-----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, FO0bpfZEaSGWGst+ziuvmUVZzdhMyahdlHVIK8rDpHeCB0ORZXnhH6C6CYVZwpsp kkm4qYc9hZd0XsvUL0BtJg== 0000933691-05-000168.txt : 20050901 0000933691-05-000168.hdr.sgml : 20050901 20050901171435 ACCESSION NUMBER: 0000933691-05-000168 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20050630 FILED AS OF DATE: 20050901 DATE AS OF CHANGE: 20050901 EFFECTIVENESS DATE: 20050901 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: 051065399 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_ncsr805.txt 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, 2005 Item 1. Report to Shareholders Dear Investors: We are pleased to provide you with this report on the operations of the JNL Series Trust, JNL Variable Fund LLC and JNLNY Variable Fund I LLC for the six-month period ending June 30, 2005. The Dow Jones, S&P 500 and NASDAQ all experienced a downturn during the first half of the year after being up in the 2004 calendar year. Equity market indicators for the six-month period ending June 30, 2005, showed the Dow Jones down -3.65%; the S&P 500 down -0.81%; the EAFE Index (a proxy for international stock markets) down -1.17%, and the NASDAQ down -5.12%. Value oriented stocks with slightly positive returns in the first six months, led by mid-cap value stocks, outpaced growth stocks during the first half of the year. In addition, the energy sector continued to perform well, benefiting from higher oil prices. Fixed income market indicators for the six-month period ending June 30, 2005, showed the Lehman Brothers Aggregate Bond Index up 2.51% and the Lehman Brothers High Yield Bond Index up 1.11%. The U.S. domestic economy seems to be doing moderately well with inflation and gross domestic product growth at reasonable rates. Payrolls employment and corporate profits have continued their upward trend. Stock prices have generally followed earnings. Although market returns are somewhat flat, there is a general feeling that stock valuations will move upward with positive earnings growth. In late June, the Federal Reserve Board raised the federal funds rate for the ninth consecutive time in just over a year to 3.25%. The Federal Reserve Board meets again on August 9, 2005, and we may see another rate increase in an effort to moderate growth. The housing market continues to perform well with mortgage rates staying relatively low. 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 Fund LLC JNLNY Variable Fund I LLC JNL SERIES TRUST (UNAUDITED) SCHEDULE OF INVESTMENTS (IN THOUSANDS) JUNE 30, 2005
JNL/AIM Large Cap Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 34.8% Consumer, Cyclical 19.5% Technology 14.0% Financial 11.3% Energy 7.7% Industrial 7.6% Communications 2.7% Money Market Investment 2.4% 100.0% Common Stocks - 98.4% Aerospace & Defense - 5.2% Boeing Co. 57 $3,749 General Dynamics Corp. 22 2,454 Lockheed Martin Corp. 76 4,943 Rockwell Collins 68 3,247 United Technologies Corp. 45 2,326 16,719 Agriculture - 1.8% Monsanto Co. 95 5,948 Apparel - 2.8% Coach Inc. (b) 79 2,635 Nike Inc. - Class B (l) 74 6,400 9,035 Beverages - 1.0% PepsiCo Inc. 58 3,150 Biotechnology - 0.9% Genentech Inc. (b) 41 3,291 Commercial Services - 0.7% Accenture Ltd. 104 2,358 Computers - 7.3% Apple Computer Inc. (b) 106 3,883 Dell Inc. (b) 361 14,279 NCR Corp. (b) 65 2,276 Seagate Technology (b) 173 3,042 23,480 Cosmetics & Personal Care - 4.0% Gillette Co. 164 8,308 Proctor & Gamble Co. (l) 85 4,478 12,786 Diversified Financial Services - 7.3% Bear Stearns Cos. Inc. 28 2,952 Countrywide Financial Corp. 157 6,054 Goldman Sachs Group Inc. 32 3,285 Lehman Brothers Holdings Inc. (l) 52 5,202 SLM Corp. 119 6,060 23,553 Food - 1.0% Hershey Foods Corp. 52 3,229 Healthcare - 19.5% Aetna Inc. 100 8,282 Alcon Inc. 86 9,416 Becton Dickinson & Co. 64 3,337 CR Bard Inc. 34 2,261 HCA Inc. 127 7,220 Johnson & Johnson 198 12,864 Quest Diagnostics Inc. 77 4,080 UnitedHealth Group Inc. 215 11,224 WellPoint Inc. (b) 61 4,213 62,897 Home Builders - 2.0% DR Horton Inc. 96 3,614 NVR Inc. (b) (l) 4 2,957 6,571 Household Products - 1.1% Fortune Brands Inc. 41 3,659 Insurance - 4.1% Allstate Corp. 82 4,888 Chubb Corp. 29 2,483 Cigna Corp. 24 2,590 MetLife Inc. 76 3,424 13,385 Internet - 1.0% VeriSign Inc. (l) 109 3,129 Lodging - 0.7% Marriott International Inc. - Class A 33 2,224 Machinery - 0.8% Rockwell Automation Inc. 55 2,689 Metal Fabrication & Hardware - 1.0% Precision Castparts Corp. 42 3,295 Oil & Gas Producers - 7.8% Apache Corp. 40 2,584 Chevron Corp. 88 4,899 ConocoPhillips 118 6,807 Devon Energy Corp. 70 3,568 Valero Energy Corp. 92 7,254 25,112 Pharmaceuticals - 4.9% Caremark Rx Inc. (b) 52 2,333 Express Scripts Inc. (b) 50 2,499 GlaxoSmithKline Plc - ADR 52 2,503 Medco Health Solutions Inc. (b) 65 3,468 Sanofi-Synthelabo SA - ADR 54 2,230 Shire Pharmaceuticals Group - ADR 81 2,667 15,700 Retail - 14.1% Abercrombie & Fitch Co. - Class A 69 4,706 Best Buy Co. Inc. 37 2,536 Chico's FAS Inc. (b) (l) 85 2,900 Darden Restaurants Inc. 107 3,532 Federated Department Stores Inc. 34 2,514 Home Depot Inc. 63 2,447 J.C. Penney Co. Inc. 50 2,629 Michaels Stores Inc. 62 2,569 Nordstrom Inc. 89 6,070 Sears Holdings Corp. (b) 16 2,398 Staples Inc. 299 6,366 Yum! Brands Inc. (l) 136 7,072 45,739 Semiconductors - 2.2% Intel Corp. 60 1,566 National Semiconductor Corp. 114 2,514 Texas Instruments Inc. 105 2,947 7,027 Software - 4.7% Adobe Systems Inc. 177 5,074 Autodesk Inc. 106 3,657 Microsoft Corp. 173 4,297 Oracle Corp. (b) 157 2,070 15,098 Telecommunications Equipment - 1.2% Cisco Systems Inc. (b) 199 3,801 Transportation - 0.7% Burlington Northern Santa Fe Corp. 47 2,213 Wireless Telecommunications - 0.6% Motorola Inc. 105 1,914 Total Common Stocks (cost $290,881) 318,001 Short Term Investments - 7.1% Money Market Funds - 2.4% Dreyfus Cash Management Plus Fund, 3.05% (a) 7,713 7,713 Securities Lending Collateral - 4.7% Mellon GSL Delaware Business Trust Collateral Fund 15,313 15,313 Total Short Term Investments (cost $23,026) 23,026 Total Investments - 105.5% (cost $313,907) 341,028 Other Assets and Liabilities, Net - (5.5%) (17,656) Total Net Assets - 100% $323,372 JNL/AIM Real Estate Fund Percentage of Total Industry Sector Investments (o) Financial 88.0% Money Market Investment 6.5% Consumer, Cyclical 5.1% Industrial 0.4% 100.0% Common Stocks - 95.3% Lodging - 5.4% Hilton Hotels Corp. 62 $1,486 La Quinta Corp. (b) 12 113 Orient-Express Hotels Ltd. (b) 5 149 Starwood Hotels & Resorts Worldwide Inc. 21 1,235 2,983 Real Estate - 89.9% Alexandria Real Estate Equites Inc. 10 749 AMB Property Corp. 7 291 American Campus Communities Inc. 11 252 American Financial Realty Trust (l) 26 398 Archstone-Smith Trust 46 1,769 Arden Realty Inc. (l) 11 396 Ascendas Real Estate Investment Trust 58 76 Avalonbay Communities Inc. 20 1,648 Boston Properties Inc. 33 2,303 Brandywine Realty Trust (l) 16 481 BRE Properties Inc. - Class A 1 25 Brookfield Properties Co. (b) 27 778 Camden Property Trust (l) 7 349 Capitacommercial Trust (b) 42 38 Capital & Regional Plc 17 252 Capital Automotive Reit 11 420 CapitaLand Ltd. 36 51 Capitamall Trust 31 44 Carramerica Realty Corp. (l) 15 554 Catellus Development Corp. 13 413 Centerpoint Properties Trust 36 1,523 Citycon Oyj (b) 27 101 Colonial Properties Trust 5 224 Cominar Real Estate Investment Trust (b) 6 88 Derwent Valley Holdings Plc (b) 13 284 Developers Divers Realty Corp. (l) 37 1,701 Education Realty Trust Inc. (b) 10 174 Entertainment Properties Trust 7 313 Equity Inns Inc. 17 225 Equity Residential Properties Trust 62 2,298 Essex Property Trust Inc. 13 1,063 Extra Space Storage Inc. (l) 10 136 Federal Realty Investors Trust 12 720 First Potomac Realty Trust (b) 4 97 General Growth Properties 94 3,871 GMH Communities Trust 5 71 Hang Lung Properties Ltd. 62 91 Hongkong Land Holdings Ltd. (b) 62 173 Host Marriott Corp. 118 2,058 Hysan Development Co. Ltd. 52 108 Kilroy Realty Corp. 6 261 Land Securities Group Plc 12 299 Liberty International Plc 12 200 Macerich Co. 31 2,085 Macquarie Goodman Group (b) 21 65 Mills Corp. 19 1,125 Mitsui Fudosan Co. Ltd. 12 134 Multiplex Group (b) 93 205 New Plan Excel Realty Trust 5 133 Pan Pacific Retail Properties Inc. (l) 8 518 Post Properties Inc. 4 141 Prologis (l) 76 3,046 Public Storage Inc. (l) 17 1,082 Reckson Associate Realty Corp. 11 359 Regency Centers Corp. 29 1,636 Simon Property Group Inc. 57 4,117 Singapore Land Ltd. 15 50 Sino Land Co. 48 51 Sl Green Realty Corp. (l) 29 1,858 Spirit Finance Corp. (b) 11 133 Stockland 21 88 Summit Real Estate Investment Trust 6 105 Tokyu Reit Inc. (b) - 334 Trizec Properties Inc. 66 1,351 United Dominion Realty Trust Inc. 11 273 Urstadt Biddle Properties Inc. - Class A 24 420 U-Store-It Trust 17 320 Ventas Inc. 15 458 Vornado Realty Trust 29 2,315 Westfield Group 10 135 49,903 Total Common Stocks (cost $49,791) 52,887 Preferred Stocks - 0.6% Real Estate - 0.6% Alexandria Real Estate Equity - Class C (b) 1 26 CBL & Associates Properties - Series D (b) 2 48 Cousins Property - Class B (b) 2 53 Eagle Hospitality Properties (b) 3 78 Entertainment Properties Trust (b) 2 38 Mills Corp. (b) 4 103 Total Preferred Stocks (cost $344) 346 Short Term Investments - 21.0% Money Market Funds - 6.5% Dreyfus Cash Management Plus Fund, 3.05% (a) 2,700 2,700 Dreyfus Government Cash Management, 3.00% (a) 946 946 3,646 Securities Lending Collateral - 14.5% Mellon GSL Delaware Business Trust Collateral Fund 8,029 8,029 Total Short Term Investments (cost $11,675) 11,675 Total Investments - 116.9% (cost $61,810) 64,908 Other Assets and Liabilities, Net - (16.9%) (9,379) Total Net Assets - 100% $55,529 JNL/AIM Small Cap Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 24.1% Consumer, Cyclical 23.7% Industrial 15.1% Technology 10.6% Communications 9.4% Financial 7.8% Energy 5.4% Money Market Investment 1.8% Basic Materials 1.6% Diversified 0.5% 100.0% Common Stocks - 96.6% Aerospace & Defense - 0.9% United Industrial Corp. 12 $ 432 Apparel - 1.3% Warnaco Group Inc. (b) 17 400 Wolverine World Wide Inc. 12 297 697 Banks - 4.0% Amegy Bancorp. Inc. (b) 16 360 East West Bancorp. Inc. 11 359 Privatebancorp. Inc. 7 244 SVB Financial Group (b) 9 441 Texas Capital Bancshares Inc. (b) 10 203 Texas Regional Bancshares Inc. 8 239 1,846 Biotechnology - 3.0% Affymetrix Inc. (b) (l) 7 367 Integra Lifesciences Holdings Corp. (b) 11 318 Millipore Corp. 5 306 Myriad Genetics Inc. (b 10 158 Protein Design Labs Inc. (b) (l) 13 265 1,414 Building Materials - 1.1% Eagle Materials Inc. 5 500 Chemicals - 0.9% FMC Corp. (b) 7 404 Commercial Services - 5.3% Advisory Board Co. (b) 6 273 Corporate Executive Board Co. 6 454 CoStar Group Inc. (b) 10 414 CRA International Inc. (b) 6 345 Euronet Worldwide Inc. (b) 15 445 MPS Group Inc. (b) 26 241 Steiner Leisure Ltd. (b) 8 304 2,476 Computers - 1.2% Catapult Communications Corp. (b) 10 167 Mercury Computer Systems Inc. (b) 14 375 542 Distribution & Wholesale - 0.7% Hughes Supply Inc. 12 329 Diversified Financial Services - 1.3% Affiliated Managers Group Inc. (b) (l) 5 342 Jefferies Group Inc. 7 261 603 Electronics - 4.6% Daktronics Inc. (b) 1 14 Faro Technologies Inc. (b) 14 390 Flir Systems Inc. (b) 15 436 Imax Corp. (b) 29 286 Thomas & Betts Corp. (b) 11 316 Trimble Navigation Ltd. (b) 10 399 Varian Inc. (b) 9 325 2,166 Entertainment - 2.2% Lions Gate Entertainment Corp. (b) 41 416 Macrovision Corp. (b) 15 336 Penn National Gaming Inc. (b) 7 252 1,004 Environmental Control - 0.9% Stericycle Inc. (b) 8 418 Food - 0.9% United Natural Foods Inc. (b) 14 437 Healthcare - 9.7% American Medical Systems Holdings Inc. (b) 20 411 Amsurg Corp. (b) 10 267 Centene Corp. (b) 8 259 Gen-Probe Inc. (b) 10 344 Immucor Inc. (b) 11 314 Intuitive Surgical Inc. (b) 7 345 LifePoint Hospitals Inc. (b) 11 561 Mentor Corp. 12 514 NuVasive Inc. (b) 20 329 Pediatrix Medical Group Inc. (b) 6 412 Resmed Inc. (b) (l) 6 363 Wright Medical Group Inc. (b) 15 395 4,514 Home Builders - 0.9% Beazer Homes USA Inc. (l) 7 417 Home Furnishings - 0.9% Tempur-Pedic International Inc. (b) 20 433 Household Products - 2.2% Church & Dwight Co. Inc. 9 340 Scotts Miracle-Gro Co. (b) 6 420 Toro Co. 7 278 1,038 Insurance - 1.3% HCC Insurance Holdings Inc. 8 295 Proassurance Corp. (b) 7 288 583 Internet - 5.0% Blue Coat Systems Inc. (b) 5 140 F5 Networks Inc. (b) 5 241 Internet Security Systems (b) 19 375 Macromedia Inc. (b) 16 619 Sapient Corp. (b) 45 358 Valueclick Inc. (b) 29 359 Websense Inc. (b) 5 245 2,337 Iron & Steel - 0.7% Carpenter Technology Corp. 7 337 Leisure Time - 1.1% Nautilus Group Inc. 17 496 Lodging - 1.6% Choice Hotels International Inc. 7 447 Kerzner International Ltd. (b) 5 290 737 Machinery - 2.4% Graco Inc. 8 259 IDEX Corp. (l) 7 282 JLG Industries Inc. 20 558 1,099 Manufacturing - 0.6% Actuant Corp. - Class A (b) 6 292 Media - 0.5% Radio One Inc. (b) 7 87 Radio One Inc. - Class D (b) (l) 12 147 234 Oil & Gas Producers - 2.8% Encore Acquisition Co. (b) 10 414 Range Resources Corp. 17 444 Unit Corp. (b) 10 436 1,294 Oil & Gas Services - 2.6% Cal Dive International Inc. (b) 10 513 Core Laboratories NV (b) 12 327 FMC Technologies Inc. (b) 11 364 1,204 Pharmaceuticals - 3.3% Amylin Pharmaceuticals Inc. (b) (l) 12 251 First Horizon Pharmaceutical Corp. (b) 16 303 MGI Pharma Inc. (b) 13 287 United Therapeutics Corp. (b) 6 284 VCA Antech Inc. (b) 18 427 1,552 Real Estate - 1.2% BioMed Realty Trust Inc. 6 153 Pan Pacific Retail Properties Inc. 6 412 565 Retail - 12.5% Aeropostale Inc. (b) 14 484 Bebe Stores Inc. (l) 11 288 BJ's Wholesale Club Inc. (b) 12 380 Children's Place Retail Stores Inc. (b) 9 397 GameStop Corp. (b) 11 366 Guitar Center Inc. (b) 6 344 Jack In The Box Inc. (b) 11 425 JOS A Bank Clothiers Inc. (b) (l) 14 590 MSC Industrial Direct Co. - Class A 13 435 Pacific Sunwear of California Inc. (b) 9 202 Panera Bread Co. - Class A (b) 4 236 PF Chang's China Bistro Inc. (b) (l) 8 495 Rare Hospitality International Inc. (b) 14 413 Regis Corp. 9 332 Sonic Corp. (b) 15 454 5,841 Semiconductors - 4.7% ARM Holdings Plc 63 386 Formfactor Inc. (b) 14 380 Microsemi Corp. (b) 25 470 Semtech Corp. (b) 3 53 Sigmatel Inc. (b) 10 163 Tessera Technologies Inc. (b) 11 381 Varian Semiconductor Equipment Associates Inc. (b) 10 352 2,185 Software - 4.6% Ansys Inc. (b) 4 124 Avid Technology Inc. (b) 6 314 Cerner Corp. (b) (l) 9 585 Epicor Software Corp. (b) 25 331 Global Payments Inc. 6 434 MicroStrategy Inc. - Class A (b) 7 371 Per-Se Technologies Inc. (b) - 4 2,163 Telecommunications - 0.2% Neustar Inc. - Class A (b) 3 79 Telecommunications Equipment - 2.5% Netgear Inc. (b) 19 350 Plantronics Inc. 7 251 Polycom Inc. 19 279 Safenet Inc. (b) 9 293 1,173 Toys & Hobbies - 1.5% Marvel Enterprises Inc. (b) 20 386 Rc2 Corp. (b) 8 308 694 Transportation - 4.4% Forward Air Corp. 12 351 Heartland Express Inc. 13 245 Kirby Corp. (b) 5 230 Knight Transportation Inc. 10 251 Old Dominion Freight Line Inc. (b) 8 223 Swift Transportation Co. Inc. (b) 18 410 UTI Worldwide Inc. 5 341 2,051 Wireless Telecommunications - 1.1% Alamosa Holdings Inc. (b) 36 498 Total Common Stocks (cost $38,535) 45,086 Mutual Funds - 0.5% Ishares Nasdaq Biotechnology Index Fund (l) 3 231 Total Mutual Funds (cost $244) 231 Short Term Investments - 11.5% Money Market Funds - 1.8% Dreyfus Cash Management Plus Fund, 3.05% (a) 822 822 Securities Lending Collateral - 9.7% Mellon GSL Delaware Business Trust Collateral Fund 4,520 4,520 Total Short Term Investments (cost $5,342) 5,342 Total Investments - 108.6% (cost $44,121) 50,659 Other Assets and Liabilities, Net - (8.6%) (4,022) Total Net Assets - 100% $46,637 JNL/Alger Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 29.6% Communications 17.0% Consumer, Cyclical 12.6% Energy 12.1% Technology 11.0% Industrial 8.2% Financial 7.3% Money Market Investment 2.2% 100.0% Common Stocks - 98.0% Aerospace & Defense - 2.7% Boeing Co. 36 $2,396 General Dynamics Corp. 32 3,549 5,945 Apparel - 1.4% Coach Inc. (b) 60 1,997 Polo Ralph Lauren Corp. 28 1,190 3,187 Beverages - 1.2% PepsiCo Inc. 53 2,858 Biotechnology - 3.4% Amgen Inc. (b) 66 3,978 Genentech Inc. (b) 48 3,878 7,856 Computers - 3.6% Apple Computer Inc. (b) 177 6,526 EMC Corp. (b) 125 1,713 8,239 Cosmetics & Personal Care - 2.2% Avon Products Inc. 51 1,923 Gillette Co. 64 3,245 5,168 Diversified Financial Services - 2.7% Franklin Resources Inc. 50 3,841 Merrill Lynch & Co. Inc. 43 2,349 6,190 Healthcare - 10.3% Beckman Coulter Inc. 17 1,068 HCA Inc. 131 7,429 Health Management Associates Inc. (l) 135 3,540 Humana Inc. 59 2,329 Johnson & Johnson 27 1,749 Medtronic Inc. 56 2,913 Pacificare Health Systems Inc. (b) (l) 34 2,408 St. Jude Medical Inc. (b) 29 1,278 Varian Medical Systems Inc. (b) (l) 32 1,202 23,916 Home Builders - 1.5% Pulte Homes Inc. 42 3,522 Insurance - 4.6% American International Group Inc. 28 1,621 Cigna Corp. 49 5,191 Genworth Financial Inc. - Class A 48 1,439 St. Paul Travelers Cos. Inc. 61 2,399 10,650 Internet - 6.3% Ebay Inc. (b) 112 3,681 Google Inc. - Class A (b) (l) 14 4,177 Netflex Inc. (b) (l) 179 2,939 Yahoo! Inc. (b) 112 3,876 14,673 Lodging - 2.5% Harrah's Entertainment Inc. 49 3,531 Hilton Hotels Corp. 96 2,280 5,811 Machinery - 2.1% Caterpillar Inc. 30 2,821 Rockwell Automation Inc. 40 1,948 4,769 Manufacturing - 3.6% Eastman Kodak Co. (l) 128 3,439 Tyco International Ltd. 164 4,784 8,223 Media - 6.5% News Corp. Inc. (l) 248 4,008 Sirius Satellite Radio (b) 415 2,690 Walt Disney Co. 85 2,138 XM Satellite Radio Holdings - Class A (b) (l) 181 6,096 14,932 Mining - 1.4% Peabody Energy Corp. 61 3,154 Oil & Gas Producers - 7.3% Canadian Natural Resources Ltd. (b) 23 844 Exxon Mobil Corp. 121 6,954 Sasol Ltd. - ADR (l) 81 2,193 Suncor Energy Inc. 44 2,058 Talisman Energy Inc. (b) 32 1,206 Transocean Inc. 69 3,721 16,976 Oil & Gas Services - 1.5% National Oilwell Varco Inc. (b) 72 3,430 Pharmaceuticals - 11.1% AmerisourceBergen Corp. 27 1,874 Caremark Rx Inc. (b) 80 3,573 Medco Health Solutions Inc. (b) 35 1,862 Novartis AG - ADR 44 2,092 Pfizer Inc. 190 5,246 Sanofi-synthelabo SA - ADR 53 2,160 Schering-Plough Corp. 244 4,651 Wyeth 96 4,254 25,712 Pipelines - 1.9% Enterprise Products Partners LP (l) 58 1,561 Williams Cos. Inc. 153 2,901 4,462 Retail - 7.2% CVS Corp. 122 3,544 Federated Department Stores Inc. (l) 34 2,499 J.C. Penney Co. Inc. 34 1,793 Lowe's Cos. Inc. 41 2,375 Saks Inc. (b) 117 2,227 Wal-Mart Stores Inc. 42 2,024 Yum! Brands Inc. 41 2,125 16,587 Semiconductors - 3.2% Intel Corp. 148 3,850 Linear Technology Corp. (l) 47 1,741 National Semiconductor Corp. 86 1,884 7,475 Software - 4.2% Microsoft Corp. 178 4,428 NAVTEQ Corp. (b) 53 1,959 Oracle Corp. (b) 253 3,344 9,731 Telecommunications - 1.8% Sprint Corp. (l) 169 4,233 Telecommunications Equipment - 0.7% Corning Inc. (b) 103 1,707 Tobacco - 1.5% Altria Group Inc. 53 3,408 Wireless Telecommunications - 1.6% Nextel Partners Inc. (b) (l) 70 1,764 Nokia Corp. - Class A - ADR 119 1,975 3,739 Total Common Stocks (cost $212,905) 226,553 Short Term Investments - 14.9% Money Market Funds - 2.2% Dreyfus Cash Management Plus Fund, 3.05% (a) 5,166 5,166 Securities Lending Collateral - 12.7% Mellon GSL Delaware Business Trust Collateral Fund 29,375 29,375 Total Short Term Investments (cost $34,541) 34,541 Total Investments - 112.9% (cost $247,446) 261,094 Other Assets and Liabilities, Net - (12.9%) (29,763) Total Net Assets - 100% $231,331 JNL/Eagle Core Equity Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 23.4% Technology 15.5% Consumer, Cyclical 14.0% Financial 13.0% Industrial 12.9% Communications 11.0% Money Market Investment 4.7% Energy 3.8% Utilities 1.0% Basic Materials 0.7% 100.0% Common Stocks - 93.1% Advertising - 1.0% Omnicom Group Inc. 40 $3,218 Aerospace & Defense - 3.1% Boeing Co. 43 2,808 United Technologies Corp. 110 5,623 8,431 Banks - 4.0% Bank of America Corp. 60 2,737 Bank of New York Co. Inc. 28 806 Fifth Third Bancorp. 12 484 US Bancorp. 49 1,431 Wachovia Corp. 42 2,088 Wells Fargo & Co. 56 3,436 10,982 Beverages - 2.1% Coca-Cola Co. 108 4,507 PepsiCo Inc. 24 1,294 5,801 Biotechnology - 0.8% Amgen Inc. (b) 19 1,128 Genentech Inc. (b) 7 538 Incyte Corp. (b) 59 424 2,090 Chemicals - 0.7% Air Products & Chemicals Inc. 18 1,085 E.I. du Pont de Nemours & Co. 22 946 2,031 Commercial Services - 1.2% Alliance Data Systems Corp. (b) 11 446 McKesson Corp. 34 1,503 R.R. Donnelley & Sons Co. 42 1,449 3,398 Computers - 2.7% Dell Inc. (b) 191 7,527 Cosmetics & Personal Care - 1.3% Proctor & Gamble Co. 70 3,693 Diversified Financial Services - 6.7% American Express Co. 88 4,708 Capital One Financial Corp. 8 640 CapitalSource Inc. (b) (l) 39 762 Citigroup Inc. 128 5,936 First Marblehead Corp. (b) 15 528 Franklin Resources Inc. 10 797 Goldman Sachs Group Inc. 23 2,321 JPMorgan Chase & Co. 35 1,236 Merrill Lynch & Co. Inc. 28 1,551 18,479 Electric - 0.5% NiSource Inc. 56 1,385 Electrical Components & Equipment - 2.2% Emerson Electric Co. 97 6,085 Entertainment - 0.7% International Game Technology 66 1,855 Environmental Control - 1.1% Waste Management Inc. 109 3,095 Food - 1.2% General Mills Inc. 30 1,404 Sysco Corp. 51 1,846 3,250 Gas - 0.5% UGI Corp. 52 1,451 Healthcare - 5.7% Baxter International Inc. 93 3,443 Boston Scientific Corp. (b) 16 428 Gen-Probe Inc. (b) 21 768 Guidant Corp. 56 3,735 HCA Inc. 38 2,170 Johnson & Johnson 47 3,049 UnitedHealth Group Inc. 38 1,960 15,553 Household Products - 2.2% Kimberly-Clark Corp. 35 2,209 Newell Rubbermaid Inc. (l) 164 3,905 6,114 Insurance - 0.5% American International Group Inc. 23 1,319 Internet - 2.1% Ebay Inc. (b) 68 2,258 Google Inc. - Class A (b) 4 1,103 VeriSign Inc. (b) (l) 31 879 Yahoo! Inc. (b) 40 1,388 5,628 Lodging - 1.2% Harrah's Entertainment Inc. 38 2,706 Starwood Hotels & Resorts Worldwide Inc. 11 653 3,359 Machinery - 0.3% Deere & Co. 12 786 Manufacturing - 4.8% 3M Co. 24 1,735 Cooper Industries Ltd. - Class A 22 1,406 General Electric Corp. 132 4,581 Harsco Corp. 30 1,637 Honeywell Inernational Inc. 29 1,062 Tyco International Ltd. 93 2,704 13,125 Media - 3.6% McGraw-Hill Cos. Inc. 30 1,328 News Corp. Inc. 105 1,697 Time Warner Inc. (b) 190 3,167 Tribune Co. 23 809 Viacom Inc. - Class B 91 2,914 9,915 Oil & Gas Producers - 1.8% BP Plc - ADR 26 1,622 Ensco International Inc. 36 1,292 Exxon Mobil Corp. 34 1,954 4,868 Oil & Gas Services - 1.2% Halliburton Co. 71 3,374 Pharmaceuticals - 9.0% Cardinal Bergen Health Inc. 35 2,001 Caremark Rx Inc. (b) 41 1,805 Eli Lilly & Co. 56 3,131 Gilead Sciences Inc. 47 2,076 Pfizer Inc. 273 7,533 Rigel Pharmaceuticals Inc. (b) 25 500 Schering-Plough Corp. 78 1,481 Sepracor Inc. 17 993 Teva Pharmaceutical Industries Ltd. - ADR 36 1,129 Wyeth 91 4,058 24,707 Pipelines - 0.6% Kinder Morgan Inc. 20 1,664 Real Estate - 1.4% Boston Properties Inc. 11 770 Equity Office Properties Trust 35 1,159 General Growth Properties 29 1,192 Vornado Realty Trust 9 724 3,845 Retail - 10.4% Costco Wholesale Corp. 20 887 CVS Corp. 176 5,108 Home Depot Inc. 137 5,314 Kohl's Corp. (b) 14 783 Lowe's Cos. Inc. 13 780 McDonald's Corp. 221 6,137 Outback Steakhouse Inc. 22 1,016 Target Corp. 39 2,146 Wal-Mart Stores Inc. 135 6,509 28,680 Semiconductors - 5.8% Analog Devices Inc. 46 1,716 Applied Materials Inc. 215 3,480 ATI Technologies Inc. (b) 40 468 Broadcom Corp. - Class A (b) 23 822 Entegris Inc. (b) 74 731 Intel Corp. 110 2,876 Maxim Integrated Products Inc. 74 2,828 Sigmatel Inc. (b) 29 498 Texas Instruments Inc. 27 762 Ultra Clean Holdings (b) 117 875 Xilinx Inc. 32 817 15,873 Software - 6.8% Electronic Arts Inc. 23 1,282 First Data Corp. 32 1,272 Microsoft Corp. 341 8,477 Oracle Corp. (b) 277 3,654 Veritas Software Corp. (b) 163 3,972 18,657 Telecommunications - 0.6% SBC Communications Inc. 28 665 Verizon Communications 28 967 1,632 Telecommunications Equipment - 1.0% Cisco Systems Inc. (b) 144 2,747 Tobacco - 0.8% Altria Group Inc. 33 2,114 Transportation - 1.2% FedEx Corp. 42 3,402 Wireless Telecommunications - 2.0% Nextel Partners Inc. (b) (l) 34 849 Nokia Corp. - Class A - ADR 164 2,724 Qualcomm Inc. 59 1,953 5,526 Total Common Stocks (cost $242,336) 255,658 Preferred Stocks - 0.3% Insurance - 0.3% Travelers Property Casualty Corp., 4.50% (b) (l) 31 687 Total Preferred Stocks (cost $768) 687 Corporate Bonds - 0.6% Healthcare - 0.2% Community Health Systems Inc., 4.25%, 10/15/08 (j) $575 663 Media - 0.4% Liberty Media Corp., 3.25%, 03/15/31 (j) (l) 1,330 1,017 Total Corporate Bonds (cost $1,798) 1,680 Short Term Investments - 8.2% Money Market Funds - 4.7% Dreyfus Cash Management Plus Fund, 3.05% (a) 12,934 12,934 Securities Lending Collateral - 3.5% Mellon GSL Delaware Business Trust Collateral Fund 9,486 9,486 Total Short Term Investments (cost $22,420) 22,420 Total Investments - 102.2% (cost $267,322) 280,445 Other Assets and Liabilities, Net - (2.2%) (5,970) Total Net Assets - 100% $274,475 JNL/Eagle SmallCap Equity Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 22.8% Industrial 20.1% Consumer, Cyclical 19.8% Technology 14.4% Energy 9.7% Communications 6.7% Money Market Investment 3.9% Financial 2.6% 100.0% Common Stocks - 97.2% Agriculture - 2.0% Delta & Pine Land Co. 125 $3,144 Alternative Energy - 1.7% FuelCell Energy Inc. (b) (l) 48 495 Headwaters Inc. (b) 68 2,335 2,830 Biotechnology - 1.0% deCODE genetics Inc. (b) (l) 227 2,131 Commercial Services - 1.6% Corrections Corp. of America (b) 66 2,591 Computers - 4.5% Factset Research Systems Inc. (l) 116 4,172 Radisys Corp. (b) 187 3,015 7,187 Distribution & Wholesale - 1.6% SCP Pool Corp. 71 2,485 Electrical Components & Equipment - 1.5% General Cable Corp. (b) (l) 110 1,635 Littelfuse Inc. (b) 25 687 2,322 Electronics - 2.0% Gentex Corp. 62 1,137 OYO Geospace Corp. (b) 48 1,014 Photon Dynamics Inc. (b) 47 969 3,120 Entertainment - 7.0% Alliance Gaming Corp. (b) (l) 147 2,065 Lions Gate Entertainment Corp. (b) 295 3,026 Neveda Gold & Casinos Inc. (b) 120 1,300 Shuffle Master Inc. (b) (l) 167 4,680 11,071 Environmental Control - 8.5% Aleris International Inc. (b) 236 5,329 Duratek Inc. (b) 133 3,074 Waste Connections Inc. (b) (l) 139 5,193 13,596 Healthcare - 16.7% American Healthways Inc. (b) (l) 81 3,425 American Medical Systems Holdings Inc. (b) 180 3,713 Arrow International Inc. 64 2,032 Centene Corp. (b) 50 1,672 Cooper Cos. Inc. 20 1,232 DJ Orthopedics Inc. (b) 68 1,854 Horizon Health Corp. (b) 132 3,081 Inamed Corp. (b) 48 3,240 Respironics Inc. (b) 129 4,658 Thoratec Corp. (b) 107 1,646 26,553 Home Furnishings - 5.1% Tempur-Pedic International Inc. (b) (l) 191 4,239 Universal Electronics Inc. (b) 232 3,846 8,085 Insurance - 2.1% Philadelphia Consolidated Holding Co. (b) (l) 39 3,331 Internet - 3.0% Blue Nile Inc. (b) (l) 49 1,611 eCollege.com Inc. (b) (l) 68 803 Internet Capital Group Inc. (b) (l) 267 1,960 Radware Ltd. (b) 18 334 4,708 Leisure Time - 0.1% Orange 21 Inc. (b) 23 119 Machinery - 1.8% UNOVA Inc. (b) 108 2,873 Manufacturing - 3.6% Actuant Corp. - Class A (b) 53 2,550 Applied Films Corp. (b) 122 3,130 5,680 Metal Fabrication & Hardware - 1.3% NS Group Inc. (b) 61 1,993 Oil & Gas Producers - 5.7% Patterson-UTI Energy Inc. 111 3,080 Unit Corp. (b) 138 6,051 9,131 Oil & Gas Services - 2.3% Core Laboratories NV (b) 44 1,169 Maverick Tube Corp. (b) (l) 56 1,669 Tetra Technologies Inc. (b) 27 857 3,695 Pharmaceuticals - 1.4% Dendreon Corp. (b) (l) 126 657 Medics Pharmaceutical Corp. (l) 51 1,615 2,272 Retail - 6.4% Build-A-Bear Workshop Inc. (b) (l) 66 1,547 Cabela's Inc. - Class A (b) (l) 108 2,309 Cash America International Inc. 66 1,318 Genesco Inc. (b) 134 4,974 10,148 Savings & Loans - 0.5% BankAtlantic Bancorp. Inc. 34 637 Harbor Florida Bancshares 4 158 795 Semiconductors - 2.0% Integrated Device Technology Inc. (b) 291 3,129 Software - 8.1% Ansys Inc. (b) 100 3,537 Datastream Systems Inc. (b) 380 2,767 Eclipsys Corp. (b) 180 2,535 Global Payments Inc. 47 3,200 Netsmart Technologies Inc. (b) 101 913 12,952 Telecommunications Equipment - 2.6% C-COR Inc. (b) 224 1,535 Tekelec (b) 158 2,659 4,194 Transportation - 1.8% OMI Corp. (l) 149 2,834 Wireless Telecommunications - 1.2% EMS Technologies Inc. (b) 132 1,975 Total Common Stocks (cost $121,869) 154,945 Short Term Investments - 18.6% Money Market Funds - 3.9% Dreyfus Cash Management Plus Fund, 3.05% (a) 6,157 6,157 Securities Lending Collateral - 14.7% Mellon GSL Delaware Business Trust Collateral Fund 23,398 23,398 Total Short Term Investments (cost $29,555) 29,555 Total Investments - 115.8% (cost $151,424) 184,500 Other Assets and Liabilities, Net - (15.8%) (25,214) Total Net Assets - 100% $159,286 JNL/FMR Balanced Fund Percentage of Total Industry Sector Investments (o) Government 29.4% Financial 12.3% Industrial 12.2% Consumer, Non-cyclical 11.7% Communications 7.3% Energy 7.1% Technology 6.7% Consumer, Cyclical 5.9% Basic Materials 3.3% Money Market Investment 2.2% Utilities 1.9% 100.0% Common Stocks - 68.2% Advertising - 0.3% Advo Inc. 2 $60 Lamar Advertising Co. (b) (l) 8 338 Omnicom Group Inc. 1 104 502 Aerospace & Defense - 1.2% BE Aerospace Inc. (b) 4 67 European Aeronautic Defense and Space Co. 5 166 Goodrich Corp. 6 246 Lockheed Martin Corp. 3 195 Northrop Grumman Corp. 3 160 Ratheon Co. 2 74 Rockwell Collins 2 110 United Technologies Corp. 7 339 1,357 Agriculture - 0.4% Archer-Daniels-Midland Co. 1 26 Bunge Ltd. 2 133 Monsanto Co. 4 251 410 Airlines - 0.7% Ace Aviation Holdings Inc. - Class A (b) 3 94 Airtran Holdings Inc. (b) (l) 26 239 Delta Air Lines Inc. (b) (l) 28 105 Frontier Airlines Inc. (b) 27 275 Northwest Airlines Corp. (b) 7 30 743 Auto Manufacturers - 0.1% Wabash National Corp. 4 90 Auto Parts & Equipment - 0.3% American Axle & Manufacturing Holdings Inc. 10 263 TRW Automotive Holdings Corp. (b) 6 135 398 Banks - 3.3% Bank of America Corp. 35 1,575 Cathay General Bancorp. 1 24 Hdfc Bank Ltd. - ADR (b) 1 47 Nara Bancorp. Inc. 3 50 North Fork Bancorp. Inc. 7 197 Privatebancorp. Inc. - 14 R & G Financial Corp. - Class B 4 65 Signature Bank (b) 1 15 State Street Corp. 2 97 SVB Financial Group (b) 3 144 UCBH Holdings Inc. 13 208 UnionBanCal Corp. 1 87 W Holding Co. Inc. 17 170 Wachovia Corp. 14 699 Wells Fargo & Co. 3 160 Wilshire Bancorp. Inc. 6 84 Wintrust Financial Corp. 2 104 3,740 Beverages - 0.3% Coca-Cola Co. 6 233 Coca-Cola Enterprises Inc. 2 51 Diageo Plc (b) - 6 290 Biotechnology - 0.2% Biogen Idec Inc. (b) 2 52 Genentech Inc. (b) 2 120 Medimmune Inc. (b) 1 37 Oscient Pharmaceuticals Corp. (b) - 1 Serologicals Corp. (b) 1 28 238 Building Materials - 0.7% American Standard Cos. 2 65 Eagle Materials Inc. (l) 2 148 Florida Rock Industrials (b) 1 37 Martin Marietta Materials Inc. 2 111 Masco Corp. 2 70 Rinker Group Ltd. 11 117 Texas Industries Inc. 2 135 Vulcan Materials Co. 1 77 760 Chemicals - 1.7% Airgas Inc. 4 91 Albemarle Corp. 3 102 Ashland Inc. 4 266 Celanese Corp. - Class A (b) 6 95 Crompton Corp. 3 37 Cytec Industries Inc. 1 52 Dow Chemical Co. 5 223 Ferro Corp. - 8 Georgia Gulf Corp. - 3 Great Lakes Chemical Corp. 1 31 Lubrizol Corp. - 4 Lyondell Chemical Co. 17 443 Mosaic Co. (b) (l) 6 100 Nova Chemicals Corp. 7 198 Praxair Inc. 2 107 Rhodia SA (b) 29 51 Spartech Corp. 2 37 UAP Holding Corp. (b) 4 65 1,913 Commercial Services - 0.8% BearingPoint Inc. (b) 10 75 Career Education Corp. (b) 4 146 Carriage Services Inc. (b) 5 28 Cendant Corp. 9 204 Corrections Corp. of America (b) 1 55 Education Management Corp. (b) 1 34 McKesson Corp. 7 296 Service Corp. International (b) 4 32 Wright Express Corp. (b) 2 38 908 Computers - 1.5% Affiliated Computer Services - Class A (b) 2 92 Bisys Group Inc. (b) 2 22 Cadence Design Systems Inc. (b) (l) 9 119 Ceridian Corp. (b) 9 181 Hewlett-Packard Co. 16 364 Hutchinson Technology (b) (l) 2 81 Lexmark International Inc. (b) 1 67 Maxtor Corp. (b) 45 233 McData Corp. - Class A (b) 18 74 Seagate Technology (b) 16 281 Western Digital Corp. (b) 13 170 1,684 Cosmetics & Personal Care - 0.7% Alberto-Culver Co. - Class B 2 69 Colgate-Palmolive Co. 5 250 Gillette Co. 1 66 Proctor & Gamble Co. 9 465 850 Distribution & Wholesale - 0.5% Bell Microproducts Inc. (b) 9 88 Ingram Micro Inc. - Class A (b) 11 171 Tech Data Corp. 2 73 WESCO International Inc. (b) 8 254 586 Diversified Financial Services - 4.3% American Express Co. 3 162 Capital One Financial Corp. (l) 2 176 Citigroup Inc. 29 1,331 Countrywide Financial Corp. 5 203 Doral Financial Corp. 7 114 E*trade Group Inc. (b) 10 140 Fannie Mae 3 175 Freddie Mac 8 505 Goldman Sachs Group Inc. 2 220 JPMorgan Chase & Co. 23 804 Lazard Ltd. - Class A (b) 1 33 Lehman Brothers Holdings Inc. 3 338 MBNA Corp. 2 44 Merrill Lynch & Co. Inc. 7 407 Metlife Inc. (b) 6 157 Nuveen Investments - Class A (b) 3 113 4,922 Electric - 1.9% AES Corp. (b) 39 634 Allegheny Energy Inc. 1 25 CMS Energy Corp. (b) (l) 3 48 Dominion Resources Inc. (l) 3 183 Entergy Corp. 2 121 Exelon Corp. 6 287 Northwestern Corp. 1 16 NRG Energy Inc. (b) 1 26 PG&E Corp. 5 173 Pinnacle West Capital Corp. 1 36 PPL Corp. 2 101 TXU Corp. 7 573 2,223 Electrical Components & Equipment - 0.4% American Power Conversion Corp. 3 73 LG Electronics Inc. 2 133 Molex Inc. 3 78 Samsung Electronics Co. Ltd. - 137 421 Electronics - 3.0% Agilent Technologies Inc. (b) 10 239 Amphenol Corp. - Class A 8 321 Arrow Electronics Inc. (b) 4 106 Avnet Inc. (b) 5 119 Celestica Inc. (b) 21 281 Cymer Inc. (b) 5 137 Fisher Scientific International Inc. (b) (l) 2 132 Flextronics International Ltd. (b) 27 358 Hon Hai Precision Industry Co. Ltd. - GDR 14 145 Kemet Corp. (b) 4 22 Mettler Toledo International Inc. (b) 2 98 Sanmina-SCI Corp. (b) 24 129 Solectron Corp. (b) 104 393 Symbol Technologies Inc. 22 220 Tektronix Inc. 4 98 Thermo Electron Corp. (b) 6 159 Varian Inc. (b) 3 125 Vishay Intertechnology Inc. (b) 5 63 Waters Corp. (b) 5 186 Watts Water Technologies Inc. 4 131 3,462 Engineering & Construction - 1.6% ABB Ltd. (b) 12 79 Dycom Industries Inc. (b) 11 214 Fluor Corp. 9 490 Foster Wheeler Ltd. (b) 10 189 Granite Construction Inc. 7 185 Jacobs Engineering Group Inc. (b) 2 135 Larsen & Toubro Ltd. 4 92 Shaw Group Inc. (b) 7 146 SNC-Lavalin Group Inc. - 6 URS Corp.(b) 6 232 Washington Group International Inc. (b) 1 30 1,798 Entertainment - 0.1% Macrovision Corp. (b) 4 100 Six Flags Inc. (b) 7 31 131 Food - 0.9% Corn Products International Inc. 7 162 Dean Foods Co. (b) 4 155 General Mills Inc. 3 117 Groupe Danone 1 70 J.M. Smucker Co. 3 133 Kellogg Co. 2 84 McCormick & Co. Inc. 4 131 Safeway Inc. (b) 5 111 Smithfield Foods Inc. (b) 2 57 1,020 Forest Products & Paper - 0.2% Smurfit-Stone Container Enterprises Inc. (b) (l) 11 108 Tembec Inc. (b) 7 20 Votorantim Celulose e Papel SA 6 66 194 Hand & Machine Tools - 0.1% Techtronic Industries Co. Ltd. 62 155 Healthcare - 4.0% Aetna Inc. 2 157 Alcon Inc. 1 87 Aspect Medical Systems Inc. (b) 2 65 Bausch & Lomb Inc. 1 83 Baxter International Inc. 7 275 Beckman Coulter Inc. 1 89 Becton Dickinson & Co. 1 68 Conmed Corp. (b) 1 28 CR Bard Inc. 1 80 Cytyc Corp. (b) 1 22 Dade Behring Holdings Inc. (b) 7 429 DaVita Inc. (b) 2 82 Edwards Lifesciences Corp. (b) 4 155 Guidant Corp. 2 101 Hanger Orthopedic Group Inc. (b) 11 57 Health Net Inc. (b) 5 202 Humana Inc. 2 72 Immucor Inc. (b) - 1 Johnson & Johnson 3 163 Medtronic Inc. 4 181 Pacificare Health Systems Inc. (b) 5 379 Pediatrix Medical Group Inc. (b) 2 125 Resmed Inc. (b) (l) 2 119 Sierra Health Services Inc. 1 57 St. Jude Medical Inc. (b) 4 166 Sunrise Senior Living Inc. (b) 1 59 Synthes Inc. 1 150 UnitedHealth Group Inc. 18 921 WellPoint Inc. (b) 2 153 4,526 Home Builders - 1.1% Champion Enterprises Inc. (b) 2 19 Coachmen Industries Inc. 3 35 DR Horton Inc. 5 204 KB Home 4 305 Ryland Group Inc. 3 212 Standard-Pacific Corp. 2 150 Toll Brothers Inc. (b) 4 376 1,301 Home Furnishings - 0.1% Sony Corp. - ADR 2 69 Tempur-Pedic International Inc. (b) 2 46 115 Household Products - 0.1% Spectrum Brands Inc. (b) 2 63 Insurance - 3.3% ACE Ltd. 5 202 Aflac Inc. 5 212 AMBAC Financial Group Inc. 2 133 American International Group Inc. 24 1,406 Assurant Inc. 2 87 Conseco Inc. (b) 3 57 Endurance Specialty Holdings 4 144 Fidelity National Financial Inc. 2 61 Genworth Financial Inc. - Class A 3 94 Hartford Financial Services Group Inc. 3 239 Hilb Rogal & Hobbs Co. 2 65 MBIA Inc. (l) 4 255 MGIC Investment Corp. 1 59 Scottish Re Group Ltd. 14 335 Specialty Underwriters' Alliance Inc. (b) 5 42 St. Paul Travelers Cos. Inc. 5 190 Universal American Financial Corp. (b) 3 57 USI Holdings Corp. (b) 6 80 WR Berkley Corp. 1 42 3,760 Internet - 0.9% Avocent Corp. (b) 3 79 Cogent Communications Group Inc. (b) - 3 Covad Communications Group Inc. (b) (l) 114 159 Ebay Inc. (b) 4 121 Macromedia Inc. (b) 3 132 Net B@nk Inc. 16 147 Symantec Corp. 1 17 TIBCO Software Inc. (b) 5 30 WebMD Corp. (b) 11 111 Yahoo! Inc. (b) 6 198 997 Iron & Steel - 0.0% Usinas Sider Minas - Class A (b) 3 44 Leisure Time - 0.4% Brunswick Corp. 3 134 Carnival Corp. 2 82 Royal Caribbean Cruises Ltd. (l) 4 174 WMS Industries Inc. (b) 2 61 451 Lodging - 0.2% Kerzner International Ltd. (b) 3 177 Wyndham International Inc. (b) 9 10 187 Machinery - 0.3% Albany International Corp. 2 55 Astec Industries Inc. (b) 1 21 Atlas Copco AB - Class B (b) 4 63 Briggs & Stratton Corp. (l) 2 80 Gardner Denver Inc. (b) 2 53 Manitowoc Co. Inc. 1 49 Weir Group Plc 10 59 380 Manufacturing - 3.2% Acuity Brands Inc. 2 41 Blount International Inc. (b) 1 22 Cooper Industries Ltd. - Class A - 13 Danaher Corp. 1 68 Freightcar America Inc. (b) 2 34 General Electric Corp. 67 2,322 Honeywell Inernational Inc. 9 316 Smith Corp. 3 85 Smiths Group Plc 2 30 SPX Corp. 4 170 Tyco International Ltd. 19 555 3,656 Media - 1.6% Antena 3 De Television SA (b) 6 120 DirecTV Holdings LLC (b) 7 102 EchoStar Communications Corp. 8 238 EW Scripps Co. 2 117 Gestevision Telecinco SA 4 91 Lagardere S.C.A. 2 133 Liberty Media Corp. (b) 18 187 McGraw-Hill Cos. Inc. 2 89 News Corp. Inc. 14 227 Radio One Inc. (b) (l) 4 50 Salem Communications - Class A (b) 2 43 SBS Broadcasting SA (b) 1 47 TVN SA (b) 3 45 Univision Communications Inc. - Class A (b) (l) - 11 Vivendi Universal SA - ADR (b) 3 81 Walt Disney Co. 10 252 1,833 Metal Fabrication & Hardware - 0.4% Precision Castparts Corp. 3 234 Timken Co. 9 210 444 Mining - 1.5% Agnico-Eagle Mines Ltd. 8 96 Alcan Aluminium Ltd. 7 210 Alcoa Inc. 7 188 Compass Minerals International 3 68 Falconbridge Ltd. 2 67 Fording Canadian Coal Trust 1 110 GoldCorp. Inc. 13 204 Inmet Mining Corp. (b) 1 9 Ivanhoe Mines Ltd. (b) 3 23 LionOre Mining International Ltd. (b) 5 28 Massey Energy Co. 2 61 Meridian Gold Inc. (b) 15 273 Noranda Inc. 4 65 Phelps Dodge Corp. 1 74 Stillwater Mining Co. (b) 10 71 Teck Cominco Ltd. (b) 3 88 Treehouse Foods Inc. (b) 1 29 1,664 Office & Business Equipment - 0.2% Xerox Corp. (b) 17 230 Office Furnishings - 0.2% Herman Miller Inc. (l) 3 83 Interface Inc. 15 121 Steelcase Inc. (b) 2 21 225 Oil & Gas Producers - 3.3% Cabot Oil & Gas Corp. - Class A 2 80 Chesapeake Enegy Corp. 7 169 Encana Corp. 6 221 Giant Industries Inc. (b) - 14 Grey Wolf Inc. (b) (l) 24 180 Holly Corp. 5 216 Mariner Energy Inc. (b) 4 63 McMoRan Exploration Co. (b) (l) 2 33 Nabors Industries Ltd. (b) 2 127 Penn Virginia Corp. 2 80 Petroleum Development Corp. (b) 2 48 Plains Exploration & Production Co. (b) 3 92 Pride International Inc. (b) 35 892 Quicksilver Resources Inc. (b) (l) 5 294 Range Resources Corp. 5 145 Ultra Petroleum Corp. (b) 1 18 Valero Energy Corp. 13 1,052 3,724 Oil & Gas Services - 3.7% BJ Services Co. 7 388 Grant Prideco Inc. (b) 29 756 Halliburton Co. 22 1,028 Maverick Tube Corp. (b) 1 27 National Oilwell Varco Inc. (b) 26 1,257 Smith International Inc. 4 242 Weatherford International Ltd. (b) (l) 8 470 4,168 Packaging & Containers - 0.6% Owens-Illinois Inc. 14 351 Packaging Corp. of America 2 36 Pactiv Corp. (b) 15 325 712 Pharmaceuticals - 3.1% Abbott Laboratories 2 113 Alkermes Inc. (b) 7 87 AmerisourceBergen Corp. 1 69 Angiotech Pharmaceuticals Inc. (b) 4 49 Atherogenics Inc. (b) 7 113 Barr Laboratories Inc. 3 143 Cardinal Bergen Health Inc. 8 438 Caremark Rx Inc. (b) 3 135 Cipla Ltd. 4 29 Connetics Corp. (l) 12 205 CSL Ltd. 7 174 Endo Pharmaceuticals Holdings Inc. (b) 4 102 Guilford Pharmaceuticals Inc. (b) 16 35 IVAX Corp. (b) 5 101 Medarex Inc. (b) 8 63 Medco Health Solutions Inc. (b) 2 91 Omnicare Inc. 3 106 Onyx Pharmaceuticals Inc. (b) 2 55 OSI Pharmaceuticals Inc. (b) 3 131 Pfizer Inc. 23 646 Priority Healthcare Corp. - Class B (b) (l) 3 79 Schering-Plough Corp. 15 276 Wyeth 8 343 3,583 Pipelines - 0.0% El Paso Corp. 3 30 Real Estate - 0.7% Alexandria Real Estate Equites Inc. - 29 CBL & Associates Properties Inc. 1 60 Centerpoint Properties Trust 2 85 Corporate Office Properties Trust SBI MD 1 24 Education Realty Trust Inc. (b) 2 27 Equity Lifestyle Properties Inc. 1 52 Equity Office Properties Trust 2 70 Equity Residential Properties Trust 4 136 General Growth Properties 3 103 Highwoods Properties Inc. 1 24 Reckson Associate Realty Corp. 2 67 Trizec Properties Inc. 3 55 Vornado Realty Trust 1 96 828 Retail - 2.2% Aeropostale Inc. (b) 3 104 Big 5 Sporting Goods Corp. 3 94 Brinker International Inc. (b) 3 104 CVS Corp. 9 267 Dollar Tree Stores Inc. (b) 5 115 Edgars Consolidated Stores Ltd. - 17 Federated Department Stores Inc. 1 103 Foot Locker Inc. 5 142 Fred's Inc. 6 106 Home Depot Inc. 3 124 J.C. Penney Co. Inc. 2 110 Jean Coutu Group Inc. 6 91 McDonald's Corp. 10 275 Outback Steakhouse Inc. 1 59 Pacific Sunwear of California Inc. (b) 5 107 PEP Boys-Manny Moe & Jack 8 107 Rite Aid Corp. (b) 7 28 Ross Stores Inc. 3 72 Ruby Tuesday Inc. - 5 Sonic Automotive Inc. 1 17 Sports Authority Inc. (b) 1 41 Staples Inc. 2 45 Walgreen Co. 1 28 Wal-Mart Stores Inc. 8 390 2,551 Savings & Loans - 0.7% Fidelity Bankshares Inc. 3 68 First Niagara Financial Group Inc. 2 25 Golden West Financial Corp. 1 77 Hudson City Bancorp. Inc. 8 95 KNBT Bancorp. Inc. 2 30 New York Community Bancorp. Inc. (l) 8 147 Newalliance Bancshares Inc. 6 89 Sovereign Bancorp. Inc. 12 264 795 Semiconductors - 4.0% Advanced Micro Devices Inc. (b) 3 50 Agere Systems Inc. (b) 35 423 AMIS Holdings Inc. (b) 2 23 Amkor Technology Inc. (b) 16 70 Analog Devices Inc. 1 45 Applied Materials Inc. 2 24 Asat Holdings - ADR (b) 12 10 ASML Holding NV (b) 11 168 ATMI Inc. (b) 17 482 Axcelis Technologies Inc. (b) 25 169 Cascade Microtech Inc. (b) 3 44 Conexant Systems Inc. 15 24 Credence Systems Corp. (b) 14 126 Cypress Semiconductor Corp. (b) (l) 5 60 Fairchild Semiconductor International Inc. (b) 18 263 Formfactor Inc. (b) 4 106 Freescale Semiconductor Inc. (b) (l) 61 1,301 Integrated Device Technology Inc. (b) 3 27 Intel Corp. 2 42 Intersil Corp. 13 252 LTX Corp. (b) 31 153 Microchip Technology Inc. 2 53 National Semiconductor Corp. 16 361 ON Semiconductor Corp. (b) 10 46 PMC - Sierra Inc. (b) (l) 8 73 Silicon Laboratories Inc. (b) 4 105 Teradyne Inc. (b) 7 89 Vitesse Semiconductor Corp. (b) 14 29 4,618 Software - 0.9% Activision Inc. (b) 2 37 BEA Systems Inc. (b) 21 185 Cerner Corp. (b) (l) 1 95 Citrix Systems Inc. (b) 2 41 Cognos Inc. (b) 2 58 Filenet Corp. (b) 2 58 Hyperion Solutions Corp. (b) 1 36 Microsoft Corp. 14 348 Take-two Interactive Software Inc. (b) (l) 3 87 Ulticom Inc. (b) - 1 Veritas Software Corp. (b) 3 81 1,027 Telecommunications - 1.9% AT&T Corp. 4 67 BellSouth Corp. 8 221 Citizens Communications Co. (l) 3 36 Mastec Inc. (b) 12 105 NTL Inc. (b) 6 404 Philippine Long Dist - ADR 1 32 RCN Corp. (b) 1 25 SBC Communications Inc. 24 580 Societe Europeenne Des Satellites 4 62 Telewest Global Inc. (b) 6 137 Verizon Communications 16 542 2,211 Telecommunications Equipment - 0.8% Andrew Corp. (b) 4 54 Avaya Inc. (b) 26 219 Cisco Systems Inc. (b) 4 76 Finsar Corp. (b) 1 1 Harris Corp. 3 100 Juniper Networks Inc. (b) 3 68 Liberty Global Inc. Class A (b) 5 218 Sycamore Networks Inc. (b) 63 219 955 Tobacco - 1.2% Altria Group Inc. 21 1,351 Transportation - 0.8% Alexander & Baldwin Inc. 3 135 Aries Maritime Transport Ltd. (b) - 4 Burlington Northern Santa Fe Corp. 4 169 EGL Inc. (b) 5 102 Laidlaw International (b) 9 219 Norfolk Southern Corp. 7 226 US Xpress Enterprises Inc. (b) - 5 UTI Worldwide Inc. 1 69 929 Wireless Telecommunications - 1.6% American Tower Corp. (b) 22 454 Crown Castle International Corp. 8 161 Dobson Communications Corp. (b) 2 9 Motorola Inc. 12 228 MTN Group Ltd. 4 29 Nextel Communications Inc. (b) 7 213 Nextel Partners Inc. (b) (l) 10 244 NII Holdings Inc. - Class B (b) 3 173 Qualcomm Inc. 4 116 Spectrasite Inc. (b) 2 171 Wireless Facilities Inc. (b) 5 30 1,828 Total Common Stocks (cost $70,486) 77,982 Preferred Stocks - 0.1% Diversified Financial Services - 0.0% Lazard Ltd., 6.625%, 05/15/08 2 41 Pharmaceuticals - 0.0% Schering-Plough Corp., 6.00%, 09/14/07 1 46 Total Preferred Stocks (cost $88) 87 Corporate Bonds - 0.0% Auto Parts & Equipment - 0.0% Exide Technologies, 1.91%, 09/18/13 (e) (j) $10 5 Oil & Gas Producers - 0.0% McMoRan Exploration Co., 5.25%, 10/06/11 (e) (j) 20 27 Telecommunications - 0.0% Level 3 Communications Inc., 5.25%, 12/15/11 (e) (j) 20 14 Total Corporate Bonds (cost $50) 46 Government Securities - 29.3% U.S. Treasury Securities - 29.3% U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,800 6,129 U.S. Treasury Note 2.75%, 06/30/06 (l) 11,603 11,514 3.375%, 09/15/09 (l) 7,824 7,719 4.25%, 11/15/13 (l) 7,885 8,078 Total Government Securities (cost $32,186) 33,440 Short Term Investments - 32.7% Money Market Funds - 2.2% Dreyfus Cash Management Plus Fund, 3.05% (a) 2,616 2,616 Securities Lending Collateral - 30.5% Mellon GSL Delaware Business Trust Collateral Fund 34,769 34,769 Total Short Term Investments (cost $37,385) 37,385 Total Investments - 130.5% (cost $140,195) 148,940 Other Assets and Liabilities, Net - (30.5%) (34,779) Total Net Assets - 100% $114,161 JNL/FMR Capital Growth Fund Percentage of Total Industry Sector Investments (o) Communications 32.2% Consumer, Cyclical 15.4% Consumer, Non-cyclical 13.9% Energy 13.5% Industrial 9.4% Basic Materials 7.4% Financial 4.1% Technology 3.5% Money Market Investment 0.6% 100.0% Common Stocks - 99.7% Advertising - 3.6% Getty Images Inc. (b) (l) 46 $3,412 Omnicom Group Inc. (l) 53 4,209 7,621 Aerospace & Defense - 1.7% Argon St. Inc. (b) 6 203 Empresa Brasileira de Aeronautica SA - ADR 68 2,235 L-3 Communicaitons Holdings Inc. 13 1,019 3,457 Agriculture - 2.2% Monsanto Co. 71 4,451 Airlines - 0.5% Westjet Airlines Ltd. (b) 84 935 Auto Manufacturers - 1.4% Renault SA 33 2,889 Beverages - 1.0% Molson Coors Brewing Co. (l) 33 2,071 Building Materials - 1.4% Cemex SA De Cv - ADR (b) 12 526 Martin Marietta Materials Inc. 3 200 Texas Industries Inc. 38 2,114 2,840 Chemicals - 4.2% Ashland Inc. 7 532 Mosaic Co. (b) (l) 153 2,376 Potash Corp. Inc. 57 5,437 Wellman Inc. 20 200 8,545 Commercial Services - 3.8% Career Education Corp. (b) 104 3,816 Devry Inc. 66 1,321 Service Corp. International (b) 33 267 Universal Technical Institute Inc. (b) 42 1,378 Wright Express Corp. (b) 55 1,007 7,789 Computers - 2.7% Research In Motion Ltd. (b) 76 5,568 Diversified Financial Services - 4.1% Archipelago Holdings Inc. (b) (l) 51 1,974 Calamos Asset Management Inc. 160 4,364 Greenhill & Co. Inc. 30 1,199 Lazard Ltd. - Class A (b) 42 984 8,521 Electronics - 1.0% Agilent Technologies Inc. (b) 2 46 Flir Systems Inc. (b) - 3 Symbol Technologies Inc. 197 1,947 1,996 Engineering & Construction - 1.0% Fluor Corp. (l) 36 2,073 Entertainment - 0.2% Sportingbet Plc 60 350 Food - 2.8% Safeway Inc. (b) (l) 251 5,675 Healthcare - 2.8% Cyberonics Inc. (b) (l) 37 1,588 Cytyc Corp. (b) 172 3,788 Health Net Inc. (b) 9 347 5,723 Home Furnishings - 5.6% Harman International Industries Inc. 143 11,602 Internet - 2.4% Arbinet-thexchange Inc. (b) (l) 251 1,679 Cogent Communications Group Inc. (b) 22 143 Google Inc. - Class A (b) 7 2,076 Openwave Systems Inc. (b) 22 353 Sohu.com Inc. (b) 33 713 4,964 Leisure Time - 3.3% Royal Caribbean Cruises Ltd. (l) 142 6,843 Lodging - 0.0% Las Vegas Sands Corp. (b) 1 18 Machinery - 0.4% Flowserve Inc. 27 802 Manufacturing - 2.2% Eastman Kodak Co. (l) 157 4,221 Smiths Group Plc 18 290 4,511 Media - 1.5% DirecTV Holdings LLC (b) (l) 39 601 Salem Communications - Class A (b) 128 2,545 3,146 Mining - 3.4% Newmont Mining Corp. 98 3,817 Novelis Inc. (b) 119 3,014 Peabody Energy Corp. 2 104 6,935 Office Furnishings - 1.4% Knoll Inc. 168 2,869 Oil & Gas Producers - 5.6% Diamond Offshore Drilling Inc. 44 2,367 GlobalSantaFe Corp. 28 1,126 Goodrich Petroleum Corp. (b) (l) 54 1,113 Noble Corp. 30 1,833 Pioneer Natural Resources Co. 36 1,528 Tesoro Corp. (b) 77 3,582 11,549 Oil & Gas Services - 7.9% Cooper Cameron Corp. (b) (l) 22 1,384 Grant Prideco Inc. (b) (l) 125 3,314 National Oilwell Varco Inc. (b) 100 4,771 Seacor Holdings Inc. (b) 31 1,968 Weatherford International Ltd. (b) (l) 82 4,760 16,197 Pharmaceuticals - 1.4% Neurocrine Biosciences Inc. (b) (l) 69 2,883 Retail - 3.0% Aeropostale Inc. (b) 28 941 Chico's FAS Inc. (b) 2 69 GameStop Corp. (b) 15 484 Tiffany & Co. (l) 142 4,649 Urban Outfitters Inc. (b) 2 113 6,256 Semiconductors - 0.8% Nvidia Corp. (b) 10 270 Silicon Laboratories Inc. (b) (l) 26 692 Skyworks Solutions Inc. (b) 89 653 1,615 Telecommunications - 9.3% Citizens Communications Co. (l) 344 4,621 Essex Corp. (b) 20 467 Neustar Inc. - Class A (b) 6 146 NTL Inc. (b) 73 4,968 Philippine Long Dist - ADR 61 1,784 Sprint Corp. (l) 286 7,178 19,164 Telecommunications Equipment - 0.8% Comverse Technology Inc. (b) 54 1,275 Harris Corp. 11 343 1,618 Transportation - 1.8% Burlington Northern Santa Fe Corp. 39 1,850 Diana Shipping Inc. (b) 28 404 Dryships Inc. (b) 14 234 Norfolk Southern Corp. 41 1,257 3,745 Venture Capital - 0.1% Orascom Telecom - GDR (b) (l) 5 238 Wireless Telecommunications - 14.4% American Tower Corp. (b) (l) 295 6,192 Crown Castle International Corp. 37 752 Hutchison Telecommunications International Ltd. (b) 232 3,472 Motorola Inc. 192 3,511 Nextel Communications Inc. (b) 347 11,218 Nokia Corp. - Class A - ADR 270 4,484 29,629 Total Common Stocks (cost $195,612) 205,087 Short Term Investments - 23.3% Money Market Funds - 0.6% Dreyfus Cash Management Plus Fund, 3.05% (a) 1,316 1,316 Securities Lending Collateral - 22.7% Mellon GSL Delaware Business Trust Collateral Fund 46,649 46,649 Total Short Term Investments (cost $47,965) 47,965 Total Investments - 123.0% (cost $243,577) 253,055 Other Assets and Liabilities, Net - (23.0%) (47,327) Total Net Assets - 100% $205,728 JNL/Franklin Templeton Small Cap Value Fund Percentage of Total Industry Sector Investments (o) Consumer, Cyclical 29.2% Industrial 25.3% Basic Materials 12.0% Money Market Investment 10.0% Financial 7.6% Consumer, Non-cyclical 5.5% Energy 4.4% Technology 4.2% Utilities 1.0% Communications 0.8% 100.0% Common Stocks - 80.0% Airlines - 1.1% Skywest Inc. 35 $629 Apparel - 2.4% Gymboree Corp. (b) 36 492 Russell Corp. 14 288 Timberland Co. - Class A (b) (l) 13 503 1,283 Auto Manufacturers - 1.6% Wabash National Corp. 36 867 Auto Parts & Equipment - 0.9% Superior Industries International Inc. 21 502 Banks - 0.6% Chemical Financial Corp. - 7 First Indiana Corp. 7 214 Peoples Bancorp. Inc. 4 99 320 Building Materials - 3.5% Apogee Enterprises Inc. 28 424 Genlyte Group Inc. (b) 10 478 York International Corp. (l) 25 954 1,856 Chemicals - 5.0% Airgas Inc. 18 447 Cabot Corp. 25 822 RPM International Inc. 44 794 Westlake Chemical Corp. 24 593 2,656 Commercial Services - 1.0% ABM Industries Inc. 7 129 Dollar Thrifty Automotive Group (b) 10 387 516 Computers - 1.0% Reynolds & Reynolds - Class A (l) 21 557 Distribution & Wholesale - 0.3% Hughes Supply Inc. 5 146 Diversified Financial Services - 0.1% National Financial Partners Corp. 1 39 Electric - 0.9% Sierra Pacific Resources (b) (l) 39 484 Electrical Components & Equipment - 0.3% Powell Industries Inc. (b) 8 157 Electronics - 1.8% Mettler Toledo International Inc. (b) 13 596 Watts Water Technologies Inc. 11 365 961 Engineering & Construction - 0.6% EMCOR Group Inc. (b) 7 333 Entertainment - 0.8% Intrawest Corp. (b) 18 443 Environmental Control - 0.3% Mine Safety Appliances Co. 4 185 Forest Products & Paper - 1.3% Glatfelter 38 467 Mercer International Inc. (b) 33 243 710 Hand & Machine Tools - 1.6% Kennametal Inc. 18 825 Healthcare - 2.0% Steris Corp. (b) 23 600 West Pharmaceutical Services Inc. 16 443 1,043 Home Builders - 4.0% M/I Homes Inc. 11 611 Monaco Coach Corp. 37 643 Thor Industries (b) (l) 27 861 2,115 Home Furnishings - 3.2% American Woodmark Corp. 7 207 Bassett Furniture Industries Inc. 9 162 Ethan Allen Interiors Inc. (l) 19 630 Hooker Furniture Corp. 14 252 La-Z-Boy Inc. (l) 30 431 1,682 Household Products - 0.8% Russ Berrie & Co. Inc. 33 424 Insurance - 5.7% Aspen Insurance Holdings Ltd. (b) 23 639 IPC Holdings Ltd. 18 725 Montpelier Re Holdings Ltd. 25 854 RLI Corp. 12 535 Stancorp. Financial Group 3 253 3,006 Internet - 0.7% Avocent Corp. (b) 15 387 Iron & Steel - 3.8% Gibraltar Industries Inc. 27 493 Reliance Steel & Aluminum Co. 17 619 Steel Dynamics Inc. (l) 35 919 2,031 Lodging - 2.0% Aztar Corp. (b) 21 706 La Quinta Corp. (b) 40 369 1,075 Machinery - 4.6% Briggs & Stratton Corp. (l) 29 994 CNH Global NV (b) 13 246 Graco Inc. 21 726 JLG Industries Inc. (b) (l) 17 464 Nordson Corp. 1 17 2,447 Manufacturing - 3.1% Aptargroup Inc. 9 457 Carlisle Cos. Inc. (l) 3 220 Lancaster Colony Corp. 5 193 Smith Corp. 9 227 Teleflex Inc. 9 528 1,625 Metal Fabrication & Hardware - 3.8% CIRCOR International Inc. 19 466 Mueller Industries Inc. 54 1,450 Timken Co. (l) 4 102 2,018 Oil & Gas Producers - 0.4% Atwood Oceanics Inc. (b) 4 215 Oil & Gas Services - 3.6% Global Industries Ltd. (b) 38 320 Lone Star Technologies Inc. (b) 14 628 Oil States International Inc. (b) (l) 14 352 Tidewater Inc. (l) 16 591 1,892 Pharmaceuticals - 1.2% NBTY Inc. (b) 24 628 Real Estate - 0.4% Arbor Realty Trust Inc. 8 221 Retail - 10.3% Brown Shoe Co. Inc. 22 861 Casey's General Stores Inc. 20 388 Christopher & Banks Corp. 32 581 Dillard's Inc. - Class A 16 377 HOT Topic Inc. (b) (l) 22 413 Linens `N Things Inc. (b) 12 289 Men's Wearhouse Inc. (b) (l) 16 547 Pier 1 Imports Inc. (l) 35 490 Regis Corp. 19 731 West Marine Inc. (b) 39 710 Zale Corp. (b) 3 105 5,492 Semiconductors - 2.7% Cohu Inc. 20 403 Omnivision Technologies Inc. (b) 78 1,055 1,458 Transportation - 2.4% Kansas City Southern Industries Inc. (b) 19 373 Offshore Logistics (b) 10 319 OMI Corp. (l) 15 291 Overseas Shipholding Group 5 310 1,293 Total Common Stocks (cost $40,190) 42,520 Short Term Investments - 33.5% Money Market Funds - 10.0% Dreyfus Cash Management Plus Fund, 3.05% (a) 2,661 2,661 Dreyfus Government Cash Management, 3.00% (a) 2,661 2,661 5,322 Repurchase Agreement - 11.3% Repurchase Agreement with Mellon Trust, 0.41%, (Collateralized by $9,337 Federal Home Mortgage Corporation, 3.50%, due 06/15/23, market value $8,854) acquired on 06/30/05, due 07/01/05 at $6,018 $6,018 6,018 Securities Lending Collateral - 12.2% Mellon GSL Delaware Business Trust Collateral Fund 6,457 6,457 Total Short Term Investments (cost $17,797) 17,797 Total Investments - 113.5% (cost $57,987) 60,316 Other Assets and Liabilities, Net - (13.5%) (7,174) Total Net Assets - 100% $53,142 JNL/Goldman Sachs Mid Cap Value Fund Percentage of Total Industry Sector Investments (o) Financial 25.4% Consumer, Cyclical 16.0% Utilities 13.1% Industrial 10.4% Energy 9.7% Consumer, Non-cyclical 9.6% Money Market Investment 5.8% Communications 3.8% Basic Materials 3.7% Technology 2.5% 100.0% Common Stocks - 97.2% Advertising - 1.3% Lamar Advertising Co. (b) (l) 17 $722 Aerospace & Defense - 2.3% Alliant Techsystems Inc. (b) 8 550 Rockwell Collins 15 707 1,257 Agriculture - 0.9% Archer-Daniels-Midland Co. 22 467 Auto Parts & Equipment - 1.3% Autoliv Inc. 10 417 Lear Corp. (l) 9 310 727 Banks - 7.6% Commerce Bancshares Inc. 7 360 FirstMerit Corp. 26 691 KeyCorp. (l) 15 500 M&T Bank Corp. (l) 10 1,015 Northern Trust Corp. 12 547 Zions Bancorp. 14 1,025 4,138 Beverages - 0.4% Pepsi Bottling Group Inc. 8 238 Biotechnology - 2.3% Charles River Laboratories International Inc. (b) 11 530 Medimmune Inc. (b) 27 724 1,254 Building Materials - 1.3% American Standard Cos. 17 725 Chemicals - 2.4% Agrium Inc. 28 554 Rohm And Haas Co. 17 766 1,320 Commercial Services - 0.8% BearingPoint Inc. (b) (l) 63 463 Distribution & Wholesale - 2.3% CDW Corp. (l) 10 576 Ingram Micro Inc.- Class A 1 15 Tech Data Corp. 18 651 1,242 Diversified Financial Services - 2.8% Bear Stearns Cos. Inc. 7 759 CIT Group Inc. 18 776 1,535 Electric - 11.0% Cinergy Corp. 7 296 CMS Energy Corp. (b) (l) 8 118 Edison International Inc. 13 544 Entergy Corp. 14 1,078 Firstenergy Corp. 13 635 PG&E Corp. (l) 27 1,014 Pinnacle West Capital Corp. 1 37 PNM Resources Inc. 8 224 PPL Corp. 26 1,527 Public Service Enterprise 2 117 Wisconsin Energy Corp. 10 401 5,991 Electronics - 0.8% Amphenol Corp. - Class A 11 438 Environmental Control - 1.1% Republic Services Inc. - Class A 16 588 Food - 1.0% Smithfield Foods Inc. (b) (l) 20 552 Forest Products & Paper - 1.4% Plum Creek Timber Co. Inc. 21 770 Gas - 2.5% AGL Resources Inc. 32 1,225 Energen Corp. 4 126 1,351 Hand & Machine Tools - 0.7% Stanley Works (l) 9 394 Healthcare - 1.9% Health Net Inc. (b) 27 1,023 Home Builders - 2.4% Lennar Corp. (l) 21 1,320 Household Products - 2.6% Clorox Co. 12 687 Newell Rubbermaid Inc. (l) 30 714 1,401 Insurance - 8.3% AMBAC Financial Group Inc. (l) 11 784 Everest Re Group Ltd. 9 843 PartnerRe Ltd. 11 726 PMI Group Inc. (l) 10 374 Renaissancere Holdings Ltd. 14 713 Torchmark Corp. (l) 12 620 Willis Group Holdings Ltd. 15 485 4,545 Internet - 1.1% Avocent Corp. (b) 10 272 WebMD Corp. (b) 33 339 611 Investment Companies - 0.9% American Capital Strategies Ltd. (b) (l) 14 503 Leisure Time - 0.8% Callaway Golf Co. (l) 27 418 Lodging - 1.9% Harrah's Entertainment Inc. 7 519 Hilton Hotels Corp. 21 493 1,012 Machinery - 0.4% Zebra Technologies Corp. (b) 5 223 Manufacturing - 1.8% Carlisle Cos. Inc. (l) 6 378 Cooper Industries Ltd. - Class A 9 587 965 Media - 1.4% Dow Jones & Co. Inc. (l) 21 758 Office & Business Equipment - 0.4% Xerox Corp. (b) 16 220 Oil & Gas Producers - 6.6% EOG Resources Inc. (l) 34 1,905 Frontier Oil Corp. 12 360 Noble Energy Inc. 9 692 Range Resources Corp. 24 649 3,606 Oil & Gas Services - 1.8% BJ Services Co. 10 536 Teekay Shipping Corp. (b) 10 436 972 Packaging & Containers - 1.0% Packaging Corp. of America (l) 25 536 Pharmaceuticals - 0.6% IVAX Corp. (b) (l) 15 312 Pipelines - 2.4% Western Gas Resources Inc. (l) 14 491 Williams Cos. Inc. 43 826 1,317 Real Estate - 6.4% Apartment Investment & Management Co. 20 812 Developers Divers Realty Corp. (l) 15 705 Equity Residential Properties Trust 6 217 Healthcare Realty Trust Inc. 1 50 iStar Financial Inc. 29 1,190 Prentiss Properties Trust 14 498 3,472 Retail - 5.2% Federated Department Stores Inc. (l) 16 1,140 J.C. Penney Co. Inc. (l) 17 910 Ross Stores Inc. 13 385 Talbots Inc. 12 396 2,831 Semiconductors - 1.0% Freescale Semiconductor Inc. (b) (l) 10 207 Tessera Technologies Inc. (b) 10 346 553 Software - 1.2% Activision Inc. (b) 39 652 Telecommunications Equipment - 0.1% Ditech Communications Corp. (b) 11 72 Textiles - 1.3% Mohawk Industries Inc. (b) (l) 9 734 Tobacco - 0.8% Reynolds American Inc. (l) 5 419 Transportation - 0.7% Landstar System Inc. (b) 5 151 Yellow Roadway Corp. (b) 5 243 394 Total Common Stocks (cost $49,876) 53,041 Short Term Investments - 27.2% Money Market Funds - 5.8% Dreyfus Cash Management Plus Fund, 3.05% (a) 2,709 2,709 Dreyfus Government Cash Management, 3.00% (a) 442 442 3,151 Securities Lending Collateral - 21.4% Mellon GSL Delaware Business Trust Collateral Fund 11,699 11,699 Total Short Term Investments (cost $14,850) 14,850 Total Investments - 124.4% (cost $64,726) 67,891 Other Assets and Liabilities, Net - (24.4%) (13,296) Total Net Assets - 100% $54,595 JNL/JPMorgan International Equity Fund Percentage of Total Industry Sector Investments (o) Financial 25.0% Consumer, Non-cyclical 19.2% Industrial 12.7% Consumer, Cyclical 10.0% Energy 9.9% Communications 8.7% Basic Materials 5.2% Technology 4.4% Money Market Investment 2.7% Utilities 2.2% 100.0% Common Stocks - 97.0% Advertising - 0.9% WPP Group Plc 128 $1,313 Auto Manufacturers - 3.0% Bayerische Motoren Werke AG 60 2,724 Honda Motor Co. Ltd. 51 2,507 5,231 Banks - 17.7% ABN AMRO Holding NV 99 2,439 Banco Popular Espanol SA (b) 203 2,451 Bank of Ireland 96 1,566 Barclays Plc 302 3,008 BNP Paribas SA 38 2,631 Dexia 99 2,180 HSBC Holdings Plc 343 5,478 Mitsubishi Tokyo Financial Group Inc. - 2,632 Royal Bank of Scotland Group Plc 96 2,895 Standard Chartered Plc (b) 103 1,890 UBS AG 47 3,670 30,840 Beverages - 0.7% Fomento Economico Mexicano, SA de C.V. (b) 22 1,287 Building Materials - 5.2% Daikin Industries Ltd. 57 1,411 Holcim Ltd. 39 2,346 Imerys SA 13 867 Lafarge SA 17 1,527 Saint-Gobain Compagnie 51 2,818 8,969 Chemicals - 2.7% BASF AG 20 1,301 Nitto Denko Corp. 34 1,956 Shin-etsu Chemical Co. Ltd. 38 1,420 4,677 Commercial Services - 1.2% Adecco SA 46 2,100 Cosmetics & Personal Care - 0.7% Kao Corp. 55 1,293 Distribution & Wholesale - 4.5% Esprit Holdings Ltd. 117 840 Mitsubishi Corp. 124 1,674 Sumitomo Corp. 244 1,947 Wolseley Plc 158 3,336 7,797 Diversified Financial Services - 2.7% Credit Saison Co. Ltd. 32 1,060 Fortis Group (b) 55 1,537 Nikko Cordial Corp. 259 1,133 Takefuji Corp. 14 919 4,649 Electric - 1.2% National Grid Transco Plc 210 2,033 Electrical Components & Equipment - 0.5% Sharp Corp. 56 872 Electronics - 3.9% Fanuc Ltd. 18 1,165 Hirose Electric Co. 8 866 Koninklijke Philips Electronics NV 72 1,828 Samsung Electronics Co. Ltd. - GDR (b) (e) 3 598 Samsung Electronics Co. Ltd. (b) 4 993 Secom Co. Ltd. 31 1,332 6,782 Food - 5.1% Morrison Supermarkets (b) 726 2,421 Nestle SA 12 3,185 Tesco Plc 582 3,327 8,933 Gas - 1.0% Centrica Plc 412 1,710 Hand & Machine Tools - 0.7% SMC Corp. 12 1,259 Healthcare - 2.1% Hoya Corp. 18 2,058 Smith & Nephew Plc 169 1,669 3,727 Home Furnishings - 0.7% Matsushita Electric Industrial Co. Ltd. 75 1,135 Insurance - 3.4% AXA SA 96 2,409 ING Groep NV 60 1,685 Zurich Financial Services AG (b) 11 1,879 5,973 Lodging - 0.2% InterContinental Hotels Group Plc (b) 32 407 Manufacturing - 1.2% Siemens AG 28 2,010 Media - 2.3% Mediaset SpA 79 927 Reed Elsevier NV 114 1,593 Wolters Kluwer NV 80 1,540 4,060 Mining - 2.5% BHP Billiton - Broken Hill Propreitary Co. Ltd. 141 1,929 Cia Vale Do Rio Doce - ADR (b) 81 2,357 4,286 Office & Business Equipment - 1.7% Canon Inc. 57 3,011 Oil & Gas Producers - 9.8% BG Group Plc 365 3,005 ENI SpA 236 6,086 Total SA 34 7,990 17,082 Pharmaceuticals - 9.4% Astellas Pharma Inc. 63 2,137 Chugai Pharmaceutical Co. Ltd. 56 860 GlaxoSmithKline Plc 210 5,079 Novartis AG 73 3,490 Roche Holding AG 27 3,398 Schering AG 23 1,424 16,388 Real Estate - 1.1% British Land Co. Plc 116 1,829 Retail - 1.0% Kingfisher Plc 391 1,722 Software - 1.7% Dassault Systemes SA 30 1,461 SAP AG 9 1,574 3,035 Tobacco - 1.0% Altadis SA 43 1,822 Toys & Hobbies - 0.6% Nintendo Co. Ltd. 10 1,012 Transportation - 1.0% Deutsche Post AG 73 1,718 Wireless Telecommunications - 5.6% Nokia Oyj 136 2,284 Telefonaktiebolaget LM Ericsson 587 1,888 Vodafone Group Plc 2,260 5,509 9,681 Total Common Stocks (cost $165,421) 168,643 Short Term Investments - 8.3% Money Market Funds - 2.7% Dreyfus Cash Management Plus Fund, 3.05% (a) 4,609 4,609 Securities Lending Collateral - 5.7% Mellon GSL Delaware Business Trust Collateral Fund 9,832 9,832 Total Short Term Investments (cost $14,441) 14,441 Total Investments - 105.3% (cost $179,862) 183,084 Other Assets and Liabilities, Net - (5.3%) (9,285) Total Net Assets - 100% $173,799 JNL/JPMorgan International Value Fund Percentage of Total Industry Sector Investments (o) Financial 35.4% Industrial 14.1% Energy 11.0% Consumer, Cyclical 10.5% Consumer, Non-cyclical 8.1% Utilities 7.9% Communications 7.1% Basic Materials 3.4% Money Market Investment 1.3% Technology 1.2% 100.0% Common Stocks - 98.2% Aerospace & Defense - 1.2% BAE Systems Plc 437 $2,250 Auto Manufacturers - 4.1% Bayerische Motoren Werke AG 51 2,341 Honda Motor Co. Ltd. 61 2,984 Peugeot SA 34 1,988 7,313 Banks - 23.4% Alpha Bank AE (b) 74 1,971 Australia And New Zealand Banking Group Ltd. 175 2,888 Banca Intesa SpA 276 1,266 Barclays Plc 529 5,267 BNP Paribas SA 41 2,842 Deutsche Bank AG 55 4,340 HSBC Holdings Plc 339 5,411 ICICI Bank Ltd. - ADR 13 293 Kookmin Bank - ADR 42 1,896 Royal Bank of Scotland Group Plc 168 5,078 Societe Generale - Class A 38 3,846 UFJ Holdings Inc. (b) 1 3,019 UniCredito Italiano SpA 676 3,576 41,693 Building Materials - 3.0% BPB Plc 212 2,010 Buzzi Unicem SpA 114 1,653 JS Group Corp. 101 1,706 5,369 Chemicals - 2.3% Bayer AG 121 4,048 Distribution & Wholesale - 2.5% Hagemeyer NV (b) 133 317 Itochu Corp. 477 2,399 Wolseley Plc 82 1,719 4,435 Diversified Financial Services - 1.5% Daiwa Securities Group Inc. 426 2,618 Electric - 7.8% E.on AG 64 5,713 Iberdrola SA 124 3,280 International Power Plc (b) 756 2,793 National Grid Transco Plc 223 2,157 13,943 Electrical Components & Equipment - 1.3% Mitsubishi Electric Corp. 444 2,345 Electronics - 1.0% Koninklijke Philips Electronics NV 69 1,740 Entertainment - 1.0% OPAP SA 64 1,859 Environmental Control - 0.9% Kurita Water Industries Ltd. 106 1,632 Food - 3.3% Cadbury Schweppes Plc 234 2,232 Koninklijke Wessanen NV 63 891 Tesco Plc 478 2,729 5,852 Insurance - 8.9% Aviva Plc 221 2,463 AXA SA 195 4,876 ING Groep NV 185 5,228 Zurich Financial Services AG (b) 19 3,268 15,835 Iron & Steel - 1.2% Cia Vale Do Rio Doce- Sp - ADR (b) 81 2,053 Leisure Time - 0.8% TUI AG 60 1,487 Machinery - 4.2% Atlas Copco AB - Class A (b) 142 2,257 Kubota Corp. 629 3,436 Metso Oyj 84 1,840 7,533 Manufacturing - 1.4% Konica Minolta Holdings Inc. 277 2,577 Media - 2.1% Lagardere S.c.a. 25 1,857 Prosieben Sat.1 Media AG 53 914 United Business Media Plc (b) 114 1,016 3,787 Oil & Gas Producers - 11.0% BP Plc 662 6,890 ENI SpA 124 3,198 Lukoil Holdings - ADR 46 1,708 Nippon Mining Holdings Inc. 297 1,678 Nippon Mining Holdings Inc. (b) (e) 72 407 Petroleo Brasileiro SA - ADR 47 2,172 Total SA 15 3,450 19,503 Pharmaceuticals - 1.0% Sankyo Co. Ltd. 97 1,856 Real Estate - 1.5% Sun Hung Kai Properties Ltd. 266 2,615 Retail - 1.9% Richemont-uts A Cie Finance 102 3,444 Semiconductors - 1.2% Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 230 2,101 Telecommunications - 5.0% France Telecom SA 86 2,505 Nippon Telegraph & Telephone Corp. - 1,528 Royal KPN NV 260 2,181 Telefonica SA 160 2,622 8,836 Tobacco - 3.8% British American Tobacco Plc 165 3,182 Japan Tobacco Inc. - 3,513 6,695 Transportation - 0.9% Deutsche Post AG 70 1,629 Total Common Stocks (cost $169,350) 175,048 Short Term Investments - 16.6% Money Market Funds - 1.3% Dreyfus Cash Management Plus Fund, 3.05% (a) 2,284 2,284 Securities Lending Collateral - 15.3% Mellon GSL Delaware Business Trust Collateral Fund 27,199 27,199 Total Short Term Investments (cost $29,483) 29,483 Total Investments - 114.8% (cost $198,833) 204,531 Other Assets and Liabilities, Net - (14.8%) (26,428) Total Net Assets - 100% $178,103 JNL/Lazard Mid Cap Value Fund Percentage of Total Industry Sector Investments (o) Consumer, Cyclical 22.4% Financial 17.0% Communications 15.1% Industrial 13.9% Consumer, Non-cyclical 12.4% Basic Materials 5.7% Energy 5.6% Technology 4.9% Money Market Investment 1.8% Utilities 1.2% 100.0% Common Stocks - 98.3% Airlines - 1.0% Southwest Airlines Co. (l) 178 $2,481 Apparel - 3.6% Polo Ralph Lauren Corp. 62 2,681 Reebok International Ltd. 116 4,865 7,546 Auto Parts & Equipment - 1.9% Lear Corp. (l) 111 4,038 Banks - 3.2% City National Corp. 28 2,037 Mercantile Bankshares Corp. 38 1,953 North Fork Bancorp. Inc. 96 2,697 6,687 Beverages - 1.6% Pepsi Bottling Group Inc. 121 3,465 Chemicals - 2.3% Celanese Corp. - Class A (b) 168 2,670 Rohm And Haas Co. 46 2,136 4,806 Commercial Services - 3.6% Aramark Corp. 184 4,863 Service Corp. (b) 339 2,721 7,584 Computers - 1.9% DST Systems Inc. (b) 85 3,969 Distribution & Wholesale - 2.6% CDW Corp. (l) 48 2,740 Ingram Micro Inc.