-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EqQUbcbmk+VyQwH+47ttV1WXCnRvltOYj88yI2xc/ZpGCo0gYaGXEbLh8HcqCAzM iU9BN2aePsRB4eXCtoqtDw== 0000933691-04-000214.txt : 20040908 0000933691-04-000214.hdr.sgml : 20040908 20040908124928 ACCESSION NUMBER: 0000933691-04-000214 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040908 DATE AS OF CHANGE: 20040908 EFFECTIVENESS DATE: 20040908 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JNL SERIES TRUST CENTRAL INDEX KEY: 0000933691 IRS NUMBER: 381659835 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-08894 FILM NUMBER: 041020130 BUSINESS ADDRESS: STREET 1: 1 CORPORATE WAY CITY: LANSING STATE: MI ZIP: 48951 BUSINESS PHONE: (517) 367-4336 MAIL ADDRESS: STREET 1: 1 CORPORATE WAY CITY: LANSING STATE: MI ZIP: 48951 N-CSR 1 jnlst_ncsr804.txt JNLST N-CSR 8-04 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-8894 JNL Series Trust - -------------------------------------------------------------------------------- (Exact Name of Registrant as specified in charter) 1 Corporate Way, Lansing, Michigan 48951 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Susan S. Rhee Jackson National Asset Management,LLC 1 Corporate Way Lansing, Michigan 48951 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 517-381-5500 Date of Fiscal Year End: December 31 Date of Reporting period: June 30, 2004 Item 1. Report to Shareholders Dear Investors: We are pleased to provide you with this report on the operations of the JNL Series Trust and the JNL Variable Fund LLC, JNL Variable Fund III LLC, JNL Variable Fund V LLC, and JNLNY Variable Fund I LLC (collectively, JNL Variable Funds LLC) for the six-month period ending June 30, 2004. The Dow Jones, S&P 500 and NASDAQ all experienced an upturn starting in late March of 2003 and continuing during the initial start of 2004, until subsequently drifting lower. Fear of terrorism, higher energy prices, higher interest rates and weak job data, among other concerns, have contributed to recent weak market performance. Equity market indicators for the six-month period ending June 30, 2004, showed the Dow Jones up less than 1%; the S&P 500 up just under 3.5%; the EAFE Index (a proxy for International Stock Markets) up over 4.5%, and the NASDAQ up just under 2.5%. Small cap stocks outpaced large caps during the first half of the year. In addition, the industrial and energy sectors posted strong returns. Fixed income market indicators for the six-month period ending June 30, 2004, showed the Lehman Brothers Aggregate Bond Index nearly flat, with a gain of only 0.15% and the Lehman Brothers High Yield Index up just over 1.3%. Some market pundits view the U.S. equity market as being fairly valued and experiencing moderately paced growth. Stock prices have generally followed earnings. If earnings growth continues, we expect to see stock valuation move upward accordingly. As anticipated, the Federal Reserve Board raised the federal funds rate to 1.25% in late June of this year and the markets anticipate further rate hikes this year in an effort to moderate growth. The current interest rate environment in the U.S. is still historically low as we start to move off from some of the lowest rates in more then 40 years. Through any market environment, we recommend that our investors maintain a disciplined, long-term investment plan. The JNL Series Trust and JNL Variable Funds LLC offer a wide variety of Funds, each with its own investment objective and strategy. The performance of each Fund is influenced by its investment objective and the investment style of its money managers, as well as the market environment. We hope that our wide selection of Funds affords you the opportunity to create a portfolio that meets your investment objectives and needs. Thank you for your continued confidence in our products and services. We strive to provide successful investment vehicles that will help you meet your financial goals. Respectfully, /s/ Robert A. Fritts Robert A. Fritts President & Chief Executive Officer JNL Series Trust JNL Variable Funds LLC
JNL SERIES TRUST (UNAUDITED) SCHEDULE OF INVESTMENTS (IN THOUSANDS) JUNE 30, 2004 JNL/AIM LARGE CAP GROWTH FUND Common Stocks - 98.3% Aerospace & Defense - 2.2% Boeing Co. 24 $ 1,226 Rockwell Collins Inc. 26 863 United Technologies Corp. 11 961 3,050 Apparel - 3.0% Coach Inc. (b) 62 2,806 NIKE Inc. 22 1,659 4,465 Beverages - 3.6% Coca-Cola Enterprises Inc. 47 1,354 Pepsi Bottling Group Inc. 49 1,481 PepsiCo Inc. 47 2,554 5,389 Biotechnology - 1.7% Genentech Inc. (b) 45 2,518 Building Materials - 1.3% American Standard Cos. Inc. (b) 25 1,008 Masco Corp. 32 982 1,990 Commercial Services - 7.5% Accenture Ltd. (b) 73 2,012 Apollo Group Inc. (b) (l) 50 4,450 Cendant Corp. 190 4,643 11,105 Computers - 2.7% Dell Inc. (b) 88 3,163 Lexmark International Inc. (b) 9 859 4,022 Cosmetics & Personal Care - 6.7% Avon Products Inc. 38 1,749 Estee Lauder Cos. Inc. 36 1,761 Gillette Co. 100 4,227 Procter & Gamble Co. 40 2,178 9,915 Diversified Financial Services - 2.6% American Express Co. 17 848 Citigroup Inc. 26 1,204 Countrywide Financial Corp. 13 878 MBNA Corp. 35 908 3,838 Electronics - 0.7% Waters Corp. (b) 22 1,060 Entertainment - 2.2% International Game Technology 84 3,230 Food - 0.6% Tyson Foods Inc. 44 922 Healthcare - 17.6% Alcon Inc. 36 2,840 Becton Dickinson & Co. 31 1,585 C.R. Bard Inc. 19 1,048 Johnson & Johnson 39 2,172 Quest Diagnostics Inc. 18 1,495 St. Jude Medical Inc. (b) 25 1,891 Stryker Corp. 38 2,063 UnitedHealth Group Inc. 102 6,332 Varian Medical Systems Inc. (b) 27 2,135 Zimmer Holdings Inc. (b) 50 4,402 25,963 Home Furnishings - 1.5% Harman International Industries Inc. 25 2,239 Household Products - 1.6% Fortune Brands Inc. 31 2,361 Insurance - 1.2% Progressive Corp. 10 818 Torchmark Corp. 17 915 1,733 Internet - 5.8% eBay Inc. (b) 22 2,023 Symantec Corp. (b) 73 3,213 Yahoo! Inc. (b) 93 3,362 8,598 Machinery - 0.9% Rockwell Automation Inc. 37 1,391 Manufacturing - 5.3% 3M Co. 37 3,366 Danaher Corp. (l) 19 1,001 Illinois Tool Works Inc. 15 1,477 Tyco International Ltd. 59 1,947 7,791 Retail - 12.4% Costco Wholesale Corp. 21 862 Gap Inc. (l) 127 3,089 Home Depot Inc. 34 1,207 J.C. Penney Co. Inc. 36 1,363 Limited Brands Inc. 42 793 McDonald's Corp. 99 2,582 Nordstrom Inc. 61 2,591 RadioShack Corp. 26 747 Staples Inc. 64 1,876 Starbucks Corp. (b) 34 1,474 Yum! Brands Inc. (b) 48 1,802 18,386 Savings & Loans - 0.6% Golden West Financial Corp. 8 851 Semiconductors - 1.8% Altera Corp. (b) 47 1,043 Analog Devices Inc. 18 833 Intel Corp. 28 778 2,654 Software - 4.3% Adobe Systems Inc. 26 1,218 IMS Health Inc. 87 2,028 Microsoft Corp. 80 2,271 Oracle Corp. (b) 72 860 6,377 Telecommunications - 0.7% Amdocs Ltd. (b) 41 962 Telecommunications Equipment - 5.2% Avaya Inc. (b) 100 1,578 Cisco Systems Inc. (b) 259 6,127 7,705 Wireless Telecommunications - 4.6% Motorola Inc. (l) 146 2,659 Nextel Communications Inc. (b) 54 1,448 Qualcomm Inc. 36 2,634 6,741 Total Common Stocks (cost $134,770) 145,256 Short Term Investments - 3.1% Money Market Funds - 3.1% Dreyfus Cash Management Plus, 1.14% (a) 4,549 4,549 Total Short Term Investments (cost $4,549) 4,549 Total Investments - 101.4% (cost $139,319) 149,805 Other Assets and Liabilities, Net - (1.4%) (2,066) Total Net Assets - 100% $147,739 JNL/AIM SMALL CAP GROWTH FUND Common Stocks - 92.5% Advertising - 0.7% Getty Images Inc. (b) (l) 6 $336 Aerospace & Defense - 0.6% Engineered Support Systems Inc. 5 265 Airlines - 0.5% Airtran Holdings Inc. (b) 15 216 Apparel - 0.5% Quiksilver Inc. (b) 10 243 Banks - 3.5% East-West Bancorp. Inc. 9 282 Greater Bay Bancorp. 6 165 Investors Financial Services Corp. (l) 3 144 PrivateBancorp Inc. 6 168 Prosperity Bancshares Inc. 6 146 Silicon Valley Bancshares (b) 5 202 Southwest Bancorp. of Texas Inc. 4 190 UCBH Holdings Inc. 6 228 W Holding Co. Inc. 7 117 1,642 Biotechnology - 2.7% Affymetrix Inc. (b) (l) 6 187 Charles River Laboratories International Inc. (b) 1 44 Digene Corp. (b) 6 216 Genencor International Inc. (b) 7 118 Harvard Bioscience Inc. (b) 9 41 Integra LifeSciences Holdings Corp. (b) 6 198 Invitrogen Corp. (b) 4 251 Martek Biosciences Corp. (b) (l) 4 201 1,256 Building Materials - 0.4% Trex Co. Inc. (b) (l) 5 193 Chemicals - 0.3% Spartech Corp. 6 148 Commercial Services - 7.3% Administaff Inc. (b) 6 105 Advisory Board Co. (b) 6 203 Alliance Data Systems Corp. (b) 6 241 Charles River Associates Inc. (b) 5 155 Corporate Executive Board Co. 6 370 CoStar Group Inc. (b) 9 400 Education Management Corp. (b) 6 210 Euronet Worldwide Inc. (b) 14 332 Forrester Research Inc. (b) 8 151 Gevity HR Inc. 7 178 Icon Plc - ADR (b) 5 237 iPayment Holdings Inc. (b) 3 115 Iron Mountain Inc. (b) 4 205 Laureate Education Inc. (b) 5 206 Steiner Leisure Ltd. (b) 7 150 Strayer Education Inc. 2 179 3,437 Computers - 2.8% Anteon International Corp. (b) 6 199 CACI International Inc. - Class A (b) 3 137 Cognizant Technology Solutions Corp. (b) 7 173 Intergraph Corp. (b) 7 176 Magma Design Automation Inc. (b) 7 131 M-Systems Flash Disk Pioneers Ltd. (b) (l) 12 185 National Instruments Corp. 7 216 PalmOne Inc. (b) 2 83 1,300 Distribution & Wholesale - 0.5% ScanSource Inc. (b) 4 256 Diversified Financial Services - 1.7% Affiliated Managers Group Inc. (b) (l) 4 217 eSPEED Inc. (b) 9 150 Jefferies Group Inc. 5 167 Knight Trading Group Inc. (b) 12 124 Piper Jaffray Cos. (b) 3 154 812 Electrical Components & Equipment - 0.7% Littelfuse Inc. (b) 5 199 Wilson Greatbatch Technologies Inc. (b) 4 115 314 Electronics - 7.1% Cymer Inc. (b) 5 202 Daktronics Inc. (b) 7 170 FEI Co. (b) 7 163 Flir Systems Inc. (b) 6 329 Ii-Vi Inc. (b) 6 184 Imax Corp. (b) 23 126 Keithley Instruments Inc. 10 210 LeCroy Corp. (b) 10 176 PerkinElmer Inc. 9 172 Photon Dynamics Inc. (b) 7 256 Rogers Corp. (b) 3 210 Taser International Inc. (b) (l) 2 104 Tektronix Inc. 6 211 Trimble Navigation Ltd. (b) 14 388 TTM Technologies Inc. (b) 17 200 Varian Inc. (b) 7 287 3,388 Entertainment - 2.0% Lions Gate Entertainment Corp. (b) 32 226 Macrovision Corp. (b) 9 230 Penn National Gaming Inc. (b) 7 226 Shuffle Master Inc. (b) (l) 7 263 945 Environmental Control - 1.0% Stericycle Inc. (b) 6 285 Tetra Tech Inc. (b) 11 184 469 Food - 1.1% SunOpta Inc. (b) 13 108 United Natural Foods Inc. (b) 14 390 498 Healthcare - 9.8% Advanced Neuromodulation Systems Inc. (b) (l) 6 185 American Healthways Inc. (b) 4 101 American Medical Systems Holdings Inc. (b) 5 172 Amsurg Corp. (b) 7 185 Closure Medical Corp. (b) 7 186 Covance Inc. (b) 5 204 Cyberonics Inc. (b) (l) 5 151 Cytyc Corp. (b) 13 331 DaVita Inc. (b) 5 162 Gen-Probe Inc. (b) 6 293 Inveresk Research Group Inc. (b) 6 179 LifePoint Hospitals Inc. (b) 8 279 NuVasive Inc. (b) (l) 10 111 Odyssey HealthCare Inc. (b) (l) 8 149 OraSure Technologies Inc. (b) 17 168 Pediatrix Medical Group Inc. (b) 3 182 Possis Medical Inc. (b) 4 150 ResMed Inc. (b) 4 219 Select Medical Corp. 12 158 Steris Corp. (b) 7 149 Techne Corp. (b) 5 213 Triad Hospitals Inc. (b) 5 197 VISX Inc. (b) 10 273 Wright Medical Group Inc. (b) 5 167 Zoll Medical Corp. (b) 3 98 4,662 Home Builders - 0.3% Toll Brothers Inc. (b) 3 118 Household Products - 0.5% Fossil Inc. (b) 8 213 Insurance - 1.4% Assured Guaranty Ltd. (b) 7 115 Direct General Corp. 3 110 HCC Insurance Holdings Inc. 5 177 Navigators Group Inc. (b) 4 121 ProAssurance Corp. (b) 4 136 659 Internet - 5.6% Ask Jeeves Inc. (b) (l) 4 156 Avocent Corp. (b) 6 228 CNET Networks Inc. (b) 16 176 Digital Insight Corp. (b) 8 164 Digitas Inc. (b) 20 223 eResearch Technology Inc. (b) (l) 8 231 Internet Security Systems Inc. (b) 8 123 Interwoven Inc. (b) 9 93 Macromedia Inc. (b) 12 294 Netegrity Inc. (b) 16 132 NetFlix Inc. (b) (l) 5 162 Network Associates Inc. (b) 9 171 Sina Corp. (b) 5 155 United Online Inc. (b) 9 158 Websense Inc. (b) 6 231 2,697 Iron & Steel - 0.4% Gibraltar Steel Corp. 6 187 Lodging - 1.0% Kerzner International Ltd. (b) 4 191 Station Casinos Inc. (l) 6 290 481 Machinery - 0.3% Cognex Corp. 3 131 Manufacturing - 0.7% Applied Films Corp. (b) 11 311 Media - 1.3% COX Radio Inc. (b) 5 94 Cumulus Media Inc. - Class A (b) 10 173 Entravision Communications Corp. (b) 13 98 Radio One Inc. (b) 6 98 Radio One Inc. - Class D (b) 11 171 634 Oil & Gas Producers - 3.1% Grey Wolf Inc. (b) (l) 35 147 Harvest Natural Resources Inc. (b) 12 185 Patterson-UTI Energy Inc. 5 177 Pride International Inc. (b) 9 149 Quicksilver Resources Inc. (b) 5 302 Spinnaker Exploration Co. (b) 7 264 Ultra Petroleum Corp. (b) 7 260 1,484 Oil & Gas Services - 3.3% CAL Dive International Inc. (b) 11 343 Core Laboratories NV (b) 6 145 FMC Technologies Inc. (b) 9 259 Key Energy Services Inc. (b) 14 136 National-Oilwell Inc. (b) 6 186 Tetra Technologies Inc. (b) 6 149 Universal Compression Holdings Inc. (b) 6 175 Varco International Inc. (b) 8 170 1,563 Pharmaceuticals - 4.4% Accredo Health Inc. (b) 8 319 American Pharmaceutical Partners Inc. (b) (l) 5 137 Angiotech Pharmaceuticals Inc. (b) 7 147 Cephalon Inc. (b) (l) 2 92 Connetics Corp. (b) 6 115 Corcept Therapeutics Inc. (b) 10 80 Medicis Pharmaceutical Corp. - Class A (l) 7 272 NBTY Inc. (b) 6 188 Salix Pharmaceuticals Ltd. (b) 7 231 Taro Pharmaceuticals Industries Ltd. (b) 4 178 VCA Antech Inc. (b) 7 309 2,068 Retail - 8.8% Aeropostale Inc. (b) 8 218 Bebe Stores Inc. (b) 8 164 Buffalo Wild Wings Inc. (b) 5 124 Carmax Inc. (b) (l) 6 127 Chico's FAS Inc. (b) (l) 5 221 Coldwater Creek Inc. (b) 4 106 Fred's Inc. 8 187 GameStop Corp. (b) 11 172 HOT Topic Inc. (b) (l) 8 159 Insight Enterprises Inc. (b) 12 213 Jos. A. Banks Clothiers Inc. (b) (l) 6 177 Krispy Kreme Doughnuts Inc. (b) (l) 5 86 MSC Industrial Direct Co. Inc. 10 332 Pacific Sunwear of California (b) 8 151 Panera Bread Co. - Class A (b) (l) 7 244 PF Chang's China Bistro Inc. (b) 5 222 Rare Hospitality International Inc. (b) 10 238 Select Comfort Corp. (b) 8 219 Sonic Corp. (b) 8 193 Tractor Supply Co. (b) 7 276 Urban Outfitters Inc. (b) 6 383 4,212 Semiconductors - 8.6% Actel Corp. (b) 7 126 AMIS Holdings Inc. (b) 8 134 Artisan Components Inc. (b) 5 116 ASE Test Ltd. (b) 18 129 Asyst Technologies Inc. (b) 12 122 ChipPAC Inc. (b) 30 190 Entegris Inc. (b) 14 161 Exar Corp. (b) 8 123 Formfactor Inc. (b) 9 191 Genesis Microchip Inc. (b) 7 94 Integrated Circuit Systems Inc. (b) 8 217 Intersil Corp. 5 105 Microsemi Corp. (b) 12 168 Mykrolis Corp. (b) 16 279 Nvidia Corp. (b) 6 115 O2Micro International Ltd. (b) 11 192 Omnivision Technologies Inc. (b) (l) 8 129 Pixelworks Inc. (b) (l) 12 178 Power Integrations Inc. (b) 5 129 Semtech Corp. (b) 10 226 Skyworks Solutions Inc. (b) 19 162 Tripath Technology Inc. (b) (l) 23 74 Varian Semiconductor Equipment Associates Inc. (b) 6 228 Veeco Instruments Inc. (b) 5 124 Xicor Inc. (b) 14 203 Zoran Corp. (b) 8 142 4,057 Software - 4.6% Activision Inc. (b) 16 250 Autodesk Inc. 6 240 Avid Technology Inc. (b) 5 273 Cerner Corp. (b) 3 116 Cognos Inc. (b) 5 188 Global Payments Inc. 5 203 Micromuse Inc. (b) 20 132 Novell Inc. (b) 11 95 Pixar Inc. (b) (l) 2 139 Red Hat Inc. (b) 17 378 Take-Two Interactive Software Inc. (b) 5 137 2,151 Telecommunications - 0.2% Intrado Inc. (b) 7 112 Telecommunications Equipment - 3.0% Adtran Inc. 5 150 Aeroflex Inc. (b) 18 258 C-COR.net Corp. (b) 10 106 Plantronics Inc. (b) 5 227 Polycom Inc. (b) 7 166 SafeNet Inc. (b) 10 266 UTStarcom Inc. (b) (l) 4 133 WJ Communications Inc. (b) 25 88 1,394 Toys & Hobbies - 0.4% Marvel Enterprises Inc. (b) (l) 11 212 Transportation - 0.7% Gulfmark Offshore Inc. (b) 8 130 UTI Worldwide Inc. 3 179 309 Wireless Telecommunications - 0.7% Powerwave Technologies Inc. (b) 16 122 Sierra Wireless Inc. (b) 3 104 Wireless Facilities Inc. (b) 11 103 329 Total Common Stocks (cost $37,626) 43,702 Mutual Funds - 0.5% iShares Nasdaq Biotechnology Index Fund (l) 3 218 Total Mutual Funds (cost $227) 218 Short Term Investments - 7.5% Money Market Funds - 7.3% Dreyfus Cash Management Plus, 1.14% (a) 2,347 2,347 Dreyfus Government Cash Management, 0.96% (a) 1,083 1,083 3,430 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 1.20%, 09/16/04 $100 100 Total Short Term Investments (cost $3,529) 3,530 Total Investments - 100.5% (cost $41,382) 47,450 Other Assets and Liabilities, Net - (0.5%) (245) Total Net Assets - 100% $47,205 JNL/ALGER GROWTH FUND Common Stocks - 99.3% Apparel - 0.8% NIKE Inc. 28 $2,151 Beverages - 2.0% Anheuser-Busch Cos. Inc. 101 5,470 Biotechnology - 4.5% Biogen Idec Inc. (b) 111 7,033 Genentech Inc. (b) 54 3,018 Millennium Pharmaceuticals Inc. (b) 174 2,402 12,453 Chemicals - 1.2% Dow Chemical Co. 84 3,427 Computers - 0.5% EMC Corp. (b) 126 1,439 Diversified Financial Services - 3.2% Affiliated Managers Group Inc. (b) (l) 28 1,398 American Express Co. 74 3,807 T. Rowe Price Group Inc. 71 3,583 8,788 Healthcare - 9.4% Aetna Inc. 45 3,817 Anthem Inc. (b) (l) 32 2,884 Boston Scientific Corp. (b) 112 4,793 HCA Inc. 149 6,189 Medtronic Inc. 94 4,572 Pacificare Health Systems Inc. (b) 75 2,880 Stryker Corp. 13 688 25,823 Household Products - 1.2% Fortune Brands Inc. 45 3,372 Insurance - 3.2% AFLAC Inc. 100 4,085 American International Group Inc. 65 4,655 8,740 Internet - 9.9% eBay Inc. (b) 91 8,378 NetFlix Inc. (b) (l) 219 7,880 Yahoo! Inc. (b) 306 11,128 27,386 Leisure Time - 3.1% Carnival Corp. 61 2,844 Royal Caribbean Cruises Ltd. 134 5,813 8,657 Lodging - 2.0% Starwood Hotels & Resorts Worldwide Inc. 125 5,588 Manufacturing - 5.7% General Electric Co. 174 5,623 Tyco International Ltd. 304 10,086 15,709 Media - 5.4% Comcast Corp. - Special Class A (b) 144 3,984 Gannett Co. Inc. 24 2,049 Viacom Inc. - Class B 53 1,891 XM Satellite Radio Holdings Inc. - Class A (b) (l) 252 6,874 14,798 Oil & Gas Producers - 1.5% Devon Energy Corp. 44 2,899 EOG Resources Inc. 23 1,361 4,260 Pharmaceuticals - 8.2% Abbott Laboratories 63 2,548 Caremark Rx Inc. (b) 146 4,819 ImClone Systems Inc. (b) 26 2,248 Pfizer Inc. 306 10,490 Teva Pharmaceutical Industries Ltd. - ADR 38 2,547 22,652 Retail - 7.0% Bed Bath & Beyond Inc. (b) 54 2,072 CVS Corp. 64 2,681 Home Depot Inc. 41 1,452 Target Corp. 171 7,252 Wal-Mart Stores Inc. 109 5,767 19,224 Semiconductors - 15.2% Advanced Micro Devices Inc. (b) (l) 195 3,105 Altera Corp. (b) 247 5,484 Analog Devices Inc. 93 4,355 Applied Materials Inc. (b) 496 9,729 Broadcom Corp. (b) (l) 80 3,737 Linear Technology Corp. 178 7,039 Maxim Integrated Products Inc. 27 1,426 Teradyne Inc. (b) (l) 308 6,998 41,873 Software - 12.1% Automatic Data Processing Inc. 186 7,781 First Data Corp. 109 4,848 Microsoft Corp. 412 11,768 Oracle Corp. (b) 441 5,265 Veritas Software Corp. (b) 131 3,620 33,282 Telecommunications Equipment - 3.2% Cisco Systems Inc. (b) 374 8,859 Total Common Stocks (cost $249,813) 273,951 Short Term Investments - 0.5% Money Market Funds - 0.5% Dreyfus Cash Management Plus, 1.14% (a) 1,460 1,460 Total Short Term Investments (cost $1,460) 1,460 Total Investments - 99.8% (cost $251,273) 275,411 Other Assets and Liabilities, Net - 0.2% 555 Total Net Assets - 100% $275,966 JNL/ALLIANCE CAPITAL GROWTH FUND Common Stocks - 99.1% Beverages - 1.5% Coca-Cola Co. 20 $1,005 Biotechnology - 2.8% Amgen Inc. (b) 36 1,948 Computers - 5.4% Dell Inc. (b) 72 2,569 EMC Corp. (b) 98 1,119 3,688 Cosmetics & Personal Care - 3.7% Avon Products Inc. 25 1,163 Procter & Gamble Co. 25 1,344 2,507 Diversified Financial Services - 7.9% Citigroup Inc. 42 1,948 Franklin Resources Inc. 15 741 JPMorgan Chase & Co. 40 1,531 MBNA Corp. 40 1,042 Merrill Lynch & Co. Inc. 3 184 5,446 Food - 0.1% Whole Foods Market Inc. 1 67 Healthcare - 9.2% Alcon Inc. 6 472 Anthem Inc. (b) 14 1,290 Boston Scientific Corp. (b) 35 1,494 St. Jude Medical Inc. (b) 18 1,384 UnitedHealth Group Inc. (l) 21 1,307 Zimmer Holdings Inc. (b) 4 353 6,300 Insurance - 4.9% American International Group Inc. 33 2,345 Progressive Corp. 12 998 3,343 Internet - 11.4% Amazon.Com Inc. (b) 22 1,180 eBay Inc. (b) 26 2,379 Symantec Corp. (b) (l) 23 1,020 Yahoo! Inc. (b) 89 3,233 7,812 Leisure Time - 1.1% Carnival Corp. 16 752 Manufacturing - 2.8% General Electric Co. 60 1,947 Media - 4.2% E.W. Scripps Co. 6 651 Time Warner Inc. (b) 60 1,053 Viacom Inc. - Class B 34 1,207 2,911 Oil & Gas Producers - 1.1% Nabors Industries Ltd. (b) 16 737 Oil & Gas Services - 1.2% Baker Hughes Inc. 9 339 Halliburton Co. 9 260 Schlumberger Ltd. 3 203 802 Pharmaceuticals - 7.3% Caremark Rx Inc. (b) 11 352 Cephalon Inc. (b) (l) 8 437 Forest Laboratories Inc. (b) 20 1,121 Pfizer Inc. 76 2,603 Teva Pharmaceutical Industries Ltd. - ADR 7 471 4,984 Retail - 7.3% Bed Bath & Beyond Inc. (b) 20 784 Lowe's Cos. Inc. 36 1,8978 Starbucks Corp. (b) 5 230 Target Corp. 15 620 Wal-Mart Stores Inc. 29 1,504 5,036 Semiconductors - 10.7% Applied Materials Inc. (b) 62 1,213 Broadcom Corp. (b) 21 959 Intel Corp. 92 2,542 Marvell Technology Group Ltd. (b) (l) 45 1,212 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 173 1,435 7,361 Software - 7.7% Electronic Arts Inc. (b) 34 1,833 Microsoft Corp. (l) 71 2,034 Oracle Corp. (b) 47 565 SAP AG - ADR 21 865 5,297 Telecommunications Equipment - 7.1% Cisco Systems Inc. (b) 85 2,017 Corning Inc. (b) (l) 110 1,436 Juniper Networks Inc. (b) (l) 57 1,405 4,858 Wireless Telecommunications - 1.7% Qualcomm Inc. 16 1,153 Total Common Stocks (cost $63,004) 67,954 Preferred Stocks - 0.9% Media - 0.9% News Corp. Ltd. - ADR 19 631 Total Preferred Stocks (cost $659) 631 Short Term Investments - 0.1% Money Market Funds - 0.1% Dreyfus Cash Management Plus, 1.14% (a) 81 81 Total Short Term Investments (cost $81) 81 Total Investments - 100.1% (cost $63,744) 68,666 Other Assets and Liabilities, Net - (0.1%) (64) Total Net Assets - 100% $68,602 JNL/EAGLE CORE EQUITY FUND Common Stocks - 91.6% Advertising - 1.0% Omnicom Group Inc. 43 $3,233 Aerospace & Defense - 1.2% United Technologies Corp. 41 3,760 Banks - 3.5% Bank of America Corp. 55 4,688 Bank of New York Co. Inc. 28 825 US Bancorp. 49 1,350 Wachovia Corp. 51 2,262 Wells Fargo & Co. 27 1,545 10,670 Beverages - 1.2% Anheuser-Busch Cos. Inc. 20 1,080 Coca-Cola Co. 28 1,431 PepsiCo Inc. 24 1,293 3,804 Biotechnology - 1.3% Amgen Inc. (b) 38 2,082 Genzyme Corp. (b) 40 1,893 3,975 Commercial Services - 0.7% Cendant Corp. 61 1,500 Jackson Hewitt Tax Service Inc. (b) (l) 35 613 2,113 Computers - 3.1% Dell Inc. (b) 216 7,752 DigitalNet Holdings Inc. (b) 7 137 EMC Corp. (b) 140 1,596 9,485 Cosmetics & Personal Care - 1.1% Kimberly-Clark Corp. 37 2,405 Procter & Gamble Co. 20 1,088 3,493 Diversified Financial Services - 5.7% American Express Co. 48 2,451 Citigroup Inc. 86 3,985 Fannie Mae 84 6,001 Goldman Sachs Group Inc. (l) 23 2,147 JPMorgan Chase & Co. 35 1,357 Merrill Lynch & Co. Inc. 30 1,592 17,533 Electric - 0.3% NiSource Inc. (l) 40 825 Electrical Components & Equipment - 2.2% Emerson Electric Co. 106 6,762 Electronics - 0.7% Jabil Circuit Inc. (b) 84 2,121 Entertainment - 0.2% International Game Technology 20 755 Environmental Control - 1.2% Waste Management Inc. 122 3,733 Food - 1.3% Dean Foods Co. (b) 41 1,523 General Mills Inc. 20 951 Kraft Foods Inc. 22 697 Sysco Corp. 27 968 4,139 Gas - 0.4% UGI Corp. 35 1,124 Healthcare - 4.9% Aetna Inc. 18 1,522 Baxter International Inc. 144 4,955 Guidant Corp. 66 3,665 Johnson & Johnson 47 2,590 St. Jude Medical Inc. (b) 19 1,400 Zimmer Holdings Inc. (b) 11 997 15,129 Home Furnishings - 0.7% Tempur-Pedic International Inc. (b) 145 2,033 Household Products - 1.4% Newell Rubbermaid Inc. 183 4,291 Insurance - 0.8% Marsh & McLennan Cos. Inc. 28 1,271 MetLife Inc. 22 788 St. Paul Cos. Inc. 10 385 2,444 Internet - 2.9% CheckFree Corp. (b) 35 1,052 eBay Inc. (b) 38 3,503 InterActiveCorp. (b) (l) 120 3,605 WebMD Corp. (b) (l) 74 686 8,846 Lodging - 0.6% Harrah's Entertainment Inc. 34 1,850 Machinery - 0.6% Caterpillar Inc. 13 1,056 Deere & Co. 12 842 1,898 Manufacturing - 6.1% 3M Co. 20 1,800 Cooper Industries Ltd. - Class A 22 1,307 General Electric Co. 200 6,495 Harsco Corp. 30 1,410 Illinois Tool Works Inc. 26 2,464 Tyco International Ltd. 164 5,448 18,924 Media - 6.8% Clear Channel Communications Inc. 41 1,513 Comcast Corp. - Special Class A (b) (l) 135 3,740 EchoStar Communications Corp. (b) 61 1,868 Gannett Co. Inc. 28 2,359 McGraw-Hill Cos. Inc. 15 1,149 Time Warner Inc. (b) 295 5,192 Univision Communications Inc. (b) (l) 23 718 Viacom Inc. - Class B 50 1,786 Walt Disney Co. 108 2,759 21,084 Oil & Gas Producers - 2.5% BP Plc - ADR 34 1,805 Exxon Mobil Corp. 134 5,947 7,752 Oil & Gas Services - 0.5% Halliburton Co. 46 1,398 Pharmaceuticals - 9.0% Abbott Laboratories 43 1,759 Allergan Inc. (l) 19 1,687 Bristol-Myers Squibb Co. 45 1,103 Caremark Rx Inc. (b) 50 1,659 Merck & Co. Inc. 74 3,515 Pfizer Inc. 316 10,818 Wyeth 201 7,252 27,793 Pipelines - 0.5% Kinder Morgan Inc. 26 1,542 Real Estate - 1.6% Boston Properties Inc. 13 651 Crescent Real Estate Equities Co. 31 500 Equity Office Properties Trust 35 952 General Growth Properties Inc. 35 1,035 Health Care Property Investors Inc. 48 1,154 Vornado Realty Trust 12 685 4,977 Retail - 6.4% CVS Corp. 117 4,908 Family Dollar Stores Inc. 45 1,369 Home Depot Inc. 152 5,357 McDonald's Corp. 160 4,163 Wal-Mart Stores Inc. 58 3,047 Wendy's International Inc. 28 964 19,808 Semiconductors - 10.6% Altera Corp. (b) 72 1,607 Applied Materials Inc. (b) 168 3,298 Applied Micro Circuits Corp. (b) 272 1,448 Cypress Semiconductor Corp. (b) 115 1,638 Entegris Inc. (b) 128 1,475 Fairchild Semiconductor International Inc. - Class A (b) 200 3,276 Intel Corp. 343 9,453 Lam Research Corp. (b) 127 3,411 Maxim Integrated Products Inc. 32 1,677 Nvidia Corp. (b) 51 1,050 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 279 2,317 Texas Instruments Inc. 50 1,203 Ultra Clean Holdings (b) 125 911 32,764 Software - 4.5% First Data Corp. 29 1,298 Microsoft Corp. 338 9,667 Siebel Systems Inc. (b) 126 1,346 Veritas Software Corp. (b) 55 1,518 13,829 Telecommunications - 0.2% Verizon Communications Inc. 20 724 Telecommunications Equipment - 3.6% Cisco Systems Inc. (b) 152 3,610 JDS Uniphase Corp. (b) 435 1,648 Nokia Oyj - ADR 328 4,766 Nortel Networks Corp. (b) 241 1,202 11,226 Tobacco - 0.7% Altria Group Inc. 42 2,102 Transportation - 1.3% FedEx Corp. 48 3,953 Wireless Telecommunications - 0.3% Qualcomm Inc. 15 1,076 Total Common Stocks (cost $274,177) 282,968 Preferred Stocks - 0.2% Insurance - 0.2% Travelers Property Casualty Corp., 4.50% 31 731 Total Preferred Stocks (cost $768) 731 Corporate Bonds - 0.6% Healthcare - 0.2% Community Health Systems Inc., 4.25%, 10/15/08 (j) $575 599 Insurance - 0.2% Loews Corp., 3.125%, 09/15/07 (j) 750 717 Media - 0.2% Liberty Media Corp., 3.25%, 03/15/31 (j) (l) 620 555 Total Corporate Bonds (cost $1,845) 1,871 Short Term Investments - 7.6% Money Market Funds - 7.6% Dreyfus Cash Management Plus, 1.14% (a) 15,392 15,392 Dreyfus Government Cash Management, 0.96% (a) 8,173 8,173 Total Short Term Investments (cost $23,565) 23,565 Total Investments - 100.0% (cost $300,355) 309,135 Other Assets and Liabilities, Net - 0.0% (73) Total Net Assets - 100% $309,062 JNL/EAGLE SMALLCAP EQUITY FUND Common Stocks - 98.2% Agriculture - 1.8% Delta & Pine Land Co. 108 $2,363 Apparel - 2.0% Columbia Sportswear Co. (b) 49 2,693 Banks - 2.1% First Bancorp. 41 1,654 TrustCo Bancorp. 100 1,313 2,967 Biotechnology - 0.7% Decode Genetics Inc. (b) 117 993 Commercial Services - 4.1% Laureate Education Inc. (b) 62 2,378 University of Phoenix Online (b) 40 3,504 5,882 Computers - 7.3% Advanced Digital Information Corp. (b) 225 2,184 Electronics for Imaging Inc. (b) 84 2,384 Factset Research Systems Inc. 70 3,314 RadiSys Corp. (b) 137 2,548 10,430 Distribution & Wholesale - 1.6% SCP Pool Corp. 49 2,203 Electrical Components & Equipment - 1.6% General Cable Corp. (b) 270 2,311 Electronics - 5.6% Gentex Corp. 75 2,960 OYO Geospace Corp. (b) 67 1,251 Photon Dynamics Inc. (b) 107 3,767 7,978 Entertainment - 8.0% Alliance Gaming Corp. (b) 155 2,660 Lions Gate Entertainment Corp. (b) 769 5,367 Nevada Gold & Casinos Inc. (b) 38 510 Shuffle Master Inc. (b) (l) 77 2,796 11,333 Environmental Control - 4.4% Imco Recycling Inc. (b) 182 2,412 Waste Connections Inc. (b) (l) 127 3,769 6,181 Healthcare - 19.5% American Healthways Inc. (b) 125 3,323 American Medical Systems Holdings Inc. (b) 88 2,948 Biolase Technology Inc. (b) (l) 66 883 Cooper Cos. Inc. 38 2,389 Edwards Lifesciences Corp. (b) 51 1,776 Horizon Health Corp. (b) 127 2,986 Idexx Laboratories Inc. (b) 33 2,046 Inamed Corp. (b) 63 3,945 Respironics Inc. (b) 58 3,396 Steris Corp. (b) 78 1,748 Thoratec Corp. (b) (l) 213 2,280 27,720 Home Furnishings - 3.8% Universal Electronics Inc. (b) 305 5,354 Insurance - 1.8% Direct General Corp. 81 2,604 Internet - 0.1% eDiets.com Inc. (b) (l) 58 165 Manufacturing - 2.0% Actuant Corp. - Class A (b) 74 2,874 Oil & Gas Producers - 5.4% Patterson-UTI Energy Inc. 121 4,029 Unit Corp. (b) 118 3,698 7,727 Oil & Gas Services - 3.5% Maverick Tube Corp. (b) 115 3,023 Tetra Technologies Inc. (b) 73 1,958 4,981 Pharmaceuticals - 5.2% Dendreon Corp. (b) 57 693 Medicis Pharmaceutical Corp. - Class A (l) 79 3,165 VCA Antech Inc. (b) 78 3,490 7,348 Retail - 2.5% Cash America International Inc. 53 1,221 Genesco Inc. (b) 99 2,343 3,564 Savings & Loans - 0.5% Bank Mutual Corp. 69 748 Semiconductors - 4.7% ASE Test Ltd. (b) 119 877 Integrated Device Technology Inc. (b) 221 3,056 Integrated Silicon Solutions Inc. (b) 229 2,795 6,728 Software - 7.9% Avid Technology Inc. (b) (l) 36 1,943 Datastream Systems Inc. (b) 498 3,228 Eclipsys Corp. (b) 164 2,505 Global Payments Inc. 43 1,922 Netsmart Technologies Inc. (b) (l) 167 1,605 11,203 Wireless Telecommunications - 2.1% EMS Technologies Inc. (b) 156 3,028 Total Common Stocks (cost $112,175) 139,378 Short Term Investments - 1.7% Money Market Funds - 1.7% Dreyfus Cash Management Plus, 1.14% (a) 2,467 2,467 Total Short Term Investments (cost $2,467) 2,467 Total Investments - 99.9% (cost $114,642) 141,845 Other Assets and Liabilities, Net - 0.1% 110 Total Net Assets - 100% $141,955 JNL/FMR BALANCED FUND Common Stocks - 67.0% Advertising - 0.4% Lamar Advertising Co. (b) 8 $347 Aerospace & Defense - 1.0% Boeing Co. 3 143 DRS Technologies Inc. (b) 1 32 Empresa Brasiliera de Aeronautica SA - ADR 2 66 European Aeronautic Defense and Space Co. 6 164 Goodrich Corp. 6 200 Lockheed Martin Corp. 3 151 Northrop Grumman Corp. 3 150 Titan Corp. (b) 4 55 United Technologies Corp. - 9 970 Agriculture - 0.2% Bunge Ltd. 5 179 Airlines - 0.8% Airtran Holdings Inc. (b) 9 122 AMR Corp. (b) (l) 13 157 Delta Air Lines Inc. (b) 8 60 Frontier Airlines Inc. (b) 30 330 Northwest Airlines Corp. (b) 8 87 756 Apparel - 0.2% Liz Claiborne Inc. 3 107 Perry Ellis International Inc. (b) 2 51 158 Auto Manufacturers - 0.2% Navistar International Corp. (b) 4 159 Wabash National Corp. (b) 2 61 220 Auto Parts & Equipment - 0.1% TRW Automotive Holdings Corp. (b) 7 136 Banks - 3.6% Bank of America Corp. 15 1,291 Bank of New York Co. Inc. 5 142 Bank One Corp. 11 576 Banknorth Group Inc. 3 88 Boston Private Financial Holdings Inc. 1 21 East-West Bancorp. Inc. 2 46 Fifth Third Bancorp. 1 48 M&T Bank Corp. - 26 North Fork Bancorp. Inc. 3 126 Silicon Valley Bancshares (b) 3 123 Texas Capital Bancshares Inc. (b) 3 48 UCBH Holdings Inc. 2 95 US Bancorp. 1 28 W Holding Co. Inc. 8 136 Wachovia Corp. 10 445 Wells Fargo & Co. 2 132 Wintrust Financial Corp. 2 111 3,482 Beverages - 0.3% Coca-Cola Co. 6 313 Biotechnology - 0.3% Biogen Idec Inc. (b) 1 82 ConjuChem Inc. (b) 5 44 Enzon Pharmaceuticals Inc. (b) 3 43 Genentech Inc. (b) 2 102 271 Building Materials - 0.4% American Standard Cos. Inc. (b) 1 59 Eagle Materials Inc. 1 99 Masco Corp. 4 109 Texas Industries Inc. 2 78 Trex Co. Inc. (b) 2 76 421 Chemicals - 1.6% Dow Chemical Co. 9 374 Eastman Chemical Co. 1 55 Ferro Corp. 1 16 Georgia Gulf Corp. 4 129 Lyondell Chemical Co. 4 70 Millennium Chemicals Inc. (b) 15 257 Nitto Denko Corp. 2 77 Nova Chemicals Corp. 5 129 Olin Corp. 14 250 PolyOne Corp. (b) 7 53 Praxair Inc. 2 96 1,506 Commercial Services - 0.9% BearingPoint Inc. (b) 6 51 Career Education Corp. (b) 2 100 Cendant Corp. 10 246 Central Parking Corp. 3 50 McKesson Corp. 1 17 Pharmaceutical Product Development Inc. (b) 2 73 R.R. Donnelley & Sons Co. 3 96 Robert Half International Inc. 5 143 Weight Watchers International Inc. (b) 2 78 854 Computers - 1.4% Agilysys Inc. 2 34 BISYS Group Inc. (b) 7 97 Cadence Design Systems Inc. (b) 9 132 Ceridian Corp. (b) 9 207 Diebold Inc. 2 100 DST Systems Inc. (b) 1 43 Hutchinson Technology Inc. (b) 4 96 Lexmark International Inc. (b) 1 52 Maxtor Corp. (b) 20 129 M-Systems Flash Disk Pioneers Ltd. (b) (l) 3 49 Seagate Technology (b) 15 216 Synopsys Inc. (b) 2 68 Western Digital Corp. (b) 16 134 1,357 Cosmetics & Personal Care - 0.8% Avon Products Inc. 2 88 Colgate-Palmolive Co. 3 163 Estee Lauder Cos. Inc. 1 68 Procter & Gamble Co. 8 432 751 Distribution & Wholesale - 0.4% Bell Microproducts Inc. (b) 9 76 Ingram Micro Inc. - Class A (b) 18 259 Tech Data Corp. (b) 1 43 378 Diversified Financial Services - 5.5% American Express Co. 5 259 Bear Stearns Cos. Inc. 1 118 Capital One Financial Corp. 1 89 CIT Group Inc. 3 96 Citigroup Inc. 39 1,803 Countrywide Financial Corp. 3 199 Deutsche Boerse AG 2 86 E*TRADE Group Inc. (b) 8 85 Fannie Mae 4 300 Freddie Mac 5 300 Goldman Sachs Group Inc. 2 175 JPMorgan Chase & Co. 12 455 Lehman Brothers Holdings Inc. 2 181 MBNA Corp. 5 139 Merrill Lynch & Co. Inc. 8 416 Morgan Stanley 10 533 SLM Corp. 2 61 5,295 Electric - 1.5% AES Corp. (b) 45 443 Dominion Resources Inc. 2 101 Entergy Corp. 1 67 Exelon Corp. 1 43 FirstEnergy Corp. 6 224 PG&E Corp. (b) 5 148 PPL Corp. 2 78 Sierra Pacific Resources (b) 1 10 TXU Corp. 8 309 Westar Energy Inc. 2 48 1,471 Electrical Components & Equipment - 0.4% LG Electronics Inc. 1 47 Molex Inc. 2 74 Samsung Electronics Co. Ltd. 1 223 344 Electronics - 2.5% Amphenol Corp. (b) 8 273 Avnet Inc. (b) 1 32 Celestica Inc. (b) 21 412 Cymer Inc. (b) 3 127 DDi Corp. (b) 3 26 Fisher Scientific International (b) 2 110 Flextronics International Ltd. (b) 3 48 Hon Hai Precision Industry Co. Ltd. - GDR (l) 14 103 Jabil Circuit Inc. (b) 1 28 Mettler-Toledo International Inc. (b) 2 98 Sanmina-SCI Corp. (b) 19 170 Solectron Corp. (b) 25 163 Symbol Technologies Inc. 23 336 Thermo Electron Corp. (b) 5 138 Vishay Intertechnology Inc. (b) 3 46 Waters Corp. (b) 4 167 Yageo Corp. GDR (b) 37 91 2,368 Engineering & Construction - 0.8% Dycom Industries Inc. (b) 7 202 Fluor Corp. (l) 8 376 Granite Construction Inc. 6 106 URS Corp. (b) 4 96 780 Food - 0.9% Albertson's Inc. 3 88 Corn Products International Inc. 1 23 Dean Foods Co. (b) 6 234 Del Monte Foods Co. (b) 11 110 JM Smucker Co. 3 149 McCormick & Co. Inc. 1 44 Safeway Inc. (b) 5 124 Smithfield Foods Inc. (b) 4 121 893 Forest Products & Paper - 0.4% Aracruz Celulose SA ADR 3 85 Boise Cascade Corp. 3 128 Bowater Inc. (l) 3 134 Buckeye Technologies Inc. (b) 3 36 Tembec Inc. (b) 6 48 429 Hand & Machine Tools - 0.2% Techtronic Industries Co. (b) 113 180 Healthcare - 3.7% Apogent Technologies Inc. (b) 2 70 Bausch & Lomb Inc. 2 130 Baxter International Inc. 9 325 Becton Dickinson & Co. 2 83 Community Health Systems Inc. (b) 2 64 Covance Inc. (b) 3 104 Coventry Health Care Inc. (b) 3 166 Cyberonics Inc. (b) 2 70 Cytyc Corp. (b) 3 81 Dade Behring Holdings Inc. (b) 6 286 Dentsply International Inc. 1 73 Edwards Lifesciences Corp. (b) 4 139 Epix Medical Inc. (b) 2 34 Fresenius Medical Care AG 3 65 Hanger Orthopedic Group Inc. (b) 1 7 Health Management Associates Inc. 4 83 Health Net Inc. (b) 3 85 Immucor Inc. (b) 5 156 Johnson & Johnson 2 111 Lincare Holdings Inc. (b) 4 118 Medtronic Inc. 3 151 Molina Healthcare Inc. (b) 3 95 Pacificare Health Systems Inc. (b) 7 256 Smith & Nephew Plc 6 67 Sonic Innovations Inc. (b) 2 13 St. Jude Medical Inc. (b) 2 144 Synthes Inc. 1 149 UnitedHealth Group Inc. 7 410 3,535 Home Builders - 0.7% Beazer Homes USA Inc. - 30 Champion Enterprises Inc. (b) 13 116 DR Horton Inc. 4 114 Fleetwood Enterprises Inc. (b) 3 45 Standard-Pacific Corp. 3 158 Toll Brothers Inc. (b) 4 161 WCI Communities Inc. (b) 3 62 686 Household Products - 0.1% Clorox Co. 1 54 Insurance - 3.4% ACE Ltd. 7 304 AFLAC Inc. 5 212 AMBAC Financial Group Inc. 1 103 American International Group Inc. 12 863 Arch Capital Group Ltd. (b) 3 112 Assurant Inc. 2 47 Axis Capital Holdings Ltd. 1 39 Conseco Inc. (b) 8 159 Endurance Specialty Holdings Ltd. 3 115 Everest Re Group Ltd. 2 177 Fidelity National Financial Inc. 1 49 Hartford Financial Services Group Inc. 4 248 MBIA Inc. 3 183 MetLife Inc. 3 97 MGIC Investment Corp. 1 68 PartnerRe Ltd. 2 96 St. Paul Cos. Inc. 4 174 Torchmark Corp. 1 59 UnumProvident Corp. 2 37 W.R. Berkley Corp. 1 43 Willis Group Holdings Ltd. 3 97 3,282 Internet - 0.6% Amazon.Com Inc. (b) (l) 2 109 Covad Communications Group Inc. (b) (l) 107 257 NetBank Inc. 7 78 Openwave Systems Inc. (b) 2 27 Redback Networks Inc. (b) 2 13 WebMD Corp. (b) (l) 12 109 593 Iron & Steel - 0.3% IPSCO Inc. 3 67 Nucor Corp. 2 177 244 Leisure Time - 0.4% Brunswick Corp. 1 37 Carnival Corp. 1 61 Harley-Davidson Inc. 1 74 Multimedia Games Inc. (b) 4 94 Royal Caribbean Cruises Ltd. 3 148 414 Lodging - 0.2% Caesars Entertainment Inc. (b) 2 26 Kerzner International Ltd. (b) 4 166 Wyndham International Inc. (b) 37 37 229 Machinery - 0.7% AGCO Corp. (b) 13 265 Astec Industries Inc. (b) 8 143 Cummins Inc. 1 75 Terex Corp. (b) 5 184 Weir Group Plc 10 53 720 Manufacturing - 1.9% Actuant Corp. - Class A (b) 2 70 Bombardier Inc. - Class B 17 50 General Electric Co. 20 656 Honeywell International Inc. 8 279 Pall Corp. 6 160 SPX Corp. 2 93 Tyco International Ltd. 14 477 1,785 Media - 2.9% Antena 3 Television SA (b) (l) 2 90 Cablevision Systems Corp. (b) 1 26 Citadel Broadcasting Corp. (b) 6 82 Clear Channel Communications Inc. 14 517 COX Radio Inc. (b) - 2 Cumulus Media Inc. - Class A (b) 3 52 EchoStar Communications Corp. (b) 10 307 Emmis Communications Corp. (b) 5 103 Fox Entertainment Group Inc. (b) 4 104 Liberty Media Corp. (b) 25 224 Liberty Media International Inc. - Class A (b) 1 50 NRJ Group 3 70 Radio One Inc. - Class D (b) 5 75 Salem Communications Corp. - Class A (b) 2 54 SBS Broadcasting SA (b) 1 43 Time Warner Inc. (b) 22 391 UnitedGlobalCom Inc. (b) 7 49 Univision Communications Inc. (b) 1 32 Viacom Inc. - Class B 6 225 Vivendi Universal SA - ADR (b) 1 28 Walt Disney Co. 11 268 2,792 Metal Fabrication & Hardware - 0.4% Precision Castparts Corp. 2 98 Timken Co. 9 247 345 Mining - 2.3% Aber Diamond Corp. (b) 1 35 Agnico-Eagle Mines Ltd. (b) 19 255 Alcan Inc. 8 313 Alcoa Inc. 6 195 Falconbridge Ltd. 10 247 Freeport-McMoRan Copper & Gold Inc. 12 395 Iamgold Corp. 2 10 Inco Ltd. (b) 3 86 Inmet Mining Corp. (b) 2 23 Lionore Mining International Ltd. (b) 10 46 Meridian Gold Inc. (b) 1 8 Meridian Gold Inc. (b) 14 184 Phelps Dodge Corp. (b) 4 279 Rio Tinto Plc 1 78 Stillwater Mining Co. (b) 3 39 Wheaton River Minerals Ltd. (b) 19 52 2,245 Office & Business Equipment - 0.3% Xerox Corp. (b) 20 295 Office Furnishings - 0.2% HNI Corp. 2 84 Interface Inc. (b) 7 65 Steelcase Inc. 1 20 169 Oil & Gas Producers - 2.9% Apache Corp. 4 161 Chesapeake Energy Corp. 14 212 EnCana Corp. 5 198 Encore Acquisition Co. (b) 4 123 Forest Oil Corp. (b) 1 25 Grey Wolf Inc. (b) 33 139 Marathon Oil Corp. 4 140 Nabors Industries Ltd. (b) 3 118 Premcor Inc. (b) 6 206 Pride International Inc. (b) 43 738 Quicksilver Resources Inc. (b) 2 141 Range Resources Corp. 8 117 Rowan Cos. Inc. (b) 7 168 Valero Energy Corp. 5 347 2,833 Oil & Gas Services - 2.4% BJ Services Co. (b) 8 385 Cooper Cameron Corp. (b) 4 195 Grant Prideco Inc. (b) 30 554 Halliburton Co. 4 121 National-Oilwell Inc. (b) 22 705 Trican Well Service Ltd. (b) 2 66 Varco International Inc. (b) 7 144 Weatherford International Ltd. (b) 2 88 Willbros Group Inc. (b) 3 47 2,305 Packaging & Containers - 0.6% Anchor Glass Container Corp. 1 7 Crown Holdings Inc. (b) 1 9 Owens-Illinois Inc. (b) 14 231 Packaging Corp. of America 1 33 Pactiv Corp. (b) 5 122 Smurfit-Stone Container Corp. (b) 9 180 582 Pharmaceuticals - 3.2% Alkermes Inc. (b) 7 90 Angiotech Pharmaceuticals Inc. (b) 3 51 Angiotech Pharmaceuticals Inc. (b) 1 14 AstraZeneca Plc - ADR 2 68 Atherogenics Inc. (b) 4 67 Barr Laboratories Inc. (b) 3 105 Caremark Rx Inc. (b) 3 106 Cipla Ltd. 14 63 CSL Ltd. 10 160 Cypress Bioscience Inc. (b) 1 19 Dendreon Corp. (b) 6 74 Endo Pharmaceuticals Holdings Inc. (b) 3 68 Forest Laboratories Inc. (b) - 23 Guilford Pharmaceuticals Inc. (b) (l) 7 31 Ligand Pharmaceuticals Inc. - Class B (b) (l) 6 96 Medarex Inc. (b) 8 55 Onyx Pharmaceuticals Inc. (b) 1 59 OSI Pharmaceuticals Inc. (b) 2 113 Pfizer Inc. 18 605 Pharmion Corp. (b) (l) 3 166 Priority Healthcare Corp. (b) 6 133 Schering-Plough Corp. 19 351 Sepracor Inc. (b) (l) 2 122 Shire Pharmaceuticals Group Plc - ADR (b) 1 37 Tanox Inc. (b) 4 76 Wyeth 8 300 3,052 Real Estate - 0.4% Alexandria Real Estate Equities Inc. - 23 Apartment Investment & Management Co. 4 133 CarrAmerica Realty Corp. 1 15 CBL & Associates Properties Inc. 1 28 Centerpoint Properties Corp. 1 77 Correctional Properties Trust - 3 Manufactured Home Communities Inc. 1 33 Reckson Associates Realty Corp. 1 27 SL Green Realty Corp. 1 28 Vornado Realty Trust 1 29 396 Retail - 2.4% Abercrombie & Fitch Co. - Class A 2 93 Advance Auto Parts (b) 3 119 Best Buy Co. Inc. 2 117 Brown Shoe Co. Inc. 3 106 Christopher & Banks Corp. 6 108 CVS Corp. 4 147 Foot Locker Inc. 5 127 Home Depot Inc. 5 180 J.C. Penney Co. Inc. 3 113 Linens `N Things Inc. (b) 3 88 McDonald's Corp. 12 317 Ross Stores Inc. 5 128 Saks Inc. (b) 6 92 ShopKo Stores Inc. (b) 4 55 Too Inc. (b) 2 37 Toys "R" Us Inc. (b) 9 145 Wal-Mart Stores Inc. 3 153 Wendy's International Inc. 2 80 West Marine Inc. (b) 3 81 Wet Seal Inc. (b) (l) 12 60 2,346 Savings & Loans - 0.9% Bank Mutual Corp. 4 46 Fidelity Bankshares Inc. 2 57 First Niagara Financial Group Inc. 2 20 Golden West Financial Corp. 1 128 Greenpoint Financial Corp. 2 83 KNBT Bancorp. Inc. 2 40 New York Community Bancorp. Inc. 7 139 NewAlliance Bancshares Inc. (b) 7 95 Sovereign Bancorp. Inc. 14 303 911 Semiconductors - 3.5% Agere Systems Inc. (b) 95 219 Agere Systems Inc. - Class B (b) 60 129 Amkor Technology Inc. (b) 5 40 Analog Devices Inc. 1 42 Asat Holdings Ltd. (b) 12 25 ASML Holding NV - NYS (b) 10 178 ATMI Inc. (b) 9 232 Axcelis Technologies Inc. (b) 12 151 Conexant Systems Inc. (b) 8 36 Credence Systems Corp. (b) 13 177 Cree Inc. (b) (l) 4 84 DSP Group Inc. (b) 2 46 Fairchild Semiconductor International Inc. - Class A (b) 20 331 Formfactor Inc. (b) 4 79 Infineon Technologies AG (b) 4 50 Integrated Circuit Systems Inc. (b) 7 198 Intel Corp. 6 177 Intersil Corp. 9 201 LSI Logic Corp. (b) 15 115 LTX Corp. (b) 27 289 National Semiconductor Corp. (b) 9 200 Nvidia Corp. (b) 11 226 PMC - Sierra Inc. (b) 2 24 QLogic Corp. (b) 2 64 Teradyne Inc. (b) 1 23 Texas Instruments Inc. 2 57 3,393 Software - 1.2% BEA Systems Inc. (b) 13 109 Business Objects SA - ADR (b) (l) 3 60 CSG Systems International Inc. (b) 12 241 FILENET Corp. (b) 3 88 First Data Corp. 5 218 Mantech International Corp. - Class A (b) 3 55 Microsoft Corp. 9 245 NDCHealth Corp. 1 11 Take-Two Interactive Software Inc. (b) 1 15 Vastera Inc. (b) 21 63 1,105 Telecommunications - 2.5% Amdocs Ltd. (b) (l) 3 80 BellSouth Corp. 9 238 Citizens Communications Co. (b) 4 48 PT Indonesian Satellite Corp. Tbk 2 34 KDDI Corp. - 120 MASTEC Inc. (b) 9 51 NTL Inc. (b) 8 449 Philippine Long Distance Telephone Co. ADR (b) 3 67 PT Telekomunikasi Indonesia ADR (b) 2 34 Qwest Communications International Inc. (b) 11 41 SBC Communications Inc. 26 621 Verizon Communications Inc. 17 619 2,402 Telecommunications Equipment - 1.5% ADC Telecommunications Inc. (b) 10 28 Adtran Inc. 1 21 Alcatel SA - ADR (b) 15 228 Avaya Inc. (b) 9 145 Cisco Systems Inc. (b) 4 103 Comverse Technology Inc. (b) 7 142 Enterasys Networks Inc. (b) 28 58 Extreme Networks Inc. (b) 7 38 Finisar Corp. (b) 16 32 Juniper Networks Inc. (b) 2 49 LM Ericsson Telephone Co. (b) 1 18 Marconi Corp. Plc (b) 6 73 Nortel Networks Corp. (b) 2 9 Scientific-Atlanta Inc. 5 155 Sycamore Networks Inc. (b) 75 318 1,417 Textiles - 0.2% Cintas Corp. 1 53 G&K Services Inc. - Class A 2 92 145 Tobacco - 0.8% Altria Group Inc. 15 733 Transportation - 0.4% CNF Inc. 1 54 EGL Inc. (b) 3 88 PAM Transportation Services (b) 1 10 Union Pacific Corp. 2 95 USF Corp. 1 28 UTI Worldwide Inc. 2 84 359 Wireless Telecommunications - 1.2% American Tower Corp. (b) 29 435 Crown Castle International Corp. (b) 7 109 Motorola Inc. 15 277 Nextel Communications Inc. (b) 7 176 Nextel Partners Inc. (b) 3 46 Spectrasite Inc. (b) 3 121 1,164 Total Common Stocks (cost $61,848) 64,390 Preferred Stocks - 0.1% Media - 0.1% News Corp. Ltd. - ADR 3 91 Total Preferred Stocks (cost $97) 91 Corporate Bonds - 0.5% Auto Parts & Equipment - 0.1% Goodyear Tire & Rubber Co., 4.00%, 06/15/34 (e) (j) $23 23 Internet - 0.1% Priceline.com Inc., 2.25%, 01/15/25 (e) (j) 100 102 Software - 0.3% Allscripts Healthcare Solutions Inc., 3.50%, 07/15/24 (e) (j) 100 100 Novell Inc., 0.50%, 07/15/24 (e) (j) 100 101 Per-Se Technologies Inc., 3.25%, 06/30/24 (e) (j) 100 110 311 Telecommunications - 0.0% MCI Inc. 5.908%, 05/01/07 - - 6.688%, 05/01/09 - - 7.735%, 05/01/14 - - - Total Corporate Bonds (cost $424) 436 Government Securities - 31.9% U.S. Treasury Securities - 31.9% U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,350 4,785 U.S. Treasury Note 2.25%, 04/30/06 (l) 11,650 11,570 3.25%, 01/15/09 (l) 9,000 8,827 4.25%, 11/15/13 (l) 5,675 5,524 Total Government Securities (cost $30,815) 30,706 Short Term Investments - 0.3% Money Market Funds - 0.3% Dreyfus Cash Management Plus, 1.14% (a) 293 293 Total Short Term Investments (cost $293) 293 Total Investments - 99.8% (cost $93,477) 95,916 Other Assets and Liabilities, Net - 0.2% 197 Total Net Assets - 100% $96,113 JNL/FMR CAPITAL GROWTH FUND Common Stocks - 99.5% Advertising - 1.1% Lamar Advertising Co. (b) (l) 39 $1,686 Aerospace & Defense - 3.7% DRS Technologies Inc. (b) - 3 Empresa Brasiliera de Aeronautica SA - ADR 198 5,655 5,658 Airlines - 1.7% Southwest Airlines Co. 62 1,040 Westjet Airlines Ltd. (b) 156 1,594 2,634 Apparel - 0.7% Polo Ralph Lauren Corp. 32 1,116 Beverages - 0.9% Adolph Coors Co. - Class B (l) 18 1,309 Biotechnology - 0.6% Millennium Pharmaceuticals Inc. (b) 53 734 Momenta Pharmaceuticals Inc. (b) 17 157 891 Chemicals - 2.1% Lyondell Chemical Co. (l) 144 2,499 Olin Corp. 37 647 3,146 Commercial Services - 12.7% Aramark Corp. 83 2,387 BearingPoint Inc. (b) 181 1,602 Career Education Corp. (b) 111 5,048 Cendant Corp. (l) 217 5,304 R.R. Donnelley & Sons Co. 113 3,738 Strayer Education Inc. 4 402 Universal Technical Institute Inc. (b) 24 968 19,449 Computers - 3.2% Research In Motion Ltd. (b) 72 4,941 Diversified Financial Services - 5.7% CapitalSource Inc. (b) 53 1,286 CIT Group Inc. 21 819 Countrywide Financial Corp. 15 1,061 First Marblehead Corp. (b) 17 684 Janus Capital Group Inc. 102 1,675 Lehman Brothers Holdings Inc. 42 3,124 8,649 Electronics - 1.7% Celestica Inc. (b) 83 1,650 Symbol Technologies Inc. 60 877 2,527 Engineering & Construction - 0.3% Fluor Corp. (l) 8 391 Food - 3.5% Archer-Daniels-Midland Co. 4 69 Safeway Inc. (b) (l) 210 5,314 5,383 Forest Products & Paper - 1.2% Boise Cascade Corp. 49 1,848 Healthcare - 9.4% Apogent Technologies Inc. (b) 150 4,790 Baxter International Inc. 115 3,958 Cytyc Corp. (b) 104 2,649 Edwards Lifesciences Corp. (b) (l) 57 2,000 Henry Schein Inc. (b) 7 461 Kinetic Concepts Inc. (b) 8 384 Wright Medical Group Inc. (b) 4 125 14,367 Home Furnishings - 5.0% Harman International Industries Inc. 84 7,662 Insurance - 0.4% AMBAC Financial Group Inc. 9 676 Internet - 3.0% At Road Inc. (b) 26 197 CNET Networks Inc. (b) (l) 55 612 NetFlix Inc. (b) (l) 52 1,880 Sina Corp. (b) 57 1,894 United Online Inc. (b) (l) 4 76 4,659 Leisure Time - 4.5% Royal Caribbean Cruises Ltd. (l) 158 6,876 Lodging - 1.2% Wynn Resorts Ltd. (b) (l) 47 1,804 Media - 4.6% Cablevision Systems Corp. (b) (l) 162 3,189 EchoStar Communications Corp. (b) 70 2,147 Salem Communications Corp. - Class A (b) 23 629 The DIRECTV Group Inc. (b) 61 1,050 7,015 Mining - 2.1% Peabody Energy Corp. 56 3,147 Oil & Gas Producers - 2.6% GlobalSantaFe Corp. 49 1,298 Noble Corp. (b) 37 1,410 Transocean Inc. (b) (l) 46 1,340 4,048 Oil & Gas Services - 1.3% Grant Prideco Inc. (b) 80 1,474 National-Oilwell Inc. (b) 11 359 Weatherford International Ltd. (b) 3 139 1,972 Packaging & Containers - 1.1% Pactiv Corp. (b) 70 1,750 Pharmaceuticals - 2.4% Barr Laboratories Inc. (b) 34 1,149 Medco Health Solutions Inc. (b) 20 731 Omnicare Inc. 41 1,734 Pharmion Corp. (b) (l) 2 108 3,722 Real Estate - 0.2% Global Signal Inc. 12 270 Retail - 4.3% Aeropostale Inc. (b) 6 163 Best Buy Co. Inc. 45 2,273 Linens `N Things Inc. (b) 46 1,334 Ross Stores Inc. 17 447 Saks Inc. (b) (l) 104 1,556 Wendy's International Inc. 25 885 6,658 Software - 1.4% Autodesk Inc. (l) 51 2,170 Telecommunications - 4.2% Citizens Communications Co. (b) 346 4,192 NTL Inc. (b) 39 2,224 6,416 Telecommunications Equipment - 1.5% Andrew Corp. (b) (l) 118 2,361 Transportation - 2.5% CNF Inc. 72 2,983 Tsakos Energy Navigation Ltd. 23 795 3,778 Wireless Telecommunications - 8.7% American Tower Corp. (b) (l) 172 2,607 Nextel Communications Inc. (b) (l) 387 10,325 Spectrasite Inc. (b) 10 424 13,356 Total Common Stocks (cost $149,586) 152,335 Short Term Investments - 1.3% Money Market Funds - 1.3% Dreyfus Cash Management Plus, 1.14% (a) 2,032 2,032 Total Short Term Investments (cost $2,032) 2,032 Total Investments - 100.8% (cost $151,618) 154,367 Other Assets and Liabilities, Net - (0.8%) (1,289) Total Net Assets - 100% $153,078 JNL/JPMORGAN INTERNATIONAL VALUE FUND Common Stocks - 92.9% Aerospace & Defense - 0.9% BAE Systems Plc 135 $539 Airlines - 1.0% Cathay Pacific Airways Ltd. 267 503 Auto Manufacturers - 4.7% Honda Motor Co. Ltd. 9 439 Peugeot SA 20 1,119 Suzuki Motor Co. Ltd. 52 921 2,479 Banks - 21.0% Barclays Plc 89 757 Bayerische Hypo-und Vereinsbank AG (b) 57 1,013 BNP Paribas SA (l) 25 1,564 Credit Suisse Group (b) 34 1,192 DBS Group Holdings Ltd. 78 652 HSBC Holdings Plc 193 2,866 Kookmin Bank (b) 13 418 Royal Bank of Scotland Group Plc 48 1,380 Sumitomo Trust & Banking Co. Ltd. 165 1,175 11,017 Beverages - 1.2% Asahi Breweries Ltd. (l) 55 611 Building Materials - 3.2% BPB Plc 83 618 Buzzi Unicem SpA (l) 28 357 Holcim Ltd. 13 697 1,672 Chemicals - 3.0% Akzo Nobel NV (l) 11 387 Mitsui Chemicals Inc. 111 555 Reliance Industries Ltd. - GDR (e) 32 652 1,594 Commercial Services - 1.9% Rank Group Plc 117 636 Vedior NV 24 345 981 Distribution & Wholesale - 1.5% Itochu Corp. (b) 170 763 Diversified Financial Services - 1.8% Daiwa Securities Group Inc. 132 948 Electric - 4.1% Iberdrola SA (l) 56 1,182 Scottish Power Plc 134 971 2,153 Electrical Components & Equipment - 2.1% Mitsubishi Electric Corp. 143 702 Samsung Electronics Co. Ltd. 1 413 1,115 Electronics - 0.5% Hon Hai Precision Industry Co. Ltd. - GDR (l) 32 240 Food - 3.8% Koninklijke Ahold NV (b) 62 489 Koninklijke Wessanen NV 50 713 Tesco Plc 168 814 2,016 Holding Companies - Diversified - 1.6% Wharf Holdings Ltd. 286 821 Home Furnishings - 3.4% SONY Corp. 30 1,141 Thomson 32 624 1,765 Insurance - 8.3% Aviva Plc 87 894 AXA 54 1,189 ING Groep NV 43 1,010 Zurich Financial Services AG (b) 8 1,250 4,343 Iron & Steel - 1.9% Arcelor 58 972 Lodging - 1.2% InterContinental Hotels Group Plc 58 613 Machinery - 1.8% Kubota Corp. 182 967 Media - 0.9% United Business Media Plc 53 487 Metal Fabrication & Hardware - 1.6% SKF AB (l) 19 715 SKF AB - Class A (l) 3 111 826 Oil & Gas Producers - 7.3% BP Plc 194 1,715 ENI-Ente Nazionale Idrocarburi SpA (l) 69 1,379 LUKOIL - ADR 4 416 Petroleo Brasileiro SA - Petrobras - ADR 12 293 3,803 Pharmaceuticals - 0.7% Schering AG 6 344 Retail - 1.7% Compagnie Financiere Richemont AG - Class A 34 901 Telecommunications - 7.2% Nippon Telegraph & Telephone Corp. - 1,117 PT Telekomunikasi Indonesia (b) 675 531 Singapore Telecommunications Ltd. 599 782 Telefonica SA 59 869 Telekom Austria AG 33 500 3,799 Tobacco - 1.3% Japan Tobacco Inc. - 676 Toys & Hobbies - 1.3% Nintendo Co. Ltd. 6 696 Water - 2.0% Veolia Environnement (l) 38 1,071 Total Common Stocks (cost $46,768) 48,715 Preferred Stocks - 1.8% Media - 0.8% News Corp. Ltd. 54 443 Pharmaceuticals - 1.0% Fresenius AG 7 514 Total Preferred Stocks (cost $948) 957 Short Term Investments - 4.0% Money Market Funds - 2.6% Dreyfus Cash Management Plus, 1.14% (a) 1,385 1,385 U.S. Treasury Bills - 1.3% U.S. Treasury Bill, 1.05%, 07/29/04 (m) $690 689 Total Short Term Investments (cost $2,074) 2,074 Total Investments - 98.7% (cost $49,790) 51,746 Other Assets and Liabilities, Net - 1.3% 681 Total Net Assets - 100% $52,427 JNL/LAZARD MID CAP VALUE FUND Common Stocks - 95.3% Aerospace & Defense - 1.5% Alliant Techsystems Inc. (b) 42 $2,673 Airlines - 1.8% Southwest Airlines Co. 184 3,092 Apparel - 4.4% NIKE Inc. 24 1,810 Polo Ralph Lauren Corp. 82 2,839 Reebok International Ltd. 70 2,526 7,175 Auto Parts & Equipment - 1.3% Lear Corp. 35 2,088 Banks - 5.6% City National Corp. 36 2,339 First Horizon National Corp. 40 1,823 M&T Bank Corp. 20 1,737 Mercantile Bankshares Corp. 35 1,620 North Fork Bancorp. Inc. (l) 47 1,781 9,300 Beverages - 2.3% Pepsi Bottling Group Inc. 123 3,753 Chemicals - 2.9% Ashland Inc. 33 1,753 Rohm & Haas Co. 71 2,948 4,701 Commercial Services - 4.8% Aramark Corp. 118 3,382 Arbitron Inc. (b) 63 2,290 Iron Mountain Inc. (b) 46 2,196 7,868 Computers - 5.9% DST Systems Inc. (b) 65 3,115 Imation Corp. 48 2,024 Storage Technology Corp. (b) 100 2,912 Unisys Corp. (b) 121 1,673 9,724 Distribution & Wholesale - 0.7% CDW Corp. 18 1,122 Diversified Financial Services - 2.5% Federated Investors Inc. 79 2,397 Student Loan Corp. 13 1,802 4,199 Environmental Control - 2.1% Republic Services Inc. 120 3,458 Food - 1.5% Safeway Inc. (b) (l) 96 2,440 Gas - 1.2% KeySpan Corp. 53 1,934 Hand & Machine Tools - 1.5% Black & Decker Corp. 39 2,435 Healthcare - 8.4% DaVita Inc. (b) 60 1,837 Edwards Lifesciences Corp. (b) 68 2,384 Health Net Inc. (b) 96 2,555 Laboratory Corp. of America Holdings (b) 106 4,196 VISX Inc. (b) 109 2,910 13,882 Household Products - 2.0% Avery Dennison Corp. (l) 51 3,271 Insurance - 1.7% Protective Life Corp. 71 2,761 Internet - 1.4% WebMD Corp. (b) (l) 254 2,363 Iron & Steel - 0.6% International Steel Group Inc. (b) (l) 31 931 Manufacturing - 1.5% ITT Industries Inc. 30 2,490 Media - 1.8% Westwood One Inc. (b) 124 2,949 Office & Business Equipment - 1.7% Pitney Bowes Inc. 65 2,867 Oil & Gas Producers - 4.3% GlobalSantaFe Corp. 90 2,388 Premcor Inc. (b) 22 840 Unocal Corp. 55 2,094 Valero Energy Corp. 24 1,770 7,092 Oil & Gas Services - 1.3% Baker Hughes Inc. 59 2,206 Packaging & Containers - 3.8% Ball Corp. 46 3,336 Pactiv Corp. (b) 118 2,948 6,284 Pharmaceuticals - 1.7% AmerisourceBergen Corp. 33 1,997 Medco Health Solutions Inc. (b) 21 780 2,777 Real Estate - 4.7% AMB Property Corp. 68 2,354 Archstone-Smith Trust 107 3,124 Health Care Property Investors Inc. 95 2,279 7,757 Retail - 7.6% Abercrombie & Fitch Co. - Class A 43 1,662 Circuit City Stores Inc. - Circuit City Group (l) 213 2,765 Dollar Tree Stores Inc. (b) 118 3,242 Limited Brands Inc. 32 601 Sears Roebuck & Co. 66 2,500 Yum! Brands Inc. (b) 45 1,675 12,445 Semiconductors - 4.2% AMIS Holdings Inc. (b) 119 2,013 Intersil Corp. 62 1,349 Novellus Systems Inc. (b) (l) 73 2,295 QLogic Corp. (b) 45 1,199 6,856 Software - 3.4% Dun & Bradstreet Corp. (b) 30 1,617 PeopleSoft Inc. (b) 107 1,970 SEI Investments Co. 70 2,039 5,626 Telecommunications - 0.5% MCI Inc. (b) 56 788 Toys & Hobbies - 3.5% Leapfrog Enterprises Inc. (b) (l) 130 2,586 Mattel Inc. 178 3,256 5,842 Transportation - 1.2% Norfolk Southern Corp. 73 1,933 Total Common Stocks (cost $140,489) 157,082 Short Term Investments - 5.6% Money Market Funds - 5.6% Dreyfus Cash Management Plus, 1.14% (a) 8,168 8,168 Dreyfus Government Cash Management, 0.96% (a) 1,097 1,097 Total Short Term Investments (cost $9,265) 9,265 Total Investments - 100.9% (cost $149,754) 166,347 Other Assets and Liabilities, Net - (0.9%) (1,555) Total Net Assets - 100% $164,792 JNL/LAZARD SMALL CAP VALUE FUND Common Stocks - 96.9% Advertising - 1.8% Advo Inc. 49 $1,603 R.H. Donnelley Corp. (b) 33 1,439 3,042 Aerospace & Defense - 1.5% DRS Technologies Inc. (b) 80 2,539 Agriculture - 0.7% Delta & Pine Land Co. 55 1,201 Airlines - 0.9% Airtran Holdings Inc. (b) 107 1,519 Apparel - 4.5% Gymboree Corp. (b) 100 1,542 Kellwood Co. 45 1,951 K-Swiss Inc. - Class A 84 1,687 Timberland Co. - Class A (b) 26 1,660 Warnaco Group Inc. (b) 34 732 7,572 Banks - 7.5% First Community Bancorp. 22 850 First Midwest Bancorp. Inc. 51 1,810 First Republic Bank 22 935 Hudson United Bancorp. 20 753 South Financial Group Inc. 51 1,431 Sterling Bancshares Inc. 116 1,645 Texas Regional Bancshares Inc. - Class A 10 464 Umpqua Holdings Corp. 18 384 United Bankshares Inc. 47 1,528 W Holding Co. Inc. 73 1,251 Westamerica Bancorp. 33 1,714 12,765 Beverages - 0.5% Robert Mondavi Corp. - Class A (b) 21 789 Building Materials - 0.4% Florida Rock Industries Inc. 15 630 Chemicals - 3.7% Ferro Corp. 50 1,341 Olin Corp. 108 1,903 PolyOne Corp. (b) 176 1,308 Spartech Corp. 68 1,767 6,319 Commercial Services - 4.4% Arbitron Inc. (b) 44 1,611 BearingPoint Inc. (b) 210 1,865 Learning Tree International Inc. (b) 77 1,110 MPS Group Inc. (b) 128 1,550 Watson Wyatt & Co. Holdings 52 1,388 7,524 Computers - 3.3% Advanced Digital Information Corp. (b) 150 1,451 BISYS Group Inc. (b) 102 1,435 Mentor Graphics Corp. (b) 71 1,101 Mercury Computer Systems Inc. (b) 46 1,151 Pec Solutions Inc. (b) (l) 44 528 5,666 Diversified Financial Services - 3.4% eSPEED Inc. (b) 118 2,079 Financial Federal Corp. (b) 24 833 IndyMac Bancorp. Inc. 28 894 Knight Trading Group Inc. (b) 199 1,990 5,796 Electric - 0.9% Cleco Corp. 80 1,446 Electrical Components & Equipment - 1.0% GrafTech International Ltd. (b) 158 1,652 Electronics - 2.9% Coherent Inc. (b) 47 1,400 Electro Scientific Industries Inc. (b) 50 1,410 Metrologic Instruments Inc. (b) 70 1,403 Varian Inc. (b) 17 704 4,917 Engineering & Construction - 1.9% Chicago Bridge & Iron Co. NV 59 1,643 Shaw Group Inc. (b) 162 1,645 3,288 Entertainment - 2.0% Alliance Gaming Corp. (b) 129 2,210 AMC Entertainment Inc. (b) 78 1,205 3,415 Environmental Control - 2.0% Tetra Tech Inc. (b) 82 1,339 Waste Connections Inc. (b) (l) 70 2,064 3,403 Forest Products & Paper - 0.3% Caraustar Industries Inc. (b) 36 512 Gas - 1.6% AGL Resources Inc. 59 1,723 New Jersey Resources Corp. 23 948 2,671 Healthcare - 8.4% Beverly Enterprises Inc. (b) (l) 253 2,173 DJ Orthopedics Inc. (b) 78 1,803 Inamed Corp. (b) 28 1,776 Inveresk Research Group Inc. (b) 52 1,597 Kindred Healthcare Inc. (b) 61 1,607 LifePoint Hospitals Inc. (b) 41 1,507 Odyssey HealthCare Inc. (b) 14 267 PSS World Medical Inc. (b) 119 1,332 Select Medical Corp. 141 1,890 WellCare Health Plans Inc. (b) 15 257 14,209 Home Furnishings - 0.6% Tempur-Pedic International Inc. (b) 69 961 Household Products - 1.0% Scotts Co. - Class A (b) 20 1,245 Toro Co. 7 505 1,750 Insurance - 3.2% Arch Capital Group Ltd. (b) 56 2,225 Assured Guaranty Ltd. (b) 98 1,654 Max Re Capital Ltd. 43 834 Reinsurance Group of America 17 691 5,404 Internet - 2.9% Avocent Corp. (b) 52 1,926 ProQuest Co. (b) 71 1,921 Verity Inc. (b) 79 1,071 4,918 Machinery - 0.7% Nordson Corp. 27 1,162 Tecumseh Products Co. 3 103 1,265 Manufacturing - 0.9% Roper Industries Inc. 27 1,525 Media - 2.3% Journal Register Co. (b) 71 1,418 Liberty Corp. 37 1,723 Pulitzer Inc. 16 787 3,928 Office Furnishings - 0.8% Herman Miller Inc. 48 1,398 Oil & Gas Producers - 4.0% Denbury Resources Inc. (b) 75 1,579 Forest Oil Corp. (b) 46 1,268 Grey Wolf Inc. (b) 259 1,098 Houston Exploration Co. (b) 29 1,483 Newfield Exploration Co. (b) 24 1,343 6,771 Oil & Gas Services - 3.2% CAL Dive International Inc. (b) 31 949 Key Energy Services Inc. (b) 293 2,765 Maverick Tube Corp. (b) 64 1,686 5,400 Packaging & Containers - 0.8% Packaging Corp. of America 58 1,377 Pharmaceuticals - 2.9% Able Laboratories Inc. (b) 95 1,955 MIM Corp. (b) 172 1,496 Par Pharmaceutical Cos. Inc. (b) 27 947 QLT PhotoTherapeutics Inc. (b) 29 589 4,987 Pipelines - 0.7% Kinder Morgan Management LLC (b) 34 1,253 Real Estate - 2.8% Alexandria Real Estate Equities Inc. 11 608 CarrAmerica Realty Corp. 48 1,451 Maguire Properties Inc. 53 1,318 Mills Corp. 30 1,382 4,759 Retail - 1.7% Cost Plus Inc. (b) 39 1,249 Jack in the Box Inc. (b) 2 68 Sonic Corp. (b) 67 1,519 2,836 Savings & Loans - 1.0% MAF Bancorp. Inc. 40 1,703 Semiconductors - 6.6% AMIS Holdings Inc. (b) 75 1,271 Credence Systems Corp. (b) (l) 141 1,946 Emulex Corp. (b) (l) 58 831 Exar Corp. (b) 110 1,618 Microsemi Corp. (b) 118 1,671 Omnivision Technologies Inc. (b) 93 1,477 Semtech Corp. (b) 39 913 Zoran Corp. (b) 80 1,474 11,201 Software - 1.5% Hyperion Solutions Corp. (b) 22 966 Take-Two Interactive Software Inc. (b) 51 1,575 2,541 Telecommunications Equipment - 2.9% C-COR.net Corp. (b) 202 2,074 CommScope Inc. (b) 85 1,825 Extreme Networks Inc. (b) 187 1,033 4,932 Toys & Hobbies - 1.1% Leapfrog Enterprises Inc. (b) (l) 98 1,945 Transportation - 1.7% Forward Air Corp. (b) 26 987 Swift Transportation Co. Inc. (b) 110 1,973 2,960 Total Common Stocks (cost $148,193) 164,689 Short Term Investments - 3.8% Money Market Funds - 3.8% Dreyfus Cash Management Plus, 1.14% (a) 6,496 6,496 Total Short Term Investments (cost $6,496) 6,496 Total Investments - 100.7% (cost $154,689) 171,185 Other Assets and Liabilities, Net - (0.7%) (1,171) Total Net Assets - 100% $170,014 JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Corporate Bonds - 27.1% Aerospace & Defense - 0.3% General Dynamics Corp., 4.25%, 05/15/13 (l) $150 $140 Lockheed Martin Corp., 8.50%, 12/01/29 75 95 United Technologies Corp. 6.35%, 03/01/11 75 81 6.70%, 08/01/28 50 54 370 Agriculture - 0.1% Bunge Ltd. Finance Corp., 5.35%, 04/15/14 (e) 75 72 Asset Backed Securities - 5.6% AmeriCredit Automobile Receivables Trust 3.67%, 06/08/09 500 504 2.84%, 08/06/10 115 113 Bear Stearns Commercial Mortgage Securities 6.80%, 09/15/08 76 80 Capital One Auto Finance Trust, 3.18%, 09/15/10 250 246 Capital One Master Trust, 6.31%, 06/15/11 200 216 Capital One Prime Auto Receivables Trust, 2.59%, 09/15/09 150 148 Chase Manhattan Bank-First Union, 7.439%, 08/15/31 50 56 Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 64 68 CS First Boston Mortgage Securities Corp., 6.91%, 09/15/41 254 270 DaimlerChrysler Auto Trust, 3.78%, 02/06/07 400 404 DLJ Commercial Mortgage Corp. 6.93%, 08/10/09 143 152 6.46%, 03/10/32 50 54 6.88%, 06/10/32 55 58 First Union Commercial Mortgage Securities Inc., 6.65%, 11/18/29 97 103 First Union National Bank Commercial Mortgage Trust 7.184%, 12/15/31 69 71 7.39%, 12/15/31 105 118 First Union National Bank-Bank of America Commercial, Mortgage Trust, 6.136%, 03/15/33 301 321 First Union-Lehman Brothers-Bank of America, Commercial Mortgage Trust, 6.56%, 11/18/35 250 270 Fleet Credit Card Master Trust II, 5.60%, 12/15/08 (l) 250 261 GMAC Commercial Mortgage Securities Inc., 6.42%, 05/15/35 100 108 Heller Financial Commercial Mortgage Asset Corp., 6.50%, 05/15/31 78 83 Honda Auto Receivables Owner Trust 3.96%, 02/19/07 171 172 2.77%, 11/21/08 200 198 Household Automotive Trust 2.31%, 04/17/08 350 347 4.37%, 12/17/08 100 102 3.02%, 12/17/10 365 357 JPMorgan Chase Commercial Mortgage Securities Corp., 5.822%, 05/12/34 250 263 JPMorgan Commercial Mortgage Finance Corp., 6.507%, 10/15/35 (g) 35 38 LB Commercial Conduit Mortgage Trust 6.48%, 02/18/30 200 215 6.41%, 06/15/31 121 126 6.78%, 06/15/31 223 244 LB-UBS Commercial Mortgage Trust 5.401%, 03/15/26 102 106 3.85%, 05/15/27 250 234 5.594%, 06/15/31 75 77 Morgan Stanley Capital I, 6.52%, 03/15/30 95 102 Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 113 Mortgage Capital Funding Inc., 7.288%, 02/20/27 21 22 PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 60 Salomon Brothers Mortgage Securities VII, 6.17%, 02/13/10 100 107 Sears Credit Account Master Trust, 5.65%, 03/17/09 113 114 Toyota Auto Receivables Owner Trust, 4.72%, 09/15/08 108 110 Wachovia Bank Commercial Mortgage Trust, 4.566%, 04/15/35 250 243 WFS Financial Owner Trust, 2.41%, 12/20/10 135 132 7,186 Auto Manufacturers - 0.4% DaimlerChrysler NA Holding Corp. 7.25%, 01/18/06 (l) 250 265 4.75%, 01/15/08 (l) 150 151 4.05%, 06/04/08 100 98 514 Banks - 3.1% ABN Amro Bank NV, 7.55%, 06/28/06 (f) 100 108 Bank of America Corp. 5.25%, 02/01/07 100 104 4.875%, 09/15/12 (l) 150 146 Bank One Corp., 6.50%, 02/01/06 200 211 Barclays Bank Plc, 6.86%, 09/15/49 (e) 50 52 BB&T Corp., 6.50%, 08/01/11 75 81 Corp. Andina De Fomento CAF, 6.875%, 03/15/12 150 161 European Bank for Reconstruction & Development, 5.375%, 06/15/06 100 105 Fleet National Bank, 5.75%, 01/15/09 100 106 HSBC Holdings Plc, 5.25%, 12/12/12 100 99 Inter-American Development Bank, 7.375%, 01/15/10 100 116 KFW International Finance 2.50%, 10/17/05 (l) 100 100 3.25%, 03/30/09 (l) 100 97 Korea Development Bank, 5.50%, 11/13/12 (l) 75 74 National Australia Bank Ltd., 8.60%, 05/19/10 250 295 National City Bank, 4.625%, 05/01/13 100 94 National Westminster Bank Plc, 7.375%, 10/01/09 250 283 NB Capital Trust II, 7.83%, 12/15/26 75 81 Popular North America Inc. 6.125%, 10/15/06 150 158 4.25%, 04/01/08 100 100 Province of Ontario, 6.00%, 02/21/06 (l) 200 210 Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 (l) 100 96 US Bancorp., 6.75%, 10/15/05 75 79 US Bank National Association, 6.375%, 08/01/11 100 108 Wachovia Corp. 7.55%, 08/18/05 100 105 7.50%, 07/15/06 500 544 Wells Fargo & Co., 5.00%, 11/15/14 (l) 200 193 3,908 Beverages - 0.3% Anheuser-Busch Cos. Inc., 6.80%, 01/15/31 75 83 Coca-Cola Enterprises Inc. 6.125%, 08/15/11 75 81 7.125%, 08/01/17 100 113 Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 84 361 Chemicals - 0.4% Dow Chemical Co. 6.125%, 02/01/11 50 53 6.00%, 10/01/12 50 52 E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 100 98 PPG Industries Inc., 7.05%, 08/15/09 100 112 Praxair Inc., 3.95%, 06/01/13 (l) 100 91 Rohm & Haas Co., 7.85%, 07/15/29 50 60 466 Commercial Services - 0.1% Hertz Corp., 7.625%, 06/01/12 100 106 Computers - 0.1% International Business Machines Corp. 4.75%, 11/29/12 75 73 7.00%, 10/30/45 50 56 129 Diversified Financial Services - 5.7% Associates Corp., 6.25%, 11/01/08 300 323 Bear Stearns Co. Inc. 7.80%, 08/15/07 250 279 2.875%, 07/02/08 250 237 Boeing Capital Corp. 4.75%, 08/25/08 100 102 5.80%, 01/15/13 (l) 125 128 CIT Group Inc., 7.375%, 04/02/07 250 274 Citigroup Inc., 6.00%, 02/21/12 (l) 100 106 Countrywide Home Loans Inc. 5.50%, 08/01/06 75 78 5.50%, 02/01/07 200 208 Ford Motor Credit Co. 7.75%, 03/15/05 250 258 6.125%, 01/09/06 250 258 7.75%, 02/15/07 100 108 7.20%, 06/15/07 100 106 5.625%, 10/01/08 (l) 200 202 5.80%, 01/12/09 100 101 7.25%, 10/25/11 75 78 General Electric Capital Corp. 4.25%, 01/15/08 (l) 150 152 6.75%, 03/15/32 150 161 General Motors Acceptance Corp. 6.75%, 01/15/06 250 262 4.50%, 07/15/06 200 202 6.125%, 09/15/06 100 104 6.125%, 02/01/07 (l) 150 157 6.125%, 08/28/07 200 209 5.85%, 01/14/09 (l) 150 152 7.25%, 03/02/11 (l) 175 184 Goldman Sachs Group Inc. 6.65%, 05/15/09 250 272 5.25%, 04/01/13 100 98 Household Finance Corp. 6.875%, 03/01/07 100 108 7.625%, 05/17/32 150 175 International Finance Corp., 5.25%, 05/02/06 (l) 100 104 International Lease Finance Corp., 5.75%, 10/15/06 250 263 JPMorgan Chase & Co. 5.625%, 08/15/06 (l) 100 105 6.625%, 03/15/12 100 108 5.75%, 01/02/13 100 102 Lehman Brothers Holdings Inc., 7.00%, 02/01/08 250 274 Merrill Lynch & Co. Inc., 7.375%, 05/15/06 100 108 Morgan Stanley Dean Witter & Co., 7.25%, 04/01/32 100 111 National Rural Utilities, 5.75%, 08/28/09 200 211 SLM Corp., 5.05%, 11/14/14 250 240 Textron Financial Corp. 7.125%, 12/09/04 50 51 6.00%, 11/20/09 250 269 Toyota Motor Credit Corp., 2.875%, 08/01/08 100 96 7,124 Electric - 1.7% Alabama Power Co., 5.875%, 12/01/22 100 99 AmerenUE, 6.75%, 05/01/08 100 109 Dominion Resources Inc., 5.25%, 08/01/33 100 95 Duke Energy Corp., 5.625%, 11/30/12 150 150 Florida Power & Light Co., 6.00%, 06/01/08 100 107 FPL Group Capital Inc. 7.625%, 09/15/06 100 109 7.375%, 06/01/09 100 113 Hydro Quebec 8.00%, 02/01/13 100 120 7.50%, 04/01/16 100 119 Midamerican Energy Co., 6.75%, 12/30/31 (l) 50 53 Northern States Power Co., 8.00%, 08/28/12 100 119 Ohio Power Co., 5.50%, 02/15/13 100 100 Oncor Electric Delivery Co., 6.375%, 01/15/15 300 315 Peco Energy Co., 4.75%, 10/01/12 100 98 PPL Electric Utilities Corp., 6.25%, 08/15/09 100 108 SCANA Corp., 6.875%, 05/15/11 75 83 Southern California Edison Co., 6.00%, 01/15/34 75 72 Virginia Electric and Power Co., 4.75%, 03/01/13 50 48 Wisconsin Energy Corp., 6.50%, 04/01/11 100 108 2,125 Electrical Components & Equipment - 0.1% Emerson Electric Co., 5.00%, 12/15/14 100 98 Food - 1.0% Archer-Daniels-Midland Co., 8.125%, 06/01/12 75 90 Campbell Soup Co., 5.00%, 12/03/12 150 149 ConAgra Foods Inc., 7.875%, 09/15/10 200 232 HJ Heinz Finance Co., 6.625%, 07/15/11 200 221 Kraft Foods Inc. 4.625%, 11/01/06 50 51 5.25%, 06/01/07 100 104 Nabisco Inc., 7.05%, 07/15/07 200 218 Sara Lee Corp., 6.25%, 09/15/11 75 81 Unilever Capital Corp., 7.125%, 11/01/10 100 113 1,259 Gas - 0.2% KeySpan Corp., 6.15%, 06/01/06 100 105 Sempra Energy, 4.75%, 05/15/09 200 202 307 Healthcare - 0.1% Baxter International Inc., 4.625%, 03/15/15 75 69 UnitedHealth Group Inc., 7.50%, 11/15/05 85 90 159 Insurance - 0.9% Aegon NV, 4.75%, 06/01/13 150 143 Allstate Corp. 6.125%, 02/15/12 75 80 5.35%, 06/01/33 75 66 American International Group Inc., 4.25%, 05/15/13 100 93 Chubb Corp., 5.20%, 04/01/13 100 98 Hartford Life Inc., 7.65%, 06/15/27 75 87 John Hancock Financial Services Inc., 5.625%, 12/01/08 250 262 Marsh & McLennan Cos Inc., 3.625%, 02/15/08 100 99 Metlife Inc., 5.00%, 11/24/13 (l) 100 97 Travelers Property Casualty Corp., 6.75%, 11/15/06 100 108 1,133 Investment Companies - 0.3% Credit Suisse First Boston USA Inc. 5.875%, 08/01/06 100 105 6.125%, 11/15/11 100 105 7.125%, 07/15/32 100 111 321 Machinery - 0.2% Caterpillar Inc., 7.30%, 05/01/31 100 116 Deere & Co., 8.10%, 05/15/30 70 88 204 Manufacturing - 0.1% Honeywell International Inc., 6.125%, 11/01/11 100 107 Media - 1.1% AOL Time Warner Inc., 6.125%, 04/15/06 200 210 AT&T Broadband Corp., 8.375%, 03/15/13 250 292 COX Communications Inc., 7.875%, 08/15/09 150 170 Liberty Media Corp., 8.50%, 07/15/29 (l) 50 58 News America Inc., 7.30%, 04/30/28 50 54 Time Warner Entertainment Co. LP, 7.25%, 09/01/08 250 275 Time Warner Inc., 6.625%, 05/15/29 100 97 Viacom Inc., 7.875%, 07/30/30 125 148 Walt Disney Co., 7.00%, 03/01/32 50 54 1,358 Mining - 0.3% Alcan Inc., 4.875%, 09/15/12 50 49 Alcoa Inc. 6.50%, 06/01/11 125 137 5.375%, 01/15/13 50 50 BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 200 194 430 Oil & Gas Producers - 1.0% Apache Corp., 7.95%, 04/15/26 50 60 Conoco Funding Co., 7.25%, 10/15/31 75 86 ConocoPhillips 4.75%, 10/15/12 150 146 6.65%, 07/15/18 75 82 Marathon Oil Corp., 6.125%, 03/15/12 200 211 Norsk Hydro ASA, 6.36%, 01/15/09 250 270 Pemex Project Funding Master Trust, 8.625%, 02/01/22 (l) 75 78 Suncor Energy Inc., 5.95%, 12/01/34 100 97 Texaco Capital Inc., 8.625%, 11/15/31 100 136 XTO Energy Inc., 4.90%, 02/01/14 75 71 1,237 Oil & Gas Services - 0.1% Baker Hughes Inc., 6.25%, 01/15/09 150 162 Pharmaceuticals - 0.4% Bristol-Myers Squibb Co. 5.75%, 10/01/11 100 104 5.25%, 08/15/13 (e) 100 99 Cardinal Health Inc., 6.75%, 02/15/11 75 83 Pharmacia Corp., 6.60%, 12/01/28 100 108 Schering-Plough Corp., 6.50%, 12/01/33 50 50 Wyeth, 5.50%, 03/15/13 100 97 541 Pipelines - 0.1% Consolidated Natural Gas Co., 6.80%, 12/15/27 50 52 Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 (l) 75 71 123 Real Estate - 0.2% Simon Property Group LP, 7.125%, 02/09/09 200 220 Retail - 0.8% CVS Corp., 5.625%, 03/15/06 300 313 Federated Department Stores, 6.90%, 04/01/29 100 104 Kohl's Corp., 7.25%, 06/01/29 75 84 Lowe's Cos. Inc., 6.875%, 02/15/28 75 82 McDonald's Corp., 5.95%, 01/15/08 100 106 Target Corp. 5.50%, 04/01/07 75 79 7.00%, 07/15/31 100 112 Wal-Mart Stores Inc. 4.55%, 05/01/13 (l) 100 96 7.55%, 02/15/30 (l) 50 60 1,036 Software - 0.2% First Data Corp., 5.625%, 11/01/11 200 209 Telecommunications - 1.4% Alltel Corp., 7.875%, 07/01/32 (l) 50 58 BellSouth Corp., 6.875%, 10/15/31 (l) 200 208 Deutsche Telekom International Finance BV, 8.50%, 06/15/10 400 468 GTE Corp., 6.94%, 04/15/28 50 51 SBC Communications Inc., 5.875%, 02/01/12 100 103 Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 110 Sprint Capital Corp. 6.00%, 01/15/07 150 157 6.875%, 11/15/28 75 72 Telecom Italia Capital SA, 6.375%, 11/15/33 (e) (l) 50 48 Telefonica Europe BV, 8.25%, 09/15/30 (l) 100 122 Verizon Global Funding Corp. 7.25%, 12/01/10 250 279 7.75%, 12/01/30 50 56 1,732 Transportation - 0.2% Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 150 156 Norfolk Southern Corp., 7.25%, 02/15/31 75 82 238 Wireless Telecommunications - 0.6% AT&T Wireless Services Inc., 7.50%, 05/01/07 250 274 Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 209 Vodafone Group Plc, 7.75%, 02/15/10 200 229 712 Total Corporate Bonds (cost $34,275) 33,947 Government Securities - 71.6% Banks - 0.2% International Bank for Reconstruction & Development, 4.375%, 09/28/06 300 308 Sovereign - 1.8% Canadian Government, 6.75%, 08/28/06 (l) 100 108 Chile Government International Bond, 5.50%, 01/15/13 100 100 Export Development Canada, 2.75%, 12/12/05 100 100 Financement-Quebec, 5.00%, 10/25/12 100 100 Inter-American Development Bank 5.375%, 01/18/06 100 104 6.125%, 03/08/06 100 106 Nova Scotia Province, 5.75%, 02/27/12 100 105 Province of British Columbia, 4.625%, 10/03/06 (l) 100 103 Province of Quebec 5.75%, 02/15/09 125 133 7.50%, 07/15/23 100 120 Republic of Italy 2.50%, 03/31/06 100 100 4.375%, 06/15/13 (l) 100 97 5.375%, 06/15/33 100 93 Republic of Korea, 8.875%, 04/15/08 (l) 300 348 Spain Government International Bond, 7.00%, 07/19/05 100 105 State of Israel, 4.625%, 06/15/13 75 69 United Mexican States 6.375%, 01/16/13 150 150 7.50%, 04/08/33 250 242 2,283 U.S. Government Agencies - 50.4% Federal Home Loan Mortgage Corp. 1.50%, 08/15/05 (l) 320 317 2.125%, 11/15/05 (l) 300 298 2.50%, 12/15/05 (l) 1,400 1,398 2.00%, 02/27/06 (l) 100 99 2.50%, 03/15/06 2,020 2,011 2.375%, 02/15/07 (l) 2,500 2,436 4.50%, 07/23/07 (l) 150 150 4.25%, 05/04/09 (l) 200 198 5.125%, 07/15/09 200 200 4.75%, 08/13/09 200 201 5.75%, 05/15/12 (l) 655 691 5.125%, 07/15/12 (l) 98 99 5.125%, 08/20/12 (l) 425 426 4.625%, 05/28/13 75 72 6.50%, 06/01/14 2,297 2,427 7.00%, 06/01/15 18 20 7.00%, 08/01/15 78 83 7.00%, 11/01/15 3 4 7.00%, 11/01/16 202 214 6.00%, 12/01/16 509 531 5.50%, 07/01/17 644 660 6.00%, 07/01/17 1,243 1,297 4.50%, 01/01/18 1,335 1,308 5.50%, 04/01/18 712 729 4.00%, 05/01/19 2,000 1,908 6.50%, 12/01/28 (f) 180 188 6.50%, 05/01/29 260 271 6.50%, 03/01/31 93 97 7.00%, 06/01/31 52 55 7.50%, 11/01/31 464 499 7.50%, 04/01/32 662 713 6.25%, 07/15/32 (l) 125 132 6.60%, 08/01/32 377 393 6.00%, 12/01/32 253 259 5.50%, 04/01/33 (f) 1,711 1,708 6.00%, 04/01/33 1,202 1,229 5.50%, 05/01/33 (f) 1,564 1,562 5.50%, 08/01/33 783 782 4.50%, 10/01/33 1,946 1,820 Federal National Mortgage Association 5.50%, TBA (c) 1,750 1,741 6.00%, TBA (c) 2,000 2,041 2.25%, 02/28/06 150 149 2.625%, 11/15/06 (l) 1,250 1,231 3.50%, 10/15/07 350 347 3.25%, 01/15/08 (l) 530 521 2.50%, 06/15/08 (l) 655 622 3.25%, 08/15/08 (l) 275 268 6.625%, 09/15/09 (l) 300 332 5.375%, 11/15/11 (l) 150 155 4.625%, 10/15/13 (l) 485 467 4.125%, 04/15/14 (l) 400 368 6.50%, 02/01/16 129 136 6.00%, 06/01/16 224 233 6.50%, 09/01/16 41 43 6.50%, 10/01/16 75 79 6.50%, 12/01/16 3 3 5.50%, 03/01/17 555 569 5.00%, 10/01/17 2,441 2,450 5.50%, 12/01/17 (f) 1,015 1,041 4.00%, 10/01/18 4,882 4,662 6.25%, 05/15/29 (l) 450 473 7.00%, 02/01/31 319 337 5.50%, 01/01/32 474 474 6.50%, 04/01/32 227 236 6.50%, 07/01/32 206 215 6.00%, 11/01/32 606 620 6.00%, 01/01/33 337 345 6.00%, 02/01/33 520 532 6.50%, 03/01/33 956 996 6.50%, 06/01/33 876 912 5.00%, 10/01/33 951 922 4.50%, 11/01/33 1,686 1,578 4.50%, 05/01/34 2,500 2,342 5.00%, 05/01/34 2,397 2,318 5.00%, 06/01/34 1,997 1,932 6.50%, 06/01/34 2,000 2,081 Government National Mortgage Association 8.00%, 04/15/30 76 83 8.50%, 06/15/30 98 108 8.50%, 12/15/30 4 5 6.50%, 01/15/32 378 396 6.00%, 10/15/32 301 309 5.50%, 07/15/33 814 815 62,972 U.S. Treasury Securities - 19.2% U.S. Treasury Bond 2.50%, 05/31/06 (l) 250 249 11.25%, 02/15/15 (l) 500 771 8.75%, 05/15/17 (l) 245 332 8.875%, 08/15/17 (l) 100 137 8.875%, 02/15/19 (l) (m) 355 492 8.00%, 11/15/21 (l) 980 1,284 7.125%, 02/15/23 (l) 105 127 6.875%, 08/15/25 (l) 290 345 6.75%, 08/15/26 (l) 200 235 6.50%, 11/15/26 (l) 260 297 6.375%, 08/15/27 (l) 420 474 5.25%, 02/15/29 (l) 1,695 1,662 U.S. Treasury Note 1.875%, 12/31/05 (l) 850 843 4.625%, 05/15/06 (l) 1,600 1,657 4.375%, 05/15/07 (l) 600 620 3.25%, 08/15/07 (l) 320 320 6.125%, 08/15/07 (l) 1,420 1,541 5.50%, 02/15/08 (l) 1,705 1,826 5.50%, 05/15/09 (l) 750 808 6.50%, 02/15/10 (l) 2,615 2,947 5.75%, 08/15/10 (l) 1,175 1,281 5.00%, 08/15/11 (l) 1,085 1,133 4.875%, 02/15/12 (l) 1,095 1,131 4.375%, 08/15/12 (l) 1,705 1,697 3.875%, 02/15/13 (l) 125 119 8.125%, 05/15/21 (l) 1,235 1,632 23,960 Total Government Securities (cost $90,425) 89,523 Municipals - 0.2% Illinois St Taxable Pension, 5.10%, 06/01/33 200 177 New Jersey State Turnpike Authority, 4.252%, 01/01/16 100 93 Total Municipals (cost $278) 270 Short Term Investments - 0.9% Money Market Funds - 0.9% Dreyfus Cash Management Plus, 1.14% (a) (n) 1,145 1,145 Total Short Term Investments (cost $1,145) 1,145 Total Investments - 99.8% (cost $126,123) 124,885 Other Assets and Liabilities, Net - 0.2% 223 Total Net Assets - 100% $125,108 JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Common Stocks - 92.4% Advertising - 0.1% Interpublic Group of Cos. Inc. (b) 6 $82 Aerospace & Defense - 1.4% Lockheed Martin Corp. 24 1,237 Northrop Grumman Corp. 20 1,095 Raytheon Co. 4 141 2,473 Airlines - 0.1% Southwest Airlines Co. 11 192 Auto Manufacturers - 1.4% Ford Motor Co. (l) 62 974 General Motors Corp. 12 542 Navistar International Corp. (b) 17 659 PACCAR Inc. 3 172 2,347 Auto Parts & Equipment - 0.1% Dana Corp. 6 120 Banks - 6.7% Bank of America Corp. 33 2,802 Bank One Corp. 9 447 BB&T Corp. 8 305 Fifth Third Bancorp. 