$	144,104	$	—	$	—	$	144,104

Fund Total	$	144,104	$	—	$	—	$	144,104
JNL/American Funds New World Fund
Investment Companies	$	175,217	$	—	$	—	$	175,217

Fund Total	$	175,217	$	—	$	—	$	175,217
JNL Institutional Alt 20 Fund
Investment Companies	$	711,819	$	—	$	—	$	711,819

Fund Total	$	711,819	$	—	$	—	$	711,819
JNL Institutional Alt 35 Fund
Investment Companies	$	1,079,707	$	—	$	—	$	1,079,707

Fund Total	$	1,079,707	$	—	$	—	$	1,079,707
JNL Institutional Alt 50 Fund
Investment Companies	$	1,321,261	$	—	$	—	$	1,321,261

Fund Total	$	1,321,261	$	—	$	—	$	1,321,261
JNL Institutional Alt 65 Fund
Investment Companies	$	910,286	$	—	$	—	$	910,286

Fund Total	$	910,286	$	—	$	—	$	910,286
JNL/BlackRock Commodity Securities Fund
Common Stocks	$	547,391	$	—	$	—	$	547,391
Warrants		—		92		—		92
Commodity Indexed Structured Notes		—		230,447		—		230,447
Short Term Investments		96,852		322,966		—		419,818

Fund Total	$	644,243	$	553,505	$	—	$	1,197,748
JNL/BlackRock Global Allocation Fund
Investment Companies	$	300,863	$	—	$	—	$	300,863

Fund Total	$	300,863	$	—	$	—	$	300,863


	Assets - Other Financial Instruments¹								Liabilities - Other Financial Instruments¹
	Level 1		Level 2		Level 3		Total		Level 1			Level 2			Level 3			Total
JNL/Capital Guardian Global Balanced Fund
Open Forward Foreign Currency Contracts	$	—	$	386	$	—	$	386	$	—		$	(709	)	$	—		$	(709	)

JNL/Franklin Templeton Mutual Shares Fund
Open Forward Foreign Currency Contracts	$	—	$	241	$	—	$	241	$	—		$	(4,273	)	$	—		$	(4,273	)

JNL/Goldman Sachs Core Plus Bond Fund
Open Futures Contracts	$	293	$	—	$	—	$	293	$	(937	)	$	—		$	—		$	(937	)
Open Forward Foreign Currency Contracts		—		1,422		—		1,422		—			(2,153	)		—			(2,153	)
Interest Rate Swap Agreements		—		10,738		—		10,738		—			(9,529	)		—			(9,529	)
Credit Default Swap Agreements		—		125		—		125		—			—			—			—

Fund Total	$	293	$	12,285	$	—	$	12,578	$	(937	)	$	(11,682	)	$	—		$	(12,619	)
JNL/Goldman Sachs Emerging Markets Debt Fund
Open Forward Foreign Currency Contracts	$	—	$	22,855	$	—	$	22,855	$	—		$	(12,256	)	$	—		$	(12,256	)
Interest Rate Swap Agreements		—		585		—		585		—			(1,688	)		—			(1,688	)
Total Return Swap Agreements		—		52				52		—			(5	)		—			(5	)

Fund Total	$	—	$	23,492	$	—	$	23,492	$	—		$	(13,949	)	$	—		$	(13,949	)
JNL/Ivy Asset Strategy Fund
Open Forward Foreign Currency Contracts	$	—	$	2,567	$	—	$	2,567	$	—		$	(7,079	)	$	—		$	(7,079	)

Fund Total	$	—	$	2,567	$	—	$	2,567	$	—		$	(7,079	)	$	—		$	(7,079	)
JNL/JPMorgan International Value Fund
Open Forward Foreign Currency Contracts	$	—	$	3,413	$	—	$	3,413	$	—		$	(1,253	)	$	—		$	(1,253	)

JNL/Mellon Capital Management S&P 500 Index Fund
Open Futures Contracts	$	649	$	—	$	—	$	649	$	—		$	—		$	—		$	—

JNL/Mellon Capital Management S&P 400 MidCap Index Fund
Open Futures Contracts	$	1,022	$	—	$	—	$	1,022	$	—		$	—		$	—		$	—

JNL/Mellon Capital Management Small Cap Index Fund
Open Futures Contracts	$	554	$	—	$	—	$	554	$	—		$	—		$	—		$	—

JNL/Mellon Capital Management International Index Fund
Open Futures Contracts	$	634	$	—	$	—	$	634	$	—		$	—		$	—		$	—
Open Forward Foreign Currency Contracts		—		847		—		847		—			(798	)		—			(798	)

Fund Total	$	634	$	847	$	—	$	1,481	$	—		$	(798	)	$	—		$	(798	)
JNL/Mellon Capital Management Global Alpha Fund
Open Futures Contracts	$	4,835	$	—	$	—	$	4,835	$	(4,469	)	$	—		$	—		$	(4,469	)
Open Forward Foreign Currency Contracts		—		5,704		—		5,704		—			(5,851	)		—			(5,851	)

