NPORT-EX 2 jvstfof033120.htm JACKSON VARIABLE SERIES TRUST FUNDS OF FUNDS AND MASTER FEEDER FUNDS Untitled Document

Jackson Variable Series Trust Master Feeder Funds and Funds of Funds (Unaudited)

Schedules of Investments (in thousands)

March 31, 2020

        
  

Shares

 

Value ($)

 

JNL Conservative Allocation Fund

INVESTMENT COMPANIES 100.0%

Domestic Fixed Income 61.2%

 

JNL/Crescent High Income Fund - Class I (6.0%) (a)

 

2,463

 

24,338

 
 

JNL/DoubleLine Core Fixed Income Fund - Class I (1.6%) (a)

 

4,544

 

62,434

 
 

JNL/DoubleLine Total Return Fund - Class I (3.3%) (a)

 

7,471

 

83,078

 
 

JNL/PIMCO Income Fund - Class I (3.4%) (a)

 

4,828

 

47,845

 
 

JNL/PIMCO Investment Grade Credit Bond Fund - Class I (2.8%) (a)

 

2,994

 

35,777

 
 

JNL/PIMCO Real Return Fund - Class I (0.8%) (a)

 

947

 

10,061

 
 

JNL/PPM America Total Return Fund - Class I (3.2%) (a)

 

3,599

 

45,885

 
 

309,418

 

Domestic Equity 9.0%

 

JNL Multi-Manager Mid Cap Fund - Class I (1.2%) (a)

 

983

 

10,504

 
 

JNL Multi-Manager Small Cap Growth Fund - Class I (0.2%) (a)

 

149

 

3,945

 
 

JNL Multi-Manager Small Cap Value Fund - Class I (0.6%) (a)

 

424

 

3,958

 
 

JNL/DoubleLine Shiller Enhanced CAPE Fund - Class I (0.4%) (a)

 

541

 

6,470

 
 

JNL/Morningstar Wide Moat Index Fund - Class I (3.5%) (a)

 

2,093

 

20,849

 
 

45,726

 

Domestic Balanced 8.5%

 

JNL/T. Rowe Price Capital Appreciation Fund - Class I (0.8%) (a)

 

2,820

 

43,058

 

Emerging Markets Fixed Income 5.9%

 

JNL/DoubleLine Emerging Markets Fixed Income Fund - Class I (5.7%) (a)

 

3,051

 

30,025

 

Money Market 4.9%

 

JNL/WMC Government Money Market Fund (0.9%) (a)

 

24,600

 

24,600

 

International Equity 4.4%

 

JNL/Causeway International Value Select Fund - Class I (1.0%) (a)

 

979

 

10,471

 
 

JNL/WCM Focused International Equity Fund - Class I (0.8%) (a)

 

848

 

11,780

 
 

22,251

 

Alternative 4.3%

 

JNL Multi-Manager Alternative Fund - Class I (1.5%) (a)

 

1,667

 

16,386

 
 

JNL/First State Global Infrastructure Fund - Class I (0.6%) (a)

 

410

 

5,217

 
 

21,603

 

Emerging Markets Equity 1.8%

 

JNL/GQG Emerging Markets Equity Fund - Class I (1.7%) (a)

 

1,040

 

9,059

 
 

Total Investment Companies (cost $520,933)

505,740

 

Total Investments 100.0% (cost $520,933)

505,740

 

Other Assets and Liabilities, Net (0.0)%

(109)

 

Total Net Assets 100.0%

 

505,631

 

(a)  The Fund's percentage ownership of the underlying affiliated fund at March 31, 2020 is presented parenthetically. The Fund does not invest in the underlying affiliated funds for the purpose of exercising management or control.