23 1,220 First Horizon National Corp. 12 564 Huntington Bancshares Inc. 40 904 Marshall & Ilsley Corp. 2 87 National City Corp. 25 875 North Fork Bancorp. Inc. 4 133 State Street Corp. 7 324 Wachovia Corp. 36 1,621 Wells Fargo & Co. 39 2,206 11,488 Beverages - 3.5% Adolph Coors Co. - Class B 2 123 Anheuser-Busch Cos. Inc. 15 823 Brown-Forman Corp. - Class B 2 100 Coca-Cola Co. 51 2,597 Coca-Cola Enterprises Inc. 32 923 PepsiCo Inc. 26 1,384 5,950 Biotechnology - 1.0% Amgen Inc. (b) 19 1,046 Biogen Idec Inc. (b) (l) 5 304 Chiron Corp. (b) 3 131 Genzyme Corp. (b) 4 167 Medimmune Inc. (b) 4 99 1,747 Chemicals - 2.0% Ashland Inc. 1 37 Dow Chemical Co. 22 895 E.I. du Pont de Nemours & Co. 19 830 Eastman Chemical Co. 1 51 Ecolab Inc. 6 187 Engelhard Corp. 2 68 International Flavors & Fragrances Inc. 1 49 PPG Industries Inc. 15 955 Rohm & Haas Co. 10 417 3,489 Commercial Services - 1.1% Apollo Group Inc. (b) 7 611 Cendant Corp. 26 640 Deluxe Corp. 1 35 H&R Block Inc. 9 416 R.R. Donnelley & Sons Co. 3 111 Robert Half International Inc. 3 74 1,887 Computers - 3.4% Affiliated Computer Services Inc. - Class A (b) (l) 3 164 Apple Computer Inc. (b) 3 111 Dell Inc. (b) 43 1,524 EMC Corp. (b) 56 635 Gateway Inc. (b) 6 27 Hewlett-Packard Co. 9 184 International Business Machines Corp. 29 2,539 Network Appliance Inc. (b) 31 661 Sun Microsystems Inc. (b) - - 5,845 Cosmetics & Personal Care - 3.3% Avon Products Inc. 15 680 Colgate-Palmolive Co. 21 1,240 Gillette Co. 34 1,437 Procter & Gamble Co. 42 2,265 5,622 Diversified Financial Services - 7.0% American Express Co. 3 178 Bear Stearns Cos. Inc. 2 169 Charles Schwab Corp. 85 813 Citigroup Inc. 65 3,033 E*TRADE Group Inc. (b) 5 58 Fannie Mae 25 1,777 Franklin Resources Inc. 18 895 Freddie Mac 7 421 Goldman Sachs Group Inc. 16 1,462 JPMorgan Chase & Co. 10 386 Merrill Lynch & Co. Inc. 15 783 Morgan Stanley 16 868 SLM Corp. 26 1,041 T. Rowe Price Group Inc. 1 67 11,951 Electric - 1.6% Ameren Corp. 11 455 Centerpoint Energy Inc. 4 51 Constellation Energy Group Inc. 6 235 Edison International 5 123 Exelon Corp. 14 475 FPL Group Inc. 2 141 PG&E Corp. (b) 6 176 Southern Co. 37 1,067 2,723 Electrical Components & Equipment - 0.1% Molex Inc. 8 249 Electronics - 0.9% Agilent Technologies Inc. (b) 24 714 Tektronix Inc. 26 885 1,599 Food - 0.5% General Mills Inc. 6 266 H.J. Heinz Co. 3 128 Wm. Wrigley Jr. Co. 7 435 829 Forest Products & Paper - 0.1% Plum Creek Timber Co. Inc. 2 81 Temple-Inland Inc. 1 54 135 Healthcare - 6.1% Aetna Inc. 11 946 Bausch & Lomb Inc. 13 852 Biomet Inc. (b) 23 1,041 Boston Scientific Corp. (b) 16 674 Guidant Corp. 3 164 Johnson & Johnson 59 3,268 Medtronic Inc. 23 1,137 Stryker Corp. 6 326 Tenet Healthcare Corp. (b) 7 99 UnitedHealth Group Inc. 19 1,154 WellPoint Health Networks Inc. (b) 6 719 Zimmer Holdings Inc. (b) - 18 10,398 Home Builders - 0.1% Pulte Homes Inc. 4 198 Insurance - 5.2% AFLAC Inc. 1 29 Allstate Corp. 27 1,276 AMBAC Financial Group Inc. 1 66 American International Group Inc. 46 3,306 Chubb Corp. 3 191 Cincinnati Financial Corp. 21 907 Loews Corp. 3 168 Marsh & McLennan Cos. Inc. 25 1,132 Progressive Corp. 2 172 Prudential Financial Inc. 26 1,193 St. Paul Cos. Inc. 12 499 8,939 Internet - 0.8% eBay Inc. (b) 5 465 Yahoo! Inc. (b) 26 942 1,407 Iron & Steel - 0.1% Nucor Corp. 1 85 United States Steel Corp. (l) 2 63 148 Leisure Time - 0.4% Brunswick Corp. 15 608 Lodging - 0.8% Marriott International Inc. - Class A 11 559 Starwood Hotels & Resorts Worldwide Inc. 18 812 1,371 Machinery - 1.1% Caterpillar Inc. 3 268 Deere & Co. 15 1,077 Rockwell Automation Inc. 16 596 1,941 Manufacturing - 5.0% 3M Co. 19 1,737 Danaher Corp. (l) 19 973 Dover Corp. 10 429 Eaton Corp. 16 1,010 General Electric Co. 126 4,097 Ingersoll-Rand Co. - Class A 2 146 Tyco International Ltd. 5 149 8,541 Media - 3.3% Clear Channel Communications Inc. 6 216 Comcast Corp. - Class A (b) 43 1,196 McGraw-Hill Cos. Inc. - 3 Meredith Corp. (l) 15 835 Time Warner Inc. (b) 50 879 Tribune Co. 1 24 Univision Communications Inc. (b) (l) 18 581 Viacom Inc. - Class B 10 350 Walt Disney Co. 62 1,575 5,659 Metal Fabrication & Hardware - 0.0% Worthington Industries 2 35 Mining - 0.5% Alcoa Inc. 13 433 Freeport-McMoRan Copper & Gold Inc. 2 80 Newmont Mining Corp. 7 253 Phelps Dodge Corp. (b) (l) 1 109 875 Oil & Gas Producers - 5.5% Apache Corp. 23 985 ChevronTexaco Corp. 25 2,314 EOG Resources Inc. 9 537 Exxon Mobil Corp. 102 4,509 Kerr-McGee Corp. 17 928 Rowan Cos. Inc. (b) (l) 6 146 Unocal Corp. - 11 9,430 Oil & Gas Services - 0.4% Baker Hughes Inc. 12 433 Halliburton Co. 7 205 638 Packaging & Containers - 0.0% Ball Corp. 1 72 Pharmaceuticals - 5.1% Abbott Laboratories 23 955 AmerisourceBergen Corp. (l) 14 855 Bristol-Myers Squibb Co. - 1 Eli Lilly & Co. 20 1,393 Hospira Inc. (b) 3 86 Merck & Co. Inc. 17 788 Pfizer Inc. 113 3,870 Watson Pharmaceuticals Inc. (b) 3 75 Wyeth 20 712 8,735 Pipelines - 0.1% El Paso Corp. 9 73 Williams Cos. Inc. 9 104 177 Real Estate - 0.3% Apartment Investment & Management Co. 2 47 Equity Office Properties Trust 6 161 Equity Residential 4 125 ProLogis 3 89 Simon Property Group Inc. 3 144 566 Retail - 6.9% Bed Bath & Beyond Inc. (b) 3 107 Best Buy Co. Inc. 19 989 Costco Wholesale Corp. 4 179 CVS Corp. 19 784 Gap Inc. 45 1,092 Home Depot Inc. 56 1,970 Lowe's Cos. Inc. 2 94 May Department Stores Co. 3 74 McDonald's Corp. 19 491 Nordstrom Inc. 21 890 RadioShack Corp. 2 43 Staples Inc. 36 1,062 Starbucks Corp. (b) 1 38 Walgreen Co. 15 556 Wal-Mart Stores Inc. 67 3,554 11,923 Semiconductors - 3.6% Applied Materials Inc. (b) 64 1,254 Intel Corp. 67 1,852 KLA-Tencor Corp. (b) 2 89 National Semiconductor Corp. (b) 3 76 PMC - Sierra Inc. (b) 58 831 Teradyne Inc. (b) (l) 20 461 Texas Instruments Inc. 54 1,309 Xilinx Inc. 9 315 6,187 Software - 5.2% Adobe Systems Inc. 21 961 BMC Software Inc. (b) 31 570 Computer Associates International Inc. 10 286 First Data Corp. 7 309 Fiserv Inc. (b) 13 490 Microsoft Corp. (l) 170 4,859 Oracle Corp. (b) 86 1,022 PeopleSoft Inc. (b) 3 63 Siebel Systems Inc. (b) 34 366 8,926 Telecommunications - 1.6% AT&T Corp. 12 179 CenturyTel Inc. 19 578 Citizens Communications Co. (b) 4 45 Qwest Communications International Inc. (b) 27 97 SBC Communications Inc. 16 396 Verizon Communications Inc. 41 1,488 2,783 Telecommunications Equipment - 2.0% Andrew Corp. (b) (l) 7 132 Avaya Inc. (b) 6 101 CIENA Corp. (b) 8 31 Cisco Systems Inc. (b) 68 1,606 Comverse Technology Inc. (b) 34 685 Corning Inc. (b) 15 201 Lucent Technologies Inc. (b) 134 506 Tellabs Inc. (b) 25 216 3,478 Textiles - 0.3% Cintas Corp. 12 567 Tobacco - 1.0% Altria Group Inc. 30 1,524 RJ Reynolds Tobacco Holdings Inc. (l) 1 92 UST Inc. 2 76 1,692 Toys & Hobbies - 0.2% Hasbro Inc. 22 412 Transportation - 1.4% Burlington Northern Santa Fe Corp. 6 196 CSX Corp. 3 85 FedEx Corp. 4 365 Norfolk Southern Corp. 6 156 Ryder System Inc. 1 32 Union Pacific Corp. 4 236 United Parcel Service Inc. 17 1,269 2,339 Wireless Telecommunications - 1.1% AT&T Wireless Services Inc. (b) 41 581 Nextel Communications Inc. (b) 50 1,332 Qualcomm Inc. 1 51 1,964 Total Common Stocks (cost $153,071) 158,737 Short Term Investments - 7.4% Money Market Funds - 7.0% Dreyfus Cash Management Plus, 1.14% (a) (n) 8,508 8,508 Dreyfus Government Cash Management, 0.96% (a) (n) 3,504 3,504 12,012 U.S. Treasury Bills - 0.4% U.S. Treasury Bill, 1.23%, 09/30/04 (m) $670 668 Total Short Term Investments (cost $12,680) 12,680 Total Investments - 99.8% (cost $165,751) 171,417 Other Assets and Liabilities, Net - 0.2% 326 Total Net Assets - 100% $171,743 JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Common Stocks - 98.2% Advertising - 0.3% Aegis Group Plc 28 $46 Asatsu-DK Inc. (l) 1 21 Dentsu Inc. - 103 Publicis Groupe (l) 3 86 Telefonica Publicidad e Informacion SA 4 26 WPP Group Plc 28 283 565 Aerospace & Defense - 0.5% BAE Systems Plc 81 321 Cobham Plc 3 76 European Aeronautic Defense and Space Co. 6 179 Finmeccanica SpA (l) 155 123 Meggitt Plc 7 34 Rolls-Royce Group Plc (b) 1,115 2 Rolls-Royce Group Plc 40 181 Sagem SA (l) 1 58 Thales SA 2 73 Zodiac SA 1 33 1,080 Airlines - 0.3% Air France 3 59 All Nippon Airways Co. Ltd. (l) 14 46 British Airways Plc (b) 15 73 Cathay Pacific Airways Ltd. 26 49 Deutsche Lufthansa AG (b) 7 90 Iberia Lineas Aereas de Espana SA (l) 12 36 Japan Airlines System Corp. (b) (l) 17 54 Ryanair Holdings Plc (b) 1 5 SAS AB (b) (l) 2 18 Singapore Airlines Ltd. 14 91 521 Alternative Energy - 0.0% Gamesa Corp. Tecnologica SA 3 40 Apparel - 0.3% Adidas-Salomon AG 1 149 Benetton Group SpA (l) 1 13 Gunze Ltd. 5 26 Hermes International - 46 Onward Kashiyama Co. Ltd. 4 64 Puma AG Rudolf Dassler Sport - 106 Tokyo Style Co. Ltd. 2 23 Wacoal Corp. 3 32 World Co. Ltd. 1 27 Yue Yuen Industrial Holdings (l) 14 33 519 Auto Manufacturers - 3.5% DaimlerChrysler AG 23 1,059 Fiat SpA (b) (l) 14 114 Hino Motors Ltd. (l) 6 43 Honda Motor Co. Ltd. 21 988 Nissan Motor Co. Ltd. 65 727 Peugeot SA 4 249 Renault SA 5 369 Scania AB - Class B 3 88 Toyota Motor Corp. 76 3,079 Volkswagen AG (l) 6 251 Volvo AB (l) 9 293 7,260 Auto Parts & Equipment - 0.8% Aisin Seiki Co. Ltd. 4 88 Bridgestone Corp. (l) 17 319 Compagnie Generale des Etablissements Michelin - Class B 4 211 Continental AG (l) 4 173 Denso Corp. 14 325 GKN Plc 19 87 Koyo Seiko Co. Ltd. (l) 3 36 NGK Spark Plug Co. Ltd. 4 38 Nok Corp. 3 93 Nokian Renkaat Oyj - 19 Pirelli & Co. SpA (l) 47 49 Sanden Corp. 3 19 Toyoda Gosei Co. Ltd. 1 33 Valeo SA 2 79 1,569 Banks - 17.3% 77 Bank Ltd. 8 55 ABN Amro Holding NV 41 898 Allied Irish Banks Plc 22 344 Alpha Bank A.E. 5 137 Australia & New Zealand Banking Group Ltd. 48 605 Banca Antonveneta SpA (b) 6 125 Banca Intesa SpA (l) 112 411 Banca Monte dei Paschi di Siena SpA (l) 29 91 Banca Nazionale del Lavoro SpA (b) 33 76 Banca Popolare di Milano SCRL (l) 10 62 Banche Popolari Unite Scrl 9 150 Banco Bilbao Vizcaya Argentaria SA (l) 85 1,133 Banco BPI SA 10 37 Banco Comercial Portugues SA (l) 47 110 Banco Espirito Santo SA (l) 3 45 Banco Popolare di Verona (l) 10 170 Banco Popular Espanol (l) 4 234 Banco Santander Central Hispano SA (l) 113 1,171 Bank Austria Creditanstalt AG 1 58 Bank of East Asia 35 99 Bank of Fukuoka Ltd. (l) 14 83 Bank of Ireland 25 340 Bank of Yokohama Ltd. 26 163 Barclays Plc 172 1,464 Bayerische Hypo-und Vereinsbank AG (b) 15 273 BNP Paribas SA (l) 21 1,314 BOC Hong Kong Holdings Ltd. 98 166 Capitalia SpA (l) 38 118 Chiba Bank Ltd. 19 116 Commercial Bank of Greece 1 32 Commerzbank AG (b) 13 236 Commonwealth Bank of Australia 33 753 Credit Agricole SA 17 424 Credit Suisse Group (b) 30 1,060 Danske Bank A/S 12 289 DBS Group Holdings Ltd. 29 242 Depfa Bank Plc 9 131 Deutsche Bank AG 14 1,086 Dexia 17 282 DnB Holding ASA (l) 17 117 EFG Eurobank Ergasias SA 5 105 Erste Bank der Oesterreichischen Sparkassen AG (l) 1 125 FinecoGroup SpA (b) 5 30 Fortis 31 681 Gunma Bank Ltd. 10 50 Hang Seng Bank Ltd. 20 258 HBOS Plc 101 1,256 Hokugin Financial Group Inc. 21 54 HSBC Holdings Plc 289 4,300 Hypo Real Estate Holding Inc. (b) 3 97 Joyo Bank Ltd. 19 84 KBC Bancassurance Holding (l) 3 161 Lloyds TSB Group Plc 147 1,152 Mitsubishi Tokyo Financial Group Inc. - 1,101 Mitsui Trust Holdings Inc. 14 103 Mizuho Financial Group Inc. - 907 National Australia Bank Ltd. 40 824 National Bank of Greece SA 7 146 Nordea AB 58 416 Oversea-Chinese Banking Corp. Ltd. 25 176 Piraeus Bank SA 4 50 Resona Holdings Inc. (b) 120 213 Royal Bank of Scotland Group Plc 78 2,248 Sanpaolo IMI SpA (l) 25 299 Shinsei Bank Ltd. 14 89 Shizuoka Bank Ltd. 16 141 Skandinaviska Enskilda Banken AB (l) 12 179 Societe Generale 9 733 Sumitomo Mitsui Financial Group Inc. (l) - 734 Sumitomo Trust & Banking Co. Ltd. 29 207 Suncorp-Metway Ltd. 14 142 Suruga Bank Ltd. 6 46 Svenska Handelsbanken AB - Class B (l) 14 290 UBS AG 30 2,082 UFJ Holdings Inc. (b) - 442 UniCredito Italiano SpA (l) 116 572 United Overseas Bank Ltd. 31 241 Westpac Banking Corp. 46 569 36,003 Beverages - 1.4% Asahi Breweries Ltd. (l) 10 115 Carlsberg A/S 1 44 Coca-Cola Amatil Ltd. 11 55 Coca-Cola Hellenic Bottling Co. SA 2 54 Coca-Cola West Japan Co. Ltd. (l) 1 24 Diageo Plc 81 1,086 Foster's Group Ltd. 53 174 Fraser & Neave Ltd. 5 38 Heineken NV (l) 6 211 Interbrew (l) 4 130 ITO EN Ltd. 1 38 Kirin Brewery Co. Ltd. (l) 18 178 Lion Nathan Ltd. 8 40 Pernod-Ricard 1 179 SABMiller Plc (l) 21 272 Sapporo Holdings Ltd. 7 26 Scottish & Newcastle Plc 21 168 Southcorp Ltd. (b) 17 37 Takara Holdings Inc. 4 32 2,901 Biotechnology - 0.1% Novozymes A/S 1 63 Qiagen NV (b) 4 41 Sonic Healthcare Ltd. 7 42 Zeltia SA (b) (l) 4 25 171 Building Materials - 1.5% Asahi Glass Co. Ltd. (l) 20 208 Boral Ltd. (l) 16 70 BPB Plc 13 95 Central Glass Co. Ltd. 5 43 Cie de Saint-Gobain (l) 8 404 Cimpor Cimentos de Portugal SA (l) 5 26 CRH Plc 14 292 CSR Ltd. 22 35 Daikin Industries Ltd. 5 134 Fletcher Building Ltd. 12 35 FLS Industries A/S (b) 1 11 Geberit AG - 60 Hanson Plc 20 135 HeidelbergCement AG (l) 2 82 Holcim Ltd. 5 261 Imerys SA 1 49 Italcementi SpA (l) 2 25 James Hardie Industries NV 12 48 Kingspan Group Plc 3 17 Lafarge SA 4 391 Matsushita Electric Works Ltd. 8 73 Nippon Sheet Glass Co. Ltd. 10 40 Pilkington Plc 27 48 Rinker Group Ltd. 26 144 Rinnai Corp. 1 27 RMC Group Plc 7 79 Sanwa Shutter Corp. 4 21 Sumitomo Osaka Cement Co. Ltd. 10 27 Taiheiyo Cement Corp. 20 50 Tenon Ltd. (b) 7 8 Titan Cement Co. SA 2 38 Tostem Inax Holding Corp. 7 151 Wienerberger AG (l) 2 59 3,186 Chemicals - 2.5% Air Liquide SA 3 473 Akzo Nobel NV (l) 7 265 Asahi Kasei Corp. 32 166 BASF AG (l) 14 749 Bayer AG (l) 17 498 BOC Group Plc 13 219 Ciba Specialty Chemicals AG (b) 2 130 Clariant AG 6 90 Daicel Chemical Industries Ltd. 6 32 Dainippon Ink and Chemicals Inc. 17 44 Denki Kagaku Kogyo KK 11 39 DSM NV 2 100 Givaudan - 111 Hitachi Chemical Co. Ltd. 3 44 Imperial Chemical Industries Plc 31 128 Ishihara Sangyo Kaisha Ltd. (l) 6 13 Johnson Matthey Plc 6 94 JSR Corp. 5 86 Kaneka Corp. 7 66 Kansai Paint Co. Ltd. 5 31 Kingboard Chemicals Holdings 10 17 Lonza Group AG 1 56 Mitsubishi Chemical Corp. 42 112 Mitsubishi Gas Chemical Co. Inc. 9 37 Mitsui Chemicals Inc. 16 80 Nippon Kayaku Co. Ltd. 3 16 Nippon Sanso Corp. 6 32 Nippon Shokubai Co. Ltd. 3 24 Nissan Chemical Industries Ltd. 4 32 Nitto Denko Corp. 4 225 Shin-Etsu Chemical Co. Ltd. 9 336 Showa Denko KK 26 65 Solvay SA 2 132 Sumitomo Bakelite Co. Ltd. 4 28 Sumitomo Chemical Co. Ltd. 35 163 Syngenta AG (b) 3 234 Tosoh Corp. 11 40 Ube Industries Ltd. (b) 22 34 Yara International ASA (b) 5 40 Zeon Corp. (l) 4 29 5,110 Commercial Services - 1.2% Abertis Infraestructuras SA (l) 6 111 Adecco SA (b) (l) 3 169 Aggreko Plc 8 24 Autoroutes du Sud de la France 2 75 Autostrade SpA 5 88 Bellsystem 24 Inc. - 17 Benesse Corp. 2 52 Brambles Industries Ltd. (l) 25 106 Brambles Industries Plc 20 76 Brisa-Auto Estradas de Portugal SA (l) 10 71 Bunzl Plc 12 96 Capita Group Plc 17 98 Dai Nippon Printing Co. Ltd. 17 273 Davis Service Group Plc 5 38 De La Rue Plc 4 26 Goodwill Group Inc. - 21 Group 4 Falck A/S 2 50 Hays Plc 46 102 IHC Caland NV 1 38 Intertek Group Plc 4 38 ISS A/S 1 57 Kamigumi Co. Ltd. 6 44 Kidde Plc 22 48 Nichii Gakkan Co. 1 23 Randstad Holdings NV 1 30 Rank Group Plc 15 83 Rentokil Initial Plc 49 128 Securicor Plc 15 36 Securitas AB (l) 8 97 Serco Group Plc 11 44 SGS Societe Generale Surveillance Holding SA - 58 TIS Inc. 1 39 Toppan Printing Co. Ltd. 15 170 Transurban Group 13 43 Vedior NV 5 66 2,535 Computers - 0.6% Atos Origin SA (b) 1 74 Cap Gemini SA (b) 3 129 Computershare Ltd. 10 23 Creative Technology Ltd. 1 14 CSK Corp. 2 86 Fujitsu Ltd. 45 316 Getronics NV (b) (l) 12 33 Indra Sistemas SA (l) 3 42 Itochu Techno-Science Corp. 1 38 LogicaCMG Plc 20 66 Logitech International SA (b) 1 51 Meitec Corp. 1 36 NET One Systems Co. Ltd. - 55 Obic Co. Ltd. - 43 TDK Corp. 3 243 Tietoenator Oyj 2 66 WM-Data AB 7 16 1,331 Cosmetics & Personal Care - 0.6% Aderans Co. Ltd. 1 15 Beiersdorf AG - 53 Kanebo Ltd. (b) (l) 7 6 Kao Corp. 14 337 L'Oreal SA 8 641 Shiseido Co. Ltd. 9 113 Uni-Charm Corp. 1 55 1,220 Distribution & Wholesale - 0.7% Cycle & Carriage Ltd. 4 14 Esprit Holdings Ltd. 19 83 Hagemeyer NV (b) 14 29 Inchcape Plc 2 67 Itochu Corp. (b) 36 162 Li & Fung Ltd. 40 58 Marubeni Corp. 33 81 Mitsubishi Corp. 29 283 Mitsui & Co. Ltd. 33 247 Nissho Iwai-Nichimen Holdings Corp. (b) (l) 5 23 Sumitomo Corp. 21 152 Wolseley Plc 15 237 1,436 Diversified Financial Services - 1.7% Acom Co. Ltd. 2 120 Aeon Credit Service Co. Ltd. (l) 1 41 Aiful Corp. 1 115 Amvescap Plc 19 128 Australian Stock Exchange Ltd. 3 32 Banca Fideuram SpA (l) 8 44 Cattles Plc 8 48 Close Brothers Group Plc 3 41 Credit Saison Co. Ltd. 4 105 D. Carnegie & Co. AB 1 13 Daiwa Securities Group Inc. 31 223 Deutsche Boerse AG 3 145 Euronext NV 2 69 Hitachi Capital Corp. 1 24 Hong Kong Exchanges and Clearing Ltd. 26 53 ICAP Plc 13 63 Irish Life & Permanent Plc 7 110 London Stock Exchange Plc 8 56 Macquarie Bank Ltd. 6 137 Man Group Plc 7 189 Mediobanca SpA 12 152 MLP AG 2 26 Nikko Cordial Corp. 39 189 Nomura Holdings Inc. 49 725 OM AB (b) 2 22 ORIX Corp. 2 241 Perpetual Trustees Australia Ltd. 1 29 Promise Co. Ltd. 2 153 Provident Financial Plc 7 73 Sampo Oyj - Class A 7 71 Schroders Plc 3 38 Singapore Exchange Ltd. 21 20 Takefuji Corp. (l) 2 128 Tower Ltd. (b) 8 9 3,632 Electric - 3.6% Chubu Electric Power Co. Inc. 17 368 CLP Holdings Ltd. 48 260 Contact Energy Ltd. 7 27 E.ON AG 16 1,182 Edison SpA (b) (l) 20 33 Electrabel SA 1 231 Electricidade de Portugal SA 46 129 Endesa SA (l) 25 483 Enel SpA (l) 64 512 Fortum Oyj 9 118 Hokkaido Electric Power Co. Inc. 5 84 Hong Kong Electric Holdings Ltd. 37 153 Iberdrola SA (l) 20 426 International Power Plc (b) 30 76 Kansai Electric Power Co. Inc. 19 346 Kyushu Electric Power Co. Inc. 11 198 National Grid Transco Plc 81 625 Public Power Corp. 3 62 RWE AG 11 528 Scottish & Southern Energy Plc 23 279 Scottish Power Plc 49 353 Tohoku Electric Power Co. Inc. 11 189 Tokyo Electric Power Co. Inc. 30 685 Union Fenosa SA (l) 6 123 Verbund-Oesterreichische Elektrizitaetswirtschafts AG - 26 7,496 Electrical Components & Equipment - 1.1% Bekaert SA - 20 Casio Computer Co. Ltd. 5 76 Fujikura Ltd. 9 51 Furukawa Electric Co. Ltd. (b) 14 60 Hitachi Cable Ltd. 4 19 Hitachi Ltd. 84 578 Johnson Electric Holdings Ltd. 41 41 Mitsubishi Electric Corp. 45 221 Sanyo Electric Co. Ltd. 39 160 Sharp Corp. 25 399 Stanley Electric Co. Ltd. 4 70 Sumitomo Electric Industries Ltd. 18 184 Toshiba Corp. 76 306 Ushio Inc. 3 54 Vestas Wind Systems A/S (b) (l) 4 63 2,302 Electronics - 1.7% Advantest Corp. 2 121 Alps Electric Co. Ltd. 4 57 Anritsu Corp. (l) 2 13 Barco NV - 30 Dainippon Screen Manufacturing Co. Ltd. (l) 5 30 Electrocomponents Plc 12 77 Epcos AG (b) 1 25 Fanuc Ltd. 4 227 Hirose Electric Co. Ltd. 1 88 Keyence Corp. 1 187 Koninklijke Philips Electronics NV 35 932 Kyocera Corp. 4 365 Mabuchi Motor Co. Ltd. (l) 1 51 Minebea Co. Ltd. 9 42 Mitsumi Electric Co. Ltd. 2 20 Murata Manufacturing Co. Ltd. 6 336 NEC Corp. 43 303 NGK Insulators Ltd. 7 57 Omron Corp. 6 129 Premier Farnell Plc 9 39 Secom Co. Ltd. 6 233 Taiyo Yuden Co. Ltd. (l) 3 42 Venture Corp. Ltd. 6 63 Yokogawa Electric Corp. 6 80 3,547 Engineering & Construction - 1.1% ABB Ltd. (b) 49 268 Acciona SA 1 47 ACS Actividades Cons y Serv 7 123 Amec Plc 8 39 Auckland International Airport Ltd. 7 31 BAA Plc 28 284 Balfour Beatty Plc 11 51 Bouygues SA 5 174 Cheung Kong Infrastructure Holdings Ltd. 12 29 COMSYS Holdings Corp. 3 24 Flughafen Wien AG - 15 Fomento de Construcciones Y Contratas SA (l) 1 45 Grupo Ferrovial SA 2 71 Hellenic Technodomiki Tev SA 1 5 JGC Corp. 5 48 Kajima Corp. 24 89 Kinden Corp. 3 19 Kobenhavns Lufthavne - 18 Leighton Holdings Ltd. (l) 3 20 Linde AG (l) 2 127 New World Development Co. Ltd. 59 43 Nishimatsu Construction Co. Ltd. 7 24 Obayashi Corp. 15 81 Okumura Corp. 5 26 SembCorp Industries Ltd. 29 23 Shimizu Corp. 13 59 Singapore Technologies Engineering Ltd. 35 42 Skanska AB (l) 10 86 Taisei Corp. 21 79 Takuma Co. Ltd. 2 14 Technical Olympic SA 2 10 Toda Corp. 5 20 VA Technologie AG (b) - 16 Vinci SA 2 191 2,241 Entertainment - 0.4% Aristocrat Leisure Ltd. 9 30 EMI Group Plc 20 90 Greek Organization of Football Prognostics SA 4 79 Hilton Group Plc 42 208 Oriental Land Co. Ltd. 1 85 TAB Ltd. 13 45 TABCORP Holdings Ltd. (l) 11 105 Toho Co. Ltd. 3 49 William Hill Plc 11 114 805 Environmental Control - 0.0% Kurita Water Industries Ltd. 3 40 Tomra Systems ASA (l) 4 19 Waste Management NZ Ltd. 2 7 66 Food - 4.9% Ajinomoto Co. Inc. 15 181 Ariake Japan Co. Ltd. (l) - 13 Axfood AB (l) 1 18 Cadbury Schweppes Plc 54 468 Carrefour SA 15 730 Casino Guichard-Perrachon SA 1 75 Colruyt SA - 58 Compass Group Plc 57 346 Danisco A/S 1 67 Delhaize Group (l) 2 92 Fyffes Plc 9 19 Greencore Group Plc 3 11 Groupe Danone 6 551 House Foods Corp. 2 25 J Sainsbury Plc (l) 41 211 Jeronimo Martins (b) (l) 1 14 Katokichi Co. Ltd. 1 24 Kerry Group Plc 4 77 Kesko Oyj (l) 2 34 Kikkoman Corp. 4 34 Koninklijke Ahold NV (b) 41 321 Meiji Dairies Corp. 6 33 Meiji Seika Kaisha Ltd. 8 36 Metro AG (l) 4 182 Nestle SA 11 2,829 Nichirei Corp. 7 25 Nippon Meat Packers Inc. 4 49 Nisshin Seifun Group Inc. 4 41 Nissin Food Products Co. Ltd. 2 59 Numico NV (b) 4 131 Orkla ASA (l) 5 124 Ostasiatiske Kompagni 1 23 QP Corp. 3 23 Snow Brand Milk Products Co. Ltd. (b) (l) 5 15 Sodexho Alliance SA 3 69 Suedzucker AG (l) 1 26 Tate & Lyle Plc 10 61 Tesco Plc 202 975 Toyo Suisan Kaisha Ltd. 2 26 Unilever NV 15 1,026 Unilever Plc 73 714 Woolworths Ltd. 27 213 Yakult Honsha Co. Ltd. (l) 3 43 Yamazaki Baking Co. Ltd. 3 29 10,121 Forest Products & Paper - 0.5% Billerud AB (l) 2 28 Carter Holt Harvey Ltd. 21 28 Holmen AB (l) 1 38 Mayr-Melnhof Karton AG - 18 Nippon Unipac Holding - 120 Norske Skogindustrier ASA (l) 3 46 OJI Paper Co. Ltd. 21 135 PaperlinX Ltd. 12 40 Stora Enso Oyj - Class R 16 223 Svenska Cellulosa AB (l) 5 194 UPM-Kymmene Oyj 14 263 1,133 Gas - 0.6% Australian Gas Light Co. Ltd. 12 101 Centrica Plc 112 457 Gas Natural SDG SA (l) 4 98 Hong Kong & China Gas Co. Ltd. 97 160 Ngc Holdings Ltd. 3 5 Osaka Gas Co. Ltd. 54 150 Snam Rete Gas SpA (l) 24 102 Tokyo Gas Co. Ltd. 67 238 1,311 Hand & Machine Tools - 0.5% Fuji Electric Co. Ltd. 12 32 KCI Konecranes Oyj - 14 KONE Corp. Oyj - Class B 1 61 Makita Corp. 3 45 Nidec Corp. 1 124 Sandvik AB (l) 6 199 Schindler Holding AG - 42 Schneider Electric SA 6 377 SMC Corp. 1 151 Techtronic Industries Co. (b) 20 32 THK Co. Ltd. 3 47 1,124 Healthcare - 0.8% Capio AB (b) 2 17 Cie Generale D'Optique Essilor International SA 3 164 Cochlear Ltd. 1 23 Coloplast A/S - 33 Elekta AB - Class B (b) (l) 1 15 Fisher & Paykel Healthcare Corp. 2 20 Fresenius Medical Care AG (l) 1 65 Gambro AB (l) 8 73 Getinge AB 4 47 Hoya Corp. 3 305 Luxottica Group SpA (l) 4 58 Nobel Biocare Holding AG 1 86 Nobel Biocare Holding AG - 16 Parkway Holdings Ltd. 10 7 Phonak Holding AG 1 31 Smith & Nephew Plc 25 264 SSL International Plc 4 22 Strauman Holding AG - 39 Synthes Inc. 1 142 Terumo Corp. 5 113 William Demant Holding A/S (b) 1 26 1,566 Holding Companies - Diversified - 0.7% DCC Plc 2 40 Groupe Bruxelles Lambert SA 2 115 Haw Par Corp. Ltd. 3 10 Hutchison Whampoa Ltd. 56 382 Keppel Corp. Ltd. 14 56 LVMH Moet Hennessy Louis Vuitton SA (l) 6 465 Patrick Corp. Ltd. 13 48 Swire Pacific Ltd. 25 159 Tomkins Plc 21 106 Viohalco 3 19 Wharf Holdings Ltd. 32 92 1,492 Home Builders - 0.4% Barratt Developments Plc 7 71 Bellway Plc 3 37 Berkeley Group Plc 3 62 Daiwa House Industry Co. Ltd. 13 151 George Wimpey Plc 10 69 Persimmon Plc 7 79 Sekisui Chemical Co. Ltd. 11 93 Sekisui House Ltd. (l) 13 144 Taylor Woodrow Plc 16 74 780 Home Furnishings - 1.1% Bang & Olufsen A/S - 18 Electrolux AB - Series B (l) 8 144 Fisher & Paykel Appliances Holdings Ltd. 7 21 Matsushita Electric Industrial Co. Ltd. 58 826 MFI Furniture Group Plc 16 44 Pioneer Corp. 4 103 SONY Corp. 24 919 Thomson 6 121 Yamaha Corp. 4 69 2,265 Household Products - 0.4% Henkel KGaA 2 136 Pacific Brands Ltd. (b) 12 23 Reckitt Benckiser Plc 16 446 Societe BIC SA 1 39 Toto Ltd. 8 84 Waterford Wedgwood Plc (b) 28 6 734 Insurance - 4.6% Aegon NV 36 432 Alleanza Assicurazioni SpA (l) 13 143 Allianz AG 8 878 AMP Ltd. 49 214 Assicurazioni Generali SpA (l) 25 679 Aviva Plc 59 612 AXA 35 773 AXA Asia Pacific Holdings Ltd. 17 39 CNP Assurances 1 54 Corporacion Mapfre SA 3 37 Friends Provident Plc 46 123 ING Groep NV 46 1,088 Insurance Australia Group Ltd. 43 150 Legal & General Group Plc 171 295 Mediolanum SpA (l) 7 43 Millea Holdings Inc. - 579 Mitsui Sumitomo Insurance Co. Ltd. 33 310 Muenchener Rueckversicherungs AG 5 489 Pohjola Group Plc - Class D 2 21 Prudential Plc 53 454 QBE Insurance Group Ltd. 18 159 Riunione Adriatica di Sicurta SpA 8 147 Royal & Sun Alliance Insurance Group Plc 76 113 Skandia Forsakrings AB (l) 27 111 Sompo Japan Insurance Inc. 19 194 Storebrand ASA (l) 6 39 Swiss Reinsurance 8 550 T&D Holdings Ltd. (b) 4 210 Topdanmark A/S (b) 1 30 Zurich Financial Services AG (b) 4 601 9,567 Internet - 0.3% Rakuten Inc. (l) - 76 Softbank Corp. 6 264 Trend Micro Inc. 3 111 Yahoo Japan Corp. (b) (l) - 243 694 Investment Companies - 0.1% Independent Newspapers Ltd. 3 10 Macquarie Infrastructure Group 51 117 127 Iron & Steel - 0.8% Acerinox SA (l) 1 68 Arcelor 11 177 BHP Steel Ltd. 20 92 Boehler-Uddeholm AG - 20 Corus Group Plc (b) 104 75 JFE Holdings Inc. 14 340 Kobe Steel Ltd. 63 94 Nippon Steel Corp. 161 338 Nisshin Steel Co. Ltd. 18 36 OneSteel Ltd. 14 24 Rautaruukki Oyj 3 21 Ssab Svenskt Stal AB (l) 2 28 Ssab Svenskt Stal AB (l) 1 10 Sumitomo Metal Industries Ltd. 95 112 ThyssenKrupp AG 8 142 Voestalpine AG (l) 1 35 1,612 Leisure Time - 0.3% Amer Group Ltd. (l) 1 34 Carnival Plc 4 216 Kuoni Reisen Holding AG - 29 Namco Ltd. 1 25 Sammy Corp. (l) 1 43 Sankyo Co. Ltd. 1 49 Shimano Inc. 2 45 TUI AG 3 65 Yamaha Motor Co. Ltd. 4 62 568 Lodging - 0.2% Accor SA 5 211 Hyatt Regency SA 1 10 InterContinental Hotels Group Plc 19 204 NH Hoteles SA 2 21 Overseas Union Enterprise Ltd. 1 4 Shangri-La Asia Ltd. (l) 30 29 Sky City Entertainment Group Ltd. 12 38 517 Machinery - 0.5% Alstom (b) 24 27 Amada Co. Ltd. 8 53 Atlas Copco AB (l) 3 111 Atlas Copco AB (l) 2 62 Ebara Corp. 6 29 Hitachi Construction Machinery Co. Ltd. (l) 3 36 Komatsu Ltd. 25 151 Komori Corp. 1 17 Kubota Corp. 28 148 MAN AG (l) 3 98 Metso Oyj 3 36 Rieter Holding AG - 35 Sumitomo Heavy Industries Ltd. (b) 14 44 Toyota Industries Corp. 5 120 967 Manufacturing - 1.7% AGFA-Gevaert NV 2 57 Alfa Laval AB (l) 2 32 Amano Corp. 2 18 Ansell Ltd. 4 23 BBA Group Plc 11 57 Cookson Group Plc (b) 46 35 FKI Plc 17 37 Fuji Photo Film Co. Ltd. 12 376 Futuris Corp. Ltd. 11 12 IMI Plc 10 66 Invensys Plc (b) 157 51 Ishikawajima-Harima Heavy Industries Co. Ltd. (b) 28 46 Kawasaki Heavy Industries Ltd. 34 55 Konica Corp. 11 152 Mitsubishi Heavy Industries Ltd. 75 203 Nikon Corp. 7 79 NKT Holding A/S - 6 Novar Plc 13 28 Olympus Optical Co. Ltd. 6 113 Orica Ltd. 7 78 RHI AG (b) - 9 Siemens AG 21 1,515 Smiths Group Plc 15 199 Sulzer AG - 25 Trelleborg AB (l) 2 35 Uponor Oyj 1 28 Wartsila Oyj 1 20 Wesfarmers Ltd. 10 203 3,558 Media - 2.2% Amoldo Mondadori Editore SpA (l) 3 27 Antena 3 Television SA (b) (l) 1 34 British Sky Broadcasting Plc 33 374 Daily Mail & General Trust 8 109 EMAP Plc 7 94 Eniro AB (l) 4 33 Fuji Television Network Inc. - 14 Gruppo Editoriale L'Espresso SpA (l) 5 30 Independent News & Media Plc 15 36 ITV Plc 109 229 John Fairfax Holdings Ltd. 22 58 Lagardere S.C.A. 3 204 Mediaset SpA (l) 16 177 Modern Times Group AB (b) 2 29 News Corp. Ltd. 36 317 Pearson Plc 21 257 Promotora de Informaciones SA (Prisa) 2 37 ProSieben Sat.1 Media AG (l) 2 40 Publishing & Broadcasting Ltd. 4 32 Reed Elsevier NV 18 259 Reed Elsevier Plc 33 324 Reuters Group Plc 38 252 Schibsted ASA 1 22 SCMP Group Ltd. 20 8 Seat Pagine Gialle SpA (b) 98 41 Seat-Pagine Gialle SpA (b) (l) 30 12 Singapore Press Holdings Ltd. 41 100 Sky Network Television Ltd. (b) 2 8 Societe Television Francaise 1 (l) 3 95 Sogecable SA (b) (l) 1 36 Television Broadcasts Ltd. 8 34 Tokyo Broadcasting System Inc. 1 16 Trinity Mirror Plc 8 91 United Business Media Plc 9 82 Vivendi Universal SA (b) 27 743 VNU NV 6 183 Wolters Kluwer NV 7 129 Yell Group Plc 19 116 4,682 Metal Fabrication & Hardware - 0.2% Assa Abloy AB - Class B (l) 8 103 Hoganas AB (l) 1 17 NSK Ltd. 11 55 NTN Corp. 11 56 SKF AB (l) 2 90 321 Mining - 1.4% Alumina Ltd. 30 109 BHP Billiton Ltd. 99 862 BHP Billiton Plc 65 563 Dowa Mining Co. Ltd. 7 42 Iluka Resources Ltd. 6 19 Mitsubishi Materials Corp. 24 54 Mitsui Mining & Smelting Co. Ltd. 14 65 Newcrest Mining Ltd. 9 83 Nippon Light Metal Co. Ltd. 10 24 Outokumpu Oyj (l) 2 38 Rio Tinto Ltd. (l) 8 205 Rio Tinto Plc 28 674 Sumitomo Metal Mining Co. Ltd. 13 85 Umicore 1 41 WMC Resources Ltd. 31 106 2,970 Office & Business Equipment - 0.8% Canon Inc. (l) 22 1,158 OCE NV 2 36 Ricoh Co. Ltd. 18 383 Seiko Epson Corp. 3 95 1,672 Office Furnishings - 0.0% Kokuyo Co. Ltd. 2 26 Oil & Gas Producers - 7.9% BG Group Plc 93 572 BP Plc 580 5,120 ENI-Ente Nazionale Idrocarburi SpA (l) 68 1,359 Hellenic Petroleum SA 3 22 Lundin Petroleum AB (b) 4 21 Nippon Mining Holdings Inc. 16 79 Nippon Oil Corp. 34 214 Norsk Hydro ASA (l) 4 248 OMV AG - 68 Origin Energy Ltd. 18 71 Repsol YPF SA (l) 24 526 Royal Dutch Petroleum Co. - NYS 55 2,811 Santos Ltd. 16 76 Shell Transport & Trading Co. Plc 254 1,866 Showa Shell Sekiyu KK (l) 4 37 Statoil ASA (l) 12 147 Teikoku Oil Co. Ltd. (l) 5 27 TonenGeneral Sekiyu KK (l) 8 69 Total Fina Elf SA 15 2,923 Woodside Petroleum Ltd. 12 144 16,400 Oil & Gas Services - 0.0% Aker Kvaerner ASA (b) (l) 1 8 Petroleum Geo-Services ASA (b) - 16 Smedvig ASA - Class A 1 7 Technip-Coflexip SA - 67 98 Packaging & Containers - 0.1% Amcor Ltd. 23 110 Rexam Plc 14 117 Toyo Seikan Kaisha Ltd. 4 69 296 Pharmaceuticals - 7.6% Alfresa Holdings Corp. (l) 1 28 Alliance Unichem Plc 7 79 Altana AG (l) 2 110 AstraZeneca Plc 44 1,984 Aventis SA (l) 18 1,358 Celesio AG 1 50 Celltech Group Plc (b) 8 76 Chugai Pharmaceutical Co. Ltd. (l) 7 114 CSL Ltd. 5 78 Daiichi Pharmaceutical Co. Ltd. 7 116 Eisai Co. Ltd. (l) 7 193 Elan Corp. Plc (b) 10 250 Fujisawa Pharmaceutical Co. Ltd. 8 178 GlaxoSmithKline Plc 156 3,160 H Lundbeck A/S (l) 2 44 Kaken Pharmaceutical Co. Ltd. (l) 2 12 Kuraya Sanseido Inc. (l) 2 32 Kyowa Hakko Kogyo Co. Ltd. 9 65 Mayne Group Ltd. 16 38 Merck KGaA 1 78 Novartis AG 63 2,762 Novo-Nordisk A/S 7 345 Omega Pharma SA 1 31 Orion-Yhtymae Oy 1 26 Roche Holding AG Genusschein 18 1,831 Sankyo Co. Ltd. 10 212 Sanofi-Synthelabo SA (l) 10 613 Schering AG 5 273 Serono SA - Class B - 106 Shionogi & Co. Ltd. 8 138 Suzuken Co. Ltd. 1 39 Taisho Pharmaceutical Co. Ltd. 4 89 Takeda Chemical Industries Ltd. 23 1,027 UCB SA 2 104 Yamanouchi Pharmaceutical Co. Ltd. 8 272 15,911 Real Estate - 1.9% Allgreen Properties Ltd. 11 6 Ascendas Real Estate Investment Trust 12 10 British Land Co. Plc 13 163 CapitaLand Ltd. 24 19 CapitaMall Trust 13 13 Castellum AB (l) 1 29 Centro Properties Group 16 45 CFS Gandel Retail Trust 33 32 Cheung Kong Holdings Ltd. 40 295 City Developments Ltd. 12 38 Cofinimmo SA - 14 Commonwealth Property Office Fund 40 32 Corio NV (b) (l) 1 49 Daito Trust Construction Co. Ltd. 2 89 Deutsche Office Trust 35 28 Drott AB (b) (l) 1 12 Gecina SA 1 57 General Property Trust 55 133 Great Portland Estates Plc 4 19 Hammerson Plc 7 90 Hang Lung Properties Ltd. (l) 33 43 Henderson Land Development Co. Ltd. 20 86 Hopewell Holdings 17 34 Hysan Development Co. Ltd. 14 21 Immofinanz Immobilien Anlagen AG (b) 7 55 ING Industrial Fund 16 20 Investa Property Group 35 48 Japan Real Estate Investment Corp. (l) - 42 Japan Retail Fund Investment Corp. - 35 Keppel Land Ltd. 9 8 Kerry Properties Ltd. 12 17 Klepierre 1 41 Land Securities Group Plc 12 258 Lend Lease Corp. Ltd. 10 73 Leopalace21 Corp. 3 50 Liberty International Plc 6 86 Macquarie Goodman Industrial Trust 45 52 Metrovacesa SA (l) 1 34 Mirvac Group 20 59 Mitsubishi Estate Co. Ltd. 26 322 Mitsui Fudosan Co. Ltd. 18 215 Nippon Building Fund Inc. (l) - 43 Rodamco Europe NV (b) 1 70 Sacyr Vallehermoso SA 3 37 Singapore Land Ltd. 2 5 Sino Land Co. 24 13 Slough Estates Plc 11 88 Stockland 32 116 Sumitomo Realty & Development Co. Ltd. 10 124 Sun Hung Kai Properties Ltd. 35 287 Tokyu Land Corp. 8 26 Unibail Holding 1 122 United Overseas Land Ltd. 12 16 Wereldhave NV (b) 1 41 Westfield Holdings Ltd. 10 112 Westfield Trust (l) 55 170 Wihlborgs Fastigheter AB 1 14 Wing Tai Holdings Ltd. 14 7 4,063 Retail - 2.9% Aeon Co. Ltd. 7 265 Aoyama Trading Co. Ltd. 2 41 Autobacs Seven Co. Ltd. (l) 1 26 Autogrill SpA (b) 3 43 Boots Group Plc 21 257 Bulgari SpA (l) 4 37 C&S Co. Ltd. (l) 1 26 Citizen Watch Co. Ltd. (l) 7 79 Coles Myer Ltd. 29 172 Compagnie Financiere Richemont AG - Class A 14 361 Daimaru Inc. (l) 5 46 D'ieteren NV - 16 Dixons Group Plc 52 155 Douglas Holding AG 1 29 Enterprise Inns Plc 9 97 FamilyMart Co. Ltd. (l) 2 52 Fast Retailing Co. Ltd. (l) 1 113 Folli - Follie SA - 10 Germanos SA 1 17 Giordano International Ltd. 34 21 Grafton Group Plc (b) 5 42 GUS Plc 27 409 Hankyu Department Stores Inc. 3 26 Harvey Norman Holdings Ltd. 12 23 Hellenic Duty Free Shops SA 1 10 Hennes & Mauritz AB - Class B (l) 13 324 HMV Group Plc 9 40 ID (l) 4 51 Inditex SA (l) 6 128 Isetan Co. Ltd. 5 68 Ito-Yokado Co. Ltd. (l) 9 385 KarstadtQuelle AG 1 15 Kesa Electricals Plc 14 75 Kingfisher Plc 61 318 Koninklijke Vendex KBB NV 2 45 Lawson Inc. (l) 2 66 Marks & Spencer Group Plc 59 390 Marui Co. Ltd. 8 110 Matsumotokiyoshi Co. Ltd. 1 30 Mitchells & Butlers Plc 14 73 Mitsukoshi Ltd. (l) 10 56 Next Plc 7 180 Nitori Co. Ltd. - 25 Pinault-Printemps-Redoute SA 2 184 Punch Taverns Plc 7 64 Ryohin Keikaku Co. Ltd. 1 31 Saizeriya Co. Ltd. (l) 1 7 Seven-Eleven Japan Co. Ltd. (l) 10 326 Shimachu Co. Ltd. (l) 1 35 Shimamura Co. Ltd. (l) 1 43 Signet Group Plc 44 91 Skylark Co. Ltd. (l) 2 34 Sonae SGPS SA 22 24 Swatch Group AG 2 47 Swatch Group AG - Class B 1 116 Takashimaya Co. Ltd. (l) 7 81 USS Co. Ltd. 1 52 Valora Holding AG - 22 Warehouse Group Ltd. 3 7 Whitbread Plc 8 118 Yamada Denki Co. Ltd. 2 75 6,109 Semiconductors - 0.8% ARM Holdings Plc 25 55 ASM Pacific Technology (l) 5 17 ASML Holding NV (b) 13 215 Chartered Semiconductor Manufacturing Ltd. (b) (l) 23 19 Infineon Technologies AG (b) 17 224 Micronas Semiconductor Holdings (b) 1 36 NEC Electronics Corp. (l) 1 61 Rohm Co. Ltd. 3 335 Sanken Electric Co. Ltd. 3 39 ST Assembly Test Services Ltd. (b) (l) 7 6 STMicroelectronics NV 15 337 Tokyo Electron Ltd. 5 252 Unaxis Holding AG - 30 1,626 Shipbuilding - 0.0% Mitsui Engineering & Shipbuilding Co. Ltd. 19 33 SembCorp Marine Ltd. 7 4 37 Software - 0.7% Business Objects SA (b) 2 38 Capcom Co. Ltd. 1 13 Dassault Systemes SA 2 74 Fuji Soft ABC Inc. 1 28 Hitachi Software Engineering Co. Ltd. 1 14 Konami Corp. 2 53 Misys Plc 14 51 Nomura Research Institute Ltd. 1 64 Oracle Corp. Japan 1 44 Sage Group Plc 33 112 SAP AG (l) 5 899 1,390 Storage/Warehousing - 0.0% Mitsubishi Logistics Corp. 3 28 Telecommunications - 4.3% Belgacom SA (b) 4 120 BT Group Plc 227 815 Cable & Wireless Plc (b) 63 149 Deutsche Telekom AG (b) 66 1,165 Eircom Group Plc (b) 12 21 Elisa Communications Oyj - Class A (b) 3 46 France Telecom SA 29 765 Hellenic Telecommunications Organization SA 7 90 Nippon Telegraph & Telephone Corp. - 743 PCCW Ltd. (b) 90 61 Portugal Telecom SGPS SA 23 249 PT-Multimedia - Servicos de Telecomunicacoes e Multimedia SGPS SA (l) 1 24 Royal KPN NV (l) 52 399 Singapore Telecommunications Ltd. 164 214 Swisscom AG 1 230 TDC A/S 4 114 Tele2 AB - Class B (l) 2 105 Telecom Corp. (l) 50 188 Telecom Italia SpA 369 1,011 Telefonica SA (l) 124 1,830 Telekom Austria AG 7 113 Telenor ASA (l) 22 151 TeliaSonera AB (l) 49 209 Telstra Corp. Ltd. 56 198 Tiscali SpA (b) (l) 6 26 9,037 Telecommunications Equipment - 1.8% Alcatel SA (b) 32 495 Datacraft Asia Ltd. (b) 5 5 GN Store Nord 5 48 Intracom SA 3 12 Kudelski SA (b) 1 21 Marconi Corp. Plc (b) 6 69 Nokia Oyj 126 1,820 NTT Data Corp. - 106 Oki Electric Industry Co. Ltd. (b) 13 52 Tandberg ASA (l) 4 38 Telefonaktiebolaget LM Ericsson (b) 387 1,140 3,806 Textiles - 0.2% Kuraray Co. Ltd. 10 82 Mitsubishi Rayon Co. Ltd. 12 47 Nisshinbo Industries Inc. 4 30 Teijin Ltd. 20 75 Texwinca Holdings Ltd. 16 13 Toray Industries Inc. 31 145 Toyobo Co. Ltd. 16 40 432 Tobacco - 0.7% Altadis SA (l) 7 223 British American Tobacco Plc 41 632 Imperial Tobacco Group Plc 19 412 Japan Tobacco Inc. - 187 Swedish Match AB (l) 9 93 1,547 Toys & Hobbies - 0.2% Bandai Co. Ltd. (l) 2 49 Nintendo Co. Ltd. 3 301 Sega Corp. (b) (l) 3 32 382 Transportation - 1.7% Amadeus Global Travel Distribution SA (l) 8 55 Arriva Plc 5 35 Associated British Ports Holdings Plc 9 66 Central Japan Railway Co. - 230 ComfortDelGro Corp. Ltd. 51 36 Compagnie Maritime Belge SA - 8 Dampskibsselskabet Svendborg - 199 Deutsche Post AG 12 252 DSV De Sammensluttede Vognmaend af 1 24 East Japan Railway Co. - 499 Exel Plc 8 105 Firstgroup Plc 10 53 Frontline Ltd. (l) 1 38 Kawasaki Kisen Kaisha Ltd. (l) 12 61 Keihin Electric Express Railway Co. Ltd. (l) 10 63 Keio Electric Railway Co. Ltd. 14 80 Kinki Nippon Railway Co. Ltd. 40 152 Mitsui O.S.K. Lines Ltd. 24 126 MTR Corp. 35 52 National Express Group Plc 3 40 Neptune Orient Lines Ltd. 30 41 Nippon Express Co. Ltd. 21 123 Nippon Yusen Kabushiki Kaisha 24 111 Odakyu Electric Railway Co. Ltd. 17 92 Orient Overseas International Ltd. 5 15 Peninsular and Oriental Steam Navigation Co. 20 79 Seino Transportation Co. Ltd. 3 31 SembCorp Logistics Ltd. 5 5 Ship Finance International Ltd. - 4 Singapore Post Ltd. 42 21 SMRT Corp. Ltd. 14 6 Stagecoach Group Plc 27 45 Tobu Railway Co. Ltd. 20 88 Tokyu Corp. 25 128 Toll Holdings Ltd. 6 44 TPG NV (l) 8 189 West Japan Railway Co. - 181 Yamato Transport Co. Ltd. 11 180 3,557 Venture Capital - 0.1% 3i Group Plc 16 179 Jafco Co. Ltd. 1 53 232 Water - 0.5% Kelda Group Plc 10 91 Severn Trent Plc 9 127 Sociedad General de Aguas de Barcelona SA (l) 1 25 Suez SA 21 440 United Utilities Plc 23 186 Veolia Environnement 8 212 1,081 Wireless Telecommunications - 2.7% Cosmote Mobile Telecommunications SA 3 51 Mobistar SA (b) 1 42 NTT DoCoMo Inc. 1 944 SmarTone Telecommunications Holding Ltd. 7 8 TIM SpA (l) 100 566 Uniden Corp. 2 43 Vodafone Group Plc 1,780 3,899 5,553 Total Common Stocks (cost $187,504) 204,928 Preferred Stocks - 0.4% Auto Manufacturers - 0.1% Porsche AG - 143 Volkswagen AG (l) 3 77 220 Healthcare - 0.0% Fresenius Medical Care AG (l) 1 37 Media - 0.3% News Corp. Ltd. 71 581 Total Preferred Stocks (cost $754) 838 Rights - 0.0% Jeronimo Martins - Rights, 07/09/04 - - Total Rights (cost $0) - Warrants - 0.0% Commercial Services - 0.0% Hopewell Highway Infrastructure, Strike Price 4.18 HKD, Expiring 08/05/06 1 - Total Warrants (cost $0) - Short Term Investments - 5.7% Money Market Funds - 5.4% Dreyfus Cash Management Plus, 1.14% (a) (n) 10,448 10,448 Dreyfus Government Cash Management, 0.96% (a) (n) 794 794 11,242 U.S. Treasury Bills - 0.3% U.S. Treasury Bill, 1.23%, 09/30/04 (m) $650 648 Total Short Term Investments (cost $11,890) 11,890 Total Investments - 104.3% (cost $200,148) 217,656 Other Assets and Liabilities, Net - (4.3%) (8,908) Total Net Assets - 100% $208,748 JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Common Stocks - 96.0% Advertising - 0.3% Catalina Marketing Corp. (b) 7 $131 Harte-Hanks Inc. 12 285 416 Aerospace & Defense - 1.1% Alliant Techsystems Inc. (b) 5 323 L-3 Communications Holdings Inc. (l) 14 949 Sequa Corp. - Class A (b) 1 80 Titan Corp. (b) 11 144 1,496 Airlines - 0.4% Airtran Holdings Inc. (b) 10 143 Alaska Air Group Inc. (b) (l) 3 82 JetBlue Airways Corp. (b) 14 401 626 Apparel - 1.0% Coach Inc. (b) 25 1,139 Timberland Co. - Class A (b) 5 297 1,436 Auto Parts & Equipment - 1.0% ArvinMeritor Inc. 9 178 Bandag Inc. 3 113 BorgWarner Inc. 7 327 Lear Corp. 9 544 Modine Manufacturing Co. 5 150 Superior Industries International Inc. (l) 4 118 1,430 Banks - 5.6% Associated Banc-Corp. 15 437 Bank of Hawaii Corp. 7 325 Banknorth Group Inc. 23 748 City National Corp. 6 423 Colonial BancGroup Inc. 17 310 Commerce Bancorp. Inc. (l) 10 576 Compass Bancshares Inc. 16 704 Cullen/Frost Bankers Inc. 7 304 FirstMerit Corp. 11 299 Greater Bay Bancorp. 7 203 Hibernia Corp. 21 504 Investors Financial Services Corp. 9 384 Mercantile Bankshares Corp. 11 497 National Commerce Financial Corp. 27 887 Silicon Valley Bancshares (b) 5 184 TCF Financial Corp. 9 541 Westamerica Bancorp. 4 226 Wilmington Trust Corp. 9 330 7,882 Beverages - 0.7% Constellation Brands Inc. - Class A (b) 14 532 PepsiAmericas Inc. (l) 18 390 922 Biotechnology - 0.9% Charles River Laboratories International Inc. (b) 6 295 Millennium Pharmaceuticals Inc. (b) 41 563 Protein Design Labs Inc. (b) 12 237 Vertex Pharmaceuticals Inc. (b) 10 113 1,208 Building Materials - 0.4% Martin Marietta Materials Inc. 6 285 York International Corp. 6 231 516 Chemicals - 2.5% Airgas Inc. 10 241 Albemarle Corp. 5 172 Cabot Corp. 8 341 Cabot Microelectronics Corp. (b) 3 99 Crompton Corp. 16 99 Cytec Industries Inc. 5 233 Ferro Corp. 5 145 FMC Corp. (b) 5 211 IMC Global Inc. (l) 16 212 Lubrizol Corp. 7 255 Lyondell Chemical Co. (l) 24 415 Minerals Technologies Inc. 3 159 Olin Corp. 9 162 RPM International Inc. 16 238 Sensient Technologies Corp. 6 134 Valspar Corp. 7 347 3,463 Commercial Services - 4.3% Alliance Data Systems Corp. (b) 10 423 Banta Corp. 3 144 Career Education Corp. (b) 14 618 ChoicePoint Inc. (b) 12 539 Corinthian Colleges Inc. (b) 12 300 DeVry Inc. (b) 9 259 Education Management Corp. (b) 10 324 First Health Group Corp. (b) 12 193 Gartner Inc. (b) 18 235 ITT Educational Services Inc. (b) 6 228 Kelly Services Inc. - Class A 5 137 Korn/Ferry International (b) 5 95 Laureate Education Inc. (b) 6 235 Manpower Inc. 12 611 MPS Group Inc. (b) 14 174 Quanta Services Inc. (b) 15 95 Rent-A-Center Inc. (b) 11 318 Rollins Inc. 6 138 Sotheby's Holdings Inc. - Class A (b) 9 137 United Rentals Inc. (b) 10 182 Valassis Communications Inc. (b) 7 211 Viad Corp. (b) 12 321 5,917 Computers - 3.9% BISYS Group Inc. (b) 16 222 Cadence Design Systems Inc. (b) (l) 37 536 Ceridian Corp. (b) 20 442 Cognizant Technology Solutions Corp. (b) 17 440 Diebold Inc. 10 506 DST Systems Inc. (b) (l) 11 541 Imation Corp. 5 201 Jack Henry & Associates Inc. 12 245 McData Corp. (b) 16 85 Mentor Graphics Corp. (b) 10 148 National Instruments Corp. 11 324 Quantum Corp. (b) 24 73 Reynolds & Reynolds Co. 9 203 Sandisk Corp. (b) 22 470 Storage Technology Corp. (b) 15 435 Synopsys Inc. (b) 21 585 5,456 Distribution & Wholesale - 1.1% CDW Corp. 11 710 Fastenal Co. (l) 10 578 Tech Data Corp. (b) 8 303 1,591 Diversified Financial Services - 2.1% A.G. Edwards Inc. 11 365 AmeriCredit Corp. (b) (l) 21 411 Eaton Vance Corp. 9 342 IndyMac Bancorp. Inc. 8 254 Jefferies Group Inc. 7 226 LaBranche & Co. Inc. (l) 8 63 Legg Mason Inc. (l) 9 809 Raymond James Financial Inc. 10 255 Waddell & Reed Financial Inc. - Class A 11 247 2,972 Electric - 4.8% Allete Inc. 12 395 Alliant Energy Corp. 15 389 Aquila Inc. (b) 27 96 Black Hills Corp. 4 139 DPL Inc. 17 329 Duquesne Light Holdings Inc. (l) 10 199 Energy East Corp. 20 476 Great Plains Energy Inc. (l) 10 290 Hawaiian Electric Industries Inc. (l) 11 280 Idacorp Inc. 5 142 MDU Resources Group Inc. 16 376 Northeast Utilities 17 334 NSTAR 7 340 OGE Energy Corp. 12 300 Pepco Holdings Inc. (l) 23 421 PNM Resources Inc. 8 171 Puget Energy Inc. 13 285 SCANA Corp. (l) 15 539 Sierra Pacific Resources (b) (l) 16 120 Westar Energy Inc. 12 230 Wisconsin Energy Corp. 16 517 WPS Resources Corp. 5 231 6,599 Electrical Components & Equipment - 0.8% Ametek Inc. 9 280 Energizer Holdings Inc. (b) 11 493 Hubbell Inc. - Class B 8 378 1,151 Electronics - 1.4% Arrow Electronics Inc. (b) 15 414 Avnet Inc. (b) 16 367 Gentex Corp. 10 411 Kemet Corp. (b) 11 138 Plexus Corp. (b) 6 80 Varian Inc. (b) 5 195 Vishay Intertechnology Inc. (b) 22 400 2,005 Engineering & Construction - 0.4% Dycom Industries Inc. (b) 6 178 Granite Construction Inc. 6 105 Jacobs Engineering Group Inc. (b) 8 296 579 Entertainment - 0.7% GTECH Holdings Corp. (l) 8 367 International Speedway Corp. - Class A 7 351 Macrovision Corp. (b) 6 161 Six Flags Inc. (b) 13 94 973 Environmental Control - 0.6% Republic Services Inc. 21 600 Stericycle Inc. (b) 6 303 903 Food - 3.1% Dean Foods Co. (b) 21 784 Hormel Foods Corp. 19 577 Interstate Bakeries 6 69 JM Smucker Co. 8 362 Ruddick Corp. 6 143 Smithfield Foods Inc. (b) 15 436 Tootsie Roll Industries Inc. 7 228 Tyson Foods Inc. 47 987 Whole Foods Market Inc. 8 785 4,371 Forest Products & Paper - 0.7% Bowater Inc. (l) 7 309 Longview Fibre Co. (b) 7 101 P.H. Glatfelter Co. 6 78 Potlatch Corp. 4 168 Rayonier Inc. 7 294 950 Gas - 0.7% AGL Resources Inc. 9 247 Oneok Inc. 14 302 Vectren Corp. 10 250 WGL Holdings Inc. 7 190 989 Hand & Machine Tools - 0.2% Kennametal Inc. 5 227 Healthcare - 7.0% Apogent Technologies Inc. (b) 12 384 Apria Healthcare Group Inc. (b) 7 195 Beckman Coulter Inc. 8 506 Community Health Systems Inc. (b) 13 354 Covance Inc. (b) 8 326 Coventry Health Care Inc. (b) 12 580 Cytyc Corp. (b) 15 376 Dentsply International Inc. 11 561 Edwards Lifesciences Corp. (b) (l) 8 278 Health Net Inc. (b) 15 396 Henry Schein Inc. (b) 6 376 Hillenbrand Industries Inc. 8 501 Inamed Corp. (b) 5 295 LifePoint Hospitals Inc. (b) 5 192 Lincare Holdings Inc. (b) 13 437 Oxford Health Plans 11 596 Pacificare Health Systems Inc. (b) 12 447 Patterson Dental Co. (b) 9 702 Renal Care Group Inc. (b) 9 297 Steris Corp. (b) 9 207 Triad Hospitals Inc. (b) 10 380 Universal Health Services Inc. (l) 8 356 Varian Medical Systems Inc. (b) 9 727 VISX Inc. (b) 6 170 9,639 Holding Companies - Diversified - 0.3% Leucadia National Corp. 10 472 Home Builders - 2.2% DR Horton Inc. 31 886 Hovnanian Enterprises Inc. - Class A (b) 8 286 Lennar Corp. (l) 21 933 Ryland Group Inc. 3 250 Thor Industries Inc. 8 253 Toll Brothers Inc. (b) 10 420 3,028 Home Furnishings - 0.7% Furniture Brands International Inc. 7 184 Harman International Industries Inc. 9 803 987 Household Products - 0.8% American Greetings Corp. - Class A (b) 9 206 Blyth Inc. 6 215 Church & Dwight Co. Inc. 5 245 Scotts Co. - Class A (b) 4 282 Tupperware Corp. 8 152 1,100 Insurance - 5.2% Allmerica Financial Corp. (b) 7 243 American Financial Group Inc. 10 294 AmerUs Group Co. 5 221 Arthur J. Gallagher & Co. 12 370 Brown & Brown Inc. 9 397 Everest Re Group Ltd. 7 598 Fidelity National Financial Inc. 23 859 First American Corp. 12 302 HCC Insurance Holdings Inc. 9 290 Horace Mann Educators Corp. 6 103 Mony Group Inc. 7 206 Ohio Casualty Corp. (b) 8 163 Old Republic International Corp. 24 578 PMI Group Inc. 13 557 Protective Life Corp. 9 357 Radian Group Inc. 13 601 Stancorp Financial Group Inc. 4 251 Unitrin Inc. 9 388 W.R. Berkley Corp. 11 483 7,261 Internet - 1.0% Avocent Corp. (b) 7 244 CheckFree Corp. (b) 11 333 Macromedia Inc. (b) 9 230 Network Associates Inc. (b) 22 401 RSA Security Inc. (b) (l) 8 171 1,379 Leisure Time - 0.1% Callaway Golf Co. (l) 10 114 Lodging - 1.1% Boyd Gaming Corp. 9 240 Caesars Entertainment Inc. (b) 41 617 Mandalay Resort Group 9 618 1,475 Machinery - 1.1% AGCO Corp. (b) 12 249 Flowserve Corp. (b) 7 180 Graco Inc. 9 290 Nordson Corp. 5 211 Tecumseh Products Co. 2 102 Zebra Technologies Corp. (b) 6 555 1,587 Manufacturing - 2.0% Brink's Co. 8 264 Carlisle Cos. Inc. 4 255 Donaldson Co. Inc. 11 332 Federal Signal Corp. 7 124 Harsco Corp. 5 254 Lancaster Colony Corp. 5 201 Pentair Inc. 13 452 SPX Corp. 10 473 Teleflex Inc. 5 271 Trinity Industries Inc. 6 197 2,823 Media - 2.3% Belo Corp. - Class A 16 418 Emmis Communications Corp. (b) (l) 8 161 Entercom Communications Corp. (b) 7 259 Lee Enterprises Inc. 6 285 Media General Inc. 3 201 Reader's Digest Association Inc. - Class A 13 210 Scholastic Corp. (b) 5 155 Washington Post 1 1,189 Westwood One Inc. (b) 13 311 3,189 Metal Fabrication & Hardware - 0.3% Precision Castparts Corp. 9 466 Mining - 0.5% Arch Coal Inc. 7 264 Peabody Energy Corp. 9 479 743 Office Furnishings - 0.4% Herman Miller Inc. 10 275 HNI Corp. 8 325 600 Oil & Gas Producers - 4.0% ENSCO International Inc. 20 587 Forest Oil Corp. (b) 8 209 Helmerich & Payne Inc. 7 173 Murphy Oil Corp. 12 908 Newfield Exploration Co. (b) 8 424 Noble Energy Inc. 8 390 Patterson-UTI Energy Inc. 11 372 Pioneer Natural Resources Co. 16 563 Plains Exploration & Production Co. (b) 11 193 Pogo Producing Co. 9 423 Pride International Inc. (b) 18 304 XTO Energy Inc. 35 1,030 5,576 Oil & Gas Services - 2.5% Cooper Cameron Corp. (b) 7 345 FMC Technologies Inc. (b) 9 259 Grant Prideco Inc. (b) 16 302 Hanover Compressor Co. (b) 11 126 National-Oilwell Inc. (b) 12 362 Smith International Inc. (b) (l) 14 778 Tidewater Inc. 8 238 Varco International Inc. (b) 13 281 Weatherford International Ltd. (b) 18 800 3,491 Packaging & Containers - 0.5% Packaging Corp. of America 14 340 Sonoco Products Co. 13 334 674 Pharmaceuticals - 2.3% Barr Laboratories Inc. (b) 14 471 Cephalon Inc. (b) (l) 8 405 IVAX Corp. (b) 26 633 Omnicare Inc. 14 594 Par Pharmaceutical Cos. Inc. (b) 4 158 Perrigo Co. 9 177 Sepracor Inc. (b) (l) 11 608 Valeant Pharmaceuticals International (l) 11 226 3,272 Pipelines - 1.0% Equitable Resources Inc. 8 431 National Fuel Gas Co. 11 269 Questar Corp. 11 433 Western Gas Resources Inc. 10 316 1,449 Real Estate - 1.7% AMB Property Corp. 11 384 Highwoods Properties Inc. 7 165 Hospitality Properties Trust 9 379 Liberty Property Trust 11 457 Mack-Cali Realty Corp. 8 334 New Plan Excel Realty Trust 13 314 United Dominion Realty Trust Inc. 17 338 2,371 Retail - 7.1% 99 Cents Only Stores (b) (l) 9 144 Abercrombie & Fitch Co. - Class A 13 490 American Eagle Outfitters Inc. (b) 10 279 AnnTaylor Stores Corp. (b) 9 267 Applebees International Inc. 11 251 Barnes & Noble Inc. (b) 9 314 BJ's Wholesale Club Inc. (b) 9 235 Bob Evans Farms Inc. 5 130 Borders Group Inc. 10 239 Brinker International Inc. (b) 13 442 Carmax Inc. (b) 14 297 CBRL Group Inc. 6 200 Cheesecake Factory (b) 7 278 Chico's FAS Inc. (b) (l) 12 537 Claire's Stores Inc. 13 288 Copart Inc. (b) 12 322 Dollar Tree Stores Inc. (b) 15 415 Krispy Kreme Doughnuts Inc. (b) (l) 8 160 Michaels Stores Inc. 9 504 Neiman-Marcus Group Inc. - Class A (l) 7 369 O'Reilly Automotive Inc. (b) 7 331 Outback Steakhouse Inc. (l) 10 412 Pacific Sunwear of California (b) 10 201 Payless Shoesource Inc. (b) 9 134 Petsmart Inc. 19 627 Pier 1 Imports Inc. 12 208 Regis Corp. 6 258 Ross Stores Inc. 20 532 Ruby Tuesday Inc. 9 241 Saks Inc. (b) 19 281 Williams-Sonoma Inc. (b) (l) 15 507 9,893 Savings & Loans - 2.0% Astoria Financial Corp. 10 380 Greenpoint Financial Corp. 18 702 Independence Community Bank Corp. 11 405 New York Community Bancorp. Inc. 35 696 Washington Federal Inc. 11 255 Webster Financial Corp. 7 335 2,773 Semiconductors - 3.5% Atmel Corp. (b) 64 377 Credence Systems Corp. (b) 13 181 Cree Inc. (b) (l) 10 226 Cypress Semiconductor Corp. (b) (l) 17 237 Fairchild Semiconductor International Inc. - Class A (b) 16 261 Integrated Circuit Systems Inc. (b) 10 264 Integrated Device Technology Inc. (b) 14 199 International Rectifier Corp. (b) 9 365 Intersil Corp. 19 407 Lam Research Corp. (b) 18 480 Lattice Semiconductor Corp. (b) 16 109 LTX Corp. (b) 8 87 Micrel Inc. (b) 12 146 Microchip Technology Inc. 28 878 Semtech Corp. (b) 10 240 Silicon Laboratories Inc. (b) 7 320 Triquint Semiconductor Inc. (b) 19 102 4,880 Software - 2.2% Activision Inc. (b) 19 295 Acxiom Corp. 12 288 Advent Software Inc. (b) 4 77 Ascential Software Corp. (b) 8 126 Certegy Inc. 8 329 CSG Systems International Inc. (b) 7 142 Dun & Bradstreet Corp. (b) 9 510 Fair Isaac Corp. 9 309 Keane Inc. (b) 8 116 Retek Inc. (b) 8 46 SEI Investments Co. 14 402 Sybase Inc. (b) 13 237 Transaction Systems Architects Inc. (b) 5 106 Wind River Systems Inc. (b) 11 132 3,115 Telecommunications - 0.5% Cincinnati Bell Inc. (b) 32 142 Telephone & Data Systems Inc. 8 548 690 Telecommunications Equipment - 1.9% 3Com Corp. (b) 52 327 Adtran Inc. 11 356 Advanced Fibre Communications Inc. (b) 12 240 CommScope Inc. (b) 8 179 Harris Corp. (l) 9 453 Newport Corp. (b) 5 88 Plantronics Inc. (b) 6 270 Polycom Inc. (b) 13 300 UTStarcom Inc. (b) (l) 15 460 2,673 Textiles - 0.5% Mohawk Industries Inc. (b) 9 654 Tobacco - 0.1% Universal Corp. 3 170 Transportation - 2.1% Alexander & Baldwin Inc. 6 192 C.H. Robinson Worldwide Inc. 11 525 CNF Inc. 7 283 Expeditors International of Washington Inc. (l) 14 697 GATX Corp. 6 175 J.B. Hunt Transport Services Inc. 11 414 Overseas Shipholding Group Inc. 5 235 Swift Transportation Co. Inc. (b) 11 197 Werner Enterprises Inc. 10 220 2,938 Water - 0.2% Aqua America Inc. 12 250 Wireless Telecommunications - 0.2% Powerwave Technologies Inc. (b) 14 107 RF Micro Devices Inc. (b) (l) 24 183 290 Total Common Stocks (cost $120,126) 134,100 Short Term Investments - 4.3% Money Market Funds - 4.1% Dreyfus Cash Management Plus, 1.14% (a) (n) 5,740 5,740 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 1.23%, 09/30/04 (m) $330 329 Total Short Term Investments (cost $6,069) 6,069 Total Investments - 100.3% (cost $126,195) 140,169 Other Assets and Liabilities, Net - (0.3%) (365) Total Net Assets - 100% $139,804 JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Common Stocks - 95.1% Advertising - 0.2% Interpublic Group of Cos. Inc. (b) 11 $148 Omnicom Group Inc. 5 360 508 Aerospace & Defense - 1.6% Boeing Co. 21 1,090 General Dynamics Corp. 5 495 Goodrich Corp. 3 92 Lockheed Martin Corp. 11 592 Northrop Grumman Corp. 9 496 Raytheon Co. 11 409 Rockwell Collins Inc. 4 147 United Technologies Corp. 13 1,191 4,512 Agriculture - 0.1% Monsanto Co. 7 256 Airlines - 0.1% Delta Air Lines Inc. (b) (l) 2 17 Southwest Airlines Co. 20 330 347 Apparel - 0.3% Jones Apparel Group Inc. 3 122 Liz Claiborne Inc. 3 96 NIKE Inc. 7 512 Reebok International Ltd. 2 58 V.F. Corp. 3 139 927 Auto Manufacturers - 0.6% Ford Motor Co. (l) 46 727 General Motors Corp. (l) 14 669 Navistar International Corp. (b) (l) 2 68 PACCAR Inc. 4 253 1,717 Auto Parts & Equipment - 0.2% Cooper Tire & Rubber Co. 2 42 Dana Corp. 4 74 Delphi Corp. 14 151 Goodyear Tire & Rubber Co. (b) (l) 4 40 Johnson Controls Inc. 5 260 Visteon Corp. 3 38 605 Banks - 6.6% AmSouth Bancorp. 9 223 Bank of America Corp. 52 4,365 Bank of New York Co. Inc. 20 581 Bank One Corp. 28 1,451 BB&T Corp. 14 529 Charter One Financial Inc. 6 253 Comerica Inc. 4 240 Fifth Third Bancorp. 14 753 First Horizon National Corp. (l) 3 146 Huntington Bancshares Inc. 6 132 KeyCorp 10 311 M&T Bank Corp. 3 262 Marshall & Ilsley Corp. 6 219 Mellon Financial Corp. 11 314 National City Corp. 17 596 North Fork Bancorp. Inc. (l) 4 162 Northern Trust Corp. 5 232 PNC Financial Services Group Inc. 7 383 Regions Financial Corp. 6 202 SouthTrust Corp. 8 319 State Street Corp. 9 420 SunTrust Banks Inc. 7 468 Synovus Financial Corp. 8 192 Union Planters Corp. 5 147 US Bancorp. 48 1,316 Wachovia Corp. 33 1,481 Wells Fargo & Co. 43 2,447 Zions Bancorp. 2 133 18,277 Beverages - 2.6% Adolph Coors Co. - Class B 1 69 Anheuser-Busch Cos. Inc. 20 1,094 Brown-Forman Corp. - Class B 3 145 Coca-Cola Co. 62 3,111 Coca-Cola Enterprises Inc. 12 346 Pepsi Bottling Group Inc. 6 197 PepsiCo Inc. 43 2,328 7,290 Biotechnology - 1.1% Amgen Inc. (b) 32 1,750 Biogen Idec Inc. (b) 9 546 Chiron Corp. (b) 5 210 Genzyme Corp. (b) 6 273 Medimmune Inc. (b) 6 145 Millipore Corp. (b) 1 65 2,989 Building Materials - 0.2% American Standard Cos. Inc. (b) 5 216 Eagle Materials Inc. - 3 Masco Corp. (l) 11 352 Vulcan Materials Co. 3 126 697 Chemicals - 1.5% Air Products & Chemicals Inc. 6 305 Ashland Inc. 2 92 Dow Chemical Co. 24 968 E.I. du Pont de Nemours & Co. 25 1,128 Eastman Chemical Co. 2 89 Ecolab Inc. 7 208 Engelhard Corp. 3 106 Great Lakes Chemical Corp. 1 38 Hercules Inc. (b) 3 34 International Flavors & Fragrances Inc. 2 86 PPG Industries Inc. 4 267 Praxair Inc. 8 323 Rohm & Haas Co. 6 238 Sherwin-Williams Co. 4 149 Sigma-Aldrich Corp. (l) 2 100 4,131 Commercial Services - 0.9% Apollo Group Inc. (b) (l) 4 397 Cendant Corp. 26 635 Convergys Corp. (b) 3 52 Deluxe Corp. 1 52 Equifax Inc. 3 85 H&R Block Inc. 4 211 McKesson Corp. 7 250 Moody's Corp. 4 245 Paychex Inc. 9 320 R.R. Donnelley & Sons Co. 6 184 Robert Half International Inc. 4 128 2,559 Computers - 3.9% Affiliated Computer Services Inc. - Class A (b) 4 185 Apple Computer Inc. (b) 10 315 Computer Sciences Corp. (b) 5 218 Dell Inc. (b) 64 2,289 Electronic Data Systems Corp. 12 230 EMC Corp. (b) 62 707 Gateway Inc. (b) 9 39 Hewlett-Packard Co. 77 1,630 International Business Machines Corp. 43 3,761 Lexmark International Inc. (b) 3 321 NCR Corp. (b) 2 116 Network Appliance Inc. (b) 9 186 Sun Microsystems Inc. (b) 85 368 SunGard Data Systems Inc. (b) 7 187 Unisys Corp. (b) 8 115 10,667 Cosmetics & Personal Care - 2.4% Alberto-Culver Co. - Class B 2 114 Avon Products Inc. 12 552 Colgate-Palmolive Co. 14 791 Gillette Co. 25 1,078 Kimberly-Clark Corp. 13 839 Procter & Gamble Co. 65 3,539 6,913 Distribution & Wholesale - 0.1% Genuine Parts Co. 4 178 W.W. Grainger Inc. 2 130 308 Diversified Financial Services - 7.4% American Express Co. 32 1,665 Bear Stearns Cos. Inc. 3 226 Capital One Financial Corp. (l) 6 416 Charles Schwab Corp. 35 334 Citigroup Inc. 131 6,081 Countrywide Financial Corp. 7 502 E*TRADE Group Inc. (b) 9 101 Fannie Mae 25 1,749 Federated Investors Inc. 3 81 Franklin Resources Inc. 6 313 Freddie Mac 17 1,102 Goldman Sachs Group Inc. 12 1,156 Janus Capital Group Inc. 6 97 JPMorgan Chase & Co. 53 2,046 Lehman Brothers Holdings Inc. 7 528 MBNA Corp. 32 837 Merrill Lynch & Co. Inc. 24 1,313 Morgan Stanley 28 1,468 Providian Financial Corp. (b) 8 111 SLM Corp. 11 456 T. Rowe Price Group Inc. 3 164 20,746 Electric - 2.4% AES Corp. (b) 16 163 Allegheny Energy Inc. (b) (l) 3 48 Ameren Corp. 5 199 American Electric Power Co. Inc. 10 315 Calpine Corp. (b) (l) 10 44 Centerpoint Energy Inc. (l) 8 88 Cinergy Corp. (l) 5 176 CMS Energy Corp. (b) 4 39 Consolidated Edison Inc. (l) 6 238 Constellation Energy Group Inc. 4 157 Dominion Resources Inc. 8 523 DTE Energy Co. (l) 4 180 Duke Energy Corp. (l) 23 472 Edison International 8 215 Entergy Corp. 6 322 Exelon Corp. 17 561 FirstEnergy Corp. 8 313 FPL Group Inc. 5 296 NiSource Inc. (l) 7 135 PG&E Corp. (b) 11 299 Pinnacle West Capital Corp. 2 91 PPL Corp. 5 208 Progress Energy Inc. (l) 6 270 Public Service Enterprise Group Inc. (l) 6 235 Southern Co. 19 547 TECO Energy Inc. 4 53 TXU Corp. 8 327 Xcel Energy Inc. 10 171 6,685 Electrical Components & Equipment - 0.3% American Power Conversion Corp. 5 98 Emerson Electric Co. 11 681 Molex Inc. 5 156 Power-One Inc. (b) 2 19 954 Electronics - 0.6% Agilent Technologies Inc. (b) 12 361 Applera Corp. - Applied Biosystems Group 5 106 Jabil Circuit Inc. (b) 5 126 Parker Hannifin Corp. 3 175 PerkinElmer Inc. 3 68 Sanmina-SCI Corp. (b) 13 116 Solectron Corp. (b) 24 156 Symbol Technologies Inc. 6 84 Tektronix Inc. 2 69 Thermo Electron Corp. (b) 4 128 Thomas & Betts Corp. 2 42 Waters Corp. (b) 3 144 1,575 Engineering & Construction - 0.0% Fluor Corp. (l) 2 99 Entertainment - 0.1% International Game Technology 9 343 Environmental Control - 0.2% Allied Waste Industries Inc. (b) 8 109 Waste Management Inc. 15 453 562 Food - 1.8% Albertson's Inc. 9 243 Archer-Daniels-Midland Co. 17 279 Campbell Soup Co. (l) 10 275 ConAgra Foods Inc. 13 360 General Mills Inc. 10 458 H.J. Heinz Co. 9 344 Hershey Foods Corp. 7 302 Kellogg Co. 10 431 Kroger Co. (b) 19 339 McCormick & Co. Inc. 4 123 Safeway Inc. (b) 11 289 Sara Lee Corp. 20 463 Supervalu Inc. 4 108 Sysco Corp. 16 575 Winn-Dixie Stores Inc. (l) 3 21 Wm. Wrigley Jr. Co. 6 364 4,974 Forest Products & Paper - 0.6% Boise Cascade Corp. 2 82 Georgia-Pacific Corp. 6 233 International Paper Co. 12 550 Louisiana-Pacific Corp. 3 69 MeadWestvaco Corp. 5 145 Plum Creek Timber Co. Inc. 5 147 Temple-Inland Inc. 1 94 Weyerhaeuser Co. 6 390 1,710 Gas - 0.2% KeySpan Corp. (l) 4 153 Nicor Inc. (l) 1 42 Peoples Energy Corp. 1 40 Sempra Energy 6 204 439 Hand & Machine Tools - 0.1% Black & Decker Corp. 2 125 Snap-On Inc. 1 48 Stanley Works 2 94 267 Healthcare - 4.6% Aetna Inc. 4 328 Anthem Inc. (b) 4 314 Bausch & Lomb Inc. 1 82 Baxter International Inc. 16 537 Becton Dickinson & Co. 6 326 Biomet Inc. (b) 6 281 Boston Scientific Corp. (b) 21 905 C.R. Bard Inc. 3 146 Guidant Corp. 8 443 HCA Inc. 12 515 Health Management Associates Inc. 6 136 Humana Inc. (b) 4 70 Johnson & Johnson 75 4,183 Manor Care Inc. 2 69 Medtronic Inc. 31 1,494 Quest Diagnostics Inc. 3 219 St. Jude Medical Inc. (b) 5 342 Stryker Corp. 10 557 Tenet Healthcare Corp. (b) 12 156 UnitedHealth Group Inc. 16 966 WellPoint Health Networks Inc. (b) 4 443 Zimmer Holdings Inc. (b) 6 545 13,057 Home Builders - 0.1% Centex Corp. 3 140 KB Home 1 81 Pulte Homes Inc. 3 169 390 Home Furnishings - 0.1% Leggett & Platt Inc. 5 132 Maytag Corp. 2 45 Whirlpool Corp. 2 121 298 Household Products - 0.3% Avery Dennison Corp. 3 175 Clorox Co. 5 292 Fortune Brands Inc. 4 275 Newell Rubbermaid Inc. (l) 7 161 903 Insurance - 4.6% ACE Ltd. 7 307 AFLAC Inc. 13 522 Allstate Corp. 18 831 AMBAC Financial Group Inc. 3 202 American International Group Inc. 66 4,702 AON Corp. 8 230 Chubb Corp. 5 327 Cigna Corp. 4 246 Cincinnati Financial Corp. 4 182 Hartford Financial Services Group Inc. 7 510 Jefferson-Pilot Corp. 3 176 Lincoln National Corp. 4 209 Loews Corp. 5 279 Marsh & McLennan Cos. Inc. 13 599 MBIA Inc. 4 206 MetLife Inc. 19 687 MGIC Investment Corp. 2 185 Principal Financial Group 8 277 Progressive Corp. 6 470 Prudential Financial Inc. 13 627 Safeco Corp. 4 154 St. Paul Cos. Inc. 17 687 Torchmark Corp. 3 153 UnumProvident Corp. 7 119 XL Capital Ltd. 3 263 13,150 Internet - 1.1% eBay Inc. (b) 17 1,535 Monster Worldwide Inc. (b) 3 73 Symantec Corp. (b) 8 341 Yahoo! Inc. (b) 34 1,240 3,189 Iron & Steel - 0.1% Allegheny Technologies Inc. 2 41 Nucor Corp. 2 155 United States Steel Corp. (l) 3 101 297 Leisure Time - 0.5% Brunswick Corp. 2 96 Carnival Corp. (l) 16 753 Harley-Davidson Inc. (l) 8 470 Sabre Holdings Corp. 4 100 1,419 Lodging - 0.3% Harrah's Entertainment Inc. 3 152 Hilton Hotels Corp. 10 184 Marriott International Inc. - Class A 6 284 Starwood Hotels & Resorts Worldwide Inc. 5 236 856 Machinery - 0.5% Caterpillar Inc. 9 684 Cummins Inc. 1 65 Deere & Co. 6 445 Rockwell Automation Inc. 5 175 1,369 Manufacturing - 5.5% 3M Co. 20 1,784 Cooper Industries Ltd. - Class A 2 142 Crane Co. 1 44 Danaher Corp. (l) 8 408 Dover Corp. 5 213 Eastman Kodak Co. 7 194 Eaton Corp. 4 243 General Electric Co. 267 8,647 Honeywell International Inc. 22 799 Illinois Tool Works Inc. 8 756 Ingersoll-Rand Co. - Class A 4 297 ITT Industries Inc. 2 197 Pall Corp. 3 83 Textron Inc. 4 212 Tyco International Ltd. 51 1,684 15,703 Media - 3.2% Clear Channel Communications Inc. 16 578 Comcast Corp. - Class A (b) 57 1,593 Dow Jones & Co. Inc. 2 94 Gannett Co. Inc. 7 586 Knight-Ridder Inc. 2 138 McGraw-Hill Cos. Inc. 5 365 Meredith Corp. 1 69 New York Times Co. 4 165 Time Warner Inc. (b) 115 2,029 Tribune Co. 8 376 Univision Communications Inc. (b) (l) 8 257 Viacom Inc. - Class B 44 1,568 Walt Disney Co. 52 1,324 9,142 Metal Fabrication & Hardware - 0.0% Worthington Industries 2 46 Mining - 0.5% Alcoa Inc. 22 729 Freeport-McMoRan Copper & Gold Inc. 5 153 Newmont Mining Corp. 11 435 Phelps Dodge Corp. (b) 2 190 1,507 Office & Business Equipment - 0.2% Pitney Bowes Inc. 6 258 Xerox Corp. (b) (l) 20 297 555 Oil & Gas Producers - 5.4% Amerada Hess Corp. 2 176 Anadarko Petroleum Corp. 6 378 Apache Corp. 8 360 Burlington Resources Inc. 10 358 ChevronTexaco Corp. 27 2,548 ConocoPhillips 17 1,322 Devon Energy Corp. 6 404 EOG Resources Inc. 3 172 Exxon Mobil Corp. 165 7,345 Kerr-McGee Corp. 4 199 Marathon Oil Corp. 9 334 Nabors Industries Ltd. (b) 4 174 Noble Corp. (b) 3 126 Occidental Petroleum Corp. 10 483 Rowan Cos. Inc. (b) 3 68 Sunoco Inc. 2 121 Transocean Inc. (b) 8 231 Unocal Corp. 7 258 Valero Energy Corp. 3 236 15,293 Oil & Gas Services - 0.6% Baker Hughes Inc. 8 315 BJ Services Co. (b) 4 182 Halliburton Co. 11 340 Schlumberger Ltd. 15 947 1,784 Packaging & Containers - 0.1% Ball Corp. 1 103 Bemis Co. 3 79 Pactiv Corp. (b) 4 96 Sealed Air Corp. (b) 2 114 392 Pharmaceuticals - 6.8% Abbott Laboratories 40 1,611 Allergan Inc. (l) 3 301 AmerisourceBergen Corp. 3 169 Bristol-Myers Squibb Co. 49 1,206 Cardinal Health Inc. 11 760 Caremark Rx Inc. (b) 12 385 Eli Lilly & Co. 29 2,004 Express Scripts Inc. - Class A (b) 2 152 Forest Laboratories Inc. (b) 9 534 Gilead Sciences Inc. (b) 4 296 Hospira Inc. (b) 4 107 King Pharmaceuticals Inc. (b) 6 69 Medco Health Solutions Inc. (b) 7 259 Merck & Co. Inc. 56 2,670 Mylan Laboratories Inc. 7 136 Pfizer Inc. 193 6,616 Schering-Plough Corp. 37 692 Watson Pharmaceuticals Inc. (b) 3 71 Wyeth 34 1,223 19,261 Pipelines - 0.2% Dynegy Inc. - Class A (b) 10 41 El Paso Corp. (l) 16 125 Kinder Morgan Inc. 3 192 Williams Cos. Inc. 13 154 512 Real Estate - 0.3% Apartment Investment & Management Co. 3 78 Equity Office Properties Trust 10 281 Equity Residential 7 208 ProLogis 4 147 Simon Property Group Inc. 5 276 990 Retail - 6.4% Autonation Inc. (b) 7 118 Autozone Inc. (b) 2 176 Bed Bath & Beyond Inc. (b) 7 287 Best Buy Co. Inc. 8 419 Big Lots Inc. (b) 3 43 Circuit City Stores Inc. - Circuit City Group 5 62 Costco Wholesale Corp. 12 480 CVS Corp. 10 427 Darden Restaurants Inc. 4 82 Dillard's Inc. - Class A 2 49 Dollar General Corp. 8 162 Family Dollar Stores Inc. 4 132 Federated Department Stores Inc. 4 221 Gap Inc. (l) 23 556 Home Depot Inc. 57 1,990 J.C. Penney Co. Inc. 7 274 Kohl's Corp. (b) 9 366 Limited Brands Inc. 12 218 Lowe's Cos. Inc. 20 1,047 May Department Stores Co. 7 199 McDonald's Corp. 32 829 Nordstrom Inc. 4 151 Office Depot Inc. (b) (l) 8 139 RadioShack Corp. 4 117 Sears Roebuck & Co. 5 204 Staples Inc. 12 366 Starbucks Corp. (b) 10 439 Target Corp. 23 981 Tiffany & Co. 4 135 TJX Cos. Inc. 13 302 Toys "R" Us Inc. (b) 5 86 Walgreen Co. 26 941 Wal-Mart Stores Inc. 108 5,720 Wendy's International Inc. 3 100 Yum! Brands Inc. (b) 7 273 18,091 Savings & Loans - 0.5% Golden West Financial Corp. 4 410 Sovereign Bancorp. Inc. 6 141 Washington Mutual Inc. 22 865 1,416 Semiconductors - 3.5% Advanced Micro Devices Inc. (b) 9 139 Altera Corp. (b) 10 212 Analog Devices Inc. 10 450 Applied Materials Inc. (b) 43 840 Applied Micro Circuits Corp. (b) 8 40 Broadcom Corp. (b) 8 374 Intel Corp. 164 4,517 KLA-Tencor Corp. (b) 5 243 Linear Technology Corp. 8 306 LSI Logic Corp. (b) 10 73 Maxim Integrated Products Inc. 8 427 Micron Technology Inc. (b) 16 240 National Semiconductor Corp. (b) 9 195 Novellus Systems Inc. (b) 4 120 Nvidia Corp. (b) 4 83 PMC - Sierra Inc. (b) 4 62 QLogic Corp. (b) 2 59 Teradyne Inc. (b) 5 115 Texas Instruments Inc. 44 1,060 Xilinx Inc. 9 297 9,852 Software - 4.9% Adobe Systems Inc. 6 276 Autodesk Inc. 3 121 Automatic Data Processing Inc. 15 628 BMC Software Inc. (b) 6 104 Citrix Systems Inc. (b) 4 83 Computer Associates International Inc. 15 418 Compuware Corp. (b) 10 64 Electronic Arts Inc. (b) 8 420 First Data Corp. 22 983 Fiserv Inc. (b) 5 187 IMS Health Inc. 6 139 Intuit Inc. (b) (l) 5 185 Mercury Interactive Corp. (b) (l) 2 112 Microsoft Corp. (l) 273 7,798 Novell Inc. (b) 10 85 Oracle Corp. (b) 132 1,570 Parametric Technology Corp. (b) 7 34 PeopleSoft Inc. (b) 9 168 Siebel Systems Inc. (b) 13 139 Veritas Software Corp. (b) 11 306 13,820 Telecommunications - 2.6% Alltel Corp. 8 393 AT&T Corp. 20 290 BellSouth Corp. 46 1,219 CenturyTel Inc. 3 102 Citizens Communications Co. (b) 7 90 Qwest Communications International Inc. (b) 46 165 SBC Communications Inc. 84 2,034 Sprint Corp. - FON Group (l) 36 637 Verizon Communications Inc. 70 2,538 7,468 Telecommunications Equipment - 2.0% ADC Telecommunications Inc. (b) 19 55 Andrew Corp. (b) (l) 4 80 Avaya Inc. (b) 11 181 CIENA Corp. (b) 14 52 Cisco Systems Inc. (b) 171 4,047 Comverse Technology Inc. (b) 5 102 Corning Inc. (b) (l) 35 456 JDS Uniphase Corp. (b) 35 134 Lucent Technologies Inc. (b) 109 413 Scientific-Atlanta Inc. 4 133 Tellabs Inc. (b) 10 86 5,739 Textiles - 0.1% Cintas Corp. 4 204 Tobacco - 1.0% Altria Group Inc. 52 2,598 RJ Reynolds Tobacco Holdings Inc. 2 144 UST Inc. 4 155 2,897 Toys & Hobbies - 0.1% Hasbro Inc. 5 89 Mattel Inc. 11 195 284 Transportation - 1.4% Burlington Northern Santa Fe Corp. 9 331 CSX Corp. 5 173 FedEx Corp. 8 621 Norfolk Southern Corp. 10 259 Ryder System Inc. 2 65 Union Pacific Corp. 7 394 United Parcel Service Inc. 29 2,148 3,991 Wireless Telecommunications - 1.5% AT&T Wireless Services Inc. (b) 69 991 Motorola Inc. (l) 59 1,085 Nextel Communications Inc. (b) 28 752 Qualcomm Inc. 20 1,496 4,324 Total Common Stocks (cost $244,378) 269,256 Short Term Investments - 4.9% Money Market Funds - 4.3% Dreyfus Cash Management Plus, 1.14% (a) (n) 12,303 12,303 U.S. Treasury Bills - 0.5% U.S. Treasury Bill, 1.23%, 09/30/04 (m) $1,500 1,495 Total Short Term Investments (cost $13,799) 13,798 Total Investments - 100.0% (cost $258,177) 283,054 Other Assets and Liabilities, Net - 0.0% 131 Total Net Assets - 100% $283,185 JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Common Stocks - 95.2% Advertising - 0.4% Advo Inc. 3 $109 APAC Customer Services Inc. (b) 2 3 Catalina Marketing Corp. (b) 6 111 Grey Global Group Inc. - 82 Marchex Inc. - Class B (b) 1 7 R.H. Donnelley Corp. (b) 3 112 Sitel Corp. (b) 6 26 ValueVision Media Inc. - Class A (b) 2 25 Ventiv Health Inc. (b) 2 36 511 Aerospace & Defense - 1.1% AAR Corp. (b) 4 44 Armor Holdings Inc. (b) 3 106 BE Aerospace Inc. (b) 4 30 Curtiss-Wright Corp. 2 135 DRS Technologies Inc. (b) 3 83 Ducommun Inc. (b) 1 16 EDO Corp. 2 43 Engineered Support Systems Inc. 3 146 Esterline Technologies Corp. (b) 3 75 Fairchild Corp. - Class A (b) 2 7 GenCorp Inc. 5 61 Heico Corp. (l) 2 39 Heico Corp. - Class A - 2 Herley Industries Inc. (b) 1 25 Innovative Solutions & Support Inc. (b) 1 14 Kaman Corp. - Class A 3 38 Moog Inc. - Class A (b) 3 106 MTC Technologies Inc. (b) 1 21 Orbital Sciences Corp. (b) (l) 5 73 Sequa Corp. - Class A (b) 1 41 Teledyne Technologies Inc. (b) 4 70 Titan Corp. (b) 8 99 Triumph Group Inc. (b) 2 56 United Industrial Corp. 1 27 1,357 Agriculture - 0.1% Alico Inc. - 18 Delta & Pine Land Co. 4 91 Maui Land & Pineapple Co. Inc. (b) - 14 Tejon Ranch Co. (b) (l) 1 27 150 Airlines - 0.7% Airtran Holdings Inc. (b) 10 136 Alaska Air Group Inc. (b) (l) 3 68 America West Holdings Corp. - Class B (b) (l) 4 36 Atlantic Coast Airlines Holdings Inc. (b) 5 30 Continental Airlines Inc. (b) (l) 7 82 Delta Air Lines Inc. (b) (l) 12 88 ExpressJet Holdings Inc. (b) 4 53 Frontier Airlines Inc. (b) 4 47 Mair Holdings Inc. (b) 1 8 Mesa Air Group Inc. (b) 4 30 Midwest Express Holdings Inc. (b) (l) 1 5 Northwest Airlines Corp. (b) (l) 9 95 Pinnacle Airlines Corp. (b) - 5 Republic Airways Holdings Inc. (b) 1 7 SkyWest Inc. 6 109 799 Alternative Energy - 0.2% Danielson Holdings Corp. (b) 2 17 FuelCell Energy Inc. (b) 5 56 Headwaters Inc. (b) 4 97 KFX Inc. (b) (l) 5 35 Plug Power Inc. (b) (l) 5 39 Syntroleum Corp. (b) 3 20 264 Apparel - 1.0% Carter's Inc. (b) 1 20 Cherokee Inc. 1 18 Deckers Outdoor Corp. (b) 1 35 DHB Industries Inc. (b) 2 38 Guess Inc. (b) 2 25 Gymboree Corp. (b) 4 55 Hampshire Group Ltd. (b) - 6 Hartmarx Corp. (b) 2 15 Kellwood Co. 3 137 K-Swiss Inc. - Class A 3 60 Maxwell Shoe Co. Inc. - Class A (b) 2 36 Oshkosh B'Gosh Inc. - Class A 1 23 Oxford Industries Inc. 2 66 Perry Ellis International Inc. (b) 1 13 Phillips-Van Heusen 3 51 Quiksilver Inc. (b) 6 144 Russell Corp. 3 58 Skechers U.S.A. Inc. - Class A (b) 2 27 Steven Madden Ltd. (b) 1 28 Stride Rite Corp. 5 50 Unifi Inc. (b) 4 12 Vans Inc. (b) 2 42 Warnaco Group Inc. (b) 5 113 Weyco Group Inc. - 9 Wolverine World Wide Inc. 5 119 1,200 Auto Manufacturers - 0.1% ASV Inc. (b) 1 28 Wabash National Corp. (b) 3 82 110 Auto Parts & Equipment - 1.0% Aftermarket Technology Corp. (b) 1 21 ArvinMeritor Inc. 8 156 Bandag Inc. 1 53 Collins & Aikman Corp. (b) 4 21 Cooper Tire & Rubber Co. 8 187 Dura Automotive Systems Inc. (b) 2 16 Exide Technologies (b) 3 51 Goodyear Tire & Rubber Co. (b) (l) 17 156 Hayes Lemmerz International Inc. (b) 4 60 Keystone Automotive Industries Inc. (b) 2 46 Modine Manufacturing Co. 3 94 Noble International Ltd. 1 17 Raytech Corp. (b) 2 4 Spartan Motors Inc. - 5 Sports Resorts International Inc. (b) (l) 1 3 Standard Motor Products Inc. 1 20 Strattec Security Corp. (b) - 32 Superior Industries International Inc. (l) 2 83 Tenneco Automotive Inc. (b) 5 60 Tower Automotive Inc. (b) (l) 7 26 Visteon Corp. 15 170 1,281 Banks - 7.5% 1st Source Corp. 2 40 ABC Bancorp. 1 23 Alabama National Bancorp. 2 87 Amcore Financial Inc. 3 93 American National Bankshares Inc. (l) - 9 AmericanWest Bancorp. (b) 1 21 Arrow Financial Corp. 1 33 Bancfirst Corp. - 29 Bancorpsouth Inc. 9 195 BancTrust Financial Group Inc. 1 18 Bank of Granite Corp. 2 32 Bank of the Ozarks Inc. 1 25 Banner Corp. 1 34 Boston Private Financial Holdings Inc. 3 73 Bryn Mawr Bank Corp. (l) 1 19 BSB Bancorp. Inc. 1 32 C&F Financial Corp. (l) - 16 Camden National Corp. 1 28 Capital City Bank Group Inc. 1 41 Capital Corp. of the West 1 26 Capital Crossing Bank (b) - 6 Capitol Bancorp. Ltd. 1 31 Cascade Bancorp. 2 35 Cathay Bancorp. Inc. 2 165 Cavalry Bancorp. Inc. (l) - 5 CB Bancshares Inc. 1 59 Center Bancorp. Inc. (l) 1 11 Center Financial Corp. 1 15 Central Coast Bancorp. (b) 1 20 Central Pacific Financial Corp. 2 50 Century Bancorp. Inc. - Class A - 13 Chemical Financial Corp. 3 108 Chittenden Corp. 4 142 Citizens Banking Corp. 5 167 City Bank Lynnwood 1 29 City Holding Co. 2 64 CNB Financial Corp. (l) 1 14 Coastal Financial Corp. 1 20 CoBiz Inc. 2 23 Columbia Bancorp. 1 19 Columbia Bancorp. (l) 1 12 Columbia Banking Systems Inc. 2 38 Commercial Bankshares Inc. 1 13 Community Bank 1 7 Community Bank System Inc. 3 68 Community Banks Inc. 1 33 Community First Bankshares Inc. 4 140 Community Trust Bancorp. Inc. 2 52 Corus Bankshares Inc. 2 69 CVB Financial Corp. 4 95 Eastern Virginia Bancshares Inc. 1 12 East-West Bancorp. Inc. 6 172 Exchange National Bancshares Inc. (l) 1 15 Farmers Capital Bank Corp. (b) 1 25 Financial Institutions Inc. 1 26 First Bancorp. 4 158 First Bancorp. 1 31 First Busey Corp. - Class A 1 33 First Charter Corp. 4 79 First Citizens Banc Corp. (l) - 8 First Citizens BancShares Inc. - Class A 1 91 First Commonwealth Financial Corp. 8 103 First Community Bancorp. 2 59 First Community Bancshares Inc. 1 36 First Financial Bancorp. 4 69 First Financial Bankshares Inc. 2 71 First Financial Corp. 2 53 First Financial Service Corp. (l) - 5 First Indiana Corp. 1 27 First M&F Corp. - 12 First Merchants Corp. 2 59 First Midwest Bancorp. Inc. - 14 First National Bankshares of Florida Inc. - 8 First Oak Brook Bancshares Inc. 1 24 First of Long Island Corp. - 17 First Republic Bank 1 64 First South Bancorp. Inc. (l) 1 12 First State Bancorp. 1 24 First United Corp. 1 17 Firstbank Corp. (l) 1 18 FNB Corp. 5 108 FNB Corp. 1 25 FNB Corp. Inc. 1 10 Foothill Independent Bancorp. 1 10 Frontier Financial Corp. 2 65 GB&T Bancshares Inc. 1 19 German American Bancorp. (l) 1 18 Glacier Bancorp. Inc. 3 76 Gold Bancorp. Inc. 4 66 Great Southern Bancorp. Inc. 1 41 Greater Bay Bancorp. 6 167 Greater Community Bancorp. 1 9 Greene County Bancshares Inc. (l) 1 16 Hancock Holding Co. 3 95 Hanmi Financial Corp. 1 29 Harleysville National Corp. 3 73 Heartland Financial USA Inc. 1 22 Heritage Commerce Corp. (b) 1 18 Humboldt Bancorp. 2 37 IBERIABANK Corp. 1 49 IBT Bancorp. Inc. (l) - 13 Independent Bank Corp. 2 49 Independent Bank Corp. - MI 2 50 Integra Bank Corp. 2 42 Interchange Financial Services Corp. 1 36 International Bancshares Corp. - 3 Irwin Financial Corp. 2 50 Lakeland Bancorp. Inc. 1 23 Lakeland Financial Corp. 1 20 LNB Bancorp. Inc. (l) 1 13 LSB Bancshares Inc. (l) 1 13 Macatawa Bank Corp. 1 27 Main Street Banks Inc. 2 43 MainSource Financial Group Inc. 1 22 MB Financial Corp. 2 73 MBT Financial Corp. 2 33 Mercantile Bank Corp. 1 26 Merchants Bancshares Inc. 1 13 Mid-State Bancshares 3 66 Midwest Banc Holdings Inc. 1 26 Nara Bancorp. Inc. 2 35 National Bankshares Inc. (l) - 18 National Penn Bancshares Inc. 3 83 NBC Capital Corp. 1 21 NBT Bancorp. Inc. 4 88 Northern States Financial Corp. (l) - 11 Oak Hill Financial Inc. - 9 Old National Bancorp. 