- Class A (b) 174 2,719 5,459 Diversified Financial Services - 2.4% Federated Investors Inc. - Class B (l) 105 3,158 First Marblehead Corp. (b) (l) 58 2,019 5,177 Electronics - 3.3% Arrow Electronics Inc. (b) 144 3,903 Vishay Intertechnology Inc. (b) 261 3,099 7,002 Engineering & Construction - 1.2% Jacobs Engineering Group Inc. (b) 44 2,498 Entertainment - 2.4% GTECH Holdings Corp. 172 5,023 Environmental Control - 1.0% Republic Services Inc. - Class A 58 2,078 Food - 0.9% Dean Foods Co. (b) 52 1,825 Forest Products & Paper - 3.4% Louisiana-Pacific Corp. 126 3,104 Temple-Inland Inc. 109 4,046 7,150 Gas - 1.2% KeySpan Corp. (l) 61 2,462 Healthcare - 3.4% Health Net Inc. (b) 87 3,320 Laboratory Corp. (b) 78 3,897 7,217 Household Products - 3.3% Fortune Brands Inc. 42 3,712 Newell Rubbermaid Inc. (l) 135 3,226 6,938 Insurance - 7.5% Jefferson-Pilot Corp. 41 2,052 MGIC Investment Corp. (l) 54 3,541 Protective Life Corp. 102 4,323 Renaissancere Holdings Ltd. 82 4,013 Willis Group Holdings Ltd. 57 1,855 15,784 Leisure Time - 1.8% Royal Caribbean Cruises Ltd. (l) 80 3,883 Manufacturing - 1.2% Dover Corp. 67 2,452 Media - 8.2% A H Belo Corp. 183 4,391 Dex Media Inc. (l) 272 6,642 Westwood One Inc. (b) 308 6,292 17,325 Mining - 0.1% Treehouse Foods Inc. (b) 10 295 Oil & Gas Producers - 2.0% GlobalSantaFe Corp. 57 2,305 Valero Energy Corp. 23 1,820 4,125 Oil & Gas Services - 2.6% Baker Hughes Inc. 45 2,277 BJ Services Co. (l) 60 3,154 5,431 Packaging & Containers - 3.4% Ball Corp. 106 3,797 Pactiv Corp. (b) 158 3,418 7,215 Pharmaceuticals - 1.0% Medco Health Solutions Inc. (b) 39 2,092 Pipelines - 1.1% Williams Cos. Inc. 118 2,238 Real Estate - 2.8% Health Care Property Investors Inc. 107 2,891 Trizec Properties Inc. 147 3,018 5,909 Retail - 6.4% Brinker International Inc. (b) 71 2,824 Dollar Tree Stores Inc. (b) 182 4,363 MSC Industrial Direct Co. - Class A 72 2,440 Pier 1 Imports Inc. 134 1,903 Sears Holdings Corp. (b) 14 2,032 13,562 Savings & Loans - 1.1% Hudson City Bancorp. Inc. 205 2,337 Semiconductors - 0.9% Novellus Systems Inc. (b) 81 1,997 Software - 2.1% BEA Systems Inc. (b) 360 3,164 Siebel Systems Inc. (b) (l) 147 1,304 4,468 Telecommunications - 3.1% Citizens Communications Co. 237 3,180 PanAmSat Holding Corp. 169 3,460 6,640 Telecommunications Equipment - 2.3% Avaya Inc. (b) 351 2,919 Polycom Inc. 128 1,910 4,829 Toys & Hobbies - 1.1% Mattel Inc. 129 2,359 Transportation - 3.9% CNF Inc. 79 3,529 Laidlaw International (b) 92 2,212 Norfolk Southern Corp. 78 2,412 8,153 Wireless Telecommunications - 1.5% Western Wireless Corp. - Class A 77 3,244 Total Common Stocks (cost $194,808) 207,745 Short Term Investments - 13.6% Money Market Funds - 1.8% Dreyfus Cash Management Plus Fund, 3.05% (a) 3,769 3,769 Securities Lending Collateral - 11.8% Mellon GSL Delaware Business Trust Collateral Fund 24,940 24,940 Total Short Term Investments (cost $28,709) 28,709 Total Investments - 111.9% (cost $223,517) 236,454 Other Assets and Liabilities, Net - (11.9%) (25,103) Total Net Assets - 100% $211,351 JNL/Lazard Small Cap Value Fund Percentage of Total Industry Sector Investments (o) Financial 19.2% Consumer, Non-cyclical 17.4% Industrial 16.4% Consumer, Cyclical 11.8% Energy 10.3% Communications 10.0% Technology 6.2% Basic Materials 3.6% Money Market Investment 2.6% Utilities 2.5% 100.0% Common Stocks - 98.4% Advertising - 2.1% Advo Inc. 69 $2,182 R.H. Donnelly Inc. (b) 30 1,847 4,029 Aerospace & Defense - 3.9% DRS Technologies Inc. (b) 28 1,441 Engineered Support Systems Inc. 41 1,476 Esterline Technologies Inc. (b) 42 1,699 Titan Corp. (b) 56 1,278 5,894 Agriculture - 0.6% Delta & Pine Land Co. 45 1,138 Airlines - 0.8% Airtran Holdings Inc. (b) (l) 166 1,535 Apparel - 1.6% Gymboree Corp. (b) 97 1,329 Timberland Co - Class A (b) (l) 42 1,642 2,971 Auto Manufacturers - 0.7% Wabash National Corp. 55 1,321 Banks - 8.0% Bank of the Ozarks Inc. 50 1,655 Boston Private Financial Holdings 40 1,008 First Community Bancorp. 28 1,349 First Midwest Bancorp. Inc. 36 1,266 MB Financial Inc. 42 1,685 Provident Bankshares Corp. 31 980 South Financial Group 31 875 Sterling Bancshares Inc. 94 1,460 Texas Regional Bancshares Inc. 46 1,414 Umpqua Holdings Corp. 56 1,306 United Bankshares Inc. 27 951 Westamerica Bancorp. (l) 22 1,151 15,100 Building Materials - 0.5% Elkcorp. 35 996 Chemicals - 2.2% Olin Corp. 75 1,364 PolyOne Corp. (b) 177 1,170 Spartech Corp. 89 1,581 4,115 Commercial Services - 6.9% Alderwoods Group Inc. (b) 40 573 Arbitron Inc. 44 1,875 BearingPoint Inc. (b) 205 1,500 Devry Inc. 54 1,079 Learning Tree International Inc. (b) 116 1,398 MPS Group Inc. (b) 158 1,492 United Rentals Inc. 63 1,267 Watson Wyatt & Co. Holdings 71 1,825 Wright Express Corp. (b) 106 1,957 12,966 Computers - 2.0% Bisys Group Inc. (b) 101 1,507 Dot Hill Systems Corp. (b) 224 1,172 Radisys Corp. (b) 64 1,027 3,706 Diversified Financial Services - 1.0% Calamos Asset Management Inc. 24 656 Financial Federal Corp. 30 1,159 1,815 Electric - 0.9% Cleco Corp. 75 1,613 Electronics - 4.8% Benchmark Electronics Inc. (b) 47 1,415 Coherent Inc. (b) 41 1,487 Metrologic Instruments Inc. (b) 65 810 Photon Dynamics Inc. (b) 63 1,288 Plexus Corp. (b) 74 1,053 Rogers Corp. (b) 39 1,598 TTM Technologies Inc. (b) 178 1,354 9,005 Engineering & Construction - 1.6% Chicago Bridge & Iron Co. NV 51 1,157 Shaw Group Inc. (b) (l) 85 1,833 2,990 Entertainment - 1.4% Alliance Gaming Corp. (b) (l) 140 1,967 Carmike Cinemas Inc. 25 758 2,725 Environmental Control - 1.4% Tetra Tech Inc. (b) 118 1,601 Waste Connections Inc. (b) 29 1,074 2,675 Food - 1.2% Performance Food Group Co. (b) 57 1,731 Ralcorp. Holdings Inc. 14 568 2,299 Gas - 1.6% AGL Resources Inc. 52 2,025 New Jersey Resources Corp. 22 1,057 3,082 Hand & Machine Tools - 0.3% Kennametal Inc. 12 555 Healthcare - 4.4% Advanced Medical Optics Inc. (b) 49 1,948 Candela Corp. (b) 48 505 Hanger Orthopedic Group Inc. (b) 159 802 Kindred Healthcare Inc. (b) 26 1,038 LifePoint Hospitals Inc. (b) 28 1,389 Molina Healthcare Inc. (b) 13 575 PSS World Medical Inc. (b) 166 2,072 8,329 Home Builders - 0.5% Winnebago Industries 29 937 Household Products - 1.7% Fossil Inc. (b) 54 1,221 Helen of Troy Ltd. (b) 30 771 Scotts Miracle-Gro Co. (b) 28 1,987 3,979 Insurance - 3.9% Arch Capital Group Ltd. (b) 49 2,185 Assured Guaranty Ltd. 92 2,140 Bristol West Holdings Inc. 64 1,179 Reinsurance Group of America 21 967 Scottish Re Group Ltd. 34 834 7,305 Internet - 1.3% Avocent Corp. (b) 41 1,069 Secure Computing Corp. (b) 125 1,356 2,425 Iron & Steel - 0.4% Cleveland-Cliffs Inc. 13 774 Manufacturing - 1.7% Federal Signal Corp. 56 874 Matthews International Corp. - Class A 16 619 Roper Industries Inc. 24 1,677 3,170 Media - 1.8% Journal Register Co. (b) 106 1,854 Liberty Corp. 42 1,561 3,415 Mining - 1.6% Foundation Coal Holdings Inc. (b) 39 1,019 RTI International Metals Inc. 63 1,976 2,995 Office Furnishings - 0.9% Herman Miller Inc. 31 953 Knoll Inc. 45 772 1,725 Oil & Gas Producers - 4.3% Brigham Exploration Co. (b) 109 992 Denbury Resources Inc. (b) (l) 22 879 Energy Partners Ltd. (b) 38 1,001 Forest Oil Corp. (b) (l) 30 1,247 Grey Wolf Inc. (b) (l) 180 1,333 Range Resources Corp. 52 1,401 Todco - Class A (b) 52 1,325 8,178 Oil & Gas Services - 4.2% Key Energy Services Inc. (b) 218 2,627 Maverick Tube Corp. (b) 56 1,669 Oil States International Inc. (b) 54 1,362 Veritas DGC Inc. (b) 78 2,169 7,827 Packaging & Containers - 0.4% Packaging Corp. of America 40 842 Pharmaceuticals - 2.3% BioScrip Inc. (b) 203 1,218 Connetics Corp. (b) 77 1,349 First Horizon Pharmaceutical Corp. (b) 8 143 Taro Pharmaceutical Industries Ltd. (b) 58 1,677 4,387 Pipelines - 1.3% Kinder Morgan Management LLC (b) 54 2,492 Real Estate - 5.2% Alexandria Real Estate Equites Inc. 21 1,528 BioMed Realty Trust Inc. 41 973 Brandywine Realty Trust 39 1,205 Capital Automotive Reit 34 1,294 Carramerica Realty Corp. 28 1,024 Lexington Corporate Properties Trust 48 1,162 Mills Corp. 25 1,532 Prentiss Properties Trust 27 984 9,702 Retail - 5.9% 99 Cents Only Stores (b) (l) 80 1,018 AnnTaylor Stores Corp. (b) (l) 59 1,425 CBRL Group Inc. 35 1,345 CSK Auto Inc. (b) 84 1,408 Dick's Sporting Goods Inc. (b) 33 1,281 Finish Line - Class A 4 74 HOT Topic Inc. (b) (l) 46 876 Rush Enterprises Class A (b) 61 819 TBC Corp. (b) 56 1,508 Tractor Supply Co. (b) 29 1,414 11,168 Savings & Loans - 1.4% BankUnited Financial Corp. (b) 36 968 MAF Bancorp. Inc. 40 1,718 2,686 Semiconductors - 3.6% AMIS Holdings Inc. (b) 75 1,002 Brooks Automation Inc. (b) 58 855 ChipMOS Technologie Bermuda Ltd. (b) (l) 177 1,171 Exar Corp. (b) 130 1,942 Integrated Device Technology Inc. (b) 162 1,738 6,708 Software - 0.7% Serena Software Inc. 71 1,366 Telecommunications Equipment - 4.2% Applied Signal Technology 18 333 C-COR Inc. (b) 188 1,290 CommScope Inc. (b) 111 1,938 Foundry Networks Inc. (b) 127 1,099 Oplink Communications Inc. (b) 188 321 Polycom Inc. 99 1,482 Safenet Inc. (b) 42 1,431 7,894 Transportation - 2.7% Forward Air Corp. 44 1,237 OMI Corp. (l) 71 1,357 Pacer International Inc. (b) 72 1,558 Swift Transportation Co. Inc. (b) (l) 42 987 5,139 Wireless Telecommunications - 0.7% Wireless Facilities Inc. (b) 197 1,249 Total Common Stocks (cost $168,352) 185,222 Short Term Investments - 9.6% Money Market Funds - 2.6% Dreyfus Cash Management Plus Fund, 3.05% (a) 4,857 4,857 Securities Lending Collateral - 7.0% Mellon GSL Delaware Business Trust Collateral Fund 13,232 13,232 Total Short Term Investments (cost $18,089) 18,089 Total Investments - 108.0% (cost $186,441) 203,311 Other Assets and Liabilities, Net - (8.0%) (15,140) Total Net Assets - 100% $188,171 JNL/Mellon Capital Management Bond Index Fund Percentage of Total Industry Sector Investments (o) Mortgage Securities 47.4% Government 28.0% Financial 9.1% Money Market Investment 3.3% Communications 3.1% Consumer, Non-cyclical 2.0% Asset Backed Securities 1.6% Utilities 1.6% Energy 1.2% Industrial 1.2% Consumer, Cyclical 0.7% Basic Materials 0.6% Technology 0.2% 100.0% Corporate Bonds - 27.0% Aerospace & Defense - 0.2% Lockheed Martin Corp., 8.50%, 12/01/29 $75 $108 Northrop Grumman Corp., 7.75%, 03/01/16 150 187 Raytheon Co., 6.15%, 11/01/08 89 94 United Technologies Corp. 6.35%, 03/01/11 75 83 6.70%, 08/01/28 50 61 533 Agriculture - 0.1% Bunge Ltd. Finance Corp., 5.35%, 04/15/14 75 78 Asset Backed Securities - 4.8% Americredit Automobile Receivables Trust 3.67%, 06/08/09 500 499 2.84%, 08/06/10 115 113 Banc of America Commercial Mortgage Inc., 5.118%, 07/11/43 150 156 Capital One Bank, 3.18%, 09/15/10 250 247 Capital One Master Trust, 2.59%, 09/15/09 150 148 Chase Manhattan Bank-First Union National Bank, 7.44%, 08/15/31 50 56 Commercial Conduit Mortgage Trust, 6.48%, 02/18/30 200 210 Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 39 39 DaimlerChrysler AG, 3.78%, 02/06/07 167 167 DLJ Mortgage Acceptance Corp. 6.46%, 03/10/32 50 53 6.88%, 06/10/32 42 43 6.93%, 11/10/33 85 88 First Boston Mortgage Securities Corp., 6.91%, 09/15/41 80 81 First Union Corp. 6.136%, 03/15/33 301 325 6.56%, 11/18/35 249 262 First Union-Lehman Brothers Commercial Mortgage, 6.65%, 11/18/29 70 74 Fleet Credit Card Master Trust, 5.60%, 12/15/08 250 254 Household Automotive Trust 2.31%, 04/17/08 321 319 3.02%, 12/17/10 365 359 JPMorgan Chase Commercial Mortgage Security Corp. 5.822%, 05/12/34 250 263 6.507%, 10/15/35 (g) 35 37 4.88%, 01/12/38 500 512 5.381%, 06/12/41 (g) 250 268 LB Commercial Conduit Mortgage Trust 5.401%, 03/15/26 80 81 3.85%, 05/15/27 250 243 5.594%, 06/15/31 75 80 6.41%, 06/15/31 88 89 6.78%, 06/15/31 223 241 4.166%, 05/15/32 165 162 Morgan Stanley Dean Witter Capital I, 4.80%, 01/13/41 (g)250 255 Mortgage Capital Funding, 7.29%, 07/20/27 9 9 PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 57 Salomon Brothers Mortgage Securities VII, 6.168%, 02/13/10 100 105 Wachovia Bank Commercial Mortgage Trust 4.44%, 11/15/34 200 201 5.22%, 01/15/41 100 105 5.23%, 07/15/41 (g) 250 263 4.896%, 10/15/41 500 509 WFS Financial Inc., 2.41%, 12/20/10 135 133 7,106 Auto Manufacturers - 0.3% DaimlerChrysler NA Holding Corp. 4.75%, 01/15/08 150 151 6.50%, 11/15/13 100 108 8.50%, 01/18/31 50 63 Ford Motor Co. 6.375%, 02/01/29 75 58 7.45%, 07/16/31 100 83 463 Banks - 5.5% American General Finance Corp., 4.625%, 09/01/10 150 151 Bac Cap Trust V, 5.625%, 03/08/35 50 51 Banc of America Commercial Mortgage Inc., 4.05%, 11/10/38 500 493 Bank of America Corp. 5.25%, 02/01/07 100 102 6.25%, 04/01/08 250 264 4.875%, 09/15/12 150 154 Barclays Bank Plc, 6.86%, 09/15/49 (e) 50 59 BB&T Corp., 6.50%, 08/01/11 75 83 Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 150 162 Capital One Bank, 4.875%, 05/15/08 150 152 ConAgra Foods Inc., 7.875%, 09/15/10 200 230 Corporacion Andina de Fomento, 6.875%, 03/15/12 150 168 Countrywide Home Loans Inc., 4.25%, 12/19/07 250 250 Duke Energy Corp., 5.625%, 11/30/12 150 159 European Investment Bank 4.625%, 03/01/07 500 506 3.125%, 10/15/07 250 247 4.625%, 05/15/14 150 156 Fifth Third Bank, 4.20%, 02/23/10 100 100 Fleet National Bank, 5.75%, 01/15/09 100 105 HSBC Holdings Plc 5.25%, 12/12/12 100 104 7.625%, 05/17/32 (e) 150 197 International Bank, 7.625%, 01/19/23 50 69 JPMorgan Chase & Co., 5.75%, 01/02/13 100 107 Key Bank National Association, 5.80%, 07/01/14 100 108 KFW International Finance 4.75%, 01/24/07 250 254 4.125%, 10/15/14 150 150 Marathon Oil Corp., 6.125%, 03/15/12 200 218 National Australia Bank Ltd., 8.60%, 05/19/10 150 178 National City Corp., 4.625%, 05/01/13 100 101 National Westminster Bank Plc, 7.375%, 10/01/09 250 281 NB Captial Trust, 7.83%, 12/15/26 75 81 Popular North America Inc. 6.125%, 10/15/06 150 153 4.25%, 04/01/08 100 100 Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 100 103 Sempra Energy, 4.75%, 05/15/09 200 202 Simon Property Group LP, 7.125%, 02/09/09 200 217 Suntrust Bank Inc., 6.375%, 04/01/11 200 221 Svensk Exportkredit AB, 4.00%, 06/15/10 (l) 200 200 Textron Financial Corp., 6.00%, 11/20/09 250 269 US Bank NA, 6.375%, 08/01/11 100 110 Wachovia Corp. 7.50%, 07/15/06 500 516 6.25%, 08/04/08 150 159 Wells Fargo & Co. 4.20%, 01/15/10 (f) 100 100 5.00%, 11/15/14 (f) 200 206 XTO Energy Inc., 4.90%, 02/01/14 75 75 8,071 Beverages - 0.3% Anheuser-Busch Cos. Inc., 5.05%, 10/15/16 100 104 Coca-Cola Co., 7.125%, 08/01/17 100 120 Diageo Capital Plc, 4.375%, 05/03/10 50 50 Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 95 369 Biotechnology - 0.0% Pharmacia Corp., 6.60%, 12/01/28 50 61 Building Materials - 0.0% Toll Brothers Inc., 4.95%, 03/15/14 50 49 Chemicals - 0.2% Dow Chemical Co. 6.125%, 02/01/11 50 54 6.00%, 10/01/12 50 55 E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 100 103 Rohm & Haas Co., 7.85%, 07/15/29 50 68 280 Commercial Services - 0.3% Bear Stearns Adjustable Rate Mortgage Trust, 6.80%, 07/15/31 60 62 Cendant Corp., 6.25%, 01/15/08 200 209 Hertz Corp., 7.625%, 06/01/12 100 98 Waste Management Inc., 7.375%, 08/01/10 (f) 100 112 481 Computers - 0.2% International Business Machines Corp., 5.375%, 02/01/09 (f) 300 313 Cosmetics & Personal Care - 0.1% Proctor & Gamble Co., 4.95%, 08/15/14 150 156 Diversified Financial Services - 4.2% Associates Corp. NA, 6.25%, 11/01/08 300 319 Bank One Corp., 2.625%, 06/30/08 250 239 Boeing Capital Corp., 5.80%, 01/15/13 125 136 CIT Group Inc., 7.375%, 04/02/07 250 263 Citigroup Inc. 3.50%, 02/01/08 500 493 6.00%, 02/21/12 100 109 Countrywide Home Loans Inc., 5.50%, 08/01/06 75 76 Credit Suisse First Boston USA Inc. 5.875%, 08/01/06 100 102 6.125%, 11/15/11 100 109 7.125%, 07/15/32 100 127 Ford Motor Credit Co. 7.20%, 06/15/07 100 101 6.625%, 06/16/08 100 99 5.80%, 01/12/09 100 95 7.375%, 10/28/09 75 73 7.25%, 10/25/11 75 72 7.00%, 10/01/13 75 72 General Electric Corp. 3.50%, 05/01/08 (f) 250 246 3.125%, 04/01/09 (f) 150 145 5.45%, 01/15/13 (f) 250 265 6.75%, 03/15/32 (f) 100 123 Goldman Sachs Group Inc. 6.65%, 05/15/09 (f) 250 271 5.25%, 04/01/13 (f) 100 103 Household Automotive Trust, 4.37%, 12/17/08 71 71 International Finance Corp., 5.75%, 10/15/06 (f) 250 255 JPMorgan Chase & Co., 6.625%, 03/15/12 100 111 Lehman Brothers Holdings Inc. 4.00%, 01/22/08 250 249 6.625%, 01/18/12 100 112 Merrill Lynch & Co. Inc., 4.125%, 09/10/09 250 249 Morgan Stanley Capital I, 6.52%, 03/15/30 62 65 Morgan Stanley Dean Witter Capital I 7.25%, 04/01/32 100 126 7.57%, 11/15/36 100 112 National Rural Utilities, 5.75%, 08/28/09 200 211 Pemex Master Trust 7.875% 2/1/09, 7.875%, 02/01/09 100 109 Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 92 Pitney Bowes Credit Corp., 5.75%, 08/15/08 300 317 SLM Corp., 5.05%, 11/14/14 250 258 Toyota Motor Credit Corp., 2.875%, 08/01/08 100 97 Verizon Global Funding Corp., 7.75%, 12/01/30 50 65 6,137 Electric - 1.1% Alabama Power Co., 5.875%, 12/01/22 100 109 American Electric Power Co. Inc., 5.375%, 03/15/10 100 104 Constellation Energy Group Inc., 7.00%, 04/01/12 100 113 Consumers Energy, 5.50%, 08/15/16 25 26 Emerson Electric Co., 5.00%, 12/15/14 100 103 Firstenergy Corp. 5.50%, 11/15/06 25 25 6.45%, 11/15/11 25 27 7.375%, 11/15/31 25 31 FPL Group Capital Inc., 7.625%, 09/15/06 100 104 Hydro Quebec, 7.50%, 04/01/16 100 124 Midamerican Energy Co., 6.75%, 12/30/31 50 61 Midamerican Energy Holdings Co., 5.875%, 10/01/12 100 106 Nisource Finance Corp., 5.40%, 07/15/14 75 77 Northern States Power Co., 8.00%, 08/28/12 100 122 Pacific Gas & Electric Co., 6.05%, 03/01/34 100 110 PPL Electric Utilities Corp., 6.25%, 08/15/09 100 107 Progress Energy Inc., 7.75%, 03/01/31 50 62 PSEG Power LLC, 8.625%, 04/15/31 75 104 SCANA Corp., 6.875%, 05/15/11 75 84 TXU Energy Co., 7.00%, 03/15/13 25 28 1,627 Electrical Components & Equipment - 0.1% Exelon Generation Co. LLC, 5.35%, 01/15/14 150 156 Electronics - 0.2% Scottish Power Plc, 5.375%, 03/15/15 50 51 Southern California Edison Co., 6.00%, 01/15/34 75 84 TXU Electric Delivery Co., 6.375%, 01/15/15 150 166 301 Entertainment - 0.0% Walt Disney Co., 7.00%, 03/01/32 50 61 Food - 0.9% Corn Products International Inc., 8.25%, 07/15/07 100 107 General Mills Inc., 6.00%, 02/15/12 (f) 100 109 Grand Metropolitan Investment Corp., 8.00%, 09/15/22 100 133 Kellogg Co., 2.875%, 06/01/08 250 241 Kraft Foods Inc., 4.625%, 11/01/06 50 50 Kroger Co., 5.50%, 02/01/13 100 104 Nabisco Holdings Corp., 7.05%, 07/15/07 200 210 Safeway Inc., 5.80%, 08/15/12 (l) 100 105 Sara Lee Corp., 6.25%, 09/15/11 75 80 Unilever Capital Corp., 7.125%, 11/01/10 100 113 1,252 Forest Products & Paper - 0.2% International Paper Co., 6.75%, 09/01/11 (f) 100 109 Weyerhaeuser Co., 7.375%, 03/15/32 100 118 227 Gas - 0.1% Praxair Inc., 3.95%, 06/01/13 100 96 Healthcare - 0.2% Baxter International Inc., 4.625%, 03/15/15 75 74 Schering-Plough Corp., 6.75%, 12/01/33 50 60 WellPoint Health Networks, 4.25%, 12/15/09 50 50 Wyeth, 6.45%, 02/01/24 100 114 298 Holding Companies - Diversified - 0.2% Cincinnati Financial Corp., 6.125%, 11/01/34 100 110 COX Communications Inc., 4.625%, 01/15/10 100 100 Lear Corp., 5.75%, 08/01/14 50 45 News America Inc., 5.30%, 12/15/14 (l) 75 77 332 Insurance - 0.7% Aegon AV, 4.75%, 06/01/13 150 151 Allstate Corp. 6.125%, 02/15/12 75 82 5.35%, 06/01/33 75 75 American International Group Inc., 4.25%, 05/15/13 100 97 Chubb Corp., 5.20%, 04/01/13 100 104 Hartford Life Inc., 7.65%, 06/15/27 75 97 Marsh & McLennan Cos. Inc., 3.625%, 02/15/08 100 98 MetLife Inc., 5.00%, 11/24/13 100 102 Principal Life Income Funding Trusts, 5.10%, 04/15/14 150 156 Travelers Property Casualty Corp., 6.75%, 11/15/06 100 103 1,065 Investment Companies - 0.8% Citigroup Inc., 6.00%, 10/31/33 50 55 Goldman Sachs Group Inc. 7.35%, 10/01/09 (f) 350 390 5.125%, 01/15/15 (f) 200 204 Merrill Lynch & Co. Inc., 5.00%, 01/15/15 (l) 200 205 Merrill Lynch Mortgage Trust, 5.403%, 07/12/34 200 209 SLM Corp., 5.00%, 10/01/13 50 51 1,114 Iron & Steel - 0.0% Alcan Inc., 4.875%, 09/15/12 50 50 Manufacturing - 0.3% General Electric Corp., 5.00%, 02/01/13 (f) 100 103 Honeywell International Inc., 6.125%, 11/01/11 100 110 Tyco International Group SA, 6.125%, 01/15/09 (l) 150 159 372 Media - 0.4% Comcast Corp., 6.50%, 01/15/15 50 56 News America Inc., 6.20%, 12/15/34 50 52 Time Warner Inc. 6.625%, 05/15/29 100 111 7.625%, 04/15/31 150 187 Viacom Inc., 7.875%, 07/30/30 125 147 553 Metal Fabrication & Hardware - 0.1% Alcan Inc., 6.125%, 12/15/33 25 27 Alco Inc., 5.375%, 01/15/13 50 53 80 Mining - 0.1% BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 100 101 Newmont Mining Corp., 5.875%, 04/01/35 50 51 152 Oil & Gas Producers - 0.6% Alberta Energy Co. Ltd., 7.375%, 11/01/31 100 126 Amerada Hess Corp. 6.65%, 08/15/11 25 28 7.30%, 08/15/31 35 42 Anadarko Petroleum Corp., 3.25%, 05/01/08 250 243 Burlington Resources Finance Co., 7.20%, 08/15/31 100 123 ConocoPhillips, 6.65%, 07/15/18 75 88 Consolidated Natural Gas Co., 6.80%, 12/15/27 50 58 Devon Financing Corp. ULC, 7.875%, 09/30/31 100 130 Enterprise Products Partners LP 4.95%, 06/01/10 25 25 5.60%, 10/15/14 25 26 6.875%, 03/01/33 25 28 917 Oil & Gas Services - 0.2% Conoco Funding Co., 7.25%, 10/15/31 75 98 Occidental Petroleum Corp., 6.75%, 01/15/12 50 57 Petro-Canada, 7.00%, 11/15/28 75 89 Suncor Energy Inc., 5.95%, 12/01/34 100 111 355 Pharmaceuticals - 0.1% Wyeth, 5.50%, 03/15/13 100 105 Pipelines - 0.1% Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 75 76 Real Estate - 0.4% Boston Properties LP, 6.25%, 01/15/13 150 163 EOP Operating LP, 4.75%, 03/15/14 75 74 First Union Corp. 7.184%, 12/15/31 23 24 7.39%, 12/15/31 105 117 GMAC Commercial Mortgage, 6.42%, 05/15/35 99 105 Heller Financial Inc., 6.50%, 05/15/31 54 55 538 Retail - 0.4% Federated Department Stores Inc., 6.90%, 04/01/29 (l) 100 116 May Department Stores Co., 4.80%, 07/15/09 150 152 Target Corp., 7.00%, 07/15/31 (l) 100 128 Wal-Mart Stores Inc. 4.55%, 05/01/13 (f) 100 101 7.55%, 02/15/30 (f) 50 68 565 Savings & Loans - 0.1% Washington Mutual Inc., 4.625%, 04/01/14 100 97 Sovereign - 0.6% Federal Home Loan Bank System, 4.00%, 03/10/08 (l) 150 150 Inter-American Development Bank, 7.375%, 01/15/10 (f) 100 114 Province of Ontario, 3.625%, 10/21/09 150 148 Republic of Italy, 2.75%, 12/15/06 200 197 Republic of Korea, 8.875%, 04/15/08 300 338 947 Storage/Warehousing - 0.2% Union Pacific Corp., 6.625%, 02/01/08 250 264 Telecommunications - 2.3% Alltel Corp., 7.875%, 07/01/32 50 66 AT&T Broadband Corp., 8.375%, 03/15/13 250 305 Bellsouth Capital Funding, 7.875%, 02/15/30 100 129 BellSouth Corp., 5.20%, 09/15/14 100 103 British Telecommunications Plc, (Step-Up Bond), 8.375%, 12/15/10 (d) (g) 250 296 Clear Channel Communications Inc., 7.65%, 09/15/10 (l) 100 108 Deutsche Telekom International Finance BV, 8.50%, 06/15/10 400 464 GTE Corp., 6.94%, 04/15/28 50 58 New Cingular Wireless Services Inc., 7.50%, 05/01/07 250 265 SBC Communications Inc. 5.875%, 02/01/12 100 107 6.15%, 09/15/34 (l) 50 54 Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 116 Sprint Capital Corp. 6.00%, 01/15/07 150 154 8.375%, 03/15/12 100 120 6.875%, 11/15/28 75 86 Telecom Italia Capital SA, 6.375%, 11/15/33 50 54 Telefonica Europe BV, 8.25%, 09/15/30 100 140 TELUS Corp., 7.50%, 06/01/07 125 132 Verizon Global Funding Corp., 7.25%, 12/01/10 250 283 Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 204 Vodafone Group Plc, 5.00%, 12/16/13 150 154 3,398 Tobacco - 0.1% Altria Group Inc., 7.75%, 01/15/27 75 90 Transportation - 0.1% CSX Corp., 6.75%, 03/15/11 50 55 Norfolk Southern Corp., 7.25%, 02/15/31 75 96 Union Pacific Corp., 6.625%, 02/01/29 25 29 180 Wireless Telecommunications - 0.2% Motorola Inc., 7.625%, 11/15/10 150 172 New Cingular Wireless Services Inc., 8.75%, 03/01/31 108 151 323 Total Corporate Bonds (cost $39,169) 39,688 Government Securities - 71.4% Banks - 0.4% International Bank For Recon & Development, 4.375%, 09/28/06 300 302 Kredit Fuer Wiederaufbau, 3.25%, 03/30/09 350 344 646 Sovereign - 1.4% Canadian Government Bond, 6.75%, 08/28/06 100 103 European Bank, 5.375%, 06/15/06 100 101 Financement Quebec, 5.00%, 10/25/2012 100 104 Nova Scotia Province, 5.75%, 02/27/12 100 109 Province of British Columbia, 4.625%, 10/03/06 100 101 Quebec Province Co. 5.75%, 02/15/09 125 132 7.50%, 07/15/23 100 135 Republic of Chile, 5.50%, 01/15/13 100 106 Republic of Italy 4.00%, 06/16/08 250 251 4.375%, 06/15/13 100 102 5.375%, 06/15/33 100 108 State of Israel, 4.625%, 06/15/2013 75 74 United Mexican States 4.625%, 10/08/08 200 201 6.375%, 01/16/13 150 161 7.50%, 04/08/33 250 287 2,075 U.S. Government Agencies - 44.5% Federal Government Loan Mortgage Co. 6.50%, 12/01/28 125 130 6.50%, 05/01/29 45 47 5.50%, 04/01/33 216 219 Federal Home Loan Mortgage Corp. 4.00%, TBA (c) 900 880 4.50%, TBA (c) 1,800 1,792 5.50%, TBA (c) 5,600 11,299 6.50%, TBA (c) 1,200 1,242 6.00%, TBA (c) 500 517 6.50%, TBA (c) 1,200 1,242 2.75%, 08/15/06 (l) 610 603 2.95%, 09/14/06 100 99 2.75%, 10/15/06 920 908 2.625%, 10/16/06 (l) 250 246 2.375%, 02/15/07 (l) 800 782 2.875%, 05/15/07 1,500 1,475 3.30%, 09/14/07 100 99 3.375%, 09/14/07 1,075 1,065 3.25%, 11/02/07 (l) 150 148 4.125%, 09/01/09 100 100 4.125%, 02/24/11 (l) 500 495 5.50%, 09/15/11 500 538 5.75%, 05/15/12 325 356 5.125%, 07/15/12 428 454 4.625%, 05/28/13 75 74 6.50%, 06/01/14 191 199 5.25%, 06/18/14 (f) (l) 1,240 1,331 7.00%, 08/01/15 28 29 7.00%, 11/01/15 2 3 7.00%, 11/01/16 118 123 6.00%, 12/01/16 87 90 4.50%, 01/01/18 74 74 5.50%, 04/01/18 50 51 5.00%, 07/17/18 2,100 2,123 4.00%, 05/01/19 67 66 5.00%, 07/01/19 162 164 6.50%, 03/01/31 54 56 7.00%, 06/01/31 29 30 7.50%, 11/01/31 285 305 7.50%, 04/01/32 451 482 6.25%, 07/15/32 (l) 300 377 6.00%, 04/01/33 13 13 4.50%, 10/01/33 10 9 5.00%, 07/01/35 3,200 3,200 Federal National Mortgage Association 4.50%, TBA (c) 3,500 3,484 5.00%, TBA (c) 7,500 7,543 5.50%, TBA (c) 6,200 6,289 3.41%, 08/30/07 100 99 3.25%, 01/15/08 330 325 2.50%, 06/15/08 (l) 355 341 3.25%, 08/15/08 1,140 1,119 3.25%, 02/15/09 350 342 4.25%, 05/15/09 500 505 6.625%, 09/15/09 (l) 400 441 6.00%, 05/15/11 (l) 700 770 5.375%, 11/15/11 500 536 4.125%, 04/15/14 (l) 400 397 5.00%, 04/15/15 400 423 6.50%, 02/01/16 14 15 6.00%, 06/01/16 159 164 6.50%, 09/01/16 29 31 6.50%, 10/01/16 51 53 6.50%, 12/01/16 2 2 5.50%, 03/01/17 53 54 5.00%, 10/01/17 75 76 4.00%, 10/01/18 158 155 6.25%, 05/15/29 (l) 225 278 6.625%, 11/15/30 (l) 160 208 7.00%, 02/01/31 177 186 5.50%, 01/01/32 370 376 6.50%, 07/01/32 133 138 6.00%, 02/01/33 354 364 5.50%, 08/15/33 500 506 4.50%, 11/01/33 659 646 5.00%, 06/01/34 281 281 5.50%, 07/01/34 1,550 1,572 6.50%, 07/01/34 1,266 1,311 6.00%, 08/01/34 1,284 1,317 FHLMC Gold, TBA (c) 3,200 3,281 Freddie Mac, 3.00%, 09/29/06 200 198 Government National Mortgage Association 5.50%, TBA (c) 1,000 1,020 8.00%, 04/15/30 (f) 42 45 8.50%, 06/15/30 (f) 40 44 8.50%, 12/15/30 (f) 2 2 6.50%, 01/15/32 (f) 222 232 6.00%, 10/15/32 (f) 205 211 5.50%, 07/15/33 (f) 615 628 5.00%, 07/01/35 1,100 1,107 6.00%, 07/01/35 1,500 1,546 65,354 U.S. Treasury Securities - 25.1% U.S. Treasury Bond 10.375%, 11/15/12 (f) 240 276 12.00%, 08/15/13 (l) 250 310 11.25%, 02/15/15 (f) 495 781 7.25%, 05/15/16 (l) 270 346 8.75%, 05/15/17 (l) 715 1,027 8.875%, 02/15/19 (l) 645 959 8.50%, 02/15/20 (l) 100 147 8.75%, 05/15/20 (f) 180 270 8.00%, 11/15/21 (f) 1,750 2,522 7.125%, 02/15/23 (l) 735 993 6.875%, 08/15/25 (f) 390 525 6.75%, 08/15/26 (l) 200 268 6.50%, 11/15/26 (l) 360 471 6.375%, 08/15/27 (l) 120 156 5.25%, 02/15/29 (l) 895 1,024 6.25%, 05/15/30 (l) 350 456 U.S. Treasury Note 2.875%, 11/30/06 725 718 3.125%, 01/31/07 (l) 1,740 1,726 6.25%, 02/15/07 (l) 1,250 1,302 3.75%, 03/31/07 (l) 420 421 4.375%, 05/15/07 (l) 630 638 3.625%, 06/30/07 (f) 2,200 2,199 3.25%, 08/15/07 (l) 320 317 3.00%, 11/15/07 (l) 1,880 1,853 3.375%, 02/15/08 (l) 1,000 993 3.75%, 05/15/08 1,900 1,904 3.375%, 11/15/08 (l) 2,680 2,653 3.375%, 12/15/08 (l) 1,050 1,039 3.25%, 01/15/09 (l) 270 266 5.50%, 05/15/09 (l) 310 330 3.375%, 10/15/09 (l) 1,500 1,479 6.50%, 02/15/10 (l) 1,470 1,640 5.00%, 02/15/11 (l) 1,530 1,626 4.875%, 02/15/12 (l) 545 579 4.375%, 08/15/12 (l) 555 576 3.875%, 02/15/13 (l) 50 50 3.625%, 05/15/13 (l) 600 592 4.25%, 08/15/14 (l) 865 886 4.25%, 11/15/14 (l) 1,850 1,893 4.125%, 05/15/15 600 609 36,820 Total Government Securities (cost $103,941) 104,894 Municipals - 0.2% Illinois State Taxable Pension, 5.10%, 06/01/33 (f) 200 209 New Jersey State Turnpike, 4.252%, 01/01/16 (f) 100 99 Total Municipals (cost $278) 308 Short Term Investments - 51.6% Commercial Paper - 22.0% ABN AMRO, 3.12%, 07/14/05 2,000 1,998 CBA Finance, 3.07%, 07/06/05 3,000 2,999 Danske Corp., 3.11%, 07/07/05 2,000 1,999 E.I. du Pont de Nemours & Co., 3.04%, 07/13/05 2,500 2,497 General Electric Corp., 3.10%, 07/13/05 4,000 3,996 Goldman Sachs Group Inc., 3.10%, 07/15/05 2,500 2,497 HBOS Treasury Services Plc, 3.05%, 07/13/05 3,500 3,496 ING US Funding LLC, 3.12%, 07/14/05 1,000 999 International Lease Finance Corp., 3.10%, 07/13/05 2,700 2,697 Lloyds TSB Bank, 3.10%, 07/05/05 3,000 2,999 Societe Generale, 3.15%, 07/15/05 2,500 2,497 UBS Finance LLC, 3.09%, 07/11/05 4,000 3,997 32,671 Diversified Financial Services - 2.0% Dexia Delaware Inc., 3.09%, 07/08/05 3,000 2,998 Money Market Funds - 3.3% Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 4,918 4,918 Securities Lending Collateral - 23.9% Mellon GSL Delaware Business Trust Collateral Fund (n) 35,197 35,197 Total Short Term Investments (cost $75,784) 75,784 Total Investments - 150.2% (cost $219,172) 220,674 Other Assets and Liabilities, Net - (50.2%) (73,712) Total Net Assets - 100% $146,962 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 21.4% Financial 19.8% Technology 12.6% Industrial 10.6% Consumer, Cyclical 10.5% Communications 8.8% Energy 8.2% Basic Materials 3.8% Utilities 2.3% Money Market Investment 1.7% Government 0.3% 100.0% Common Stocks - 97.6% Aerospace & Defense - 2.0% Lockheed Martin Corp. 6 $405 Northrop Grumman Corp. 7 387 Ratheon Co. 9 358 1,150 Airlines - 0.1% Southwest Airlines Co. 3 48 Apparel - 1.4% Coach Inc. (b) 12 386 Nike Inc. - Class B 5 407 793 Auto Manufacturers - 1.5% Ford Motor Co. 35 360 Navistar International Corp. (b) 8 253 Paccar Inc. 4 283 896 Auto Parts & Equipment - 0.0% Cooper Tire & Rubber Co. - 6 Banks - 6.3% Bank of America Corp. 24 1,087 Compass Bancshares Inc. 7 329 Fifth Third Bancorp. (l) 10 403 First Horizon National Corp. 1 21 National City Corp. 5 154 North Fork Bancorp. Inc. 2 42 Suntrust Bank Inc. 6 397 US Bancorp. 5 158 Wachovia Corp. 9 458 Wells Fargo & Co. 10 600 3,649 Beverages - 2.2% Anheuser-Busch Cos. Inc. 2 112 Brown-Forman Corp. - Class B 4 221 Coca-Cola Co. 12 516 PepsiCo Inc. 8 420 1,269 Biotechnology - 1.0% Amgen Inc. (b) 7 397 Biogen Idec Inc. (b) 2 62 Chiron Corp. 1 26 Genzyme Corp. 1 74 Medimmune Inc. (b) 1 36 595 Building Materials - 0.1% Vulcan Materials Co. 1 32 Chemicals - 3.1% Ashland Inc. - 22 Dow Chemical Co. 12 517 E.I. du Pont de Nemours & Co. 9 369 Eastman Chemical Co. 5 254 Engelhard Corp. 1 14 International Flavors & Fragrances Inc. - 14 PPG Industries Inc. 5 295 Rohm And Haas Co. 5 236 Sigma-Aldrich Corp. 1 67 1,788 Commercial Services - 0.5% Cendant Corp. 5 107 Equifax Inc. 1 21 H&R Block Inc. 1 53 Paychex Inc. 3 81 R.R. Donnelley & Sons Co. 1 40 302 Computers - 4.2% Apple Computer Inc. (b) 12 458 Dell Inc. (b) 20 779 EMC Corp. (b) 11 149 Hewlett-Packard Co. 2 48 International Business Machines Corp. 12 898 NCR Corp. (b) 1 35 Sungard Data Systems Inc. 2 53 2,420 Cosmetics & Personal Care - 3.2% Alberto-Culver Co. - Class B 6 273 Avon Products Inc. 10 384 Gillette Co. 9 459 Proctor & Gamble Co. 14 719 1,835 Diversified Financial Services - 8.3% American Express Co. 5 274 Charles Schwab Corp. 13 142 CIT Group Inc. 3 142 Citigroup Inc. 31 1,444 E*trade Group Inc. (b) 2 27 Fannie Mae 5 298 Goldman Sachs Group Inc. 5 524 JPMorgan Chase & Co. 10 364 Lehman Brothers Holdings Inc. 2 159 Merrill Lynch & Co. Inc. 9 494 Morgan Stanley 11 574 SLM Corp. 8 403 4,845 Electric - 2.1% Ameren Corp. (l) 6 337 Centerpoint Energy Inc. 1 17 CMS Energy Corp. (b) (l) 1 20 Constellation Energy Group Inc. 4 248 Edison International Inc. 2 69 PG&E Corp. 2 68 Southern Co. 12 399 TXU Corp. 1 91 1,249 Electronics - 0.7% PerkinElmer Inc. 7 138 Sanmina-SCI Corp. (b) 15 82 Solectron Corp. (b) 16 61 Thermo Electron Corp. (b) 4 116 397 Entertainment - 0.2% International Game Technology 4 107 Environmental Control - 0.1% Waste Management Inc. 2 65 Food - 1.9% General Mills Inc. 3 136 H.J. Heinz Co. 9 312 Kellogg Co. 8 333 McCormick & Co. Inc. 5 163 WM Wrigley Jr Co. 2 158 1,102 Forest Products & Paper - 0.1% MeadWestvaco Corp. 1 28 Plum Creek Timber Co. Inc. 1 36 Temple-Inland Inc. 1 21 85 Hand & Machine Tools - 0.3% Stanley Works 3 150 Healthcare - 6.2% Aetna Inc. 2 130 Bausch & Lomb Inc. 4 332 Biomet Inc. 3 90 Boston Scientific Corp. (b) 6 169 Guidant Corp. 4 296 HCA Inc. 7 402 Health Management Associates Inc. (l) 3 65 Humana Inc. 1 32 Johnson & Johnson 16 1,011 Manor Care Inc. 2 75 Medtronic Inc. 1 38 Stryker Corp. - 14 Tenet Healthcare Corp. (b) 2 28 UnitedHealth Group Inc. 7 349 WellPoint Inc. (b) 3 226 Zimmer Holdings Inc. (b) (l) 5 350 3,607 Home Builders - 0.2% KB Home 2 145 Household Products - 0.0% Avery Dennison Corp. 1 26 Insurance - 4.4% ACE Ltd. 2 67 Aflac Inc. 3 117 Allstate Corp. 4 210 AMBAC Financial Group Inc. (l) 1 35 American International Group Inc. 14 789 AON Corp. 2 38 Chubb Corp. 1 86 Cigna Corp. (l) 1 64 Cincinnati Financial Corp. 1 30 Hartford Financial Services Group Inc. 2 120 Jefferson-Pilot Corp. 1 35 Lincoln National Corp. 1 38 Loews Corp. 1 70 Marsh & McLennan Cos. Inc. 3 79 MBIA Inc. 1 42 MetLife Inc. 4 175 MGIC Investment Corp. - 26 Progressive Corp. 1 109 Prudential Financial Inc. 3 168 Safeco Corp. 1 27 St. Paul Travelers Cos. Inc. 4 138 Torchmark Corp. 1 26 UnumProvident Corp. (l) 1 22 XL Capital Ltd. - Class A 1 52 2,563 Internet - 0.0% Yahoo! Inc. (b) 1 18 Iron & Steel - 0.1% Nucor Corp. 1 41 United States Steel Corp. (l) - 14 55 Leisure Time - 1.0% Brunswick Corp. 7 308 Sabre Holdings Corp. 15 295 603 Lodging - 1.0% Hilton Hotels Corp. 9 203 Starwood Hotels & Resorts Worldwide Inc. 6 369 572 Machinery - 0.8% Caterpillar Inc. 3 245 Cummins Inc. - 22 Deere & Co. 1 95 Rockwell Automation Inc. 2 93 455 Manufacturing - 5.3% 3M Co. 4 303 Danaher Corp. (l) 3 145 Dover Corp. 2 87 Eaton Corp. 2 96 General Electric Corp. 47 1,644 Ingersoll-Rand Co. - Class A 3 217 Leggett & Platt Inc. 8 221 Parker Hannifin Corp. 5 329 Tyco International Ltd. 1 30 3,072 Media - 3.6% Clear Channel Communications Inc. - 10 Comcast Corp. - Class A (b) 21 642 Meredith Corp. (l) 6 304 Time Warner Inc. (b) 14 228 Viacom Inc. - Class B 17 556 Walt Disney Co. 15 367 2,107 Mining - 0.5% Alcoa Inc. 5 118 Freeport-McMoRan Copper & Gold Inc. (l) 1 30 Newmont Mining Corp. (l) 2 88 Phelps Dodge Corp. 1 46 282 Office & Business Equipment - 0.1% Pitney Bowes Inc. 1 52 Oil & Gas Producers - 7.8% Apache Corp. 2 111 Burlington Resources Inc. - 17 Chevron Corp. 11 631 ConocoPhillips 12 686 Exxon Mobil Corp. 30 1,719 Kerr-McGee Corp. 1 84 Nabors Industries Ltd. (b) 6 333 Rowan Cos. Inc. 11 321 Transocean Inc. (b) 7 399 Unocal Corp. 4 234 4,535 Oil & Gas Services - 0.2% Halliburton Co. 3 123 Packaging & Containers - 0.0% Ball Corp. 1 22 Pharmaceuticals - 5.1% Abbott Laboratories 2 109 Allergan Inc. 4 349 Cardinal Bergen Health Inc. 3 196 Eli Lilly & Co. 1 51 Express Scripts Inc. (b) 3 135 Forest Laboratories Inc. (b) 10 373 Gilead Sciences Inc. 2 97 Merck & Co. Inc. 12 357 Pfizer Inc. 29 800 Schering-Plough Corp. 10 189 Wyeth 7 311 2,967 Pipelines - 0.2% El Paso Corp. (l) 3 36 Williams Cos. Inc. 3 53 89 Real Estate - 0.5% Apartment Investment & Management Co. - 16 Archstone-Smith Trust 1 42 Equity Office Properties Trust 2 71 Equity Residential Properties Trust 2 55 Prologis 1 40 Simon Property Group Inc. 1 87 311 Retail - 4.9% Bed Bath & Beyond Inc. (b) 1 61 Circuit City Stores Inc. 5 78 Home Depot Inc. 19 729 Lowe's Cos. Inc. 7 425 Staples Inc. 10 208 Toys "R" Us Inc. (b) 1 29 Walgreen Co. 6 292 Wal-Mart Stores Inc. 22 1,059 2,881 Savings & Loans - 0.2% Golden West Financial Corp. 2 116 Semiconductors - 3.7% Intel Corp. 43 1,129 KLA-Tencor Corp. (b) (l) 8 333 LSI Logic Corp. (b) 31 267 PMC - Sierra Inc. (b) 13 123 Texas Instruments Inc. 10 283 2,135 Software - 4.6% Fiserv Inc. (b) 3 129 Mercury Interactive Corp. (b) (l) 7 276 Microsoft Corp. 60 1,490 Oracle Corp. (b) 27 351 Parametric Technology Corp. 34 215 Veritas Software Corp. (b) 10 237 2,698 Telecommunications - 3.1% AT&T Corp. 4 73 BellSouth Corp. 14 375 Citizens Communications Co. 2 22 Qwest Communications International Inc. (b) (l) 8 28 SBC Communications Inc. 18 438 Sprint Corp. 4 93 Verizon Communications 22 749 1,778 Telecommunications Equipment - 2.1% Ciena Corp. (b) 2 5 Cisco Systems Inc. (b) 18 351 Comverse Technology Inc. (b) 4 96 Corning Inc. (b) 26 435 Scientific-Atlanta Inc. 10 329 1,216 Textiles - 0.0% Cintas Corp. 1 27 Tobacco - 1.4% Altria Group Inc. 11 715 Reynolds American Inc. (l) 1 52 UST Inc. (l) 1 41 808 Transportation - 1.4% Burlington Northern Santa Fe Corp. 2 94 CSX Corp. 1 43 FedEx Corp. 2 126 Norfolk Southern Corp. 2 62 Union Pacific Corp. 1 83 United Parcel Service - Class B 6 385 793 Total Common Stocks (cost $54,184) 56,839 Short Term Investments - 6.4% Money Market Funds - 1.7% Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 1,040 1,040 Securities Lending Collateral - 4.2% Mellon GSL Delaware Business Trust Collateral Fund (n) 2,469 2,469 U.S. Treasury Bills - 0.3% US Treasury Bill, 2.947%, 09/08/05 (m) $200 199 Total Short Term Investments (cost $3,708) 3,708 Total Investments - 104.0% (cost $57,892) 60,547 Other Assets and Liabilities, Net - (4.0%) (2,301) Total Net Assets - 100% $58,246 JNL/Mellon Capital Management International Index Fund Percentage of Total Industry Sector Investments (o) Financial 26.0% Consumer, Non-cyclical 16.3% Communications 10.6% Industrial 10.5% Consumer, Cyclical 10.2% Energy 8.6% Basic Materials 5.7% Utilities 5.2% Money Market Investment 3.5% Technology 2.4% Diversified 0.8% Government 0.2% 100.0% Common Stocks - 95.3% Advertising - 0.1% Aegis Group Plc 24 $43 Asatsu-DK Inc. 1 19 Dentsu Inc. - 113 Hakuhodo Dy Holdings Inc. (b) 1 35 Pagesjaunes Groupe SA (b) 3 67 Publicis Groupe 3 96 Shohkoh Fund & Co. Ltd. (b) - 30 Telefonica Publicidad E Informacion SA 4 31 WPP Group Plc 27 280 714 Aerospace & Defense - 0.4% BAE Systems Plc 73 377 Cobham Plc 3 68 European Aeronautic Defense and Space Co. 6 182 Finmeccanica SpA 134 126 Meggitt Plc 9 47 Rolls-Royce Group Plc (b) 36 185 Rolls-Royce Group Plc - Class B 2,703 5 Safran SA 4 82 Thales SA 2 74 Zodiac SA 1 44 1,190 Airlines - 0.2% Air France 3 39 All Nippon Airways Co. Ltd. 11 33 British Airways Plc (b) 13 62 Cathay Pacific Airways Ltd. 22 40 Deutsche Lufthansa AG (b) 6 68 Iberia Lineas Aereas De Espana SA 10 29 Japan Airlines Corp. 14 38 Qantas Airways Ltd. 20 50 Ryanair Holdings Plc (b) 1 7 SAS AB (b) 2 20 Singapore Airlines Ord Si 12 80 466 Alternative Energy - 0.0% Gamesa Corp. Tecnologica SA 2 32 Apparel - 0.2% Adidas-Salomon AG 1 172 Benetton Group SpA 2 17 Billabong International Ltd. (b) 3 32 Gunze Ltd. 4 18 Hermes International - 39 Onward Kashiyama Co. Ltd. 3 38 Puma AG - 95 Tokyo Style Co. Ltd. 2 20 Wacoal Corp. 3 38 World Co. Ltd. 1 28 Yue Yuen Industrial Holdings 11 32 529 Auto Manufacturers - 2.8% DaimlerChrysler AG 20 805 Fiat SpA (b) 12 89 Hino Motors Ltd. 6 35 Honda Motor Co. Ltd. 18 890 Nissan Motor Co. Ltd. 52 517 Peugeot SA 4 225 Renault SA 4 372 Scana Corp. - Class B 2 76 Toyota Motor Corp. 66 2,372 Voestalpine AG 7 325 Volvo AB 7 305 6,011 Auto Parts & Equipment - 0.7% Aisin Seiki Co. Ltd. 4 93 Bridgestone Corp. 15 288 Compagnie Generale des Etablissements Michelin 3 203 Continental AG 3 218 Denso Corp. 12 277 GKN Plc 17 80 Koyo Seiko Co. Ltd. 3 40 NGK Spark Plug Co. Ltd. 4 46 NHK Spring Co. Ltd. (b) 4 34 NOK Corp. 2 64 Pirelli & Co. SpA 64 67 Sanden Corp. 3 13 Sumitomo Rubber Industries Ltd. 4 41 Toyoda Gosei Co. Ltd. 1 21 Valeo SA 2 72 1,557 Banks - 17.2% ABN AMRO Holding NV 40 989 Allied Irish Banks Plc 20 430 Alpha Bank AE (b) 6 172 Australia And New Zealand Banking Group Ltd. 42 694 Banca Antonveneta SpA (b) 5 175 Banca Intesa SpA 96 433 Banca Monte Dei Paschi Di Siena SpA 26 91 Banca Nazionale Del Lavoro SpA (b) 34 116 Banca Popolare di Milano Scrl 9 91 Banco Bilbao Vizcaya Argentaria SA 78 1,204 Banco BPI SA 7 28 Banco Comercial Portugues SA 48 124 Banco Espirito Santo SA 2 35 Banco Popolari Unite Scrl 8 157 Banco Popular Espanol SA (b) 20 237 Banco Populare Di Verona 9 148 Banco Santander Central Hispano SA 137 1,586 Bank Austria Creditanstalt AG 1 91 Bank of East Asia Ltd. 34 100 Bank of Fukuoka Ltd. 12 71 Bank of Ireland 22 358 Bank of Kyoto Ltd. (b) 6 51 Bank of Yokohama Ltd. 27 155 Barclays Plc 148 1,478 Bayerische Hypo-und Vereinsbank AG (b) 13 342 BNP Paribas SA 18 1,257 BOC Hong Kong Holdings Ltd. 87 164 Capitalia SpA 34 188 China Bank Ltd. 16 105 Commerzbank AG (b) 10 225 Commonwealth Bank of Australia 29 846 Credit Agricole SA 15 383 Credit Suisse Group (b) 28 1,101 Danske Bank A/S 10 301 DBS Group Holdings Ltd. 26 220 Depfa Bank Plc 8 129 Deutsche Bank AG 11 876 Dexia 13 297 DNB NOR ASA 16 162 EFG Eurobank Ergasias SA 4 132 Emporiki Bank of Greece SA 1 34 Erste Bank Der Oesterreichischen Sparkassen AG 3 150 Fineco SpA (b) 3 30 Fortis 27 748 Gunma Bank Ltd. 8 48 Hang Seng Bank Ltd. 18 241 HBOS Plc 90 1,392 Hokugin Financial Group Inc. 25 76 HSBC Holdings Plc 257 4,104 Hypo Real Estate Holding AG (b) 3 114 Joyo Bank Ltd. 17 83 KBC Groupe SA 4 331 Lloyds TSB Group Plc 129 1,091 Mitsubishi Tokyo Financial Group Inc. - 953 Mitsui Trust Holding Inc. 12 122 Mizuho Financial Group Inc. - 877 National Australia Bank Ltd. 36 838 National Bank of Greece SA 6 207 Nishi-Nippon City Bank Ltd. (b) 10 43 Nordea Bank AB 49 449 Oversea-Chinese Banking Corp. 29 198 Piraeus Bank SA 4 75 Resona Holdings Inc. (b) 105 194 Royal Bank of Scotland Group Plc 73 2,205 San Paolo-imi SpA 26 352 Seventy-seven Bank 7 43 Shinsei Bank Ltd. 23 124 Shizuoka Bank Ltd. 13 111 Skandinaviska Enskilda Banken (b) 11 183 Societe Generale - Class A 8 781 Sumitomo Mitsui Financial Group - 633 Sumitomo Trust & Banking Co. Ltd. 29 176 Suncor-Metway Ltd. 13 193 Suruga Bank Ltd. 5 41 Svenska Handelsbanken 12 245 UBS AG 25 1,919 UFJ Holdings Inc. (b) - 466 UniCredito Italiano SpA 102 537 United Overseas Bank Ltd. 26 218 Westpac Banking Corp. 41 626 Wing Hang Bank Ltd. (b) 4 27 37,020 Beverages - 1.3% Asahi Breweries Ltd. 9 105 Cargotec Corp. - Class B (b) 1 25 Carlesberg A/S 1 37 Coca-Cola Hellenic Bottling Co. SA 3 70 Coca-Cola Amatil Ltd. 12 75 Coca-Cola West Japan Co. Ltd. 1 20 Diageo Plc 69 1,020 Foster's Group Ltd. 47 189 Fraser & Neave Ltd. 4 34 Heineken NV 6 177 Interbrew Inc. 4 138 Ito En Ltd. 1 41 Kirin Brewery Co. Ltd. 18 174 Kone Oyj (b) 1 55 Lion Nathan Ltd. 6 36 Pernod-Ricard 1 184 Sabmiller Plc 20 316 Sapporo Holdings Ltd. 6 29 Scottish & Newcastle Plc 18 149 Takara Holdings Inc. 4 25 2,899 Biotechnology - 0.1% Novozymes A/S 1 56 Qiagen NV (b) 3 41 Zeltia SA 3 22 119 Building Materials - 1.6% Asahi Glass Co. Ltd. 23 241 Boral Ltd. 14 70 BPB Plc 12 109 Central Glass Co. 4 25 Cimpor-cimentos De Portugal 4 24 CRH Plc 12 323 CSR Ltd. 20 40 Daikin Industries Ltd. 5 135 Fletcher Building Ltd. 10 47 FLSmidth & Co. A/S (b) 1 16 Geberit AG - 56 Hanson Plc 17 165 HeidelbergCement AG 2 119 Holcim Ltd. 4 257 Imerys SA 1 47 Italcementi SpA 2 24 James Hardie Industries NV 10 56 JS Group Corp. 6 96 Kingspan Group Plc 2 29 Lafarge SA 4 356 Matsushita Electric Works Ltd. 8 67 Nippon Sheet Glass Co. Ltd. 10 39 Pilkington Plc 22 47 Rinker Group Ltd. 22 232 Rinnai Corp. 1 20 Saint-Gobain Compagnie 7 388 Sanwa Shutter Corp. 4 23 Sumitomo Osaka Cement Co. Ltd. 8 21 Taiheiyo Cement Corp. 20 53 Titan Cement Co. SA 1 38 Travis Perkins Plc (b) 3 82 Wienerberger AG 2 71 Yit-yhtyma Oyj (b) 1 46 3,362 Chemicals - 2.4% Air Liquide 3 432 Akzo Nobel NV 6 247 Asahi Kasei Corp. 29 137 BASF AG 12 829 Bayer AG 15 505 BOC Group Plc 12 208 Ciba Specialty Chemicals AG 2 91 Clariant AG (b) 5 72 Daicel Chemical Industries Ltd. 6 31 Dainippon Ink & Chemical 14 45 Denki Kagaku Kogyo K K 11 39 DSM NV 2 119 Givaudan - 95 Hitachi Chemical Co. Ltd. 2 40 Imperial Chemical Industries Plc 27 124 Ishihara Sangyo Kaisha Ltd. 6 13 Johnson Matthey Plc 5 99 JSR Corp. 4 88 Kaneka Corp. 7 78 Kansai Paint Co. Ltd. 5 32 Kingboard Chemical Holdings Ltd. 13 41 Lonza Group AG (b) 1 45 Mitsubishi Chemical Corp. 40 117 Mitsubishi Gas Chemical Co. 9 46 Mitsui Chemicals Inc. 14 82 Nippon Kayaku Co. Ltd. 4 24 Nippon Shokubai Co. Ltd. 3 24 Nissan Chemical Industries Ltd. 4 43 Nitto Denko Corp. 4 217 Shin-etsu Chemical Co. Ltd. 8 314 Showa Denko K K 24 57 Solvay SA 1 154 Sumitomo Bakelite Co. Ltd. 4 26 Sumitomo Chemical Co. Ltd. 34 156 Syngenta AG (b) 2 254 Taiyo Nippon Sanso Corp. 6 30 Tokuyama Corp. (b) 5 35 Tosoh Corp. 12 50 Ube Industries Ltd. 18 36 Yara International ASA (b) 5 72 Zeon Corp. 4 35 5,182 Commercial Services - 1.2% Abertis Infraestructuras SA 5 135 Adecco SA 3 133 Aggreko Plc 5 18 Autoroutes Du Sud De La France 2 93 Autostrade SpA 7 178 Benesse Corp. 1 45 Brambles Industries Ltd. 22 134 Brambles Industries Plc 17 93 Brisa-Auto Estradas de Portugal SA 8 60 Bunzl Plc (b) 8 74 Capita Group Plc 15 101 Cintra Concesiones De Infraestructuras De Transpor (b) 4 49 Dai Nippon Printing Co. Ltd. 15 241 Davis Service Group Plc 4 35 De La Rue Plc 4 29 Goodwill Group Inc. - 15 Group 4 Securicor Plc (b) 27 72 Hays Plc 40 93 Intertek Group Plc 3 42 Kamigumi Co. Ltd. 6 46 Nichii Gakkan Co. 1 12 Randstad Holding NV 1 34 Rank Group Plc 15 70 Rentokil Initial Plc (b) 41 119 Securitas AB - Class B 7 116 Serco Group Plc 10 46 SGS SA - 69 Societe Des Autoroutes Paris 1 46 TIS Inc. 1 27 Toppan Printing Co. Ltd. 13 137 Transurban Group 18 100 Vedior NV 4 50 2,512 Computers - 0.5% Atos Origin (b) 1 85 Cap Gemini SA (b) 3 93 Computershare Ltd. 8 37 Creative Technology Ltd. 2 13 CSK Corp. 1 55 Fujitsu Ltd. 41 214 Getronics NV (b) 3 31 Indra Sistemas SA 3 62 Itochu Techno-Science Corp. 1 24 LogicaCMG Plc 16 50 Logitech International SA (b) 2 59 Meitec Corp. 1 25 NET One Systems Co. Ltd. - 28 Obic Co. Ltd. - 34 Tdk Corp. 3 184 Tietoenator Oyj 2 54 Wincor Nixdorf AG (b) - 29 WM-Data AB 7 18 1,095 Cosmetics & Personal Care - 0.5% Aderans Co. Ltd. 1 17 Beiersdorf AG - 40 Kao Corp. 13 306 Kose Corp. (b) 1 24 L'Oreal SA 7 503 Oriflame Cosmetics SA (b) 1 23 Shiseido Co. Ltd. 8 101 Uni-charm Corp. 1 36 1,050 Distribution & Wholesale - 0.9% Buhrmann NV (b) 3 26 Canon Sales Co. Inc. (b) 2 34 Esprit Holdings Ltd. 22 156 Hagemeyer NV (b) 11 26 Inchcape Plc 2 68 Itochu Corp. 34 171 Li & Fung Ltd. 38 79 Marubeni Corp. 32 109 Mitsubishi Corp. 27 368 Mitsui & Co. Ltd. 33 311 Sojitz Holdings Corp. (b) 4 18 Sumitomo Corp. 23 184 Toyota Tsusho Corp. (b) 4 65 Wolseley Plc 13 283 1,898 Diversified Financial Services - 1.8% Acom Co. Ltd. 2 105 Aeon Credit Service Co. Ltd. 1 38 Aiful Corp. 1 110 Amvescap Plc 17 101 Australian Stock Exchange Ltd. 2 39 Babcock & Brown Ltd. (b) 3 36 Banca Fiduram SpA 6 30 Cattles Plc 7 39 Challenger Financial Services Group Ltd. (b) 9 22 Close Brothers Group Plc 3 43 Credit Saison Co. Ltd. 4 116 D Carnegie & Co. AB 1 11 Daiwa Securities Group Inc. 29 178 Deutsche Boerse AG 2 186 E*trade Securities Co. Ltd. (b) - 30 Euronext 2 78 Hellenic Exchanges SA (b) 1 8 Hitachi Capital Corp. 1 24 Hong Kong Exchanges And Clearing Ltd. 24 62 ICAP Plc 10 55 Irish Life & Permanent Plc 6 109 London Stock Exchange Plc 5 48 Macquarie Bank Ltd. 5 234 Man Group Plc 7 172 Marschollek Lautenschlaeger Und Partner 1 27 Matsui Securities Co. Ltd. (b) 3 27 Mediobanca SpA 11 204 Mitsubishi Securites Co. Ltd. (b) 4 35 Nikko Cordial Corp. 35 153 Nokian Renkaat Oyj (b) 2 39 Nomura Securities Co. Ltd. 41 488 OMX AB (b) 2 18 ORIX Corp. 2 284 Perpetual Trustees Australia Ltd. 1 36 Promise Co. Ltd. 2 125 Provident Financial Plc 6 79 Sampo-leonia Insurance (b) 9 139 Schroders Plc 3 36 SFE Corp. Ltd. (b) 3 25 Shinko Securities Co. Ltd. (b) 11 35 Singapore Exchange Ltd. 15 19 Takefuji Corp. 3 174 Tower Ltd. (b) 7 10 3,827 Electric - 3.9% Chubu Electric Power Co. Inc. 13 321 CLP Holdings Ltd. 42 240 Contact Energy Ltd. 6 33 E.on AG 14 1,277 Edison SpA (b) 18 39 Electrabel 1 276 Electric Power Development Co. Ltd. 3 95 Endesa SA 22 517 Enel SpA 84 734 Energias De Portugal SA 46 116 Fortum Oyj 8 127 Hokkaido Electric Power Co. Inc. 4 86 HongKong Electric Holdings 31 141 Iberdrola SA 19 493 International Power Plc (b) 34 124 Kansai Electric Power Co. 18 358 Kyushu Electric Power Co. Inc. 9 196 National Grid Transco Plc 71 689 Public Power Corp. 3 63 Rwe AG 11 670 Scottish & Southern Energy Plc 20 355 Scottish Power Plc 42 378 Terna SpA (b) 27 70 Tohoku Electric Power Co. Inc. 10 211 Tokyo Electric Power Co. 26 629 Union Fenosa SA 5 153 Verbund - Oesterreichische Elektrizitaetswirtschafts AG - 49 8,440 Electrical Components & Equipment - 0.9% Bekaert SA - 23 Casio Computer Co. Ltd. 5 64 Fujikura Ltd. 7 34 Furukawa Electric Co. Ltd. (b) 14 54 Hitachi Cable Ltd. 4 17 Hitachi Ltd. 74 448 Johnson Electric Holdings Ltd. 32 29 Mitsubishi Electric Corp. 44 232 Sanyo Electric Co. Ltd. 35 89 Sharp Corp. 22 343 Stanley Electric Co. Ltd. 3 52 Sumitomo Electric Industries Ltd. 17 173 Toshiba Corp. 67 266 Ushio Inc. 3 53 Vestas Wind Systems A/S (b) 4 61 1,938 Electronics - 1.4% Advantest Corp. 2 125 Alps Electric Co. Ltd. 4 61 Anritsu Corp. 3 18 Barco NV - 18 Dainippon Screen Mfg. Co. Ltd. 5 34 Electrocomponents Plc 9 40 Epcos AG (b) 1 13 Fanuc Ltd. 4 260 Hirose Electric Co. 1 77 Ibiden Co. Ltd. (b) 2 55 Keyence Corp. 1 161 Koninklijke Philips Electronics NV 30 766 Kyocera Corp. 4 282 Mabuchi Motor Co. Ltd. 1 35 Minebea Co. Ltd. 7 28 Mitsumi Electric Co. Ltd. 1 14 Murata Manufacturing Co. Ltd. 5 243 NEC Corp. 43 231 NGK Insulators Ltd. 6 58 Nippon Electric Glass Co. Ltd. 5 75 Omron Corp. 5 106 Premier Farnell Plc 8 22 Secom Co. Ltd. 5 193 Taiyo Yuden Co. Ltd. 3 33 Venture Corp. Ltd. 5 47 Yaskawa Electric Corp. (b) 4 24 Yokogawa Electric Corp. 5 61 3,080 Engineering & Construction - 1.3% ABB Ltd. (b) 46 300 Acciona SA 1 61 ACS Actividades Construccion Y Servicios SA 6 165 Amec Plc 7 42 Auckland International Airport Ltd. 21 35 BAA Plc 25 273 Balfour Beatty Plc 9 54 Bouygues SA 5 193 Cheung Kong Infrastructure Holdings Ltd. 10 30 Chiyoda Corp. (b) 3 37 COMSYS Holdings Corp. 3 28 Downer Edi Ltd. (b) 6 25 Flughafen Wien AG - 15 Fomento de Construcciones y Contratas SA 1 63 Grupo Ferrovial SA 1 96 Hellenic Technodomiki Tev SA 4 18 Hochtief AG (b) 1 48 JGC Corp. 5 61 Kajima Corp. 21 77 Kinden Corp. 3 22 Kobenhavns Lufthavne - 27 Leighton Holdings Ltd. 3 25 Linde AG 2 126 New World Development Co. Ltd. 48 58 Nishimatsu Construction Co. Ltd. 5 18 Obayashi Corp. 15 80 Okumura Corp. 4 23 Sacyr Vallermoso SA 2 54 Sanef (b) 1 28 SembCorp. Industries Ltd. 18 28 Shimizu Corp. 13 60 Singapore Technologies Engineering Ltd. 28 40 Skanska AB 9 110 Taisei Corp. 21 71 Takuma Co. Ltd. 2 14 Technical Olympic SA 2 14 Toda Corp. 4 17 Vinci SA (b) 3 280 2,716 Entertainment - 0.4% Aristocrat Leisure Ltd. 7 58 EMI Group Plc 19 85 Hilton Group Plc 37 189 Lottomatica SpA (b) 1 23 OPAP SA 4 107 Oriental Land Co. Ltd. 1 65 Paddy Power Plc (b) 1 17 Tabcorp. Holdings Ltd. 12 145 Toho Co. Ltd. 3 49 Unitab Ltd. (b) 3 30 William Hill Plc 9 89 857 Environmental Control - 0.0% Kurita Water Industries Ltd. 3 42 Tomra Systems ASA 4 16 Waste Management NZ Ltd. 2 11 69 Food - 4.3% Ahold Koninklijke NV (b) 36 294 Ajinomoto Co. Inc. 14 156 Ariake Japan Co. Ltd. - 10 Axfood AB 1 16 Cadbury Schweppes Plc 48 457 Carrefour SA 13 629 Casino Guichard Perrachon SA 1 59 Colruyt SA - 52 Compass Group Plc 50 211 Danisco A/S 1 77 Delhaize Group 2 97 East Asiatic Co. Ltd. A/S - 30 Ebro Puleva SA (b) 2 35 Fyffes Plc 7 20 Greencore Group Plc 3 14 Groupe Danone 6 488 House Foods Corp. 2 22 Iaws Group Plc (b) 2 34 Jeronimo Martins (b) 1 18 Katokichi Co. Ltd. 3 18 Kerry Group Plc 3 76 Kesko Oyj 2 40 Kikkoman Corp. 3 26 Meiji Dairies Corp. 5 28 Meiji Seika Kaisha Ltd. 8 39 Metro AG 3 169 Nestle SA 9 2,376 Nichirei Corp. 5 19 Nippon Meat Packers Inc. 4 46 Nisshin Seifun Group Inc. 4 41 Nissin Food Products Co. Ltd. 2 54 Olam International Ltd. (b) 16 8 Orkla ASA 4 157 Qp Corp. 2 19 Royal Numico NV (b) 3 134 Sainsbury Plc 31 157 Sodexho Alliance SA 2 71 Suedzucker AG 2 31 Tate & Lyle Plc 11 94 Tesco Plc 178 1,019 Toyo Suisan Kaisha Ltd. 2 31 Unilever NV 13 854 Unilever Plc 64 614 Want Holdings Ltd. (b) 9 11 Woolworths Ltd. 24 300 Yakult Honsha Co. Ltd. 2 43 Yamazaki Baking Co. Ltd. 3 26 9,220 Forest Products & Paper - 0.4% Billerud AB 2 20 Carter Holt Harvey Ltd. 14 22 Holmen AB 1 30 Mayr-Melnhof Karton AG - 19 Nippon Paper Group Inc. - 84 Norske Skogindustrier ASA 3 46 Oji Paper Co. Ltd. 18 94 Paperlinx Ltd. 10 22 Stora Enso Oyj - R Shares 15 186 Svenska Cellulosa AB 4 141 UPM-Kymmene Oyj 12 231 895 Gas - 0.6% Alinta Ltd. (b) 6 42 Australian Gas Light Co. Ltd. 10 114 Centrica Plc 85 354 Gas Natural Sdg SA 4 120 Hong Kong & China Gas 85 172 NGC Holdings Ltd. 3 9 Osaka Gas Co. Ltd. 46 145 Snam Rete Gas SpA 22 119 Tokyo Gas Co. Ltd. 51 191 1,266 Hand & Machine Tools - 0.5% Fuji Electric Holdings Co. Ltd. 13 39 KCI Konecranes Oyj - 17 Makita Corp. 3 59 Nidec Corp. 1 127 Sandvik AB 5 176 Schindler Holding - Part Cert - 46 Schneider Electric SA 5 395 SMC Corp. 1 130 Techtronic Industries Co. Ltd. 23 57 THK Co. Ltd. 3 51 1,097 Healthcare - 0.8% Capio AB (b) 2 23 Cie Generale d'Optique Essilor International SA 2 157 Cochlear Ltd. 1 35 Coloplast A/S 1 35 Dca Group Ltd. (b) 9 27 Elekta AB - Class B (b) 1 27 Fisher & Paykel Healthcare Corp. 10 22 Fresenius Medical Care AG 1 72 Gambro AB 6 85 Getinge AB 4 53 Hoya Corp. 3 287 Luxottica Group SpA 3 69 Nobel Biocare Holding AG 1 106 Parkway Holdings Ltd. 18 20 Phonak Holding AG 1 34 Smith & Nephew Plc 22 215 Sonic Healthcare Ltd. 5 50 Ssl International Plc 4 21 Strauman Holdings - 35 Synthes Inc. 1 115 Terumo Corp. 4 112 William Demant Holding (b) 1 31 1,631 Holding Companies - Diversified - 0.7% DCC Plc 2 34 Groupe Bruxelles Lambert SA 2 134 Haw Par Corp. Ltd. 3 10 Hutchison Whampoa Ltd. 49 441 Keppel Corp. Ltd. 12 89 LVMH Moet Hennessy Louis Vuitton SA 6 440 Patrick Corp. Ltd. 15 63 Swire Pacific Ltd. 22 190 Tomkins Plc 18 85 Viohalco 2 15 Wharf Holdings Ltd. 28 98 1,599 Home Builders - 0.3% Barratt Developments Plc 6 75 Bellway Plc 2 37 Berkeley Group Holdings Plc 2 38 Bovis Homes Group Plc (b) 3 35 Daiwa House Industry Co. Ltd. 12 137 Persimmon Plc 6 90 Sekisui Chemical Co. Ltd. 10 69 Sekisui House Ltd. 11 111 Taylor Woodrow Plc 14 82 Wimpey (George) Plc 9 74 748 Home Furnishings - 0.9% Bang & Olufsen A/S - 23 Electrolux AB 6 138 Fisher & Paykel Appliances Holdings Ltd. 7 17 Matsushita Electric Industrial Co. Ltd. 48 728 MFI Furniture Plc 13 26 Pioneer Corp. 3 50 Sony Corp. 21 732 Thomson Corp. 6 141 Yamaha Corp. 4 64 1,919 Household Products - 0.3% Henkel Kgaa 1 121 Pacific Brands Ltd. 11 19 Reckitt Benckiser Plc 14 420 Societe BIC SA 1 41 Toto Ltd. 7 55 Waterford Wedgewood Plc (b) 28 2 658 Insurance - 4.5% Aegon NV 32 420 Alleanza Assicurazioni SpA 11 116 Allianz AG 8 916 AMP Ltd. 43 212 Assicurazioni Generali 22 687 Aviva Plc 54 607 AXA Asia Pacific Holdings Ltd. 20 66 AXA SA 33 823 Britannic Group Plc (b) 5 41 CNP Assurances 1 48 Friends Provident Plc 42 138 ING Groep NV 43 1,219 Insurance Australia Group Ltd. 37 170 Legal & General Group Plc 149 307 Mapfre Corporacion SA 2 34 Mediolanum SpA 5 34 Millea Holdings Inc. - 470 Mitsui Sumitomo Insurance Co. Ltd. 29 260 Muenchener Rueckversicherungs AG 4 452 Pohjola Group Plc - Class D 1 19 Prudential Plc 55 486 Qbe Insurance Group Ltd. 17 211 Riunione Adriatica Di Sicurta SpA 7 131 Royal & Sun Alliance Insurance Group Plc 68 102 Scor (b) 16 32 Skandia Forsakrings AB 23 129 Sompo Japan Insurance Inc. 19 191 Storebrand 5 48 Swiss RE 7 458 T&D Holdings 5 246 Topdanmark A/S (b) - 30 Zurich Financial Services AG (b) 3 571 9,674 Internet - 0.3% Eaccess Ltd. (b) - 20 Index Corp. (b) - 27 Rakuten Inc. - 83 Sbi Holdings Inc. (b) - 38 Softbank Corp. (b) 6 218 Trend Micro Inc. 2 71 Yahoo Japan Corp. (b) - 184 641 Investment Companies - 0.1% Macquarie Airports 14 39 Macquarie Communications Infrastructure Group (b) 7 36 Macquarie Infrastructure Group 49 155 230 Iron & Steel - 0.8% Acerinox SA 4 61 Arcelor 12 227 BlueScope Steel Ltd. 17 103 Boehler-Uddeholm AG - 22 Corus Group Plc (b) 100 76 Daido Steel Co. Ltd. (b) 8 36 JFE Holdings Inc. 13 312 Kobe Steel Ltd. 61 114 Nippon Steel Corp. 141 326 Nisshin Steel Co. Ltd. 19 48 Onesteel Ltd. 12 24 Rautaruukki Oyj 2 27 Ssab Svenskt Stal AB 2 42 Sumitomo Metal Industries Ltd. 92 156 Thyssenkrupp AG 8 142 Tokyo Steel Manufacturing Co. Ltd. (b) 3 31 Voestalpine AG 1 38 1,785 Leisure Time - 0.3% Amer Sports Corp. 2 29 Carnival Plc 4 224 First Choice Holidays Plc (b) 10 35 Kuoni Reisen Holding - 24 Namco Ltd. 2 20 Sankyo Co. Ltd. Gunma 1 56 Sega Sammy Holdings Inc. 1 90 Shimano Inc. 2 51 TUI AG 4 89 Yamaha Motor Co. Ltd. 4 75 693 Lodging - 0.2% Accor SA 5 214 Hyatt Regency SA 1 10 InterContinental Hotels Group Plc (b) 10 130 NH Hoteles SA 2 23 Overseas Union Enterprise Ltd. 1 5 Shangri-la Asia Ltd. 28 43 Sky City Entertainment Group Ltd. 9 28 453 Machinery - 0.6% Alstom (b) 103 102 Amada Co. Ltd. 8 54 Andritz AG (b) - 20 Atlas Copco AB - Class A (b) 8 124 Atlas Copco AB - Class B (b) 5 65 Cookson Group Plc (b) 4 22 Ebara Corp. 7 27 Heidelberger Druckmaschinen (b) 1 35 Hitachi Construction Machinery Co. Ltd. 2 25 Komatsu Ltd. 21 162 Komori Corp. 2 30 Kubota Corp. 24 131 MAN AG 3 131 Metso Oyj 2 48 Noble Group Ltd. (b) 20 17 Reiter Holding AG - 25 Sig Holding AG (b) - 33 Sumitomo Heavy Industries Ltd. 13 62 Tele2 AB (b) 7 67 Toyota Industries Corp. 5 122 1,302 Manufacturing - 1.5% AGFA-Gevaert NV 2 65 Alfa Laval AB 2 34 Amano Corp. 2 24 Ansell Ltd. 3 23 BBA Group Plc 10 53 FKI Plc 12 22 Fuji Photo Film Co. Ltd. 11 369 Futuris Corp. Ltd. 11 16 Glory Ltd. (b) 1 21 IMI Plc 9 65 Invensys Plc (b) 122 23 Ishikawajima-harima Heavy Industries Co. Ltd. (b) 24 35 Kawasaki Heavy Industries Ltd. 26 50 Konica Minolta Holdings Inc. 11 98 Mitsubishi Heavy Industries Ltd. 69 180 Nikon Corp. 6 68 Nkt Holding A/S - 15 Olympus Corp. 5 96 Orica Ltd. 6 87 Rhi AG (b) - 11 Siemens AG 18 1,347 Smiths Group Plc 13 214 Sulzer AG - 33 Trelleborg AB 2 25 Uponor Oyj 1 25 Wartsila Oyj 1 38 Wesfarmers Ltd. 9 263 3,300 Media - 1.8% Antena 3 De Television SA (b) 2 33 APN News & Media Ltd. (b) 7 26 British Sky Broadcasting Plc 28 264 Daily Mail & General Trust 7 83 Emap Plc 6 84 Eniro AB 3 38 Fuji Television Network Inc. - 12 Grupo Promotora De Informaciones SA 2 32 Gruppo Editoriale L'Espresso SpA 4 20 Independent News & Media Plc 12 37 ITV Plc 7 16 John Fairfax Holdings Ltd. 22 73 Lagardere S.c.a. 3 209 Mediaset SpA 19 224 Modern Times Group AB (b) 1 34 Mondadori Amoldo Editore SpA 3 24 Pearson Plc 19 219 Premiere AG (b) 1 36 Prosieben Sat.1 Media AG 2 30 Publishing & Broadcasting Ltd. 3 32 Reed Elsevier NV 16 226 Reed Elsevier Plc 29 280 Reuters Group Plc 33 234 Schibsted ASA 1 28 Scmp Group Ltd. 20 9 Seat Pagine Gialle SpA (b) 87 36 Singapore Press Holdings 36 92 Sky Network Television (b) 5 21 Societe Television Francaise 1 3 75 Sogecable 1 36 Telecom Italia Media SpA (b) 31 15 Television Broadcasts Ltd. 6 34 Tokyo Broadcasting System Inc. 1 15 Trinity Mirror Plc 7 78 United Business Media Plc (b) 7 59 Vivendi Universal SA (b) 25 778 VNU NV 6 159 Wolters Kluwer NV 6 124 Yell Group Plc 16 122 3,947 Metal Fabrication & Hardware - 0.1% Assa Abloy AB 7 89 Hoganas AB 1 16 NSK Ltd. 11 56 NTN Corp. 9 48 SKF AB - Class B (b) 9 89 298 Mining - 2.0% Alumina Ltd. 27 112 Anglo American Plc 33 766 BHP Billiton - Broken Hill Propreitary Co. Ltd. 82 1,126 BHP Billiton Plc 57 724 Dowa Mining Co. Ltd. 6 40 Iluka Resources Ltd. 5 28 Mitsubishi Materials Corp. 23 54 Mitsui Mining & Smelting Co. Ltd. 14 65 Newcrest Mining Ltd. 8 102 Nippon Light Metal Co. 12 28 Outokumpu Oyj 3 33 Rio Tinto Ltd. 7 236 Rio Tinto Plc 25 752 Solomon Systech Ltd. (b) 43 15 Sumitomo Metal Mining Co. Ltd. 12 82 Umicore 1 42 4,205 Office & Business Equipment - 0.6% Canon Inc. 18 918 Neopost SA (b) 1 65 OCE NV 2 25 Ricoh Co. Ltd. 16 249 Seiko Epson Corp. 2 80 1,337 Office Furnishings - 0.0% Kokuyo Co. Ltd. 2 20 Oil & Gas Producers - 8.4% BG Group Plc 81 669 BP Plc 492 5,128 Caltex Australia Ltd. (b) 3 37 ENI SpA 60 1,544 Hellenic Petroleum SA (b) 2 25 INPEX Corp. - 56 Lundin Petroleum AB (b) 4 30 Nippon Mining Holdings Inc. 18 102 Nippon Oil Corp. 29 196 Norsk Hydro ASA 3 303 OMV AG - 166 Origin Energy Ltd. 18 105 Repsol Ypf SA 21 539 Royal Dutch Petroleum Co. - NYS 48 3,114 Santos Ltd. 14 116 Shell Transport & Trading Co. 221 2,150 Showa Shell Sekiyu Kk 4 40 Singapore Petroleum Co. Ltd. (b) 3 9 Statoil ASA 15 306 Teikoku Oil Co. Ltd. 4 30 TonenGeneral Sekiyu KK 7 76 Total SA 13 3,092 Woodside Petroleum Ltd. 11 241 18,074 Oil & Gas Services - 0.2% IHC Caland NV 1 55 Neste Oil (b) 3 75 Petroleum Geo-Services ASA (b) 2 36 Prosafe ASA (b) 1 23 Smedvig A/S 1 16 Stolt Offshore (b) 4 37 Technip-coflexip SA 2 91 333 Packaging & Containers - 0.1% Amcor Ltd. 20 103 Rexam Plc 13 109 Toyo Seikan Kaisha Ltd. 4 58 270 Pharmaceuticals - 7.1% Alfresa Holdings Corp. 1 22 Alliance Unichem Plc 6 89 Altana AG 2 93 Astellas Pharma Inc. 12 421 Astrazeneca Plc 38 1,555 Celesio AG 1 68 Chugai Pharmaceutical Co. Ltd. 6 98 CSL Ltd. 5 117 Daiichi Pharmaceutical Co. Ltd. 6 124 Eisai Co. Ltd. 6 194 Elan Corp. Plc (b) 9 64 GlaxoSmithKline Plc 135 3,265 H Lundbeck A/S (b) 2 38 Kaken Pharmaceutical Co. Ltd. 2 14 Kyowa Hakko Kogyo Co. Ltd. 8 52 Mayne Group Ltd. 14 49 MEDICEO Holdings Co. Ltd. 3 40 Merck KGaA 1 94 Novartis AG 54 2,587 Novo-Nordisk A/S 6 282 Omega Pharma SA - 23 Orion Oyj 2 37 Roche Holding AG 16 2,045 Sankyo Co. Ltd. 9 172 Sanofi-synthelabo SA 24 2,001 Santen Pharmaceutical Co. Ltd. (b) 2 39 Schering AG 4 235 Serono SA - Class B - 94 Shionogi & Co. Ltd. 7 90 Suzuken Co. Ltd. 1 34 Taisho Pharmaceutical Co. Ltd. 4 78 Takeda Pharmaceutical Co. 20 1,010 Tanabe Seiyaku Co. Ltd. (b) 5 48 UCB SA 2 99 15,271 Real Estate - 2.3% Allgreen Properties Ltd. 11 8 Ascendas Real Estate Investment Trust 19 25 British Land Co. Plc 12 189 Brixton Plc (b) 6 38 CapitaLand Ltd. 22 31 Capitamall Trust 14 20 Castellum AB 1 37 Centro Properties Group 18 82 CFS Gandel Retail Trust 32 40 Cheung Kong Holdings Ltd. 35 339 City Developments Ltd. 12 53 Cofinimmo - 17 Commonwealth Property Office Fund 29 27 Corio NV 1 52 Daito Trust Construction Co. Ltd. 2 75 DB Rreef Trust 60 62 Fabege AB (b) 2 39 Gecina SA - 19 General Property Trust 46 128 Great Portland Estates Plc 4 24 Hammerson Plc 6 102 Hang Lung Properties Ltd. 45 66 Henderson Land Development Co. Ltd. 16 76 Hopewell Holdings 13 33 Hysan Development Co. Ltd. 13 27 IMMOFINANZ Immobilien Anlagen AG (b) 8 71 ING Industrial Fund 15 23 Inmobiliaria Colonial (b) 1 38 Investa Property Group 36 54 Ivg Immobilien AG (b) 2 30 Japan Prime Realty Investment Corp. (b) - 30 Japan Real Estate Investment Corp. - 60 Japan Retail Fund Investment Corp. - 43 Keppel Land Ltd. 9 13 Kerry Properties Ltd. 10 22 Kiwi Income Property Trust (b) 16 12 Klepierre - 48 Land Securities Group Plc 11 267 Lend Lease Corp. Ltd. 9 84 Leopalace21 Corp. 3 43 Liberty International Plc 6 97 Macquarie Goodman Group (b) 27 85 Meinl European Land Ltd. (b) 2 31 Metrovacesa SA 1 56 Mirvac Group 21 57 Mitsubishi Estate Co. Ltd. 25 274 Mitsui Fudosan Co. Ltd. 18 201 Multiplex Group (b) 14 32 Nippon Building Fund Inc. - 63 Nomura Real Estate Office Fund Inc. (b) - 30 NTT Urban Development Corp. (b) - 20 PSP Swiss Property AG (b) 1 38 Rodamco Europe NV 1 87 Singapore Land Ltd. 3 10 Sino Land Co. 34 36 Slough Estates Plc 10 92 Stockland 29 121 Sumitomo Realty & Development 9 100 Sun Hung Kai Properties Ltd. 30 295 Suntec 18 13 Tokyo Tatemono Co. Ltd. (b) 5 33 Tokyu Land Corp. 9 42 Unibail Co. 1 133 United Overseas Land Ltd. 15 20 Wereldhave NV - 47 Westfield Group 33 448 Wihlborgs Fastigheter AB (b) - 9 Wing Tai Holdings Ltd. 14 8 4,925 Retail - 2.5% Aeon Co. Ltd. 15 225 Aoyama Trading Co. Ltd. 1 30 Autobacs Seven Co. Ltd. 1 27 Autogrill SpA (b) 2 32 Boots Group Plc 17 180 Bulgari SpA 4 40 Circle K Sunkus Co. Ltd. 1 20 Citizen Watch Co. Ltd. 7 60 Coles Myer Ltd. 27 192 Cycle & Carriage Ltd. (b) 3 23 Daimaru Inc. 5 44 D'ieteren SA - 16 Dixons Group Plc 44 124 Douglas Holding AG 1 26 Enterprise Inns Plc 8 120 Familymart 1 40 Fast Retailing Co. Ltd. 1 62 Folli - Follie SA - 9 Germanos SA 1 26 Giordano International Ltd. 30 21 Grafton Group Plc (b) 5 62 Gus Plc 23 366 Hankyu Department Stores 3 19 Harvey Norman Holdings Ltd. 11 21 Hellenic Duty Free Shops SA 1 9 Hesses & Mauritz AB - Class B 11 386 HMV Group Plc 10 43 Industria De Diseno Textil SA 5 125 Isetan Co. Ltd. 4 53 Ito-Yokado Co. Ltd. 8 254 KarstadtQuelle AG 2 25 Kesa Electrical Plc 11 57 Kingfisher Plc 54 238 Lawson Inc. 1 49 Marks & Spencer Group Plc 38 246 Marui Co. Ltd. 7 98 Matsumotokiyoshi Co. Ltd. 1 22 Mitchells & Butlers Plc 11 67 Mitsukoshi Ltd. 10 45 Next Plc 6 158 Nitori Co. Ltd. 1 36 Pinault-printemps-redoute SA 2 163 Punch Taverns Plc 6 79 Richemont-uts A Cie Finance 12 392 Ryohin Keikaku Co. Ltd. 1 25 Seven-Eleven Japan Co. Ltd. 9 238 Shimachu Co. Ltd. 1 25 Shimamura Co. Ltd. 1 42 Signet Group Plc 41 80 Skylark Co. Ltd. 2 30 Sonae Sgps SA 19 27 Swatch Group AG 2 147 Takashimaya Co. Ltd. 6 54 UNY Co. Ltd. 4 45 USS Co. Ltd. 1 32 Valora Holding AG - 17 Warehouse Group Ltd. 6 16 Whitbread Plc (b) 6 101 Yamada Denki Co. Ltd. 2 98 5,307 Semiconductors - 0.6% ARM Holdings Plc 33 67 ASM Pacific Technology 4 16 ASML Holding NV (b) 11 178 Chartered Semiconductor Manufacturing Ltd. (b) 21 16 Elpida Memory Inc. (b) 1 26 Infineon Technologies AG (b) 14 134 Micronas Semiconductor Holdings (b) 1 26 NEC Electronics Corp. 1 36 Rohm Co. Ltd. 3 240 Sanken Electric Co. Ltd. 3 39 St. Assembly Test Services Ltd. (b) 26 19 Stmicroelectronics NV 14 230 Tokyo Electron Ltd. 4 195 Unaxis Holding AG - 33 1,255 Shipbuilding - 0.0% Mitsui Engineering & Shipbuilding 18 35 Sembcorp. Marine Ltd. 11 17 52 Software - 0.6% Business Objects SA (b) 1 38 Dassault Systemes SA 1 67 Fuji Soft ABC Inc. 1 29 Hitachi Software Engineering Co. Ltd. 1 17 Isoft Group Plc (b) 5 37 Konami Corp. 2 40 Misys Plc 11 48 Nomura Research Institute Ltd. 1 50 Oracle Corp. Japan 1 26 Sage Group Plc 29 118 SAP AG 5 884 Telelogic AB (b) 5 10 1,364 Storage/Warehousing - 0.0% Mitsubishi Logistics Corp. 3 31 Telecommunications - 4.3% Belgacom SA (b) 4 124 BT Group Plc 196 808 Cable & Wireless Plc 54 144 Deutsche Telekom AG (b) 63 1,162 Eircom Group Plc 14 30 Elisa Corp. 3 47 France Telecom SA 34 996 Hellenic Telecommunications Organization SA 6 110 KDDI Corp. - 259 Nippon Telegraph & Telephone Corp. - 514 PCCW Ltd. 79 49 Portugal Telecom SGPS SA 18 168 Pt Multimedia Servicos (b) 2 21 Royal KPN NV 48 406 Singapore Telecommunications Ltd. 153 250 Swisscom AG 1 183 Tandberg Television ASA (b) 1 17 Telcom Corp. Ltd. 45 190 Tele Danmark A/S (b) 4 189 Telecom Italia Rnc 132 343 Telecom Italia SpA 245 765 Telefonica SA 107 1,748 Telekom Austria AG 8 160 Telenor ASA 18 148 TeliaSonera AB 45 215 Telstra Corp. Ltd. 49 190 Tiscali SpA (b) 5 13 9,249 Telecommunications Equipment - 0.3% Alcatel SA (b) 29 316 Datacraft Asia Ltd. (b) 5 6 GN Store Nord 5 56 Intracom SA 3 14 Kudelski SA (b) 1 34 Marconi Corp. Plc (b) 4 24 NTT Data Corp. - 99 Oki Electric Industry Co. Ltd. 11 39 Tandberg ASA 3 31 619 Textiles - 0.2% Kuraray Co. Ltd. 8 76 Mitsubishi Rayon Co. Ltd. 12 50 Nisshinbo Industries 4 33 Teijin Ltd. 19 88 Texwinca Holdings Ltd. 16 13 Toray Industries Inc. 30 142 Toyobo Co. Ltd. 16 37 439 Tobacco - 0.9% Altadis SA 6 260 British American Tobacco Plc 37 712 Gallaher Group Plc (b) 15 224 Imperial Tobacco Group Plc 17 454 Japan Tobacco Inc. - 306 Swedish Match AB 7 85 2,041 Toys & Hobbies - 0.1% Bandai Co. Ltd. 2 40 Nintendo Co. Ltd. 2 240 280 Transportation - 1.6% Amadeus Global Travel Distribution SA 8 68 AP Moller - Maersk A/S - 267 Arriva Plc 4 41 Associated British Ports Holdings Plc 7 59 Central Japan Railway Co. - 170 ComfortDelgro Corp. Ltd. 37 37 Compagnie Maritime Belge SA 1 20 Cosco Corp. Singapore Ltd. (b) 9 10 Dampskibsselskbet Torm A/S (b) - 18 Deutsche Post AG 11 269 Dsv De Sammenslut Vogn A/S - 41 East Japan Railway Co. - 400 Euronav NV - 13 Exel Plc 7 105 Firstgroup Plc 9 50 Frontline Ltd. 1 48 Kawasaki Kisen Kaisha Ltd. 11 65 Keihin Electric Express Railway Co. Ltd. 10 61 Keio Corp. 12 65 Keisei Electric Railway Co. Ltd. (b) 6 30 Kintetsu Corp. 36 110 Mitsui O.S.K. Lines Ltd. 25 153 MTR Corp. 33 64 National Express Group Plc 3 48 Neptune Orient Lines Ltd. 11 25 Nippon Express Co. Ltd. 19 82 Nippon Yusen Kabushiki Kaisha 24 137 Odakyu Electric Railway Co. 14 74 Orient Overseas International Ltd. 5 21 Peninsular & Oriental Steam 17 99 Seino Transportation Co. Ltd. 3 27 Sembcorp. Logistics Ltd. (b) 9 9 Singapore Post Ltd. 42 25 Smrt Corp. Ltd. 14 10 Stagecoach Group Plc 21 44 Stolt-nielsen SA (b) 1 29 TNT NV 9 225 Tobu Railway Co. Ltd. 17 62 Tokyu Corp. 21 94 Toll Holdings Ltd. 5 52 West Japan Railway Co. - 130 Yamato Transport Co. Ltd. 9 125 3,482 Venture Capital - 0.1% 3i Group Plc 14 174 Jafco Co. Ltd. (b) 1 42 216 Water - 0.6% Kelda Group Plc 9 109 Severn Trent Water Plc 8 149 Sociedad General de Aguas de Barcelona SA 1 27 Suez SA 19 510 United Utilities Plc 13 155 United Utilities Plc - A Shares 15 89 Veolia Environnement 7 262 1,301 Wireless Telecommunications - 3.4% Cosmote Mobile Communication 3 55 Hikari Tsushin Inc. (b) 1 36 Hutchison Telecommunications International Ltd. (b) 57 56 Mobistar SA (b) 1 51 Nokia Oyj 107 1,798 NTT DoCoMo Inc. - 612 Smartone Telecommunications 7 8 Telefonaktiebolaget LM Ericsson 340 1,094 Uniden Corp. 2 31 Vodafone Group Plc 1,491 3,635 7,376 Total Common Stocks (cost $193,231) 205,365 Preferred Stocks - 0.1% Auto Manufacturers - 0.1% Porsche AG - 132 Healthcare - 0.0% Fresenius Medical Care AG 1 39 Total Preferred Stocks (cost $145) 171 Rights - 0.0% Metrovacesa SA, No Strike Price, Expiring 07/05/05 1 5 Sacyr Vallermoso, No Strike Price, Expiring 07/12/05 2 2 Waterford Wedgwood Plc, Strike Price 0.06 EUR, Expiring 07/18/05 18 - Total Rights (cost $0) 7 Warrants - 0.0% Chemicals - 0.0% Kingboard Chemical Holdings Ltd., Strike Price 20.00 HKD, Expiring 12/31/06 1 1 Total Warrants (cost $0) 1 Short Term Investments - 16.5% Money Market Funds - 3.5% Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 7,583 7,583 Securities Lending Collateral - 12.8% Mellon GSL Delaware Business Trust Collateral Fund (n) 27,580 27,580 U.S. Treasury Bills - 0.2% US Treasury Bill, 2.947%, 09/08/05 (m) $435 433 Total Short Term Investments (cost $35,596) 35,596 Total Investments - 111.9% (cost $228,972) 241,140 Other Assets and Liabilities, Net - (11.9%) (25,698) Total Net Assets - 100% $215,442 JNL/Mellon Capital Management S&P 400 MidCap Index Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 19.4% Consumer, Cyclical 17.1% Financial 16.3% Industrial 11.2% Energy 9.2% Technology 9.0% Utilities 6.3% Communications 5.1% Basic Materials 3.5% Money Market Investment 2.5% Diversified 0.3% Government 0.1% 100.0% Common Stocks - 97.2% Advertising - 0.2% Catalina Marketing Corp. 11 $270 Harte-Hanks Inc. 15 451 721 Aerospace & Defense - 0.5% Alliant Techsystems Inc. (b) 8 568 Sequa Corp. - Class A (b) 2 122 Titan Corp. (b) 18 413 1,103 Airlines - 0.3% Airtran Holdings Inc. (b) 18 163 Alaska Air Group Inc. (b) (l) 5 158 JetBlue Airways Corp. (b) (l) 21 425 746 Apparel - 0.2% Timberland Co. - Class A (b) 13 510 Auto Parts & Equipment - 0.8% ArvinMeritor Inc. 15 265 Bandag Inc. 3 151 Borg Warner Inc. 12 642 Lear Corp. 14 518 Modine Manufacturing Co. 7 223 1,799 Banks - 4.4% Associated Bancorp. 