Fund Total	$	4,835	$	5,704	$	—	$	10,539	$	(4,469	)	$	(5,851	)	$	—		$	(10,320	)
JNL/PIMCO Real Return Fund
Written Options	$	—	$	—	$	—	$	—	$	(240	)	$	(1,325	)	$	(1,034	)	$	(2,599	)
Open Futures Contracts		51		—		—		51		(156	)		—			—			(156	)
Open Forward Foreign Currency Contracts		—		3,539		—		3,539		—			(3,529	)		—			(3,529	)
Interest Rate Swap Agreements		—		1,749		—		1,749		—			(364	)		—			(364	)
Credit Default Swap Agreements		—		1,647		—		1,647		—			(634	)		—			(634	)

Fund Total	$	51	$	6,935	$	—	$	6,986	$	(396	)	$	(5,852	)	$	(1,034	)	$	(7,282	)
JNL/PIMCO Total Return Bond Fund
Written Options	$	—	$	—	$	—	$	—	$	(901	)	$	(6,532	)	$	(2,337	)	$	(9,770	)
Open Futures Contracts		3,255		—		—		3,255		(2,762	)		—			—			(2,762	)
Open Forward Foreign Currency Contracts		—		9,344		—		9,344		—			(5,215	)		—			(5,215	)
Interest Rate Swap Agreements		—		3,091		—		3,091		—			(1,737	)		—			(1,737	)
Credit Default Swap Agreements		—		3,443		—		3,443		—			(209	)		—			(209	)

Fund Total	$	3,255	$	14,413	$	—	$	17,668	$	(3,663	)	$	(13,606	)	$	(2,337	)	$	(19,606	)


	Balance at Beginning of Period		Transfers Into Level 3 During the Period		Transfers Out of Level 3 During the Period		Total Realized and Change in Unrealized Gain/(Loss)		Purchases		(Sales)		Balance at End of Period		Change In Unrealized Appreciation/ (Depreciation) During the Period For Level 3 Investments held at End of Period
JNL/Franklin Templeton Income Fund
Other Equity Interests		$7		$—		$—		$2		$—		$—		$9		$2

Fund Total Investments in Securities		$7		$—		$—		$2		$—		$—		$9		$2
JNL/Franklin Templeton Mutual Shares Fund
Common Stocks		$4,578		$—		$—		$98		$—		$—		$4,676		$98
Corporate Bond and Notes		1,579		—		—		9		—		—		1,588		9

Fund Total Investments in Securities		$6,157		$—		$—		$107		$—		$—		$6,264		$107
JNL/Goldman Sachs Core Plus Bond Fund
Non-U.S. Government Agency ABS		$5,088		$905		$(5,088)		$—		$—		$—		$905		$—
Government and Agency Obligations		—		—		—		26		3,682		—		3,708		26

Fund Total Investments in Securities		$5,088		$905		$(5,088)		$26		$3,682		$—		$4,613		$26
JNL/Goldman Sachs Emerging Markets Debt Fund
Corporate Bond and Notes		$2,680		$10,662		$—		$13		$—		$—		$13,355		$13

Fund Total Investments in Securities		$2,680		$10,662		$—		$13		$—		$—		$13,355		$13
JNL/Ivy Asset Strategy Fund
Purchased Options		$6,037		$—		$—		$(5,361)		$165		$(833)		$8		$(157)

Fund Total Investments in Securities		$6,037		$—		$—		$(5,361)		$165		$(833)		$8		$(157)
Investments in Other Financial Instruments¹
Written Options		$(1,583)		$—		$—		$1,533		$142		$(92)		$—		$—

Fund Total Investments in Other
Financial Instruments		$(1,583)		$—		$—		$1,533		$142		$(92)		$—		$—


	Expiration Date		Exercise Price		Contracts		Value
Exchange-Traded Futures Options
JNL/PIMCO Real Return Fund
Eurodollar Future Call Option		09/19/2011		99.38		79	$	(46	)
Eurodollar Future Put Option		09/19/2011		99.38		79		(14	)
U.S. 10-year Treasury Note Future Call Option		05/20/2011		122.00		445		(118	)
U.S. 10-year Treasury Note Future Put Option		05/20/2011		117.00		124		(62	)

						727	$	(240	)

JNL/PIMCO Total Return Bond Fund
Eurodollar Future Call Option		09/19/2011		99.38		656	$	(385	)
Eurodollar Future Put Option		09/19/2011		99.38		656		(115	)
Eurodollar Future Put Option		03/19/2012		99.00		442		(249	)
U.S. 10-year Treasury Note Future Call Option		04/21/2011		123.00		9		—
U.S. 10-year Treasury Note Future Call Option		05/20/2011		122.00		249		(66	)
U.S. 10-year Treasury Note Future Put Option		04/21/2011		118.50		9		(5	)
U.S. 10-year Treasury Note Future Put Option		05/20/2011		117.00		161		(81	)

						2,182	$	(901	)

Index Options
JNL/PIMCO Real Return Fund
CDX.IG-15 5 Year Call Option		09/21/2011		1.30		31	$	(12	)
CDX.IG-15 5 Year Call Option		06/15/2011		0.80		11		(2	)
CDX.IG-15 5 Year Call Option		06/15/2011		0.80		12		(2	)
CDX.IG-15 5 Year Call Option		09/21/2011		0.80		3		(1	)
CDX.IG-15 5 Year Call Option		09/21/2011		0.80		22		(5	)
CDX.IG-15 5 Year Put Option		09/21/2011		1.20		10		(3	)
CDX.IG-15 5 Year Put Option		06/15/2011		1.20		16		(2	)
CDX.IG-15 5 Year Put Option		06/15/2011		1.20		11		(1	)
CDX.IG-15 5 Year Put Option		06/15/2011		1.20		2		—
CDX.IG-15 5 Year Put Option		06/15/2011		1.20		12		(1	)
CDX.IG-15 5 Year Put Option		09/21/2011		1.20		3		(1	)
CDX.IG-15 5 Year Put Option		09/21/2011		1.20		22		(6	)