8 186 Old Point Financial Corp. - 6 Old Second Bancorp. Inc. 1 41 Omega Financial Corp. 1 35 Oriental Financial Group Inc. 2 53 PAB Bankshares Inc. (l) 1 10 Pacific Capital Bancorp. 6 155 Park National Corp. 2 192 Peapack Gladstone Financial Corp. 1 29 Pennrock Financial Services Corp. 1 29 Penns Woods Bancorp. Inc. (l) - 16 Peoples Bancorp. Inc. 1 33 Peoples Holding Co. 1 33 PrivateBancorp Inc. 2 52 Prosperity Bancshares Inc. 2 39 Provident Bankshares Corp. 4 107 R&G Financial Corp. - Class B 3 106 Republic Bancorp. Inc. 7 102 Republic Bancorp. Inc. - Class A 1 18 Riggs National Corp. 2 37 Royal Bancshares of Pennsylvania - Class A 1 14 S&T Bancorp. Inc. 3 104 S.Y. Bancorp. Inc. 1 28 Sandy Spring Bancorp. Inc. 2 61 Santander BanCorp. 1 15 SCBT Financial Corp. 1 28 Seacoast Banking Corp. 1 30 Second Bancorp. Inc. 1 28 Security Bank Corp. 1 21 Shore Bancshares Inc. (l) 1 19 Sierra Bancorp. (l) - 8 Silicon Valley Bancshares (b) 4 150 Simmons First National Corp. - Class A 2 42 Southside Bancshares Inc. 1 24 Southwest Bancorp. Inc. 1 21 Southwest Bancorp. of Texas Inc. 4 159 State Bancorp. Inc. 1 22 State Financial Services Corp. 1 18 Sterling Bancorp. - NYS 2 44 Sterling Bancshares Inc. 5 68 Sterling Financial Corp. 3 67 Suffolk Bancorp. 1 42 Summit Bancshares Inc. 1 19 Sun Bancorp. Inc. 1 16 Sun Bancorp. Inc. (b) 1 18 Susquehanna Bancshares Inc. 5 137 Taylor Capital Group Inc. 1 11 Texas Capital Bancshares Inc. (b) - 5 Texas Regional Bancshares Inc. - Class A 3 146 Tompkins Trustco Inc. 1 38 Trico Bancshares 1 25 TrustCo Bancorp. 9 123 Trustmark Corp. - 12 UMB Financial Corp. 2 103 Umpqua Holdings Corp. 3 64 Union Bankshares Corp. 1 26 United Bankshares Inc. - 13 United Community Banks Inc. 3 85 United Security Bancshares (l) 1 10 United Security Bancshares Inc. (l) 1 18 Univest Corp. of Pennsylvania (l) - 10 Unizan Financial Corp. 3 68 USB Holding Co. Inc. 1 32 Virginia Commerce Bancorp. (b) (l) 1 17 Virginia Financial Group Inc. 1 26 Washington Trust Bancorp. Inc. 2 43 Wayne Bancorp. Inc. (l) 1 19 WesBanco Inc. 2 64 West Bancorp. 2 33 West Coast Bancorp. 2 37 Westamerica Bancorp. - 16 Western Sierra Bancorp. (b) 1 24 Wilshire State Bank (b) 1 17 Wintrust Financial Corp. 2 118 Yadkin Valley Bank and Trust Co. (l) 1 9 Yardville National Bancorp. 1 26 9,318 Beverages - 0.1% Boston Beer Co. Inc. - Class A (b) 1 16 Coca-Cola Bottling Co. Consolidated 1 34 Farmer Bros. Co. 1 20 Green Mountain Coffee Roasters Inc. (b) - 7 Hansen Natural Corp. (b) (l) 1 15 National Beverage Corp. (b) 1 8 Peet's Coffee & Tea Inc. (b) 1 36 Robert Mondavi Corp. - Class A (b) 1 42 178 Biotechnology - 2.0% Aclara BioSciences Inc. (b) 2 10 Aksys Ltd. (b) (l) 1 6 Alexion Pharmaceuticals Inc. (b) 2 44 Aphton Corp. (b) (l) 4 15 Applera Corp. - Celera Genomics Group (b) 8 91 Arena Pharmaceuticals Inc. (b) (l) 2 9 Ariad Pharmaceuticals Inc. (b) 6 42 Avant Immunotherapeutics Inc. (b) 9 24 Axonyx Inc. (b) 5 28 Barrier Therapeutics Inc. (b) 1 10 BioCryst Pharmaceuticals Inc. (b) 2 12 Bio-Rad Laboratories Inc. - Class A (b) 2 117 Cambrex Corp. 3 70 Cell Genesys Inc. (b) 5 49 Ciphergen Biosystems Inc. (b) 3 21 Corgentech Inc. (b) 1 10 CryoLife Inc. (b) (l) 2 12 CuraGen Corp. (b) 5 29 Curis Inc. (b) (l) 4 19 Cytogen Corp. (b) 2 27 Cytokinetics Inc. (b) 1 12 Decode Genetics Inc. (b) 6 47 Digene Corp. (b) 2 59 Diversa Corp. (b) 2 25 Embrex Inc. (b) - 4 Encysive Pharmaceuticals Inc. (b) 6 53 Enzo Biochem Inc. (b) 3 42 Enzon Pharmaceuticals Inc. (b) 5 61 Exact Sciences Corp. (b) 2 13 Exelixis Inc. (b) 7 69 Genaera Corp. (b) (l) 6 24 Gene Logic Inc. (b) 4 15 Genelabs Technologies (b) 9 22 Genencor International Inc. (b) 1 19 Geron Corp. (b) (l) 5 39 GTC Biotherapeutics Inc. (b) (l) 3 4 GTx Inc. (b) 1 6 Harvard Bioscience Inc. (b) 1 3 Human Genome Sciences Inc. (b) 15 172 Illumina Inc. (b) 3 20 Immunogen Inc. (b) 4 24 Immunomedics Inc. (b) (l) 5 25 Incyte Corp. (b) 7 51 Integra LifeSciences Holdings Corp. (b) 2 82 InterMune Inc. (b) 3 47 Keryx Biopharmaceuticals Inc. (b) (l) 2 29 Kosan Biosciences Inc. (b) 2 17 Lexicon Genetics Inc. (b) 7 54 Lifecell Corp. (b) 3 34 Marshall Edwards Inc. (b) 1 6 Maxim Pharmaceuticals Inc. (b) (l) 3 29 Maxygen Inc. (b) 3 31 Myogen Inc. (b) 2 12 Myriad Genetics Inc. (b) 3 49 Nanogen Inc. (b) (l) 4 24 Neose Technologies Inc. (b) 2 16 Northfield Laboratories Inc. (b) (l) 2 26 Oscient Pharmaceuticals Corp. (b) (l) 6 33 Peregrine Pharmaceuticals Inc. (b) (l) 14 20 Praecis Pharmaceuticals Inc. (b) 5 19 Regeneration Technologies Inc. (b) 3 31 Regeneron Pharmaceuticals Inc. (b) 4 45 Repligen Corp. (b) (l) 4 9 Savient Pharmaceuticals Inc. (b) 6 15 Seattle Genetics Inc. (b) 4 29 Serologicals Corp. (b) 3 55 SuperGen Inc. (b) (l) 5 30 Telik Inc. (b) 5 118 Tercica Inc. (b) 1 7 Third Wave Technologies Inc. (b) 3 15 Transkaryotic Therapies Inc. (b) 4 55 Vertex Pharmaceuticals Inc. (b) 9 93 Vical Inc. (b) 1 5 2,489 Building Materials - 1.0% Aaon Inc. (b) 1 20 Apogee Enterprises Inc. 3 29 Comfort Systems USA Inc. (b) 4 26 Drew Industries Inc. (b) 1 31 Eagle Materials Inc. 2 156 ElkCorp. 2 51 Genlyte Group Inc. (b) 1 85 Lennox International Inc. 5 88 LSI Industries Inc. 2 23 Mestek Inc. (b) - 7 NCI Building Systems Inc. (b) 2 73 Simpson Manufacturing Co. Inc. 2 115 Texas Industries Inc. 2 93 Trex Co. Inc. (b) 1 43 Universal Forest Products Inc. 2 61 US Concrete Inc. (b) 1 7 USG Corp. (b) (l) 4 62 York International Corp. 5 204 1,174 Chemicals - 2.5% A. Schulman Inc. 3 70 Aceto Corp. 2 29 Airgas Inc. 7 163 Albemarle Corp. 4 116 American Vanguard Corp. (l) 1 17 Arch Chemicals Inc. 3 76 Cabot Microelectronics Corp. (b) 3 82 Crompton Corp. 12 78 Cytec Industries Inc. 4 200 Ferro Corp. 5 126 FMC Corp. (b) 4 177 Georgia Gulf Corp. (l) 3 118 Great Lakes Chemical Corp. 6 157 HB Fuller Co. 3 93 Hercules Inc. (b) 12 152 IMC Global Inc. (l) 13 174 Kronos Worldwide Inc. - 13 MacDermid Inc. 3 105 Millennium Chemicals Inc. (b) 7 129 Minerals Technologies Inc. 2 139 NewMarket Corp. (b) 2 40 NL Industries 1 11 Octel Corp. 1 32 Olin Corp. 8 136 OM Group Inc. (b) 3 107 Omnova Solutions Inc. (b) 4 25 PolyOne Corp. (b) 10 74 Quaker Chemical Corp. 1 24 Sensient Technologies Corp. 5 110 Solutia Inc. (b) (l) 9 2 Spartech Corp. 3 70 Stepan Co. 1 17 Symyx Technologies Inc. (b) 3 77 Terra Industries Inc. (b) 4 23 Valhi Inc. 1 13 W.R. Grace & Co. (b) 8 48 Wellman Inc. 4 29 3,052 Commercial Services - 4.3% Aaron Rents Inc. 3 96 ABM Industries Inc. 4 80 ACE Cash Express Inc. (b) 1 26 Administaff Inc. (b) 2 40 Advisory Board Co. (b) 2 68 Albany Molecular Research Inc. (b) 3 42 Alderwoods Group Inc. (b) 5 55 AMN Healthcare Services Inc. (b) 1 22 Arbitron Inc. (b) 4 130 Bankrate Inc. (b) 1 7 Banta Corp. 3 126 Bowne & Co. Inc. 4 65 Bright Horizons Family Solutions Inc. (b) 1 79 CDI Corp. 1 46 Central Parking Corp. 2 39 Century Business Services Inc. (b) 8 35 Cenveo Inc. (b) 3 8 Charles River Associates Inc. (b) 1 37 Chemed Corp. 1 72 Clark Inc. (b) 2 34 Coinstar Inc. (b) (l) 2 51 Consolidated Graphics Inc. (b) 1 53 Cornell Cos. Inc. (b) 1 20 Corrections Corp. of America (b) 4 151 Corvel Corp. (b) 1 21 CoStar Group Inc. (b) 2 82 CPI Corp. 1 13 Cross Country Healthcare Inc. (b) 3 49 DiamondCluster International Inc. (b) 3 24 Dollar Thrifty Automotive Group (b) 3 77 Electro Rent Corp. (b) 2 22 Euronet Worldwide Inc. (b) 3 61 Exult Inc. (b) (l) 5 29 First Advantage Corp. - Class A (b) - 6 First Consulting Group Inc. (b) 2 12 First Health Group Corp. (b) 11 163 Forrester Research Inc. (b) 2 30 FTI Consulting Inc. (b) (l) 5 80 Gartner Inc. (b) 8 101 Geo Group Inc. (b) 1 23 Gevity HR Inc. 3 71 Greg Manning Auctions Inc. (b) (l) 1 8 Healthcare Services Group 2 24 Heidrick & Struggles International Inc. (b) 2 58 Hooper Holmes Inc. 7 41 Hudson Highland Group Inc. (b) 1 33 ICT Group Inc. (b) 1 5 Insurance Auto Auctions Inc. (b) 1 20 Integrated Electrical Services Inc. (b) 4 29 Interactive Data Corp. (b) 4 73 Intersections Inc. (b) 1 19 iPayment Holdings Inc. (b) 1 44 Kelly Services Inc. - Class A 2 60 kforce Inc. (b) 3 25 Korn/Ferry International (b) 3 67 Kroll Inc. (b) 4 150 Labor Ready Inc. (b) 4 69 Landauer Inc. 1 42 Learning Tree International Inc. (b) 1 14 LECG Corp. (b) 1 24 Magellan Health Services Inc. (b) 3 103 MAXIMUS Inc. (b) 2 77 McGrath Rentcorp. 1 31 Medical Staffing Network Holdings Inc. (b) 1 7 Memberworks Inc. (b) 1 23 Midas Inc. (b) 2 30 Monro Muffler Brake Inc. (b) 1 25 MPS Group Inc. (b) 12 144 National Processing Inc. (b) 1 27 Navigant Consulting Inc. (b) 5 106 NCO Group Inc. (b) 3 82 Newtek Business Services Inc. (b) (l) 1 6 Parexel International Corp. (b) 3 56 PDI Inc. (b) 1 31 Pre-Paid Legal Services Inc. (b) (l) 1 28 PRG-Schultz International Inc. (b) 4 24 Princeton Review Inc. (b) 2 14 Proxymed Inc. (b) 1 9 Quanta Services Inc. (b) 8 49 Rent-Way Inc. (b) 3 28 Resources Connection Inc. (b) 3 100 Rewards Network Inc. (b) 2 16 Rollins Inc. 2 52 SFBC International Inc. (b) 1 42 SM&A Inc. (b) 1 11 Sotheby's Holdings Inc. - Class A (b) 5 80 Source Interlink Cos. Inc. (b) 2 23 SOURCECORP Inc. (b) 2 52 Spherion Corp. (b) 7 66 Startek Inc. 1 43 Stewart Enterprises Inc. - Class A (b) 12 96 Strayer Education Inc. 2 192 TeleTech Holdings Inc. (b) 4 38 TNS Inc. (b) 1 11 United Rentals Inc. (b) 5 85 Universal Technical Institute Inc. (b) 2 60 Valassis Communications Inc. (b) 6 180 Volt Information Sciences Inc. (b) 1 29 Watson Wyatt & Co. Holdings 4 95 5,222 Computers - 3.0% 3D Systems Corp. (b) - 2 ActivCard Corp. (b) 5 34 Advanced Digital Information Corp. (b) 7 68 Agilysys Inc. 3 47 Ansoft Corp. (b) 1 10 Anteon International Corp. (b) 3 100 BISYS Group Inc. (b) 14 194 Brocade Communications Systems Inc. (b) 30 178 CACI International Inc. - Class A (b) 3 126 CapitalSource Inc. (b) 3 9 Carreker Corp. (b) 2 22 Catapult Communications Corp. (b) 1 13 Ciber Inc. (b) 6 46 Compucom Systems Inc. (b) 3 15 Computer Horizons Corp. (b) 4 16 Covansys Corp. (b) 2 22 Cray Inc. (b) 9 62 Cyberguard Corp. (b) 1 10 Digimarc Corp. (b) 2 22 DigitalNet Holdings Inc. (b) 1 12 Dot Hill Systems Corp. (b) 5 56 Drexler Technology Corp. (b) (l) 1 14 Echelon Corp. (b) 3 39 Electronics for Imaging Inc. (b) 6 171 Factset Research Systems Inc. 2 109 Gateway Inc. (b) 24 109 Hutchinson Technology Inc. (b) (l) 3 70 iGate Capital Corp. (b) 2 8 Imation Corp. 4 170 InFocus Corp. (b) 4 35 Integral Systems Inc. 1 18 Intergraph Corp. (b) 4 108 InterVoice Inc. (b) 4 49 Iomega Corp. (b) 6 36 Komag Inc. (b) 3 45 Kronos Inc. (b) 4 146 Lexar Media Inc. (b) (l) 8 54 Magma Design Automation Inc. (b) 3 53 Manhattan Associates Inc. (b) 3 106 Maxwell Technologies Inc. (b) 1 15 McData Corp. (b) 14 73 Mentor Graphics Corp. (b) 8 117 Mercury Computer Systems Inc. (b) 2 57 Merge Technologies Inc. (b) 1 18 Micros Systems Inc. (b) 2 83 Mobility Electronics Inc. (b) 3 22 MTS Systems Corp. 3 60 Nassda Corp. (b) 2 7 Neoware Systems Inc. (b) (l) 2 13 Netscout Systems Inc. (b) 3 19 Nuance Communications Inc. (b) 1 5 NYFIX Inc. (b) 3 15 Overland Storage Inc. (b) 1 20 PalmOne Inc. (b) (l) 5 165 Pec Solutions Inc. (b) (l) 1 12 Perot Systems Corp. (b) 9 115 Pomeroy Computer Resources (b) 1 11 Quantum Corp. (b) 20 61 Radiant Systems Inc. (b) 1 6 RadiSys Corp. (b) 2 44 SI International Inc. (b) 1 10 Sigma Designs Inc. (b) (l) 2 17 Silicon Graphics Inc. (b) (l) 28 62 Silicon Storage Technology Inc. (b) 9 90 SRA International Inc. - Class A (b) 1 58 Stratasys Inc. (b) 1 26 SYKES Enterprises Inc. (b) 3 20 Synaptics Inc. (b) 3 49 Synplicity Inc. (b) 2 9 Syntel Inc. 1 13 Talx Corp. 2 38 Tier Technologies Inc. - Class B (b) 2 18 Transact Technologies Inc. (b) 1 28 Tyler Technologies Inc. (b) 4 38 Xybernaut Corp. (b) (l) 19 31 3,849 Cosmetics & Personal Care - 0.1% Chattem Inc. (b) 2 52 DEL Laboratories Inc. (b) 1 18 Elizabeth Arden Inc. (b) 2 49 Inter Parfums Inc. 1 13 Revlon Inc. - Class A (b) 15 45 177 Distribution & Wholesale - 0.8% Advanced Marketing Services Inc. 2 22 Aviall Inc. (b) 3 50 Brightpoint Inc. (b) 2 28 Building Material Holding Corp. 1 27 Central European Distribution Corp. (b) (l) 1 33 Handleman Co. 3 64 LKQ Corp. (b) 2 28 Navarre Corp. (b) 2 32 Owens & Minor Inc. 4 114 ScanSource Inc. (b) 1 85 SCP Pool Corp. 4 182 United Stationers Inc. (b) 4 153 Watsco Inc. 3 73 WESCO International Inc. (b) 2 38 929 Diversified Financial Services - 1.2% Accredited Home Lenders Holding Co. (b) (l) 1 38 Advanta Corp. - Class B 2 53 Affiliated Managers Group Inc. (b) (l) 3 139 Asta Funding Inc. - 5 Bay View Capital Corp. (b) 5 10 BKF Capital Group Inc. 1 20 Charter Municipal Mortgage Acceptance Co. 4 84 CompuCredit Corp. (b) 2 35 Credit Acceptance Corp. (b) 1 20 Education Lending Group Inc. (b) 1 23 eSPEED Inc. (b) 3 50 Federal Agricultural Mortgage Corp. - Class C (b) 1 21 Financial Federal Corp. (b) 2 70 First Albany Cos. Inc. 1 9 Gabelli Asset Management Inc. - Class A 1 34 Greenhill & Co. Inc. (b) 1 13 Investment Technology Group Inc. (b) 5 61 Knight Trading Group Inc. (b) 13 133 LaBranche & Co. Inc. (l) 6 47 Metris Cos. Inc. (b) 3 28 National Financial Partners Corp. 4 134 Nelnet Inc. (b) 1 16 New Century Financial Corp. 3 148 Piper Jaffray Cos. (b) 2 104 Portfolio Recovery Associates Inc. (b) 2 43 Sanders Morris Harris Group Inc. 1 20 Saxon Capital Inc. (b) 3 75 Stifel Financial Corp. (b) 1 16 SWS Group Inc. 2 26 United PanAm Financial Corp. (b) - 8 World Acceptance Corp. (b) 2 36 1,519 Electric - 1.5% Aquila Inc. (b) 22 80 Avista Corp. 6 102 Black Hills Corp. 4 117 Calpine Corp. (b) (l) 47 204 Central Vermont Public Service Corp. 1 31 CH Energy Group Inc. 2 80 Cleco Corp. 5 97 CMS Energy Corp. (b) (l) 18 165 Duquesne Light Holdings Inc. 9 166 El Paso Electric Co. (b) 5 80 Empire District Electric Co. 3 55 Idacorp Inc. 4 117 MGE Energy Inc. 2 70 Otter Tail Corp. 3 84 PNM Resources Inc. 7 135 Sierra Pacific Resources (b) (l) 13 98 UIL Holdings Corp. 1 69 Unisource Energy Corp. 4 93 1,843 Electrical Components & Equipment - 0.9% Advanced Energy Industries Inc. (b) 2 39 American Superconductor Corp. (b) (l) 3 34 Artesyn Technologies Inc. (b) 4 35 Belden Inc. 3 59 C&D Technologies Inc. 3 53 Capstone Turbine Corp. (b) 9 19 Cherokee International Corp. (b) 1 8 Encore Wire Corp. (b) 1 34 Energy Conversion Devices Inc. (b) 2 26 General Cable Corp. (b) 5 41 GrafTech International Ltd. (b) 11 114 Intermagnetics General Corp. (b) 2 62 Littelfuse Inc. (b) 2 105 Magnetek Inc. (b) 3 21 Medis Technologies Ltd. (b) (l) 2 27 Powell Industries Inc. (b) 1 15 Power-One Inc. (b) 7 82 Rayovac Corp. (b) 4 113 Research Frontiers Inc. (b) (l) 1 9 Superconductor Technologies (b) (l) 6 8 Ultralife Batteries Inc. (b) 2 29 Universal Display Corp. (b) 2 25 Valence Technology Inc. (b) (l) 6 21 Vicor Corp. (b) 2 44 Wilson Greatbatch Technologies Inc. (b) 2 68 1,091 Electronics - 2.9% Analogic Corp. 1 40 BEI Technologies Inc. 1 39 Bel Fuse Inc. - Class B 1 55 Benchmark Electronics Inc. (b) 5 135 Brady Corp. - Class A 2 90 California Micro Devices Corp. (b) 2 25 Checkpoint Systems Inc. (b) 4 74 Coherent Inc. (b) 4 113 CTS Corp. 4 53 Cubic Corp. 2 41 Cyberoptics Corp. (b) 1 21 Cymer Inc. (b) 4 148 Daktronics Inc. (b) 2 44 DDi Corp. (b) 3 23 Dionex Corp. (b) 2 116 Electro Scientific Industries Inc. (b) 3 98 Excel Technology Inc. (b) 1 37 Fargo Electronics Inc. (b) 2 17 Faro Technologies Inc. (b) 1 28 FEI Co. (b) 3 61 Identix Inc. (b) 10 72 Ii-Vi Inc. (b) 1 39 Innovex Inc. (b) 2 10 Invision Technologies Inc. (b) 2 95 Itron Inc. (b) 2 57 Keithley Instruments Inc. 1 33 Kemet Corp. (b) 9 115 Measurement Specialties Inc. (b) 1 24 Merix Corp. (b) 2 21 Methode Electronics Inc. 4 51 Metrologic Instruments Inc. (b) 1 26 Molecular Devices Corp. (b) 2 29 OSI Systems Inc. (b) 1 29 Park Electrochemical Corp. 2 47 Paxar Corp. (b) 4 74 Pemstar Inc. (b) 4 9 Photon Dynamics Inc. (b) 2 64 Planar Systems Inc. (b) 2 24 Plexus Corp. (b) 5 66 RAE Systems Inc. (b) (l) 4 20 Rofin-Sinar Technologies Inc. (b) 2 45 Rogers Corp. (b) 2 122 SAFLINK Corp. (b) (l) 3 8 SBS Technologies Inc. (b) 2 29 Sonic Solutions Inc. (b) (l) 2 39 Spatialight Inc. (b) 3 15 Stoneridge Inc. (b) 2 31 Sypris Solutions Inc. 1 15 Taser International Inc. (b) (l) 3 126 Technitrol Inc. (b) 4 96 Thomas & Betts Corp. 7 182 Trimble Navigation Ltd. (b) 6 161 TTM Technologies Inc. (b) 4 52 Varian Inc. (b) 4 166 Viisage Technology Inc. (b) (l) 2 21 Watts Industries Inc. 3 75 Woodhead Industries Inc. 1 18 Woodward Governor Co. 1 88 X-Rite Inc. 2 36 Zygo Corp. (b) 2 22 3,510 Engineering & Construction - 0.5% Dycom Industries Inc. (b) 5 152 EMCOR Group Inc. (b) 2 71 Granite Construction Inc. 4 72 Infrasource Services Inc. (b) 1 11 Insituform Technologies Inc. (b) 3 45 Perini Corp. (b) 1 8 Shaw Group Inc. (b) 7 75 URS Corp. (b) 4 97 Washington Group International Inc. (b) 3 98 629 Entertainment - 1.1% Alliance Gaming Corp. (b) 6 102 AMC Entertainment Inc. (b) 3 52 Argosy Gaming Co. (b) 3 106 Bluegreen Corp. (b) 2 23 Carmike Cinemas Inc. (b) 1 32 Championship Auto Racing Teams Inc. (b) 1 - Churchill Downs Inc. 1 37 Dover Downs Gaming & Entertainment Inc. 1 12 Dover Motorsports Inc. 2 7 Empire Resorts Inc. (b) (l) 1 13 Gaylord Entertainment Co. (b) 3 108 Isle of Capri Casinos Inc. (b) 1 26 Lakes Entertainment Inc. (b) (l) 2 19 Macrovision Corp. (b) 6 140 Magna Entertainment Corp. (b) (l) 5 28 Nevada Gold & Casinos Inc. (b) 1 11 Penn National Gaming Inc. (b) 3 114 Pinnacle Entertainment Inc. (b) 4 51 Scientific Games Corp. - Class A (b) 6 121 Shuffle Master Inc. (b) 3 91 Six Flags Inc. (b) 10 73 Speedway Motorsports Inc. 2 57 Steinway Musical Instruments (b) 1 25 Sunterra Corp. (b) (l) 2 25 Vail Resorts Inc. (b) 2 40 1,313 Environmental Control - 0.5% BHA Group Holdings Inc. 1 20 Calgon Carbon Corp. 4 30 Casella Waste Systems Inc. (b) 1 18 Clean Harbors Inc. (b) (l) 1 9 Darling International Inc. (b) 8 32 Duratek Inc. (b) 1 19 Imco Recycling Inc. (b) 2 20 Ionics Inc. (b) 2 56 Metal Management Inc. (b) 2 38 Mine Safety Appliances Co. 2 83 Tetra Tech Inc. (b) 6 103 TRC Cos. Inc. (b) 1 21 Waste Connections Inc. (b) 5 137 586 Food - 1.3% American Italian Pasta Co. (l) 2 56 Arden Group Inc. - Class A - 15 Cal-Maine Foods Inc. (l) 2 22 Chiquita Brands International Inc. (b) 5 98 Corn Products International Inc. 4 201 Flowers Foods Inc. 4 100 Great Atlantic & Pacific Tea Co. Inc. (b) 2 14 Hain Celestial Group Inc. (b) 3 50 Ingles Markets Inc. - Class A 1 11 Interstate Bakeries 6 60 J&J Snack Foods Corp. (b) 1 31 JM Smucker Co. - - John B. Sanfilippo & Son (b) 1 20 Lance Inc. 3 48 M&F Worldwide Corp. (b) 1 19 MGP Ingredients Inc. (l) - 15 Monterey Pasta Co. (b) 1 4 Nash Finch Co. 1 32 Pathmark Stores Inc. (b) 3 23 Performance Food Group Co. (b) 5 139 Provide Commerce Inc. (b) 1 10 Ralcorp Holdings Inc. (b) 3 112 Riviana Foods Inc. 1 17 Ruddick Corp. 4 81 Sanderson Farms Inc. 1 62 Seaboard Corp. - 16 United Natural Foods Inc. (b) 4 129 Weis Markets Inc. 1 42 Wild Oats Markets Inc. (b) 3 49 Winn-Dixie Stores Inc. (l) 10 69 1,545 Forest Products & Paper - 0.5% Buckeye Technologies Inc. (b) 3 38 Caraustar Industries Inc. (b) 3 44 Deltic Timber Corp. 1 46 Longview Fibre Co. (b) 6 82 P.H. Glatfelter Co. 3 49 Pope & Talbot Inc. 2 38 Potlatch Corp. 3 139 Rock-Tenn Co. - Class A 3 52 Schweitzer-Mauduit International Inc. 2 50 Wausau-Mosinee Paper Corp. 5 85 623 Gas - 1.4% Atmos Energy Corp. 6 144 Cascade Natural Gas Corp. 1 30 Chesapeake Utilities Corp. 1 15 Energen Corp. 4 198 EnergySouth Inc. 1 21 Laclede Group Inc. 2 63 New Jersey Resources Corp. 3 125 Nicor Inc. (l) 5 170 Northwest Natural Gas Co. 3 95 NUI Corp. 2 29 Peoples Energy Corp. 4 185 Piedmont Natural Gas Co. (l) 4 184 SEMCO Energy Inc. 3 19 South Jersey Industries Inc. 1 64 Southern Union Co. (b) 7 140 Southwest Gas Corp. 4 90 WGL Holdings Inc. 6 158 1,730 Hand & Machine Tools - 0.5% Baldor Electric Co. 4 87 Franklin Electric Co. Inc. 2 70 Kennametal Inc. 4 186 Lincoln Electric Holdings Inc. 4 141 Milacron Inc. (b) (l) 4 17 Regal-Beloit Corp. 3 63 564 Healthcare - 5.6% Abaxis Inc. (b) 2 36 Abiomed Inc. (b) (l) 2 20 Advanced Medical Optics Inc. (b) 3 145 Advanced Neuromodulation Systems Inc. (b) 2 71 Align Technology Inc. (b) 5 102 Alliance Imaging Inc. (b) 2 7 Amedisys Inc. (b) 1 40 America Service Group Inc. (b) 1 28 American Healthways Inc. (b) 3 86 American Medical Security Group Inc. (b) 1 36 American Medical Systems Holdings Inc. (b) 2 83 AMERIGROUP Corp. (b) 3 131 Amsurg Corp. (b) 3 81 Apria Healthcare Group Inc. (b) 6 166 Arrow International Inc. 2 64 Arthrocare Corp. (b) 2 70 Aspect Medical Systems Inc. (b) 1 27 Beverly Enterprises Inc. (b) 12 105 Biolase Technology Inc. (b) (l) 2 31 Biosite Inc. (b) (l) 2 68 Bioveris Corp. (b) 3 21 Bruker BioSciences Corp. (b) 3 13 Candela Corp. (b) 2 18 Cantel Medical Corp. (b) 1 19 Cardiac Science Inc. (b) 6 15 Cardiodynamics International Corp. (b) 4 20 Centene Corp. (b) 2 83 Cepheid Inc. (b) 5 56 Cerus Corp. (b) 2 4 Cholestech Corp. (b) 2 13 Chronimed Inc. (b) 2 13 Closure Medical Corp. (b) 1 19 Columbia Laboratories Inc. (b) 4 13 Conceptus Inc. (b) (l) 2 25 CONMED Corp. (b) 3 90 CTI Molecular Imaging Inc. (b) 3 42 Cyberonics Inc. (b) (l) 2 63 Datascope Corp. 1 55 Diagnostic Products Corp. 3 114 DJ Orthopedics Inc. (b) 2 43 Encore Medical Corp. (b) 3 21 Endocardial Solutions Inc. (b) 2 24 Epix Medical Inc. (b) 2 43 Exactech Inc. (b) 1 15 Genesis HealthCare Corp. (b) 2 62 Gentiva Health Services Inc. (b) 3 44 Haemonetics Corp. (b) 2 58 Hanger Orthopedic Group Inc. (b) 3 30 Hologic Inc. (b) 2 56 ICU Medical Inc. (b) (l) 1 40 Immucor Inc. (b) 2 74 Immunicon Corp. (b) 1 7 Intuitive Surgical Inc. (b) 4 73 Invacare Corp. 3 124 Inveresk Research Group Inc. (b) 3 103 Inverness Medical Innovations Inc. (b) 1 33 IVAX Diagnostics Inc. (b) 1 6 Kensey Nash Corp. (b) (l) 1 40 Kindred Healthcare Inc. (b) 3 79 Kyphon Inc. (b) 3 76 LabOne Inc. (b) (l) 1 45 Laserscope (b) 2 59 LCA-Vision Inc. (b) 1 32 Lifecore Biomedical Inc. (b) 1 5 Lifeline Systems Inc. (b) 1 31 LifePoint Hospitals Inc. (b) 4 152 Luminex Corp. (b) 2 23 Matria Healthcare Inc. (b) 1 26 Medical Action Industries Inc. (b) 1 17 MedSource Technologies Inc. (b) 1 6 Mentor Corp. (l) 5 169 Meridian Bioscience Inc. 1 13 Merit Medical Systems Inc. (b) 3 44 Micro Therapeutics Inc. (b) 1 5 Microtek Medical Holdings Inc. (b) 5 24 Microvision Inc. (b) (l) 2 17 Molina Healthcare Inc. (b) 1 42 National Healthcare Corp. 1 20 Novoste Corp. (b) 1 3 Oakley Inc. 2 29 Ocular Sciences Inc. (b) 2 94 Odyssey HealthCare Inc. (b) 4 79 Option Care Inc. 1 23 OraSure Technologies Inc. (b) 5 46 Orthodontic Centers of America Inc. (b) (l) 5 38 Orthologic Corp. (b) 4 32 Orthovita Inc. (b) 4 22 Osteotech Inc. (b) 1 9 Palatin Technologies Inc. (b) 6 27 Palomar Medical Technologies Inc. (b) - 7 Pediatrix Medical Group Inc. (b) 3 208 PolyMedica Corp. 3 90 Possis Medical Inc. (b) 2 64 Province Healthcare Co. (b) 6 96 PSS World Medical Inc. (b) 7 82 Psychiatric Solutions Inc. (b) 1 32 Quest Diagnostics Inc. - 1 Quidel Corp. (b) 3 19 Radiologix Inc. (b) 1 3 RehabCare Group Inc. (b) 2 53 Retractable Technologies Inc. (b) (l) 1 6 Select Medical Corp. 10 140 Sierra Health Services Inc. (b) 2 111 Sola International Inc. (b) 4 61 SonoSite Inc. (b) 2 41 Specialty Laboratories Inc. (b) 1 8 Staar Surgical Co. (b) (l) 2 16 Steris Corp. (b) 8 180 Sunrise Senior Living Inc. (b) (l) 2 70 SurModics Inc. (b) (l) 2 42 Sybron Dental Specialties Inc. (b) 4 132 Symbion Inc. (b) 1 16 Synovis Life Technologies Inc. (b) (l) 1 11 Techne Corp. (b) 5 203 ThermoGenesis Corp. (b) 5 22 Thoratec Corp. (b) (l) 6 63 TriPath Imaging Inc. (b) 3 25 United Surgical Partners International Inc. (b) 3 129 Urologix Inc. (b) 2 24 US Oncology Inc. (b) 8 115 US Physical Therapy Inc. (b) 1 17 Ventana Medical Systems Inc. (b) 2 72 Viasys Healthcare Inc. (b) 3 70 VistaCare Inc. - Class A (b) 1 18 VISX Inc. (b) 6 148 Vital Images Inc. (b) 1 10 Vital Signs Inc. 1 19 West Pharmaceutical Services Inc. 1 57 Wright Medical Group Inc. (b) 3 109 Young Innovations Inc. - 12 Zila Inc. (b) 5 24 Zoll Medical Corp. (b) 1 38 6,940 Holding Companies - Diversified - 0.1% Resource America Inc. - Class A 2 39 Walter Industries Inc. 3 36 75 Home Builders - 0.9% Beazer Homes USA Inc. (l) 2 157 Brookfield Homes Corp. 2 42 Champion Enterprises Inc. (b) 8 72 Coachmen Industries Inc. 2 26 Dominion Homes Inc. (b) - 8 Fleetwood Enterprises Inc. (b) 6 85 Levitt Corp. - Class A (b) 2 44 M/I Schottenstein Homes Inc. 1 53 Meritage Corp. (b) 1 83 Modtech Holdings Inc. (b) 1 6 Monaco Coach Corp. 3 81 Orleans Homebuilders Inc. (b) - 4 Palm Harbor Homes Inc. (b) (l) 2 33 Skyline Corp. 1 28 Technical Olympic USA Inc. 1 23 Thor Industries Inc. 4 144 WCI Communities Inc. (b) 4 82 William Lyon Homes Inc. (b) (l) - 43 Winnebago Industries (l) 3 106 1,120 Home Furnishings - 0.6% American Woodmark Corp. 1 41 Applica Inc. (b) 2 20 Bassett Furniture Industries Inc. 1 24 Digital Theater Systems Inc. (b) 2 47 Emerson Radio Corp. (b) 2 6 Ethan Allen Interiors Inc. 4 133 Furniture Brands International Inc. 6 147 Hooker Furniture Corp. 1 13 Kimball International Inc. - Class B 3 39 La-Z-Boy Inc. 6 108 Parkervision Inc. (b) (l) 1 3 Salton Inc. (b) (l) - 1 Stanley Furniture Co. Inc. 1 23 Tempur-Pedic International Inc. (b) 2 28 Tivo Inc. (b) (l) 5 33 Universal Electronics Inc. (b) 2 28 694 Household Products - 1.1% American Greetings Corp. - Class A (b) 7 158 Blyth Inc. 4 124 Central Garden & Pet Co. (b) 2 68 CSS Industries Inc. 1 25 Ennis Business Forms 2 39 Jarden Corp. (b) 3 113 John H. Harland Co. 3 95 Libbey Inc. 2 43 National Presto Industries Inc. 1 24 Playtex Products Inc. (b) 4 32 Russ Berrie & Co. Inc. 1 19 Standard Register Co. 2 18 Toro Co. 3 195 Tupperware Corp. 6 116 Water Pik Technologies Inc. (b) 1 17 WD-40 Co. 2 61 Yankee Candle Co. Inc. (b) 6 165 1,312 Insurance - 2.3% 21st Century Insurance Group 2 31 Alfa Corp. 4 58 American Equity Investment Life Holding Co. (b) 2 22 American Physicians Capital Inc. (b) 1 24 AmerUs Group Co. 4 175 Argonaut Group Inc. (b) 3 56 Baldwin & Lyons Inc. 1 24 Bristol West Holdings Inc. 2 29 Citizens Inc. (b) (l) 4 30 CNA Surety Corp. (b) 2 19 Commerce Group Inc. 3 148 Crawford & Co. - Class B 2 9 Delphi Financial Group Inc. - Class A 3 121 Direct General Corp. 2 55 Donegal Group Inc. - 8 Enstar Group Inc. (b) - 19 FBL Financial Group Inc. - Class A 1 41 Fidelity National Financial Inc. - 3 Financial Industries Corp. (b) 1 9 First Acceptance Corp. (b) 2 15 FPIC Insurance Group Inc. (b) (l) 1 27 Great American Financial Resources Inc. 1 10 Harleysville Group Inc. 2 29 Hilb Rogal & Hamilton Co. 3 121 Horace Mann Educators Corp. 5 83 Independence Holding Co. - 11 Infinity Property & Casualty Corp. 2 74 Kansas City Life Insurance Co. - 17 LandAmerica Financial Group Inc. 2 82 Midland Co. 1 33 Mony Group Inc. - 13 National Western Life Insurance Co. - Class A (b) - 42 Navigators Group Inc. (b) 1 20 NYMAGIC Inc. - 12 Ohio Casualty Corp. (b) 7 137 Penn-America Group Inc. 1 14 Philadelphia Consolidated Holding Co. (b) 2 121 Phoenix Cos. Inc. 11 132 PMA Capital Corp. 3 29 Presidential Life Corp. 3 45 ProAssurance Corp. (b) 3 101 RLI Corp. 2 89 Safety Insurance Group Inc. 1 23 Selective Insurance Group 3 129 State Auto Financial Corp. 1 45 Stewart Information Services Corp. 2 64 Triad Guaranty Inc. (b) 1 64 UICI (b) 4 97 United Fire & Casualty Co. 1 50 Universal American Financial Corp. (b) 3 30 USI Holdings Corp. (b) 4 60 Vesta Insurance Group Inc. 4 25 Zenith National Insurance Corp. (l) 1 61 2,786 Internet - 3.6% 1-800 Contacts Inc. (b) 1 14 1-800-FLOWERS.COM Inc. (b) 2 17 24/7 Real Media Inc. (b) 2 13 Agile Software Corp. (b) 6 50 Alloy Inc. (b) (l) 4 25 Aquantive Inc. (b) 6 54 Ariba Inc. (b) (l) 27 54 AsiaInfo Holdings Inc. (b) 4 19 At Road Inc. (b) 4 27 Autobytel Inc. (b) 5 42 Blue Coat Systems Inc. (b) 1 40 Blue Nile Inc. (b) - 15 BroadVision Inc. (b) (l) 3 12 Centillium Communications Inc. (b) 4 13 Chordiant Software Inc. (b) 8 35 CMGI Inc. (b) 41 79 CNET Networks Inc. (b) 15 161 Corillian Corp. (b) 4 18 CyberSource Corp. (b) 3 24 Digital Insight Corp. (b) 4 79 Digital River Inc. (b) 4 118 Digitas Inc. (b) 6 63 DoubleClick Inc. (b) 14 108 drugstore.com inc. (b) (l) 4 14 E.piphany Inc. (b) 8 40 Earthlink Inc. (b) 16 162 eCollege.com Inc. (b) 2 26 E-Loan Inc. (b) (l) 4 11 Entrust Inc. (b) 5 25 Equinix Inc. (b) 1 34 eResearch Technology Inc. (b) 5 138 F5 Networks Inc. (b) 4 105 FindWhat.com (b) 2 50 Freemarkets Inc. (b) 5 30 GSI Commerce Inc. (b) 2 22 Harris Interactive Inc. (b) 5 36 HomeStore.com Inc. (b) 11 43 Infospace Inc. (b) 4 139 Interland Inc. (b) (l) 1 3 Internap Network Services Corp. (b) 25 30 Internet Capital Group Inc. (b) (l) 4 31 Internet Security Systems Inc. (b) 5 69 Interwoven Inc. (b) 5 50 Ipass Inc. (b) 5 50 iVillage Inc. (b) 3 18 J2 Global Communications Inc. (b) (l) 2 56 Jupitermedia Corp. (b) 2 24 Kana Software Inc. (b) 3 8 Keynote Systems Inc. (b) 2 27 Kintera Inc. (b) 1 6 Lionbridge Technologies Inc. (b) 5 38 LookSmart Ltd. (b) 10 22 Marimba Inc. (b) 2 16 Marketwatch.com Inc. (b) (l) 1 14 Matrixone Inc. (b) 5 37 Neoforma Inc. (b) (l) 1 12 Net2Phone Inc. (b) (l) 4 18 NetBank Inc. 5 55 Netegrity Inc. (b) 4 30 Netratings Inc. (b) 1 21 NIC Inc. (b) 3 24 Openwave Systems Inc. (b) 7 88 Opsware Inc. (b) 6 45 Overstock.com Inc. (b) (l) 1 45 PC-Tel Inc. (b) 3 31 Portal Software Inc. (b) 3 12 Priceline.com Inc. (b) 3 74 ProQuest Co. (b) 3 77 QRS Corp. (b) 1 6 Raindance Communications Inc. (b) 6 13 RealNetworks Inc. (b) 13 89 Redback Networks Inc. (b) 4 22 Register.com (b) 2 14 RSA Security Inc. (b) (l) 7 143 S1 Corp. (b) 8 77 Safeguard Scientifics Inc. (b) 13 30 Sapient Corp. (b) 9 57 Secure Computing Corp. (b) 4 49 Seebeyond Technology Corp. (b) 6 21 Sohu.com Inc. (b) (l) 2 47 SonicWALL Inc. (b) 7 57 Stamps.com Inc. (b) 2 22 Stellent Inc. (b) 2 21 SupportSoft Inc. (b) 4 37 TheStreet.com Inc. (b) (l) 1 5 Travelzoo Inc. (b) (l) - 9 Trizetto Group Inc. (b) 3 23 Tumbleweed Communications Corp. (b) 5 22 United Online Inc. (b) (l) 6 107 Valueclick Inc. (b) 9 108 Verity Inc. (b) 3 44 Verso Technologies Inc. (b) 14 25 Vignette Corp. (b) 31 51 Vitria Technology Inc. (b) 2 5 WatchGuard Technologies Inc. (b) 4 26 WebEx Communications Inc. (b) 3 72 webMethods Inc. (b) 5 46 Websense Inc. (b) 3 98 Zix Corp. (b) (l) 2 17 4,349 Investment Companies - 0.2% Apollo Investment Corp. (b) 7 99 Gladstone Capital Corp. (l) 1 22 Harris & Harris Group Inc. (b) (l) 1 16 MCG Capital Corp. 4 58 Medallion Financial Corp. 2 13 208 Iron & Steel - 0.7% AK Steel Holding Corp. (b) 12 63 Allegheny Technologies Inc. 9 166 Carpenter Technology Corp. 3 90 Cleveland-Cliffs Inc. (b) (l) 1 71 Gibraltar Steel Corp. 2 55 Material Sciences Corp. (b) 1 11 Oregon Steel Mills Inc. (b) 3 41 Reliance Steel & Aluminum Co. 3 131 Ryerson Tull Inc. 3 43 Schnitzer Steel Industries Inc. - Class A 2 73 Steel Dynamics Inc. (b) 4 121 Steel Technologies Inc. 1 24 889 Leisure Time - 0.5% Ambassadors Group Inc. 1 23 Ambassadors International Inc. - 6 Arctic Cat Inc. 1 41 Bally Total Fitness Holding Corp. (b) (l) 4 19 Callaway Golf Co. 7 82 Escalade Inc. 1 19 K2 Inc. (b) 3 54 Marine Products Corp. 1 17 Multimedia Games Inc. (b) (l) 3 73 Nautilus Group Inc. (l) 3 61 Navigant International Inc. (b) (l) 2 30 Orbitz Inc. - Class A (b) 1 28 Pegasus Solutions Inc. (b) 3 37 WMS Industries Inc. (b) (l) 2 63 553 Lodging - 0.5% Ameristar Casinos Inc. 1 40 Aztar Corp. (b) 4 110 Boca Resorts Inc. - Class A (b) 2 47 Boyd Gaming Corp. 4 102 La Quinta Corp. (b) 21 173 Marcus Corp. 2 41 MTR Gaming Group Inc. (b) 2 27 Prime Hospitality Corp. (b) 5 49 589 Machinery - 1.8% Alamo Group Inc. 1 13 Albany International Corp. 3 102 Applied Industrial Technologies Inc. 2 56 Astec Industries Inc. (b) 2 30 Cascade Corp. 1 36 Cognex Corp. 5 176 Flowserve Corp. (b) 6 154 Gardner Denver Inc. (b) 2 67 Gerber Scientific Inc. (b) 2 14 Global Power Equipment Group Inc. (b) 4 29 Gorman-Rupp Co. 1 24 IDEX Corp. (l) 6 195 JLG Industries Inc. 5 65 Joy Global Inc. 6 174 Kadant Inc. (b) 2 36 Lindsay Manufacturing Co. 1 33 Manitowoc Co. 3 99 Middleby Corp. 1 27 NACCO Industries Inc. - Class A 1 51 Nordson Corp. 3 125 Presstek Inc. (b) 3 30 Robbins & Myers Inc. 1 30 Sauer-Danfoss Inc. 1 22 Stewart & Stevenson Services Inc. 3 57 Tecumseh Products Co. 2 81 Tennant Co. 1 33 Terex Corp. (b) 6 190 Thomas Industries Inc. 2 53 UNOVA Inc. (b) 5 104 Wabtec Corp. 5 82 2,188 Manufacturing - 1.5% Actuant Corp. - Class A (b) 3 107 Acuity Brands Inc. 5 130 Ameron International Corp. 1 32 AO Smith Corp. 2 63 Applied Films Corp. (b) 2 48 Aptargroup Inc. 4 183 Barnes Group Inc. 2 50 Blount International Inc. (b) 1 9 Ceradyne Inc. (b) 2 65 Clarcor Inc. 3 134 Concord Camera Corp. (b) 3 9 Cuno Inc. (b) 2 96 EnPro Industries Inc. (b) 2 57 ESCO Technologies Inc. (b) 1 77 Federal Signal Corp. 6 103 Flanders Corp. (b) 1 12 Griffon Corp. (b) 3 59 Hexcel Corp. (b) 2 28 Jacuzzi Brands Inc. (b) 8 66 Lancaster Colony Corp. - 12 Lydall Inc. (b) 2 17 Matthews International Corp. - Class A 4 120 Myers Industries Inc. 2 34 Quixote Corp. 1 17 Raven Industries Inc. 1 28 Standex International Corp. 1 38 Sturm Ruger & Co. Inc. 2 29 Tredegar Corp. 3 48 Trinity Industries Inc. (l) 4 125 1,796 Media - 1.5% 4Kids Entertainment Inc. (b) 2 39 Acme Communications Inc. (b) 1 8 Beasley Broadcasting Group Inc. - Class A (b) - 7 Charter Communications Inc. (b) (l) 30 119 Courier Corp. 1 29 Crown Media Holdings Inc. (b) 1 13 Cumulus Media Inc. - Class A (b) 5 91 Emmis Communications Corp. (b) (l) 5 113 Entravision Communications Corp. (b) 5 39 Fisher Communications Inc. (b) 1 40 Gray Television Inc. 5 68 Hollinger International Inc. 6 106 Information Holdings Inc. (b) 1 35 Insight Communications Co. Inc. (b) 5 50 Journal Communications Inc. Class A 2 40 Journal Register Co. (b) 5 97 Liberty Corp. 2 79 Lin TV Corp. - Class A (b) 3 62 Lodgenet Entertainment Corp. (b) 1 22 Martha Stewart Living Omnimedia Inc. (b) (l) 2 14 Mediacom Communications Corp. (b) 6 48 Paxson Communications Corp. (b) 4 13 Pegasus Communications Corp. (b) (l) - 10 Playboy Enterprises Inc. - Class B (b) 2 26 PRIMEDIA Inc. (b) 14 40 Pulitzer Inc. 1 42 Reader's Digest Association Inc. - Class A 11 179 Regent Communications Inc. (b) 4 28 Saga Communications Inc. (b) 2 34 Salem Communications Corp. - Class A (b) 1 29 Scholastic Corp. (b) 3 102 Sinclair Broadcast Group Inc. - Class A 5 54 Spanish Broadcasting System Inc. (b) 4 40 Thomas Nelson Inc. 1 22 Value Line Inc. - 7 World Wrestling Entertainment Inc. 1 17 Young Broadcasting Inc. (b) 2 25 1,787 Metal Fabrication & Hardware - 0.5% Ampco Pittsburgh Corp. 1 9 CIRCOR International Inc. 2 37 Commercial Metals Co. 3 103 Intermet Corp. 1 6 Kaydon Corp. 3 96 Lawson Products Inc. 1 23 Metals USA Inc. (b) 2 38 Mueller Industries Inc. 4 143 NN Inc. 1 15 NS Group Inc. (b) 2 35 Penn Engineering & Manufacturing Corp. 1 28 Quanex Corp. 2 86 Valmont Industries Inc. 2 35 654 Mining - 0.5% Amcol International Corp. 2 44 Brush Engineered Materials Inc. (b) 2 37 Century Aluminum Co. (b) 2 48 Coeur D'alene Mines Corp. (b) (l) 23 94 Compass Minerals International Inc. 2 31 Hecla Mining Co. (b) 13 73 Liquidmetal Technologies Inc. (b) (l) 1 1 Royal Gold Inc. (l) 2 25 RTI International Metals Inc. (b) 2 34 Stillwater Mining Co. (b) 4 66 Titanium Metals Corp. (b) - 19 USEC Inc. (l) 9 80 Westmoreland Coal Co. (b) 1 15 567 Office & Business Equipment - 0.1% General Binding Corp. (b) 1 11 Global Imaging Systems Inc. (b) 2 88 Imagistics International Inc. (b) 2 66 165 Office Furnishings - 0.0% Compx International Inc. (b) - 6 Interface Inc. (b) 5 47 Virco Manufacturing Corp. (b) 1 4 57 Oil & Gas Producers - 2.8% Atlas America Inc. (b) - 6 Atwood Oceanics Inc. (b) 1 50 Berry Petroleum Co. - Class A 2 57 Brigham Exploration Co. (b) 1 6 Cabot Oil & Gas Corp. 4 159 Callon Petroleum Co. (b) 1 16 Cheniere Energy Inc. (b) (l) 2 39 Cimarex Energy Co. (b) 5 142 Clayton Williams Energy Inc. (b) (l) - 10 Comstock Resources Inc. (b) 4 77 Crosstex Energy Inc. - 12 Delta Petroleum Corp. (b) 2 23 Denbury Resources Inc. (b) 6 130 Edge Petroleum Corp. (b) 1 24 Encore Acquisition Co. (b) 2 68 Energy Partners Ltd. (b) 3 43 Forest Oil Corp. (b) 5 141 Frontier Oil Corp. 3 61 FX Energy Inc. (b) (l) 3 25 Giant Industries Inc. (b) 1 24 Grey Wolf Inc. (b) 20 86 Harvest Natural Resources Inc. (b) 4 58 Helmerich & Payne Inc. 6 149 Holly Corp. 1 47 Houston Exploration Co. (b) 2 85 KCS Energy Inc. (b) 6 75 Magnum Hunter Resources Inc. (b) 7 78 McMoRan Exploration Co. (b) (l) 2 24 Meridian Resource Corp. (b) 6 41 Mission Resources Corp. (b) 4 25 Parker Drilling Co. (b) 11 41 Penn Virginia Corp. 2 71 Petroleum Development Corp. (b) 2 53 Plains Exploration & Production Co. (b) 9 160 Prima Energy Corp. (b) 1 42 Quicksilver Resources Inc. (b) 2 111 Range Resources Corp. 6 92 Remington Oil & Gas Corp. (b) 3 61 Southwestern Energy Co. (b) 4 118 Spinnaker Exploration Co. (b) 3 114 St. Mary Land & Exploration Co. 3 117 Stone Energy Corp. (b) 2 114 Swift Energy Co. (b) 3 69 Tesoro Petroleum Corp. (b) 7 205 Todco - Class A (b) 1 20 Unit Corp. (b) 4 127 Vintage Petroleum Inc. 6 98 Whiting Petroleum Corp. (b) 2 53 3,447 Oil & Gas Services - 1.3% CAL Dive International Inc. (b) 4 128 CARBO Ceramics Inc. 1 99 Dril-Quip Inc. (b) 1 11 Global Industries Ltd. (b) 10 55 Gulf Island Fabrication Inc. 1 18 Hanover Compressor Co. (b) 8 99 Horizon Offshore Inc. (b) 2 2 Hornbeck Offshore Services Inc. (b) 1 8 Hydril Co. (b) 2 55 Input/Output Inc. (b) (l) 5 41 Key Energy Services Inc. (b) 15 141 Lone Star Technologies Inc. (b) 3 89 Lufkin Industries Inc. 1 27 Matrix Service Co. (b) 2 17 Maverick Tube Corp. (b) 5 126 Newpark Resources Inc. (b) 10 59 Oceaneering International Inc. (b) 3 98 Oil States International Inc. (b) 3 52 RPC Inc. 1 21 Seacor Smit Inc. (b) 2 92 Superior Energy Services Inc. (b) 6 59 Tetra Technologies Inc. (b) 3 68 Universal Compression Holdings Inc. (b) 2 61 Veritas DGC Inc. (b) 4 87 W-H Energy Services Inc. (b) 3 54 1,567 Packaging & Containers - 0.4% Chesapeake Corp. 2 59 Crown Holdings Inc. (b) 20 198 Graphic Packaging Corp. (b) 8 66 Greif Inc. - Class A 2 65 Silgan Holdings Inc. 1 53 441 Pharmaceuticals - 3.7% aaiPharma Inc. (b) (l) 2 9 Abgenix Inc. (b) 9 103 Able Laboratories Inc. (b) 2 42 Accelrys Inc. (b) 3 27 Adolor Corp. (b) 5 58 Alkermes Inc. (b) 10 138 Alpharma Inc. 4 87 Alteon Inc. (b) (l) 2 2 Antigenics Inc. (b) (l) 2 21 Array Biopharma Inc. (b) 3 20 Atherogenics Inc. (b) 4 77 Atrix Labs Inc. (b) 2 81 AVI BioPharma Inc. (b) (l) 3 6 Bentley Pharmaceuticals Inc. (b) 2 24 Bioenvision Inc. (b) 2 18 BioMarin Pharmaceuticals Inc. (b) 8 47 Biopure Corp. (b) (l) 2 2 Bone Care International Inc. (b) 2 43 Bradley Pharmaceuticals Inc. (b) (l) 1 42 Caraco Pharmaceutical Laboratories Inc. (b) 1 10 Cell Therapeutics Inc. (b) (l) 6 43 Cima Labs Inc. (b) 2 54 Collagenex Pharmaceuticals Inc. (b) 1 11 Connetics Corp. (b) 3 68 Corcept Therapeutics Inc. (b) 1 5 Corixa Corp. (b) (l) 7 31 Cubist Pharmaceuticals Inc. (b) 5 53 Curative Health Services Inc. (b) 1 11 CV Therapeutics Inc. (b) (l) 3 57 Cypress Bioscience Inc. (b) 3 43 D&K Healthcare Resources Inc. 1 17 Dendreon Corp. (b) 7 81 Depomed Inc. (b) (l) 2 11 Discovery Laboratories Inc. (b) 5 47 Dov Pharmaceutical Inc. (b) 2 23 Durect Corp. (b) (l) 3 12 Dusa Pharmaceuticals Inc. (b) (l) 2 15 Dyax Corp. (b) 3 33 Dynavax Technologies Corp. (b) 1 5 First Horizon Pharmaceutical Corp. (b) 3 58 Genta Inc. (b) 5 14 Guilford Pharmaceuticals Inc. (b) (l) 4 20 HealthExtras Inc. (b) 2 36 Hi-Tech Pharmacal Co. Inc. (b) 1 10 Hollis-Eden Pharmaceuticals Inc. (b) (l) 2 20 I-Flow Corp. (b) 2 22 Ilex Oncology Inc. (b) 5 115 Impax Laboratories Inc. (b) 6 106 Indevus Pharmaceuticals Inc. (b) 5 29 Inkine Pharmaceutical Co. (b) 5 20 Inspire Pharmaceuticals Inc. (b) 3 58 Isis Pharmaceuticals Inc. (b) 6 32 Isolagen Inc. (b) 2 25 Ista Pharmaceuticals Inc. (b) 1 8 Kos Pharmaceuticals Inc. (b) 1 43 KV Pharmaceutical Co. - Class A (b) 4 90 La Jolla Pharmaceutical Co. (b) 6 15 Lannett Co. Inc. (b) (l) 1 10 Ligand Pharmaceuticals Inc. - Class B (b) (l) 8 145 Mannatech Inc. (l) 2 14 Medarex Inc. (b) (l) 9 65 Medicines Co. (b) (l) 5 166 MIM Corp. (b) 3 22 Nabi Biopharmaceuticals (b) 6 89 Nature's Sunshine Products Inc. 1 16 NeighborCare Inc. (b) 4 133 Neopharm Inc. (b) 2 18 Neurogen Corp. (b) - 3 NitroMed Inc. (b) 1 6 Noven Pharmaceuticals Inc. (b) 2 55 NPS Pharmaceuticals Inc. (b) (l) 4 88 Nutraceutical International Corp. (b) - 4 Nuvelo Inc. (b) 3 28 Omega Protein Corp. (b) 1 11 Onyx Pharmaceuticals Inc. (b) 4 166 Pain Therapeutics Inc. (b) 3 21 Par Pharmaceutical Cos. Inc. (b) 4 137 Penwest Pharmaceuticals Co. (b) 2 24 Perrigo Co. 7 135 PetMed Express Inc. (b) (l) 1 8 Pharmacyclics Inc. (b) 2 21 Pharmion Corp. (b) 1 64 Pharmos Corp. (b) 9 38 Pozen Inc. (b) 3 17 Priority Healthcare Corp. (b) (l) 3 72 Progenics Pharmaceuticals Inc. (b) 1 21 Rigel Pharmaceuticals Inc. (b) 1 16 Salix Pharmaceuticals Ltd. (b) 3 87 Santarus Inc. (b) (l) 1 10 Sciclone Pharmaceuticals Inc. (b) 5 25 Star Scientific Inc. (b) (l) 3 12 Tanox Inc. (b) 3 55 Theragenics Corp. (b) 3 16 Trimeris Inc. (b) (l) 2 27 United Therapeutics Corp. (b) 2 54 Usana Health Sciences Inc. (b) (l) 1 38 Valeant Pharmaceuticals International (l) 10 190 Vaxgen Inc. (b) 3 35 Vicuron Pharmaceuticals Inc. (b) 5 64 Vion Pharmaceuticals Inc. (b) (l) 6 25 Virbac Corp. (b) 1 2 Vivus Inc. (b) 4 16 Zymogenetics Inc. (b) 2 32 4,499 Pipelines - 0.0% Plains Resources Inc. (b) 3 48 Transmontaigne Inc. (b) 2 11 59 Real Estate - 6.1% Acadia Realty Trust 3 36 Affordable Residential Communities 3 42 Alexander's Inc. (b) - 35 Alexandria Real Estate Equities Inc. 2 125 American Financial Realty Trust 12 176 American Home Mortgage Investment Corp. 4 99 American Land Lease Inc. 1 12 American Mortgage Acceptance Co. 1 13 AMLI Residential Properties 3 86 Anthracite Capital Inc. 5 66 Anworth Mortgage Asset Corp. 5 58 Arbor Realty Trust Inc. 1 14 Ashford Hospitality Trust Inc. 2 18 Associated Estates Realty 2 16 Avatar Holdings Inc. (b) (l) 1 26 Bedford Property Investors 2 48 Boykin Lodging Co. (b) 2 15 Brandywine Realty Trust 5 125 BRT Realty Trust - 8 Capital Automotive REIT 3 100 Capital Lease Funding Inc. (b) 2 25 Capital Trust Inc. - Class A 1 16 Capstead Mortgage Corp. (l) 2 23 CarrAmerica Realty Corp. 6 187 Cedar Shopping Centers Inc. 2 21 Colonial Properties Trust 2 83 Commercial Net Lease Realty 6 102 Consolidated-Tomoka Land Co. 1 25 Cornerstone Realty Income Trust Inc. 6 48 Corporate Office Properties Trust 4 91 Correctional Properties Trust 1 38 Cousins Properties Inc. 4 135 CRIIMI MAE Inc. (b) 1 17 Eastgroup Properties Inc. 2 81 Entertainment Properties Trust 3 92 Equity Inns Inc. 5 51 Equity One Inc. 4 70 Essex Property Trust Inc. 3 174 FelCor Lodging Trust Inc. (b) 5 65 First Industrial Realty Trust Inc. 5 186 Gables Residential Trust 3 114 Getty Realty Corp. 2 49 Glenborough Realty Trust Inc. 3 55 Glimcher Realty Trust 4 89 Government Properties Trust Inc. 2 22 Healthcare Realty Trust Inc. 5 184 Heritage Property Investment Trust 3 85 Highland Hospitality Corp. (b) 4 37 Highwoods Properties Inc. 6 144 Home Properties of NY Inc. 4 145 IMPAC Mortgage Holdings Inc. 7 159 Innkeepers USA Trust 4 39 Investors Real Estate Trust 5 53 Jones Lang LaSalle Inc. (b) 4 99 Keystone Property Trust 3 76 Kilroy Realty Corp. 3 112 Koger Equity Inc. (b) 3 68 Kramont Realty Trust 3 42 LaSalle Hotel Properties 3 76 Lexington Corporate Properties Trust 5 104 LNR Property Corp. 2 109 LTC Properties Inc. 2 31 Luminent Mortgage Capital Inc. 4 52 Maguire Properties Inc. 4 97 Manufactured Home Communities Inc. 2 72 Meristar Hospitality Corp. (b) 10 67 MFA Mortgage Investments Inc. 8 73 Mid-America Apartment Communities Inc. 2 77 Mission West Properties 2 23 National Health Investors Inc. 3 80 National Health Realty Inc. (l) 1 12 Nationwide Health Properties Inc. 8 143 Newcastle Investment Corp. 4 114 Novastar Financial Inc. (l) 3 106 Omega Healthcare Investors Inc. 5 50 Origen Financial Inc. (b) (l) 1 7 Parkway Properties Inc. 1 53 Pennsylvania Real Estate Investment Trust 3 117 Post Properties Inc. 5 132 Prentiss Properties Trust 5 170 Price Legacy Corp. 3 46 PS Business Parks Inc. 2 73 RAIT Investment Trust 3 66 Ramco-Gershenson Properties Trust 2 37 Reading International Inc. (b) 1 12 Realty Income Corp. (l) 5 188 Redwood Trust Inc. (l) 2 96 Saul Centers Inc. 1 38 Senior Housing Properties Trust 6 101 Sizeler Property Investors Inc. 1 12 Sovran Self Storage Inc. 2 62 Summit Properties Inc. 3 83 Sun Communities Inc. 2 65 Tanger Factory Outlet Centers Inc. 1 56 Tarragon Realty Investors Inc. (b) 1 13 Taubman Centers Inc. 6 130 Town & Country Trust (l) 2 48 Trammell Crow Co. (b) 4 54 United Capital Corp. (b) - 4 United Mobile Homes Inc. (l) 1 7 Universal Health Realty Income Trust 1 36 Urstadt Biddle Properties Inc. - Class A 2 35 US Restaurants Properties Inc. 3 43 Washington Real Estate Investment Trust 5 137 Winston Hotels Inc. 3 28 7,455 Retail - 5.6% 99 Cents Only Stores (b) 6 87 AC Moore Arts & Crafts Inc. (b) 2 45 Aeropostale Inc. (b) 6 168 America's Car Mart Inc. (b) 1 17 Asbury Automotive Group Inc. (b) 1 21 Bebe Stores Inc. (b) 1 16 Big 5 Sporting Goods Corp. (b) 2 58 Blair Corp. 1 25 Bob Evans Farms Inc. 4 109 Bombay Co. Inc. (b) 4 27 Brookstone Inc. (b) 2 43 Brown Shoe Co. Inc. 2 80 Buckle Inc. 1 27 Buffalo Wild Wings Inc. (b) 1 17 Burlington Coat Factory Warehouse Corp. 2 38 Cache Inc. (b) 1 14 California Pizza Kitchen Inc. (b) 2 39 Casey's General Stores Inc. 5 100 Cash America International Inc. 3 71 Casual Male Retail Group Inc. (b) (l) 3 25 Cato Corp. - Class A 2 48 CBRL Group Inc. 6 173 CEC Entertainment Inc. (b) 4 124 Charlotte Russe Holding Inc. (b) 1 28 Charming Shoppes Inc. (b) 13 117 Chicago Pizza & Brewery Inc. (b) 1 20 Children's Place Retail Stores Inc. (b) 2 47 Christopher & Banks Corp. 4 72 CKE Restaurants Inc. (b) 6 77 Coldwater Creek Inc. (b) 2 41 Cole National Corp. (b) 2 35 Conn's Inc. (b) 1 11 Cosi Inc. (b) (l) 2 13 Cost Plus Inc. (b) 2 77 CSK Auto Corp. (b) 5 91 Dave & Buster's Inc. (b) 1 23 DEB Shops Inc. 1 14 Dick's Sporting Goods Inc. (b) 3 110 Dress Barn Inc. (b) 2 40 Duane Reade Inc. (b) 3 44 Electronics Boutique Holdings Corp. (b) 1 33 Factory 2-U Stores Inc. (b) (l) - - Finish Line - Class A (b) 2 65 Finlay Enterprises Inc. (b) 1 18 First Cash Financial Services Inc. (b) 1 26 Footstar Inc. (b) (l) 2 10 Fred's Inc. 4 94 Galyan's Trading Co. Inc. (b) (l) 1 13 GameStop Corp. (b) 2 25 Gander Mountain Co. (b) 1 14 Genesco Inc. (b) 3 62 Goody's Family Clothing Inc. 2 21 Group 1 Automotive Inc. (b) 2 74 Guitar Center Inc. (b) 3 117 Hancock Fabrics Inc. 2 29 Haverty Furniture Cos. Inc. 2 35 Hibbett Sporting Goods Inc. (b) 3 70 Hollywood Entertainment Corp. (b) 6 76 HOT Topic Inc. (b) (l) 6 113 IHOP Corp. 2 84 Insight Enterprises Inc. (b) 6 98 J. Jill Group Inc. (b) 2 47 Jack in the Box Inc. (b) 4 122 Jo-Ann Stores Inc. (b) 2 64 Jos. A. Banks Clothiers Inc. (b) (l) 1 31 Kenneth Cole Productions Inc. 1 29 Kirkland's Inc. (b) 1 14 Krispy Kreme Doughnuts Inc. (b) (l) 6 118 Landry's Restaurants Inc. 2 71 Linens `N Things Inc. (b) 5 149 Lithia Motors Inc. - Class A 2 40 Lone Star Steakhouse & Saloon Inc. 2 52 Longs Drug Stores Corp. 3 77 MarineMax Inc. (b) 1 36 Men's Wearhouse Inc. (b) 4 96 Mothers Work Inc. (b) - 7 Movado Group Inc. 2 31 Movie Gallery Inc. 3 58 Nu Skin Enterprises Inc. 6 150 O'Charleys Inc. (b) 2 40 Panera Bread Co. - Class A (b) (l) 3 112 Pantry Inc. (b) 1 27 Papa John's International Inc. (b) 1 38 Party City Corp. (b) 1 16 Payless Shoesource Inc. (b) 7 111 PC Connection Inc. (b) 1 7 PC Mall Inc. (b) 1 15 PEP Boys-Manny Moe & Jack 7 168 PF Chang's China Bistro Inc. (b) (l) 3 114 Rare Hospitality International Inc. (b) 4 95 Red Robin Gourmet Burgers Inc. (b) 1 37 Restoration Hardware Inc. (b) 3 19 Retail Ventures Inc. (b) 1 11 Rex Stores Corp. (b) 1 9 Rush Enterprises Inc. (b) 1 8 Ryan's Restaurant Group Inc. (b) 5 72 School Specialty Inc. (b) 2 80 Select Comfort Corp. (b) 4 117 Sharper Image Corp. (b) 1 44 Shoe Carnival Inc. (b) 1 12 ShopKo Stores Inc. (b) 3 47 Smart & Final Inc. (b) 1 17 Sonic Automotive Inc. 3 66 Sonic Corp. (b) 7 153 Stage Stores Inc. (b) 2 82 Steak N Shake Co. (b) 3 50 Stein Mart Inc. (b) 3 47 Systemax Inc. (b) 1 6 TBC Corp. (b) 2 55 The Bon-Ton Stores Inc. 1 7 The Sports Authority Inc. (b) 2 88 Too Inc. (b) 4 62 Tractor Supply Co. (b) 4 148 Trans World Entertainment Corp. (b) 3 25 Triarc Cos. 4 40 Tuesday Morning Corp. (b) 3 81 Tweeter Home Entertainment Group Inc. (b) 2 12 Ultimate Electronics Inc. (b) (l) 1 7 United Auto Group Inc. 2 66 West Marine Inc. (b) 2 42 Wet Seal Inc. (b) (l) 3 13 Whitehall Jewelers Inc. (b) 1 9 Wilsons The Leather Experts Inc. (b) 1 5 World Fuel Services Corp. 1 58 Zale Corp. (b) 6 163 7,002 Savings & Loans - 2.3% Anchor Bancorp. Inc. 2 62 Bank Mutual Corp. 5 57 BankAtlantic Bancorp. Inc. 5 86 BankUnited Financial Corp. - Class A (b) 3 75 Berkshire Hills Bancorp. Inc. 1 22 BostonFed Bancorp. Inc. - 6 Brookline Bancorp. Inc. 7 99 Camco Financial Corp. 1 12 CFS Bancorp. Inc. 1 19 Charter Financial Corp. 1 19 Citizens First Bancorp. Inc. 1 23 Citizens South Banking Corp. 1 15 Commercial Capital Bancorp. Inc. (b) 4 68 Commercial Federal Corp. 5 127 Dime Community Bancshares Inc. 4 65 Downey Financial Corp. 2 117 ESB Financial Corp. (l) 1 11 EverTrust Financial Group Inc. 1 18 FFLC Bancorp. Inc. - 8 Fidelity Bankshares Inc. 2 54 First Defiance Financial Corp. 1 12 First Federal Capital Corp. 2 67 First Financial Holdings Inc. 2 43 First Niagara Financial Group Inc. 9 109 First Place Financial Corp. 2 28 First Sentinel Bancorp. Inc. 3 57 FirstFed Financial Corp. (b) 2 76 Flag Financial Corp. (l) 1 10 Flagstar Bancorp. Inc. (l) 4 71 Flushing Financial Corp. 2 36 FMS Financial Corp. - 5 Franklin Bank Corp. (b) - 5 Harbor Florida Bancshares Inc. 3 75 Heritage Financial Corp. 1 11 Horizon Financial Corp. 1 27 Hudson River Bancorp. 4 63 Itla Capital Corp. (b) 1 23 KNBT Bancorp. Inc. 1 11 MAF Bancorp. Inc. 3 137 MASSBANK Corp. - 13 MutualFirst Financial Inc. 1 13 NASB Financial Inc. - 12 Northwest Bancorp. Inc. 1 30 OceanFirst Financial Corp. 1 21 Ocwen Financial Corp. (b) 5 55 Oneida Financial Corp. (l) 1 5 Parkvale Financial Corp. (l) 1 15 Partners Trust Financial Group Inc. 1 15 Pennfed Financial Services Inc. - 16 PFF Bancorp. Inc. 1 54 Provident Bancorp. Inc. 2 25 Provident Financial Holdings Inc. 1 15 Provident Financial Services Inc. 6 107 Quaker City Bancorp. Inc. 1 39 Seacoast Financial Services Corp. 4 129 Sound Federal Bancorp. Inc. 1 19 Sterling Financial Corp. (b) 3 84 TierOne Corp. 2 53 United Community Financial Corp. 3 44 Warwick Community Bancorp. Inc. - 13 Waypoint Financial Corp. 4 102 Westfield Financial Inc. 1 12 Willow Grove Bancorp. Inc. 1 16 WSFS Financial Corp. 1 33 2,769 Semiconductors - 3.5% Actel Corp. (b) 3 55 ADE Corp. (b) - 8 Alliance Semiconductor Corp. (b) 3 15 AMIS Holdings Inc. (b) 4 61 Artisan Components Inc. (b) 3 65 Asyst Technologies Inc. (b) 6 59 ATMI Inc. (b) (l) 4 97 Axcelis Technologies Inc. (b) 11 141 Brooks Automation Inc. (b) 5 97 Ceva Inc. (b) 2 14 ChipPAC Inc. (b) 7 44 Cirrus Logic Inc. (b) 10 58 Cohu Inc. 3 49 Credence Systems Corp. (b) (l) 11 151 Diodes Inc. (b) 1 17 DSP Group Inc. (b) 3 93 Dupont Photomasks Inc. (b) 1 30 Emulex Corp. (b) 9 134 Entegris Inc. (b) 5 55 ESS Technology (b) 4 41 Exar Corp. (b) 4 65 Formfactor Inc. (b) 3 72 Genesis Microchip Inc. (b) 4 52 Helix Technology Corp. 3 60 Integrated Device Technology Inc. (b) 12 165 Integrated Silicon Solutions Inc. (b) 4 52 IXYS Corp. (b) 2 15 Kopin Corp. (b) 9 44 Kulicke & Soffa Industries Inc. (b) (l) 6 61 Lattice Semiconductor Corp. (b) 12 85 LTX Corp. (b) 7 78 Mattson Technology Inc. (b) 5 55 Micrel Inc. (b) 7 90 Microsemi Corp. (b) 6 91 Mindspeed Technologies Inc. (b) 12 59 MIPS Technologies Inc. - Class A (b) 1 5 MKS Instruments Inc. (b) 4 81 Monolithic System Technology Inc. (b) 3 21 Mykrolis Corp. (b) 4 78 Omnivision Technologies Inc. (b) (l) 6 101 ON Semiconductor Corp. (b) 14 70 Pericom Semiconductor Corp. (b) 3 27 Photronics Inc. (b) 4 68 Pixelworks Inc. (b) (l) 5 72 PLX Technology Inc. (b) 2 36 Power Integrations Inc. (b) (l) 3 80 Richardson Electronics Ltd. 1 6 Rudolph Technologies Inc. (b) 1 25 Semitool Inc. (b) 2 20 Sigmatel Inc. (b) 3 81 Silicon Image Inc. (b) 8 106 Siliconix Inc. (b) 1 33 Sipex Corp. (b) 3 18 Sirf Technology Holdings Inc. (b) 1 16 Skyworks Solutions Inc. (b) 17 148 Staktek Holdings Inc. (b) 1 6 Standard Microsystems Corp. (b) 2 46 Supertex Inc. (b) 1 19 Tessera Technologies Inc. (b) 3 52 Three-Five Systems Inc. (b) 2 12 Transmeta Corp. (b) 15 33 Tripath Technology Inc. (b) 4 12 Triquint Semiconductor Inc. (b) 15 81 Ultratech Inc. (b) 2 39 Varian Semiconductor Equipment Associates Inc. (b) 4 158 Veeco Instruments Inc. (b) 3 77 Virage Logic Corp. (b) 1 11 Vitesse Semiconductor Corp. (b) 25 120 White Electronic Designs Corp. (b) 2 12 Xicor Inc. (b) 3 50 Zoran Corp. (b) 5 92 4,240 Software - 3.4% Advent Software Inc. (b) 3 47 Allscripts Healthcare Solutions Inc. (b) 3 24 Altiris Inc. (b) 2 62 Ansys Inc. (b) 2 77 Ascential Software Corp. (b) 6 102 Aspen Technology Inc. (b) 5 33 Authentidate Holding Corp. (b) (l) 3 34 Borland Software Corp. (b) 9 79 Captaris Inc. (b) 3 22 CCC Information Services Group (b) 1 25 Cerner Corp. (b) (l) 3 152 Computer Programs & Systems Inc. 1 18 Concord Communications Inc. (b) 2 22 Concur Technologies Inc. (b) 3 31 Concurrent Computer Corp. (b) 6 13 Convera Corp. (b) (l) 1 3 CSG Systems International Inc. (b) 6 120 Datastream Systems Inc. (b) 2 14 Dendrite International Inc. (b) 4 76 Digi International Inc. (b) 2 25 Eclipsys Corp. (b) 4 66 eFunds Corp. (b) 5 96 Embarcadero Technologies Inc. (b) 2 29 Epicor Software Corp. (b) 4 58 EPIQ Systems Inc. (b) (l) 1 20 FalconStor Software Inc. (b) (l) 3 22 FILENET Corp. (b) 4 138 Group 1 Software Inc. (b) 1 33 Hyperion Solutions Corp. (b) 5 210 IDX Systems Corp. (b) 2 65 IMPAC Medical Systems Inc. (b) 1 9 Informatica Corp. (b) 9 71 infoUSA Inc. (b) 3 34 Intelidata Technologies Corp. (b) 1 1 Intellisync Corp. (b) (l) 6 17 InterCept Inc. (b) 2 33 Inter-Tel Inc. 2 59 JDA Software Group Inc. (b) 3 37 Keane Inc. (b) 5 75 Lawson Software Inc. (b) 6 46 Mantech International Corp. - Class A (b) 2 33 Manugistics Group Inc. (b) 6 20 MAPICS Inc. (b) 3 27 Micromuse Inc. (b) 8 57 MicroStrategy Inc. - Class A (b) 1 55 Midway Games Inc. (b) (l) 4 47 Mobius Management Systems Inc. (b) 1 5 MRO Software Inc. (b) 2 30 MSC.Software Corp. (b) 3 29 NDCHealth Corp. 4 90 NETIQ Corp. (b) 7 86 Omnicell Inc. (b) 2 26 Onyx Software Corp. (b) - 2 Open Solutions Inc. (b) 1 32 Opnet Technologies Inc. (b) 1 16 Packeteer Inc. (b) 4 58 PalmSource Inc. (b) 2 30 Parametric Technology Corp. (b) 30 152 PDF Solutions Inc. (b) 2 15 Pegasystems Inc. (b) 1 9 Per-Se Technologies Inc. (b) 2 36 Pinnacle Systems Inc. (b) 7 53 PLATO Learning Inc. (b) 2 24 Progress Software Corp. (b) 4 77 QAD Inc. (b) 1 15 Quality Systems Inc. (b) - 19 Quest Software Inc. (b) 5 70 Renaissance Learning Inc. (l) 1 22 Retek Inc. (b) 6 40 Roxio Inc. (b) (l) 4 19 ScanSoft Inc. (b) 10 50 Schawk Inc. 1 13 Seachange International Inc. (b) 3 48 Serena Software Inc. (b) 2 45 SPSS Inc. (b) 2 30 SS&C Technologies Inc. 1 26 SYNNEX Corp. (b) 1 11 Take-Two Interactive Software Inc. (b) 5 151 THQ Inc. (b) 4 95 Tradestation Group Inc. (b) 2 14 Transaction Systems Architects Inc. (b) 4 88 Trident Microsystems Inc. (b) 2 22 Ulticom Inc. (b) 1 16 Ultimate Software Group Inc. (b) 2 16 Vastera Inc. (b) 4 11 Verint Systems Inc. (b) 1 48 VitalWorks Inc. (b) 5 17 Wind River Systems Inc. (b) 8 91 Witness Systems Inc. (b) 2 27 4,112 Storage/Warehousing - 0.0% Mobile Mini Inc. (b) 2 42 Telecommunications - 0.7% Alaska Communications Systems Group Inc. (b) 1 6 Arch Wireless Inc. - Class A (b) 2 54 Aspect Communications Corp. (b) 4 63 Cincinnati Bell Inc. (b) 28 123 Commonwealth Telephone Enterprises Inc. (b) 2 112 CT Communications Inc. 2 31 D&E Communications Inc. 1 19 General Communication - Class A (b) 5 44 Golden Telecom Inc. 2 45 Hickory Tech Corp. 1 12 Hungarian Telephone & Cable (b) 1 5 Inet Technologies Inc. (b) 3 31 Infonet Services Corp. (b) 7 11 Intrado Inc. (b) 2 32 Lightbridge Inc. (b) 3 18 MASTEC Inc. (b) 2 12 Metro One Telecommunications Inc. (b) (l) 1 2 Primus Telecommunications GP (b) 8 42 PTEK Holdings Inc. (b) 6 65 Shenandoah Telecom Co. 1 21 SureWest Communications 2 53 Talk America Holdings Inc. (b) (l) 3 26 Time Warner Telecom Inc. (b) 6 25 Warwick Valley Telephone Co. 1 16 868 Telecommunications Equipment - 1.7% Adaptec Inc. (b) (l) 12 100 Aeroflex Inc. (b) 7 103 Anaren Inc. (b) 2 38 Anixter International Inc. (b) 3 111 Applied Signal Technology Inc. 1 36 Arris Group Inc. (b) 9 56 Athero Communications Inc. (b) 1 11 Avanex Corp. (b) (l) 8 31 Black Box Corp. 2 82 Cable Design Technologies Corp. (b) (l) 5 52 C-COR.net Corp. (b) 5 47 CommScope Inc. (b) 6 131 Computer Network Technology Corp. (b) 3 19 Comtech Telecommunications (b) 2 40 Corvis Corp. (b) (l) 42 59 Ditech Communications Corp. (b) 3 72 Enterasys Networks Inc. (b) 23 48 Extreme Networks Inc. (b) 12 66 Finisar Corp. (b) (l) 18 35 Harmonic Inc. (b) 8 71 Hypercom Corp. (b) 5 46 Ixia (b) 3 26 KVH Industries Inc. (b) 2 22 MRV Communications Inc. (b) (l) 13 35 Netgear Inc. (b) 2 25 Network Equipment Technologies Inc. (b) 3 21 Newport Corp. (b) 4 68 NMS Communications Corp. (b) 5 36 North Pittsburgh Systems Inc. 2 35 Oplink Communications Inc. (b) 8 15 Optical Communication Products Inc. (b) 2 6 Paradyne Networks Corp. (b) 4 23 SafeNet Inc. (b) 3 74 Sonus Networks Inc. (b) 25 117 SR Telecom Inc. (b) - - Stratos Lightwave Inc. (b) - 1 Sycamore Networks Inc. (b) 20 85 Symmetricom Inc. (b) 5 44 Tekelec (b) 5 98 Terayon Communication Systems Inc. (b) 7 17 TippingPoint Technologies Inc. (b) - 8 Tollgrade Communications Inc. (b) 1 14 Westell Technologies Inc. (b) 6 28 WJ Communications Inc. (b) 3 12 Zhone Technologies Inc. (b) 5 18 2,082 Textiles - 0.1% Angelica Corp. 1 28 G&K Services Inc. - Class A 2 76 Quaker Fabric Corp. 1 5 Unifirst Corp. 1 29 138 Tobacco - 0.2% DIMON Inc. 5 30 Standard Commercial Corp. 1 20 Universal Corp. 3 147 Vector Group Ltd. 3 40 237 Toys & Hobbies - 0.2% Action Performance Cos. Inc. 2 29 Boyds Collection Ltd. (b) 1 4 Department 56 Inc. (b) 1 23 Jakks Pacific Inc. (b) 3 62 Leapfrog Enterprises Inc. (b) (l) 3 64 RC2 Corp. (b) 2 59 Topps Co. Inc. 4 37 278 Transportation - 2.0% Alexander & Baldwin Inc. 5 173 Amerco Inc. (b) 1 24 Arkansas Best Corp. 3 85 Central Freight Lines Inc. (b) 1 7 Covenant Transport Inc. (b) 1 17 EGL Inc. (b) 4 109 Florida East Coast Industries - Class A 2 91 Forward Air Corp. (b) 2 88 GATX Corp. 6 153 Genesee & Wyoming Inc. - Class A (b) 2 41 Greenbrier Cos. Inc. (b) 1 10 Gulfmark Offshore Inc. (b) 2 24 Heartland Express Inc. 3 91 Hub Group Inc. - Class A (b) 1 20 Interpool Inc. - 6 Kansas City Southern (b) (l) 7 105 Kirby Corp. (b) 2 95 Knight Transportation Inc. (b) 3 77 Laidlaw International Inc. (b) 12 153 Landstar System Inc. (b) 3 176 Maritrans Inc. 1 13 Offshore Logistics Inc. (b) 2 64 Old Dominion Freight Line Inc. (b) 2 57 Overnite Corp. 3 94 Overseas Shipholding Group Inc. 3 137 Pacer International Inc. (b) 3 55 PAM Transportation Services (b) 1 14 Petroleum Helicopters Inc. (b) (l) - 4 RailAmerica Inc. (b) 4 55 SCS Transportation Inc. (b) 2 46 Seabulk International Inc. (b) 1 11 Swift Transportation Co. Inc. (b) 6 102 US Xpress Enterprises Inc. (b) 1 9 USF Corp. 3 104 Werner Enterprises Inc. 6 118 2,430 Venture Capital - 0.0% Circle Group Holdings Inc. (b) (l) 2 11 Water - 0.2% American States Water Co. 2 41 California Water Service Group 2 48 Connecticut Water Service Inc. 1 24 Middlesex Water Co. 1 25 Pico Holdings Inc. (b) 1 16 SJW Corp. 1 24 Southwest Water Co. (l) 2 26 204 Wireless Telecommunications - 0.8% Aether Systems Inc. (b) 4 15 AirGate PCS Inc. (b) 1 24 Airspan Networks Inc. (b) 3 18 Alamosa Holdings Inc. (b) (l) 7 49 Audiovox Corp. (b) 2 31 Boston Communications Group Inc. (b) 2 19 Carrier Access Corp. (b) 2 25 Centennial Communications Corp. (b) 1 11 Dobson Communications Corp. (b) 12 38 EMS Technologies Inc. (b) 1 24 InterDigital Communications Corp. (b) 6 121 Metrocall Holdings Inc. (b) 1 40 Novatel Wireless Inc. (b) 2 53 Powerwave Technologies Inc. (b) 7 54 Price Communications Corp. (b) 4 65 Proxim Corp. - Class A (b) (l) 5 6 REMEC Inc. (b) 7 46 RF Micro Devices Inc. (b) (l) 21 155 SBA Communications Corp. (b) 4 20 Spectralink Corp. 2 30 Stratex Networks Inc. (b) 9 28 Triton PCS Holdings Inc. (b) (l) 4 18 Ubiquitel Inc. (b) 8 32 Viasat Inc. (b) 2 56 Wireless Facilities Inc. (b) 5 54 1,032 Total Common Stocks (cost $105,713) 116,655 Short Term Investments - 4.2% Money Market Funds - 3.9% Dreyfus Cash Management Plus, 1.14% (a) (n) 4,830 4,830 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 1.23%, 09/30/04 (m) $300 299 Total Short Term Investments (cost $5,129) 5,129 Total Investments - 99.4% (cost $110,842) 121,784 Other Assets and Liabilities, Net - 0.6% 713 Total Net Assets - 100% $122,497 JNL/OPPENHEIMER GLOBAL GROWTH FUND Common Stocks - 95.0% Advertising - 0.8% JC Decaux SA (b) 31 $668 WPP Group Plc 68 686 1,354 Aerospace & Defense - 3.1% Boeing Co. 17 884 Empresa Brasiliera de Aeronautica SA - ADR 50 1,418 Lockheed Martin Corp. 15 766 Northrop Grumman Corp. 16 832 Raytheon Co. 36 1,291 5,191 Apparel - 0.3% Coach Inc. (b) 11 484 Auto Manufacturers - 1.0% Toyota Motor Corp. 41 1,665 Banks - 8.3% ABN Amro Holding NV 70 1,525 Anglo Irish Bank Corp. Plc 46 728 Australia & New Zealand Banking Group Ltd. 50 631 Bank One Corp. 58 2,958 Commerce Bancorp. Inc. (l) 6 314 ICICI Bank Ltd. - ADR 73 885 Northern Trust Corp. 12 516 Resona Holdings Inc. (b) 373 663 Royal Bank of Scotland Group Plc 84 2,409 Societe Generale (l) 18 1,488 Wachovia Corp. 37 1,654 13,771 Beverages - 1.5% Cia de Bebidas das Americas - ADR 35 702 Diageo Plc 25 342 Fomento Economico Mexicano SA de CV 177 807 Grupo Modelo SA 237 593 2,444 Biotechnology - 2.7% Affymetrix Inc. (b) (l) 26 838 Amgen Inc. (b) 17 917 Genentech Inc. (b) (l) 16 910 Genzyme Corp. (b) 15 719 Human Genome Sciences Inc. (b) 18 214 Millennium Pharmaceuticals Inc. (b) 18 248 Qiagen NV (b) 52 613 4,459 Commercial Services - 0.4% Nektar Therapeutics Restricted (b) 11 177 Rentokil Initial Plc 180 472 649 Computers - 1.8% Cadence Design Systems Inc. (b) (l) 114 1,662 International Business Machines Corp. 7 593 Sun Microsystems Inc. (b) 179 777 3,032 Cosmetics & Personal Care - 1.1% Gillette Co. 32 1,361 Shiseido Co. Ltd. 43 542 1,903 Diversified Financial Services - 3.1% American Express Co. 26 1,326 Charles Schwab Corp. 55 527 Citigroup Inc. 13 581 Credit Saison Co. Ltd. 29 878 MBNA Corp. 60 1,537 MLP AG (l) 22 327 5,176 Electrical Components & Equipment - 1.4% Samsung Electronics Co. Ltd. 4 1,565 Sharp Corp. 49 783 2,348 Electronics - 1.3% Applera Corp. - Applied Biosystems Group 31 674 Keyence Corp. 3 677 Murata Manufacturing Co. Ltd. 13 747 2,098 Engineering & Construction - 0.2% JGC Corp. 27 260 Leighton Holdings Ltd. 11 69 329 Entertainment - 0.4% International Game Technology 18 676 Food - 1.4% Cadbury Schweppes Plc 204 1,756 Carrefour SA 11 540 2,296 Gas - 0.5% Gail India Ltd. 15 57 Hong Kong & China Gas Co. Ltd. 473 780 837 Healthcare - 1.8% Cie Generale D'Optique Essilor International SA 11 719 Quest Diagnostics Inc. 17 1,444 Smith & Nephew Plc 83 889 3,052 Holding Companies - Diversified - 0.3% Hutchison Whampoa Ltd. 82 560 Household Products - 2.8% Hindustan Lever Ltd. 256 709 Reckitt Benckiser Plc 124 3,511 Societe BIC SA 8 363 4,583 Insurance - 4.2% ACE Ltd. 31 1,291 Aegon NV 102 1,226 Allianz AG 14 1,481 Berkshire Hathaway Inc. - Class B (b) - 1,330 Everest Re Group Ltd. 8 635 Manulife Financial Corp. (l) 23 930 6,893 Internet - 1.9% Amazon.Com Inc. (b) 18 952 Symantec Corp. (b) 19 849 Trend Micro Inc. 21 909 Yahoo Japan Corp. (b) - 438 3,148 Media - 7.5% Grupo Televisa SA - ADR 26 1,159 Pearson Plc 120 1,464 Reed Elsevier Plc 88 858 Singapore Press Holdings Ltd. 359 867 Sirius Satellite Radio Inc. (b) (l) 1,499 4,615 Societe Television Francaise 1 22 686 Television Broadcasts Ltd. 285 1,221 Wolters Kluwer NV 46 829 ZEE Telefilms Ltd. 287 788 12,487 Office & Business Equipment - 0.4% Canon Inc. (l) 13 685 Oil & Gas Producers - 6.3% BP Plc - ADR 25 1,340 Burlington Resources Inc. 20 738 ChevronTexaco Corp. 15 1,365 EnCana Corp. 22 937 ENI-Ente Nazionale Idrocarburi SpA (l) 34 671 GlobalSantaFe Corp. 55 1,460 Husky Energy Inc. (l) 76 1,458 Oil & Natural Gas Corp. Ltd. 11 156 Total Fina Elf SA 4 675 Transocean Inc. (b) 56 1,618 10,418 Oil & Gas Services - 0.9% Technip-Coflexip SA 11 1,460 Pharmaceuticals - 9.2% AstraZeneca Plc 17 748 Aventis SA (l) 11 805 Chugai Pharmaceutical Co. Ltd. 46 722 Eli Lilly & Co. 10 692 Express Scripts Inc. - Class A (b) 10 800 Gilead Sciences Inc. (b) 22 1,454 Mylan Laboratories Inc. 27 549 Novartis AG 25 1,096 Pfizer Inc. 41 1,403 Roche Holding AG Genusschein 19 1,901 Sanofi-Synthelabo SA (l) 34 2,154 Schering-Plough Corp. 49 902 Shionogi & Co. Ltd. 75 1,289 Teva Pharmaceutical Industries Ltd. - ADR 11 740 15,255 Retail - 5.9% Boots Group Plc 63 789 Circuit City Stores Inc. - Circuit City Group (l) 79 1,017 Dixons Group Plc 556 1,668 Gap Inc. 33 795 Hennes & Mauritz AB - Class B (l) 121 3,121 Panera Bread Co. - Class A (b) (l) 8 276 RadioShack Corp. 20 578 Seven-Eleven Japan Co. Ltd. 19 620 Starbucks Corp. (b) 21 896 9,760 Semiconductors - 3.0% Advanced Micro Devices Inc. (b) (l) 119 1,894 National Semiconductor Corp. (b) 70 1,535 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 182 1,513 4,942 Shipbuilding - 0.3% Hyundai Heavy Industries 20 479 Software - 4.4% BEA Systems Inc. (b) 52 426 Electronic Arts Inc. (b) 5 284 IMS Health Inc. 33 774 Infosys Technologies Ltd. 11 1,342 Novell Inc. (b) 82 684 Red Hat Inc. (b) (l) 39 889 SAP AG (l) 10 1,734 Sybase Inc. (b) 35 636 Veritas Software Corp. (b) 20 543 7,312 Telecommunications - 3.0% Amdocs Ltd. (b) 25 588 France Telecom SA 56 1,462 KDDI Corp. 1 2,962 Tele Norte Leste Participacoes SA 3 - 5,012 Telecommunications Equipment - 5.3% Alcatel SA (b) 64 992 Cisco Systems Inc. (b) 57 1,353 JDS Uniphase Corp. (b) 280 1,063 Juniper Networks Inc. (b) 27 656 Scientific-Atlanta Inc. 20 676 Tandberg ASA (l) 160 1,689 Telefonaktiebolaget LM Ericsson (b) 796 2,345 8,774 Transportation - 0.3% Amadeus Global Travel Distribution SA (l) 88 576 Venture Capital - 0.4% 3i Group Plc 56 623 Wireless Telecommunications - 7.6% NTT DoCoMo Inc. 1 1,340 Qualcomm Inc. 65 4,722 SK Telecom Co. Ltd. - 30 SK Telecom Co. Ltd. - ADR (l) 46 956 Vodafone Group Plc 2,536 5,553 12,601 Total Common Stocks (cost $137,996) 157,332 Preferred Stocks - 1.7% Auto Manufacturers - 1.1% Porsche AG 3 1,755 Telecommunications - 0.7% Tele Norte Leste Participacoes SA 85,798 1,086 Total Preferred Stocks (cost $2,328) 2,841 Corporate Bonds - 0.0% Cosmetics & Personal Care - 0.0% Hindustan Debenture, 9.00%, 01/01/05 INR 926 21 Total Corporate Bonds (cost $20) 21 Short Term Investments - 5.7% Money Market Funds - 5.7% Dreyfus Cash Management Plus, 1.14% (a) $8,260 8,260 Dreyfus Government Cash Management, 0.96% (a) 1,145 1,145 Total Short Term Investments (cost $9,405) 9,405 Total Investments - 102.4% (cost $149,749) 169,599 Other Assets and Liabilities, Net - (2.4%) (3,931) Total Net Assets - 100% $165,668 JNL/OPPENHEIMER GROWTH FUND Common Stocks - 98.4% Beverages - 2.9% Coca-Cola Co. 4 $187 PepsiCo Inc. 10 545 732 Biotechnology - 7.2% Amgen Inc. (b) 14 744 Genentech Inc. (b) 14 808 Genzyme Corp. (b) 2 76 Invitrogen Corp. (b) 2 137 Medimmune Inc. (b) 3 71 1,836 Commercial Services - 0.9% Accenture Ltd. (b) 8 228 Computers - 6.3% Dell Inc. (b) 23 827 EMC Corp. (b) 36 412 International Business Machines Corp. 4 309 Sun Microsystems Inc. (b) 15 64 1,612 Cosmetics & Personal Care - 2.1% Avon Products Inc. 9 423 Estee Lauder Cos. Inc. 2 112 535 Diversified Financial Services - 6.4% American Express Co. 14 712 Citigroup Inc. 13 626 Morgan Stanley 5 285 1,623 Electronics - 0.5% Au Optronics Corp. (b) 8 124 Food - 0.9% Sysco Corp. 6 232 Healthcare - 7.8% Boston Scientific Corp. (b) 12 532 Johnson & Johnson 5 251 Lincare Holdings Inc. (b) 4 138 Stryker Corp. 8 447 Varian Medical Systems Inc. (b) 7 549 Zimmer Holdings Inc. (b) 1 62 1,979 Insurance - 2.9% AFLAC Inc. 5 188 American International Group Inc. 8 541 729 Internet - 4.7% eBay Inc. (b) 3 319 Monster Worldwide Inc. (b) (l) 3 64 Opsware Inc. (b) 9 70 Symantec Corp. (b) 12 508 Yahoo! Inc. (b) 6 224 1,185 Leisure Time - 0.9% Harley-Davidson Inc. (l) 4 235 Manufacturing - 4.7% General Electric Co. 37 1,206 Media - 2.8% Clear Channel Communications Inc. 7 250 Comcast Corp. - Class A (b) 10 269 COX Communications Inc. (b) (l) 7 206 725 Oil & Gas Services - 2.4% BJ Services Co. (b) 6 285 Halliburton Co. 4 127 Schlumberger Ltd. 3 191 603 Pharmaceuticals - 10.1% Elan Corp. Plc - ADR (b) 5 119 Eli Lilly & Co. 6 405 Gilead Sciences Inc. (b) 6 396 Pfizer Inc. 33 1,141 Teva Pharmaceutical Industries Ltd. - ADR 8 505 2,566 Retail - 9.1% Cabela's Inc. - Class A (b) - 5 Costco Wholesale Corp. 5 189 Gap Inc. 10 245 McDonald's Corp. 2 55 Staples Inc. 19 560 Target Corp. 9 367 Walgreen Co. 5 176 Wal-Mart Stores Inc. 14 735 2,332 Semiconductors - 6.9% ASML Holding NV - NYS (b) 8 135 Broadcom Corp. (b) 3 140 Intel Corp. 25 677 International Rectifier Corp. (b) 4 166 Marvell Technology Group Ltd. (b) 3 69 Silicon Laboratories Inc. (b) 5 227 Texas Instruments Inc. 15 351 1,765 Software - 12.1% Adobe Systems Inc. 5 224 Computer Associates International Inc. 11 320 Mercury Interactive Corp. (b) 3 130 Microsoft Corp. 44 1,268 Novell Inc. (b) 11 91 Oracle Corp. (b) 28 329 SAP AG - ADR 3 130 Siebel Systems Inc. (b) 15 158 Veritas Software Corp. (b) 16 433 3,083 Telecommunications Equipment - 6.0% Cisco Systems Inc. (b) 29 687 Corning Inc. (b) 19 243 LM Ericsson Telephone Co. (b) 6 191 Scientific-Atlanta Inc. 12 403 1,524 Transportation - 0.8% Expeditors International of Washington Inc. 1 64 FedEx Corp. 2 131 195 Total Common Stocks (cost $24,229) 25,049 Short Term Investments - 1.9% Money Market Funds - 1.9% Dreyfus Cash Management Plus, 1.14% (a) 472 472 Total Short Term Investments (cost $472) 472 Total Investments - 100.3% (cost $24,701) 25,521 Other Assets and Liabilities, Net - (0.3%) (66) Total Net Assets - 100% $25,455 JNL/PIMCO TOTAL RETURN BOND FUND Preferred Stocks - 0.6% Banks - 0.6% DG Funding Trust (b) (e) - $2,139 Total Preferred Stocks (cost $2,097) 2,139 Corporate Bonds - 11.3% Asset Backed Securities - 7.8% Ameriquest Mortgage Securities Inc., 1.57%, 08/25/32 (g) $151 151 Amortizing Residential Collateral Trust 1.59%, 07/25/32 (g) 308 308 1.62%, 07/25/32 536 537 Bank of America Mortgage Securities 6.50%, 10/25/31 771 771 6.50%, 02/25/33 302 309 Bear Stearns Adjustable Rate Mortgage Trust 3.86%, 11/25/30 (g) 23 23 5.29%, 10/25/32 (g) 45 45 5.38%, 02/25/33 (g) 347 350 5.64%, 02/25/33 (g) 127 127 5.15%, 04/25/33 579 580 4.80%, 01/25/34 (g) 1,578 1,573 CDC Mortgage Capital Trust, 1.59%, 01/25/33 (g) 357 357 Countrywide Asset-Backed Certificates, 1.53%, 06/25/31 (g) 44 44 Countrywide Home Loan Mortgage Pass Through Trust, 1.57%, 04/25/34 1,622 1,611 Credit-Based Asset Servicing and Securitization, 1.62%, 06/25/32 (g) 107 107 CS First Boston Mortgage Securities Corp. 1.95%, 11/25/31 (g) 17 17 1.70%, 02/25/32 (g) 41 41 Equity One ABS Inc., 1.58%, 11/25/32 (g) 422 422 First Nationwide Trust, 1.90%, 09/25/31 (g) 17 18 GSAMP Trust, 1.49%, 10/25/33 2,762 2,760 HFC Home Equity Loan Asset Backed Certificates, 1.45%, 10/20/32 1,343 1,344 IMPAC CMB Trust, 1.55%, 01/25/34 1,135 1,131 Indymac ARM Trust, 6.587%, 01/25/32 (g) 11 11 Irwin Low Balance Home Equity Loan Trust, 1.675%, 06/25/21 (e) (g) 20 21 Mellon Residential Funding Corp. 1.77%, 10/20/29 (g) 800 750 1.58%, 06/15/30 1,720 1,708 Mid-State Trust, 8.33%, 04/01/30 (g) 32 34 Morgan Stanley Capital I, 6.59%, 10/03/30 28 28 Prime Mortgage Trust 1.50%, 02/25/19 140 140 1.70%, 02/25/34 565 564 Residential Asset Mortgage Products Inc., 1.55%, 02/25/34 2,943 2,942 Residential Asset Securitization Trust, 7.13%, 07/25/31 (g) 155 155 Sequoia Mortgage Trust, 1.63%, 10/19/26 (g) 609 609 Small Business Administration Participation Certificate 6.29%, 01/01/21 79 84 5.13%, 09/01/23 98 98 5.52%, 06/01/24 1,900 1,922 Structured Asset Investment Loan Trust, 1.42%, 06/25/33 808 808 Structured Asset Mortgage Investments Inc., 1.61%, 09/19/32 (g) 801 803 Structured Asset Securities Corp. 1.75%, 06/25/17 (g) 283 283 1.78%, 03/25/31 (g) 69 70 6.0719%, 02/25/32 (g) 18 18 1.59%, 01/25/33 (g) 75 75 1.26%, 08/25/33 680 681 Torrens Trust, 1.50%, 07/15/31 (e) (g) 104 105 Vendee Mortgage Trust, 6.50%, 09/15/24 1,129 1,156 Washington Mutual, 2.629%, 08/25/42 (g) 3,056 3,086 Washington Mutual MSC Mortgage Pass- Through Certificates, 5.39%, 02/25/31 (g) 256 262 Washington Mutual Pass-Through Certificates, 5.1595%, 10/25/32 (g) 239 242 Wells Fargo Mortgage Backed Securities Trust, 4.9696%, 09/25/32 (g) 67 68 29,349 Auto Manufacturers - 0.1% DaimlerChrysler NA Holding Corp., 6.90%, 09/01/04 500 503 Banks - 0.2% Banque Centrale de Tunisie, 7.50%, 08/06/09 (e) 300 412 Fifth Third Bank, 7.75%, 08/15/10 500 524 936 Chemicals - 0.1% Dow Chemical Co., 8.04%, 07/02/05 69 70 Diversified Financial Services - 0.7% Atlas Reinsurance Plc, 3.95%, 01/07/05 (e) (g) 750 755 CIT Group Inc., 2.49%, 07/30/04 (g) 600 601 CS First Boston Mortgage Securities Corp., 2.4782%, 03/25/32 (g) 551 554 Ford Motor Credit Co., 7.50%, 03/15/05 300 310 Gemstone Investors Ltd., 7.71%, 10/31/04 (e) 100 101 General Motors Acceptance Corp., 1.50%, 07/21/04 (g) 100 100 UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 310 2,731 Electric - 1.1% AEP Texas Central Co., 2.50%, 02/15/05 200 200 Appalachian Power Co., 4.80%, 06/15/05 700 714 Pacific Gas & Electric Co., 2.30%, 04/03/06 3,200 3,202 4,116 Electronics - 0.1% Parker Hannifin Employee Stock Ownership Trust, 6.34%, 07/15/08 (e) 122 129 Pipelines - 0.7% El Paso Corp. 8.05%, 10/15/30 (l) 1,000 815 7.80%, 08/01/31 1,500 1,204 7.75%, 01/15/32 (l) 800 642 2,661 Telecommunications - 0.1% Qwest Corp., 9.1256%, 03/15/12 (e) 300 324 Sprint Capital Corp., 6.00%, 01/15/07 200 209 533 Wireless Telecommunications - 0.4% Verizon Wireless Capital LLC, 1.19%, 05/23/05 (e) 1,400 1,399 Total Corporate Bonds (cost $41,904) 42,427 Government Securities - 25.4% Sovereign - 3.3% Federal Republic of Brazil 2.5625%, 04/15/06 (g) (l) 160 $158 11.50%, 03/12/08 (l) 200 214 11.00%, 01/11/12 680 684 11.00%, 08/17/40 550 518 Mexico Government International Bond, 8.125%, 12/30/19 500 535 Panama Government International Bond, 8.875%, 09/30/27 200 194 Peru Government International Bond, 9.875%, 02/06/15 (l) 600 627 Republic of Brazil, 2.1875%, 04/15/09 153 138 Republic of Germany 5.25%, 07/04/10 3,000 3,920 5.25%, 01/04/11 800 1,047 Republic of Panama 9.375%, 07/23/12 200 219 9.375%, 01/16/23 200 204 Republic of Peru, 9.125%, 02/21/12 (l) 600 615 Republic of South Africa, 9.125%, 05/19/09 100 116 United Mexican States 8.375%, 01/14/11 200 226 6.375%, 01/16/13 250 250 8.00%, 09/24/22 (l) 800 831 8.30%, 08/15/31 1,400 1,466 United Mexican States-Value Recovery Right 0.00%, 06/30/05 (g) 6,900 155 0.00%, 06/30/06 (g) 4,600 104 0.00%, 06/30/07 (g) 4,600 83 12,304 U.S. Government Agencies - 17.9% Federal Home Loan Mortgage Corp. 6.00%, 03/01/16 226 234 6.00%, 08/01/16 87 90 5.00%, 09/15/16 225 230 5.00%, 11/01/18 882 885 6.25%, 08/25/22 213 215 7.00%, 05/15/23 1,125 1,177 3.579%, 07/01/27 (g) 7 7 1.69%, 11/15/30 (g) 33 33 7.50%, 03/01/32 196 193 6.50%, 08/01/32 347 362 6.00%, 10/01/32 517 529 6.00%, 03/01/33 718 735 6.00%, 08/01/33 288 294 Federal National Mortgage Association 5.00%, TBA (c) 31,600 30,562 5.50%, TBA (c) 4,000 3,986 0.00%, 10/01/04 2,300 2,291 5.50%, 11/01/13 23 24 6.00%, 06/01/14 16 17 5.50%, 03/01/16 261 268 6.00%, 04/01/16 398 416 6.00%, 05/01/16 104 108 6.00%, 06/01/16 41 43 6.00%, 08/01/16 131 137 6.00%, 09/01/16 63 66 6.00%, 11/01/16 238 247 5.50%, 12/01/16 603 620 5.50%, 01/01/17 1,861 1,909 6.00%, 02/01/17 66 70 5.50%, 03/01/17 190 195 6.00%, 03/01/17 366 381 6.00%, 04/01/17 442 458 5.50%, 05/01/17 268 275 6.00%, 05/01/17 60 62 5.50%, 08/01/17 629 645 5.50%, 09/01/17 126 130 5.50%, 10/01/17 834 855 6.00%, 10/01/17 182 190 5.50%, 11/01/17 490 502 5.50%, 12/01/17 486 499 5.50%, 03/01/18 1,368 1,402 5.00%, 05/01/18 25 25 5.00%, 08/01/18 2,678 2,687 5.00%, 10/01/18 760 763 6.50%, 11/01/32 370 386 6.00%, 03/01/33 117 119 5.00%, 04/25/33 2,689 2,664 5.50%, 11/01/33 980 978 5.50%, 02/01/34 1,980 1,974 5.50%, 03/01/34 989 986 3.58%, 09/01/40 (g) 109 111 6.50%, 12/25/42 319 332 1.45%, 03/25/44 2,869 2,868 FHA St. Regis Nursing Home, 7.449%, 08/01/10 52 57 Government National Mortgage Association, 3.00%, 04/20/34 500 487 Government National Mortgage Association II 4.375%, 05/20/26 (g) 289 290 3.375%, 02/20/27 (g) 28 28 4.00%, 04/20/30 (g) 78 78 3.50%, 05/20/30 (g) (l) 60 60 2.75%, 02/20/32 (g) 701 680 3.00%, 02/20/32 (g) 423 411 Resolution Fund Corp. - Principal Only, 5.753%, 10/15/20 400 159 67,485 U.S. Treasury Securities - 4.2% U.S. Treasury Inflation Indexed Note, 3.375%, 01/15/07 (l) (m) 593 635 U.S. Treasury Note 3.625%, 01/15/08 (l) 8,261 9,028 3.875%, 