27 925 Bank of Hawaii Corp. 11 575 City National Corp. 10 685 Colonial Bancgroup Inc. 33 725 Commerce Bancorp. Inc. (l) 34 1,043 Cullen/Frost Bankers Inc. 10 491 FirstMerit Corp. 18 466 Greater Bay Bancorp. 11 291 Hibernia Corp. - Class A 33 1,093 Investors Financial Services Corp. (l) 14 533 Mercantile Bankshares Corp. 17 865 SVB Financial Group (b) (l) 8 366 TCF Financial Corp. 27 697 Texas Regional Bancshares Inc. 9 262 Webster Financial Corp. 11 531 Westamerica Bancorp. 7 379 Wilmington Trust Corp. 14 513 10,440 Beverages - 0.8% Constellation Brands Inc. - Class A (b) 44 1,287 PepsiAmericas Inc. 22 577 1,864 Biotechnology - 1.4% Charles River Laboratories International Inc. (b) 14 676 Invitrogen Corp. (b) 11 912 Martek Biosciences Corp. (b) (l) 7 255 Millennium Pharmaceuticals Inc. (b) 65 603 Protein Design Labs Inc. (b) (l) 22 453 Vertex Pharmaceuticals Inc. (b) 20 333 3,232 Building Materials - 0.4% Martin Marietta Materials Inc. 10 693 York International Corp. 9 337 1,030 Chemicals - 2.6% Airgas Inc. 15 372 Albemarle Corp. 10 358 Cabot Corp. 13 441 Cabot Microelectronics Corp. (b) 5 149 Crompton Corp. 25 348 Cytec Industries Inc. 9 369 Ferro Corp. 9 176 FMC Corp. (b) 8 441 Lubrizol Corp. 14 599 Lyondell Chemical Co. 46 1,217 Minerals Technologies Inc. 4 268 Olin Corp. (l) 15 279 RPM International Inc. 25 454 Sensient Technologies Corp. (l) 10 200 Valspar Corp. 11 526 6,197 Commercial Services - 3.5% Adesa Inc. 19 424 Alliance Data Systems Corp. (b) (l) 14 569 Banta Corp. 5 234 Career Education Corp. (b) 22 797 Choicepoint Inc. 19 755 Corinthian Colleges Inc. (b) (l) 20 249 Deluxe Corp. 11 434 Devry Inc. 14 273 Education Management Corp. (b) 14 486 Gartner Inc. - Class A (b) (l) 18 190 ITT Educational Services Inc. (b) 10 520 Kelly Services Inc. - Class A 6 164 Korn/Ferry International (b) 8 136 Laureate Education Inc. (b) 11 503 Manpower Inc. 19 759 MPS Group Inc. (b) 21 199 Quanta Services Inc. (b) 21 182 Rent-A-Center Inc. (b) 15 352 Rollins Inc. 10 208 Sotheby's Holdings Inc. - Class A (b) 10 144 United Rentals Inc. 15 311 Valassis Communications Inc. (b) 11 404 8,293 Computers - 4.0% Anteon International Corp. (b) 8 360 Bisys Group Inc. (b) 26 382 Cadence Design Systems Inc. (b) (l) 57 783 Ceridian Corp. (b) 32 617 Cognizant Tech Solutions Corp. (b) 29 1,355 Diebold Inc. 15 686 DST Systems Inc. (b) 16 751 Imation Corp. 7 286 Jack Henry & Associates Inc. 17 315 McData Corp. - Class A (b) (l) 33 133 Mentor Graphics Corp. (b) 16 162 National Instruments Corp. (l) 14 303 Reynolds & Reynolds - Class A 12 333 Sandisk Corp. (b) 38 910 Storage Technology Corp. (b) 23 819 Synopsys Inc. 31 513 Western Digital Corp. (b) (l) 45 608 9,316 Distribution & Wholesale - 1.0% CDW Corp. (l) 16 897 Fastenal Co. (l) 15 888 Tech Data Corp. 12 452 2,237 Diversified Financial Services - 2.7% AG Edwards Inc. 16 730 AmeriCredit Corp. (b) (l) 32 823 Eaton Vance Corp. 28 676 IndyMac Bancorp. Inc. 13 535 Jefferies Group Inc. 11 413 Labranche & Co. Inc. (b) (l) 11 71 Legg Mason Inc. (l) 23 2,432 Raymond James Financial Inc. 14 398 Waddell & Reed Financial Inc. - Class A 18 329 6,407 Electric - 5.1% Alliant Energy Corp. 25 694 Aquila Inc. (b) 50 180 Black Hills Corp. 7 258 DPL Inc. 27 735 Duquesne Light Holdings Inc. (l) 17 309 Energy East Corp. 31 902 Great Plains Energy Inc. (l) 16 503 Hawaiian Electric Industrials 17 458 Idacorp. Inc. 9 273 MDU Resources Group Inc. 25 707 Northeast Utilities 27 569 NSTAR 23 696 OGE Energy Corp. 19 553 Pepco Holdings Inc. 40 955 PNM Resources Inc. 15 422 Puget Energy Inc. 21 495 Scana Corp. (l) 24 1,021 Sierra Pacific Resources (b) (l) 25 315 Westar Energy Inc. 18 438 Wisconsin Energy Corp. 25 968 WPS Resources Corp. 8 454 11,905 Electrical Components & Equipment - 0.9% Ametek Inc. 15 615 Energizer Holdings Inc. (b) 15 930 Hubbell Inc. - Class B 13 573 2,118 Electronics - 1.7% Amphenol Corp. - Class A 19 756 Arrow Electronics Inc. (b) 25 668 Avnet Inc. (b) 26 576 Gentex Corp. 33 602 Kemet Corp. (b) 18 113 Plexus Corp. (b) 10 136 Thomas & Betts Corp. (b) 13 356 Varian Inc. (b) 8 288 Vishay Intertechnology Inc. (b) 39 463 3,955 Engineering & Construction - 0.5% Dycom Industries Inc. (b) 10 199 Granite Construction Inc. 8 222 Jacobs Engineering Group Inc. (b) 12 680 1,101 Entertainment - 0.6% GTECH Holdings Corp. 25 719 International Speedway Corp. - Class A 9 528 Macrovision Corp. (b) 11 237 1,484 Environmental Control - 0.6% Republic Services Inc. - Class A 27 987 Stericycle Inc. (b) 10 481 1,468 Food - 2.7% Dean Foods Co. (b) 32 1,115 Hormel Foods Corp. 22 652 J.M. Smucker Co. 12 582 Ruddick Corp. 9 242 Smithfield Foods Inc. (b) 21 580 Tootsie Roll Industries Inc. 9 268 Tyson Foods Inc. 64 1,147 Whole Foods Market Inc. 14 1,641 6,227 Forest Products & Paper - 0.7% Bowater Inc. 12 382 Glatfelter 8 96 Longview Fibre Co. 11 227 Potlatch Corp. 6 326 Rayonier Inc. (l) 11 566 1,597 Gas - 0.9% AGL Resources Inc. 16 632 Oneok Inc. (l) 22 722 Vectron Inc. 16 462 WGL Holdings Inc. 10 353 2,169 Hand & Machine Tools - 0.2% Kennametal Inc. 8 365 Healthcare - 7.6% Advanced Medical Optics Inc. (b) 14 550 Apria Healthcare Group Inc. 10 360 Beckman Coulter Inc. 13 835 Community Health Systems Inc. (b) 14 534 Covance Inc. 13 599 Coventry Health Care Inc. (b) (l) 23 1,595 Cytyc Corp. (b) 24 530 Dentsply International Inc. 16 870 Edwards Lifesciences Corp. (b) 13 543 Gen-Probe Inc. (b) 11 384 Health Net Inc. (b) 24 899 Henry Schein Inc. 18 762 Hillenbrand Industries Inc. 12 630 Inamed Corp. (b) 8 506 LifePoint Hospitals Inc. (b) 10 530 Lincare Holdings Inc. (b) 21 868 Pacificare Health Systems Inc. (b) (l) 18 1,314 Patterson Cos. Inc. (b) (l) 29 1,313 Renal Care Group Inc. (b) 14 662 Steris Corp. (b) 15 384 Techne Corp. (b) 8 375 Triad Hospitals Inc. 17 938 Universal Health Services Inc. 12 770 Varian Medical Systems Inc. (b) 28 1,057 17,808 Holding Companies - Diversified - 0.5% Leucadia National Inc. (l) 20 777 Telephone & Data Special Systems (b) 11 428 1,205 Home Builders - 3.1% DR Horton Inc. 62 2,337 Hovnanian Enterprises - Class A (b) 10 666 Lennar Corp. 31 1,939 Ryland Group Inc. 10 763 Thor Industries 10 305 Toll Brothers Inc. (b) 13 1,332 7,342 Home Furnishings - 0.6% Furniture Brands International Inc. (l) 11 243 Harman International Industries Inc. 14 1,112 1,355 Household Products - 0.8% American Greetings Corp. (l) 15 387 Blyth Inc. 8 214 Church & Dwight Co. Inc. 13 488 Scotts Miracle-Gro Co. (b) 6 415 Tupperware Corp. 12 285 1,789 Insurance - 5.0% Allmerica Financial Corp. (b) 11 423 American Financial Group Inc. 12 414 AmerUs Group Co. (l) 8 402 Arthur J. Gallagher & Co. 20 530 Brown & Brown Inc. (l) 13 592 Everest Re Group Ltd. 12 1,111 Fidelity National Financial Inc. 37 1,321 First American Corp. 18 732 HCC Insurance Holdings Inc. 14 544 Horace Mann Educators Corp. 9 176 Ohio Casualty Corp. 13 314 Old Republic International Corp. 39 978 PMI Group Inc. 20 779 Protective Life Corp. 15 622 Radian Group Inc. 19 888 Stancorp. Financial Group 6 459 Unitrin Inc. 12 601 WR Berkley Corp. 25 899 11,785 Internet - 1.2% Avocent Corp. (b) 11 281 Checkfree Corp. (b) (l) 18 607 F5 Networks Inc. (b) 8 368 Macromedia Inc. (b) 16 596 McAfee Inc. (b) 34 888 RSA Security Inc. (b) 14 165 2,905 Iron & Steel - 0.1% Steel Dynamics Inc. 9 242 Leisure Time - 0.1% Callaway Golf Co. (l) 15 238 Lodging - 0.3% Boyd Gaming Corp. 14 716 Machinery - 1.0% AGCO Corp. (b) 19 371 Flowserve Inc. 12 353 Graco Inc. 15 500 Nordson Corp. 7 239 Tecumseh Products Co. Inc. 4 106 Zebra Technologies Corp. (b) 15 667 2,236 Manufacturing - 2.1% Brink's Co. 12 432 Carlisle Cos. Inc. 7 449 Crane Co. 12 313 Donaldson Co. Inc. 16 495 Federal Signal Corp. 10 163 Harsco Corp. 9 478 Lancaster Colony Corp. (l) 7 282 Pentair Inc. 21 917 SPX Corp. 16 730 Teleflex Inc. 8 486 Trinity Industries Inc. (l) 9 288 5,033 Media - 1.7% A H Belo Corp. 23 545 Emmis Communications - Class A (b) (l) 7 124 Entercom Communications Corp. (b) 9 312 Lee Enterprises Inc. (l) 10 386 Media General Inc. 5 324 Reader's Digest Association - Class A 21 352 Scholastic Corp. (b) 8 303 Washington Post Co. 2 1,263 Westwood One Inc. (b) 19 388 3,997 Metal Fabrication & Hardware - 0.6% Precision Castparts Corp. 14 1,091 Worthington Industries 17 272 1,363 Mining - 0.9% Arch Coal Inc. (l) 13 727 Peabody Energy Corp. 25 1,299 Treehouse Foods Inc. (b) - - 2,026 Office Furnishings - 0.4% Herman Miller Inc. 15 456 HNI Corp. 11 564 1,020 Oil & Gas Producers - 4.6% Ensco International Inc. 32 1,148 Forest Oil Corp. (b) 12 489 Helmerich & Payne Inc. 11 506 Murphy Oil Corp. 37 1,933 Newfield Exploration Co. (b) 27 1,067 Noble Energy Inc. 18 1,393 Patterson-UTI Energy Inc. 36 996 Pioneer Natural Resources Co. 31 1,292 Plains Exploration & Production Co. (b) 16 582 Pogo Producing Co. 13 699 Pride International Inc. (b) 31 800 10,905 Oil & Gas Services - 2.4% Cooper Cameron Corp. (b) (l) 11 713 FMC Technologies Inc. (b) 14 463 Grant Prideco Inc. (b) 26 693 Hanover Compressor Co. (b) (l) 16 186 Smith International Inc. 23 1,434 Tidewater Inc. (l) 13 489 Weatherford International Ltd. (b) 29 1,699 5,677 Packaging & Containers - 0.4% Packaging Corp. of America 18 379 Sonoco Products Co. 21 556 935 Pharmaceuticals - 2.6% Barr Laboratories Inc. 20 955 Cephalon Inc. (b) (l) 12 490 IVAX Corp. (b) (l) 49 1,056 Omnicare Inc. 22 938 Par Pharmaceuticals Cos. Inc. (b) 7 232 Perrigo Co. 19 267 Sepracor Inc. 22 1,337 Valeant Pharmaceutical International (l) 19 342 VCA Antech Inc. (b) 16 396 6,013 Pipelines - 1.3% Equitable Resources Inc. 13 878 National Fuel Gas Co. (l) 17 480 Questar Corp. 18 1,186 Western Gas Resources Inc. 14 477 3,021 Real Estate - 2.9% AMB Property Corp. 18 774 Developers Divers Realty Corp. 23 1,049 Highwoods Properties Inc. 12 344 Hospitality Properties Trust 14 632 Liberty Property Trust 18 809 Mack-Cali Realty Corp. 12 542 New Plan Excel Realty Trust 22 594 Regency Centers Corp. 13 761 United Dominion Realty Trust Inc. (l) 29 700 Weingarten Realty Investors 18 703 6,908 Retail - 9.2% 99 Cents Only Stores (b) (l) 13 164 Abercrombie & Fitch Co. - Class A 18 1,268 Advance Auto Parts (b) 16 1,005 Aeropostale Inc. (b) 12 396 American Eagle Outfitters Inc. 29 903 AnnTaylor Stores Corp. (b) 15 364 Applebee's International Inc. 17 456 Barnes & Noble Inc. (b) 13 523 BJ's Wholesale Club Inc. (b) 15 478 Bob Evans Farms Inc. 7 174 Borders Group Inc. 16 403 Brinker International Inc. (b) 19 748 Carmax Inc. (b) (l) 22 589 CBRL Group Inc. 10 390 Cheesecake Factory Inc. (b) 17 573 Chico's FAS Inc. (b) (l) 38 1,297 Claire's Stores Inc. 21 505 Copart Inc. (b) 17 405 Dollar Tree Stores Inc. (b) (l) 24 574 Foot Locker Inc. 33 900 Krispy Kreme Doughnuts Inc. (b) (l) 13 88 Michaels Stores Inc. 29 1,184 Neiman-Marcus Group Inc. - Class A 10 1,011 O'Reilly Automotive Inc. (b) 22 666 Outback Steakhouse Inc. 14 650 Pacific Sunwear of California Inc. (b) 16 368 Payless Shoesource Inc. (b) 15 281 Petsmart Inc. 31 938 Pier 1 Imports Inc. 18 260 Regis Corp. 10 371 Ross Stores Inc. 31 899 Ruby Tuesday Inc. 14 357 Saks Inc. (b) 30 561 Urban Outfitters Inc. (b) 14 784 Williams-Sonoma Inc. (b) 25 983 21,516 Savings & Loans - 1.1% Astoria Financial Corp. 22 621 Independence Community Bank Corp. 17 614 New York Community Bancorp. Inc. (l) 52 937 Washington Federal Inc. 18 433 2,605 Semiconductors - 2.8% Atmel Corp. (b) 95 226 Credence Systems Corp. (b) 20 181 Cree Inc. (b) (l) 16 414 Cypress Semiconductor Corp. (b) (l) 28 347 Fairchild Semiconductor International Inc. (b) (l) 26 378 Integrated Circuit Systems Inc. (b) 15 312 Integrated Device Technology Inc. (b) (l) 23 244 International Rectifier Corp. (b) 14 683 Intersil Corp. 32 599 LAM Research Corp. (b) (l) 30 857 Lattice Semiconductor Corp. (b) 25 112 LTX Corp. (b) 14 69 Micrel Inc. (b) 17 193 Microchip Technology Inc. 44 1,303 Semtech Corp. (b) 16 266 Silicon Laboratories Inc. (b) (l) 10 255 Triquint Semiconductor Inc. (b) 28 94 6,533 Software - 2.3% Activision Inc. (b) 43 708 Acxiom Corp. 18 384 Advent Software Inc. (b) 6 113 Certegy Inc. 13 508 CSG Systems International Inc. (b) 11 210 Dun & Bradstreet Corp. (b) 15 905 Fair Isaac Inc. 14 520 Keane Inc. (b) 12 167 Moneygram International Inc. 18 352 SEI Investments Co. 18 665 Sybase Inc. (b) 20 359 Transactions Systems Architects Inc. (b) 8 192 Wind River Systems Inc. (b) 17 264 5,347 Telecommunications - 0.3% Cincinnati Bell Inc. (b) 51 218 Telephone & Data Systems Inc. 13 517 735 Telecommunications Equipment - 1.2% 3Com Corp. (b) 81 294 Adtran Inc. (l) 14 354 CommScope Inc. (b) (l) 11 189 Enterasys Networks Inc. (b) (l) - - Harris Corp. 28 880 Newport Corp. (b) 9 127 Plantronics Inc. 10 380 Polycom Inc. 21 314 Utstarcom Inc. (b) (l) 23 170 2,708 Textiles - 0.4% Mohawk Industries Inc. (b) 13 1,042 Tobacco - 0.1% Universal Corp. 5 238 Transportation - 2.4% Alexander & Baldwin Inc. 9 434 CH Robinson Worldwide Inc. 18 1,053 CNF Inc. 11 494 Expeditors Intl Wash Inc. (l) 23 1,125 GATX Corp. 11 367 JB Hunt Transport Services Inc. 29 563 Overseas Shipholding Group 7 439 Swift Transportation Co. Inc. (b) (l) 13 303 Werner Enterprises Inc. (l) 13 263 Yellow Roadway Corp. (b) 12 618 5,659 Water - 0.3% Aqua America Inc. 20 588 Wireless Telecommunications - 0.2% Powerwave Technologies Inc. (b) (l) 21 216 RF Micro Devices Inc. 41 221 437 Total Common Stocks (cost $195,435) 228,213 Short Term Investments - 16.1% Money Market Funds - 2.5% Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 6,017 6,017 Securities Lending Collateral - 13.5% Mellon GSL Delaware Business Trust Collateral Fund (n) 31,629 31,629 U.S. Treasury Bills - 0.1% US Treasury Bill, 2.947%, 09/08/05 (m) $254 254 Total Short Term Investments (cost $37,900) 37,900 Total Investments - 113.3% (cost $233,335) 266,113 Other Assets and Liabilities, Net - (13.3%) (31,327) Total Net Assets - 100% $234,786 JNL/Mellon Capital Management S&P 500 Index Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 21.4% Financial 19.9% Technology 11.5% Industrial 11.0% Communications 10.2% Consumer, Cyclical 9.3% Energy 8.6% Utilities 3.4% Basic Materials 2.7% Money Market Investment 1.7% Government 0.3% 100.0% Common Stocks - 97.8% Advertising - 0.1% Interpublic Group of Cos. Inc. (b) (l) 13 $157 Omnicom Group Inc. 6 485 642 Aerospace & Defense - 1.9% Boeing Co. 27 1,783 General Dynamics Corp. 7 712 Goodrich Corp. 4 166 L-3 Communicaitons Holdings Inc. 4 276 Lockheed Martin Corp. 13 846 Northrop Grumman Corp. 12 645 Ratheon Co. 15 573 Rockwell Collins 6 279 United Technologies Corp. 33 1,708 6,988 Agriculture - 0.3% Archer-Daniels-Midland Co. 20 433 Monsanto Co. 9 544 977 Airlines - 0.1% Delta Air Lines Inc. (b) (l) 4 14 Southwest Airlines Co. 24 333 347 Apparel - 0.4% Coach Inc. (b) 12 417 Jones Apparel Group Inc. 4 127 Liz Claiborne Inc. 4 150 Nike Inc. - Class B 7 643 Reebok International Ltd. 2 84 VF Corp. 3 175 1,596 Auto Manufacturers - 0.5% Ford Motor Co. 59 608 General Motors Corp. (l) 18 623 Navistar International Corp. (b) 2 78 Paccar Inc. 5 372 1,681 Auto Parts & Equipment - 0.2% Cooper Tire & Rubber Co. 2 43 Dana Corp. 6 88 Delphi Corp. 19 90 Goodyear Tire & Rubber Co. (b) (l) 7 106 Johnson Controls Inc. 6 348 Visteon Corp. 3 20 695 Banks - 6.3% AmSouth Bancorp. 12 306 Bank of America Corp. 131 5,992 Bank of New York Co. Inc. 25 726 BB&T Corp. 18 712 Comerica Inc. 6 319 Compass Bancshares Inc. 4 169 Fifth Third Bancorp. (l) 17 694 First Horizon National Corp. (l) 4 171 Huntington Bancshares Inc. 7 170 KeyCorp. 13 436 M&T Bank Corp. 3 337 Marshall & Ilsley Corp. 7 311 Mellon Financial Corp. 14 393 National City Corp. 19 656 North Fork Bancorp. Inc. 15 420 Northern Trust Corp. 7 302 PNC Financial Services Group Inc. 9 499 Regions Financial Corp. 15 512 State Street Corp. (l) 11 523 Suntrust Bank Inc. 11 796 Synovus Financial Corp. 10 293 US Bancorp. 60 1,754 Wachovia Corp. 51 2,547 Wells Fargo & Co. 55 3,386 Zions Bancorp. 3 217 22,641 Beverages - 2.2% Anheuser-Busch Cos. Inc. 25 1,153 Brown-Forman Corp. - Class B 3 166 Coca-Cola Co. 73 3,066 Coca-Cola Enterprises Inc. 11 239 Molson Coors Brewing Co. (l) 2 151 Pepsi Bottling Group Inc. 6 172 PepsiCo Inc. 54 2,935 7,882 Biotechnology - 1.0% Amgen Inc. 41 2,457 Biogen Idec Inc. (b) 11 373 Chiron Corp. 5 174 Genzyme Corp. 8 486 Medimmune Inc. (b) 8 203 Millipore Corp. 2 100 3,793 Building Materials - 0.3% American Standard Cos. 6 252 Masco Corp. 14 460 Vulcan Materials Co. 3 223 935 Chemicals - 1.5% Air Products & Chemicals Inc. 7 444 Ashland Inc. 2 144 Dow Chemical Co. 31 1,375 E.I. du Pont de Nemours & Co. 32 1,390 Eastman Chemical Co. (l) 3 145 Ecolab Inc. 7 238 Engelhard Corp. 4 102 Great Lakes Chemical Corp. 1 43 Hercules Inc. (b) 4 50 International Flavors & Fragrances Inc. 3 93 PPG Industries Inc. 6 353 Praxair Inc. 11 489 Rohm And Haas Co. 6 290 Sherwin-Williams Co. 4 181 Sigma-Aldrich Corp. (l) 2 133 5,470 Commercial Services - 0.9% Apollo Group Inc. - Class A (b) 5 406 Cendant Corp. 34 765 Convergys Corp. (b) 5 72 Equifax Inc. 4 160 H&R Block Inc. 5 319 McKesson Corp. 10 428 Moody's Corp. (l) 9 386 Paychex Inc. 12 375 R.R. Donnelley & Sons Co. 7 248 Robert Half Intl Inc. 5 118 3,277 Computers - 3.8% Affiliated Computer Services - Class A (b) 4 214 Apple Computer Inc. (b) 26 974 Computer Sciences Corp. 6 278 Dell Inc. (b) 80 3,151 Electronic Data Systems Corp. 17 323 EMC Corp. (b) 78 1,069 Gateway Inc. 10 34 Hewlett-Packard Co. 94 2,207 International Business Machines Corp. 53 3,927 Lexmark International Inc. (b) 4 271 NCR Corp. (b) 6 217 Network Appliance Inc. (b) 12 334 Sun Microsystems Inc. (b) 107 401 Sungard Data Systems Inc. 9 311 Unisys Corp. (b) 9 60 13,771 Cosmetics & Personal Care - 2.0% Alberto-Culver Co. - Class B 3 111 Avon Products Inc. 15 580 Colgate-Palmolive Co. 17 848 Gillette Co. 32 1,627 Proctor & Gamble Co. 81 4,247 7,413 Distribution & Wholesale - 0.1% Genuine Parts Co. 6 236 WW Grainger Inc. 3 151 387 Diversified Financial Services - 7.9% American Express Co. 38 2,027 Bear Stearns Cos. Inc. 4 382 Capital One Financial Corp. (l) 8 645 Charles Schwab Corp. 37 419 CIT Group Inc. 7 299 Citigroup Inc. 169 7,832 Countrywide Financial Corp. 19 726 E*trade Group Inc. (b) 11 157 Fannie Mae 31 1,834 Federated Investors Inc. - Class B 3 82 Franklin Resources Inc. 6 496 Freddie Mac 22 1,457 Goldman Sachs Group Inc. 14 1,477 Janus Capital Group Inc. 8 121 JPMorgan Chase & Co. 115 4,068 Lehman Brothers Holdings Inc. 9 890 MBNA Corp. 41 1,083 Merrill Lynch & Co. Inc. (l) 30 1,659 Morgan Stanley 36 1,894 Providian Financial Corp. (b) 10 173 SLM Corp. 14 708 TRowe Price Group Inc. 4 255 28,684 Electric - 3.2% AES Corp. (b) 21 344 Allegheny Energy Inc. 5 121 Ameren Corp. (l) 6 348 American Electric Power Co. Inc. 12 459 Calpine Corp. (b) (l) 17 57 Centerpoint Energy Inc. (l) 8 111 Cinergy Corp. 6 284 CMS Energy Corp. (b) (l) 6 93 Consolidated Edison Inc. (l) 8 369 Constellation Energy Group Inc. 6 331 Dominion Resources Inc. 11 812 DTE Energy Co. (l) 6 268 Duke Energy Corp. (l) 30 903 Edison International Inc. 11 430 Entergy Corp. 7 522 Exelon Corp. 22 1,104 Firstenergy Corp. 11 516 FPL Group Inc. 13 535 NiSource Inc. 9 222 PG&E Corp. 12 440 Pinnacle West Capital Corp. 3 140 PPL Corp. 6 364 Progress Energy Inc. (l) 8 364 Public Service Enterprise (l) 7 450 Southern Co. 24 836 Teco Energy Inc. 7 132 TXU Corp. 8 644 Xcel Energy Inc. (l) 13 258 11,457 Electrical Components & Equipment - 0.3% American Power Conversion Corp. 5 128 Emerson Electric Co. 14 848 Molex Inc. 5 132 1,108 Electronics - 0.5% Agilent Technologies Inc. (b) 14 323 Applied Biosystems Group - Applera Corp. 7 133 Fisher Scientific International Inc. (b) (l) 4 253 Jabil Circuit Inc. (b) 6 171 PerkinElmer Inc. 4 69 Sanmina-SCI Corp. (b) 20 109 Solectron Corp. (b) 33 125 Symbol Technologies Inc. 8 82 Tektronix Inc. 3 66 Thermo Electron Corp. (b) 6 149 Waters Corp. (b) 4 149 1,629 Engineering & Construction - 0.0% Fluor Corp. (l) 3 163 Entertainment - 0.1% International Game Technology 11 315 Environmental Control - 0.2% Allied Waste Industries Inc. (b) (l) 9 75 Waste Management Inc. 18 522 597 Food - 1.6% Albertson's Inc. (l) 12 251 Campbell Soup Co. 11 326 ConAgra Foods Inc. 17 386 General Mills Inc. 12 553 H.J. Heinz Co. 11 403 Hershey Foods Corp. 7 440 Kellogg Co. 11 506 Kroger Co. (b) 24 451 McCormick & Co. Inc. 5 148 Safeway Inc. (b) (l) 14 327 Sara Lee Corp. 26 507 Supervalu Inc. 5 149 Sysco Corp. 21 748 WM Wrigley Jr Co. 6 439 5,634 Forest Products & Paper - 0.5% Georgia-Pacific Corp. 9 272 International Paper Co. 16 481 Louisiana-Pacific Corp. 3 78 MeadWestvaco Corp. 6 173 Plum Creek Timber Co. Inc. 6 217 Temple-Inland Inc. 4 145 Weyerhaeuser Co. 8 498 1,864 Gas - 0.2% KeySpan Corp. (l) 6 232 Nicor Inc. (l) 2 72 Peoples Energy Corp. (l) 1 58 Sempra Energy 8 318 680 Hand & Machine Tools - 0.1% Black & Decker Corp. 3 243 Snap-On Inc. (l) 2 77 Stanley Works 3 117 437 Healthcare - 5.4% Aetna Inc. 10 789 Bausch & Lomb Inc. 2 131 Baxter International Inc. 20 747 Becton Dickinson & Co. 8 432 Biomet Inc. 8 282 Boston Scientific Corp. (b) 25 666 CR Bard Inc. 4 233 Guidant Corp. 10 704 HCA Inc. 13 758 Health Management Associates Inc. (l) 7 195 Humana Inc. 5 214 Johnson & Johnson 96 6,266 Laboratory Corp. of America Holdings (b) 5 226 Manor Care Inc. 3 130 Medtronic Inc. 39 2,030 Quest Diagnostics Inc. 6 328 St. Jude Medical Inc. (b) 12 510 Stryker Corp. 12 576 Tenet Healthcare Corp. (b) (l) 16 192 UnitedHealth Group Inc. 42 2,168 WellPoint Inc. (b) 20 1,380 Zimmer Holdings Inc. (b) 8 606 19,563 Home Builders - 0.2% Centex Corp. 4 300 KB Home (l) 3 193 Pulte Homes Inc. 4 323 816 Home Furnishings - 0.1% Maytag Corp. (l) 2 33 Whirlpool Corp. 2 159 192 Household Products - 0.6% Avery Dennison Corp. 3 164 Clorox Co. 5 284 Fortune Brands Inc. 5 403 Kimberly-Clark Corp. 16 978 Newell Rubbermaid Inc. (l) 8 200 2,029 Insurance - 4.6% ACE Ltd. 9 397 Aflac Inc. 16 704 Allstate Corp. 22 1,318 AMBAC Financial Group Inc. 4 254 American International Group Inc. 84 4,907 AON Corp. 10 262 Chubb Corp. 6 534 Cigna Corp. (l) 4 458 Cincinnati Financial Corp. 6 221 Hartford Financial Services Group Inc. 10 715 Jefferson-Pilot Corp. 5 230 Lincoln National Corp. 6 269 Loews Corp. 5 395 Marsh & McLennan Cos. Inc. 17 474 MBIA Inc. (l) 5 279 MetLife Inc. 24 1,067 MGIC Investment Corp. 3 192 Principal Financial Group 10 407 Progressive Corp. 7 643 Prudential Financial Inc. 17 1,115 Safeco Corp. 4 227 St. Paul Travelers Cos. Inc. 22 857 Torchmark Corp. 3 172 UnumProvident Corp. (l) 9 165 XL Capital Ltd. - Class A (l) 5 349 16,611 Internet - 0.9% Ebay Inc. (b) 39 1,295 Monster Worldwide Inc. (b) 4 116 Symantec Corp. 23 499 Yahoo! Inc. (b) 42 1,463 3,373 Iron & Steel - 0.1% Allegheny Technologies Inc. 2 55 Nucor Corp. 5 241 United States Steel Corp. (l) 4 133 429 Leisure Time - 0.4% Brunswick Corp. 3 141 Carnival Corp. 17 929 Harley Davidson Inc. (l) 9 469 Sabre Holdings Corp. (l) 4 75 1,614 Lodging - 0.4% Harrah's Entertainment Inc. 5 366 Hilton Hotels Corp. 13 302 Marriott International Inc. - Class A 6 429 Starwood Hotels & Resorts Worldwide Inc. 7 406 1,503 Machinery - 0.5% Caterpillar Inc. 11 1,061 Cummins Inc. (l) 2 115 Deere & Co. 8 521 Rockwell Automation Inc. 6 280 1,977 Manufacturing - 5.6% 3M Co. 25 1,811 Cooper Industries Ltd. - Class A 3 198 Danaher Corp. (l) 9 468 Dover Corp. 7 245 Eastman Kodak Co. (l) 9 254 Eaton Corp. 5 305 General Electric Corp. 344 11,905 Honeywell International Inc. 28 1,010 Illinois Tool Works Inc. 9 710 Ingersoll-Rand Co. - Class A 6 398 ITT Industries Inc. 3 295 Leggett & Platt Inc. 6 170 Pall Corp. 4 132 Parker Hannifin Corp. 4 246 Textron Inc. 4 329 Tyco International Ltd. 65 1,904 20,380 Media - 3.4% Clear Channel Communications Inc. 17 527 Comcast Corp. - Class A (b) 72 2,201 Dow Jones & Co. Inc. (l) 2 71 Gannett Co. 8 583 Knight-Ridder Inc. 3 156 McGraw-Hill Cos. Inc. 12 544 Meredith Corp. 1 72 New York Times Co. - Class A (l) 5 153 News Corp. Inc. 93 1,513 Time Warner Inc. (b) 149 2,490 Tribune Co. 9 326 Univision Communications Inc. - Class A (b) (l) 10 265 Viacom Inc. - Class B 52 1,674 Walt Disney Co. 66 1,671 12,246 Mining - 0.5% Alcoa Inc. 28 737 Freeport-McMoRan Copper & Gold Inc. (l) 6 223 Newmont Mining Corp. (l) 14 560 Phelps Dodge Corp. 3 292 1,812 Office & Business Equipment - 0.2% Pitney Bowes Inc. 7 311 Xerox Corp. (b) 31 428 739 Oil & Gas Producers - 7.4% Amerada Hess Corp. 3 280 Anadarko Petroleum Corp. 8 628 Apache Corp. 11 686 Burlington Resources Inc. 13 696 Chevron Corp. 68 3,816 ConocoPhillips 45 2,596 Devon Energy Corp. 16 789 EOG Resources Inc. 8 440 Exxon Mobil Corp. 207 11,895 Kerr-McGee Corp. 4 286 Marathon Oil Corp. 11 601 Nabors Industries Ltd. (b) 5 299 Noble Corp. 4 273 Occidental Petroleum Corp. 13 990 Rowan Cos. Inc. 3 91 Sunoco Inc. 2 264 Transocean Inc. (b) 10 564 Unocal Corp. 9 572 Valero Energy Corp. 8 661 XTO Energy Inc. 11 383 26,810 Oil & Gas Services - 0.9% Baker Hughes Inc. 11 562 BJ Services Co. 5 282 Halliburton Co. 16 781 National Oilwell Varco Inc. (b) 6 262 Schlumberger Ltd. 19 1,449 3,336 Packaging & Containers - 0.1% Ball Corp. 4 136 Bemis Co. 4 95 Pactiv Corp. (b) 5 105 Sealed Air Corp. 3 141 477 Pharmaceuticals - 6.1% Abbott Laboratories 51 2,477 Allergan Inc. 4 363 AmerisourceBergen Corp. 4 243 Bristol-Myers Squibb Co. 63 1,583 Cardinal Bergen Health Inc. 14 811 Caremark Rx Inc. (b) 15 658 Eli Lilly & Co. 37 2,045 Express Scripts Inc. (b) 5 252 Forest Laboratories Inc. (b) 11 444 Gilead Sciences Inc. 14 617 Hospira Inc. (b) 5 202 King Pharmaceuticals Inc. (b) 9 90 Medco Health Solutions Inc. (b) 9 477 Merck & Co. Inc. 72 2,204 Mylan Laboratories Inc. 9 173 Pfizer Inc. 242 6,669 Schering-Plough Corp. 48 912 Watson Pharmaceuticals Inc. (b) (l) 3 94 Wyeth 43 1,928 22,242 Pipelines - 0.3% Dynegy Inc. - Class A (b) 12 57 El Paso Corp. (l) 21 244 Kinder Morgan Inc. 3 280 Williams Cos. Inc. 18 351 932 Real Estate - 0.5% Apartment Investment & Management Co. 3 135 Archstone-Smith Trust 7 255 Equity Office Properties Trust 13 432 Equity Residential Properties Trust 9 338 Prologis 6 246 Simon Property Group Inc. 7 519 1,925 Retail - 6.6% Autonation Inc. (b) 7 140 Autozone Inc. (b) 2 205 Bed Bath & Beyond Inc. (b) 10 409 Best Buy Co. Inc. 10 662 Big Lots Inc. (b) (l) 5 61 Circuit City Stores Inc. 6 95 Costco Wholesale Corp. 15 688 CVS Corp. 26 753 Darden Restaurants Inc. 5 162 Dillard's Inc. - Class A 3 59 Dollar General Corp. 9 187 Family Dollar Stores Inc. 6 149 Federated Department Stores Inc. 5 402 Gap Inc. 26 507 Home Depot Inc. 71 2,769 J.C. Penney Co. Inc. 9 462 Kohl's Corp. (b) 11 593 Limited Brands Inc. 13 270 Lowe's Cos. Inc. 25 1,459 May Department Stores Co. 9 379 McDonald's Corp. 41 1,145 Nordstrom Inc. 4 282 Office Depot Inc. 10 237 OfficeMax Inc. 3 97 Radioshack Corp. 5 127 Sears Holdings Corp. (b) (l) 3 461 Staples Inc. 24 512 Starbucks Corp. (b) 13 671 Target Corp. 29 1,581 Tiffany & Co. (l) 4 144 TJX Cos. Inc. 16 380 Toys "R" Us Inc. (b) 7 173 Walgreen Co. 33 1,521 Wal-Mart Stores Inc. 110 5,294 Wendy's International Inc. 4 180 Yum! Brands Inc. 9 491 23,707 Savings & Loans - 0.6% Golden West Financial Corp. 9 590 Sovereign Bancorp. Inc. 12 276 Washington Mutual Inc. (l) 28 1,151 2,017 Semiconductors - 3.2% Advanced Micro Devices Inc. (b) (l) 13 227 Altera Corp. (b) 12 243 Analog Devices Inc. 12 450 Applied Materials Inc. 54 875 Applied Micro Circuits Corp. (b) 13 34 Broadcom Corp. - Class A (b) 9 334 Freescale Semiconductor Inc. (b) 13 282 Intel Corp. 202 5,261 KLA-Tencor Corp. (b) 7 284 Linear Technology Corp. 10 364 LSI Logic Corp. (b) 12 101 Maxim Integrated Products Inc. 11 403 Micron Technology Inc. (b) (l) 20 208 National Semiconductor Corp. 12 254 Novellus Systems Inc. (b) 5 117 Nvidia Corp. (b) 6 153 PMC - Sierra Inc. (b) 5 49 Qlogic Corp. (b) 3 96 Teradyne Inc. (b) 5 65 Texas Instruments Inc. 56 1,565 Xilinx Inc. 11 293 11,658 Software - 4.3% Adobe Systems Inc. 16 452 Autodesk Inc. 8 262 Automatic Data Processing Inc. 19 792 BMC Software Inc. (b) 7 133 Citrix Systems Inc. (b) 6 127 Computer Associates International Inc. (b) (l) 17 475 Compuware Corp. (b) 11 78 Electronic Arts Inc. 10 563 First Data Corp. 26 1,042 Fiserv Inc. (b) 6 275 IMS Health Inc. 7 175 Intuit Inc. (b) (l) 6 278 Mercury Interactive Corp. (b) (l) 2 94 Microsoft Corp. 328 8,148 Novell Inc.(b) (l) 11 66 Oracle Corp. (b) 146 1,923 Parametric Technology Corp. 10 63 Siebel Systems Inc. (b) 17 156 Veritas Software Corp. (b) 13 315 15,417 Telecommunications - 2.8% Alltel Corp. (l) 11 659 AT&T Corp. 26 493 BellSouth Corp. 59 1,578 CenturyTel Inc. (l) 5 160 Citizens Communications Co. (l) 12 155 Qwest Communications International Inc. (b) (l) 51 189 SBC Communications Inc. 107 2,544 Sprint Corp. (l) 48 1,202 Verizon Communications 90 3,102 10,082 Telecommunications Equipment - 1.7% ADC Telecommunications Inc. (b) 3 75 Andrew Corp. (b) (l) 5 64 Avaya Inc. (b) 16 135 Ciena Corp. (b) 16 34 Cisco Systems Inc. (b) 210 4,004 Comverse Technology Inc. (b) 7 157 Corning Inc. (b) 46 760 JDS Uniphase Corp. (b) (l) 48 73 Lucent Technologies Inc. 144 418 Scientific-Atlanta Inc. 5 170 Tellabs Inc. (b) 16 135 6,025 Textiles - 0.1% Cintas Corp. 5 197 Tobacco - 1.4% Altria Group Inc. 67 4,334 Reynolds American Inc. (l) 4 310 UST Inc. (l) 5 249 4,893 Toys & Hobbies - 0.1% Hasbro Inc. 5 100 Mattel Inc. 14 253 353 Transportation - 1.4% Burlington Northern Santa Fe Corp. 12 576 CSX Corp. 7 303 FedEx Corp. 10 789 Norfolk Southern Corp. 13 402 Ryder System Inc. 2 66 Union Pacific Corp. 8 550 United Parcel Service - Class B 36 2,511 5,197 Wireless Telecommunications - 1.2% Motorola Inc. 80 1,452 Nextel Communications Inc. (b) 35 1,129 Qualcomm Inc. 53 1,760 4,341 Total Common Stocks (cost $326,038) 353,957 Short Term Investments - 8.3% Money Market Funds - 1.7% Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 6,063 6,063 Securities Lending Collateral - 6.3% Mellon GSL Delaware Business Trust Collateral Fund (n) 22,888 22,888 U.S. Treasury Bills - 0.3% US Treasury Bill, 2.947%, 09/08/05 (m) $1,000 994 Total Short Term Investments (cost $29,945) 29,945 Total Investments - 106.1% (cost $355,983) 383,902 Other Assets and Liabilities, Net - (6.1%) (21,963) Total Net Assets - 100% $361,939 JNL/Mellon Capital Management Small Cap Index Fund Percentage of Total Industry Sector Investments (o) Financial 20.7% Consumer, Non-cyclical 18.6% Consumer, Cyclical 13.4% Industrial 12.8% Technology 9.7% Communications 9.0% Energy 5.0% Money Market Investment 4.3% Basic Materials 3.5% Utilities 2.6% Government 0.2% Diversified 0.2% 100.0% Common Stocks - 95.5% Advertising - 0.3% Advo Inc. 5 $169 APAC Customer Services Inc. (b) 2 1 Catalina Marketing Corp. 9 221 Greenfield Online Inc. (b) 1 12 Marchex Inc. - Class B (b) 3 41 R.H. Donnelly Inc. (b) - 20 Sitel Corp. (b) 9 18 Valuevision Media Inc. (b) 3 33 Ventiv Health Inc. (b) 3 66 581 Aerospace & Defense - 1.0% AAR Corp. (b) 5 84 Argon St. Inc. (b) 1 41 Armor Holdings Inc. (b) 6 223 BE Aerospace Inc. (b) 10 154 Curtiss-Wright Corp. 4 189 DRS Technologies Inc. (b) 5 231 Ducommun Inc. (b) 1 18 EDO Corp. 3 83 Engineered Support Systems Inc. 7 242 Esterline Technologies Inc. (b) 4 172 GenCorp. Inc. 9 172 Heico Corp. (l) 3 75 Heico Corp. - Class A - 2 Herley Industries Inc. (b) 2 34 Innovative Solutions & Support Inc. (b) 1 50 Kaman Corp. - Class A 4 70 Moog Inc. - Class A (b) 7 208 MTC Technologies Inc. (b) 1 55 Orbital Sciences Corp. (b) (l) 10 97 Sequa Corp. - Class A (b) 1 66 Teledyne Technologies Inc. (b) 5 176 Titan Corp. (b) 1 21 Triumph Group Inc. (b) 3 90 United Industrial Corp. 2 57 2,610 Agriculture - 0.2% Alico Inc. (b) 1 28 Andersons Inc/the (b) 1 30 Delta & Pine Land Co. 6 158 FTD Group Inc. (b) 2 20 Maui Land & Pineapple Co. Inc. (b) 1 22 Tejon Ranch Co. (b) 1 72 330 Airlines - 0.5% Airtran Holdings Inc. (b) (l) 14 131 Alaska Air Group Inc. (b) 5 136 America West Holdings Corp. - Class B (b) (l) 5 33 Continental Airlines Inc. - Class B (b) (l) 11 153 Delta Air Lines Inc. (b) (l) 22 82 Expressjet Holdings Inc. (b) 6 55 Frontier Airlines Inc. (b) 7 67 MAIR Holdings Inc. (b) (l) 1 9 Mesa Air Group Inc. (b) (l) 6 38 Northwest Airlines Corp. (b) (l) 15 66 Pinnacle Airlines Corp. (b) 4 31 Rebublic Airways Holdings Inc. (b) 1 13 Skywest Inc. 10 178 World Air Holdings Inc. (b) 3 36 1,028 Alternative Energy - 0.4% Danielson Holdings Corp. (b) 15 187 Evergreen Solar Inc. (b) 5 34 FuelCell Energy Inc. (b) (l) 7 71 Headwaters Inc. (b) (l) 7 237 KFX Inc. (b) (l) 9 124 Pacific Ethanol Inc. (b) (l) 1 8 Plug Power Inc. (b) (l) 8 55 Syntroleum Corp. (b) 6 65 781 Apparel - 0.9% Carter's Inc. (b) 3 172 Cherokee Inc. 1 39 Deckers Outdoor Corp. (b) (l) 1 37 DHB Industries Inc. (b) (l) 4 30 Guess Inc. (b) 2 39 Gymboree Corp. (b) 5 67 Hampshire Group Ltd. (b) - 8 Hartmarx Corp. (b) 4 37 Kellwood Co. 5 124 K-Swiss Inc. - Class A 4 142 Oshkosh B'gosh Inc. Class A 1 27 Oxford Industries Inc. 2 95 Perry Ellis International Inc. (b) 1 17 Phillips-Van Heusen 5 149 Quicksilver Inc. (b) 1 21 Russell Corp. 5 103 Skechers USA Inc. - Class A (b) 4 52 Steven Madden Ltd. (b) 2 39 Stride Rite Corp. 6 87 Warnaco Group Inc. (b) 8 185 Weyco Group Inc. 1 19 Wolverine World Wide Inc. 10 239 1,728 Auto Manufacturers - 0.1% ASV Inc. (b) 2 61 Wabash National Corp. 5 123 184 Auto Parts & Equipment - 0.8% Accuride Corp. (b) 1 10 Aftermarket Technology Corp. (b) 3 51 American Axle & Manufacturing Holdings Inc. (l) 7 174 ArvinMeritor Inc. 12 206 Bandag Inc. 2 85 Commercial Vehicle Group Inc. (b) 2 27 Cooper Tire & Rubber Co. (l) 11 205 Exide Technologies (b) 3 16 Goodyear Tire & Rubber Co. (b) (l) 1 20 Hayes Lemmerz International Inc. (b) 6 41 Keystone Automotive Industries Inc. (b) 3 68 Modine Manufacturing Co. 6 183 Noble International Ltd. 1 21 Quantum Fuel Systems Technologies Worldwide Inc. (b) (l) 6 29 R&B Inc. (b) 1 10 Raytech Corp. (b) 2 3 Sports Resorts Intl Inc. (b) (l) 1 1 Standard Motor Prods 2 23 Strattec Security Corp. (b) 1 36 Superior Industries International Inc. 4 94 Tenneco Automotive Inc. (b) 7 122 Titan International Inc. (b) (l) 2 28 Visteon Corp. 22 131 1,584 Banks - 7.9% 1st Source Corp. 2 39 ABC Bancorp. 2 33 Alabama National Bancorp. 2 152 Amcore Financial Inc. 4 131 Amegy Bancorp. Inc. (b) 11 256 AmericanWest Bancorp. (b) 2 38 Ames National Corp. (b) (l) - 22 Arrow Financial Corp. 1 39 Associated Bancorp. 1 20 Banc Corp. (b) 1 10 Bancfirst Corp. 1 50 Bancorp. Inc. (b) 1 25 Bancorpsouth Inc. (l) 13 314 BancTrust Financial Group Inc. 1 26 Bank Mutual Corp. 12 132 Bank of Granite Corp. 2 37 Bank of the Ozarks Inc. 2 55 Banner Corp. 2 49 Boston Private Financial Holdings 5 120 Bryn Mawr Bank Corp. (l) 1 22 Camden National Corp. 1 44 Capital City Bank Group Inc. 2 70 Capital Corp. of The West (b) 2 43 Capital Crossing Bank (b) 1 24 Capitol Bancorp. Ltd. 2 70 Cardinal Financial Corp. (b) 3 27 Cascade Bancorp. 3 57 Cathay General Bancorp. 7 245 Cavalry Bancorp. Inc. (l) - 7 Center Financial Corp. 2 44 Central Coast Bancorp. (b) 2 32 Central Pacific Financial Corp. 5 185 Chemical Financial Corp. 4 145 Chittenden Corp. 8 210 Citizens & Northern Corp. (b) (l) 1 37 Citizens Banking Corp. 7 218 City Bank Lynnwood Washington 1 41 City Holdings Co. 3 104 Coastal Financial Corp. 2 32 CoBiz Inc. 2 35 Colony Bankcorp. Inc. (b) (l) 1 27 Columbia Bancorp. 1 42 Columbia Banking System Inc. 3 65 Commercial Bankshares Inc. (b) - 8 Community Bancorp. (b) - 9 Community Bank System Inc. 5 115 Community Banks Inc. (l) 2 47 Community Trust Bancorp. Inc. 2 81 Corus Bankshares Inc. 3 171 CVB Financial Corp. 8 156 East West Bancorp. Inc. 1 21 Enterprise Financial Services Corp. (b) 1 29 EuroBancshares Inc. (b) 1 19 Exchange National Bancshares Inc. 1 14 Farmers Capital Bank Corp. 1 31 Financial Institutions Inc. 1 24 First Bancorp. 2 39 First Bancorp/Puerto Rico 6 237 First Busey Corp. 2 40 First Charter Corp. 5 115 First Citizens Banc Corp. (l) - 9 First Citizens Banc Corp. - Class A 1 152 First Commonwealth Financial Corp. 12 160 First Community Bancorp. 2 111 First Community Bancshares 2 51 First Financial Bancorp. 6 115 First Financial Bankshares Inc. 3 104 First Financial Corp. 2 64 First Indiana Corp. 2 55 First Merchants Corp. 3 76 First Midwest Bancorp. Inc. 8 274 First Oakbrook Bancshares Inc. 1 30 First Regional Bancorp. (b) - 25 First Republic Bank 3 116 First South Bancorp. Inc. (b) (l) - 10 First State Bancorp. 3 50 FNB Corp. (l) 11 224 Foothill Independent Bancorp. 1 13 Fremont General Corp. 11 258 Frontier Financial Corp. 4 108 GB&T Bancshares Inc. 2 45 German American Bancorp. (l) 2 22 Glacier Bancorp. Inc. 5 140 Gold Banc Corp. Inc. 7 103 Great Southern Bancorp. Inc. 2 57 Greater Bay Bancorp. 9 226 Greater Community Bancorp. - - Greene County Bancshares Inc. (l) 1 19 Hancock Holding Co. 5 160 Hanmi Financial Corp. 6 104 Harleysville National Corp. 4 99 Heartland Financial USA Inc. 1 29 Hudson United Bancorp. 7 263 Iberiabank Corp. 1 69 Independent Bank Corp. 3 86 Independent Bank Corp. 2 70 Integra Bank Corp. 3 59 Interchange Financial Services Co. 3 51 International Bancshares Corp. - 2 Irwin Financial Corp. 3 62 Lakeland Bancorp. Inc. 3 41 Lakeland Financial Corp. 1 36 Macatawa Bank Corp. 2 63 Main Street Banks Inc. 3 70 MainSource Financial Group Inc. 1 26 MB Financial Inc. 3 134 MBT Financial Corp. 2 48 Mercantile Bank Corp. 1 53 Mid-State Bancshares 4 111 Midwest Banc Holdings Inc. (l) 2 38 Nara Bancorp. Inc. 3 45 National Bankshares Inc. - 20 National Penn Bancshares Inc. 6 149 NBC Capital Corp. 1 26 NBT Bancorp. Inc. 6 136 Northern Empire Bancshares (b) (l) 1 32 Oak Hill Financial Inc. 1 17 Old National Bancorp. (l) 12 257 Old Second Bancorp. Inc. 2 68 Omega Financial Corp. 2 56 Oriental Financial Group 3 46 Pacific Capital Bancorp. 8 283 Park National Corp. 2 266 Peapack Gladstone Financial Corp. (l) 1 33 Pennrock Financial Services Corp. 1 48 Penns Woods Bancorp. Inc. - 16 Pennsylvania Commerce Bancorp. Inc. (b) - 10 Peoples Bancorp. Inc. 2 41 Pinnacle Financial Partners Inc. (b) 1 28 Placer Sierra Bancshares 1 28 Preferred Bank (b) - 8 Premierwest Bancorp. (b) (l) 1 10 Privatebancorp Inc. 3 103 Prosperity Bancshares Inc. 3 100 Provident Bankshares Corp 5 172 R & G Financial Corp. - Class B 5 83 Renasant Corp. (b) 2 54 Republic Bancorp. 12 177 Republic Bancorp. Inc. - Class A 1 31 Royal Bancshares - Class A 1 14 S&T Bancorp. Inc. 4 152 S.Y. Bancorp. Inc. 2 43 Sandy Spring Bancorp. Inc. 3 89 Santander Bancorp. 1 21 SCBT Financial Corp. 1 38 Seacoast Banking Corp. 2 42 Security Bank Corp. 2 37 Shore Bancshares Inc. 1 21 Sierra Bancorp. (b) 1 18 Signature Bank (b) 2 41 Simmons First National Corp. - Class A 3 68 Smithtown Bancorp. Inc. (l) 1 19 Southern Community Financial Corp. (l) 2 21 Southside Bancshares Inc. 2 32 Southwest Bancorp. Inc. 2 38 State Bancorp. Inc. 1 27 State Financial Services Corp. 1 36 Sterling Bancorp. - NYS 3 55 Sterling Bancshares Inc. 8 118 Sterling Financial Corp. 5 109 Suffolk Bancorp. 2 58 Summit Bancshares Inc. (b) 1 9 Summit Financial Group Inc. (b) (l) - 10 Sun Bancorp. Inc. (b) 2 36 Susquehanna Bancshares Inc. 8 190 SVB Financial Group (b) 6 291 Taylor Capital Group Inc. 1 20 Texas Capital Bancshares Inc. (b) 4 75 Texas Regional Bancshares Inc. 7 217 Tompkins Trustco Inc. 1 58 Trico Bancshares 2 38 Trustco Bank Corp. 12 163 Trustmark Corp. 8 231 UCBH Holdings Inc. 15 242 UMB Financial Corp. 3 148 Umpqua Holdings Corp. 7 172 Union Bankshares Corp. 2 58 United Bankshares Inc. 6 224 United Community Banks Inc. 5 129 United Security Bancshares (b) (l) 1 29 Univest Corp of Pennsylvania 2 54 Unizan Financial Corp. 4 96 USB Holding Co. Inc. 2 42 Vineyard National Bancorp. (b) (l) 1 33 Virginia Commerce Bancorp. (b) 1 32 Virginia Financial Group Inc. 1 37 W Holding Co. Inc. 18 179 Washington Trust Bancorp. Inc. 2 62 WesBanco Inc. 4 110 West Bancorp. Inc. 2 46 West Coast Bancorp. 2 59 Westamerica Bancorp. 6 290 Western Sierra Bancorp. (b) 1 39 Wilshire Bancorp. Inc. 3 37 Wintrust Financial Corp. 4 208 Yardville National Bancorp. 2 55 15,980 Beverages - 0.2% Boston Beer Co. Inc. - Class A (b) 1 29 Coca-Cola Bottling Co. 1 34 Cogent Inc. (b) 3 99 Farmer Brothers Co. 1 25 Hansen Natural Corp. (b) (l) 1 104 National Beverage Corp. (b) 1 6 Peets Coffee & Tea Inc. (b) 2 75 372 Biotechnology - 2.1% Aastrom Biosciences Inc. (b) (l) 14 43 Aksys Ltd. (b) (l) 1 2 Alexion Pharmaceuticals Inc. (b) 5 110 Applera Corp. - Celera Genomics Group (b) 12 135 Arena Pharmaceuticals Inc. (b) 5 31 Ariad Pharmaceuticals Inc. (b) 10 64 Arqule Inc. (b) 4 29 Avant Immunotherapeutics Inc. (b) 12 14 Barrier Therapeutics Inc. (b) 1 8 BioCryst Pharmaceuticals Inc. (b) (l) 2 12 Bio-Rad Laboratories Inc. Class A (b) 3 172 Cambrex Corp. 4 84 Cancervax Corp. (b) (l) 2 7 Cell Genesys Inc.(b) (l) 8 44 Corgentech Inc. (b) 1 3 CuraGen Corp. (b) (l) 7 34 Curis Inc. (b) 7 27 Cytogen Corp. (b) (l) 3 14 deCODE genetics Inc. (b) 9 81 Digene Corp. (b) 3 69 Diversa Corp. (b) 4 18 Encysive Pharmaceuticals Inc. (b) 10 108 Enzo Biochem Inc. (b) 4 73 Enzon Pharmaceuticals Inc. (b) 7 45 Exelixis Inc. (b) 12 88 Genaera Corp. (b) (l) 9 15 Gene Logic Inc. (b) 4 12 Genitope Corp. (b) (l) 3 40 Geron Corp. (b) (l) 10 76 GTX Inc. (b) (l) 1 9 Harvard Bioscience Inc. (b) 1 2 Human Genome Sciences Inc. (b) (l) 22 251 ICOS Corp. (b) (l) 10 219 Illumina Inc. (b) 5 64 Immunogen Inc. (b) 6 32 Immunomedics Inc. (b) (l) 7 11 Incyte Corp. (b) 12 87 Integra Lifesciences Holdings Corp. (b) 3 102 Intermune Inc. (b) 5 69 Keryx Biopharmaceuticals Inc. (b) 4 51 Kosan Biosciences Inc. (b) 3 16 Lexicon Genetics Inc. (b) 12 57 Lifecell Corp. (b) 5 81 Marshall Edwards Inc. (b) (l) 1 6 Martek Biosciences Corp. (b) 5 192 Maxygen Inc. (b) 3 23 Meridian Bioscience Inc. (b) 1 28 Momenta Pharmaceuticals Inc. (b) (l) 1 20 Myogen Inc. (b) (l) 3 20 Myriad Genetics Inc. (b) 5 78 Nanogen Inc. (b) (l) 7 28 Nektar Therapeutics (b) 14 238 Neose Technologies Inc. (b) 5 16 Northfield Laboratories Inc. (b) 4 59 Orchid Cellmark Inc. (b) 3 34 Oscient Pharmaceuticals Corp. (b) (l) 9 24 Peregrine Pharmaceuticals Inc. (b) 22 21 Regeneration Technologies (b) 4 22 Regeneron Pharmaceuticals (b) 6 51 Savient Pharmaceuticals Inc. (b) 7 32 Seattle Genetics Inc. (b) 5 25 Serologicals Corp. (b) (l) 6 125 Stemcells Inc. (b) (l) 8 34 Supergen Inc. (b) 9 46 Telik Inc. (b) (l) 9 140 Tercica Inc. (b) 1 7 Third Wave Technologies (b) 5 19 Transkaryotic Therapies Inc. (b) 5 186 Vertex Pharmaceuticals Inc. (b) 15 260 Virologic Inc. (b) (l) 18 45 4,288 Building Materials - 1.0% Aaon Inc. (b) 1 23 Apogee Enterprises Inc. 5 72 Comfort Systems USA Inc. 7 44 Drew Industries Inc. (b) (l) 1 53 Eagle Materials Inc. 3 299 Elkcorp 3 92 Genlyte Group Inc. (b) 4 200 Huttig Building Products Inc. (b) 2 18 Interline Brands Inc. (b) 2 40 Lennox International Inc. 8 175 LSI Industries Inc. 4 51 Mestek Inc. (b) - 13 NCI Building Systems Inc. (b) 3 113 Simpson Manufacturing Co. Inc. 6 187 Texas Industries Inc. 4 222 Trex Co. Inc. (b) (l) 2 44 U S Concrete Inc. (b) 3 21 Universal Forest Products Inc. 3 107 USG Corp. (b) (l) - 18 York International Corp. 7 264 2,056 Chemicals - 1.7% Aceto Corp 4 27 Airgas Inc. 1 20 Albemarle Corp. 1 21 American Vanguard Corp. (l) 2 38 Arch Chemicals Inc. 4 98 Balchem Corp. (b) 1 28 Cabot Microelectronics Corp. (b) (l) 4 125 Crompton Corp. 1 19 Cytec Industries Inc. - 19 Ferro Corp. 7 139 FMC Corp. (b) - 21 Georgia Gulf Corp. 6 171 Great Lakes Chemical Corp. 9 276 HB Fuller Co. 5 163 Hercules Inc. (b) 19 268 Kronos Worldwide Inc. - 15 MacDermid Inc. 5 145 Minerals Technologies Inc. 4 216 Mosaic Co. (b) (l) 1 21 NewMarket Corp. (b) 2 32 Nl Industries (b) 1 17 Octel Corp. 2 35 Olin Corp. 12 218 OM Group Inc. (b) 5 117 Omnova Solutions Inc. (b) 6 28 Pioneer Cos. Inc. (b) 1 32 PolyOne Corp. (b) 15 102 Quaker Chemical Corp. 1 20 Schulman Inc. 5 94 Sensient Technologies Corp. (l) 8 168 Solutia Inc. 9 5 Spartech Corp. 4 78 Stepan Co. 1 19 Symyx Technologies Inc. (b) 5 152 Terra Industries Inc. (b) 14 98 UAP Holding Corp (b) 5 83 Valhi Inc. 1 14 Wellman Inc. 5 56 Westlake Chemical Corp. 2 47 WR Grace & Co. (b) 12 90 Zoltek Cos. Inc. (b) (l) 2 19 3,354 Commercial Services - 4.6% Aaron Rents Inc. 7 163 ABM Industries Inc. 7 129 Ace Cash Express Inc. (b) 1 36 Administaff Inc. 4 91 Advance America Cash Advance Centers Inc. 12 184 Advisory Board Co. (b) 3 156 Albany Molecular Research Inc. (b) 4 50 Alderwoods Group Inc. (b) 7 98 American Healthcare Services Inc. (b) 2 26 Arbitron Inc. 5 221 Banta Corp. 4 196 BearingPoint Inc. (b) 30 219 Bowne & Co.inc. 6 86 Bright Horizons Family Solutions Inc. (b) 5 184 CDI Corp. 2 46 Central Parking Corp. 3 46 Century Business Services (b) 10 41 Chemed Corp. 4 170 Clark Inc. 3 36 Coinstar Inc. (b) 4 100 Consolidated Graphics (b) 2 75 Corinthian Colleges Inc. (b) 14 184 Cornell Cos. Inc. (b) 2 27 Corrections Corp. of America (b) 7 265 Corvel Corp. (b) 1 23 CoStar Group Inc. (b) 3 114 CPI Corp. 1 16 CRA International Inc. (b) 2 90 Cross Country Healthcare Inc. (b) 5 84 Devry Inc. 9 187 Diamondcluster International Inc. - Class A (b) 5 56 Dollar Thrifty Automotive Group (b) 4 163 Educate Inc. (b) 3 47 Electro Rent Corp. (b) 3 42 Euronet Worldwide Inc. (b) 5 146 Exponent Inc. (b) 1 38 First Advantage Corp. - Class A (b) 1 14 First Consulting Group Inc. (b) 2 11 Forrester Research Inc. (b) 3 45 FTI Consulting Inc. (b) 7 155 Gartner Inc. - Class A (b) 10 111 Geo Group Inc. (b) 1 34 Gevity HR Inc. 4 81 Greg Manning Auctions Inc. (b) (l) 1 13 Healthcare Services Group. 4 79 Heidrick & Struggles International Inc. (b) 3 75 Hooper Holmes Inc. 9 36 Hudson Highland Group Inc. (b) 3 54 Huron Consulting Group Inc. (b) 1 24 Interactive Data Corp. (b) 1 21 Intersections Inc. (b) 1 13 iPayment Inc. (b) 2 65 Jackson Hewitt Tax Service Inc. 6 150 Kelly Services Inc. - Class A 3 90 Kforce Inc. (b) 5 44 Korn/Ferry International (b) 6 104 Labor Ready Inc. (b) 7 162 Landauer Inc. 1 76 Learning Tree International Inc. (b) 1 15 LECG Corp. (b) 2 45 Macquarie Infrastructure Co. Trust (b) 1 17 MAXIMUS Inc. 3 116 Mcgrath Rentcorp 3 78 Medical Staffing Network Holdings Inc. (b) 2 10 Midas Inc. (b) 3 58 Monro Muffler Brake Inc. (b) 1 43 Morningstar Inc. (b) 1 31 MPS Group Inc. (b) 18 165 Navigant Consulting Inc. (b) 8 149 NCO Group Inc. (b) 5 116 Odyssey Marine Exploration Inc. (b) 6 28 Parexel International Corp. (b) 5 92 PDI Inc. (b) 1 15 PHH Corp. (b) 8 218 PRA International (b) 2 50 Prepaid Legal Services Inc. (l) 2 70 PRG-Schultz International Inc. (b) 6 17 Princeton Review Inc. (b) 2 14 Providence Services Corp. (b) 1 30 QC Holdings Inc. (b) 1 12 Quanta Services Inc. (b) 19 165 Rent-A-Center Inc. (b) 1 28 Rent-Way Inc. (b) 5 48 Resources Connection Inc. (b) 8 181 Rewards Network Inc. (b) 3 14 Rollins Inc. 5 97 Senomyx Inc. (b) 3 49 SFBC International Inc. (b) 3 114 Sotheby's Holdings Inc. - Class A (b) 8 105 Source Interlink Cos. Inc. (b) 5 58 Sourcecorp Inc. (b) 3 59 Spherion Corp. (b) 10 68 Startek Inc. 2 29 Stewart Enterprises Inc. - Class A (b) 18 119 Strayer Education Inc. 3 218 Teletech Holdings Inc. (b) 6 49 TNS Inc. (b) 2 41 United Rentals Inc. 11 221 Universal Technical Institute Inc. (b) 3 110 Valassis Communications Inc. (b) 9 332 Vertrue Inc. (b) 1 49 Viad Corp. 3 97 Volt Information Sciences Inc. (b) 1 34 Watson Wyatt & Co. Holdings 5 140 Wright Express Corp. (b) 7 131 9,237 Computers - 2.6% 3d Systems Corp. 2 40 Advanced Digital Information Corp. (b) 11 87 Agilysis Inc. 4 69 Ansoft Corp. (b) 1 26 Anteon International Corp. (b) 4 204 Bisys Group Inc. (b) 1 20 Brocade Communications Systems Inc. (b) 43 168 CACI Interantional Inc. - Class A (b) - 19 Carreker Corp. (b) 3 15 Catapult Communications Corp. (b) 1 17 Ciber Inc. (b) 9 70 Comsys It Partners Inc. (b) (l) 1 10 Covansys Corp. (b) 3 44 Cray Inc. (b) (l) 14 18 Cyberguard Corp. (b) (l) 2 13 Digimarc Corp. (b) 2 13 Dot Hill Systems Corp. (b) 8 40 Echelon Corp. (b) 5 37 Electronics For Imaging Inc. 9 190 Factset Research Systems Inc. 6 202 Gateway Inc. 37 123 Hutchinson Technology (b) 4 167 iGate Corp. (b) 3 11 Imation Corp. 6 237 InFocus Corp. (b) 6 25 Integral Systems Inc. 2 39 Intergraph Corp. (b) 6 198 InterVoice Inc. (b) 6 52 Iomega Corp. (b) 9 24 Jack Henry & Associates Inc. 12 216 Kanbay International Inc. (b) 4 87 Komag Inc. (b) 5 138 Kronos Inc. (b) 5 210 Lasercard Corp. (b) (l) 2 9 Lexar Media Inc. (b) (l) 12 59 Magma Design Automation Inc. (b) (l) 4 33 Manhattan Associates Inc. (b) 5 99 Maxtor Corp. (b) 42 219 Maxwell Technologies Inc. (b) (l) 2 20 McData Corp. - Class A (b) (l) 21 84 Mentor Graphics Corp. (b) 13 131 Mercury Computer Systems Inc. (b) 4 101 Micros Systems Inc. (b) 6 280 Mobility Electronics (b) 5 41 MTS Systems Corp. 3 112 Ness Technologies Inc. (b) 2 22 Netscout Systems Inc. (b) 3 23 Overland Storage Inc. (b) 2 22 PalmOne Inc. (b) 8 228 Par Technology Corp. (b) - 10 Perot Systems Corp. (b) 14 194 Pomeroy IT Solutions Inc. (b) 1 9 Quantum Corp. (b) 32 95 Radiant Systems Inc. (b) 3 34 Radisys Corp. (b) 4 59 Rimage Corp. (b) 1 11 SI International Inc. (b) 1 40 Silicon Storage Technology Inc. (b) 13 54 Simpletech Inc. (b) 3 10 SRA International Inc. - Class A (b) 1 19 Stratasys Inc. (b) 1 48 Sykes Enterprises Inc. 4 35 Synaptics Inc. (b) 6 97 Syntel Inc. 1 18 Talx Corp 3 101 Tier Technologies Inc. - Class B (b) 3 21 Transact Technologies Inc. (b) (l) 1 10 Tyler Technologies Inc. (b) 6 47 Virage Logic Corp. (b) 1 8 5,232 Cosmetics & Personal Care - 0.2% Chattem Inc. (b) 3 121 Elizabeth Arden Inc. (b) 4 99 Inter Parfums Inc. (l) 1 12 Parlux Fragrances Inc. (b) (l) 1 27 Revlon Inc. - Class A (b) 25 77 336 Distribution & Wholesale - 1.0% Aviall Inc. (b) 5 170 Beacon Roofing Supply Inc. (b) 2 63 Bell Microproducts Inc. (b) 4 36 Bluelinx Holdings Inc. (b) 1 9 Brightpoint Inc. (b) 3 64 Building Material Holding Corp. 2 162 Central Euro Distribution Corp. (b) (l) 2 77 Handleman Co. 4 62 Hughes Supply Inc. 11 306 LKQ Corp. (b) 3 71 Navarre Corp. (b) (l) 3 26 Nuco2 Inc. (b) 1 36 Owens & Minor Inc. 7 214 Scansource Inc. (b) 2 87 SCP Pool Corp. 1 20 United Stationers Inc. (b) 6 287 Watsco Inc. 4 162 WESCO International Inc. (b) 5 161 2,013 Diversified Financial Services - 1.7% Accredited Home Lenders Holding Co. (b) (l) 3 125 Advanta Corp. - Class B 3 96 Affiliated Managers Group Inc. (b) - 22 Archipelago Holdings Inc. (b) (l) 5 192 Asset Acceptance Capital Corp. (b) 1 31 Asta Funding Inc. 1 39 Bankrate Inc. (b) (l) 1 10 BKF Capital Group Inc. 1 42 Calamos Asset Management Inc. 4 102 CharterMac 7 162 Cohen & Steers Inc. 1 21 Collegiate Funding Services LLC (b) 1 17 Compucredit Corp. (b) 4 124 Credit Acceptance Corp. (b) 2 23 Doral Financial Corp. 14 230 E-loan Inc. (b) 3 11 Encore Capital Group Inc. (b) 2 31 Espeed Inc. - Class A (b) 4 37 Federal Agricultural Mortgage Corp. - Class C (l) 2 40 Financial Federal Corp. 3 109 First Defiance Finl Corp. (b) 1 26 Gabelli Asset Management Inc. - Class A 1 53 GFI Group Inc. (b) 1 35 Greenhill & Co. Inc. 2 72 International Securities Exchange Inc. - Class A (b) (l) 2 39 Investment Technology Group Inc. (b) 7 154 Knight Capital Group Inc. (b) 19 148 Labranche & Co. Inc. (b) (l) 9 57 Ladenburg Thalmann Financial Services Inc. (b) (l) 1 1 MarketAxess Holdings Inc. (b) 3 35 Marlin Business Services Inc. (b) 1 16 Metris Cos. Inc. (b) 9 133 Nasdaq Stock Market Inc. (b) 7 133 National Financial Partners Corp. 6 218 Nelnet Inc. - Class A (b) 1 25 optionsXpress Holdings Inc. (b) 3 52 Piper Jaffray Cos. (b) 3 98 Portfolio Recovery Associates Inc. (b) 2 103 Sanders Morris Harris Group Inc. 2 31 Sound Federal Bancorp. Inc. (b) 2 29 Stifel Financial Corp. (b) 1 27 SWS Group Inc. 3 48 TradeStation Group Inc. (b) 3 25 United Panam Financial Corp. (b) 1 21 Waddell & Reed Financial Inc. - Class A 12 229 World Acceptance Corp. (b) 3 86 3,358 Electric - 1.5% Allete Inc. (b) 4 204 Aquila Inc. (b) 41 148 Avista Corp. 8 151 Black Hills Corp. 5 200 Calpine Corp. (b) (l) 88 301 Central Vermont Public Service Corp. 2 35 CH Energy Group Inc. 3 134 Cleco Corp. 8 172 Duquesne Light Holdings Inc. (l) 13 238 El Paso Electric Co. (b) 8 163 Empire District Electric Co. 4 100 Idacorp Inc. 7 213 MGE Energy Inc. 3 121 Northwestern Corp. 6 179 Ormat Technologies Inc. 1 23 Otter Tail Corp. 5 137 PNM Resources Inc. 1 20 Sierra Pacific Resources (b) (l) 20 244 UIL Holdings Corp 2 120 Unisource Energy Corp. 6 176 3,079 Electrical Components & Equipment - 0.7% Advanced Energy Industries (b) 4 32 American Superconductor Corp. (b) 5 41 Artesyn Technologies Inc. 6 51 Belden CDT Inc. (l) 8 167 C&D Technologies Inc. 4 37 Capstone Turbine Corp. (b) 15 19 Cherokee International Corp. (b) (l) 1 4 Color Kinetics Inc. (b) 1 16 Encore Wire Corp. (b) 3 32 Energy Conversion Devices Inc. (b) 3 73 Enersys (b) (l) 7 96 General Cable Corp (b) 6 96 GrafTech International Ltd. (b) 16 70 Intermagnetics General Corp. (b) 5 145 Littelfuse Inc. (b) 4 105 Medis Technologies Ltd. (b) (l) 2 33 Powell Industries Inc. (b) 1 22 Power-One Inc. (b) 12 78 Research Frontiers Inc. (b) (l) 1 4 Superior Essex Inc. (b) 2 41 Ultralife Batteries Inc. (b) 3 42 Universal Display Corp. (b) (l) 4 40 Valence Technology Inc. (b) (l) 10 27 Vicor Corp. 4 48 Wilson Greatbatch Technologies Inc. (b) 4 87 1,406 Electronics - 2.1% American Science & Engineering Inc. (b) 1 51 Analogic Corp. 2 98 Badger Meter Inc. (b) 1 30 BEI Technologies Inc. 2 48 Bel Fuse Inc. - Class B 2 59 Benchmark Electronics Inc. (b) 7 208 Brady Corp. - Class A 7 209 Checkpoint Systems Inc. (b) 7 117 Coherent Inc. (b) 5 183 CTS Corp. 6 76 Cubic Corp. 3 51 Cyberoptics Corp. (b) 1 14 Cymer Inc. (b) 6 162 Daktronics Inc. (b) 2 48 Dionex Corp. (b) 3 135 Electro Scientific Industries Inc. (b) 5 89 Excel Technology Inc. (b) 2 54 Fargo Electronics (b) 2 30 Faro Technologies Inc. (b) 2 52 FEI Co. (b) (l) 4 93 Identix Inc. (b) 16 79 II-VI Inc. (b) 4 69 International Displayworks Inc. (b) (l) 4 33 Ionatron Inc. (b) (l) 3 28 Itron Inc. (b) 4 160 Keithley Instruments Inc. 2 28 Kemet Corp. (b) 15 92 Labarge Inc. (b) 1 21 LeCroy Corp (b) 1 17 Lojack Corp. (b) 2 40 Measurement Specialties Inc. (b) 2 46 Merix Corp. (b) (l) 3 19 Methode Electronics Inc. 6 75 Metrologic Instruments Inc. (b) 2 24 Molecular Devices Corp. (b) 3 56 Multi-Fineline Electronix Inc. (b) 1 17 OSI Systems Inc. (b) 2 35 Park Electrochemical Corp. 3 73 Paxar Corp. (b) 6 103 Photon Dynamics Inc. (b) 3 57 Planar Systems Inc. (b) 2 16 Plexus Corp. (b) 8 108 Rae Systems (b) 5 17 Rofin-sinar Technologies Inc. (b) 3 88 Rogers Corp. (b) 3 119 SBS Technologies Inc. (b) 2 21 Sonic Solutions (b) (l) 3 64 Spatialight Inc. (b) (l) 4 20 Stoneridge Inc. (b) 3 20 Sypris Solutions Inc. 1 13 Taser International Inc. (b) (l) 9 91 Technitrol Inc. 7 100 Thomas & Betts Corp. (b) 1 20 Trimble Navigation Ltd. (b) 1 20 TTM Technologies Inc. (b) 7 51 Varian Inc. (b) 6 220 Viisage Technology Inc. (b) (l) 5 20 Vishay Intertechnology Inc. (b) 3 31 Watts Water Technologies Inc. 4 134 Woodhead Industries Inc. 2 27 Woodward Governor Co. 2 136 X-Rite Inc. 3 37 Zygo Corp. (b) 3 30 4,282 Engineering & Construction - 0.7% Dycom Industries Inc. (b) 8 167 EMCOR Group Inc. (b) 3 130 Granite Construction Inc. (b) 6 163 Infrasource Services Inc. (b) 1 14 Insituform Technologies Inc. - Class A (b) 4 71 Layne Christensen Co. (b) 2 30 Perini Corp. (b) 3 44 Shaw Group Inc. (b) (l) 13 288 URS Corp. (b) 7 249 Washington Group International Inc. (b) 4 223 1,379 Entertainment - 0.9% Alliance Gaming Corp. (b) (l) 8 118 Argosy Gaming Co. (b) 5 211 Bluegreen Corp. (b) 4 61 Carmike Cinemas Inc. 2 56 Championship Auto Racing Teams Inc. (b) 1 - Churchill Downs Inc. 1 54 Dover Downs Gaming & Entertainment Inc. 2 21 Dover Motorsports Inc. 3 15 Empire Resorts Inc. (b) (l) 1 5 Great Wolf Resorts Inc. (b) 4 80 Isle of Capri Casinos Inc. (b) 2 57 Lakes Entertainment Inc. (b) 2 37 Macrovision Corp. (b) 8 185 Magna Entertainment Corp. (b) 6 36 Mikohn Gaming Corp. (b) 3 48 Neveda Gold & Casinos Inc. (b) 1 13 Penn National Gaming Inc. (b) 1 22 Pinnacle Entertainment Inc. (b) 7 127 Scientific Games Corp. - Class B (b) 1 20 Shuffle Master Inc. (b) (l) 6 165 Six Flags Inc. (b) 17 78 Speedway Motorsports Inc. 2 91 Steinway Musical Instruments (b) 1 32 Sunterra Corp. (b) 3 49 Vail Resorts Inc. (b) 5 137 1,718 Environmental Control - 0.6% Aleris International Inc. (b) 4 99 American Ecology Corp. (b) 2 31 Calgon Carbon Corp. 6 51 Casella Waste Systems Inc. (b) 4 44 Clean Harbors Inc. (b) 2 47 Darling International Inc. (b) 12 44 Duratek Inc. (b) 2 38 Metal Management 3 58 Mine Safety Appliances Co. 5 217 Tetra Tech Inc. (b) 10 133 TRC Cos. Inc. (b) 1 15 Waste Connections Inc. (b) 8 300 Waste Industries USA Inc. (b) 1 8 Waste Services Inc. (b) 8 32 1,117 Food - 1.4% American Italian Pasta Co. (l) 3 58 Arden Group Inc. - Class A - 20 Cal-Maine Foods Inc. (l) 2 13 Chiquita Brands International Inc. (l) 7 187 Corn Products International Inc. 13 299 Flowers Foods Inc. 6 210 Gold Kist Inc. (b) 9 185 Green Mountain Coffee Inc. (b) - 10 Great Atlantic & Pacific Tea Co. 3 87 Hain Celestial Group Inc. (b) 5 89 Ingles Markets Inc. - Class A 1 19 J & J Snack Foods Corp. 1 54 John B. Sanfilippo & SON (b) 1 22 Lance Inc. 5 79 M&F Worldwide Corp. (b) 1 19 MGP Ingredients Inc. 1 10 Monterey Gourmet Foods Inc. (b) 1 4 Nash Finch Co. 2 76 Nutri/system Inc. (b) 3 45 Pathmark Stores Inc. (b) 5 41 Performance Food Group Co. (b) 8 236 Ralcorp Holdings Inc. 5 201 Ruddick Corp. 6 147 Sanderson Farms Inc. 3 128 Seaboard Corp. - 95 Spartan Stores Inc. (b) 3 41 Tootsie Roll Industries Inc. 4 115 United Natural Foods Inc. (b) 7 209 Weis Markets Inc. 2 89 Wild Oats Markets Inc. (b) (l) 5 58 2,846 Forest Products & Paper - 0.7% Bowater Inc. 9 299 Buckeye Technologies Inc. (b) 5 37 Caraustar Industries Inc. (b) 5 50 Cenveo Inc. (b) 7 54 Deltic Timber Corp. 2 65 Glatfelter 7 83 Longview Fibre Co. 9 183 Mercer International Inc. (b) 4 29 Neenah Paper Inc. (b) 2 68 Pope & Talbot Inc. 3 30 Potlatch Corp. 5 259 Rock-Tenn Co. - Class A 5 59 Schweitzer-mauduit International Inc. 2 77 Wausau-Mosinee Paper Corp. 8 93 Xerium Technologies Inc. (b) 1 9 1,395 Gas - 0.9% Atmos Energy Corp. (l) 1 21 Cascade Natural Gas Corp. 2 42 Energen Corp. 1 20 Energysouth Inc. 1 27 Laclede Group Inc. 4 114 New Jersey Resources Corp. 5 224 Nicor Inc. (l) 8 313 Northwest Natural Gas Co. 5 177 Peoples Energy Corp. 6 274 Piedmont Natural Gas Co. 1 21 South Jersey Industries 2 144 Southern Union Co. (b) 1 21 Southwest Gas Corp. 6 164 WGL Holdings Inc. 8 283 1,845 Hand & Machine Tools - 0.4% Baldor Electric Co. 6 135 Franklin Electric Co. Inc. 4 136 Kennametal Inc. 6 286 Lincoln Electric Holdings Inc. 6 203 Milacron Inc. (b) 6 12 Regal Beloit Corp. 4 125 897 Healthcare - 5.3% Abaxis Inc. (b) 3 29 Abiomed Inc. (b) 2 21 Advanced Medical Optics Inc. (b) 1 22 Advanced Neuromodulation Sys (b) (l) 3 137 Align Technology Inc. (b) (l) 9 68 Alliance Imaging Inc. (b) 2 21 Allied Healthcare International Inc. (b) 3 18 Amedisys Inc.