						155	$	(36	)

JNL/PIMCO Total Return Bond Fund
CDX.IG-15 5 Year Call Option		06/15/2011		0.80		50	$	(9	)
CDX.IG-15 5 Year Call Option		09/21/2011		0.80		51		(12	)
CDX.IG-15 5 Year Put Option		06/15/2011		1.20		50		(5	)
CDX.IG-15 5 Year Put Option		09/21/2011		1.30		26		(10	)
CDX.IG-15 5 Year Put Option		09/21/2011		1.20		51		(15	)

						28	$	(51	)

Inflation Floor
JNL/PIMCO Real Return Fund
Floor - CPURNSA Index Option		03/10/2020		215.95		29	$	(16	)
Floor - CPURNSA Index Option		03/12/2020		215.95		46		(25	)
Floor - CPURNSA Index Option		10/13/2020		218.01		298		(168	)
Floor - CPURNSA Index Option		09/29/2020		217.97		31		(16	)

						404	$	(225	)

JNL/PIMCO Total Return Bond Fund
Floor - CPURNSA Index Option		09/29/2020		217.97		64	$	(33	)
Floor - CPURNSA Index Option		03/10/2020		215.95		19		(10	)
Floor - CPURNSA Index Option		03/12/2020		215.95		18		(10	)

						63	$	(53	)

Interest Rate Swaptions*
JNL/PIMCO Real Return Fund
Put Swaption, 3 month LIBOR versus 3.00% fixed		06/18/2012		N/A		100	$	(124	)
Put Swaption, 3 month LIBOR versus 3.00% fixed		06/18/2012		N/A		172		(213	)
Put Swaption, 3 month LIBOR versus 3.00% fixed		06/18/2012		N/A		587		(727	)

						859	$	(1,064	)


	Expiration Date		Exercise Price		Contracts		Value
*Interest Rate Swaptions (continued)**
JNL/PIMCO Total Return Bond Fund
Put Swaption, 3 month LIBOR versus 10.00% fixed		07/10/2012		N/A		133	$	—
Put Swaption, 3 month LIBOR versus 2.25% fixed		09/24/2012		N/A		849		(1,228	)
Put Swaption, 3 month LIBOR versus 2.25% fixed		09/24/2012		N/A		41		(59	)
Put Swaption, 3 month LIBOR versus 2.25% fixed		09/24/2012		N/A		739		(1,069	)
Put Swaption, 3 month LIBOR versus 2.75% fixed		06/18/2012		N/A		828		(1,264	)
Put Swaption, 3 month LIBOR versus 3.0% fixed		06/18/2012		N/A		418		(518	)
Put Swaption, 3 month LIBOR versus 3.00% fixed		06/18/2012		N/A		705		(873	)
Put Swaption, 3 month LIBOR versus 3.00% fixed		06/18/2012		N/A		679		(841	)
Put Swaption, 3 month LIBOR versus 3.00% fixed		06/18/2012		N/A		329		(407	)
Put Swaption, 3 month LIBOR versus 4.00% fixed		07/13/2011		N/A		84		(85	)
Put Swaption, 3 month LIBOR versus 4.00% fixed		07/13/2011		N/A		83		(84	)

						4,888	$	(6,428	)

Straddle Options
JNL/PIMCO Real Return Fund
** OTC 1- Year vs. 2- Year Forward Volatility Agreement		10/11/2011		N/A		247	$	(437	)
** OTC 1- Year vs. 2- Year Forward Volatility Agreement		11/14/2011		N/A		284		(501	)
** OTC 1- Year vs. 2- Year Forward Volatility Agreement		10/11/2011		N/A		115		(96	)

						646	$	(1,034	)

JNL/PIMCO Total Return Bond Fund
** OTC 1- Year vs. 2- Year Forward Volatility Agreement		10/11/2011		N/A		673	$	(1,190	)
** OTC 1- Year vs. 2- Year Forward Volatility Agreement		11/14/2011		N/A		553		(975	)
** OTC 1- Year vs. 2- Year Forward Volatility Agreement		10/11/2011		N/A		205		(172	)

						1,431	$	(2,337	)


	Contracts			Premiums
JNL/Ivy Asset Strategy Fund
Options outstanding at December 31, 2010		(4,769	)	$	(1,434	)
Options written during the period		(247	)		(92	)
Options closed during the period		5,016			1,526
Options expired during the period		—			—

Options outstanding at March 31, 2011		—		$	—

JNL/PIMCO Real Return Fund
Options outstanding at December 31, 2010		(4,928	)	$	(3,230	)
Options written during the period		(1,362	)		(570	)
Options closed during the period		1,419			742
Options expired during the period		2,080			709

Options outstanding at March 31, 2011		(2,791	)	$	(2,349	)

JNL/PIMCO Total Return Bond Fund
Options outstanding at December 31, 2010		(7,752	)	$	(6,624	)
Options written during the period		(1,616	)		(799	)
Options closed during the period		—			—
Options expired during the period		538			184

Options outstanding at March 31, 2011		(8,830	)	$	(7,239	)