01/15/09 (l) 5,387 6,006 4.25%, 01/15/10 (l) 112 129 15,798 Total Government Securities (cost $94,406) 95,587 Municipals - 4.8% Clark County Nevada, 5.00%, 06/01/32 1,900 1,864 County of Harris Texas, 5.00%, 10/01/11 700 758 Detroit Michigan Sewer Disposal, 5.00%, 07/01/32 2,800 2,767 Energy Northwest Washington Electrical, 5.50%, 07/01/14 100 110 Illinois St Taxable Pension, 5.10%, 06/01/33 4,000 3,549 La Quinta Redevelopment Agency Tax Allocation, 5.10%, 09/01/31 200 198 Lower Colorado River Authority 5.00%, 05/15/31 300 293 5.00%, 05/15/33 1,300 1,265 New York State Dormitory Authority, 5.25%, 07/01/11 700 759 Orange County Sanitation District, 5.00%, 02/01/33 200 195 State of Illinois, 5.00%, 03/01/34 200 193 State of Washington, 5.00%, 01/01/27 1,500 1,478 State of Wisconsin, 5.00%, 05/01/12 400 431 Sussex County Municipal Utilities Authority, 5.00%, 12/01/12 1,200 1,296 Tobaco Settlement Financing Corp. 6.125%, 06/01/24 500 456 6.75%, 06/01/39 2,400 2,151 University of Texas, 5.00%, 08/15/33 200 195 Total Municipals (cost $18,975) 17,958 Short Term Investments - 68.9% Commercial Paper - 37.0% ANZ Inc. 1.04%, 07/06/04 1,000 1,000 1.06%, 07/19/04 9,700 9,694 Bank of Ireland 1.285%, 09/03/04 (f) 8,000 7,982 1.235%, 09/08/04 (f) 3,000 2,993 Barclays US Funding 1.11%, 08/25/04 1,700 1,697 1.28%, 09/21/04 400 399 CBA Finance 1.05%, 07/13/04 1,300 1,300 1.15%, 08/10/04 (f) 4,000 3,995 CDC Commercial Paper Corp. 1.085%, 08/04/04 (f) 5,700 5,694 1.25%, 09/16/04 3,500 3,491 Danske Corp. 1.07%, 07/21/04 1,000 999 1.24%, 09/17/04 (f) 7,800 7,778 1.27%, 09/20/04 1,500 1,496 European Investment Bank, 1.03%, 07/02/04 4,100 4,100 General Electric Capital Corp. 1.04%, 07/08/04 2,600 2,599 0.00%, 09/08/04 3,200 3,192 HBOS Treasury Services Plc 1.055%, 07/16/04 4,800 4,798 1.25%, 08/25/04 100 100 1.335%, 09/09/04 1,300 1,297 1.30%, 09/30/04 400 399 1.64%, 10/26/04 3,000 2,984 ING US Funding LLC, 1.275%, 09/01/04 2,100 2,095 KFW International Finance, 1.095%, 08/10/04 1,200 1,199 Nestle Financial, 1.035%, 07/01/04 4,900 4,900 Pfizer Inc., 1.30%, 08/18/04 2,400 2,396 Rabobank USA, 1.39%, 07/01/04 1,200 1,200 Rabobank USA Financial Corp., 1.24%, 09/13/04 4,500 4,489 Royal Bank of Scotland 1.05%, 07/14/04 3,500 3,499 1.11%, 08/25/04 1,900 1,897 1.135%, 08/26/04 300 299 1.135%, 09/01/04 (f) 4,900 4,890 1.235%, 09/13/04 400 399 Svenska Handelsbank 1.075%, 07/28/04 (f) 6,000 5,995 1.09%, 08/03/04 (f) 4,600 4,595 1.295%, 09/24/04 500 498 Swedbank Discount Note, 1.145%, 09/01/04 500 499 Total Fina Elf, 1.42%, 07/01/04 10,300 10,300 UBS Finance LLC 1.42%, 07/01/04 2,100 2,100 1.04%, 07/06/04 400 400 1.055%, 07/13/04 7,000 6,998 1.07%, 07/15/04 1,300 1,299 0.00%, 09/13/04 300 298 1.27%, 09/23/04 100 100 Westpac Capital Corp. 1.03%, 07/08/04 5,900 5,898 1.385%, 09/10/04 (f) 5,100 5,086 139,316 Money Market Funds - 6.5% Dreyfus Cash Management Plus, 1.14% (a) 18,749 18,749 Dreyfus Government Cash Management, 0.96% (a) 5,624 5,624 24,373 U.S. Government Agencies - 24.6% Federal Home Loan Mortgage Corp. Discount Note 1.25%, 08/10/04 7,200 7,191 1.22%, 08/12/04 4,200 4,194 1.33%, 08/17/04 1,800 1,797 1.18%, 08/24/04 7,800 7,786 1.18%, 08/25/04 3,700 3,693 1.24%, 09/01/04 700 699 1.25%, 09/01/04 3,700 3,692 1.28%, 09/07/04 800 798 1.20%, 09/08/04 3,500 3,492 1.46%, 09/14/04 5,900 5,882 1.44%, 09/21/04 4,700 4,685 1.56%, 10/20/04 3,800 3,782 Federal National Mortgage Association Discount Note 0.94%, 07/14/04 900 900 1.06%, 07/21/04 19,600 19,589 1.29%, 08/11/04 3,300 3,296 1.185%, 08/25/04 3,700 3,693 1.225%, 09/01/04 10,000 9,979 1.25%, 09/01/04 3,700 3,692 1.53%, 10/18/04 3,700 3,683 92,523 U.S. Treasury Bills - 0.8% U.S. Treasury Bill 1.17%, 09/02/04 (m) 2,100 2,096 1.20%, 09/16/04 (m) 955 952 3,048 Total Short Term Investments (cost $259,261) 259,260 Total Investments - 111.0% (cost $416,643) 417,371 Other Assets and Liabilities, Net - (11.0%) (41,313) Total Net Assets - 100% $376,058 JNL/PPM AMERICA BALANCED FUND Common Stocks - 59.3% Aerospace & Defense - 1.1% United Technologies Corp. 41 $3,761 Apparel - 2.1% Liz Claiborne Inc. 85 3,040 V.F. Corp. 82 3,969 7,009 Auto Manufacturers - 1.7% Ford Motor Co. (l) 196 3,067 General Motors Corp. (l) 59 2,749 5,816 Auto Parts & Equipment - 0.9% Delphi Corp. 267 2,849 Banks - 4.0% Bank of America Corp. 55 4,620 Banknorth Group Inc. 59 1,929 Wachovia Corp. 81 3,587 Wells Fargo & Co. 49 2,804 12,940 Building Materials - 1.1% Masco Corp. 111 3,468 Chemicals - 2.8% Ashland Inc. 73 3,855 PPG Industries Inc. 36 2,262 Sherwin-Williams Co. 74 3,066 9,183 Computers - 1.2% Hewlett-Packard Co. 189 3,979 Diversified Financial Services - 4.1% Citigroup Inc. 101 4,683 Fannie Mae 65 4,603 JPMorgan Chase & Co. 103 3,986 13,272 Electric - 3.0% Dominion Resources Inc. 56 3,532 FirstEnergy Corp. 101 3,775 NiSource Inc. 125 2,573 9,880 Food - 2.1% Kroger Co. (b) 220 3,995 Sara Lee Corp. 124 2,844 6,839 Forest Products & Paper - 1.0% MeadWestvaco Corp. 106 3,115 Healthcare - 2.3% HCA Inc. 89 3,710 WellPoint Health Networks Inc. (b) 34 3,786 7,496 Home Furnishings - 0.8% Maytag Corp. 104 2,559 Household Products - 1.2% Fortune Brands Inc. 50 3,749 Insurance - 5.8% American International Group Inc. 58 4,106 Cigna Corp. 37 2,539 Hartford Financial Services Group Inc. 67 4,599 Lincoln National Corp. 83 3,908 Radian Group Inc. 77 3,684 18,836 Iron & Steel - 1.0% Nucor Corp. 41 3,124 Leisure Time - 0.9% Brunswick Corp. 68 2,762 Manufacturing - 2.1% Cooper Industries Ltd. - Class A 51 3,006 General Electric Co. 117 3,804 6,810 Oil & Gas Producers - 4.2% ChevronTexaco Corp. 44 4,094 ConocoPhillips 53 4,066 Kerr-McGee Corp. 23 1,226 Occidental Petroleum Corp. 85 4,095 13,481 Pharmaceuticals - 2.2% AmerisourceBergen Corp. (l) 50 2,959 Merck & Co. Inc. 88 4,185 7,144 Retail - 3.1% Federated Department Stores Inc. 78 3,845 Home Depot Inc. 74 2,591 Sears Roebuck & Co. 98 3,693 10,129 Savings & Loans - 2.4% Sovereign Bancorp. Inc. 184 4,071 Washington Mutual Inc. 93 3,601 7,672 Software - 1.1% Computer Associates International Inc. 127 3,572 Telecommunications - 3.8% BellSouth Corp. 108 2,832 SBC Communications Inc. 141 3,419 Sprint Corp. - FON Group 152 2,682 Verizon Communications Inc. 95 3,445 12,378 Tobacco - 1.4% Altria Group Inc. 92 4,590 Transportation - 1.9% Burlington Northern Santa Fe Corp. 107 3,735 CSX Corp. 72 2,343 6,078 Total Common Stocks (cost $154,789) 192,491 Corporate Bonds - 17.3% Aerospace & Defense - 0.2% Raytheon Co., 6.75%, 08/15/07 $750 812 Asset Backed Securities - 5.3% AmeriCredit Automobile Receivables Trust 4.46%, 04/12/09 570 582 3.10%, 11/06/09 500 499 Banc of America Commercial Mortgage Inc., 5.118%, 07/11/43 750 753 Bank of America Commercial Mortgage 5.676%, 06/11/35 500 525 5.464%, 04/11/37 (g) 500 516 Bank One Issuance Trust, 4.77%, 02/16/16 500 470 BMW Vehicle Owner Trust, 3.52%, 10/25/10 1,000 992 Capital One Master Trust, 4.50%, 06/15/11 500 504 Capital One Multi-Asset Execution Trust, 3.40%, 11/16/09 480 472 Commercial Mortgage Acceptance Corp., 7.63%, 06/15/31 (g) 500 556 CS First Boston Mortgage Securities Corp., 6.133%, 04/15/37 500 531 Discover Card Master Trust I, 3.45%, 04/16/09 1,000 1,000 GE Capital Commercial Mortgage Corp., 6.03%, 08/11/33 (g) 1,000 1,057 Harley-Davidson Motorcycle Trust 1.89%, 02/15/11 665 658 2.00%, 11/15/11 424 418 JPMorgan Commercial Mortgage Finance Corp. 6.613%, 01/15/30 1,000 1,073 6.507%, 10/15/35 (g) 1,000 1,083 MBNA Credit Master Note Trust, 6.55%, 12/15/08 500 527 MBNA Master Credit Card Trust USA, 6.65%, 08/15/11 (e) 500 538 Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 540 Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 591 PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,079 Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,071 WFS Financial Owner Trust, 2.73%, 05/20/11 860 856 World Omni Auto Receivables Trust, 2.20%, 01/15/08 500 496 17,387 Auto Manufacturers - 0.5% DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 504 General Motors Corp., 7.20%, 01/15/11 (l) 1,000 1,048 1,552 Banks - 0.6% Bank of America Corp., 7.40%, 01/15/11 (l) 750 850 Popular North America Inc., 3.875%, 10/01/08 500 489 Wachovia Corp., 3.625%, 02/17/09 750 727 2,066 Beverages - 0.3% Diageo Capital Plc, 3.50%, 11/19/07 1,000 988 Commercial Services - 0.5% Aramark Services Inc., 7.00%, 07/15/06 1,000 1,065 PHH Corp., 6.00%, 03/01/08 500 528 1,593 Computers - 0.3% Computer Sciences Corp., 6.75%, 06/15/06 500 533 Hewlett-Packard Co., 5.50%, 07/01/07 500 526 1,059 Diversified Financial Services - 3.3% American Honda Finance Corp., 4.50%, 05/26/09 (e) 500 500 CIT Group Inc., 7.375%, 04/02/07 1,000 1,094 Citigroup Inc. 3.50%, 02/01/08 250 247 6.00%, 02/21/12 (l) 500 530 Countrywide Home Loans Inc., 5.50%, 08/01/06 1,000 1,042 Ford Motor Credit Co. 6.50%, 01/25/07 1,000 1,051 7.00%, 10/01/13 (l) 250 252 GATX Financial Corp., 6.875%, 12/15/06 100 105 General Electric Capital Corp. 5.875%, 02/15/12 1,000 1,049 6.75%, 03/15/32 500 538 Goldman Sachs Group Inc. 4.125%, 01/15/08 500 502 6.125%, 02/15/33 500 472 Household Finance Corp. 6.375%, 11/27/12 500 530 7.35%, 11/27/32 500 565 JPMorgan Chase & Co., 6.625%, 03/15/12 500 541 Merrill Lynch & Co. Inc., 4.50%, 11/04/10 750 739 Morgan Stanley Dean Witter & Co., 5.80%, 04/01/07 500 529 UFJ Finance Aruba AEC, 6.75%, 07/15/13 500 517 10,803 Electric - 0.7% Centerpoint Energy Inc. 5.875%, 06/01/08 (l) 300 304 6.95%, 03/15/33 400 428 DTE Energy Co., 6.45%, 06/01/06 500 526 FirstEnergy Corp., 6.45%, 11/15/11 300 311 PSEG Power LLC, 7.75%, 04/15/11 500 566 2,135 Food - 0.4% General Mills Inc., 6.00%, 02/15/12 500 524 Kraft Foods Inc., 6.50%, 11/01/31 350 354 Safeway Inc., 6.50%, 03/01/11 (l) 500 530 1,408 Forest Products & Paper - 0.2% Abitibi-Consolidated Inc., 6.95%, 04/01/08 300 304 Weyerhaeuser Co., 7.125%, 07/15/23 350 370 674 Home Builders - 0.1% Pulte Homes Inc., 6.375%, 05/15/33 450 413 Insurance - 0.3% ASIF Global Financing Corp., 4.90%, 01/17/13 (e) 500 488 Metlife Inc., 6.50%, 12/15/32 350 358 846 Leisure Time - 0.1% Royal Caribbean Cruises Ltd., 8.75%, 02/02/11 300 332 Lodging - 0.3% Hilton Hotels Corp., 8.25%, 02/15/11 (l) 300 334 MGM Mirage, 8.50%, 09/15/10 300 324 Starwood Hotels & Resorts Worldwide Inc., 7.375%, 05/01/07 300 316 974 Manufacturing - 0.1% Tyco International Group SA, 6.375%, 10/15/11 300 319 Media - 0.9% AOL Time Warner Inc., 7.70%, 05/01/32 500 546 Comcast Cable Communications, 7.125%, 06/15/13 500 547 Comcast Corp., 5.85%, 01/15/10 325 339 Echostar DBS Corp., 5.75%, 10/01/08 300 296 Liberty Media Corp., 8.25%, 02/01/30 500 570 Rogers Cable Inc., 6.25%, 06/15/13 300 282 Walt Disney Co., 5.375%, 06/01/07 400 417 2,997 Mining - 0.3% Codelco Inc., 5.50%, 10/15/13 (e) 500 496 Noranda Inc., 7.25%, 07/15/12 (l) 500 502 998 Oil & Gas Producers - 0.2% ConocoPhillips, 3.625%, 10/15/07 500 498 Pharmaceuticals - 0.6% American Home Products Corp., 6.95%, 03/15/11 500 534 Bristol-Myers Squibb Co., 4.75%, 10/01/06 (l) 1,000 1,030 Medco Health Solutions Inc., 7.25%, 08/15/13 500 535 2,099 Real Estate - 0.3% EOP Operating LP, 7.75%, 11/15/07 750 832 Retail - 0.3% Target Corp., 5.375%, 06/15/09 (l) 500 521 Yum! Brands Inc., 7.65%, 05/15/08 300 335 856 Savings & Loans - 0.2% Washington Mutual Inc., 5.625%, 01/15/07 500 523 Telecommunications - 0.6% Sprint Capital Corp. 6.125%, 11/15/08 250 263 8.375%, 03/15/12 450 517 Verizon Global Funding Corp. 6.125%, 06/15/07 (l) 500 533 7.75%, 12/01/30 500 562 1,875 Tobacco - 0.3% Imperial Tobacco Overseas BV, 7.125%, 04/01/09 750 816 Wireless Telecommunications - 0.4% AT&T Wireless Services Inc., 7.875%, 03/01/11 750 853 Vodafone Group Plc, 5.375%, 01/30/15 500 492 1,345 Total Corporate Bonds (cost $56,763) 56,200 Government Securities - 22.1% U.S. Government Agencies - 16.6% Federal Home Loan Mortgage Corp. 2.50%, 11/15/05 (l) 425 425 2.375%, 02/15/06 1,875 1,863 2.75%, 11/15/06 (l) 875 866 3.125%, 08/15/07 (l) 1,860 1,836 6.00%, 12/01/10 662 691 5.875%, 03/21/11 (l) 504 530 5.50%, 09/15/11 (l) 896 934 5.125%, 08/20/12 (l) 1,362 1,365 5.50%, 10/01/16 638 654 6.00%, 04/01/17 458 478 6.50%, 11/01/17 200 211 5.00%, 01/01/18 180 181 5.50%, 01/01/18 2 2 5.00%, 04/01/18 244 245 4.50%, 05/01/18 254 249 5.00%, 05/01/18 346 347 4.50%, 09/01/18 271 266 4.50%, 11/01/18 552 540 5.50%, 11/01/18 246 252 4.50%, 03/01/19 1,827 1,787 7.00%, 11/01/30 527 558 7.00%, 02/01/31 223 235 7.00%, 06/01/31 179 189 7.00%, 10/01/32 386 407 6.00%, 11/01/32 770 788 5.50%, 03/01/33 1,496 1,494 4.50%, 06/01/33 241 225 5.50%, 06/01/33 335 335 5.00%, 08/01/33 1,555 1,506 6.50%, 09/01/33 260 272 6.00%, 10/01/33 2,144 2,192 5.50%, 05/01/34 199 199 Federal National Mortgage Association 6.25%, 02/01/11 1,020 1,095 5.50%, 07/18/12 (l) 1,860 1,875 6.00%, 09/01/17 581 606 5.00%, 10/01/17 464 466 5.00%, 11/01/17 202 203 6.00%, 01/01/18 151 158 5.00%, 02/01/18 880 883 4.50%, 04/01/18 576 565 4.50%, 05/01/18 1,272 1,246 5.50%, 09/01/18 544 557 5.00%, 12/01/18 1,145 1,149 5.50%, 12/01/18 241 247 4.50%, 05/01/19 2 2 6.50%, 08/01/28 38 40 7.00%, 09/01/28 70 74 6.50%, 11/01/28 82 85 6.50%, 12/01/28 105 110 6.00%, 03/01/29 477 489 7.50%, 09/01/29 191 204 7.125%, 01/15/30 810 944 7.00%, 08/01/31 223 235 7.00%, 06/01/32 320 338 6.50%, 07/01/32 1,355 1,412 6.50%, 09/01/32 1,232 1,284 6.00%, 10/01/32 541 553 6.50%, 03/01/33 545 568 7.00%, 05/01/33 428 451 5.00%, 07/01/33 430 416 5.00%, 09/01/33 2,143 2,072 6.00%, 10/03/33 535 547 4.50%, 11/01/33 282 264 5.50%, 11/01/33 2,213 2,205 4.50%, 12/01/33 511 479 6.00%, 12/01/33 290 297 5.50%, 03/01/34 810 807 5.50%, 04/01/34 3,212 3,201 5.50%, 05/01/34 250 249 6.00%, 06/01/34 580 593 Government National Mortgage Association 6.50%, 04/15/26 178 188 7.00%, 06/15/28 90 96 7.50%, 04/15/29 78 84 7.00%, 07/15/29 162 172 6.50%, 11/15/31 378 395 6.50%, 09/15/32 (l) 416 435 5.50%, 11/15/32 402 403 6.00%, 11/15/32 317 326 6.00%, 03/15/33 187 192 5.50%, 05/15/33 313 313 5.00%, 10/15/33 533 518 6.00%, 10/20/33 573 586 6.00%, 04/15/34 299 306 Government National Mortgage Association II 5.50%, 05/20/33 564 563 5.00%, 06/20/33 224 216 53,884 U.S. Treasury Securities - 5.5% U.S. Treasury Bond 7.50%, 11/15/16 (l) 4,634 5,713 6.50%, 11/15/26 2,648 3,027 U.S. Treasury Note, 2.375%, 08/15/06 (l) 9,096 9,018 17,758 Total Government Securities (cost $72,317) 71,642 Short Term Investments - 0.8% Money Market Funds - 0.8% Dreyfus Cash Management Plus, 1.14% (a) 2,763 2,763 Total Short Term Investments (cost $2,763) 2,763 Total Investments - 99.5% (cost $286,632) 323,096 Other Assets and Liabilities, Net - 0.5% 1,480 Total Net Assets - 100% $324,576 JNL/PPM AMERICA HIGH YIELD BOND FUND Common Stocks - 0.0% Machinery - 0.0% Terex Corp. (b) - $9 Total Common Stocks (cost $1) 9 Warrants - 0.0% Telecommunications - 0.0% AT&T Canada Inc., No Strike Price, Expiring 08/15/07 (e) 1 25 Minorplanet Systems USA Inc., Strike Price $240.625, Expiring 09/15/05 2 - Total Warrants (cost $5) 25 Corporate Bonds - 90.8% Advertising - 0.9% RH Donnelley Finance Corp. I, 8.875%, 12/15/10 (e) (l) $550 604 10.875%, 12/15/12 (e) (l) 1,000 1,159 Vertis Inc., 9.75%, 04/01/09 500 538 2,301 Aerospace & Defense - 1.3% Alliant Techsystems Inc., 8.50%, 05/15/11 500 540 BE Aerospace Inc. 9.50%, 11/01/08 (l) 550 531 8.50%, 10/01/10 500 526 L-3 Communications Corp. 7.625%, 06/15/12 500 528 6.125%, 07/15/13 1,000 965 Sequa Corp., 8.875%, 04/01/08 196 206 3,296 Airlines - 1.1% American Airlines Inc., 7.377%, 05/23/19 878 628 Atlas Air Inc., 7.38%, 01/02/18 454 430 Continental Airlines Inc., 7.875%, 07/02/18 500 470 Delta Air Lines Inc. 7.779%, 11/18/05 500 321 7.90%, 12/15/09 (l) 400 204 United AirLines Inc., 6.201%, 09/01/08 1,000 822 2,875 Alternative Energy - 0.3% Salton SEA Funding, 8.30%, 05/30/11 641 683 Apparel - 0.2% Russell Corp., 9.25%, 05/01/10 580 616 Auto Parts & Equipment - 2.5% ArvinMeritor Inc., 8.75%, 03/01/12 (l) 1,000 1,085 Collins & Aikman Products, 10.75%, 12/31/11 (l) 350 352 Dana Corp. 10.125%, 03/15/10 (l) 455 515 9.00%, 08/15/11 (l) 500 585 TRW Automotive Inc. 9.375%, 02/15/13 446 503 11.00%, 02/15/13 (l) 1,650 1,946 Visteon Corp., 8.25%, 08/01/10 (l) 1,500 1,598 6,584 Beverages - 0.2% Constellation Brands Inc., 8.125%, 01/15/12 (l) 500 533 Chemicals - 6.1% Airgas Inc., 6.25%, 07/15/14 500 479 Equistar Chemicals LP, 10.125%, 09/01/08 (l) 1,000 1,095 Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 05/01/11 (l) 2,000 2,220 FMC Corp., 10.25%, 11/01/09 500 575 Huntsman International LLC, 9.875%, 03/01/09 (l) 2,500 2,700 IMC Global Inc., 10.875%, 06/01/08 500 581 Johnsondiversey Inc., 9.625%, 05/15/12 1,000 1,090 Lyondell Chemical Co. 9.875%, 05/01/07 (l) 1,200 1,254 9.50%, 12/15/08 (l) 600 626 10.50%, 06/01/13 1,700 1,840 Millennium America Inc., 7.00%, 11/15/06 (l) 750 771 Nalco Co., 8.875%, 11/15/13 (e) 1,500 1,570 Nova Chemicals Corp., 6.50%, 01/15/12 (l) 500 493 PolyOne Corp., 10.625%, 05/15/10 (l) 400 424 Union Carbide Chemical & Plastics Co. Inc., 7.875%, 04/01/23 200 191 Union Carbide Corp. 6.70%, 04/01/09 (l) 100 100 6.79%, 06/01/25 100 101 16,110 Commercial Services - 3.5% Coinmach Corp., 9.00%, 02/01/10 2,017 2,021 Integrated Electrical Services Inc., 9.375%, 02/01/09 1,000 1,033 Mail-Well I Corp., 9.625%, 03/15/12 500 538 Service Corp. International, 7.70%, 04/15/09 500 513 Stewart Enterprises Inc., 10.75%, 07/01/08 2,000 2,222 United Rentals North America Inc. 6.50%, 02/15/12 550 520 7.75%, 11/15/13 (l) 1,000 945 7.00%, 02/15/14 300 267 Williams Scotsman Inc. 9.875%, 06/01/07 800 794 10.00%, 08/15/08 200 218 9,071 Computers - 0.4% Unisys Corp. 7.25%, 01/15/05 370 378 8.125%, 06/01/06 630 669 1,047 Distribution & Wholesale - 0.5% Aviall Inc., 7.625%, 07/01/11 175 182 National Waterworks Inc., 10.50%, 12/01/12 1,000 1,110 1,292 Diversified Financial Services - 1.4% Case Credit Corp., 6.75%, 10/21/07 250 248 Couche-Tard US LP, 7.50%, 12/15/13 500 500 Global Cash Access LLC, 8.75%, 03/15/12 (e) 500 520 IOS Capital LLC, 7.25%, 06/30/08 85 88 KRATON Polymers LLC/Capital Corp., 8.125%, 01/15/14 (e) (l) 500 505 Nexstar Finance LLC/Nexstar Finance Inc., 12.00%, 04/01/08 500 553 Universal City Development Partners, 11.75%, 04/01/10 1,135 1,313 3,727 Electric - 7.4% AES Corp. 9.50%, 06/01/09 (l) 2,700 2,885 9.00%, 05/15/15 (e) 550 589 AES Eastern Energy LP, 9.00%, 01/02/17 634 682 Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 (l) 1,300 858 Calpine Corp. 8.75%, 07/15/07 (l) 500 355 8.50%, 07/15/10 (e) 400 331 8.50%, 02/15/11 (l) 500 326 8.75%, 07/15/13 (e) (l) 350 287 Centerpoint Energy Inc., 6.85%, 06/01/15 (l) 2,000 2,032 CMS Energy Corp., 8.50%, 04/15/11 (l) 1,000 1,020 Edison International Inc., 6.875%, 09/15/04 500 504 Edison Mission Energy, 10.00%, 08/15/08 200 214 Edison Mission Energy Corp., 9.875%, 04/15/11 (l) 250 261 Empresa Nacional de Electricidad SA 8.50%, 04/01/09 500 546 8.35%, 08/01/13 500 534 Homer City Funding LLC, 8.734%, 10/01/26 100 105 Midwest Generation LLC, 8.56%, 01/02/16 350 345 Mission Energy Holding Co., 13.50%, 07/15/08 (l) 300 336 Nevada Power Co., 9.00%, 08/15/13 500 544 NRG Energy Inc., 8.00%, 12/15/13 (e) 1,000 1,010 Orion Power Holdings Inc., 12.00%, 05/01/10 500 610 PSEG Energy Holdings LLC 10.00%, 10/01/09 (l) 1,000 1,130 8.50%, 06/15/11 500 535 Reliant Energy Inc., 9.50%, 07/15/13 (l) 500 539 Sithe/Independence Funding, 9.00%, 12/30/13 1,000 1,100 South Point Energy Center LLC, 8.40%, 05/30/12 (e) 258 223 TECO Energy Inc. 7.50%, 06/15/10 100 101 7.00%, 05/01/12 900 864 Westar Energy Inc., 7.875%, 05/01/07 500 550 19,416 Electronics - 0.6% Fisher Scientific International, 8.00%, 09/01/13 500 535 Sanmina-SCI Corp., 10.375%, 01/15/10 1,000 1,145 1,680 Entertainment - 2.5% Alliance Atlantis Communications Inc., 13.00%, 12/15/09 2,065 2,271 Argosy Gaming Co., 9.00%, 09/01/11 1,000 1,104 Capitol Records Inc., 8.375%, 08/15/09 (e) 300 323 Intrawest Corp., 7.50%, 10/15/13 500 489 Six Flags Inc. 9.50%, 02/01/09 (l) 1,000 1,028 8.875%, 02/01/10 (l) 200 198 Steinway Musical Instruments, 8.75%, 04/15/11 1,000 1,080 6,493 Environmental Control - 1.1% Allied Waste North America 5.75%, 02/15/11 (e) 450 426 7.875%, 04/15/13 500 523 6.125%, 02/15/14 (e) 800 732 IESI Corp., 10.25%, 06/15/12 1,000 1,090 2,771 Food - 3.0% Ahold Finance USA Inc., 8.25%, 07/15/10 1,000 1,055 B&G Foods Inc., 9.625%, 08/01/07 500 509 Del Monte Corp. 9.25%, 05/15/11 1,000 1,092 8.625%, 12/15/12 500 539 Delhaize America Inc. 8.125%, 04/15/11 1,500 1,636 9.00%, 04/15/31 200 220 Dole Food Co. Inc., 8.875%, 03/15/11 600 635 Great Atlantic & Pacific Tea Co., 9.125%, 12/15/11 (l) 300 255 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 1,000 965 Smithfield Foods Inc., 8.00%, 10/15/09 500 539 Stater Brothers Holdings, 8.125%, 06/15/12 (e) 400 402 7,847 Forest Products & Paper - 4.1% Abitibi-Consolidated Inc. 8.55%, 08/01/10 (l) 2,000 2,108 8.85%, 08/01/30 500 487 Cascades Inc., 7.25%, 02/15/13 500 498 Fort James Corp., 6.875%, 09/15/07 1,000 1,050 Georgia-Pacific Corp. 8.125%, 05/15/11 (l) 1,000 1,105 9.375%, 02/01/13 (l) 1,000 1,145 8.875%, 05/15/31 500 534 Millar Western Forest Products Ltd., 7.75%, 11/15/13 350 354 Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,563 Tembec Industries Inc. 8.625%, 06/30/09 (l) 43 44 8.50%, 02/01/11 (l) 1,957 1,976 10,864 Healthcare - 2.5% Ardent Health Services Inc., 10.00%, 08/15/13 400 428 Coventry Health Care Inc., 8.125%, 02/15/12 483 529 HCA Inc. 6.25%, 02/15/13 (l) 1,200 1,193 7.69%, 06/15/25 1,350 1,339 7.50%, 11/06/33 500 492 IASIS Healthcare LLC, 8.75%, 06/15/14 (e) 800 818 Tenet Healthcare Corp., 6.50%, 06/01/12 (l) 1,300 1,131 Triad Hospitals Inc., 7.00%, 11/15/13 (l) 600 570 6,500 Holding Companies - Diversified - 0.2% Stena AB, 7.50%, 11/01/13 500 494 Home Builders - 2.6% Beazer Homes USA Inc., 8.375%, 04/15/12 (l) 1,155 1,219 K Hovnanian Enterprises Inc. 7.75%, 05/15/13 (l) 500 499 6.375%, 12/15/14 (e) 1,000 915 Meritage Corp., 9.75%, 06/01/11 300 330 Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,100 Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,711 Toll Corp., 8.25%, 02/01/11 500 540 WCI Communities Inc., 10.625%, 02/15/11 500 554 6,868 Household Products - 0.6% Johnsondiversey Holdings Inc., (Step-Up Bond), 10.67%, 05/15/13 2,000 1,540 Insurance - 0.5% Fairfax Financial Holdings Ltd., 8.30%, 04/15/26 (l) 1,500 1,328 Iron & Steel - 0.3% AK Steel Corp., 7.75%, 06/15/12 (l) 300 271 United States Steel Corp., 9.75%, 05/15/10 379 419 690 Leisure Time - 0.8% Royal Caribbean Cruises Ltd., 6.75%, 03/15/08 (l) 2,000 2,070 Lodging - 4.7% Ameristar Casinos Inc., 10.75%, 02/15/09 2,000 2,280 Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,010 Hilton Hotels Corp., 8.25%, 02/15/11 (l) 1,000 1,113 Mandalay Resort Group, 10.25%, 08/01/07 (l) 750 833 MGM MIRAGE, 9.75%, 06/01/07 (l) 2,000 2,185 Park Place Entertainment Corp. 8.875%, 09/15/08 1,000 1,085 8.125%, 05/15/11 (l) 1,000 1,060 Premier Entertainment Biloxi LLC, 10.75%, 02/01/12 (e) 600 630 Starwood Hotels & Resorts Worldwide Inc., 7.875%, 05/01/12 1,000 1,070 Venetian Casino Resort LLC, 11.00%, 06/15/10 1,000 1,155 12,421 Machinery - 1.0% AGCO Corp., 9.50%, 05/01/08 538 586 Case New Holland Inc., 9.25%, 08/01/11 (e) 1,200 1,260 Manitowoc Co., 7.125%, 11/01/13 (l) 200 200 Terex Corp., 10.375%, 04/01/11 (l) 500 558 2,604 Manufacturing - 2.5% Avondale Mills Inc., 10.25%, 07/01/13 155 93 Bombardier Inc., 6.75%, 05/01/12 (e) 1,000 902 Tyco International Group SA 6.75%, 02/15/11 1,500 1,630 7.00%, 06/15/28 (l) 3,700 3,928 6,553 Media - 8.7% American Media Operation Inc., 8.875%, 01/15/11 (l) 425 411 CanWest Media Inc., 10.625%, 05/15/11 500 561 Charter Communications Holdings LLC, 10.00%, 04/01/09 2,000 1,670 Charter Communications Operating LLC, 8.00%, 04/30/12 (e) 500 484 Corus Entertainment Inc., 8.75%, 03/01/12 1,068 1,141 CSC Holdings Inc. 7.625%, 04/01/11 2,000 2,005 7.875%, 02/15/18 1,000 952 Dex Media East LLC 9.875%, 11/15/09 1,250 1,403 12.125%, 11/15/12 (l) 500 584 Dex Media West LLC, 9.875%, 08/15/13 1,000 1,098 DIRECTV Holdings LLC, 8.375%, 03/15/13 1,000 1,106 Echostar DBS Corp., 6.375%, 10/01/11 1,000 985 Hollinger International Publishing Inc., 9.00%, 12/15/10 1,000 1,155 Houghton Mifflin Co. 8.25%, 02/01/11 270 270 9.875%, 02/01/13 340 340 Mediacom Capital Corp., 9.50%, 01/15/13 (l) 1,982 1,913 Primedia Inc., 8.00%, 05/15/13 (e) 1,500 1,410 Rogers Cable Inc., 6.25%, 06/15/13 1,000 941 Rogers Cablesystems Ltd., 10.00%, 03/15/05 1,100 1,142 Shaw Communications Inc., 7.20%, 12/15/11 500 517 Sun Media Corp., 7.625%, 02/15/13 1,000 1,020 Vivendi Universal SA, 9.25%, 04/15/10 1,500 1,773 22,881 Mining - 0.8% Peabody Energy Corp., 6.875%, 03/15/13 (l) 750 759 USEC Inc., 6.625%, 01/20/06 500 495 Vale Overseas Ltd., 8.25%, 01/17/34 (l) 950 827 2,081 Office & Business Equipment - 1.2% General Binding Corp., 9.375%, 06/01/08 2,000 2,068 Xerox Corp., 9.75%, 01/15/09 (g) (l) 1,000 1,137 3,205 Oil & Gas Producers - 3.9% Chesapeake Energy Corp., 8.125%, 04/01/11 1,000 1,080 Denbury Resources Inc., 7.50%, 04/01/13 1,000 1,005 El Paso CGP Co., 7.75%, 06/15/10 (l) 1,500 1,354 El Paso Production Holding Co., 7.75%, 06/01/13 500 459 Evergreen Resources Inc., 5.875%, 03/15/12 (e) 500 505 Giant Industries Inc., 8.00%, 05/15/14 150 150 Newfield Exploration Co., 7.625%, 03/01/11 975 1,058 Parker Drilling Co., 9.625%, 10/01/13 500 519 Pioneer Natural Resources Co., 7.50%, 04/15/12 1,000 1,132 Premcor Refining Group Inc., 9.50%, 02/01/13 300 346 Tesoro Petroleum Corp. 8.00%, 04/15/08 (l) 150 160 9.00%, 07/01/08 2,000 2,060 Vintage Petroleum Inc., 8.25%, 05/01/12 500 530 10,358 Oil & Gas Services - 0.3% Key Energy Services Inc., 6.375%, 05/01/13 500 472 Universal Compression Inc., 7.25%, 05/15/10 (l) 200 207 679 Packaging & Containers - 3.2% Berry Plastics Corp., 10.75%, 07/15/12 1,300 1,443 Crown Cork & Seal Co. Inc., 7.375%, 12/15/26 1,500 1,245 Graphic Packaging International Corp., 9.50%, 08/15/13 1,250 1,356 Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 1,000 1,040 Kappa Beheer BV, 10.625%, 07/15/09 800 836 Owens-Brockway, 8.875%, 02/15/09 1,000 1,080 Owens-Illinois Inc., 8.10%, 05/15/07 (l) 1,000 1,030 Solo Cup Co., 8.50%, 02/15/14 (e) (l) 500 465 8,495 Pharmaceuticals - 0.8% AmerisourceBergen Corp., 8.125%, 09/01/08 400 431 Omnicare Inc., 8.125%, 03/15/11 1,500 1,605 2,036 Pipelines - 4.7% ANR Pipeline Co., 8.875%, 03/15/10 1,000 1,093 Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 500 538 10.125%, 07/15/13 (e) (l) 1,500 1,623 El Paso Corp. 6.75%, 05/15/09 (l) 500 453 7.875%, 06/15/12 (l) 2,000 1,795 7.75%, 01/15/32 (l) 1,700 1,364 Southern Natural Gas Co., 8.875%, 03/15/10 500 546 Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,694 Transmontaigne Inc., 9.125%, 06/01/10 500 515 Williams Cos Inc. 8.625%, 06/01/10 (l) 225 248 7.125%, 09/01/11 (l) 1,000 1,015 8.125%, 03/15/12 (l) 500 534 8.75%, 03/15/32 1,000 1,000 12,418 Real Estate - 1.8% Choctaw Resort Development Enterprise, 9.25%, 04/01/09 2,000 2,150 Felcor Lodging LP, 10.00%, 09/15/08 (l) 925 976 Host Marriott Corp., 7.875%, 08/01/08 214 219 Host Marriott LP, 7.125%, 11/01/13 1,050 1,029 Meristar Hospitality Corp., 9.125%, 01/15/11 (l) 450 455 4,829 Retail - 3.3% Domino's Inc., 8.25%, 07/01/11 250 265 Gap Inc., 10.55%, 12/15/08 (g) (l) 500 605 J.C. Penney Co. Inc. 8.25%, 08/15/22 350 364 7.125%, 11/15/23 (l) 500 513 7.40%, 04/01/37 1,000 1,055 Michaels Stores Inc., 9.25%, 07/01/09 1,000 1,095 Petro Stopping Centers LP, 9.00%, 02/15/12 (e) (l) 500 495 Saks Inc. 7.50%, 12/01/10 630 655 7.00%, 12/01/13 294 290 Toys R US Inc., 7.875%, 04/15/13 (l) 1,000 1,004 Tricon Global Restaurants Inc., 8.875%, 04/15/11 2,000 2,413 8,754 Semiconductors - 0.8% Amkor Technology Inc., 7.75%, 05/15/13 (l) 1,000 948 Fairchild Semiconductor International Inc., 10.50%, 02/01/09 1,000 1,087 2,035 Telecommunications - 4.2% Charter Communication Holdings LLC, 10.25%, 09/15/10 (l) 1,000 1,008 Inmarsat Finance Plc, 7.625%, 06/30/12 (e) 100 97 Insight Midwest Capital Inc., 9.75%, 10/01/09 (l) 500 528 Insight Midwest LP/Insight Capital Inc., 10.50%, 11/01/10 (e) (l) 500 545 NTL Cable Plc, 8.75%, 04/15/14 (e) (l) 600 615 PanAmSat Corp., 8.50%, 02/01/12 500 568 Qwest Corp. 5.625%, 11/15/08 1,500 1,466 7.50%, 06/15/23 1,800 1,588 Qwest Services Corp. 13.00%, 12/15/07 (e) (l) 1,500 1,710 13.50%, 12/15/10 (e) 2,500 2,905 11,030 Telecommunications Equipment - 0.4% Nortel Networks Ltd., 6.125%, 02/15/06 (l) 1,000 1,005 Tobacco - 1.0% DIMON Inc., 9.625%, 10/15/11 1,820 1,838 RJ Reynolds Tobacco Holdings Inc., 7.25%, 06/01/12 700 679 2,517 Transportation - 0.5% Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,217 Wireless Telecommunications - 2.4% Crown Castle International Corp. 9.375%, 08/01/11 (l) 500 550 10.75%, 08/01/11 (l) 1,000 1,119 Nextel Communications Inc. 6.875%, 10/31/13 500 496 7.375%, 08/01/15 1,000 1,010 Rogers Cantel Inc., 9.75%, 06/01/16 200 227 Rogers Wireless Communications Inc. 9.625%, 05/01/11 1,000 1,122 6.375%, 03/01/14 (e) 500 460 Triton PCS Inc. 9.375%, 02/01/11 (l) 999 854 8.75%, 11/15/11 (l) 500 413 6,251 Total Corporate Bonds (cost $229,557) 238,065 Short Term Investments - 7.3% Money Market Funds - 7.3% Dreyfus Cash Management Plus, 1.14% (a) 13,091 13,091 Dreyfus Government Cash Management, 0.96% (a) 6,435 6,435 Total Short Term Investments (cost $19,526) 19,526 Total Investments - 98.1% (cost $249,089) 257,625 Other Assets and Liabilities, Net - 1.9% 4,968 Total Net Assets - 100% $262,593 JNL/PPM AMERICA MONEY MARKET FUND Commercial Paper - 97.1% Banks - 1.1% Royal Bank of Scotland, 1.08%, 07/09/04 $2,000 $2,000 Diversified Financial Services - 96.0% American Express Credit Corp., 1.03%, 07/23/04 9,500 9,494 American General Finance Corp. 1.13%, 08/02/04 1,000 999 1.29%, 08/23/04 8,400 8,384 American Honda Finance Corp., 1.20%, 07/28/04 7,500 7,493 Bank of Nova Scotia, 1.02%, 07/06/04 8,000 7,999 BMW US Capital Corp., 1.26%, 07/26/04 9,000 8,992 Chevron Texaco Corp., 1.10%, 07/16/04 8,000 7,996 Citigroup Global Markets Holding Inc. 1.03%, 07/01/04 7,900 7,900 1.04%, 07/01/04 1,000 1,000 Countrywide Home Loans, 1.32%, 07/20/04 9,000 8,994 Diageo Capital Plc, 1.23%, 09/02/04 7,400 7,384 E.I. du Pont de Nemours & Co. 1.04%, 07/16/04 1,000 1,000 1.15%, 07/19/04 1,500 1,499 Gannet Co., 1.03%, 07/19/04 9,500 9,495 General Electric Capital Corp. 1.11%, 07/21/04 8,000 7,995 1.24%, 07/21/04 1,000 999 Goldman Sachs Group Inc. 1.06%, 07/19/04 4,000 3,998 1.35%, 08/25/04 5,000 4,990 Household Finance Corp., 1.20%, 07/15/04 9,400 9,396 Merrill Lynch & Co. Inc., 1.45%, 07/01/04 9,000 9,000 Pfizer Inc. 1.05%, 07/08/04 1,000 1,000 1.05%, 07/12/04 2,000 1,999 1.06%, 07/16/04 1,000 1,000 1.09%, 07/26/04 1,000 999 1.28%, 08/25/04 3,000 2,994 Proctor & Gamble Co., 1.13%, 07/12/04 2,000 1,999 Royal Bank of Scotland 1.07%, 07/13/04 4,000 3,999 1.05%, 07/14/04 1,100 1,100 1.13%, 08/06/04 2,300 2,297 Sara Lee Corp. 1.08%, 07/01/04 3,000 3,000 1.11%, 07/02/04 3,000 3,000 1.27%, 07/02/04 1,500 1,500 Target Corp., 1.30%, 07/07/04 9,000 8,998 UBS Finance LLC 1.03%, 07/01/04 9,000 9,000 1.07%, 07/15/04 1,500 1,499 1.03%, 07/19/04 8,200 8,196 177,586 Total Commercial Paper (cost $179,586) 179,586 Money Market Funds - 4.5% Dreyfus Cash Management Plus, 1.14% (a) 8,282 8,282 Total Money Market Funds (cost $8,282) 8,282 Total Investments - 101.6% (cost $187,868) 187,868 Other Assets and Liabilities, Net - (1.6%) (2,969) Total Net Assets - 100% $184,899 JNL/PPM AMERICA VALUE FUND Common Stocks - 99.7% Aerospace & Defense - 1.8% United Technologies Corp. 30 $2,717 Apparel - 3.6% Liz Claiborne Inc. 64 2,317 V.F. Corp. 58 2,834 5,151 Auto Manufacturers - 3.0% Ford Motor Co. (l) 146 2,288 General Motors Corp. (l) 44 2,031 4,319 Auto Parts & Equipment - 1.5% Delphi Corp. 197 2,106 Banks - 6.7% Bank of America Corp. 40 3,350 Banknorth Group Inc. 42 1,364 Wachovia Corp. 64 2,844 Wells Fargo & Co. 36 2,055 9,613 Building Materials - 1.8% Masco Corp. (l) 80 2,507 Chemicals - 4.8% Ashland Inc. 56 2,974 PPG Industries Inc. 27 1,687 Sherwin-Williams Co. 52 2,152 6,813 Computers - 2.0% Hewlett-Packard Co. 133 2,800 Diversified Financial Services - 6.9% Citigroup Inc. 77 3,561 Fannie Mae 48 3,440 JPMorgan Chase & Co. 76 2,943 9,944 Electric - 5.2% Dominion Resources Inc. (l) 42 2,656 FirstEnergy Corp. 76 2,851 NiSource Inc. (l) 92 1,903 7,410 Food - 3.5% Kroger Co. (b) 161 2,938 Sara Lee Corp. 91 2,087 5,025 Forest Products & Paper - 1.6% MeadWestvaco Corp. 76 2,240 Healthcare - 4.1% HCA Inc. (l) 71 2,940 WellPoint Health Networks Inc. (b) 26 2,890 5,830 Home Furnishings - 1.5% Maytag Corp. 90 2,194 Household Products - 1.9% Fortune Brands Inc. 35 2,670 Insurance - 9.6% American International Group Inc. 43 3,072 Cigna Corp. 27 1,872 Hartford Financial Services Group Inc. 46 3,183 Lincoln National Corp. 61 2,887 Radian Group Inc. 58 2,797 13,811 Iron & Steel - 1.7% Nucor Corp. 31 2,372 Leisure Time - 1.5% Brunswick Corp. 53 2,162 Manufacturing - 3.5% Cooper Industries Ltd. - Class A 37 2,204 General Electric Co. 87 2,809 5,013 Oil & Gas Producers - 7.0% ChevronTexaco Corp. 31 2,946 ConocoPhillips 39 2,945 Kerr-McGee Corp. 17 909 Occidental Petroleum Corp. 66 3,170 9,970 Pharmaceuticals - 3.6% AmerisourceBergen Corp. (l) 36 2,170 Merck & Co. Inc. 63 3,012 5,182 Retail - 5.3% Federated Department Stores Inc. 58 2,833 Home Depot Inc. 56 1,971 Sears Roebuck & Co. 73 2,760 7,564 Savings & Loans - 4.0% Sovereign Bancorp. Inc. (l) 133 2,937 Washington Mutual Inc. 74 2,852 5,789 Software - 1.8% Computer Associates International Inc. 93 2,618 Telecommunications - 6.5% BellSouth Corp. 81 2,132 SBC Communications Inc. 106 2,573 Sprint Corp. - FON Group 112 1,964 Verizon Communications Inc. 72 2,602 9,271 Tobacco - 2.3% Altria Group Inc. 66 3,313 Transportation - 3.0% Burlington Northern Santa Fe Corp. 76 2,672 CSX Corp. 51 1,678 4,350 Total Common Stocks (cost $130,191) 142,754 Short Term Investments - 0.8% Money Market Funds - 0.8% Dreyfus Cash Management Plus, 1.14% (a) 1,172 1,172 Total Short Term Investments (cost $1,172) 1,172 Total Investments - 100.5% (cost $131,363) 143,926 Other Assets and Liabilities, Net - (0.5%) (775) Total Net Assets - 100% $143,151 JNL/PUTNAM EQUITY FUND Common Stocks - 99.8% Aerospace & Defense - 2.8% Boeing Co. 19 $966 Lockheed Martin Corp. 55 2,864 Rockwell Collins Inc. 3 114 United Technologies Corp. 5 457 4,401 Airlines - 1.0% Southwest Airlines Co. 92 1,540 Auto Parts & Equipment - 0.2% Lear Corp. 6 342 Banks - 7.5% Bank of America Corp. 9 779 Bank of New York Co. Inc. 31 907 Comerica Inc. 10 522 Commerce Bancorp. Inc. (l) 45 2,453 Fifth Third Bancorp. 45 2,410 US Bancorp. 120 3,304 Wells Fargo & Co. 12 710 Zions Bancorp. 8 473 11,558 Beverages - 0.7% Anheuser-Busch Cos. Inc. 2 111 Coca-Cola Co. 17 861 PepsiCo Inc. 2 89 1,061 Biotechnology - 1.5% Amgen Inc. (b) 40 2,166 Biogen Idec Inc. (b) 1 80 2,246 Building Materials - 0.7% Masco Corp. (l) 35 1,101 Chemicals - 0.2% E.I. du Pont de Nemours & Co. 4 187 PPG Industries Inc. 1 63 250 Commercial Services - 1.5% ChoicePoint Inc. (b) 13 607 Iron Mountain Inc. (b) 12 555 McKesson Corp. 1 29 Rent-A-Center Inc. (b) 37 1,099 2,290 Computers - 3.4% Dell Inc. (b) 47 1,672 EMC Corp. (b) 15 170 Hewlett-Packard Co. 81 1,702 International Business Machines Corp. 1 62 Lexmark International Inc. (b) 5 502 Sandisk Corp. (b) 49 1,061 5,169 Cosmetics & Personal Care - 0.3% Avon Products Inc. 3 138 Colgate-Palmolive Co. 2 140 Procter & Gamble Co. 3 187 465 Diversified Financial Services - 15.3% Bear Stearns Cos. Inc. 6 498 Capital One Financial Corp. (l) 37 2,506 Charles Schwab Corp. 47 453 Citigroup Inc. 148 6,874 Countrywide Financial Corp. 21 1,496 Fannie Mae 18 1,270 Freddie Mac 97 6,108 Lehman Brothers Holdings Inc. 9 677 MBNA Corp. 79 2,032 Providian Financial Corp. (b) 97 1,417 23,329 Electric - 0.3% Edison International 5 121 Entergy Corp. 2 95 Exelon Corp. 4 127 PG&E Corp. (b) 4 109 Sierra Pacific Resources (b) (l) 9 68 520 Electrical Components & Equipment - 0.1% American Power Conversion Corp. 6 120 Electronics - 0.1% Fisher Scientific International (b) 1 29 Flextronics International Ltd. (b) 5 81 Waters Corp. (b) 1 34 144 Food - 0.7% Dean Foods Co. (b) 28 1,030 Safeway Inc. (b) 2 48 1,078 Healthcare - 5.5% Baxter International Inc. 2 65 Guidant Corp. - 11 HCA Inc. 15 607 Inamed Corp. (b) 1 38 Johnson & Johnson 91 5,047 Manor Care Inc. 1 20 Medtronic Inc. 30 1,437 UnitedHealth Group Inc. 19 1,164 8,389 Home Builders - 1.4% Lennar Corp. 22 970 NVR Inc. (b) 2 1,017 Pulte Homes Inc. 2 83 2,070 Insurance - 4.2% ACE Ltd. 55 2,325 Cigna Corp. 19 1,335 Everest Re Group Ltd. 29 2,306 XL Capital Ltd. 6 461 6,427 Internet - 0.7% CheckFree Corp. (b) 24 723 eBay Inc. (b) 1 129 Yahoo! Inc. (b) 4 145 997 Investment Companies - 0.4% SPDR Trust Series 1 (l) 5 607 Leisure Time - 1.1% Harley-Davidson Inc. 20 1,226 Royal Caribbean Cruises Ltd. 12 508 1,734 Lodging - 0.9% Harrah's Entertainment Inc. 25 1,331 Manufacturing - 3.6% 3M Co. 1 126 Dover Corp. 2 79 General Electric Co. 18 577 Illinois Tool Works Inc. (l) 8 786 ITT Industries Inc. 13 1,104 Tyco International Ltd. 86 2,859 5,531 Media - 2.4% Comcast Corp. - Special Class A (b) (l) 6 157 EchoStar Communications Corp. (b) 34 1,050 Fox Entertainment Group Inc. (b) 3 72 Liberty Media Corp. (b) 73 658 Liberty Media International Inc. - Class A (b) 4 138 Viacom Inc. - Class B 44 1,574 3,649 Mining - 1.0% Aggregate Industries Plc 181 269 Alcoa Inc. 15 509 BHP Billiton Plc 66 764 1,542 Office & Business Equipment - 0.7% Xerox Corp. (b) (l) 76 1,108 Oil & Gas Producers - 5.5% Amerada Hess Corp. 8 665 Apache Corp. 3 139 Canadian Natural Resources Ltd. (l) 23 701 Exxon Mobil Corp. 121 5,359 GlobalSantaFe Corp. 22 580 Noble Corp. (b) 25 955 8,399 Pharmaceuticals - 8.0% Abbott Laboratories 20 822 AmerisourceBergen Corp. 10 622 Cardinal Health Inc. 18 1,230 Eli Lilly & Co. 1 85 Express Scripts Inc. - Class A (b) 13 1,038 Forest Laboratories Inc. (b) 35 1,985 Gilead Sciences Inc. (b) - 20 Merck & Co. Inc. 19 907 Pfizer Inc. 144 4,948 Teva Pharmaceutical Industries Ltd. - ADR 8 530 12,187 Real Estate - 1.1% Equity Office Properties Trust 30 803 General Growth Properties Inc. 29 860 1,663 Retail - 7.8% Autozone Inc. (b) 13 1,017 Bed Bath & Beyond Inc. (b) 34 1,319 Costco Wholesale Corp. 14 563 CSK Auto Corp. (b) 4 70 Family Dollar Stores Inc. 43 1,302 Home Depot Inc. 10 338 Kohl's Corp. (b) 28 1,184 Lowe's Cos. Inc. 54 2,856 Michaels Stores Inc. 1 43 Ross Stores Inc. 15 407 Staples Inc. 56 1,652 Starbucks Corp. (b) 1 52 Target Corp. 1 59 Wal-Mart Stores Inc. 22 1,139 12,001 Savings & Loans - 0.5% Washington Mutual Inc. 18 699 Semiconductors - 3.4% Analog Devices Inc. 6 264 Intel Corp. 150 4,150 Linear Technology Corp. 17 663 Micron Technology Inc. (b) 7 109 5,186 Software - 7.6% Adobe Systems Inc. 14 642 BMC Software Inc. (b) 50 928 Fiserv Inc. (b) 3 97 Microsoft Corp. 295 8,431 Oracle Corp. (b) 127 1,517 Siebel Systems Inc. (b) 3 30 Veritas Software Corp. (b) 1 33 11,678 Telecommunications - 0.7% Level 3 Communications Inc. (b) (l) 190 673 SBC Communications Inc. 9 216 Verizon Communications Inc. 6 230 1,119 Telecommunications Equipment - 3.1% Cisco Systems Inc. (b) 169 4,005 Harris Corp. - - Nokia Oyj - ADR 28 406 Nortel Networks Corp. (b) 81 403 4,814 Tobacco - 2.1% Altria Group Inc. 64 3,211 Toys & Hobbies - 0.5% Mattel Inc. 38 695 Transportation - 1.3% Canadian National Railway Co. 19 823 Union Pacific Corp. 20 1,196 2,020 Total Common Stocks (cost $139,865) 152,671 Short Term Investments - 0.5% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.14% (a) 1 1 Repurchase Agreement - 0.5% Repurchase Agreement with Goldman Sachs and Co., 1.50%, (Collateralized by $745 Federal Home Loan Bank Discount Note, due 07/28/04, market value $933) acquired on 06/30/04, due 07/01/04 at $726 $726 726 Total Short Term Investments (cost $727) 727 Total Investments - 100.3% (cost $140,592) 153,398 Other Assets and Liabilities, Net - (0.3%) (443) Total Net Assets - 100% $152,955 JNL/PUTNAM INTERNATIONAL EQUITY FUND Common Stocks - 96.1% Advertising - 1.2% WPP Group Plc 101 $1,024 Airlines - 0.6% Singapore Airlines Ltd. 86 559 Auto Manufacturers - 5.2% Bayerische Motoren Werke AG (l) 8 345 Honda Motor Co. Ltd. 25 1,205 Peugeot SA 4 233 Renault SA 9 685 Toyota Motor Corp. 54 2,183 4,651 Banks - 17.0% Allied Irish Banks Plc 33 512 Australia & New Zealand Banking Group Ltd. 3 38 Banco Bilbao Vizcaya Argentaria SA (l) 7 90 Banco Itau Holding Financeira SA - ADR 4 173 Bank of Ireland 24 319 Barclays Plc 141 1,201 BNP Paribas SA 15 938 Canadian Imperial Bank of Commerce (l) 9 444 Credit Agricole SA 2 44 Credit Suisse Group (b) 37 1,298 Danske Bank A/S 29 687 DBS Group Holdings Ltd. 72 602 HSBC Holdings Plc 85 1,268 Mitsubishi Tokyo Financial Group Inc. - 463 Oversea-Chinese Banking Corp. Ltd. 64 450 Principal Office Fund (b) 8 262 Royal Bank of Scotland Group Plc 56 1,603 Sanpaolo IMI SpA 4 46 Societe Generale (l) 8 647 Sumitomo Mitsui Financial Group Inc. - 41 UBS AG 44 3,120 UFJ Holdings Inc. (b) - 216 UniCredito Italiano SpA (l) 94 463 14,925 Beverages - 2.9% Diageo Plc 152 2,053 Interbrew (l) 15 493 2,546 Building Materials - 1.2% CRH Plc 46 976 Chemicals - 2.2% Air Liquide SA - 40 BASF AG (l) 23 1,222 Ciba Specialty Chemicals AG (b) 9 616 Shin-Etsu Chemical Co. Ltd. 1 25 1,903 Commercial Services - 1.3% Adecco SA (b) (l) 5 252 Dai Nippon Printing Co. Ltd. 25 399 Securitas AB (l) 40 502 1,153 Computers - 0.3% Compal Electronics Inc. 226 245 Cosmetics & Personal Care - 0.6% Kao Corp. 23 554 Distribution & Wholesale - 0.2% Mitsui & Co. Ltd. 5 37 Diversified Financial Services - 2.7% Acom Co. Ltd. 5 339 Credit Saison Co. Ltd. 21 616 Nomura Holdings Inc. 63 933 ORIX Corp. 5 538 2,426 Electric - 1.6% E.ON AG 1 47 Iberdrola SA (l) 50 1,061 Kansai Electric Power Co. Inc. 3 58 Korea Electric Power Corp. - ADR 19 171 Scottish & Southern Energy Plc 2 21 Scottish Power Plc 2 16 Tokyo Electric Power Co. Inc. 2 51 1,425 Electrical Components & Equipment - 3.3% Samsung Electronics Co. Ltd. 7 2,890 Electronics - 0.5% Koninklijke Philips Electronics NV 12 322 Omron Corp. 4 91 413 Food - 3.7% Groupe Danone 1 52 Nestle SA 10 2,587 Tesco Plc 72 345 Woolworths Ltd. 36 282 3,266 Gas - 0.8% Tokyo Gas Co. Ltd. 199 707 Hand & Machine Tools - 0.1% Schneider Electric SA 1 55 Healthcare - 0.4% Synthes Inc. 3 321 Holding Companies - Diversified - 0.4% LVMH Moet Hennessy Louis Vuitton SA (l) 5 333 Swire Pacific Ltd. 6 38 371 Household Products - 0.6% Reckitt Benckiser Plc 19 536 Insurance - 3.4% ACE Ltd. 6 257 Aegon NV 23 277 Allianz AG 5 595 Swiss Reinsurance 17 1,084 XL Capital Ltd. 10 740 Zurich Financial Services AG (b) - 62 3,015 Iron & Steel - 0.3% POSCO - ADR (l) 9 287 Lodging - 0.4% Accor SA 9 378 Manufacturing - 2.3% Olympus Optical Co. Ltd. 25 472 Siemens AG 22 1,569 2,041 Media - 2.6% Mediaset SpA (l) 64 728 News Corp. Ltd. - ADR (l) 5 193 Singapore Press Holdings Ltd. 112 271 Societe Television Francaise 1 (l) 25 784 VNU NV 13 371 2,347 Metal Fabrication & Hardware - 0.9% SKF AB (l) 23 827 Mining - 1.7% Aggregate Industries Plc 179 266 BHP Billiton Plc 96 835 Rio Tinto Plc 19 447 1,548 Office & Business Equipment - 3.0% Canon Inc. (l) 45 2,371 Ricoh Co. Ltd. 13 276 2,647 Oil & Gas Producers - 7.5% BP Plc 178 1,571 ENI-Ente Nazionale Idrocarburi SpA (l) 3 52 Imperial Oil Ltd. 7 305 Nippon Oil Corp. 36 227 Noble Corp. (b) 7 246 Petroleo Brasileiro SA - Petrobras - ADR 11 309 Statoil ASA (l) 6 73 Total Fina Elf SA 20 3,823 YUKOS - ADR 3 104 6,710 Packaging & Containers - 0.4% Amcor Ltd. 73 355 Pharmaceuticals - 7.8% AstraZeneca Plc 51 2,272 GlaxoSmithKline Plc 33 659 Novartis AG 34 1,498 Roche Holding AG Genusschein 16 1,536 Sankyo Co. Ltd. - 9 Yamanouchi Pharmaceutical Co. Ltd. 29 982 6,956 Retail - 2.5% Aeon Co. Ltd. 7 285 Hennes & Mauritz AB - Class B (l) 24 624 Lawson Inc. 4 161 Pinault-Printemps-Redoute SA 4 371 Swatch Group AG 8 205 Swatch Group AG - Class B 4 570 2,216 Semiconductors - 1.1% Infineon Technologies AG (b) 4 56 Rohm Co. Ltd. 4 431 Taiwan Semiconductor Manufacturing Co. Ltd. 368 530 1,017 Telecommunications - 2.6% China Telecom Corp. Ltd. 1,346 470 Deutsche Telekom AG (b) 4 79 France Telecom SA 11 292 Nippon Telegraph & Telephone Corp. - 518 TDC A/S 11 357 Telecom Italia SpA 19 59 Telefonica SA 5 75 Telefonos de Mexico SA de CV - ADR 15 500 2,350 Telecommunications Equipment - 1.9% Nokia Oyj 37 528 Nortel Networks Corp. (b) 64 319 Telefonaktiebolaget LM Ericsson (b) 282 832 1,679 Tobacco - 1.4% Altadis SA (l) 24 736 Japan Tobacco Inc. - 466 1,202 Transportation - 2.6% Canadian National Railway Co. 16 688 East Japan Railway Co. - 864 TPG NV 33 757 2,309 Venture Capital - 0.7% 3i Group Plc 54 595 Water - 0.5% Veolia Environnement (l) 17 473 Wireless Telecommunications - 6.1% NTT DoCoMo Inc. 1 1,617 SK Telecom Co. Ltd. - ADR (l) 27 562 Vodafone Group Plc 1,500 3,285 5,464 Total Common Stocks (cost $75,367) 85,399 Preferred Stocks - 0.3% Auto Manufacturers - 0.3% Porsche AG - 261 Holding Companies - Diversified - 0.0% Singapore Press Holdings Ltd. (b) 17 42 Total Preferred Stocks (cost $295) 303 Mutual Funds - 1.0% iShares MSCI EAFE Index Fund 6 901 Total Mutual Funds (cost $861) 901 Warrants - 0.6% Chemicals - 0.6% Reliance Industries, No Strike Price, Expiring 09/02/04 (e) 58 540 Total Warrants (cost $591) 540 Short Term Investments - 2.0% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.14% (a) 1 1 Repurchase Agreement - 2.0% Repurchase Agreement with Goldman Sachs and Co., 1.50%, (Collateralized by $1,795 Federal Home Loan Bank Discount Note, due 07/28/04, market value $2,248) acquired on 06/30/04, due 07/01/04 at $1,755 $1,755 1,755 Total Short Term Investments (cost $1,756) 1,756 Total Investments - 100.0% (cost $78,870) 88,899 Other Assets and Liabilities, Net - 0.0% (22) Total Net Assets - 100% $88,877 JNL/PUTNAM MIDCAP GROWTH FUND Common Stocks - 99.2% Advertising - 1.2% Getty Images Inc. (b) 5 $282 Interpublic Group of Cos. Inc. (b) 8 103 385 Aerospace & Defense - 1.1% Rockwell Collins Inc. 3 93 United Defense Industries Inc. (b) 6 221 314 Apparel - 1.3% Coach Inc. (b) 9 389 Auto Parts & Equipment - 1.1% Autoliv Inc. 8 346 Biotechnology - 2.8% Biogen Idec Inc. (b) 7 468 Charles River Laboratories International Inc. (b) 1 49 Invitrogen Corp. (b) 5 360 877 Building Materials - 1.7% American Standard Cos. Inc. (b) 8 311 Vulcan Materials Co. 4 209 520 Commercial Services - 2.1% Alliance Data Systems Corp. (b) 4 161 Apollo Group Inc. (b) 3 264 Career Education Corp. (b) 4 173 Corporate Executive Board Co. 1 64 662 Computers - 8.5% CACI International Inc. - Class A (b) 4 150 Cognizant Technology Solutions Corp. (b) 7 169 Lexar Media Inc. (b) (l) 12 77 Lexmark International Inc. (b) 7 656 Network Appliance Inc. (b) 21 456 Sandisk Corp. (b) 31 672 Storage Technology Corp. (b) 17 481 2,661 Cosmetics & Personal Care - 1.1% Alberto-Culver Co. - Class B 7 328 Distribution & Wholesale - 1.0% CDW Corp. 3 204 SCP Pool Corp. 2 104 308 Diversified Financial Services - 5.8% Ameritrade Holding Corp. (b) 11 119 Bear Stearns Cos. Inc. 4 346 Capital One Financial Corp. (l) 5 348 Doral Financial Corp. 5 173 Legg Mason Inc. 5 428 Nelnet Inc. (b) 11 1921 Providian Financial Corp. (b) 14 210 1,815 Electronics - 0.5% Benchmark Electronics Inc. (b) 6 167 Entertainment - 0.4% International Game Technology 3 127 Environmental Control - 0.7% Stericycle Inc. (b) 5 233 Food - 0.4% Whole Foods Market Inc. 1 124 Healthcare - 9.0% Advanced Medical Optics Inc. (b) - - Anthem Inc. (b) (l) 2 197 Biomet Inc. (b) 6 258 C.R. Bard Inc. 11 606 Gen-Probe Inc. (b) 5 251 Idexx Laboratories Inc. (b) 3 195 Inamed Corp. (b) 3 182 Kinetic Concepts Inc. (b) 3 125 Laboratory Corp. of America Holdings (b) 4 147 Respironics Inc. (b) 3 147 St. Jude Medical Inc. (b) 3 235 Varian Medical Systems Inc. (b) 2 150 WellPoint Health Networks Inc. (b) 2 258 Wright Medical Group Inc. (b) 2 74 2,825 Home Builders - 1.2% NVR Inc. (b) 1 387 Home Furnishings - 2.1% Harman International Industries Inc. 4 319 Whirlpool Corp. 5 322 641 Household Products - 3.3% Fossil Inc. (b) 6 166 Scotts Co. - Class A (b) 3 179 Toro Co. 7 462 Yankee Candle Co. Inc. (b) 8 232 1,039 Insurance - 1.8% Everest Re Group Ltd. 3 225 W.R. Berkley Corp. 8 337 562 Internet - 2.7% Symantec Corp. (b) 14 595 VeriSign Inc. (b) 13 262 858 Investment Companies - 0.4% Midcap SPDR Trust Series 1 1 56 Nasdaq-100 Index Tracking Stock (l) 2 60 116 Leisure Time - 0.5% Harley-Davidson Inc. (l) 2 149 Machinery - 3.3% Briggs & Stratton Corp. 5 441 Graco Inc. 1 16 IDEX Corp. (l) 9 323 Terex Corp. (b) 7 242 1,022 Manufacturing - 0.8% ITT Industries Inc. 3 241 Media - 0.4% XM Satellite Radio Holdings Inc. - Class A (b) 4 115 Metal Fabrication & Hardware - 0.5% Precision Castparts Corp. 3 142 Office Furnishings - 0.9% HNI Corp. 7 296 Oil & Gas Producers - 7.3% Amerada Hess Corp. 7 562 Burlington Resources Inc. 7 268 Chesapeake Energy Corp. 8 116 EOG Resources Inc. 11 681 Newfield Exploration Co. (b) 4 245 Pogo Producing Co. 4 173 Sunoco Inc. 4 248 2,293 Packaging & Containers - 0.4% Ball Corp. 2 130 Pharmaceuticals - 7.3% Allergan Inc. (l) 2 160 Amylin Pharmaceuticals Inc. (b) 5 103 Andrx Corp. (b) 9 237 Barr Laboratories Inc. (b) 5 182 Caremark Rx Inc. (b) 2 79 Endo Pharmaceuticals Holdings Inc. (b) 11 258 Eon Labs Inc. (b) 10 405 Impax Laboratories Inc. (b) 2 37 King Pharmaceuticals Inc. (b) 14 164 Medicis Pharmaceutical Corp. - Class A (l) 8 308 Mylan Laboratories Inc. 9 188 Neurocrine Biosciences Inc. (b) 3 156 2,277 Retail - 11.4% Abercrombie & Fitch Co. - Class A 9 345 Advance Auto Parts (b) 7 309 Aeropostale Inc. (b) 8 227 Autozone Inc. (b) 1 80 Chico's FAS Inc. (b) (l) 3 122 Claire's Stores Inc. 28 603 Michaels Stores Inc. 6 347 RadioShack Corp. 13 372 Staples Inc. 22 639 Starbucks Corp. (b) 12 509 3,553 Semiconductors - 5.4% Agere Systems Inc. (b) (l) 115 265 Altera Corp. (b) 5 116 Integrated Device Technology Inc. (b) 9 130 International Rectifier Corp. (b) 6 261 Linear Technology Corp. 9 367 Marvell Technology Group Ltd. (b) 4 100 Omnivision Technologies Inc. (b) 5 72 Sigmatel Inc. (b) 8 227 Silicon Laboratories Inc. (b) 3 158 1,696 Software - 9.0% Adobe Systems Inc. 16 735 Autodesk Inc. 4 167 BMC Software Inc. (b) 35 649 Citrix Systems Inc. (b) 18 362 Mercury Interactive Corp. (b) (l) 5 229 Siebel Systems Inc. (b) 33 354 Veritas Software Corp. (b) 11 313 2,809 Telecommunications Equipment - 1.7% Corning Inc. (b) (l) 8 107 Foundry Networks Inc. (b) 12 169 Harris Corp. 5 244 520 Transportation - 0.1% CNF Inc. 1 33 Total Common Stocks (cost $27,308) 30,960 Short Term Investments - 0.6% Money Market Funds - 0.6% Dreyfus Cash Management Plus, 1.14% (a) 203 203 Total Short Term Investments (cost $203) 203 Total Investments - 99.8% (cost $27,511) 31,163 Other Assets and Liabilities, Net - 0.2% 59 Total Net Assets - 100% $31,222 JNL/PUTNAM VALUE EQUITY FUND Common Stocks - 98.7% Aerospace & Defense - 3.1% Boeing Co. 56 $2,846 Lockheed Martin Corp. 53 2,755 Northrop Grumman Corp. 21 1,138 6,739 Airlines - 0.3% Southwest Airlines Co. 40 674 Apparel - 0.5% Liz Claiborne Inc. 29 1,058 Banks - 7.7% Bank of America Corp. 75 6,362 Bank of New York Co. Inc. 33 979 State Street Corp. 25 1,246 US Bancorp. 118 3,241 Wachovia Corp. 35 1,549 Wells Fargo & Co. 65 3,720 17,097 Beverages - 1.0% Coca-Cola Co. 45 2,262 Biotechnology - 0.4% Amgen Inc. (b) 18 982 Building Materials - 0.9% Masco Corp. 64 2,008 Chemicals - 2.3% Dow Chemical Co. 80 3,236 PPG Industries Inc. 28 1,768 5,004 Computers - 5.6% Dell Inc. (b) 37 1,333 Hewlett-Packard Co. 266 5,617 International Business Machines Corp. 43 3,799 Lexmark International Inc. (b) 10 946 Sun Microsystems Inc. (b) 167 723 12,418 Cosmetics & Personal Care - 1.8% Colgate-Palmolive Co. 13 766 Procter & Gamble Co. 58 3,179 3,945 Diversified Financial Services - 12.2% Citigroup Inc. 196 9,091 Fannie Mae 79 5,637 Freddie Mac 80 5,045 JPMorgan Chase & Co. 131 5,059 MBNA Corp. 65 1,676 Morgan Stanley 10 513 27,021 Electric - 2.4% Edison International 75 1,910 Entergy Corp. 10 555 Exelon Corp. 30 1,005 PG&E Corp. (b) 63 1,755 5,225 Electrical Components & Equipment - 0.5% Emerson Electric Co. 17 1,068 Electronics - 0.5% Solectron Corp. (b) 167 1,080 Food - 1.0% ConAgra Foods Inc. 8 217 Dean Foods Co. (b) 31 1,157 General Mills Inc. 16 760 2,134 Healthcare - 3.0% Anthem Inc. (b) 8 690 C.R. Bard Inc. 14 799 Guidant Corp. 10 552 Johnson & Johnson 74 4,122 Medtronic Inc. 11 551 6,714 Home Builders - 0.5% Pulte Homes Inc. 21 1,113 Home Furnishings - 1.0% Whirlpool Corp. 34 2,332 Household Products - 0.4% Avery Dennison Corp. (l) 12 787 Insurance - 4.5% ACE Ltd. 52 2,186 American International Group Inc. 12 848 Berkshire Hathaway Inc. - Class B (b) 1 1,832 Cigna Corp. 8 564 Radian Group Inc. 14 685 St. Paul Cos. Inc. 47 1,915 XL Capital Ltd. 26 1,970 10,000 Lodging - 0.3% Hilton Hotels Corp. 32 592 Manufacturing - 4.9% General Electric Co. 127 4,102 Ingersoll-Rand Co. - Class A 29 1,988 Tyco International Ltd. 143 4,722 10,812 Media - 2.4% EchoStar Communications Corp. (b) 22 683 Fox Entertainment Group Inc. (b) 49 1,308 Time Warner Inc. (b) 32 556 Viacom Inc. - Class B 29 1,047 Walt Disney Co. 65 1,657 5,251 Mining - 0.7% Alcoa Inc. 50 1,648 Office & Business Equipment - 1.4% Xerox Corp. (b) (l) 207 3,004 Oil & Gas Producers - 6.7% Amerada Hess Corp. 11 863 BP Plc - ADR 12 643 ChevronTexaco Corp. 40 3,793 Exxon Mobil Corp. 214 9,513 14,812 Oil & Gas Services - 1.3% Halliburton Co. 73 2,215 Varco International Inc. (b) 29 639 2,854 Pharmaceuticals - 9.4% Abbott Laboratories 103 4,206 Bristol-Myers Squibb Co. 33 806 Cardinal Health Inc. 39 2,704 Express Scripts Inc. - Class A (b) 23 1,799 Forest Laboratories Inc. (b) 23 1,322 King Pharmaceuticals Inc. (b) 107 1,219 Pfizer Inc. 254 8,704 20,760 Retail - 6.0% Darden Restaurants Inc. 28 574 Home Depot Inc. 77 2,724 J.C. Penney Co. Inc. 28 1,072 Lowe's Cos. Inc. 30 1,598 McDonald's Corp. 75 1,942 Office Depot Inc. (b) 117 2,088 Rite Aid Corp. (b) 211 1,102 Wal-Mart Stores Inc. 39 2,074 13,174 Semiconductors - 1.7% Intel Corp. 106 2,937 Micron Technology Inc. (b) 48 741 3,678 Software - 5.1% Automatic Data Processing Inc. 42 1,738 Fiserv Inc. (b) 32 1,233 Microsoft Corp. 242 6,906 Oracle Corp. (b) 115 1,374 11,251 Telecommunications - 2.9% SBC Communications Inc. 65 1,569 Verizon Communications Inc. 132 4,773 6,342 Telecommunications Equipment - 0.4% Cisco Systems Inc. (b) 41 974 Tobacco - 2.8% Altria Group Inc. 123 6,136 Toys & Hobbies - 0.7% Mattel Inc. 84 1,535 Transportation - 1.4% Canadian National Railway Co. 29 1,255 Union Pacific Corp. 33 1,944 3,199 Wireless Telecommunications - 1.0% Motorola Inc. (l) 126 2,303 Total Common Stocks (cost $194,202) 217,986 Short Term Investments - 0.5% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.14% (a) 1 1 Repurchase Agreement - 0.5% Repurchase Agreement with Goldman Sachs and Co., 1.50%, (Collateralized by $1,225 Federal Home Loan Bank Discount Note, due 07/28/04, market value $1,534) acquired on 06/30/04, due 07/01/04 at $1,196 $1,196 1,196 Total Short Term Investments (cost $1,197) 1,197 Total Investments - 99.2% (cost $195,399) 219,183 Other Assets and Liabilities, Net - 0.8% 1,815 Total Net Assets - 100% $220,998 JNL/S&P AGGRESSIVE GROWTH FUND I Mutual Funds - 99.9% Aggressive Growth - 38.1% JNL/AIM Large Cap Growth Fund 918 $10,299 JNL/Alger Growth Fund 658 10,001 JNL/Alliance Capital Growth Fund 374 3,829 JNL/Eagle SmallCap Equity Fund 334 6,040 JNL/Lazard Mid Cap Value Fund 326 4,771 JNL/Lazard Small Cap Value Fund 513 7,102 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 1,732 14,257 JNL/Oppenheimer Global Growth Fund 1,258 13,111 JNL/Oppenheimer Growth Fund 27 229 JNL/Select Large Cap Growth Fund 115 2,216 JNL/T. Rowe Price Mid-Cap Growth Fund 415 11,112 82,967 Greater Opportunity for Stability - 0.0% JNL/PPM America Money Market Fund 79 79 Growth - 33.6% JNL/Eagle Core Equity Fund 1,795 25,442 JNL/Mellon Capital Management Energy Sector Fund 131 2,128 JNL/Mellon Capital Management International Index Fund 1,021 12,196 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund 172 1,991 JNL/Select Global Growth Fund 80 1,442 JNL/T. Rowe Price Established Growth Fund 1,743 29,926 73,125 Growth & Income - 17.7% JNL/PPM America Value Fund 786 12,173 JNL/T. Rowe Price Value Fund 2,113 26,395 38,568 Income - 10.5% JNL/PIMCO Total Return Bond Fund 1,096 12,895 JNL/PPM America High Yield Bond Fund 446 3,887 JNL/Salomon Brothers Strategic Bond Fund 524 5,971 22,753 Total Mutual Funds (cost $203,950) 217,492 Total Investments - 99.9% (cost $203,950) 217,492 Other Assets and Liabilities, Net - 0.1% 240 Total Net Assets - 100% $217,732 JNL/S&P CONSERVATIVE GROWTH FUND I Mutual Funds - 99.9% Aggressive Growth - 22.0% JNL/AIM Large Cap Growth Fund 1,847 $20,718 JNL/Alger Growth Fund 1,324 20,132 JNL/Alliance Capital Growth Fund 541 5,537 JNL/Lazard Mid Cap Value Fund 37 537 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 3,524 29,006 JNL/Oppenheimer Global Growth Fund 1,079 11,244 JNL/Oppenheimer Growth Fund 97 826 JNL/Select Large Cap Growth Fund 127 2,443 JNL/T. Rowe Price Mid-Cap Growth Fund 973 26,067 116,510 Greater Opportunity for Stability - 5.1% JNL/PPM America Money Market Fund 27,215 27,215 Growth - 28.8% JNL/Eagle Core Equity Fund 3,823 54,169 JNL/Mellon Capital Management International Index Fund 1,285 15,340 JNL/Mellon Capital Management S&P 500 Index Fund 2,487 25,221 JNL/Select Global Growth Fund 149 2,677 JNL/T. Rowe Price Established Growth Fund 3,215 55,207 152,614 Growth & Income - 14.4% JNL/PPM America Value Fund 1,648 25,513 JNL/T. Rowe Price Value Fund 4,089 51,068 76,581 Income - 29.6% JNL/Mellon Capital Management Bond Index Fund 1,381 14,441 JNL/PIMCO Total Return Bond Fund 4,917 57,874 JNL/PPM America High Yield Bond Fund 2,804 24,450 JNL/Salomon Brothers Strategic Bond Fund 4,039 46,006 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 1,261 14,443 157,214 Total Mutual Funds (cost $502,288) 530,134 Total Investments - 99.9% (cost $502,288) 530,134 Other Assets and Liabilities, Net - 0.1% 298 Total Net Assets - 100% $530,432 JNL/S&P CORE INDEX 100 FUND Mutual Funds - 99.8% Aggressive Growth - 36.4% JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 1,318 $10,850 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 177 2,151 JNL/Mellon Capital Management Small Cap Index Fund 211 2,574 15,575 Greater Opportunity for Stability - 7.9% JNL/PPM America Money Market Fund 3,381 3,381 Growth - 34.4% JNL/Mellon Capital Management International Index Fund 366 4,370 JNL/Mellon Capital Management S&P 500 Index Fund 1,020 10,342 14,712 Income - 21.1% JNL/Mellon Capital Management Bond Index Fund 865 9,047 Total Mutual Funds (cost $37,959) 42,715 Total Investments - 99.8% (cost $37,959) 42,715 Other Assets and Liabilities, Net - 0.2% 68 Total Net Assets - 100% $42,783 JNL/S&P CORE INDEX 50 FUND Mutual Funds - 100.0% Aggressive Growth - 43.2% JNL/AIM Large Cap Growth Fund 30 $341 JNL/Alger Growth Fund 22 332 JNL/Eagle SmallCap Equity Fund 12 222 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 203 1,671 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 46 553 JNL/Mellon Capital Management Small Cap Index Fund 36 441 JNL/Oppenheimer Global Growth Fund 63 658 JNL/T. Rowe Price Mid-Cap Growth Fund 21 571 4,789 Growth - 47.7% JNL/Eagle Core Equity Fund 46 649 JNL/Mellon Capital Management Communications Sector Fund 24 106 JNL/Mellon Capital Management Consumer Brands Sector Fund 10 108 JNL/Mellon Capital Management Energy Sector Fund 7 117 JNL/Mellon Capital Management International Index Fund 56 673 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund 9 110 JNL/Mellon Capital Management S&P 500 Index Fund 218 2,213 JNL/Mellon Capital Management Technology Sector Fund 18 110 JNL/Select Global Growth Fund 18 332 JNL/T. Rowe Price Established Growth Fund 51 881 5,299 Growth & Income - 9.1% JNL/T. Rowe Price Value Fund 81 1,008 Total Mutual Funds (cost $10,241) 11,096 Total Investments - 100.0% (cost $10,241) 11,096 Other Assets and Liabilities, Net - 0.0% (1) Total Net Assets - 100% $11,095 JNL/S&P CORE INDEX 75 FUND Mutual Funds - 100.0% Aggressive Growth - 45.5% JNL/AIM Large Cap Growth Fund 47 $524 JNL/Alger Growth Fund 22 341 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 438 3,608 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 56 683 JNL/Mellon Capital Management Small Cap Index Fund 56 682 JNL/Oppenheimer Global Growth Fund 97 1,013 JNL/T. Rowe Price Mid-Cap Growth Fund 33 880 7,731 Growth - 40.1% JNL/Eagle Core Equity Fund 35 501 JNL/Mellon Capital Management Energy Sector Fund 11 181 JNL/Mellon Capital Management International Index Fund 87 1,036 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund 15 169 JNL/Mellon Capital Management S&P 500 Index Fund 421 4,268 JNL/T. Rowe Price Established Growth Fund 40 679 6,834 Income - 14.4% JNL/Mellon Capital Management Bond Index Fund 235 2,457 Total Mutual Funds (cost $15,685) 17,022 Total Investments - 100.0% (cost $15,685) 17,022 Other Assets and Liabilities, Net - 0.0% 8 Total Net Assets - 100% $17,030 JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I Mutual Funds - 99.8% Aggressive Growth - 40.3% JNL/AIM Large Cap Growth Fund 328 $3,678 JNL/Alger Growth Fund 196 2,976 JNL/Alliance Capital Growth Fund 52 534 JNL/Eagle SmallCap Equity Fund 165 2,995 JNL/Lazard Mid Cap Value Fund 221 3,238 JNL/Lazard Small Cap Value Fund 188 2,605 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 219 1,803 JNL/Oppenheimer Global Growth Fund 291 3,032 JNL/Oppenheimer Growth Fund 14 115 JNL/Select Large Cap Growth Fund 13 255 JNL/T. Rowe Price Mid-Cap Growth Fund 142 3,790 25,021 Growth - 39.0% JNL/Eagle Core Equity Fund 411 5,822 JNL/Mellon Capital Management Communications Sector Fund 130 567 JNL/Mellon Capital Management Consumer Brands Sector Fund 54 580 JNL/Mellon Capital Management Energy Sector Fund 39 633 JNL/Mellon Capital Management International Index Fund 304 3,629 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund 51 592 JNL/Mellon Capital Management Technology Sector Fund 98 595 JNL/Select Global Growth Fund 161 2,894 JNL/T. Rowe Price Established Growth Fund 519 8,903 24,215 Growth & Income - 20.5% JNL/PPM America Value Fund 234 3,622 JNL/T. Rowe Price Value Fund 725 9,060 12,682 Total Mutual Funds (cost $56,484) 61,918 Total Investments - 99.8% (cost $56,484) 61,918 Other Assets and Liabilities, Net - 0.2% 150 Total Net Assets - 100% $62,068 JNL/S&P EQUITY GROWTH FUND I Mutual Funds - 100.0% Aggressive Growth - 42.1% JNL/AIM Large Cap Growth Fund 979 $10,984 JNL/Alger Growth Fund 702 10,668 JNL/Alliance Capital Growth Fund 191 1,960 JNL/Eagle SmallCap Equity Fund 593 10,738 JNL/Lazard Mid Cap Value Fund 774 11,329 JNL/Lazard Small Cap Value Fund 674 9,316 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 1,309 10,770 JNL/Oppenheimer Global Growth Fund 1,241 12,928 JNL/Oppenheimer Growth Fund 52 439 JNL/Select Large Cap Growth Fund 34 652 JNL/T. Rowe Price Mid-Cap Growth Fund 511 13,691 93,475 Greater Opportunity for Stability - 0.1% JNL/PPM America Money Market Fund 281 281 Growth - 39.3% JNL/Eagle Core Equity Fund 1,915 27,137 JNL/Mellon Capital Management Energy Sector Fund 140 2,269 JNL/Mellon Capital Management International Index Fund 1,090 13,009 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund 183 2,122 JNL/Mellon Capital Management Technology Sector Fund 351 2,132 JNL/Select Global Growth Fund 490 8,818 JNL/T. Rowe Price Established Growth Fund 1,859 31,918 87,405 Growth & Income - 18.5% JNL/PPM America Value Fund 839 12,982 JNL/T. Rowe Price Value Fund 2,254 28,149 41,131 Total Mutual Funds (cost $203,398) 222,292 Total Investments - 100.0% (cost $203,398) 222,292 Other Assets and Liabilities, Net - 0.0% 108 Total Net Assets - 100% $222,400 JNL/S&P MODERATE GROWTH FUND I Mutual Funds - 100.1% Aggressive Growth - 31.4% JNL/AIM Large Cap Growth Fund 2,880 $32,313 JNL/Alger Growth Fund 2,066 31,409 JNL/Alliance Capital Growth Fund 878 8,990 JNL/Eagle SmallCap Equity Fund 873 15,807 JNL/Lazard Mid Cap Value Fund 1,222 17,895 JNL/Lazard Small Cap Value Fund 1,880 25,997 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 5,644 46,447 JNL/Oppenheimer Global Growth Fund 3,286 34,242 JNL/Oppenheimer Growth Fund 123 1,039 JNL/Select Large Cap Growth Fund 252 4,830 JNL/T. Rowe Price Mid-Cap Growth Fund 1,586 42,468 261,437 Greater Opportunity for Stability - 3.0% JNL/PPM America Money Market Fund 24,708 24,708 Growth - 29.6% JNL/Eagle Core Equity Fund 5,965 84,521 JNL/Mellon Capital Management International Index Fund 4,007 47,849 JNL/Mellon Capital Management S&P 500 Index Fund 1,552 15,738 JNL/Select Global Growth Fund 226 4,060 JNL/T. Rowe Price Established Growth Fund 5,472 93,951 246,119 Growth & Income - 14.4% JNL/PPM America Value Fund 2,571 39,797 JNL/T. Rowe Price Value Fund 6,378 79,660 119,457 Income - 21.7% JNL/Mellon Capital Management Bond Index Fund 1,437 15,027 JNL/PIMCO Total Return Bond Fund 6,159 72,497 JNL/PPM America High Yield Bond Fund 2,625 22,892 JNL/Salomon Brothers Strategic Bond Fund 4,855 55,296 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 1,313 15,029 180,741 Total Mutual Funds (cost $780,989) 832,462 Total Investments - 100.1% (cost $780,989) 832,462 Other Assets and Liabilities, Net - (0.1%) (489) Total Net Assets - 100% $831,973 JNL/S&P VERY AGGRESSIVE GROWTH FUND I Mutual Funds - 99.7% Aggressive Growth - 40.5% JNL/AIM Large Cap Growth Fund 384 $4,307 JNL/Alger Growth Fund 229 3,483 JNL/Alliance Capital Growth Fund 59 605 JNL/Eagle SmallCap Equity Fund 116 2,103 JNL/Lazard Mid Cap Value Fund 259 3,789 JNL/Lazard Small Cap Value Fund 271 3,751 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 256 2,111 JNL/Oppenheimer Global Growth Fund 343 3,574 JNL/Oppenheimer Growth Fund 19 165 JNL/Select Large Cap Growth Fund 14 271 JNL/T. Rowe Price Mid-Cap Growth Fund 196 5,238 29,397 Growth - 38.8% JNL/Eagle Core Equity Fund 481 6,815 JNL/Mellon Capital Management Communications Sector Fund 152 664 JNL/Mellon Capital Management Consumer Brands Sector Fund 63 679 JNL/Mellon Capital Management Energy Sector Fund 46 742 JNL/Mellon Capital Management International Index Fund 297 3,541 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund 60 693 JNL/Mellon Capital Management Technology Sector Fund 115 696 JNL/Select Global Growth Fund 220 3,959 JNL/T. Rowe Price Established Growth Fund 607 10,424 28,213 Growth & Income - 20.4% JNL/PPM America Value Fund 274 4,240 JNL/T. Rowe Price Value Fund 849 10,609 14,849 Total Mutual Funds (cost $65,983) 72,459 Total Investments - 99.7% (cost $65,983) 72,459 Other Assets and Liabilities, Net - 0.3% 247 Total Net Assets - 100% $72,706 JNL/SALOMON BROTHERS BALANCED FUND Common Stocks - 59.6% Agriculture - 0.1% Monsanto Co. - $10 Auto Manufacturers - 0.2% DaimlerChrysler AG (f) 1 24 Banks - 5.9% Bank of America Corp. 3 232 Bank of New York Co. Inc. (f) 9 262 Mercantile Bankshares Corp. 1 37 SunTrust Banks Inc. (l) 1 52 Wachovia Corp. 4 187 770 Beverages - 2.8% Anheuser-Busch Cos. Inc. 2 103 Coca-Cola Co. 3 131 PepsiCo Inc. 2 129 363 Computers - 4.1% Hewlett-Packard Co. 5 102 International Business Machines Corp. (f) 3 282 Sun Microsystems Inc. (b) 36 156 540 Cosmetics & Personal Care - 3.3% Colgate-Palmolive Co. 1 47 Gillette Co. 4 170 Kimberly-Clark Corp. 1 59 Procter & Gamble Co. 3 152 428 Diversified Financial Services - 5.5% American Express Co. 3 148 JPMorgan Chase & Co. (f) 11 423 Merrill Lynch & Co. Inc. 3 146 717 Electric - 0.2% American Electric Power Co. Inc. 1 29 Food - 3.6% H.J. Heinz Co. 1 51 Kroger Co. (b) 7 118 Safeway Inc. (b) (f) 10 253 Sara Lee Corp. 2 44 466 Healthcare - 1.4% Johnson & Johnson 3 178 Insurance - 6.4% Allstate Corp. 3 140 American International Group Inc. (f) 5 321 Berkshire Hathaway Inc. - Class B (b) - 242 Chubb Corp. 1 55 Cigna Corp. 1 48 Horace Mann Educators Corp. 2 28 834 Manufacturing - 1.8% Eastman Kodak Co. (l) 1 24 General Electric Co. 7 217 241 Media - 2.3% Comcast Corp. - Class A (b) 3 74 Liberty Media Corp. (b) 3 27 Liberty Media International Inc. - Class A (b) - 5 The DIRECTV Group Inc. (b) 4 66 Time Warner Inc. (b) 7 128 300 Mining - 1.1% Alcoa Inc. 5 149 Oil & Gas Producers - 3.0% Amerada Hess Corp. 1 40 BP Plc - ADR 1 36 Diamond Offshore Drilling Inc. (l) 4 91 Exxon Mobil Corp. 1 58 Royal Dutch Petroleum Co. - NYS 1 36 Transocean Inc. (b) 5 139 400 Oil & Gas Services - 0.5% Schlumberger Ltd. 1 64 Pharmaceuticals - 4.5% Abbott Laboratories 4 179 Bristol-Myers Squibb Co. 1 22 Merck & Co. Inc. 2 71 Pfizer Inc. (f) 8 274 Wyeth 1 47 593 Retail - 4.0% Costco Wholesale Corp. 2 78 Federated Department Stores Inc. 3 128 Home Depot Inc. 5 166 McDonald's Corp. 3 88 Wal-Mart Stores Inc. 1 63 523 Semiconductors - 1.4% Intel Corp. 1 19 Texas Instruments Inc. 7 170 189 Software - 1.5% Microsoft Corp. 7 194 Telecommunications - 1.9% AT&T Corp. 2 23 SBC Communications Inc. 2 49 Verizon Communications Inc. 5 183 255 Telecommunications Equipment - 1.5% Lucent Technologies Inc. (b) 53 198 Transportation - 0.6% Canadian National Railway Co. 1 61 United Parcel Service Inc. - 15 76 Wireless Telecommunications - 2.0% AT&T Wireless Services Inc. (b) 9 123 Motorola Inc. (l) 8 137 260 Total Common Stocks (cost $7,382) 7,801 Preferred Stocks - 2.4% Media - 2.4% News Corp. Ltd. - ADR 9 310 Total Preferred Stocks (cost $236) 310 Corporate Bonds - 14.5% Aerospace & Defense - 0.2% Goodrich Corp., 7.50%, 04/15/08 $25 28 Asset Backed Securities - 3.1% Atlantic City Electric Transition Funding LLC, 5.55%, 10/20/23 100 100 Capital One Master Trust, 4.60%, 08/17/09 100 102 Household Automotive Trust, 1.73%, 12/17/07 75 75 Prime Credit Card Master Trust, 6.70%, 10/15/09 125 132 409 Auto Parts & Equipment - 0.4% Johnson Controls Inc., 5.00%, 11/15/06 50 52 Banks - 0.6% Bank One Corp., 6.875%, 08/01/06 35 378 Standard Chartered Bank, 8.00%, 05/30/31 (e) 35 41 79 Building Materials - 0.2% Masco Corp., 6.50%, 08/15/32 25 25 Chemicals - 0.2% Potash Corp., 4.875%, 03/01/13 25 24 Diversified Financial Services - 3.0% Capital Bank One, 5.75%, 09/15/10 (l) 25 26 CIT Group Inc., 7.75%, 04/02/12 (l) 25 29 Countrywide Home Loans Inc., 4.00%, 03/22/11 35 33 Ford Motor Credit Co., 7.875%, 06/15/10 50 54 General Electric Capital Corp., 1.61%, 06/22/07 35 35 General Motors Acceptance Corp., 6.875%, 09/15/11 40 41 Household Finance Corp., 8.00%, 07/15/10 35 41 International Lease Finance Corp., 4.375%, 11/01/09 35 34 Lehman Brothers Holdings Inc., 7.00%, 02/01/08 35 38 Morgan Stanley, 4.75%, 04/01/14 35 32 SLM Corp., 1.24%, 01/25/07 (l) 25 25 388 Electric - 0.2% Dominion Resources Inc., 6.25%, 06/30/12 25 26 Food - 0.4% Kellogg Co., 6.60%, 04/01/11 30 33 Safeway Inc., 7.25%, 02/01/31 25 26 59 Forest Products & Paper - 0.2% Domtar Inc., 5.375%, 12/01/13 25 24 Healthcare - 0.6% HCA Inc., 7.125%, 06/01/06 25 26 UnitedHealth Group Inc., 4.75%, 02/10/14 35 33 WellPoint Health Networks, 6.375%, 06/15/06 25 27 86 Home Builders - 0.2% MDC Holdings Inc., 5.50%, 05/15/13 25 24 Insurance - 0.3% Unitrin Inc., 4.875%, 11/01/10 35 35 Investment Companies - 0.3% Credit Suisse First Boston USA Inc., 4.625%, 01/15/08 35 36 Leisure Time - 0.3% Carnival Corp., 3.75%, 11/15/07 35 35 Media - 0.6% AOL Time Warner Inc., 7.625%, 04/15/31 25 28 AT&T Broadband Corp., 8.375%, 03/15/13 25 29 COX Communications Inc., 7.75%, 11/01/10 25 28 85 Mining - 0.4% Noranda Inc., 7.25%, 07/15/12 (l) 25 25 WMC Finance USA, 5.125%, 05/15/13 25 24 49 Oil & Gas Producers - 1.1% Devon Financing Corp. ULC, 6.875%, 09/30/11 25 27 Precision Drilling Corp., 5.625%, 06/01/14 25 25 Tosco Corp., 8.125%, 02/15/30 35 43 Valero Energy Corp., 7.50%, 04/15/32 (l) 25 28 XTO Energy Inc., 4.90%, 02/01/14 (l) 25 24 147 Pharmaceuticals - 0.2% Wyeth, 5.50%, 03/15/13 35 34 Real Estate - 0.4% Boston Properties Inc., 6.25%, 01/15/13 25 26 EOP Operating LP, 6.75%, 02/15/08 25 27 53 Retail - 0.3% Wal-Mart Stores Inc., 6.875%, 08/10/09 35 39 Savings & Loans - 0.2% Independence Community Bank, 3.50%, 06/20/13 25 24 Telecommunications - 0.5% Sprint Captial Corp., 8.375%, 03/15/12 25 29 Telecom Italia Capital SA, 5.25%, 11/15/13 (e) 35 34 63 Tobacco - 0.2% Universal Corp., 5.20%, 10/15/13 25 24 Water - 0.2% United Utilities Plc, 4.55%, 06/19/18 25 21 Wireless Telecommunications - 0.2% AT&T Wireless Services Inc., 8.75%, 03/01/31 25 30 Total Corporate Bonds (cost $1,909) 1,899 Government Securities - 20.0% Sovereign - 0.4% Province of Ontario, 3.282%, 03/28/08 50 49 U.S. Government Agencies - 12.3% Federal Home Loan Mortgage Corp., 5.00%, TBA (c) 100 96 Federal National Mortgage Association 4.50%, TBA (c) 50 49 5.00%, TBA (c) 225 224 5.50%, TBA (c) 240 241 6.00%, TBA (c) 260 266 6.50%, TBA (c) 125 130 7.00%, TBA (c) 140 148 6.25%, 02/01/11 150 161 7.00%, 07/01/15 6 7 6.50%, 07/01/28 28 29 7.00%, 02/01/29 9 10 8.00%, 08/01/30 14 15 7.50%, 02/01/31 7 8 Government National Mortgage Association, 5.50%, TBA (c) 225 225 1,609 U.S. Treasury Securities - 7.3% U.S. Treasury Bond 6.125%, 08/15/29 (l) 125 137 5.375%, 02/15/31 (l) 50 50 U.S. Treasury Note 5.875%, 11/15/04 (l) 350 356 6.875%, 05/15/06 (l) 340 366 3.25%, 01/15/09 (l) 40 39 4.375%, 08/15/12 (l) 5 5 953 Total Government Securities (cost $2,599) 2,611 Short Term Investments - 13.7% Money Market Funds - 10.0% Dreyfus Cash Management Plus, 1.14% (a) 653 653 Dreyfus Government Cash Management, 0.96% (a) 653 653 1,306 Repurchase Agreement - 3.7% Repurchase Agreement with Mellon Trust, 0.41%, (Collateralized by $620 Federal Home Loan Mortgage Corporation, 3.50%, due 06/15/23, market value $581) acquired on 06/30/04, due 07/01/04 at $487 $487 487 Total Short Term Investments (cost $1,792) 1,793 Total Investments - 110.2% (cost $13,918) 14,414 Other Assets and Liabilities, Net - (10.2%) (1,334) Total Net Assets - 100% $13,080 JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Common Stocks - 4.2% Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 $- Food - 0.1% VFB LLC. (b) 79 9 Home Furnishings - 0.0% Mattress Discounters Corp. Restricted (b) 1 5 Household Products - 0.1% ContinentalAFA Dispensing Co. (b) (e) 4 13 Media - 1.0% UnitedGlobalCom Inc. (b) (l) 18 128 Telecommunications - 1.6% NTL Inc. (b) 4 216 Wireless Telecommunications - 1.4% Spectrasite Inc. (b) 4 190 Total Common Stocks (cost $806) 561 Preferred Stocks - 0.6% Wireless Telecommunications - 0.6% Alamosa Holdings Inc., 7.50% (l) - 74 Total Preferred Stocks (cost $38) 74 Warrants - 0.1% Retail - 0.0% Mattress Discounters Corp., Strike Price $0.01, Expiring 07/15/07 - - Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 (l) 1 - Wireless Telecommunications - 0.1% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 7 Total Warrants (cost $2) 7 Corporate Bonds - 93.0% Advertising - 1.8% RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) (l) $75 87 SITEL Corp., 9.25%, 03/15/06 150 147 234 Aerospace & Defense - 1.8% L-3 Communications Corp., 7.625%, 06/15/12 150 158 Sequa Corp., 9.00%, 08/01/09 75 80 Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 - 238 Airlines - 0.5% Continental Airlines Inc. 7.25%, 11/01/05 25 21 6.541%, 09/15/08 52 45 66 Apparel - 1.1% Levi Strauss & Co., 11.625%, 01/15/08 (l) 155 152 Auto Parts & Equipment - 0.8% Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 - Keystone Automotive Operations Inc., 9.75%, 11/01/13 (e) 50 54 TRW Automotive Inc., 9.375%, 02/15/13 45 50 104 Chemicals - 9.4% Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (l) 150 97 Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 85 - Compass Minerals Group Inc., 10.00%, 08/15/11 75 83 Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 05/01/11 (l) 75 83 ETHYL Corp., 8.875%, 05/01/10 95 100 FMC Corp., 7.75%, 07/01/11 75 79 Huntsman ICI Chemicals, 10.125%, 07/01/09 (l) 75 77 ISP Chemco Inc., 10.25%, 07/01/11 100 111 Lyondell Chemical Co., 11.125%, 07/15/12 (l) 100 111 Millennium America Inc., 9.25%, 06/15/08 (l) 65 70 Resolution Performance Products LLC, 8.00%, 12/15/09 (l) 100 104 Rhodia SA, 7.625%, 06/01/10 (e) (l) 100 91 United Industries Corp., 9.875%, 04/01/09 150 156 Westlake Chemical Corp., 8.75%, 07/15/11 75 81 1,243 Commercial Services - 1.2% Brand Services Inc., 12.00%, 10/15/12 75 85 Iron Mountain Inc., 8.625%, 04/01/13 25 27 Mail-Well I Corp., 9.625%, 03/15/12 50 54 166 Distribution & Wholesale - 0.6% Wesco Distribution Inc., 9.125%, 06/01/08 75 77 Diversified Financial Services - 1.7% Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 123 - Alamosa Delaware Inc., (Step-Up Bond), 12.00%, 07/31/09 (d) (l) 102 99 BCP Caylux Holdings Luxembourg SCA, 9.625%, 06/15/14 (e) (l) 50 52 Contifinancial Corp. Liquidating Trust, 06/15/00 115 2 Sensus Metering Systems Inc., 8.625%, 12/15/13 (e) 75 72 225 Electric - 8.3% AES Corp. 8.75%, 06/15/08 (l) 50 51 9.375%, 09/15/10 50 52 8.875%, 02/15/11 (l) 25 26 Allegheny Energy Supply Statutory Trust 2001, 10.25%, 11/15/07 (e) 75 81 BRL Universal Equipment, 8.875%, 02/15/08 150 161 Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 (l) 75 50 Calpine Corp. 8.75%, 07/15/07 (l) 25 18 8.50%, 07/15/10 (e) (l) 100 83 Edison Mission Energy Corp., 7.73%, 06/15/09 125 122 Mirant Americas Generation Inc. 7.625%, 05/01/06 (i) 50 38 9.125%, 05/01/31 (i) 100 75 NRG Energy Inc., 8.00%, 12/15/13 (e) 175 177 Reliant Energy Inc., 