        

JNL Institutional Alt 100 Fund

INVESTMENT COMPANIES 100.0%

Alternative 100.0%

 

JNL Multi-Manager Alternative Fund - Class I (4.4%) (a)

 

4,780

 

46,991

 
 

JNL/Boston Partners Global Long Short Equity Fund - Class I (8.9%) (a)

 

3,401

 

28,877

 
 

JNL/Eaton Vance Global Macro Absolute Return Advantage Fund - Class I (8.2%) (a)

 

1,722

 

15,598

 
 

JNL/First State Global Infrastructure Fund - Class I (1.6%) (a)

 

1,103

 

14,041

 
 

JNL/Heitman U.S. Focused Real Estate Fund - Class I (3.9%) (a)

 

764

 

6,681

 
 

JNL/JPMorgan Hedged Equity Fund - Class I (6.8%) (a)

 

1,798

 

18,214

 
  

Shares

 

Value ($)

 
 

JNL/Neuberger Berman Commodity Strategy Fund - Class I (7.8%) (a)

 

754

 

5,900

 
 

JNL/Neuberger Berman Currency Fund - Class I (8.4%) (a)

 

549

 

5,281

 
 

JNL/Nicholas Convertible Arbitrage Fund - Class I (5.4%) (a)

 

702

 

7,409

 
 

JNL/Westchester Capital Event Driven Fund - Class I (8.9%) (a)

 

2,352

 

22,487

 
 

Total Investment Companies (cost $187,111)

171,479

 

Total Investments 100.0% (cost $187,111)

171,479

 

Other Assets and Liabilities, Net (0.0)%

(48)

 

Total Net Assets 100.0%

 

171,431

 

(a)  The Fund's percentage ownership of the underlying affiliated fund at March 31, 2020 is presented parenthetically. The Fund does not invest in the underlying affiliated funds for the purpose of exercising management or control.

       

JNL Moderate Allocation Fund

INVESTMENT COMPANIES 100.0%

Domestic Fixed Income 45.7%

 

JNL/Crescent High Income Fund - Class I (4.8%) (a)

 

1,950

 

19,269

 
 

JNL/DoubleLine Core Fixed Income Fund - Class I (1.2%) (a)

 

3,341

 

45,899

 
 

JNL/DoubleLine Total Return Fund - Class I (2.9%) (a)

 

6,580

 

73,175

 
 

JNL/PIMCO Income Fund - Class I (2.5%) (a)

 

3,672

 

36,388

 
 

JNL/PIMCO Investment Grade Credit Bond Fund - Class I (2.0%) (a)

 

2,055

 

24,553

 
 

JNL/PIMCO Real Return Fund - Class I (1.0%) (a)

 

1,179

 

12,520

 
 

JNL/PPM America Total Return Fund - Class I (2.5%) (a)

 

2,816

 

35,905

 
 

247,709

 

Domestic Equity 17.4%

 

JNL Multi-Manager Mid Cap Fund - Class I (2.4%) (a)

 

1,993

 

21,301

 
 

JNL Multi-Manager Small Cap Growth Fund - Class I (0.3%) (a)

 

203

 

5,399

 
 

JNL Multi-Manager Small Cap Value Fund - Class I (1.1%) (a)

 

803

 

7,493

 
 

JNL/DoubleLine Shiller Enhanced CAPE Fund - Class I (1.0%) (a)

 

1,298

 

15,521

 
 

JNL/Morningstar Wide Moat Index Fund - Class I (5.6%) (a)

 

3,353

 

33,400

 
 

JNL/T. Rowe Price Established Growth Fund - Class I (0.1%) (a)

 

255

 

11,246

 
 

94,360

 

Domestic Balanced 8.8%

 

JNL/T. Rowe Price Capital Appreciation Fund - Class I (0.8%) (a)

 

3,112

 

47,526

 

International Equity 8.0%

 

JNL Multi-Manager International Small Cap Fund - Class I (2.6%) (a)

 

678

 

5,360

 
 

JNL/Causeway International Value Select Fund - Class I (1.6%) (a)

 

1,612

 

17,246

 
 

JNL/WCM Focused International Equity Fund - Class I (1.5%) (a)

 

1,512

 

21,008

 
 

43,614

 

Alternative 6.4%

 

JNL Multi-Manager Alternative Fund - Class I (1.5%) (a)

 

1,685

 

16,559

 
 

JNL/First State Global Infrastructure Fund - Class I (1.5%) (a)

 

1,058

 

13,466

 
 

JNL/Heitman U.S. Focused Real Estate Fund - Class I (2.8%) (a)

 

548

 

4,793

 
 