Counterparty	Floating Rate Index	Paying/Receiving Floating Rate	Fixed Rate			Expiration Date		Notional Amount¹		Unrealized Appreciation / (Depreciation)
JNL/Goldman Sachs Core Plus Bond Fund
BBP	6-Month EURIBOR	Receiving		4.09	%		04/23/2040	EUR	4,450	$	62
BBP	6-Month EURIBOR	Receiving		3.94	%		05/12/2040	EUR	1,030		43
BBP	6-Month EURIBOR	Receiving		3.94	%		05/14/2040	EUR	1,880		80
BBP	British Pound 6-Month LIBOR	Receiving		3.10	%		07/25/2016	GBP	4,780		36
BBP	British Pound 6-Month LIBOR	Receiving		3.23	%		07/25/2016	GBP	8,120		(4	)
BBP	British Pound 6-Month LIBOR	Receiving		4.30	%		07/25/2016	GBP	7,040		(95	)
BBP	British Pound 6-Month LIBOR	Paying		4.03	%		07/25/2021	GBP	13,830		105
BBP	British Pound 6-Month LIBOR	Paying		3.93	%		07/25/2021	GBP	8,130		(26	)
BBP	British Pound 6-Month LIBOR	Receiving		4.22	%		07/25/2026	GBP	4,140		(9	)
BOA	3-Month LIBOR	Receiving		1.63	%		11/05/2014		46,700		978
BOA	3-Month LIBOR	Receiving		2.12	%		11/23/2014		40,400		509
BOA	3-Month LIBOR	Paying		2.75	%		11/05/2017		39,000		(1,680	)
BOA	3-Month LIBOR	Paying		3.59	%		11/23/2019		36,100		(1,045	)
BOA	3-Month LIBOR	Receiving		3.57	%		11/05/2022		10,700		660
BOA	3-Month LIBOR	Receiving		4.21	%		11/23/2027		13,000		523
CIT	6-Month EURIBOR	Paying		2.10	%		11/05/2015	EUR	6,250		(316	)
CIT	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	11,960		151
CIT	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	4,850		66
CIT	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	8,775		(3	)
CIT	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	4,250		(1	)
CIT	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	3,530		(260	)
CIT	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	1,760		(128	)
CIT	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	2,725		(45	)
CIT	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	1,325		(23	)
CIT	6-Month EURIBOR	Receiving		4.12	%		04/23/2040	EUR	4,460		33
CIT	6-Month EURIBOR	Receiving		4.04	%		05/14/2040	EUR	2,920		63
CIT	British Pound 3-Month LIBOR	Paying		1.21	%		03/16/2012	GBP	38,900		35
CIT	British Pound 6-Month LIBOR	Paying		1.75	%		06/15/2014	GBP	7,150		(53	)
CST	3-Month LIBOR	Receiving		4.25	%		12/17/2013		160		(8	)
CST	6-Month EURIBOR	Receiving		3.21	%		03/04/2014	EUR	45,100		186
CST	6-Month EURIBOR	Receiving		3.12	%		03/18/2014	EUR	41,100		234
CST	6-Month EURIBOR	Paying		3.52	%		03/04/2016	EUR	31,000		(188	)
CST	6-Month EURIBOR	Paying		3.45	%		03/18/2016	EUR	28,300		(266	)
CST	6-Month EURIBOR	Receiving		3.88	%		03/04/2020	EUR	7,200		59
CST	6-Month EURIBOR	Receiving		3.81	%		03/18/2020	EUR	6,500		97
CST	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	13,390		68
CST	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	9,570		74
CST	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	6,590		56
CST	6-Month EURIBOR	Receiving		3.85	%		04/23/2020	EUR	3,240		22
CST	6-Month EURIBOR	Paying		3.85	%		04/23/2020	EUR	62,625		(461	)
CST	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	4,040		(167	)
CST	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	2,990		(105	)
CST	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	2,020		(76	)
CST	6-Month EURIBOR	Paying		3.60	%		04/23/2040	EUR	990		(32	)
CST	6-Month EURIBOR	Receiving		3.63	%		08/06/2040	EUR	1,100		109
CST	British Pound 6-Month LIBOR	Paying		1.75	%		06/15/2014	GBP	5,680		(71	)
CST	British Pound 6-Month LIBOR	Paying		3.17	%		02/08/2016	GBP	825		17
CST	British Pound 6-Month LIBOR	Paying		3.21	%		02/15/2016	GBP	680		15
CST	British Pound 6-Month LIBOR	Paying		3.20	%		02/16/2016	GBP	1,370		29
CST	British Pound 6-Month LIBOR	Paying		3.12	%		02/18/2016	GBP	1,520		23
DUB	3-Month LIBOR	Receiving		1.65	%		11/02/2014		94,600		1,941
DUB	3-Month LIBOR	Receiving		1.75	%		06/15/2016		6,600		4
DUB	3-Month LIBOR	Paying		2.75	%		11/02/2017		79,100		(3,396	)
DUB	3-Month LIBOR	Receiving		2.51	%		10/15/2020		5,500		393
DUB	3-Month LIBOR	Receiving		3.54	%		11/02/2022		21,700		1,383
DUB	3-Month LIBOR	Receiving		3.09	%		02/15/2026		8,300		850
DUB	3-Month New Zealand Bank Bill	Receiving		4.69	%		02/14/2016	NZD	3,050		(31	)
DUB	3-Month New Zealand Bank Bill	Receiving		4.69	%		02/15/2016	NZD	650		(7	)
DUB	3-Month New Zealand Bank Bill	Receiving		4.70	%		02/18/2016	NZD	4,110		(43	)
DUB	3-Month New Zealand Bank Bill	Receiving		4.68	%		02/22/2016	NZD	3,380		(32	)
DUB	6-Month EURIBOR	Receiving		2.96	%		03/18/2014	EUR	38,700		304