(b) (l) 2 85 America Service Group Inc. (b) 2 27 American Dental Partners Inc. (b) - 10 American Healthways Inc. (b) 5 226 American Medical Systems Holdings Inc. (b) 11 232 American Retirement Corp. (b) 4 58 AMERIGROUP Corp. (b) - 20 Amsurg Corp. (b) 5 142 Animas Corp. (b) (l) 2 32 Apria Healthcare Group Inc. 9 298 Arrow International Inc. 3 106 Arthrocare Corp. (b) 4 146 Aspect Medical Systems Inc. (b) 2 62 Beverly Enterprises Inc. (b) (l) 18 228 Biolase Technology Inc. 3 18 Bio-Reference Labs Inc. (b) 1 18 Biosite Inc. (b) 3 153 BioVeris Corp. (b) 3 14 Bruker Biosciences Corp. (b) 3 11 Caliper Life Sciences Inc. (b) 2 10 Candela Corp. (b) 3 31 Cantel Medical Corp. (b) 1 10 Cardiodynamics International Corp. (b) 5 8 Centene Corp. (b) 7 236 Cepheid Inc. (b) 7 49 Cerus Corp. (b) 2 8 Conceptus Inc. (b) 5 26 Conmed Corp. (b) 5 153 Cyberonics Inc. (b) 4 154 Datascope Corp. 2 63 Diagnostic Products Corp. 4 187 DJ Orthopedics Inc. (b) 3 81 Encore Medical Corp. (b) 6 34 EPIX Pharmaceuticals Inc. (b) (l) 3 30 Exactech Inc. (b) 1 12 E-Z-Em-Inc. (b) 1 14 Foxhollow Technologies Inc. (b) (l) 2 81 Genesis Healthcare Corp. (b) 3 154 Gentiva Health Services Inc. (b) 4 75 Haemonetics Corp. (b) 4 170 Hanger Orthopedic Group Inc. (b) 3 17 Healthtronics Surgical Services (b) 5 65 Hologic Inc. (b) 4 140 Horizon Health Corp. (b) 1 32 ICU Medical Inc. (b) 2 74 Immucor Inc. (b) 8 224 Immunicon Corp. (b) 1 5 Intralase Corp. (b) 1 24 Intuitive Surgical Inc. (b) 6 268 Invacare Corp. 5 220 Inverness Medical Innovations Inc. (b) 3 76 Iris International Inc. (b) 2 39 IVAX Diagnostics Inc. (b) 1 5 Kensey Nash Corp. (b) (l) 2 47 Kindred Healthcare Inc. (b) 5 189 Kyphon Inc. (b) 5 159 Labone Inc. (b) 3 120 Laserscope (b) 3 138 LCA-Vision Inc. 3 158 Lifeline Systems Inc. (b) 2 62 LifePoint Hospitals Inc. (b) - 22 Luminex Corp. (b) 5 49 Magellan Health Services Inc. (b) 5 165 Matria Healthcare Inc. (b) 3 82 Medcath Corp. (b) 1 25 Medical Action Industries Inc. (b) 1 22 Mentor Corp. 6 247 Merge Technologies Inc. (b) 2 32 Merit Medical Systems Inc. (b) 4 65 Micro Therapeutics Inc. (b) 2 9 Microtek Medical Holdings Inc. (b) 6 22 Microvision Inc. (b) (l) 3 14 Molina Healthcare Inc. (b) 2 76 Nastech Pharmaceutical Co. (b) (l) 3 43 National Healthcare Corp. 1 39 Novoste Corp. (b) 1 1 NuVasive Inc. (b) 2 34 Oakley Inc. 4 63 OCA Inc. (b) (l) 6 12 Odyssey Healthcare Inc. (b) 6 87 Option Care Inc. (l) 3 44 OraSure Technologies Inc. (b) 7 67 Orthologic Corp. (b) 6 22 Orthovita Inc. (b) 7 28 Paincare Holdings Inc. (b) 7 29 Palatin Technologies Inc. (b) 8 14 Palomar Medical Technologies Inc. (b) 2 55 Pediatrix Medical Group Inc. (b) 4 286 PolyMedica Corp. 5 167 Possis Medical Inc. (b) 2 25 PSS World Medical Inc. (b) 11 141 Psychiatric Solutions Inc. (b) 3 159 Quest Diagnostics Inc. - 2 Quidel Corp. (b) 5 24 Radiation Therapy Services Inc. (b) 2 40 Radiologix Inc. (b) 1 3 Rehabcare Group Inc. (b) 3 75 Res-Care Inc. (b) 3 40 Sierra Health Services Inc. - 22 Somanetics Corp. (b) 1 29 Sonosite Inc. (b) 3 78 Specialty Laboratories Inc. (b) 1 11 Stereotaxis Inc. (b) 1 7 Steris Corp. (b) 12 309 Sunrise Senior Living Inc. (b) 3 151 Surmodics Inc. (b) 2 102 Sybron Dental Specialties Inc. (b) 7 248 Symbion Inc. (b) 3 60 Symmetry Medical Inc. (b) 1 23 Techne Corp. (b) - 21 Theravance Inc. (b) 1 19 ThermoGenesis Corp. (b) 7 30 Thoratec Corp. (b) 8 120 TriPath Imaging Inc. (b) 5 40 U.S. Physical Therapy Inc. (b) 2 29 United Surgical Partners International Inc. (b) 5 252 Ventana Medical Systems Inc. (b) 5 200 Viasys Healthcare Inc. (b) 5 114 Vistacare Inc. - Class A (b) 2 33 Vital Images Inc. (b) (l) 2 31 Vital Signs Inc. 1 37 Vnus Medical Technologies (b) 1 11 WellCare Health Plans Inc. (b) 3 102 West Pharmaceutical Services Inc. 5 140 Wright Medical Group Inc. (b) 4 119 Young Innovations Inc. 1 32 Zila Inc. (b) (l) 8 23 Zoll Medical Corp. (b) 1 38 10,611 Holding Companies - Diversified - 0.2% Heritage Commerce Corp. (b) 2 28 Resource America Inc. - Class A 3 103 Walter Industries Inc. 6 239 370 Home Builders - 0.7% Brookfield Homes Corp. 3 119 Champion Enterprises Inc. (b) 13 131 Coachmen Industries Inc. 2 28 Comstock Homebuilding Cos. Inc. (b) 1 19 Dominion Homes Inc. (b) (l) 1 9 Fleetwood Enterprises Inc. (b) (l) 10 97 Levitt Corp - Class A 3 81 M/I Homes Inc. 2 108 Meritage Homes Corp. (b) - 19 Modtech Holdings Inc. (b) (l) 1 5 Monaco Coach Corp. (l) 4 77 Orleans Homebuilders Inc. - 9 Palm Harbor Homes Inc. (b) (l) 1 27 Skyline Corp. 1 46 Technical Olympic USA Inc. 2 43 Thor Industries 6 190 WCI Communities Inc. (b) (l) 6 188 William Lyon Homes Inc. (b) 1 74 Winnebago Industries (l) 5 176 1,446 Home Furnishings - 0.5% American Woodmark Corp. 2 53 Bassett Furniture Industries Inc. 2 32 DTS Inc. (b) 3 48 Ethan Allen Interiors Inc. 6 184 Furniture Brands International Inc. 8 179 Hooker Furniture Corp. 2 30 Kimball International - Class B 3 44 La-Z-Boy Inc. (l) 9 134 Maytag Corp. 13 202 Salton Inc. (b) (l) - - Stanley Furniture Co. Inc. 2 51 Tempur-Pedic International Inc. (b) 1 18 Tivo Inc. (b) (l) 8 56 Universal Electronics Inc. (b) 2 36 1,067 Household Products - 1.0% American Greetings Corp. (l) 1 20 Blyth Inc. 5 135 Central Garden & Pet Co. (b) 3 158 CNS Inc. (b) 2 45 CSS Industries Inc. 1 38 Ennis Inc. 4 76 Fossil Inc. (b) 8 176 Jarden Corp. (b) 5 269 John H. Harland Co. 5 180 Libbey Inc. 2 37 Lifetime Hoan Corp. 1 25 National Presto Industries Inc. 1 39 Playtex Products Inc. (b) 6 63 Russ Berrie & Co. Inc. 1 15 Spectrum Brands Inc. (b) 1 19 Standard Register Co. 2 29 Toro Co. - 18 Tupperware Corp. 9 205 Water Pik Technologies Inc. (b) 2 36 WD-40 Co. 3 82 Yankee Candle Co. Inc. (b) (l) 8 266 1,931 Insurance - 2.1% 21st Century Insurance Group 5 79 Affirmative Insurance Holdings Inc. 1 22 Alfa Corp. 6 86 American Equity Investment Life Holding Co. (l) 4 48 American Physicians Capital Inc. (b) 1 53 AmerUs Group Co. - 20 Argonaut Group Inc. (b) 4 88 Baldwin & Lyons Inc. - Class B 1 32 Bristol West Holdings Inc. 3 51 Ceres Group Inc. (b) 5 28 Citizens Inc. (b) (l) 5 29 CNA Surety Corp. (b) 3 43 Commerce Group Inc. - 20 Crawford & Co. - Class B 2 13 Delphi Financial Group Inc. 5 201 Direct General Corp. 3 54 Donegal Group Inc. 1 27 EMC Insurance Group Inc. 1 16 Enstar Group Inc. (b) (l) 1 37 FBL Financial Group Inc. 2 57 Fidelity National Financial Inc. - 2 First Acceptance Corp. (b) (l) 3 29 FPIC Insurance Group Inc. (b) 1 38 Great American Financial Resource Inc. 1 21 Harleysville Group Inc. 2 46 Hilb Rogal & Hobbs Co. 5 181 Horace Mann Educators Corp. 7 136 Independence Holding Co. 1 10 Infinity Property & Casualty Corp. 4 128 Kansas City Life Insurance Co. 1 29 KMG America Corp. (b) 3 29 LandAmerica Financial Group Inc. 3 178 Midland Co. 1 53 National Western Life Insurance Co. (b) - 72 Navigators Group Inc. (b) 1 48 Odyssey Re Holdings Corp. (b) (l) 2 49 Ohio Casualty Corp. 11 256 Philadelphia Consolidated Holding Co. (b) - 20 Phoenix Cos. Inc. (l) 16 189 PMA Capital Corp. (b) 4 39 Presidential Life 4 61 Proassurance Corp. (b) 4 182 RLI Corp. 4 167 Safety Insurance Group Inc. 2 63 Seabright Insurance Holdings Inc. (b) 1 15 Selective Insurance Group 5 230 State Auto Financial Corp. 2 76 Stewart Information Services Corp. 3 126 Tower Group Inc. 2 36 Triad Guaranty Inc. (b) 2 76 UICI 6 190 United America Indemnity Ltd. (b) 1 18 United Fire & Casualty Co. 2 106 Universal American Financial Corp. (b) 5 102 USI Holdings Corp. (b) 7 94 Vesta Insurance Group Inc. 5 13 Zenith National Insurance Corp. 3 174 4,286 Internet - 3.2% @ Road Inc. (b) 5 14 1-800 Contacts Inc. (b) 1 22 1-800-Flowers.com Inc. (b) 3 24 24/7 Real Media Inc. (b) 4 18 Agile Software Corp. (b) 9 55 Alloy Inc. (b) (l) 5 26 answerthink Inc. (b) 6 23 Applied Digital Solutions Inc. (b) (l) 8 27 aQuantive Inc. (b) 9 163 Ariba Inc. (b) 11 66 Asiainfo Holdings Inc. (b) 5 27 Audible Inc. (b) 4 61 Autobytel Inc. (b) 8 38 Avocent Corp. (b) 8 212 Blue Coat Systems Inc. (b) 2 48 Blue Nile Inc. (b) (l) 2 72 Click Commerce Inc. (b) (l) 1 30 CMGI Inc. (b) 78 147 CNET Networks Inc. (b) (l) 21 250 Corillian Corp. (b) 5 15 Cybersource Corp. (b) 4 30 Digital Insight Corp. (b) 6 147 Digital River Inc. (b) 6 179 Digitas Inc. (b) 14 163 DoubleClick Inc. (b) 19 159 Drugstore.com Inc. (b) 11 45 E.piphany Inc. (b) 12 40 EarthLink Inc. (b) 22 191 eCollege.com Inc. (b) 2 29 Entrust Inc. (b) 11 52 Equinix Inc. (b) 2 96 Eresearch Technology Inc. (b) (l) 8 105 F5 Networks Inc. (b) - 20 GSI Commerce Inc. (b) 5 78 Harris Interactive Inc. (b) 8 40 Homestore.com Inc. (b) (l) 17 35 InfoSpace Inc. (b) 5 176 Intermix Media Inc. (b) 4 31 Internet Capital Group Inc. (b) 6 47 Internet Security Systems (b) 7 137 Interwoven Inc. (b) 7 55 Ipass Inc. (b) 7 45 iVillage Inc. (b) 5 29 J2 Global Communications (b) 4 131 Jupitermedia Corp. (b) 3 55 Keynote Systems Inc. (b) 2 28 Kintera Inc. (b) (l) 1 3 Lionbridge Technologies Inc. (b) 7 48 Matrixone Inc. (b) 8 39 Motive Inc. (b) 3 26 Neoforma Inc. (b) (l) 2 11 Net B@nk Inc. 8 77 Net2Phone Inc. (b) 5 9 Netflex Inc. (b) (l) 6 92 Netratings Inc. (b) 2 27 NIC Inc. (b) 6 26 Online Resources Corp. (b) 3 30 Openwave Systems Inc. (b) 11 187 Opsware Inc. (b) 11 55 Overstock.com Inc. (b) (l) 2 73 PC-Tel Inc. (b) 3 25 Planetout Inc. (b) 1 8 Portal Software Inc. (b) 5 9 Priceline.com Inc. (b) (l) 4 91 Proquest Co. (b) 4 138 Provide Commerce Inc. (b) 1 29 Realnetworks Inc. (b) 20 97 Redback Networks Inc. (b) 5 33 Register.com (b) 2 18 Rightnow Technologies Inc. (b) 1 11 RSA Security Inc. (b) 12 134 S1 Corp. (b) 13 59 Sapient Corp. (b) 14 110 Secure Computing Corp. (b) 6 70 Seebeyond Technology Corp. (b) 10 41 Sohu.com Inc. (b) 4 80 Sonicwall Inc. (b) 10 55 Stamps.com Inc. (b) 3 53 Stellent Inc. (b) 3 22 Supportsoft Inc. (b) 6 29 Terremark Worldwide Inc. (b) (l) 7 51 TIBCO Software Inc. (b) 35 230 Travelzoo Inc. (b) (l) - 10 Trizetto Group Inc. (b) 6 91 Tumbleweed Communications Corp. (b) 7 18 United Online Inc. (b) 10 104 Valueclick Inc. (b) 13 163 Vasco Data Security International (b) (l) 3 30 Verity Inc. (b) 6 55 Vignette Corp. (b) 5 54 Vitria Technology Inc. (b) 2 6 WatchGuard Technologies Inc. (b) 5 18 WebEx Communications Inc. (b) 5 140 Webmethods Inc. (b) 8 44 Websense Inc. (b) 4 184 WebSideStory Inc. (b) 1 13 Zixit Corp. (b) (l) 3 9 6,516 Investment Companies - 0.3% Apollo Investment Corp. 10 192 Ares Capital Corp. 4 71 Capital Southwest Corp. - 36 Gladstone Capital Corp. (l) 2 38 Harris & Harris Group Inc. (b) (l) 3 33 MCG Capital Corp. 7 126 NGP Capital Resources Co. 3 42 Technology Investment Capital Corp. (b) 2 24 562 Iron & Steel - 0.6% AK Steel Holding Corp. 18 116 Allegheny Technologies Inc. 1 19 Carpenter Technology Corp. 4 215 Cleveland-Cliffs Inc. (l) 4 216 Gibraltar Industries Inc. 4 71 Oregon Stell Mills Inc. (b) 6 104 Reliance Steel & Aluminum Co. 5 175 Roanoke Electric Steel Corp. (b) 2 27 Ryerson Tull Inc. (l) 4 54 Schnitzer Steel Industries Inc. - Class A 3 79 Steel Dynamics Inc. 7 177 Steel Technologies Inc. 2 27 Wheeling-Pittsburgh Corp. (b) 2 23 1,303 Leisure Time - 0.5% Ambassadors Group Inc. 1 50 Ambassadors Internaitonal - 7 Arctic Cat Inc. 2 45 Callaway Golf Co. 12 193 Escalade Inc. 1 17 K2 Inc. (b) 7 87 Life Time Fitness Inc. (b) 4 120 Marine Products Corp. 2 31 Multimedia Games Inc. (b) (l) 4 49 Nautilus Group Inc. (l) 5 142 Navigant International Inc. (b) (l) 2 29 Pegasus Solutions Inc. (b) 4 45 WMS Industries Inc. (b) 3 107 922 Lodging - 0.6% Ameristar Casinos Inc. 4 98 Aztar Corp. (b) 6 199 Boyd Gaming Corp. - 19 Gaylord Entertainment Co. (b) 7 307 La Quinta Corp. (b) 32 301 Lodgian Inc. (b) 3 33 Marcus Corp. 3 69 Monarch Casino & Resort Inc. (b) 1 29 MTR Gaming Group Inc. (b) 4 50 Riviera Holdings Corp. (b) 1 11 1,116 Machinery - 1.8% AGCO Corp. (b) 15 284 Alamo Group Inc. (b) 1 9 Albany International Corp. 4 143 Applied Industrial Tech Inc. (b) 5 150 Astec Industries Inc. 2 51 Briggs & Stratton Corp. 8 293 Bucyrus International Inc. - Class A 3 121 Cascade Corp. 2 88 Cognex Corp. 7 174 Flowserve Inc. 9 275 Gardner Denver Inc. (b) 4 140 Gehl Co. (b) 1 36 Global Power Equipment Group Inc. (b) 6 47 Gorman-Rupp Co. 2 37 IDEX Corp. (l) 1 20 Intevac Inc. (b) 3 29 JLG Industries Inc. 9 237 Joy Global Inc. 1 37 Kadant Inc. (b) 3 57 Lindsay Manufacturing Co. 2 51 Manitowoc Co. Inc. 5 202 Middleby Corp. 1 37 NACCO Industries Inc. 1 90 Nordson Corp. 4 154 Presstek Inc. (b) (l) 4 44 Robbins & Myers Inc. 2 40 Sauer-danfoss Inc. 2 28 Stewart & Stevenson Services 5 115 Tecumseh Products Co. Inc. 3 73 Tennant Co. 1 45 Terex Corp. (b) - 19 Thomas Industries (b) 3 103 Turbochef Technologies Inc. (b) (l) 2 30 UNOVA Inc. (b) 8 215 Westinghouse Air Brake Technologies Corp. 8 162 3,636 Manufacturing - 1.6% Actuant Corp. - Class A (b) 5 218 Acuity Brands Inc. 7 183 Ameron International Corp. 1 50 Applied Films Corp. (b) 2 63 Aptargroup Inc. - 21 Barnes Group Inc. 3 86 Blount International Inc. (b) 4 75 Ceradyne Inc. (b) 4 94 Clarcor Inc. 9 250 Crane Co. 8 221 CUNO Inc. (b) 3 207 Enpro Industries Inc. (b) 3 100 Esco Technologies Inc. (b) 2 217 Federal Signal Corp. 8 131 Flanders Corp. (b) 2 17 Freightcar America Inc. (b) 1 19 Griffon Corp. (b) (l) 4 97 Hexcel Corp. (b) 7 125 Jacuzzi Brands Inc. (b) 13 136 Lancaster Colony Corp 5 200 Matthews International Corp. - Class A 5 212 Myers Industries Inc. 4 49 Quixote Corp. 1 22 Raven Industries Inc. 2 58 Smith Corp. 3 77 Standex International Corp. 2 58 Sturm Ruger & Co. Inc. 3 26 Tredegar Corp. 5 71 Trinity Industries Inc. (l) 7 215 3,298 Media - 1.6% 4kids Entertainment Inc. (b) 3 50 Beasley Broadcasting Group Inc. - Class A (b) 1 13 Charter Communications Inc. - Class A (b) (l) 44 52 Citadel Broadcasting Corp. (b) 7 76 Courier Corp. 2 69 Cox Radio Inc. - Class A (b) 6 93 Crown Media Holdings Inc. (b) 2 21 Cumulus Media Inc. - Class B (b) 9 101 Emmis Communications - Class A (b) (l) 4 79 Entercom Communications Corp. (b) 6 194 Entravision Communications Corp. (b) 12 91 Fisher Communications Inc. (b) 1 51 Gemstar-TV Guide International Inc. (b) 39 140 Gray Television Inc. 8 95 Hollinger International Inc. (l) 10 97 Insight Communications Co. Inc. (b) 7 81 Journal Communications Inc. 4 60 Journal Register Co. (b) 7 128 Liberty Corp. 3 94 Lin TV Corp. (b) 5 66 Lodgenet Entertainment Corp. (b) 2 34 Martha Stewart Living (b) (l) 3 102 Media General Inc. 3 226 Mediacom Communications Corp. (b) 11 76 Miva Inc. (b) 4 20 Nexstar Broadcasting Group - Class A (b) 2 10 Outdoor Channel Holdings Inc. (b) 1 13 Playboy Enterprises - Class B (b) 4 46 Primedia Inc. (b) 23 94 Radio One Inc. (b) 13 171 Reader's Digest Association - Class A 17 280 Regent Communications Inc. (b) 5 31 Saga Communications Inc. (b) 2 35 Salem Communications - Class A (b) 1 29 Scholastic Corp. (b) 5 203 Sinclair Broadcast Group - Class A 7 68 Spanish Broadcasting System - Class A (b) 6 59 Thomas Nelson Inc. 2 38 Value Line Inc. - 8 World Wrestling Entertainment Inc. 2 21 Young Broadcasting Inc. (b) 2 10 3,225 Metal Fabrication & Hardware - 0.7% Cazstle & Co. (b) 1 9 CIRCOR International Inc. 3 65 Commercial Metals Co. (b) 10 231 Dynamic Materials Corp. (b) - 12 Earle M Jorgensen Co. 3 24 Kaydon Corp. 5 138 Lawson Productions Inc. 1 35 Metals USA Inc. (b) 3 64 Mueller Industries Inc. 6 160 NN Inc. 3 36 NS Group Inc. (b) 3 112 Quanex Corp. (l) 4 228 Sun Hydraulics Corp. (b) (l) - 11 Valmont Industries Inc. 3 68 Worthington Industries 11 177 1,370 Mining - 0.7% Alpha Natural Resources Inc. (b) 5 122 AMCOL International Corp. 4 67 Brush Engineered Materials Inc. (b) 3 44 Century Aluminum Co. (b) 4 77 Charles & Colvard Ltd. (b) (l) 2 37 Coeur D'alene Mines Corp. (b) 41 151 Compass Minerals International 3 61 Foundation Coal Holdings Inc. 4 101 Hecla Mining Co. (b) 20 91 James River Coal Co. (b) 2 67 Royal Gold Inc. 3 57 RTI International Metals Inc. (b) 4 114 Stillwater Mining Co. (b) 7 51 Titanium Metals Corp. (b) (l) 1 68 USEC Inc. 14 205 1,313 Office & Business Equipment - 0.2% General Binding Corp. (b) 1 16 Global Imaging System Inc. (b) 4 129 IKON Office Solutions Inc. 19 178 Imagistics International Inc. (b) 3 75 TRM Corp. (b) (l) 2 29 427 Office Furnishings - 0.1% Compx International Inc. - 7 Interface Inc. 8 61 Knoll Inc. 2 36 Virco Manufacturing (b) 1 4 108 Oil & Gas Producers - 2.9% Atlas America Inc. (b) (l) - 11 ATP Oil & Gas Corp. (b) 3 62 Atwood Oceanics Inc. (b) 2 128 Berry Petroleum Co. - Class A 3 160 Bill Barrett Corp. (b) 2 62 Bois D'arc Energy Inc. (b) 2 30 Brigham Exploration Co. (b) 5 41 Cabot Oil & Gas Corp. - Class A 8 294 Callon Petroleum Co. (b) 2 32 Carrizo Oil & Gas Inc. (b) 3 45 Cheniere Energy Inc. (b) 9 286 Cimarex Energy Co. (b) 13 519 Clayton Williams Energy Inc. 1 22 Comstock Resources Inc. (b) 6 162 Crosstex Energy Inc. (b) (l) 1 40 Delta Petroleum Corp. (b) 5 65 Denbury Resources Inc. (b) (l) 1 22 Edge Petroleum Corp. (b) 3 42 Encore Acquisition Co. (b) 5 219 Endeavour International Corp. (b) (l) 8 28 Energy Partners Ltd. (b) 5 141 Frontier Oil Corp. 9 263 FX Energy Inc. (b) (l) 5 58 Gasco Energy Inc. (b) 8 30 Giant Industries Inc. (b) 2 76 Goodrich Petroleum Corp. (b) 1 26 Grey Wolf Inc. (b) (l) 31 231 Harvest Natural Resources Inc. (b) (l) 6 71 Helmerich & Payne Inc. - 22 Holly Corp. 4 164 Houston Exploration Co. (b) 5 254 KCS Energy Inc. (b) 8 143 McMoRan Exploration Co. (b) (l) 3 57 Meridian Resource Corp. (b) 13 62 Mission Resources (b) 7 60 Parallel Petroleum Corp. (b) 4 36 Parker Drilling Co. (b) 17 117 Penn Virginia Corp. 3 141 Petrohawk Energy Corp. (b) (l) 3 31 Petroleum Development Corp. (b) 3 84 Pioneer Drilling Co. (b) 3 41 Quicksilver Resources Inc. (b) (l) - 23 Remington Oil & Gas Corp. (b) 4 136 Southwestern Energy Co. (b) - 21 Spinnaker Exploration Co. (b) 4 149 St. Mary Land & Exploration (l) 10 278 Stone Energy Corp. (b) 4 196 Swift Energy Co. (b) 5 172 Tesoro Corp. (b) - 20 Tipperary Corp. (b) 2 10 Todco - Class A (b) 7 186 Toreador Resources Corp. (b) 2 49 Tri-valley Corp. (b) (l) 3 42 Unit Corp. (b) 1 24 Vintage Petroleum Inc. 1 22 W&T Offshore Inc. (b) 2 51 Warren Resources Inc. (b) 2 23 Whiting Petroleum Corp. (b) 5 172 5,952 Oil & Gas Services - 1.5% Cal Dive International Inc. (b) 7 342 Carbo Ceramics Inc. 2 178 Dril-Quip Inc. (b) 1 32 Global Industries Ltd. (b) 14 116 Gulf Island Fabrication Inc. 1 28 Hanover Compressor Co. (b) (l) 13 149 Hornbeck Offshore Services Inc. (b) 2 56 Hydril Co. (b) 3 169 Input/Output Inc. (b) 11 66 Lone Star Technologies Inc. (b) 5 220 Lufkin Industries Inc. 2 86 Markwest Hydrocarbon Inc. (b) 1 22 Matrix Service Co. (b) (l) 3 12 Maverick Tube Corp. (b) 7 218 Newpark Resources Inc. (b) 15 111 Oceaneering International Inc. (b) 4 167 Oil States International Inc. (b) 7 164 RPC Inc. 2 38 Seacor Holdings Inc. (b) (l) 3 199 Superior Energy Services Inc. (b) 13 225 Tetra Technologies Inc. (b) 4 126 Universal Compression Holdings Inc. (b) 3 102 Veritas DGC Inc. (b) 6 159 W-H Energy Services Inc. (b) 4 100 3,085 Packaging & Containers - 0.2% Chesapeake Corp 3 68 Crown Holdings Inc. (b) 1 20 Graphic Packaging Corp. (b) 11 40 Grief Inc. 2 147 Silgan Holdings Inc. 2 103 378 Pharmaceuticals - 3.7% Abgenix Inc. (b) (l) 15 128 Able Laboratories Inc. (b) (l) 3 10 Acadia Pharmaceuticals Inc. (b) 1 9 Accelrys Inc. (b) 4 18 Adolor Corp. (b) 6 58 Advancis Pharmaceutical Corp (b) (l) 1 2 Alkermes Inc. (b) 15 199 Alpharma Inc. Class A 7 102 Amylin Pharmaceuticals Inc. (b) (l) 17 358 Andrx Group (b) 12 242 Antigenics Inc. (b) 4 21 Array Biopharma Inc. (b) 5 31 Atherogenics Inc. (b) (l) 6 96 Avanir Pharmaceuticals - Class A (b) 15 41 Bentley Pharmaceuticals Inc. (b) 2 24 Bioenvision Inc. (b) (l) 5 39 BioMarin Pharmaceuticals Inc. (b) 11 84 BioScrip Inc. (b) 5 28 Bone Care International Inc. (b) 3 93 Bradley Pharmaceuticals Inc. (b) (l) 2 21 Caraco Pharmaceutical Laboratories Inc. (b) 2 13 Cell Therapeutics Inc. (b) (l) 12 32 Connetics Corp. (b) 6 97 Conor Medsystems Inc. (b) (l) 1 20 Corcept Therapeutics Inc. (b) (l) 1 3 Corixa Corp. (b) 9 40 Cubist Pharmaceuticals Inc. (b) 9 123 CV Therapeutics Inc. (b) (l) 6 136 Cypress Bioscience Inc. (b) 5 70 Dendreon Corp. (b) (l) 10 54 Depomed Inc. (b) (l) 3 14 Discovery Laboratories Inc. (b) 10 71 Dov Pharmaceutical Inc. (b) 3 53 Durect Corp. (b) (l) 5 25 Dusa Pharmaceuticals Inc. (b) 3 24 Dyax Corp. (b) 4 19 Dynavax Technologies Inc. (b) (l) 1 3 Eyetech Pharmaceuticals Inc. (b) (l) 5 63 First Horizon Pharmaceutical Corp. (b) 5 88 Genta Inc. (b) 8 10 Guilford Pharmaceuticals Inc. (b) 7 15 HealthExtras Inc. (b) 3 65 Hi-tech Pharmacal Co. Inc. (b) - 10 Hollis-Eden Pharmaceuticals (b) (l) 2 15 Idenix Pharmaceuticals Inc. (b) (l) 2 40 Idevus Pharmaceuticals Inc.(b) (l) 6 16 I-Flow Corp. (b) 3 53 Impax Laboratories Inc. (b) 8 128 Inkine Pharmaceutical Co. Inc. (b) 7 23 Inspire Pharmaceuticals Inc. (b) 6 54 Isis Pharmaceuticals Inc. (b) 8 30 Isolagen Inc. (b) (l) 3 12 Ista Pharmaceuticals Inc. (b) 2 15 Kos Pharmaceuticals Inc. (b) - 21 Kv Pharmaceutical Co. - Class A (b) (l) 6 104 Lannett Co. Inc. (b) 1 4 Ligand Pharmaceuticals - Class B (b) 12 84 Mannatech Inc. (l) 2 44 Mannkind Corp. (b) (l) 3 25 Medarex Inc. (b) 18 151 Medicines Co. (b) 8 188 Medics Pharmaceutical Corp. (b) (l) 9 281 MGI Pharma Inc. (b) 12 253 Nabi Biopharmaceuticals (b) 10 153 Natures Sunshine Products Inc. 2 28 NBTY Inc. (b) 9 235 NeighborCare Inc. (b) 7 217 Neopharm Inc. (b) 3 25 Neurocrine Biosciences Inc. (b) 6 252 Neurogen Corp. (b) 4 25 New River Pharmaceuticals Inc. (b) (l) 1 28 Nitromed Inc. (b) 2 33 Noven Pharmaceuticals Inc. (b) 4 73 NPS Pharmaceuticals Inc. (b) 6 69 Nutraceutical International Corp. (b) 1 16 Nuvelo Corp. (b) 6 49 Omega Protein Corp. (b) 1 4 Onyx Pharmaceuticals Inc. (b) 6 139 Pain Therapeutics Inc. (b) 5 37 Par Pharmaceuticals Cos. Inc. (b) 6 181 Penwest Pharmaceuticals Co. (b) 3 41 Perrigo Co. 14 198 PetMed Express Inc. (b) 2 12 Pharmacyclics Inc. (b) (l) 3 20 Pharmion Corp. (b) 4 87 Pozen Inc. (b) 4 32 Prestige Brands Holdings Inc. (b) 5 90 Priority Healthcare Corp. - Class B (b) 6 145 Progenics Pharmaceuticals (b) 3 61 Renovis Inc. (b) (l) 3 40 Rigel Pharmaceuticals Inc. (b) 3 60 Salix Pharmaceuticals Ltd. (b) 6 104 Santarus (b) 1 5 Sciclone Pharmaceuticals Inc. (b) (l) 6 28 Star Scientific Inc. (b) (l) 4 18 Tanox Inc. (b) 4 49 Trimeris Inc. (b) 3 27 United Therapeutics Corp. (b) 4 174 USANA Health Sciences Inc. (b) 2 77 Valeant Pharmaceutical International (l) 1 18 Viacell Inc. (b) 1 14 Vicuron Pharmaceuticals Inc. (b) 9 261 Vion Pharmaceuticals Inc. (b) (l) 12 27 Virbac Corp. (b) 1 2 Vivus Inc. (b) 4 16 Zymogenetrics Inc. (b) 3 61 7,424 Pipelines - 0.0% Transmontaigne Inc. (b) 5 53 Real Estate - 6.9% Aames Investment Corp. 7 70 Acadia Realty Trust 4 81 Affordable Residential Communities 5 60 Agree Realty Corp. (b) 1 28 Alexander's Inc. (b) - 77 Alexandria Real Estate Equites Inc. 4 259 American Campus Communities Inc. 2 48 American Financial Realty Trust 1 20 American Hom Mortgage Investment Corp. (l) 6 203 AMLI Residential Properties Trust 4 132 Anthracite Capital Inc. 9 103 Anworth Mortgage Asset Corp. 8 76 Arbor Realty Trust Inc. 2 54 Ashford Hospitality Trust 6 63 Avatar Holdings Inc. (b) (l) 1 37 Bedford Property Investors 3 61 Bimini Mortgage Management Inc. 4 51 BioMed Realty Trust Inc. 6 132 Boykin Lodging Co. (b) 2 28 Brandywine Realty Trust 9 282 California Coastal Communities Inc. (b) 1 36 Capital Automotive Reit 6 238 Capital Lease Funding Inc. 4 46 Capital Trust Inc. - Class A 2 63 Capstead Mortgage Corp. (l) 3 22 Carramerica Realty Corp. 1 20 CB Richard Ellis Group Inc. (b) 1 24 Cedar Shopping Centers Inc. 4 55 Colonial Properties Trust 6 286 Commercial Net Lease Realty 9 177 Cons Tomoka Land Co. 1 84 Corporate Office Properties Trust SBI MD 6 182 Correctional Properties Trust 2 56 Cousins Properties Inc. 6 177 Criimi Mae Inc. (b) (l) 2 48 CRT Properties Inc. 5 150 Diamondrock Hospitality Co. (b) 3 37 Digital Realty Trust Inc. 3 59 Eastgroup Properties 4 152 ECC Capital Corp. (b) 9 62 Education Realty Trust Inc. (b) 4 71 Entertainment Properties Trust 4 203 Equity Inns Inc. 9 126 Equity Lifestyle Properties Inc. 3 130 Equity One Inc. 6 141 Essex Property Trust Inc. - 20 Extra Space Storage Inc. (l) 5 71 Felcor Suite Hotels Inc. (b) 8 121 Fieldstone Investment Corp. 8 115 First Industrial Realty Trust 7 276 First Potomac Realty Trust (b) 2 60 Gables Residential Trust 5 217 Getty Realty Corp. 3 80 Glenborough Realty Trust Inc. 5 111 Glimcher Realty Trust 6 167 Global Signal Inc. - 17 GMH Communities Trust 5 72 Government Properties Trust Inc. (l) 4 34 Gramercy Capital Corp. 2 59 Healthcare Realty Trust Inc. 1 20 Heritage Property Investment Trust (l) 5 164 Hersha Hospitality Trust (b) 3 28 Highland Hospitality Corp. 6 65 Highwoods Properties Inc. 9 274 Home Properties Inc. 6 242 Homebanc Corp. 9 84 IMPAC Mortgage Holdings Inc. (l) 12 232 Inland Real Estate Corp. 11 173 Innkeepers USA Trust 7 107 Investors Real Estate Trust 8 73 Jones Lang Lasalle Inc. (b) 6 258 Kilroy Realty Corp. 5 227 Kite Realty Group Trust 3 48 Lasalle Hotel Properties 5 171 Lexington Corporate Properties Trust 8 196 LTC Properties Inc. 4 74 Luminent Mortgage Capital Inc. 6 68 Maguire Properties Inc. 6 162 MeriStar Hospitality Corp. (b) (l) 15 131 MFA Mortgage Investments Inc. 14 102 Mid-America Apartment Communities Inc. 3 138 Mision West Properties 3 29 Mortgageit Holdings Inc. 2 44 National Health Investors Inc. 4 113 National Health Realty (b) 1 22 Nationwide Health Properties Inc. 11 271 New Century Financial Corp. (l) - 21 Newcastle Investment Corp. 7 220 Northstar Realty Finance Corp. (b) 3 28 Novastar Financial Inc. (l) 5 182 Omega Healthcare Investors Inc. 8 106 One Liberty Properties Inc. (b) 1 10 Origen Financial Inc. 1 7 Parkway Properties Inc. 2 120 Penn Real Estate Investment Trust 6 284 Post Properties Inc. 7 239 Prentiss Properties Trust 8 280 PS Business Parks Inc. 3 121 Rait Investment Trust 4 134 Ramco-Gershenson Properties 3 75 Reading International Inc. - Class A (b) 2 14 Realty Income Corp. 1 20 Redwood Trust Inc. (l) 3 167 Saul Centers Inc. 2 68 Saxon Capital Inc. 8 143 Senior Housing Prop Trust 10 190 Sirva Inc. (b) 3 27 Sizeler Property Investors Inc. (b) 2 30 Sovran Self Storage Inc. 3 124 Spirit Finance Corp. (b) 11 133 Strategic Hotel Capital Inc. 5 82 Sun Communities Inc. 3 98 Sunstone Hotel Investors Inc. 4 99 Tanger Factory Outlet Center 5 127 Tarragon Corp. (l) 2 41 Taubman Centeres Inc. 9 292 Town & Country Trust 3 88 Trammell Crow Co. (b) 6 134 Trustreet Properties Inc. 12 195 United Capital Corp. (b) - 13 Universal Health Realty Income Trust 2 78 Urstadt Biddle Properties Inc. - Class A 4 61 U-Store-It Trust 5 93 Washington Real Estate Investment Trust 7 218 Winston Hotels Inc. 4 40 ZipRealty Inc. (b) 1 9 13,857 Retail - 6.6% 99 Cents Only Stores (b) (l) 8 101 AC Moore Arts & Crafts Inc. (b) 2 70 Aeropostale Inc. (b) 9 319 AFC Enterprises (b) 3 35 America's Car-Mart Inc. (b) 1 33 Asbury Automotive Group Inc. (b) 2 26 Bebe Stores Inc. 1 19 Big 5 Sporting Goods Corp. 3 97 Big Lots Inc. (b) 19 246 BJ's Restaurants Inc. (b) 2 49 Blair Corp. 1 51 Blockbuster Inc. - Class A (b) (l) 31 285 Bob Evans Farms Inc. 6 137 Bombay Co. Inc. (b) 6 36 Bon-Ton Stores Inc. 1 15 Brookstone Inc. (b) 3 61 Brown Shoe Co. Inc. 3 116 Buckle Inc. 1 61 Buffalo Wild Wings Inc. (b) 1 31 Build-A-Bear Workshop Inc. (b) (l) 1 33 Burlington Coat Factory Warehouse Corp. 3 128 Cabela's Inc. - Class A (b) (l) 5 102 Cache Inc. (b) 1 22 California Pizza Kitchen Inc. (b) 3 92 Casey's General Stores Inc. 8 166 Cash America International Inc. 5 101 Casual Male Retail Group Inc. (b) (l) 4 31 Cato Corp. - Class A 5 99 CBRL Group Inc. - 19 CEC Entertainment Inc. (b) 6 269 Charlotte Russe Holding Inc. (b) 2 30 Charming Shoppes (b) 19 180 Children's Place Retail Stores Inc. (b) 3 158 Christopher & Banks Corp. 7 119 CKE Restaurants Inc. (b) 10 137 Coldwater Creek Inc. (b) 6 148 Conn's Inc. (b) 1 24 Cosi Inc. (b) 3 21 Cost Plus Inc. (b) 4 96 CSK Auto Inc. (b) 8 130 Dave & Buster's Inc. (b) 2 32 DEB Shops Inc. 1 16 Denny's Corp. (b) 13 66 Design Within Reach Inc. (b) 2 32 Dick's Sporting Goods Inc. (b) (l) 1 23 Domino's Pizza Inc. 5 110 Dress Barn Inc. (b) 4 81 Electronics Boutique Holdings Corp. (b) 2 125 Factory 2-U Stores Inc. (b) (l) - - Finish Line - Class A 7 133 First Cash Financial Services Inc. (b) 2 41 Footstar Inc. (b) (l) 2 8 Fred's Inc. 7 110 GameStop Corp. (b) 8 240 Gander Mountain Co. (b) (l) 1 10 Genesco Inc. (b) 4 132 Goody's Family Clothing Inc. 3 24 Group 1 Automotive Inc. (b) 3 80 Guitar Center Inc. (b) 4 259 Hancock Fabrics Inc. (l) 3 18 Haverty Furniture 3 45 Hibbett Sporting Goods Inc. (b) 4 150 HOT Topic Inc. (b) (l) 8 150 Ihop Corp. 3 150 Insight Enterprises Inc. (b) 8 164 J. Jill Group Inc. (b) 3 42 Jack In The Box Inc. (b) 6 232 Jo-Ann Stores Inc. (b) 4 101 JOS A Bank Clothiers Inc. (b) (l) 2 90 Kenneth Cole Productions Inc. 2 48 Kirkland's Inc. (b) 2 15 Krispy Kreme Doughnuts Inc. (b) (l) 9 61 Landry's Restaurants Inc. 4 111 Linens `N Things Inc. (b) 8 180 Lithia Motors Inc. - Class A 2 68 Lone Star Steakhouse & Saloon Inc. 3 85 Longs Drug Stores Corp. 5 217 Luby's Inc. (b) 3 35 MarineMax Inc. (b) 2 61 Men's Wearhouse Inc. (b) 1 20 Movado Group Inc. 2 47 Movie Gallery Inc. (l) 4 110 New York & Co. Inc. (b) 2 34 Nu Skin Enterprises Inc. 9 219 O'Charleys Inc. (b) 3 60 Pacific Sunwear of California Inc. 12 285 Panera Bread Co. - Class A (b) (l) - 19 Pantry Inc. (b) 3 102 Papa John's International Inc. (b) 2 80 Park City Corp. (b) 2 20 Payless Shoesource Inc. (b) 12 227 PEP Boys-Manny Moe & Jack 10 131 Petco Animal Supplies Inc. (b) 9 278 PF Chang's China Bistro Inc. (b) (l) 4 254 Pier 1 Imports Inc. 14 198 Rare Hospitality International Inc. (b) 6 175 Red Robin Gourmet Burgers (b) 2 141 Regis Corp. 7 288 Restoration Hardware Inc. (b) 4 30 Retail Ventures Inc. (b) 2 27 Ruby Tuesday Inc. 11 274 Rush Enterprises Class A (b) 1 19 Rush Enterprises Inc. (b) 1 17 Ryan's Restaurant Group (b) 7 104 School Specialty Inc. (b) 4 177 Select Comfort Corp. (b) 6 136 Sharper Image Corp. (b) (l) 2 29 Shoe Carnival Inc. (b) 1 24 Shopko Stores Inc. 5 117 Smart & Final Inc. (b) 2 24 Sonic Automotive Inc. 5 96 Sonic Corp. (b) 1 21 Sports Authority Inc. (b) 4 137 Stage Stores Inc. (b) 3 143 Steak N Shake Co. (b) 4 77 Stein Mart Inc. (b) 4 92 Systemax Inc. (b) 2 10 Talbots Inc. 4 116 TBC Corp (b) 4 102 Texas Roadhouse Inc. - Class A (b) 3 114 Too Inc. (b) 6 134 Tractor Supply Co. (b) 5 269 Trans World Entertainment Corp. (b) 4 42 Triarc Cos. Inc. (l) 6 87 Tuesday Morning Corp. (b) 4 135 United Auto Group Inc. 4 126 West Marine Inc. (b) 2 37 Wet Seal Inc. (b) 6 38 Wilsons The Leather Experts (b) 3 18 World Fuel Services Corp. 4 93 Zale Corp. (b) 9 289 13,280 Savings & Loans - 1.9% Anchor Bancorp. Wisconsin Inc. 3 104 Atlantic Coast Federal (b) 1 10 BankAtlantic Bancorp. Inc. 7 136 BankUnited Financial Corp. (b) 5 125 Berkshire Hills Bancorp. Inc. 1 27 Beverly Hills Bancorp. Inc. 2 21 BFC Financial Corp. (b) (l) 1 10 Brookline Bancorp. Inc. 10 161 CFS Bancorp. Inc. 1 18 Charter Financial Corp. 1 20 Citizens First Bancorp. Inc. 1 26 Clifton Savings Bancorp. Inc. 2 22 Commercial Capital Bancorp. Inc. 7 113 Commercial Federal Corp. 7 238 Dime Community Bancshares 5 81 Downey Financial Corp. - 19 Fidelity Bankshares Inc. 3 92 First Financial Holdings Inc. 2 62 First Niagara Financial Group Inc. 20 297 First Place Financial 2 46 FirstFed Financial Corp. (b) 3 168 Flagstar Bancorp. Inc. (l) 5 98 Flushing Financial Corp. 3 54 Franklin Bank Corp. (b) 3 54 Harbor Florida Bancshares 4 132 Horizon Financial Corp. 2 40 ITLA Capital Corp. (b) 1 42 Kearny Financial Corp. (b) 4 44 K-Fed Bancorp. (l) 1 10 KNBT Bancorp. Inc. 5 81 MAF Bancorp. Inc. 5 224 MASSBANK Corp. - 13 NASB Financial Inc. - 17 Newalliance Bancshares Inc. 19 262 Northwest Bancorp. Inc. 3 73 OceanFirst Financial Corp. 1 29 Ocwen Financial Corp. 6 44 Parkvale Financial Corp. 1 15 Partners Trust Financial Group Inc. 7 77 Pennfed Financial Services Inc. 1 24 PFF Bancorp. Inc. 3 101 Provident Financial Holdings Inc. 1 26 Provident Financial Services 12 215 Provident New York Bancorp. (b) 8 99 Sterling Financial Corp. (b) 4 148 TierOne Corp. 3 82 United Community Financial 4 44 Westfield Financial Inc. 1 14 WSFS Financial Corp. 1 60 3,918 Semiconductors - 3.8% Actel Corp. (b) 5 64 ADE Corp. (b) 2 47 AMIS Holdings Inc. (b) 7 95 Amkor Technology Inc. (b) 15 67 Applied Micro Circuits Corp. (b) 49 125 Asyst Technologies Inc. (b) 8 37 Atmel Corp. (b) 68 161 ATMI Inc. (b) 6 188 August Technology Corp. (b) 3 31 Axcelis Technologies Inc. (b) 17 115 Brooks Automation Inc. (b) 7 111 Ceva Inc. (b) 2 10 Cirrus Logic Inc. (b) 14 74 Cohu Inc. 4 71 Conexant Systems Inc. 75 120 Credence Systems Corp. (b) 16 145 Cypress Semiconductor Corp. (b) (l) 22 273 Diodes Inc. (b) 1 44 DSP Group Inc. (b) 5 121 Emcore Corp. (b) 2 9 Emulex Corp. (b) (l) 14 250 Entegris Inc. (b) 9 93 ESS Technology (b) 6 24 Exar Corp. (b) 7 103 Fairchild Semiconductor International Inc. (b) 20 291 Formfactor Inc. (b) 6 146 Genesis Microchip Inc. (b) 5 101 Helix Technology Corp. 4 59 Integrated Circuit Systems Inc. (b) 11 235 Integrated Device Technology Inc. (b) 18 189 Integrated Silicon Solutions Inc. (b) 5 40 IXYS Corp. (b) 3 47 Kopin Corp. (b) 11 58 Kulicke & Soffa Industries Inc. (b) (l) 9 69 Lattice Semiconductor Corp. (b) 20 89 Leadis Technology Inc. (b) 1 7 LTX Corp. (b) 10 48 Mattson Technology Inc. (b) 7 47 Micrel Inc. (b) 12 137 Microsemi Corp. (b) 10 194 Microtune Inc. (b) 9 44 Mindspeed Technologies Inc. (b) (l) 15 19 MIPS Technologies Inc. - Class A (b) 7 50 MKS Instruments Inc. (b) 6 94 Monolithic Power Systems Inc. (b) (l) 1 8 Monolithic System Technology Inc. (b) 4 18 Mykrolis Corp. (b) 7 103 Netlogic Microsystems Inc. (b) (l) 2 30 Omnivision Technologies Inc. (b) (l) 9 126 ON Semiconductor Corp. (b) 24 109 Pericom Semiconductor Corp. (b) 4 30 Photroncis Inc. (b) 6 133 Pixelworks Inc. (b) 7 63 PLX Technology Inc. (b) 3 34 PMC - Sierra Inc. (b) 30 280 Portalplayer Inc. (b) (l) 2 44 Power Integrations Inc. (b) 5 102 Rambus Inc. 17 222 Rudolph Technologies Inc. (b) 2 31 Semitool Inc. (b) 2 23 Semtech Corp. (b) 12 199 Sigmatel Inc. (b) 6 96 Silicon Image Inc. (b) 14 140 Silicon Laboratories Inc. (b) (l) 7 181 Sirf Technology Holdings Inc. (b) 5 95 Skyworks Solutions Inc. (b) (l) 27 202 Staktek Holdings Inc. (b) 1 3 Standard Microsystems Corp. (b) 3 72 Supertex Inc. (b) 1 25 Tessera Technologies Inc. (b) 7 240 Transwitch Corp. (b) (l) 13 27 Triquint Semiconductor Inc. (b) 24 81 Ultratech Inc. (b) 4 65 Varian Semiconductor Equipment Associates Inc. (b) 6 230 Veeco Instruments Inc. (b) (l) 4 73 Vitesse Semiconductor Corp. (b) 35 74 Volterra Semiconductor Corp. (b) (l) 2 29 Zoran Corp. (b) 7 97 7,627 Software - 3.1% Actuate Corp. (b) 8 15 Acxiom Corp. 14 301 Advent Software Inc. (b) 4 81 Allscripts Healthcare Solutions Inc. (b) (l) 5 76 Altiris Inc. (b) 3 50 American Reprographics Co. (b) 2 26 AMICAS Inc. (b) 7 32 Ansys Inc. (b) 5 190 Aspen Technology Inc. (b) 6 33 Atari Inc. 2 5 Authentidate Holding Corp. (b) (l) 4 10 Blackbaud Inc. (b) 1 16 Blackboard Inc. (b) 3 63 Borland Software Corp. (b) 13 90 Bottomline Technologies Inc. (b) 1 10 Callwave Inc. (b) (l) 1 4 Captaris Inc. (b) 5 19 CCC Information Services Group (b) 2 41 Cerner Corp. (b) (l) - 22 Computer Programs & Systems Inc. 1 42 Concur Technologies Inc. (b) (l) 4 43 CSG Systems International Inc. (b) 9 164 Datastream Systems Inc. (b) 2 16 Dendrite International Inc. (b) 6 88 Digi International Inc. (b) 4 43 Eclipsys Corp. (b) 6 87 Efunds Corp. (b) 8 144 Emageon Inc. (b) 2 31 Embarcado Technologies Inc. (b) 3 16 Epicor Software Corp. (b) 8 108 EPIQ Systems Inc. (b) 2 34 FalconStor Software Inc. (b) (l) 4 27 Filenet Corp. (b) 7 181 Hyperion Solutions Corp. (b) - 19 IDX Systems Corp. (b) 4 116 Infocrossing Inc. (b) (l) 3 34 Informatica Corp. (b) 15 126 infoUSA Inc. (b) 5 59 InPhonic Inc. (b) (l) 2 38 Intelidata Technologies Corp. (b) 1 - Inter-Tel Inc. 4 68 Intervideo Inc. (b) 1 20 JDA Software Group Inc. (b) (l) 4 49 Keane Inc. (b) 9 121 Lawson Software Inc. (b) (l) 9 46 Majesco Entertainment Co. (b) (l) 1 8 Mantech International Corp. - Class A (b) 3 92 Manugistics Group Inc. (b) 8 15 Mapinfo Corp. (b) 4 40 Micromuse Inc. (b) 14 79 MicroStrategy Inc. - Class A (b) 3 137 Midway Games Inc. (b) (l) 5 53 Moneygram International Inc. 14 271 MRO Software Inc. (b) 3 49 NDCHealth Corp. 6 115 NetIQ Corp. (b) 10 114 Omnicell Inc. (b) 3 27 Onyx Software Corp. (b) - 1 Open Solutions Inc. (b) 3 64 Opnet Technologies Inc. (b) 2 15 Packeteer Inc. (b) 6 79 PalmSource Inc. (b) 2 21 Parametric Technology Corp. 45 286 PDF Solutions Inc. (b) 2 29 Pegasystems Inc. (b) 2 10 Per-Se Technologies Inc. (b) (l) 4 77 Petroquest Energy Inc. (b) 5 36 Phase Forward Inc. (b) 4 24 Phoenix Technologies Ltd. (b) 3 27 Pinnacle Systems Inc. (b) 12 68 PLATO Learning Inc. (b) 4 27 Progress Software Corp. (b) 6 180 QAD Inc. 2 15 Quality Systems Inc. (b) 1 56 Quest Software Inc. (b) (l) 10 138 Renaissance Learning Inc. (l) 1 20 Salesforce.com Inc. (b) 1 16 Scansoft Inc. (b) 15 55 Schawk Inc. 2 48 Seachange International Inc. (b) 4 29 Serena Software Inc. (b) 4 82 SPSS Inc. (b) 3 51 SS&C Technologies Inc. 2 79 Synnex Corp. (b) 1 18 Take-Two Interactive Software Inc. (b) 1 17 THQ Inc. (b) 6 188 Transactions Systems Architects Inc. (b) 7 164 Trident Microsystems Inc. (b) 4 92 Ulticom Inc. (b) 2 19 Ultimate Software Group Inc. (b) 4 62 Verifone Holdings Inc. (b) 4 58 Verint Systems Inc. (b) 2 62 Wind River Systems Inc. (b) 12 186 Witness Systems Inc. (b) 4 78 6,281 Storage/Warehousing - 0.0% Mobile Mini Inc. (b) 3 86 Telecommunications - 1.0% Allaska Communications Systems Group (l) 3 25 Aspect Communications Inc. (b) 7 78 Cincinnati Bell Inc. (b) 41 177 Commonwealth Telephone Enterprises Inc. (b) 4 154 CT Communications Inc. 3 42 Essex Corp. (b) 2 57 Fairpoint Communications Inc. 4 66 General Communication - Class A (b) 8 74 Globetel Communications (b) (l) 9 26 Golden Telecom Inc. (b) (l) 3 102 Hickory Technology Corp. 1 10 IDT Corp. - Class B (b) 9 119 Intrado Inc. (b) 3 38 Iowa Telecommunicatoins Services Inc. 3 59 Level 3 Communications Inc. (b) (l) 113 230 Mastec Inc. (b) 4 32 Premiere Global Services Inc. (b) 11 124 RCN Corp. (b) 3 80 Shenandoah Telecommunications Co. 1 39 Surewest Communications 2 62 Talk America Holdings Inc. (b) 4 41 Telkonet Inc. (b) (l) 2 10 Time Warner Telecom - Class A (b) 9 55 US Unwired Inc. (b) 20 118 USA Mobility Inc. (b) 4 131 Valor Communications Group Inc. 5 73 2,022 Telecommunications Equipment - 2.0% 3Com Corp. (b) 64 233 Adaptec Inc. (b) 20 76 Adtran Inc. 11 267 Aeroflex Inc. (b) 11 94 Anaren Inc. (b) 3 44 Anixter International Inc. (b) 5 184 Applied Signal Technology 2 31 Arris Group Inc. (b) 14 124 Atheros Communications Inc. (b) (l) 5 38 Avanex Corp. (b) (l) 12 10 Black Box Corp. 3 93 Broadwing Corp. (b) (l) 11 51 C-COR Inc. (b) 8 52 Ciena Corp. (b) 95 199 CommScope Inc. (b) 9 163 Comtech Telecommunications Corp. (b) 4 116 Ditech Communications Corp. (b) 5 30 Extreme Networks (b) 18 72 Finsar Corp. (b) 25 27 Foundry Networks Inc. (b) 20 171 Harmonic Inc. (b) 12 56 Hypercom Corp. (b) 8 53 Ixia (b) 5 97 KVH Industries Inc. (b) (l) 2 20 MRV Communications Inc. (b) (l) 19 41 Netgear Inc. (b) 5 91 Network Equipment Technologies Inc. (b) 4 22 Newport Corp. (b) 7 100 NMS Communications Corp. (b) 8 21 North Pittsburgh Systems Inc. 3 50 Oplink Communications Inc. 16 27 Optical Communication Products Inc. (b) 2 5 Paradyne Networks Inc. (b) 5 10 Parkervision Inc. (b) (l) 1 4 Plantronics Inc. 8 294 Polycom Inc. 16 244 Safenet Inc. (b) 4 142 Sonus Networks Inc. (b) (l) 38 182 Stratos Lightwave Inc. (b) (l) - 1 Sycamore Networks Inc. (b) 29 98 Symmetricom Inc. (b) 7 77 Tekelec (b) 9 154 Terayon Communication Systems Inc. (b) (l) 13 39 Utstarcom Inc. (b) (l) 16 118 Westell Technologies Inc. (b) 8 45 WJ Communications (b) 5 8 Zhone Technologies Inc. (b) (l) 10 32 4,106 Textiles - 0.1% Angelica Corp. (l) 2 37 Dixie Group Inc. (b) 2 30 G&K Services Inc. - Class A 3 115 Innovo Group Inc. (b) (l) 2 3 Unifirst Corp. 2 65 250 Tobacco - 0.2% Alliance One International Inc. (b) 13 77 Universal Corp. 4 186 Vector Group Ltd. (l) 4 77 340 Toys & Hobbies - 0.2% Action Performance Cos. Inc. 2 20 Department 56 Inc. (b) 2 21 Jakks Pacific Inc. (b) 4 82 Leapfrog Enterprises Inc. (b) (l) 5 58 Rc2 Corp. (b) 3 104 Topps Co. Inc. 6 65 350 Transportation - 1.6% ABX Air Inc. (b) 9 71 Alexander & Baldwin Inc. - 21 Amerco Inc. (b) 2 86 Arkansas Best Corp. 4 123 Covenant Transport Inc. (b) 1 17 Dynamex Inc. (b) 2 27 EGL Inc. (b) 7 147 Florida East Coast Industrials - Class A 5 228 Forward Air Corp. 6 159 Frozen Food Express Industries Inc. (b) 1 10 GATX Corp 8 284 Genesee & Wyoming Inc. - Class A (b) 4 98 Greenbrier Cos. Inc. 1 23 Gulfmark Offshore Inc. (b) 2 65 Heartland Express Inc. 8 148 Hub Group Inc. - Class A (b) 3 80 Interpool Inc. 1 29 Kansas City Southern Industries Inc. (b) 14 280 Kirby Corp. (b) 4 165 Knight Transportation Inc. 6 154 Laidlaw International (b) 1 20 Landstar System Inc. (b) 1 19 Maritrans Inc. (b) 1 31 Marten Transport Ltd. (b) 2 34 Offshore Logistics (b) 3 111 Old Dominion Freight Line Inc. (b) 3 76 Overnite Corp. 5 202 Overseas Shipholding Group - 21 Pacer International Inc. (b) 6 129 PAM Transportation Services (b) 1 16 Petroleum Helicopters Inc. (b) (l) - 5 Quality Distribution Inc. (b) 1 10 Railamerica Inc. (b) 6 72 SCS Transportation Inc. (b) 3 45 Seabulk International Inc. (b) 1 29 Swift Transportation Co. Inc. (b) 1 19 Universal Truckload Services Inc. (b) 1 16 US Xpress Enterprises Inc. (b) 1 12 USA Truck Inc. (b) 1 20 Werner Enterprises Inc. 8 157 3,259 Water - 0.2% American States Water Co. 3 84 California Water Service Group 3 109 Connecticut Water Services Inc. 1 33 Middlesex Water Co. 2 37 Pico Holdings Inc. (b) 1 43 SJW Corp. 1 52 Southwest Water Co. (l) 3 35 393 Wireless Telecommunications - 0.8% Airspan Networks Inc. (b) (l) 5 25 Alamosa Holdings Inc. (b) 2 22 Audiovox Corp. (b) 3 45 Carrier Access Corp. (b) 3 15 Centennial Communications Corp. (b) 4 49 Dobson Communications Corp. (b) (l) 19 80 EMS Technologies Inc. (b) 2 23 Endwave Corp. (b) (l) 1 45 Glenayre Technologies Inc. (b) 9 33 Interdigital Communication Corp. (b) 9 163 Jamdat Mobile Inc. (b) (l) 2 47 Novatel Wireless Inc. (b) 4 44 Powerwave Technologies Inc. (b) (l) 18 185 Price Communications Corp. (b) 8 132 Remec Inc. (b) 5 29 RF Micro Devices Inc. 31 169 SBA Communications Corp. (b) 12 158 Spectralink Corp. 3 31 Stratex Networks Inc. (b) 14 24 Suncom Wireless Holdings - Class A (b) 6 12 Syniverse Holdings Inc. (b) 3 41 Ubiquitel Inc. (b) 12 98 Viasat Inc. (b) 4 72 Wireless Facilities Inc. (b) 8 50 1,592 Total Common Stocks (cost $175,802) 192,780 Short Term Investments - 15.0% Money Market Funds - 4.3% Dreyfus Cash Management Plus Fund, 3.05% (a) (n) 8,529 8,529 Securities Lending Collateral - 10.5% Mellon GSL Delaware Business Trust Collateral Fund (n) 21,289 21,289 U.S. Treasury Bills - 0.2% US Treasury Bill, 2.947%, 09/08/05 (m) $410 408 Total Short Term Investments (cost $30,226) 30,226 Total Investments - 110.5% (cost $206,028) 223,006 Other Assets and Liabilities, Net - (10.5%) (21,214) Total Net Assets - 100% $201,792 JNL/Oppenheimer Global Growth Fund Percentage of Total Industry Sector Investments (o) Communications 21.4% Consumer, Non-cyclical 18.7% Financial 16.4% Technology 11.0% Industrial 9.6% Energy 8.9% Consumer, Cyclical 8.6% Money Market Investment 2.8% Diversified 1.5% Utilities 1.1% 100.0% Common Stocks - 96.6% Advertising - 0.5% JC Decaux SA (b) 37 $935 WPP Group Plc 82 841 1,776 Aerospace & Defense - 4.2% Boeing Co. 21 1,379 Empresa Brasileira de Aeronautica SA - ADR 71 2,358 European Aeronautic Defense and Space Co. 78 2,488 Lockheed Martin Corp. 18 1,148 Northrop Grumman Corp. 19 1,033 Ratheon Co. 44 1,702 10,108 Apparel - 0.6% Coach Inc. (b) 44 1,470 Auto Manufacturers - 0.7% Toyota Motor Corp. 49 1,761 Banks - 7.3% Anglo Irish Bank Corp. Plc (b) 111 1,379 Australia And New Zealand Banking Group Ltd. 34 569 Bayerische Hypo-und Vereinsbank AG (b) 33 861 Credit Suisse Group (b) 28 1,109 HSBC Holdings Plc 149 2,374 ICICI Bank Ltd. - ADR 88 1,933 Northern Trust Corp. 52 2,352 Resona Holdings Inc. 453 839 Royal Bank of Scotland Group Plc 136 4,117 Societe Generale - Class A 21 2,132 17,665 Beverages - 1.5% Cia De Bebidas Das Americas (b) 8 212 Companhia De Bebidas Das Americas - ADR 42 1,288 Fomento Economico Mexicano SA de CV 214 1,274 Grupo Modelo SA 293 912 3,685 Biotechnology - 2.9% Affymetrix Inc. (b) (l) 31 1,683 Amgen Inc. (b) 34 2,056 Genentech Inc. (b) (l) 19 1,557 Genzyme Corp. 19 1,118 Human Genome Sciences Inc. (b) 23 261 Millennium Pharmaceuticals Inc. (b) 21 191 Nektar Therapeutics (b) 10 168 7,034 Commercial Services - 0.1% Nektar Therapeutics (b) (e) 11 150 Computers - 1.5% Cadence Design Systems Inc. (b) (l) 66 904 International Business Machines Corp. 25 1,880 Sun Microsystems Inc. (b) 260 968 3,752 Cosmetics & Personal Care - 1.1% Gillette Co. 38 1,944 Shiseido Co. Ltd. 54 680 2,624 Diversified Financial Services - 4.6% American Express Co. 44 2,326 Charles Schwab Corp. 66 748 Citigroup Inc. 15 698 Credit Saison Co. Ltd. 36 1,186 JPMorgan Chase & Co. 57 2,012 MBNA Corp. 57 1,490 Morgan Stanley 52 2,739 11,199 Electric - 0.6% Energias De Portugal SA 266 671 Fortum Oyj 46 736 1,407 Electrical Components & Equipment - 0.9% Samsung Electronics Co. Ltd. 5 2,201 Electronics - 2.3% Applied Biosystems Group - Applera Corp 37 724 Keyence Corp. 5 1,109 Koninklijke Philips Electronics NV 102 2,586 Murata Manufacturing Co. Ltd. 17 847 Omron Corp. 10 220 5,486 Engineering & Construction - 0.2% JGC Corp. 36 441 Entertainment - 0.7% International Game Technology 56 1,585 Food - 1.0% Cadbury Schweppes Plc 249 2,378 Gas - 0.5% GAIL India Ltd. 18 94 Hong Kong & China Gas 596 1,210 1,304 Hand & Machine Tools - 0.2% Nidec Corp. 4 401 Healthcare - 2.8% Cie Generale d'Optique Essilor International SA 13 906 Hoya Corp. 11 1,299 Medtronic Inc. 11 559 Quest Diagnostics Inc. 41 2,173 Smith & Nephew Plc 199 1,967 6,904 Holding Companies - Diversified - 1.5% Hutchison Whampoa Ltd. 105 945 LVMH Moet Hennessy Louis Vuitton SA 36 2,769 3,714 Home Furnishings - 1.0% Sony Corp. 74 2,549 Household Products - 2.4% Hindustan Lever Ltd. 394 1,482 Reckitt Benckiser Plc 149 4,401 5,883 Insurance - 3.4% ACE Ltd. 48 2,167 Allianz AG 20 2,346 Berkshire Hathaway Inc. (b) 1 1,503 Everest Re Group Ltd. 9 865 Manulife Financial Corp. 28 1,341 8,222 Internet - 2.0% Amazon.Com Inc. (b) (l) 21 698 Ebay Inc. (b) 86 2,822 Trend Micro Inc. 26 906 Yahoo Japan Corp. (b) - 489 4,915 Investment Companies - 0.7% Investor AB - Class B (b) 58 791 Macquarie Airports 331 900 1,691 Leisure Time - 0.4% Carnival Corp. 19 1,031 Manufacturing - 1.3% Nikon Corp. 89 1,000 Siemens AG 30 2,160 3,160 Media - 5.7% Grupo Televisa SA - ADR 33 2,036 Pearson Plc 126 1,484 Reed Elsevier Plc 107 1,021 Singapore Press Holdings 439 1,117 Sirius Satellite Radio (b) (l) 824 5,336 Television Broadcasts Ltd. 311 1,754 ZEE Telefilms Ltd. 340 1,216 13,964 Office & Business Equipment - 0.3% Canon Inc. 16 839 Oil & Gas Producers - 7.8% BP Plc - ADR 30 1,885 Burlington Resources Inc. 24 1,348 Chevron Corp. 35 1,952 Encana Corp. 53 2,084 ENI SpA 40 1,042 GlobalSantaFe Corp. 66 2,709 Husky Energy Inc. 75 2,976 Oil & Natural Gas Corp. Ltd. 13 310 Total SA 4 1,014 Transocean Inc. (b) 68 3,665 18,985 Oil & Gas Services - 1.1% Neste Oil (b) 8 207 Technip-coflexip SA 52 2,398 2,605 Pharmaceuticals - 7.0% Chugai Pharmaceutical Co. Ltd. 57 875 Eli Lilly & Co. 12 663 Express Scripts Inc. (b) 25 1,230 Eyetech Pharmaceuticals Inc. (b) (l) 20 246 Gilead Sciences Inc. 52 2,292 Novartis AG 30 1,414 Pfizer Inc. 49 1,358 Roche Holding AG 23 2,924 Sanofi-synthelabo SA 52 4,240 Shionogi & Co. Ltd. 94 1,209 Wyeth 13 565 17,016 Retail - 4.6% Circuit City Stores Inc. 61 1,055 Dixons Group Plc 568 1,597 Gap Inc. 39 776 Gus Plc 37 587 Hesses & Mauritz AB - Class B 137 4,811 Industria De Diseno Textil SA 23 593 Starbucks Corp. (b) 25 1,292 Tiffany & Co. 18 593 11,304 Semiconductors - 3.2% Advanced Micro Devices Inc. (b) (l) 143 2,480 Altera Corp. (b) 31 618 Cree Inc. (b) (l) 20 520 International Rectifier Corp. (b) 13 630 National Semiconductor Corp. 58 1,271 Silicon Laboratories Inc. (b) (l) 12 307 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 215 1,960 7,786 Shipbuilding - 0.5% Hyundai Heavy Industries 25 1,272 Software - 5.0% Electronic Arts Inc. 6 357 IMS Health Inc. 40 981 Infosys Technologies Ltd. 58 3,133 Intuit Inc. (b) 22 997 Microsoft Corp. 97 2,417 Novell Inc. (b) 201 1,246 SAP AG 16 2,744 Square Enix Co. Ltd. (b) 9 258 12,133 Telecommunications - 2.7% France Telecom SA 67 1,971 KDDI Corp. 1 2,966 Tele Norte Leste Participacoes SA (b) 104 1,712 6,649 Telecommunications Equipment - 2.5% Cisco Systems Inc. (b) 68 1,301 Corning Inc. (b) 168 2,790 Enterasys Networks Inc. (b) (l) 1 1 Juniper Networks Inc. (b) 32 801 Tandberg ASA 105 1,125 6,018 Tobacco - 0.4% Altria Group Inc. 10 647 ITC Ltd. 9 326 973 Transportation - 0.4% Peninsular & Oriental Steam 188 1,068 Venture Capital - 0.4% 3i Group Plc 87 1,060 Wireless Telecommunications - 7.7% Qualcomm Inc. 51 1,690 SK Telecom Co. Ltd. - ADR (e) (l) 117 2,381 Telefonaktiebolaget LM Ericsson 2,176 6,994 Vodafone Group Plc 3,158 7,698 18,763 Total Common Stocks (cost $197,406) 234,932 Preferred Stocks - 0.5% Auto Manufacturers - 0.5% Porsche AG 2 1,263 Total Preferred Stocks (cost $906) 1,263 Short Term Investments - 13.9% Money Market Funds - 2.8% Dreyfus Cash Management Plus Fund, 3.05% (a) 6,800 6,800 Securities Lending Collateral - 11.1% Mellon GSL Delaware Business Trust Collateral Fund 26,931 26,931 Total Short Term Investments (cost $33,731) 33,731 Total Investments - 111.0% (cost $232,043) 269,926 Other Assets and Liabilities, Net - (11.0%) (26,766) Total Net Assets - 100% $243,160 JNL/Oppenheimer Growth Fund Percentage of Total Industry Sector Investments (o) Technology 22.1% Communications 19.8% Consumer, Non-cyclical 18.5% Consumer, Cyclical 16.9% Energy 7.5% Financial 7.3% Industrial 7.2% Money Market Investment 0.7% 100.0% Common Stocks - 99.1% Apparel - 1.0% Polo Ralph Lauren Corp. 6 $267 Auto Parts & Equipment - 1.1% Autoliv Inc. 6 276 Beverages - 1.7% PepsiCo Inc. 8 431 Biotechnology - 4.6% Amgen Inc. (b) 4 254 Genentech Inc. (b) 8 658 Genzyme Corp. 4 240 1,152 Commercial Services - 0.9% Apollo Group Inc. - Class A (l) 3 219 Computers - 6.0% Apple Computer Inc. (b) 10 372 Cognizant Tech Solutions Corp. (b) 5 250 EMC Corp. (b) 60 823 Sun Microsystems Inc. (b) 19 70 1,515 Cosmetics & Personal Care - 2.0% Colgate-Palmolive Co. 4 210 Gillette Co. 1 25 Proctor & Gamble Co. 5 280 515 Diversified Financial Services - 3.6% American Express Co. 7 351 Goldman Sachs Group Inc. 2 245 Legg Mason Inc. 3 312 908 Healthcare - 5.1% Guidant Corp. 1 67 Johnson & Johnson 5 306 Kinetic Concepts Inc. (b) 4 246 Varian Medical Systems Inc. (b) 18 656 1,275 Insurance - 3.7% Aflac Inc. 5 229 AMBAC Financial Group Inc. 2 126 American International Group Inc. 10 581 936 Internet - 5.9% Ebay Inc. (b) 12 399 Google Inc. - Class A (b) 2 471 Opsware Inc. (b) 7 34 VeriSign Inc. (b) 9 267 Yahoo! Inc. (b) 9 319 1,490 Leisure Time - 0.9% Carnival Corp. 4 224 Manufacturing - 5.5% 3M Co. 4 268 General Electric Corp. 27 918 Tyco International Ltd. 7 199 1,385 Media - 2.4% Comcast Corp. - Class A (b) 11 350 Walt Disney Co. 10 262 612 Oil & Gas Producers - 5.5% Amerada Hess Corp. 4 373 Apache Corp. (l) 6 381 Noble Energy Inc. 5 356 Transocean Inc. (b) 5 264 1,374 Oil & Gas Services - 2.0% Schlumberger Ltd. 7 501 Pharmaceuticals - 4.2% Abbott Laboratories 7 319 Eli Lilly & Co. 5 251 Gilead Sciences Inc. 11 479 1,049 Retail - 13.9% Abercrombie & Fitch Co. - Class A 2 131 Best Buy Co. Inc. 4 260 Chico's FAS Inc. (b) (l) 10 350 Home Depot Inc. 15 599 Kohl's Corp. (b) 7 375 Staples Inc. 27 584 Starbucks Corp. (b) 4 227 Target Corp. 11 582 Urban Outfitters Inc. (b) 2 125 Williams-Sonoma Inc. (b) 7 257 3,490 Semiconductors - 6.2% Broadcom Corp. - Class A (b) 11 380 Intel Corp. 15 401 International Rectifier Corp. (b) 6 277 Maxim Integrated Products Inc. 6 237 Texas Instruments Inc. 9 264 1,559 Software - 9.8% Adobe Systems Inc. 9 246 Autodesk Inc. 6 217 Mercury Interactive Corp. (b) (l) 9 330 Microsoft Corp. 49 1,205 NAVTEQ Corp. (b) 4 138 SAP AG - ADR 8 325 2,461 Telecommunications - 2.4% Amdocs Ltd. (b) 7 188 Neustar Inc. - Class A (b) 4 110 Sprint Corp. (l) 12 304 602 Telecommunications Equipment - 6.2% Avaya Inc. (b) 16 131 Cisco Systems Inc. (b) 42 801 Comverse Technology Inc. (b) 4 99 Corning Inc. (b) 33 540 1,571 Transportation - 1.7% FedEx Corp. 3 211 UTI Worldwide Inc. 3 216 427 Wireless Telecommunications - 2.8% Motorola Inc. 16 299 Nokia Corp. - Class A - ADR 13 208 Qualcomm Inc. 6 191 698 Total Common Stocks (cost $23,260) 24,936 Short Term Investments - 4.5% Money Market Funds - 0.7% Dreyfus Cash Management Plus Fund, 3.05% (a) 187 187 Securities Lending Collateral - 3.8% Mellon GSL Delaware Business Trust Collateral Fund 945 945 Total Short Term Investments (cost $1,132) 1,132 Total Investments - 103.6% (cost $24,392) 26,068 Other Assets and Liabilities, Net - (3.6%) (899) Total Net Assets - 100% $25,169 JNL/PIMCO Total Return Bond Fund Percentage of Total Industry Sector Investments (o) Mortgage Securities 46.2% Financial 23.0% Government 20.5% Asset Backed Securities 3.1% Energy 3.0% Money Market Investment 1.5% Consumer, Cyclical 0.9% Technology 0.6% Communications 0.6% Industrial 0.5% Utilities 0.1% 100.0% Preferred Stocks - 0.5% Banks - 0.4% DG Funding Trust, 4.80% (b) (e) - $2,136 Sovereign - 0.1% Fannie Mae, 7.00% (b) 9 483 Total Preferred Stocks (cost $2,537) 2,619 Options - 0.0% Eurodollar Future Put Option, Expiration September 2005, Strike Price $94.50 EUR 1 - Eurodollar Future Put Option, Expiration September 2005, Strike Price $94.87 EUR - - Total Options (cost $6) - Corporate Bonds - 11.9% Apparel - 0.1% Bank of America Mortgage Securities, 6.50%, 10/25/31$434 448 Asset Backed Securities - 6.2% aaiPharma Inc., 3.414%, 11/26/35 (e) 2,094 2,098 Aames Mortgage Investments Trust, 3.394%, 07/25/35 196 196 Ameriquest Mortgage Securities Inc., 3.584%, 08/25/32 (g) 4 4 Amortizing Residential Collateral Trust, 3.604%, 07/25/32 (g) 15 15 Banc of America Funding Corp., 4.118%, 05/25/35 1,200 1,186 Bank of America Mortgage Securities, 6.50%, 09/25/33 161 163 Bear Stearns Adjustable Rate Mortgage Trust 4.314%, 11/25/30 (g) 18 18 5.259%, 10/25/32 (g) 24 24 5.345%, 02/25/33 (g) 161 163 5.63%, 02/25/33 (g) 90 91 5.081%, 04/25/33 369 366 4.72%, 01/25/34 (g) 999 982 Bear Stearns Alternate Trust, 05/25/35, 5.448% (g) 2,035 2,073 Capital Auto Receivables Asset Trust, 3.23%, 06/15/06 (e) (g) 253 253 Carrington Mortgage Loan Trust, 3.24%, 06/25/35 500 500 Centex Home Equity, 3.414%, 03/25/34 147 147 Citibank Omni Master Trust 3.5181%, 08/18/09 4,000 4,001 3.7681%, 11/17/09 3,700 3,705 Countrywide Home Loan Servicing LP 3.46%, 12/25/22 903 903 3.58%, 05/25/34 850 848 Credit Based Asset Servicing And Securitization LLC 3.44%, 09/25/21 142 142 3.63%, 06/25/32 (g) 42 42 Equity One Inc. 3.594%, 11/25/32 (g) 220 220 3.424%, 07/25/34 (g) 451 451 First Nationwide Trust, 3.91%, 09/25/31 (g) 1 1 Home Equity Mortgage Trust, 3.46%, 12/25/34 512 512 Household Home Equity Loan Trust, 3.78%, 10/20/32 (g) 623 624 IMPAC Medical Systems Inc., 3.564%, 04/25/34 645 644 IndyMac Bancorp. Inc., 6.65%, 01/25/32 (g) 4 4 Irwin Financial Corp., 3.689%, 06/25/21 (e) (g) 12 12 Mellon Residential Funding Corp., 3.92%, 10/20/29 (g) 695 698 Mellon Residual Funding Corp., 3.46%, 06/15/30 1,400 1,399 Mid-State Trust, 8.33%, 04/01/30 (g) 26 28 Nelnet Student Loan Trust, 3.151%, 04/25/11 (g) 321 321 Park Place Securities Inc., 3.514%, 10/25/34 400 400 Prime Mortgage Trust 3.714%, 02/25/19 (g) 82 82 3.714%, 02/25/34 (g) 327 328 Residential Asset Mortgage Products, 3.56%, 02/25/34 1,750 1,753 Small Business Administration Particification Certificates, 5.13%, 09/01/23 92 95 5.52%, 06/01/24 1,805 1,893 Sequenom Inc., 3.77%, 10/19/26 (g) 441 441 Structured Asset Securities Corp. 3.76%, 06/25/17 (g) 48 49 3.79%, 03/25/31 (g) 14 14 6.13%, 02/25/32 (g) 9 9 3.75%, 09/19/32 (g) 545 546 3.60%, 01/25/33 (g) 13 13 Torrens Trust, 3.48%, 07/15/31 (e) (g) 71 71 Washington Mutual Financial Corp., 3.75%, 08/25/42 (g) 1,790 1,798 Washington Mutual Inc. 5.38%, 02/25/31 (g) 89 90 5.13%, 10/25/32 (g) 139 140 Wells Fargo Mortgage Backed Securities Trust, 3.474%, 06/25/19 157 157 30,713 Auto Manufacturers - 0.2% DaimlerChrysler NA Holdings Inc., 3.89%, 05/24/06 (l) 900 902 Banks - 0.5% Banque Cent De Tunisie, 7.50%, 08/06/09 (e) 300 424 Citigroup Global Markets Holding Inc., 3.41%, 03/07/08 1,700 1,699 Fifth Third Bank, 7.75%, 08/15/10 500 502 2,625 Chemicals - 0.0% Dow Chemical Co., 8.04%, 07/02/05 8 8 Diversified Financial Services - 4.0% American General Finance Corp., 3.4919%, 03/23/07 300 300 BNP Paribas SA, 5.186%, 06/29/49 (e) 1,500 1,517 Credit Suisse First Boston Corp., 3.72%, 03/25/32 (e) (g) 329 330 Ford Motor Credit Co. 3.5725%, 07/07/05 1,800 1,799 7.60%, 08/01/05 (l) 3,100 3,108 6.875%, 02/01/06 2,300 2,323 5.80%, 01/12/09 4,100 3,892 General Motors Acceptance Corp. 7.50%, 07/15/05 1,300 1,301 4.39%, 10/20/05 2,100 2,102 GSAMP Trust, 3.50%, 10/25/33 1,152 1,153 UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 335 Vendee Mortgage Trust Co., 6.50%, 09/15/24 1,204 1,289 19,449 Electric - 0.1% Pacific Gas & Electric Co., 3.82%, 04/03/06 (l) 400 400 Electronics - 0.0% Parker Hannifin Employee Stock Ownership Trust, 6.34%, 07/15/08 (e) 96 99 Pipelines - 0.5% El Paso Corp. 8.05%, 10/15/30 (l) 1,000 990 7.80%, 08/01/31 1,500 1,459 2,449 Telecommunications - 0.2% Qwest Services Corp., 7.625%, 06/15/15 (e) 900 919 Sprint Capital Corp., 6.00%, 01/15/07 100 102 1,022 Total Corporate Bonds (cost $56,732) 58,114 Government Securities - 60.8% Asset Backed Securities - 0.0% Freddie Mac, 3.838%, 11/15/30 (g) 16 16 Small Business Administration Participants 7.45%, 08/01/10 32 35 6.29%, 01/01/21 69 73 124 Sovereign - 7.6% Bonos Y Oblig Del Estado, 4.20%, 01/31/37 (b) 300 397 Bundesrepublic Deutschland 5.625%, 01/04/28 400 631 5.50%, 01/04/31 1,400 2,213 Canadian Government Bond 5.75%, 06/01/33 400 404 3.00%, 12/01/36 207 211 Federal Republic of Brazil 10.50%, 07/14/14 400 473 8.875%, 10/14/19 100 106 11.00%, 08/17/40 350 421 France Government Bond, 4.00%, 04/25/55 300 387 Republic of Brazil 4.25%, 04/15/06 (g) 32 32 9.23%, 06/29/09 (g) 100 116 4.31%, 04/15/12 (g) 741 713 8.00%, 04/15/14 2,480 2,541 Republic of Panama 9.375%, 07/23/12 200 242 9.375%, 01/16/23 200 247 8.875%, 09/30/27 200 239 Republic of Peru 9.125%, 02/21/12 600 702 9.875%, 02/06/15 600 743 Republic of South Africa, 9.125%, 05/19/09 100 116 Russian Federation, (Step-Up Bond), 5.00%, 03/31/30 (d) (h) 3,100 3,461 Spanish Government Bond, 5.75%, 07/30/32 500 818 United Mexican States 0.00%, 06/30/06 (g) 6,886 177 0.00%, 06/30/07 (g) 4,850 116 8.375%, 01/14/11 200 233 6.375%, 01/16/13 250 268 8.125%, 12/30/19 500 614 8.00%, 09/24/22 800 980 8.30%, 08/15/31 1,400 1,743 36,931 Treasury Inflation Index Securities - 1.9% US Treasury Inflation Indexed Note 3.375%, 01/15/07 100 127 1.625%, 01/15/15 (l) 700 711 2.375%, 01/15/25 (l) 5,400 6,103 3.625%, 04/15/28 (l) 1,300 2,102 9,043 U.S. Government Agencies - 47.1% Fannie Mae, 3.319%, 09/22/06 1,700 1,699 Fannie Mae Grantor Trust, 3.34%, 11/28/35 565 564 Fannie Mae Whole Loan, 6.50%, 12/25/42 210 219 Federal Home Loan Mortgage Corp. 6.00%, 03/01/16 147 151 6.00%, 08/01/16 60 62 5.00%, 11/01/18 803 813 6.25%, 08/25/22 4 4 7.00%, 05/15/23 796 844 6.00%, 10/01/32 378 379 6.00%, 03/01/33 479 491 6.00%, 08/01/33 206 211 Federal National Mortgage Association 5.00%, TBA (c) 14,000 13,969 5.50%, TBA (c) 43,000 43,578 4.50%, TBA (c) 500 498 5.00%, TBA (c) 1,000 1,011 5.50%, 11/01/13 16 17 5.50%, 03/01/16 188 193 6.00%, 04/01/16 264 273 6.00%, 05/01/16 90 93 6.00%, 08/01/16 42 43 6.00%, 09/01/16 36 38 6.00%, 11/01/16 173 179 5.50%, 12/01/16 440 452 5.50%, 01/01/17 163 168 6.00%, 02/01/17 33 34 5.50%, 03/01/17 144 148 6.00%, 03/01/17 195 202 6.00%, 04/01/17 147 152 6.00%, 05/01/17 41 42 5.50%, 10/01/17 119 122 6.00%, 10/01/17 129 134 5.50%, 11/01/17 82 85 5.00%, 05/01/18 24 24 5.00%, 06/01/18 457 462 5.00%, 08/01/18 2,190 2,216 5.00%, 09/01/18 1,126 1,139 5.00%, 10/01/18 646 653 5.00%, 01/01/19 724 733 5.00%, 02/01/19 292 295 5.00%, 04/01/19 652 660 5.00%, 06/01/19 1,865 1,887 5.00%, 10/01/19 2,261 2,287 5.00%, 12/01/19 2,421 2,449 4.50%, 02/01/20 479 477 5.50%, 11/01/32 2,894 2,936 5.50%, 01/01/33 876 889 6.00%, 03/01/33 80 82 5.00%, 04/25/33 1,564 1,544 5.50%, 11/01/33 872 885 5.50%, 01/01/34 127 129 5.50%, 02/01/34 2,015 2,044 5.50%, 03/01/34 715 725 5.50%, 04/01/34 7,999 8,116 5.50%, 05/01/34 1,794 1,821 5.50%, 06/01/34 3,501 3,551 5.50%, 09/01/34 3,913 3,969 5.50%, 11/01/34 2,121 2,152 6.50%, 11/01/34 411 425 5.50%, 12/01/34 10,348 10,494 5.50%, 01/01/35 9,362 9,495 5.50%, 02/01/35 56,587 57,393 5.50%, 03/01/35 15,741 15,965 5.50%, 04/01/35 8,010 8,123 5.50%, 05/01/35 1,680 1,702 5.50%, 06/01/35 499 506 3.904%, 09/01/40 (g) 79 81 3.664%, 03/25/44 2,031 2,032 FHA St. Regis Nursing Home, 7.50%, 03/01/32 194 196 Freddie Mac 5.367%, 07/01/27 (g) 6 6 4.50%, 03/15/34 6,558 5,951 4.50%, 04/15/34 6,534 5,938 Government National Mortgage Association 3.375%, 05/20/26 (g) 191 194 4.38%, 02/20/27 (g) 20 20 3.375%, 04/20/30 (g) 48 49 3.375%, 05/20/30 (g) (l) 40 41 3.75%, 02/20/32 (g) 473 476 4.00%, 02/20/32 (g) 285 289 RFCSP Strip Principal Only, 10/15/20 (k) 400 202 228,581 U.S. Treasury Securities - 4.2% U.S. Treasury Bond 7.875%, 02/15/21 1,400 1,982 6.00%, 02/15/26 6,600 8,132 5.50%, 08/15/28 (l) 2,000 2,355 U.S. Treasury Note 4.875%, 02/15/12 5,600 5,947 4.75%, 05/15/14 1,900 2,016 20,432 Total Government Securities (cost $291,166) 295,111 Municipals - 1.5% Illinois State Series A Municipal, 5.00%, 03/01/34 200 210 New York City Series J Municipal, 5.00%, 03/01/30 300 317 New York City Water & Sewer - Class C, 5.00%, 06/15/31 3,200 3,409 State of Texas, 6.90%, 04/01/35 300 317 Tobacco Settlement Funding Corp. 6.125%, 06/01/24 500 534 6.75%, 06/01/39 2,400 2,680 Total Municipals (cost $6,996) 7,467 Short Term Investments - 42.4% Banks - 0.3% Rabobank USA Corp., 3.105%, 08/09/05 1,300 1,296 Commercial Paper - 3.4% Swedbank Inc., 3.12%, 08/03/05 3,700 3,689 Westpac Capital Corp., 3.33%, 10/03/05 (f) 12,900 12,788 16,477 Diversified Financial Services - 19.9% Bank of Ireland 3.18%, 08/22/05 12,500 12,443 3.19%, 08/22/05 1,300 1,294 Danske Corp. 3.02%, 07/15/05 8,000 7,991 3.11%, 08/05/05 600 598 3.18%, 08/24/05 (f) 5,000 4,976 Dexia Delaware Inc., 3.235%, 08/12/05 2,400 2,391 Fortis Funding LLC, 3.27%, 09/23/05 11,700 11,611 General Electric Corp. 3.09%, 07/25/05 1,300 1,297 3.29%, 09/09/05 (f) 1,500 1,490 Ixis Corp., 3.08%, 07/19/05 3,300 3,295 Rabobank USA Corp. 3.36%, 07/01/05 1,000 1,000 3.105%, 08/08/05 (f) 12,200 12,160 Skandi Ensk Bank 3.04%, 07/14/05 1,000 999 3.07%, 07/14/05 300 300 3.17%, 08/18/05 5,200 5,178 3.18%, 08/19/05 300 299 3.31%, 09/15/05 (f) 6,300 6,256 Spintab AB 3.08%, 08/11/05 300 299 3.18%, 09/01/05 1,800 1,790 Stadshypotek AB, 3.115%, 07/25/05 3,800 3,792 Svenska Handelsbank, 3.16%, 08/03/05 2,500 2,486 UBS Finance LLC 3.39%, 07/01/05 800 800 3.02%, 07/22/05 5,900 5,890 3.115%, 07/25/05 500 499 3.185%, 09/06/05 (f) 6,300 6,263 3.255%, 09/26/05 1,000 992 96,389 Money Market Funds - 1.5% Dreyfus Cash Management Plus Fund, 3.05% (a) 7,132 7,132 Oil & Gas Producers - 2.7% Total Fina Elf, 3.37%, 07/01/05 $13,200 13,200 Securities Lending Collateral - 3.8% Mellon GSL Delaware Business Trust Collateral Fund 18,327 18,327 U.S. Government Agencies - 10.3% Federal Home Loan Bank Discount Note, 2.60%, 07/01/05 $10,700 10,700 Federal Home Loan Mortgage Corp. 3.07%, 08/01/05 3,000 2,992 3.225%, 09/09/05 2,300 2,286 Federal National Mortgage Association 2.65%, 07/01/05 13,200 13,200 3.14%, 08/24/05 (f) 12,600 12,541 3.175%, 08/31/05 3,800 3,780 3.36%, 11/30/05 4,600 4,535 50,034 U.S. Treasury Bills - 0.5% U.S. Treasury Bill 2.92%, 09/01/05 (m) 550 547 2.93%, 09/15/05 (m) 1,665 1,655 2,202 Total Short Term Investments (cost $205,057) 205,057 Total Investments - 117.1% (cost $562,494) 568,368 Other Assets and Liabilities, Net - (17.1%) (82,939) Total Net Assets - 100% $485,429 JNL/Putnam Equity Fund Percentage of Total Industry Sector Investments (o) Financial 29.6% Consumer, Non-cyclical 19.5% Consumer, Cyclical 14.5% Energy 10.2% Technology 9.4% Communications 9.3% Industrial 5.4% Basic Materials 1.3% Utilities 0.8% 100.0% Common Stocks - 99.0% Advertising - 0.3% Omnicom Group Inc. 11 $870 Aerospace & Defense - 0.0% Boeing Co. - 13 Lockheed Martin Corp. 1 31 United Technologies Corp. - 10 54 Airlines - 0.8% JetBlue Airways Corp. (b) 25 505 Southwest Airlines Co. 60 832 1,337 Apparel - 0.9% Coach Inc. (b) 13 443 Nike Inc. - Class B 12 1,005 1,448 Auto Parts & Equipment - 0.3% Autoliv Inc. 12 530 Banks - 6.3% Bank of America Corp. 35 1,605 Commerce Bancorp. Inc. (l) 129 3,922 Investors Financial Services Corp. (l) 43 1,634 US Bancorp. 94 2,751 9,912 Biotechnology - 1.7% Amgen Inc. (b) 45 2,697 Biogen Idec Inc. (b) - 9 Genzyme Corp. - 18 2,724 Building Materials - 1.1% Masco Corp. 53 1,671 Chemicals - 0.3% E.I. du Pont de Nemours & Co. 1 43 PPG Industries Inc. 8 496 539 Commercial Services - 3.1% Accenture Ltd. 18 408 Alliance Data Systems Corp. (b) (l) 24 961 Apollo Group Inc. - Class A (b) 21 1,674 Cendant Corp. 63 1,414 Equifax Inc. 10 350 R.R. Donnelley & Sons Co. 1 17 4,824 Computers - 5.0% Apple Computer Inc. (b) 60 2,191 Dell Inc. (b) 92 3,647 EMC Corp. (b) 44 606 Hewlett-Packard Co. 35 825 Lexmark International Inc. (b) - 19 Sandisk Corp. (b) 25 593 7,881 Cosmetics & Personal Care - 0.4% Avon Products Inc. 17 643 Estee Lauder Cos. Inc. 1 27 670 Diversified Financial Services - 14.4% Bear Stearns Cos. Inc. 19 1,953 Capital One Financial Corp. (l) 47 3,765 Chicago Mercantile Exchange Holdings Inc. 4 1,093 Countrywide Financial Corp. 89 3,421 Doral Financial Corp. 21 351 Fannie Mae 60 3,498 Freddie Mac 31 2,042 Goldman Sachs Group Inc. 18 1,847 Lehman Brothers Holdings Inc. 27 2,710 Morgan Stanley 22 1,139 Providian Financial Corp. (b) 45 788 22,607 Electric - 0.8% AES Corp. (b) 70 1,150 Dominion Resources Inc. - 29 Entergy Corp. - 38 PG&E Corp 1 49 Sierra Pacific Resources (b) (l) 2 20 Wisconsin Energy Corp. - 15 1,301 Electronics - 0.4% Amphenol Corp. - Class A 15 603 Flextronics International Ltd. (b) 1 15 618 Food - 0.3% Safeway Inc. 20 445 Supervalu Inc. 1 33 478 Healthcare - 5.6% Aetna Inc. 7 551 Becton Dickinson & Co. 9 449 HCA Inc. 22 1,218 Humana Inc. 12 489 Johnson & Johnson 59 3,849 Medtronic Inc. 1 31 Pacificare Health Systems Inc. (b) 6 400 St. Jude Medical Inc. (b) - 17 Triad Hospitals Inc. - 11 UnitedHealth Group Inc. 36 1,851 WellPoint Inc. (b) - 14 8,880 Home Builders - 1.2% Lennar Corp. (l) 7 431 NVR Inc. (l) 2 1,378 1,809 Home Furnishings - 0.4% Whirlpool Corp. 8 561 Insurance - 7.9% ACE Ltd. 25 1,142 American International Group Inc. 125 7,273 Everest Re Group Ltd. 30 2,799 PMI Group Inc. 33 1,286 12,500 Internet - 3.8% Ebay Inc. (b) 49 1,611 Google Inc. - Class A (b) 2 500 IAC/InterActiveCorp (b) (l) 17 402 Symantec Corp. 84 1,834 Yahoo! Inc. (b) 46 1,590 5,937 Iron & Steel - 0.4% United States Steel Corp. (b) (l) 17 584 Leisure Time - 2.4% Harley Davidson Inc. (l) 40 2,004 Royal Caribbean Cruises Ltd. (l) 27 1,286 Sabre Holdings Corp. 21 421 3,711 Lodging - 0.5% Las Vegas Sands Corp. (b) (l) 23 836 Machinery - 1.0% Caterpillar Inc. 9 867 Cummins Inc. (l) 9 671 1,538 Manufacturing - 2.5% 3M Co. - 14 Eastman Kodak Co. (l) 37 991 Parker Hannifin Corp. 13 806 Tyco International Ltd. 73 2,128 3,939 Media - 1.2% Comcast Corp. - Class A (b) 23 697 McGraw-Hill Cos. Inc. 28 1,221 Walt Disney Co. 1 25 1,943 Mining - 0.6% Alcoa Inc. 15 402 BHP Billiton Plc 43 550 952 Office & Business Equipment - 0.7% Xerox Corp. (b) 79 1,084 Oil & Gas Producers - 10.1% Amerada Hess Corp. 16 1,704 Apache Corp. 1 37 Chevron Corp. 34 1,918 Devon Energy Corp. 23 1,176 Exxon Mobil Corp. 108 6,200 GlobalSantaFe Corp. 1 53 Marathon Oil Corp. 34 1,831 Occidental Petroleum Corp. 8 577 Suncor Energy Inc. 5 237 Valero Energy Corp. 20 1,590 XTO Energy Inc. 15 510 15,833 Packaging & Containers - 0.0% Sealed Air Corp. 1 30 Pharmaceuticals - 5.7% AmerisourceBergen Corp. - 21 Cardinal Bergen Health Inc. 22 1,244 Eli Lilly & Co. - 11 Express Scripts Inc. (b) 13 650 Medco Health Solutions Inc. (b) 26 1,409 Merck & Co. Inc. 40 1,229 Pfizer Inc. 131 3,620 Teva Pharmaceutical Industries Ltd. - ADR 27 830 Wyeth 1 27 9,041 Retail - 7.8% Abercrombie & Fitch Co. - Class A - 14 Autozone Inc. (b) 5 508 Best Buy Co. Inc. 27 1,851 Borders Group Inc. 13 323 Dillard's Inc. - Class A 15 342 Home Depot Inc. 63 2,431 Kohl's Corp. (b) 1 34 Lowe's Cos. Inc. 29 1,691 McDonald's Corp. 38 1,055 Michaels Stores Inc. 7 306 Office Depot Inc. 54 1,222 Outback Steakhouse Inc. - 18 Sears Holdings Corp. (b) 1 165 Staples Inc. 53 1,122 Yum! Brands Inc. 24 1,266 12,348 Savings & Loans - 0.6% Washington Mutual Inc. 25 1,005 Semiconductors - 0.1% Applied Materials Inc. 2 29 Freescale Semiconductor Inc. (b) 2 50 Intel Corp. 3 70 149 Software - 3.5% Adobe Systems Inc. 37 1,059 Autodesk Inc. 19 663 Automatic Data Processing Inc. - 13 Citrix Systems Inc. (b) 43 925 Fair Isaac Inc. 25 909 Mercury Interactive Corp. (b) (l) 10 395 Microsoft Corp. 3 62 Oracle Corp. (b) 116 1,528 Red Hat Inc. (b) (l) 1 16 5,570 Telecommunications - 0.9% BellSouth Corp. - 8 SBC Communications Inc. 1 27 Sprint Corp. (l) 1 35 Verizon Communications 37 1,270 1,340 Telecommunications Equipment - 2.7% Cisco Systems Inc. (b) 225 4,292 Tobacco - 2.4% Altria Group Inc. 51 3,301 Loews Corp. 16 526 3,827 Transportation - 0.3% Yellow Roadway Corp. (b) 10 493 Wireless Telecommunications - 0.0% Nextel Communications Inc. (b) 1 32 Qualcomm Inc. 1 26 58 Total Common Stocks (cost $143,484) 155,724 Short Term Investments - 13.5% Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1 Repurchase Agreement - 0.5% Repurchase Agreement with Bank of America Securities, 3.35%, (Collateralized by $775 Federal National Mortgage Association Discount Note, 0.00%, due 07/12/05 market value $754) acquired on 06/30/05, due 07/01/05 at $739 $739 739 Securities Lending Collateral - 13.0% Mellon GSL Delaware Business Trust Collateral Fund 20,460 20,460 Total Short Term Investments (cost $21,200) 21,200 Total Investments - 112.5% (cost $164,684) 176,924 Other Assets and Liabilities, Net - (12.5%) (19,625) Total Net Assets - 100% $157,299 JNL/Putnam Midcap Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 26.8% Technology 19.1% Consumer, Cyclical 17.9% Industrial 12.6% Energy 8.3% Communications 7.6% Financial 6.2% Basic Materials 1.5% 100.0% Common Stocks - 100.5% Advertising - 1.6% Getty Images Inc. (b) 6 $438 Aerospace & Defense - 1.1% L-3 Communicaitons Holdings Inc. 5 352 Apparel - 1.8% Coach Inc. (b) 11 363 Timberland Co. - Class A (b) 3 116 VF Corp. 2 97 576 Auto Parts & Equipment - 1.2% Autoliv Inc. 9 399 Banks - 0.6% Commerce Bancorp. Inc. (l) 7 203 Biotechnology - 3.2% Charles River Laboratories International Inc. (b) 7 352 Clegene Corp. (b) 2 98 Genzyme Corp. 10 595 1,045 Building Materials - 1.4% Vulcan Materials Co. 7 448 Chemicals - 0.1% Georgia Gulf Corp. 1 43 Commercial Services - 5.1% Alliance Data Systems Corp. (b) 5 195 Apollo Group Inc. - Class A (b) 3 219 Career Education Corp. (b) 1 48 Corporate Executive Board Co. 4 345 Equifax Inc. 11 386 Moody's Corp. 8 364 Strayer Education Inc. 1 95 1,652 Computers - 4.5% Apple Computer Inc. (b) 14 519 Logitech International SA (b) 1 83 Network Appliance Inc. (b) 14 387 Sandisk Corp. (b) 20 482 1,471 Diversified Financial Services - 4.1% Bear Stearns Cos. Inc. 6 572 Capital One Financial Corp. (l) 1 112 Nelnet Inc. - Class A (b) 13 419 Providian Financial Corp. (b) 14 240 1,343 Electrical Components & Equipment - 0.3% Ametek Inc. 2 88 Electronics - 1.0% Amphenol Corp. - Class A 6 253 Dolby Laboratories Inc. - Class A (b) 3 60 313 Food - 0.4% Whole Foods Market Inc. 1 130 Forest Products & Paper - 0.8% Louisiana-Pacific Corp. 11 263 Hand & Machine Tools - 2.0% Black & Decker Corp. 7 638 Healthcare - 14.1% Advanced Medical Optics Inc. (b) - - Coventry Health Care Inc. (b) 5 347 CR Bard Inc. 8 499 Dade Behring Holdings Inc. (b) 4 260 Edwards Lifesciences Corp. (b) 12 503 Idexx Laboratories Inc. (b) 1 81 Kindred Healthcare Inc. (b) 5 194 Kinetic Concepts Inc. (b) 3 162 Laboratory Corp. of America Holdings (b) 10 509 Pacificare Health Systems Inc. (b) 6 393 Quest Diagnostics Inc. 3 181 Respironics Inc. (b) 10 354 Sierra Health Services Inc. 1 50 St. Jude Medical Inc. (b) 6 257 Varian Medical Systems Inc. (b) 15 575 WellPoint Inc. (b) 3 216 4,581 Home Builders - 2.0% NVR Inc. (b) (l) 1 486 Toll Brothers Inc. (b) 2 173 659 Home Furnishings - 1.0% Harman International Industries Inc. 4 317 Household Products - 2.0% Scotts Miracle-Gro Co. (b) 1 100 Toro Co. 7 286 Yankee Candle Co. Inc. (b) 8 270 656 Insurance - 1.5% Everest Re Group Ltd. 2 167 WR Berkley Corp. 9 313 480 Internet - 3.4% McAfee Inc. (b) 13 331 Symantec Corp. 20 443 VeriSign Inc. (b) 8 232 Websense Inc. (b) 2 91 1,097 Machinery - 3.6% Cummins Inc. 4 284 Graco Inc. 7 238 IDEX Corp. (l) 7 274 Terex Corp. (b) 9 370 1,166 Media - 1.0% XM Satellite Radio Holdings - Class A (b) (l) 10 330 Mining - 0.5% Phelps Dodge Corp. 2 167 Oil & Gas Producers - 6.8% Amerada Hess Corp. 5 490 Burlington Resources Inc. 12 652 Newfield Exploration Co. (b) 11 435 Sunoco Inc. 6 625 2,202 Oil & Gas Services - 1.5% BJ Services Co. 10 499 Packaging & Containers - 0.5% Ball Corp. 4 158 Pharmaceuticals - 1.8% Allergan Inc. 1 119 Barr Laboratories Inc. 4 210 Cephalon Inc. (b) (l) 1 56 Kos Pharmaceuticals Inc. (b) 3 183 568 Retail - 10.3% Abercrombie & Fitch Co. - Class A 5 357 Aeropostale Inc. (b) 4 136 American Eagle Outfitters Inc. 18 539 Autozone Inc. (b) 2 222 Claire's Stores Inc. 23 563 Darden Restaurants Inc. 10 313 Michaels Stores Inc. 13 554 Staples Inc. 31 656 3,340 Semiconductors - 4.0% Altera Corp. (b) 7 133 ATI Technologies Inc. (b) 11 132 LAM Research Corp. (b) 5 156 Linear Technology Corp. (b) 17 613 Sigmatel Inc. (b) 10 170 Silicon Laboratories Inc. (b) (l) 4 107 1,311 Software - 10.6% Acxiom Corp. 4 91 Adobe Systems Inc. 14 401 BMC Software Inc. (b) 21 382 Citrix Systems Inc. (b) 30 658 Fair Isaac Inc. 14 504 Mercury Interactive Corp. (b) (l) 6 211 NAVTEQ Corp. (b) 5 187 Pixar Inc. (b) 5 250 Take-Two Interactive Software Inc. (b) 7 174 Veritas Software Corp. (b) 24 586 3,444 Telecommunications - 0.3% West Corp. (b) 3 96 Telecommunications Equipment - 1.6% Harris Corp. 7 215 Scientific-Atlanta Inc. 7 223 Tellabs Inc. (b) 9 81 519 Tobacco - 1.1% UST Inc. 8 365 Toys & Hobbies - 0.8% Marvel Enterprises Inc. 13 254 Transportation - 2.9% CNF Inc. 9 386 Overseas Shipholding Group 9 543 929 Total Common Stocks (cost $29,187) 32,541 Short Term Investments - 5.1% Securities Lending Collateral - 5.1% Mellon GSL Delaware Business Trust Collateral Fund 1,657 1,657 Total Short Term Investments (cost $1,657) 1,657 Total Investments - 105.6% (cost $30,844) 34,198 Other Assets and Liabilities, Net - (5.6%) (1,817) Total Net Assets - 100% $32,381 JNL/Putnam Value Equity Fund Percentage of Total Industry Sector Investments (o) Financial 26.3% Consumer, Non-cyclical 20.5% Energy 11.1% Technology 10.5% Industrial 9.8% Consumer, Cyclical 7.8% Communications 7.3% Utilities 4.1% Basic Materials 2.6% 100.0% Common Stocks - 99.2% Aerospace & Defense - 1.9% Boeing Co. 21 $1,379 Lockheed Martin Corp. 37 2,388 3,767 Auto Manufacturers - 0.3% Magna International Inc. (b) 7 499 Banks - 4.0% Bank of America Corp. 82 3,731 US Bancorp. 