34,818

 

Emerging Markets Fixed Income 4.2%

 

JNL/DoubleLine Emerging Markets Fixed Income Fund - Class I (4.3%) (a)

 

2,330

 

22,930

 

Money Market 4.1%

 

JNL/WMC Government Money Market Fund (0.9%) (a)

 

22,370

 

22,370

 

Emerging Markets Equity 3.4%

 

JNL/GQG Emerging Markets Equity Fund - Class I (2.5%) (a)

 

1,543

 

13,439

 

1

Jackson Variable Series Trust Master Feeder Funds and Funds of Funds (Unaudited)

Schedules of Investments (in thousands)

March 31, 2020

        
  

Shares

 

Value ($)

 
 

JNL/Lazard Emerging Markets Fund - Class I (0.9%) (a)

 

648

 

4,805

 
 

18,244

 

Global Equity 2.0%

 

JNL/Harris Oakmark Global Equity Fund - Class I (1.8%) (a)

 

1,424

 

10,651

 
 

Total Investment Companies (cost $569,325)

542,222

 

Total Investments 100.0% (cost $569,325)

542,222

 

Other Assets and Liabilities, Net (0.0)%

(122)

 

Total Net Assets 100.0%

 

542,100

 

(a)  The Fund's percentage ownership of the underlying affiliated fund at March 31, 2020 is presented parenthetically. The Fund does not invest in the underlying affiliated funds for the purpose of exercising management or control.

        

JNL/American Funds Global Growth Fund

INVESTMENT COMPANIES 100.0%

Global Equity 100.0%

 

American Funds Insurance Series - Global Growth Fund - Class 1 (a)

 

14,763

 

402,874

 
 

Total Investment Companies (cost $428,018)

402,874

 

Total Investments 100.0% (cost $428,018)

402,874

 

Other Assets and Liabilities, Net (0.0)%

(114)

 

Total Net Assets 100.0%

 

402,760

 

(a)  Investment in affiliate.

        

JNL/American Funds Growth Fund

INVESTMENT COMPANIES 100.0%

Domestic Equity 100.0%

 

American Funds Insurance Series - Growth Fund - Class 1

 

16,634

 

1,176,495

 
 

Total Investment Companies (cost $1,243,756)

1,176,495

 

Total Investments 100.0% (cost $1,243,756)

1,176,495

 

Other Assets and Liabilities, Net (0.0)%

(359)

 

Total Net Assets 100.0%

 

1,176,136

 

Abbreviations:

 

CAPE - Cyclically Adjusted Price Earnings

U.S. - United States

2

Jackson Variable Series Trust Master Feeder Funds and Funds of Funds (Unaudited)

Schedules of Investments (in thousands)

March 31, 2020

Long Term Investments in Affiliates

As defined by the Investment Company Act of 1940 (“1940 Act”), as amended, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities. Funds that own shares of other Funds advised by Jackson National Asset Management, LLC (“JNAM”), are also considered invested in an affiliate company. The following table details each Fund's long term investments in affiliates held during the period ended March 31, 2020.

                          

Affiliate

 

Value Beginning of Period($)

 

Purchases($)

 

Sales Proceeds($)

 

Distributions from Funds($)

 

Realized Gain/Loss from Sales($)

 

Change in Unrealized Appreciation (Depreciation)($)

 

Value End of Period($)

 

Percentage of Net Assets(%)

JNL Conservative Allocation Fund

            
 

JNL Multi-Manager Alternative Fund - Class I

 

15,123

 

3,108

 

407

 

—

 

16

 

(1,454

)

16,386

 

3.2

 

JNL Multi-Manager Mid Cap Fund - Class I

 

9,310

 

4,868

 

1,068

 

—

 

39

 

(2,645

)

10,504

 

2.1

 

JNL Multi-Manager Small Cap Growth Fund - Class I

 

3,489

 

1,778

 

516

 

—

 

(27

)

(779

)

3,945

 

0.8

 

JNL Multi-Manager Small Cap Value Fund - Class I

 

4,655

 

2,653

 

1,322

 

—

 

(643

)

(1,385

)

3,958

 

0.8

 