Counterparty	Floating Rate Index	Paying/ Receiving Floating Rate	Fixed Rate			Expiration Date		Notional Amount¹		Unrealized Appreciation / (Depreciation)
JNL/Goldman Sachs Core Plus Bond Fund (continued)
DUB	6-Month EURIBOR	Paying		3.32	%		03/18/2016	EUR	26,700	$	(380	)
DUB	6-Month EURIBOR	Receiving		2.25	%		06/15/2016	EUR	1,290		44
DUB	6-Month EURIBOR	Receiving		3.71	%		03/18/2020	EUR	6,100		141
DUB	British Pound 6-Month LIBOR	Paying		3.19	%		02/11/2016	GBP	300		6
DUB	KRW 3-month CD Rate	Paying		3.87	%		06/12/2011	KRW	1,400,000		1
DUB	KRW 3-month CD Rate	Paying		3.69	%		06/26/2011	KRW	7,020,000		3
DUB	KRW 3-month CD Rate	Paying		3.62	%		07/06/2011	KRW	2,923,122		8
DUB	KRW 3-month CD Rate	Paying		3.63	%		07/07/2011	KRW	4,883,824		13
JPM	3-Month LIBOR	Paying		1.75	%		06/15/2016		1,200		19
JPM	3-Month LIBOR	Receiving		1.75	%		06/15/2016		8,700		2
JPM	3-Month LIBOR	Paying		2.25	%		06/15/2018		11,800		178
JPM	3-Month LIBOR	Paying		2.75	%		06/15/2021		10,900		63
JPM	3-Month LIBOR	Paying		2.75	%		06/15/2021		2,600		66
JPM	6-Month EURIBOR	Receiving		3.54	%		08/07/2040	EUR	1,030		119
JPM	6-Month EURIBOR	Receiving		3.42	%		08/10/2040	EUR	2,070		288
JPM	British Pound 6-Month LIBOR	Paying		1.75	%		06/15/2014	GBP	1,440		(32	)
JPM	KRW 3-month CD Rate	Paying		3.90	%		06/15/2011	KRW	2,300,000		3
JPM	KRW 3-month CD Rate	Paying		3.72	%		06/22/2011	KRW	6,700,000		4
JPM	KRW 3-month CD Rate	Paying		3.66	%		07/08/2011	KRW	2,322,820		6
RBC	3-Month Canadian Bankers Acceptance Rate	Receiving		2.14	%		11/03/2015	CAD	7,080		191
RBC	3-Month Canadian Bankers Acceptance Rate	Receiving		2.11	%		11/04/2015	CAD	10,730		303
RBC	6-Month EURIBOR	Paying		2.12	%		11/08/2015	EUR	9,430		(467	)
RBC	British Pound 6-Month LIBOR	Paying		3.20	%		02/09/2016	GBP	700		15
RBC	British Pound 6-Month LIBOR	Paying		3.18	%		02/10/2016	GBP	700		14
STA	3-Month New Zealand Bank Bill	Receiving		4.64	%		02/11/2016	NZD	1,625		(14	)
STA	British Bankers’ Association Yen 6-Month LIBOR	Paying		0.47	%		02/06/2013	JPY	3,560,000		22
STA	British Bankers’ Association Yen 6-Month LIBOR	Receiving		0.63	%		02/06/2015	JPY	2,365,000		(65	)
STA	British Bankers’ Association Yen 6-Month LIBOR	Paying		1.13	%		02/06/2019	JPY	511,000		21

										$	1,209

JNL/Goldman Sachs Emerging Markets Debt Fund
BBP	6-Month Poland Warsaw Interbank Rate	Paying		5.61	%		03/29/2016	PLN	56,000	$	(41	)
CIT	6-Month Sinacofi Chile Interbank Rate	Paying		5.24	%		12/15/2014	CLP	3,000,000		(142	)
DUB	3-Month South Aftrica Johannesburg Interbank Rate	Paying		8.47	%		03/28/2021	ZAR	161,000		49
DUB	3-Month South Aftrica Johannesburg Interbank Rate	Paying		8.45	%		03/29/2021	ZAR	116,000		11
DUB	6-Month Sinacofi Chile Interbank Rate	Paying		2.65	%		03/19/2012	CLP	6,000,000		(334	)
DUB	6-Month Sinacofi Chile Interbank Rate	Paying		4.03	%		07/29/2012	CLP	12,050,000		(485	)
DUB	6-Month Sinacofi Chile Interbank Rate	Paying		4.19	%		08/20/2012	CLP	4,300,000		(183	)
DUB	6-Month Sinacofi Chile Interbank Rate	Paying		4.15	%		08/20/2012	CLP	2,900,000		(127	)
DUB	6-Month Sinacofi Chile Interbank Rate	Paying		4.12	%		09/04/2012	CLP	6,733,000		(290	)
DUB	90 Day Taiwan Secondary Commerical Paper	Receiving		1.63	%		01/28/2016	TWD	260,000		(40	)
DUB	Mexican Interbank Rate	Paying		7.86	%		03/16/2021	MXN	170,700		525
JPM	90 Day Taiwan Secondary Commerical Paper	Receiving		2.07	%		01/26/2021	TWD	155,000		(46	)