9.50%, 07/15/13 (l) 150 162 1,096 Electrical Components & Equipment - 0.6% Motors And Gears Inc., 10.75%, 11/15/06 100 85 Electronics - 0.3% Muzak LLC, 10.00%, 02/15/09 50 44 Entertainment - 2.0% Argosy Gaming Co., 7.00%, 01/15/14 (e) (l) 100 98 Isle of Capri Casinos Inc., 7.00%, 03/01/14 (e) 100 93 Pinnacle Entertainment Inc., 8.75%, 10/01/13 (l) 75 74 265 Environmental Control - 2.0% Allied Waste Inc., 9.25%, 09/01/12 100 112 Allied Waste North America, 7.375%, 04/15/14 (e) (l) 75 73 Imco Recycling Inc., 10.375%, 10/15/10 75 81 Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 - 266 Food - 1.7% Ahold Lease USA Inc., 7.82%, 01/02/20 71 70 Doane Pet Care Co., 10.75%, 03/01/10 100 105 Nash Finch Co., 8.50%, 05/01/08 (l) 50 50 225 Forest Products & Paper - 2.8% Abitibi-Consolidated Inc., 8.85%, 08/01/30 75 73 Bowater Inc., 6.50%, 06/15/13 (l) 100 94 Buckeye Technologies Inc. 9.25%, 09/15/08 (l) 75 74 8.00%, 10/15/10 25 23 Tembec Industries Inc., 8.625%, 06/30/09 (l) 100 101 365 Healthcare - 4.5% Ameripath Inc., 10.50%, 04/01/13 75 76 Extendicare Health Services Inc., 9.50%, 07/01/10 75 83 Insight Health Services Corp., 9.875%, 11/01/11 75 80 Psychiatric Solutions Inc., 10.625%, 06/15/13 75 85 Sola International Inc., 6.875%, 03/15/08 75 76 Tenet Healthcare Corp., 7.375%, 02/01/13 (l) 125 113 Vanguard Health Systems Inc., 9.75%, 08/01/11 75 81 594 Holding Companies - Diversified - 0.6% JSG Funding Plc, 9.625%, 10/01/12 75 82 Home Furnishings - 0.2% Applica Inc., 10.00%, 07/31/08 21 21 Internet - 0.5% FTD Inc., 7.75%, 02/15/14 75 70 Iron & Steel - 1.3% AK Steel Corp., 7.875%, 02/15/09 (l) 100 94 Ispat Inland ULC, 9.75%, 04/01/14 (e) 75 77 171 Leisure Time - 2.4% AMF Bowling Worldwide Inc., 10.00%, 03/01/10 (e) 100 102 Icon Health & Fitness Corp., 11.25%, 04/01/12 75 82 Leslie's Poolmart Inc., 10.375%, 07/15/08 125 128 312 Lodging - 3.3% John Q Hammons Hotels LP, 8.875%, 05/15/12 100 108 Park Place Entertainment Corp., 8.875%, 09/15/08 100 109 Prime Hospitality Corp., 8.375%, 05/01/12 50 52 Sun International Hotels Ltd., 8.875%, 08/15/11 50 53 Venetian Casino Resort LLC, 11.00%, 06/15/10 100 116 438 Machinery - 1.0% Case New Holland Inc., 9.25%, 08/01/11 (e) 50 52 NMHG Holding Co., 10.00%, 05/15/09 75 83 135 Manufacturing - 1.2% Blount Inc., 13.00%, 08/01/09 100 107 Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 50 157 Media - 9.8% Cablevision Systems Corp., 8.00%, 04/15/12 (e) 50 49 Charter Communications Holdings LLC 10.75%, 10/01/09 75 64 10.00%, 05/15/11 350 277 CSC Holdings Inc., 10.50%, 05/15/16 (l) 125 140 Dex Media East LLC, 9.875%, 11/15/09 50 56 Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (e) 200 129 Dex Media West LLC, 9.875%, 08/15/13 100 110 DIRECTV Holdings LLC, 8.375%, 03/15/13 100 111 Lodgenet Entertainment Corp., 9.50%, 06/15/13 (l) 75 82 Mediacom Broadband LLC, 11.00%, 07/15/13 (l) 50 53 Nextmedia Operating Inc., 10.75%, 07/01/11 125 140 Radio One Inc., 8.875%, 07/01/11 25 27 Rogers Cable Inc., 8.75%, 05/01/32 25 26 Yell Finance BV, (Step-Up Bond), 13.50%, 08/01/11 (d) (l) 33 31 1,295 Oil & Gas Producers - 1.8% Magnum Hunter Resources Inc., 9.60%, 03/15/12 125 137 Vintage Petroleum Inc., 7.875%, 05/15/11 100 103 240 Packaging & Containers - 5.5% Anchor Glass Container Corp., 11.00%, 02/15/13 75 85 Berry Plastics Corp., 10.75%, 07/15/12 125 139 Plastipak Holdings Inc., 10.75%, 09/01/11 100 108 Pliant Corp., 11.125%, 09/01/09 (l) 75 80 Radnor Holdings Corp., 11.00%, 03/15/10 (l) 100 85 Stone Container Corp., 9.75%, 02/01/11 125 138 Tekni-Plex Inc., 12.75%, 06/15/10 100 96 731 Pharmaceuticals - 1.1% aaiPharma Inc., (Step-Up Bond), 11.50%, 04/01/10 (d) (l) 75 62 Vicar Operating Inc., 9.875%, 12/01/09 75 83 145 Pipelines - 4.2% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 50 53 7.125%, 05/15/18 25 20 7.625%, 10/15/26 125 97 El Paso Corp., 7.75%, 01/15/32 (l) 150 120 Williams Cos. Inc. 8.625%, 06/01/10 (l) 25 28 7.625%, 07/15/19 (l) 50 48 7.875%, 09/01/21 200 193 559 Real Estate - 1.0% Felcor Lodging LP, 10.00%, 09/15/08 (l) 12 13 Host Marriott Corp., 7.875%, 08/01/08 14 14 Host Marriott LP, 8.375%, 02/15/06 50 53 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 (l) 50 53 133 Retail - 5.3% Buffets Inc., 11.25%, 07/15/10 75 77 Cole National Group Inc., 8.625%, 08/15/07 75 76 Eye Care Centers of America, 9.125%, 05/01/08 75 76 Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 173 Jafra Cosmetics International Inc., 10.75%, 05/15/11 100 112 Rite Aid Corp., 11.25%, 07/01/08 (l) 75 83 Saks Inc. 9.875%, 10/01/11 25 29 7.375%, 02/15/19 75 72 698 Telecommunications - 5.1% ACC Escrow Corp., 10.00%, 08/01/11 25 21 Cincinnati Bell Inc., 8.375%, 01/15/14 (l) 100 89 Insight Midwest Capital Inc. 9.75%, 10/01/09 (l) 75 79 10.50%, 11/01/10 25 27 Qwest Services Corp. 13.50%, 12/15/10 (e) 225 262 14.00%, 12/15/14 (e) 50 60 Telewest Communications Plc (Step-Up Bond), 9.25%, 04/15/09 (d) (i) (l) 125 60 (Step-Up Bond), 11.375%, 02/01/10 (d) (i) (l) 180 79 677 Telecommunications Equipment - 1.4% Lucent Technologies Inc., 6.45%, 03/15/29 (l) 175 135 Nortel Networks Ltd., 6.125%, 02/15/06 (l) 50 50 185 Transportation - 0.0% Holt Group, 9.75%, 01/15/06 (i) 125 - Wireless Telecommunications - 6.2% American Tower Corp., 9.375%, 02/01/09 (l) 75 80 American Tower Escrow Corp., (Step-Up Bond) 7.767%, 08/01/08 (k) 35 25 Crown Castle International Corp., 9.375%, 08/01/11 175 192 Nextel Communications Inc., 7.375%, 08/01/15 175 177 SBA Communications Corp., 10.25%, 02/01/09 (l) 150 154 SBA Telecommunications Inc., (Step-Up Bond) 9.75%, 12/15/11 50 37 Spectrasite Inc., 8.25%, 05/15/10 50 52 UbiquiTel Operating Co., 9.875%, 03/01/11 (e) (l) 100 100 817 Total Corporate Bonds (cost $12,732) 12,311 Short Term Investments - 7.9% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.14% (a) 1 1 U.S. Government Agencies - 7.9% Federal Home Loan Bank Discount Note, 1.25%, 07/01/04 1,042 1,042 Total Short Term Investments (cost $1,043) 1,043 Total Investments - 105.7% (cost $14,621) 13,996 Other Assets and Liabilities, Net - (5.7%) (752) Total Net Assets - 100% $13,244 JNL/SALOMON BROTHERS STRATEGIC BOND FUND Common Stocks - 0.5% Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 $- Food - 0.0% VFB LLC. (b) 79 9 Household Products - 0.0% ContinentalAFA Dispensing Co. (b) (e) 9 26 Media - 0.1% UnitedGlobalCom Inc. (b) 46 334 Telecommunications - 0.2% NTL Inc. (b) 8 485 Wireless Telecommunications - 0.1% Spectrasite Inc. (b) 6 258 Total Common Stocks (cost $1,095) 1,112 Preferred Stocks - 0.1% Holding Companies - Diversified - 0.0% TCR Holdings - Class B (b) - - TCR Holdings - Class C (b) - - TCR Holdings - Class D (b) 1 - TCR Holdings - Class E (b) 1 - - Wireless Telecommunications - 0.1% Alamosa Holdings Inc., 7.50% (l) - 182 Total Preferred Stocks (cost $99) 182 Rights - 0.0% Sovereign - 0.0% Venezuela Par Rights, 04/15/20 4 - Total Rights (cost $0) - Warrants - 0.0% Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 (l) - - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 28 Total Warrants (cost $9) 28 Corporate Bonds - 29.0% Advertising - 0.3% Advanstar Communications Inc., 10.75%, 08/15/10 $175 194 Interep National Radio Sales Inc., 10.00%, 07/01/08 100 83 RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 175 203 SITEL Corp., 9.25%, 03/15/06 150 147 627 Aerospace & Defense - 0.3% Alliant Techsystems Inc., 8.50%, 05/15/11 125 135 Argo-Tech Corp., 9.25%, 06/01/11 (e) 175 180 L-3 Communications Corp., 7.625%, 06/15/12 200 211 Sequa Corp., 9.00%, 08/01/09 125 133 659 Agriculture - 0.1% Hines Nurseries Inc., 10.25%, 10/01/11 200 218 Airlines - 0.1% Continental Airlines Inc. 7.25%, 11/01/05 100 85 6.541%, 09/15/08 136 117 202 Apparel - 0.1% Levi Strauss & Co. 11.625%, 01/15/08 (l) 70 69 12.25%, 12/15/12 (l) 255 251 320 Asset Backed Securities - 5.0% Amortizing Residential Collateral Trust, 2.62%, 08/25/32 (g) 750 754 Argent NIM Trust, 4.70%, 07/25/34 (e) 980 979 Asset Backed Securities Corp. Home Equity Loan, 3.1388%, 04/15/33 (g) 500 507 Bayview Financial Acquisition Trust, 2.55%, 08/25/36 (e) (g) 1,000 991 Bear Stearns Asset Backed Securities, 6.50%, 01/25/34 (e) 288 291 Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 452 Commercial Mortgage Pass-thru Trust, 2.10%, 11/15/15 (e) (g) 480 481 Countrywide Asset-Backed Certificates, 2.55%, 06/25/34 640 640 CS First Boston Mortgage Securities Corp., 2.52%, 09/25/31 (g) 500 502 First Consumers Master Trust 5.80%, 12/15/05 (e) 36 35 1.41%, 09/15/08 (g) 407 374 Green Tree Financial Corp., 7.07%, 01/15/29 958 1,005 Merit Securities Corp., 2.60%, 09/28/32 (e) (g) 1,100 1,055 Metris Master Trust 2.18%, 07/21/08 (g) 375 375 2.68%, 08/20/08 (g) 200 198 2.36%, 11/20/09 (g) 700 645 Mid-State Trust, 7.34%, 07/01/35 460 483 Novastar Home Equity Loan 2.075%, 02/25/34 450 451 2.92%, 02/25/34 220 225 Residential Asset Securities Corp., 2.50%, 04/25/32 (g) 500 503 Sail Net Interest Margin Notes 6.75%, 04/27/33 (e) 135 134 7.75%, 04/27/33 (e) 71 72 5.00%, 04/27/34 (e) 647 646 11,798 Auto Parts & Equipment - 0.2% Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 - Eagle-Picher Industries Inc., 9.75%, 09/01/13 200 215 Tenneco Automotive Inc., 10.25%, 07/15/13 (l) 100 113 TRW Automotive Inc., 9.375%, 02/15/13 179 202 530 Banks - 0.7% Bank of America Corp., 4.875%, 09/15/12 (l) 525 511 Corp. Andina De Fomento CAF, 6.875%, 03/15/12 (f) 550 591 Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 525 621 1,723 Building Materials - 0.1% Associated Materials Inc., (Step-Up Bond), 11.25%, 03/01/14 (e) (l) 350 235 Chemicals - 1.5% Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (l) 100 65 Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 140 - Compass Minerals Group Inc., 10.00%, 08/15/11 150 167 Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 05/01/11 (l) 175 194 ETHYL Corp., 8.875%, 05/01/10 225 237 FMC Corp., 10.25%, 11/01/09 150 173 Huntsman ICI Chemicals, 10.125%, 07/01/09 (l) 250 255 Huntsman International LLC, 9.875%, 03/01/09 (l) 100 108 ISP Chemco Inc., 10.25%, 07/01/11 225 250 Lyondell Chemical Co., 11.125%, 07/15/12 (l) 225 249 Methanex Corp., 8.75%, 08/15/12 (l) 175 197 Millennium America Inc., 9.25%, 06/15/08 (l) 250 269 Potash Corp., 4.875%, 03/01/13 425 407 Resolution Performance Products Inc., 13.50%, 11/15/10 (l) 175 163 Resolution Performance Products LLC, 9.50%, 04/15/10 (l) 100 103 Rhodia SA, 7.625%, 06/01/10 (e) (l) 225 204 United Industries Corp., 9.875%, 04/01/09 325 338 Westlake Chemical Corp., 8.75%, 07/15/11 200 217 3,596 Commercial Services - 0.2% Brand Services Inc., 12.00%, 10/15/12 100 114 Iron Mountain Inc., 8.625%, 04/01/13 175 186 Mail-Well I Corp. 9.625%, 03/15/12 (l) 75 80 7.875%, 12/01/13 (e) (l) 175 159 539 Computers - 0.1% Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 131 Distribution & Wholesale - 0.1% Wesco Distribution Inc., 9.125%, 06/01/08 200 206 Diversified Financial Services - 3.5% Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 247 - Alamosa Delaware Inc., 11.00%, 07/31/10 161 175 Athena Neurosciences Finance LLC, 7.25%, 02/21/08 125 124 BCP Caylux Holdings Luxembourg SCA, 9.625%, 06/15/14 (e) 150 155 Capital One Financial Corp., 7.25%, 05/01/06 (l) 800 849 CIT Group Inc., 7.75%, 04/02/12 (l) 550 627 Contifinancial Corp. Liquidating Trust, 06/15/00 230 5 Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 885 825 Ford Motor Credit Co., 7.875%, 06/15/10 375 408 General Electric Capital Corp., 6.00%, 06/15/12 (f) 950 1,003 General Motors Acceptance Corp., 6.875%, 09/15/11 425 436 Hollinger Participation Trust, 12.125%, 11/15/10 (e) 212 247 Household Finance Corp., 6.75%, 05/15/11 (f) 675 738 Huntsman ADV Materials, 11.00%, 07/15/10 (e) (l) 200 226 International Lease Finance Corp., 4.375%, 11/01/09 325 319 JPMorgan Chase & Co., 6.625%, 03/15/12 700 757 MBNA Corp., 4.625%, 09/15/08 (l) 675 677 Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 525 565 Sensus Metering Systems Inc., 8.625%, 12/15/13 (e) 250 240 8,377 Electric - 1.9% AES Corp. 9.50%, 06/01/09 (l) 50 54 9.375%, 09/15/10 (l) 125 133 7.75%, 03/01/14 (l) 175 168 Allegheny Energy Supply Statutory Trust 2001, 10.25%, 11/15/07 (e) 250 269 BRL Universal Equipment, 8.875%, 02/15/08 75 80 Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 (l) 200 132 Calpine Corp. 8.75%, 07/15/07 (l) 25 18 8.50%, 07/15/10 (e) 250 207 Calpine Generating Co. LLC, 10.25%, 04/01/11 (e) (l) 125 113 Duke Energy Corp., 4.20%, 10/01/08 (l) 675 663 Edison Mission Energy Corp., 9.875%, 04/15/11 (l) 350 365 Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 553 Mirant Americas Generation Inc., 9.125%, 05/01/31 (i) 250 188 Mirant Americas Generation LLC, 8.30%, 05/01/11 (i) 300 225 NRG Energy Inc., 8.00%, 12/15/13 (e) 350 354 Pinnacle West Capital Corp., 6.40%, 04/01/06 675 709 Reliant Energy Inc., 9.50%, 07/15/13 (l) 350 377 4,608 Electronics - 0.1% Muzak Finance Corp., 9.875%, 03/15/09 125 96 Muzak LLC, 10.00%, 02/15/09 75 66 162 Entertainment - 0.2% Isle of Capri Casinos Inc., 7.00%, 03/01/14 (e) 250 232 Pinnacle Entertainment Inc., 8.75%, 10/01/13 (l) 175 174 406 Environmental Control - 0.3% Allied Waste Inc., 9.25%, 09/01/12 100 111 Allied Waste North America 8.875%, 04/01/08 100 110 7.375%, 04/15/14 (e) 200 195 Imco Recycling Inc., 10.375%, 10/15/10 175 189 Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 1 606 Food - 0.7% Ahold Lease USA Inc., 7.82%, 01/02/20 47 47 Del Monte Corp. 9.25%, 05/15/11 100 108 8.625%, 12/15/12 75 81 Doane Pet Care Co. 9.75%, 05/15/07 225 208 10.75%, 03/01/10 25 26 Kraft Foods Inc., 5.625%, 11/01/11 215 219 Nutritional Sourcing Corp., 10.125%, 08/01/09 14 9 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 175 169 Safeway Inc., 7.25%, 02/01/31 350 369 Swift & Co., 10.125%, 10/01/09 (l) 200 214 United Agri Products, 8.25%, 12/15/11 (e) 220 245 1,695 Forest Products & Paper - 0.7% Bowater Canada Finance, 7.95%, 11/15/11 150 156 Bowater Inc., 6.50%, 06/15/13 (l) 100 94 Buckeye Technologies Inc. 9.25%, 09/15/08 (l) 150 147 8.00%, 10/15/10 75 69 Domtar Inc., 5.375%, 12/01/13 (l) 590 561 Smurfit Capital Funding Plc, 7.50%, 11/20/25 225 210 Tembec Industries Inc., 8.625%, 06/30/09 (l) 350 354 1,591 Healthcare - 1.3% Ameripath Inc., 10.50%, 04/01/13 (l) 225 226 Extendicare Health Services Inc., 9.50%, 07/01/10 150 166 Genesis HealthCare Corp., 8.00%, 10/15/13 (e) 225 230 Humana Inc., 6.30%, 08/01/18 675 668 Insight Health Services Corp., 9.875%, 11/01/11 (l) 150 161 Medical Device Manufacturing Inc., 10.00%, 07/15/12 (e) 175 179 Psychiatric Solutions Inc., 10.625%, 06/15/13 150 171 Sybron Dental Specialites Inc., 8.125%, 06/15/12 275 294 Tenet Healthcare Corp. 7.375%, 02/01/13 (l) 250 226 9.875%, 07/01/14 (e) (l) 25 25 6.875%, 11/15/31 75 59 Vanguard Health Systems Inc., 9.75%, 08/01/11 175 189 WellPoint Health Networks, 6.375%, 01/15/12 350 375 2,969 Holding Companies - Diversified - 0.0% Nebco Evans Holding Co., 12.375%, 07/15/07 (i) 350 - Home Furnishings - 0.1% Applica Inc., 10.00%, 07/31/08 64 65 Sealy Mattress Co., 8.25%, 06/15/14 (e) 175 176 241 Internet - 0.1% FTD Inc., 7.75%, 02/15/14 175 162 Iron & Steel - 0.2% AK Steel Corp., 7.875%, 02/15/09 (l) 300 281 Ispat Inland ULC, 9.75%, 04/01/14 (e) 175 180 461 Leisure Time - 0.1% Equinox Holdings Inc., 9.00%, 12/15/09 (e) (l) 175 174 Icon Health & Fitness Corp., 11.25%, 04/01/12 100 109 283 Lodging - 0.6% Boyd Gaming Corp., 8.75%, 04/15/12 225 239 Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 81 Courtyard by Marriott, 10.75%, 02/01/08 200 201 John Q Hammons Hotels LP, 8.875%, 05/15/12 (l) 200 217 Park Place Entertainment Corp., 8.125%, 05/15/11 (l) 125 133 Prime Hospitality Corp., 8.375%, 05/01/12 225 232 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 175 183 Venetian Casino Resort LLC, 11.00%, 06/15/10 200 231 1,517 Machinery - 0.2% Case New Holland Inc., 9.25%, 08/01/11 (e) 25 26 Flowserve Corp., 12.25%, 08/15/10 125 142 Terex Corp., 10.375%, 04/01/11 (l) 175 195 363 Manufacturing - 0.2% Blount Inc., 13.00%, 08/01/09 275 294 Koppers Inc., 9.875%, 10/15/13 125 137 431 Media - 2.0% AOL Time Warner Inc., 7.625%, 04/15/31 325 351 AT&T Broadband Corp., 8.375%, 03/15/13 350 411 Cablevision Systems Corp. 5.59%, 04/01/09 (e) 300 308 8.00%, 04/15/12 (e) (l) 200 197 Charter Communications Holdings LLC 8.25%, 04/01/07 (l) 125 114 8.625%, 04/01/09 (l) 50 40 10.75%, 10/01/09 50 42 (Step-Up Bond), 11.75%, 01/15/10 (d) 75 60 10.00%, 05/15/11 550 436 (Step-Up Bond), 11.75%, 05/15/11 (d) 225 146 (Step-Up Bond), 12.125%, 01/15/12 (d) 75 45 COX Communications Inc., 7.75%, 11/01/10 (f) 730 828 CSC Holdings Inc., 10.50%, 05/15/16 (l) 75 84 Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) (e) 200 129 Dex Media West LLC, 9.875%, 08/15/13 200 220 DIRECTV Holdings LLC, 8.375%, 03/15/13 200 221 Houghton Mifflin Co., (Step-Up Bond) 11.50%, 10/15/13 125 66 Lodgenet Entertainment Corp., 9.50%, 06/15/13 (l) 300 328 Mediacom Broadband LLC, 11.00%, 07/15/13 (l) 135 144 Mediacom Capital Corp., 9.50%, 01/15/13 (l) 25 24 Nexstar Finance Holdings Inc., (Step-Up Bond), 11.375%, 04/01/13 (d) 125 89 Nextmedia Operating Inc., 10.75%, 07/01/11 200 223 Radio One Inc., 8.875%, 07/01/11 150 164 4,670 Metal Fabrication & Hardware - 0.1% Mueller Group Inc., 10.00%, 05/01/12 (e) 150 156 Mining - 0.2% WMC Finance USA, 5.125%, 05/15/13 425 408 Office Furnishings - 0.1% Tempur-Pedic Inc. and Tempur Production USA Inc., 10.25%, 08/15/10 130 147 Oil & Gas Producers - 1.5% Devon Financing Corp. ULC, 6.875%, 09/30/11 325 354 Forest Oil Corp., 8.00%, 12/15/11 250 268 Magnum Hunter Resources Inc., 9.60%, 03/15/12 300 330 Nexen Inc., 5.05%, 11/20/13 700 671 Parker Drilling Co., 5.50%, 08/01/04 (j) 125 124 Petronas Capital Ltd., 7.00%, 05/22/12 (e) 275 300 Precision Drilling Corp., 5.625%, 06/01/14 675 679 Stone Energy Corp., 8.25%, 12/15/11 300 313 Swift Energy Co., 9.375%, 05/01/12 50 53 Valero Energy Corp., 4.75%, 06/15/13 435 409 Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 100 103 3,604 Oil & Gas Services - 0.1% Hanover Compressor Co., 9.00%, 03/31/07 (k) (l) 175 138 Packaging & Containers - 0.7% Anchor Glass Container Corp., 11.00%, 02/15/13 150 172 Berry Plastics Corp., 10.75%, 07/15/12 200 222 Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 100 104 Plastipak Holdings Inc., 10.75%, 09/01/11 310 333 Pliant Corp., 11.125%, 09/01/09 (l) 100 107 Radnor Holdings Corp., 11.00%, 03/15/10 (l) 225 191 Stone Container Corp., 8.375%, 07/01/12 200 209 Tekni-Plex Inc., 8.75%, 11/15/13 (e) 225 215 1,553 Pharmaceuticals - 0.4% aaiPharma Inc., (Step-Up Bond), 11.00%, 04/01/10 (d) (l) 175 145 American Home Products Corp., 6.95%, 03/15/11 675 721 Vicar Operating Inc., 9.875%, 12/01/09 175 193 1,059 Pipelines - 0.6% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 100 107 7.125%, 05/15/18 100 78 7.625%, 10/15/26 450 349 EL Paso Corp. 7.875%, 06/15/12 100 90 7.80%, 08/01/31 75 60 7.75%, 01/15/32 (l) 375 301 Williams Cos. Inc. 8.625%, 06/01/10 100 110 7.125%, 09/01/11 (l) 50 51 7.625%, 07/15/19 (l) 75 72 7.875%, 09/01/21 100 96 8.75%, 03/15/32 200 200 1,514 Real Estate - 0.6% Boston Properties Inc., 6.25%, 01/15/13 450 471 EOP Operating LP, 7.50%, 04/19/29 (f) 575 612 Felcor Lodging LP, 10.00%, 09/15/08 (l) 46 49 Host Marriott Corp., 7.875%, 08/01/08 161 165 Host Marriott LP, 9.50%, 01/15/07 75 82 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 (l) 100 107 1,486 Retail - 0.9% Cole National Group, 8.875%, 05/15/12 200 214 Eye Care Centers of America, 9.125%, 05/01/08 225 227 Home Interiors & Gifts Inc., 10.125%, 06/01/08 300 297 Jafra Cosmetics International Inc., 10.75%, 05/15/11 200 223 Ltd. Brands, 6.95%, 03/01/33 475 497 Petco Animal Supplies Inc., 10.75%, 11/01/11 150 168 Rite Aid Corp., 11.25%, 07/01/08 (l) 125 138 Sbarro Inc., 11.00%, 09/15/09 (l) 300 263 VICORP Restaurants Inc., 10.50%, 04/15/11 (e) 125 124 2,151 Savings & Loans - 0.2% Independence Community Bank, 3.50%, 06/20/13 475 452 Semiconductors - 0.1% Amkor Technology Inc., 7.125%, 03/15/11 (e) (l) 350 328 Telecommunications - 0.9% ACC Escrow Corp., 10.00%, 08/01/11 25 22 Cincinnati Bell Inc., 8.375%, 01/15/14 (l) 225 200 Insight Midwest Capital Inc., 10.50%, 11/01/10 200 218 Qwest Corp. 9.1256%, 03/15/12 (e) 75 81 8.875%, 06/01/31 25 24 Qwest Services Corp. 13.50%, 12/15/10 (e) 225 262 14.00%, 12/15/14 (e) 275 328 Sprint Captial Corp., 8.375%, 03/15/12 (f) 750 862 Telewest Communications Plc, (Step-Up Bond), 11.375%, 02/01/10 (d) (i) (l) 380 167 2,164 Telecommunications Equipment - 0.1% Lucent Technologies Inc., 6.45%, 03/15/29 (l) 450 348 Transportation - 0.2% Holt Group, 9.75%, 01/15/06 (i) 200 - Union Pacific Corp., 3.625%, 06/01/10 (l) 550 517 517 Water - 0.2% United Utilities Plc, 4.55%, 06/19/18 700 598 Wireless Telecommunications - 1.1% American Tower Corp. 9.375%, 02/01/09 100 106 7.50%, 05/01/12 (e) (l) 125 120 American Tower Escrow Corp., 7.767%, 08/01/08 (k) 145 106 AT&T Wireless Services Inc., 8.75%, 03/01/31 325 396 Centennial Cellular Operating Co., 10.125%, 06/15/13 200 207 Centennial Communications Corp., 8.125%, 02/01/14 (e) (l) 250 232 Crown Castle International Corp. 9.375%, 08/01/11 (l) 15 17 10.75%, 08/01/11 225 252 7.50%, 12/01/13 75 75 Nextel Communications Inc., 7.375%, 08/01/15 450 455 SBA Communications Corp., 10.25%, 02/01/09 (l) 275 282 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 250 185 Spectrasite Inc., 8.25%, 05/15/10 100 103 Western Wireless Corp., 9.25%, 07/15/13 (l) 75 77 2,613 Total Corporate Bonds (cost $68,893) 68,561 Government Securities - 63.1% Asset Backed Securities - 0.2% First Union National Bank Commercial Mortgage - Interest Only, 0.5329%, 05/17/32 11,940 369 Sovereign - 21.8% Colombia Government International Bond, 8.125%, 05/21/24 250 202 Federal Republic of Brazil 8.00%, 04/15/14 (l) 4,503 4,108 10.125%, 05/15/27 215 190 12.25%, 03/06/30 610 634 11.00%, 08/17/40 200 189 Finnish Government, 5.75%, 02/23/11 (f) 1,200 1,612 French Treasury Note, 3.50%, 01/12/08 (f) 3,900 4,777 Kingdom of Morocco, 6.8438%, 01/01/09 957 938 Malaysia Government International Bond, 7.50%, 07/15/11 325 367 Mexico Government International Bond 5.875%, 01/15/14 (l) 1,399 1,344 6.625%, 03/03/15 (l) 1,625 1,613 National Republic of Bulgaria, 2.6875%, 07/28/12 (h) 405 404 Netherlands Government, 5.00%, 07/15/11 (f) 3,600 4,637 Peru Government International Bond, 9.875%, 02/06/15 (l) 165 172 Region of Lombardy, 5.804%, 10/25/32 750 735 Republic of Argentina 2.0625%, 03/31/23 (g) (i) 500 253 6.00%, 03/31/23 500 255 Republic of Brazil, 2.1875%, 04/15/12 1,525 1,275 Republic of Bulgaria, 8.25%, 01/15/15 (l) 450 525 Republic of Colombia 10.00%, 01/23/12 (l) 375 388 10.75%, 01/15/13 175 186 8.375%, 02/15/27 (l) 225 182 10.375%, 01/28/33 200 194 Republic of Ecuador, 12.00%, 11/15/12 (l) 1,250 1,126 Republic of Germany 4.25%, 02/15/08 (f) 5,500 6,898 5.25%, 01/04/11 (f) 3,700 4,844 Republic of Panama 9.625%, 02/08/11 600 665 9.375%, 01/16/23 625 638 Republic of Peru 9.125%, 02/21/12 200 205 4.50%, 03/07/17 (h) 228 197 Republic of Philippines 8.375%, 03/12/09 (l) 800 832 10.625%, 03/16/25 (l) 525 543 Republic of Turkey 9.00%, 06/30/11 400 402 11.50%, 01/23/12 425 476 11.00%, 01/14/13 450 491 Republic of Venezuela 2.75%, 12/18/07 (g) (l) 1,000 955 5.375%, 08/07/10 450 358 9.25%, 09/15/27 (l) 100 85 9.375%, 01/13/34 250 211 Russian Federation 8.25%, 03/31/10 500 543 11.00%, 07/24/18 1,125 1,419 5.00%, 03/31/30 (h) 3,745 3,419 United Mexican States 8.375%, 01/14/11 350 396 8.30%, 08/15/31 1,575 1,650 51,533 U.S. Government Agencies - 30.2% Federal Home Loan Mortgage Corp. 5.00%, TBA (c) 7,500 7,249 6.50%, TBA (c) 2,000 2,085 Interest Only, 1156.50%, 06/15/21 - - Federal National Mortgage Association 4.50%, TBA (c) 3,000 2,811 5.00%, TBA (c) 22,125 21,399 5.50%, TBA (c) 18,500 18,436 6.00%, TBA (c) 8,000 8,174 6.50%, TBA (c) 2,000 2,082 7.00%, TBA (c) 7,500 7,906 7.3903%, 01/17/13 (g) 398 407 10.40%, 04/25/19 8 8 6.50%, 02/01/26 24 25 7.50%, 08/01/29 40 43 8.00%, 08/01/29 4 4 7.50%, 09/01/29 83 89 7.50%, 03/01/30 15 16 8.00%, 04/01/30 22 24 7.50%, 05/01/30 12 12 7.50%, 06/01/30 30 32 7.50%, 07/01/30 33 34 8.00%, 07/01/30 3 3 7.50%, 08/01/30 5 5 8.00%, 08/01/30 17 18 7.50%, 09/01/30 9 9 8.00%, 10/01/30 210 228 7.50%, 11/01/30 15 16 7.50%, 12/01/30 16 17 7.50%, 01/01/31 39 42 8.00%, 01/01/31 75 81 7.50%, 02/01/31 136 145 8.00%, 02/01/31 6 7 7.50%, 03/01/31 37 40 71,447 U.S. Treasury Securities - 10.9% U.S. Treasury Bond 6.125%, 11/15/27 (l) (m) 100 110 5.50%, 08/15/28 (l) 70 71 5.25%, 11/15/28 (l) 1,500 1,470 5.25%, 02/15/29 (l) 500 490 6.125%, 08/15/29 (l) 1,500 1,650 5.375%, 02/15/31 (l) (m) 750 756 U.S. Treasury Note 3.125%, 04/15/09 (l) 14,500 14,088 4.00%, 02/15/14 (l) 7,350 7,005 25,640 Total Government Securities (cost $150,497) 148,989 Short Term Investments - 36.1% Commercial Paper - 23.7% Beethoven Funding Corp., 1.25%, 07/15/04 (f) 5,830 5,827 DaimlerChrysler NA Holdings Inc., 1.34%, 07/15/04 (f) 2,915 2,914 Four Winds Funding Corp., 1.28%, 07/15/04 (f) 2,915 2,914 Galleon Capital LLC, 1.23%, 07/14/04 (f) 1,181 1,181 General Motors Acceptance Corp., 1.35%, 07/15/04 (f) 2,915 2,913 Giro Multi Funding Corp., 1.24%, 07/14/04 (f) 5,830 5,827 Hannover Funding Co. LLC, 1.23%, 07/15/04 (f) 5,830 5,827 Nieuw Amsterdam, 1.22%, 07/15/04 (f) 5,830 5,827 Regency Markets LLC, 1.24%, 07/14/04 (f) 5,830 5,827 Surrey Funding Corp., 1.23%, 07/14/04 (f) 5,366 5,364 Tasman Funding Inc., 1.24%, 07/15/04 (f) 5,825 5,822 Victory Receivables Corp., 1.25%, 07/15/04 (f) 5,830 5,827 56,070 Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.14% (a) 2 2 U.S. Government Agencies - 12.4% Federal Home Loan Bank Discount Note, 1.25%, 07/01/04 29,163 29,163 Total Short Term Investments (cost $85,235) 85,235 Total Investments - 128.8% (cost $305,828) 304,107 Other Assets and Liabilities, Net - (28.8%) (67,956) Total Net Assets - 100% $236,151 JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Corporate Bonds - 3.7% Asset Backed Securities - 3.7% Commercial Mortgage Acceptance Corp., 5.447%, 07/16/34 (e) (f) $5,990 $6,113 Green Tree Financial Corp., 7.07%, 01/15/29 (f) 899 942 Metris Master Trust, 1.40%, 08/20/08 (f) (g) 1,000 996 Total Corporate Bonds (cost $8,042) 8,051 Government Securities - 85.4% U.S. Government Agencies - 52.3% Federal Home Loan Mortgage Corp. 4.50%, TBA (c) 5,000 4,892 5.00%, TBA (c) 12,000 11,597 6.00%, TBA (c) 17,000 17,380 5.80%, 09/02/08 (l) 3,500 3,738 6.00%, 09/01/10 (f) - - 7.00%, 07/01/11 (f) 7 7 6.50%, 08/01/13 (f) 54 58 8.25%, 04/01/17 (f) 4 5 8.00%, 07/01/20 (f) 119 130 Interest Only, 5.50%, 01/15/23 (f) 11,000 1,115 6.00%, 11/01/28 (f) 773 793 7.00%, 04/01/29 (f) 258 273 8.00%, 09/01/31 (f) 1,186 1,288 7.00%, 10/01/31 (f) 16 17 7.00%, 11/01/31 (f) 29 31 7.00%, 02/01/32 (f) 352 373 7.00%, 03/01/32 (f) 346 366 7.00%, 04/01/32 (f) 329 348 4.50%, 04/15/32 (f) 501 502 7.00%, 06/01/32 (f) 52 55 7.00%, 08/01/32 (f) 16 17 Federal National Mortgage Association 5.50%, TBA (c) 42,000 42,054 6.00%, TBA (c) 3,000 3,065 6.50%, TBA (c) 12,000 12,490 2.88%, 02/17/09 (l) 2,000 1,989 7.3903%, 01/17/13 (f) (g) 598 611 12.50%, 09/20/15 (f) 3 3 12.00%, 01/01/16 (f) 107 122 12.00%, 01/15/16 (f) 3 3 12.50%, 01/15/16 (f) 50 57 5.00%, 02/01/19 (f) 1,378 1,383 11.50%, 09/01/19 (f) 1 1 10.50%, 08/01/20 (f) 11 12 6.50%, 03/01/26 (f) 21 22 7.00%, 05/01/26 (f) 22 23 7.00%, 11/01/28 (f) 21 23 7.00%, 12/01/28 (f) 19 20 36.70%, 12/28/28 (f) (g) 36 36 7.00%, 03/01/29 (f) 72 76 8.00%, 07/01/29 (f) 2 2 8.00%, 11/01/29 (f) 35 38 8.00%, 12/01/29 (f) 80 87 7.00%, 01/01/30 (f) 128 136 8.00%, 01/01/30 (f) 105 114 8.00%, 02/01/30 (f) 16 17 8.00%, 05/01/30 (f) 7 8 6.527%, 05/25/30 (f) 2,029 2,136 8.00%, 09/01/30 (f) 17 18 8.00%, 10/01/30 (f) 88 96 8.00%, 11/01/30 (f) 3 3 8.00%, 01/01/31 (f) 208 226 7.50%, 02/01/31 (f) 247 264 8.00%, 02/01/31 (f) 110 120 8.00%, 03/01/31 (f) 111 120 8.00%, 04/01/31 (f) 17 19 6.00%, 01/01/33 (f) 4,113 4,206 Government National Mortgage Association, 13.50%, 07/15/10 (f) 67 776 112,661 U.S. Treasury Securities - 33.1% U.S. Treasury Bond 6.625%, 02/15/27 (l) 2,350 2,727 6.375%, 08/15/27 (l) 1,000 1,129 5.25%, 02/15/29 (l) 2,000 1,961 6.125%, 08/15/29 (l) 1,250 1,375 5.375%, 02/15/31 (f) (m) 17,000 17,145 U.S. Treasury Note 5.875%, 11/15/04 (l) 5,000 5,079 6.75%, 05/15/05 (f) 12,000 12,486 5.75%, 11/15/05 (l) 8,500 8,887 3.375%, 11/15/08 (f) 7,300 7,220 3.125%, 04/15/09 (l) 3,000 2,915 4.875%, 02/15/12 (f) 10,000 10,328 71,252 Total Government Securities (cost $183,854) 183,913 Short Term Investments - 52.7% Commercial Paper - 21.4% Beethoven Funding Corp., 1.25%, 07/15/04 (f) 6,105 6,103 DaimlerChrysler NA Holdings Inc., 1.34%, 07/15/04 (f) 3,050 3,049 Four Winds Funding Corp., 1.28%, 07/15/04 (f) 3,050 3,048 General Motors Acceptance Corp., 1.35%, 07/15/04 (f) 3,050 3,048 Giro Multi Funding Corp., 1.24%, 07/14/04 (f) 6,100 6,097 Hannover Funding Co. LLC, 1.25%, 07/15/04 (f) 6,000 5,997 Nieuw Amsterdam, 1.22%, 07/15/04 (f) 6,105 6,102 Regency Markets LLC, 1.24%, 07/14/04 (f) 6,105 6,102 Tasman Funding Inc., 1.24%, 07/15/04 (f) 3,106 3,105 Victory Receivables Corp., 1.25%, 07/15/04 (f) 3,374 3,372 46,023 Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.14% (a) 5 5 U.S. Government Agencies - 31.3% Federal Farm Credit Discount Note 1.25%, 07/01/04 27,384 27,384 1.20%, 07/13/04 30,000 29,988 Federal Home Loan Bank Discount Note, 1.20%, 07/15/04 10,000 9,995 67,367 Total Short Term Investments (cost $113,396) 113,395 Total Investments - 141.8% (cost $305,292) 305,359 Other Assets and Liabilities, Net - (41.8%) (90,032) Total Net Assets - 100% $215,327 JNL/SELECT GLOBAL GROWTH FUND Common Stocks - 95.8% Aerospace & Defense - 2.8% European Aeronautic Defense and Space Co. 112 $3,116 Finmeccanica SpA (l) 1,803 1,432 Rolls-Royce Group Plc 220 1,004 5,552 Auto Manufacturers - 1.4% DaimlerChrysler AG 58 2,724 Auto Parts & Equipment - 0.4% Bridgestone Corp. (l) 40 752 Banks - 3.2% Bank of America Corp. 33 2,758 Standard Chartered Plc 121 1,974 Sumitomo Trust & Banking Co. Ltd. 213 1,517 6,249 Beverages - 1.0% Pernod-Ricard 16 1,995 Commercial Services - 6.0% Apollo Group Inc. (b) (l) 28 2,454 Capita Group Plc 405 2,342 Cendant Corp. 170 4,155 McKesson Corp. 83 2,853 11,804 Computers - 6.0% Apple Computer Inc. (b) 126 4,096 Dell Inc. (b) 12 416 Research In Motion Ltd. (b) 105 7,200 11,712 Cosmetics & Personal Care - 6.4% Colgate-Palmolive Co. 44 2,595 Gillette Co. 149 6,301 Procter & Gamble Co. 69 3,740 12,636 Diversified Financial Services - 2.2% Citigroup Inc. 49 2,297 Countrywide Financial Corp. 28 1,982 4,279 Electrical Components & Equipment - 1.1% LG Electronics Inc. 30 1,413 Samsung Electronics Co. Ltd. - GDR (e) 4 801 2,214 Environmental Control - 1.5% Waste Management Inc. 96 2,927 Food - 2.0% Groupe Danone 33 2,853 Numico NV (b) 34 1,076 3,929 Healthcare - 2.3% Cie Generale D'Optique Essilor International SA 41 2,650 Medtronic Inc. 37 1,827 4,477 Insurance - 4.6% Allianz AG 34 3,726 AXA 69 1,508 Muenchener Rueckversicherungs AG 36 3,892 9,126 Internet - 5.7% eBay Inc. (b) 40 3,696 Trend Micro Inc. 45 1,996 Yahoo! Inc. (b) 153 5,566 11,258 Manufacturing - 3.0% Tyco International Ltd. 176 5,826 Media - 4.9% Vivendi Universal SA (b) 187 5,187 XM Satellite Radio Holdings Inc. - Class A (b) (l) 160 4,361 9,548 Oil & Gas Producers - 2.6% BP Plc 298 2,630 Total Fina Elf SA 11 2,126 YUKOS - ADR 12 388 5,144 Pharmaceuticals - 11.0% Elan Corp. Plc - ADR (b) (l) 374 9,240 Medco Health Solutions Inc. (b) 109 4,103 Pfizer Inc. 46 1,563 Roche Holding AG Genusschein 27 2,694 Schering-Plough Corp. 212 3,912 21,512 Retail - 7.5% Carphone Warehouse Group Plc 1,149 3,085 Dixons Group Plc 604 1,809 GUS Plc 148 2,269 Kingfisher Plc 284 1,475 Pinault-Printemps-Redoute SA 30 3,093 Staples Inc. 82 2,409 Starbucks Corp. (b) 12 535 14,675 Software - 3.6% First Data Corp. 64 2,868 Microsoft Corp. 39 1,119 Red Hat Inc. (b) (l) 138 3,174 7,161 Telecommunications - 0.6% Societe Europeenne des Satellites 62 528 Telefonica SA 50 745 1,273 Telecommunications Equipment - 8.3% Alcatel SA (b) 427 6,591 Cisco Systems Inc. (b) 202 4,787 Telefonaktiebolaget LM Ericsson (b) 1,691 4,984 16,362 Tobacco - 2.4% Imperial Tobacco Group Plc 123 2,649 Japan Tobacco Inc. - 2,005 4,654 Toys & Hobbies - 2.9% Nintendo Co. Ltd. 50 5,739 Transportation - 0.5% Canadian National Railway Co. 22 943 Wireless Telecommunications - 1.9% Nextel Communications Inc. (b) 70 1,865 Qualcomm Inc. 11 766 Vodafone Group Plc 527 1,154 3,785 Total Common Stocks (cost $174,400) 188,256 Total Investments - 95.8% (cost $174,400) 188,256 Other Assets and Liabilities, Net - 4.2% 8,173 Total Net Assets - 100% $196,429 JNL/SELECT LARGE CAP GROWTH FUND Common Stocks - 97.3% Advertising - 2.2% Omnicom Group Inc. 78 $5,916 Biotechnology - 0.7% Genzyme Corp. (b) 39 1,863 Commercial Services - 6.0% Apollo Group Inc. (b) 158 13,984 Moody's Corp. 41 2,630 16,614 Computers - 12.4% Dell Inc. (b) 274 9,810 EMC Corp. (b) 224 2,559 Network Appliance Inc. (b) 278 5,987 Research In Motion Ltd. (b) 228 15,624 33,980 Distribution & Wholesale - 1.0% CDW Corp. 41 2,635 Diversified Financial Services - 6.4% Citigroup Inc. 106 4,912 Countrywide Financial Corp. 105 7,374 Fannie Mae 34 2,444 Franklin Resources Inc. 52 2,621 17,351 Entertainment - 1.6% International Game Technology 114 4,388 Healthcare - 5.5% Guidant Corp. 188 10,495 Medtronic Inc. 88 4,301 14,796 Home Builders - 1.7% Lennar Corp. 101 4,537 Insurance - 1.0% ACE Ltd. 62 2,610 Internet - 10.1% eBay Inc. (b) 129 11,821 Yahoo! Inc. (b) 432 15,706 27,527 Manufacturing - 1.0% Danaher Corp. 53 2,743 Media - 0.9% XM Satellite Radio Holdings Inc. - Class A (b) 94 2,556 Pharmaceuticals - 13.8% Abbott Laboratories 61 2,503 AstraZeneca Plc - ADR (l) 204 9,326 Cardinal Health Inc. 58 4,091 Eli Lilly & Co. 128 8,960 Forest Laboratories Inc. (b) 70 3,961 Gilead Sciences Inc. (b) 24 1,627 Medco Health Solutions Inc. (b) 133 4,997 Wyeth 53 1,918 37,383 Retail - 5.7% Autozone Inc. (b) 92 7,388 Best Buy Co. Inc. 53 2,684 Lowe's Cos. Inc. 50 2,637 Starbucks Corp. (b) 62 2,676 15,385 Semiconductors - 7.5% Analog Devices Inc. 150 7,050 KLA-Tencor Corp. (b) (l) 164 8,109 Xilinx Inc. 155 5,172 20,330 Software - 12.5% Electronic Arts Inc. (b) 99 5,407 First Data Corp. 244 10,864 Mercury Interactive Corp. (b) (l) 114 5,661 Microsoft Corp. (l) 270 7,722 Red Hat Inc. (b) (l) 185 4,243 33,896 Telecommunications - 0.9% Amdocs Ltd. (b) 101 2,363 Telecommunications Equipment - 6.4% Cisco Systems Inc. (b) 308 7,303 Corning Inc. (b) 763 9,971 17,275 Total Common Stocks (cost $243,475) 264,148 Short Term Investments - 2.5% Money Market Funds - 2.5% Dreyfus Cash Management Plus, 1.14% (a) 6,820 6,820 Total Short Term Investments (cost $6,820) 6,820 Total Investments - 99.8% (cost $250,295) 270,968 Other Assets and Liabilities, Net - 0.2% 409 Total Net Assets - 100% $271,377 JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND Common Stocks - 96.5% Apparel - 0.4% Hermes International (l) 12 $2,296 Banks - 5.2% Credit Suisse Group (b) 122 4,317 Mellon Financial Corp. 144 4,226 Northern Trust Corp. 84 3,568 State Street Corp. 170 8,337 UBS AG 58 4,059 US Bancorp. 175 4,826 29,333 Beverages - 1.4% Coca-Cola Co. 116 5,861 PepsiCo Inc. 37 2,004 7,865 Biotechnology - 1.4% Amgen Inc. (b) 118 6,428 Genentech Inc. (b) 28 1,551 7,979 Commercial Services - 3.5% Accenture Ltd. (b) 257 7,054 Apollo Group Inc. (b) (l) 69 6,083 Cendant Corp. 276 6,754 19,891 Computers - 3.7% Affiliated Computer Services Inc. - Class A (b) (l) 130 6,876 Dell Inc. (b) 265 9,507 Research In Motion Ltd. (b) 34 2,293 SunGard Data Systems Inc. (b) 82 2,119 20,795 Cosmetics & Personal Care - 0.3% Gillette Co. 36 1,509 Diversified Financial Services - 9.8% American Express Co. 139 7,126 Ameritrade Holding Corp. (b) 138 1,569 Charles Schwab Corp. 144 1,388 Citigroup Inc. 427 19,862 Fannie Mae 81 5,773 Freddie Mac 43 2,741 Goldman Sachs Group Inc. 36 3,390 MBNA Corp. 53 1,377 Merrill Lynch & Co. Inc. 113 6,073 SLM Corp. 142 5,756 55,055 Electrical Components & Equipment - 0.6% Samsung Electronics Co. Ltd. 8 3,385 Entertainment - 1.4% International Game Technology 205 7,905 Food - 1.3% Compass Group Plc 654 3,992 Sysco Corp. 88 3,142 7,134 Healthcare - 7.1% Biomet Inc. (b) 59 2,604 Boston Scientific Corp. (b) 60 2,551 Guidant Corp. 46 2,543 Johnson & Johnson 111 6,155 Medtronic Inc. 89 4,351 UnitedHealth Group Inc. 212 13,178 WellPoint Health Networks Inc. (b) 76 8,479 39,861 Insurance - 4.1% ACE Ltd. 81 3,415 American International Group Inc. 168 11,961 Hartford Financial Services Group Inc. 68 4,661 St. Paul Cos. Inc. (l) 71 2,861 22,898 Internet - 3.3% eBay Inc. (b) 62 5,719 InterActiveCorp. (b) (l) 186 5,609 Yahoo! Inc. (b) 199 7,237 18,565 Iron & Steel - 0.8% Nucor Corp. 59 4,498 Leisure Time - 1.9% Carnival Corp. (l) 132 6,185 Harley-Davidson Inc. (l) 76 4,689 10,874 Lodging - 0.2% MGM MIRAGE (b) 29 1,371 Manufacturing - 5.0% Danaher Corp. (l) 124 6,429 General Electric Co. 420 13,615 Tyco International Ltd. (l) 245 8,123 28,167 Media - 7.6% British Sky Broadcasting Plc 273 3,082 Clear Channel Communications Inc. 119 4,397 Comcast Corp. - Special Class A (b) (l) 205 5,649 E.W. Scripps Co. 40 4,221 EchoStar Communications Corp. (b) 202 6,212 Liberty Media Corp. (b) 646 5,807 Liberty Media International Inc. - Class A (b) 26 966 Sogecable SA (b) 51 2,049 Time Warner Inc. (b) 119 2,090 Univision Communications Inc. (b) (l) 112 3,583 Viacom Inc. - Class B 134 4,780 42,836 Mining - 0.7% Rio Tinto Plc 167 4,006 Oil & Gas Producers - 1.9% ChevronTexaco Corp. 48 4,489 Exxon Mobil Corp. 135 6,000 10,489 Oil & Gas Services - 2.2% Baker Hughes Inc. 176 6,615 Schlumberger Ltd. 88 5,589 12,204 Pharmaceuticals - 4.6% Cardinal Health Inc. 27 1,885 Forest Laboratories Inc. (b) 79 4,468 Gilead Sciences Inc. (b) 52 3,497 Pfizer Inc. 361 12,359 Teva Pharmaceutical Industries Ltd. - ADR 24 1,608 Wyeth 57 2,061 25,878 Retail - 7.9% Best Buy Co. Inc. 113 5,711 Family Dollar Stores Inc. 109 3,316 Home Depot Inc. 214 7,538 Kingfisher Plc 307 1,592 Starbucks Corp. (b) 59 2,548 Target Corp. 226 9,594 Walgreen Co. 132 4,776 Wal-Mart de Mexico SA de CV 210 623 Wal-Mart de Mexico SA de CV - ADR 64 1,907 Wal-Mart Stores Inc. 135 7,144 44,749 Semiconductors - 3.7% Analog Devices Inc. 55 2,585 Applied Materials Inc. (b) 145 2,843 Intel Corp. 205 5,644 Maxim Integrated Products Inc. 44 2,296 QLogic Corp. (b) 73 1,928 Semiconductor Manufacturing International Corp. (b) 12 123 STMicroelectronics NV 146 3,194 Xilinx Inc. 69 2,285 20,898 Software - 9.1% Adobe Systems Inc. 109 5,069 First Data Corp. 101 4,484 Fiserv Inc. (b) 150 5,837 Intuit Inc. (b) 96 3,692 Mercury Interactive Corp. (b) (l) 68 3,403 Microsoft Corp. 651 18,598 Oracle Corp. (b) 83 995 Red Hat Inc. (b) 49 1,132 SAP AG 27 4,393 Veritas Software Corp. (b) 134 3,701 51,304 Telecommunications Equipment - 2.5% Cisco Systems Inc. (b) 333 7,884 Corning Inc. (b) 223 2,908 Juniper Networks Inc. (b) 125 3,061 13,853 Tobacco - 0.6% Altria Group Inc. 64 3,183 Transportation - 1.0% United Parcel Service Inc. 77 5,796 Wireless Telecommunications - 3.3% Crown Castle International Corp. (b) 225 3,319 Nextel Communications Inc. (b) 286 7,611 Qualcomm Inc. 26 1,919 Vodafone Group Plc - ADR (l) 105 2,312 Vodafone Group Plc 1,504 3,294 18,455 Total Common Stocks (cost $480,731) 543,032 Preferred Stocks - 0.8% Media - 0.8% News Corp. Ltd. - ADR 134 4,396 Total Preferred Stocks (cost $4,294) 4,396 Short Term Investments - 2.3% Money Market Funds - 2.3% Dreyfus Cash Management Plus, 1.14% (a) 1,733 1,733 T. Rowe Price Reserves Investment Fund, 1.21% (a) (n) 11,128 11,128 Total Short Term Investments (cost $12,860) 12,861 Total Investments - 99.6% (cost $497,885) 560,289 Other Assets and Liabilities, Net - 0.4% 2,339 Total Net Assets - 100% $562,628 JNL/T. ROWE PRICE MID-CAP GROWTH FUND Common Stocks - 95.2% Advertising - 0.9% Catalina Marketing Corp. (b) 136 $2,487 Getty Images Inc. (b) 11 666 Harte-Hanks Inc. 1 29 Lamar Advertising Co. (b) 23 997 Omnicom Group Inc. 1 38 WPP Group Plc 2 113 4,330 Aerospace & Defense - 2.3% Alliant Techsystems Inc. (b) 84 5,320 Empresa Brasiliera de Aeronautica SA - ADR 2 46 Rockwell Collins Inc. 173 5,758 11,124 Agriculture - 0.0% Delta & Pine Land Co. 1 26 Airlines - 0.6% JetBlue Airways Corp. (b) 92 2,702 SkyWest Inc. 2 28 Southwest Airlines Co. 2 29 2,759 Apparel - 0.0% Coach Inc. (b) 1 41 Auto Manufacturers - 0.8% Oshkosh Truck Corp. 67 3,840 Banks - 0.7% Boston Private Financial Holdings Inc. 1 27 City National Corp. - 26 East-West Bancorp. Inc. 1 31 First Horizon National Corp. 1 27 Investors Financial Services Corp. (l) 47 2,044 Mellon Financial Corp. 4 120 North Fork Bancorp. Inc. (l) 1 42 Northern Trust Corp. 3 131 Silicon Valley Bancshares (b) 26 1,035 Synovus Financial Corp. 2 41 UCBH Holdings Inc. 1 28 3,552 Beverages - 0.8% Cott Corp. (b) 126 4,086 Biotechnology - 3.0% Biogen Idec Inc. (b) (l) 1 57 Celgene Corp. (b) (l) 23 1,317 Charles River Laboratories International Inc. (b) 1 29 Chiron Corp. (b) 1 27 Decode Genetics Inc. (b) 1 7 Diversa Corp. (b) 3 28 Genzyme Corp. (b) 1 43 Human Genome Sciences Inc. (b) 97 1,122 ICOS Corp. (b) (l) 38 1,134 Integra LifeSciences Holdings Corp. (b) 1 28 Invitrogen Corp. (b) (l) 35 2,520 Martek Biosciences Corp. (b) - 22 Medimmune Inc. (b) 273 6,391 Millennium Pharmaceuticals Inc. (b) 2 26 Millipore Corp. (b) 1 39 Nektar Therapeutics (b) 1 26 Protein Design Labs Inc. (b) 61 1,175 Qiagen NV (b) 2 29 Vertex Pharmaceuticals Inc. (b) 90 976 14,996 Building Materials - 0.8% American Standard Cos. Inc. (b) 99 3,991 Trex Co. Inc. (b) 1 26 4,017 Chemicals - 1.1% Ecolab Inc. 1 40 Engelhard Corp. 1 29 Potash Corp. 54 5,233 Praxair Inc. 1 44 Sigma-Aldrich Corp. 1 30 Symyx Technologies Inc. (b) 1 27 Valspar Corp. 1 40 5,443 Commercial Services - 7.7% Apollo Group Inc. (b) (l) 26 2,269 Aramark Corp. 2 43 BearingPoint Inc. (b) 198 1,756 Career Education Corp. (b) 1 36 ChoicePoint Inc. (b) 166 7,580 Corinthian Colleges Inc. (b) 1 25 Corporate Executive Board Co. 1 58 DeVry Inc. (b) 1 27 Education Management Corp. (b) 98 3,207 Equifax Inc. 1 35 H&R Block Inc. 1 29 Hewitt Associates Inc. - Class A (b) 123 3,380 Iron Mountain Inc. (b) 94 4,512 ITT Educational Services Inc. (b) 1 38 Manpower Inc. 113 5,742 McKesson Corp. 1 27 Moody's Corp. 2 136 Paychex Inc. 1 37 Robert Half International Inc. 144 4,284 Universal Technical Institute Inc. (b) 1 28 University of Phoenix Online (b) 1 53 Viad Corp. (b) 159 4,297 Watson Wyatt & Co. Holdings 1 27 37,626 Computers - 5.7% Affiliated Computer Services Inc. - Class A (b) (l) 1 42 CACI International Inc. - Class A (b) 38 1,537 Cadence Design Systems Inc. (b) (l) 203 2,968 Ceridian Corp. (b) 187 4,208 Cognizant Technology Solutions Corp. (b) 3 76 Diebold Inc. 69 3,622 DST Systems Inc. (b) (l) 117 5,646 Factset Research Systems Inc. 1 43 Jack Henry & Associates Inc. 79 1,590 Kronos Inc. (b) 1 25 Lexmark International Inc. (b) 26 2,539 Mercury Computer Systems Inc. (b) 1 30 National Instruments Corp. 1 28 Network Appliance Inc. (b) 2 43 Research In Motion Ltd. (b) 53 3,614 SunGard Data Systems Inc. (b) 76 1,976 Synopsys Inc. (b) 2 51 28,038 Cosmetics & Personal Care - 0.0% Estee Lauder Cos. Inc. 1 29 Distribution & Wholesale - 0.7% CDW Corp. 53 3,392 Diversified Financial Services - 3.6% A.G. Edwards Inc. 1 25 Ameritrade Holding Corp. (b) 220 2,492 Amvescap Plc - ADR (l) 2 29 CapitalSource Inc. (b) 129 3,154 Charles Schwab Corp. 7 67 Eaton Vance Corp. 82 3,141 Federated Investors Inc. 51 1,559 Franklin Resources Inc. 3 135 Janus Capital Group Inc. 2 28 LaBranche & Co. Inc. (l) 3 25 Legg Mason Inc. (l) 32 2,876 Raymond James Financial Inc. 1 26 Waddell & Reed Financial Inc. - Class A 178 3,933 17,490 Electrical Components & Equipment - 0.0% Littelfuse Inc. (b) 1 30 Molex Inc. 2 43 73 Electronics - 2.1% Applera Corp. - Applied Biosystems Group 2 46 Cymer Inc. (b) 1 26 Flir Systems Inc. (b) 53 2,882 Garmin Ltd. (l) 68 2,519 Jabil Circuit Inc. (b) 77 1,936 Mettler-Toledo International Inc. (b) 1 29 Symbol Technologies Inc. 2 27 Waters Corp. (b) 59 2,829 10,294 Entertainment - 0.0% Alliance Gaming Corp. (b) 1 20 International Game Technology 2 93 Shuffle Master Inc. (b) 1 51 164 Environmental Control - 0.0% Stericycle Inc. (b) 1 31 Food - 1.1% Hershey Foods Corp. 2 74 McCormick & Co. Inc. 1 27 Tootsie Roll Industries Inc. 1 26 Whole Foods Market Inc. 53 5,059 Wm. Wrigley Jr. Co. 1 69 5,255 Healthcare - 5.7% Anthem Inc. (b) 5 431 Arthrocare Corp. (b) 1 33 Bausch & Lomb Inc. - 26 Beckman Coulter Inc. 1 43 Becton Dickinson & Co. 1 36 Biomet Inc. (b) 2 107 C.R. Bard Inc. 1 34 Community Health Systems Inc. (b) 55 1,472 Cooper Cos. Inc. (l) 1 32 Coventry Health Care Inc. (b) 44 2,156 DaVita Inc. (b) 63 1,936 Dentsply International Inc. 1 57 Edwards Lifesciences Corp. (b) 73 2,537 Health Management Associates Inc. (l) 198 4,435 Henry Schein Inc. (b) 1 38 Kinetic Concepts Inc. (b) 83 4,142 Laboratory Corp. of America Holdings (b) 115 4,550 Lincare Holdings Inc. (b) 1 39 Manor Care Inc. 157 5,127 Patterson Dental Co. (b) 1 38 Quest Diagnostics Inc. 1 68 Renal Care Group Inc. (b) 1 40 ResMed Inc. (b) 1 25 Respironics Inc. (b) 1 29 Smith & Nephew Plc 1 39 St. Jude Medical Inc. (b) 1 38 Stryker Corp. 1 61 Sybron Dental Specialties Inc. (b) 1 30 Techne Corp. (b) 1 43 Varian Medical Systems Inc. (b) 1 63 Wellchoice Inc. (b) 2 99 WellPoint Health Networks Inc. (b) 1 56 Wright Medical Group Inc. (b) 1 28 Zimmer Holdings Inc. (b) 1 97 27,985 Home Builders - 0.1% Centex Corp. 1 60 KB Home - 28 Lennar Corp. 2 80 Pulte Homes Inc. 1 42 Thor Industries Inc. 1 33 Toll Brothers Inc. (b) 2 63 Winnebago Industries 1 34 340 Household Products - 0.0% Avery Dennison Corp. 1 57 Clorox Co. 1 27 Jarden Corp. (b) 1 29 113 Insurance - 3.6% AMBAC Financial Group Inc. 1 43 Arch Capital Group Ltd. (b) 1 27 Arthur J. Gallagher & Co. 1 40 Assurant Inc. 83 2,190 Axis Capital Holdings Ltd. 67 1,876 Brown & Brown Inc. 1 43 Genworth Financial Inc. - Class A (b) 80 1,836 Markel Corp. (b) - 28 MBIA Inc. 1 29 MGIC Investment Corp. 1 53 Principal Financial Group 88 3,061 Protective Life Corp. 67 2,591 Radian Group Inc. 50 2,376 RenaissanceRe Holdings Ltd. 1 43 Triad Guaranty Inc. (b) - 6 Willis Group Holdings Ltd. 98 3,663 17,905 Internet - 3.4% Check Point Software Technologies Ltd. (b) 1 30 CheckFree Corp. (b) 49 1,470 CNET Networks Inc. (b) 59 653 F5 Networks Inc. (b) 2 45 InterActiveCorp. (b) (l) 37 1,115 Internet Security Systems Inc. (b) 2 26 Matrixone Inc. (b) 4 26 Monster Worldwide Inc. (b) (l) 106 2,731 Network Associates Inc. (b) (l) 273 4,949 Sina Corp. (b) 1 40 Symantec Corp. (b) 3 118 VeriSign Inc. (b) 253 5,033 WebMD Corp. (b) (l) 41 382 Websense Inc. (b) 1 34 16,652 Iron & Steel - 1.4% International Steel Group Inc. (b) (l) 59 1,756 Nucor Corp. (l) 65 4,989 6,745 Leisure Time - 1.1% Brunswick Corp. 129 5,248 Harley-Davidson Inc. 1 31 Multimedia Games Inc. (b) (l) 1 32 Polaris Industries Inc. 1 29 Royal Caribbean Cruises Ltd. 1 43 Sabre Holdings Corp. 1 30 5,413 Lodging - 0.9% Fairmont Hotels & Resorts Inc. 152 4,096 Hilton Hotels Corp. 2 30 Marriott International Inc. - Class A 2 95 Station Casinos Inc. 2 97 Wynn Resorts Ltd. (b) 1 27 4,345 Machinery - 0.0% IDEX Corp. 1 30 Zebra Technologies Corp. (b) 1 44 74 Manufacturing - 2.8% Cuno Inc. (b) 1 32 Danaher Corp. (l) 75 3,868 Dover Corp. 1 29 ITT Industries Inc. 55 4,565 Pall Corp. 1 29 Roper Industries Inc. 90 5,110 13,633 Media - 3.5% Cablevision Systems Corp. (b) (l) 102 2,004 Citadel Broadcasting Corp. (b) 260 3,784 COX Radio Inc. (b) 112 1,938 Cumulus Media Inc. - Class A (b) 1 24 E.W. Scripps Co. 1 63 Entercom Communications Corp. (b) 38 1,429 McGraw-Hill Cos. Inc. 1 38 Meredith Corp. 2 93 New York Times Co. 1 63 Radio One Inc. - Class D (b) 3 50 Regent Communications Inc. (b) 5 28 Rogers Communications Inc. - Class B 134 2,429 Salem Communications Corp. - Class A (b) 1 38 Scholastic Corp. (b) 79 2,366 Spanish Broadcasting System Inc. (b) 3 25 Univision Communications Inc. (b) (l) 2 76 Washington Post - 93 Westwood One Inc. (b) 2 36 XM Satellite Radio Holdings Inc. - Class A (b) (l) 100 2,729 17,306 Metal Fabrication & Hardware - 0.0% Kaydon Corp. 1 31 Mining - 0.6% Newmont Mining Corp. 79 3,062 Office Furnishings - 0.0% HNI Corp. 1 42 Oil & Gas Producers - 3.7% Apache Corp. 1 44 Devon Energy Corp. 1 59 Diamond Offshore Drilling Inc. (l) 151 3,603 EOG Resources Inc. 82 4,896 Murphy Oil Corp. 71 5,233 XTO Energy Inc. 144 4,275 18,110 Oil & Gas Services - 4.2% Baker Hughes Inc. 1 45 BJ Services Co. (b) (l) 155 7,114 Cooper Cameron Corp. (b) 75 3,653 FMC Technologies Inc. (b) (l) 118 3,398 Smith International Inc. (b) 116 6,446 Weatherford International Ltd. (b) 1 27 20,683 Packaging & Containers - 0.0% Sealed Air Corp. (b) 1 59 Pharmaceuticals - 9.1% Abgenix Inc. (b) 80 935 Alkermes Inc. (b) 87 1,184 Allergan Inc. 1 55 AmerisourceBergen Corp. (l) 68 4,059 Amylin Pharmaceuticals Inc. (b) 58 1,327 Andrx Corp. (b) 94 2,625 Atherogenics Inc. (b) 1 21 Barr Laboratories Inc. (b) 54 1,820 Caremark Rx Inc. (b) 3 99 Cephalon Inc. (b) (l) 59 3,175 Express Scripts Inc. - Class A (b) 1 95 Gilead Sciences Inc. (b) 70 4,663 ImClone Systems Inc. (b) 41 3,517 IVAX Corp. (b) 175 4,198 Medco Health Solutions Inc. (b) 3 101 Medicines Co. (b) 1 24 Medicis Pharmaceutical Corp. - Class A 1 24 Neurocrine Biosciences Inc. (b) 35 1,799 Omnicare Inc. 204 8,746 Onyx Pharmaceuticals Inc. (b) (l) 1 25 Sepracor Inc. (b) 11 571 Taro Pharmaceuticals Industries Ltd. (b) (l) 55 2,375 Valeant Pharmaceuticals International 64 1,286 Watson Pharmaceuticals Inc. (b) 70 1,883 44,607 Pipelines - 0.7% Western Gas Resources Inc. 104 3,378 Real Estate - 0.0% Jones Lang LaSalle Inc. (b) 1 30 Retail - 6.7% 99 Cents Only Stores (b) (l) 2 23 Autozone Inc. (b) 1 40 Bed Bath & Beyond Inc. (b) 1 42 Best Buy Co. Inc. 74 3,755 Big Lots Inc. (b) 2 27 Cheesecake Factory (b) 72 2,853 CVS Corp. 1 29 Dollar General Corp. 5 98 Dollar Tree Stores Inc. (b) 111 3,034 Family Dollar Stores Inc. 148 4,502 Fred's Inc. 1 29 Men's Wearhouse Inc. (b) 1 26 MSC Industrial Direct Co. Inc. 17 558 O'Reilly Automotive Inc. (b) 66 2,965 Outback Steakhouse Inc. 1 25 Petsmart Inc. 157 5,082 PF Chang's China Bistro Inc. (b) 40 1,646 Ross Stores Inc. 124 3,313 Ruby Tuesday Inc. 1 25 Shoppers Drug Mart Corp. (b) 66 1,644 Staples Inc. 5 144 Starbucks Corp. (b) 1 43 Tiffany & Co. 1 44 TJX Cos. Inc. 5 130 Williams-Sonoma Inc. (b) 94 3,102 33,179 Semiconductors - 4.4% Agere Systems Inc. (b) (l) 196 452 Agere Systems Inc. - Class B (b) 455 978 Altera Corp. (b) 6 122 AMIS Holdings Inc. (b) 116 1,954 Analog Devices Inc. 1 28 ASML Holding NV - NYS (b) 2 27 Broadcom Corp. (b) 2 112 Emulex Corp. (b) (l) 1 20 Integrated Circuit Systems Inc. (b) 93 2,526 Intersil Corp. 168 3,630 KLA-Tencor Corp. (b) (l) 1 44 Lam Research Corp. (b) 2 46 Linear Technology Corp. 3 114 Marvell Technology Group Ltd. (b) 1 32 Maxim Integrated Products Inc. 1 58 Microchip Technology Inc. 134 4,230 Microsemi Corp. (b) 2 33 National Semiconductor Corp. (b) 3 70 Novellus Systems Inc. (b) (l) 77 2,405 Power Integrations Inc. (b) 1 25 QLogic Corp. (b) 81 2,164 Semtech Corp. (b) 98 2,298 Silicon Laboratories Inc. (b) 1 23 Xilinx Inc. 3 107 21,498 Software - 5.3% Adobe Systems Inc. 77 3,558 BMC Software Inc. (b) 3 58 Certegy Inc. 147 5,696 Citrix Systems Inc. (b) 48 969 Cognos Inc. (b) 25 918 Dun & Bradstreet Corp. (b) 1 54 Electronic Arts Inc. (b) 3 147 Fair Isaac Corp. 53 1,772 FILENET Corp. (b) 1 32 Fiserv Inc. (b) 84 3,263 Global Payments Inc. 42 1,873 IMS Health Inc. 3 63 Intuit Inc. (b) 69 2,650 Mercury Interactive Corp. (b) (l) 59 2,935 NETIQ Corp. (b) 2 26 PeopleSoft Inc. (b) 2 28 Red Hat Inc. (b) (l) 92 2,111 SEI Investments Co. 1 26 Siebel Systems Inc. (b) 4 43 Veritas Software Corp. (b) 2 44 26,266 Telecommunications Equipment - 2.0% Comverse Technology Inc. (b) (l) 77 1,535 Corning Inc. (b) 10 124 Harris Corp. (l) 113 5,735 JDS Uniphase Corp. (b) 24 92 Juniper Networks Inc. (b) 93 2,285 Plantronics Inc. (b) 1 29 9,800 Textiles - 0.0% Cintas Corp. 2 100 Toys & Hobbies - 0.0% Mattel Inc. 2 27 Transportation - 1.2% C.H. Robinson Worldwide Inc. 65 2,961 Expeditors International of Washington Inc. (l) 61 2,989 Landstar System Inc. (b) 1 42 UTI Worldwide Inc. 1 32 6,024 Wireless Telecommunications - 2.9% American Tower Corp. (b) (l) 2 30 Crown Castle International Corp. (b) 231 3,405 Nextel Communications Inc. (b) 64 1,707 Nextel Partners Inc. (b) 188 2,985 Rogers Wireless Communications Inc. (b) 1 27 Triton PCS Holdings Inc. (b) (l) 54 235 Western Wireless Corp. (b) 206 5,955 14,344 Total Common Stocks (cost $372,917) 468,357 Short Term Investments - 4.6% Money Market Funds - 4.6% Dreyfus Cash Management Plus, 1.14% (a) 5,579 5,579 T. Rowe Price Reserves Investment Fund, 1.21% (a) (n) 17,143 17,143 Total Short Term Investments (cost $22,722) 22,722 Total Investments - 99.8% (cost $395,639) 491,079 Other Assets and Liabilities, Net - 0.2% 923 Total Net Assets - 100% $492,002 JNL/T. ROWE PRICE VALUE FUND Common Stocks - 95.6% Aerospace & Defense - 3.4% Lockheed Martin Corp. 101 $5,255 Raytheon Co. 121 4,317 Rockwell Collins Inc. 142 4,735 14,307 Airlines - 0.2% Delta Air Lines Inc. (b) (l) 121 858 Auto Manufacturers - 0.6% Ford Motor Co. (l) 153 2,400 Auto Parts & Equipment - 0.2% Delphi Corp. 66 702 Banks - 7.5% Bank of America Corp. 81 6,892 Bank One Corp. 86 4,391 Comerica Inc. 67 3,699 Huntington Bancshares Inc. 135 3,087 Mellon Financial Corp. 132 3,877 Royal Bank of Scotland Group Plc 140 4,018 US Bancorp. 192 5,303 31,267 Beverages - 1.7% Coca-Cola Enterprises Inc. 110 3,175 Heineken NV (l) 121 3,966 7,141 Biotechnology - 0.4% Medimmune Inc. (b) 73 1,715 Chemicals - 2.3% E.I. du Pont de Nemours & Co. 101 4,472 Great Lakes Chemical Corp. 137 3,705 Hercules Inc. (b) 110 1,335 9,512 Computers - 1.4% Electronic Data Systems Corp. 60 1,153 Hewlett-Packard Co. 222 4,691 5,844 Diversified Financial Services - 5.8% American Express Co. 97 4,984 Citigroup Inc. 54 2,533 Franklin Resources Inc. 66 3,290 Freddie Mac 66 4,146 JPMorgan Chase & Co. 99 3,823 Morgan Stanley 103 5,435 24,211 Electric - 3.1% Duke Energy Corp. (l) 144 2,920 FirstEnergy Corp. 99 3,689 NiSource Inc. (l) 189 3,901 Pinnacle West Capital Corp. 55 2,213 12,723 Environmental Control - 1.0% Waste Management Inc. 137 4,196 Food - 2.0% Campbell Soup Co. (l) 121 3,258 General Mills Inc. 61 2,880 Safeway Inc. (b) (l) 82 2,088 8,226 Forest Products & Paper - 3.1% Bowater Inc. (l) 88 3,665 International Paper Co. 111 4,966 MeadWestvaco Corp. 140 4,123 12,754 Healthcare - 2.1% Johnson & Johnson 87 4,840 Medtronic Inc. 79 3,844 8,684 Home Furnishings - 0.8% Sony Corp. - ADR 89 3,371 Household Products - 2.6% Clorox Co. 44 2,355 Fortune Brands Inc. 55 4,134 Newell Rubbermaid Inc. 175 4,122 10,611 Insurance - 9.8% Berkshire Hathaway Inc. - Class A (b) - 3,736 Cigna Corp. 44 3,000 Genworth Financial Inc. - Class A (b) 189 4,331 Hartford Financial Services Group Inc. 60 4,138 Marsh & McLennan Cos. Inc. 95 4,316 Principal Financial Group 114 3,951 Prudential Financial Inc. 53 2,444 Radian Group Inc. 76 3,631 Safeco Corp. 90 3,951 St. Paul Cos. Inc. 117 4,725 UnumProvident Corp. 153 2,437 40,660 Iron & Steel - 1.2% Nucor Corp. 68 5,189 Leisure Time - 0.7% Harley-Davidson Inc. 49 3,054 Lodging - 1.1% Fairmont Hotels & Resorts Inc. 167 4,503 Manufacturing - 8.8% Cooper Industries Ltd. - Class A 78 4,634 Eastman Kodak Co. 66 1,773 Eaton Corp. 56 3,625 General Electric Co. 351 11,379 Honeywell International Inc. 159 5,813 Illinois Tool Works Inc. (l) 20 1,879 Pall Corp. 66 1,721 Tyco International Ltd. 173 5,723 36,547 Media - 9.4% Cablevision Systems Corp. (b) (l) 154 3,018 Comcast Corp. - Class A (b) 44 1,236 Comcast Corp. - Special Class A (b) (l) 191 5,271 Dow Jones & Co. Inc. 60 2,715 Liberty Media Corp. (b) 434 3,905 Liberty Media International Inc. - Class A (b) 22 806 New York Times Co. 92 4,118 Pearson Plc 159 1,929 Reuters Group Plc 383 2,576 Time Warner Inc. (b) 286 5,033 Viacom Inc. - Class B 107 3,833 Walt Disney Co. 182 4,632 39,072 Mining - 0.7% Alcoa Inc. 93 3,065 Oil & Gas Producers - 6.0% Amerada Hess Corp. 73 5,789 ChevronTexaco Corp. 17 1,580 ConocoPhillips 33 2,518 Exxon Mobil Corp. 100 4,454 Marathon Oil Corp. 38 1,453 Royal Dutch Petroleum Co. - NYS 99 5,100 Total SA - ADR 41 3,930 24,824 Oil & Gas Services - 1.7% Baker Hughes Inc. 121 4,537 Schlumberger Ltd. 41 2,572 7,109 Pharmaceuticals - 3.9% Bristol-Myers Squibb Co. 105 2,565 Merck & Co. Inc. 136 6,455 Schering-Plough Corp. 175 3,240 Wyeth 113 4,093 16,353 Retail - 3.8% CVS Corp. 100 4,190 Family Dollar Stores Inc. 98 2,984 May Department Stores Co. 130 3,565 McDonald's Corp. 129 3,357 RadioShack Corp. 49 1,391 Toys "R" Us Inc. (b) 23 369 15,856 Semiconductors - 0.4% Texas Instruments Inc. 71 1,722 Software - 1.5% Microsoft Corp. 223 6,363 Telecommunications - 2.8% Alltel Corp. 54 2,754 MCI Inc. (b) 72 1,013 Qwest Communications International Inc. (b) 1,013 3,637 Sprint Corp. - FON Group 234 4,111 11,515 Telecommunications Equipment - 0.5% Nokia Oyj - ADR 132 1,924 Tobacco - 0.5% Altria Group Inc. 43 2,172 Toys & Hobbies - 0.6% Hasbro Inc. 124 2,360 Transportation - 3.1% CNF Inc. 96 3,986 CSX Corp. 124 4,047 Norfolk Southern Corp. 26 692 Union Pacific Corp. 72 4,257 12,982 Wireless Telecommunications - 0.9% Motorola Inc. (l) 199 3,630 Total Common Stocks (cost $349,453) 397,422 Preferred Stocks - 0.4% Insurance - 0.4% Genworth Financial Inc., 6.00% (l) 24 671 UnumProvident Corp., 7.25% 32 806 Total Preferred Stocks (cost $1,388) 1,477 Corporate Bonds - 0.2% Airlines - 0.2% Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) (l) $1,030 666 Total Corporate Bonds (cost $988) 666 Short Term Investments - 4.2% Money Market Funds - 4.2% Dreyfus Cash Management Plus, 1.14% (a) 5,539 5,539 T. Rowe Price Reserves Investment Fund, 1.21% (a) (n) 11,943 11,943 Total Short Term Investments (cost $17,482) 17,482 Total Investments - 100.4% (cost $369,311) 417,047 Other Assets and Liabilities, Net - (0.4%) (1,851) Total Net Assets - 100% $415,196
JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS June 30, 2004 - -------------------------------------------------------------------------------- (a) Dividend yield changes daily to reflect current market conditions. Rate is the quoted yield as of June 30, 2004. (b) Non-income producing security. (c) Investment purchased on a when-issued basis. As of June 30, 2004, the total cost of investments purchased on a when-issued basis, in thousands, for the JNL/Mellon Capital Management Bond Index Fund, the JNL/PIMCO Total Return Bond Fund, the JNL/Salomon Brothers Balanced Fund, the JNL/Salomon Brothers Strategic Bond Fund, and the JNL/Salomon Brothers U.S. Government & Quality Bond Fund are: $3,785; $34,250; $1,387; $71,715 and $92,443, respectively. (d) Deferred interest security that receives no current coupon payments until a predetermined date at which time the stated coupon rate becomes effective. (e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund has deemed these securities to be liquid based on procedures approved by the Board of Trustees. As of June 30, 2004, the market value, in thousands, of 144A or other restricted securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total Return Fund, JNL/PPM America Balanced Fund, JNL/PPM America High Yield Bond Fund, JNL/Putnam International Equity Fund, JNL/Salomon Brothers Balanced Fund, JNL/Salomon Brothers High Yield Bond Fund, JNL/Salomon Brothers Strategic Bond Fund, JNL/Salomon Brothers U.S. Government & Quality Bond Fund, JNL/Select Global Growth Fund, and JNL/T.Rowe Price Value Fund are: $435; $652; $271; $5,383; $2,023; $26,051; $540; $75; $1,906; $13,105; $6,113; $801 and $666, respectively. (f) All or a portion of the security pledged as collateral for an investment purchased on a when-issued basis. (g) Variable rate security. Rate stated is in effect as of June 30, 2004. (h) Coupon payment periodically increases over the life of the security. Rate is in effect as of June 30, 2004. (i) Security is in default. (j) Convertible security. (k) Zero coupon security. Rate stated is the effective yield as of June 30, 2004. (l) All or portion of the security has been loaned. (m) All or portion of the security pledged to cover margin requirements on open futures contracts. (n) Investments in affiliates. See Note 3 in the Notes to the Financial Statements. ABBREVIATIONS: ADR - American Depository Receipt KRW - Korean Won AUD - Australian Dollar MXN - Mexican Peso BZD - Belize Dollar NOK - Norwegian Krone CAD - Canadian Dollar NYS - New York Shares CHF - Swiss Franc NZD - New Zealand Dollar CLP - Chilean Peso PEN - New Sol DKK - Danish Krone RUB - Russian Ruble EUR - European Currency Unit (Euro) SEK - Swedish Krona GBP - British Pound SGD - Singapore Dollar GDR - Global Depository Receipt SKK - Slovak Koruna HKD - Hong Kong Dollar TWD - New Taiwan Dollar INR - Indian Rupee USD - United States Dollar JPY - Japanese Yen ZAR - Rand JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS June 30, 2004 SCHEDULE OF OPTIONS WRITTEN: - ---------------------------------------------------------------------------------------------------------------------------------- EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000's) JNL/AIM SMALL CAP GROWTH FUND Taser International Inc. Call Option 7/19/2004 $ 45.00 12 $ (3) Urban Outfitters Inc. Call Option 7/19/2004 65.00 1 - ------------ $ (3) ============ JNL/PIMCO TOTAL RETURN BOND FUND U.S. 5-Year Treasury Note Call Option 8/27/2004 $ 111.50 10 $ (1) U.S. 5-Year Treasury Note Put Option 8/27/2004 107.50 15 (6) U.S. 10-Year Treasury Note Future Call Option 8/27/2004 110.00 45 (39) U.S. 10-Year Treasury Note Future Call Option 8/27/2004 111.00 18 (9) U.S. 10-Year Treasury Note Future Call Option 8/27/2004 114.00 2 - U.S. 10-Year Treasury Note Future Call Option 8/27/2004 115.00 71 (2) U.S. 10-Year Treasury Note Future Put Option 8/27/2004 108.00 31 (21) U.S. 10-Year Treasury Note Future Put Option 8/30/2004 105.00 45 (6) Call Swaption, 3 month LIBOR versus 3.80% fixed 10/7/2004 n/a 15 - Call Swaption, 3 month LIBOR versus 3.80% fixed 10/19/2004 n/a 2 (13) Put Swaption, 3 month LIBOR versus 6.00% fixed 10/19/2004 n/a 2 - Call Swaption, 3 month LIBOR versus 3.14% fixed 11/2/2004 n/a 9 (22) Put Swaption, 3 month LIBOR versus 6.70% fixed 11/2/2004 n/a 9 - Call Swaption, 3 month LIBOR versus 5.50% fixed 1/7/2005 n/a 6 (22) Put Swaption, 3 month LIBOR versus 7.00% fixed 1/7/2005 n/a 6 - ------------ $ (141) ============ JNL/PUTNAM EQUITY FUND Ross Stores Inc. Put Option 7/7/2004 $ 22.90 3,013 $ - Sandisk Corp. Put Option 7/9/2004 19.62 3,540 (1) ------------ $ (1) ============ SUMMARY OF WRITTEN CALL OPTIONS FOR THE PERIOD ENDED JUNE 30, 2004 (IN THOUSANDS EXCEPT CONTRACTS): - ---------------------------------------------------------------------------------------------------------------------------------- NUMBER OF CONTRACTS PREMIUMS JNL/AIM SMALL CAP GROWTH FUND ---------------- ------------ Options outstanding at December 31, 2003 51 $ 7 Options written during the period 274 40 Options closed during the period (140) (22) Options exercised during the period (99) (13) Options expired during the period (73) (10) ---------------- ------------- Options outstanding at June 30, 2004 13 $ 2 ================ ============= JNL/PIMCO TOTAL RETURN BOND FUND Options outstanding at December 31, 2003 238 $ 307 Options written during the period 860 487 Options closed during the period (155) (47) Options exercised during the period (228) (85) Options expired during the period (429) (366) ---------------- ------------- Options outstanding at June 30, 2004 286 $ 296 ================ ============= JNL/PUTNAM EQUITY FUND Options outstanding at December 31, 2003 - $ - Options written during the period 72,623 41 Options closed during the period (39,552) (25) Options exercised during the period (2,275) (4) Options expired during the period (24,243) (10) ---------------- ------------- Options outstanding at June 30, 2004 6,553 $ 2 ================ ============= JNL/PUTNAM VALUE EQUITY FUND Options outstanding at December 31, 2003 - $ - Options written during the period 59,810 13 Options closed during the period - - Options exercised during the period - - Options expired during the period (59,810) (13) ---------------- ------------- Options outstanding at June 30, 2004 - $ - ================ ============= JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) June 30, 2004 SUMMARY OF SWAP AGREEMENTS : - ------------------------------------------------------------------------------------------------------------------------ UNREALIZED NOTIONAL AMOUNT APPRECIATION/(DEPRECIATION) JNL/PIMCO TOTAL RETURN BOND FUND Barclay's Capital Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 12/15/06 $ 4,400 $ 4 Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 06/17/10 1,100 1 Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/16/11 3,500 (142) Citibank N.A. Receive fixed rate equal to 4.00% and pay floating rate based on 12 month EURIBOR, 06/17/10 500 (6) Goldman Sachs Capital Markets, L.P. Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 06/17/08 3,200 (57) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 400 3 Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/17 900 16 JPMorgan Chase Bank Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 12/21/07 14,200 (62) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 100 - Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/17 100 2 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 300 1 Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 600 11 Merrill Lynch Capital Services, Inc. Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 03/15/07 (5,700) 44 Morgan Stanley Capital Services Inc. Receive floating rate based on 1 month Lehman Brothers ERISA-eligible CMBS Index and pay a floating rate based on 1 month LIBOR MINUS 0.65%, 09/30/04 700 (1) UBS Warburg AG Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 12/15/06 2,000 3 Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 06/17/08 3,200 (45) Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 12/15/09 22,200 161 Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/16/11 1,900 (75) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 100,000 - Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 200,000 (1) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 300,000 4 ------------ $ (139) ============ SUMMARY OF SECURITIES SOLD SHORT : - ------------------------------------------------------------------------------------------------------------------------ PAR AMOUNT MARKET VALUE JNL/PIMCO Total Return Bond Fund U.S. Treasury Note, 3.875%, 02/15/13 $ 800 $ (765) U.S. Treasury Note, 4.75%, 05/15/14 1,900 (1,920) U.S. Treasury Bond, 6.25%, 08/15/23 900 (997) U.S. Treasury Bond, 6.25%, 05/15/30 2,100 (2,351) U.S. Treasury Bond, 5.375%, 02/15/31 2,500 (2,521) ------------ Total (proceeds $8,387) $ (8,554) ============ JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS June 30, 2004 SUMMARY OF INVESTMENTS BY COUNTRY: - -------------------------------------- JNL/Mellon Capital JNL/ JNL/FMR JNL/JPMorgan Management Oppenheimer Capital Growth International International Global Growth Fund Value Fund Index Fund Fund - ----------------------------------------------------------------------------------------------------- Argentina - % - % - % - % Australia - 0.8 4.5 0.4 Austria - 1.0 0.3 - Belgium - - 1.1 - Bermuda - - - - Brazil 3.7 0.6 - 1.9 Bulgaria - - - - Canada 5.3 - - 2.0 Cayman Islands - - - - Chile - - - - China - - - - Colombia - - - - Denmark - - 0.7 - Ecuador - - - - Finland - - 1.4 - France - 10.7 8.7 7.1 Germany - 3.6 6.4 3.1 Greece 0.5 - 0.4 - Hong Kong - 2.5 1.5 1.5 India - 1.3 - 2.3 Indonesia - 1.0 - - Ireland - - 0.8 0.4 Israel - - - 0.4 Italy - 3.4 3.6 0.4 Japan - 20.7 22.7 9.0 Liberia - - - - Luxembourg - 1.9 0.1 - Malaysia - - - - Mexico - - - 1.5 Morocco - - - - Netherlands - 5.7 4.7 2.5 New Zealand - - 0.2 - Norway - - 0.5 1.0 Panama - - - - Peru - - - - Philippines - - - - Portugal - - 0.3 - Russia - 0.8 - - Singapore - 2.8 0.7 0.5 South Africa - - - - South Korea - 1.6 - 1.8 Spain - 4.0 3.4 0.3 Sweden - 1.6 2.3 3.2 Switzerland - 7.8 6.6 1.8 Taiwan - 0.5 - 0.9 Turkey - - - - United Kingdom - 23.7 23.6 13.6 United States 90.5 4.0 5.5 44.4 Venezuela - - - - ------------------------------------------------------------------------------------ TOTAL INVESTMENTS 100.0% 100.0% 100.0% 100.0% ==================================================================================== JNL/ JNL/Salomon JNL/ PPM America JNL/Putnam Brothers JNL/Select JNL/Select T.Rowe Price High Yield International Strategic Bond Global Large Cap Established Bond Fund Equity Fund Fund Growth Fund Growth Fund Growth Fund - --------------------------------------------------------------------------------------------------------------- Argentina - % - % 0.2 % - % - % - % Australia - 1.0 0.1 - - 0.8 Austria - - - - - - Belgium - 0.6 - - - - Bermuda - 0.8 - - - 1.2 Brazil - 0.6 2.1 - - - Bulgaria - - 0.3 - - - Canada 5.6 2.0 0.9 4.3 5.8 0.4 Cayman Islands 0.3 - 0.1 - - - Chile 0.4 - - - - - China - 0.5 - - - - Colombia - - 0.4 - - - Denmark - 1.2 - - - - Ecuador - - 0.4 - - - Finland - 0.6 0.5 - - - France - 10.3 1.6 13.8 - 1.0 Germany - 4.7 3.9 5.5 - 0.8 Greece - - - - - - Hong Kong - - - - - - India - - - - - - Indonesia - - - - - - Ireland - 2.0 - 4.9 - - Israel - - - - - 0.3 Italy - 1.5 0.3 0.8 - - Japan - 19.3 - 6.4 - - Liberia 0.8 - - - - - Luxembourg 2.2 - - 0.3 - - Malaysia - - 0.2 - - - Mexico - 0.6 1.1 - - 0.4 Morocco - - 0.3 - - - Netherlands - 1.9 1.5 2.2 - - New Zealand - - - - - - Norway - 0.1 - - - - Panama - - 0.4 - - - Peru - - 0.2 - - - Philippines - - 0.5 - - - Portugal - - - - - - Russia - 0.1 1.8 0.2 - - Singapore - 2.1 - - - - South Africa - - 0.1 - - - South Korea - 4.7 - 1.2 - 0.6 Spain - 2.2 - 0.4 - 0.4 Sweden - 3.1 - 2.7 - - Switzerland - 14.4 - 1.4 - 1.5 Taiwan - 0.9 - - - - Turkey - - 0.3 - - - United Kingdom - 20.2 0.5 10.8 3.4 3.3 United States 90.7 4.6 82.0 45.1 90.8 89.3 Venezuela - - 0.5 - - - ------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% ================================================================================================ JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) June 30, 2004 SUMMARY OF OPEN CURRENCY CONTRACTS: - ------------------------------------------------------------------------------------------ CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/FMR BALANCED FUND CAD/USD 7/2/2004 3 CAD $ 2 $ - CAD/USD 7/2/2004 2 CAD 2 - GBP/USD 7/1/2004 1 GBP 2 - USD/CAD 7/30/2004 (23) CAD (18) - USD/CAD 7/6/2004 (16) CAD (13) - -------------- --------------- $ (25) $ - ============== =============== JNL/JPMORGAN INTERNATIONAL VALUE FUND AUD/USD 8/19/2004 2,497 AUD $ 1,730 $ (8) CHF/USD 8/19/2004 758 CHF 606 (4) EUR/USD 8/19/2004 3,475 EUR 4,224 (29) EUR/USD 8/19/2004 2,295 EUR 2,790 17 GBP/USD 7/2/2004 90 GBP 163 - GBP/USD 8/19/2004 2,114 GBP 3,817 (35) GBP/USD 8/19/2004 347 GBP 627 3 HDK/USD 8/19/2004 1,684 HKD 216 - JPY/USD 7/2/2004 17,500 JPY 160 - JPY/USD 8/19/2004 158,914 JPY 1,460 (11) JPY/USD 8/19/2004 693,256 JPY 6,367 151 SEK/USD 8/19/2004 3,626 SEK 481 11 USD/CHF 8/19/2004 (415) CHF (332) (10) USD/CHF 8/19/2004 (900) CHF (719) 9 USD/EUR 7/2/2004 (50) EUR (60) - USD/EUR 8/19/2004 (4,100) EUR (4,983) (86) USD/EUR 8/19/2004 (2,051) EUR (2,493) 27 USD/GBP 8/19/2004 (1,405) GBP (2,536) 27 USD/GBP 8/19/2004 (1228) GBP (2,216) (53) USD/HKD 8/19/2004 (779) HKD (100) - USD/HKD 8/19/2004 (2,414) HKD (310) - USD/JPY 8/19/2004 (525,535) JPY (4,826) (82) USD/JPY 8/19/2004 (131,326) JPY (1,206) 5 USD/SGD 8/19/2004 (1,377) SGD (804) 4 -------------- --------------- $ 2,056 $ (64) ============== =============== JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND AUD/USD 7/2/2004 689 AUD $ 480 $ - CHF/USD 7/2/2004 926 CHF 739 - CHF/USD 7/2/2004 926 CHF 739 - DKK/USD 7/2/2004 376 DKK 62 - DKK/USD 7/2/2004 376 DKK 62 - EUR/USD 7/2/2004 2,682 EUR 3,263 - EUR/USD 9/16/2004 28 EUR 34 - EUR/USD 9/16/2004 3,402 EUR 4,134 26 GBP/USD 7/2/2004 1,400 GBP 2,538 - GBP/USD 9/16/2004 1,994 GBP 3,591 (15) GBP/USD 9/16/2004 135 GBP 243 - HKD/USD 7/2/2004 1,152 HKD 148 - HKD/USD 7/2/2004 1,152 HKD 148 - JPY/USD 7/2/2004 249,020 JPY 2,282 - JPY/USD 7/2/2004 249,020 JPY 2,282 - JPY/USD 9/16/2004 128,480 JPY 1,182 (10) JPY/USD 9/16/2004 141,953 JPY 1,306 13 NOK/USD 7/2/2004 223 NOK 32 - CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND (CONTINUED) NOK/USD 7/2/2004 223 NOK 32 - NZD/USD 7/2/2004 60 NZD 38 - NZD/USD 7/2/2004 60 NZD 38 - SEK/USD 7/2/2004 1,934 SEK 257 - SEK/USD 7/2/2004 1,934 SEK 257 - SGD/USD 7/2/2004 164 SGD 95 - SGD/USD 7/2/2004 164 SGD 95 - USD/EUR 9/16/2004 (3,122) EUR (3,794) (31) USD/GBP 9/16/2004 (1,766) GBP (3,181) (19) USD/JPY 9/16/2004 (260,400) JPY (2,395) 15 ----------- ---------------- $ 14,599 $ (21) =========== ================ JNL/OPPENHEIMER GLOBAL GROWTH FUND USD/CAD 7/2/2004 (107) CAD $ (80) $ - USD/EUR 7/1/2004 (2) EUR (3) - ----------- ---------------- $ (83) $ - =========== ================ JNL/PIMCO TOTAL RETURN BOND FUND BRL/USD 7/26/2004 107 BRL $ 34 $ (1) BRL/USD 8/24/2004 224 BRL 71 3 BRL/USD 9/17/2004 300 BRL 94 2 CLP/USD 8/6/2004 11,219 CLP 18 - CLP/USD 0/18/04 48,728 CLP 76 - CLP/USD 9/17/2004 60,602 CLP 95 1 HKD/USD 7/26/2004 576 HKD 74 - CLP/USD 8/24/2004 587 HKD 75 - HKD/USD 9/20/2004 777 HKD 100 - INR/USD 9/21/2004 6,421 INR 139 (3) JPY/USD 7/21/2004 478,202 JPY 4,386 26 KRW/USD 7/26/2004 85,914 KRW 74 1 KRW/USD 8/24/2004 87,920 KRW 76 2 KRW/USD 9/20/2004 118,000 KRW 102 1 MXN/USD 8/27/2004 399 MXN 34 - MXN/USD 9/21/2004 1,121 MXN 96 (3) PEN/USD 8/24/2004 259 PEN 74 1 PEN/USD 9/20/2004 348 PEN 100 - RUB/USD 7/23/2004 2,106 RUB 72 1 RUB/USD 8/19/2004 2,153 RUB 74 1 RUB/USD 9/20/2004 2,854 RUB 98 1 SGD/USD 7/26/2004 125 SGD 73 (1) SGD/USD 8/24/2004 128 SGD 74 - SGD/USD 9/20/2004 170 SGD 99 - SKK/USD 8/24/2004 2,457 SKK 75 2 SKK/USD 9/21/2004 3,343 SKK 102 1 TWD/USD 8/24/2004 2,500 TWD 75 - TWD/USD 9/20/2004 3,321 TWD 99 - USD/EUR 7/20/2004 (2,903) EUR (3,530) 41 USD/ZAR 8/24/2004 (302) ZAR (48) - USD/ZAR 9/21/2004 (401) ZAR (64) - ZAR/USD 8/24/2004 501 ZAR 80 7 ZAR/USD 9/21/2004 686 ZAR 109 4 ----------- ---------------- $ 3,106 $ 87 =========== ================ JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) June 30, 2004 SUMMARY OF OPEN CURRENCY CONTRACTS (CONTINUED): - ------------------------------------------------------------------------------------------------- CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/PUTNAM INTERNATIONAL EQUITY FUND AUD/USD 9/15/2004 1,884 AUD $ 1,302 $ (11) EUR/USD 7/1/2004 56 EUR 68 - EUR/USD 7/2/2004 63 EUR 76 - GBP/USD 9/15/2004 780 GBP 1,405 (8) JPY/USD 7/1/2004 5,186 JPY 48 (1) JPY/USD 7/2/2004 6,961 JPY 64 - SEK/USD 7/1/2004 640 SEK 85 - USD/CHF 9/15/2004 (2,338) CHF (1,872) 1 USD/GBP 7/1/2004 (74) GBP (135) 1 ------------------ ---------------- $ 1,041 $ (18) ================== ================ JNL/SALOMON STRATEGIC BOND FUND USD/EUR 8/25/2004 (19,070) EUR $ (23,177) $ (465) ================== ================ JNL/Select Global Growth Fund CHF/USD 9/27/2004 800 CHF $ 641 $ 24 CHF/USD 10/15/2004 800 CHF 641 24 EUR/USD 9/27/2004 1,925 EUR 2,339 47 GBP/USD 10/15/2004 900 GBP 1,617 37 GBP/USD 11/19/2004 1,200 GBP 2,150 50 JPY/USD 7/2/2004 17,836 JPY 163 (1) USD/CHF 9/27/2004 (800) CHF (641) (6) USD/CHF 10/15/2004 (800) CHF (641) (25) USD/EUR 7/1/2004 (194) EUR (236) - USD/EUR 7/6/2004 (66) EUR (81) - USD/EUR 9/27/2004 (400) EUR (486) (2) USD/EUR 9/27/2004 (1,525) EUR (1,853) 14 USD/GBP 7/2/2004 (86) GBP (157) (1) USD/GBP 7/6/2004 (469) GBP (851) 3 USD/GBP 10/15/2004 (900) GBP (1,617) (32) USD/GBP 11/19/2004 (1,000) GBP (1,792) - USD/GBP 11/19/2004 (200) GBP (358) - USD/JPY 7/1/2004 (27,727) JPY (254) 3 ------------------ ---------------- $ (1,416) $ 135 ================== ================ JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND USD/EUR 7/1/2004 (221) EUR $ (269) $ - ================== ================ JNL/T. ROWE PRICE VALUE FUND EUR/USD 7/1/2004 156 EUR $ 190 $ - GBP/USD 7/1/2004 106 GBP 193 - ------------------ ---------------- $ 383 $ - ================== ================ JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS June 30, 2004 SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS): - ---------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------- CONTRACTS UNREALIZED LONG/ NOTIONAL APPRECIATION/ (SHORT) AMOUNT (DEPRECIATION) JNL/AIM SMALL CAP GROWTH FUND Russell 2000 Index Future Expiration September 2004 2 $ 24 =================== JNL/JPMORGAN INTERNATIONAL VALUE FUND Dow Jones Euro Stoxx 50 Future Expiration September 2004 23 $ 1 FTSE 100 Index Future Expiration September 2004 7 (3) Topix Japanese Yen Future Expiration September 2004 4 11 ------------------- $ 9 =================== JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND U.S. Treasury Note Future, 2-Year, 6.00%, Expiration September 2004 $800 $ (2) U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2004 (100) (1) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2004 (400) (2) U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration September 2004 400 7 ------------------- $ 2 =================== JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Dow Jones Euro Stoxx 50 Future Expiration September 2004 27 $ - FTSE 100 Index Future Expiration September 2004 11 (6) Topix Japanese Yen Future Expiration September 2004 5 6 ------------------- $ - =================== JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND S&P 500 Index Future Expiration September 2004 44 $ 53 =================== JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND S&P MidCap 400 E-Mini Future Expiration September 2004 90 $ 36 =================== JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND S&P 500 E-Mini Future Expiration September 2004 15 $ 24 =================== JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Russell 2000 Mini Index Future Expiration September 2004 86 $ 129 =================== - ------------------------------------------------------------------------------------------------------- CONTRACTS UNREALIZED LONG/ NOTIONAL APPRECIATION/ (SHORT) AMOUNT (DEPRECIATION) JNL/PIMCO TOTAL RETURN FUND Euribor Interest Rate Future Expiration June 2005 $ 99,000 $ 13 Euribor Interest Rate Future Expiration September 2005 96,000 (22) Euribor Interest Rate Future Expiration December 2005 135,000 (135) Euro BOBL Future, 5-Year, 6.00%, Expiration September 2004 8,100 14 Eurodollar Future Expiration December 2004 29,000 1 Eurodollar Future Expiration March 2005 27,000 (19) Eurodollar Future Expiration June 2005 50,000 (66) Eurodollar Future Expiration September 2005 30,000 (52) Eurodollar Future Expiration December 2005 31,000 (51) Eurodollar Future Expiration March 2006 20,000 (21) Eurodollar Future Option Expiration September 2004 (12,000) 4 Eurodollar Future Option Expiration December 2004 (12,000) 12 U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2004 37,000 181 U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2004 79,000 957 ------------------- $ 816 =================== JNL/SALOMON BROTHERS STRATEGIC BOND FUND U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2004 (1,300) $ (11) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2004 (16,900) $ (204) U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration September 2004 3,600 70 ------------------- $ (145) =================== JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2004 (60,300) $ (332) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2004 3,900 54 U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration September 2004 22,200 433 ------------------- $ 155 ===================
JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/AIM JNL/AIM JNL/Alger Large Cap Small Cap Growth ASSETS Growth Fund Growth Fund Fund ----------------- ---------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 149,805 $ 47,450 $ 275,411 Investments - affiliated, at value and cost - - - Cash - - 9 Foreign currency (c) - - - Receivables: Dividends and interest 30 5 141 Forward currency contracts - - - Foreign taxes recoverable 3 - - Fund shares sold 271 154 161 Investment securities sold 1,116 101 756 Variation margin - 4 - Collateral for securities loaned 6,405 5,042 24,088 ----------------- ---------------- ----------------- TOTAL ASSETS 157,630 52,756 300,566 ----------------- ---------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 12 4 22 Advisory fees 88 32 173 Investment securities purchased 3,279 200 - Income payable - - - Forward currency contracts - - - Fund shares redeemed 84 263 272 Swap agreements, net - - - 12b-1 service fee (Class A) 23 7 45 Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - 3 - Return of collateral for securities loaned 6,405 5,042 24,088 ----------------- ---------------- ----------------- TOTAL LIABILITIES 9,891 5,551 24,600 ----------------- ---------------- ----------------- NET ASSETS $ 147,739 $ 47,205 $ 275,966 ================= ================ ================= NET ASSETS CONSIST OF: Paid-in capital $ 138,001 $ 41,675 $ 366,245 Undistributed (accumulated) net investment income (loss) (232) (229) (680) Accumulated net realized gain (loss) (516) (332) (113,737) Net unrealized appreciation (depreciation) 10,486 6,091 24,138 ----------------- ---------------- ----------------- $ 147,739 $ 47,205 $ 275,966 ================= ================ ================= CLASS A Net assets $ 147,730 $ 47,204 $ 275,965 Shares outstanding (no par value), unlimited shares authorized 13,171 3,910 18,160 Net asset value per share $ 11.22 $ 12.07 $ 15.20 ================= ================ ================= CLASS B Net assets $ 9 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized 1 - - Net asset value per share $ 11.22 $ 12.08 $ 15.22 ================= ================ ================= - ---------------------------------------------- (a) Including securities on loan of: $ 6,208 $ 4,843 $ 23,393 (b) Investments - unaffiliated, at cost 139,319 41,382 251,273 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - 2 - JNL/Alliance JNL/Eagle JNL/Eagle Capital Growth Core Equity SmallCap ASSETS Fund Fund Equity Fund ------------------ ---------------- ---------------- Investments - unaffiliated, at value (a) (b) $ 68,666 $ 309,135 $ 141,845 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) - - - Receivables: Dividends and interest 35 330 22 Forward currency contracts - - - Foreign taxes recoverable 1 2 - Fund shares sold 17 297 440 Investment securities sold 872 1,119 - Variation margin - - - Collateral for securities loaned 6,023 10,495 5,623 ------------------ ---------------- ---------------- TOTAL ASSETS 75,614 321,378 147,930 ------------------ ---------------- ---------------- . LIABILITIES Cash overdraft - - - Payables: Administrative fees 5 25 11 Advisory fees 32 163 84 Investment securities purchased 915 1,376 - Income payable - - - Forward currency contracts - - - Fund shares redeemed 26 207 235 Swap agreements, net - - - 12b-1 service fee (Class A) 11 50 22 Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 6,023 10,495 5,623 ------------------ ---------------- ---------------- TOTAL LIABILITIES 7,012 12,316 5,975 ------------------ ---------------- ---------------- NET ASSETS $ 68,602 $ 309,062 $ 141,955 ================== ================ ================ NET ASSETS CONSIST OF: Paid-in capital $ 127,760 $ 325,611 $ 128,050 Undistributed (accumulated) net investment income (loss) 52 932 (493) Accumulated net realized gain (loss) (64,132) (26,261) (12,805) Net unrealized appreciation (depreciation) 4,922 8,780 27,203 ------------------ ---------------- ---------------- $ 68,602 $ 309,062 $ 141,955 ================== ================ ================ CLASS A Net assets $ 68,601 $ 309,061 $ 141,954 Shares outstanding (no par value), unlimited shares authorized 6,698 21,809 7,840 Net asset value per share $ 10.24 $ 14.17 $ 18.11 ================== ================ ================ CLASS B Net assets $ 1 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized - - - Net asset value per share $ 10.24 $ 14.18 $ 18.13 - ---------------------------------------------- ================== ================ ================ (a) Including securities on loan of: $ 5,767 $ 10,122 $ 5,431 (b) Investments - unaffiliated, at cost 63,744 300,355 114,642 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/FMR JNL/FMR JNL/JPMorgan Balanced Capital International ASSETS Fund Growth Fund Value Fund ------------------- ----------------- ------------------ Investments - unaffiliated, at value (a) (b) $ 95,916 $ 154,367 $ 51,746 Investments - affiliated, at value and cost - - - Cash - 24 - Foreign currency (c) 11 - 522 Receivables: Dividends and interest 353 71 49 Forward currency contracts - - 254 Foreign taxes recoverable 3 - 18 Fund shares sold 75 18 634 Investment securities sold 1,309 1,406 434 Variation margin - - 2 Collateral for securities loaned 30,948 21,916 5,882 ------------------- ----------------- ------------------ TOTAL ASSETS 128,615 177,802 59,541 ------------------- ----------------- ------------------ LIABILITIES Cash overdraft - - - Payables: Administrative fees 8 12 6 Advisory fees 54 87 32 Investment securities purchased 1,352 2,406 729 Income payable - - - Forward currency contracts - - 318 Fund shares redeemed 125 278 129 Swap agreements, net - - - 12b-1 service fee (Class A) 15 25 8 Variation margin - - 10 Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 30,948 21,916 5,882 ------------------- ----------------- ------------------ TOTAL LIABILITIES 32,502 24,724 7,114 ------------------- ----------------- ------------------ NET ASSETS $ 96,113 $ 153,078 $ 52,427 =================== ================= ================== NET ASSETS CONSIST OF: Paid-in capital $ 96,091 $ 488,923 $ 50,330 Undistributed (accumulated) net investment income (loss) 752 (190) 381 Accumulated net realized gain (loss) (3,169) (338,404) (184) Net unrealized appreciation (depreciation) 2,439 2,749 1,900 ------------------- ----------------- ------------------ $ 96,113 $ 153,078 $ 52,427 =================== ================= ================== CLASS A Net assets $ 96,112 $ 153,077 $ 52,426 Shares outstanding (no par value), unlimited shares authorized 10,122 10,850 6,499 Net asset value per share $ 9.50 $ 14.11 $ 8.07 =================== ================= ================== CLASS B Net assets $ 1 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized - - - Net asset value per share $ 9.50 $ 14.12 $ 8.07 - ---------------------------------------------- ================== ================= ================== (a) Including securities on loan of: $ 30,372 $ 21,144 $ 5,596 (b) Investments - unaffiliated, at cost 93,477 151,618 49,790 (c) Foreign currency cost 12 - 524 (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - JNL/Mellon Capital JNL/Lazard JNL/Lazard Management Mid Cap Small Cap Bond Index ASSETS Value Fund Value Fund Fund ------------------ ---------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 166,347 $ 171,185 $ 123,740 Investments - affiliated, at value and cost - - 1,145 Cash - 1 - Foreign currency (c) - - - Receivables: Dividends and interest 93 112 1,235 Forward currency contracts - - - Foreign taxes recoverable - 1 - Fund shares sold 294 175 290 Investment securities sold 2,424 1,013 2,598 Variation margin - - 6 Collateral for securities loaned 15,686 6,920 39,216 ------------------ ---------------- ----------------- TOTAL ASSETS 184,844 179,407 168,230 ------------------ ---------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 13 13 10 Advisory fees 99 108 30 Investment securities purchased 4,144 2,223 3,790 Income payable - - - Forward currency contracts - - - Fund shares redeemed 85 102 52 Swap agreements, net - - - 12b-1 service fee (Class A) 25 27 20 Variation margin - - 4 Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 15,686 6,920 39,216 ------------------ ---------------- ----------------- TOTAL LIABILITIES 20,052 9,393 43,122 ------------------ ---------------- ----------------- NET ASSETS $ 164,792 $ 170,014 $ 125,108 ================== ================ ================= NET ASSETS CONSIST OF: Paid-in capital $ 131,209 $ 137,874 $ 124,698 Undistributed (accumulated) net investment income (loss) 296 97 2,074 Accumulated net realized gain (loss) 16,694 15,547 (428) Net unrealized appreciation (depreciation) 16,593 16,496 (1,236) ------------------ ---------------- ----------------- $ 164,792 $ 170,014 $ 125,108 ================== ================ ================= CLASS A Net assets $ 164,781 $ 170,004 $ 125,103 Shares outstanding (no par value), unlimited shares authorized 11,256 12,288 11,957 Net asset value per share $ 14.64 $ 13.83 $ 10.46 ================== ================ ================= CLASS B Net assets $ 11 $ 10 $ 5 Shares outstanding (no par value), unlimited shares authorized 1 1 1 Net asset value per share $ 14.65 $ 13.84 $ 10.47 - ---------------------------------------------- ================== ================ ================= (a) Including securities on loan of: $ 14,998 $ 6,706 $ 38,503 (b) Investments - unaffiliated, at cost 149,754 154,689 124,978 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/Mellon Capital JNL/Mellon JNL/Mellon Management Capital Capital Enhanced Management Management S&P 500 Stock International S&P 400 MidCap ASSETS Index Fund Index Fund Index Fund ------------------- ---------------- -------------------- Investments - unaffiliated, at value (a) (b) $ 159,405 $ 206,414 $ 134,429 Investments - affiliated, at value and cost 12,012 11,242 5,740 Cash - - - Foreign currency (c) - 616 - Receivables: Dividends and interest 155 321 83 Forward currency contracts - 54 2 Foreign taxes recoverable - 53 - Fund shares sold 347 324 453 Investment securities sold - 9,951 3,076 Variation margin 12,544 3 25 Collateral for securities loaned 9,384 21,698 10,439 ------------------- ---------------- -------------------- TOTAL ASSETS 193,847 250,676 154,247 ------------------- ---------------- -------------------- LIABILITIES Cash overdraft - 18 - Payables: Administrative fees 14 25 10 Advisory fees 64 50 31 Investment securities purchased - 19,867 3,874 Income payable - - - Forward currency contracts - 75 - Fund shares redeemed 121 148 68 Swap agreements, net - - - 12b-1 service fee (Class A) 27 33 21 Variation margin 12,494 14 - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 9,384 21,698 10,439 ------------------- ---------------- -------------------- TOTAL LIABILITIES 22,104 41,928 14,443 ------------------- ---------------- -------------------- NET ASSETS $ 171,743 $ 208,748 $ 139,804 =================== ================ ==================== NET ASSETS CONSIST OF: Paid-in capital $ 165,077 $ 188,293 $ 123,832 Undistributed (accumulated) net investment income (loss) 971 2,469 342 Accumulated net realized gain (loss) (24) 505 1,620 Net unrealized appreciation (depreciation) 5,719 17,481 14,010 ------------------- ---------------- -------------------- $ 171,743 $ 208,748 $ 139,804 =================== ================ ==================== CLASS A Net assets $ 171,742 $ 208,743 $ 139,773 Shares outstanding (no par value), unlimited shares authorized 20,870 17,487 11,517 Net asset value per share $ 8.23 $ 11.94 $ 12.14 =================== ================ ==================== CLASS B Net assets $ 1 $ 5 $ 31 Shares outstanding (no par value), unlimited shares authorized - 1 3 Net asset value per share $ 8.24 $ 11.95 $ 12.15 - ---------------------------------------------- =================== ================ ==================== (a) Including securities on loan of: $ 8,953 $ 20,853 $ 10,079 (b) Investments - unaffiliated, at cost 153,739 188,906 120,455 (c) Foreign currency cost - 622 - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - JNL/Mellon JNL/Mellon Capital Capital JNL/ Management Management Oppenheimer S&P 500 Index Small Cap Global ASSETS Fund Index Fund Growth Fund ------------------- ---------------- --------------- Investments - unaffiliated, at value (a) (b) $ 270,751 $ 116,954 $ 169,599 Investments - affiliated, at value and cost 12,303 4,830 - Cash - 53 - Foreign currency (c) - - 275 Receivables: Dividends and interest 303 105 209 Forward currency contracts - - - Foreign taxes recoverable - - 20 Fund shares sold 496 671 254 Investment securities sold - - 92 Variation margin 13,685 32 - Collateral for securities loaned 8,877 25,481 19,263 ------------------- ---------------- --------------- TOTAL ASSETS 306,415 148,126 189,712 ------------------- ---------------- --------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 22 9 20 Advisory fees 64 27 93 Investment securities purchased 479 - 4,415 Income payable - - - Forward currency contracts - - - Fund shares redeemed 114 93 227 Swap agreements, net - - - 12b-1 service fee (Class A) 44 19 26 Variation margin 13,630 - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 8,877 25,481 19,263 ------------------- ---------------- --------------- TOTAL LIABILITIES 23,230 25,629 24,044 ------------------- ---------------- --------------- NET ASSETS $ 283,185 $ 122,497 $ 165,668 =================== ================ =============== NET ASSETS CONSIST OF: Paid-in capital $ 256,589 $ 106,076 $ 155,102 Undistributed (accumulated) net investment income (loss) 1,182 315 877 Accumulated net realized gain (loss) 513 5,035 (10,158) Net unrealized appreciation (depreciation) 24,901 11,071 19,847 ------------------- ---------------- --------------- $ 283,185 $ 122,497 $ 165,668 =================== ================ =============== CLASS A Net assets $ 283,105 $ 122,479 $ 165,654 Shares outstanding (no par value), unlimited shares authorized 27,917 10,053 15,896 Net asset value per share $ 10.14 $ 12.18 $ 10.42 =================== ================ =============== CLASS B Net assets $ 80 $ 18 $ 14 Shares outstanding (no par value), unlimited shares authorized 8 1 2 Net asset value per share $ 10.15 $ 12.18 $ 10.43 - ---------------------------------------------- =================== ================ =============== (a) Including securities on loan of: $ 8,520 $ 24,186 $ 17,834 (b) Investments - unaffiliated, at cost 245,874 106,012 149,749 (c) Foreign currency cost - - 277 (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/ JNL/PIMCO JNL/PPM Oppenheimer Total Return America ASSETS Growth Fund Bond Fund Balanced Fund ----------------- ----------------- ------------------ Investments - unaffiliated, at value (a) (b) $ 25,521 $ 417,371 $ 323,096 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) - 2,524 - Receivables: Dividends and interest 11 1,090 1,536 Forward currency contracts - 95 - Foreign taxes recoverable - - - Fund shares sold 17 385 1,074 Investment securities sold 540 8,387 697 Variation margin - 943 - Collateral for securities loaned 500 18,815 36,944 ----------------- ----------------- ------------------ TOTAL ASSETS 26,589 449,610 363,347 ----------------- ----------------- ------------------ LIABILITIES Cash overdraft - 2,064 - Payables: Administrative fees 2 30 26 Advisory fees 15 152 129 Investment securities purchased 567 41,774 1,373 Income payable - - - Forward currency contracts - 8 - Fund shares redeemed 46 1,183 247 Swap agreements, net - 770 - 12b-1 service fee (Class A) 4 61 52 Variation margin - - - Investment securities sold short, at value (d) - 8,554 - Options written, at value (e) - 141 - Return of collateral for securities loaned 500 18,815 36,944 ----------------- ----------------- ------------------ TOTAL LIABILITIES 1,134 73,552 38,771 ----------------- ----------------- ------------------ NET ASSETS $ 25,455 $ 376,058 $ 324,576 ================= ================= ================== NET ASSETS CONSIST OF: Paid-in capital $ 25,930 $ 362,577 $ 277,876 Undistributed (accumulated) net investment income (loss) (50) 8,068 3,987 Accumulated net realized gain (loss) (1,245) 3,952 6,249 Net unrealized appreciation (depreciation) 820 1,461 36,464 ----------------- ----------------- ------------------ $ 25,455 $ 376,058 $ 324,576 ================= ================= ================== CLASS A Net assets $ 25,454 $ 376,057 $ 324,575 Shares outstanding (no par value), unlimited shares authorized 3,003 31,962 20,242 Net asset value per share $ 8.48 $ 11.77 $ 16.03 ================= ================= ================== CLASS B Net assets $ 1 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized - - - Net asset value per share $ 8.48 $ 11.78 $ 16.02 - ---------------------------------------------- ================= ================= ================== (a) Including securities on loan of: $ 485 $ 18,483 $ 35,975 (b) Investments - unaffiliated, at cost 24,701 416,643 286,632 (c) Foreign currency cost - 2,509 - (d) Proceeds from securities sold short - 8,387 - (e) Premiums from options written - 296 - JNL/PPM JNL/PPM America America JNL/PPM High Yield Money America ASSETS Bond Fund Market Fund Value Fund ------------------ ---------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 257,625 $ 187,868 $ 143,926 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) - - - Receivables: Dividends and interest 4,959 5 202 Forward currency contracts - - - Foreign taxes recoverable - - - Fund shares sold 1,746 798 321 Investment securities sold - - 521 Variation margin - - - Collateral for securities loaned 73,400 - 10,014 ------------------ ---------------- ----------------- TOTAL ASSETS 337,730 188,671 154,984 ------------------ ---------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 21 16 11 Advisory fees 106 47 62 Investment securities purchased - - 1,648 Income payable - 72 - Forward currency contracts - - - Fund shares redeemed 1,568 3,605 75 Swap agreements, net - - - 12b-1 service fee (Class A) 42 32 23 Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 73,400 - 10,014 ------------------ ---------------- ----------------- TOTAL LIABILITIES 75,137 3,772 11,833 ------------------ ---------------- ----------------- NET ASSETS $ 262,593 $ 184,899 $ 143,151 ================== ================ ================= NET ASSETS CONSIST OF: Paid-in capital $ 296,303 $ 184,899 $ 126,836 Undistributed (accumulated) net investment income (loss) 9,930 - 1,248 Accumulated net realized gain (loss) (52,176) - 2,504 Net unrealized appreciation (depreciation) 8,536 - 12,563 ------------------ ---------------- ----------------- $ 262,593 $ 184,899 $ 143,151 ================== ================ ================= CLASS A Net assets $ 262,592 $ 184,898 $ 143,150 Shares outstanding (no par value), unlimited shares authorized 30,106 184,898 9,248 Net asset value per share $ 8.72 $ 1.00 $ 15.48 ================== ================ ================= CLASS B Net assets $ 1 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized - 1 - Net asset value per share $ 8.72 $ 1.00 $ 15.49 - ---------------------------------------------- ================== ================ ================= (a) Including securities on loan of: $ 71,713 $ - $ 9,589 (b) Investments - unaffiliated, at cost 249,089 187,868 131,363 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/Putnam JNL/Putnam JNL/Putnam Equity International Midcap ASSETS Fund Equity Fund Growth Fund ------------------ ----------------- ---------------- Investments - unaffiliated, at value (a) (b) $ 153,398 $ 88,899 $ 31,163 Investments - affiliated, at value and cost - - - Cash 1 68 - Foreign currency (c) 2 173 - Receivables: Dividends and interest 185 108 4 Forward currency contracts - 2 - Foreign taxes recoverable 9 65 - Fund shares sold 26 18 65 Investment securities sold 722 273 824 Variation margin - - - Collateral for securities loaned 9,038 10,469 1,709 ------------------ ----------------- ---------------- TOTAL ASSETS 163,381 100,075 33,765 ------------------ ----------------- ---------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 12 11 3 Advisory fees 84 56 19 Investment securities purchased 1,127 479 774 Income payable - - - Forward currency contracts - 20 - Fund shares redeemed 139 149 33 Swap agreements, net - - - 12b-1 service fee (Class A) 25 14 5 Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) 1 - - Return of collateral for securities loaned 9,038 10,469 1,709 ------------------ ----------------- ---------------- TOTAL LIABILITIES 10,426 11,198 2,543 ------------------ ----------------- ---------------- NET ASSETS $ 152,955 $ 88,877 $ 31,222 ================== ================= ================ NET ASSETS CONSIST OF: Paid-in capital $ 269,868 $ 113,303 $ 50,023 Undistributed (accumulated) net investment income (loss) 977 769 (93) Accumulated net realized gain (loss) (130,697) (35,210) (22,360) Net unrealized appreciation (depreciation) 12,807 10,015 3,652 ------------------ ----------------- ---------------- $ 152,955 $ 88,877 $ 31,222 ================== ================= ================ CLASS A Net assets $ 152,954 $ 88,876 $ 31,221 Shares outstanding (no par value), unlimited shares authorized 8,927 9,130 4,261 Net asset value per share $ 17.13 $ 9.74 $ 7.33 ================== ================= ================ CLASS B Net assets $ 1 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized - - - Net asset value per share $ 17.15 $ 9.74 $ 7.34 - ---------------------------------------------- ================== ================= ================ (a) Including securities on loan of: $ 8,680 $ 10,230 $ 1,632 (b) Investments - unaffiliated, at cost 140,592 78,870 27,511 (c) Foreign currency cost 2 174 - (d) Proceeds from securities sold short - - - (e) Premiums from options written 2 - - JNL/Putnam JNL/S&P JNL/S&P Value Aggressive Conservative ASSETS Equity Fund Growth Fund I Growth Fund I ----------------- ----------------- ------------------ Investments - unaffiliated, at value (a) (b) $ 219,183 $ 217,492 $ 530,134 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) 4 - - Receivables: Dividends and interest 271 - 10 Forward currency contracts - - - Foreign taxes recoverable 3 - - Fund shares sold 51 361 685 Investment securities sold 2,191 - - Variation margin - - - Collateral for securities loaned 6,318 - - ----------------- ----------------- ------------------ TOTAL ASSETS 228,021 217,853 530,829 ----------------- ----------------- ------------------ LIABILITIES Cash overdraft - - - Payables: Administrative fees 18 9 21 Advisory fees 118 23 54 Investment securities purchased 372 - - Income payable - - - Forward currency contracts - - - Fund shares redeemed 161 89 322 Swap agreements, net - - - 12b-1 service fee (Class A) 36 - - Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 6,318 - - ----------------- ----------------- ------------------ TOTAL LIABILITIES 7,023 121 397 ----------------- ----------------- ------------------ NET ASSETS $ 220,998 $ 217,732 $ 530,432 ================= ================= ================== NET ASSETS CONSIST OF: Paid-in capital $ 247,930 $ 231,160 $ 516,524 Undistributed (accumulated) net investment income (loss) 1,269 (164) (283) Accumulated net realized gain (loss) (51,985) (26,806) (13,655) Net unrealized appreciation (depreciation) 23,784 13,542 27,846 ----------------- ----------------- ------------------ $ 220,998 $ 217,732 $ 530,432 ================= ================= ================== CLASS A Net assets $ 220,997 $ 217,732 $ 530,432 Shares outstanding (no par value), unlimited shares authorized 13,348 19,859 47,593 Net asset value per share $ 16.56 $ 10.96 $ 11.15 ================= ================= ================== CLASS B Net assets $ 1 n/a n/a Shares outstanding (no par value), unlimited shares authorized - n/a n/a Net asset value per share $ 16.57 n/a n/a - ---------------------------------------------- ================= (a) Including securities on loan of: $ 6,044 $ - $ - (b) Investments - unaffiliated, at cost 195,399 203,950 502,288 (c) Foreign currency cost 4 - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/S&P JNL/S&P JNL/S&P Core Index 100 Core Index 50 Core Index 75 ASSETS Fund Fund Fund -------------------- ----------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 42,715 $ 11,096 $ 17,022 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) - - - Receivables: Dividends and interest 1 - - Forward currency contracts - - - Foreign taxes recoverable - - - Fund shares sold 91 9 14 Investment securities sold - - - Variation margin - - - Collateral for securities loaned - - - -------------------- ----------------- ----------------- TOTAL ASSETS 42,807 11,105 17,036 -------------------- ----------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 2 1 - Advisory fees 4 1 2 Investment securities purchased - - - Income payable - - - Forward currency contracts - - - Fund shares redeemed 18 8 4 Swap agreements, net - - - 12b-1 service fee (Class A) - - - Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned - - - -------------------- ----------------- ----------------- TOTAL LIABILITIES 24 10 6 -------------------- ----------------- ----------------- NET ASSETS $ 42,783 $ 11,095 $ 17,030 ==================== ================= ================= NET ASSETS CONSIST OF: Paid-in capital $ 37,460 $ 9,968 $ 15,363 Undistributed (accumulated) net investment income (loss) 184 16 36 Accumulated net realized gain (loss) 383 256 294 Net unrealized appreciation (depreciation) 4,756 855 1,337 -------------------- ----------------- ----------------- $ 42,783 $ 11,095 $ 17,030 ==================== ================= ================= CLASS A Net assets $ 42,783 $ 11,095 $ 17,030 Shares outstanding (no par value), unlimited shares authorized 3,961 1,041 1,585 Net asset value per share $ 10.80 $ 10.66 $ 10.74 ==================== ================= ================= CLASS B Net assets n/a n/a n/a Shares outstanding (no par value), unlimited shares authorized n/a n/a n/a Net asset value per share n/a n/a n/a - ---------------------------------------------- (a) Including securities on loan of: $ - $ - $ - (b) Investments - unaffiliated, at cost 37,959 10,241 15,685 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - JNL/S&P Equity JNL/S&P JNL/S&P Aggressive Equity Moderate ASSETS Growth Fund I Growth Fund I Growth Fund I ------------------- ---------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 61,918 $ 222,292 $ 832,462 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) - - - Receivables: Dividends and interest - - 9 Forward currency contracts - - - Foreign taxes recoverable - - - Fund shares sold 196 194 299 Investment securities sold - - - Variation margin - - - Collateral for securities loaned - - - ------------------- ---------------- ----------------- TOTAL ASSETS 62,114 222,486 832,770 ------------------- ---------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 3 9 33 Advisory fees 6 23 74 Investment securities purchased - - - Income payable - - - Forward currency contracts - - - Fund shares redeemed 37 54 690 Swap agreements, net - - - 12b-1 service fee (Class A) - - - Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned - - - ------------------- ---------------- ----------------- TOTAL LIABILITIES 46 86 797 ------------------- ---------------- ----------------- NET ASSETS $ 62,068 $ 222,400 $ 831,973 =================== ================ ================= NET ASSETS CONSIST OF: Paid-in capital $ 74,598 $ 265,500 $ 817,755 Undistributed (accumulated) net investment income (loss) (17) 37 (464) Accumulated net realized gain (loss) (17,947) (62,031) (36,791) Net unrealized appreciation (depreciation) 5,434 18,894 51,473 ------------------- ---------------- ----------------- $ 62,068 $ 222,400 $ 831,973 =================== ================ ================= CLASS A Net assets $ 62,068 $ 222,400 $ 831,973 Shares outstanding (no par value), unlimited shares authorized 6,226 22,120 72,957 Net asset value per share $ 9.97 $ 10.05 $ 11.40 =================== ================ ================= CLASS B Net assets n/a n/a n/a Shares outstanding (no par value), unlimited shares authorized n/a n/a n/a Net asset value per share n/a n/a n/a - ---------------------------------------------- (a) Including securities on loan of: $ - $ - $ - (b) Investments - unaffiliated, at cost 56,484 203,398 780,989 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/Salomon JNL/Salomon JNL/S&P Very Brothers Brothers Aggressive Balanced High Yield ASSETS Growth Fund I Fund Bond Fund -------------------- ------------------- ------------------- Investments - unaffiliated, at value (a) (b) $ 72,459 $ 14,414 $ 13,996 Investments - affiliated, at value and cost - - - Cash - - - Foreign currency (c) - - - Receivables: Dividends and interest - 49 306 Forward currency contracts - - - Foreign taxes recoverable - - - Fund shares sold 276 8 - Investment securities sold - 126 19 Variation margin - - - Collateral for securities loaned - 1,452 4,180 -------------------- ------------------- ------------------- TOTAL ASSETS 72,735 16,049 18,501 -------------------- ------------------- ------------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 3 1 1 Advisory fees 8 6 7 Investment securities purchased - 1,494 - Income payable - - - Forward currency contracts - - - Fund shares redeemed 18 14 1,067 Swap agreements, net - - - 12b-1 service fee (Class A) - 2 2 Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned - 1,452 4,180 -------------------- ------------------- ------------------- TOTAL LIABILITIES 29 2,969 5,257 -------------------- ------------------- ------------------- NET ASSETS $ 72,706 $ 13,080 $ 13,244 ==================== =================== =================== NET ASSETS CONSIST OF: Paid-in capital $ 95,337 $ 11,859 $ 15,081 Undistributed (accumulated) net investment income (loss) (46) 405 737 Accumulated net realized gain (loss) (29,061) 320 (1,949) Net unrealized appreciation (depreciation) 6,476 496 (625) -------------------- ------------------- ------------------- $ 72,706 $ 13,080 $ 13,244 ==================== =================== =================== CLASS A Net assets $ 72,706 $ 13,079 $ 13,243 Shares outstanding (no par value), unlimited shares authorized 6,994 1,151 1,638 Net asset value per share $ 10.40 $ 11.36 $ 8.08 ==================== =================== =================== CLASS B Net assets n/a $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized n/a - - Net asset value per share n/a $ 11.37 $ 8.08 - ---------------------------------------------- =================== =================== (a) Including securities on loan of: $ - $ 1,419 $ 4,057 (b) Investments - unaffiliated, at cost 65,983 13,918 14,621 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - JNL/Salomon JNL/Salomon Brothers Brothers U.S. Government JNL/Select Strategic Bond & Quality Global Growth ASSETS Fund Bond Fund Fund ------------------- ---------------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 304,107 $ 305,359 $ 188,256 Investments - affiliated, at value and cost - - - Cash 22 2 5,154 Foreign currency (c) 528 - 113 Receivables: Dividends and interest 2,609 1,199 80 Forward currency contracts - - 202 Foreign taxes recoverable - - 44 Fund shares sold 219 145 39 Investment securities sold 69 3 3,199 Variation margin 46 236 - Collateral for securities loaned 51,514 30,535 9,894 ------------------- ---------------------- ----------------- TOTAL ASSETS 359,114 337,479 206,981 ------------------- ---------------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 19 17 24 Advisory fees 121 85 117 Investment securities purchased 70,346 90,576 274 Income payable - - - Forward currency contracts 465 - 67 Fund shares redeemed 305 600 144 Swap agreements, net - - - 12b-1 service fee (Class A) 38 35 32 Variation margin 155 304 - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 51,514 30,535 9,894 ------------------- ---------------------- ----------------- TOTAL LIABILITIES 122,963 122,152 10,552 ------------------- ---------------------- ----------------- NET ASSETS $ 236,151 $ 215,327 $ 196,429 =================== ====================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 228,952 $ 209,434 $ 345,148 Undistributed (accumulated) net investment income (loss) 5,006 5,100 511 Accumulated net realized gain (loss) 4,527 571 (163,220) Net unrealized appreciation (depreciation) (2,334) 222 13,990 ------------------- ---------------------- ----------------- $ 236,151 $ 215,327 $ 196,429 =================== ====================== ================= CLASS A Net assets $ 236,150 $ 215,326 $ 196,428 Shares outstanding (no par value), unlimited shares authorized 20,730 18,800 10,920 Net asset value per share $ 11.39 $ 11.45 $ 17.99 =================== ====================== ================= CLASS B Net assets $ 1 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized - - - Net asset value per share $ 11.40 $ 11.45 $ 18.00 - ---------------------------------------------- =================== ====================== ================= (a) Including securities on loan of: $ 50,263 $ 30,039 $ 9,496 (b) Investments - unaffiliated, at cost 305,828 305,292 174,400 (c) Foreign currency cost 526 - 113 (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) Statements of Assets and Liabilities (in thousands, except net asset value per share) June 30, 2004 JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe JNL/Select Price Price Price Large Cap Established Mid-Cap Value ASSETS Growth Fund Growth Fund Growth Fund Fund ------------------ ------------------ ---------------- --------------- Investments - unaffiliated, at value (a) (b) $ 270,968 $ 549,161 $ 473,936 $ 405,104 Investments - affiliated, at value and cost - 11,128 17,143 11,943 Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest 55 467 143 528 Forward currency contracts - - - - Foreign taxes recoverable 1 5 - 7 Fund shares sold 436 623 1,043 622 Investment securities sold 2,608 5,205 1,537 2,399 Variation margin - - - - Collateral for securities loaned 24,506 35,648 55,767 28,438 ------------------ ------------------ ---------------- --------------- TOTAL ASSETS 298,574 602,237 549,569 449,041 ------------------ ------------------ ---------------- --------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 22 45 39 33 Advisory fees 149 279 281 227 Investment securities purchased 2,293 3,113 726 4,756 Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 183 433 675 325 Swap agreements, net - - - - 12b-1 service fee (Class A) 44 91 79 66 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 24,506 35,648 55,767 28,438 ------------------ ------------------ ---------------- --------------- TOTAL LIABILITIES 27,197 39,609 57,567 33,845 ------------------ ------------------ ---------------- --------------- NET ASSETS $ 271,377 $ 562,628 $ 492,002 $ 415,196 ================== ================== ================ =============== NET ASSETS CONSIST OF: Paid-in capital $ 562,857 $ 591,160 $ 376,719 $ 360,289 Undistributed (accumulated) net investment income (loss) (577) 597 (1,371) 4,411 Accumulated net realized gain (loss) (311,576) (91,533) 21,214 2,759 Net unrealized appreciation (depreciation) 20,673 62,404 95,440 47,737 ------------------ ------------------ ---------------- --------------- $ 271,377 $ 562,628 $ 492,002 $ 415,196 ================== ================== ================ =============== CLASS A Net assets $ 271,376 $ 562,627 $ 491,997 $ 415,195 Shares outstanding (no par value), unlimited shares authorized 14,132 32,769 18,369 33,233 Net asset value per share $ 19.20 $ 17.17 $ 26.78 $ 12.49 ================== ================== ================ =============== CLASS B Net assets $ 1 $ 1 $ 5 $ 1 Shares outstanding (no par value), unlimited shares authorized - - - - Net asset value per share $ 19.22 $ 17.18 $ 26.80 $ 12.50 - ---------------------------------------------- ================== ================== ================ =============== (a) Including securities on loan of: $ 23,665 $ 34,430 $ 53,415 $ 27,183 (b) Investments - unaffiliated, at cost 250,295 486,757 378,496 357,368 (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/AIM JNL/AIM JNL/Alger Large Cap Small Cap Growth Growth Fund Growth Fund Fund ----------------- ---------------- ----------------- INVESTMENT INCOME Dividends $ 259 $ 24 $ 700 Interest (a) 14 16 27 Foreign taxes withheld (5) - (8) Securities lending 4 9 26 ----------------- ---------------- ----------------- TOTAL INVESTMENT INCOME 272 49 745 ----------------- ---------------- ----------------- EXPENSES Administrative fees 47 24 132 Advisory fees 362 204 1,022 Trustees fees 1 1 4 Interest expense - - - Legal fees 1 1 3 Distribution (12b-1) fee 29 7 97 12b-1 service fee (Class A) 93 48 264 ----------------- ---------------- ----------------- TOTAL EXPENSES 533 285 1,522 ----------------- ---------------- ----------------- ----------------- ---------------- ----------------- Fees paid indirectly (29) (7) (97) ----------------- ---------------- ----------------- NET EXPENSES 504 278 1,425 ----------------- ---------------- ----------------- ----------------- ---------------- ----------------- NET INVESTMENT INCOME (LOSS) (232) (229) (680) ----------------- ---------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 709 1,913 22,810 Foreign currency related items - 12 - Futures contracts and options written - 23 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 6,313 (560) (14,816) Foreign currency related items - - - Futures contracts and options written - 8 - Investment securities sold short - - - ----------------- ---------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 7,022 1,396 7,994 ----------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,790 $ 1,167 $ 7,314 - --------------------------------------------------- ================= ================ ================= (a) Interest from affiliated investments $ - $ - $ - JNL/Alliance JNL/Eagle JNL/Eagle Capital Growth Core Equity SmallCap Fund Fund Equity Fund ------------------- ----------------- ---------------- INVESTMENT INCOME Dividends $ 371 $ 2,078 $ 147 Interest (a) 7 126 25 Foreign taxes withheld (7) (9) - Securities lending 4 8 5 ------------------- ----------------- ---------------- TOTAL INVESTMENT INCOME 375 2,203 177 ------------------- ----------------- ---------------- EXPENSES Administrative fees 49 138 63 Advisory fees 283 910 477 Trustees fees 2 5 2 Interest expense - - - Legal fees 1 3 1 Distribution (12b-1) fee 36 82 13 12b-1 service fee (Class A) 98 276 127 ------------------- ----------------- ---------------- TOTAL EXPENSES 469 1,414 683 ------------------- ----------------- ---------------- ------------------- ----------------- ---------------- Fees paid indirectly (36) (82) (13) ------------------- ----------------- ---------------- NET EXPENSES 433 1,332 670 ------------------- ----------------- ---------------- ------------------- ----------------- ---------------- NET INVESTMENT INCOME (LOSS) (58) 871 (493) ------------------- ----------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,147 20,909 7,167 Foreign currency related items - (3) - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (2,642) (21,824) 2,132 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------- ----------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 2,505 (918) 9,299 ------------------- ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,447 $ (47) $ 8,806 - --------------------------------------------------- =================== ================= ================ (a) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/FMR JNL/FMR JNL/JPMorgan Balanced Capital International Fund Growth Fund Value Fund ------------------ ---------------- ------------------ INVESTMENT INCOME Dividends $ 341 $ 598 $ 671 Interest (a) 887 14 18 Foreign taxes withheld (13) (10) (69) Securities lending 20 9 13 ------------------ ---------------- ------------------ TOTAL INVESTMENT INCOME 1,235 611 633 ------------------ ---------------- ------------------ EXPENSES Administrative fees 51 77 30 Advisory fees 377 565 152 Trustees fees 2 3 1 Interest expense - - - Legal fees 1 2 - Distribution (12b-1) fee 10 6 - 12b-1 service fee (Class A) 102 154 39 ------------------ ---------------- ------------------ TOTAL EXPENSES 543 807 222 ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ Fees paid indirectly (10) (6) - ------------------ ---------------- ------------------ NET EXPENSES 533 801 222 ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ NET INVESTMENT INCOME (LOSS) 702 (190) 411 ------------------ ---------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 9,443 33,409 2,467 Foreign currency related items (26) (15) (49) Futures contracts and options written - - 226 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (7,503) (23,829) (937) Foreign currency related items - - (246) Futures contracts and options written - - (97) Investment securities sold short - - - ------------------ ---------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 1,914 9,565 1,364 ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,616 $ 9,375 $ 1,775 - --------------------------------------------------- ================== ================ ================== (a) Interest from affiliated investments $ - $ - $ - JNL/Mellon Capital JNL/Lazard JNL/Lazard Management Mid Cap Small Cap Bond Index Value Fund Value Fund Fund ------------------- ------------------ ----------------- INVESTMENT INCOME Dividends $ 937 $ 790 $ - Interest (a) 26 29 2,036 Foreign taxes withheld - (2) - Securities lending 17 40 17 ------------------- ------------------ ----------------- TOTAL INVESTMENT INCOME 980 857 2,053 ------------------- ------------------ ----------------- EXPENSES Administrative fees 74 81 51 Advisory fees 576 658 152 Trustees fees 2 2 1 Interest expense - - - Legal fees 2 1 1 Distribution (12b-1) fee 40 43 - 12b-1 service fee (Class A) 149 162 101 ------------------- ------------------ ----------------- TOTAL EXPENSES 843 947 306 ------------------- ------------------ ----------------- ------------------- ------------------ ----------------- Fees paid indirectly (40) (43) - ------------------- ------------------ ----------------- NET EXPENSES 803 904 306 ------------------- ------------------ ----------------- ------------------- ------------------ ----------------- NET INVESTMENT INCOME (LOSS) 177 (47) 1,747 ------------------- ------------------ ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 17,709 18,320 (113) Foreign currency related items - - - Futures contracts and options written - - (3) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,952) (9,017) (1,861) Foreign currency related items - - - Futures contracts and options written - - (2) Investment securities sold short - - - ------------------- ------------------ ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 15,757 9,303 (1,979) ------------------- ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 15,934 $ 9,256 $ (232) - --------------------------------------------------- =================== ================== ================= (a) Interest from affiliated investments $ - $ - $ 12 See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/Mellon Capital JNL/Mellon JNL/Mellon Management Capital Capital Enhanced Management Management S&P 500 Stock International S&P 400 MidCap Index Fund Index Fund Index Fund -------------------- ---------------- -------------------- INVESTMENT INCOME Dividends $ 981 $ 3,083 $ 622 Interest (a) 34 37 26 Foreign taxes withheld - (333) - Securities lending 2 69 5 -------------------- ---------------- -------------------- TOTAL INVESTMENT INCOME 1,017 2,856 653 -------------------- ---------------- -------------------- EXPENSES Administrative fees 68 115 54 Advisory fees 325 230 157 Trustees fees 2 2 2 Interest expense - - - Legal fees 1 1 1 Distribution (12b-1) fee 1 - - 12b-1 service fee (Class A) 136 154 109 -------------------- ---------------- -------------------- TOTAL EXPENSES 533 502 323 -------------------- ---------------- -------------------- -------------------- ---------------- -------------------- Fees paid indirectly (1) - - -------------------- ---------------- -------------------- NET EXPENSES 532 502 323 -------------------- ---------------- -------------------- -------------------- ---------------- -------------------- NET INVESTMENT INCOME (LOSS) 485 2,354 330 -------------------- ---------------- -------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,526 561 1,550 Foreign currency related items - 114 - Futures contracts and options written 227 1,035 509 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (784) 2,873 3,447 Foreign currency related items - (125) - Futures contracts and options written (15) (173) 38 Investment securities sold short - - - -------------------- ---------------- -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 4,954 4,285 5,544 -------------------- ---------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,439 $ 6,639 $ 5,874 - --------------------------------------------------- ==================== ================ ==================== (a) Interest from affiliated investments $ 25 $ 31 $ 20 JNL/Mellon JNL/Mellon Capital Capital JNL/ Management Management Oppenheimer S&P 500 Index Small Cap Global Fund Index Fund Growth Fund -------------------- ------------------- ------------ INVESTMENT INCOME Dividends $ 1,795 $ 536 $ 1,399 Interest (a) 67 30 48 Foreign taxes withheld - - (118) Securities lending 3 12 25 -------------------- ------------------- ------------ TOTAL INVESTMENT INCOME 1,865 578 1,354 -------------------- ------------------- ------------ EXPENSES Administrative fees 116 49 105 Advisory fees 335 141 489 Trustees fees 4 2 2 Interest expense - - - Legal fees 2 1 1 Distribution (12b-1) fee - - - 12b-1 service fee (Class A) 231 97 140 -------------------- ------------------- ------------ TOTAL EXPENSES 688 290 737 -------------------- ------------------- ------------ -------------------- ------------------- ------------ Fees paid indirectly - - - -------------------- ------------------- ------------ NET EXPENSES 688 290 737 -------------------- ------------------- ------------ -------------------- ------------------- ------------ NET INVESTMENT INCOME (LOSS) 1,177 288 617 -------------------- ------------------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 99 4,516 1,659 Foreign currency related items - - (275) Futures contracts and options written 198 334 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 5,393 539 1,140 Foreign currency related items - - 10 Futures contracts and options written - 60 - Investment securities sold short - - - -------------------- ------------------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 5,690 5,449 2,534 -------------------- ------------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,867 $ 5,737 $ 3,151 - --------------------------------------------------- ==================== =================== ============ (a) Interest from affiliated investments $ 48 $ 22 $ - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/ JNL/PPM Oppenheimer JNL/PIMCO America Growth Total Return Balanced Fund Bond Fund Fund ------------------ ----------------- --------------- INVESTMENT INCOME Dividends $ 90 $ 28 $ 2,188 Interest (a) 5 3,625 2,641 Foreign taxes withheld (1) - - Securities lending 2 24 33 ------------------ ----------------- --------------- TOTAL INVESTMENT INCOME 96 3,677 4,862 ------------------ ----------------- --------------- EXPENSES Administrative fees 14 174 157 Advisory fees 102 872 773 Trustees fees 1 6 5 Interest expense - - - Legal fees - 4 3 Distribution (12b-1) fee - - - 12b-1 service fee (Class A) 29 349 313 ------------------ ----------------- --------------- TOTAL EXPENSES 146 1,405 1,251 ------------------ ----------------- --------------- ------------------ ----------------- --------------- Fees paid indirectly - - - ------------------ ----------------- --------------- NET EXPENSES 146 1,405 1,251 ------------------ ----------------- --------------- ------------------ ----------------- --------------- NET INVESTMENT INCOME (LOSS) (50) 2,272 3,611 ------------------ ----------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 3,356 1,348 7,042 Foreign currency related items - (226) - Futures contracts and options written - 121 - Investment securities sold short - (339) - Net change in unrealized appreciation (depreciation) on: Investments (2,751) (3,115) (1,113) Foreign currency related items - 101 - Futures contracts and options written - (245) - Investment securities sold short - (117) - ------------------ ----------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 605 (2,472) 5,929 ------------------ ----------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 555 $ (200) $ 9,540 - --------------------------------------------------- ================== ================= =============== (a) Interest from affiliated investments $ - $ - $ - JNL/PPM JNL/PPM America America JNL/PPM High Yield Money America Bond Fund Market Fund Value Fund ------------------- --------------- ---------------- INVESTMENT INCOME Dividends $ 9 $ - $ 1,148 Interest (a) 10,724 935 8 Foreign taxes withheld - - - Securities lending 91 - 3 ------------------- --------------- ---------------- TOTAL INVESTMENT INCOME 10,824 935 1,159 ------------------- --------------- ---------------- EXPENSES Administrative fees 134 90 51 Advisory fees 668 269 279 Trustees fees 5 3 2 Interest expense - - - Legal fees 3 2 1 Distribution (12b-1) fee - - - 12b-1 service fee (Class A) 268 180 101 ------------------- --------------- ---------------- TOTAL EXPENSES 1,078 544 434 ------------------- --------------- ---------------- ------------------- --------------- ---------------- Fees paid indirectly - - - ------------------- --------------- ---------------- NET EXPENSES 1,078 544 434 ------------------- --------------- ---------------- ------------------- --------------- ---------------- NET INVESTMENT INCOME (LOSS) 9,746 391 725 ------------------- --------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 1,107 - 1,633 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (10,381) - 3,017 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------- --------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (9,274) - 4,650 ------------------- --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 472 $ 391 $ 5,375 - --------------------------------------------------- =================== =============== ================ (a) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/Putnam JNL/Putnam JNL/Putnam Equity International Midcap Fund Equity Fund Growth Fund ------------------- ---------------- ---------------- INVESTMENT INCOME Dividends $ 1,060 $ 1,464 $ 60 Interest (a) 2 9 2 Foreign taxes withheld (4) (157) - Securities lending 8 43 3 ------------------- ---------------- ---------------- TOTAL INVESTMENT INCOME 1,066 1,359 65 ------------------- ---------------- ---------------- EXPENSES Administrative fees 79 72 15 Advisory fees 544 406 112 Trustees fees 1 2 1 Interest expense - - - Legal fees 2 1 - Distribution (12b-1) fee 36 8 7 12b-1 service fee (Class A) 158 96 30 ------------------- ---------------- ---------------- TOTAL EXPENSES 820 585 165 ------------------- ---------------- ---------------- ------------------- ---------------- ---------------- Fees paid indirectly (36) (8) (7) ------------------- ---------------- ---------------- NET EXPENSES 784 577 158 ------------------- ---------------- ---------------- ------------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 282 782 (93) ------------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 11,044 6,901 2,704 Foreign currency related items 1 74 - Futures contracts and options written 2 - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (5,714) (6,685) (525) Foreign currency related items - (95) - Futures contracts and options written 1 - - Investment securities sold short - - - ------------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 5,334 195 2,179 ------------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,616 $ 977 $ 2,086 - --------------------------------------------------- =================== ================ ================ (a) Interest from affiliated investments $ - $ - $ - JNL/Putnam JNL/S&P JNL/S&P Value Aggressive Conservative Equity Fund Growth Fund I Growth Fund I ----------------- ----------------- -------------- INVESTMENT INCOME Dividends $ 2,524 $ - $ - Interest (a) 24 - 67 Foreign taxes withheld (8) - - Securities lending 8 - - ----------------- ----------------- -------------- TOTAL INVESTMENT INCOME 2,548 - 67 ----------------- ----------------- -------------- EXPENSES Administrative fees 131 47 115 Advisory fees 877 123 298 Trustees fees 5 3 7 Interest expense - - - Legal fees 3 2 5 Distribution (12b-1) fee 42 - - 12b-1 service fee (Class A) 263 - - ----------------- ----------------- -------------- TOTAL EXPENSES 1,321 175 425 ----------------- ----------------- -------------- ----------------- ----------------- -------------- Fees paid indirectly (42) - - ----------------- ----------------- -------------- NET EXPENSES 1,279 175 425 ----------------- ----------------- -------------- ----------------- ----------------- -------------- NET INVESTMENT INCOME (LOSS) 1,269 (175) (358) ----------------- ----------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 15,801 4,499 5,159 Foreign currency related items 1 - - Futures contracts and options written 12 - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (9,742) 2,970 7,201 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ----------------- ----------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 6,072 7,469 12,360 ----------------- ----------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 7,341 $ 7,294 $ 12,002 - --------------------------------------------------- ================= ================= ============== (a) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/S&P JNL/S&P JNL/S&P Core Index 100 Core Index 50 Core Index 75 Fund Fund Fund ------------------- ----------------- ----------------- INVESTMENT INCOME Dividends $ - $ - $ - Interest (a) 7 - - Foreign taxes withheld - - - Securities lending - - - ------------------- ----------------- ----------------- TOTAL INVESTMENT INCOME 7 - - ------------------- ----------------- ----------------- EXPENSES Administrative fees 10 3 4 Advisory fees 25 6 9 Trustees fees 1 - - Interest expense - - - Legal fees - - - Distribution (12b-1) fee - - - 12b-1 service fee (Class A) - - - ------------------- ----------------- ----------------- TOTAL EXPENSES 36 9 13 ------------------- ----------------- ----------------- ------------------- ----------------- ----------------- Fees paid indirectly - - - ------------------- ----------------- ----------------- NET EXPENSES 36 9 13 ------------------- ----------------- ----------------- ------------------- ----------------- ----------------- NET INVESTMENT INCOME (LOSS) (29) (9) (13) ------------------- ----------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 534 479 411 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 500 (128) 25 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------- ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 1,034 351 436 ------------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,005 $ 342 $ 423 - --------------------------------------------------- =================== ================= ================= (a) Interest from affiliated investments $ - $ - $ - JNL/S&P Equity JNL/S&P Aggressive Equity Growth Fund I Growth Fund I ------------------ --------------- INVESTMENT INCOME Dividends $ - $ - Interest (a) - - Foreign taxes withheld - - Securities lending - - ------------------ --------------- TOTAL INVESTMENT INCOME - - ------------------ --------------- EXPENSES Administrative fees 14 49 Advisory fees 37 129 Trustees fees 1 3 Interest expense - - Legal fees - 2 Distribution (12b-1) fee - - 12b-1 service fee (Class A) - - ------------------ --------------- TOTAL EXPENSES 52 183 ------------------ --------------- ------------------ --------------- Fees paid indirectly - - ------------------ --------------- NET EXPENSES 52 183 ------------------ --------------- ------------------ --------------- NET INVESTMENT INCOME (LOSS) (52) (183) ------------------ --------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - Investments 999 1,373 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 1,543 7,295 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ------------------ --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 2,542 8,668 ------------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,490 $ 8,485 - --------------------------------------------------- ================== =============== (a) Interest from affiliated investments $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/Salomon JNL/S&P JNL/S&P Very Brothers Moderate Aggressive Balanced Growth Fund I Growth Fund I Fund ------------------ ----------------- ------------------ INVESTMENT INCOME Dividends $ - $ - $ 90 Interest (a) 58 - 121 Foreign taxes withheld - - (1) Securities lending - - 2 ------------------ ----------------- ------------------ TOTAL INVESTMENT INCOME 58 - 212 ------------------ ----------------- ------------------ EXPENSES Administrative fees 178 17 9 Advisory fees 409 43 53 Trustees fees 12 1 1 Interest expense - - - Legal fees 7 1 - Distribution (12b-1) fee - - - 12b-1 service fee (Class A) - - 18 ------------------ ----------------- ------------------ TOTAL EXPENSES 606 62 81 ------------------ ----------------- ------------------ ------------------ ----------------- ------------------ Fees paid indirectly - - - ------------------ ----------------- ------------------ NET EXPENSES 606 62 81 ------------------ ----------------- ------------------ ------------------ ----------------- ------------------ NET INVESTMENT INCOME (LOSS) (548) (62) 131 ------------------ ----------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 11,920 562 100 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 13,236 2,305 275 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ----------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 25,156 2,867 375 ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 24,608 $ 2,805 $ 506 - --------------------------------------------------- ================== ================= ================== (a) Interest from affiliated investments $ - $ - $ - JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers U.S. Government High Yield Strategic Bond & Quality Bond Fund Fund Bond Fund ------------------ ----------------- ------------------ INVESTMENT INCOME Dividends $ 3 $ 7 $ - Interest (a) 783 6,068 5,387 Foreign taxes withheld - - - Securities lending 7 42 28 ------------------ ----------------- ------------------ TOTAL INVESTMENT INCOME 793 6,117 5,415 ------------------ ----------------- ------------------ EXPENSES Administrative fees 9 109 116 Advisory fees 55 693 562 Trustees fees 1 4 4 Interest expense - - - Legal fees - 2 3 Distribution (12b-1) fee - - - 12b-1 service fee (Class A) 18 218 233 ------------------ ----------------- ------------------ TOTAL EXPENSES 83 1,026 918 ------------------ ----------------- ------------------ ------------------ ----------------- ------------------ Fees paid indirectly - - - ------------------ ----------------- ------------------ NET EXPENSES 83 1,026 918 ------------------ ----------------- ------------------ ------------------ ----------------- ------------------ NET INVESTMENT INCOME (LOSS) 710 5,091 4,497 ------------------ ----------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 395 3,142 1,701 Foreign currency related items - 565 - Futures contracts and options written - (19) (558) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,039) (9,345) (5,044) Foreign currency related items - 117 - Futures contracts and options written - (11) (129) Investment securities sold short - - - ------------------ ----------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) (644) (5,551) (4,030) ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 66 $ (460) $ 467 - --------------------------------------------------- ================== ================= ================== (a) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Operations (in thousands) For the Period Ended June 30, 2004 JNL/T.Rowe JNL/Select JNL/Select Price Global Growth Large Cap Established Fund Growth Fund Growth Fund ------------------- ----------------- ----------------- INVESTMENT INCOME Dividends $ 1,739 $ 729 $ 2,583 Interest (a) 13 21 72 Foreign taxes withheld (161) (20) (49) Securities lending 35 9 23 ------------------- ----------------- ----------------- TOTAL INVESTMENT INCOME 1,626 739 2,629 ------------------- ----------------- ----------------- EXPENSES Administrative fees 146 129 261 Advisory fees 753 921 1,602 Trustees fees 3 4 9 Interest expense - - - Legal fees 2 3 6 Distribution (12b-1) fee 69 4 30 12b-1 service fee (Class A) 195 259 522 ------------------- ----------------- ----------------- TOTAL EXPENSES 1,168 1,320 2,430 ------------------- ----------------- ----------------- ------------------- ----------------- ----------------- Fees paid indirectly (69) (4) (30) ------------------- ----------------- ----------------- NET EXPENSES 1,099 1,316 2,400 ------------------- ----------------- ----------------- ------------------- ----------------- ----------------- NET INVESTMENT INCOME (LOSS) 527 (577) 229 ------------------- ----------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments 22,326 53,779 9,806 Foreign currency related items (245) 24 (210) Futures contracts and options written - - (74) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (15,990) (31,451) 2,237 Foreign currency related items 127 - (2) Futures contracts and options written - - - Investment securities sold short - - - ------------------- ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 6,218 22,352 11,757 ------------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,745 $ 21,775 $ 11,986 - --------------------------------------------------- =================== ================= ================= (a) Interest from affiliated investments 0 $ - $ 64 JNL/T.Rowe JNL/T.Rowe Price Price Mid-Cap Value Growth Fund Fund ------------------ ----------------- INVESTMENT INCOME Dividends $ 710 $ 3,425 Interest (a) 119 105 Foreign taxes withheld (6) (46) Securities lending 25 19 ------------------ ----------------- TOTAL INVESTMENT INCOME 848 3,503 ------------------ ----------------- EXPENSES Administrative fees 216 202 Advisory fees 1,552 1,385 Trustees fees 7 6 Interest expense - - Legal fees 5 5 Distribution (12b-1) fee 35 37 12b-1 service fee (Class A) 433 403 ------------------ ----------------- TOTAL EXPENSES 2,248 2,038 ------------------ ----------------- ------------------ ----------------- Fees paid indirectly (35) (37) ------------------ ----------------- NET EXPENSES 2,213 2,001 ------------------ ----------------- ------------------ ----------------- NET INVESTMENT INCOME (LOSS) (1,365) 1,502 ------------------ ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - Investments 19,411 6,816 Foreign currency related items 1 (29) Futures contracts and options written (126) - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 14,557 10,294 Foreign currency related items - 1 Futures contracts and options written - - Investment securities sold short - - ------------------ ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 33,843 17,082 ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 32,478 $ 18,584 - --------------------------------------------------- ================== ================= (a) Interest from affiliated investments $ 106 $ 76 See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/AIM JNL/AIM JNL/Alger Large Cap Small Cap Growth OPERATIONS Growth Fund Growth Fund Fund ---------------- ---------------- --------------- Net investment income (loss) $ (232) $ (229) $ (680) Net realized gain (loss) on: Distributions from investment companies - - - Investments 709 1,913 22,810 Foreign currency related items - 12 - Futures contracts and options written - 23 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 6,313 (560) (14,816) Foreign currency related items - - - Futures contracts and options written - 8 - Investment securities sold short - - - ---------------- ---------------- --------------- ---------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 6,790 1,167 7,314 ---------------- ---------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ---------------- ---------------- --------------- ---------------- ---------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ---------------- ---------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 109,109 20,816 69,361 Class B 9 1 1 Proceeds in connection with acquisition Class A 11,871 - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (16,461) (18,719) (45,377) Class B - - - ---------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 104,528 2,098 23,985 ---------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 111,318 3,265 31,299 NET ASSETS BEGINNING OF PERIOD 36,421 43,940 244,667 ---------------- ---------------- --------------- NET ASSETS END OF PERIOD $ 147,739 $ 47,205 $ 275,966 ================ ================ =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (232) $ (229) $ (680) ================ ================ =============== (1)SHARE TRANSACTIONS Shares sold Class A 10,140 1,743 4,619 Class B 1 - - Shares issued in connection with acquisition Class A 1,111 - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (1,513) (1,597) (3,034) Class B - - - ---------------- ---------------- --------------- Net increase (decrease) 9,739 146 1,585 ================ ================ =============== JNL/Alliance JNL/Eagle JNL/Eagle Capital Growth Core Equity SmallCap OPERATIONS Fund Fund Equity Fund ----------------- ---------------- --------------- Net investment income (loss) $ (58) $ 871 $ (493) Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,147 20,909 7,167 Foreign currency related items - (3) - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (2,642) (21,824) 2,132 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ----------------- ---------------- --------------- ----------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,447 (47) 8,806 ----------------- ---------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ----------------- ---------------- --------------- ----------------- ---------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ----------------- ---------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 23,450 81,883 42,699 Class B 1 1 1 Proceeds in connection with acquisition Class A - 13,508 - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (85,814) (32,196) (19,523) Class B - - - ----------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (62,363) 63,196 23,177 ----------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS (59,916) 63,149 31,983 NET ASSETS BEGINNING OF PERIOD 128,518 245,913 109,972 ----------------- ---------------- --------------- NET ASSETS END OF PERIOD $ 68,602 $ 309,062 $ 141,955 ================= ================ =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 52 $ 932 $ (493) ================= ================ =============== (1)SHARE TRANSACTIONS Shares sold Class A 2,324 5,751 2,409 Class B - - - Shares issued in connection with acquisition Class A - 973 - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (8,581) (2,267) (1,109) Class B - - - ----------------- ---------------- --------------- Net increase (decrease) (6,257) 4,457 1,300 ================= ================ =============== See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/FMR JNL/FMR JNL/JPMorgan Balanced Capital International OPERATIONS Fund Growth Fund Value Fund ------------------ ---------------- ------------------ Net investment income (loss) $ 702 $ (190) $ 411 Net realized gain (loss) on: Distributions from investment companies - - - Investments 9,443 33,409 2,467 Foreign currency related items (26) (15) (49) Futures contracts and options written - - 226 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (7,503) (23,829) (937) Foreign currency related items - - (246) Futures contracts and options written - - (97) Investment securities sold short - - - ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,616 9,375 1,775 ------------------ ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------ ---------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 20,068 8,754 32,512 Class B 1 1 1 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (40,834) (23,065) (11,470) Class B - - - ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (20,765) (14,310) 21,043 ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS (18,149) (4,935) 22,818 NET ASSETS BEGINNING OF PERIOD 114,262 158,013 29,609 ------------------ ---------------- ------------------ NET ASSETS END OF PERIOD $ 96,113 $ 153,078 $ 52,427 ================== ================ ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 752 $ (190) $ 381 ================== ================ ================== (1)SHARE TRANSACTIONS Shares sold Class A 2,147 639 4,084 Class B - - - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (4,357) (1,687) (1,456) Class B - - - ------------------ ---------------- ------------------ Net increase (decrease) (2,210) (1,048) 2,628 ================== ================ ================== JNL/Mellon Capital JNL/Lazard JNL/Lazard Management Mid Cap Small Cap Bond Index OPERATIONS Value Fund Value Fund Fund ------------------- ---------------- ----------------- Net investment income (loss) $ 177 $ (47) $ 1,747 Net realized gain (loss) on: Distributions from investment companies - - - Investments 17,709 18,320 (113) Foreign currency related items - - - Futures contracts and options written - - (3) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,952) (9,017) (1,861) Foreign currency related items - - - Futures contracts and options written - - (2) Investment securities sold short - - - ------------------- ---------------- ----------------- ------------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 15,934 9,256 (232) ------------------- ---------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------- ---------------- ----------------- ------------------- ---------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------- ---------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 61,314 49,514 62,511 Class B 14 10 10 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (55,265) (43,957) (20,723) Class B (3) - (5) ------------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 6,060 5,567 41,793 ------------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 21,994 14,823 41,561 NET ASSETS BEGINNING OF PERIOD 142,798 155,191 83,547 ------------------- ---------------- ----------------- NET ASSETS END OF PERIOD $ 164,792 $ 170,014 $ 125,108 =================== ================ ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 296 $ 97 $ 2,074 =================== ================ ================= (1)SHARE TRANSACTIONS Shares sold Class A 4,379 3,670 5,938 Class B 1 1 1 Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (3,977) (3,278) (1,957) Class B - - - ------------------- ---------------- ----------------- Net increase (decrease) 403 393 3,982 =================== ================ ================= See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/Mellon Capital JNL/Mellon JNL/Mellon Management Capital Capital Enhanced Management Management S&P 500 Stock International S&P 400 MidCap OPERATIONS Index Fund Index Fund Index Fund ------------------- ----------------- ------------------ Net investment income (loss) $ 485 $ 2,354 $ 330 Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,526 561 1,550 Foreign currency related items - 114 - Futures contracts and options written 227 1,035 509 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (784) 2,873 3,447 Foreign currency related items - (125) - Futures contracts and options written (15) (173) 38 Investment securities sold short - - - ------------------- ----------------- ------------------ ------------------- ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 5,439 6,639 5,874 ------------------- ----------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------- ----------------- ------------------ ------------------- ----------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------- ----------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 105,607 123,255 69,329 Class B 1 10 60 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (28,372) (18,277) (16,506) Class B - (5) (30) ------------------- ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 77,236 104,983 52,853 ------------------- ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 82,675 111,622 58,727 NET ASSETS BEGINNING OF PERIOD 89,068 97,126 81,077 ------------------- ----------------- ------------------ NET ASSETS END OF PERIOD $ 171,743 $ 208,748 $ 139,804 =================== ================= ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 971 $ 2,469 $ 342 =================== ================= ================== (1)SHARE TRANSACTIONS Shares sold Class A 13,157 10,574 5,851 Class B - 1 5 Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (3,521) (1,566) (1,402) Class B - - (2) ------------------- ----------------- ------------------ Net increase (decrease) 9,636 9,009 4,452 =================== ================= ================== JNL/Mellon JNL/Mellon Capital Capital JNL/ Management Management Oppenheimer S&P 500 Index Small Cap Global OPERATIONS Fund Index Fund Growth Fund ------------------- ---------------- ----------------- Net investment income (loss) $ 1,177 $ 288 $ 617 Net realized gain (loss) on: Distributions from investment companies - - - Investments 99 4,516 1,659 Foreign currency related items - - (275) Futures contracts and options written 198 334 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 5,393 539 1,140 Foreign