JNL/Causeway International Value Select Fund - Class I

 

10,502

 

5,553

 

1,553

 

—

 

(764

)

(3,267

)

10,471

 

2.1

 

JNL/Crescent High Income Fund - Class I

 

22,096

 

5,269

 

656

 

—

 

(26

)

(2,345

)

24,338

 

4.8

 

JNL/DoubleLine Core Fixed Income Fund - Class I

 

58,126

 

8,196

 

1,648

 

—

 

44

 

(2,284

)

62,434

 

12.3

 

JNL/DoubleLine Emerging Markets Fixed Income Fund - Class I

 

27,910

 

7,511

 

392

 

—

 

25

 

(5,029

)

30,025

 

5.9

 

JNL/DoubleLine Shiller Enhanced CAPE Fund - Class I

 

5,827

 

3,198

 

640

 

—

 

45

 

(1,960

)

6,470

 

1.3

 

JNL/DoubleLine Total Return Fund - Class I

 

78,965

 

9,211

 

3,780

 

—

 

210

 

(1,528

)

83,078

 

16.4

 

JNL/First State Global Infrastructure Fund - Class I

 

—

 

5,120

 

310

 

—

 

20

 

387

 

5,217

 

1.0

 

JNL/Franklin Templeton Global Multisector Bond Fund - Class I

 

23,353

 

2,957

 

25,086

 

—

 

(3,281

)

2,057

 

—

 

—

 

JNL/GQG Emerging Markets Equity Fund - Class I

 

8,179

 

3,570

 

906

 

—

 

(85

)

(1,699

)

9,059

 

1.8

 

JNL/Morningstar Wide Moat Index Fund - Class I

 

20,919

 

8,977

 

4,219

 

—

 

177

 

(5,005

)

20,849

 

4.1

 

JNL/PIMCO Income Fund - Class I

 

44,194

 

7,544

 

852

 

—

 

21

 

(3,062

)

47,845

 

9.5

 

JNL/PIMCO Investment Grade Credit Bond Fund - Class I

 

32,543

 

5,300

 

1,154

 

—

 

27

 

(939

)

35,777

 

7.1

 

JNL/PIMCO Real Return Fund - Class I

 

9,300

 

1,199

 

448

 

—

 

23

 

(13

)

10,061

 

2.0

 

JNL/PPM America Total Return Fund - Class I

 

41,843

 

5,419

 

1,583

 

—

 

94

 

112

 

45,885

 

9.1

 

JNL/T. Rowe Price Capital Appreciation Fund - Class I

 

38,380

 

12,482

 

3,074

 

—

 

463

 

(5,193

)

43,058

 

8.5

 

JNL/WCM Focused International Equity Fund - Class I

 

10,467

 

4,637

 

1,417

 

—

 

88

 

(1,995

)

11,780

 

2.3

 

JNL/WMC Government Money Market Fund

 

—

 

25,260

 

660

 

—

 

—

 

—

 

24,600

 

4.9

   

465,181

 

133,810

 

51,691

 

—

 

(3,534

)

(38,026

)

505,740

 

100.0

JNL Institutional Alt 100 Fund

            
 

JNL Multi-Manager Alternative Fund - Class I

 

54,874

 

300

 

3,688

 

—

 

127

 

(4,622

)

46,991

 

27.4

 

JNL/Boston Partners Global Long Short Equity Fund - Class I

 

35,434

 

7

 

478

 

—

 

(89

)

(5,997

)

28,877

 

16.9

 

JNL/Eaton Vance Global Macro Absolute Return Advantage Fund - Class I

 

19,527

 

—

 

1,809

 

—

 

61

 

(2,181

)

15,598

 

9.1

 

JNL/First State Global Infrastructure Fund - Class I

 

19,040

 

—

 

1,237

 

—

 

185

 

(3,947

)

14,041

 

8.2

 

JNL/Heitman U.S. Focused Real Estate Fund - Class I

 

9,967

 

—

 

1,027

 

—

 

150

 

(2,409

)

6,681

 

3.9

 

JNL/JPMorgan Hedged Equity Fund - Class I

 

21,081

 

—

 

1,902

 

—

 

121

 

(1,086

)