										$	(1,103	)

JNL/PIMCO Real Return Fund
BCL	Brazil Interbank Deposit Rate	Paying		10.68	%		01/02/2012	BRL	5,700	$	(7	)
DUB	3-Month LIBOR	Receiving		4.25	%		06/15/2041		15,200		(335	)
HSB	Brazil Interbank Deposit Rate	Paying		14.77	%		01/02/2012	BRL	300		18
JPM	Brazil Interbank Deposit Rate	Paying		11.25	%		01/02/2012	BRL	6,000		(22	)
JPM	Brazil Interbank Deposit Rate	Paying		12.17	%		01/02/2013	BRL	28,900		102
MLC	Brazil Interbank Deposit Rate	Paying		12.54	%		01/02/2012	BRL	5,000		170
MLC	Brazil Interbank Deposit Rate	Paying		12.54	%		01/02/2012	BRL	15,300		481
MLC	Brazil Interbank Deposit Rate	Paying		14.77	%		01/02/2012	BRL	1,400		84
MSS	Brazil Interbank Deposit Rate	Paying		11.63	%		01/02/2012	BRL	4,300		16
MSS	Brazil Interbank Deposit Rate	Paying		11.60	%		01/02/2012	BRL	50,000		515
MSS	Brazil Interbank Deposit Rate	Paying		11.98	%		01/02/2013	BRL	7,000		24
UBS	Brazil Interbank Deposit Rate	Paying		12.07	%		01/02/2013	BRL	45,300		339

										$	1,385

JNL/PIMCO Total Return Bond Fund
BCL	Brazil Interbank Deposit Rate	Paying		10.60	%		01/02/2012	BRL	1,500	$	2


Counterparty	Reference Obligation	Implied Credit Spread⁴			Fixed Received/ Pay Rate⁶			Expiration Date		Notional Amount^1,5			Value			Unrealized Appreciation/ (Depreciation)
JNL/Goldman Sachs Core Plus Bond Fund
Credit default swap agreements - sell protection²
DUB	Metlife Inc., 5.00%, 06/15/2015		1.24	%		1.00	%		03/20/2015	$	(2,000	)	$	(18	)	$	47
DUB	Metlife Inc., 5.00%, 06/15/2015		1.37	%		1.00	%		09/20/2015		(1,000	)		(16	)		39
JPM	Prudential Financial Inc., 4.50%, 07/15/2013		1.17	%		1.00	%		06/20/2015		(825	)		(5	)		39

										$	(3,825	)	$	(39	)	$	125

JNL/PIMCO Real Return Fund
Credit default swap agreements - sell protection²
DUB	American International Group Inc., 6.25%, 05/01/2036		1.04	%		5.00	%		12/20/2013	$	(8,300	)	$	879		$	1,389
CIT	CDX.EM-14		2.00	%		5.00	%		12/20/2015		(400	)		52			—
DUB	CDX.EM-14		2.00	%		5.00	%		12/20/2015		(3,800	)		494			(41	)
MSS	CDX.EM-14		2.00	%		5.00	%		12/20/2015		(27,700	)		3,603			(190	)
STA	CDX.EM-14		2.00	%		5.00	%		12/20/2015		(2,800	)		364			(15	)
BNP	CDX.NA.IG.15		0.84	%		1.00	%		12/20/2015		(2,800	)		20			(5	)
BOA	CDX.NA.IG.16		0.96	%		1.00	%		06/20/2016		(3,100	)		6			(1	)
DUB	Federated Republic of Brazil, 12.25%, 03/06/2030		1.47	%		1.00	%		06/20/2020		(4,200	)		(154	)		(26	)
JPM	Federated Republic of Brazil, 12.25%, 03/06/2030		0.97	%		1.00	%		06/20/2015		(1,600	)		2			17
BOA	French Republic, 4.25%, 04/25/2019		0.62	%		0.25	%		06/20/2015		(2,800	)		(42	)		4
BOA	French Republic, 4.25%, 04/25/2019		0.69	%		0.25	%		12/20/2015		(3,900	)		(78	)		24
BOA	French Republic, 4.25%, 04/25/2019		0.69	%		0.25	%		12/20/2015		(2,800	)		(56	)		(2	)
CIT	French Republic, 4.25%, 04/25/2019		0.69	%		0.25	%		12/20/2015		(1,800	)		(36	)		11
DUB	French Republic, 4.25%, 04/25/2019		0.62	%		0.25	%		06/20/2015		(1,100	)		(17	)		15
JPM	French Republic, 4.25%, 04/25/2019		0.62	%		0.25	%		06/20/2015		(1,700	)		(26	)		27
JPM	French Republic, 4.25%, 04/25/2019		0.69	%		0.25	%		12/20/2015		(1,100	)		(22	)		(1	)
DUB	ING N.V., 4.00%, 09/18/2013		1.03	%		1.40	%		06/20/2011		(2,700	)		3			5
BOA	Japanese Government Bond, 2.00%, 03/21/2022		0.93	%		1.00	%		12/20/2015		(1,600	)		5			(27	)
BOA	Japanese Government Bond, 2.00%, 03/21/2022		0.93	%		1.00	%		12/20/2015		(4,800	)		15			(92	)
CIT	Japanese Government Bond, 2.00%, 03/21/2022		1.00	%		1.00	%		06/20/2016		(8,500	)		1			4
DUB	Japanese Government Bond, 2.00%, 03/21/2022		0.93	%		1.00	%		12/20/2015		(1,700	)		6			(28	)
JPM	Japanese Government Bond, 2.00%, 03/21/2022		0.93	%		1.00	%		12/20/2015		(1,600	)		5			(26	)
DUB	Petrobras International Finance Co., 8.38%, 12/10/2018		0.78	%		1.00	%		09/20/2012		(500	)		2			6
BOA	Republic of Italy, 6.88%, 09/27/2023		0.34	%		1.00	%		06/20/2011		(300	)		—			2
BOA	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.45	%		1.00	%		06/20/2015		(2,900	)		65			34
CST	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.51	%		1.00	%		12/20/2015		(4,500	)		100			(4	)
DUB	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.45	%		1.00	%		06/20/2015		(1,100	)		25			19
DUB	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.45	%		1.00	%		06/20/2015		(2,700	)		61			39
DUB	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.51	%		1.00	%		12/20/2015		(1,700	)		38			(1	)