currency related items - - 10 Futures contracts and options written - 60 - Investment securities sold short - - - ------------------- ---------------- ----------------- ------------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 6,867 5,737 3,151 ------------------- ---------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------- ---------------- ----------------- ------------------- ---------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------- ---------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 126,453 59,305 79,038 Class B 165 38 17 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (40,551) (18,693) (21,160) Class B (87) (20) (3) ------------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 85,980 40,630 57,892 ------------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 92,847 46,367 61,043 NET ASSETS BEGINNING OF PERIOD 190,338 76,130 104,625 ------------------- ---------------- ----------------- NET ASSETS END OF PERIOD $ 283,185 $ 122,497 $ 165,668 =================== ================ ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,182 $ 315 $ 877 =================== ================ ================= (1)SHARE TRANSACTIONS Shares sold Class A 12,633 4,989 7,608 Class B 17 3 2 Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (4,069) (1,582) (2,050) Class B (9) (2) - ------------------- ---------------- ----------------- Net increase (decrease) 8,572 3,408 5,560 =================== ================ ================= See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/ Oppenheimer JNL/PIMCO JNL/PPM Growth Total Return America OPERATIONS Fund Bond Fund Balanced Fund ------------------ ------------------ ---------------- Net investment income (loss) $ (50) $ 2,272 $ 3,611 Net realized gain (loss) on: Distributions from investment companies - - - Investments 3,356 1,348 7,042 Foreign currency related items - (226) - Futures contracts and options written - 121 - Investment securities sold short - (339) - Net change in unrealized appreciation (depreciation) on: Investments (2,751) (3,115) (1,113) Foreign currency related items - 101 - Futures contracts and options written - (245) - Investment securities sold short - (117) - ------------------ ------------------ ---------------- ------------------ ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 555 (200) 9,540 ------------------ ------------------ ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------ ------------------ ---------------- ------------------ ------------------ ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------ ------------------ ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 11,608 130,567 65,631 Class B 1 4 1 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (19,702) (71,611) (54,488) Class B - (3) - ------------------ ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (8,093) 58,957 11,144 ------------------ ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS (7,538) 58,757 20,684 NET ASSETS BEGINNING OF PERIOD 32,993 317,301 303,892 ------------------ ------------------ ---------------- NET ASSETS END OF PERIOD $ 25,455 $ 376,058 $ 324,576 ================== ================== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (50) $ 8,068 $ 3,987 ================== ================== ================ (1)SHARE TRANSACTIONS Shares sold Class A 1,374 11,033 4,143 Class B - - - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (2,356) (6,054) (3,439) Class B - - - ------------------ ------------------ ---------------- Net increase (decrease) (982) 4,979 704 ================== ================== ================ JNL/PPM JNL/PPM America America JNL/PPM High Yield Money America OPERATIONS Bond Fund Market Fund Value Fund ------------------ ---------------- ------------------ Net investment income (loss) $ 9,746 $ 391 $ 725 Net realized gain (loss) on: Distributions from investment companies - - - Investments 1,107 - 1,633 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (10,381) - 3,017 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 472 391 5,375 ------------------ ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - (391) - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (391) - ------------------ ---------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 102,972 164,772 96,498 Class B 1 1 1 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - 391 - Class B - - - Cost of shares redeemed Class A (107,033) (164,705) (13,255) Class B - - - ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (4,060) 459 83,244 ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS (3,588) 459 88,619 NET ASSETS BEGINNING OF PERIOD 266,181 184,440 54,532 ------------------ ---------------- ------------------ NET ASSETS END OF PERIOD $ 262,593 $ 184,899 $ 143,151 ================== ================ ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 9,930 $ - $ 1,248 ================== ================ ================== (1)SHARE TRANSACTIONS Shares sold Class A 11,763 164,772 6,420 Class B - 1 - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - 391 - Class B - - - Shares redeemed Class A (12,258) (164,705) (882) Class B - - - ------------------ ---------------- ------------------ Net increase (decrease) (495) 459 5,538 ================== ================ ================== See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/Putnam JNL/Putnam JNL/Putnam Equity International Midcap OPERATIONS Fund Equity Fund Growth Fund ------------------- ---------------- --------------- Net investment income (loss) $ 282 $ 782 $ (93) Net realized gain (loss) on: Distributions from investment companies - - - Investments 11,044 6,901 2,704 Foreign currency related items 1 74 - Futures contracts and options written 2 - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (5,714) (6,685) (525) Foreign currency related items - (95) - Futures contracts and options written 1 - - Investment securities sold short - - - ------------------- ---------------- --------------- ------------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 5,616 977 2,086 ------------------- ---------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------- ---------------- --------------- ------------------- ---------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------- ---------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 7,301 18,451 6,938 Class B 1 1 1 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (24,890) (27,363) (6,712) Class B - - - ------------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (17,588) (8,911) 227 ------------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS (11,972) (7,934) 2,313 NET ASSETS BEGINNING OF PERIOD 164,927 96,811 28,909 ------------------- ---------------- --------------- NET ASSETS END OF PERIOD $ 152,955 $ 88,877 $ 31,222 =================== ================ =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 977 $ 769 $ (93) =================== ================ =============== (1)SHARE TRANSACTIONS Shares sold Class A 431 1,877 973 Class B - - - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (1,474) (2,822) (952) Class B - - - ------------------- ---------------- --------------- Net increase (decrease) (1,043) (945) 21 =================== ================ =============== JNL/Putnam JNL/S&P JNL/S&P Value Aggressive Conservative OPERATIONS Equity Fund Growth Fund I Growth Fund I ------------------ --------------- ---------------- Net investment income (loss) $ 1,269 $ (175) $ (358) Net realized gain (loss) on: Distributions from investment companies - - - Investments 15,801 4,499 5,159 Foreign currency related items 1 - - Futures contracts and options written 12 - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (9,742) 2,970 7,201 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ --------------- ---------------- ------------------ --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 7,341 7,294 12,002 ------------------ --------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------ --------------- ---------------- ------------------ --------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------ --------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 30,721 47,108 126,347 Class B 1 - - Proceeds in connection with acquisition Class A - 16,253 28,773 Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (126,797) (16,939) (39,012) Class B - - - ------------------ --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (96,075) 46,422 116,108 ------------------ --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS (88,734) 53,716 128,110 NET ASSETS BEGINNING OF PERIOD 309,732 164,016 402,322 ------------------ --------------- ---------------- NET ASSETS END OF PERIOD $ 220,998 $ 217,732 $ 530,432 ================== =============== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,269 $ (164) $ (283) ================== =============== ================ (1)SHARE TRANSACTIONS Shares sold Class A 1,872 4,361 11,445 Class B - - - Shares issued in connection with acquisition Class A - 1,552 2,792 Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (7,777) (1,572) (3,535) Class B - - - ------------------ --------------- ---------------- Net increase (decrease) (5,905) 4,341 10,702 ================== =============== ================ See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/S&P JNL/S&P JNL/S&P Core Index 100 Core Index 50 Core Index 75 OPERATIONS Fund Fund Fund ------------------- ------------------ ------------------ Net investment income (loss) $ (29) $ (9) $ (13) Net realized gain (loss) on: Distributions from investment companies - - - Investments 534 479 411 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 500 (128) 25 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------- ------------------ ------------------ ------------------- ------------------ ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 1,005 342 423 ------------------- ------------------ ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------- ------------------ ------------------ ------------------- ------------------ ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------- ------------------ ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 9,122 4,173 7,811 Class B - - - Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (3,765) (1,049) (1,221) Class B - - - ------------------- ------------------ ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 5,357 3,124 6,590 ------------------- ------------------ ------------------ NET INCREASE (DECREASE) IN NET ASSETS 6,362 3,466 7,013 NET ASSETS BEGINNING OF PERIOD 36,421 7,629 10,017 ------------------- ------------------ ------------------ NET ASSETS END OF PERIOD $ 42,783 $ 11,095 $ 17,030 =================== ================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 184 $ 16 $ 36 =================== ================== ================== (1)SHARE TRANSACTIONS Shares sold Class A 852 398 736 Class B - - - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (352) (101) (115) Class B - - - ------------------- ------------------ ------------------ Net increase (decrease) 500 297 621 =================== ================== ================== JNL/S&P Equity JNL/S&P Aggressive Equity OPERATIONS Growth Fund I Growth Fund I ------------------- ----------------- Net investment income (loss) $ (52) $ (183) Net realized gain (loss) on: Distributions from investment companies - - Investments 999 1,373 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 1,543 7,295 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ------------------- ----------------- ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,490 8,485 ------------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - Class B - - From net realized gains on investment transactions Class A - - Class B - - ------------------- ----------------- ------------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - ------------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 15,058 48,474 Class B - - Proceeds in connection with acquisition Class A 1,843 6,813 Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (8,667) (16,990) Class B - - ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 8,234 38,297 ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 10,724 46,782 NET ASSETS BEGINNING OF PERIOD 51,344 175,618 ------------------- ----------------- NET ASSETS END OF PERIOD $ 62,068 $ 222,400 =================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (17) $ 37 =================== ================= (1)SHARE TRANSACTIONS Shares sold Class A 1,538 4,907 Class B - - Shares issued in connection with acquisition Class A 195 734 Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (884) (1,720) Class B - - ------------------- ----------------- Net increase (decrease) 849 3,921 =================== ================= See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/Salomon JNL/S&P JNL/S&P Very Brothers Moderate Aggressive Balanced OPERATIONS Growth Fund I Growth Fund I Fund -------------------- ------------------- ---------------- Net investment income (loss) $ (548) $ (62) $ 131 Net realized gain (loss) on: Distributions from investment companies - - - Investments 11,920 562 100 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 13,236 2,305 275 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - -------------------- ------------------- ---------------- -------------------- ------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 24,608 2,805 506 -------------------- ------------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - -------------------- ------------------- ---------------- -------------------- ------------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - -------------------- ------------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 212,533 14,177 2,465 Class B - - 1 Proceeds in connection with acquisition Class A 45,924 2,262 - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (60,979) (6,731) (8,532) Class B - - - -------------------- ------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 197,478 9,708 (6,066) -------------------- ------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 222,086 12,513 (5,560) NET ASSETS BEGINNING OF PERIOD 609,887 60,193 18,640 -------------------- ------------------- ---------------- NET ASSETS END OF PERIOD $ 831,973 $ 72,706 $ 13,080 ==================== =================== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (464) $ (46) $ 405 ==================== =================== ================ (1)SHARE TRANSACTIONS Shares sold Class A 18,869 1,390 218 Class B - - - Shares issued in connection with acquisition Class A 4,411 214 - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (5,424) (660) (768) Class B - - - -------------------- ------------------- ---------------- Net increase (decrease) 17,856 944 (550) ==================== =================== ================ JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers U.S. Government High Yield Strategic Bond & Quality OPERATIONS Bond Fund Fund Bond Fund ------------------- --------------- ----------------- Net investment income (loss) $ 710 $ 5,091 $ 4,497 Net realized gain (loss) on: Distributions from investment companies - - - Investments 395 3,142 1,701 Foreign currency related items - 565 - Futures contracts and options written - (19) (558) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,039) (9,345) (5,044) Foreign currency related items - 117 - Futures contracts and options written - (11) (129) Investment securities sold short - - - ------------------- --------------- ----------------- ------------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 66 (460) 467 ------------------- --------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------- --------------- ----------------- ------------------- --------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------- --------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 7,640 71,151 40,480 Class B 1 1 1 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (13,927) (32,464) (82,895) Class B - - - ------------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (6,286) 38,688 (42,414) ------------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS (6,220) 38,228 (41,947) NET ASSETS BEGINNING OF PERIOD 19,464 197,923 257,274 ------------------- --------------- ----------------- NET ASSETS END OF PERIOD $ 13,244 $ 236,151 $ 215,327 =================== =============== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 737 $ 5,006 $ 5,100 =================== =============== ================= (1)SHARE TRANSACTIONS Shares sold Class A 950 6,207 3,503 Class B - - - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (1,736) (2,840) (7,125) Class B - - - ------------------- --------------- ----------------- Net increase (decrease) (786) 3,367 (3,622) =================== =============== ================= See Notes to the Financial Statements. JNL SERIES TRUST (Unaudited) Statements of Changes in Net Assets (in thousands) For the Period Ended June 30, 2004 JNL/T.Rowe JNL/Select JNL/Select Price Global Growth Large Cap Established OPERATIONS Fund Growth Fund Growth Fund ------------------ --------------- ---------------- Net investment income (loss) $ 527 $ (577) $ 229 Net realized gain (loss) on: Distributions from investment companies - - - Investments 22,326 53,779 9,806 Foreign currency related items (245) 24 (210) Futures contracts and options written - - (74) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (15,990) (31,451) 2,237 Foreign currency related items 127 - (2) Futures contracts and options written - - - Investment securities sold short - - - ------------------ --------------- ---------------- ------------------ --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 6,745 21,775 11,986 ------------------ --------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - - Class B - - - From net realized gains on investment transactions Class A - - - Class B - - - ------------------ --------------- ---------------- ------------------ --------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------ --------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 20,304 42,321 132,438 Class B 1 1 1 Proceeds in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Cost of shares redeemed Class A (27,909) (50,572) (55,843) Class B - - - ------------------ --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (7,604) (8,250) 76,596 ------------------ --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS (859) 13,525 88,582 NET ASSETS BEGINNING OF PERIOD 197,288 257,852 474,046 ------------------ --------------- ---------------- NET ASSETS END OF PERIOD $ 196,429 $ 271,377 $ 562,628 ================== =============== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 511 $ (577) $ 597 ================== =============== ================ (1)SHARE TRANSACTIONS Shares sold Class A 1,166 2,270 7,790 Class B - - - Shares issued in connection with acquisition Class A - - - Class B - - - Reinvestment of distributions Class A - - - Class B - - - Shares redeemed Class A (1,567) (2,744) (3,286) Class B - - - ------------------ --------------- ---------------- Net increase (decrease) (401) (474) 4,504 ================== =============== ================ JNL/T.Rowe JNL/T.Rowe Price Price Mid-Cap Value OPERATIONS Growth Fund Fund ----------------- ---------------- Net investment income (loss) $ (1,365) $ 1,502 Net realized gain (loss) on: Distributions from investment companies - - Investments 19,411 6,816 Foreign currency related items 1 (29) Futures contracts and options written (126) - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 14,557 10,294 Foreign currency related items - 1 Futures contracts and options written - - Investment securities sold short - - ----------------- ---------------- ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 32,478 18,584 ----------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - Class B - - From net realized gains on investment transactions Class A - - Class B - - ----------------- ---------------- ----------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - ----------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 146,225 122,682 Class B 5 4 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (66,247) (130,541) Class B - (3) ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 79,983 (7,858) ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 112,461 10,726 NET ASSETS BEGINNING OF PERIOD 379,541 404,470 ----------------- ---------------- NET ASSETS END OF PERIOD $ 492,002 $ 415,196 ================= ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (1,371) $ 4,411 ================= ================ (1)SHARE TRANSACTIONS Shares sold Class A 5,703 10,065 Class B - - Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (2,585) (10,778) Class B - - ----------------- ---------------- Net increase (decrease) 3,118 (713) ================= ================ See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/AIM JNL/AIM JNL/AIM Large Cap Premier Equity II Small Cap OPERATIONS Growth Fund Fund Growth Fund ------------------ ---------------- ------------------- Net investment income (loss) $ (73) $ 8 $ (203) Net realized gain (loss) on: Distributions from investment companies - - - Investments 557 (415) (403) Foreign currency related items - - - Futures contracts and options written (1) 125 111 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 4,253 3,945 7,948 Foreign currency related items - - - Futures contracts and options written - 33 15 Investment securities sold short - - - ------------------ ---------------- ------------------- ------------------ ---------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 4,736 3,696 7,468 ------------------ ---------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - - From net realized gains on investment transactions - - - ------------------ ---------------- ------------------- ------------------ ---------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - ------------------ ---------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 36,498 12,313 37,760 Reinvestment of distributions - - - Cost of shares redeemed (11,670) (4,879) (14,203) ------------------ ---------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 24,828 7,434 23,557 ------------------ ---------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 29,564 11,130 31,025 NET ASSETS BEGINNING OF PERIOD 6,857 12,647 12,915 ------------------ ---------------- ------------------- NET ASSETS END OF PERIOD $ 36,421 $ 23,777 $ 43,940 ================== ================ =================== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ - $ 8 $ - ================== ================ =================== (1)SHARE TRANSACTIONS Shares sold 3,870 1,430 3,751 Reinvestment of distributions - - - Shares redeemed (1,277) (577) (1,519) ------------------ ---------------- ------------------- Net increase (decrease) 2,593 853 2,232 ================== ================ =================== JNL/Alger JNL/Alliance JNL/Eagle Growth Capital Growth Core Equity OPERATIONS Fund Fund Fund ------------------ ---------------- ------------------ Net investment income (loss) $ (533) $ 110 $ 1,520 Net realized gain (loss) on: Distributions from investment companies - - - Investments 21,391 (5,581) 2,033 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 39,835 28,034 38,762 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 60,693 22,563 42,315 ------------------ ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - (1,494) From net realized gains on investment transactions - - - ------------------ ---------------- ------------------ ------------------ ---------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (1,494) ------------------ ---------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 63,061 60,050 95,642 Reinvestment of distributions - - 1,494 Cost of shares redeemed (54,526) (40,986) (41,286) ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 8,535 19,064 55,850 ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 69,228 41,627 96,671 NET ASSETS BEGINNING OF PERIOD 175,439 86,891 149,242 ------------------ ---------------- ------------------ NET ASSETS END OF PERIOD $ 244,667 $ 128,518 $ 245,913 ================== ================ ================== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ - $ 110 $ 61 ================== ================ ================== (1)SHARE TRANSACTIONS Shares sold 4,871 6,822 7,545 Reinvestment of distributions - - 107 Shares redeemed (4,374) (4,753) (3,336) ------------------ ---------------- ------------------ Net increase (decrease) 497 2,069 4,316 ================== ================ ================== See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/Eagle JNL/FMR JNL/FMR SmallCap Balanced Capital OPERATIONS Equity Fund Fund Growth Fund ------------------ ---------------- ---------------- Net investment income (loss) $ (674) $ 1,502 $ (743) Net realized gain (loss) on: Distributions from investment companies - - - Investments (1,796) (342) 443 Foreign currency related items - (1) - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 33,573 11,100 44,287 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ---------------- ---------------- ------------------ ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 31,103 12,259 43,987 ------------------ ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (1,480) - From net realized gains on investment transactions - - - ------------------ ---------------- ---------------- ------------------ ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (1,480) - ------------------ ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 39,769 50,666 54,295 Reinvestment of distributions - 1,480 - Cost of shares redeemed (37,098) (24,254) (75,938) ------------------ ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 2,671 27,892 (21,643) ------------------ ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 33,774 38,671 22,344 NET ASSETS BEGINNING OF PERIOD 76,198 75,591 135,669 ------------------ ---------------- ---------------- NET ASSETS END OF PERIOD $ 109,972 $ 114,262 $ 158,013 ================== ================ ================ UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ - $ 50 $ - ================== ================ ================ (1)SHARE TRANSACTIONS Shares sold 2,814 5,812 5,213 Reinvestment of distributions - 162 - Shares redeemed (2,621) (2,792) (7,180) ------------------ ---------------- ---------------- Net increase (decrease) 193 3,182 (1,967) ================== ================ ================ JNL/JPMorgan JNL/Janus JNL/Lazard International Growth & Mid Cap OPERATIONS Value Fund Income Fund Value Fund ------------------- --------------- --------------- Net investment income (loss) $ 82 $ 70 $ 400 Net realized gain (loss) on: Distributions from investment companies - - - Investments 1,098 (787) 5,696 Foreign currency related items 192 (27) - Futures contracts and options written 185 - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 2,905 3,982 20,555 Foreign currency related items 180 (11) - Futures contracts and options written 119 - - Investment securities sold short - - - ------------------- --------------- --------------- ------------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 4,761 3,227 26,651 ------------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (346) (75) (266) From net realized gains on investment transactions - - - ------------------- --------------- --------------- ------------------- --------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (346) (75) (266) ------------------- --------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 42,706 4,520 83,646 Reinvestment of distributions 346 75 266 Cost of shares redeemed (23,500) (6,067) (44,389) ------------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 19,552 (1,472) 39,523 ------------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 23,967 1,680 65,908 NET ASSETS BEGINNING OF PERIOD 5,642 13,840 76,890 ------------------- --------------- --------------- NET ASSETS END OF PERIOD $ 29,609 $ 15,520 $ 142,798 =================== =============== =============== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ (30) $ 56 $ 119 =================== =============== =============== (1)SHARE TRANSACTIONS Shares sold 6,603 744 7,350 Reinvestment of distributions 47 11 20 Shares redeemed (3,793) (990) (4,029) ------------------- --------------- --------------- Net increase (decrease) 2,857 (235) 3,341 =================== =============== =============== See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/Mellon JNL/Mellon Capital Capital Management JNL/Lazard Management Enhanced Small Cap Bond Index S&P 500 Stock OPERATIONS Value Fund Fund Index Fund ------------------- ---------------- ------------------- Net investment income (loss) $ 174 $ 1,790 $ 487 Net realized gain (loss) on: Distributions from investment companies - - - Investments 2,297 420 3,413 Foreign currency related items - - - Futures contracts and options written - (30) 206 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 32,326 (647) 11,269 Foreign currency related items - - - Futures contracts and options written - 17 86 Investment securities sold short - - - ------------------- ---------------- ------------------- ------------------- ---------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 34,797 1,550 15,461 ------------------- ---------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (1,412) (236) From net realized gains on investment transactions - (925) - ------------------- ---------------- ------------------- ------------------- ---------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,337) (236) ------------------- ---------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 89,529 61,738 57,742 Reinvestment of distributions - 2,337 236 Cost of shares redeemed (43,694) (14,027) (26,206) ------------------- ---------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 45,835 50,048 31,772 ------------------- ---------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 80,632 49,261 46,997 NET ASSETS BEGINNING OF PERIOD 74,559 34,286 42,071 ------------------- ---------------- ------------------- NET ASSETS END OF PERIOD $ 155,191 $ 83,547 $ 89,068 =================== ================ =================== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 144 $ 327 $ 486 =================== ================ =================== (1)SHARE TRANSACTIONS Shares sold 8,192 5,803 8,328 Reinvestment of distributions - 222 30 Shares redeemed (4,225) (1,320) (3,957) ------------------- ---------------- ------------------- Net increase (decrease) 3,967 4,705 4,401 =================== ================ =================== JNL/Mellon JNL/Mellon JNL/Mellon Capital Capital Capital Management Management Management International S&P 400 MidCap S&P 500 Index OPERATIONS Index Fund Index Fund Fund ------------------ ------------------ ----------------- Net investment income (loss) $ 801 $ 241 $ 1,213 Net realized gain (loss) on: Distributions from investment companies - - - Investments (64) 18 (161) Foreign currency related items 399 - - Futures contracts and options written 478 836 1,480 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 18,275 11,704 25,439 Foreign currency related items 88 - - Futures contracts and options written 173 6 116 Investment securities sold short - - - ------------------ ------------------ ----------------- ------------------ ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 20,150 12,805 28,087 ------------------ ------------------ ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,094) (230) (1,511) From net realized gains on investment transactions - - (588) ------------------ ------------------ ----------------- ------------------ ------------------ ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,094) (230) (2,099) ------------------ ------------------ ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 59,966 63,260 144,444 Reinvestment of distributions 1,094 230 2,099 Cost of shares redeemed (9,508) (7,716) (28,969) ------------------ ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 51,552 55,774 117,574 ------------------ ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS 70,608 68,349 143,562 NET ASSETS BEGINNING OF PERIOD 26,518 12,728 46,776 ------------------ ------------------ ----------------- NET ASSETS END OF PERIOD $ 97,126 $ 81,077 $ 190,338 ================== ================== ================= UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 115 $ 12 $ 5 ================== ================== ================= (1)SHARE TRANSACTIONS Shares sold 6,248 6,347 16,481 Reinvestment of distributions 98 20 218 Shares redeemed (1,008) (788) (3,351) ------------------ ------------------ ----------------- Net increase (decrease) 5,338 5,579 13,348 ================== ================== ================= See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/Mellon Capital JNL/ JNL/ Management Oppenheimer Oppenheimer JNL/PIMCO Small Cap Global Growth Total Return OPERATIONS Index Fund Growth Fund Fund Bond Fund ------------------- --------------- --------------- --------------- Net investment income (loss) $ 303 $ 390 $ (118) $ 5,446 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 701 (1,086) (447) 1,389 Foreign currency related items - (224) - 167 Futures contracts and options written 1,614 - - 3,030 Investment securities sold short - - - (778) Net change in unrealized appreciation (depreciation) on: Investments 13,829 26,836 4,371 2,052 Foreign currency related items - 77 - 331 Futures contracts and options written 82 - - 211 Investment securities sold short - - - (50) ------------------- --------------- --------------- --------------- ------------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 16,529 25,993 3,806 11,798 ------------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (269) - - (4,512) From net realized gains on investment transactions (498) - - (5,677) ------------------- --------------- --------------- --------------- ------------------- --------------- --------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (767) - - (10,189) ------------------- --------------- --------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 62,400 105,186 22,341 217,280 Reinvestment of distributions 767 - - 10,189 Cost of shares redeemed (22,826) (77,076) (11,000) (123,139) ------------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 40,341 28,110 11,341 104,330 ------------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 56,103 54,103 15,147 105,939 NET ASSETS BEGINNING OF PERIOD 20,027 50,522 17,846 211,362 ------------------- --------------- --------------- --------------- NET ASSETS END OF PERIOD $ 76,130 $ 104,625 $ 32,993 $ 317,301 =================== =============== =============== =============== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 27 $ 260 $ - $ 5,796 =================== =============== =============== =============== (1)SHARE TRANSACTIONS Shares sold 6,319 13,324 2,913 18,220 Reinvestment of distributions 68 - - 865 Shares redeemed (2,263) (10,002) (1,468) (10,317) --------------- Net increase (decrease) ------------------- --------------- --------------- --------------- 4,124 3,322 1,445 8,768 =================== =============== =============== =============== JNL/PPM JNL/PPM JNL/PPM America America America High Yield Money OPERATIONS Balanced Fund Bond Fund Market Fund ----------------- -------------- -------------- Net investment income (loss) $ 6,099 $ 15,623 $ 924 Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,162 87 - Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 38,651 19,401 - Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ----------------- -------------- -------------- ----------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 49,912 35,111 924 ----------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (5,687) (15,485) (924) From net realized gains on investment transactions (2,244) - - ----------------- -------------- -------------- ----------------- -------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,931) (15,485) (924) ----------------- -------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 91,878 140,642 591,660 Reinvestment of distributions 7,931 15,485 924 Cost of shares redeemed (54,911) (70,666) (622,664) ----------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 44,898 85,461 (30,080) ----------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 86,879 105,087 (30,080) NET ASSETS BEGINNING OF PERIOD 217,013 161,094 214,520 ----------------- -------------- -------------- NET ASSETS END OF PERIOD $ 303,892 $ 266,181 $ 184,440 ================= ============== ============== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 376 $ 184 $ - ================= ============== ============== (1)SHARE TRANSACTIONS Shares sold 6,381 16,425 591,660 Reinvestment of distributions 517 1,786 924 Shares redeemed (3,878) (8,294) (622,664) ----------------- -------------- -------------- Net increase (decrease) 3,020 9,917 (30,080) ================= ============== ============== See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/PPM JNL/Putnam JNL/Putnam JNL/Putnam America Equity International Midcap OPERATIONS Value Fund Fund Equity Fund Growth Fund ----------------- --------------- ---------------- --------------- Net investment income (loss) $ 523 $ 694 $ 977 $ (118) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 871 1,011 (6,824) 49 Foreign currency related items - 4 319 - Futures contracts and options written - - - 4 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 8,332 35,302 27,809 6,535 Foreign currency related items - - 67 - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- --------------- ---------------- --------------- ----------------- --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 9,726 37,011 22,348 6,470 ----------------- --------------- ---------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (96) (486) (1,395) - From net realized gains on investment transactions (207) - - - ----------------- --------------- ---------------- --------------- ----------------- --------------- ---------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (303) (486) (1,395) - ----------------- --------------- ---------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 34,874 49,306 137,550 23,901 Reinvestment of distributions 303 486 1,395 - Cost of shares redeemed (8,072) (74,693) (141,359) (20,109) ----------------- --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 27,105 (24,901) (2,414) 3,792 ----------------- --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 36,528 11,624 18,539 10,262 NET ASSETS BEGINNING OF PERIOD 18,004 153,303 78,272 18,647 ----------------- --------------- ---------------- --------------- NET ASSETS END OF PERIOD $ 54,532 $ 164,927 $ 96,811 $ 28,909 ================= =============== ================ =============== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 523 $ 695 $ (13) $ - ================= =============== ================ =============== (1)SHARE TRANSACTIONS Shares sold 2,693 3,591 17,928 4,195 Reinvestment of distributions 21 30 150 - Shares redeemed (645) (5,406) (18,310) (3,601) ----------------- --------------- ---------------- --------------- Net increase (decrease) 2,069 (1,785) (232) 594 ================= =============== ================ =============== JNL/Putnam JNL/S&P JNL/S&P Value Aggressive Aggressive OPERATIONS Equity Fund Growth Fund Growth Fund I ---------------- --------------- -------------- Net investment income (loss) $ 3,135 $ 41 $ 1,172 Net realized gain (loss) on: Distributions from investment companies - 11 243 Investments (13,318) (1,613) (1,249) Foreign currency related items 1 - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 70,396 4,482 29,976 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ---------------- --------------- -------------- ---------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 60,214 2,921 30,142 ---------------- --------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (3,298) (32) (1,956) From net realized gains on investment transactions - - - ---------------- --------------- -------------- ---------------- --------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (3,298) (32) (1,956) ---------------- --------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 66,850 1,334 59,755 Reinvestment of distributions 3,298 32 1,956 Cost of shares redeemed (73,432) (3,522) (22,991) ---------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (3,284) (2,156) 38,720 ---------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 53,632 733 66,906 NET ASSETS BEGINNING OF PERIOD 256,100 11,720 97,110 ---------------- --------------- -------------- NET ASSETS END OF PERIOD $ 309,732 $ 12,453 $ 164,016 ================ =============== ============== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ - $ 41 $ 11 ================ =============== ============== (1)SHARE TRANSACTIONS Shares sold 4,659 212 6,325 Reinvestment of distributions 210 4 189 Shares redeemed (5,230) (579) (2,495) ---------------- --------------- -------------- Net increase (decrease) (361) (363) 4,019 ================ =============== ============== See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/S&P JNL/S&P JNL/S&P Aggressive Conservative Conservative OPERATIONS Growth Fund II Growth Fund Growth Fund I ------------------ --------------- ----------------- Net investment income (loss) $ 32 $ 186 $ 5,356 Net realized gain (loss) on: Distributions from investment companies 5 44 1,653 Investments (450) (775) (823) Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 1,279 3,119 45,400 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ --------------- ----------------- ------------------ --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 866 2,574 51,586 ------------------ --------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (35) (158) (8,874) From net realized gains on investment transactions - - - ------------------ --------------- ----------------- ------------------ --------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (35) (158) (8,874) ------------------ --------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 660 2,114 185,638 Reinvestment of distributions 35 158 8,874 Cost of shares redeemed (1,607) (3,166) (62,735) ------------------ --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (912) (894) 131,777 ------------------ --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS (81) 1,522 174,489 NET ASSETS BEGINNING OF PERIOD 3,973 14,157 227,833 ------------------ --------------- ----------------- NET ASSETS END OF PERIOD $ 3,892 $ 15,679 $ 402,322 ================== =============== ================= UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 32 $ 186 $ 75 ================== =============== ================= (1)SHARE TRANSACTIONS Shares sold 82 260 18,230 Reinvestment of distributions 4 18 824 Shares redeemed (210) (397) (6,190) ------------------ --------------- ----------------- Net increase (decrease) (124) (119) 12,864 ================== =============== ================= JNL/S&P JNL/S&P JNL/S&P Conservative Core Index 100 Core Index 50 OPERATIONS Growth Fund II Fund Fund ------------------ ---------------- ----------------- Net investment income (loss) $ 266 $ 213 $ 25 Net realized gain (loss) on: Distributions from investment companies 46 118 11 Investments (438) (122) (98) Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 2,596 5,077 1,243 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ---------------- ----------------- ------------------ ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,470 5,286 1,181 ------------------ ---------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (259) (116) (3) From net realized gains on investment transactions - (54) - ------------------ ---------------- ----------------- ------------------ ---------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (259) (170) (3) ------------------ ---------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 3,259 21,978 5,239 Reinvestment of distributions 259 170 3 Cost of shares redeemed (4,306) (5,056) (760) ------------------ ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (788) 17,092 4,482 ------------------ ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 1,423 22,208 5,660 NET ASSETS BEGINNING OF PERIOD 12,596 14,213 1,969 ------------------ ---------------- ----------------- NET ASSETS END OF PERIOD $ 14,019 $ 36,421 $ 7,629 ================== ================ ================= UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 265 $ 97 $ 25 ================== ================ ================= (1)SHARE TRANSACTIONS Shares sold 381 2,336 583 Reinvestment of distributions 28 16 - Shares redeemed (506) (533) (90) ------------------ ---------------- ----------------- Net increase (decrease) (97) 1,819 493 ================== ================ ================= See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/S&P JNL/S&P Equity JNL/S&P Equity Core Index 75 Aggressive Aggressive OPERATIONS Fund Growth Fund I Growth Fund II ------------------- ------------------- -------------------- Net investment income (loss) $ 48 $ 35 $ 1 Net realized gain (loss) on: Distributions from investment companies 27 23 - Investments (102) (821) (281) Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 1,666 11,363 621 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------- ------------------- -------------------- ------------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 1,639 10,600 341 ------------------- ------------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (26) (2) (1) From net realized gains on investment transactions (14) - - ------------------- ------------------- -------------------- ------------------- ------------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (40) (2) (1) ------------------- ------------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 6,042 16,939 289 Reinvestment of distributions 40 2 1 Cost of shares redeemed (2,124) (7,567) (580) ------------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 3,958 9,374 (290) ------------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS 5,557 19,972 50 NET ASSETS BEGINNING OF PERIOD 4,460 31,372 1,510 ------------------- ------------------- -------------------- NET ASSETS END OF PERIOD $ 10,017 $ 51,344 $ 1,560 =================== =================== ==================== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 49 $ 35 $ 1 =================== =================== ==================== (1)SHARE TRANSACTIONS Shares sold 654 2,047 36 Reinvestment of distributions 4 - - Shares redeemed (235) (939) (78) ------------------- ------------------- -------------------- Net increase (decrease) 423 1,108 (42) =================== =================== ==================== JNL/S&P JNL/S&P JNL/S&P Equity Equity Moderate OPERATIONS Growth Fund I Growth Fund II Growth Fund ------------------ ------------------- ----------------- Net investment income (loss) $ 221 $ 9 $ 257 Net realized gain (loss) on: Distributions from investment companies 70 2 66 Investments (3,503) (478) (1,524) Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 36,661 1,809 7,117 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ------------------- ----------------- ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 33,449 1,342 5,916 ------------------ ------------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (20) (8) (189) From net realized gains on investment transactions - - - ------------------ ------------------- ----------------- ------------------ ------------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (20) (8) (189) ------------------ ------------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 63,227 1,094 3,589 Reinvestment of distributions 20 8 189 Cost of shares redeemed (26,188) (1,444) (6,209) ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 37,059 (342) (2,431) ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 70,488 992 3,296 NET ASSETS BEGINNING OF PERIOD 105,130 5,447 25,504 ------------------ ------------------- ----------------- NET ASSETS END OF PERIOD $ 175,618 $ 6,439 $ 28,800 ================== =================== ================= UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 220 $ 9 $ 257 ================== =================== ================= (1)SHARE TRANSACTIONS Shares sold 7,379 143 494 Reinvestment of distributions 2 - 23 Shares redeemed (3,285) (201) (885) ------------------ ------------------- ----------------- Net increase (decrease) 4,096 (58) (368) ================== =================== ================= See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/S&P JNL/S&P JNL/S&P Very JNL/S&P Very Moderate Moderate Aggressive Aggressive OPERATIONS Growth Fund I Growth Fund II Growth Fund I Growth Fund II ------------------- --------------- ---------------- ---------------- Net investment income (loss) $ 6,041 $ 271 $ 16 $ - Net realized gain (loss) on: Distributions from investment companies 1,941 47 37 1 Investments (2,635) (1,023) (1,736) (205) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 84,087 4,258 14,557 701 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------- --------------- ---------------- ---------------- ------------------- --------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 89,434 3,553 12,874 497 ------------------- --------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (9,969) (243) - - From net realized gains on investment transactions - - - - ------------------- --------------- ---------------- ---------------- ------------------- --------------- ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,969) (243) - - ------------------- --------------- ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 280,481 3,947 15,980 170 Reinvestment of distributions 9,969 243 - - Cost of shares redeemed (91,571) (4,641) (10,789) (446) ------------------- --------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 198,879 (451) 5,191 (276) ------------------- --------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 278,344 2,859 18,065 221 NET ASSETS BEGINNING OF PERIOD 331,543 16,473 42,128 1,898 ------------------- --------------- ---------------- ---------------- NET ASSETS END OF PERIOD $ 609,887 $ 19,332 $ 60,193 $ 2,119 =================== =============== ================ ================ UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 84 $ 271 $ 16 $ - =================== =============== ================ ================ (1)SHARE TRANSACTIONS Shares sold 27,588 455 1,814 21 Reinvestment of distributions 915 26 - - Shares redeemed (9,227) (554) (1,296) (56) ------------------- --------------- ---------------- ---------------- Net increase (decrease) 19,276 (73) 518 (35) =================== =============== ================ ================ JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers Balanced High Yield Strategic Bond OPERATIONS Fund Bond Fund Fund ------------------ -------------- -------------- Net investment income (loss) $ 271 $ 1,678 $ 8,040 Net realized gain (loss) on: Distributions from investment companies - - - Investments 236 282 5,683 Foreign currency related items - - 65 Futures contracts and options written - - (196) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 2,116 2,578 6,751 Foreign currency related items - - (585) Futures contracts and options written - - (134) Investment securities sold short - - - ------------------ -------------- -------------- ------------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,623 4,538 19,624 ------------------ -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (359) (1,671) (8,348) From net realized gains on investment transactions - - (2,473) ------------------ -------------- -------------- ------------------ -------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (359) (1,671) (10,821) ------------------ -------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 5,071 14,252 103,967 Reinvestment of distributions 359 1,671 10,821 Cost of shares redeemed (4,507) (16,405) (51,549) ------------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 923 (482) 63,239 ------------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 3,187 2,385 72,042 NET ASSETS BEGINNING OF PERIOD 15,453 17,079 125,881 ------------------ -------------- -------------- NET ASSETS END OF PERIOD $ 18,640 $ 19,464 $ 197,923 ================== ============== ============== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 274 $ 27 $ (85) ================== ============== ============== (1)SHARE TRANSACTIONS Shares sold 494 1,863 9,069 Reinvestment of distributions 34 209 949 Shares redeemed (445) (2,095) (4,502) ------------------ -------------- -------------- Net increase (decrease) 83 (23) 5,516 ================== ============== ============== See Notes to the Financial Statements. JNL SERIES TRUST Statements of Changes in Net Assets (in thousands) For the Year Ended December 31, 2003 JNL/Salomon Brothers U.S. Government JNL/Select JNL/Select & Quality Global Growth Large Cap OPERATIONS Bond Fund Fund Growth Fund ------------------- ---------------- ---------------- Net investment income (loss) $ 9,586 $ 1,358 $ (661) Net realized gain (loss) on: Distributions from investment companies - - - Investments 1,988 (17,821) 3,046 Foreign currency related items - (2,706) (951) Futures contracts and options written (891) - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (6,247) 58,340 68,639 Foreign currency related items - 2,057 706 Futures contracts and options written (1,305) - - Investment securities sold short - - - ------------------- ---------------- ---------------- ------------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 3,131 41,228 70,779 ------------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (8,985) - - From net realized gains on investment transactions (3,071) - - ------------------- ---------------- ------------------- ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (12,056) - - ------------------- ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 116,258 122,022 150,530 Reinvestment of distributions 12,056 - - Cost of shares redeemed (166,380) (172,032) (179,341) ------------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (38,066) (50,010) (28,811) ------------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS (46,991) (8,782) 41,968 NET ASSETS BEGINNING OF PERIOD 304,265 206,070 215,884 ------------------- ---------------- ---------------- NET ASSETS END OF PERIOD $ 257,274 $ 197,288 $ 257,852 =================== ================ ================ UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 603 $ (16) $ - =================== ================ ================ (1)SHARE TRANSACTIONS Shares sold 9,701 8,741 10,677 Reinvestment of distributions 1,046 - - Shares redeemed (13,912) (12,071) (12,638) ------------------- ---------------- ---------------- Net increase (decrease) (3,165) (3,330) (1,961) =================== ================ ================ JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price Established Mid-Cap Value OPERATIONS Growth Fund Growth Fund Fund ------------------- --------------- ------------------- Net investment income (loss) $ 524 $ (1,757) $ 2,920 Net realized gain (loss) on: Distributions from investment companies - - - Investments (9,452) 16,865 806 Foreign currency related items (130) (7) (12) Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 109,404 80,745 76,421 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------- --------------- ------------------- ------------------- --------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 100,346 95,846 80,135 ------------------- --------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (118) - (2,064) From net realized gains on investment transactions - (1,870) - ------------------- --------------- ------------------- ------------------- --------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (118) (1,870) (2,064) ------------------- --------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 151,073 186,200 176,771 Reinvestment of distributions 118 1,870 2,064 Cost of shares redeemed (93,740) (150,832) (72,542) ------------------- --------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 57,451 37,238 106,293 ------------------- --------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 157,679 131,214 184,364 NET ASSETS BEGINNING OF PERIOD 316,367 248,327 220,106 ------------------- --------------- ------------------- NET ASSETS END OF PERIOD $ 474,046 $ 379,541 $ 404,470 =================== =============== =================== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 368 $ (6) $ 2,909 =================== =============== =================== (1)SHARE TRANSACTIONS Shares sold 10,368 9,080 17,188 Reinvestment of distributions 7 77 178 Shares redeemed (6,729) (7,666) (7,283) ------------------- --------------- ------------------- Net increase (decrease) 3,646 1,491 10,083 =================== =============== =================== See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND Class A 6/30/2004 $ 10.61 $ (0.02) $ 0.63 $ 0.61 $ - $ - 12/31/2003 8.16 (0.02) 2.47 2.45 - - 12/31/2002 10.97 (0.03) (2.76) (2.79) - (0.02) 10/29(a)-12/31/01 10.00 - 0.97 0.97 - - Class B 03/08(a)-06/30/04 10.99 - 0.23 0.23 - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND Class A 6/30/2004 11.67 (0.06) 0.46 0.40 - - 12/31/2003 8.43 (0.05) 3.29 3.24 - - 12/31/2002 11.60 (0.07) (3.10) (3.17) - - 10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - - Class B 03/08(a)-06/30/04 12.21 (0.02) (0.11) (0.13) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/ALGER GROWTH FUND Class A 6/30/2004 14.76 (0.04) 0.48 0.44 - - 12/31/2003 10.91 (0.03) 3.88 3.85 - - 12/31/2002 16.33 (0.04) (5.38) (5.42) - - 12/31/2001 18.58 (0.04) (2.18) (2.22) - (0.03) 12/31/2000 22.91 (0.01) (3.08) (3.09) - (1.24) 12/31/1999 18.95 (0.03) 6.42 6.39 - (2.43) Class B 03/08(a)-06/30/04 15.41 - (0.19) (0.19) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND Class A 6/30/2004 9.92 - 0.32 0.32 - - 12/31/2003 7.98 0.01 1.93 1.94 - - 12/31/2002 11.57 (0.01) (3.58) (3.59) - - 12/31/2001 13.55 - (1.97) (1.97) (0.01) - 12/31/2000 16.64 - (2.93) (2.93) - (0.16) 12/31/1999 13.28 (0.01) 3.76 3.75 - (0.39) Class B 03/08(a)-06/30/04 10.19 - 0.05 0.05 - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND Class A 6/30/2004 $ 11.22 5.75 % $ 147,730 52.08% 1.08 % (0.50)% 12/31/2003 10.61 30.02 36,421 140.00 1.10 (0.41) 12/31/2002 8.16 (25.47) 6,857 180.06 1.10 (0.33) 10/29(a)-12/31/01 10.97 9.70 6,058 14.93 1.10 (0.26) Class B 03/08(a)-06/30/04 11.22 2.09 9 52.08 0.88 (0.25) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND Class A 6/30/2004 12.07 3.43 47,204 34.70 1.15 (0.95) 12/31/2003 11.67 38.43 43,936 30.17 1.15 (0.89) 12/31/2002 8.43 (27.32) 12,915 46.22 1.15 (0.83) 10/29(a)-12/31/01 11.60 16.00 7,665 3.86 1.15 (0.74) Class B 03/08(a)-06/30/04 12.08 (1.07) 1 34.70 0.95 (0.75) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/ALGER GROWTH FUND Class A 6/30/2004 15.20 2.98 275,965 90.86 1.08 (0.51) 12/31/2003 14.76 35.29 244,667 168.09 1.08 (0.27) 12/31/2002 10.91 (33.19) 175,439 236.63 1.08 (0.25) 12/31/2001 16.33 (11.97) 341,162 86.80 1.07 (0.23) 12/31/2000 18.58 (13.44) 459,577 88.34 1.07 (0.03) 12/31/1999 22.91 33.80 400,639 122.58 1.07 (0.22) Class B 03/08(a)-06/30/04 15.22 (1.36) 1 90.86 0.88 (0.14) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND Class A 6/30/2004 10.24 3.23 68,601 47.25 0.88 (0.12) 12/31/2003 9.92 24.31 128,518 49.69 0.88 0.11 12/31/2002 7.98 (31.03) 86,891 54.13 0.88 (0.10) 12/31/2001 11.57 (14.57) 140,511 65.21 0.87 0.05 12/31/2000 13.55 (17.59) 92,981 47.01 0.87 0.01 12/31/1999 16.64 28.23 18,256 51.15 0.88 (0.07) Class B 03/08(a)-06/30/04 10.24 0.49 1 47.25 0.68 (0.01) - ----------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND Class A 6/30/2004 1.14 % (0.56)% 12/31/2003 1.18 (0.49) 12/31/2002 1.15 (0.38) 10/29(a)-12/31/01 1.32 (0.48) Class B 03/08(a)-06/30/04 0.94 (0.31) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND Class A 6/30/2004 1.18 (0.98) 12/31/2003 1.19 (0.93) 12/31/2002 1.17 (0.85) 10/29(a)-12/31/01 1.24 (0.83) Class B 03/08(a)-06/30/04 0.98 (0.78) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/ALGER GROWTH FUND Class A 6/30/2004 1.15 (0.58) 12/31/2003 1.15 (0.34) 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.95 (0.21) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND Class A 6/30/2004 0.94 (0.18) 12/31/2003 0.91 0.08 12/31/2002 0.89 (0.11) 12/31/2001 0.90 0.02 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.74 (0.07) - ---------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND Class A 6/30/2004 $ 14.17 $ 0.04 $(0.04) $ - $ - $ - 12/31/2003 11.45 0.09 2.72 2.81 (0.09) - 12/31/2002 14.53 0.10 (3.08) (2.98) (0.10) - 12/31/2001 16.21 0.07 (1.67) (1.60) (0.07) (0.01) 12/31/2000 18.47 0.08 (0.08) - (0.09) (2.17) 12/31/1999 15.91 0.11 3.63 3.74 (0.11) (1.07) Class B 03/08(a)-06/30/04 14.68 0.02 (0.52) (0.50) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND Class A 6/30/2004 16.81 (0.06) 1.36 1.30 - - 12/31/2003 12.01 (0.10) 4.90 4.80 - - 12/31/2002 15.55 (0.08) (3.46) (3.54) - - 12/31/2001 14.20 (0.41) 1.97 1.56 - (0.21) 12/31/2000 16.97 (0.04) (2.23) (2.27) - (0.50) 12/31/1999 14.82 (0.04) 2.88 2.84 - (0.69) Class B 03/08(a)-06/30/04 18.33 (0.02) (0.18) (0.20) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/FMR BALANCED FUND Class A 6/30/2004 9.27 0.07 0.16 0.23 - - 12/31/2003 8.26 0.12 1.01 1.13 (0.12) - 12/31/2002 9.05 0.20 (0.80) (0.60) (0.19) - 12/31/2001 9.69 0.21 (0.65) (0.44) (0.20) - 05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11) - Class B 03/08(a)-06/30/04 9.52 0.04 (0.06) (0.02) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/FMR CAPITAL GROWTH FUND Class A 6/30/2004 13.28 (0.02) 0.85 0.83 - - 12/31/2003 9.79 (0.06) 3.55 3.49 - - 12/31/2002 13.83 (0.07) (3.97) (4.04) - - 12/31/2001 23.55 (0.11) (9.35) (9.46) - (0.26) 12/31/2000 43.62 (0.20) (14.90) (15.10) - (4.97) 12/31/1999 20.73 (0.13) 25.85 25.72 - (2.83) Class B 03/08(a)-06/30/04 13.97 - 0.15 0.15 - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND Class A 6/30/2004 $ 14.17 0.00 % $ 309,061 71.30% 0.96 % 0.63 % 12/31/2003 14.17 24.54 245,913 80.50 0.97 0.83 12/31/2002 11.45 (20.53) 149,242 94.37 0.97 0.78 12/31/2001 14.53 (9.83) 174,813 102.56 0.97 0.58 12/31/2000 16.21 0.28 146,888 192.40 0.97 0.57 12/31/1999 18.47 23.55 95,329 124.71 0.99 0.97 Class B 03/08(a)-06/30/04 14.18 (3.41) 1 71.30 0.76 0.72 - ------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND Class A 6/30/2004 18.11 7.73 141,954 26.14 1.05 (0.77) 12/31/2003 16.81 39.97 109,972 70.06 1.05 (0.75) 12/31/2002 12.01 (22.77) 76,198 71.45 1.05 (0.49) 12/31/2001 15.55 11.00 112,967 65.36 1.05 (0.31) 12/31/2000 14.20 (13.25) 77,200 89.43 1.05 (0.30) 12/31/1999 16.97 19.27 61,504 61.69 1.05 (0.35) Class B 03/08(a)-06/30/04 18.13 (1.09) 1 26.14 0.85 (0.55) - ------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------- JNL/FMR BALANCED FUND Class A 6/30/2004 9.50 2.48 96,112 122.52 1.04 1.37 12/31/2003 9.27 13.73 114,262 60.48 1.05 1.64 12/31/2002 8.26 (6.57) 75,591 90.71 1.05 2.11 12/31/2001 9.05 (4.49) 72,281 105.66 1.05 2.48 05/01(a)-12/31/00 9.69 (2.00) 44,294 41.10 1.05 2.42 Class B 03/08(a)-06/30/04 9.50 (0.21) 1 122.52 0.84 1.45 - ------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------- JNL/FMR CAPITAL GROWTH FUND Class A 6/30/2004 14.11 6.25 153,077 147.56 1.03 (0.25) 12/31/2003 13.28 35.65 158,013 31.95 1.05 (0.51) 12/31/2002 9.79 (29.21) 135,669 56.03 1.04 (0.51) 12/31/2001 13.83 (40.19) 260,726 96.69 1.01 (0.61) 12/31/2000 23.55 (34.74) 496,830 110.81 0.99 (0.67) 12/31/1999 43.62 124.19 509,086 102.26 1.03 (0.75) Class B 03/08(a)-06/30/04 14.12 1.07 1 147.56 0.83 0.21 - ------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND Class A 6/30/2004 1.02 % 0.57 % 12/31/2003 1.01 0.79 12/31/2002 1.00 0.75 12/31/2001 0.99 0.56 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.82 0.66 - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND Class A 6/30/2004 1.07 (0.79) 12/31/2003 1.10 (0.80) 12/31/2002 1.08 (0.52) 12/31/2001 1.07 (0.33) 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.87 (0.57) - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/FMR BALANCED FUND Class A 6/30/2004 1.06 1.35 12/31/2003 1.07 1.62 12/31/2002 1.07 2.09 12/31/2001 1.06 2.47 05/01(a)-12/31/00 n/a n/a Class B 03/08(a)-06/30/04 0.86 1.43 - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/FMR CAPITAL GROWTH FUND Class A 6/30/2004 1.04 (0.26) 12/31/2003 1.07 (0.53) 12/31/2002 1.09 (0.56) 12/31/2001 1.03 (0.63) 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.84 0.20 - ------------------------------------------------------------- - ------------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 6/30/2004 $ 7.65 $ 0.07 $ 0.35 $ 0.42 $ - $ - 12/31/2003 5.56 - 2.19 2.19 (0.10) - 12/31/2002 7.75 0.07 (2.13) (2.06) (0.13) - 12/31/2001 9.79 0.09 (2.08) (1.99) (0.04) (0.01) 12/31/2000 13.15 0.04 (2.10) (2.06) (0.06) (1.24) 12/31/1999 9.82 0.06 3.67 3.73 (0.21) (0.19) Class B 03/08(a)-06/30/04 8.17 - (0.10) (0.10) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND Class A 6/30/2004 13.16 0.02 1.46 1.48 - - 12/31/2003 10.23 0.04 2.92 2.96 (0.03) - 12/31/2002 11.97 0.03 (1.72) (1.69) (0.03) (0.02) 12/31/2001 11.75 0.06 1.50 1.56 (0.06) (1.28) 12/31/2000 9.63 0.03 2.40 2.43 (0.03) (0.28) 12/31/1999 9.21 0.02 0.42 0.44 (0.02) - Class B 03/08(a)-06/30/04 14.28 0.01 0.36 0.37 - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND Class A 6/30/2004 13.05 - 0.78 0.78 - - 12/31/2003 9.40 0.01 3.64 3.65 - - 12/31/2002 11.40 - (1.96) (1.96) - (0.04) 12/31/2001 10.28 0.02 1.77 1.79 (0.02) (0.65) 12/31/2000 8.84 0.02 1.45 1.47 (0.03) - 12/31/1999 8.70 0.03 0.14 0.17 (0.03) - Class B 03/08(a)-06/30/04 13.92 - (0.08) (0.08) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Class A 6/30/2004 10.47 0.13 (0.14) (0.01) - - 12/31/2003 10.48 0.23 0.07 0.30 (0.19) (0.12) 01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36) (0.02) Class B 03/08(a)-06/30/04 10.73 0.03 (0.29) (0.26) - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 6/30/2004 $ 8.07 5.49 % $ 52,426 56.22% 1.13 % 2.09 % 12/31/2003 7.65 39.43 29,609 131.90 1.12 0.75 12/31/2002 5.56 (26.59) 5,642 146.48 1.08 0.95 12/31/2001 7.75 (20.33) 7,304 82.18 1.07 1.07 12/31/2000 9.79 (15.45) 9,264 120.75 1.07 0.40 12/31/1999 13.15 38.02 7,777 66.82 1.08 0.53 Class B 03/08(a)-06/30/04 8.07 (1.22) 1 56.22 0.93 (0.11) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND Class A 6/30/2004 14.64 11.25 164,781 58.89 1.08 0.24 12/31/2003 13.16 28.89 142,798 88.62 1.08 0.40 12/31/2002 10.23 (14.08) 76,890 98.18 1.08 0.41 12/31/2001 11.97 13.24 26,886 143.12 1.07 0.65 12/31/2000 11.75 25.37 15,478 134.53 1.07 0.37 12/31/1999 9.63 4.77 6,394 118.56 1.08 0.25 Class B 03/08(a)-06/30/04 14.65 2.59 11 58.89 0.88 0.77 - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND Class A 6/30/2004 13.83 5.98 170,004 59.95 1.12 (0.06) 12/31/2003 13.05 38.83 155,191 70.95 1.13 0.17 12/31/2002 9.40 (17.22) 74,559 94.87 1.14 (0.03) 12/31/2001 11.40 17.34 35,164 78.01 1.15 0.32 12/31/2000 10.28 16.60 14,614 58.07 1.15 0.36 12/31/1999 8.84 1.96 6,313 53.35 1.15 0.43 Class B 03/08(a)-06/30/04 13.84 (0.58) 10 59.95 0.92 0.18 - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANANAGEMENT BOND INDEX FUND Class A 6/30/2004 10.46 (0.10) 125,103 34.49 0.60 3.45 12/31/2003 10.47 2.87 83,547 70.57 0.60 3.29 01/15(a)-12/31/02 10.48 8.55 34,286 77.16 0.60 4.12 Class B 03/08(a)-06/30/04 10.47 (2.42) 5 34.49 0.40 3.82 - ----------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 6/30/2004 n/a % n/a % 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND Class A 6/30/2004 1.13 0.19 12/31/2003 1.17 0.31 12/31/2002 1.12 0.37 12/31/2001 1.20 0.52 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.93 0.72 - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND Class A 6/30/2004 1.17 (0.11) 12/31/2003 1.20 0.10 12/31/2002 1.17 (0.06) 12/31/2001 1.21 0.26 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.97 0.13 - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/MELLON CAPITAL MANANAGEMENT BOND INDEX FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 01/15(a)-12/31/02 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 6/30/2004 $ 7.93 $ - $ 0.30 $ 0.30 $ - $ - 12/31/2003 6.16 0.03 1.76 1.79 (0.02) - 12/31/2002 8.21 0.04 (2.09) (2.05) - - 12/31/2001 9.34 0.03 (1.13) (1.10) (0.03) - 12/31/2000 10.58 0.04 (1.24) (1.20) (0.03) (0.01) 05/16(a)-12/31/99 10.00 0.03 0.65 0.68 (0.03) (0.07) Class B 03/08(a)-06/30/04 8.24 0.02 (0.02) - - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 6/30/2004 11.45 0.13 0.36 0.49 - - 12/31/2003 8.44 0.10 3.04 3.14 (0.13) - 01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20) - Class B 03/08(a)-06/30/04 12.05 0.04 (0.14) (0.10) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Class A 6/30/2004 11.47 0.03 0.64 0.67 - - 12/31/2003 8.55 0.03 2.92 2.95 (0.03) - 01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06) - Class B 03/08(a)-06/30/04 12.28 0.01 (0.14) (0.13) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 6/30/2004 9.84 0.04 0.26 0.30 - - 12/31/2003 7.79 0.03 2.13 2.16 (0.08) (0.03) 01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) - - Class B 03/08(a)-06/30/04 10.25 0.02 (0.12) (0.10) - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 6/30/2004 $ 8.23 3.78 % $ 171,742 41.69% 0.78 % 0.71 % 12/31/2003 7.93 29.09 89,068 123.94 0.87 0.87 12/31/2002 6.16 (24.94) 42,071 63.08 0.89 0.69 12/31/2001 8.21 (11.78) 31,415 55.97 0.90 0.44 12/31/2000 9.34 (11.38) 22,622 57.14 0.90 0.56 05/16(a)-12/31/99 10.58 6.85 5,341 34.39 0.90 0.56 Class B 03/08(a)-06/30/04 8.24 0.00 1 41.69 0.58 0.82 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 6/30/2004 11.94 4.28 208,743 2.22 0.65 3.05 12/31/2003 11.45 37.31 97,126 1.66 0.65 1.59 01/15(a)-12/31/02 8.44 (13.60) 26,518 32.40 0.65 1.56 Class B 03/08(a)-06/30/04 11.95 (0.83) 5 2.22 0.45 4.01 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Class A 6/30/2004 12.14 5.84 139,773 8.04 0.59 0.61 12/31/2003 11.47 34.55 81,077 18.34 0.60 0.65 01/15(a)-12/31/02 8.55 (13.94) 12,728 60.00 0.60 0.60 Class B 03/08(a)-06/30/04 12.15 (1.06) 31 8.04 0.39 0.82 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 6/30/2004 10.14 3.05 283,105 3.06 0.59 1.02 12/31/2003 9.84 27.79 190,338 8.90 0.60 1.22 01/15(a)-12/31/02 7.79 (22.10) 46,776 1.89 0.60 1.15 Class B 03/08(a)-06/30/04 10.15 (0.98) 80 3.06 0.39 1.42 - ---------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 6/30/2004 n/a % n/a % 12/31/2003 0.89 0.85 12/31/2002 0.90 0.68 12/31/2001 n/a n/a 12/31/2000 n/a n/a 05/16(a)-12/31/99 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 01/15(a)-12/31/02 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Class A 6/30/2004 n/a n/a 12/31/2003 0.61 0.64 01/15(a)-12/31/02 0.61 0.59 Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 6/30/2004 n/a n/a 12/31/2003 0.61 1.21 01/15(a)-12/31/02 0.61 1.14 Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 6/30/2004 $ 11.46 $ 0.03 $ 0.69 $ 0.72 $ - $ - 12/31/2003 7.94 0.05 3.59 3.64 (0.04) (0.08) 01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08) - Class B 03/08(a)-06/30/04 12.33 0.01 (0.16) (0.15) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 6/30/2004 10.12 0.03 0.27 0.30 - - 12/31/2003 7.20 0.03 2.89 2.92 - - 12/31/2002 9.27 0.03 (2.10) (2.07) - - 05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - - Class B 03/08(a)-06/30/04 10.71 0.01 (0.29) (0.28) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND Class A 6/30/2004 8.28 (0.02) 0.22 0.20 - - 12/31/2003 7.03 (0.03) 1.28 1.25 - - 12/31/2002 9.41 (0.03) (2.35) (2.38) - - 05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) - Class B 03/08(a)-06/30/04 8.57 - (0.09) (0.09) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND Class A 6/30/2004 11.76 0.04 (0.03) 0.01 - - 12/31/2003 11.60 0.13 0.42 0.55 (0.17) (0.22) 12/31/2002 10.66 0.24 0.70 0.94 - - 12/31/2001 10.29 0.30 0.68 0.98 (0.28) (0.33) 12/31/2000 9.64 0.45 0.68 1.13 (0.47) (0.01) 12/31/1999 10.16 0.49 (0.52) (0.03) (0.49) - Class B 03/08(a)-06/30/04 12.02 0.06 (0.30) (0.24) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA BALANCED FUND Class A 6/30/2004 15.55 0.18 0.30 0.48 - - 12/31/2003 13.14 0.32 2.51 2.83 (0.30) (0.12) 12/31/2002 14.00 0.42 (0.69) (0.27) (0.42) (0.17) 12/31/2001 13.13 0.41 0.98 1.39 (0.44) (0.08) 12/31/2000 12.60 0.50 0.52 1.02 (0.46) (0.03) 12/31/1999 13.48 0.44 (0.45) (0.01) (0.44) (0.43) Class B 03/08(a)-06/30/04 16.19 0.09 (0.26) (0.17) - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 6/30/2004 $ 12.18 6.28 % $ 122,479 18.57% 0.59 % 0.59 % 12/31/2003 11.46 45.88 76,130 38.17 0.60 0.75 01/15(a)-12/31/02 7.94 (19.79) 20,027 49.44 0.60 0.96 Class B 03/08(a)-06/30/04 12.18 (1.22) 18 18.57 0.39 0.93 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 6/30/2004 10.42 2.96 165,654 8.81 1.05 0.88 12/31/2003 10.12 40.56 104,625 38.02 1.05 0.57 12/31/2002 7.20 (22.33) 50,522 64.05 1.05 0.44 05/01(a)-12/31/01 9.27 (7.30) 59,841 44.80 1.05 0.54 Class B 03/08(a)-06/30/04 10.43 (2.61) 14 8.81 0.85 1.13 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND Class A 6/30/2004 8.48 2.42 25,454 60.93 1.00 (0.35) 12/31/2003 8.28 17.78 32,993 94.02 1.00 (0.49) 12/31/2002 7.03 (25.29) 17,846 55.58 1.00 (0.49) 05/01(a)-12/31/01 9.41 (5.82) 13,557 58.88 1.00 0.17 Class B 03/08(a)-06/30/04 8.48 (1.05) 1 60.93 0.80 (0.12) - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND Class A 6/30/2004 11.77 0.09 376,057 72.01 0.80 1.30 12/31/2003 11.76 4.78 317,301 146.76 0.80 2.02 12/31/2002 11.60 8.85 211,362 116.05 0.80 3.23 12/31/2001 10.66 9.52 54,851 112.25 0.80 4.35 12/31/2000 10.29 11.75 21,715 221.61 0.93 (e) 5.98 12/31/1999 9.64 (0.26) 9,451 91.12 0.80 5.41 Class B 03/08(a)-06/30/04 11.78 (2.00) 1 72.01 0.60 1.38 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA BALANCED FUND Class A 6/30/2004 16.03 3.09 324,575 47.89 0.80 2.30 12/31/2003 15.55 21.57 303,892 54.21 0.80 2.49 12/31/2002 13.14 (1.93) 217,013 68.30 0.81 2.98 12/31/2001 14.00 10.57 212,196 42.38 0.81 3.28 12/31/2000 13.13 8.25 155,270 25.76 0.82 4.02 12/31/1999 12.60 (0.11) 143,012 35.02 0.82 3.71 Class B 03/08(a)-06/30/04 16.02 (1.05) 1 47.89 0.60 2.03 - ---------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 6/30/2004 n/a % n/a % 12/31/2003 0.61 0.74 01/15(a)-12/31/02 0.62 0.94 Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 05/01(a)-12/31/01 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 05/01(a)-12/31/01 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/PPM AMERICA BALANCED FUND Class A 6/30/2004 n/a n/a 12/31/2003 0.81 2.48 12/31/2002 0.81 2.98 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. (e) The ratio of net operating expenses was 0.80%. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA HIGH YIELD BOND FUND Class A 6/30/2004 $ 8.70 $ 0.32 $ (0.30) $ 0.02 $ - $ - 12/31/2003 7.79 0.55 0.90 1.45 (0.54) - 12/31/2002 8.29 0.66 (0.49) 0.17 (0.67) - 12/31/2001 8.60 0.79 (0.30) 0.49 (0.80) - 12/31/2000 10.13 0.98 (1.55) (0.57) (0.96) - 12/31/1999 10.89 0.88 (0.76) 0.12 (0.88) - Class B 03/08(a)-06/30/04 8.82 0.19 (0.29) (0.10) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA MONEY MARKET FUND Class A 6/30/2004 1.00 - - - - - 12/31/2003 1.00 0.01 - 0.01 (0.01) - 12/31/2002 1.00 0.01 - 0.01 (0.01) - 12/31/2001 1.00 0.03 - 0.03 (0.03) - 12/31/2000 1.00 0.06 - 0.06 (0.06) - 12/31/1999 1.00 0.05 - 0.05 (0.05) - Class B 03/08(a)-06/30/04 1.00 - - - - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA VALUE FUND Class A 6/30/2004 14.70 (0.01) 0.79 0.78 - - 12/31/2003 10.97 0.11 3.71 3.82 (0.03) (0.06) 09/30(a)-12/31/02 10.00 0.06 0.91 0.97 - - Class B 03/08(a)-06/30/04 15.47 0.06 (0.04) 0.02 - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND Class A 6/30/2004 16.54 0.04 0.55 0.59 - - 12/31/2003 13.04 0.08 3.47 3.55 (0.05) - 12/31/2002 17.18 - (4.14) (4.14) - - 12/31/2001 22.91 (0.01) (5.72) (5.73) - - 12/31/2000 28.45 (0.05) (5.03) (5.08) - (0.46) 12/31/1999 22.88 (0.04) 6.76 6.72 - (1.15) Class B 03/08(a)-06/30/04 17.26 0.04 (0.15) (0.11) - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA HIGH YIELD BOND FUND Class A 6/30/2004 $ 8.72 0.23 % $ 262,592 12.16% 0.80 % 7.25 % 12/31/2003 8.70 18.67 266,181 37.45 0.81 7.47 12/31/2002 7.79 2.05 161,094 61.00 0.82 7.89 12/31/2001 8.29 5.67 160,781 41.24 0.81 8.68 12/31/2000 8.60 (5.62) 144,516 62.41 0.82 10.06 12/31/1999 10.13 1.09 147,023 61.03 0.82 9.22 Class B 03/08(a)-06/30/04 8.72 (1.13) 1 12.16 0.60 7.44 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA MONEY MARKET FUND Class A 6/30/2004 1.00 0.22 184,898 n/a 0.60 0.44 12/31/2003 1.00 0.46 184,442 n/a 0.69 0.47 12/31/2002 1.00 1.07 214,520 n/a 0.69 1.07 12/31/2001 1.00 3.45 242,518 n/a 0.69 3.28 12/31/2000 1.00 5.83 185,012 n/a 0.70 5.73 12/31/1999 1.00 4.67 164,446 n/a 0.70 4.63 Class B 03/08(a)-06/30/04 1.00 0.14 1 n/a 0.40 0.73 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA VALUE FUND Class A 6/30/2004 15.48 5.31 143,150 8.91 0.85 1.43 12/31/2003 14.70 34.80 54,532 16.19 0.85 1.81 09/30(a)-12/31/02 10.97 9.70 18,004 8.64 0.85 2.24 Class B 03/08(a)-06/30/04 15.49 0.13 1 8.91 0.65 1.49 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND Class A 6/30/2004 17.13 3.57 152,954 37.91 0.99 0.36 12/31/2003 16.54 27.23 164,927 74.82 1.00 0.45 12/31/2002 13.04 (24.10) 153,303 123.47 0.99 0.23 12/31/2001 17.18 (25.01) 282,049 91.77 0.96 (0.07) 12/31/2000 22.91 (17.85) 497,299 77.67 0.94 (0.22) 12/31/1999 28.45 29.41 454,393 74.67 0.97 (0.21) Class B 03/08(a)-06/30/04 17.15 (0.64) 1 37.91 0.79 0.74 - ---------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/PPM AMERICA HIGH YIELD BOND FUND Class A 6/30/2004 n/a % n/a % 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - --------------------------------------------------------- - --------------------------------------------------------- JNL/PPM AMERICA MONEY MARKET FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - --------------------------------------------------------- - --------------------------------------------------------- JNL/PPM AMERICA VALUE FUND Class A 6/30/2004 n/a n/a 12/31/2003 0.88 1.78 09/30(a)-12/31/02 0.98 2.11 Class B 03/08(a)-06/30/04 n/a n/a - --------------------------------------------------------- - --------------------------------------------------------- JNL/PUTNAM EQUITY FUND Class A 6/30/2004 1.04 0.31 12/31/2003 1.07 0.38 12/31/2002 1.05 0.17 12/31/2001 0.99 (0.10) 12/31/2000 0.95 (0.23) 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.84 0.69 - --------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND Class A 6/30/2004 $ 9.61 $ 0.10 $ 0.02 $ 0.12 $ - $ - 12/31/2003 7.59 0.10 2.06 2.16 (0.14) - 12/31/2002 9.66 0.08 (2.07) (1.99) (0.08) - 12/31/2001 12.23 0.08 (2.56) (2.48) (0.07) (0.02) 12/31/2000 16.79 0.08 (2.49) (2.41) (0.01) (2.14) 12/31/1999 13.62 0.09 4.28 4.37 (0.16) (1.04) Class B 03/08(a)-06/30/04 10.11 0.09 (0.46) (0.37) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND Class A 6/30/2004 6.82 (0.02) 0.53 0.51 - - 12/31/2003 5.11 (0.03) 1.74 1.71 - - 12/31/2002 7.23 (0.04) (2.08) (2.12) - - 12/31/2001 9.90 (0.05) (2.62) (2.67) - - 05/01(a)-12/31/00 10.00 - (0.10) (0.10) - - Class B 03/08(a)-06/30/04 7.32 - 0.02 0.02 - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND Class A 6/30/2004 16.09 0.10 0.37 0.47 - - 12/31/2003 13.06 0.16 3.04 3.20 (0.17) - 12/31/2002 16.50 0.16 (3.44) (3.28) (0.16) - 12/31/2001 17.78 0.15 (1.27) (1.12) (0.16) - 12/31/2000 16.78 0.16 1.00 1.16 (0.16) - 12/31/1999 18.24 0.19 (0.38) (0.19) (0.20) (1.07) Class B 03/08(a)-06/30/04 16.82 0.05 (0.30) (0.25) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND I Class A 6/30/2004 10.57 (0.01) 0.40 0.39 - - 12/31/2003 8.44 0.06 2.20 2.26 (0.13) - 12/31/2002 10.45 0.06 (1.97) (1.91) (0.10) - 12/31/2001 12.86 0.02 (1.38) (1.36) (0.35) (0.70) 12/31/2000 14.69 (0.10) (1.28) (1.38) (0.17) (0.28) 12/31/1999 10.88 (0.15) 4.00 3.85 (0.04) - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND Class A 6/30/2004 $ 9.73 1.25 % $ 88,876 41.54% 1.20 % 1.93 % 12/31/2003 9.61 28.53 96,811 113.94 1.23 1.17 12/31/2002 7.59 (20.58) 78,272 134.52 1.18 0.83 12/31/2001 9.66 (20.29) 103,972 66.42 1.17 0.76 12/31/2000 12.23 (13.99) 126,816 138.12 1.17 0.44 12/31/1999 16.79 32.11 105,034 26.19 1.18 0.63 Class B 03/08(a)-06/30/04 9.74 (3.66) 1 41.54 1.00 2.79 - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND Class A 6/30/2004 7.33 7.48 31,221 53.11 1.05 (0.62) 12/31/2003 6.82 33.46 28,909 116.81 1.05 (0.52) 12/31/2002 5.11 (29.32) 18,647 116.70 1.05 (0.62) 12/31/2001 7.23 (26.97) 29,541 211.61 1.05 (0.46) 05/01(a)-12/31/00 9.90 (1.00) 46,122 58.67 1.05 (0.09) Class B 03/08(a)-06/30/04 7.34 0.27 1 53.11 0.85 (0.30) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY Class A 6/30/2004 16.56 2.92 220,997 22.79 0.97 0.96 12/31/2003 16.09 24.55 309,732 67.86 0.98 1.16 12/31/2002 13.06 (19.87) 256,100 62.19 0.98 1.06 12/31/2001 16.50 (6.32) 347,246 82.54 0.96 0.89 12/31/2000 17.78 6.96 422,750 86.43 0.96 1.05 12/31/1999 16.78 (1.04) 319,454 72.23 0.98 1.19 Class B 03/08(a)-06/30/04 16.57 (1.49) 1 22.79 0.77 1.22 - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND I Class A 6/30/2004 10.96 3.69 217,732 31.76 0.18 (0.18) 12/31/2003 10.57 26.80 164,016 3.87 0.20 0.97 12/31/2002 8.44 (18.26) 97,110 37.53 0.20 0.77 12/31/2001 10.45 (10.58) 107,519 67.65 0.20 1.16 12/31/2000 12.86 (9.37) 95,075 24.94 0.20 1.62 12/31/1999 14.69 35.38 41,329 26.50 0.20 1.22 - ----------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND Class A 6/30/2004 1.22 % 1.91 % 12/31/2003 1.26 1.14 12/31/2002 1.21 0.80 12/31/2001 1.18 0.75 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 1.02 2.77 - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/PUTNAM MIDCAP GROWTH FUND Class A 6/30/2004 1.10 (0.67) 12/31/2003 1.11 (0.58) 12/31/2002 1.10 (0.67) 12/31/2001 1.09 (0.50) 05/01(a)-12/31/00 1.06 (0.10) Class B 03/08(a)-06/30/04 0.90 (0.35) - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/PUTNAM VALUE EQUITY FUND Class A 6/30/2004 1.00 0.93 12/31/2003 1.03 1.11 12/31/2002 1.01 1.03 12/31/2001 0.99 0.86 12/31/2000 0.97 1.04 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.80 1.19 - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/S&P AGGRESSIVE GROWTH FUND I Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a - ------------------------------------------------------------ - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND I Class A 6/30/2004 $ 10.91 $ (0.01) $ 0.25 $ 0.24 $ - $ - 12/31/2003 9.48 0.10 1.58 1.68 (0.25) - 12/31/2002 10.54 0.10 (0.99) (0.89) (0.17) - 12/31/2001 11.83 0.08 (0.65) (0.57) (0.34) (0.38) 12/31/2000 12.45 0.11 (0.31) (0.20) (0.23) (0.19) 12/31/1999 10.47 (0.06) 2.10 2.04 (0.06) - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 100 FUND Class A 6/30/2004 10.52 (0.02) 0.30 0.28 - - 12/31/2003 8.66 0.03 1.88 1.91 (0.03) (0.02) 01/15(a)-12/31/02 10.00 0.07 (1.41) (1.34) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 50 FUND Class A 6/30/2004 10.26 (0.02) 0.42 0.40 - - 12/31/2003 7.84 0.03 2.39 2.42 - - 01/15(a)-12/31/02 10.00 0.01 (2.17) (2.16) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 75 FUND Class A 6/30/2004 10.39 (0.03) 0.38 0.35 - - 12/31/2003 8.25 0.03 2.15 2.18 (0.02) (0.02) 01/15(a)-12/31/02 10.00 0.05 (1.80) (1.75) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I Class A 6/30/2004 9.55 (0.01) 0.43 0.42 - - 12/31/2003 7.35 0.01 2.19 2.20 - - 12/31/2002 9.58 - (2.22) (2.22) (0.01) - 12/31/2001 12.59 (0.05) (1.67) (1.72) (0.31) (0.98) 12/31/2000 15.56 (0.21) (2.17) (2.38) (0.17) (0.42) 12/31/1999 10.75 (0.16) 5.02 4.86 (0.05) - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND I Class A 6/30/2004 $ 11.15 2.20 % $ 530,432 25.94% 0.18 % (0.16)% 12/31/2003 10.91 17.75 402,322 2.24 0.20 1.79 12/31/2002 9.48 (8.48) 227,833 31.43 0.20 1.75 12/31/2001 10.54 (4.78) 187,495 49.46 0.20 2.42 12/31/2000 11.83 (1.55) 139,701 25.30 0.20 3.53 12/31/1999 12.45 19.52 72,998 12.96 0.20 3.97 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 100 FUND Class A 6/30/2004 10.80 2.66 42,783 11.92 0.18 (0.15) 12/31/2003 10.52 22.08 36,421 6.64 0.20 0.90 01/15(a)-12/31/02 8.66 (13.40) 14,213 26.04 0.20 1.87 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 50 FUND Class A 6/30/2004 10.66 3.90 11,095 37.41 0.19 (0.19) 12/31/2003 10.26 30.93 7,629 11.61 0.20 0.65 01/15(a)-12/31/02 7.84 (21.60) 1,969 46.56 0.20 0.25 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 75 FUND Class A 6/30/2004 10.74 3.37 17,030 20.90 0.18 (0.18) 12/31/2003 10.39 26.48 10,017 22.32 0.20 0.76 01/15(a)-12/31/02 8.25 (17.50) 4,460 18.99 0.20 1.30 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I Class A 6/30/2004 9.97 4.40 62,068 32.85 0.18 (0.18) 12/31/2003 9.55 29.94 51,344 9.22 0.20 0.09 12/31/2002 7.35 (23.21) 31,372 41.22 0.20 0.00 12/31/2001 9.58 (13.69) 41,038 75.09 0.20 0.06 12/31/2000 12.59 (15.27) 40,471 28.62 0.20 0.56 12/31/1999 15.56 45.25 18,680 41.60 0.20 (0.09) - --------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND I Class A 6/30/2004 n/a % n/a % 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/S&P CORE INDEX 100 FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 01/15(a)-12/31/02 n/a n/a - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/S&P CORE INDEX 50 FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 01/15(a)-12/31/02 n/a n/a - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/S&P CORE INDEX 75 FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 01/15(a)-12/31/02 n/a n/a - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a - ---------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND I Class A 6/30/2004 $ 9.65 $ (0.01) $ 0.41 $ 0.40 $ - $ - 12/31/2003 7.45 0.01 2.19 2.20 - - 12/31/2002 9.73 - (2.27) (2.27) (0.01) - 12/31/2001 12.59 (0.06) (1.73) (1.79) (0.26) (0.81) 12/31/2000 15.21 (0.18) (1.96) (2.14) (0.15) (0.33) 12/31/1999 10.64 (0.18) 4.77 4.59 (0.02) - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND I Class A 6/30/2004 11.07 (0.01) 0.34 0.33 - - 12/31/2003 9.25 0.08 1.93 2.01 (0.19) - 12/31/2002 10.70 0.08 (1.41) (1.33) (0.12) - 12/31/2001 12.37 0.01 (0.92) (0.91) (0.32) (0.44) 12/31/2000 13.42 0.03 (0.62) (0.59) (0.21) (0.25) 12/31/1999 10.63 (0.11) 2.95 2.84 (0.05) - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/S&P VERY AGGRESSIVE GROWTH FUND I Class A 6/30/2004 9.95 (0.01) 0.46 0.45 - - 12/31/2003 7.62 - 2.33 2.33 - - 12/31/2002 9.93 - (2.30) (2.30) (0.01) - 12/31/2001 13.08 (0.04) (1.76) (1.80) (0.28) (1.07) 12/31/2000 16.61 (0.29) (2.56) (2.85) (0.18) (0.50) 12/31/1999 11.19 (0.21) 5.68 5.47 (0.04) (0.01) - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS BALANCED FUND Class A 6/30/2004 10.96 0.19 0.21 0.40 - - 12/31/2003 9.55 0.15 1.48 1.63 (0.22) - 12/31/2002 10.30 0.02 (0.77) (0.75) - - 12/31/2001 10.58 0.21 (0.26) (0.05) (0.19) (0.04) 12/31/2000 10.11 0.36 0.46 0.82 (0.35) - 12/31/1999 10.38 0.28 (0.27) 0.01 (0.28) - Class B 03/08(a)-06/30/04 11.54 0.05 (0.22) (0.17) - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND I Class A 6/30/2004 $ 10.05 4.15 % $ 222,400 30.98% 0.18 % (0.18)% 12/31/2003 9.65 29.55 175,618 7.74 0.20 0.18 12/31/2002 7.45 (23.34) 105,130 36.47 0.20 0.02 12/31/2001 9.73 (14.31) 145,413 76.59 0.20 0.09 12/31/2000 12.59 (14.06) 135,523 28.83 0.20 0.52 12/31/1999 15.21 43.19 60,879 34.62 0.20 (0.01) - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND I Class A 6/30/2004 11.40 2.98 831,973 27.56 0.17 (0.15) 12/31/2003 11.07 21.73 609,887 3.33 0.20 1.40 12/31/2002 9.25 (12.40) 331,543 32.67 0.20 1.26 12/31/2001 10.70 (7.34) 298,741 59.64 0.20 1.66 12/31/2000 12.37 (4.35) 222,052 19.23 0.20 2.61 12/31/1999 13.42 26.74 110,608 17.15 0.20 2.99 - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/S&P VERY AGGRESSIVE GROWTH FUND I Class A 6/30/2004 10.40 4.52 72,706 28.91 0.18 (0.18) 12/31/2003 9.95 30.58 60,193 13.41 0.20 0.03 12/31/2002 7.62 (23.20) 42,128 39.74 0.20 (0.04) 12/31/2001 9.93 (13.73) 58,358 92.20 0.20 0.07 12/31/2000 13.08 (17.16) 57,841 29.95 0.20 0.54 12/31/1999 16.61 48.86 23,588 141.89 0.20 (0.13) - ---------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS BALANCED FUND Class A 6/30/2004 11.36 3.65 13,079 14.96 0.90 1.47 12/31/2003 10.96 17.05 18,640 24.48 0.90 1.64 12/31/2002 9.55 (7.28) 15,453 29.32 0.90 2.05 12/31/2001 10.30 (0.52) 18,097 46.03 0.93 (e) 2.46 12/31/2000 10.58 8.20 12,597 26.67 0.90 3.91 12/31/1999 10.11 0.09 7,517 59.53 0.90 3.54 Class B 03/08(a)-06/30/04 11.37 (1.47) 1 14.96 0.70 1.47 - ---------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND I Class A 6/30/2004 n/a % n/a % 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/S&P MODERATE GROWTH FUND I Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/S&P VERY AGGRESSIVE GROWTH FUND I Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/SALOMON BROTHERS BALANCED FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ------------------------------------------------------------ - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. (e) The ratio of net operating expenses was 0.90% See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 6/30/2004 $ 8.03 $ 0.44 $ (0.39) $ 0.05 $ - $ - 12/31/2003 6.98 0.75 1.05 1.80 (0.75) - 12/31/2002 7.42 0.87 (0.44) 0.43 (0.87) - 12/31/2001 7.67 0.65 (0.24) 0.41 (0.66) - 12/31/2000 8.71 0.64 (1.05) (0.41) (0.63) - 12/31/1999 9.59 0.71 (0.88) (0.17) (0.71) - Class B 03/08(a)-06/30/04 8.15 0.20 (0.27) (0.07) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 6/30/2004 11.40 0.27 (0.28) (0.01) - - 12/31/2003 10.63 0.49 0.95 1.44 (0.52) (0.15) 12/31/2002 10.41 0.65 0.22 0.87 (0.65) - 12/31/2001 10.37 0.68 0.01 0.69 (0.65) - 12/31/2000 10.25 0.68 0.06 0.74 (0.62) - 12/31/1999 10.67 0.62 (0.42) 0.20 (0.62) - Class B 03/08(a)-06/30/04 11.60 0.22 (0.42) (0.20) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 6/30/2004 11.47 0.24 (0.26) (0.02) - - 12/31/2003 11.89 0.45 (0.31) 0.14 (0.42) (0.14) 12/31/2002 11.17 0.42 0.86 1.28 (0.42) (0.14) 12/31/2001 10.96 0.50 0.25 0.75 (0.49) (0.05) 12/31/2000 10.36 0.60 0.59 1.19 (0.59) - 12/31/1999 11.15 0.51 (0.79) (0.28) (0.51) - Class B 03/08(a)-06/30/04 11.75 0.13 (0.43) (0.30) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/SELECT GLOBAL GROWTH FUND Class A 6/30/2004 17.43 0.05 0.51 0.56 - - 12/31/2003 14.06 0.13 3.24 3.37 - - 12/31/2002 19.48 0.10 (5.38) (5.28) (0.14) - 12/31/2001 25.97 0.08 (6.19) (6.11) (0.35) (0.03) 12/31/2000 35.69 0.07 (6.55) (6.48) (0.59) (2.65) 12/31/1999 22.11 - 14.27 14.27 - (0.69) Class B 03/08(a)-06/30/04 18.37 0.06 (0.43) (0.37) - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 6/30/2004 $ 8.08 0.62 % $ 13,243 18.69% 0.90 % 7.77 % 12/31/2003 8.03 25.79 19,464 71.74 0.90 8.47 12/31/2002 6.98 5.76 17,079 77.04 0.90 8.88 12/31/2001 7.42 5.33 20,220 48.73 0.90 8.54 12/31/2000 7.67 (4.67) 16,437 35.52 0.90 9.17 12/31/1999 8.71 (1.76) 10,690 31.39 0.90 8.74 Class B 03/08(a)-06/30/04 8.08 (0.86) 1 18.69 0.70 8.17 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 6/30/2004 11.39 (0.09) 236,150 37.97 0.94 5.14 12/31/2003 11.40 13.53 197,923 61.03 0.95 5.03 12/31/2002 10.63 8.38 125,881 83.34 0.95 6.22 12/31/2001 10.41 6.71 123,310 86.36 0.98 (e) 6.46 12/31/2000 10.37 7.28 116,654 93.13 0.95 7.42 12/31/1999 10.25 1.87 81,061 98.01 0.95 7.22 Class B 03/08(a)-06/30/04 11.40 (1.72) 1 37.97 0.74 4.95 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 6/30/2004 11.45 (0.17) 215,326 6.52 0.79 3.85 12/31/2003 11.47 1.18 257,274 43.56 0.78 3.26 12/31/2002 11.89 11.47 304,265 35.72 0.78 4.26 12/31/2001 11.17 6.92 226,275 69.10 0.82 (f) 5.09 12/31/2000 10.96 11.50 138,122 49.09 0.80 6.06 12/31/1999 10.36 (2.50) 106,329 122.72 0.80 5.45 Class B 03/08(a)-06/30/04 11.45 (2.55) 1 6.52 0.59 3.89 - --------------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------------- JNL/SELECT GLOBAL GROWTH FUND Class A 6/30/2004 17.99 3.21 196,428 167.45 1.12 0.54 12/31/2003 17.43 23.97 197,288 120.39 1.13 0.70 12/31/2002 14.06 (27.12) 206,070 65.19 1.07 0.45 12/31/2001 19.48 (23.50) 389,796 93.37 1.05 0.42 12/31/2000 25.97 (18.28) 665,187 65.56 1.03 0.03 12/31/1999 35.69 64.58 597,241 61.60 1.06 0.01 Class B 03/08(a)-06/30/04 18.00 (2.01) 1 167.45 0.92 1.25 - --------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 6/30/2004 n/a % n/a % 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/SALOMON BROTHERS U.S GOVERNMENT & QUALITY BOND FUND Class A 6/30/2004 n/a n/a 12/31/2003 n/a n/a 12/31/2002 n/a n/a 12/31/2001 n/a n/a 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 n/a n/a - ----------------------------------------------------------- - ----------------------------------------------------------- JNL/SELECT GLOBAL GROWTH FUND Class A 6/30/2004 1.19 0.47 12/31/2003 1.18 0.65 12/31/2002 1.10 0.42 12/31/2001 1.06 0.41 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.99 1.18 - ----------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. (e) The ratio of net operating expenses was 0.95% (f) The ratio of net operating expenses was 0.79% See Notes to the Financial Statements. JNL Series Trust (Unaudited) Financial Highlights Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/SELECT LARGE CAP GROWTH FUND Class A 6/30/2004 $ 17.65 $ (0.04) $ 1.59 $ 1.55 $ - $ - 12/31/2003 13.03 (0.04) 4.66 4.62 - - 12/31/2002 18.55 (0.04) (5.48) (5.52) - - 12/31/2001 26.65 - (8.04) (8.04) (0.01) (0.05) 12/31/2000 39.97 0.16 (8.45) (8.29) (0.51) (4.52) 12/31/1999 22.09 (0.06) 20.87 20.81 - (2.93) Class B 03/08(a)-06/30/04 18.67 - 0.55 0.55 - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 6/30/2004 16.77 0.01 0.39 0.40 - - 12/31/2003 12.85 0.02 3.90 3.92 - - 12/31/2002 16.78 0.01 (3.92) (3.91) (0.02) - 12/31/2001 18.74 0.02 (1.94) (1.92) - (0.04) 12/31/2000 21.70 - (0.11) (0.11) (0.01) (2.84) 12/31/1999 19.06 0.03 4.12 4.15 (0.03) (1.48) Class B 03/08(a)-06/30/04 17.44 0.01 (0.27) (0.26) - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 6/30/2004 24.89 (0.07) 1.96 1.89 - - 12/31/2003 18.05 (0.12) 7.08 6.96 - (0.12) 12/31/2002 23.12 (0.15) (4.92) (5.07) - - 12/31/2001 23.47 (0.13) (0.22) (0.35) - - 12/31/2000 23.71 (0.04) 1.67 1.63 - (1.87) 12/31/1999 20.43 (0.05) 4.93 4.88 - (1.60) Class B 03/08(a)-06/30/04 26.20 (0.02) 0.62 0.60 - - - ------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND Class A 6/30/2004 11.92 0.05 0.52 0.57 - - 12/31/2003 9.22 0.06 2.70 2.76 (0.06) - 12/31/2002 11.11 0.09 (1.96) (1.87) - (0.02) 12/31/2001 11.14 0.08 0.01 0.09 (0.08) (0.04) 05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09) (0.02) Class B 03/08(a)-06/30/04 12.50 0.03 (0.03) - - - - ------------------------------------------------------------------------------------------------------------------- Supplemental Data ----------------------------------------- Ratio of Net ----------------------------------------- Ratio of Investment Net Asset Net Assets, Expenses to Income (Loss) Value, End Total End of Period Portfolio Average Net to Average Period Ended of Period Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) - ----------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------- JNL/SELECT LARGE CAP GROWTH FUND Class A 6/30/2004 $ 19.20 8.78 % $ 271,376 102.46% 1.01 % (0.44)% 12/31/2003 17.65 35.46 257,852 78.47 1.04 (0.28) 12/31/2002 13.03 (29.76) 215,884 117.19 1.02 (0.18) 12/31/2001 18.55 (30.18) 436,946 100.02 0.99 0.05 12/31/2000 26.65 (20.97) 744,972 61.65 0.98 0.25 12/31/1999 39.97 94.43 654,546 95.06 1.01 (0.40) Class B 03/08(a)-06/30/04 19.22 2.95 1 102.46 0.81 (0.31) - -------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 6/30/2004 17.17 2.39 562,627 17.07 0.92 0.09 12/31/2003 16.77 30.54 474,046 36.37 0.92 0.14 12/31/2002 12.85 (23.33) 316,367 46.16 0.92 0.06 12/31/2001 16.78 (10.23) 474,105 63.38 0.92 0.12 12/31/2000 18.74 (0.34) 411,855 77.19 0.92 0.03 12/31/1999 21.70 21.77 351,338 61.45 0.93 0.16 Class B 03/08(a)-06/30/04 17.18 (1.49) 1 17.07 0.82 0.38 - -------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 6/30/2004 26.78 7.59 491,997 17.98 1.02 (0.63) 12/31/2003 24.89 38.60 379,541 42.89 1.03 (0.60) 12/31/2002 18.05 (21.93) 248,327 42.22 1.03 (0.67) 12/31/2001 23.12 (1.49) 366,028 44.26 1.02 (0.56) 12/31/2000 23.47 7.16 419,796 47.90 1.02 (0.20) 12/31/1999 23.71 24.01 286,502 56.68 1.03 (0.28) Class B 03/08(a)-06/30/04 26.80 2.29 5 17.98 0.82 (0.42) - -------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND Class A 6/30/2004 12.49 4.78 415,195 26.21 0.99 0.74 12/31/2003 11.92 29.97 404,470 28.06 1.00 1.05 12/31/2002 9.22 (16.84) 220,106 38.21 1.00 0.97 12/31/2001 11.11 0.78 216,408 42.29 1.00 0.93 05/01(a)-12/31/00 11.14 12.54 26,446 44.84 1.00 1.47 Class B 03/08(a)-06/30/04 12.50 0.00 1 26.21 0.79 1.09 - -------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly ----------------------------------- ----------------------------------- Ratio of Net Ratio of Investment Expenses to Income (Loss) Average Net to Average Period Ended Assets (c) Net Assets (c) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/SELECT LARGE CAP GROWTH FUND Class A 6/30/2004 1.02 % (0.45)% 12/31/2003 1.08 (0.32) 12/31/2002 1.10 (0.26) 12/31/2001 1.02 0.02 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.82 (0.32) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 6/30/2004 0.93 0.08 12/31/2003 0.95 0.11 12/31/2002 0.94 0.04 12/31/2001 0.92 0.12 12/31/2000 0.92 0.03 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.83 0.37 - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 6/30/2004 1.04 (0.65) 12/31/2003 1.04 (0.61) 12/31/2002 1.04 (0.68) 12/31/2001 1.03 (0.57) 12/31/2000 n/a n/a 12/31/1999 n/a n/a Class B 03/08(a)-06/30/04 0.84 (0.44) - ---------------------------------------------------------- - ---------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND Class A 6/30/2004 1.01 0.72 12/31/2003 1.02 1.03 12/31/2002 1.02 0.95 12/31/2001 1.02 0.91 05/01(a)-12/31/00 1.01 1.46 Class B 03/08(a)-06/30/04 0.81 1.07 - ---------------------------------------------------------- - -------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements.
- -------------------------------------------------------------------------------- JNL SERIES TRUST (UNAUDITED) NOTES TO THE FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- NOTE 1. ORGANIZATION JNL Series Trust ("Trust") is an open-end management investment company organized under the laws of Massachusetts, by a Declaration of Trust, dated June 1, 1994. The Trust, consisting of diversified and non-diversified Funds, is registered with the Securities and Exchange Commission under the Investment Company Act of 1940. The Trust currently offers shares in forty-six (46) separate funds (the "Funds"), each with its own investment objective. JNL/AIM Large Cap Growth Fund and JNL/AIM Small Cap Growth Fund for which AIM Capital Management Inc. serves as the sub-adviser; JNL/Alger Growth Fund, for which Fred Alger Management, Inc. serves as the sub-adviser; JNL/Alliance Capital Growth Fund, for which Alliance Capital Management L.P. serves as the sub-adviser; JNL/Eagle Core Equity Fund and JNL/Eagle SmallCap Equity Fund, for which Eagle Asset Management, Inc. serves as the sub-adviser; JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund, for which Fidelity Management & Research Co. serves as the sub-adviser; JNL/JPMorgan International Value Fund, for which JPMorgan Investment Management Inc. serves as the sub-adviser; JNL/Lazard Mid Cap Value Fund and JNL/Lazard Small Cap Value Fund, for which Lazard Asset Management serves as sub-adviser; JNL/Mellon Capital Management Bond Index Fund, JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management International Index Fund, JNL/Mellon Capital Management S&P 400 MidCap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund and JNL/Mellon Capital Management Small Cap Index Fund, for which Mellon Capital Management Corp. serves as the sub-adviser; JNL/Oppenheimer Global Growth Fund and JNL/Oppenheimer Growth Fund, for which OppenheimerFunds Inc. serves as the sub-adviser; JNL/PIMCO Total Return Bond Fund, for which Pacific Investment Management Company serves as the sub-adviser; JNL/PPM America Balanced Fund, JNL/PPM America High Yield Bond Fund, JNL/PPM America Money Market Fund and the JNL/PPM America Value Fund, for which PPM America Inc. serves as sub-adviser; JNL/Putnam Equity Fund, JNL/Putnam International Equity Fund, JNL/Putnam Midcap Growth Fund and JNL/Putnam Value Equity Fund, for which Putnam Investment Management LLC serves as the sub-adviser; JNL/S&P Aggressive Growth Fund I, JNL/S&P Conservative Growth Fund I, JNL/S&P Core Index 100 Fund, JNL/S&P Core Index 50 Fund, JNL/S&P Core Index 75 Fund, JNL/S&P Equity Aggressive Growth Fund I, JNL/S&P Equity Growth Fund I, JNL/S&P Moderate Growth Fund I, JNL/S&P Very Aggressive Growth Fund I, (collectively the "JNL/S&P Funds") for which Standard & Poor's Investment Advisory Services, Inc. serves as the sub-adviser; JNL/Salomon Brothers Balanced Fund, JNL/Salomon Brothers High Yield Bond Fund, JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund, for which Salomon Brothers Asset Management Inc. serves as the sub-adviser; JNL/Select Large Cap Growth Fund and JNL/Select Global Growth Fund, for which Wellington Management Co., LLP serves as the sub-adviser; and JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund and JNL/T. Rowe Price Value Fund, for which T. Rowe Price Associates, Inc. serves as the sub-adviser. The JNL/S&P Funds have a fund of fund structure which invests in other affiliated underlying funds. Effective February 18, 2004, JNL/Curian Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400 MidCap Index Fund, JNL/Curian S&P 500 Index Fund, and JNL/Curian Small Cap Index Fund became the JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management S&P 400 MidCap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund, and JNL/Mellon Capital Management Small Cap Index Fund, respectively, and are managed by Mellon Capital Management Corporation. For the period from December 15, 2003 to February 18, 2004, these funds were managed by Curian CapitalSM LLC. Effective May 1, 2004, JNL/Janus Balanced Fund and JNL/Janus Capital Growth Fund, became JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund, respectively, and are managed by Fidelity Management & Research Company; JNL/Janus Aggressive Growth Fund and JNL/Janus Global Equities Fund became JNL/Select Large Cap Growth Fund and JNL/Select Global Growth Fund, respectively, and are managed by Wellington Management Company LLP. Prior to May 1, 2004, these funds were managed by Janus Capital Management LLC. Effective April 30, 2004, the following acquisitions occurred: JNL/AIM Large Cap Growth Fund acquired JNL/AIM Premier Equity II Fund; JNL/Eagle Core Equity Fund acquired JNL/Janus Growth & Income Fund; JNL/S&P Aggressive Growth Fund I acquired JNL/S&P Aggressive Growth Fund and JNL/S&P Aggressive Growth Fund II; JNL/S&P Conservative Growth Fund I acquired JNL/S&P Conservative Growth Fund and JNL/ S&P Conservative Growth Fund II; JNL/S&P Equity Aggressive Growth Fund I acquired JNL/S&P Equity Aggressive Growth Fund II; JNL/S&P Equity Growth Fund I acquired JNL/S&P Equity Growth Fund II; JNL/S&P Moderate Growth Fund I acquired JNL/S&P Moderate Growth Fund and JNL/S&P Moderate Growth Fund II; JNL/S&P Very Aggressive Growth Fund I acquired JNL/S&P Very Aggressive Growth Fund II . See Note 7 for additional information regarding fund acquisitions. Jackson National Asset Management, LLC ("JNAM L.L.C."), a wholly-owned subsidiary of Jackson National Life Insurance Company ("Jackson National"), serves as investment adviser ("Adviser") for all the Funds of the Trust. PPM America, Inc. and Curian Capital LLC are affiliates of the Adviser. Shares are presently offered to Jackson National (Jackson National Life Insurance Company of New York) and its separate accounts to fund the benefits of variable annuity and variable life policies. Shares are also sold to qualified plans. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed and consistently applied by the Trust in the preparation of its financial statements. Certain prior year amounts have been reclassified in conformity with the current year's presentation. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Bonds are valued on the basis of prices furnished by pricing services which determine prices for normal institutional size trading units of bonds or based on quotations provided by reputable broker-dealers. Stocks are valued at the last quoted sale price on the New York stock exchange or final bid price in absence of a sale. Stocks not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. If trading or events occurring in other markets after the close of the foreign stock exchange are expected to have a material affect on the value of the investments, or when quotations are not readily available, securities are valued at fair market value determined by procedures approved by the Board of Trustees. Short-term securities maturing within 60 days of purchase, and all securities in the JNL/PPM America Money Market Fund, are valued at amortized cost, which approximates market value. American Depository Receipts ("ADRs") and Global Depository Receipts ("GDRs"), which are certificates representing shares of foreign securities deposited in domestic and foreign banks, are traded and valued in U.S. dollars. The JNL/S&P Funds are valued at the net asset value per share of each underlying Fund determined as of the close of the New York Stock Exchange on the valuation date. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date. Interest income, including level-yield amortization of discounts and premiums, is accrued daily. The Fund may place a debt obligation on non-accrual status and reduce related interest income by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Realized gains and losses are determined on the specific identification basis. FOREIGN CURRENCY TRANSLATIONS -- The accounting records of each Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars using exchange rates in effect as of 11:00 a.m. Eastern Standard Time. Purchases and sales of investment securities, income receipts, and expense payments are translated into U.S. dollars at the exchange rates prevailing on the respective dates of such transactions. Realized gains and losses arising from selling foreign currencies and certain non-dollar denominated fixed income securities, entering into forward foreign currency exchange contracts, and accruing income or settling portfolio purchases and sales denominated in a foreign currency paid or received at a later date are recorded as net realized foreign currency related gains (losses) and are considered ordinary income for tax purposes. Realized and unrealized gains and losses on investments which result from changes in foreign currency exchange rates are primarily included in net realized gains (losses) and net unrealized appreciation (depreciation), respectively. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- A Fund may enter into forward foreign currency exchange contracts ("contracts"), generally to hedge foreign currency exposure between trade date and settlement date on security purchases and sales ("spot hedges") or to minimize foreign currency risk on portfolio securities denominated in foreign currencies ("position hedges"). All contracts are valued at the forward currency exchange rate and are marked-to-market daily. When the contract is open, the change in market value is recorded as net unrealized appreciation (depreciation) on foreign currency related items. When the contract is closed, the difference between the value of the contract at the time it was opened and the value at the time it was closed is recorded as net realized gain (loss) on foreign currency related items. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds' portfolio securities, but it does establish a rate of exchange that can be achieved in the future. These forward foreign currency contracts involve market risk in excess of the unrealized appreciation (depreciation) of forward foreign currency contracts reflected in the Statements of Assets and Liabilities. Although contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Additionally, the Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparties to the contracts are unable to meet the terms of the contracts. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- A Fund may purchase securities on a when-issued or delayed delivery basis. On the trade date, the Fund records purchases of when-issued securities and reflect the values of such securities in determining net asset value in the same manner as other portfolio securities. Income is not accrued until settlement date. The Fund will segregate and maintain, until the settlement date, liquid assets in an amount sufficient to meet the purchase price. UNREGISTERED SECURITIES -- A Fund may own certain investment securities which are unregistered and thus restricted to resale. These securities are valued by the Fund after giving due consideration to pertinent factors including recent private sales, market conditions and the issuer's financial performance. Where future dispositions of the securities require registration under the Securities Act of 1933, the Funds have the right to include their securities in such registration generally without cost to the Funds. The Funds have no right to require registration of unregistered securities. OPTIONS TRANSACTIONS -- A Fund may write covered call options on portfolio securities. A Fund may buy and sell options contracts to manage its exposure to changes in securities prices and foreign currencies and as an efficient means of adjusting overall exposure to certain markets. Written options involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. Option contracts are valued at the closing prices on their exchanges and the Fund will realize a gain or loss upon expiration or closing of the option transaction. When a written call option is exercised, the proceeds on the sale of the underlying security are adjusted by the amount of premium received. FUTURES CONTRACTS -- A Fund may utilize futures contracts to a limited extent. A Fund may buy and sell futures contracts to manage its exposure to changes in securities prices and foreign currencies and as an efficient means of adjusting overall exposure to certain markets. The risks associated with the use of futures contracts include the possibility that the value may not correlate with the change in the value of the hedged instruments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid market. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin". Futures contracts are valued based upon their quoted daily settlement prices. The Fund receives from or pays to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the "variation margin," are recorded by the Fund as unrealized appreciation (depreciation) until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Assets and Liabilities. DOLLAR ROLL TRANSACTIONS -- A Fund may enter into dollar roll transactions with respect to mortgage securities in which the Fund sells mortgage securities and simultaneously agrees to repurchase similar (same type, coupon and maturity) securities at a later date at an agreed upon price. The value of the dollar roll transactions are reflected in the Funds' Statements of Assets and Liabilities as investment securities purchased. During the period between the sale and repurchase, the Fund forgoes principal and interest paid on the mortgage securities sold. The Fund is compensated by the interest earned on the cash proceeds of the initial sale and from negotiated fees paid by brokers offered as an inducement to the Fund to "roll over" its purchase commitments. These fees are accrued as income over the life of the dollar roll contract. Dollar roll transactions involve the risk that the market value of the securities sold by the Fund may decline below the repurchase price of those similar securities which the Fund is obligated to purchase or that the return earned by the Fund with the proceeds of a dollar roll may not exceed transaction costs. REPURCHASE AGREEMENTS -- A Fund may invest in repurchase agreements. A repurchase agreement involves the purchase of a security by a Fund and a simultaneous agreement (generally by a bank or broker-dealer) to repurchase that security back from the Fund at a specified price and date or upon demand. Securities pledged as collateral for repurchase agreements are held by the Fund's custodian bank until the maturity of the repurchase agreement. Procedures for all repurchase agreements have been designed to assure that the daily market value of the collateral is in excess of the repurchase agreement in the event of default. REVERSE REPURCHASE AGREEMENTS -- A Fund may engage in reverse repurchase agreements to borrow short term funds. The value of the reverse repurchase agreements that the Fund has committed to sell is reflected in the Statements of Assets and Liabilities. A Fund pays interest on amounts borrowed which is reflected in the Statements of Operations. The Fund will maintain securities in segregated accounts with its custodian that at all times are in an amount equal to their obligations under the reverse repurchase agreements. Reverse repurchase agreements involve the risks that the market value of the securities sold by the Fund may decline below the repurchase price and, if the proceeds from the reverse repurchase agreement are invested in securities, that the market value of the securities bought may decline below the repurchase price of the securities sold. SECURITIES LOANED -- The Trust has entered into a securities lending arrangement with the custodian. Under the terms of the agreement, the Funds receive a fee equal to a percentage of the net income from lending transactions. In exchange for such fees, the custodian is authorized to loan securities on behalf of the Funds and is required to maintain collateral at least equal in value to the value of the securities loaned. Cash collateral is invested by the custodian in the Mellon GSL Delaware Business Trust Collateral Fund (a pooled money market instrument approved by the Advisor). The Funds 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. SECURITIES SOLD SHORT -- A Fund may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. The Fund is obligated to deliver securities at the market price at the time the short position is closed. Potential losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. SWAPS -- A Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund may enter into interest rate, total return, forward swap spread lock and credit default swap agreements to manage its exposure to interest rates and credit risk. Interest rate swap agreements involve the exchange by the Fund with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap. The swap spread is the difference between the benchmark swap rate (market rate) and the specific Treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party. The Fund may use credit default swaps to provide a measure of protection against defaults of sovereign issuers (i.e., to reduce risk where the Fund owns or has exposure to the sovereign issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Swaps are marked to market daily based upon quotations from market makers and vendors and the change in value, if any, is recorded as unrealized gain or loss in the Statement of Operations. Net periodic payments or any payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements, and that there may be unfavorable changes in interest rates. INFLATION-INDEXED BONDS -- A Fund may invest in inflation-indexed bonds which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive their principal until maturity. DISTRIBUTIONS TO SHAREHOLDERS -- The JNL/PPM America Money Market Fund declares dividends daily and pays dividends monthly. For all other Funds, dividends from net investment income are declared and paid annually, but may be done more frequently to avoid excise tax. Distributions of net realized capital gains, if any, will be distributed at least annually. FEDERAL INCOME TAXES -- The Trust's policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute income in amounts that will avoid federal income or excise taxes for each Fund. The Trust periodically makes reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES The Trust has an investment advisory agreement with JNAM L.L.C. whereby JNAM L.L.C. provides investment management services. Each Fund paid JNAM L.L.C. an annual fee, computed daily and payable monthly, based on a specified percentage of the average daily net assets of each Fund. A portion of this fee is paid to sub-advisers as compensation for their services. The following is a schedule of the fees each Fund is currently obligated to pay JNAM L.L.C. $0 $50 $100 $150 $200 $250 $300 $350 $500 $750 TO TO TO TO TO TO TO T0 TO TO OVER (M - MILLIONS; B - BILLIONS) $50M $100 M $150 M $200 M $250 M $300 M $350 M $500 M $750 M $1.5 B $1.5 B - ---------------------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ JNL/AIM Large Cap Growth Fund (a) .75% .75% .75% .75% .75% .75% .70% .70% .70% .70% .70% JNL/AIM Small Cap Growth Fund .85 .85 .85 .85 .85 .85 .80 .80 .80 .80 .80 JNL/Alger Growth Fund .775 .775 .775 .775 .775 .775 .75 .75 .70 .70 .70 JNL/Alliance Capital Growth Fund .575 .575 .575 .575 .575 .50 .50 .50 .50 .50 .50 JNL/Eagle Core Equity Fund .70 .65 .65 .65 .65 .65 .55 .55 .55 .55 .55 JNL/Eagle SmallCap Equity Fund .75 .75 .75 .70 .70 .70 .70 .70 .65 .65 .65 JNL/FMR Balanced Fund (b) .70 .70 .70 .70 .70 .70 .70 .70 .65 .60 .60 JNL/FMR Capital Growth Fund (c) .70 .70 .70 .70 .70 .65 .65 .65 .65 .60 .55 JNL/JPMorgan International Value Fund .775 .75 .75 .75 .70 .70 .70 .65 .65 .65 .65 JNL/Lazard Mid Cap Value Fund .775 .775 .775 .725 .725 .725 .70 .70 .70 .70 .70 JNL/Lazard Small Cap Value Fund .85 .80 .80 .775 .775 .775 .725 .725 .725 .725 .725 JNL/Mellon Capital Management Bond Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25 JNL/Mellon Enhanced S&P 500 Stock Index Fund (d) .50 .45 .45 .45 .45 .45 .45 .45 .45 .45 .45 JNL/Mellon Capital Management International Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25 JNL/Mellon S&P 400 MidCap Index Fund .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24 JNL/Mellon S&P 500 Index Fund .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24 JNL/Mellon Small Cap Index Fund .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24 JNL/Oppenheimer Global Growth Fund .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60 JNL/Oppenheimer Growth Fund .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60 JNL/PIMCO Total Return Bond Fund .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 JNL/PPM America Balanced Fund .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425 JNL/PPM America High Yield Bond Fund .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425 JNL/PPM America Money Market Fund .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25 JNL/PPM America Value Fund .55 .55 .55 .55 .55 .55 .50 .50 .45 .45 .45 JNL/Putnam Equity Fund (e) .675 .675 .675 .60 .60 .60 .575 .575 .575 .575 .575 JNL/Putnam International Equity Fund (f) .80 .75 .75 .75 .75 .75 .75 .75 .70 .70 .70 JNL/Putnam Midcap Growth Fund .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .70 JNL/Putnam Value Equity Fund (e) .675 .675 .675 .60 .60 .60 .575 .575 .575 .575 .575 JNL/S&P Funds .13 .13 .13 .13 .13 .13 .13 .13 .08 .08 .08 JNL/Salomon Brothers Balanced Fund .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50 JNL/Salomon Brothers High Yield Bond Fund .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50 JNL/Salomon Brothers Strategic Bond Fund .65 .65 .65 .60 .60 .60 .60 .60 .55 .55 .55 JNL/Salomon Brothers U.S. Government & Quality Bond Fund .50 .50 .50 .45 .45 .45 .40 .40 .35 .35 .35 JNL/Select Global Growth Fund (g) .75 .75 .75 .70 .70 .70 .70 .70 .65 .60 .60 JNL/Select Large Cap Growth Fund (c) .70 .70 .70 .65 .65 .65 .65 .65 .60 .55 .55 JNL/T.Rowe Price Established Growth Fund .65 .65 .65 .60 .60 .60 .60 .60 .60 .60 .60 JNL/T.Rowe Price Mid-Cap Growth Fund .75 .75 .75 .70 .70 .70 .70 .70 .70 .70 .70 JNL/T.Rowe Price Value Fund .70 .70 .70 .70 .70 .70 .65 .65 .65 .65 .65 (a) Prior to May 1, 2004, the fees were 0.80% on assets up to $300 million and 0.75% over $300 million. (b) Prior to May 1, 2004, the fees were 0.75% on assets up to $250 million, 0.70% between $250 and $750, and 0.65% between $750 million and $1billion and 0.60% over $1.5 billion. (c) Prior to May 1, 2004, the fees were 0.75% on assets up to $150 million, 0.70% between $150 and $250, 0.65% between $250 million and $750 million, 0.60% between $750 and $1.5 billion and 0.55% over $1.5 billion. (d) Prior to May 1, 2004, the fees were 0.57% on assets up to $25 million and 0.52% over $25 million. (e) Prior to May 1, 2004, the fees were 0.70% on assets up to $150 million, 0.65% between $150 million and $300 million and 0.60% over $300. (f) Prior to May 1, 2004, the fees were 0.90% on assets up to $50 million, 0.85% between $50 million and $150 million, 0.80% between $150 and $300, 0.75% between $300 million and $$500 million and 0.70% over $500 million. (g) Prior to May 1, 2004, the fees were 0.80% on assets up to $150 million, 0.75% between $150 million and $300 million and 0.70% over $300 million. ADMINISTRATIVE FEE - The JNL/S&P Funds pay an annual Administrative Fee of 0.05% of the average daily net assets of each Fund. All other Funds, except the JNL/JPMorgan International Value Fund, the JNL/Mellon Capital Management International Index Fund, the JNL/Oppenheimer Global Growth Fund, the JNL/Putnam International Equity Fund, and the JNL/Select Global Growth Fund pay JNAM L.L.C. an annual Administration Fee of 0.10% of the average daily net assets of the Funds. The JNL/JPMorgan International Value Fund, the JNL/Mellon Capital Management International Index Fund, the JNL/Oppenheimer Global Growth Fund, the JNL/Putnam International Equity Fund, and the JNL/Select Global Growth Fund pay JNAM L.L.C. an annual Administration Fee of 0.15% of the average daily net assets of the Funds. In return for the Administrative Fee, JNAM L.L.C. provides or procures all necessary administrative functions and services for the operation of the Funds. In addition, JNAM L.L.C., at its own expense, arranges for legal, audit, fund accounting, custody, printing and mailing, and all other services necessary for the operation of each Fund. Each Fund is responsible for trading expenses including brokerage commissions, interest and taxes, other non-operating expenses, the fees and expenses of the disinterested Trustees of independent legal counsel to the disinterested Trustees and a majority of the cost associated with the Chief Compliance Officer. TRANSFER AGENCY SERVICES - The Trust has an agreement with JNAM L.L.C. whereby JNAM L.L.C. provides transfer agency services for the funds. BROKERAGE FEES - During the period ended June 30, 2004, JNL/Alger Growth Fund, JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund paid $364, $9, and $1, in thousands respectively, to affiliates of the Fund for brokerage fees on the execution of purchases and sales of portfolio investments. 12B-1 SERVICE FEE - Effective December 15, 2003, certain Funds have adopted a Distribution Plan under the provisions of Rule 12b-1 for the purpose of reimbursement of certain distribution and related service expenses from the sale and distribution of the Trust's Class A shares (through the sale of variable insurance products funded by the Trust). Jackson National Life Distributors, Inc. ("JNLD") is the principal underwriter of the Funds, with responsibility for promoting sales of their shares. JNLD also is the principal underwriter of the variable insurance products issued by Jackson National and its subsidiaries. JNLD is a wholly-owned subsidiary of Jackson National. The maximum 12b-1 fee allowed shall be 0.20% as a percentage of the average daily net assets attributable to the Class A shares. Amounts charged pursuant to the Distribution Plan are reflected in the Statement of Operations as "12b-1 service fees (Class A)". DISTRIBUTION (12B-1) FEE - Certain Funds have adopted a Brokerage Enhancement Plan (the "Plan") under the provisions of Rule 12b-1 for the purpose of utilizing the Trust's brokerage commissions to the extent available, to promote the sale and distribution of the Trust's shares by JNLD (through the sale of variable insurance products funded by the Trust). Commissions are reflected in the Statements of Operations as "Distribution (12b-1) fee" and a corresponding reduction "Fees paid indirectly". Net expenses of the Fund are unaffected by participating in the Plan. INVESTMENTS IN AFFILIATES - During the six months ended June 30, 2004, certain funds invested in a money market fund for temporary purposes, which were managed by an affiliate to the subadviser. The total market value and cost of such affiliated investments is disclosed separately in the Statement of Assets and Liabilities, and the associated income is disclosed separately in the Statement of Operations. NOTE 4. PURCHASES AND SALES OF SECURITIES Information with respect to purchases and proceeds from sales of long-term securities for the period ended June 30, 2004 is as follows (in thousands): INVESTMENT SECURITIES U.S. GOVERNMENT OBLIGATIONS PURCHASES SALES PURCHASES SALES ---------------- -------------- ----------------- ---------------- JNL/AIM Large Cap Growth Fund $ 164,778 84,328 $ - $ - JNL/AIM Small Cap Growth Fund 18,072 15,318 - - JNL/Alger Growth Fund 260,680 235,768 - - JNL/Alliance Capital Growth Fund 45,969 107,543 - - JNL/Eagle Core Equity Fund 243,998 202,474 - - JNL/Eagle SmallCap Equity Fund 58,963 32,225 - - JNL/FMR Balanced Fund 82,250 110,421 36,559 21,183 JNL/FMR Capital Growth Fund 224,887 234,448 - - JNL/JPMorgan International Value Fund 45,606 19,934 - - INVESTMENT SECURITIES U.S. GOVERNMENT OBLIGATIONS PURCHASES SALES PURCHASES SALES ---------------- -------------- ----------------- ---------------- JNL/Lazard Mid Cap Value Fund $ 87,973 85,849 $ - $ - JNL/Lazard Small Cap Value Fund 99,059 93,945 - - JNL/Mellon Capital Management Bond Index Fund 12,082 2,823 75,436 34,029 JNL/Mellon Capital Management Enhanced S&P 500 121,549 53,398 - - Stock Index Fund JNL/Mellon Capital Management International Index 123,950 3,438 - - Fund JNL/Mellon Capital Management S&P 400 MidCap Index 59,219 8,395 - - Fund JNL/Mellon Capital Management S&P 500 Index Fund 84,181 6,690 - - JNL/Mellon Capital Management Small Cap Index Fund 59,302 17,090 - - JNL/Oppenheimer Global Growth Fund 70,275 11,693 - - JNL/Oppenheimer Growth Fund 17,105 23,163 - - JNL/PIMCO Total Return Bond Fund 114,521 68,105 39,795 48,712 JNL/PPM America Balanced Fund 48,973 45,449 121,180 103,518 JNL/PPM America High Yield Bond Fund 30,274 35,837 - - JNL/PPM America Value Fund 92,691 8,994 - - JNL/Putnam Equity Fund 59,796 73,772 - - JNL/Putnam International Equity Fund 38,872 46,821 - - JNL/Putnam Midcap Growth Fund 16,252 15,656 - - JNL/Putnam Value Equity Fund 59,207 148,480 - - JNL/S&P Aggressive Growth Fund I 107,319 60,976 - - JNL/S&P Conservative Growth Fund I 238,623 122,084 - - JNL/S&P Core Index 100 Fund 10,094 4,709 - - JNL/S&P Core Index 50 Fund 6,634 3,523 - - JNL/S&P Core Index 75 Fund 9,376 2,807 - - JNL/S&P Equity Aggressive Growth Fund I 27,461 18,712 - - JNL/S&P Equity Growth Fund I 101,162 62,344 - - JNL/S&P Moderate Growth Fund I 398,484 200,038 - - JNL/S&P Very Aggressive Growth Fund I 28,604 19,175 - - JNL/Salomon Brothers Balanced Fund 13,188 18,783 835 1,405 JNL/Salomon Brothers High Yield Bond Fund 3,246 8,587 - - JNL/Salomon Brothers Strategic Bond Fund 456,442 437,130 25,491 4,911 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 647,598 690,040 7,613 13,061 JNL/Select Global Growth Fund 315,513 323,841 JNL/Select Large Cap Growth Fund 263,526 276,498 JNL/T.Rowe Price Established Growth Fund 164,329 86,904 - - JNL/T.Rowe Price Mid-Cap Growth Fund 152,013 74,483 - - JNL/T.Rowe Price Value Fund 102,203 108,439 - - NOTE 5. FOREIGN SECURITIES Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. Government. NOTE 6. FEDERAL INCOME TAX MATTERS At December 31, 2003, the following Funds had accumulated net realized capital loss carryovers, in thousands, for U.S. federal income tax purposes, which may be used to offset future, realized capital gains (in thousands). It is the intent of the Board of Trustees to not distribute any realized capital gains until the accumulated net realized capital loss carryovers have been offset or have expired. YEAR(S) OF AMOUNT EXPIRATION - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/AIM Large Cap Growth Fund $ 1,138 2010 JNL/AIM Small Cap Growth Fund 2,129 2010-2011 JNL/Alger Growth Fund 135,067 2009-2011 JNL/Alliance Capital Growth Fund 67,051 2009-2011 JNL/Eagle Core Equity Fund 41,816 2009-2011 JNL/Eagle SmallCap Equity Fund 19,443 2009-2011 JNL/FMR Balanced Fund 12,339 2008-2011 JNL/FMR Capital Growth Fund 371,570 2009-2011 YEAR(S) OF AMOUNT EXPIRATION - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/JPMorgan International $ 2,827 2009-2010 Value Fund JNL/Lazard Mid Cap Value Fund 782 2010 JNL/Lazard Small Cap Value Fund 2,393 2010 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 3,629 2010 JNL/Mellon Capital Management International Index Fund International Index Fund 827 2010-2011 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 250 2010-2011 YEAR(S) OF AMOUNT EXPIRATION - ------------------------------------------------------------ JNL/Oppenheimer Global Growth Fund $ 10,140 2009-2011 JNL/Oppenheimer Growth Fund 4,494 2009-2011 JNL/PPM America High Yield Bond Fund 53,239 2007-2010 JNL/Putnam Equity Fund 137,173 2008-2011 JNL/Putnam International Equity Fund 38,714 2009-2011 JNL/Putnam Midcap Growth Fund 24,667 2008-2011 JNL/Putnam Value Equity Fund 61,349 2008-2011 JNL/S&P Aggressive Growth Fund I 17,885 2009-2010 JNL/S&P Conservative Growth Fund I 6,847 2010 YEAR(S) OF AMOUNT EXPIRATION - ------------------------------------------------------------ - ------------------------------------------------------------ JNL/S&P Equity Aggressive Growth Fund I $ 9,304 2009-2010 JNL/S&P Equity Growth Fund I 26,964 2009-2010 JNL/S&P Moderate Growth Fund I 18,135 2009-2010 JNL/S&P Very Aggressive Growth Fund I 14,798 2009-2010 JNL/Salomon Brothers High Yield Bond Fund 2,332 2008-2010 JNL/Select Global Growth Fund 182,435 2009-2011 JNL/Select Large Cap Growth Fund 360,968 2009-2011 JNL/T.Rowe Price Established Growth Fund 94,691 2009-2011 JNL/T.Rowe Price Value Fund 1,711 2010 The following represents capital and/or currency losses (in thousands) realized after October 31, 2003, which were deferred for tax purposes to the first of the following fiscal year. AMOUNT - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/Eagle SmallCap Equity Fund $ 88 JNL/FMR Balanced Fund 2 JNL/Mellon Capital Management Bond Index Fund 303 JNL/Mellon Capital Management International Index Fund 2 JNL/Putnam Equity Fund 224 JNL/Putnam International Equity Fund 187 AMOUNT - ------------------------------------------------------------- - ------------------------------------------------------------- JNL/Salomon Brothers Strategic Bond Fund $ 965 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 269 JNL/Select Global Growth Fund 1,430 JNL/T.Rowe Price Established Growth Fund 9 JNL/T.Rowe Price Mid-Cap Growth Fund 7 Permanent differences between book and tax basis reporting for the 2003 fiscal year have been identified and appropriately reclassified as indicated below (in thousands). To the extent there are differences between book tax-basis and federal tax-basis which are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Permanent differences may include but are not limited to: excise taxes paid, expired capital loss carryforwards, foreign currency reclassifications, market discount or paydown reclassifications, reclassifications on the sale of PFIC or REIT securities, net operating losses and distribution adjustments. These reclassifications have no impact on net assets. NET INCREASE (DECREASE) ------------------------------------------------------- ACCUMULATED ACCUMULATED UNDISTRIBUTED NET NET INVESTMENT REALIZED INCOME GAIN/LOSS PAID IN CAPITAL ---------------- --------------- ---------------- JNL/AIM Large Cap Growth Fund $ 73 $ 1 $ (74) JNL/AIM Small Cap Growth Fund 203 - (203) JNL/Alger Growth Fund 533 - (533) JNL/Eagle Core Equity Fund (4) 4 - JNL/Eagle SmallCap Equity Fund 674 - (674) JNL/FMR Balanced Fund 8 (8) - JNL/FMR Capital Growth Fund 743 - (743) JNL/JPMorgan International Value Fund 192 (192) - JNL/Lazard Mid Cap Value Fund (20) 20 - JNL/Lazard Small Cap Value Fund (47) 47 - JNL/Mellon Capital Management Bond Index Fund (63) 63 - JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (1) - 1 JNL/Mellon Capital Management International Index Fund 399 (399) - JNL/Mellon Capital Management S&P 500 Index Fund (2) 2 - JNL/Mellon Capital Management Small Cap Index Fund (8) 8 - JNL/Oppenheimer Global Growth Fund (224) 224 - JNL/Oppenheimer Growth Fund 118 - (118) JNL/PIMCO Total Return Bond Fund 319 (319) - JNL/PPM America Balanced Fund (36) 36 - JNL/Putnam Equity Fund 1 (1) - JNL/Putnam International Equity Fund 319 (319) - JNL/Putnam Midcap Growth Fund 118 - (118) JNL/Putnam Value Equity Fund 127 2 (129) JNL/Salomon Brothers Strategic Bond Fund 59 (59) - NET INCREASE (DECREASE) ------------------------------------------------------- ACCUMULATED ACCUMULATED UNDISTRIBUTED NET NET INVESTMENT REALIZED INCOME GAIN/LOSS PAID IN CAPITAL ---------------- --------------- ---------------- JNL/Salomon Brothers U.S. Government & Quality Bond Fund $ (68) $ 68 $ - JNL/Select Global Growth Fund (1,732) 2,706 (974) JNL/Select Large Cap Growth Fund 488 951 (1,439) JNL/T.Rowe Price Established Growth Fund (130) 130 - JNL/T.Rowe Price Mid-Cap Growth Fund 1,751 7 (1,758) JNL/T.Rowe Price Value Fund (12) 12 - As of June 30, 2004, the components of distributable earnings on a tax-basis and the federal tax cost of investments are listed in the following table (in thousands). Net investment income, net realized gains, and unrealized appreciation may differ for financial statement and tax purposes primarily because of the recognition of certain foreign currency gains as ordinary income for tax purposes; the realization for tax purposes of unrealized gains on certain forward foreign currency or futures contracts and unrealized gains or losses on investments in passive foreign investment companies; the difference in accounting for investments in Real Estate Investment Trusts; and the tax deferral of losses on wash sale transactions. NET GROSS GROSS UNREALIZED COST OF UNREALIZED UNREALIZED APPRECIATION/ INVESTMENTS APPRECIATION DEPRECIATION DEPRECIATION - ------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------ JNL/AIM Large Cap Growth Fund $ 139,407 $ 11,959 $ (1,561) 10,398 JNL/AIM Small Cap Growth Fund 41,522 8,264 (2,336) 5,928 JNL/Alger Growth Fund 252,752 30,464 (7,805) 22,659 JNL/Alliance Capital Growth Fund 65,971 6,669 (3,974) 2,695 JNL/Eagle Core Equity Fund 305,680 15,018 (11,563) 3,455 JNL/Eagle SmallCap Equity Fund 115,082 33,046 (6,283) 26,763 JNL/FMR Balanced Fund 93,724 3,704 (1,512) 2,192 JNL/FMR Capital Growth Fund 151,845 8,660 (6,138) 2,522 JNL/JPMorgan International Value Fund 49,850 3,022 (1,126) 1,896 JNL/Lazard Mid Cap Value Fund 149,963 19,053 (2,669) 16,384 JNL/Lazard Small Cap Value Fund 155,015 21,476 (5,306) 16,170 JNL/Mellon Capital Management Bond Index Fund 126,137 556 (1,808) (1,252) JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 167,830 9,214 (5,627) 3,587 JNL/Mellon Capital Management International Index Fund 200,560 22,435 (5,339) 17,096 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 126,380 18,548 (4,760) 13,788 JNL/Mellon Capital Management S&P 500 Index Fund 258,228 31,407 (6,581) 24,826 JNL/Mellon Capital Management Small Cap Index Fund 110,900 16,672 (5,788) 10,884 JNL/Oppenheimer Global Growth Fund 151,181 24,694 (6,276) 18,418 JNL/Oppenheimer Growth Fund 24,807 1,551 (838) 714 JNL/PIMCO Total Return Bond Fund 416,643 2,476 (1,748) 728 JNL/PPM America Balanced Fund 289,714 40,429 (7,047) 33,382 JNL/PPM America Money Market Fund 187,868 - - - JNL/PPM America High Yield Bond Fund 249,133 12,154 (3,662) 8,492 JNL/PPM America Value Fund 131,437 14,564 (2,075) 12,489 JNL/Putnam Equity Fund 144,939 14,877 (6,418) 8,459 JNL/Putnam International Equity Fund 82,242 11,291 (4,634) 6,657 JNL/Putnam Midcap Growth Fund 27,908 4,581 (1,326) 3,255 JNL/Putnam Value Equity Fund 201,849 24,690 (7,356) 17,334 JNL/S&P Aggressive Growth Fund I 217,370 17,252 (17,130) 122 JNL/S&P Conservative Growth Fund I 514,254 33,297 (17,417) 15,880 JNL/S&P Core Index 100 Fund 38,250 4,897 (432) 4,465 JNL/S&P Core Index 50 Fund 10,476 866 (246) 620 JNL/S&P Core Index 75 Fund 15,860 1,381 (219) 1,162 JNL/S&P Equity Aggressive Growth Fund I 66,126 6,292 (10,500) (4,208) JNL/S&P Equity Growth Fund I 239,839 21,623 (39,170) (17,547) JNL/S&P Moderate Growth Fund I 811,565 59,529 (38,632) 20,897 JNL/S&P Very Aggressive Growth Fund I 80,808 7,645 (15,994) (8,349) JNL/Salomon Brothers Balanced Fund 13,917 1,279 (782) 497 JNL/Salomon Brothers High Yield Bond Fund 14,633 757 (1,394) (637) JNL/Salomon Brothers Strategic Bond Fund 305,868 4,596 (6,357) (1,761) JNL/Salomon Brothers U.S. Government & Quality Bond Fund 305,441 2,296 (2,378) (82) JNL/Select Global Growth Fund 175,849 14,666 (2,259) 12,407 JNL/Select Large Cap Growth Fund 254,706 25,040 (8,778) 16,262 T. Rowe Price/JNL Established Growth Fund 504,250 79,536 (23,497) 56,039 T. Rowe Price/JNL Mid-Cap Growth Fund 398,534 111,429 (18,884) 92,545 T. Rowe Price/JNL Value Fund 371,627 59,278 (13,858) 45,420 No distributions were paid for the period ending June 30, 2004. The tax character of distributions paid during the period ended December 31, 2003, were as follows (in thousands): LONG-TERM ORDINARY CAPITAL INCOME GAIN ------------------------- JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund $ 236 $ - JNL/Mellon Capital Management S&P 400 MidCap Index Fund 230 - JNL/Mellon Capital Management S&P 500 Index Fund 1,511 588 JNL/Mellon Capital Management Small Cap Index Fund 269 498 JNL/Eagle Core Equity Fund 1,494 - JNL/FMR Balanced Fund 1,480 - JNL/JPMorgan International Value Fund 346 - JNL/Lazard Mid Cap Value Fund 266 - JNL/Mellon Capital Management Bond Index Fund 2,128 209 JNL/Mellon Capital Management International Index Fund 1,094 - JNL/PIMCO Total Return Bond Fund 8,768 1,422 JNL/PPM America Balanced Fund 7,530 401 JNL/PPM America High Yield Bond Fund 15,485 - JNL/PPM America Money Market Fund 924 - JNL/PPM America Value Equity Fund 303 - JNL/Putnam Equity Fund 486 - JNL/Putnam International Equity Fund 1,395 - JNL/Putnam Value Equity Fund 3,168 - JNL/S&P Aggressive Growth Fund I 1,956 - JNL/S&P Conservative Growth Fund I 8,874 - JNL/S&P Core Index 100 Fund 170 - JNL/S&P Core Index 50 Fund 3 - JNL/S&P Core Index 75 Fund 40 - JNL/S&P Equity Aggressive Growth Fund I 2 - JNL/S&P Equity Growth Fund I 20 - JNL/S&P Moderate Growth Fund I 9,969 - JNL/Salomon Brothers Balanced Fund 359 - JNL/Salomon Brothers High Yield Bond Fund 1,671 - JNL/Salomon Brothers Strategic Bond Fund 9,699 1,122 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 9,416 2,639 JNL/T.Rowe Price Established Growth Fund 118 - JNL/T.Rowe Price Mid-Cap Growth Fund - 1,870 JNL/T.Rowe Price Value Fund 2,064 - NOTE 7. FUND ACQUISITIONS On April 30, 2004, the following acquisitions were accomplished by a tax-free or taxable exchange of shares (in thousands) pursuant to a plan of reorganization approved by the Board of Trustees on January 29, 2004. UNREALIZED SHARES APPRECIATION / SHARES OF OUTSTANDING (DEPRECIATION) ACQUIRING OF ACQUIRED OF ACQUIRED FUND MERGER FUND ON FUND ON ISSUED IN TAX ACQUISITION ACQUISITION ACQUIRING FUND EXCHANGE STATUS ACQUIRED FUND DATE DATE - ------------------------------------ ----------- -- -------- --------------------------------- ------------- -- ---------------- - ------------------------------------ ----------- -- -------- --------------------------------- ------------- -- ---------------- JNL/AIM Large Cap Growth Fund 1,111 Taxable JNL/AIM Premier Equity II Fund 1,249 $ (262) JNL/Eagle Core Equity Fund 973 Taxable JNL/Janus Growth & Income Fund 1,946 (6,451) JNL/S&P Aggressive Growth Fund I 1,191 Tax-free JNL/S&P Aggressive Growth Fund 1,728 (8,075) JNL/S&P Aggressive Growth Fund I 361 Tax-free JNL/S&P Aggressive Growth Fund II 443 (2,383) JNL/S&P Conservative Growth Fund I 1,432 Tax-free JNL/S&P Conservative Growth Fund 1,766 (2,427) JNL/S&P Conservative Growth Fund I 1,353 Tax-free JNL/S&P Conservative Growth Fund II 1,580 (2,904) JNL/S&P Equity Aggressive Growth Fund I 195 Tax-free JNL/S&P Equity Aggressive Growth Fund II 208 (1,515) JNL/S&P Equity Growth Fund I 734 Tax-free JNL/S&P Equity Growth Fund II 844 (4,805) JNL/S&P Moderate Growth Fund I 2,675 Tax-free JNL/S&P Moderate Growth Fund 3,655 (8,633) JNL/S&P Moderate Growth Fund I 1,736 Tax-free JNL/S&P Moderate Growth Fund II 2,041 (5,061) JNL/S&P Very Aggressive Growth Fund I 214 Tax-free JNL/S&P Very Aggressive Growth Fund II 235 (1,452) The aggregate net assets (in thousands) of the acquiring and acquired funds immediately before the acquisition were as follows: NET ACQUIRING FUND NET ASSETS ACQUIRED FUND ASSETS - ----------------------------------- ---------- ------------ ---- ------------------------------------ -------------- ---------- - ----------------------------------- ---------- ------------ ---- ------------------------------------ -------------- ---------- JNL/AIM Large Cap Growth Fund $ 122,190 JNL/AIM Premier Equity II Fund $ 11,871 JNL/Eagle Core Equity Fund 278,588 JNL/Janus Growth & Income Fund 13,508 JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund 12,645 JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund II 3,833 JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund 15,985 JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund II 15,102 JNL/S&P Equity Aggressive Growth Fund I 55,884 JNL/S&P Equity Aggressive Growth Fund II 1,869 JNL/S&P Equity Growth Fund I 199,219 JNL/S&P Equity Growth Fund II 7,117 JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund 29,690 JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund II 19,273 JNL/S&P Very Aggressive Growth Fund I 65,959 JNL/S&P Very Aggressive Growth Fund II 2,146
TRUSTEES AND OFFICERS OF JNL SERIES TRUST - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ NUMBER OF CURRENT PORTFOLIOS IN OTHER POSITION LENGTH PRINCIPAL THE FUND COMPLEX TRUSTEESHIPS TRUSTEE/OFFICER (AGE) WITH THE OF TIME OCCUPATION OVERSEEN BY THE HELD BY & ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE THE TRUSTEE - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ INTERESTED TRUSTEE - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ Robert A. Fritts* (55) Trustee 8/97 to Senior Vice President (9/03 65 None 1 Corporate Way present to present) and Controller of Lansing, MI 48951 Jackson National Life President 12/02 to Insurance Company (9/82 to and Chief present present); Vice President and Executive Controller of Jackson Officer National Life Insurance Company (8/82 to 8/03); Trustee or Manager, and (since 12/02) President and Chief Executive Officer, of each other investment company in the Fund Complex. - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------------------------------------------------------------------------------------------------------------ DISINTERESTED TRUSTEES - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ Michael Bouchard (47) Trustee 12/03 to present Sheriff, Oakland County, 65 None 1 Corporate Way Michigan (1/99 to present) Lansing, MI 48951 Senator - State of Michigan (1991 to 1999); Chairman - Financial Services Committee (1/95 to 1/99) - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ Dominic D'Annunzio (65) Chairman 2/04 to Acting Commissioner of 65 None 1 Corporate Way of the present Insurance for the State of Lansing, MI 48951 Board Michigan (1/90 to 5/90) (8/97 to 5/98) Trustee 2/02 to present - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ Michelle Engler (45) Trustee 12/03 to present Attorney (1983 to present); 65 Director of 1 Corporate Way First Lady of the State of Federal Home Loan Lansing, MI 48951 Michigan (1990 to 2002); Mortgage Michigan Community Service Corporation Commission Chair (1991 to 2000) - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ Joseph Frauenheim (70) Trustee 12/94 to present Consultant (Banking) 65 None 1 Corporate Way Lansing, MI 48951 - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ Richard McLellan (61) Trustee 12/94 to present Member, Dykema Gossett PLLC 65 None 1 Corporate Way (Law Firm) Lansing, MI 48951 - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ NUMBER OF CURRENT PORTFOLIOS IN OTHER POSITION LENGTH PRINCIPAL THE FUND COMPLEX TRUSTEESHIPS TRUSTEE/OFFICER (AGE) WITH THE OF TIME OCCUPATION OVERSEEN BY THE HELD BY & ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE THE TRUSTEE - ------------------------------- ------------ ----------------- ------------------------------- ------------------ ------------------ - --------------------------- -------------- ------------------- ------------------------------ --------------------- ---------------- OFFICERS - --------------------------- -------------- ------------------- ------------------------------ --------------------- ---------------- - --------------------------- -------------- ------------------- ------------------------------ --------------------- ---------------- Mark D. Nerud (38) Vice 8/97 to Chief Financial Officer Not Applicable Not Applicable 225 West Wacker Drive, President present (11/00 to present) and Chicago, IL 60606 Managing Board Member of the Treasurer 12/02 to Adviser (11/00 to 11/03); and Chief present Vice President, Treasurer, Financial Chief Financial Officer of Officer other Investment Companies advised by the Adviser; Vice President - Fund Accounting & Administration of Jackson National Life Insurance Company (1/00 to present) - --------------------------- -------------- ------------------- ------------------------------ --------------------- ---------------- - --------------------------- -------------- ------------------- ------------------------------ --------------------- ---------------- Susan S. Rhee (32) Vice 2/04 to Secretary of the Adviser Not Applicable Not Applicable 1 Corporate Way President, present (11/00 to present); Lansing, MI 48951 Counsel and Assistant Vice President of Secretary Jackson National Life Insurance Company (8/03 to present); Associate General Counsel of Jackson National Life Insurance Company (7/01 to present); Senior Attorney of Jackson National Life Insurance Company (1/00 to 7/01); Goldman, Sachs & Co. (10/99 to 12/99); Van Eck Associates Corporation (9/97 to 10/99) - --------------------------- -------------- ------------------- ------------------------------ --------------------- ----------------
The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling 1-800-766-4683 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or 1-800-777-7779 (for contracts purchased through a bank or financial institution). - -------- * Mr. Fritts is an "interested persons" of the Trust due to his position with Jackson National Life Insurance Company, which is the parent company of the Adviser and Distributor. TRUSTEES OF JNL SERIES TRUST Trustees and officers that are interested persons of the Trust or the Adviser do not receive any compensation from the Trust for their services as Trustees or officers. The following persons, who are disinterested Trustees of the Trust, received from the Trust the compensation amounts indicated for the services as such.
PENSION OR RETIREMENT TOTAL BENEFITS COMPENSATION AGGREGATE ACCRUED FROM COMPENSATION AS PART OF ESTIMATED ANNUAL TRUST AND FROM TRUST BENEFITS FUND TRUSTEE TRUST* EXPENSES UPON RETIREMENT COMPLEX Joseph Frauenheim $42,500 $0 $0 $42,500 Richard McLellan $40,000 $0 $0 $40,000 Dominic D'Annunzio $43,334 $0 $0 $43,334 Michael Bouchard $40,000 $0 $0 $40,000 Michelle Engler $40,000 $0 $0 $40,000
* The fees paid to the independent Trustees are paid for combined meetings of the funds in the fund complex. The fees are allocated to the funds and it affiliated investment companies on a pro-rata basis based on net assets. PROXY VOTING GUIDELINES Jackson National Asset Management, LLC, the fund's adviser, is responsible for exercising the voting rights associated with the securities purchased and/or held by the funds. A description of the policies and procedures and information on the Funds' proxy voting policies and procedures and information on how the Funds voted proxies relating to portfolio securities during the 12 month period ended June 30 are available without charge, upon request, by calling 1-800-766-4683 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or 1-800-777-7779 (for contracts purchased through a bank or financial institution). It is also available on Jackson National Life's website at JNL.com or Jackson National Life New York's website at JNLNY.com and on the Securities and Exchange Commission's Web site at SEC.gov. Item 2. Code of Ethics Not applicable to semi-annual filing. Item 3. Audit Committee Financial Expert. Not applicable to semi-annual filing. Item 4. Principal Accountant Fees and Services. Not applicable to semi-annual filing. Item 5. Audit Committee of Listed Registrants. Not applicable to semi-annual filing. Item 6. Schedule of Investments Included as a Part of the Report to Shareholders filed under Item 1. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable as this is an Open-End Management Investment Company. Item 8. Purchases of Equity Secruties by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable as this is an Open-End Management Investment Company. Item 9. Submission of Matters to a Vote of Security Holders. No material changes have been made. Item 10. Controls and Procedures. In order to ensure that the information that we must disclose in our filings with the Securities and Exchange Commission is recorded, processed, summarized and reported on a timely basis, we have adopted disclosure controls and procedures. Our President and Chief Executive Officer, Robert A. Fritts, and our Chief Financial Officer, Mark D. Nerud, have reviewed and evaluated our disclosure controls and procedures as of August 24, 2004, and have concluded that our disclosure controls and procedures are effective. There was no change in our internal control over financial reporting during our last fiscal half-year that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting. Item 11. Exhibits a. (1) Code of Ethics - not applicable to the semi-annual filing. (2) The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, are attached hereto. (3) Not Applicable. b. The certification required by Rule 30a-2(b) fo the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002, is attached hereto. SIGNATURES Pursuant to the requirements of the Securities Act and the Investment Company Act, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, duly authorized, in the City of Lansing and the State of Michigan on the 8th day of September 2004. JNL SERIES TRUST (Registrant) By: /s/ Robert A. Fritts -------------------------------------------------- Robert A. Fritts President, CEO and Trustee Pursuant to the requirements of the Securities Act, this Report has been signed below by the following persons in the capacities and on the date indicated. /s/ Robert A. Fritts September 8, 2004 - ---------------------- ---------------- Robert A. Fritts President, Chief Executive Officer & Trustee /s/ Mark D. Nerud September 8, 2004 - ----------------------- ---------------- Mark D. Nerud Chief Financial Officer EXHIBIT LIST Exhibit 11(a)(2)(a) Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Act. Exhibit 11(a)(2)(b) Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Act. Exhibit 11(b) Certification required by Rule 30a-2(b) under the Act. EX-31 2 jnlstcertifications_302.txt Exhibit 11(a)(2)(a) CERTIFICATION I, Robert A. Fritts, certify that: 1. I have reviewed this report on Form N-CSR of JNL Series Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 8, 2004 /s/ Robert A. Fritts Robert A. Fritts President and Chief Executive Officer Exhibit 11(a)(2)(b) CERTIFICATION I, Mark D. Nerud, certify that: 1. I have reviewed this report on Form N-CSR of JNL Series Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 8, 2004 /s/ Mark D. Nerud Mark D. Nerud Chief Financial Officer EX-32 3 jnlstcertifications_906.txt Exhibit 11(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 Robert A. Fritts, President, and Mark D. Nerud, Chief Financial Officer of the JNL Series Trust (the "Trust"), certify that: 1. This Form N-CSR filing for the Trust (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. By: /s/ Robert A. Fritts -------------------------------------------- Robert A. Fritts Chief Executive Officer Date: September 8, 2004 By: /s/ Mark D. Nerud -------------------------------------------- Mark D. Nerud Chief Financial Officer Date: September 8, 2004 -----END PRIVACY-ENHANCED MESSAGE-----