18,214

 

10.6

 

JNL/Neuberger Berman Commodity Strategy Fund - Class I

 

8,419

 

6

 

88

 

—

 

(6

)

(2,431

)

5,900

 

3.4

 

JNL/Neuberger Berman Currency Fund - Class I

 

6,297

 

—

 

863

 

—

 

(42

)

(111

)

5,281

 

3.1

 

JNL/Nicholas Convertible Arbitrage Fund - Class I

 

8,966

 

—

 

1,304

 

—

 

92

 

(345

)

7,409

 

4.3

 

JNL/Westchester Capital Event Driven Fund - Class I

 

27,455

 

—

 

1,374

 

—

 

109

 

(3,703

)

22,487

 

13.1

   

211,060

 

313

 

13,770

 

—

 

708

 

(26,832

)

171,479

 

100.0

JNL Moderate Allocation Fund

            
 

JNL Multi-Manager Alternative Fund - Class I

 

18,532

 

179

 

552

 

—

 

(12

)

(1,588

)

16,559

 

3.0

 

JNL Multi-Manager International Small Cap Fund - Class I

 

6,345

 

753

 

148

 

—

 

10

 

(1,600

)

5,360

 

1.0

 

JNL Multi-Manager Mid Cap Fund - Class I

 

26,467

 

1,769

 

378

 

—

 

76

 

(6,633

)

21,301

 

3.9

 

JNL Multi-Manager Small Cap Growth Fund - Class I

 

6,273

 

651

 

294

 

—

 

84

 

(1,315

)

5,399

 

1.0

 

JNL Multi-Manager Small Cap Value Fund - Class I

 

9,374

 

1,463

 

33

 

—

 

—

 

(3,311

)

7,493

 

1.4

 

JNL/Causeway International Value Select Fund - Class I

 

21,999

 

2,567

 

178

 

—

 

(12

)

(7,130

)

17,246

 

3.2

 

JNL/Crescent High Income Fund - Class I

 

21,509

 

435

 

537

 

—

 

(41

)

(2,097

)

19,269

 

3.5

 

JNL/DoubleLine Core Fixed Income Fund - Class I

 

52,058

 

851

 

5,324

 

—

 

194

 

(1,880

)

45,899

 

8.5

 

JNL/DoubleLine Emerging Markets Fixed Income Fund - Class I

 

27,722

 

525

 

1,053

 

—

 

(23

)

(4,241

)

22,930

 

4.2

 

JNL/DoubleLine Shiller Enhanced CAPE Fund - Class I

 

18,786

 

2,467

 

515

 

—

 

91

 

(5,308

)

15,521

 

2.9

 

JNL/DoubleLine Total Return Fund - Class I

 

82,456

 

1,460

 

9,823

 

—

 

613

 

(1,531

)

73,175

 

13.5

 

JNL/First State Global Infrastructure Fund - Class I

 

—

 

12,482

 

—

 

—

 

—

 

984

 

13,466

 

2.5

 

JNL/FPA + DoubleLine Flexible Allocation Fund - Class I

 

12,380

 

187

 

10,238

 

—

 

(1,271

)

(1,058

)

—

 

—

 

JNL/Franklin Templeton Global Multisector Bond Fund - Class I

 

24,682

 

599

 

24,071

 

—

 

(3,378

)

2,168

 

—

 

—

 

JNL/GQG Emerging Markets Equity Fund - Class I

 

15,708

 

1,068

 

218

 

—

 

19

 

(3,138

)

13,439

 

2.5

 

JNL/Harris Oakmark Global Equity Fund - Class I

 

14,161

 

1,292

 

139

 

—

 

(10

)

(4,653

)

10,651

 

2.0

 

JNL/Heitman U.S. Focused Real Estate Fund - Class I

 

4,621

 

1,332

 

126

 

—

 

21

 

(1,055

)

4,793

 

0.9

3

Jackson Variable Series Trust Master Feeder Funds and Funds of Funds (Unaudited)

Schedules of Investments (in thousands)

March 31, 2020

                          

Affiliate

 

Value Beginning of Period($)

 

Purchases($)

 

Sales Proceeds($)

 

Distributions from Funds($)