										$	(104,500	)	$	5,315		$	1,137

Credit default swap agreements - purchase protection³
CIT	GATX Corp., 5.80%, 03/01/2016		n/a			1.07	%		03/20/2016	$	1,000		$	26 $			25
BNP	International Lease Finance Corporation, 6.63%, 11/15/2013		n/a			1.60	%		12/20/2013		500			13			13
DUB	Knight, 6.50%, 09/01/2012		n/a			1.00	%		03/20/2016		2,000			50			(26	)
MSC	Knight, 6.50%, 09/01/2012		n/a			1.00	%		03/20/2016		3,000			74			(41	)
DUB	Macy’s Corp., 7.45%, 07/15/2017		n/a			2.10	%		09/20/2017		1,000			(24	)		(25	)
DUB	Marsh & McLennan Companies, 5.75%, 09/15/2015		n/a			0.60	%		09/20/2015		1,000			13			13
JPM	Pearson, 5.70%, 06/01/2014		n/a			0.83	%		06/20/2014		1,000			(13	)		(13	)
BCL	REXAM PLC, 6.75%, 06/01/2013		n/a			1.45	%		06/20/2013		700			(14	)		(14	)
DUB	Seagate Technology HDD Holdings, 6.80%, 10/01/2016		n/a			1.00	%		12/20/2011		5,000			(26	)		(56	)

										$	15,200		$	99 $			(124	)

JNL/PIMCO Total Return Bond Fund
Credit default swap agreements - sell protection²
DUB	CDX.EM-12		1.90	%		5.00	%		12/20/2014	$	(1,500	)	$	164 $			34
DUB	CDX.EM-13		1.96	%		5.00	%		06/20/2015		(12,500	)		1,491			56
MSS	CDX.EM.13		1.96	%		5.00	%		06/20/2015		(4,100	)		489			38
BOA	CDX.EM.14		2.00	%		5.00	%		12/20/2015		(5,000	)		650			(72	)
CIT	CDX.EM.14		2.00	%		5.00	%		12/20/2015		(15,300	)		1,990			40
DUB	CDX.EM.14		2.00	%		5.00	%		12/20/2015		(26,400	)		3,433			67
JPM	CDX.EM.14		2.00	%		5.00	%		12/20/2015		(1,700	)		221			7
MSS	CDX.EM.14		2.00	%		5.00	%		12/20/2015		(3,300	)		429			33
STA	CDX.EM.14		2.00	%		5.00	%		12/20/2015		(2,000	)		260			(6	)


Counterparty		Abbreviations
BANCAMERICA SECURITIES/BANK OF AMERICA NA		BOA
BARCLAYS CAPITAL INC.		BCL
BARCLAYS BANK PLC		BBP
BNP PARIBAS SECURITIES		BNP
BNY CAPITAL MARKETS		BNY
CITIBANK, INC.		CIT
CITICORP SECURITIES, INC.		CCI
CITIGROUP GLOBAL MARKETS(FRMRLY SALOMON)		CGM
CREDIT SUISSE INTERNATIONAL		CST
CREDIT SUISSE SECURITIES, LLC		CSI
DEUTSCHE BANK ALEX BROWN INC.		DUB
GOLDMAN SACHS & CO.		GSC
GOLDMAN SACHS BANK USA		GSB
GOLDMAN SACHS INTERNATIONAL		GSI
HSBC SECURITIES, INC.		HSB
J.P. MORGAN		JPM
J.P. MORGAN SECURITIES, INC.		JPM
MERRILL LYNCH CAPITAL SERVICES		MLC
MERRILL LYNCH INTERNATIONAL		MLI
MERRILL LYNCH PROFESSIONAL CLEARING CORP		MLP
MERRILL LYNCH, PIERCE, FENNER, & SMITH		MLP
MORGAN STANLEY & CO., INCORPORATED		MSC
MORGAN STANLEY CAPITAL SERVICES INC.		MSS
NOMURA SECURITIES INTERNATIONAL, INC.		NSI
ROYAL BANK OF CANADA		RBC
ROYAL BANK OF SCOTLAND		RBS
STATE STREET BROKERAGE SERVICES, INC.		SSB
UBS SECURITIES LLC		UBS
UBS AG STAMFORD		STA
WESTPAC BANKING CORPORATION		WBC