86 2,497 Wells Fargo & Co. 24 1,447 7,675 Beverages - 0.5% Coca-Cola Co. 23 977 Biotechnology - 0.6% Amgen Inc. (b) 20 1,179 Building Materials - 1.7% Masco Corp. 68 2,163 Vulcan Materials Co. 15 975 3,138 Chemicals - 0.9% Dow Chemical Co. 21 940 PPG Industries Inc. 12 759 1,699 Commercial Services - 2.0% Cendant Corp. 122 2,727 R.R. Donnelley & Sons Co. 30 1,046 3,773 Computers - 4.6% Dell Inc. (b) 31 1,229 Hewlett-Packard Co. 130 3,045 International Business Machines Corp. 59 4,400 8,674 Cosmetics & Personal Care - 1.1% Estee Lauder Cos. Inc. 27 1,045 Proctor & Gamble Co. 18 965 2,010 Diversified Financial Services - 14.1% Capital One Financial Corp. 22 1,760 Citigroup Inc. 155 7,152 Countrywide Financial Corp. 61 2,347 Fannie Mae 60 3,486 Freddie Mac 52 3,372 Goldman Sachs Group Inc. 8 796 JPMorgan Chase & Co. 89 3,147 Lehman Brothers Holdings Inc. 21 2,095 Merrill Lynch & Co. Inc. (l) 26 1,430 Providian Financial Corp. (b) 66 1,155 26,740 Electric - 3.2% Alliant Energy Corp. 30 853 American Electric Power Co. Inc. 16 601 Constellation Energy Group Inc. 18 1,033 PG&E Corp. 59 2,207 PPL Corp. 24 1,413 6,107 Food - 1.6% General Mills Inc. 23 1,090 Pilgrims Pride Corp. - Class B (b) 25 846 Supervalu Inc. 36 1,164 3,100 Forest Products & Paper - 0.9% Weyerhaeuser Co. 27 1,731 Gas - 0.9% Sempra Energy 40 1,632 Healthcare - 4.8% Becton Dickinson & Co. 23 1,207 Boston Scientific Corp. (b) 70 1,877 Johnson & Johnson 68 4,414 Medtronic Inc. 33 1,704 9,202 Home Builders - 0.9% Lennar Corp. 13 799 NVR Inc. (b) (l) 1 972 1,771 Home Furnishings - 0.6% Whirlpool Corp. 17 1,192 Insurance - 7.7% ACE Ltd. 60 2,695 Chubb Corp. 26 2,243 Cigna Corp. (l) 15 1,573 Hartford Financial Services Group Inc. 25 1,877 MetLife Inc. 38 1,694 St. Paul Travelers Cos. Inc. 22 866 WR Berkley Corp. 59 2,093 XL Capital Ltd. - Class A 21 1,585 14,626 Investment Companies - 0.3% S & P 500 Depository Receipt 5 572 Iron & Steel - 0.4% United States Steel Corp (l) 23 784 Leisure Time - 1.5% Brunswick Corp. (l) 39 1,668 Royal Caribbean Cruises Ltd. 24 1,175 2,843 Machinery - 0.4% Cummins Inc. (l) 9 679 Manufacturing - 4.0% General Electric Corp. 74 2,561 Ingersoll-Rand Co. - Class A 15 1,035 Parker Hannifin Corp. 26 1,618 Tyco International Ltd. 84 2,464 7,678 Media - 2.0% Comcast Corp. - Class A (b) 32 995 McGraw-Hill Cos. Inc. 23 1,009 Time Warner Inc. (b) 32 541 Viacom Inc. - Class B 18 570 Walt Disney Co. 28 695 3,810 Mining - 0.4% Alcoa Inc. 26 682 Office & Business Equipment - 0.9% Xerox Corp. (b) (l) 124 1,709 Oil & Gas Producers - 10.7% Amerada Hess Corp. 22 2,333 Chevron Corp. 107 5,972 Exxon Mobil Corp. 147 8,437 Marathon Oil Corp. 52 2,770 Sunoco Inc. 7 784 20,296 Oil & Gas Services - 0.3% Cooper Cameron Corp. (b) 9 552 Packaging & Containers - 0.7% Ball Corp. 36 1,291 Pharmaceuticals - 6.5% AmerisourceBergen Corp. 25 1,756 Barr Laboratories Inc. 13 653 Cardinal Bergen Health Inc. 39 2,223 Eli Lilly & Co. 11 607 Pfizer Inc. 225 6,208 Wyeth 23 1,001 12,448 Retail - 4.4% Best Buy Co. Inc. 16 1,069 Gap Inc. 39 774 Lowe's Cos. Inc. 32 1,851 McDonald's Corp. 90 2,498 Office Depot Inc. 46 1,055 Rite Aid Corp. (b) (l) 272 1,139 8,386 Semiconductors - 2.5% Intel Corp. 181 4,709 Software - 2.4% Fiserv Inc. (b) 23 1,001 Microsoft Corp. 80 1,977 Oracle Corp. (b) 123 1,629 4,607 Telecommunications - 2.6% Verizon Communications 141 4,882 Telecommunications Equipment - 1.2% Cisco Systems Inc. (b) 122 2,337 Tobacco - 3.3% Altria Group Inc. 96 6,181 Transportation - 1.0% Norfolk Southern Corp. 30 938 Yellow Roadway Corp. (b) 19 965 1,903 Wireless Telecommunications - 1.4% Motorola Inc. 145 2,650 Total Common Stocks (cost $172,147) 188,491 Short Term Investments - 5.8% Repurchase Agreement - 0.7% Repurchase Agreement with Bank of America Securities, 3.35%, (Collateralized by $1,360 Federal National Mortgage Association Discount Note, 0.00%, due 07/12/05, market value $1,359) acquired on 06/30/05, due 07/01/05 at $1,329 $ 1,329 1,329 Securities Lending Collateral - 5.1% Mellon GSL Delaware Business Trust Collateral Fund 9,774 9,774 Total Short Term Investments (cost $11,103) 11,103 Total Investments - 105.0% (cost $183,250) 199,594 Other Assets and Liabilities, Net - (5.0%) (9,468) Total Net Assets - 100% $190,126 JNL/S&P Managed Aggressive Growth Fund Mutual Funds - 100.0% Equity Funds - 99.2% JNL/AIM Large Cap Growth Fund (n) 6,143 $71,018 JNL/AIM Real Estate Fund (n) 1,416 15,265 JNL/Alger Growth Fund (n) 2,053 32,230 JNL/Eagle Smallcap Equity Fund (n) 1,348 26,462 JNL/Eagle Core Equity Fund (n) 3,320 48,475 JNL/FMR Capital Growth Fund (n) 1,749 26,525 JNL/Franklin Templeton Small Cap Value Fund (n) 1,898 19,929 JNL/Goldman Sachs Mid Cap Value Fund (n) 1,933 20,756 JNL/JPMorgan International Equity Fund (n) 1,827 19,681 JNL/JPMorgan International Value Fund (n) 3,753 34,676 JNL/Lazard Mid Cap Value Fund (n) 780 11,640 JNL/Lazard Small Cap Value Fund (n) 1,193 16,494 JNL/Oppenheimer Global Growth Fund (n) 3,275 38,874 JNL/Putnam Equity Fund (n) 526 9,887 JNL/Select Global Growth Fund (n) 1,482 26,660 JNL/Select Large Cap Growth Fund (n) 514 9,965 JNL/Select Value Fund (n) 2,124 36,018 JNL/T.Rowe Price Established Growth Fund (n) 4,125 74,713 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,375 38,846 JNL/T.Rowe Price Value Fund (n) 4,638 63,261 641,375 Money Market Fund - 0.8% JNL/Select Money Market Fund (n) 5,076 5,076 Total Mutual Funds (cost $584,837) 646,451 Total Investments - 100.0% (cost $584,837) 646,451 Other Assets and Liabilities, Net - 0.0% (194) Total Net Assets - 100% $646,257 JNL/S&P Managed Conservative Fund Mutual Funds - 98.8% Equity Funds - 30.0% JNL/AIM Large Cap Growth Fund (n) 263 $3,035 JNL/AIM Real Estate Fund (n) 139 1,498 JNL/Eagle Core Equity Fund (n) 125 1,822 JNL/Putnam Equity Fund (n) 78 1,475 JNL/Select Value Fund (n) 154 2,609 JNL/T.Rowe Price Established Growth Fund (n) 152 2,750 JNL/T.Rowe Price Value Fund (n) 189 2,576 15,765 Fixed Income Funds - 49.4% JNL/PIMCO Total Return Bond Fund (n) 1,058 13,007 JNL/Salomon Brothers High Yield Bond Fund (n) 302 2,579 JNL/Salomon Brothers Strategic Bond Fund (n) 666 7,802 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 224 2,603 25,991 Money Market Fund - 19.4% JNL/Select Money Market Fund (n) 10,171 10,171 Total Mutual Funds (cost $51,214) 51,927 Total Investments - 98.8% (cost $51,214) 51,927 Other Assets and Liabilities, Net - 1.2% 625 Total Net Assets - 100% $52,552 JNL/S&P Managed Growth Fund Mutual Funds - 100.0% Equity Funds - 88.2% JNL/AIM Large Cap Growth Fund (n) 8,265 $95,541 JNL/AIM Real Estate Fund (n) 1,474 15,891 JNL/Alger Growth Fund (n) 2,163 33,959 JNL/Eagle Smallcap Equity Fund (n) 1,616 31,723 JNL/Eagle Core Equity Fund (n) 5,195 75,849 JNL/FMR Capital Growth Fund (n) 1,979 30,017 JNL/Franklin Templeton Small Cap Value Fund (n) 1,984 20,835 JNL/Goldman Sachs Mid Cap Value Fund (n) 1,984 21,312 JNL/JPMorgan International Equity Fund (n) 2,799 30,147 JNL/JPMorgan International Value Fund (n) 3,297 30,465 JNL/Lazard Mid Cap Value Fund (n) 829 12,372 JNL/Lazard Small Cap Value Fund (n) 1,656 22,902 JNL/Oppenheimer Global Growth Fund (n) 5,156 61,203 JNL/Putnam Equity Fund (n) 552 10,383 JNL/Select Global Growth Fund (n) 1,672 30,074 JNL/Select Large Cap Growth Fund (n) 931 18,060 JNL/Select Value Fund (n) 3,475 58,937 JNL/T.Rowe Price Established Growth Fund (n) 6,683 121,022 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 2,223 62,824 JNL/T.Rowe Price Value Fund (n) 7,236 98,697 882,213 Fixed Income Funds - 10.2% JNL/PIMCO Total Return Bond Fund (n) 4,128 50,736 JNL/Salomon Brothers Strategic Bond Fund (n) 4,384 51,339 102,075 Money Market Fund - 1.6% JNL/Select Money Market Fund (n) 16,347 16,347 Total Mutual Funds (cost $920,504) 1,000,635 Total Investments - 100.0% (cost $920,504) 1,000,635 Other Assets and Liabilities, Net - 0.0% (407) Total Net Assets - 100% $1,000,228 JNL/S&P Managed Moderate Fund Mutual Funds - 99.2% Equity Funds - 49.2% JNL/AIM Large Cap Growth Fund (n) 473 $5,462 JNL/AIM Real Estate Fund (n) 227 2,452 JNL/Eagle Core Equity Fund (n) 238 3,473 JNL/FMR Capital Growth Fund (n) 165 2,506 JNL/Franklin Templeton Small Cap Value Fund (n) 112 1,180 JNL/Goldman Sachs Mid Cap Value Fund (n) 60 644 JNL/JPMorgan International Equity Fund (n) 144 1,551 JNL/JPMorgan International Value Fund (n) 169 1,566 JNL/Lazard Small Cap Value Fund (n) 43 599 JNL/Oppenheimer Global Growth Fund (n) 83 990 JNL/Putnam Equity Fund (n) 100 1,888 JNL/Select Value Fund (n) 246 4,167 JNL/T.Rowe Price Established Growth Fund (n) 324 5,876 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 90 2,555 JNL/T.Rowe Price Value Fund (n) 465 6,345 41,254 Fixed Income Funds - 34.7% JNL/PIMCO Total Return Bond Fund (n) 1,017 12,503 JNL/Salomon Brothers High Yield Bond Fund (n) 485 4,138 JNL/Salomon Brothers Strategic Bond Fund (n) 711 8,331 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 358 4,169 29,141 Money Market Fund - 15.3% JNL/Select Money Market Fund (n) 12,837 12,837 Total Mutual Funds (cost $81,961) 83,232 Total Investments - 99.2% (cost $81,961) 83,232 Other Assets and Liabilities, Net - 0.8% 683 Total Net Assets - 100% $83,915 JNL/S&P Managed Moderate Growth Fund Mutual Funds - 99.9% Equity Funds - 70.2% JNL/AIM Large Cap Growth Fund (n) 6,381 $73,764 JNL/AIM Real Estate Fund (n) 1,122 12,097 JNL/Alger Growth Fund (n) 710 11,154 JNL/Eagle Smallcap Equity Fund (n) 651 12,775 JNL/Eagle Core Equity Fund (n) 3,444 50,283 JNL/FMR Capital Growth Fund (n) 1,460 22,156 JNL/Franklin Templeton Small Cap Value Fund (n) 893 9,376 JNL/Goldman Sachs Mid Cap Value Fund (n) 800 8,592 JNL/JPMorgan International Equity Fund (n) 1,965 21,164 JNL/JPMorgan International Value Fund (n) 2,314 21,385 JNL/Lazard Mid Cap Value Fund (n) 489 7,308 JNL/Lazard Small Cap Value Fund (n) 543 7,503 JNL/Oppenheimer Global Growth Fund (n) 2,506 29,745 JNL/Putnam Equity Fund (n) 334 6,280 JNL/Select Value Fund (n) 2,141 36,303 JNL/T.Rowe Price Established Growth Fund (n) 4,134 74,866 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,320 37,308 JNL/T.Rowe Price Value Fund (n) 5,296 72,235 514,295 Fixed Income Funds - 23.4% JNL/PIMCO Total Return Bond Fund (n) 6,571 80,758 JNL/Salomon Brothers High Yield Bond Fund (n) 2,426 20,690 JNL/Salomon Brothers Strategic Bond Fund (n) 4,235 49,591 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 1,740 20,259 171,298 Money Market Fund - 6.4% JNL/Select Money Market Fund (n) 46,972 46,972 Total Mutual Funds (cost $683,434) 732,565 Total Investments - 99.9% (cost $683,434) 732,565 Other Assets and Liabilities, Net - 0.1% 371 Total Net Assets - 100% $732,936 JNL/Salomon Brothers High Yield Bond Fund Percentage of Total Industry Sector Investments (o) Communications 21.6% Consumer, Cyclical 20.0% Industrial 11.6% Consumer, Non-cyclical 10.7% Energy 10.1% Basic Materials 9.9% Financial 7.0% Utilities 5.7% Technology 3.4% 100.0% Common Stocks - 0.4% Beverages - 0.0% Applied Extrusion Private Placement (b) (e) (l) 3 $60 Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 - Food - 0.0% VFB LLC (b) 79 3 Home Furnishings - 0.0% Mattress Disounter Restricted Equity Received AS (b) 1 - Household Products - 0.0% Continental AFA Dispensing Co. (b) 4 24 Machinery - 0.0% Terex Corp. (b) - 10 Telecommunications - 0.3% Manitoba Telecom Services Inc. (b) 1 20 NTL Inc. (b) 3 237 Telewest Global Inc. (b) (l) 10 225 482 Telecommunications Equipment - 0.0% Liberty Global Inc. Class A (b) 2 99 Wireless Telecommunications - 0.1% Spectrasite Inc. (b) 4 329 Total Common Stocks (cost $1,052) 1,007 Preferred Stocks - 0.1% Wireless Telecommunications - 0.1% Alamosa Holdings Inc., 7.50% (b) - 132 Total Preferred Stocks (cost $38) 132 Warrants - 0.0% Retail - 0.0% Mattress Discounters Corp., Strike Price $0.01, Expiring 07/15/07 (e) - - Telecommunications - 0.0% Minorplanet Systems USA Inc., Strike Price $240.625, Expiring 09/15/05 2 - Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 1 - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 (e) - 10 Total Warrants (cost $7) 10 Corporate Bonds - 92.0% Advertising - 1.5% RH Donnelley Finance Corp. I 8.875%, 12/15/10 (e) $550 601 10.875%, 12/15/12 (e) 1,075 1,250 Sitel Corp., 9.25%, 03/15/06 135 133 Vertis Inc., 9.75%, 04/01/09 500 520 2,504 Aerospace & Defense - 1.6% Alliant Techsystems Inc., 8.50%, 05/15/11 500 534 L-3 Communications Corp., 7.625%, 06/15/12 650 692 Moog Inc., 6.25%, 01/15/15 (l) 1,100 1,097 Sequa Corp. 8.875%, 04/01/08 196 212 9.00%, 08/01/09 75 83 Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 - Titan Corp., 8.00%, 05/15/11 1,375 1,474 4,092 Agriculture - 0.2% IMC Global Inc., 10.875%, 06/01/08 500 563 Airlines - 0.7% Continental Airlines Inc. 7.25%, 11/01/05 25 24 8.00%, 12/15/05 (l) 950 950 6.541%, 09/15/08 22 20 United AirLines Inc., 6.201%, 09/01/08 (i) 968 921 1,915 Alternative Energy - 1.0% NRG Energy Inc., 8.00%, 12/15/13 (e) 2,476 2,612 Apparel - 0.8% Levi Strauss & Co. 7.73%, 04/01/12 225 213 12.25%, 12/15/12 230 251 9.75%, 01/15/15 975 968 Oxford Industries Inc., 8.875%, 06/01/11 550 588 2,020 Auto Manufacturers - 1.2% Ford Motor Co. 6.625%, 10/01/28 200 157 7.45%, 07/16/31 (l) 3,050 2,546 General Motors Corp., 8.375%, 07/15/33 (l) 600 501 3,204 Auto Parts & Equipment - 1.3% CSK Auto Inc., 7.00%, 01/15/14 925 883 Keystone Automotive Operations Inc., 9.75%, 11/01/13 50 50 TRW Automotive Inc. 9.375%, 02/15/13 491 544 11.00%, 02/15/13 (l) 1,650 1,897 3,374 Banks - 0.6% Riddell Bell Holdings Inc., 8.375%, 10/01/12 1,450 1,454 Building Materials - 0.3% Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 775 756 Brand Services Inc., 12.00%, 10/15/12 75 80 836 Chemicals - 6.7% Borden Chemicals & Plastics, 9.50%, 05/01/10 (i) 85 1 Equistar Chemicals LP 10.125%, 09/01/08 1,000 1,083 10.625%, 05/01/11 2,075 2,290 FMC Corp. 10.25%, 11/01/09 500 563 7.75%, 07/01/11 75 83 Huntsman International LLC, 9.875%, 03/01/09 2,500 2,675 Innophos Inc., 8.875%, 08/15/14 (e) 1,125 1,148 ISP Chemco Inc., 10.25%, 07/01/11 100 109 JohnsonDiversey Holdings Inc., (Step-Up Bond), 10.67%, 05/15/13 (d) 2,000 1,423 Lyondell Chemical Co. 9.50%, 12/15/08 600 638 11.125%, 07/15/12 100 114 10.50%, 06/01/13 1,700 1,944 Millennium America Inc. 7.00%, 11/15/06 750 767 9.25%, 06/15/08 565 612 Nalco Co., 8.875%, 11/15/13 (l) 2,000 2,145 NewMarket Corp., 8.875%, 05/01/10 95 98 Rhodia SA 7.625%, 06/01/10 (l) 100 97 10.25%, 06/01/10 (l) 750 804 8.875%, 06/01/11 (l) 750 722 Union Carbide Chemical & Plastics Co. Inc., 7.875%, 04/01/23 (l) 200 226 Union Carbide Corp., 6.70%, 04/01/09 (l) 100 104 Westlake Chemical Corp., 8.75%, 07/15/11 48 52 17,698 Commercial Services - 2.1% Allied Waste North America 9.25%, 09/01/12 67 72 6.125%, 02/15/14 (l) 800 743 7.375%, 04/15/14 (l) 75 69 Cenveo Corp., 9.625%, 03/15/12 550 594 Imco Recycling Inc., 10.375%, 10/15/10 75 82 Iron Mountain Inc. 8.25%, 07/01/11 750 761 8.625%, 04/01/13 1,225 1,268 7.75%, 01/15/15 625 628 Resolution Performance Products LLC 9.50%, 04/15/10 350 361 13.50%, 11/15/10 975 1,048 5,626 Computers - 1.0% Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 1,500 1,596 Unisys Corp. 8.125%, 06/01/06 (l) 630 644 6.875%, 03/15/10 (l) 525 516 2,756 Cosmetics & Personal Care - 0.7% Del Monte Corp., 8.00%, 02/01/12 1,000 860 Jafra Cosmetics International Inc., 10.75%, 05/15/11 65 73 JohnsonDiversey Holdings Inc., 9.625%, 05/15/12 1,000 1,015 1,948 Diversified Financial Services - 4.1% Airplane Pass-Thru Trust, 10.875%, 03/15/12 (i) 123 - Alamosa Delaware Inc. (Step-Up Bond), 12.00%, 07/31/09 (d) (l) 1,427 1,573 8.50%, 01/31/12 1,500 1,573 Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/10 115 - Ford Motor Credit Co. 7.875%, 06/15/10 800 791 7.25%, 10/25/11 (l) 675 650 7.00%, 10/01/13 425 408 General Motors Acceptance Corp. 6.00%, 07/03/08 450 532 6.75%, 12/01/14 (l) 1,575 1,409 8.00%, 11/01/31 3,725 3,324 Orion Power Holdings Inc., 12.00%, 05/01/10 500 598 10,858 Electric - 2.8% AES Corp. 8.75%, 06/15/08 (l) 50 54 9.50%, 06/01/09 (l) 2,700 3,011 9.375%, 09/15/10 50 57 8.875%, 02/15/11 25 28 Allegheny Energy Supply Statutory Trust, 10.25%, 11/15/07 (e) 75 83 Calpine Corp., 8.75%, 07/15/07 25 20 Edison Mission Energy 7.73%, 06/15/09 125 132 9.875%, 04/15/11 250 293 Homer City Funding LLC, 8.734%, 10/01/26 99 116 Midwest Generation LLC, 8.56%, 01/02/16 350 386 Mirant Americas Generation LLC 7.625%, 05/01/06 (i) 50 57 9.125%, 05/01/31 (i) 100 107 Reliant Energy Inc., 9.50%, 07/15/13 2,650 2,941 7,285 Electrical Components & Equipment - 0.3% Edison Mission Energy, 10.00%, 08/15/08 200 225 Mission Energy Holding Co., 13.50%, 07/15/08 300 356 Motors and Gears Inc., 10.75%, 11/15/06 100 91 672 Electronics - 1.0% Amkor Technology Inc., 9.25%, 02/15/08 (l) 1,000 960 L-3 Communications Corp., 6.125%, 07/15/13 1,000 1,005 Scientific Games Corp., 6.25%, 12/15/12 (e) 700 707 2,672 Engineering & Construction - 0.7% Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,255 Terex Corp., 7.375%, 01/15/14 625 647 1,902 Entertainment - 4.8% Argosy Gaming Co. 9.00%, 09/01/11 1,000 1,094 7.00%, 01/15/14 50 55 Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,069 Herbst Gaming Inc., 8.125%, 06/01/12 1,400 1,484 Houghton Mifflin Co. 8.25%, 02/01/11 270 280 9.875%, 02/01/13 (l) 1,340 1,430 Isle of Capri Casinos Inc., 7.00%, 03/01/14 1,300 1,307 Kerzner International Ltd., 8.875%, 08/15/11 275 294 Lodgenet Entertainment Corp., 9.50%, 06/15/13 75 82 MGM Mirage Inc., 8.50%, 09/15/10 500 555 Pinnacle Entertainment Inc. 8.25%, 03/15/12 1,500 1,560 8.75%, 10/01/13 75 80 Six Flags Inc. 8.875%, 02/01/10 (l) 200 195 9.75%, 04/15/13 (l) 800 755 9.625%, 06/01/14 25 23 Station Casinos Inc., 6.50%, 02/01/14 (l) 1,000 1,020 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 1,250 1,321 12,604 Environmental Control - 0.6% Allied Waste North America, 7.875%, 04/15/13 1,500 1,533 Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 1 1,534 Food - 1.4% Del Monte Corp., 8.625%, 12/15/12 2,000 2,200 Doane Pet Care Co., 10.75%, 03/01/10 100 106 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (l) 1,500 1,342 3,648 Forest Products & Paper - 2.0% Abitibi-Consolidated Inc., 8.55%, 08/01/10 1,150 1,199 Appleton Papers Inc., 8.125%, 06/15/11 1,000 975 Buckeye Technologies Inc., 8.00%, 10/15/10 (l) 25 24 Cenveo Corp., 7.875%, 12/01/13 (l) 825 784 Newark Group Inc., 9.75%, 03/15/14 700 644 Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,521 Smurfit-Stone Container Enterprises Inc., 9.75%, 02/01/11 125 132 5,279 Healthcare - 6.6% Ameripath Inc., 10.50%, 04/01/13 75 76 Community Health Systems Inc., 6.50%, 12/15/12 700 712 Extendicare Health Services Inc., 9.50%, 07/01/10 75 81 HCA Inc. 6.25%, 02/15/13 1,700 1,738 7.69%, 06/15/25 1,350 1,446 Host Marriott LP, 7.125%, 11/01/13 (l) 2,075 2,163 IASIS Healthcare LLC, 8.75%, 06/15/14 (l) 2,300 2,496 Insight Health Services Corp., 9.875%, 11/01/11 50 39 National Mentor Inc., 9.625%, 12/01/12 (e) 1,250 1,316 Psychiatric Solutions Inc., 10.625%, 06/15/13 800 888 Tenet Healthcare Corp. 6.50%, 06/01/12 (l) 1,300 1,235 7.375%, 02/01/13 (l) 175 173 9.875%, 07/01/14 900 965 Triad Hospitals Inc., 7.00%, 11/15/13 (l) 1,600 1,644 Vanguard Health Systems Inc., 9.00%, 10/01/14 1,150 1,242 Warner Chilcott Corp., 8.75%, 02/01/15 (e) 1,300 1,264 17,478 Holding Companies - Diversified - 1.8% Applied Extrusion Technologies Inc., 12.00%, 03/15/12 (e) (l) 27 27 Crystal US Holdings 3 LLC, 9.625%, 06/15/14 1,170 1,310 DRS Technologies Inc., 6.875%, 11/01/13 1,150 1,190 KI Holdings, (Step-Up Bond), 9.875%, 11/15/14 (d) 2,150 1,247 United Agri Products, 8.25%, 12/15/11 1,040 1,076 4,850 Home Builders - 1.1% Associated Materials Inc., (Step-Up Bond), 11.25%, 03/01/14 (d) 2,025 1,286 Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,083 Toll Corp., 8.25%, 02/01/11 500 530 2,899 Home Furnishings - 0.7% Sealy Mattress Co., 8.25%, 06/15/14 (l) 1,300 1,313 Simmons Bedding Co., (Step-Up Bond), 10.00%, 12/15/14 (d) (e) (l) 1,350 608 1,921 Household Products - 0.0% Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 - Resolution Performance Products LLC, 8.00%, 12/15/09 100 104 104 Internet - 0.6% FTD Inc., 7.75%, 02/15/14 1,531 1,500 Investment Companies - 0.2% Global Cash Access LLC, 8.75%, 03/15/12 500 544 Iron & Steel - 0.0% AK Steel Corp., 7.875%, 02/15/09 (l) 75 68 Leisure Time - 0.8% AMF Bowling Worldwide Inc., 10.00%, 03/01/10 100 101 Cinemark USA Inc., 9.00%, 02/01/13 1,000 1,028 Icon Health & Fitness, 11.25%, 04/01/12 (l) 750 574 Mandalay Resort Group, 6.375%, 12/15/11 500 507 2,210 Lodging - 3.6% Caesars Entertainment Inc. 8.875%, 09/15/08 1,100 1,228 8.125%, 05/15/11 (l) 1,000 1,150 Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,160 Host Marriott LP, 6.375%, 03/15/15 (e) 75 74 John Q Hamons Hotels, 8.875%, 05/15/12 100 109 Las Vegas Sands Corp., 6.375%, 02/15/15 (e) (l) 1,125 1,100 Mandalay Resort Group, 10.25%, 08/01/07 750 825 MeriStar Hospitality Finance Corp., 10.50%, 06/15/09 (l) 50 54 MGM Mirage Inc., 9.75%, 06/01/07 2,000 2,168 Starwood Hotels & Resorts Worldwide Inc., 7.875%, 05/01/12 1,500 1,690 9,558 Machinery - 0.4% Case Credit Corp., 6.75%, 10/21/07 250 244 Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 250 260 NMHG Holding Co., 10.00%, 05/15/09 75 79 Terex Corp., 10.375%, 04/01/11 500 542 1,125 Manufacturing - 0.6% Blount Inc., 8.875%, 08/01/12 650 696 Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 48 Park-Ohio Industries Inc., 8.375%, 11/15/14 (e) 725 647 Sensus Metering Systems Inc., 8.625%, 12/15/13 75 70 Tekni-Plex Inc., 12.75%, 06/15/10 (l) 100 68 1,529 Media - 6.7% Charter Communications Holdings LLC 8.625%, 04/01/09 (l) 1,850 1,374 10.00%, 04/01/09 2,000 1,545 10.00%, 05/15/11 350 256 8.00%, 04/30/12 (e) 1,000 995 CSC Holdings Inc. 7.625%, 04/01/11 2,500 2,469 10.50%, 05/15/16 (l) 125 134 7.875%, 02/15/18 1,000 985 Dex Media East LLC, 12.125%, 11/15/12 1,494 1,789 Dex Media Inc. 9.875%, 08/15/13 1,074 1,224 (Step-Up Bond), 9.00%, 11/15/13 (d) 200 161 DirecTV Holdings LLC, 6.375%, 06/15/15 (e) 425 423 EchoStar DBS Corp., 6.375%, 10/01/11 2,000 1,983 Mediacom Broadband LLC, 11.00%, 07/15/13 50 54 Mediacom LLC/Mediacom Capital Corp., 9.50%, 01/15/13 (l) 1,982 1,977 Muzak Finance Corp., 10.00%, 02/15/09 50 42 Nextmedia Operating Inc., 10.75%, 07/01/11 125 136 Radio One Inc., 8.875%, 07/01/11 25 27 Rogers Cable Inc., 8.75%, 05/01/32 25 28 Sinclair Broadcast Group, 8.00%, 03/15/12 575 589 Yell Finance BV, (Step-Up Bond), 13.50%, 08/01/11 (d) (l) 33 33 Young Broadcasting Inc., 10.00%, 03/01/11 (l) 1,425 1,353 17,577 Metal Fabrication & Hardware - 1.1% Mueller Group Inc., 10.00%, 05/01/12 90 95 Mueller Holdings Inc., (Step-Up Bond), 14.75%, 04/15/14 (d) 2,000 1,460 Wolverine Tube Inc., 10.50%, 04/01/09 (l) 1,300 1,235 2,790 Mining - 0.3% Compass Minerals Group Inc., 10.00%, 08/15/11 75 82 Peabody Energy Corp., 6.875%, 03/15/13 750 795 877 Office & Business Equipment - 1.4% General Binding Corp., 9.375%, 06/01/08 2,000 2,020 Xerox Corp. 9.75%, 01/15/09 (g) 1,000 1,136 7.625%, 06/15/13 500 538 3,694 Oil & Gas Producers - 5.3% Calpine Corp. 8.50%, 07/15/10 (e) (l) 3,600 2,772 8.75%, 07/15/13 (e) 40 30 Chesapeake Energy Corp. 7.00%, 08/15/14 (l) 500 530 6.625%, 01/15/16 (e) 200 207 Dynegy Holdings Inc., 10.125%, 07/15/13 1,500 1,695 Exco Resources Inc., 7.25%, 01/15/11 1,275 1,275 Kerr-McGee Corp., 7.00%, 11/01/11 1,375 1,372 Magnum Hunter Resources Inc., 9.60%, 03/15/12 81 90 Pioneer Natural Resources Co., 5.875%, 07/15/16 1,000 1,008 Pride International Inc., 7.375%, 07/15/14 (l) 2,000 2,195 Stone Energy Corp., 8.25%, 12/15/11 635 665 Universal Compression Inc., 7.25%, 05/15/10 200 209 Vintage Petroleum Inc. 7.875%, 05/15/11 (l) 850 897 8.25%, 05/01/12 500 542 Williams Cos. Inc., 8.125%, 03/15/12 (l) 500 567 14,054 Oil & Gas Services - 0.2% Key Energy Services Inc., 6.375%, 05/01/13 500 503 Packaging & Containers - 3.6% Anchor Glass Container Corp., 11.00%, 02/15/13 1,150 897 Berry Plastics Corp., 10.75%, 07/15/12 1,425 1,555 Graphic Packaging International Corp., 9.50%, 08/15/13 (l) 2,250 2,267 Jefferson Smurfit Corp., 8.25%, 10/01/12 1,000 1,005 Owens-Brockway, 8.875%, 02/15/09 1,000 1,063 Owens-Illinois Inc., 8.10%, 05/15/07 1,000 1,040 Plastipak Holdings Inc., 10.75%, 09/01/11 100 110 Pliant Corp. 11.125%, 09/01/09 (l) 175 171 13.00%, 06/01/10 (l) 400 324 Radnor Holdings Corp., 11.00%, 03/15/10 (l) 100 68 Smurfit-Stone Container Enterprises Inc., 8.375%, 07/01/12 1,000 1,010 9,510 Pharmaceuticals - 0.0% aaiPharma Inc., 11.50%, 04/01/10 (i) (l) 75 39 Qwest Services Corp., 14.00%, 12/15/14 50 61 100 Pipelines - 4.6% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 550 608 6.875%, 04/01/11 (l) 2,100 2,074 7.125%, 05/15/18 25 24 7.625%, 10/15/26 125 119 El Paso Corp. 7.875%, 06/15/12 (l) 2,000 2,060 7.75%, 01/15/32 (l) 1,850 1,804 El Paso Production Holding Co., 7.75%, 06/01/13 1,000 1,068 Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,785 Williams Cos. Inc. 7.125%, 09/01/11 1,000 1,080 7.625%, 07/15/19 50 56 7.875%, 09/01/21 200 228 8.75%, 03/15/32 1,000 1,200 12,106 Real Estate - 1.4% Choctaw Resort Development Enterprise, 7.25%, 11/15/19 (e) 975 973 MeriStar Hospitality Corp., 9.125%, 01/15/11 (l) 1,100 1,155 Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,653 3,781 Retail - 2.3% Buffets Inc., 11.25%, 07/15/10 75 76 Carrols Corp., 9.00%, 01/15/13 (e) 700 709 Finlay Fine Jewelry Corp., 8.375%, 06/01/12 525 473 General Nutrition Centers Inc., 8.50%, 12/01/10 1,350 1,080 Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 113 J.C. Penney Co. Inc. 7.125%, 11/15/23 500 543 7.40%, 04/01/37 1,000 1,080 Rite Aid Corp. 11.25%, 07/01/08 75 79 7.50%, 01/15/15 950 912 Saks Inc. 7.50%, 12/01/10 630 630 7.00%, 12/01/13 294 294 7.375%, 02/15/19 75 74 6,063 Semiconductors - 0.3% Amkor Technology Inc., 7.75%, 05/15/13 (l) 1,000 860 Telecommunications - 8.2% AT&T Corp., 9.75%, 11/15/31 (g) 1,175 1,529 Charter Communications Holdings LLC 10.75%, 10/01/09 75 58 10.25%, 09/15/10 1,000 1,011 DirecTV Holdings LLC, 8.375%, 03/15/13 1,365 1,512 Emmis Communications, 9.30%, 06/15/12 (e) 600 611 Insight Midwest LP 9.75%, 10/01/09 (l) 575 596 10.50%, 11/01/10 525 557 Intelsat Bermuda Ltd., 7.81%, 01/15/12 (e) 475 483 MCI Inc., 8.735%, 05/01/14 1,150 1,289 Nextel Communications Inc., 7.375%, 08/01/15 2,550 2,754 NTL Cable Plc, 8.75%, 04/15/14 (l) 600 625 Qwest Corp., 5.625%, 11/15/08 (l) 1,500 1,474 Qwest Services Corp., 13.50%, 12/15/10 2,725 3,147 Rogers Cable Inc., 6.25%, 06/15/13 (l) 1,000 998 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) 3,300 3,036 UbiquiTel Operating Co., 9.875%, 03/01/11 1,425 1,564 Zeus Special Subsidiary Ltd., (Step-Up Bond), 9.25%, 02/01/15 (d) (e) (l) 675 451 21,695 Telecommunications Equipment - 0.0% Spectrasite Inc., 8.25%, 05/15/10 (l) 50 53 Transportation - 0.0% Holt Group Inc., 9.75%, 01/15/06 (i) 125 - Venture Capital - 0.0% JSG Funding Plc, 9.625%, 10/01/12 75 75 Water - 0.4% National Waterworks Inc., 10.50%, 12/01/12 1,000 1,125 Wireless Telecommunications - 2.4% American Tower Corp. 9.375%, 02/01/09 28 29 7.50%, 05/01/12 (l) 2,750 2,936 Lucent Technologies Inc., 6.45%, 03/15/29 (l) 3,675 3,289 6,254 Total Corporate Bonds (cost $238,638) 241,958 Short Term Investments - 28.3% Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1 Repurchase Agreement - 6.3% Repurchase Agreement with Bank of America Securities, 3.34%, (Collateralized by $16,330 Federal Home Loan Mortgage Corporation, 4.30%, due 05/05/08, market value $16,820) acquired on 06/30/05 due 07/01/05 at $16,480 $16,480 16,480 Securities Lending Collateral - 22.0% Mellon GSL Delaware Business Trust Collateral Fund 57,873 57,873 Total Short Term Investments (cost $74,354) 74,354 Total Investments - 120.7% (cost $314,089) 317,462 Other Assets and Liabilities, Net - (20.7%) (54,445) Total Net Assets - 100% $263,017 JNL/Salomon Brothers Strategic Bond Fund Percentage of Total Industry Sector Investments (o) Mortgage Securities 32.3% Government 25.4% Financial 14.3% Consumer, Non-cyclical 6.2% Communications 5.3% Consumer, Cyclical 4.4% Asset Backed Securities 3.3% Industrial 2.4% Energy 2.0% Utilities 2.0% Basic Materials 1.9% Diversified 0.3% Technology 0.2% 100.0% Common Stocks - 0.6% Beverages - 0.0% Applied Extrusion Private Placement (b) (e) (l) 2 $40 Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 - Food - 0.0% VFB LLC (b) 79 3 Household Products - 0.0% Continental AFA Dispensing Co. (b) 9 47 Telecommunications - 0.3% NTL Inc. (b) 8 575 Telewest Global Inc. (b) 12 271 846 Telecommunications Equipment - 0.1% Liberty Global Inc. Class A (b) 6 289 Wireless Telecommunications - 0.2% Spectrasite Inc. (b) 6 445 Total Common Stocks (cost $1,327) 1,670 Preferred Stocks - 0.1% Holding Companies - Diversified - 0.0% TCR Holding Corp. - Class B (b) - - TCR Holding Corp. - Class C (b) - - TCR Holding Corp. - Class D (b) 1 - TCR Holding Corp. - Class E (b) 1 - - Wireless Telecommunications - 0.1% Alamosa Holdings Inc., 7.50% - 325 Total Preferred Stocks (cost $99) 325 Rights - 0.0% Sovereign - 0.0% Venezuela Par Rights, No Strike Price, 04/15/20 4 83 Total Rights (cost $0) 83 Warrants - 0.0% Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 - - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 (e) - 43 Total Warrants (cost $9) 43 Corporate Bonds - 31.1% Advertising - 0.3% Advanstar Communications Inc., 10.75%, 08/15/10 $175 191 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%, 03/15/06 135 134 Vertis Inc., 9.75%, 04/01/09 (l) 175 182 793 Aerospace & Defense - 0.4% Alliant Techsystems Inc., 8.50%, 05/15/11 125 133 Argo-Tech Corp., 9.25%, 06/01/11 175 190 L-3 Communications Corp., 7.625%, 06/15/12 200 213 Moog Inc., 6.25%, 01/15/15 (l) 150 150 Sequa Corp. 8.875%, 04/01/08 250 270 9.00%, 08/01/09 125 138 1,094 Agriculture - 0.1% Hines Nurseries Inc., 10.25%, 10/01/11 200 206 Airlines - 0.1% Continental Airlines Inc. 7.25%, 11/01/05 100 97 6.541%, 09/15/08 58 52 149 Alternative Energy - 0.2% NRG Energy Inc., 8.00%, 12/15/13 (e) 421 444 Apparel - 0.1% Levi Strauss & Co. 7.73%, 04/01/12 50 47 12.25%, 12/15/12 125 137 9.75%, 01/15/15 (l) 75 74 258 Asset Backed Securities - 3.6% Amortizing Residential Collateral Trust, 4.514%, 08/25/32 (f) (g) 750 756 Argent NIM Trust, 4.70%, 07/25/34 (e) 248 248 Asset Backed Securities Corp. Home Equity Loan, 5.288%, 04/15/33 (f) (g) 500 505 Bayview Financial Acquisition Trust, 4.564%, 08/25/36 (e) (f) (g) 1,000 998 Bear Stearns Adjustable Rate Mortgage Trust 5.00%, 05/25/34 (e) 164 163 5.25%, 08/25/34 (e) 235 234 Commercial Mortgage Acceptance Corp. 4.3881%, 11/15/15 (e) (g) 320 321 7.35%, 01/17/32 (f) 400 473 Countrywide Home Loan Servicing LP 4.564%, 06/25/34 (f) 640 650 5.50%, 10/25/35 (e) 233 232 First Consumers Master Trust, 2.7125%, 09/15/08 (g) 400 397 Green Tree Financial Corp., 7.07%, 01/15/29 (f) 751 794 Merit Securities Corp., 4.82%, 09/28/32 (e) (f) (g) 1,100 1,090 Mid-State Trust, 7.34%, 07/01/35 (f) 401 429 Novastar Home Equity Loan 4.939%, 02/25/34 220 225 4.289%, 06/25/34 (f) 450 451 6.30%, 10/25/35 (f) 480 478 Option One Mortgage Loan Trust, 6.80%, 05/25/34 (g) 380 367 Residential Asset Securitization Trust, 4.41%, 04/25/32 (g) 166 167 Sail Net Interest Margin Notes 6.75%, 11/27/33 (e) 29 29 5.50%, 03/27/34 (e) (f) 300 300 5.00%, 04/27/34 (e) 198 198 5.00%, 12/27/34 (e) 302 302 4.75%, 01/27/35 (e) 249 249 7.50%, 01/27/35 (e) 166 163 10,219 Auto Manufacturers - 0.5% DaimlerChrysler NA Holdings Inc., 4.05%, 06/04/08 (f) 925 911 Ford Motor Co. 7.45%, 6.625%, 10/01/28 100 78 07/16/31 (l) 600 501 1,490 Auto Parts & Equipment - 0.2% CSK Auto Inc., 7.00%, 01/15/14 225 215 Tenneco Automotive Inc., 10.25%, 07/15/13 100 113 TRW Automotive Inc., 9.375%, 02/15/13 179 198 526 Banks - 2.6% Bank of America Corp., 7.40%, 01/15/11 (f) 1,375 1,574 Borden US Finance Corp., 9.00%, 07/15/14 (e) (l) 75 76 Capital One Bank, 4.875%, 05/15/08 (f) 800 812 Corporacion Andina de Fomento, 6.875%, 03/15/12 (f) 1,050 1,176 Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 1,475 1,423 Goodrich Corp., 7.50%, 04/15/08 375 404 Independence Community Bank Corp., 3.50%, 06/20/13 (f) 475 459 Riddell Bell Holdings Inc., 8.375%, 10/01/12 125 125 Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 955 1,301 7,350 Beverages - 0.1% Constellation Brands Inc., 8.125%, 01/15/12 200 214 Building Materials - 0.1% Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 75 73 Brand Services Inc., 12.00%, 10/15/12 100 107 Texas Industries Inc., 7.25%, 07/15/13 (e) 100 103 283 Chemicals - 0.9% Borden Chemicals & Plastics, 9.50%, 05/01/10 (i) 140 2 Equistar Chemicals LP, 10.625%, 05/01/11 175 193 Huntsman International LLC 10.125%, 07/01/09 152 156 7.375%, 01/01/15 (e) 50 49 ISP Chemco Inc., 10.25%, 07/01/11 225 245 Lyondell Chemical Co., 11.125%, 07/15/12 225 255 Methanex Corp., 8.75%, 08/15/12 (l) 175 200 Millennium America Inc., 9.25%, 06/15/08 250 271 NewMarket Corp., 8.875%, 05/01/10 225 233 OM Group Inc., 9.25%, 12/15/11 175 175 Pq Corp., 7.50%, 02/15/13 (e) (f) 425 418 Rhodia SA, 7.625%, 06/01/10 (l) 225 217 Westlake Chemical Corp., 8.75%, 07/15/11 131 141 2,557 Commercial Services - 0.4% Allied Waste North America 9.25%, 09/01/12 100 108 7.375%, 04/15/14 (l) 100 93 7.25%, 03/15/15 (e) 75 73 Cadmus Communications Corp., 8.375%, 06/15/14 175 180 Cenveo Corp., 9.625%, 03/15/12 75 81 Imco Recycling Inc., 10.375%, 10/15/10 150 165 Iron Mountain Inc., 7.75%, 01/15/15 350 352 Resolution Performance Products LLC 9.50%, 04/15/10 100 103 13.50%, 11/15/10 125 133 1,288 Computers - 0.0% Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 133 Cosmetics & Personal Care - 0.1% Del Monte Corp., 8.00%, 02/01/12 150 129 Jafra Cosmetics International Inc., 10.75%, 05/15/11 131 147 Playtex Products Inc., 9.375%, 06/01/11 100 105 381 Distribution & Wholesale - 0.0% Buhrmann US Inc., 7.875%, 03/01/15 (e) 100 98 Diversified Financial Services - 4.0% Airplane Pass-Thru Trust, 10.875%, 03/15/12 (i) 247 - Alamosa Delaware Inc., 11.00%, 07/31/10 161 181 CanWest Media Inc., 8.00%, 09/15/12 (f) 279 294 CIT Group Inc., 7.75%, 04/02/12 (f) 1,150 1,349 CMO Holdings Ltd., 6.50%, 08/25/05 (e) 71 71 Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/10 230 - Corrections Corp., 6.25%, 03/15/13 100 99 Credit Suisse First Boston Mortgage Securities, 4.53%, 09/25/31 (g) 108 108 Encana Holdings Financial Corp., 5.80%, 05/01/14 (f) 850 912 Ford Motor Credit Co., 7.875%, 06/15/10 (f) 825 815 General Motors Acceptance Corp. 7.25%, 03/02/11 25 23 6.875%, 09/15/11 (f) 1,025 946 6.75%, 12/01/14 (l) 465 416 8.00%, 11/01/31 75 67 HSBC Finance Corp., 5.25%, 04/15/15 (f) 975 1,001 Huntsman Advanced Materials LLC, 11.00%, 07/15/10 200 226 International Finance Corp., 4.375%, 11/01/09 325 326 JPMorgan Chase & Co., 6.625%, 03/15/12 (f) 700 779 MBNA Corp. 6.25%, 01/17/07 275 284 4.625%, 09/15/08 (f) 675 684 Merrill Lynch Mortgage Investors Inc., 5.00%, 09/25/35 (e) (f) 616 611 Metris Master Trust, 4.34%, 11/20/09 (f) (g) 700 702 Morgan Stanley, 6.60%, 04/01/12 (f) 1,325 1,473 Sail Net Interest Margin Notes, 7.75%, 04/27/33 (e) 10 10 11,377 Electric - 1.6% AES Corp. 9.375%, 09/15/10 125 142 8.875%, 02/15/11 50 56 7.75%, 03/01/14 (l) 200 217 Allegheny Energy Supply Statutory Trust, 10.25%, 11/15/07 (e) 250 275 Appalachian Power Co., 5.95%, 05/15/33 (f) 850 914 Calpine Generating Co. LLC, 12.39%, 04/01/11 (g) (l) 125 114 Duke Energy Corp., 4.20%, 10/01/08 (f) 800 797 Edison Mission Energy, 9.875%, 04/15/11 (f) 350 410 Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 627 Mirant Americas Generation LLC 8.30%, 05/01/11 (i) 300 344 9.125%, 05/01/31 (i) 250 271 Reliant Energy Inc., 9.50%, 07/15/13 (f) 375 416 Texas Genco LLC, 6.875%, 12/15/14 (e) 75 79 4,662 Electrical Components & Equipment - 0.1% Amkor Technology Inc. 7.125%, 03/15/11 (l) 350 303 9.25%, 02/15/08 (l) 25 24 327 Engineering & Construction - 0.0% Nortek Inc., 8.50%, 09/01/14 (e) 100 93 Terex Corp., 7.375%, 01/15/14 25 26 119 Entertainment - 1.0% Boyd Gaming Corp., 8.75%, 04/15/12 (l) 225 244 Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 81 Cinemark Inc., (Step-Up Bond), 9.75%, 03/15/14 (d) 325 216 Herbst Gaming Inc., 8.125%, 06/01/12 175 186 Isle of Capri Casinos Inc., 7.00%, 03/01/14 250 251 Kerzner International Ltd., 8.875%, 08/15/11 150 161 LB Commercial Conduit Mortgage Trust, 9.00%, 08/01/14 (e)25 24 Lodgenet Entertainment Corp., 9.50%, 06/15/13 300 327 MGM Mirage Inc., 6.75%, 09/01/12 375 386 Mohegan Tribal Gaming Authority, 6.875%, 02/15/15 (e) 100 102 Penn National Gaming Inc., 6.75%, 03/01/15 (e) (l) 225 223 Pinnacle Entertainment Inc., 8.75%, 10/01/13 175 186 Six Flags Inc. 9.75%, 04/15/13 75 71 9.625%, 06/01/14 75 70 Station Casinos Inc., 6.875%, 03/01/16 175 180 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 175 185 VICORP Restaurants Inc., 10.50%, 04/15/11 125 126 3,019 Environmental Control - 0.0% Aleris Intl Inc., 9.00%, 11/15/14 25 26 Allied Waste North America, 8.50%, 12/01/08 100 104 Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 2 132 Food - 1.1% Ahold Finance USA Inc., 7.82%, 01/02/20 47 50 Doane Pet Care Co., 10.75%, 03/01/10 25 26 Dole Food Co., 8.75%, 07/15/13 75 81 Friendly Ice Cream Corp., 8.375%, 06/15/12 (l) 100 97 Kraft Foods Inc., 5.625%, 11/01/11 (f) 1,400 1,485 Nutritional Sourcing Corp., 10.125%, 08/01/09 5 3 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 175 157 Safeway Inc., 7.25%, 02/01/31 (f) 850 984 Sbarro Inc., 11.00%, 09/15/09 (l) 175 176 Swift & Co., 10.125%, 10/01/09 100 109 3,168 Forest Products & Paper - 0.3% Abitibi-Consolidated Inc., 8.55%, 08/01/10 125 130 Blue Ridge Paper Products Inc., 9.50%, 12/15/08 (l) 100 96 Bowater Canada Finance, 7.95%, 11/15/11 150 159 Buckeye Technologies Inc. 9.25%, 09/15/08 (e) (l) 145 145 8.00%, 10/15/10 75 72 Cenveo Corp., 7.875%, 12/01/13 (l) 150 143 Smurfit Capital Funding Plc, 7.50%, 11/20/25 225 211 956 Healthcare - 1.5% Ameripath Inc., 10.50%, 04/01/13 (l) 225 228 DaVita Inc., 7.25%, 03/15/15 (e) (l) 100 103 Extendicare Health Services Inc. 9.50%, 07/01/10 150 162 6.875%, 05/01/14 25 25 Genesis Healthcare Corp., 8.00%, 10/15/13 225 244 Host Marriott LP, 7.125%, 11/01/13 (l) 50 52 Humana Inc., 6.30%, 08/01/18 (f) 775 847 IASIS Healthcare LLC, 8.75%, 06/15/14 200 217 Insight Health Services Corp., 9.875%, 11/01/11 100 78 Medical Device Manufacturing Inc., 10.00%, 07/15/12 175 188 National Mentor Inc., 9.625%, 12/01/12 (e) 175 184 Psychiatric Solutions Inc., 10.625%, 06/15/13 100 111 Sybron Dental Specialties Inc., 8.125%, 06/15/12 275 294 Tenet Healthcare Corp. 7.375%, 02/01/13 (l) 275 272 9.875%, 07/01/14 25 27 Vanguard Health Systems Inc., 9.00%, 10/01/14 200 216 Warner Chilcott Corp., 8.75%, 02/01/15 (e) 175 170 WellPoint Health Networks, 6.375%, 01/15/12 (f) 800 882 4,300 Holding Companies - Diversified - 0.2% Applied Extrusion Technologies Inc., 12.00%, 03/15/12 (e) (l) 18 18 CBD Media Holdings LLC, 9.25%, 07/15/12 100 101 Crystal US Holdings 3 LLC, 9.625%, 06/15/14 97 109 DRS Technologies Inc., 6.875%, 11/01/13 150 155 Jean Coutu Group Inc., 8.50%, 08/01/14 (l) 100 99 Nebco Evans Holding Co., (Step-Up Bond), 12.375%, 07/15/07 (d) (i) 350 - United Agri Products, 8.25%, 12/15/11 199 206 688 Home Builders - 0.1% Associated Materials Inc., (Step-Up Bond), 11.25%, 03/01/14 (d) 350 222 Home Furnishings - 0.1% Applica Inc., 10.00%, 07/31/08 (l) 64 58 Sealy Mattress Co., 8.25%, 06/15/14 (l) 175 177 235 Household Products - 0.0% Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 - Insurance - 0.2% UnitedHealth Group Inc., 4.125%, 08/15/09 475 473 Internet - 0.1% FTD Inc., 7.75%, 02/15/14 170 167 Iron & Steel - 0.0% AK Steel Corp., 7.875%, 02/15/09 (l) 50 46 IPSCO Inc., 8.75%, 06/01/13 75 84 130 Leisure Time - 0.2% Equinox Holdings Inc., 9.00%, 12/15/09 175 181 Icon Health & Fitness, 11.25%, 04/01/12 (l) 100 77 Leslie's Poolmart Inc., 7.75%, 02/01/13 100 101 Mohegan Tribal Gaming Authority, 7.125%, 08/15/14 75 79 438 Lodging - 0.4% Caesars Entertainment Inc., 8.125%, 05/15/11 (l) 125 144 Gaylord Entertainment Co., 6.75%, 11/15/14 200 196 HMH Properties Inc., 7.875%, 08/01/08 34 35 Host Marriott LP, 6.375%, 03/15/15 (e) 250 248 John Q Hamons Hotels, 8.875%, 05/15/12 200 218 Las Vegas Sands Corp., 6.375%, 02/15/15 (e) 225 220 MeriStar Hospitality Finance Corp., 10.50%, 06/15/09 (l) 100 107 1,168 Machinery - 0.2% Case New Holland Inc., 9.25%, 08/01/11 (e) 25 26 Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 100 104 Flowserve Corp., 12.25%, 08/15/10 125 135 Terex Corp., 10.375%, 04/01/11 175 190 455 Manufacturing - 0.2% Blount Inc., 8.875%, 08/01/12 75 80 Invensys Plc, 9.875%, 03/15/11 (e) 100 96 Koppers Inc., 9.875%, 10/15/13 125 135 Park-Ohio Industries Inc., 8.375%, 11/15/14 (e) 100 89 Sensus Metering Systems Inc., 8.625%, 12/15/13 180 167 567 Media - 1.3% Cablevision Systems Corp., 7.88%, 04/01/09 175 175 Charter Communications Holdings LLC 8.625%, 04/01/09 (l) 50 37 10.25%, 01/15/10 125 93 (Step-Up Bond), 11.75%, 01/15/10 (d) 75 59 10.00%, 05/15/11 (f) 550 402 (Step-Up Bond), 12.125%, 01/15/12 (d) 75 43 CSC Holdings Inc. 8.125%, 08/15/09 50 51 10.50%, 05/15/16 (l) 75 81 Dex Media Inc. 9.875%, 08/15/13 196 223 (Step-Up Bond), 9.00%, 11/15/13 (d) 275 221 DirecTV Holdings LLC, 6.375%, 06/15/15 (e) 300 299 Houghton Mifflin Co., (Step-Up Bond), 11.50%, 10/15/13 (d) (l) 125 91 Mediacom Broadband LLC, 11.00%, 07/15/13 135 146 Mediacom LLC/Mediacom Capital Corp., 9.50%, 01/15/13 (l) 25 25 Muzak Finance Corp. 10.00%, 02/15/09 75 62 9.875%, 03/15/09 (l) 125 60 Nexstar Finance Holdings Inc., (Step-Up Bond), 11.375%, 04/01/13 (d) 75 56 Nextmedia Operating Inc., 10.75%, 07/01/11 175 190 Radio One Inc., 8.875%, 07/01/11 150 161 Sinclair Broadcast Group, 8.00%, 03/15/12 200 205 Time Warner Inc., 7.625%, 04/15/31 (f) 725 905 Yell Finance BV, 10.75%, 08/01/11 50 55 Young Broadcasting Inc., 8.75%, 01/15/14 (l) 150 133 3,773 Metal Fabrication & Hardware - 0.3% Mueller Group Inc., 10.00%, 05/01/12 150 158 Mueller Holdings Inc., (Step-Up Bond), 14.75%, 04/15/14 (d) 50 37 Novelis Inc., 7.25%, 02/15/15 (e) 200 201 Owens-Brockway, 8.25%, 05/15/13 (f) 375 407 803 Mining - 0.1% Compass Minerals Group Inc., 10.00%, 08/15/11 195 213 Office Furnishings - 0.1% Interface Inc. 7.30%, 04/01/08 125 128 9.50%, 02/01/14 50 51 Tempur-Pedic Inc., 10.25%, 08/15/10 (e) 130 143 322 Oil & Gas Producers - 1.2% Calpine Corp., 8.50%, 07/15/10 (e) (l) 300 231 Chesapeake Energy Corp., 6.625%, 01/15/16 (e) 275 284 Devon Financing Corp. ULC, 6.875%, 09/30/11 (f) 650 727 Exco Resources Inc., 7.25%, 01/15/11 200 200 Forest Oil Corp., 8.00%, 12/15/11 250 276 Magnum Hunter Resources Inc., 9.60%, 03/15/12 195 216 Stone Energy Corp., 8.25%, 12/15/11 175 183 Swift Energy Co., 9.375%, 05/01/12 50 54 Valero Energy Corp., 4.75%, 06/15/13 (f) 1,010 1,000 Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 175 185 3,356 Oil & Gas Services - 0.5% Hanover Compressor Co., 0.00%, 03/31/07 (k) 175 154 Key Energy Services Inc., 8.375%, 03/01/08 175 181 Petronas Capital Ltd., 7.00%, 05/22/12 (e) 275 314 Precision Drilling Corp., 5.625%, 06/01/14 (f) 675 698 1,347 Packaging & Containers - 0.6% Anchor Glass Container Corp., 11.00%, 02/15/13 150 117 Berry Plastics Corp., 10.75%, 07/15/12 250 273 Graphic Packaging International Corp., 9.50%, 08/15/13 (l) 200 202 Jefferson Smurfit Corp., 8.25%, 10/01/12 (f) 425 427 Plastipak Holdings Inc., 10.75%, 09/01/11 310 342 Pliant Corp., 11.125%, 09/01/09 100 98 Radnor Holdings Corp., 11.00%, 03/15/10 (l) 225 154 Tekni-Plex Inc., 8.75%, 11/15/13 (e) (l) 225 200 1,813 Pharmaceuticals - 0.7% aaiPharma Inc., 11.50%, 04/01/10 (i) (l) 175 92 Qwest Services Corp., 14.00%, 12/15/14 (f) 400 485 Wyeth, 5.50%, 03/15/13 (f) 1,400 1,473 2,050 Pipelines - 0.6% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 100 111 7.625%, 10/15/26 450 429 El Paso Corp. 7.875%, 06/15/12 100 103 7.80%, 08/01/31 75 73 7.75%, 01/15/32 (f) 425 414 Williams Cos. Inc. 7.125%, 09/01/11 50 54 7.625%, 07/15/19 75 84 7.875%, 09/01/21 100 114 8.75%, 03/15/32 (f) 250 300 1,682 Real Estate - 0.6% Boston Properties LP, 6.25%, 01/15/13 (f) 700 763 Host Marriott LP, 9.50%, 01/15/07 75 80 iStar Financial Inc., 5.15%, 03/01/12 (f) 800 791 MeriStar Hospitality Corp., 9.125%, 01/15/11 75 79 1,713 Retail - 0.7% Carrols Corp., 9.00%, 01/15/13 (e) 175 177 Doane Pet Care Co., 9.75%, 05/15/07 225 219 Finlay Fine Jewelry Corp., 8.375%, 06/01/12 100 90 Home Interiors & Gifts Inc., 10.125%, 06/01/08 250 161 Limited Brands Inc., 6.95%, 03/01/33 (f) 875 911 Petco Animal Supplies Inc., 10.75%, 11/01/11 150 167 Rite Aid Corp. 11.25%, 07/01/08 125 132 7.50%, 01/15/15 150 144 2,002 Storage/Warehousing - 0.1% OMI Corp., 7.625%, 12/01/13 175 174 Telecommunications - 2.1% AT&T Broadband Corp., 8.375%, 03/15/13 (f) 725 884 Charter Communications Holdings LLC, 10.75%, 10/01/09 50 39 DirecTV Holdings LLC, 8.375%, 03/15/13 130 144 Emmis Communications, 9.30%, 06/15/12 (e) 100 102 Insight Midwest LP, 10.50%, 11/01/10 200 212 Intelsat Bermuda Ltd., 7.81%, 01/15/12 (e) 75 76 MCI Inc., 8.735%, 05/01/14 270 303 Nextel Communications Inc. 6.875%, 10/31/13 100 107 7.375%, 08/01/15 (f) 450 486 Qwest Corp., 8.875%, 03/15/12 (e) 125 136 Qwest Services Corp., 13.50%, 12/15/10 200 231 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) 250 230 Sprint Capital Corp., 8.375%, 03/15/12 (l) 650 782 Telecom Italia Capital SA, 4.00%, 01/15/10 (e) (f) 725 704 US Unwired Inc., 10.00%, 06/15/12 175 195 Verizon Florida Inc., 6.125%, 01/15/13 (f) 1,370 1,469 Zeus Special Subsidiary Ltd., (Step-Up Bond), 9.25%, 02/01/15 (d) (e) (l) 100 67 6,167 Telecommunications Equipment - 0.2% American Tower Escrow Corp., 7.50%, 08/01/08 (k) 145 111 Centennial Cellular Operating Co., 10.125%, 06/15/13 200 226 PanAmSat Corp., 9.00%, 08/15/14 (e) 65 71 Spectrasite Inc., 8.25%, 05/15/10 100 106 Western Wireless Corp., 9.25%, 07/15/13 75 85 599 Transportation - 0.3% Holt Group Inc., 9.75%, 01/15/06 (i) 200 - Union Pacific Corp., 3.625%, 06/01/10 (l) 925 889 889 Venture Capital - 0.0% Rainbow National Services LLC, 10.375%, 09/01/14 (e) 125 144 Water - 0.2% United Utilities Plc, 4.55%, 06/19/18 (f) 700 658 Wireless Telecommunications - 0.5% American Tower Corp., 7.50%, 05/01/12 (l) 125 133 Lucent Technologies Inc., 6.45%, 03/15/29 (l) 475 425 New Cingular Wireless Services Inc., 8.75%, 03/01/31 (f) 650 911 1,469 Total Corporate Bonds (cost $88,444) 89,263 Government Securities - 58.8% Asset Backed Securities - 0.1% First Union National Bank Commercial Mortgage, 0.536%, 05/17/32 11,486 319 Sovereign - 9.4% Federal Republic of Brazil 10.50%, 07/14/14 175 207 8.875%, 10/14/19 150 159 12.25%, 03/06/30 585 784 11.00%, 08/17/40 425 511 Quebec Province Co., 4.60%, 05/26/15 (f) 1,475 1,492 Republic of Argentina 3.01%, 08/03/12 275 249 3.97%, 12/31/33 278 255 Republic of Brazil 4.31%, 04/15/12 (g) 2,281 2,194 8.00%, 04/15/14 1,863 1,908 10.125%, 05/15/27 625 724 Republic of Bulgaria, 8.25%, 01/15/15 150 188 Republic of Colombia 10.00%, 01/23/12 250 291 10.75%, 01/15/13 50 61 8.125%, 05/21/24 250 249 8.375%, 02/15/27 50 51 10.375%, 01/28/33 250 298 Republic of Ecuador 12.00%, 11/15/12 370 348 (Step-Up Bond), 8.00%, 08/15/30 (d) 25 21 Republic of Panama 9.625%, 02/08/11 205 245 9.375%, 01/16/23 315 389 Republic of Peru 9.125%, 02/21/12 500 585 9.875%, 02/06/15 190 235 0.00%, 03/07/17 (h) 319 304 Republic of Philippines 8.375%, 03/12/09 525 556 8.875%, 03/17/15 150 156 9.875%, 01/15/19 275 297 10.625%, 03/16/25 425 475 Republic of South Africa, 6.50%, 06/02/14 200 223 Republic of the Ukraine 6.875%, 03/04/11 125 132 7.65%, 06/11/13 100 110 Republic of Turkey 9.00%, 06/30/11 400 454 11.50%, 01/23/12 (f) 425 543 11.00%, 01/14/13 150 189 11.875%, 01/15/30 175 253 Republic of Venezuela 10.75%, 09/19/13 625 732 8.50%, 10/08/14 250 260 9.25%, 09/15/27 100 105 Russian Federation 11.00%, 07/24/18 725 1,081 (Step-Up Bond), 5.00%, 03/31/30 (d) 3,620 4,041 United Mexican States 6.375%, 01/16/13 575 617 5.875%, 01/15/14 (f) 1,675 1,748 6.625%, 03/03/15 1,475 1,623 11.375%, 09/15/16 325 482 8.00%, 09/24/22 150 183 8.30%, 08/15/31 400 497 7.50%, 04/08/33 475 544 27,052 U.S. Government Agencies - 33.0% Federal Home Loan Mortgage Corp. 5.00%, TBA (c) 11,500 11,515 6.50%, TBA (c) 2,000 2,069 Federal National Mortgage Association 4.00%, TBA (c) 8,000 7,841 4.50%, TBA (c) 7,000 6,850 5.00%, TBA (c) 39,625 39,625 5.50%, TBA (c) 20,500 20,775 6.00%, TBA (c) 3,000 3,075 6.50%, TBA (c) 2,000 2,069 6.00%, 04/01/18 152 157 10.40%, 04/25/19 6 6 6.50%, 02/01/26 13 14 7.50%, 08/01/29 22 24 8.00%, 08/01/29 2 3 7.50%, 09/01/29 46 50 7.50%, 03/01/30 14 15 8.00%, 04/01/30 22 24 7.50%, 05/01/30 9 9 7.50%, 06/01/30 13 15 7.50%, 07/01/30 17 17 8.00%, 07/01/30 33 36 8.00%, 08/01/30 10 11 7.50%, 09/01/30 9 9 8.00%, 10/01/30 151 162 7.50%, 11/01/30 9 9 7.50%, 12/01/30 10 11 7.50%, 01/01/31 8 9 8.00%, 01/01/31 93 101 7.50%, 02/01/31 67 71 8.00%, 02/01/31 6 7 7.50%, 03/01/31 18 19 6.00%, 07/01/32 28 29 7.00%, 07/01/32 42 45 6.00%, 09/01/32 150 154 7.50%, 09/01/32 30 33 94,859 U.S. Treasury Securities - 16.4% U.S. Treasury Bond 6.125%, 11/15/27 (l) 100 126 5.50%, 08/15/28 (l) 70 82 5.25%, 11/15/28 (l) 1,500 1,713 5.25%, 02/15/29 (l) 500 572 6.125%, 08/15/29 (l) 1,500 1,915 5.375%, 02/15/31 (l) 750 885 U.S. Treasury Note 3.625%, 01/15/10 (l) 3,350 3,334 6.50%, 02/15/10 (l) 5,400 6,026 4.00%, 03/15/10 425 430 4.00%, 04/15/10 (l) 15,900 16,074 3.875%, 05/15/10 (l) 5,600 5,632 5.00%, 02/15/11 (l) 5,900 6,269 4.00%, 02/15/14 (l) 2,350 2,364 4.25%, 11/15/14 (l) 1,660 1,699 47,121 Total Government Securities (cost $166,340) 169,351 Municipals - 0.3% Sovereign - 0.3% Region of Lombardy, 5.804%, 10/25/32 750 855 Total Municipals (cost $750) 855 Short Term Investments - 62.5% Commercial Paper - 19.4% Barton Capital Corp., 3.13%, 07/13/05 (f) 7,475 7,467 Blue Ridge Asset Funding Corp., 3.13%, 07/14/05 (f) 1,620 1,618 Chesham Finance LLC, 3.16%, 07/13/05 7,475 7,467 Concord Minutemen Capital Co., 3.14%, 07/14/05 7,475 7,467 Credit Suisse Corp., 3.15%, 07/13/05 7,475 7,467 DaimlerChrysler NA Holdings Inc., 3.31%, 07/14/05 (f) 3,735 3,731 Four Winds Funding Corp., 3.22%, 07/14/05 (f) 3,735 3,731 Market Street Funding, 3.135%, 07/14/05 7,475 7,467 Mica Funding LLC, 3.16%, 07/13/05 2,040 2,037 Narco Corp., 3.14%, 07/13/05 (f) 7,475 7,466 55,918 Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1 Repurchase Agreement - 21.6% Repurchase Agreement with Bank of America Securities, 3.34%, (Collateralized by $58,570 Federal Home Loan Mortgage Corporation, 4.30%, due 05/05/08, market value $60,327 and $2,970 Federal Home Loan Mortgage Corporation, 5.25%, due 11/05/12, market value $3,047) acquired on 06/30/05, due 07/01/05 at $62,161 $62,161 62,161 Securities Lending Collateral - 21.5% Mellon GSL Delaware Business Trust Collateral Fund 61,753 61,753 Total Short Term Investments (cost $179,835) 179,835 Total Investments - 153.4% (cost $436,804) 441,417 Other Assets and Liabilities, Net - (53.4%) (153,574) Total Net Assets - 100% $287,843 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Percentage of Total Industry Sector Investments (o) Mortgage Securities 46.3% Government 45.8% Financial 7.5% Asset Backed Securities 0.4% 100.0% Corporate Bonds - 3.2% Asset Backed Securities - 3.2% Commercial Mortgage Acceptance Corp., 5.447%, 07/16/34 (e) $5,625 $5,849 Green Tree Financial Corp., 7.07%, 01/15/29 704 745 Total Corporate Bonds (cost $6,504) 6,594 Government Securities - 95.6% U.S. Government Agencies - 52.8% Federal Home Loan Mortgage Corp. 4.50%, TBA (c) 1,000 995 5.00%, TBA (c) 24,500 24,531 6.00%, TBA (c) 3,000 3,077 3.016%, 07/08/05 (f) 20,000 19,988 5.80%, 09/02/08 (l) 3,500 3,697 7.00%, 07/01/11 5 5 6.50%, 08/01/13 37 38 8.25%, 04/01/17 3 3 8.00%, 07/01/20 75 80 6.00%, 11/01/28 699 718 7.00%, 04/01/29 175 185 7.00%, 10/01/31 9 10 7.00%, 11/01/31 16 17 7.00%, 02/01/32 221 232 7.00%, 03/01/32 209 220 7.00%, 04/01/32 200 211 4.50%, 04/15/32 183 176 7.00%, 06/01/32 27 28 6.00%, 08/01/32 11 11 5.00%, 08/01/33 (f) 2,218 2,221 Federal National Mortgage Association 5.00%, TBA (c) 7,000 7,008 5.50%, TBA (c) 25,000 25,390 6.00%, TBA (c) 3,000 3,075 6.50%, TBA (c) 8,000 8,275 4.29%, 02/17/09 (g) (l) 2,000 1,985 12.50%, 09/20/15 2 2 12.00%, 01/01/16 89 99 12.00%, 01/15/16 3 3 12.50%, 01/15/16 41 46 5.00%, 02/01/19 1,306 1,321 11.50%, 09/01/19 - 1 10.50%, 08/01/20 9 10 6.50%, 03/01/26 14 15 7.00%, 05/01/26 18 19 7.00%, 11/01/28 20 21 7.00%, 12/01/28 13 14 7917.50%, 12/28/28 (g) - - 7.00%, 03/01/29 70 74 8.00%, 07/01/29 1 1 8.00%, 11/01/29 28 30 8.00%, 12/01/29 47 51 7.00%, 01/01/30 76 80 8.00%, 01/01/30 66 71 8.00%, 02/01/30 12 12 8.00%, 05/01/30 4 4 6.527%, 05/25/30 1,508 1,590 8.00%, 09/01/30 3 3 8.00%, 10/01/30 64 68 8.00%, 11/01/30 3 3 8.00%, 01/01/31 145 155 7.50%, 02/01/31 131 140 8.00%, 02/01/31 57 62 8.00%, 03/01/31 92 98 8.00%, 04/01/31 3 4 6.00%, 01/01/33 2,432 2,495 Freddie Mac, 5.50%, 01/15/23 9,136 517 Government National Mortgage Association, 13.50%, 07/15/10 41 47 109,231 U.S. Treasury Securities - 42.6% U.S. Treasury Bond 6.625%, 02/15/27 (f) 2,350 3,119 6.375%, 08/15/27 1,000 1,297 5.25%, 02/15/29 (f) 2,000 2,287 6.125%, 08/15/29 1,250 1,596 5.375%, 02/15/31 (f) 17,000 20,060 U.S. Treasury Note 5.75%, 11/15/05 8,500 8,575 2.875%, 11/30/06 (l) 11,000 10,888 3.375%, 11/15/08 (f) 1,300 1,287 3.375%, 10/15/09 (l) 15,000 14,789 4.25%, 08/15/13 (l) 8,700 8,918 4.25%, 08/15/14 (l) 5,000 5,120 4.00%, 02/15/15 (l) 10,000 10,036 87,972 Total Government Securities (cost $192,400) 197,203 Short Term Investments - 62.4% Commercial Paper - 18.5% Atlantic Asset Securities Corp., 3.16%, 07/14/05 (f) 1,368 1,366 Barton Capital Corp., 3.13%, 07/13/05 (f) 4,540 4,535 Chesham Finance LLC, 3.16%, 07/13/05 (f) 5,475 5,469 Concord Minutemen Capital Co., 3.14%, 07/14/05 (f) 5,475 5,469 Credit Suisse Corp., 3.15%, 07/13/05 (f) 5,475 5,469 DaimlerChrysler NA Holdings Inc., 3.31%, 07/14/05 (f) 2,735 2,732 Four Winds Funding Corp., 3.22%, 07/14/05 (f) 2,735 2,732 Market Street Funding, 3.135%, 07/14/05 (f) 5,475 5,469 Mica Funding LLC, 3.16%, 07/13/05 (f) 5,000 4,995 38,236 Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.05% (a) 1 1 Repurchase Agreement - 11.8% Repurchase Agreement with Bank of America Securities, 3.34%, (Collateralized by $24,100 Federal Home Loan Mortgage Corporation, 4.30%, due 05/05/08, market value $24,823) acquired on 06/30/05, due 07/01/05 at $24,324 $24,324 24,324 Securities Lending Collateral - 26.8% Mellon GSL Delaware Business Trust Collateral Fund 55,215 55,215 U.S. Government Agencies - 2.4% Federal National Mortgage Association, 3.017%, 07/08/05 $5,000 4,997 U.S. Treasury Bills - 2.9% US Treasury Bill, 2.82%, 07/07/05 (m) 6,000 5,997 Total Short Term Investments (cost $128,770) 128,770 Total Investments - 161.2% (cost $327,674) 332,567 Other Assets and Liabilities, Net - (61.2%) (126,268) Total Net Assets - 100% $206,299 JNL/Select Balanced Fund Percentage of Total Industry Sector Investments (o) Financial 16.1% Government 11.9% Consumer, Non-cyclical 11.7% Mortgage Securities 11.4% Energy 10.3% Industrial 8.4% Communications 7.6% Basic Materials 6.2% Money Market Investment 3.9% Technology 3.6% Consumer, Cyclical 3.4% Utilities 3.3% Asset Backed Securities 2.2% 100.0% Common Stocks - 63.3% Aerospace & Defense - 1.4% General Dynamics Corp. 33 $3,593 United Technologies Corp. 36 1,869 5,462 Auto Parts & Equipment - 0.4% Borg Warner Inc. 16 837 Banks - 3.4% Bank of America Corp. 134 6,098 PNC Financial Services Group Inc. 29 1,552 State Street Corp. 57 2,770 Synovus Financial Corp. 84 2,397 12,817 Beverages - 1.2% Coca-Cola Co. 66 2,735 Coca-Cola Enterprises Inc. 90 1,981 4,716 Chemicals - 1.9% E.I. du Pont de Nemours & Co. 124 5,325 Rohm and Haas Co. 38 1,747 7,072 Computers - 1.1% International Business Machines Corp. 59 4,370 Cosmetics & Personal Care - 1.2% Colgate-Palmolive Co. (b) 25 1,248 Proctor & Gamble Co. 64 3,381 4,629 Diversified Financial Services - 4.5% Citigroup Inc. 161 7,452 Freddie Mac 39 2,537 JPMorgan Chase & Co. 64 2,243 MBNA Corp. 87 2,281 Merrill Lynch & Co. Inc. (l) 45 2,492 17,005 Electric - 3.3% Dominion Resources Inc. 16 1,196 Exelon Corp. 96 4,943 Pinnacle West Capital Corp. 52 2,311 PPL Corp. 33 1,960 Progress Energy Inc. (l) 51 2,285 12,695 Electrical Components & Equipment - 0.5% Emerson Electric Co. 33 2,035 Environmental Control - 0.9% Waste Management Inc. 127 3,591 Food - 0.8% General Mills Inc. 43 2,017 Tyson Foods Inc. 51 908 2,925 Forest Products & Paper - 2.0% International Paper Co. 61 1,855 Weyerhaeuser Co. 87 5,563 7,418 Healthcare - 0.3% Baxter International Inc. 34 1,243 Home Furnishings - 1.0% Sony Corp. - ADR 28 978 Whirlpool Corp. (l) 41 2,882 3,860 Household Products - 1.2% Avery Dennison Corp. 43 2,288 Kimberly-Clark Corp 39 2,454 4,742 Insurance - 4.2% ACE Ltd. 90 4,054 American International Group Inc. 52 3,010 Hartford Financial Services Group Inc. 60 4,509 Marsh & McLennan Cos. Inc. 51 1,415 MBIA Inc. (l) 24 1,400 MetLife Inc. 34 1,510 15,898 Machinery - 1.2% Caterpillar Inc. 20 1,868 Deere & Co. 44 2,862 4,730 Manufacturing - 1.9% General Electric Corp. 111 3,839 Parker Hannifin Corp. 55 3,386 7,225 Media - 2.5% Comcast Corp. - Class A (b) (l) 100 3,070 Gannett Co. 30 2,113 New York Times Co. - Class A 9 293 Time Warner Inc. (b) 162 2,702 Viacom Inc. - Class B 47 1,511 9,689 Mining - 2.1% Alcoa Inc. 118 3,081 Cameco Corp. 42 1,880 Rio Tinto Plc - ADR 25 2,987 7,948 Office & Business Equipment - 0.6% Pitney Bowes Inc. 52 2,278 Oil & Gas Producers - 9.5% BP Plc - ADR 68 4,217 Burlington Resources Inc. 56 3,071 Chevron Corp. 109 6,067 ConocoPhillips 14 828 Encana Corp. 155 6,118 Exxon Mobil Corp. 182 10,465 Total SA - ADR (l) 45 5,235 36,001 Oil & Gas Services - 0.6% Schlumberger Ltd. 32 2,422 Pharmaceuticals - 5.1% Abbott Laboratories 119 5,808 Eli Lilly & Co. 62 3,426 Novartis AG - ADR 39 1,831 Pfizer Inc. 68 1,864 Schering-Plough Corp. (l) 197 3,757 Wyeth 57 2,545 19,231 Retail - 1.9% Family Dollar Stores Inc. 72 1,882 McDonald's Corp. 121 3,369 TJX Cos. Inc. 52 1,264 Wal-Mart Stores Inc. 12 588 7,103 Semiconductors - 0.7% Texas Instruments Inc. 98 2,759 Software - 0.9% Microsoft Corp. 144 3,572 Telecommunications - 2.7% SBC Communications Inc. 176 4,178 Sprint Corp. 110 2,752 Verizon Communications 99 3,427 10,357 Tobacco - 1.1% Altria Group Inc. 67 4,332 Transportation - 2.3% CSX Corp. 98 4,159 Union Pacific Corp. 69 4,445 8,604 Wireless Telecommunications - 0.9% Motorola Inc. 185 3,378 Total Common Stocks (cost $222,550) 240,944 Corporate Bonds - 11.7% Aerospace & Defense - 0.0% Raytheon Co., 6.75%, 08/15/07 $146 153 Asset Backed Securities - 4.1% Americredit Automobile Receivables Trust, 3.10%, 11/06/09500 496 Banc of America Commercial Mortgage Inc. 5.676%, 06/11/35 500 517 5.118%, 07/11/43 750 779 Bank One Corp., 4.77%, 02/16/16 500 503 BK of America First Union, 5.464%, 04/11/37 (g) 500 527 BMW Vehicle Owners Trust, 3.52%, 10/25/10 1,000 990 Capital One Master Trust 3.40%, 11/16/09 480 474 4.50%, 06/15/11 500 505 Commercial Mortgage Acceptance Corp., 7.63%, 06/15/31 (g) 500 558 CS First Boston Mortgage Securities Corp., 6.133%, 04/15/37 500 546 Discover Card Master Trust I, 3.45%, 04/16/09 1,000 992 GE Capital Commercial Mortgage, 6.03%, 08/11/33 (g) 964 1,003 Harley Davidson Motorcycle Trust, 1.89%, 02/15/11 431 420 JPMorgan Chase Commercial Mortgage Security Corp. 6.613%, 01/15/30 1,000 1,048 6.507%, 10/15/35 (g) 1,000 1,064 MBNA Corp. 6.55%, 12/15/08 500 513 6.65%, 08/15/11 (e) 500 537 Morgan Stanley Dean Witter Capital I, 5.98%, 01/15/39 560 610 PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,096 Wells Fargo Mortgage Backed Securities Trust 4.57%, 03/25/35 392 391 4.543%, 04/25/35 434 431 WFS Financial Inc., 2.73%, 05/20/11 475 468 Woart, 2.20%, 01/15/08 470 466 14,934 Auto Manufacturers - 0.2% DaimlerChrysler NA Holdings Inc., 4.75%, 01/15/08 500 502 Harley Davidson Motorcycle Trust, 2.00%, 11/15/11 280 271 773 Banks - 1.0% Bank of America Corp., 7.40%, 01/15/11 750 858 BB&T Corp., 4.90%, 06/30/17 190 190 HSBC Bank USA NA, 5.875%, 11/01/34 250 272 HSBC Holdings Plc, 7.35%, 11/27/32 (e) 500 643 US Bank NA, 4.95%, 10/30/14 450 462 Wachovia Corp. 3.625%, 02/17/09 750 737 5.25%, 08/01/14 500 522 3,684 Beverages - 0.3% Diageo Capital Plc, 3.50%, 11/19/07 1,000 986 Commercial Services - 0.3% Aramark Services Inc., 7.00%, 07/15/06 1,000 1,023 Computers - 0.1% Hewlett-Packard Co., 5.50%, 07/01/07 500 512 Cosmetics & Personal Care - 0.1% Procter & Gamble Co., 5.80%, 08/15/34 500 562 Diversified Financial Services - 2.2% Americredit Automobile Receivables Trust, 4.46%, 04/12/09 479 480 Boeing Capital Corp., 6.50%, 02/15/12 (l) 500 559 Centex Home Equity, 4.72%, 10/25/31 115 115 CIT Group Inc., 7.375%, 04/02/07 500 527 Citigroup Inc. 3.50%, 02/01/08 250 246 6.00%, 02/21/12 (l) 500 546 Credit Suisse First Boston USA Inc., 4.875%, 01/15/15 345 349 General Electric Corp. 5.875%, 02/15/12 1,000 1,081 6.75%, 03/15/32 500 617 HSBC Finance Corp., 6.375%, 11/27/12 500 553 JPMorgan Chase & Co. 6.625%, 03/15/12 500 557 5.125%, 09/15/14 500 511 Morgan Stanley Dean Witter Capital I, 5.80%, 04/01/07 500 514 Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,026 Verizon Global Funding Corp., 7.75%, 12/01/30 500 646 8,327 Forest Products & Paper - 0.1% Weyerhaeuser Co., 7.125%, 07/15/23 350 392 Holding Companies - Diversified - 0.1% Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 522 Insurance - 1.6% Ace Capital Trust, 9.70%, 04/01/30 525 725 Ace INA Holdings Inc., 5.875%, 06/15/14 600 629 ASIF Global Financing, 4.90%, 01/17/13 (e) 500 507 AXA SA, 8.60%, 12/15/30 775 1,055 Berkshire Hathaway Finance Corp., 4.85%, 01/15/15 (e) 670 676 Hartford Life Inc., 7.375%, 03/01/31 700 895 Liberty Mutual Insurance, 7.875%, 10/15/26 (e) 475 564 Marsh & McLennan Cos. Inc., 5.375%, 07/15/14 675 672 MetLife Inc., 6.50%, 12/15/32 350 402 Willis Group Holdings Ltd., 5.625%, 07/15/15 105 106 6,231 Media - 0.3% Comcast Corp. 5.85%, 01/15/10 200 212 5.65%, 06/15/35 600 597 Walt Disney Co., 5.375%, 06/01/07 400 409 1,218 Metal Fabrication & Hardware - 0.1% Corp. Nacional del Cobre de Chile, 5.50%, 10/15/13 (e) 500 522 Oil & Gas Services - 0.2% Valero Energy Corp., 6.875%, 04/15/12 675 753 Retail - 0.1% Target Corp., 5.375%, 06/15/09 500 523 Telecommunications - 0.9% COX Communications Inc., 5.45%, 12/15/14 500 510 Deutsche Telekom International Finance BV, 8.75%, 06/15/30 275 372 New Cingular Wireless Services Inc., 7.875%, 03/01/11 750 872 Sprint Capital Corp. 6.125%, 11/15/08 125 132 8.375%, 03/15/12 450 541 Verizon Global Funding Corp., 6.125%, 06/15/07 500 518 Vodafone Group Plc, 5.375%, 01/30/15 500 528 3,473 Total Corporate Bonds (cost $44,117) 44,588 Government Securities - 20.6% Sovereign - 1.1% Financing Corp. 0.00%, 12/06/13 (k) 275 190 0.00%, 12/27/13 (f) (k) 220 152 Residential Funding Mortgage Securities Corp., 0.00%, 04/15/15 (k) 2,550 1,757 Tennessee Valley Authority, 4.375%, 06/15/15 2,400 2,417 4,516 Treasury Inflation Index Securities - 2.4% US Treasury Inflation Indexed Note, 2.375%, 08/15/06 (l) 9,117 9,000 U.S. Government Agencies - 9.0% Federal Home Loan Mortgage Corp. 5.50%, 10/01/16 476 489 6.00%, 04/01/17 337 348 6.50%, 11/01/17 143 149 5.00%, 01/01/18 137 139 5.50%, 01/01/18 2 2 4.50%, 05/01/18 215 214 5.00%, 05/01/18 318 321 4.50%, 09/01/18 243 242 4.50%, 11/01/18 502 501 5.50%, 01/01/19 591 607 4.50%, 03/01/19 1,575 1,569 5.50%, 08/01/19 647 664 7.00%, 11/01/30 304 321 7.00%, 02/01/31 111 117 7.00%, 06/01/31 99 105 7.00%, 10/01/32 341 359 5.50%, 03/01/33 1,245 1,263 4.50%, 06/01/33 225 220 5.50%, 06/01/33 280 284 5.00%, 08/01/33 1,377 1,380 6.50%, 09/01/33 172 179 6.00%, 10/01/33 1,811 1,858 5.00%, 05/01/34 1,419 1,421 5.50%, 05/01/34 177 180 5.00%, 09/01/34 558 559 Federal National Mortgage Association 5.00%, 10/01/17 359 364 5.00%, 11/01/17 163 165 6.00%, 01/01/18 81 84 5.00%, 02/01/18 708 716 5.00%, 04/01/18 195 197 4.50%, 07/01/18 1,533 1,527 5.50%, 11/01/18 203 209 5.00%, 12/01/18 1,066 1,078 6.50%, 08/01/28 37 39 6.50%, 11/01/28 79 82 6.50%, 12/01/28 47 49 6.00%, 03/01/29 399 410 7.50%, 09/01/29 111 118 6.50%, 01/01/32 625 649 6.50%, 07/01/32 704 730 6.50%, 09/01/32 457 473 6.50%, 09/01/32 358 371 6.00%, 10/01/32 422 432 6.50%, 03/01/33 331 343 5.00%, 09/01/33 1,039 1,040 7.00%, 10/01/33 757 798 4.50%, 11/01/33 258 253 5.50%, 11/01/33 1,911 1,938 4.50%, 12/01/33 468 458 5.50%, 12/01/33 1,053 1,068 6.00%, 12/01/33 206 211 5.50%, 03/01/34 652 661 5.50%, 04/01/34 2,126 2,156 5.50%, 05/01/34 224 227 6.00%, 06/01/34 487 499 Government National Mortgage Assocation 6.50%, 04/15/26 114 119 7.00%, 06/15/28 (f) 88 94 7.50%, 04/15/29 59 63 7.00%, 07/15/29 59 62 5.50%, 11/15/32 290 296 6.00%, 11/15/32 129 134 6.00%, 02/15/33 363 375 6.00%, 03/15/33 124 128 5.50%, 05/15/33 264 270 5.50%, 05/20/33 390 397 5.00%, 06/20/33 180 181 5.00%, 10/15/33 434 438 6.00%, 10/20/33 405 417 6.00%, 04/15/34 218 225 34,035 U.S. Treasury Securities - 8.1% U.S. Treasury Bond, 5.375%, 02/15/31 (l) 6,575 7,759 U.S. Treasury Note 1.50%, 03/31/06 (l) 14,850 14,635 2.25%, 02/15/07 (l) 2,000 1,957 3.50%, 12/15/09 (l) 6,375 6,315 30,666 Total Government Securities (cost $77,440) 78,217 Municipals - 0.2% Illinois State Taxable Pension, 5.10%, 06/01/33 375 391 Oregon School Board Association, 4.759%, 06/30/28 420 421 Total Municipals (cost $791) 812 Short Term Investments - 18.7% Money Market Funds - 3.9% Dreyfus Cash Management Plus Fund, 3.05% (a) 14,887 14,887 Securities Lending Collateral - 14.8% Mellon GSL Delaware Business Trust Collateral Fund 56,098 56,098 Total Short Term Investments (cost $70,985) 70,985 Total Investments - 114.5% (cost $415,883) 435,546 Other Assets and Liabilities, Net - (14.5%) (55,245) Total Net Assets - 100% $380,301 JNL/Select Global Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 28.7% Communications 17.9% Consumer, Cyclical 15.1% Financial 14.4% Industrial 7.7% Energy 6.7% Technology 6.2% Money Market Investment 2.3% Diversified 0.5% Basic Materials 0.5% 100.0% Common Stocks - 98.2% Advertising - 0.4% Getty Images Inc. (b) 10 $720 Aerospace & Defense - 0.7% Boeing Co. 15 997 Airlines - 0.9% British Airways Plc (b) 37 172 Ryanair Holdings Plc 33 1,480 1,652 Apparel - 1.3% Adidas-Salomon AG 15 2,460 Banks - 8.2% Banco Bilbao Vizcaya Argentaria SA 106 1,630 Bayerische Hypo-und Vereinsbank AG (b) 94 2,443 Credit Suisse Group (b) 77 3,019 Mitsubishi Tokyo Financial Group Inc. - 1,645 Standard Chartered Plc (b) 193 3,528 UBS AG 37 2,915 15,180 Beverages - 1.6% Pernod-Ricard 19 3,009 Biotechnology - 1.3% Genentech Inc. (b) 31 2,497 Commercial Services - 1.8% Capita Group Plc 510 3,366 Computers - 0.8% Dell Inc. (b) 37 1,462 Cosmetics & Personal Care - 2.0% Proctor & Gamble Co. 72 3,782 Distribution & Wholesale - 1.6% Esprit Holdings Ltd. 407 2,934 Diversified Financial Services - 3.4% Chicago Mercantile Exchange Holdings Inc. 4 1,064 Citigroup Inc. 27 1,271 Countrywide Financial Corp. 67 2,575 Goldman Sachs Group Inc. 6 592 ORIX Corp. 5 762 6,264 Electronics - 6.7% AU Optronics Corp. 305 5,170 Chi Mei Optoelectronics Corp. (b) 1,769 2,747 LG.Philips LCD Co. Ltd. (b) 61 2,805 Nippon Electric Glass Co. Ltd. 112 1,682 12,404 Entertainment - 3.3% EMI Group Plc 993 4,520 Warner Music Group (b) 94 1,521 6,041 Food - 3.3% Ahold Koninklijke NV (b) 681 5,610 Groupe Danone 6 524 6,134 Healthcare - 4.4% Aetna Inc. 41 3,387 Baxter International Inc. 87 3,213 HCA Inc. 28 1,575 8,175 Holding Companies - Diversified - 0.5% LVMH Moet Hennessy Louis Vuitton SA 12 938 Home Builders - 1.9% DR Horton Inc. 95 3,554 Home Furnishings - 0.5% Matsushita Electric Industrial Co. Ltd. 61 923 Insurance - 2.9% American International Group Inc. 16 935 AXA SA 72 1,800 Zurich Financial Services AG (b) 15 2,636 5,371 Internet - 3.1% Google Inc. - Class A (b) (l) 10 3,030 Yahoo! Inc. (b) 77 2,682 5,712 Lodging - 1.2% Starwood Hotels & Resorts Worldwide Inc. 38 2,232 Manufacturing - 0.5% General Electric Corp. 26 915 Media - 4.8% Grupo Televisa SA - ADR 41 2,533 Sirius Satellite Radio (b) (l) 403 2,612 Vivendi Universal SA (b) 118 3,738 8,883 Mining - 0.5% Cia Vale Do Rio Doce - ADR (b) 31 905 Oil & Gas Producers - 5.7% ConocoPhillips 33 1,920 Encana Corp. 54 2,111 ENI SpA 60 1,542 Petro-Canada 46 2,982 Valero Energy Corp. 25 1,994 10,549 Oil & Gas Services - 1.1% Halliburton Co. 42 1,989 Pharmaceuticals - 11.9% Abbott Laboratories 74 3,632 Astrazeneca Plc 56 2,337 Eisai Co. Ltd. 54 1,794 Gilead Sciences Inc. 30 1,333 IVAX Corp. (b) (l) 161 3,452 Merck KGaA 33 2,612 Roche Holding AG 32 4,027 Schering-Plough Corp. 146 2,775 21,962 Retail - 4.5% Best Buy Co. Inc. 50 3,434 Carphone Warehouse Group Plc 925 3,056 Swatch Group AG 13 1,874 8,364 Semiconductors - 0.9% Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (l) 181 1,651 Software - 4.6% Electronic Arts Inc. 55 3,102 Pixar Inc. (b) 68 3,393 SAP AG 11 1,934 8,429 Telecommunications - 0.8% SES Global (b) 100 1,511 Telecommunications Equipment - 4.4% Cisco Systems Inc. (b) 170 3,249 Corning Inc. (b) 295 4,900 8,149 Tobacco - 2.3% Altria Group Inc. 40 2,593 Japan Tobacco Inc. - 1,717 4,310 Wireless Telecommunications - 4.5% Motorola Inc. 82 1,505 Nokia Corp. - Class A - ADR 190 3,153 Telefonaktiebolaget LM Ericsson 748 2,404 Vodafone Group Plc 490 1,194 8,256 Total Common Stocks (cost $171,473) 181,680 Short Term Investments - 13.8% Money Market Funds - 2.3% Dreyfus Cash Management Plus Fund, 3.05% (a) 4,272 4,272 Securities Lending Collateral - 11.5% Mellon GSL Delaware Business Trust Collateral Fund 21,360 21,360 Total Short Term Investments (cost $25,632) 25,632 Total Investments - 112.0% (cost $197,105) 207,312 Other Assets and Liabilities, Net - (12.0%) (22,147) Total Net Assets - 100% $185,165 JNL/Select Large Cap Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 28.7% Communications 19.5% Financial 13.6% Technology 13.2% Industrial 10.2% Consumer, Cyclical 6.6% Energy 5.5% Money Market Investment 2.7% 100.0% Common Stocks - 98.5% Advertising - 1.6% Omnicom Group Inc. 43 $3,402 Aerospace & Defense - 4.3% Boeing Co. 90 5,963 General Dynamics Corp. 31 3,373 9,336 Biotechnology - 0.9% Genzyme Corp. 32 1,896 Commercial Services - 5.0% Apollo Group Inc. - Class A (b) 106 8,273 Moody's Corp. (l) 55 2,486 10,759 Computers - 5.6% Dell Inc. (b) 233 9,210 Research In Motion Ltd. (b) (l) 40 2,916 12,126 Cosmetics & Personal Care - 2.0% Proctor & Gamble Co. 84 4,416 Distribution & Wholesale - 1.4% CDW Corp. (l) 52 2,944 Diversified Financial Services - 11.5% Capital One Financial Corp. (l) 57 4,532 Chicago Mercantile Exchange Holdings Inc. 20 5,886 Countrywide Financial Corp. 302 11,651 Franklin Resources Inc. 9 677 Legg Mason Inc. 21 2,228 24,974 Healthcare - 8.3% Aetna Inc. 53 4,380 Coventry Health Care Inc. (b) 29 2,066 Medtronic Inc. 174 9,036 WellPoint Inc. (b) 36 2,510 17,992 Home Builders - 1.1% Lennar Corp. (l) 37 2,343 Insurance - 1.2% Progressive Corp. 26 2,554 Internet - 8.6% Ebay Inc. (b) 66 2,183 Google Inc. - Class A (b) 25 7,413 Yahoo! Inc. (b) 264 9,131 18,727 Lodging - 1.5% Starwood Hotels & Resorts Worldwide Inc. 57 3,350 Manufacturing - 6.0% Danaher Corp. (l) 107 5,575 General Electric Corp. 212 7,360 12,935 Media - 5.4% Comcast Corp - Special Class A (b) (l) 75 2,234 XM Satellite Radio Holdings - Class A (b) (l) 280 9,430 11,664 Oil & Gas Producers - 3.7% Petro - Canada (b) 88 5,745 Petroleo Brasileiro SA - ADR 43 2,224 7,969 Oil & Gas Services - 1.9% Halliburton Co. 86 4,106 Pharmaceuticals - 12.9% Abbott Laboratories 109 5,359 AstraZeneca Plc - ADR 223 9,186 Forest Laboratories Inc. (b) 71 2,743 Gilead Sciences Inc. 64 2,825 Sanofi-synthelabo SA - ADR 74 3,043 Schering-Plough Corp. 252 4,800 27,956 Retail - 2.7% Abercrombie & Fitch Co. - Class A 38 2,624 Petsmart Inc. 107 3,244 5,868 Savings & Loans - 1.1% Golden West Financial Corp. 36 2,319 Software - 7.7% Electronic Arts Inc. 179 10,137 Microsoft Corp. 195 4,851 Pixar Inc. (b) 35 1,754 16,742 Telecommunications Equipment - 3.1% Cisco Systems Inc. (b) 356 6,797 Wireless Telecommunications - 1.0% America Movil SA de CV 37 2,188 Total Common Stocks (cost $199,292) 213,363 Short Term Investments - 11.6% Money Market Funds - 2.7% Dreyfus Cash Management Plus Fund, 3.05% (a) 5,841 5,841 Securities Lending Collateral - 8.9% Mellon GSL Delaware Business Trust Collateral Fund 19,304 19,304 Total Short Term Investments (cost $25,145) 25,145 Total Investments - 110.1% (cost $224,437) 238,508 Other Assets and Liabilities, Net - (10.1%) (21,907) Total Net Assets - 100% $216,601 JNL/Select Money Market Fund Percentage of Total Industry Sector Investments (o) Financial 54.4% Mortgage Securities 30.8% Consumer, Non-cyclical 12.1% Asset Backed Securities 2.6% Money Market Investment 0.1% 100.0% Corporate Bonds - 9.4% Asset Backed Securities - 3.0% GE Commercial Equipment Financing LLC 3.22%, 11/20/05 (g) $616 $616 2.59%, 12/22/05 (e) (g) 465 465 Lothian Mortgages, 3.29%, 01/24/06 (e) 1,950 1,950 Permanent Financing Plc 3.31%, 03/10/06 1,540 1,540 3.201%, 06/10/06 2,210 2,210 6,781 Banks - 4.1% Credit Suisse First Boston USA Inc., 3.38%, 12/08/05 3,500 3,501 Northern Rock, 3.17%, 07/13/05 (e) 2,000 2,000 US Bancorp., 3.564%, 09/16/05 3,500 3,501 9,002 Certificates of Deposit - 2.3% Barclays Bank Plc, 3.124%, 05/09/06 5,000 4,999 Total Corporate Bonds (cost $20,782) 20,782 Government Securities - 3.2% U.S. Government Agencies - 3.2% Federal National Mortgage Association, 7.00%, 07/15/05 (l) $7,000 7,012 Total Government Securities (cost $7,012) 7,012 Short Term Investments - 28.9% Certificates of Deposit - 24.1% ABN-AMRO Bank, 3.455%, 12/09/05 4,000 4,000 American Express Bank, 3.28%, 02/28/06 2,500 2,500 American Express Credit Corp., 3.12%, 07/12/05 4,000 4,000 Caylon N. America, 3.455%, 12/30/05 4,200 4,200 Citibank, 3.435%, 09/29/05 5,000 5,000 Depfa Bank Plc, 3.065%, 07/14/05 5,000 5,000 Deutsche Bank AG, 3.53%, 12/12/05 5,500 5,500 Fortis Bank, 3.54%, 12/19/05 5,000 5,000 HBOS Treasury Services Plc, 2.46%, 12/09/05 4,000 4,000 Regions Bank, 3.12%, 08/09/05 4,500 4,500 Wells Fargo, 3.20%, 07/19/05 5,400 5,400 Wilmington Trust Corp., 3.14%, 08/04/05 4,525 4,525 53,625 Insurance - 2.7% MetLife Inc., 3.29%, 05/01/06 6,000 6,000 Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.05% (a) 40 40 Repurchase Agreement - 1.6% Repurchase Agreement with Bank of America Securities, 3.43%, (Collateralized by $3,640 Federal National Mortgage Securities , 5.00%, due 03/01/35, market value $3,639) acquired on 06/30/05, due 07/01/05 at $3,500 $3,500 3,500 Securities Lending Collateral - 0.5% Mellon GSL Delaware Business Trust Collateral Fund 1,055 1,055 Total Short Term Investments (cost $64,220) 64,220 Commercial Paper - 58.4% Diversified Financial Services - 58.4% Aorcco Corp., 3.08%, 07/07/05 1,755 1,754 Cafco LLC, 3.08%, 07/12/05 4,700 4,696 Chariot Funding LLC, 3.16%, 07/15/05 4,000 3,995 Clipper Receivables 3.05%, 07/05/05 3,395 3,394 3.11%, 07/11/05 955 954 Coca-Cola Co., 3.25%, 08/03/05 5,000 4,985 CRC Funding, 3.07%, 07/08/05 4,500 4,497 Eureka Securities Plc, 3.07%, 07/07/05 4,055 4,053 General Electric Corp., 3.05%, 07/18/05 5,000 4,993 GlaxoSmithKline Finance Plc, 3.05%, 07/08/05 5,000 4,997 Goldman Sachs Group Inc., 3.09%, 07/08/05 4,800 4,797 Greyhawk Funding, 3.18%, 08/18/05 4,500 4,481 HBOS Treasury Services Plc, 3.05%, 07/18/05 3,000 2,996 International Business Machines Corp., 3.02%, 07/13/05 2,986 2,983 International Lease Finance Corp. 3.25%, 08/08/05 2,630 2,621 3.26%, 08/09/05 3,000 2,989 KFW International Finance, 3.05%, 07/25/05 2,500 2,495 Merrill Lynch & Co. Inc., 3.24%, 07/15/05 4,300 4,295 Morgan Stanley Capital I, 3.08%, 07/18/05 5,000 4,993 Nestle Capital, 3.00%, 07/01/05 5,000 5,000 New York Life Cap, 3.13%, 07/18/05 6,000 5,991 New York Times Co., 3.31%, 08/23/05 5,710 5,682 Pitney Bowes Inc., 3.25%, 07/12/05 4,700 4,695 Proctor & Gamble Co., 3.03%, 07/05/05 3,150 3,149 Sheffield Receivables, 3.26%, 07/25/05 4,000 3,991 Total Capital Corp., 3.03%, 07/05/05 6,000 5,998 Variable Funding Capital Corp., 3.06%, 07/08/05 4,500 4,497 Wal-Mart Stores Inc., 3.12%, 07/19/05 6,020 6,011 Windmill Funding Co., 3.14%, 08/10/05 4,700 4,684 Yale University, 3.17%, 08/04/05 4,800 4,786 Yorktown Capital, 3.14%, 07/13/05 4,300 4,295 Total Commercial Paper (cost $129,747) 129,747 Total Investments - 99.9% (cost $221,761) 221,761 Other Assets and Liabilities, Net - 0.1% 198 Total Net Assets - 100% $221,959 JNL/Select Value Fund Percentage of Total Industry Sector Investments (o) Financial 24.4% Consumer, Non-cyclical 14.6% Industrial 13.0% Energy 10.3% Utilities 9.6% Communications 8.2% Consumer, Cyclical 7.6% Basic Materials 7.2% Technology 3.5% Money Market Investment 1.6% 100.0% Common Stocks - 98.8% Aerospace & Defense - 1.7% General Dynamics Corp. 38 $4,108 Airlines - 1.6% Southwest Airlines Co. 265 3,696 Apparel - 1.4% Nike Inc. - Class B 36 3,118 Banks - 9.5% Bank of America Corp. 207 9,460 National City Corp. 138 4,695 PNC Financial Services Group Inc. 34 1,835 Suntrust Bank Inc. 31 2,254 Wells Fargo & Co. 55 3,368 21,612 Beverages - 1.7% PepsiCo Inc. 72 3,894 Chemicals - 3.9% Dow Chemical Co. 76 3,366 E.I. du Pont de Nemours & Co. 94 4,039 Huntsman Corp. (b) (l) 69 1,403 8,808 Commercial Services - 0.4% Manpower Inc. 26 1,014 Diversified Financial Services - 7.8% Citigroup Inc. 213 9,828 Goldman Sachs Group Inc. 45 4,560 JPMorgan Chase & Co. 93 3,275 17,663 Electric - 9.6% Consolidated Edison Inc. (l) 50 2,356 Dominion Resources Inc. 52 3,809 Entergy Corp. 43 3,264 Exelon Corp. 132 6,770 PPL Corp. 36 2,132 Scana Corp. (l) 44 1,896 TXU Corp 20 1,654 21,881 Electrical Components & Equipment - 1.6% Emerson Electric Co. 57 3,576 Food - 1.6% Kellogg Co. 83 3,697 Healthcare - 4.9% Baxter International Inc. 94 3,473 Beckman Coulter Inc. 30 1,913 WellPoint Inc. (b) 82 5,683 11,069 Household Products - 1.1% Kimberly-Clark Corp 39 2,466 Insurance - 4.9% ACE Ltd. 51 2,278 American International Group Inc. 51 2,957 Chubb Corp. 41 3,484 Principal Financial Group 56 2,331 11,050 Machinery - 4.5% Caterpillar Inc. 83 7,930 Rockwell Automation Inc. 47 2,299 10,229 Manufacturing - 2.1% Illinois Tool Works Inc. 23 1,849 Parker Hannifin Corp. 18 1,085 Tyco International Ltd. 63 1,851 4,785 Media - 2.9% Comcast Corp. - Class A (b) 129 3,948 Time Warner Inc. (b) 159 2,655 6,603 Metal Fabrication & Hardware - 1.1% Precision Castparts Corp. 33 2,555 Mining - 3.3% Alcoa Inc. 176 4,588 Cameco Corp. 65 2,922 7,510 Oil & Gas Producers - 10.4% ConocoPhillips 100 5,755 Exxon Mobil Corp. 189 10,850 GlobalSantaFe Corp. 144 5,863 Occidental Petroleum Corp. 15 1,115 23,583 Pharmaceuticals - 4.9% Pfizer Inc. 153 4,228 Watson Pharmaceuticals Inc. (b) 83 2,462 Wyeth 100 4,450 11,140 Real Estate - 0.2% CB Richard Ellis Group Inc. (b) 11 491 Retail - 4.7% CVS Corp. 199 5,791 Dollar General Corp. 116 2,370 McDonald's Corp. 87 2,411 10,572 Savings & Loans - 2.0% Golden West Financial Corp. (l) 55 3,567 Washington Mutual Inc. 26 1,066 4,633 Semiconductors - 3.5% Applied Materials Inc. 109 1,770 Intel Corp. 106 2,752 LAM Research Corp (b) (l) 59 1,713 Teradyne Inc. (b) 148 1,772 8,007 Telecommunications - 4.3% AT&T Corp. 58 1,104 BellSouth Corp. 103 2,737 SBC Communications Inc. 109 2,582 Sprint Corp. (l) 129 3,224 9,647 Transportation - 2.0% CSX Corp. 104 4,428 Wireless Telecommunications - 1.0% Nokia Corp. - Class A - ADR 141 2,343 Total Common Stocks (cost $211,739) 224,178 Short Term Investments - 5.1% Money Market Funds - 1.6% Dreyfus Cash Management Plus Fund, 3.05% (a) 3,730 3,730 Securities Lending Collateral - 3.4% Mellon GSL Delaware Business Trust Collateral Fund 7,746 7,746 Total Short Term Investments (cost $11,476) 11,476 Total Investments - 103.9% (cost $223,215) 235,654 Other Assets and Liabilities, Net - (3.9%) (8,798) Total Net Assets - 100% $226,856 JNL/T. Rowe Price Established Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 19.8% Financial 18.7% Communications 17.5% Technology 16.4% Consumer, Cyclical 12.9% Industrial 6.8% Energy 5.0% Money Market Investment 2.3% Basic Materials 0.6% 100.0% Common Stocks - 97.8% Agriculture - 0.5% Monsanto Co. 50 $3,156 Banks - 5.5% Anglo Irish Bank Corp. Plc - ADR (b) 371 4,608 Northern Trust Corp. 138 6,301 State Street Corp. 235 11,329 UBS AG 133 10,397 US Bancorp. 