 

Realized Gain/Loss from Sales($)

 

Change in Unrealized Appreciation (Depreciation)($)

 

Value End of Period($)

 

Percentage of Net Assets(%)

 

JNL/Lazard Emerging Markets Fund - Class I

 

6,368

 

534

 

111

 

—

 

(3

)

(1,983

)

4,805

 

0.9

 

JNL/Morningstar Wide Moat Index Fund - Class I

 

37,168

 

4,073

 

602

 

—

 

113

 

(7,352

)

33,400

 

6.1

 

JNL/PIMCO Income Fund - Class I

 

41,527

 

630

 

3,201

 

—

 

38

 

(2,606

)

36,388

 

6.7

 

JNL/PIMCO Investment Grade Credit Bond Fund - Class I

 

27,529

 

278

 

2,547

 

—

 

106

 

(813

)

24,553

 

4.5

 

JNL/PIMCO Real Return Fund - Class I

 

13,771

 

191

 

1,440

 

—

 

73

 

(75

)

12,520

 

2.3

 

JNL/PPM America Total Return Fund - Class I

 

39,722

 

601

 

4,590

 

—

 

305

 

(133

)

35,905

 

6.6

 

JNL/T. Rowe Price Capital Appreciation Fund - Class I

 

52,654

 

1,869

 

985

 

—

 

201

 

(6,213

)

47,526

 

8.8

 

JNL/T. Rowe Price Established Growth Fund - Class I

 

12,577

 

1,168

 

870

 

—

 

186

 

(1,815

)

11,246

 

2.1

 

JNL/WCM Focused International Equity Fund - Class I

 

23,624

 

1,981

 

761

 

—

 

139

 

(3,975

)

21,008

 

3.9

 

JNL/WMC Government Money Market Fund

 

—

 

23,006

 

636

 

—

 

—

 

—

 

22,370

 

4.1

   

618,013

 

64,411

 

69,370

 

—

 

(2,481

)

(68,351

)

542,222

 

100.0

JNL/American Funds Global Growth Fund

            
 

American Funds Insurance Series - Global Growth Fund - Class 1

 

461,504

 

36,831

 

16,034

 

—

 

(389

)

(79,038

)

402,874

 

100.0

   

461,504

 

36,831

 

16,034

 

—

 

(389

)

(79,038

)

402,874

 

100.0

Security Valuation and Fair Value Measurement. Under the Jackson Variable Series Trust’s (“Trust”) valuation policy and procedures, the Trust’s Board of Trustees ("Board" or "Trustees") has delegated the daily operational oversight of the securities valuation function to the JNAM Valuation Committee (“Valuation Committee”), which consists of certain officers of the Trust and JNAM management. The Valuation Committee is responsible for determining fair valuations for any security for which market quotations are not readily available. For those securities fair valued under procedures adopted by the Board, the Valuation Committee reviews and affirms the reasonableness of the fair valuation determinations after considering all relevant information that is reasonably available. The Valuation Committee’s fair valuation determinations are subject to review by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

The net asset value (“NAV”) of a Fund's shares is generally determined once each day the New York Stock Exchange (“NYSE”) is open, at the close of the regular trading session of the NYSE (normally, 4:00 PM Eastern Time, Monday through Friday). The Funds of Funds’ investments in the underlying funds are valued at the daily NAV of the applicable underlying fund determined as of the close of the NYSE on each valuation date. Valuation of investments by the underlying funds is discussed in the underlying funds’ Form N-PORT, which are filed with the U.S. Securities and Exchange Commission (“SEC”) and are available on the SEC’s website at www.sec.gov. Each Feeder Fund’s investment in its corresponding Master Fund is valued at the daily 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 Fund is discussed in each Master Fund’s shareholder report, which is available on the SEC's website at www.sec.gov.

Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820, “Fair Value Measurement” 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 and are summarized into three broad categories. Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for investments in mutual funds. Investments in the underlying funds and Master Funds are categorized as Level 1 within FASB ASC Topic 820 fair value hierarchy. The Level 1 valuation assets for the Funds can be referenced in the Schedules of Investments. There were no Level 2 or Level 3 investments in these Funds.

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.

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