	Options Contracts		Futures Contracts				Master		Securities Sold Short		Swap Agreements				Delayed Delivery		Total Pledged or Segregated
	Pledged Securities		Pledged Cash		Pledged Securities		Forwards Securities		Segregated Securities		Segregated Cash		Segregated Securities		Segregated Securities		Cash and Securities
JNL/Goldman Sachs Core Plus Bond Fund	$	—	$	—	$	2,806	$	—	$	—	$	3,570	$	—	$	—	$	6,376
JNL/Goldman Sachs Emerging Markets Debt Fund		—		—		—		—		—		2,150		—		—		2,150
JNL/Goldman Sachs U.S. Equity Flex Fund		—		—		—		—		125,951		—		—		—		125,951
JNL/Ivy Asset Strategy Fund		517		—		—		3,375		—		—		—		—		3,892
JNL/Mellon Capital Management S&P 500 Index Fund		—		—		4,285		—		—		—		—		—		4,284
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund		—		—		2,160		—		—		—		—		—		2,160
JNL/Mellon Capital Management Small Cap Index Fund		—		—		660		—		—		—		—		—		660
JNL/Mellon Capital Management International Index Fund		—		—		1,940		—		—		—		—		—		1,940
JNL/Mellon Capital Management Global Alpha Fund		—		—		22,467		—		—		—		—		—		22,467
JNL/Select Balanced Fund		—		91		—		—		—		—		—		—		91
JNL/PIMCO Real Return Fund		—		—		1,705		—		—		—		2,449		440		4,594
JNL/PIMCO Total Return Bond Fund		—		—		11,025		—		—		—		3,054		—		14,079
JNL/T. Rowe Short Term Bond Fund		—		—		251		—		—		—		—		—		251


	Tax Cost of Investments		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation/ (Depreciation)
JNL/American Funds Blue Chip Income and Growth Fund	$	220,002	$	16,896	$	(137	)	$	16,759
JNL/American Funds Global Bond Fund		151,679		2,015		(1,247	)		768
JNL/American Funds Global Small Capitalization Fund		96,703		8,043		(85	)		7,958
JNL/American Funds Growth-Income Fund		239,038		21,070		(90	)		20,980
JNL/American Funds International Fund		133,323		10,795		(14	)		10,781
JNL/American Funds New World Fund		164,749		10,481		(13	)		10,468
JNL Institutional Alt 20 Fund		641,576		72,417		(2,174	)		70,243
JNL Institutional Alt 35 Fund		968,681		113,413		(2,387	)		111,026
JNL Institutional Alt 50 Fund		1,185,554		138,431		(2,724	)		135,707
JNL Institutional Alt 65 Fund		820,017		91,842		(1,573	)		90,269
JNL/BlackRock Commodity Securities Fund		998,061		202,793		(3,106	)		199,687
JNL/BlackRock Global Allocation Fund		291,592		9,271		—			9,271
JNL/Capital Guardian Global Balanced Fund		351,610		52,098		(6,844	)		45,254
JNL/Capital Guardian Global Diversified Research Fund		276,597		66,683		(7,409	)		59,274
JNL/Capital Guardian U.S. Growth Equity Fund		451,834		94,269		(7,776	)		86,493
JNL/Eagle Core Equity Fund		198,040		34,394		(3,471	)		30,923
JNL/Eagle SmallCap Equity Fund		620,792		188,623		(11,406	)		177,217
JNL/Franklin Templeton Founding Strategy Fund		1,168,189		27,595		(84,039	)		(56,444	)
JNL/Franklin Templeton Global Growth Fund		523,474		74,103		(60,852	)		13,251
JNL/Franklin Templeton Income Fund		1,316,652		109,153		(58,690	)		50,463
JNL/Franklin Templeton International Small Cap Growth Fund		229,833		25,379		(3,633	)		21,746
JNL/Franklin Templeton Mutual Shares Fund		626,759		75,995		(29,959	)		46,036
JNL/Franklin Templeton Small Cap Value Fund		362,923		82,897		(15,927	)		66,970
JNL/Goldman Sachs Core Plus Bond Fund		1,145,352		27,250		(33,800	)		(6,550	)
JNL/Goldman Sachs Emerging Markets Debt Fund		775,388		30,855		(5,198	)		25,657
JNL/Goldman Sachs Mid Cap Value Fund		681,797		80,484		(6,705	)		73,779
JNL/Goldman Sachs U.S. Equity Flex Fund		143,131		16,631		(1,807	)		14,824
JNL/Invesco Global Real Estate Fund		675,709		38,190		(11,137	)		27,053


JNL Series Trust

By:		/S/ MARK D. NERUD
		Mark D. Nerud
		Principal Executive Officer

Date:		May 27, 2011


By:		/S/ DANIEL W. KOORS
		Daniel W. Koors
		Principal Financial Officer

Date:		May 27, 2011


Exhibit 3(a):		Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.

Exhibit 3(b):		Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.


Date: May 27, 2011				/s/ Mark D. Nerud
				Mark D. Nerud
				Principal Executive Officer


Date: May 27, 2011				/s/ Daniel W. Koors
				Daniel W. Koors
				Principal Financial Officer