176 5,145 37,780 Beverages - 0.7% Coca-Cola Co. 61 2,534 PepsiCo Inc. 49 2,632 5,166 Biotechnology - 2.4% Amgen Inc. (b) 143 8,640 Biogen Idec Inc. (b) 41 1,416 Genentech Inc. (b) 82 6,599 16,655 Commercial Services - 3.8% Accenture Ltd. (b) 453 10,260 Apollo Group Inc. - Class A (b) 98 7,673 Cendant Corp. (b) (l) 373 8,351 26,284 Computers - 4.0% Affiliated Computer Services - Class A (b) (l) 122 6,209 Dell Inc. (b) 352 13,904 EMC Corp. (b) 336 4,605 Research In Motion Ltd. (b) 38 2,817 27,535 Cosmetics & Personal Care - 0.9% Gillette Co. 128 6,460 Diversified Financial Services - 8.8% American Express Co. 174 9,235 Ameritrade Holding Corp. (b) 185 3,441 Charles Schwab Corp. 386 4,352 Citigroup Inc. 449 20,746 Countrywide Financial Corp. 75 2,903 Franklin Resources Inc. 52 3,980 Goldman Sachs Group Inc. 29 2,959 Merrill Lynch & Co. Inc. 106 5,837 SLM Corp. (l) 146 7,437 60,890 Electrical Components & Equipment - 0.4% Samsung Electronics Co. Ltd. 6 3,034 Entertainment - 0.8% International Game Technology 198 5,577 Food - 0.7% Sysco Corp. 134 4,839 Healthcare - 7.6% Biomet Inc. 118 4,074 Johnson & Johnson 97 6,305 Medtronic Inc. 112 5,785 St. Jude Medical Inc. (b) 34 1,487 Stryker Corp. 93 4,399 UnitedHealth Group Inc. 312 16,252 WellPoint Inc. 183 12,709 Zimmer Holdings Inc. (b) 18 1,371 52,382 Home Furnishings - 0.4% Harman International Industries Inc. 33 2,669 Insurance - 4.4% ACE Ltd. 63 2,835 American International Group Inc. 275 15,948 Genworth Financial Inc. - Class A 102 3,074 Hartford Financial Services Group Inc. 97 7,216 Marsh & McLennan Cos. Inc. 61 1,690 30,763 Internet - 3.2% Ebay Inc. (b) 74 2,426 Google Inc. - Class A (b) 14 4,236 IAC/InterActiveCorp (b) (l) 110 2,638 Symantec Corp. (b) 168 3,648 VeriSign Inc. (b) 68 1,961 Yahoo! Inc. (b) 205 7,117 22,026 Leisure Time - 1.3% Carnival Corp. 171 9,334 Lodging - 0.7% MGM Mirage Inc. (b) 40 1,567 Wynn Resorts Ltd. (l) 75 3,564 5,131 Machinery - 0.6% Deere & Co. 60 3,929 Manufacturing - 5.9% Danaher Corp. (l) 232 12,138 General Electric Corp. 555 19,238 Tyco International Ltd. 334 9,747 41,123 Media - 7.4% Comcast Corp - Special Class A (b) (l) 248 7,413 EchoStar Communications Corp. 78 2,343 EW Scripps Co. 73 3,558 Liberty Media Corp. (b) 970 9,885 News Corp. Inc. (l) 517 8,357 Rogers Communications Inc. 101 3,311 Time Warner Inc. (b) 420 7,025 Univision Communications Inc. - Class A (b) (l) 213 5,876 Viacom Inc. - Class B (b) 110 3,516 51,284 Mining - 0.6% BHP Billiton - Broken Hill Propreitary Co. Ltd. 320 4,373 Oil & Gas Producers - 2.5% Exxon Mobil Corp. 138 7,926 Total SA 39 9,244 17,170 Oil & Gas Services - 2.5% Baker Hughes Inc. 158 8,094 Schlumberger Ltd. 125 9,515 17,609 Pharmaceuticals - 3.2% Caremark Rx Inc. (b) 66 2,956 Gilead Sciences Inc. 137 6,031 Pfizer Inc. 210 5,798 Teva Pharmaceutical Industries Ltd. - ADR (l) 120 3,743 Wyeth 76 3,400 21,928 Retail - 9.7% Best Buy Co. Inc. 99 6,790 Family Dollar Stores Inc. 82 2,130 Home Depot Inc. 192 7,486 Industria De Diseno Textil SA 91 2,342 Kohl's Corp. (b) 161 8,985 Petsmart Inc. 146 4,428 Target Corp. 187 10,169 Walgreen Co. 121 5,556 Wal-Mart de Mexico SA de CV 210 853 Wal-Mart de Mexico SA de CV - ADR 46 1,879 Wal-Mart Stores Inc. 340 16,369 66,987 Semiconductors - 5.0% Analog Devices Inc. 202 7,522 ASML Holding NV (b) 240 3,778 Intel Corp. 439 11,448 Marvell Technology Group Ltd. (l) 112 4,253 Maxim Integrated Products Inc. 82 3,122 Xilinx Inc. 170 4,325 34,448 Software - 7.1% Automatic Data Processing Inc. 136 5,687 Electronic Arts Inc. 25 1,415 First Data Corp. 144 5,768 Fiserv Inc. (b) 116 4,999 Intuit Inc. (b) 36 1,628 Mercury Interactive Corp. (b) (l) 60 2,313 Microsoft Corp. 798 19,812 Oracle Corp. (b) 450 5,937 Red Hat Inc. (b) (l) 117 1,529 49,088 Telecommunications - 0.9% Sprint Corp. 128 3,219 TELUS Corp. 94 3,242 6,461 Telecommunications Equipment - 2.3% Cisco Systems Inc. (b) 150 2,874 Corning Inc. (b) 630 10,462 Juniper Networks Inc. (b) (l) 101 2,546 15,882 Transportation - 0.3% United Parcel Service - Class B 28 1,916 Wireless Telecommunications - 3.7% America Movil SA de CV 82 4,900 Crown Castle International Corp. 205 4,174 Nextel Communications Inc. (b) 165 5,344 Nokia Oyj 277 4,650 Qualcomm Inc. 101 3,337 Vodafone Group Plc 1,354 3,301 25,706 Total Common Stocks (cost $608,331) 677,585 Short Term Investments - 10.4% Money Market Funds - 2.3% Dreyfus Cash Management Plus Fund, 3.05% (a) 3,499 3,499 T. Rowe Price Reserves Investment Fund, 3.23% (a) (n) 12,693 12,693 16,192 Securities Lending Collateral - 8.1% Mellon GSL Delaware Business Trust Collateral Fund 56,097 56,097 Total Short Term Investments (cost $72,289) 72,289 Total Investments - 108.2% (cost $680,620) 749,874 Other Assets and Liabilities, Net - (8.2%) (56,896) Total Net Assets - 100% $692,978 JNL/T. Rowe Price Mid-Cap Growth Fund Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 23.7% Consumer, Cyclical 14.3% Communications 14.2% Technology 14.2% Industrial 12.9% Financial 9.0% Energy 7.0% Money Market Investment 4.1% Basic Materials 0.6% 100.0% Common Stocks - 96.0% Advertising - 1.1% Catalina Marketing Corp. 106 $2,693 Getty Images Inc. (b) (l) 22 1,619 Harte-Hanks Inc. 2 65 Lamar Advertising Co. (b) (l) 2 77 Omnicom Group Inc. 3 208 WPP Group Plc 3 143 4,805 Aerospace & Defense - 3.0% Alliant Techsystems Inc. (b) 83 5,860 Empresa Brasileira de Aeronautica SA - ADR 6 202 Goodrich Corp. 65 2,662 Rockwell Collins 160 7,638 16,362 Agriculture - 0.0% Delta & Pine Land Co. 3 70 Monsanto Co. 2 145 215 Airlines - 1.2% JetBlue Airways Corp. (b) (l) 118 2,412 Skywest Inc. 7 120 Southwest Airlines Co. 309 4,308 6,840 Apparel - 0.0% Coach Inc. (b) 5 164 Auto Manufacturers - 0.8% Oshkosh Truck Corp. 60 4,697 Auto Parts & Equipment - 0.6% TRW Automotive Holdings Corp. (b) 126 3,088 Banks - 0.7% Boston Private Financial Holdings 4 88 City National Corp. 1 86 East West Bancorp. Inc. 3 111 First Horizon National Corp. (l) 2 80 Investors Financial Services Corp. (l) 25 953 Mellon Financial Corp. 7 204 North Fork Bancorp. Inc. 4 105 Northern Trust Corp. 8 351 State Street Corp. (l) 9 444 SVB Financial Group (b) (l) 22 1,049 Synovus Financial Corp. 6 181 UCBH Holdings Inc. 7 110 3,762 Beverages - 0.8% Cogent Inc. (b) 37 1,068 Cott Corp. (b) 151 3,290 4,358 Biotechnology - 2.6% Charles River Laboratories International Inc. (b) 2 116 Clegene Corp. (b) (l) 50 2,051 deCODE genetics Inc. (b) 9 80 Diversa Corp. (b) 18 94 Genzyme Corp. 1 84 Human Genome Sciences Inc. (b) (l) 101 1,168 Integra Lifesciences Holdings Corp. (b) 1 38 Invitrogen Corp. (b) (l) 2 125 Martek Biosciences Corp. (b) (l) 2 72 Medimmune Inc. (b) 266 7,102 Millennium Pharmaceuticals Inc. (b) 11 103 Millipore Corp. 3 142 Nektar Therapeutics (b) 5 83 Protein Design Labs Inc. (b) (l) 71 1,441 Qiagen NV (b) 11 128 Vertex Pharmaceuticals Inc. (b) 95 1,596 14,423 Building Materials - 0.7% American Standard Cos. 89 3,731 Trex Co. Inc. (b) (l) 2 49 3,780 Chemicals - 0.1% Ecolab Inc. 2 71 Engelhard Corp. 3 83 Praxair Inc. 1 51 Sigma-Aldrich Corp. (l) 1 56 Symyx Technologies Inc. (b) 2 67 Valspar Corp. 3 130 458 Commercial Services - 4.7% Apollo Group Inc. - Class A (b) 32 2,497 Aramark Corp. (b) 3 79 Career Education Corp. (b) (l) 3 121 Choicepoint Inc. 145 5,795 Corporate Executive Board Co. 2 180 Devry Inc. 3 62 Education Management Corp. (b) 97 3,285 Equifax Inc. 3 96 H&R Block Inc. 2 88 Iron Mountain Inc. (b) (l) 153 4,757 ITT Educational Services Inc. 3 134 LECG Corp. (b) 4 81 Manpower Inc. 115 4,579 Moody's Corp. 9 409 Paychex Inc. 8 247 Robert Half Intl Inc. (l) 95 2,377 Universal Technical Institute Inc. (b) 3 86 Viad Corp. 49 1,389 26,262 Computers - 4.1% Affiliated Computer Services - Class A (b) 2 123 CACI Interantional Inc. - Class A (b) (l) 59 3,726 Cadence Design Systems Inc. (b) (l) 278 3,792 Cognizant Tech Solutions Corp. (b) 5 240 Diebold Inc. (l) 68 3,067 DST Systems Inc. (b) 112 5,246 Factset Research Systems Inc. (l) 4 140 Jack Henry & Associates Inc. 112 2,054 Lexmark International Inc. (b) 4 227 Mercury Computer Systems Inc. (b) 2 60 National Instruments Corp. 3 70 Network Appliance Inc. (b) 2 62 Research In Motion Ltd. (b) 22 1,586 Sungard Data Systems Inc. 60 2,110 Synopsys Inc. 5 82 22,585 Distribution & Wholesale - 0.7% CDW Corp. (l) 68 3,899 Diversified Financial Services - 5.3% AG Edwards Inc. 2 95 Ameritrade Holding Corp. (b) 326 6,057 Amvescap Plc - ADR 4 48 CapitalSource Inc. (b) (l) 133 2,611 Charles Schwab Corp. 17 185 E*trade Group Inc. (b) 219 3,064 Eaton Vance Corp. 160 3,833 Federated Investors Inc. - Class B 62 1,867 First Marblehead Corp. (b) (l) 1 49 Franklin Resources Inc. 5 408 Lazard Ltd. - Class A (b) 6 140 Legg Mason Inc. 50 5,200 Nuveen Investments - Class A (b) 78 2,919 Raymond James Financial Inc. 3 88 Waddell & Reed Financial Inc. - Class A (l) 156 2,885 29,449 Electrical Components & Equipment - 0.0% Ametek Inc. 2 84 Littelfuse Inc. (b) 3 81 Molex Inc. - Class A 4 100 265 Electronics - 4.5% Applied Biosystems Group - Applera Corp. 4 73 Cymer Inc. (b) (l) 3 79 Dolby Laboratories Inc. - Class A (b) 101 2,230 Flextronics International Ltd. (b) 331 4,373 Flir Systems Inc. 115 3,426 Garmin Ltd. (l) 68 2,907 Gentex Corp. 255 4,637 II-VI Inc. (b) 5 94 Jabil Circuit Inc. (b) 159 4,883 Mettler Toledo International Inc. (b) 2 84 Symbol Technologies Inc. 11 105 Waters Corp. (b) 60 2,214 25,105 Entertainment - 0.4% Dreamworks Animation SKG Inc. (b) 71 1,868 International Game Technology 8 211 Shuffle Master Inc. (b) (l) 4 122 2,201 Environmental Control - 0.0% Stericycle Inc. 2 116 Food - 0.5% Hershey Foods Corp. 2 93 McCormick & Co. Inc. 3 88 Tootsie Roll Industries Inc. 3 81 Whole Foods Market Inc. 19 2,248 WM Wrigley Jr Co. 1 76 2,586 Healthcare - 7.4% Arthrocare Corp. (b) (l) 3 108 Bausch & Lomb Inc. 21 1,743 Beckman Coulter Inc. 2 108 Becton Dickinson & Co. 2 126 Biomet Inc. 8 260 Community Health Systems Inc. (b) (l) 84 3,174 Cooper Cos. Inc. 2 146 Coventry Health Care Inc. (b) (l) 40 2,816 CR Bard Inc. 3 226 DaVita Inc. (b) 43 1,937 Dentsply International Inc. 3 140 Edwards Lifesciences Corp. (b) 79 3,381 Gen-Probe Inc. (b) 46 1,670 Health Management Associates Inc. (l) 179 4,686 Henry Schein Inc. 4 174 Inamed Corp. (b) 21 1,426 Kinetic Concepts Inc. (b) 56 3,360 Kyphon Inc. (b) (l) 5 188 Laboratory Corp. (b) 105 5,244 Lincare Holdings Inc. (b) (l) 4 143 Manor Care Inc. 158 6,289 Patterson Cos. Inc. (b) (l) 2 99 Quest Diagnostics Inc. 6 341 Resmed Inc. (b) 2 132 Respironics Inc. (b) 3 123 Smith & Nephew Plc - ADR 2 119 St. Jude Medical Inc. (b) 3 135 Sybron Dental Specialties Inc. (b) 2 79 Techne Corp. (b) 3 115 Varian Medical Systems Inc. (b) (l) 40 1,508 WellChoice Inc. (b) 6 424 WellPoint Inc. (b) 4 265 Wright Medical Group Inc. (b) 5 125 Zimmer Holdings Inc. (b) (l) 1 69 40,879 Home Builders - 0.1% Centex Corp. 1 71 KB Home 1 107 Lennar Corp. 2 95 Pulte Homes Inc. 1 67 Thor Industries 4 123 Toll Brothers Inc. (b) (l) 1 112 Winnebago Industries (l) 4 117 692 Home Furnishings - 0.6% Harman International Industries Inc. 43 3,466 Household Products - 0.0% Avery Dennison Corp. 2 79 Insurance - 3.0% AMBAC Financial Group Inc. 2 119 Arch Capital Group Ltd. (b) 1 63 Arthur J. Gallagher & Co. 3 90 Assurant Inc. (l) 148 5,343 Axis Capital Holdings Ltd. 76 2,148 Brown & Brown Inc. (l) 2 85 Markel Corp. (b) (l) - 68 Marsh & McLennan Cos. Inc. 3 78 MBIA Inc. (l) 2 113 MGIC Investment Corp. 1 91 Principal Financial Group (l) 84 3,520 Protective Life Corp. 38 1,604 Radian Group Inc. 2 94 Renaissancere Holdings Ltd. 2 94 Triad Guaranty Inc. (b) 2 81 Willis Group Holdings Ltd. 92 3,013 16,604 Internet - 4.3% Amazon.Com Inc. (b) (l) 87 2,861 Check Point Software Technologies Ltd. 7 141 Checkfree Corp. (b) (l) 77 2,623 CNET Networks Inc. (b) (l) 215 2,524 F5 Networks Inc. (b) 2 80 Internet Security Systems (b) (l) 3 55 Macromedia Inc. (b) 27 1,032 Matrixone Inc. (b) 10 51 McAfee Inc. (b) 190 4,979 Monster Worldwide Inc. (b) (l) 123 3,522 Sina Corp. (b) 3 89 VeriSign Inc. (b) (l) 202 5,810 Websense Inc. (b) 1 62 23,829 Leisure Time - 1.1% Brunswick Corp. 124 5,363 Harley Davidson Inc. 2 79 Royal Caribbean Cruises Ltd. 6 285 Sabre Holdings Corp. (l) 4 74 WMS Industries Inc. (b) 3 95 5,896 Lodging - 1.4% Boyd Gaming Corp. 5 245 Choice Hotels International Inc. 5 315 Fairmont Hotels & Resorts Inc. 171 5,952 Harrah's Entertainment Inc. 4 310 Hilton Hotels Corp. 4 98 Marriott International Inc. - Class A 6 423 Station Casinos Inc. (l) 7 432 Wynn Resorts Ltd. (b) (l) 4 203 7,978 Machinery - 0.0% IDEX Corp. 2 81 Zebra Technologies Corp. 3 114 195 Manufacturing - 3.6% Danaher Corp. (b) (l) 68 3,570 ITT Industries Inc. 50 4,891 Pall Corp. 4 121 Roper Industries Inc. 105 7,472 Teleflex Inc. 67 3,978 20,032 Media - 3.7% Citadel Broadcasting Corp. (b) 309 3,533 Cox Radio Inc. - Class A (b) (l) 111 1,747 Cumulus Media Inc. - Class B (b) 6 65 Entercom Communications Corp. (b) (l) 35 1,152 EW Scripps Co. 2 88 McGraw-Hill Cos. Inc. 2 80 Meredith Corp. (l) 2 103 New York Times Co. - Class A (l) 3 97 Radio One Inc. (b) (l) 8 105 Regent Communications Inc. (b) 17 97 Rogers Communications Inc. 174 5,711 Salem Communications - Class A (b) 7 143 Scholastic Corp. (b) 41 1,581 Spanish Broadcasting System - Class A (b) 12 116 Univision Communications Inc. - Class A (b) (l) 136 3,758 Washington Post Co. - 84 Westwood One Inc. (b) (l) 5 96 XM Satellite Radio Holdings - Class A (b) (l) 55 1,851 20,407 Metal Fabrication & Hardware - 0.0% Precision Castparts Corp. 2 164 Mining - 0.6% Newmont Mining Corp. 79 3,083 Office Furnishings - 0.0% HNI Corp. 2 118 Oil & Gas Producers - 3.4% EOG Resources Inc. 111 6,305 Murphy Oil Corp. 134 7,009 XTO Energy Inc. 170 5,765 19,079 Oil & Gas Services - 3.0% Baker Hughes Inc. 3 169 BJ Services Co. (l) 128 6,723 Cooper Cameron Corp. (b) (l) 5 298 FMC Technologies Inc. (b) 105 3,357 Smith International Inc. 87 5,523 Weatherford International Ltd. (b) 6 319 16,389 Packaging & Containers - 0.0% Sealed Air Corp. 2 80 Pharmaceuticals - 7.8% Abgenix Inc. (b) (l) 90 770 Alkermes Inc. (b) 120 1,586 Allergan Inc. 1 111 Amylin Pharmaceuticals Inc. (b) (l) 65 1,363 Andrx Group (b) 92 1,869 Atherogenics Inc. (b) 6 101 Barr Laboratories Inc. 94 4,582 Caremark Rx Inc. (b) 5 200 Cephalon Inc. (b) (l) 88 3,487 Elan Corp. Plc - ADR (b) (l) 236 1,610 Express Scripts Inc. (b) (l) 4 220 Gilead Sciences Inc. 131 5,745 IVAX Corp. (b) (l) 239 5,128 Medco Health Solutions Inc. (b) 4 219 Medicines Co. (b) (l) 2 47 Neurocrine Biosciences Inc. (b) 52 2,196 Omnicare Inc. 187 7,913 OSI Pharmaceuticals Inc. (b) 22 879 Sepracor Inc. 48 2,892 Taro Pharmaceutical Industries Ltd. (b) 48 1,395 Valeant Pharmaceutical International (l) 68 1,199 43,512 Pipelines - 0.6% Western Gas Resources Inc. 94 3,281 Retail - 7.3% Bed Bath & Beyond Inc. (b) 6 242 Best Buy Co. Inc. 92 6,307 Carmax Inc. (b) (l) 73 1,945 Cheesecake Factory Inc. (b) (l) 109 3,773 Dollar General Corp. 140 2,846 Dollar Tree Stores Inc. (b) (l) 2 58 Family Dollar Stores Inc. 159 4,137 Fred's Inc. (l) 3 56 Men's Wearhouse Inc. (b) (l) 3 114 MSC Industrial Direct Co. - Class A 17 574 O'Reilly Automotive Inc. (b) 123 3,673 Outback Steakhouse Inc. 2 77 Petsmart Inc. 151 4,574 PF Chang's China Bistro Inc. (b) (l) 35 2,064 Ross Stores Inc. 124 3,573 Ruby Tuesday Inc. 2 44 Shoppers Drug Mart Corp. 66 2,290 Staples Inc. 8 160 Tiffany & Co. (l) 7 216 TJX Cos. Inc. 9 219 Williams-Sonoma Inc. (b) (l) 83 3,276 40,218 Semiconductors - 4.8% Altera Corp. (b) 19 377 AMIS Holdings Inc. (b) 117 1,559 Analog Devices Inc. 11 392 Broadcom Corp. - Class A (b) 4 124 Integrated Circuit Systems Inc. (b) 100 2,068 Intersil Corp. 209 3,925 KLA-Tencor Corp. (b) (l) 2 101 LAM Research Corp. (b) 3 90 Linear Technology Corp. (l) 11 404 Marvell Technology Group Ltd. (b) 28 1,077 Maxim Integrated Products Inc. 12 439 Microchip Technology Inc. 166 4,914 National Semiconductor Corp. (l) 20 441 Novellus Systems Inc. (b) 150 3,716 PMC - Sierra Inc. (b) 154 1,437 Qlogic Corp. (b) 3 99 Semtech Corp. (b) 95 1,587 Silicon Laboratories Inc. (b) (l) 7 186 Xilinx Inc. (l) 149 3,800 26,736 Software - 5.3% Activision Inc. (b) 131 2,170 Adobe Systems Inc. 83 2,364 Certegy Inc. 155 5,936 Citrix Systems Inc. (b) 4 89 Cognos Inc. (b) 3 85 Dun & Bradstreet Corp. (b) 3 179 Electronic Arts Inc. 2 130 Fair Isaac Inc. 3 117 Filenet Corp. (b) 3 80 Fiserv Inc. (b) (l) 3 146 Global Payments Inc. (l) 51 3,478 Hyperion Solutions Corp. (b) 2 76 IMS Health Inc. 6 149 Intuit Inc. (b) (l) 35 1,592 Mercury Interactive Corp. (b) (l) 69 2,655 Moneygram International Inc. 178 3,400 NAVTEQ Corp. (b) 108 4,027 Novell Inc. (b) 14 84 Red Hat Inc. (b) (l) 155 2,027 Salesforce.com Inc. (b) 6 131 SEI Investments Co. 2 82 THQ Inc. (b) (l) 3 73 Veritas Software Corp. (b) 14 337 29,407 Telecommunications - 0.7% Neustar Inc. - Class A (b) 2 59 TELUS Corp. 103 3,621 3,680 Telecommunications Equipment - 2.7% Adtran Inc. (l) 152 3,776 Comverse Technology Inc. (b) (l) 77 1,821 Corning Inc. (b) 7 116 Harris Corp. 214 6,679 Juniper Networks Inc. (b) 89 2,228 Plantronics Inc. 2 80 14,700 Textiles - 0.0% Cintas Corp. 6 212 Toys & Hobbies - 0.0% Mattel Inc. 4 75 Transportation - 0.8% CH Robinson Worldwide Inc. 53 3,108 Expeditors Intl Wash Inc. (l) 23 1,166 Landstar System Inc. (b) 3 87 UTI Worldwide Inc. 1 84 4,445 Wireless Telecommunications - 2.1% American Tower Corp. (b) (l) 30 628 Crown Castle International Corp. 251 5,104 Nextel Partners Inc. (b) (l) 225 5,673 11,405 Total Common Stocks (cost $411,847) 532,061 Short Term Investments - 22.6% Money Market Funds - 4.1% Dreyfus Cash Management Plus Fund, 3.05% (a) 3,745 3,745 T. Rowe Price Reserves Investment Fund, 3.23% (a) (n) 19,013 19,013 22,758 Securities Lending Collateral - 18.5% Mellon GSL Delaware Business Trust Collateral Fund 102,659 102,659 Total Short Term Investments (cost $125,417) 125,417 Total Investments - 118.6% (cost $537,264) 657,478 Other Assets and Liabilities, Net - (18.6%) (103,144) Total Net Assets - 100% $554,334 JNL/T. Rowe Price Value Fund Percentage of Total Industry Sector Investments (o) Financial 23.0% Consumer, Non-cyclical 14.2% Communications 13.9% Industrial 11.8% Consumer, Cyclical 10.1% Energy 8.5% Technology 6.4% Basic Materials 5.9% Money Market Investment 3.3% Utilities 2.9% 100.0% Common Stocks - 95.1% Aerospace & Defense - 2.5% Lockheed Martin Corp. 81 $5,241 Ratheon Co. 103 4,014 Rockwell Collins 60 2,861 12,116 Auto Manufacturers - 1.0% General Motors Corp. (l) 143 4,876 Auto Parts & Equipment - 0.4% TRW Automotive Holdings Corp. (b) 87 2,130 Banks - 5.8% Bank of America Corp. 137 6,248 Comerica Inc. 51 2,936 Mellon Financial Corp. 112 3,219 Royal Bank of Scotland Group Plc 165 4,999 State Street Corp. 139 6,702 US Bancorp. 157 4,576 28,680 Beverages - 2.7% Coca-Cola Co. 158 6,613 Coca-Cola Enterprises Inc. 106 2,340 Heineken NV 143 4,425 13,378 Biotechnology - 1.2% Chiron Corp. 36 1,246 Medimmune Inc. (b) 170 4,534 5,780 Chemicals - 1.8% E.I. du Pont de Nemours & Co. 117 5,011 Great Lakes Chemical Corp. 78 2,442 Hercules Inc. (b) 88 1,245 8,698 Computers - 2.5% Hewlett-Packard Co. 224 5,276 International Business Machines Corp. 63 4,697 Synopsys Inc. 143 2,379 12,352 Diversified Financial Services - 7.3% American Express Co. 78 4,147 Charles Schwab Corp. 275 3,096 Citigroup Inc. 105 4,862 Fannie Mae 73 4,257 Franklin Resources Inc. 45 3,449 JPMorgan Chase & Co. 193 6,812 Lazard Ltd. - Class A (b) 56 1,297 Merrill Lynch & Co. Inc. 45 2,497 Morgan Stanley 79 4,150 Nuveen Investments - Class A (b) 46 1,734 36,302 Electric - 2.9% Duke Energy Corp. (l) 119 3,538 Firstenergy Corp. 79 3,791 NiSource Inc. 234 5,782 Pinnacle West Capital Corp. 27 1,205 14,316 Entertainment - 1.1% International Game Technology 194 5,467 Environmental Control - 1.0% Waste Management Inc. 172 4,872 Food - 1.8% Campbell Soup Co. 105 3,240 General Mills Inc. 93 4,351 Safeway Inc. (b) 65 1,471 9,062 Forest Products & Paper - 2.8% Bowater Inc. 159 5,160 International Paper Co. (l) 193 5,818 MeadWestvaco Corp. 108 3,031 14,009 Healthcare - 3.0% Boston Scientific Corp. (b) 188 5,071 Johnson & Johnson 79 5,129 Medtronic Inc. 90 4,661 14,861 Home Furnishings - 0.8% Sony Corp. - ADR 113 3,892 Household Products - 1.8% Clorox Co. 21 1,192 Fortune Brands Inc. 26 2,335 Newell Rubbermaid Inc. 222 5,288 8,815 Insurance - 8.8% Berkshire Hathaway Inc. (b) - 4,175 Cigna Corp. 32 3,393 Genworth Financial Inc. - Class A 165 4,979 Hartford Financial Services Group Inc. (l) 80 5,967 Marsh & McLennan Cos. Inc. 254 7,033 Principal Financial Group (l) 100 4,207 Prudential Financial Inc. 27 1,793 Radian Group Inc. 80 3,773 Safeco Corp. 48 2,608 St. Paul Travelers Cos. Inc. 148 5,836 43,764 Iron & Steel - 0.5% Nucor Corp. 53 2,422 Leisure Time - 0.5% Harley Davidson Inc. (l) 48 2,376 Lodging - 1.0% Fairmont Hotels & Resorts Inc. 139 4,845 Manufacturing - 6.0% Cooper Industries Ltd. - Class A 37 2,383 Eastman Kodak Co. 53 1,428 Eaton Corp. 33 1,953 General Electric Corp. 339 11,739 Honeywell International Inc. 189 6,923 Pall Corp. 34 1,032 Tyco International Ltd. 152 4,438 29,896 Media - 9.2% Cablevision Systems Corp. - Class A (b) 172 5,538 Comcast Corp. - Special Class A (b) (l) 187 5,595 Comcast Corp. - Class A (b) 27 832 Dow Jones & Co. Inc. (l) 106 3,768 Liberty Media Corp. (b) 703 7,165 New York Times Co. - Class A (l) 143 4,448 Pearson Plc 103 1,213 Reuters Group Plc 205 1,449 Time Warner Inc. (b) 402 6,711 Viacom Inc. - Class B 167 5,357 Walt Disney Co. 137 3,452 45,528 Mining - 0.8% Alcoa Inc. 160 4,173 Oil & Gas Producers - 6.4% Amerada Hess Corp. (l) 19 1,970 ConocoPhillips 76 4,342 Exxon Mobil Corp. 91 5,230 Royal Dutch Petroleum Co. - NYS 95 6,166 Statoil ASA 285 5,809 Total SA - ADR (l) 71 8,320 31,837 Oil & Gas Services - 2.0% Baker Hughes Inc. 83 4,241 Schlumberger Ltd. 76 5,787 10,028 Pharmaceuticals - 4.1% Bristol-Myers Squibb Co. 83 2,078 Cardinal Bergen Health Inc. 79 4,520 Merck & Co. Inc. 170 5,230 Schering-Plough Corp. 195 3,719 Wyeth 112 4,962 20,509 Retail - 3.7% Family Dollar Stores Inc. 189 4,922 Kohl's Corp. 57 3,192 May Department Stores Co. 78 3,141 McDonald's Corp. 77 2,142 RadioShack Corp. 211 4,896 18,293 Semiconductors - 1.4% Intel Corp. 93 2,424 Texas Instruments Inc. 156 4,370 6,794 Software - 2.5% First Data Corp. 126 5,070 Microsoft Corp. 290 7,204 12,274 Telecommunications - 3.0% Alltel Corp. (l) 56 3,469 Qwest Communications International Inc. (b) (l) 826 3,063 Sprint Corp. (l) 274 6,885 TELUS Corp. 44 1,543 14,960 Tobacco - 0.6% Altria Group Inc. 45 2,890 Toys & Hobbies - 0.4% Hasbro Inc. 103 2,139 Transportation - 2.2% CSX Corp. 86 3,686 Union Pacific Corp. 113 7,335 11,021 Wireless Telecommunications - 1.6% Motorola Inc. 155 2,823 Nokia Corp. - Class A - ADR 306 5,085 7,908 Total Common Stocks (cost $411,710) 471,262 Preferred Stocks - 0.6% Diversified Financial Services - 0.4% Morgan Stanley (b) 55 1,998 Insurance - 0.2% Genworth Financial Inc., 6.00% (b) 24 808 Total Preferred Stocks (cost $2,458) 2,806 Corporate Bonds - 0.5% Airlines - 0.1% Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) $1,030 342 Insurance - 0.4% Fortis Insurance, 7.75%, 01/26/08 (e) (j) 1,700 1,859 Total Corporate Bonds (cost $2,689) 2,201 Short Term Investments - 13.8% Money Market Funds - 3.3% Dreyfus Cash Management Plus Fund, 3.05% (a) 3,233 3,233 T. Rowe Price Reserves Investment Fund, 3.23% (a) (n) 13,134 13,134 16,367 Securities Lending Collateral - 10.5% Mellon GSL Delaware Business Trust Collateral Fund 52,051 52,051 Total Short Term Investments (cost $68,418) 68,418 Total Investments - 110.0% (cost $485,275) 544,687 Other Assets and Liabilities, Net - (10.0%) (49,298) Total Net Assets - 100% $495,389
See Notes to the Schedule of Investments. JNL Series Trust (Unaudited) JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS JUNE 30, 2005 - -------------------------------------------------------------------------------- (a) Dividend yield changes daily to reflect current market conditions. Rate is the quoted yield as of June 30, 2005. (b) Non-income producing security. (c) Investment purchased on a when-issued basis. As of June 30, 2005, the total cost of investments purchased on a when-issued basis, in thousands, for the JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total Return Bond Fund, JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund are: $31,698; $58,889; $93,538 and $72,049, 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, 2005, the market value, in thousands, of 144A or other restricted securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International Equity Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Bond Index Fund, JNL/Oppenheimer Global Growth Fund, JNL/PIMCO Total Return Bond 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 Balanced Fund, JNL/Select Money Market Fund and JNL/T.Rowe Price Value Fund are: $45; $598; $407; $256; $2,531; $7,857; $23,433; $13,982; $5,849; $3,449; $4,415 and $2,202, 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, 2005. (h) Coupon payment periodically increases over the life of the security. Rate is in effect as of June 30, 2005. (i) Security is in default. (j) Convertible security. (k) Zero coupon security. Rate stated is the effective yield as of June 30, 2005. (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. (o) Sector weightings excluding securities lending collateral. Abbreviations: ADR - American Depository Receipt KRW - Korean Won AUD - Australian Dollar MXN - Mexican Peso BRL - Brazilian Real NOK - Norwegian Krone BZD - Belize Dollar NYS - New York Shares CAD - Canadian Dollar NZD - New Zealand Dollar CHF - Swiss Franc PEN - New Sol CLP - Chilean Peso RUB - Russian Ruble DKK - Danish Krone SEK - Swedish Krona EUR - European Currency Unit (Euro) SGD - Singapore Dollar GBP - British Pound SKK - Slovak Koruna GDR - Global Depository Receipt TWD - New Taiwan Dollar HKD - Hong Kong Dollar USD - United States Dollar INR - Indian Rupee ZAR - Rand JPY - Japanese Yen JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS JUNE 30, 2005
SCHEDULE OF OPTIONS WRITTEN: - --------------------------------------------------------------------------------------------------------------------------------- Expiration Date Exercise Price Contracts Market Value (000's) JNL/PIMCO Total Return Bond Fund U.S. 10-Year Treasury Note Future Call Option 7/22/2005 $ 116.00 58 $ (2) U.S. 10-Year Treasury Note Future Put Option 7/22/2005 110.00 58 (1) U.S. 10-Year Treasury Note Future Call Option 8/26/2005 115.00 148 (48) U.S. 10-Year Treasury Note Future Call Option 8/26/2005 116.00 152 (21) U.S. 10-Year Treasury Note Future Call Option 8/26/2005 121.00 38 (24) U.S. 10-Year Treasury Note Future Put Option 8/26/2005 110.00 189 (18) U.S. 10-Year Treasury Note Future Put Option 8/26/2005 111.00 20 (4) U.S. 10-Year Treasury Note Future Put Option 8/26/2005 115.00 39 (14) ------------ $ (132) ============ Summary of Written Call Options (in thousands except contracts): - --------------------------------------------------------------------------------------------------------------------------------- Number of Contracts Premiums JNL/PIMCO Total Return Bond Fund Options outstanding at December 31, 2004 466 $ 192 Options written during the period 1,322 484 Options closed during the period (6) (12) Options exercised during the period (27) (7) Options expired during the period (1,053) (449) ------------ ------------ Options outstanding at June 30, 2005 702 $ 208 ============ ============ JNL/Putnam Equity Fund Options outstanding at December 31, 2004 2,273 $ 3 Options written during the period 46,239 32 Options closed during the period (1,912) (1) Options exercised during the period (5,060) (4) Options expired during the period (41,540) (30) ------------ ------------ Options outstanding at June 30, 2005 - $ - ============ ============ JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS JUNE 30, 2005 SUMMARY OF SWAP AGREEMENTS : - ------------------------------------------------------------------------------------------------------------------------ Unrealized Notional Amount Appreciation/(Depreciation) JNL/PIMCO Total Return Bond Fund Barclay's Capital Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/16/11 $ 5,400 $ 232 Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 400 16 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 400 (17) Goldman Sachs Capital Markets, L.P. Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 129,100 (63) JPMorgan Chase Bank Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 600 84 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 300 (16) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 06/18/34 1,300 200 Merrill Lynch Capital Services, Inc. Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 06/18/34 400 50 Morgan Stanley Capital Services Inc. Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 130,000 (75) UBS Warburg AG Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 380,000 (245) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 300 40 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 200 (12) ------------ $ 194 ============ SUMMARY OF SECURITIES SOLD SHORT : - ------------------------------------------------------------------------------------------------------------------------ Par Amount Market Value JNL/PIMCO Total Return Bond Fund U.S. Treasury Note, 4.75%, 05/15/14 $ (1,900) $ (2,016) ============ Total (proceeds $2,016) JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS JUNE 30, 2005 Summary of Investments by Country: - ----------------------------------------------------------------------------------------------------------------------------------- JNL/Mellon JNL/FMR Capital JNL/ JNL/Select JNL/Select JNL/T.Rowe JNL/T.Rowe Capital JNL/JPMorgan JNL/JPMorgan Management Oppenheimer Global Large Cap Price Price Growth International International International Global Growth Growth Growth Established Value Fund Equity Fund Value Fund Index Fund Fund Fund Fund Growth Fund Fund - ----------------------------------------------------------------------------------------------------------------------------------- Australia - % 1.1 % 1.6 % 5.2 % 0.6 % - % - % 0.6 % - % Austria - - - 0.4 - - - - - Belgium - 2.1 - 1.4 - - - - - Bermuda 0.5 - - - - - - 1.5 0.3 Brazil 1.1 1.4 2.4 - 2.3 0.5 1.0 - - Canada 7.2 - - - 2.6 2.7 4.0 1.4 1.3 China 0.3 - - - - - - - - Denmark - - - 0.8 - - - - - Egypt 0.1 - - - - - - - - Finland 2.2 1.3 1.0 1.5 0.4 1.7 - 0.7 1.0 France 1.4 11.4 12.0 8.9 6.7 5.4 1.4 1.3 1.7 Germany - 6.2 11.5 6.5 3.9 5.1 - - - Greece 0.3 - 2.1 0.6 - - - - - Hong Kong 1.7 0.5 1.5 1.7 1.6 1.6 - - - India - - 0.2 - 3.5 - - - - Ireland - 0.9 - 0.8 0.6 0.8 - 0.7 - Israel - - - - - - - 0.6 - Italy - 4.0 5.5 3.8 0.4 0.8 - - - Japan - 19.4 17.9 21.0 8.2 4.6 - - 0.8 Luxembourg - - - 0.1 - 0.8 - - - Mexico 0.3 0.7 - - 1.7 1.4 1.0 1.1 - Netherlands - 5.2 5.8 4.8 2.1 3.0 - 0.5 2.1 New Zealand - - - 0.2 - - - - - Norway - - - 0.7 0.5 - - - 1.2 Philippines 0.9 - - - - - - - - Portugal - - - 0.3 0.3 - - - - Russia - - 1.0 - - - - - - Singapore - - - 0.8 0.5 - - - - South Korea - 0.9 1.1 - 2.4 1.5 - 0.4 - Spain - 2.5 3.3 3.9 0.2 0.9 - 0.3 - Sweden - 1.1 1.3 2.3 5.2 1.3 - - - Switzerland - 11.6 3.8 6.5 2.2 7.8 - 1.5 - Taiwan - - 1.2 - 0.8 5.1 - - - United Kingdom 0.3 27.0 25.5 24.0 13.4 9.8 4.2 0.5 1.6 United States 83.7 2.7 1.3 3.8 39.9 45.2 88.4 88.9 90.0 ------------------------------------------------------------------------------------------------------------------- Total Investments 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% =================================================================================================================== JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS JUNE 30, 2005 SUMMARY OF OPEN CURRENCY CONTRACTS: - ------------------------------------------------------------------------------------------------ CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/FMR Balanced Fund CAD/USD 7/1/2005 1 CAD $ - $ - GBP/USD 7/1/2005 6 GBP 12 - GBP/USD 7/5/2005 3 GBP 5 - USD/AUD 7/5/2005 (10)AUD (8) - USD/CAD 7/5/2005 (2)CAD (1) - ---------------- --------------- $ 8 $ - ================ =============== JNL/JPMorgan International Value Fund AUD/GBP 8/23/2005 1,189 AUD $ 903 $ 9 AUD/USD 8/23/2005 1,203 AUD 914 (3) AUD/USD 8/23/2005 6,948 AUD 5,278 54 CHF/AUD 8/23/2005 (970) CHF (737) 3 CHF/GBP 8/23/2005 948 CHF 743 (18) CHF/USD 8/23/2005 2,861 CHF 2,242 (116) EUR/SEK 8/23/2005 740 EUR 897 1 EUR/USD 8/23/2005 7,883 EUR 9,561 (175) GBP/AUD 8/23/2005 (1,208) GBP (917) (26) GBP/CHF 8/23/2005 (744) GBP (583) 9 GBP/SEK 8/23/2005 401 GBP 717 24 GBP/USD 8/23/2005 4,633 GBP 8,289 (174) JPY/CHF 8/23/2005 (528) JPY (414) (2) JPY/EUR 8/23/2005 (1,035) JPY (1,256) (1) JPY/USD 8/23/2005 703,689 JPY 6,383 (197) NOK/USD 8/23/2005 8,255 NOK 1,266 (25) SEK/GBP 8/23/2005 (242) SEK (432) (19) SEK/USD 8/23/2005 42,886 SEK 5,509 (302) SGD/USD 8/23/2005 4,211 SGD 2,501 (51) USD/AUD 8/23/2005 (610) AUD (463) 3 USD/CHF 8/23/2005 (700) CHF (549) 3 USD/EUR 8/23/2005 (17,819) EUR (21,610) 919 USD/EUR 8/23/2005 (6,095) EUR (7,392) (16) USD/GBP 8/23/2005 (3,286) GBP (5,879) 113 USD/JPY 8/23/2005 (366,720) JPY (3,326) 74 USD/NOK 8/23/2005 (8,048) NOK (1,234) 26 USD/SEK 8/23/2005 (5,135) SEK (660) 50 USD/SGD 8/23/2005 (3,122) SGD (1,855) 26 ---------------- --------------- $ (2,104) $ 189 ================ =============== JNL/Mellon Capital Management International Index Fund EUR/USD 9/15/2005 852 EUR $ 1,034 $ 4 EUR/USD 9/15/2005 1,412 EUR 1,714 (14) GBP/USD 9/15/2005 1,463 GBP 2,615 (41) JPY/USD 9/15/2005 164,043 JPY 1,491 (29) JPY/USD 9/15/2005 23,480 JPY 214 - ---------------- --------------- $ 7,068 $ (80) ================ =============== JNL/Oppenheimer Global Growth Fund JPY/USD 7/1/2005 35,169 JPY $ 317 $ (3) ================ =============== CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/PIMCO Total Return Bond Fund BRL/USD 7/20/2005 107 BRL $ 45 $ 6 BRL/USD 8/23/2005 225 BRL 93 5 BRL/USD 9/8/2005 1,400 BRL 577 84 BRL/USD 9/9/2005 856 BRL 353 53 BRL/USD 9/13/2005 301 BRL 124 5 CLP/USD 8/2/2005 11,372 CLP 20 - CLP/USD 8/16/2005 49,650 CLP 86 - CLP/USD 9/13/2005 60,602 CLP 104 2 EUR/USD 7/26/2005 421 EUR 510 2 EUR/USD 7/26/2005 26,000 EUR 31,498 (364) INR/USD 9/21/2005 6,446 INR 148 - JPY/USD 7/13/2005 634,621 JPY 5,732 (229) KRW/USD 7/27/2005 160,014 KRW 155 (5) KRW/USD 8/24/2005 88,000 KRW 85 (2) KRW/USD 9/21/2005 118,000 KRW 114 (2) MXN/USD 8/31/2005 405 MXN 37 1 MXN/USD 9/23/2005 1,123 MXN 103 - PEN/USD 8/23/2005 260 PEN 80 - PEN/USD 9/14/2005 350 PEN 107 - PEN/USD 9/14/2005 350 PEN 107 - RUB/USD 7/28/2008 2,119 RUB 74 (2) RUB/USD 8/23/2005 2,153 RUB 75 (2) RUB/USD 9/23/2005 3,058 RUB 107 - SGD/USD 7/26/2005 125 SGD 74 (2) SGD/USD 8/24/2005 129 SGD 77 (1) SGD/USD 9/20/2005 171 SGD 102 (1) SKK/USD 8/31/2005 2,459 SKK 78 (1) SKK/USD 9/26/2005 3,350 SKK 106 - TWD/USD 8/24/2005 2,510 TWD 80 (1) TWD/USD 9/21/2005 3,331 TWD 106 (1) USD/BRL 7/20/2005 (107) BRL (45) (2) USD/BRL 8/23/2005 (225) BRL (93) (5) USD/BRL 9/8/2005 (1,400) BRL (577) (40) USD/BRL 9/9/2005 (856) BRL (353) (21) USD/BRL 9/13/2005 (301) BRL (124) (7) USD/CAD 7/19/2005 (709) CAD (579) (9) USD/EUR 7/26/2005 (30,780) EUR (37,289) (6) USD/EUR 7/26/2005 (15,824) EUR (19,170) 66 ---------------- ------------- $ (17,273) $ (482) ================ ============= JNL/Salomon Brothers Strategic Bond Fund EUR/USD 7/22/2005 18,558 EUR $ 22,479 $ (341) USD/EUR 7/22/2005 (18,480) EUR (22,385) 1,020 ---------------- ------------- $ 94 $ 679 ================ ============= JNL/Select Global Growth Fund CHF/USD 7/1/2005 2,894 CHF $ 2,259 $ (2) EUR/USD 7/1/2005 705 EUR 854 1 USD/EUR 7/1/2005 (289) EUR (350) (1) USD/EUR 7/5/2005 (246) EUR (298) - USD/GBP 7/1/2005 (73) GBP (130) 2 USD/GBP 7/5/2005 (24) GBP (44) - USD/GBP 7/5/2005 (37) GBP (66) - USD/JPY 7/1/2005 (2,387) JPY (22) - ---------------- ------------- $ 2,203 $ - ================ ============= JNL/T.Rowe Price Value Fund USD/GBP 7/5/2005 (159) GBP $ (284) $ (1) ================ ============= JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS JUNE 30, 2005 SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS): - --------------------------------------------------------------------------- - --------------------------------------------------------------------------- CONTRACTS UNREALIZED LONG/ APPRECIATION/ (SHORT) (DEPRECIATION) JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund S&P 500 Index Future Expiration September 2005 4 $ (10) ================= ================= JNL/Mellon Capital Management International Index Fund Dow Jones Euro Stoxx 50 Future Expiration September 2005 98 $ 37 FTSE 100 Index Future Expiration September 2005 35 32 Topix Japanese Yen Future Expiration September 2005 21 38 ----------------- ----------------- $ 107 ================= ================= JNL/Mellon Capital Management S&P 400 MidCap Index Fund S&P MidCap 400 E-Mini Future Expiration September 2005 90 $ 23 ================= ================= JNL/Mellon Capital Management S&P 500 Index Fund S&P 500 E-Mini Future Expiration September 2005 122 $ (93) ================= ================= JNL/Mellon Capital Management Small Cap Index Fund Russell 2000 Mini Index Future Expiration September 2005 138 $ 170 ================= ================= - -------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION/ AMOUNT (DEPRECIATION) JNL/PIMCO Total Return Fund Euro Bobl Government Note Future, 5-Year, 6.00% Expiration September 2005 2,000 EUR $ 26 Eurodollar Future Expiration September 2005 149,000 USD (128) Eurodollar Future Expiration December 2005 439,000 USD (410) Eurodollar Future Expiration March 2006 288,000 USD 34 Eurodollar Future Expiration June 2006 100,000 USD (2) Eurodollar Future Expiration September 2006 3,000 USD 1 Japanese Government Bond, 10-Year, 6.00%, Expiration September 2005 500,000 JPY 40 U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration September 2005 29,000 USD 111 U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2005 (2,000)USD (6) ----------------- ----------------- $ (334) ================= ================= JNL/Salomon Brothers Strategic Bond Fund U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2005 $ (6,400) $ (1) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2005 (15,900) (9) ----------------- ----------------- $ (10) ================= ================= JNL/Salomon Brothers U.S. Government & Quality Bond Fund U.S. Treasury Note Future, 2-Year, 6.00%, Expiration September 2005 $ (46,800) $ 12 U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2005 12,100 (6) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration September 2005 (5,000) 8 ----------------- ----------------- $ 14 ================= ================= JNL/Select Balanced Fund U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2005 $ (9,100) $ (15) ================= =================
JNL SERIES TRUST (UNAUDITED) STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) JUNE 30, 2005 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Real Estate Small Cap Growth ASSETS Growth Fund Fund Growth Fund Fund ------------------ ------------------ ----------------- ------------------- Investments - unaffiliated, at value (a) (b) $ 341,028 $ 64,981 $ 50,659 $ 261,094 Investments - affiliated, at value and cost - - - - Cash - - - - Foreign currency (c) - 5 - - Receivables: Dividends and interest 156 207 11 168 Forward currency contracts - - - - Foreign taxes recoverable 16 - - - Fund shares sold 370 209 36 15 Investment securities sold 3,416 50 1,664 - Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - - ------------------ ------------------ ----------------- ------------------- TOTAL ASSETS 344,986 65,452 52,370 261,277 ------------------ ------------------ ----------------- ------------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 27 4 4 20 Advisory fees 187 31 33 135 Investment securities purchased 5,502 1,699 1,138 - Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 526 78 29 372 Unrealized appreciation on swap agreements (f) - - - - Managers fees 2 - - 2 Other expenses 4 1 1 3 12b-1 service fee (Class A) 53 8 8 39 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 15,313 8,029 4,520 29,375 ------------------ ------------------ ----------------- ------------------- TOTAL LIABILITIES 21,614 9,850 5,733 29,946 ------------------ ------------------ ----------------- ------------------- NET ASSETS $ 323,372 $ 55,602 $ 46,637 $ 231,331 ================== ================== ================= =================== NET ASSETS CONSIST OF: Paid-in capital $ 300,831 $ 52,070 $ 38,799 $ 315,129 Undistributed (accumulated) net investment income (loss) 321 278 (170) 436 Accumulated net realized gain (loss) (4,901) 83 1,470 (97,882) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 27,121 3,171 6,538 13,648 ------------------ ------------------ ----------------- ------------------- $ 323,372 $ 55,602 $ 46,637 $ 231,331 ================== ================== ================= =================== CLASS A Net assets $ 323,211 $ 55,494 $ 46,503 $ 231,218 Shares outstanding (no par value), unlimited shares authorized 27,971 5,141 3,658 14,725 Net asset value per share $ 11.56 $ 10.78 $ 12.71 $ 15.70 ================== ================== ================= =================== CLASS B Net assets $ 161 $ 108 $ 134 $ 113 Shares outstanding (no par value), unlimited shares authorized 13 10 11 7 Net asset value per share $ 11.59 $ 10.78 $ 12.75 $ 15.72 ================== ================== ================= =================== - --------------------------------------------------- (a) Including securities on loan of: $ 14,868 $ 7,786 $ 4,365 $ 28,430 (b) Investments - unaffiliated, at cost 313,907 61,810 44,121 247,446 (c) Foreign currency cost - 6 - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - JNL/Eagle JNL/Eagle Core Equity SmallCap Fund Equity Fund ASSETS ----------------- ---------------- $ 280,445 $ 184,500 Investments - unaffiliated, at value (a) (b) - - Investments - affiliated, at value and cost - - Cash - - Foreign currency (c) Receivables: 285 30 Dividends and interest - - Forward currency contracts 1 - Foreign taxes recoverable 129 582 Fund shares sold 7,177 3,737 Investment securities sold - - Unrealized appreciation on swap agreements (f) - - Variation margin ----------------- ---------------- 288,037 188,849 TOTAL ASSETS ----------------- ---------------- . LIABILITIES - - Cash overdraft Payables: 22 13 Administrative fees 150 97 Advisory fees 3,661 5,847 Investment securities purchased - - Dividends payable - - Forward currency contracts 193 179 Fund shares redeemed - - Unrealized appreciation on swap agreements (f) 2 1 Managers fees 3 2 Other expenses 45 26 12b-1 service fee (Class A) - - Variation margin - - Investment securities sold short, at value (d) - - Options written, at value (e) 9,486 23,398 Return of collateral for securities loaned ----------------- ---------------- 13,562 29,563 TOTAL LIABILITIES ----------------- ---------------- $ 274,475 $ 159,286 NET ASSETS ================= ================ NET ASSETS CONSIST OF: $ 282,622 $ 131,484 Paid-in capital Undistributed (accumulated) net 1,222 (569) investment income (loss) (22,492) (4,705) Accumulated net realized gain (loss) Net unrealized appreciation (depreciation) on investments, foreign currency related 13,123 33,076 transactions and futures ----------------- ---------------- $ 274,475 $ 159,286 ================= ================ CLASS A $ 274,352 $ 159,171 Net assets Shares outstanding (no par value), 18,796 8,110 unlimited shares authorized $ 14.60 $ 19.63 Net asset value per share ================= ================ CLASS B $ 123 $ 115 Net assets Shares outstanding (no par value), 8 6 unlimited shares authorized $ 14.67 $ 19.70 Net asset value per share ================= ================ - --------------------------------------------------- $ 9,110 $ 22,414 (a) Including securities on loan of: 267,322 151,424 (b) Investments - unaffiliated, at cost - - (c) Foreign currency cost - - (d) Proceeds from securities sold short - - (e) Premiums from options written - - (f) Including cash payment of: 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, 2005 JNL/FMR JNL/FMR JNL/Franklin JNL/Goldman Balanced Capital Templeton Small Sachs Mid Cap ASSETS Fund Growth Fund Cap Value Fund Value Fund ---------------- ---------------- -------------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 148,940 $ 253,055 $ 60,316 $ 67,891 Investments - affiliated, at value and cost - - - - Cash 1 - 1 - Foreign currency (c) 1 1 - - Receivables: Dividends and interest 311 137 42 83 Forward currency contracts - - - - Foreign taxes recoverable 1 - - - Fund shares sold 122 86 144 329 Investment securities sold 467 3,481 - 689 Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - - ---------------- ---------------- -------------------- ----------------- TOTAL ASSETS 149,843 256,760 60,503 68,992 ---------------- ---------------- -------------------- ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 9 17 4 4 Advisory fees 65 118 36 32 Investment securities purchased 755 4,033 790 2,609 Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 63 177 64 43 Unrealized appreciation on swap agreements (f) - - - - Managers fees 1 2 - - Other expenses 1 2 1 1 12b-1 service fee (Class A) 19 34 9 9 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 34,769 46,649 6,457 11,699 ---------------- ---------------- -------------------- ----------------- TOTAL LIABILITIES 35,682 51,032 7,361 14,397 ---------------- ---------------- -------------------- ----------------- NET ASSETS $ 114,161 $ 205,728 $ 53,142 $ 54,595 ================ ================ ==================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 106,155 $ 527,362 $ 50,697 $ 51,001 Undistributed (accumulated) net investment income (loss) 639 509 22 112 Accumulated net realized gain (loss) (1,378) (331,621) 94 317 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 8,745 9,478 2,329 3,165 ---------------- ---------------- -------------------- ----------------- $ 114,161 $ 205,728 $ 53,142 $ 54,595 ================ ================ ==================== ================= CLASS A Net assets $ 114,048 $ 205,621 $ 53,037 $ 54,488 Shares outstanding (no par value), unlimited shares authorized 11,125 13,556 5,052 5,074 Net asset value per share $ 10.25 $ 15.17 $ 10.50 $ 10.74 ================ ================ ==================== ================= CLASS B Net assets $ 113 $ 107 $ 105 $ 107 Shares outstanding (no par value), unlimited shares authorized 11 7 10 10 Net asset value per share $ 10.34 $ 15.21 $ 10.50 $ 10.74 ================ ================ ==================== ================= - ------------------------------------------ (a) Including securities on loan of: $ 33,703 $ 45,056 $ 6,228 $ 11,341 (b) Investments - unaffiliated, at cost 140,195 243,577 57,987 64,726 (c) Foreign currency cost 1 1 - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - JNL/JPMorgan JNL/JPMorgan International International ASSETS Equity Fund Value Fund ------------------ ---------------- Investments - unaffiliated, at value (a) (b) $ 183,084 $ 204,531 Investments - affiliated, at value and cost - - Cash 20 - Foreign currency (c) 219 344 Receivables: Dividends and interest 360 352 Forward currency contracts - 1,383 Foreign taxes recoverable 120 12 Fund shares sold 116 188 Investment securities sold - 236 Unrealized appreciation on swap agreements (f) - - Variation margin - - ------------------ ---------------- TOTAL ASSETS 183,919 207,046 ------------------ ---------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 22 23 Advisory fees 102 107 Investment securities purchased - 233 Dividends payable - - Forward currency contracts - 1,194 Fund shares redeemed 132 154 Unrealized appreciation on swap agreements(f) - - Managers fees 1 1 Other expenses 2 2 12b-1 service fee (Class A) 29 30 Variation margin - - Investment securities sold short, at value(d) - - Options written, at value (e) - - Return of collateral for securities loaned 9,832 27,199 ------------------ ---------------- TOTAL LIABILITIES 10,120 28,943 ------------------ ---------------- NET ASSETS $ 173,799 $ 178,103 ================== ================ NET ASSETS CONSIST OF: Paid-in capital $ 188,891 $ 164,628 Undistributed (accumulated) net investment income (loss) 1,712 2,014 Accumulated net realized gain (loss) (20,012) 5,579 Net unrealized appreciation (depreciation) investments, foreign currency related transactions and futures 3,208 5,882 ------------------ ---------------- $ 173,799 $ 178,103 ================== ================ CLASS A Net assets $ 173,695 $ 177,992 Shares outstanding (no par value), unlimited shares authorized 16,123 19,266 Net asset value per share $ 10.77 $ 9.24 ================== ================ CLASS B Net assets $ 104 $ 111 Shares outstanding (no par value), unlimited shares authorized 9 13 Net asset value per share $ 10.81 $ 9.34 ================== ================ - ------------------------------------------ (a) Including securities on loan of: $ 9,354 $ 25,872 (b) Investments - unaffiliated, at cost 179,862 198,833 (c) Foreign currency cost 225 349 (d) Proceeds from securities sold short - - (e) Premiums from options written - - (f) Including cash payment of: - - 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, 2005 JNL/Mellon JNL/Mellon Capital Capital Management JNL/Lazard JNL/Lazard Management Enhanced Mid Cap Small Cap Bond Index S&P 500 Stock ASSETS Value Fund Value Fund Fund Index Fund ---------------- ----------------- ----------------- ------------------ Investments - unaffiliated, at value (a) (b) $ 236,454 $ 203,311 $ 180,559 $ 57,038 Investments - affiliated, at value and cost - - 40,115 3,509 Cash 16 - - - Foreign currency (c) - - - - Receivables: Dividends and interest 175 161 1,332 66 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 114 372 626 82 Investment securities sold 1,542 908 8,413 1,293 Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - - ---------------- ----------------- ----------------- ------------------ TOTAL ASSETS 238,301 204,752 231,045 61,988 ---------------- ----------------- ----------------- ------------------ LIABILITIES Cash overdraft - - - - Payables: Administrative fees 17 16 12 5 Advisory fees 124 117 35 24 Investment securities purchased 1,441 2,866 48,702 1,201 Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 391 316 111 24 Unrealized appreciation on swap agreements (f) - - - - Managers fees 1 1 1 1 Other expenses 2 2 2 1 12b-1 service fee (Class A) 34 31 23 10 Variation margin - - - 7 Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 24,940 13,232 35,197 2,469 ---------------- ----------------- ----------------- ------------------ TOTAL LIABILITIES 26,950 16,581 84,083 3,742 ---------------- ----------------- ----------------- ------------------ NET ASSETS $ 211,351 $ 188,171 $ 146,962 $ 58,246 ================ ================= ================= ================== NET ASSETS CONSIST OF: Paid-in capital $ 175,505 $ 158,496 $ 138,711 $ 43,445 Undistributed (accumulated) net investment income (loss) 347 53 5,670 2,423 Accumulated net realized gain (loss) 22,562 12,752 1,079 9,733 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 12,937 16,870 1,502 2,645 ---------------- ----------------- ----------------- ------------------ $ 211,351 $ 188,171 $ 146,962 $ 58,246 ================ ================= ================= ================== CLASS A Net assets $ 211,188 $ 188,005 $ 146,833 $ 58,134 Shares outstanding (no par value), unlimited shares authorized 14,149 13,598 13,255 6,642 Net asset value per share $ 14.93 $ 13.83 $ 11.08 $ 8.75 ================ ================= ================= ================== CLASS B Net assets $ 163 $ 166 $ 129 $ 112 Shares outstanding (no par value), unlimited shares authorized 11 12 12 13 Net asset value per share $ 14.98 $ 13.87 $ 11.02 $ 8.70 ================ ================= ================= ================== - ------------------------------------------------- (a) Including securities on loan of: $ 23,904 $ 12,694 $ 34,556 $ 2,394 (b) Investments - unaffiliated, at cost 223,517 186,441 179,057 54,383 (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - JNL/Mellon JNL/Mellon Capital Capital Management Management International S&P 400 MidCap ASSETS Index Fund Index Fund --------------- -------------------- Investments - unaffiliated, at value (a) (b) $ 205,977 $ 228,467 Investments - affiliated, at value and cost 35,163 37,646 Cash 19 - Foreign currency (c) 1,164 - Receivables: Dividends and interest 397 149 Forward currency contracts 4 - Foreign taxes recoverable 60 - Fund shares sold 626 301 Investment securities sold 39 187 Unrealized appreciation on swap agreements (f) - - Variation margin 28 - --------------- -------------------- TOTAL ASSETS 243,477 266,750 --------------- -------------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 26 19 Advisory fees 52 55 Investment securities purchased 14 - Dividends payable - - Forward currency contracts 84 - Fund shares redeemed 242 198 Unrealized appreciation on swap agreements (f) - - Managers fees 1 1 Other expenses 1 4 12b-1 service fee (Class A) 35 38 Variation margin - 20 Investment securities sold short, at value (d) - - Options written, at value (e) - - Return of collateral for securities loaned 27,580 31,629 --------------- -------------------- TOTAL LIABILITIES 28,035 31,964 --------------- -------------------- NET ASSETS $ 215,442 $ 234,786 =============== ==================== NET ASSETS CONSIST OF: Paid-in capital $ 165,110 $ 192,833 Undistributed (accumulated) net investment income (loss) 7,858 1,794 Accumulated net realized gain (loss) 30,304 7,358 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 12,170 32,801 --------------- -------------------- $ 215,442 $ 234,786 =============== ==================== CLASS A Net assets $ 215,295 $ 234,597 Shares outstanding (no par value), unlimited shares authorized 15,974 17,041 Net asset value per share $ 13.48 $ 13.77 =============== ==================== CLASS B Net assets $ 147 $ 189 Shares outstanding (no par value), unlimited shares authorized 11 14 Net asset value per share $ 13.48 $ 13.77 =============== ==================== - ------------------------------------------------- (a) Including securities on loan of: $ 26,275 $ 30,468 (b) Investments - unaffiliated, at cost 193,809 195,689 (c) Foreign currency cost 1,178 - (d) Proceeds from securities sold short - - (e) Premiums from options written - - (f) Including cash payment of: - - 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, 2005 JNL/Mellon JNL/Mellon Capital Capital JNL/ Management Management Oppenheimer JNL/ S&P 500 Index Small Cap Global Oppenheimer ASSETS Fund Index Fund Growth Fund Growth Fund ---------------- ---------------- ---------------- ---------------- Investments - unaffiliated, at value (a) (b) $ 367,077 $ 201,051 $ 269,926 $ 26,068 Investments - affiliated, at value and cost 16,825 21,955 - - Cash - - - - Foreign currency (c) - - 485 - Receivables: Dividends and interest 440 214 406 12 Forward currency contracts - - - - Foreign taxes recoverable - - 7 - Fund shares sold 962 199 502 44 Investment securities sold - 1,663 317 520 Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - - ---------------- ---------------- ---------------- ---------------- TOTAL ASSETS 385,304 225,082 271,643 26,644 ---------------- ---------------- ---------------- ---------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 29 16 30 2 Advisory fees 86 47 139 15 Investment securities purchased - 1,693 706 478 Dividends payable - - - - Forward currency contracts - - 3 - Fund shares redeemed 250 194 631 31 Unrealized appreciation on swap agreements (f) - - - - Managers fees 2 1 1 - Other expenses 6 2 2 - 12b-1 service fee (Class A) 59 32 40 4 Variation margin 45 16 - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 22,888 21,289 26,931 945 ---------------- ---------------- ---------------- ---------------- TOTAL LIABILITIES 23,365 23,290 28,483 1,475 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 361,939 $ 201,792 $ 243,160 $ 25,169 ================ ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital $ 322,237 $ 170,201 $ 205,224 $ 25,449 Undistributed (accumulated) net investment income (loss) 2,252 1,691 1,979 8 Accumulated net realized gain (loss) 9,624 12,752 (1,925) (1,964) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 27,826 17,148 37,882 1,676 ---------------- ---------------- ---------------- ---------------- $ 361,939 $ 201,792 $ 243,160 $ 25,169 ================ ================ ================ ================ CLASS A Net assets $ 361,570 $ 201,591 $ 242,997 $ 25,050 Shares outstanding (no par value), unlimited shares authorized 34,275 15,225 20,464 2,922 Net asset value per share $ 10.55 $ 13.24 $ 11.87 $ 8.57 ================ ================ ================ ================ CLASS B Net assets $ 369 $ 201 $ 163 $ 119 Shares outstanding (no par value), unlimited shares authorized 34 15 14 14 Net asset value per share $ 10.61 $ 13.21 $ 11.90 $ 8.59 ================ ================ ================ ================ - -------------------------------------------------- (a) Including securities on loan of: $ 21,941 $ 19,817 $ 25,732 $ 916 (b) Investments - unaffiliated, at cost 339,158 184,073 232,043 24,392 (c) Foreign currency cost - - 485 - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - JNL/PIMCO JNL/Putnam Total Return Equity ASSETS Bond Fund Fund ----------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 568,368 $ 176,924 Investments - affiliated, at value and cost - - Cash - 1 Foreign currency (c) 429 - Receivables: Dividends and interest 1,900 136 Forward currency contracts 224 - Foreign taxes recoverable - - Fund shares sold 2,811 93 Investment securities sold 26,692 2,223 Unrealized appreciation on swap agreements (f) 819 - Variation margin 186 - ----------------- ----------------- TOTAL ASSETS 601,429 179,377 ----------------- ----------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 39 13 Advisory fees 194 87 Investment securities purchased 93,661 1,359 Dividends payable - - Forward currency contracts 706 - Fund shares redeemed 234 129 Unrealized appreciation on swap agreements (f) 554 - Managers fees 3 2 Other expenses 5 2 12b-1 service fee (Class A) 78 26 Variation margin 51 - Investment securities sold short, at value (d) 2,016 - Options written, at value (e) 132 - Return of collateral for securities loaned 18,327 20,460 ----------------- ----------------- TOTAL LIABILITIES 116,000 22,078 ----------------- ----------------- NET ASSETS $ 485,429 $ 157,299 ================= ================= NET ASSETS CONSIST OF: Paid-in capital $ 453,090 $ 259,913 Undistributed (accumulated) net investment income (loss) 10,823 1,532 Accumulated net realized gain (loss) 16,196 (116,386) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 5,320 12,240 ----------------- ----------------- $ 485,429 $ 157,299 ================= ================= CLASS A Net assets $ 485,277 $ 157,184 Shares outstanding (no par value), unlimited shares authorized 39,492 8,363 Net asset value per share $ 12.29 $ 18.80 ================= ================= CLASS B Net assets $ 152 $ 115 Shares outstanding (no par value), unlimited shares authorized 13 6 Net asset value per share $ 12.49 $ 18.82 ================= ================= - -------------------------------------------------- (a) Including securities on loan of: $ 17,688 $ 19,845 (b) Investments - unaffiliated, at cost 562,494 164,684 (c) Foreign currency cost 433 - (d) Proceeds from securities sold short 2,016 - (e) Premiums from options written 208 - (f) Including cash payment of: 71 - 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, 2005 JNL/S&P JNL/S&P JNL/Putnam JNL/Putnam Managed Managed Midcap Value Aggressive Conservative ASSETS Growth Fund Equity Fund Growth Fund Fund ----------------- ----------------- ------------------ ----------------- Investments - unaffiliated, at value (a) (b) $ 34,198 $ 199,594 $ - $ - Investments - affiliated, at value (g) - - 646,451 51,927 Cash - 9 - - Foreign currency (c) - - - - Receivables: Dividends and interest 5 246 11 20 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 18 9 489 620 Investment securities sold 1,081 906 - - Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - - ----------------- ----------------- ------------------ ----------------- TOTAL ASSETS 35,302 200,764 646,951 52,567 ----------------- ----------------- ------------------ ----------------- LIABILITIES Cash overdraft 116 - - - Payables: Administrative fees 3 16 27 2 Advisory fees 20 105 63 5 Investment securities purchased 1,089 536 - - Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 29 170 592 8 Unrealized appreciation on swap agreements (f) - - - - Managers fees - 2 4 - Other expenses - 3 8 - 12b-1 service fee (Class A) 6 32 - - Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 1,657 9,774 - - ----------------- ----------------- ------------------ ----------------- TOTAL LIABILITIES 2,920 10,638 694 15 ----------------- ----------------- ------------------ ----------------- NET ASSETS $ 32,382 $ 190,126 $ 646,257 $ 52,552 ================= ================= ================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 47,902 $ 205,973 $ 705,049 $ 51,542 Undistributed (accumulated) net investment income (loss) (82) 946 2,588 238 Accumulated net realized gain (loss) (18,792) (33,137) (122,994) 59 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 3,354 16,344 61,614 713 ----------------- ----------------- ------------------ ----------------- $ 32,382 $ 190,126 $ 646,257 $ 52,552 ================= ================= ================== ================= CLASS A Net assets $ 32,268 $ 190,023 $ 646,257 $ 52,552 Shares outstanding (no par value), unlimited shares authorized 3,991 10,851 54,464 5,010 Net asset value per share $ 8.09 $ 17.51 $ 11.87 $ 10.49 ================= ================= ================== ================= CLASS B Net assets $ 114 $ 103 n/a n/a Shares outstanding (no par value), unlimited shares authorized 14 6 n/a n/a Net asset value per share $ 8.11 $ 17.60 n/a n/a ================= ================= ================== ================= - -------------------------------------------------- (a) Including securities on loan of: $ 1,612 $ 9,425 $ - $ - (b) Investments - unaffiliated, at cost 30,844 183,250 - - (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - (g) Investments - affiliated, at cost - - 584,837 51,214 JNL/S&P JNL/S&P Managed Managed Moderate ASSETS Growth Fund Fund ---------------- -------------- Investments - unaffiliated, at value (a) (b) $ - $ - Investments - affiliated, at value (g) 1,000,635 83,232 Cash - - Foreign currency (c) - - Receivables: Dividends and interest 34 24 Forward currency contracts - - Foreign taxes recoverable - - Fund shares sold 322 713 Investment securities sold - - Unrealized appreciation on swap agreements (f) - - Variation margin - - ---------------- -------------- TOTAL ASSETS 1,000,991 83,969 ---------------- -------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 41 3 Advisory fees 86 8 Investment securities purchased - - Dividends payable - - Forward currency contracts - - Fund shares redeemed 618 43 Unrealized appreciation on swap agreements (f) - - Managers fees 6 - Other expenses 12 - 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 763 54 ---------------- -------------- NET ASSETS $ 1,000,228 $ 83,915 ================ ============== NET ASSETS CONSIST OF: Paid-in capital $ 928,475 $ 82,379 Undistributed (accumulated) net investment income (loss) 3,423 294 Accumulated net realized gain (loss) (11,801) (29) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 80,131 1,271 ---------------- -------------- $ 1,000,228 $ 83,915 ================ ============== CLASS A Net assets $ 1,000,228 $ 83,915 Shares outstanding (no par value), unlimited shares authorized 81,866 7,912 Net asset value per share $ 12.22 $ 10.61 ================ ============== CLASS B Net assets n/a n/a Shares outstanding (no par value), unlimited shares authorized n/a n/a Net asset value per share n/a n/a ================ ============== - -------------------------------------------------- (a) Including securities on loan of: $ - $ - (b) Investments - unaffiliated, at cost - - (c) Foreign currency cost - - (d) Proceeds from securities sold short - - (e) Premiums from options written - - (f) Including cash payment of: - - (g) Investments - affiliated, at cost 920,504 81,961 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, 2005 JNL/Salomon JNL/S&P JNL/Salomon JNL/Salomon Brothers Managed Brothers Brothers U.S. Government Moderate High Yield Strategic Bond & Quality ASSETS Growth Fund Bond Fund Fund Bond Fund ---------------- ---------------- ----------------- ----------------- Investments - unaffiliated, at value (a) (b) $ - $ 317,462 $ 441,417 $ 332,567 Investments - affiliated, at value (g) 732,565 - - - Cash - - 119 - Foreign currency (c) - - 58 - Receivables: Dividends and interest 96 4,800 2,684 1,313 Forward currency contracts - - 1,020 - Foreign taxes recoverable - - - - Fund shares sold 687 760 396 194 Investment securities sold - - 11,489 14,443 Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - 25 ---------------- ---------------- ----------------- ----------------- TOTAL ASSETS 733,348 323,022 457,183 348,542 ---------------- ---------------- ----------------- ----------------- LIABILITIES Cash overdraft - 627 - - Payables: Administrative fees 30 22 23 17 Advisory fees 68 107 145 81 Investment securities purchased - - 106,881 86,750 Dividends payable - - - - Forward currency contracts - - 341 - Fund shares redeemed 303 1,327 104 117 Unrealized appreciation on swap agreements (f) - - - - Managers fees 3 2 2 2 Other expenses 8 4 3 3 12b-1 service fee (Class A) - 43 46 34 Variation margin - - 42 24 Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned - 57,873 61,753 55,215 ---------------- ---------------- ----------------- ----------------- TOTAL LIABILITIES 412 60,005 169,340 142,243 ---------------- ---------------- ----------------- ----------------- NET ASSETS $ 732,936 $ 263,017 $ 287,843 $ 206,299 ================ ================ ================= ================= NET ASSETS CONSIST OF: Paid-in capital $ 693,209 $ 297,988 $ 272,330 $ 196,118 Undistributed (accumulated) net investment income (loss) 1,775 9,910 6,055 3,944 Accumulated net realized gain (loss) (11,179) (48,252) 4,183 1,330 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 49,131 3,371 5,275 4,907 ---------------- ---------------- ----------------- ----------------- $ 732,936 $ 263,017 $ 287,843 $ 206,299 ================ ================ ================= ================= CLASS A Net assets $ 732,936 $ 262,885 $ 287,721 $ 206,182 Shares outstanding (no par value), unlimited shares authorized 62,612 30,814 24,576 17,706 Net asset value per share $ 11.71 $ 8.53 $ 11.71 $ 11.64 ================ ================ ================= ================= CLASS B Net assets n/a $ 132 $ 122 $ 117 Shares outstanding (no par value), unlimited shares authorized n/a 15 10 10 Net asset value per share n/a $ 8.69 $ 12.10 $ 12.06 ================ ================= ================= - ------------------------------------------------ (a) Including securities on loan of: $ - $ 56,517 $ 60,558 $ 54,253 (b) Investments - unaffiliated, at cost - 314,089 436,804 327,674 (c) Foreign currency cost - - 66 - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - (g) Investments - affiliated, at cost 683,434 - - - JNL/Select JNL/Select Balanced Global Growth ASSETS Fund Fund ---------------- ---------------- Investments - unaffiliated, at value (a) (b) $ 435,546 $ 207,312 Investments - affiliated, at value (g) - - Cash 10 - Foreign currency (c) - 73 Receivables: Dividends and interest 1,285 162 Forward currency contracts - 2 Foreign taxes recoverable - 4 Fund shares sold 1,023 25 Investment securities sold 571 6,649 Unrealized appreciation on swap agreements (f) - - Variation margin - - ---------------- ---------------- TOTAL ASSETS 438,435 214,227 ---------------- ---------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 31 23 Advisory fees 152 114 Investment securities purchased 1,486 7,401 Dividends payable - - Forward currency contracts - 2 Fund shares redeemed 282 128 Unrealized appreciation on swap agreements (f) - - Managers fees 3 - Other expenses 5 3 12b-1 service fee (Class A) 63 31 Variation margin 14 - Investment securities sold short, at value (d) - - Options written, at value (e) - - Return of collateral for securities loaned 56,098 21,360 ---------------- ---------------- TOTAL LIABILITIES 58,134 29,062 ---------------- ---------------- NET ASSETS $ 380,301 $ 185,165 ================ ================ NET ASSETS CONSIST OF: Paid-in capital $ 308,861 $ 334,266 Undistributed (accumulated) net investment income (loss) 11,756 1,603 Accumulated net realized gain (loss) 40,036 (160,910) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 19,648 10,206 ---------------- ---------------- $ 380,301 $ 185,165 ================ ================ CLASS A Net assets $ 380,159 $ 185,059 Shares outstanding (no par value), unlimited shares authorized 22,131 10,285 Net asset value per share $ 17.18 $ 17.99 ================ ================ CLASS B Net assets $ 142 $ 106 Shares outstanding (no par value), unlimited shares authorized 8 6 Net asset value per share $ 17.06 $ 18.05 ================ ================ - ------------------------------------------------ (a) Including securities on loan of: $ 54,911 $ 20,412 (b) Investments - unaffiliated, at cost 415,883 197,105 (c) Foreign currency cost - 74 (d) Proceeds from securities sold short - - (e) Premiums from options written - - (f) Including cash payment of: - - (g) Investments - affiliated, at cost - - 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, 2005 JNL/T.Rowe JNL/Select JNL/Select Price Large Cap Money JNL/Select Established ASSETS Growth Fund Market Fund Value Fund Growth Fund ------------------ --------------- --------------- ------------------ Investments - unaffiliated, at value (a) (b) $ 238,508 $ 221,761 $ 235,654 $ 737,181 Investments - affiliated, at value and cost - - - 12,693 Cash - 22 - 1 Foreign currency (c) - - - - Receivables: Dividends and interest 148 430 192 628 Forward currency contracts - - - - Foreign taxes recoverable - - - 12 Fund shares sold 49 1,694 205 1,295 Investment securities sold 2,550 - - 863 Unrealized appreciation on swap agreements (f) - - - - Variation margin - - - - ------------------ --------------- --------------- ------------------ TOTAL ASSETS 241,255 223,907 236,051 752,673 ------------------ --------------- --------------- ------------------ LIABILITIES Cash overdraft - - - - Payables: Administrative fees 19 18 19 57 Advisory fees 132 54 103 342 Investment securities purchased 5,055 - 1,140 2,695 Dividends payable - 457 - - Forward currency contracts - - - - Fund shares redeemed 99 325 146 376 Unrealized appreciation on swap agreements (f) - - - - Managers fees 3 1 1 5 Other expenses 3 2 3 8 12b-1 service fee (Class A) 39 36 37 115 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 19,304 1,055 7,746 56,097 ------------------ --------------- --------------- ------------------ TOTAL LIABILITIES 24,654 1,948 9,195 59,695 ------------------ --------------- --------------- ------------------ NET ASSETS $ 216,601 $ 221,959 $ 226,856 $ 692,978 ================== =============== =============== ================== NET ASSETS CONSIST OF: Paid-in capital $ 507,052 $ 221,959 $ 195,221 $ 687,370 Undistributed (accumulated) net investment income (loss) (201) - 3,087 1,613 Accumulated net realized gain (loss) (304,321) - 16,109 (65,257) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 14,071 - 12,439 69,252 ------------------ --------------- --------------- ------------------ $ 216,601 $ 221,959 $ 226,856 $ 692,978 ================== =============== =============== ================== CLASS A Net assets $ 216,488 $ 221,616 $ 226,725 $ 692,815 Shares outstanding (no par value), unlimited shares authorized 11,161 221,616 13,366 38,266 Net asset value per share $ 19.40 $ 1.00 $ 16.96 $ 18.11 ================== =============== =============== ================== CLASS B Net assets $ 113 $ 343 $ 131 $ 163 Shares outstanding (no par value), unlimited shares authorized 6 343 8 9 Net asset value per share $ 19.46 $ 1.00 $ 16.95 $ 18.15 ================== =============== =============== ================== - ---------------------------------------------------- (a) Including securities on loan of: $ 18,712 $ 1,033 $ 7,504 $ 54,236 (b) Investments - unaffiliated, at cost 224,437 221,761 223,215 667,927 (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Including cash payment of: - - - - JNL/T.Rowe JNL/T.Rowe Price Price Mid-Cap Value ASSETS Growth Fund Fund ---------------- ---------------- Investments - unaffiliated, at value (a) (b) $ 638,465 $ 531,553 Investments - affiliated, at value and cost 19,013 13,134 Cash - 111 Foreign currency (c) - - Receivables: Dividends and interest 267 740 Forward currency contracts - - Foreign taxes recoverable - - Fund shares sold 728 853 Investment securities sold 1,389 5,099 Unrealized appreciation on swap agreements (f) - - Variation margin - - ---------------- ---------------- TOTAL ASSETS 659,862 551,490 ---------------- ---------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 46 42 Advisory fees 326 278 Investment securities purchased 1,981 3,193 Dividends payable - - Forward currency contracts - 1 Fund shares redeemed 414 443 Unrealized appreciation on swap agreements (f) - - Managers fees 4 4 Other expenses 7 5 12b-1 service fee (Class A) 91 84 Variation margin - - Investment securities sold short, at value (d) - - Options written, at value (e) - - Return of collateral for securities loaned 102,659 52,051 ---------------- ---------------- TOTAL LIABILITIES 105,528 56,101 ---------------- ---------------- NET ASSETS $ 554,334 $ 495,389 ================ ================ NET ASSETS CONSIST OF: Paid-in capital $ 411,040 $ 399,034 Undistributed (accumulated) net investment income (loss) (1,100) 7,067 Accumulated net realized gain (loss) 24,180 29,877 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 120,214 59,411 ---------------- ---------------- $ 554,334 $ 495,389 ================ ================ CLASS A Net assets $ 554,165 $ 495,248 Shares outstanding (no par value), unlimited shares authorized 19,607 36,302 Net asset value per share $ 28.26 $ 13.64 ================ ================ CLASS B Net assets $ 169 $ 141 Shares outstanding (no par value), unlimited shares authorized 6 10 Net asset value per share $ 28.34 $ 13.71 ================ ================ - ---------------------------------------------------- (a) Including securities on loan of: $ 99,025 $ 50,331 (b) Investments - unaffiliated, at cost 518,251 472,141 (c) Foreign currency cost - - (d) Proceeds from securities sold short - - (e) Premiums from options written - - (f) Including cash payment of: - - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Real Estate Small Cap Growth Growth Fund Fund (b) Growth Fund Fund ----------------- ---------------- ----------------- ---------------- INVESTMENT INCOME Dividends (a) $ 1,348 $ 362 $ 70 $ 1,373 Interest 15 1 - 4 Foreign taxes withheld (20) (4) - (18) Securities lending 25 - 15 135 ----------------- ---------------- ----------------- ---------------- TOTAL INVESTMENT INCOME 1,368 359 85 1,494 ----------------- ---------------- ----------------- ---------------- EXPENSES Administrative fees 114 8 22 130 Advisory fees 809 57 187 908 Trustees fees 3 - 1 4 Other expenses 9 1 1 9 12b-1 service fee (Class A) 228 15 44 259 ----------------- ---------------- ----------------- ---------------- TOTAL EXPENSES 1,163 81 255 1,310 ----------------- ---------------- ----------------- ---------------- ----------------- ---------------- ----------------- ---------------- NET INVESTMENT INCOME (LOSS) 205 278 (170) 184 ----------------- ---------------- ----------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments (93) 126 2,424 15,772 Foreign currency related items - (47) - - Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commissions recaptured 41 4 1 155 Net change in unrealized appreciation (depreciation) on: Investments 4,719 3,171 (1,343) (15,647) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ---------------- ----------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 4,667 3,254 1,082 280 ----------------- ---------------- ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 4,872 $ 3,532 $ 912 $ 464 - ----------------------------------------------- ================= ================ ================= ================ (a) Dividends from affiliated investments $ - $ - $ - $ - (b) Period from May 2, 2005 (commencement of operations) JNL/Eagle JNL/Eagle Core Equity SmallCap Fund Equity Fund --------------- ------------------- INVESTMENT INCOME Dividends (a) $ 2,656 $ 210 Interest 52 - Foreign taxes withheld (18) (1) Securities lending 20 38 --------------- ------------------- TOTAL INVESTMENT INCOME 2,710 247 --------------- ------------------- EXPENSES Administrative fees 162 77 Advisory fees 1,047 577 Trustees fees 4 2 Other expenses 11 6 12b-1 service fee (Class A) 324 154 --------------- ------------------- TOTAL EXPENSES 1,548 816 --------------- ------------------- --------------- ------------------- NET INVESTMENT INCOME (LOSS) 1,162 (569) --------------- ------------------- --------------- ------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 9,693 8,087 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Brokerage commissions recaptured 113 87 Net change in unrealized appreciation (depreciation) on: Investments (21,495) (9,956) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - --------------- ------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (11,689) (1,782) --------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (10,527) $ (2,351) - ----------------------------------------------- =============== =================== (a) Dividends from affiliated investments $ - $ - (b) Period from May 2, 2005 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Franklin JNL/FMR JNL/FMR Templeton Small JNL/Goldman Balanced Capital Cap Value Sachs Mid Fund Growth Fund Fund (b) Cap Value Fund (b) ------------------ ----------------- ------------------ ------------------- INVESTMENT INCOME Dividends (a) $ 509 $ 863 $ 111 $ 198 Interest 632 - 5 - Foreign taxes withheld (5) (35) - - Securities lending 30 69 - - ------------------ ----------------- ------------------ ------------------- TOTAL INVESTMENT INCOME 1,166 897 116 198 ------------------ ----------------- ------------------ ------------------- EXPENSES Administrative fees 53 97 8 8 Advisory fees 373 683 69 61 Trustees fees 1 3 - - Other expenses 4 7 1 1 12b-1 service fee (Class A) 107 195 16 16 ------------------ ----------------- ------------------ ------------------- TOTAL EXPENSES 538 985 94 86 ------------------ ----------------- ------------------ ------------------- ------------------ ----------------- ------------------ ------------------- NET INVESTMENT INCOME (LOSS) 628 (88) 22 112 ------------------ ----------------- ------------------ ------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 1,645 6,745 94 316 Foreign currency related items (1) (2) - - Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commissions recaptured 9 74 - 1 Net change in unrealized appreciation (depreciation) on: Investments 308 (12,114) 2,329 3,165 Foreign currency related items (1) - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ ----------------- ------------------ ------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 1,960 (5,297) 2,423 3,482 ------------------ ----------------- ------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,588 $ (5,385) $ 2,445 $ 3,594 - -------------------------------------------------- ================== ================= ================== =================== (a) Dividends from affiliated investments $ - $ - $ - $ - (b) Period from May 2, 2005 (commencement of operations) JNL/JPMorgan JNL/JPMorgan International International Equity Fund Value Fund ----------------- ---------------- INVESTMENT INCOME Dividends (a) $ 2,485 $ 2,758 Interest 22 40 Foreign taxes withheld (292) (337) Securities lending 19 64 ----------------- ---------------- TOTAL INVESTMENT INCOME 2,234 2,525 ----------------- ---------------- EXPENSES Administrative fees 91 89 Advisory fees 455 437 Trustees fees 2 2 Other expenses 5 4 12b-1 service fee (Class A) 122 118 ----------------- ---------------- TOTAL EXPENSES 675 650 ----------------- ---------------- ----------------- ---------------- NET INVESTMENT INCOME (LOSS) 1,559 1,875 ----------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 11,114 3,637 Foreign currency related items 965 (205) Futures contracts and options written - 816 Investment securities sold short - - Brokerage commissions recaptured 15 5 Net change in unrealized appreciation (depreciation) on: Investments (15,154) (4,739) Foreign currency related items (239) 68 Futures contracts and options written - (21) Investment securities sold short - - ----------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (3,299) (439) ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (1,740) $ 1,436 - -------------------------------------------------- ================= ================ (a) Dividends from affiliated investments $ - $ - (b) Period from May 2, 2005 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Mellon JNL/Mellon Capital Capital Management JNL/Lazard JNL/Lazard Management Enhanced Mid Cap Small Cap Bond Index S&P 500 Stock Value Fund Value Fund Fund Index Fund ------------------- ----------------- ----------------- ------------------ INVESTMENT INCOME Dividends (a) $ 1,401 $ 1,024 $ 33 $ 1,136 Interest - - 2,446 6 Foreign taxes withheld - (1) - - Securities lending 14 33 30 2 ------------------- ----------------- ----------------- ------------------ TOTAL INVESTMENT INCOME 1,415 1,056 2,509 1,144 ------------------- ----------------- ----------------- ------------------ EXPENSES Administrative fees 108 102 64 69 Advisory fees 779 765 194 322 Trustees fees 3 3 2 2 Other expenses 7 7 4 11 12b-1 service fee (Class A) 215 204 129 138 ------------------- ----------------- ----------------- ------------------ TOTAL EXPENSES 1,112 1,081 393 542 ------------------- ----------------- ----------------- ------------------ ------------------- ----------------- ----------------- ------------------ NET INVESTMENT INCOME (LOSS) 303 (25) 2,116 602 ------------------- ----------------- ----------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 17,533 8,055 118 6,647 Foreign currency related items - - - - Futures contracts and options written - - - (19) Investment securities sold short - - - - Brokerage commissions recaptured 26 57 - - Net change in unrealized appreciation (depreciation) on: Investments (15,308) (10,093) 829 (11,490) Foreign currency related items - - - - Futures contracts and options written - - - (120) Investment securities sold short - - - - ------------------- ----------------- ----------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 2,251 (1,981) 947 (4,982) ------------------- ----------------- ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,554 $ (2,006) $ 3,063 $ (4,380) - ---------------------------------------------------- =================== ================= ================= ================== (a) Dividends from affiliated investments $ - $ - $ 32 $ 45 JNL/Mellon JNL/Mellon Capital Capital Management Management International S&P 400 MidCap Index Fund Index Fund ---------------- ------------------ INVESTMENT INCOME Dividends (a) $ 5,615 $ 1,571 Interest 12 4 Foreign taxes withheld (655) - Securities lending 108 16 ---------------- ------------------ TOTAL INVESTMENT INCOME 5,080 1,591 ---------------- ------------------ EXPENSES Administrative fees 208 104 Advisory fees 415 302 Trustees fees 3 3 Other expenses 8 17 12b-1 service fee (Class A) 277 208 ---------------- ------------------ TOTAL EXPENSES 911 634 ---------------- ------------------ ---------------- ------------------ NET INVESTMENT INCOME (LOSS) 4,169 957 ---------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 28,943 3,172 Foreign currency related items (428) - Futures contracts and options written 590 173 Investment securities sold short - - Brokerage commissions recaptured - - Net change in unrealized appreciation (depreciation) on: Investments (39,348) 4,077 Foreign currency related items (225) - Futures contracts and options written (27) (91) Investment securities sold short - - ---------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) (10,495) 7,331 ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (6,326) $ 8,288 - ---------------------------------------------------- ================ ================== (a) Dividends from affiliated investments $ 96 $ 57 See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Mellon JNL/Mellon Capital Capital JNL/ JNL/ Management Management Oppenheimer Oppenheimer S&P 500 Index Small Cap Global Growth Fund Index Fund Growth Fund Fund ------------------ ---------------- ---------------- ---------------- INVESTMENT INCOME Dividends (a) $ 3,333 $ 1,184 $ 2,950 $ 94 Interest 11 5 1 - Foreign taxes withheld - (1) (282) (1) Securities lending 10 83 66 2 ------------------ ---------------- ---------------- ---------------- TOTAL INVESTMENT INCOME 3,354 1,271 2,735 95 ------------------ ---------------- ---------------- ---------------- EXPENSES Administrative fees 182 89 172 12 Advisory fees 527 259 803 83 Trustees fees 5 3 3 - Other expenses 30 6 8 1 12b-1 service fee (Class A) 363 178 229 24 ------------------ ---------------- ---------------- ---------------- TOTAL EXPENSES 1,107 535 1,215 120 ------------------ ---------------- ---------------- ---------------- ------------------ ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 2,247 736 1,520 (25) ------------------ ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 8,897 7,751 2,979 61 Foreign currency related items - - (142) - Futures contracts and options written 75 (48) - - Investment securities sold short - - - - Brokerage commissions recaptured - - - - Net change in unrealized appreciation (depreciation) on: Investments (15,986) (10,108) (4,987) (249) Foreign currency related items - - (5) - Futures contracts and options written (183) 166 - - Investment securities sold short - - - - ------------------ ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (7,197) (2,239) (2,155) (188) ------------------ ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (4,950) $ (1,503) $ (635) $ (213) - --------------------------------------------------- ================== ================ ================ ================ (a) Dividends from affiliated investments $ 110 $ 66 $ - $ - JNL/PIMCO JNL/Putnam Total Return Equity Bond Fund Fund ---------------- ---------------- INVESTMENT INCOME Dividends (a) $ 122 $ 960 Interest 6,817 5 Foreign taxes withheld - (1) Securities lending 28 9 ---------------- ---------------- TOTAL INVESTMENT INCOME 6,967 973 ---------------- ---------------- EXPENSES Administrative fees 213 72 Advisory fees 1,063 482 Trustees fees 5 2 Other expenses 15 5 12b-1 service fee (Class A) 425 143 ---------------- ---------------- TOTAL EXPENSES 1,721 704 ---------------- ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 5,246 269 ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 431 9,490 Foreign currency related items 2,083 - Futures contracts and options written 2,418 31 Investment securities sold short 338 - Brokerage commissions recaptured - 32 Net change in unrealized appreciation (depreciation) on: Investments 1,290 (7,127) Foreign currency related items (357) - Futures contracts and options written 461 (2) Investment securities sold short 27 - ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 6,691 2,424 ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 11,937 $ 2,693 - --------------------------------------------------- ================ ================ (a) Dividends from affiliated investments $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/S&P JNL/S&P JNL/Putnam JNL/Putnam Managed Managed Midcap Value Aggressive Conservative Growth Fund Equity Fund Growth Fund Fund ------------------ ------------------ ---------------- ----------------- INVESTMENT INCOME Dividends (a) $ 86 $ 1,884 $ 271 $ 69 Interest 2 15 - - Foreign taxes withheld - - - - Securities lending 2 3 - - ------------------ ------------------ ---------------- ----------------- TOTAL INVESTMENT INCOME 90 1,902 271 69 ------------------ ------------------ ---------------- ----------------- EXPENSES Administrative fees 16 99 161 8 Advisory fees 122 652 381 20 Trustees fees - 4 7 - Other expenses 1 7 23 1 12b-1 service fee (Class A) 33 199 - - ------------------ ------------------ ---------------- ----------------- TOTAL EXPENSES 172 961 572 29 ------------------ ------------------ ---------------- ----------------- ------------------ ------------------ ---------------- ----------------- NET INVESTMENT INCOME (LOSS) (82) 941 (301) 40 ------------------ ------------------ ---------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 2,124 12,082 15,671 (12) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commissions recaptured 3 20 - - Net change in unrealized appreciation (depreciation) on: Investments (2,174) (12,331) (17,493) 734 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ ------------------ ---------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (47) (229) (1,822) 722 ------------------ ------------------ ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (129) $ 712 $ (2,123) $ 762 - -------------------------------------------------- ================== ================== ================ ================= (a) Dividends from affiliated investments $ - $ - $ 271 $ 69 JNL/S&P JNL/S&P Managed Managed Moderate Growth Fund Fund ----------------- ----------------- INVESTMENT INCOME Dividends (a) $ 424 $ 80 Interest - - Foreign taxes withheld - - Securities lending - - ----------------- ----------------- TOTAL INVESTMENT INCOME 424 80 ----------------- ----------------- EXPENSES Administrative fees 244 12 Advisory fees 515 30 Trustees fees 11 - Other expenses 34 1 12b-1 service fee (Class A) - - ----------------- ----------------- TOTAL EXPENSES 804 43 ----------------- ----------------- ----------------- ----------------- NET INVESTMENT INCOME (LOSS) (380) 37 ----------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 21,785 (140) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Brokerage commissions recaptured - - Net change in unrealized appreciation (depreciation) on: Investments (22,269) 1,174 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (484) 1,034 ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (864) $ 1,071 - -------------------------------------------------- ================= ================= (a) Dividends from affiliated investments $ 424 $ 80 See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Salomon JNL/S&P JNL/Salomon JNL/Salomon Brothers Managed Brothers Brothers U.S. Government Moderate High Yield Strategic Bond & Quality Growth Fund Bond Fund Fund Bond Fund ---------------- ---------------- ---------------- -------------------- INVESTMENT INCOME Dividends (a) $ 404 $ - $ - $ - Interest - 10,785 6,793 4,424 Foreign taxes withheld - - - - Securities lending - 196 60 46 ---------------- ---------------- ---------------- -------------------- TOTAL INVESTMENT INCOME 404 10,981 6,853 4,470 ---------------- ---------------- ---------------- -------------------- EXPENSES Administrative fees 165 133 129 99 Advisory fees 388 661 813 482 Trustees fees 7 4 3 3 Other expenses 23 9 9 7 12b-1 service fee (Class A) - 265 259 197 ---------------- ---------------- ---------------- -------------------- TOTAL EXPENSES 583 1,072 1,213 788 ---------------- ---------------- ---------------- -------------------- ---------------- ---------------- ---------------- -------------------- NET INVESTMENT INCOME (LOSS) (179) 9,909 5,640 3,682 ---------------- ---------------- ---------------- -------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 9,037 959 2,573 189 Foreign currency related items - (7) 424 - Futures contracts and options written - - (228) 140 Investment securities sold short - - - - Brokerage commissions recaptured - - - - Net change in unrealized appreciation (depreciation) on: Investments (5,068) (10,498) (3,484) 1,971 Foreign currency related items - (2) 992 - Futures contracts and options written - - (212) (236) Investment securities sold short - - - - ---------------- ---------------- ---------------- -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 3,969 (9,548) 65 2,064 ---------------- ---------------- ---------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 3,790 $ 361 $ 5,705 $ 5,746 - ---------------------------------------------------- ================ ================ ================ ==================== (a) Dividends from affiliated investments $ 404 $ - $ - $ - JNL/Select JNL/Select Balanced Global Growth Fund Fund ----------------- ---------------- INVESTMENT INCOME Dividends (a) $ 2,893 $ 1,758 Interest 2,655 1 Foreign taxes withheld (22) (158) Securities lending 40 77 ----------------- ---------------- TOTAL INVESTMENT INCOME 5,566 1,678 ----------------- ---------------- EXPENSES Administrative fees 187 143 Advisory fees 911 703 Trustees fees 5 3 Other expenses 13 7 12b-1 service fee (Class A) 374 190 ----------------- ---------------- TOTAL EXPENSES 1,490 1,046 ----------------- ---------------- ----------------- ---------------- NET INVESTMENT INCOME (LOSS) 4,076 632 ----------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 2,493 2,095 Foreign currency related items - (85) Futures contracts and options written (54) - Investment securities sold short - - Brokerage commissions recaptured 8 100 Net change in unrealized appreciation (depreciation) on: Investments (5,307) (18,130) Foreign currency related items - (4) Futures contracts and options written (15) - Investment securities sold short - - ----------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (2,875) (16,024) ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,201 $ (15,392) - ---------------------------------------------------- ================= ================ (a) Dividends from affiliated investments $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/T.Rowe JNL/Select JNL/Select Price Large Cap Money JNL/Select Established Growth Fund Market Fund Value Fund Growth Fund ------------------ ----------------- --------------- ----------------- INVESTMENT INCOME Dividends (a) $ 1,044 $ 149 $ 1,994 $ 3,948 Interest - 3,246 1 - Foreign taxes withheld (14) - (8) (118) Securities lending 12 - 7 48 ------------------ ----------------- --------------- ----------------- TOTAL INVESTMENT INCOME 1,042 3,395 1,994 3,878 ------------------ ----------------- --------------- ----------------- EXPENSES Administrative fees 126 123 92 314 Advisory fees 854 369 503 1,888 Trustees fees 3 3 2 8 Other expenses 9 9 7 22 12b-1 service fee (Class A) 251 246 183 628 ------------------ ----------------- --------------- ----------------- TOTAL EXPENSES 1,243 750 787 2,860 ------------------ ----------------- --------------- ----------------- ------------------ ----------------- --------------- ----------------- NET INVESTMENT INCOME (LOSS) (201) 2,645 1,207 1,018 ------------------ ----------------- --------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 5,238 - 1,414 10,417 Foreign currency related items - - - (141) Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commissions recaptured 26 - 6 10 Net change in unrealized appreciation (depreciation) on: Investments (11,945) - 772 (16,482) Foreign currency related items - - - (4) Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ ----------------- --------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) (6,681) - 2,192 (6,200) ------------------ ----------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (6,882) $ 2,645 $ 3,399 $ (5,182) - ---------------------------------------------------- ================== ================= =============== ================= (a) Dividends from affiliated investments $ - $ - $ - $ 48 JNL/T.Rowe JNL/T.Rowe Price Price Mid-Cap Value Growth Fund Fund ---------------- ---------------- INVESTMENT INCOME Dividends (a) $ 1,539 $ 5,256 Interest - 73 Foreign taxes withheld (10) (136) Securities lending 78 82 ---------------- ---------------- TOTAL INVESTMENT INCOME 1,607 5,275 ---------------- ---------------- EXPENSES Administrative fees 264 246 Advisory fees 1,889 1,633 Trustees fees 7 6 Other expenses 19 17 12b-1 service fee (Class A) 529 491 ---------------- ---------------- TOTAL EXPENSES 2,708 2,393 ---------------- ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) (1,101) 2,882 ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - Investments 23,383 17,040 Foreign currency related items - (18) Futures contracts and options written - - Investment securities sold short - - Brokerage commissions recaptured 15 3 Net change in unrealized appreciation (depreciation) on: Investments (13,979) (18,988) Foreign currency related items - (1) Futures contracts and options written - - Investment securities sold short - - ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 9,419 (1,964) ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 8,318 $ 918 - ---------------------------------------------------- ================ ================ (a) Dividends from affiliated investments $ 57 $ 33 See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Real Estate Small Cap Growth OPERATIONS Growth Fund Fund (a) Growth Fund Fund ---------------- --------------- --------------- ----------------- Net investment income (loss) $ 205 $ 278 $ (170) $ 184 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (93) 126 2,424 15,772 Foreign currency related items - (47) - - Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commission recapture 41 4 1 155 Net change in unrealized appreciation (depreciation) on: Investments 4,719 3,171 (1,343) (15,647) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ---------------- --------------- --------------- ----------------- ---------------- --------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 4,872 3,532 912 464 ---------------- --------------- --------------- ----------------- 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 162,773 56,392 9,083 29,950 Class B 138 100 122 102 Proceeds in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Cost of shares redeemed Class A (35,435) (4,422) (7,844) (91,830) Class B (3) - (1) - ---------------- --------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 127,473 52,070 1,360 (61,778) ---------------- --------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 132,345 55,602 2,272 (61,314) NET ASSETS BEGINNING OF PERIOD 191,027 - 44,365 292,645 ---------------- --------------- --------------- ----------------- NET ASSETS END OF PERIOD $ 323,372 $ 55,602 $ 46,637 $ 231,331 ================ =============== =============== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 321 $ 278 $ (170) $ 436 ================ =============== =============== ================= (1)SHARE TRANSACTIONS Shares sold Class A 14,735 5,565 740 1,976 Class B 12 10 10 7 Shares issued in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Shares redeemed Class A (3,126) (424) (640) (6,126) Class B - - - - ---------------- --------------- --------------- ----------------- Net increase (decrease) 11,621 5,151 110 (4,143) - ------------------------------------------------ ================ =============== =============== ================= ================ =============== =============== ================= JNL/Eagle JNL/Eagle Core Equity SmallCap OPERATIONS Fund Equity Fund ---------------- ---------------- Net investment income (loss) $ 1,162 $ (569) Net realized gain (loss) on: Distributions from investment companies - - Investments 9,693 8,087 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Brokerage commission recapture 113 87 Net change in unrealized appreciation (depreciation) on: Investments (21,495) (9,956) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ---------------- ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (10,527) (2,351) ---------------- ---------------- 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 49,417 30,035 Class B 106 105 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (122,516) (38,255) Class B (3) (1) ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (72,996) (8,116) ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS (83,523) (10,467) NET ASSETS BEGINNING OF PERIOD 357,998 169,753 ---------------- ---------------- NET ASSETS END OF PERIOD $ 274,475 $ 159,286 ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,222 $ (569) ================ ================ (1)SHARE TRANSACTIONS Shares sold Class A 3,386 1,612 Class B 7 6 Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (8,513) (2,001) Class B - - ---------------- ---------------- Net increase (decrease) (5,120) (383) - ------------------------------------------------ ================ ================ ================ ================ (a) Period from May 2, 2005 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/FMR JNL/FMR JNL/Franklin JNL/Goldman Balanced Capital Templeton Small Sachs Mid OPERATIONS Fund Growth Fund Cap Value Fund (a) Cap Value Fund (a) ----------------- ------------------ ----------------------- ---------------------- Net investment income (loss) $ 628 $ (88) $ 22 $ 112 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 1,645 6,745 94 316 Foreign currency related items (1) (2) - - Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commission recapture 9 74 - 1 Net change in unrealized appreciation (depreciation) on: Investments 308 (12,114) 2,329 3,165 Foreign currency related items (1) - - - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ------------------ ----------------------- ---------------------- ----------------- ------------------ ----------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,588 (5,385) 2,445 3,594 ----------------- ------------------ ----------------------- ---------------------- 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 18,318 41,761 54,348 53,450 Class B 107 103 100 100 Proceeds in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Cost of shares redeemed Class A (11,418) (41,155) (3,751) (2,549) Class B - (1) - - ----------------- ------------------ ----------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 7,007 708 50,697 51,001 ----------------- ------------------ ----------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS 9,595 (4,677) 53,142 54,595 NET ASSETS BEGINNING OF PERIOD 104,566 210,405 - - ----------------- ------------------ ----------------------- ---------------------- NET ASSETS END OF PERIOD $ 114,161 $ 205,728 $ 53,142 $ 54,595 ================= ================== ======================= ====================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 639 $ 509 $ 22 $ 112 ================= ================== ======================= ====================== (1)SHARE TRANSACTIONS Shares sold Class A 1,833 2,884 5,416 5,319 Class B 11 7 10 10 Shares issued in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Shares redeemed Class A (1,143) (2,751) (364) (245) Class B - - - - ----------------- ------------------ ----------------------- ---------------------- Net increase (decrease) 701 140 5,062 5,084 - ------------------------------------------- ================= ================== ======================= ====================== JNL/JPMorgan JNL/JPMorgan International International OPERATIONS Equity Fund Value Fund ---------------- ----------------- Net investment income (loss) $ 1,559 $ 1,875 Net realized gain (loss) on: Distributions from investment companies - - Investments 11,114 3,637 Foreign currency related items 965 (205) Futures contracts and options written - 816 Investment securities sold short - - Brokerage commission recapture 15 5 Net change in unrealized appreciation (depreciation) on: Investments (15,154) (4,739) Foreign currency related items (239) 68 Futures contracts and options written - (21) Investment securities sold short - - ---------------- ----------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (1,740) 1,436 ---------------- ----------------- 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 98,974 121,558 Class B 104 107 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (18,538) (27,083) Class B - (1) ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 80,540 94,581 ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 78,800 96,017 NET ASSETS BEGINNING OF PERIOD 94,999 82,086 ---------------- ----------------- NET ASSETS END OF PERIOD $ 173,799 $ 178,103 ================ ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,712 $ 2,014 ================ ================= (1)SHARE TRANSACTIONS Shares sold Class A 9,220 13,357 Class B 9 12 Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (1,706) (2,926) Class B - - ---------------- ----------------- Net increase (decrease) 7,523 10,443 - ------------------------------------------- ================ ================= (a) Period from May 2, 2005 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Mellon JNL/Mellon Capital Capital Management JNL/Lazard JNL/Lazard Management Enhanced Mid Cap Small Cap Bond Index S&P 500 Stock OPERATIONS Value Fund Value Fund Fund Index Fund ------------------- ------------------ ------------------- ------------------- Net investment income (loss) $ 303 $ (25) $ 2,116 $ 602 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 17,533 8,055 118 6,647 Foreign currency related items - - - - Futures contracts and options written - - - (19) Investment securities sold short - - - - Brokerage commission recapture 26 57 - - Net change in unrealized appreciation (depreciation) on: Investments (15,308) (10,093) 829 (11,490) Foreign currency related items - - - - Futures contracts and options written - - - (120) Investment securities sold short - - - - ------------------- ------------------ ------------------- ------------------- ------------------- ------------------ ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,554 (2,006) 3,063 (4,380) ------------------- ------------------ ------------------- ------------------- 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 54,112 39,405 46,966 10,469 Class B 132 138 110 112 Proceeds in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Cost of shares redeemed Class A (68,014) (68,241) (19,632) (129,398) Class B (4) (3) (2) (5) ------------------- ------------------ ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (13,774) (28,701) 27,442 (118,822) ------------------- ------------------ ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS (11,220) (30,707) 30,505 (123,202) NET ASSETS BEGINNING OF PERIOD 222,571 218,878 116,457 181,448 ------------------- ------------------ ------------------- ------------------- NET ASSETS END OF PERIOD $ 211,351 $ 188,171 $ 146,962 $ 58,246 =================== ================== =================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 347 $ 53 $ 5,670 $ 2,423 =================== ================== =================== =================== (1)SHARE TRANSACTIONS Shares sold Class A 3,746 2,931 4,312 1,204 Class B 9 10 10 13 Shares issued in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Shares redeemed Class A (4,773) (5,179) (1,806) (15,176) Class B - - - (1) ------------------- ------------------ ------------------- ------------------- Net increase (decrease) (1,018) (2,238) 2,516 (13,960) - --------------------------------------------------- =================== ================== =================== =================== JNL/Mellon JNL/Mellon Capital Capital Management Management International S&P 400 MidCap OPERATIONS Index Fund Index Fund ------------------ ----------------- Net investment income (loss) $ 4,169 $ 957 Net realized gain (loss) on: Distributions from investment companies - - Investments 28,943 3,172 Foreign currency related items (428) - Futures contracts and options written 590 173 Investment securities sold short - - Brokerage commission recapture - - Net change in unrealized appreciation (depreciation) on: Investments (39,348) 4,077 Foreign currency related items (225) - Futures contracts and options written (27) (91) Investment securities sold short - - ------------------ ----------------- ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (6,326) 8,288 ------------------ ----------------- 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 92,603 60,982 Class B 122 123 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (169,081) (33,416) Class B (24) (32) ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (76,380) 27,657 ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS (82,706) 35,945 NET ASSETS BEGINNING OF PERIOD 298,148 198,841 ------------------ ----------------- NET ASSETS END OF PERIOD $ 215,442 $ 234,786 ================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 7,858 $ 1,794 ================== ================= (1)SHARE TRANSACTIONS Shares sold Class A 6,828 4,628 Class B 9 9 Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (12,663) (2,553) Class B (2) (2) ------------------ ----------------- Net increase (decrease) (5,828) 2,082 - --------------------------------------------------- ================== ================= See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Mellon JNL/Mellon Capital Capital JNL/ JNL/ Management Management Oppenheimer Oppenheimer S&P 500 Index Small Cap Global Growth OPERATIONS Fund Index Fund Growth Fund Fund ------------------ ---------------- ---------------- ---------------- Net investment income (loss) $ 2,247 $ 736 $ 1,520 $ (25) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 8,897 7,751 2,979 61 Foreign currency related items - - (142) - Futures contracts and options written 75 (48) - - Investment securities sold short - - - - Brokerage commission recapture - - - - Net change in unrealized appreciation (depreciation) on: Investments (15,986) (10,108) (4,987) (249) Foreign currency related items - - (5) - Futures contracts and options written (183) 166 - - Investment securities sold short - - - - ------------------ ---------------- ---------------- ---------------- ------------------ ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (4,950) (1,503) (635) (213) ------------------ ---------------- ---------------- ---------------- 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 98,917 58,390 49,248 6,131 Class B 179 149 139 112 Proceeds in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Cost of shares redeemed Class A (94,243) (29,114) (40,659) (5,341) Class B (48) (37) (4) - ------------------ ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 4,805 29,388 8,724 902 ------------------ ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS (145) 27,885 8,089 689 NET ASSETS BEGINNING OF PERIOD 362,084 173,907 235,071 24,480 ------------------ ---------------- ---------------- ---------------- NET ASSETS END OF PERIOD $ 361,939 $ 201,792 $ 243,160 $ 25,169 ================== ================ ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 2,252 $ 1,691 $ 1,979 $ 8 ================== ================ ================ ================ (1)SHARE TRANSACTIONS Shares sold Class A 9,439 4,575 4,266 733 Class B 17 12 12 14 Shares issued in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Shares redeemed Class A (9,093) (2,289) (3,523) (646) Class B (5) (3) - - ------------------ ---------------- ---------------- ---------------- Net increase (decrease) 358 2,295 755 101 - ------------------------------------------------- ================== ================ ================ ================ JNL/PIMCO JNL/Putnam Total Return Equity OPERATIONS Bond Fund Fund --------------- --------------- Net investment income (loss) $ 5,246 $ 269 Net realized gain (loss) on: Distributions from investment companies - - Investments 431 9,490 Foreign currency related items 2,083 - Futures contracts and options written 2,418 31 Investment securities sold short 338 - Brokerage commission recapture - 32 Net change in unrealized appreciation (depreciation) on: Investments 1,290 (7,127) Foreign currency related items (357) - Futures contracts and options written 461 (2) Investment securities sold short 27 - --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 11,937 2,693 --------------- --------------- 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 138,984 35,819 Class B 122 101 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (55,763) (30,994) Class B (5) - --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 83,338 4,926 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 95,275 7,619 NET ASSETS BEGINNING OF PERIOD 390,154 149,680 --------------- --------------- NET ASSETS END OF PERIOD $ 485,429 $ 157,299 =============== =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 10,823 $ 1,532 =============== =============== (1)SHARE TRANSACTIONS Shares sold Class A 11,514 2,005 Class B 10 5 Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (4,628) (1,693) Class B - - --------------- --------------- Net increase (decrease) 6,896 317 - ------------------------------------------------- =============== =============== See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/S&P JNL/S&P JNL/Putnam JNL/Putnam Managed Managed Midcap Value Aggressive Conservative OPERATIONS Growth Fund Equity Fund Growth Fund Fund ----------------- ----------------- ------------------- ----------------- Net investment income (loss) $ (82) $ 941 $ (301) $ 40 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 2,124 12,082 15,671 (12) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commission recapture 3 20 - - Net change in unrealized appreciation (depreciation) on: Investments (2,174) (12,331) (17,493) 734 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ----------------- ------------------- ----------------- ----------------- ----------------- ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (129) 712 (2,123) 762 ----------------- ----------------- ------------------- ----------------- 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 6,885 8,656 61,492 41,227 Class B 114 100 - - Proceeds in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Cost of shares redeemed Class A (8,316) (34,958) (83,823) (3,346) Class B (2) - - - ----------------- ----------------- ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,319) (26,202) (22,331) 37,881 ----------------- ----------------- ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS (1,448) (25,490) (24,454) 38,643 NET ASSETS BEGINNING OF PERIOD 33,830 215,616 670,711 13,909 ----------------- ----------------- ------------------- ----------------- NET ASSETS END OF PERIOD $ 32,382 $ 190,126 $ 646,257 $ 52,552 ================= ================= =================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (82) $ 946 $ 2,588 $ 238 ================= ================= =================== ================= (1)SHARE TRANSACTIONS Shares sold Class A 857 502 5,298 3,991 Class B 14 6 - - Shares issued in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Shares redeemed Class A (1,045) (2,027) (7,227) (324) Class B - - - - ----------------- ----------------- ------------------- ----------------- Net increase (decrease) (174) (1,519) (1,929) 3,667 - ---------------------------------------------------- ================= ================= =================== ================= JNL/S&P JNL/S&P Managed Managed Moderate OPERATIONS Growth Fund Fund --------------- --------------- Net investment income (loss) $ (380) $ 37 Net realized gain (loss) on: Distributions from investment companies - - Investments 21,785 (140) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Brokerage commission recapture - - Net change in unrealized appreciation (depreciation) on: Investments (22,269) 1,174 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (864) 1,071 --------------- --------------- 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 108,011 69,333 Class B - - Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (108,481) (6,362) Class B - - --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (470) 62,971 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS (1,334) 64,042 NET ASSETS BEGINNING OF PERIOD 1,001,562 19,873 --------------- --------------- NET ASSETS END OF PERIOD $ 1,000,228 $ 83,915 =============== =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 3,423 $ 294 =============== =============== (1)SHARE TRANSACTIONS Shares sold Class A 9,013 6,633 Class B - - Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (9,056) (607) Class B - - --------------- --------------- Net increase (decrease) (43) 6,026 - ---------------------------------------------------- =============== =============== See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/Salomon JNL/S&P JNL/Salomon JNL/Salomon Brothers Managed Brothers Brothers U.S. Government Moderate High Yield Strategic Bond & Quality OPERATIONS Growth Fund Bond Fund Fund Bond Fund ----------------- ---------------- ---------------- ----------------- Net investment income (loss) $ (179) $ 9,909 $ 5,640 $ 3,682 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 9,037 959 2,573 189 Foreign currency related items - (7) 424 - Futures contracts and options written - - (228) 140 Investment securities sold short - - - - Brokerage commission recapture - - - - Net change in unrealized appreciation (depreciation) on: Investments (5,068) (10,498) (3,484) 1,971 Foreign currency related items - (2) 992 - Futures contracts and options written - - (212) (236) Investment securities sold short - - - - ----------------- ---------------- ---------------- ----------------- ----------------- ---------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 3,790 361 5,705 5,746 ----------------- ---------------- ---------------- ----------------- 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 178,144 69,496 94,107 39,371 Class B - 119 112 101 Proceeds in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Cost of shares redeemed Class A (68,104) (91,919) (48,794) (36,794) Class B - (2) (1) (1) ----------------- ---------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 110,040 (22,306) 45,424 2,677 ----------------- ---------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 113,830 (21,945) 51,129 8,423 NET ASSETS BEGINNING OF PERIOD 619,106 284,962 236,714 197,876 ----------------- ---------------- ---------------- ----------------- NET ASSETS END OF PERIOD $ 732,936 $ 263,017 $ 287,843 $ 206,299 ================= ================ ================ ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,775 $ 9,910 $ 6,055 $ 3,944 ================= ================ ================ ================= (1)SHARE TRANSACTIONS Shares sold Class A 15,494 8,245 8,179 3,444 Class B - 13 9 9 Shares issued in connection with acquisition Class A - - - - Class B - - - - Reinvestment of distributions Class A - - - - Class B - - - - Shares redeemed Class A (5,922) (10,926) (4,244) (3,225) Class B - - - - ----------------- ---------------- ---------------- ----------------- Net increase (decrease) 9,572 (2,668) 3,944 228 - --------------------------------------------------- ================= ================ ================ ================= JNL/Select JNL/Select Balanced Global Growth OPERATIONS Fund Fund --------------- ---------------- Net investment income (loss) $ 4,076 $ 632 Net realized gain (loss) on: Distributions from investment companies - - Investments 2,493 2,095 Foreign currency related items - (85) Futures contracts and options written (54) - Investment securities sold short - - Brokerage commission recapture 8 100 Net change in unrealized appreciation (depreciation) on: Investments (5,307) (18,130) Foreign currency related items - (4) Futures contracts and options written (15) - Investment securities sold short - - --------------- ---------------- --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 1,201 (15,392) --------------- ---------------- 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 48,264 22,553 Class B 119 102 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (50,620) (40,051) Class B (1) - --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (2,238) (17,396) --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS (1,037) (32,788) NET ASSETS BEGINNING OF PERIOD 381,338 217,953 --------------- ---------------- NET ASSETS END OF PERIOD $ 380,301 $ 185,165 =============== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 11,756 $ 1,603 =============== ================ (1)SHARE TRANSACTIONS Shares sold Class A 2,832 1,270 Class B 7 6 Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (2,968) (2,216) Class B - - --------------- ---------------- Net increase (decrease) (129) (940) - --------------------------------------------------- =============== ================ See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED JUNE 30, 2005 JNL/T.Rowe JNL/Select JNL/Select Price Large Cap Money JNL/Select Established OPERATIONS Growth Fund Market Fund Value Fund Growth Fund ----------------- ------------------ ---------------- ------------------ Net investment income (loss) $ (201) $ 2,645 $ 1,207 $ 1,018 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 5,238 - 1,414 10,417 Foreign currency related items - - - (141) Futures contracts and options written - - - - Investment securities sold short - - - - Brokerage commission recapture 26 - 6 10 Net change in unrealized appreciation (depreciation) on: Investments (11,945) - 772 (16,482) Foreign currency related items - - - (4) Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ------------------ ---------------- ------------------ ----------------- ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (6,882) 2,645 3,399 (5,182) ----------------- ------------------ ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - (2,643) - - Class B - (2) - - From net realized gains on investment transactions Class A - - - - Class B - - - - ----------------- ------------------ ---------------- ------------------ ----------------- ------------------ ---------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,645) - - ----------------- ------------------ ---------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 25,275 188,554 96,877 134,138 Class B 104 318 105 139 Proceeds in connection with acquisition Class A - - - 36,921 Class B - - - 2 Reinvestment of distributions Class A - 2,643 - - Class B - 2 - - Cost of shares redeemed Class A (97,389) (207,396) (27,832) (79,943) Class B - (15) (3) (6) ----------------- ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (72,010) (15,894) 69,147 91,251 ----------------- ------------------ ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS (78,892) (15,894) 72,546 86,069 NET ASSETS BEGINNING OF PERIOD 295,493 237,853 154,310 606,909 ----------------- ------------------ ---------------- ------------------ NET ASSETS END OF PERIOD $ 216,601 $ 221,959 $ 226,856 $ 692,978 ================= ================== ================ ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (201) $ - $ 3,087 $ 1,613 ================= ================== ================ ================== (1)SHARE TRANSACTIONS Shares sold Class A 1,347 188,554 5,793 7,558 Class B 6 318 6 8 Shares issued in connection with acquisition Class A - - - 2,153 Class B - - - - Reinvestment of distributions Class A - 2,643 - - Class B - 2 - - Shares redeemed Class A (5,182) (207,396) (1,660) (4,507) Class B - (15) - - ----------------- ------------------ ---------------- ------------------ Net increase (decrease) (3,829) (15,894) 4,139 5,212 - ----------------------------------------------------- ================= ================== ================ ================== JNL/T.Rowe JNL/T.Rowe Price Price Mid-Cap Value OPERATIONS Growth Fund Fund ---------------- --------------- Net investment income (loss) $ (1,101) $ 2,882 Net realized gain (loss) on: Distributions from investment companies - - Investments 23,383 17,040 Foreign currency related items - (18) Futures contracts and options written - - Investment securities sold short - - Brokerage commission recapture 15 3 Net change in unrealized appreciation (depreciation) on: Investments (13,979) (18,988) Foreign currency related items - (1) Futures contracts and options written - - Investment securities sold short - - ---------------- --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 8,318 918 ---------------- --------------- 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 83,783 95,917 Class B 134 113 Proceeds in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Cost of shares redeemed Class A (79,669) (86,712) Class B (4) (7) ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 4,244 9,311 ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 12,562 10,229 NET ASSETS BEGINNING OF PERIOD 541,772 485,160 ---------------- --------------- NET ASSETS END OF PERIOD $ 554,334 $ 495,389 ================ =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (1,100) $ 7,067 ================ =============== (1)SHARE TRANSACTIONS Shares sold Class A 3,090 7,107 Class B 5 8 Shares issued in connection with acquisition Class A - - Class B - - Reinvestment of distributions Class A - - Class B - - Shares redeemed Class A (2,923) (6,383) Class B - (1) ---------------- --------------- Net increase (decrease) 172 731 - ----------------------------------------------------- ================ =============== See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/AIM JNL/AIM JNL/Alger Large Cap Small Cap Growth OPERATIONS Growth Fund Growth Fund Fund ---------------- ---------------- ---------------- Net investment income (loss) $ 116 $ (413) $ 280 Net realized gain (loss) on: Distributions from investment companies - - - Investments (3,624) 1,195 22,738 Foreign currency related items - - - Futures contracts and options written - 130 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 18,229 1,253 (9,659) Foreign currency related items - - - Futures contracts and options written - (15) - Investment securities sold short - - - ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 14,721 2,150 13,359 ---------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - (28) Class B (a) - - - From net realized gains on investment transactions Class A - - - Class B (a) - - - ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (28) ---------------- ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 170,328 29,532 122,987 Class B (a) 24 7 7 Proceeds in connection with acquisition Class A 11,871 - - Class B (a) - - - Reinvestment of distributions Class A - - 28 Class B (a) - - - Cost of shares redeemed Class A (42,337) (31,264) (88,375) Class B (a) (1) - - ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 139,885 (1,725) 34,647 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 154,606 425 47,978 NET ASSETS BEGINNING OF PERIOD 36,421 43,940 244,667 ---------------- ---------------- ---------------- NET ASSETS END OF PERIOD $ 191,027 $ 44,365 $ 292,645 ================ ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 116 $ - $ 252 ================ ================ ================ (1)SHARE TRANSACTIONS Shares sold Class A 15,712 2,517 8,328 Class B (a) 2 1 - Shares issued in connection with acquisition Class A 1,110 - - Class B (a) - - - Reinvestment of distributions Class A - - 2 Class B (a) - - - Shares redeemed Class A (3,893) (2,723) (6,030) Class B (a) (1) - - ---------------- ---------------- ---------------- Net increase (decrease) 12,930 (205) 2,300 - ------------------------------------------------------ ================ ================ ================ JNL/Eagle JNL/Eagle Core Equity SmallCap OPERATIONS Fund Equity Fund ---------------- ---------------- Net investment income (loss) $ 2,532 $ (1,024) Net realized gain (loss) on: Distributions from investment companies - - Investments 14,843 7,093 Foreign currency related items (3) - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 4,014 17,961 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ---------------- ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 21,386 24,030 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (2,504) - Class B (a) - - From net realized gains on investment transactions Class A - - Class B (a) - - ---------------- ---------------- ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,504) - ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 150,677 83,436 Class B (a) 19 7 Proceeds in connection with acquisition Class A 13,508 - Class B (a) - - Reinvestment of distributions Class A 2,504 - Class B (a) - - Cost of shares redeemed Class A (73,504) (47,691) Class B (a) (1) (1) ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 93,203 35,751 ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 112,085 59,781 NET ASSETS BEGINNING OF PERIOD 245,913 109,972 ---------------- ---------------- NET ASSETS END OF PERIOD $ 357,998 $ 169,753 ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 60 $ - ================ ================ (1)SHARE TRANSACTIONS Shares sold Class A 10,672 4,660 Class B (a) 1 - Shares issued in connection with acquisition Class A 973 - Class B (a) - - Reinvestment of distributions Class A 168 - Class B (a) - - Shares redeemed Class A (5,242) (2,701) Class B (a) - - ---------------- ---------------- Net increase (decrease) 6,572 1,959 - ------------------------------------------------------ ================ ================ (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/FMR JNL/FMR JNL/JPMorgan JNL/JPMorgan Balanced Capital International International OPERATIONS Fund Growth Fund Equity Fund Value Fund ------------------ ---------------- ------------------ ------------------ Net investment income (loss) $ 1,249 $ 620 $ 878 $ 585 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 9,555 33,057 10,146 4,102 Foreign currency related items (23) (23) 391 147 Futures contracts and options written - 303 - 207 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (1,505) (4,986) 1,662 7,544 Foreign currency related items 1 - 144 (65) Futures contracts and options written - - - (85) Investment securities sold short - - - - ------------------ ---------------- ------------------ ------------------ ------------------ ---------------- ------------------ ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 9,277 28,971 13,221 12,435 ------------------ ---------------- ------------------ ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (1,265) - (1,170) (713) Class B (a) - - - - From net realized gains on investment transactions Class A - - - (5) Class B (a) - - - - ------------------ ---------------- ------------------ ------------------ ------------------ ---------------- ------------------ ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,265) - (1,170) (718) ------------------ ---------------- ------------------ ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 32,843 72,402 28,336 63,170 Class B (a) 2 3 1 5 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 1,265 - 1,170 718 Class B (a) - - - - Cost of shares redeemed Class A (51,818) (48,984) (43,370) (23,133) Class B (a) - - - - ------------------ ---------------- ------------------ ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (17,708) 23,421 (13,863) 40,760 ------------------ ---------------- ------------------ ------------------ NET INCREASE (DECREASE) IN NET ASSETS (9,696) 52,392 (1,812) 52,477 NET ASSETS BEGINNING OF PERIOD 114,262 158,013 96,811 29,609 ------------------ ---------------- ------------------ ------------------ NET ASSETS END OF PERIOD $ 104,566 $ 210,405 $ 94,999 $ 82,086 ================== ================ ================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 11 $ 597 $ 153 $ 139 ================== ================ ================== ================== (1)SHARE TRANSACTIONS Shares sold Class A 3,493 5,085 2,863 7,739 Class B (a) - - - 1 Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 127 - 108 78 Class B (a) - - - - Shares redeemed Class A (5,517) (3,560) (4,437) (2,853) Class B (a) - - - - ------------------ ---------------- ------------------ ------------------ Net increase (decrease) (1,897) 1,525 (1,466) 4,965 - --------------------------------------------------- ================== ================ ================== ================== JNL/Lazard JNL/Lazard Mid Cap Small Cap OPERATIONS Value Fund Value Fund ----------------- ---------------- Net investment income (loss) $ 336 $ (339) Net realized gain (loss) on: Distributions from investment companies - - Investments 28,927 25,739 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 9,700 1,450 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ----------------- ---------------- ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 38,963 26,850 ----------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (281) (90) Class B (a) - - From net realized gains on investment transactions Class A (23,036) (17,961) Class B (a) (3) (2) ----------------- ---------------- ----------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (23,320) (18,053) ----------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 128,729 109,731 Class B (a) 39 34 Proceeds in connection with acquisition Class A - - Class B (a) - - Reinvestment of distributions Class A 23,317 18,051 Class B (a) 3 2 Cost of shares redeemed Class A (87,946) (72,919) Class B (a) (12) (9) ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 64,130 54,890 ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 79,773 63,687 NET ASSETS BEGINNING OF PERIOD 142,798 155,191 ----------------- ---------------- NET ASSETS END OF PERIOD $ 222,571 $ 218,878 ================= ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 44 $ 78 ================= ================ (1)SHARE TRANSACTIONS Shares sold Class A 8,914 8,047 Class B (a) 3 3 Shares issued in connection with acquisition Class A - - Class B (a) - - Reinvestment of distributions Class A 1,609 1,311 Class B (a) - - Shares redeemed Class A (6,201) (5,408) Class B (a) (1) (1) ----------------- ---------------- Net increase (decrease) 4,324 3,952 - --------------------------------------------------- ================= ================ (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/Mellon JNL/Mellon Capital JNL/Mellon JNL/Mellon Capital Management Capital Capital Management Enhanced Management Management Bond Index S&P 500 Stock International S&P 400 MidCap OPERATIONS Fund Index Fund Index Fund Index Fund ----------------- ------------------ ----------------- ----------------- Net investment income (loss) $ 3,850 $ 1,825 $ 3,608 $ 838 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 973 8,335 1,067 3,458 Foreign currency related items - - 208 - Futures contracts and options written 12 542 1,340 991 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 50 7,695 36,881 18,174 Foreign currency related items - - 22 - Futures contracts and options written (4) 42 (39) 116 Investment securities sold short - - - - ----------------- ------------------ ----------------- ----------------- ----------------- ------------------ ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 4,881 18,439 43,087 23,577 ----------------- ------------------ ----------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (326) (485) (245) (10) Class B (a) - - - - From net realized gains on investment transactions Class A (9) - - - Class B (a) - - - - ----------------- ------------------ ----------------- ----------------- ----------------- ------------------ ----------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (335) (485) (245) (10) ----------------- ------------------ ----------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 107,284 142,564 211,498 136,125 Class B (a) 33 30 80 140 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 335 485 245 10 Class B (a) - - - - Cost of shares redeemed Class A (79,272) (68,626) (53,605) (42,016) Class B (a) (16) (27) (38) (62) ----------------- ------------------ ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 28,364 74,426 158,180 94,197 ----------------- ------------------ ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 32,910 92,380 201,022 117,764 NET ASSETS BEGINNING OF PERIOD 83,547 89,068 97,126 81,077 ----------------- ------------------ ----------------- ----------------- NET ASSETS END OF PERIOD $ 116,457 $ 181,448 $ 298,148 $ 198,841 ================= ================== ================= ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 3,554 $ 1,821 $ 3,689 $ 837 ================= ================== ================= ================= (1)SHARE TRANSACTIONS Shares sold Class A 10,111 17,692 17,736 11,403 Class B (a) 3 4 7 12 Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 31 55 18 1 Class B (a) - - - - Shares redeemed Class A (7,369) (8,367) (4,424) (3,506) Class B (a) (1) (3) (3) (5) ----------------- ------------------ ----------------- ----------------- Net increase (decrease) 2,775 9,381 13,334 7,905 - ---------------------------------------------------- ================= ================== ================= ================= JNL/Mellon JNL/Mellon Capital Capital Management Management S&P 500 Index Small Cap OPERATIONS Fund Index Fund ---------------- ------------- Net investment income (loss) $ 4,046 $ 957 Net realized gain (loss) on: Distributions from investment companies - - Investments 1,245 4,377 Foreign currency related items - - Futures contracts and options written 776 797 Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 24,421 16,683 Foreign currency related items - - Futures contracts and options written 66 (65) Investment securities sold short - - ---------------- ------------- ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 30,554 22,749 ---------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (4,035) (6) Class B (a) (2) - From net realized gains on investment transactions Class A (1,593) (333) Class B (a) (1) - ---------------- ------------- ---------------- ------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,631) (339) ---------------- ------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 237,627 117,624 Class B (a) 368 119 Proceeds in connection with acquisition Class A - - Class B (a) - - Reinvestment of distributions Class A 5,628 339 Class B (a) 3 - Cost of shares redeemed Class A (96,656) (42,669) Class B (a) (147) (46) ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 146,823 75,367 ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS 171,746 97,777 NET ASSETS BEGINNING OF PERIOD 190,338 76,130 ---------------- ------------- NET ASSETS END OF PERIOD $ 362,084 $ 173,907 ================ ============= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 5 $ 955 ================ ============= (1)SHARE TRANSACTIONS Shares sold Class A 23,634 9,830 Class B (a) 37 10 Shares issued in connection with acquisition Class A - - Class B (a) - - Reinvestment of distributions Class A 528 25 Class B (a) - - Shares redeemed Class A (9,586) (3,562) Class B (a) (15) (4) ---------------- ------------- Net increase (decrease) 14,598 6,299 - ---------------------------------------------------- ================ ============= (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/ JNL/ Oppenheimer Oppenheimer JNL/PIMCO JNL/Putnam Global Growth Total Return Equity OPERATIONS Growth Fund Fund Bond Fund Fund ---------------- ----------------- ---------------- ---------------- Net investment income (loss) $ 909 $ 33 $ 6,399 $ 1,436 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 6,780 2,602 4,919 15,766 Foreign currency related items (422) - (359) 1 Futures contracts and options written - (26) 7,007 30 Investment securities sold short - - (131) - Net change in unrealized appreciation (depreciation) on: Investments 24,160 (1,646) 1,074 847 Foreign currency related items 17 - (100) - Futures contracts and options written - - (1,935) 2 Investment securities sold short - - 23 - ---------------- ----------------- ---------------- ---------------- ---------------- ----------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 31,444 963 16,897 18,082 ---------------- ----------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (288) - (6,169) (860) Class B (a) - - - - From net realized gains on investment transactions Class A - - (4,007) - Class B (a) - - - - ---------------- ----------------- ---------------- ---------------- ---------------- ----------------- ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (288) - (10,176) (860) ---------------- ----------------- ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 143,594 16,812 224,183 12,647 Class B (a) 30 1 34 10 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 288 - 10,176 860 Class B (a) - - - - Cost of shares redeemed Class A (44,613) (26,289) (168,257) (45,986) Class B (a) (9) - (4) - ---------------- ----------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 99,290 (9,476) 66,132 (32,469) ---------------- ----------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 130,446 (8,513) 72,853 (15,247) NET ASSETS BEGINNING OF PERIOD 104,625 32,993 317,301 164,927 ---------------- ----------------- ---------------- ---------------- NET ASSETS END OF PERIOD $ 235,071 $ 24,480 $ 390,154 $ 149,680 ================ ================= ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 459 $ 33 $ 5,577 $ 1,263 ================ ================= ================ ================ (1)SHARE TRANSACTIONS Shares sold Class A 13,623 2,019 18,764 747 Class B (a) 3 - 3 1 Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 24 - 851 46 Class B (a) - - - - Shares redeemed Class A (4,264) (3,169) (13,992) (2,712) Class B (a) (1) - - - ---------------- ----------------- ---------------- ---------------- Net increase (decrease) 9,385 (1,150) 5,626 (1,918) - ---------------------------------------------------- ================ ================= ================ ================ JNL/S&P JNL/Putnam JNL/Putnam Managed Midcap Value Aggressive OPERATIONS Growth Fund Equity Fund Growth Fund --------------- -------------- ------------- Net investment income (loss) $ (188) $ 2,941 $ 1,244 Net realized gain (loss) on: Distributions from investment companies - - 6,492 Investments 4,145 22,541 16,138 Foreign currency related items - 1 - Futures contracts and options written - 13 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 1,351 (4,851) 38,808 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - --------------- -------------- ------------- --------------- -------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 5,308 20,645 62,682 --------------- -------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - (2,931) (698) Class B (a) - - - From net realized gains on investment transactions Class A - - - Class B (a) - - - --------------- -------------- ------------- --------------- -------------- ------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,931) (698) --------------- -------------- ------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 12,922 39,785 97,900 Class B (a) 1 1 - Proceeds in connection with acquisition Class A - - 411,703 Class B (a) - - - Reinvestment of distributions Class A - 2,931 698 Class B (a) - - - Cost of shares redeemed Class A (13,310) (154,547) (65,590) Class B (a) - - - --------------- -------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (387) (111,830) 444,711 --------------- -------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS 4,921 (94,116) 506,695 NET ASSETS BEGINNING OF PERIOD 28,909 309,732 164,016 --------------- -------------- ------------- NET ASSETS END OF PERIOD $ 33,830 $ 215,616 $ 670,711 =============== ============== ============= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ 5 $ 2,889 =============== ============== ============= (1)SHARE TRANSACTIONS Shares sold Class A 1,812 2,421 8,941 Class B (a) - - - Shares issued in connection with acquisition Class A - - 37,808 Class B (a) - - - Reinvestment of distributions Class A - 168 59 Class B (a) - - - Shares redeemed Class A (1,873) (9,466) (5,934) Class B (a) - - - --------------- -------------- ------------- Net increase (decrease) (61) (6,877) 40,874 - ---------------------------------------------------- =============== ============== ============= (a) Period from March 5, 2004 (commencement of operations) (b) Period from October 4, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/S&P JNL/S&P JNL/S&P Managed JNL/S&P Managed Managed Conservative Managed Moderate Moderate OPERATIONS Fund (b) Growth Fund Fund (b) Growth Fund ----------------- ---------------- --------------- ----------------- Net investment income (loss) $ 184 $ 5,403 $ 206 $ 6,116 Net realized gain (loss) on: Distributions from investment companies 66 10,089 160 5,424 Investments 19 25,661 2 8,859 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (21) 56,336 97 31,922 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ---------------- --------------- ----------------- ----------------- ---------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 248 97,489 465 52,321 ----------------- ---------------- --------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - (5,127) - (5,827) Class B (a) - - - - From net realized gains on investment transactions Class A - (3,197) - (8,768) Class B (a) - - - - ----------------- ---------------- --------------- ----------------- ----------------- ---------------- --------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (8,324) - (14,595) ----------------- ---------------- --------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 16,695 345,735 21,057 236,773 Class B (a) - - - - Proceeds in connection with acquisition Class A - 94,807 - 30,405 Class B (a) - - - - Reinvestment of distributions Class A - 8,324 - 14,595 Class B (a) - - - - Cost of shares redeemed Class A (3,034) (146,356) (1,649) (102,715) Class B (a) - - - - ----------------- ---------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 13,661 302,510 19,408 179,058 ----------------- ---------------- --------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 13,909 391,675 19,873 216,784 NET ASSETS BEGINNING OF PERIOD - 609,887 - 402,322 ----------------- ---------------- --------------- ----------------- NET ASSETS END OF PERIOD $ 13,909 $ 1,001,562 $ 19,873 $ 619,106 ================= ================ =============== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 198 $ 3,803 $ 257 $ 1,954 ================= ================ =============== ================= (1)SHARE TRANSACTIONS Shares sold Class A 1,640 30,585 2,046 21,305 Class B (a) - - - - Shares issued in connection with acquisition Class A - 8,435 - 2,792 Class B (a) - - - - Reinvestment of distributions Class A - 684 - 1,256 Class B (a) - - - - Shares redeemed Class A (297) (12,896) (160) (9,204) Class B (a) - - - - ----------------- ---------------- --------------- ----------------- Net increase (decrease) 1,343 26,808 1,886 16,149 - --------------------------------------------------- ================= ================ =============== ================= 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) $ 5,777 $ 10,694 $ 8,732 Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,241 6,073 2,585 Foreign currency related items - (1,127) - Futures contracts and options written - (808) (131) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,150) 473 (2,189) Foreign currency related items - 265 - Futures contracts and options written - 336 (34) Investment securities sold short - - - ---------------- --------------- ---------------- ---------------- --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 9,868 15,906 8,963 ---------------- --------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (5,803) (10,205) (8,854) Class B (a) - - - From net realized gains on investment transactions Class A (67) (3,552) (1,100) Class B (a) - - - ---------------- --------------- ---------------- ---------------- --------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,870) (13,757) (9,954) ---------------- --------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 58,220 121,437 67,434 Class B (a) 9 8 17 Proceeds in connection with acquisition Class A 287,129 - - Class B (a) 4 - - Reinvestment of distributions Class A 5,870 13,757 9,954 Class B (a) - - - Cost of shares redeemed Class A (89,732) (98,560) (135,808) Class B (a) - - (4) ---------------- --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 261,500 36,642 (58,407) ---------------- --------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 265,498 38,791 (59,398) NET ASSETS BEGINNING OF PERIOD 19,464 197,923 257,274 ---------------- --------------- ---------------- NET ASSETS END OF PERIOD $ 284,962 $ 236,714 $ 197,876 ================ =============== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1 $ 415 $ 262 ================ =============== ================ (1)SHARE TRANSACTIONS Shares sold Class A 6,860 10,471 5,809 Class B (a) 1 1 1 Shares issued in connection with acquisition Class A 34,108 - - Class B (a) 1 - - Reinvestment of distributions Class A 691 1,201 881 Class B (a) - - - Shares redeemed Class A (10,588) (8,394) (11,625) Class B (a) - - - ---------------- --------------- ---------------- Net increase (decrease) 31,073 3,279 (4,934) - --------------------------------------------------- ================ =============== ================ (a) Period from March 5, 2004 (commencement of operations) (b) Period from October 4, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/Select JNL/Select JNL/Select JNL/Select Balanced Global Growth Large Cap Money JNL/Select OPERATIONS Fund Fund Growth Fund Market Fund Value Fund -------------- --------------- -------------- ------------- -------------- Net investment income (loss) $ 8,003 $ 1,121 $ (244) $ 1,600 $ 1,880 Net realized gain (loss) on: Distributions from investment companies - - - - - Investments 40,347 22,281 55,795 - 14,763 Foreign currency related items - (134) 23 - - Futures contracts and options written - - - - - Investment securities sold short - - - - - Net change in unrealized appreciation (depreciation) on: Investments (12,607) (1,509) (26,108) - 2,121 Foreign currency related items - (4) - - - Futures contracts and options written - - - - - Investment securities sold short - - - - - -------------- --------------- -------------- ------------- -------------- -------------- --------------- -------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 35,743 21,755 29,466 1,600 18,764 -------------- --------------- -------------- ------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (375) - - (1,600) (523) Class B (a) - - - - - From net realized gains on investment transactions Class A (2,289) - - - (945) Class B (a) - - - - - -------------- --------------- -------------- ------------- -------------- -------------- --------------- -------------- ------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,664) - - (1,600) (1,468) -------------- --------------- -------------- ------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 115,366 55,430 96,877 358,200 136,824 Class B (a) 24 1 2 223 26 Proceeds in connection with acquisition Class A 12,867 - - - - Class B (a) - - - - - Reinvestment of distributions Class A 2,664 - - 1,600 1,468 Class B (a) - - - - - Cost of shares redeemed Class A (86,551) (56,521) (88,704) (306,425) (55,834) Class B (a) (3) - - (185) (2) -------------- --------------- -------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 44,367 (1,090) 8,175 53,413 82,482 -------------- --------------- -------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 77,446 20,665 37,641 53,413 99,778 NET ASSETS BEGINNING OF PERIOD 303,892 197,288 257,852 184,440 54,532 -------------- --------------- -------------- ------------- -------------- NET ASSETS END OF PERIOD $ 381,338 $ 217,953 $ 295,493 $ 237,853 $ 154,310 ============== =============== ============== ============= ============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 7,680 $ 971 $ - $ - $ 1,880 ============== =============== ============== ============= ============== (1)SHARE TRANSACTIONS Shares sold Class A 7,193 3,079 5,224 358,200 9,004 Class B (a) 1 - - 223 2 Shares issued in connection with acquisition Class A 785 - - - - Class B (a) - - - - - Reinvestment of distributions Class A 156 - - 1,600 88 Class B (a) - - - - - Shares redeemed Class A (5,405) (3,169) (4,834) (306,425) (3,569) Class B (a) - - - (185) - -------------- --------------- -------------- ------------- -------------- Net increase (decrease) 2,730 (90) 390 53,413 5,525 - ---------------------------------------------------- ============== =============== ============== ============= ============== 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) $ 2,749 $ (2,539) $ 4,234 Net realized gain (loss) on: Distributions from investment companies - - - Investments 25,585 29,158 16,880 Foreign currency related items (308) (4) (50) Futures contracts and options written (73) (126) - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 25,569 53,310 40,958 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------- -------------- ------------- ------------- -------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 53,522 79,799 62,022 ------------- -------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (2,214) - (2,908) Class B (a) - - - From net realized gains on investment transactions Class A - (27,626) - Class B (a) - (2) - ------------- -------------- ------------- ------------- -------------- ------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,214) (27,628) (2,908) ------------- -------------- ------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 210,635 207,599 217,772 Class B (a) 24 30 42 Proceeds in connection with acquisition Class A - - - Class B (a) - - - Reinvestment of distributions Class A 2,214 27,626 2,908 Class B (a) - 2 - Cost of shares redeemed Class A (131,316) (125,195) (199,137) Class B (a) (2) (2) (9) ------------- -------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 81,555 110,060 21,576 ------------- -------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS 132,863 162,231 80,690 NET ASSETS BEGINNING OF PERIOD 474,046 379,541 404,470 ------------- -------------- ------------- NET ASSETS END OF PERIOD $ 606,909 $ 541,772 $ 485,160 ============= ============== ============= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 595 $ 1 $ 4,185 ============= ============== ============= (1)SHARE TRANSACTIONS Shares sold Class A 12,401 8,018 17,614 Class B (a) 1 1 3 Shares issued in connection with acquisition Class A - - - Class B (a) - - - Reinvestment of distributions Class A 121 998 214 Class B (a) - - - Shares redeemed Class A (7,725) (4,827) (16,196) Class B (a) - - - ------------- -------------- ------------- Net increase (decrease) 4,798 4,190 1,635 - ---------------------------------------------------- ============= ============== ============= (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations -------------------------------------------- Distributions from Net Asset -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM LARGE CAP GROWTH FUND Class A 6/30/2005 $ 11.67 $ - $ (0.11) $ - $ - $ - $ 11.56 12/31/2004 10.61 0.01 1.05 1.06 - - 11.67 12/31/2003 8.16 (0.02) 2.47 2.45 - - 10.61 12/31/2002 10.97 (0.03) (2.76) (2.79) - (0.02) 8.16 10/29(a)-12/31/01 10.00 - 0.97 0.97 - - 10.97 Class B 6/30/2005 11.69 (0.03) (0.07) (0.10) - - 11.59 03/05(a)-12/31/04 10.99 0.02 0.68 0.70 - - 11.69 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM REAL ESTATE FUND Class A 05/02(a)-06/30/05 10.00 0.05 0.73 0.78 - - 10.78 Class B 05/02(a)-06/30/05 10.00 0.05 0.73 0.78 - - 10.78 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM SMALL CAP GROWTH FUND Class A 6/30/2005 12.47 (0.05) 0.29 0.24 - - 12.71 12/31/2004 11.67 (0.12) 0.92 0.80 - - 12.47 12/31/2003 8.43 (0.05) 3.29 3.24 - - 11.67 12/31/2002 11.60 (0.07) (3.10) (3.17) - - 8.43 10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - - 11.60 Class B 06/30/05 12.48 0.01 0.26 0.27 - - 12.75 03/05(a)-12/31/04 12.21 (0.02) 0.29 0.27 - - 12.48 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/ALGER GROWTH FUND Class A 6/30/2005 15.50 0.02 0.18 0.20 - - 15.70 12/31/2004 14.76 0.01 0.73 0.74 - - 15.50 12/31/2003 10.91 (0.03) 3.88 3.85 - - 14.76 12/31/2002 16.33 (0.04) (5.38) (5.42) - - 10.91 12/31/2001 18.58 (0.04) (2.18) (2.22) - (0.03) 16.33 12/31/2000 22.91 (0.01) (3.08) (3.09) - (1.24) 18.58 Class B 6/30/2005 15.50 0.01 0.21 0.22 - - 15.72 03/05(a)-12/31/04 15.41 0.04 0.09 0.13 (0.04) - 15.50 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly ------------------------------- Supplemental Data ------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM LARGE CAP GROWTH FUND Class A 6/30/2005 (0.94)% $ 323,211 48.10% 1.02 % 0.18 % n/a % n/a % 12/31/2004 9.99 191,003 96.49 1.07 0.09 1.10 0.06 12/31/2003 30.02 36,421 140.00 1.10 (0.41) 1.18 (0.49) 12/31/2002 (25.47) 6,857 180.06 1.10 (0.33) 1.15 (0.38) 10/29(a)-12/31/01 9.70 6,058 14.93 1.10 (0.26) 1.32 (0.48) Class B 6/30/2005 (0.86) 161 48.10 0.82 0.41 n/a n/a 03/05(a)-12/31/04 6.37 24 96.49 0.86 0.55 0.90 0.52 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM REAL ESTATE FUND Class A 05/02(a)-06/30/05 7.80 55,494 7.12 1.04 3.64 n/a n/a Class B 05/02(a)-06/30/05 7.80 108 7.12 0.85 3.70 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM SMALL CAP GROWTH FUND Class A 6/30/2005 1.92 46,503 35.70 1.16 (0.77) n/a n/a 12/31/2004 6.86 44,358 92.65 1.16 (0.92) 1.18 (0.94) 12/31/2003 38.43 43,940 30.17 1.15 (0.89) 1.19 (0.93) 12/31/2002 (27.32) 12,915 46.22 1.15 (0.83) 1.17 (0.85) 10/29(a)-12/31/01 16.00 7,665 3.86 1.15 (0.74) 1.24 (0.83) Class B 06/30/05 2.16 134 35.70 0.96 (0.56) n/a n/a 03/05(a)-12/31/04 2.21 7 92.65 0.96 (0.68) 0.98 (0.70) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/ALGER GROWTH FUND Class A 6/30/2005 1.29 231,218 137.54 1.01 0.14 n/a n/a 12/31/2004 5.02 292,638 195.33 1.04 0.11 1.11 0.04 12/31/2003 35.29 244,667 168.09 1.08 (0.27) 1.15 (0.34) 12/31/2002 (33.19) 175,439 236.63 1.08 (0.25) n/a n/a 12/31/2001 (11.97) 341,162 86.80 1.07 (0.23) n/a n/a 12/31/2000 (13.44) 459,577 88.34 1.07 (0.03) n/a n/a Class B 6/30/2005 1.42 113 137.54 0.82 0.43 n/a n/a 03/05(a)-12/31/04 0.82 7 195.33 0.79 0.88 0.86 0.81 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ (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 -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/EAGLE CORE EQUITY FUND Class A 6/30/2005 $ 14.96 $ 0.06 $ (0.42) $ (0.36) $ - $ - $ 14.60 12/31/2004 14.17 0.11 0.79 0.90 (0.11) - 14.96 12/31/2003 11.45 0.09 2.72 2.81 (0.09) - 14.17 12/31/2002 14.53 0.10 (3.08) (2.98) (0.10) - 11.45 12/31/2001 16.21 0.07 (1.67) (1.60) (0.07) (0.01) 14.53 12/31/2000 18.47 0.08 (0.08) - (0.09) (2.17) 16.21 Class B 6/30/2005 15.02 - (0.35) (0.35) - - 14.67 03/05(a)-12/31/04 14.68 0.07 0.34 0.41 (0.07) - 15.02 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/EAGLE SMALLCAP EQUITY FUND Class A 6/30/2005 19.97 (0.07) (0.27) (0.34) - - 19.63 12/31/2004 16.81 (0.12) 3.28 3.16 - - 19.97 12/31/2003 12.01 (0.10) 4.90 4.80 - - 16.81 12/31/2002 15.55 (0.08) (3.46) (3.54) - - 12.01 12/31/2001 14.20 (0.41) 1.97 1.56 - (0.21) 15.55 12/31/2000 16.97 (0.04) (2.23) (2.27) - (0.50) 14.20 Class B 6/30/2005 20.02 0.04 (0.36) (0.32) - - 19.70 03/05(a)-12/31/04 18.33 (0.04) 1.73 1.69 - - 20.02 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/FMR BALANCED FUND Class A 6/30/2005 10.02 0.06 0.17 0.23 - - 10.25 12/31/2004 9.27 0.12 0.75 0.87 (0.12) - 10.02 12/31/2003 8.26 0.12 1.01 1.13 (0.12) - 9.27 12/31/2002 9.05 0.20 (0.80) (0.60) (0.19) - 8.26 12/31/2001 9.69 0.21 (0.65) (0.44) (0.20) - 9.05 05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11) - 9.69 Class B 6/30/2005 10.10 0.03 0.21 0.24 - - 10.34 03/05(a)-12/31/04 9.52 0.06 0.58 0.64 (0.06) - 10.10 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/FMR CAPITAL GROWTH FUND Class A 6/30/2005 15.67 (0.01) (0.49) (0.50) - - 15.17 12/31/2004 13.28 0.05 2.34 2.39 - - 15.67 12/31/2003 9.79 (0.06) 3.55 3.49 - - 13.28 12/31/2002 13.83 (0.07) (3.97) (4.04) - - 9.79 12/31/2001 23.55 (0.11) (9.35) (9.46) - (0.26) 13.83 12/31/2000 43.62 (0.20) (14.90) (15.10) - (4.97) 23.55 Class B 6/30/2005 15.70 (0.10) (0.39) (0.49) - - 15.21 03/05(a)-12/31/04 13.97 0.05 1.68 1.73 - - 15.70 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/EAGLE CORE EQUITY FUND Class A 6/30/2005 (2.41)% $ 274,352 53.37% 0.96 % 0.72 % n/a % n/a % 12/31/2004 6.32 357,978 100.79 0.96 0.85 1.00 0.81 12/31/2003 24.54 245,913 80.50 0.97 0.83 1.01 0.79 12/31/2002 (20.53) 149,242 94.37 0.97 0.78 1.00 0.75 12/31/2001 (9.83) 174,813 102.56 0.97 0.58 0.99 0.56 12/31/2000 0.28 146,888 192.40 0.97 0.57 n/a n/a Class B 6/30/2005 (2.33) 123 53.37 0.77 0.85 n/a n/a 03/05(a)-12/31/04 2.81 20 100.79 0.76 1.33 0.80 1.29 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/EAGLE SMALLCAP EQUITY FUND Class A 6/30/2005 (1.70) 159,171 32.72 1.06 (0.74) n/a n/a 12/31/2004 18.80 169,746 53.14 1.06 (0.76) 1.07 (0.77) 12/31/2003 39.97 109,972 70.06 1.05 (0.75) 1.10 (0.80) 12/31/2002 (22.77) 76,198 71.45 1.05 (0.49) 1.08 (0.52) 12/31/2001 11.00 112,967 65.36 1.05 (0.31) 1.07 (0.33) 12/31/2000 (13.25) 77,200 89.43 1.05 (0.30) n/a n/a Class B 6/30/2005 (1.60) 115 32.72 0.86 (0.69) n/a n/a 03/05(a)-12/31/04 9.22 7 53.14 0.84 (0.53) 0.86 (0.55) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/FMR BALANCED FUND Class A 6/30/2005 2.30 114,048 46.19 1.01 1.18 n/a n/a 12/31/2004 9.42 104,564 163.88 1.03 1.25 1.04 1.24 12/31/2003 13.73 114,262 60.48 1.05 1.64 1.07 1.62 12/31/2002 (6.57) 75,591 90.71 1.05 2.11 1.07 2.09 12/31/2001 (4.49) 72,281 105.66 1.05 2.48 1.06 2.47 05/01(a)-12/31/00 (2.00) 44,294 41.10 1.05 2.42 n/a n/a Class B 6/30/2005 2.38 113 46.19 0.81 1.41 n/a n/a 03/05(a)-12/31/04 6.78 2 163.88 0.77 1.38 0.78 1.37 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/FMR CAPITAL GROWTH FUND Class A 6/30/2005 (3.19) 205,621 77.98 1.01 (0.09) n/a n/a 12/31/2004 18.00 210,402 231.52 1.02 0.39 1.04 0.37 12/31/2003 35.65 158,013 31.95 1.05 (0.51) 1.07 (0.53) 12/31/2002 (29.21) 135,669 56.03 1.04 (0.51) 1.09 (0.56) 12/31/2001 (40.19) 260,726 96.69 1.01 (0.61) 1.03 (0.63) 12/31/2000 (34.74) 496,830 110.81 0.99 (0.67) n/a n/a Class B 6/30/2005 (3.12) 107 77.98 0.81 0.17 n/a n/a 03/05(a)-12/31/04 12.38 3 231.52 0.78 0.97 0.80 0.95 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ (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 -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/FRANKLIN TEMPLETON SMALL CAP VALUE FUND Class A 05/02(a)-06/30/05 $ 10.00 $ - $ 0.50 $ 0.50 $ - $ - $ 10.50 Class B 05/02(a)-06/30/05 10.00 0.01 0.49 0.50 - - 10.50 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/GOLDMAN SACHS MID CAP VALUE FUND Class A 05/02(a)-06/30/05 10.00 0.02 0.72 0.74 - - 10.74 Class B 05/02(a)-06/30/05 10.00 0.03 0.71 0.74 - - 10.74 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/JPMORGAN INTERNATIONAL EQUITY FUND Class A 6/30/2005 11.04 0.09 (0.36) (0.27) - - 10.77 12/31/2004 9.61 0.10 1.47 1.57 (0.14) - 11.04 12/31/2003 7.59 0.10 2.06 2.16 (0.14) - 9.61 12/31/2002 9.66 0.08 (2.07) (1.99) (0.08) - 7.59 12/31/2001 12.23 0.08 (2.56) (2.48) (0.07) (0.02) 9.66 12/31/2000 16.79 0.08 (2.49) (2.41) (0.01) (2.14) 12.23 Class B 6/30/2005 11.06 0.17 (0.42) (0.25) - - 10.81 03/05(a)-12/31/04 10.11 0.09 0.99 1.08 (0.13) - 11.06 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 6/30/2005 9.29 0.09 (0.14) (0.05) - - 9.24 12/31/2004 7.65 0.07 1.65 1.72 (0.08) - 9.29 12/31/2003 5.56 - 2.19 2.19 (0.10) - 7.65 12/31/2002 7.75 0.07 (2.13) (2.06) (0.13) - 5.56 12/31/2001 9.79 0.09 (2.08) (1.99) (0.04) (0.01) 7.75 12/31/2000 13.15 0.04 (2.10) (2.06) (0.06) (1.24) 9.79 Class B 6/30/2005 9.37 0.09 (0.12) (0.03) - - 9.34 03/05(a)-12/31/04 8.17 0.03 1.18 1.21 (0.01) - 9.37 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/LAZARD MID CAP VALUE FUND Class A 6/30/2005 14.66 (3.91) 4.18 0.27 - - 14.93 12/31/2004 13.16 0.02 3.21 3.23 (0.02) (1.71) 14.66 12/31/2003 10.23 0.04 2.92 2.96 (0.03) - 13.16 12/31/2002 11.97 0.03 (1.72) (1.69) (0.03) (0.02) 10.23 12/31/2001 11.75 0.06 1.50 1.56 (0.06) (1.28) 11.97 12/31/2000 9.63 0.03 2.40 2.43 (0.03) (0.28) 11.75 Class B 6/30/2005 14.70 0.02 0.26 0.28 - - 14.98 03/05(a)-12/31/04 14.28 0.02 2.13 2.15 (0.02) (1.71) 14.70 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/FRANKLIN TEMPLETON SMALL CAP VALUE FUND Class A 05/02(a)-06/30/05 5.00 % $ 53,037 1.77% 1.15 % 0.27 % n/a % n/a % Class B 05/02(a)-06/30/05 5.00 105 1.77 0.95 0.47 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/GOLDMAN SACHS MID CAP VALUE FUND Class A 05/02(a)-06/30/05 7.40 54,488 13.80 1.05 1.36 n/a n/a Class B 05/02(a)-06/30/05 7.40 107 13.80 0.85 1.56 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/JPMORGAN INTERNATIONAL EQUITY FUND Class A 6/30/2005 (2.45) 173,695 86.51 1.11 2.56 n/a n/a 12/31/2004 16.34 94,998 75.17 1.17 0.96 1.19 0.94 12/31/2003 28.53 96,811 113.94 1.23 1.17 1.26 1.14 12/31/2002 (20.58) 78,272 134.52 1.18 0.83 1.21 0.80 12/31/2001 (20.29) 103,972 66.42 1.17 0.76 1.18 0.75 12/31/2000 (13.99) 126,816 138.12 1.17 0.44 n/a n/a Class B 6/30/2005 (2.26) 104 86.51 0.90 3.54 n/a n/a 03/05(a)-12/31/04 10.72 1 75.17 0.92 1.30 0.94 1.28 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 6/30/2005 (0.54) 177,992 41.15 1.10 3.17 n/a n/a 12/31/2004 22.54 82,081 90.31 1.13 1.14 n/a n/a 12/31/2003 39.43 29,609 131.90 1.12 0.75 n/a n/a 12/31/2002 (26.59) 5,642 146.48 1.08 0.95 n/a n/a 12/31/2001 (20.33) 7,304 82.18 1.07 1.07 n/a n/a 12/31/2000 (15.45) 9,264 120.75 1.07 0.40 n/a n/a Class B 6/30/2005 (0.32) 111 41.15 0.89 4.69 n/a n/a 03/05(a)-12/31/04 14.85 5 90.31 0.93 1.36 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/LAZARD MID CAP VALUE FUND Class A 6/30/2005 1.84 211,188 46.32 1.03 0.28 n/a n/a 12/31/2004 24.72 222,542 100.95 1.08 0.20 1.13 0.15 12/31/2003 28.89 142,798 88.62 1.08 0.40 1.17 0.31 12/31/2002 (14.08) 76,890 98.18 1.08 0.41 1.12 0.37 12/31/2001 13.24 26,886 143.12 1.07 0.65 1.20 0.52 12/31/2000 25.37 15,478 134.53 1.07 0.37 n/a n/a Class B 6/30/2005 1.90 163 46.32 0.84 0.63 n/a n/a 03/05(a)-12/31/04 15.20 29 100.95 0.88 0.45 0.93 0.40 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ (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 -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/LAZARD SMALL CAP VALUE FUND Class A 6/30/2005 $ 13.81 $ - $ 0.02 $ 0.02 $ - $ - $ 13.83 12/31/2004 13.05 (0.02) 2.03 2.01 (0.01) (1.24) 13.81 12/31/2003 9.40 0.01 3.64 3.65 - - 13.05 12/31/2002 11.40 - (1.96) (1.96) - (0.04) 9.40 12/31/2001 10.28 0.02 1.77 1.79 (0.02) (0.65) 11.40 12/31/2000 8.84 0.02 1.45 1.47 (0.03) - 10.28 Class B 6/30/2005 13.84 0.01 0.02 0.03 - - 13.87 03/05(a)-12/31/04 13.92 - 1.16 1.16 - (1.24) 13.84 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Class A 6/30/2005 10.83 0.10 0.15 0.25 - - 11.08 12/31/2004 10.47 0.35 0.04 0.39 (0.03) - 10.83 12/31/2003 10.48 0.23 0.07 0.30 (0.19) (0.12) 10.47 01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36) (0.02) 10.48 Class B 6/30/2005 10.76 0.10 0.16 0.26 - - 11.02 03/05(a)-12/31/04 10.73 0.12 0.02 0.14 (0.11) - 10.76 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 6/30/2005 8.80 0.28 (0.33) (0.05) - - 8.75 12/31/2004 7.93 0.07 0.82 0.89 (0.02) - 8.80 12/31/2003 6.16 0.03 1.76 1.79 (0.02) - 7.93 12/31/2002 8.21 0.04 (2.09) (2.05) - - 6.16 12/31/2001 9.34 0.03 (1.13) (1.10) (0.03) - 8.21 12/31/2000 10.58 0.04 (1.24) (1.20) (0.03) (0.01) 9.34 Class B 6/30/2005 8.73 0.02 (0.05) (0.03) - - 8.70 03/05(a)-12/31/04 8.24 0.08 0.48 0.56 (0.07) - 8.73 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 6/30/2005 13.67 0.32 (0.51) (0.19) - - 13.48 12/31/2004 11.45 0.16 2.07 2.23 (0.01) - 13.67 12/31/2003 8.44 0.10 3.04 3.14 (0.13) - 11.45 01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20) - 8.44 Class B 6/30/2005 13.66 0.15 (0.33) (0.18) - - 13.48 03/05(a)-12/31/04 12.05 0.05 1.62 1.67 (0.06) - 13.66 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/LAZARD SMALL CAP VALUE FUND Class A 6/30/2005 0.14 % $ 188,005 44.69% 1.06 % (0.02)% n/a % n/a % 12/31/2004 15.38 218,851 105.06 1.12 (0.20) 1.18 (0.26) 12/31/2003 38.83 155,191 70.95 1.13 0.17 1.20 0.10 12/31/2002 (17.22) 74,559 94.87 1.14 (0.03) 1.17 (0.06) 12/31/2001 17.34 35,164 78.01 1.15 0.32 1.21 0.26 12/31/2000 16.60 14,614 58.07 1.15 0.36 n/a n/a Class B 6/30/2005 0.22 166 44.69 0.86 0.07 n/a n/a 03/05(a)-12/31/04 8.34 27 105.06 0.92 (0.10) 0.98 (0.16) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Class A 6/30/2005 2.31 146,833 29.23 (e) 0.61 3.28 n/a n/a 12/31/2004 3.74 116,440 155.71 (e) 0.61 3.31 n/a n/a 12/31/2003 2.87 83,547 70.57 0.60 3.29 n/a n/a 01/15(a)-12/31/02 8.55 34,286 77.16 0.60 4.12 n/a n/a Class B 6/30/2005 2.42 129 29.23 (e) 0.41 3.49 n/a n/a 03/05(a)-12/31/04 1.35 17 155.71 (e) 0.41 3.38 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 6/30/2005 (0.57) 58,134 24.98 0.79 0.88 n/a n/a 12/31/2004 11.27 181,444 66.90 0.78 1.17 0.78 1.17 12/31/2003 29.09 89,068 123.94 0.87 0.87 0.89 0.85 12/31/2002 (24.94) 42,071 63.08 0.89 0.69 0.90 0.68 12/31/2001 (11.78) 31,415 55.97 0.90 0.44 n/a n/a 12/31/2000 (11.38) 22,622 57.14 0.90 0.56 n/a n/a Class B 6/30/2005 (0.34) 112 24.98 0.61 1.15 n/a n/a 03/05(a)-12/31/04 6.85 4 66.90 0.58 1.55 0.58 1.55 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 6/30/2005 (1.39) 215,295 24.22 0.66 3.01 n/a n/a 12/31/2004 19.49 298,098 2.77 0.66 1.83 n/a n/a 12/31/2003 37.31 97,126 1.66 0.65 1.59 n/a n/a 01/15(a)-12/31/02 (13.60) 26,518 32.40 0.65 1.56 n/a n/a Class B 6/30/2005 (1.32) 147 24.22 0.46 3.77 n/a n/a 03/05(a)-12/31/04 13.85 50 2.77 0.46 1.19 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 Portfolio Turnover including dollar roll transactions for JNL/Mellon Capital Management Bond Index Fund on 06/30/05 and 12/31/04 is 173.77% and 215.24%, respectively. See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations -------------------------------------------- Distributions from Net Asset -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Class A 6/30/2005 $ 13.28 $ 0.05 $ 0.44 $ 0.49 $ - $ - $ 13.77 12/31/2004 11.47 0.06 1.75 1.81 - - 13.28 12/31/2003 8.55 0.03 2.92 2.95 (0.03) - 11.47 01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06) - 8.55 Class B 6/30/2005 13.27 0.05 0.45 0.50 - - 13.77 03/05(a)-12/31/04 12.28 0.05 0.98 1.03 (0.04) - 13.27 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 6/30/2005 10.66 0.07 (0.18) (0.11) - - 10.55 12/31/2004 9.84 0.12 0.87 0.99 (0.12) (0.05) 10.66 12/31/2003 7.79 0.03 2.13 2.16 (0.08) (0.03) 9.84 01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) - - 7.79 Class B 6/30/2005 10.72 0.06 (0.17) (0.11) - - 10.61 03/05(a)-12/31/04 10.25 0.09 0.52 0.61 (0.09) (0.05) 10.72 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 6/30/2005 13.43 0.04 (0.23) (0.19) - - 13.24 12/31/2004 11.46 0.07 1.93 2.00 - (0.03) 13.43 12/31/2003 7.94 0.05 3.59 3.64 (0.04) (0.08) 11.46 01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08) - 7.94 Class B 6/30/2005 13.39 0.04 (0.22) (0.18) - - 13.21 03/05(a)-12/31/04 12.33 0.06 1.08 1.14 (0.05) (0.03) 13.39 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 6/30/2005 11.92 0.07 (0.12) (0.05) - - 11.87 12/31/2004 10.12 0.03 1.78 1.81 (0.01) - 11.92 12/31/2003 7.20 0.03 2.89 2.92 - - 10.12 12/31/2002 9.27 0.03 (2.10) (2.07) - - 7.20 05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - - 9.27 Class B 6/30/2005 11.93 0.05 (0.08) (0.03) - - 11.90 03/05(a)-12/31/04 10.71 0.03 1.21 1.24 (0.02) - 11.93 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Class A 6/30/2005 3.69 % $ 234,597 4.16% 0.61 % 0.92 % n/a % n/a % 12/31/2004 15.79 198,751 13.75 0.60 0.62 n/a n/a 12/31/2003 34.55 81,077 18.34 0.60 0.65 0.61 0.64 01/15(a)-12/31/02 (13.94) 12,728 60.00 0.60 0.60 0.61 0.59 Class B 6/30/2005 3.77 189 4.16 0.41 1.02 n/a n/a 03/05(a)-12/31/04 8.42 90 13.75 0.40 0.84 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 6/30/2005 (1.03) 361,570 13.43 0.61 1.24 n/a n/a 12/31/2004 10.06 361,845 6.74 0.60 1.49 n/a n/a 12/31/2003 27.79 190,338 8.90 0.60 1.22 0.61 1.21 01/15(a)-12/31/02 (22.10) 46,776 1.89 0.60 1.15 0.61 1.14 Class B 6/30/2005 (1.03) 369 13.43 0.41 1.45 n/a n/a 03/05(a)-12/31/04 5.91 239 6.74 0.40 2.07 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 6/30/2005 (1.41) 201,591 15.33 0.60 0.83 n/a n/a 12/31/2004 17.42 173,822 17.66 0.60 0.81 n/a n/a 12/31/2003 45.88 76,130 38.17 0.60 0.75 0.61 0.74 01/15(a)-12/31/02 (19.79) 20,027 49.44 0.60 0.96 0.62 0.94 Class B 6/30/2005 (1.34) 201 15.33 0.40 1.06 n/a n/a 03/05(a)-12/31/04 9.24 85 17.66 0.40 1.25 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 6/30/2005 (0.42) 242,997 11.70 1.06 1.33 n/a n/a 12/31/2004 17.93 235,047 17.59 1.06 0.56 n/a n/a 12/31/2003 40.56 104,625 38.02 1.05 0.57 n/a n/a 12/31/2002 (22.33) 50,522 64.05 1.05 0.44 n/a n/a 05/01(a)-12/31/01 (7.30) 59,841 44.80 1.05 0.54 n/a n/a Class B 6/30/2005 (0.25) 163 11.70 0.86 2.24 n/a n/a 03/05(a)-12/31/04 11.60 24 17.59 0.86 0.59 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 -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GROWTH FUND Class A 6/30/2005 $ 8.63 $ (0.01) $ (0.05) $ (0.06) $ - $ - $ 8.57 12/31/2004 8.28 0.01 0.34 0.35 - - 8.63 12/31/2003 7.03 (0.03) 1.28 1.25 - - 8.28 12/31/2002 9.41 (0.03) (2.35) (2.38) - - 7.03 05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) - 9.41 Class B 6/30/2005 8.64 (0.07) 0.02 (0.05) - - 8.59 03/05(a)-12/31/04 8.57 0.03 0.04 0.07 - - 8.64 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PIMCO TOTAL RETURN BOND FUND Class A 6/30/2005 11.96 0.10 0.23 0.33 - - 12.29 12/31/2004 11.76 0.17 0.36 0.53 (0.20) (0.13) 11.96 12/31/2003 11.60 0.13 0.42 0.55 (0.17) (0.22) 11.76 12/31/2002 10.66 0.24 0.70 0.94 - - 11.60 12/31/2001 10.29 0.30 0.68 0.98 (0.28) (0.33) 10.66 12/31/2000 9.64 0.45 0.68 1.13 (0.47) (0.01) 10.29 Class B 6/30/2005 12.15 0.04 0.30 0.34 - - 12.49 03/05(a)-12/31/04 12.02 0.08 0.22 0.30 (0.04) (0.13) 12.15 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM EQUITY FUND Class A 6/30/2005 18.59 0.03 0.18 0.21 - - 18.80 12/31/2004 16.54 0.20 1.96 2.16 (0.11) - 18.59 12/31/2003 13.04 0.08 3.47 3.55 (0.05) - 16.54 12/31/2002 17.18 - (4.14) (4.14) - - 13.04 12/31/2001 22.91 (0.01) (5.72) (5.73) - - 17.18 12/31/2000 28.45 (0.05) (5.03) (5.08) - (0.46) 22.91 Class B 6/30/2005 18.59 0.02 0.21 0.23 - - 18.82 03/05(a)-12/31/04 17.26 0.15 1.32 1.47 (0.14) - 18.59 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM MIDCAP GROWTH FUND Class A 6/30/2005 8.09 (0.02) 0.02 - - - 8.09 12/31/2004 6.82 (0.04) 1.31 1.27 - - 8.09 12/31/2003 5.11 (0.03) 1.74 1.71 - - 6.82 12/31/2002 7.23 (0.04) (2.08) (2.12) - - 5.11 12/31/2001 9.90 (0.05) (2.62) (2.67) - - 7.23 05/01(a)-12/31/00 10.00 - (0.10) (0.10) - - 9.90 Class B 6/30/2005 8.11 0.04 (0.04) - - - 8.11 03/05(a)-12/31/04 7.32 (0.02) 0.81 0.79 - - 8.11 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GROWTH FUND Class A 6/30/2005 (0.70)% $ 25,050 41.37% 1.01 % (0.21)% n/a % n/a % 12/31/2004 4.23 24,479 124.90 1.01 0.12 n/a n/a 12/31/2003 17.78 32,993 94.02 1.00 (0.49) n/a n/a 12/31/2002 (25.29) 17,846 55.58 1.00 (0.49) n/a n/a 05/01(a)-12/31/01 (5.82) 13,557 58.88 1.00 0.17 n/a n/a Class B 6/30/2005 (0.58) 119 41.37 0.81 0.02 n/a n/a 03/05(a)-12/31/04 0.82 1 124.90 0.82 0.61 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PIMCO TOTAL RETURN BOND FUND Class A 6/30/2005 2.76 485,277 135.83 (f) 0.81 2.47 n/a n/a 12/31/2004 4.45 390,124 162.80 (f) 0.81 1.72 n/a n/a 12/31/2003 4.78 317,301 146.76 0.80 2.02 n/a n/a 12/31/2002 8.85 211,362 116.05 0.80 3.23 n/a n/a 12/31/2001 9.52 54,851 112.25 0.80 4.35 n/a n/a 12/31/2000 11.75 21,715 221.61 0.93 (e) 5.98 n/a n/a Class B 6/30/2005 2.80 152 135.83 (f) 0.61 3.16 n/a n/a 03/05(a)-12/31/04 2.46 30 162.80 (f) 0.61 3.09 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM EQUITY FUND Class A 6/30/2005 1.13 157,184 68.44 0.98 0.38 n/a n/a 12/31/2004 13.04 149,669 91.21 0.99 0.95 1.06 0.88 12/31/2003 27.23 164,927 74.82 1.00 0.45 1.07 0.38 12/31/2002 (24.10) 153,303 123.47 0.99 0.23 1.05 0.17 12/31/2001 (25.01) 282,049 91.77 0.96 (0.07) 0.99 (0.10) 12/31/2000 (17.85) 497,299 77.67 0.94 (0.22) 0.95 (0.23) Class B 6/30/2005 1.24 115 68.44 0.79 0.46 n/a n/a 03/05(a)-12/31/04 8.55 11 191.21 0.78 2.15 0.85 2.08 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM MIDCAP GROWTH FUND Class A 6/30/2005 0.00 32,268 43.36 1.06 (0.50) n/a n/a 12/31/2004 18.62 33,829 111.57 1.06 (0.62) 1.14 (0.70) 12/31/2003 33.46 28,909 116.81 1.05 (0.52) 1.11 (0.58) 12/31/2002 (29.32) 18,647 116.70 1.05 (0.62) 1.10 (0.67) 12/31/2001 (26.97) 29,541 211.61 1.05 (0.46) 1.09 (0.50) 05/01(a)-12/31/00 (1.00) 46,122 58.67 1.05 (0.09) 1.06 (0.10) Class B 6/30/2005 0.00 114 43.36 0.86 (0.34) n/a n/a 03/05(a)-12/31/04 10.79 1 111.57 0.78 (0.34) 0.87 (0.43) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ (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%. (f) The Portfolio Turnover including dollar roll transactions for JNL/PIMCO Total Return Bond Fund on 06/30/05 and 12/31/04 was 259.93% and 352.28%, respectively. See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations -------------------------------------------- Distributions from Net Asset -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM VALUE EQUITY FUND Class A 6/30/2005 $ 17.42 $ 0.09 $ - $ 0.09 $ - $ - $ 17.51 12/31/2004 16.09 0.24 1.33 1.57 (0.24) - 17.42 12/31/2003 13.06 0.16 3.04 3.20 (0.17) - 16.09 12/31/2002 16.50 0.16 (3.44) (3.28) (0.16) - 13.06 12/31/2001 17.78 0.15 (1.27) (1.12) (0.16) - 16.50 12/31/2000 16.78 0.16 1.00 1.16 (0.16) - 17.78 Class B 6/30/2005 17.48 0.04 0.08 0.12 - - 17.60 03/05(a)-12/31/04 16.82 0.21 0.66 0.87 (0.21) - 17.48 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED AGGRESSIVE GROWTH FUND Class A 6/30/2005 11.89 - (0.02) (0.02) - - 11.87 12/31/2004 10.57 0.02 1.31 1.33 (0.01) - 11.89 12/31/2003 8.44 0.06 2.20 2.26 (0.13) - 10.57 12/31/2002 10.45 0.06 (1.97) (1.91) (0.10) - 8.44 12/31/2001 12.86 0.02 (1.38) (1.36) (0.35) (0.70) 10.45 12/31/2000 14.69 (0.10) (1.28) (1.38) (0.17) (0.28) 12.86 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED CONSERVATIVE FUND Class A 6/30/2005 10.35 (0.10) 0.24 0.14 - - 10.49 10/04(a)-12/31/04 10.00 0.14 0.21 0.35 - - 10.35 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED GROWTH FUND Class A 6/30/2005 12.23 - (0.01) (0.01) - - 12.22 12/31/2004 11.07 0.07 1.19 1.26 (0.06) (0.04) 12.23 12/31/2003 9.25 0.08 1.93 2.01 (0.19) - 11.07 12/31/2002 10.70 0.08 (1.41) (1.33) (0.12) - 9.25 12/31/2001 12.37 0.01 (0.92) (0.91) (0.32) (0.44) 10.70 12/31/2000 13.42 0.03 (0.62) (0.59) (0.21) (0.25) 12.37 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED MODERATE FUND Class A 6/30/2005 10.54 0.24 (0.17) 0.07 - - 10.61 10/04(a)-12/31/04 10.00 0.11 0.43 0.54 - - 10.54 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED MODERATE GROWTH FUND Class A 6/30/2005 11.67 (0.01) 0.05 0.04 - - 11.71 12/31/2004 10.91 0.12 0.92 1.04 (0.11) (0.17) 11.67 12/31/2003 9.48 0.10 1.58 1.68 (0.25) - 10.91 12/31/2002 10.54 0.10 (0.99) (0.89) (0.17) - 9.48 12/31/2001 11.83 0.08 (0.65) (0.57) (0.34) (0.38) 10.54 12/31/2000 12.45 0.11 (0.31) (0.20) (0.23) (0.19) 11.83 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM VALUE EQUITY FUND Class A 6/30/2005 0.52 % $ 190,023 38.33% 0.97 % 0.95 % n/a % n/a % 12/31/2004 9.76 215,615 46.27 0.97 1.24 1.01 1.20 12/31/2003 24.55 309,732 67.86 0.98 1.16 1.03 1.11 12/31/2002 (19.87) 256,100 62.19 0.98 1.06 1.01 1.03 12/31/2001 (6.32) 347,246 82.54 0.96 0.89 0.99 0.86 12/31/2000 6.96 422,750 86.43 0.96 1.05 0.97 1.04 Class B 6/30/2005 0.69 103 38.33 0.77 1.12 n/a n/a 03/05(a)-12/31/04 5.17 1 46.27 0.75 1.58 0.79 1.54 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED AGGRESSIVE GROWTH FUND Class A 6/30/2005 (0.17) 646,257 30.40 0.18 (0.09) n/a n/a 12/31/2004 12.61 670,711 62.01 0.18 0.41 n/a n/a 12/31/2003 26.80 164,016 3.87 0.20 0.97 n/a n/a 12/31/2002 (18.26) 97,110 37.53 0.20 0.77 n/a n/a 12/31/2001 (10.58) 107,519 67.65 0.20 1.16 n/a n/a 12/31/2000 (9.37) 95,075 24.94 0.20 1.62 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED CONSERVATIVE FUND Class A 6/30/2005 1.35 52,552 10.59 0.19 0.26 n/a n/a 10/04(a)-12/31/04 3.50 13,909 13.03 0.18 12.94 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED GROWTH FUND Class A 6/30/2005 (0.08) 1,000,228 27.39 0.16 (0.08) n/a n/a 12/31/2004 11.41 1,001,562 46.80 0.17 0.67 n/a n/a 12/31/2003 21.73 609,887 3.33 0.20 1.40 n/a n/a 12/31/2002 (12.40) 331,543 32.67 0.20 1.26 n/a n/a 12/31/2001 (7.34) 298,741 59.64 0.20 1.66 n/a n/a 12/31/2000 (4.35) 222,052 19.23 0.20 2.61 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED MODERATE FUND Class A 6/30/2005 0.66 83,915 16.59 0.19 0.16 n/a n/a 10/04(a)-12/31/04 5.40 19,873 0.39 0.18 11.25 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED MODERATE GROWTH FUND Class A 6/30/2005 0.34 732,936 19.68 0.18 (0.05) n/a n/a 12/31/2004 9.58 619,106 38.10 0.18 1.20 n/a n/a 12/31/2003 17.75 402,322 2.24 0.20 1.79 n/a n/a 12/31/2002 (8.48) 227,833 31.43 0.20 1.75 n/a n/a 12/31/2001 (4.78) 187,495 49.46 0.20 2.42 n/a n/a 12/31/2000 (1.55) 139,701 25.30 0.20 3.53 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 -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 6/30/2005 $ 8.51 $ 0.32 $ (0.30) $ 0.02 $ - $ - $ 8.53 12/31/2004 8.03 0.17 0.49 0.66 (0.18) - 8.51 12/31/2003 6.98 0.75 1.05 1.80 (0.75) - 8.03 12/31/2002 7.42 0.87 (0.44) 0.43 (0.87) - 6.98 12/31/2001 7.67 0.65 (0.24) 0.41 (0.66) - 7.42 12/31/2000 8.71 0.64 (1.05) (0.41) (0.63) - 7.67 Class B 6/30/2005 8.66 (0.01) 0.04 0.03 - - 8.69 03/05(a)-12/31/04 8.15 0.14 0.41 0.55 (0.04) - 8.66 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 6/30/2005 11.47 0.23 0.01 0.24 - - 11.71 12/31/2004 11.40 0.56 0.23 0.79 (0.53) (0.19) 11.47 12/31/2003 10.63 0.49 0.95 1.44 (0.52) (0.15) 11.40 12/31/2002 10.41 0.65 0.22 0.87 (0.65) - 10.63 12/31/2001 10.37 0.68 0.01 0.69 (0.65) - 10.41 12/31/2000 10.25 0.68 0.06 0.74 (0.62) - 10.37 Class B 6/30/2005 11.84 0.10 0.16 0.26 - - 12.10 03/05(a)-12/31/04 11.60 0.20 0.41 0.61 (0.18) (0.19) 11.84 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 6/30/2005 11.31 0.21 0.12 0.33 - - 11.64 12/31/2004 11.47 0.54 (0.10) 0.44 (0.53) (0.07) 11.31 12/31/2003 11.89 0.45 (0.31) 0.14 (0.42) (0.14) 11.47 12/31/2002 11.17 0.42 0.86 1.28 (0.42) (0.14) 11.89 12/31/2001 10.96 0.50 0.25 0.75 (0.49) (0.05) 11.17 12/31/2000 10.36 0.60 0.59 1.19 (0.59) - 10.96 Class B 6/30/2005 11.71 0.11 0.24 0.35 - - 12.06 03/05(a)-12/31/04 11.75 0.16 0.02 0.18 (0.15) (0.07) 11.71 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 6/30/2005 0.24 % $ 262,885 13.99% 0.81 % 7.47 % n/a % n/a % 12/31/2004 8.22 284,949 149.00 0.83 6.97 n/a n/a 12/31/2003 25.79 19,464 71.74 0.90 8.47 n/a n/a 12/31/2002 5.76 17,079 77.04 0.90 8.88 n/a n/a 12/31/2001 5.33 20,220 48.73 0.90 8.54 n/a n/a 12/31/2000 (4.67) 16,437 35.52 0.90 9.17 n/a n/a Class B 6/30/2005 0.35 132 13.99 0.61 8.05 n/a n/a 03/05(a)-12/31/04 6.84 13 149.00 0.63 7.20 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 6/30/2005 2.09 287,721 63.79 (f) 0.94 4.36 n/a n/a 12/31/2004 6.91 236,706 74.16 (f) 0.94 4.63 n/a n/a 12/31/2003 13.53 197,923 61.03 0.95 5.03 n/a n/a 12/31/2002 8.38 125,881 83.34 0.95 6.22 n/a n/a 12/31/2001 6.71 123,310 86.36 0.98 (e) 6.46 n/a n/a 12/31/2000 7.28 116,654 93.13 0.95 7.42 n/a n/a Class B 6/30/2005 2.20 122 63.79 (f) 0.74 4.50 n/a n/a 03/05(a)-12/31/04 5.20 8 74.16 (f) 0.72 4.87 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 6/30/2005 2.92 206,182 30.81 (f) 0.80 3.73 n/a n/a 12/31/2004 3.85 197,863 64.93 (f) 0.79 3.92 n/a n/a 12/31/2003 1.18 257,274 43.56 0.78 3.26 n/a n/a 12/31/2002 11.47 304,265 35.72 0.78 4.26 n/a n/a 12/31/2001 6.92 226,275 69.10 0.82 (e) 5.09 n/a n/a 12/31/2000 11.50 138,122 49.09 0.80 6.06 n/a n/a Class B 6/30/2005 2.99 117 30.81 (f) 0.60 3.97 n/a n/a 03/05(a)-12/31/04 1.54 13 164.93 (f) 0.61 4.22 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 for JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund was 0.95% and 0.79%, respectively. (f) The Portfolio Turnover including dollar roll transactions for JNL/Salomon Brothers Stratigic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund on 06/30/05 was 254.18% and 253.29%, and 422.85% and 643.06% on 12/30/04, respectively. See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations -------------------------------------------- Distributions from Net Asset -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT BALANCED FUND Class A 6/30/2005 $ 17.12 $ 0.19 $ (0.13) $ 0.06 $ - $ - $ 17.18 12/31/2004 15.55 0.36 1.33 1.69 (0.02) (0.10) 17.12 12/31/2003 13.14 0.32 2.51 2.83 (0.30) (0.12) 15.55 12/31/2002 14.00 0.42 (0.69) (0.27) (0.42) (0.17) 13.14 12/31/2001 13.13 0.41 0.98 1.39 (0.44) (0.08) 14.00 12/31/2000 12.60 0.50 0.52 1.02 (0.46) (0.03) 13.13 Class B 6/30/2005 16.98 0.10 (0.02) 0.08 - - 17.06 03/05(a)-12/31/04 16.19 0.17 0.89 1.06 (0.17) (0.10) 16.98 - ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT GLOBAL GROWTH FUND Class A 6/30/2005 19.41 0.07 (1.49) (1.42) - - 17.99 12/31/2004 17.43 0.10 1.88 1.98 - - 19.41 12/31/2003 14.06 0.13 3.24 3.37 - - 17.43 12/31/2002 19.48 0.10 (5.38) (5.28) (0.14) - 14.06 12/31/2001 25.97 0.08 (6.19) (6.11) (0.35) (0.03) 19.48 12/31/2000 35.69 0.07 (6.55) (6.48) (0.59) (2.65) 25.97 Class B 6/30/2005 19.45 (0.16) (1.24) (1.40) - - 18.05 03/05(a)-12/31/04 18.37 0.11 0.97 1.08 - - 19.45 - ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT LARGE CAP GROWTH FUND Class A 6/30/2005 19.71 0.02 (0.33) (0.31) - - 19.40 12/31/2004 17.65 (0.02) 2.08 2.06 - - 19.71 12/31/2003 13.03 (0.04) 4.66 4.62 - - 17.65 12/31/2002 18.55 (0.04) (5.48) (5.52) - - 13.03 12/31/2001 26.65 - (8.04) (8.04) (0.01) (0.05) 18.55 12/31/2000 39.97 0.16 (8.45) (8.29) (0.51) (4.52) 26.65 Class B 6/30/2005 19.75 (0.07) (0.22) (0.29) - - 19.46 03/05(a)-12/31/04 18.67 0.04 1.04 1.08 - - 19.75 - ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT MONEY MARKET FUND Class A 6/30/2005 1.00 0.01 - 0.01 (0.01) - 1.00 12/31/2004 1.00 0.01 - 0.01 (0.01) - 1.00 12/31/2003 1.00 0.01 - 0.01 (0.01) - 1.00 12/31/2002 1.00 0.01 - 0.01 (0.01) - 1.00 12/31/2001 1.00 0.03 - 0.03 (0.03) - 1.00 12/31/2000 1.00 0.06 - 0.06 (0.06) - 1.00 Class B 6/30/2005 1.00 0.01 - 0.01 (0.01) - 1.00 03/05(a)-12/31/04 1.00 0.01 - 0.01 (0.01) - 1.00 - ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT BALANCED FUND Class A 6/30/2005 0.35 % $ 380,159 15.19 %(e) 0.80 % 2.18 % n/a % n/a % 12/31/2004 10.88 381,316 120.61 0.80 2.42 n/a n/a 12/31/2003 21.57 303,892 54.21 0.80 2.49 0.81 2.48 12/31/2002 (1.93) 217,013 68.30 0.81 2.98 0.81 2.98 12/31/2001 10.57 212,196 42.38 0.81 3.28 n/a n/a 12/31/2000 8.25 155,270 25.76 0.82 4.02 n/a n/a Class B 6/30/2005 0.47 142 15.19 (e) 0.60 2.39 n/a n/a 03/05(a)-12/31/04 6.54 22 120.61 0.60 2.68 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT GLOBAL GROWTH FUND Class A 6/30/2005 (7.32) 185,059 160.39 1.10 0.66 n/a % n/a % 12/31/2004 11.36 217,952 296.09 1.11 0.58 1.21 0.48 12/31/2003 23.97 197,288 120.39 1.13 0.70 1.18 0.65 12/31/2002 (27.12) 206,070 65.19 1.07 0.45 1.10 0.42 12/31/2001 (23.50) 389,796 93.37 1.05 0.42 1.06 0.41 12/31/2000 (18.28) 665,187 65.56 1.03 0.03 n/a n/a Class B 6/30/2005 (7.20) 106 160.39 0.91 1.21 n/a n/a 03/05(a)-12/31/04 5.88 1 296.09 0.84 1.02 0.94 0.92 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT LARGE CAP GROWTH FUND Class A 6/30/2005 (1.57) 216,488 36.71 0.99 0.16 n/a n/a 12/31/2004 11.67 295,491 154.46 1.00 (0.09) 1.02 (0.11) 12/31/2003 35.46 257,852 78.47 1.04 (0.28) 1.08 (0.32) 12/31/2002 (29.76) 215,884 117.19 1.02 (0.18) 1.10 (0.26) 12/31/2001 (30.18) 436,946 100.02 0.99 0.05 1.02 0.02 12/31/2000 (20.97) 744,972 61.65 0.98 0.25 n/a n/a Class B 6/30/2005 (1.47) 113 36.71 0.80 (0.02) n/a n/a 03/05(a)-12/31/04 5.78 2 154.46 0.76 0.40 0.77 0.39 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT MONEY MARKET FUND Class A 6/30/2005 1.06 221,616 n/a 0.61 2.15 n/a n/a 12/31/2004 0.78 237,815 n/a 0.61 0.81 n/a n/a 12/31/2003 0.46 184,440 n/a 0.69 0.47 n/a n/a 12/31/2002 1.07 214,520 n/a 0.69 1.07 n/a n/a 12/31/2001 3.45 242,518 n/a 0.69 3.28 n/a n/a 12/31/2000 5.83 185,012 n/a 0.70 5.73 n/a n/a Class B 6/30/2005 1.16 343 n/a 0.41 2.57 n/a n/a 03/05(a)-12/31/04 0.91 38 n/a 0.40 1.57 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 Portfolio Turnover including dollar roll transactions for JNL/Select Balanced Fund is 15.19%. See Notes to the Financial Statements. JNL SERIES TRUST (UNAUDITED) FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations -------------------------------------------- Distributions from Net Asset -------------------------------------------- Distributions Net Realized Value Net Net Realized Total from from Gains on Net Asset Beginning Investment & Unrealized Investment Net Investment Investment Value, End Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions of Period - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT VALUE FUND Class A 6/30/2005 $ 16.71 $ 0.03 $ 0.22 $ 0.25 $ - $ - $ 16.96 12/31/2004 14.70 0.12 2.05 2.17 (0.06) (0.10) 16.71 12/31/2003 10.97 0.11 3.71 3.82 (0.03) (0.06) 14.70 09/30(a)-12/31/02 10.00 0.06 0.91 0.97 - - 10.97 Class B 6/30/2005 16.68 0.07 0.20 0.27 - - 16.95 03/05(a)-12/31/04 15.47 0.11 1.31 1.42 (0.11) (0.10) 16.68 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 6/30/2005 18.36 0.02 (0.27) (0.25) - - 18.11 12/31/2004 16.77 0.08 1.58 1.66 (0.07) - 18.36 12/31/2003 12.85 0.02 3.90 3.92 - - 16.77 12/31/2002 16.78 0.01 (3.92) (3.91) (0.02) - 12.85 12/31/2001 18.74 0.02 (1.94) (1.92) - (0.04) 16.78 12/31/2000 21.70 - (0.11) (0.11) (0.01) (2.84) 18.74 Class B 6/30/2005 18.38 0.02 (0.25) (0.23) - - 18.15 03/05(a)-12/31/04 17.44 0.08 0.93 1.01 (0.07) - 18.38 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 6/30/2005 27.87 (0.06) 0.45 0.39 - - 28.26 12/31/2004 24.89 (0.13) 4.61 4.48 - (1.50) 27.87 12/31/2003 18.05 (0.12) 7.08 6.96 - (0.12) 24.89 12/31/2002 23.12 (0.15) (4.92) (5.07) - - 18.05 12/31/2001 23.47 (0.13) (0.22) (0.35) - - 23.12 12/31/2000 23.71 (0.04) 1.67 1.63 - (1.87) 23.47 Class B 6/30/2005 27.92 0.03 0.39 0.42 - - 28.34 03/05(a)-12/31/04 26.20 (0.03) 3.25 3.22 - (1.50) 27.92 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE VALUE FUND Class A 6/30/2005 13.64 0.08 (0.08) - - - 13.64 12/31/2004 11.92 0.12 1.68 1.80 (0.08) - 13.64 12/31/2003 9.22 0.06 2.70 2.76 (0.06) - 11.92 12/31/2002 11.11 0.09 (1.96) (1.87) - (0.02) 9.22 12/31/2001 11.14 0.08 0.01 0.09 (0.08) (0.04) 11.11 05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09) (0.02) 11.14 Class B 6/30/2005 13.69 0.05 (0.03) 0.02 - - 13.71 03/05(a)-12/31/04 12.50 0.05 1.18 1.23 (0.04) - 13.69 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly --------------------------------- Supplemental Data --------------------------------- ---------------------------------------- Ratio of Net Ratio of Net ---------------------------------------- Ratio of Investment Ratio of Investment Net Assets, Expenses to Income (Loss) Expenses to Income (Loss) Total End of Period Portfolio Average Net to Average Average Net to Average Period Ended Return(b) (in thousands) Turnover (d) Assets (c) Net Assets (c) Assets (c) Net Assets (c) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/SELECT VALUE FUND Class A 6/30/2005 1.50 % $ 226,725 12.10% 0.86 % 1.32 % n/a % n/a % 12/31/2004 14.77 154,283 136.31 0.86 1.50 n/a n/a 12/31/2003 34.80 54,532 16.19 0.85 1.81 0.88 1.78 09/30(a)-12/31/02 9.70 18,004 8.64 0.85 2.24 0.98 2.11 Class B 6/30/2005 1.62 131 12.10 0.66 1.50 n/a n/a 03/05(a)-12/31/04 9.22 27 136.31 0.66 1.73 n/a n/a - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 6/30/2005 (7.32) 692,815 18.66 0.91 0.32 n/a n/a 12/31/2004 9.89 606,885 36.69 0.92 0.51 0.93 0.50 12/31/2003 30.54 474,046 36.37 0.92 0.14 0.95 0.11 12/31/2002 (23.33) 316,367 46.16 0.92 0.06 0.94 0.04 12/31/2001 (10.23) 474,105 63.38 0.92 0.12 0.92 0.12 12/31/2000 (0.34) 411,855 77.19 0.92 0.03 0.92 0.03 Class B 6/30/2005 (1.25) 163 18.66 0.71 0.55 n/a n/a 03/05(a)-12/31/04 5.81 24 36.69 0.73 1.21 0.74 1.20 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 6/30/2005 1.40 554,165 14.60 1.02 (0.42) n/a n/a 12/31/2004 18.03 541,739 34.02 1.02 (0.55) 1.04 (0.57) 12/31/2003 38.60 379,541 42.89 1.03 (0.60) 1.04 (0.61) 12/31/2002 (21.93) 248,327 42.22 1.03 (0.67) 1.04 (0.68) 12/31/2001 (1.49) 366,028 44.26 1.02 (0.56) 1.03 (0.57) 12/31/2000 7.16 419,796 47.90 1.02 (0.20) n/a n/a Class B 6/30/2005 1.50 169 14.60 0.83 (0.19) n/a n/a 03/05(a)-12/31/04 12.32 33 34.02 0.81 (0.24) 0.82 (0.25) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE VALUE FUND Class A 6/30/2005 0.00 495,248 13.82 0.97 1.17 n/a n/a 12/31/2004 15.12 485,126 42.10 0.99 1.01 1.01 0.99 12/31/2003 29.97 404,470 28.06 1.00 1.05 1.02 1.03 12/31/2002 (16.84) 220,106 38.21 1.00 0.97 1.02 0.95 12/31/2001 0.78 216,408 42.29 1.00 0.93 1.02 0.91 05/01(a)-12/31/00 12.54 26,446 44.84 1.00 1.47 1.01 1.46 Class B 6/30/2005 0.15 141 13.82 0.78 1.40 n/a n/a 03/05(a)-12/31/04 9.87 34 42.10 0.79 1.51 0.80 1.50 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ (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 (the "Trust") is an open-end management investment company organized under the laws of the state 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 as amended, and the securities Act of 1933, as amended. The Trust currently offers shares in forty-two (42) separate funds (the "Funds"), each with its own investment objective. JNL/AIM Large Cap Growth Fund, JNL/AIM Real Estate 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/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/Franklin Templeton Small Cap Value Fund for which Franklin Advisory Services, LLC serves as the sub-adviser; JNL/Goldman Sachs Mid Cap Value Fund for which Goldman Sachs Asset Management, L.P. serves as the sub-adviser; JNL/JPMorgan International Equity Fund and 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/Putnam 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 Managed Aggressive Growth Fund, JNL/S&P Managed Conservative Fund, JNL/S&P Managed Growth Fund, JNL/S&P Managed Moderate Fund, and JNL/S&P Managed Moderate Growth Fund, (collectively the "JNL/S&P Funds") for which Standard & Poor's Investment Advisory Services, Inc. serves as the sub-adviser; 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 Balanced Fund, JNL/Select Global Growth Fund, JNL/Select Large Cap Growth Fund, JNL/Select Money Market Fund and JNL/Select Value Fund, for which Wellington Management Company, 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 May 2, 2005, JNL/Putnam International Equity Fund became the JNL/JPMorgan International Equity Fund and is managed by JPMorgan Investment Management Inc. Prior to May 2, 2005, this Fund was managed by Putnam Investment Management LLC. Effective April 28, 2005, JNL/T. Rowe Established Growth Fund acquired the JNL/Alliance Capital Growth Fund. See Note 7 for additional information regarding this Fund acquisition. Each Fund, except the JNL/S&P Funds, offers Class A and Class B shares. The two classes differ principally in applicable 12b-1 Service Fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class, without discrimination between share classes. No class has preferential dividend rights. Differences in per share dividend rates generally result from the relative weighting of pro rata income and realized gain allocations and from differences in separate class expenses, including distribution, and shareholder servicing fees. Jackson National Asset Management, LLC ("JNAM"), a wholly-owned subsidiary of Jackson National Life Insurance Company ("Jackson National"), serves as investment adviser ("Adviser") for all the Funds of the Trust. 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/Select 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 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. 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 as amended, 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 Adviser). 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/Select 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 whereby JNAM provides investment management services. Each Fund pays JNAM 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 by JNAM to sub-advisers as compensation for their services. The following is a schedule of the fees each Fund is currently obligated to pay JNAM.
$0 TO $50 TO $100 TO $150 TO $200 TO $250 TO (M - MILLIONS; B - BILLIONS) $50 M $100 M $150 M $200 M $250 M $300 M JNL/AIM Large Cap Growth Fund (a) 0.75 % 0.70 % 0.70 % 0.70 % 0.70 % 0.70 % JNL/AIM Real Estate Fund 0.75 0.70 0.70 0.70 0.70 0.70 JNL/AIM Small Cap Growth Fund 0.85 0.85 0.85 0.85 0.85 0.85 JNL/Alger Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 JNL/Eagle Core Equity Fund 0.70 0.65 0.65 0.65 0.65 0.65 JNL/Eagle SmallCap Equity Fund 0.75 0.75 0.75 0.70 0.70 0.70 JNL/FMR Balanced Fund 0.70 0.70 0.70 0.70 0.70 0.70 JNL/FMR Capital Growth Fund 0.70 0.70 0.70 0.70 0.70 0.65 JNL/Franklin Templeton Small Cap Value Fund 0.85 0.85 0.85 0.85 0.77 0.77 JNL/Goldman Sachs Mid Cap Value Fund 0.75 0.75 0.70 0.70 0.70 0.70 JNL/JPMorgan International Equity Fund (b) 0.75 0.70 0.70 0.70 0.65 0.65 JNL/JPMorgan International Value Fund (c) 0.75 0.70 0.70 0.70 0.65 0.65 JNL/Lazard Mid Cap Value Fund (d) 0.75 0.75 0.70 0.70 0.70 0.65 JNL/Lazard Small Cap Value Fund (e) 0.75 0.75 0.75 0.75 0.75 0.75 JNL/Mellon Capital Management Bond Index Fund 0.30 0.30 0.30 0.30 0.30 0.30 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 0.50 0.45 0.45 0.45 0.45 0.45 JNL/Mellon Capital Management International Index Fund 0.30 0.30 0.30 0.30 0.30 0.30 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 JNL/Mellon Capital Management S&P 500 Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 JNL/Mellon Capital Management Small Cap Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 JNL/Oppenheimer Global Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 JNL/Oppenheimer Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 JNL/PIMCO Total Return Bond Fund 0.50 0.50 0.50 0.50 0.50 0.50 JNL/Putnam Equity Fund 0.675 0.675 0.675 0.60 0.60 0.60 JNL/Putnam Midcap Growth Fund 0.75 0.75 0.75 0.75 0.75 0.75 JNL/Putnam Value Equity Fund 0.675 0.675 0.675 0.60 0.60 0.60 JNL/S&P Funds 0.13 0.13 0.13 0.13 0.13 0.13 JNL/Salomon Brothers High Yield Bond Fund 0.55 0.50 0.50 0.475 0.475 0.475 JNL/Salomon Brothers Strategic Bond Fund 0.65 0.65 0.65 0.60 0.60 0.60 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 0.50 0.50 0.50 0.45 0.45 0.45 JNL/Select Balanced Fund 0.55 0.50 0.50 0.475 0.475 0.475 JNL/Select Global Growth Fund 0.75 0.75 0.75 0.70 0.70 0.70 JNL/Select Large Cap Growth Fund 0.70 0.70 0.70 0.65 0.65 0.65 JNL/Select Money Market Fund 0.30 0.30 0.30 0.30 0.30 0.30 JNL/Select Value Fund 0.55 0.55 0.55 0.55 0.55 0.55 JNL/T.Rowe Price Established Growth Fund (f) 0.65 0.65 0.65 0.60 0.60 0.60 JNL/T.Rowe Price Mid-Cap Growth Fund 0.75 0.75 0.75 0.70 0.70 0.70 JNL/T.Rowe Price Value Fund (g) 0.70 0.70 0.70 0.65 0.65 0.65 $300 TO $350 TO $500 TO $750 TO TO OVER (M - MILLIONS; B - BILLIONS) $350 M $500 M $750 M $1.5 B $1.5 B JNL/AIM Large Cap Growth Fund (a) 0.65 % 0.65 % 0.65 % 0.65 % 0.65 % JNL/AIM Real Estate Fund 0.70 0.70 0.70 0.70 0.70 JNL/AIM Small Cap Growth Fund 0.80 0.80 0.80 0.80 0.80 JNL/Alger Growth Fund 0.65 0.65 0.60 0.60 0.60 JNL/Eagle Core Equity Fund 0.55 0.55 0.55 0.55 0.55 JNL/Eagle SmallCap Equity Fund 0.70 0.70 0.65 0.65 0.65 JNL/FMR Balanced Fund 0.70 0.70 0.65 0.60 0.60 JNL/FMR Capital Growth Fund 0.65 0.65 0.65 0.60 0.55 JNL/Franklin Templeton Small Cap Value Fund 0.77 0.77 0.75 0.75 0.75 JNL/Goldman Sachs Mid Cap Value Fund 0.70 0.70 0.70 0.70 0.70 JNL/JPMorgan International Equity Fund (b) 0.65 0.65 0.60 0.60 0.60 JNL/JPMorgan International Value Fund (c) 0.65 0.65 0.60 0.60 0.60 JNL/Lazard Mid Cap Value Fund (d) 0.65 0.65 0.65 0.65 0.65 JNL/Lazard Small Cap Value Fund (e) 0.75 0.75 0.70 0.70 0.70 JNL/Mellon Capital Management Bond Index Fund 0.30 0.30 0.25 0.25 0.25 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 0.45 0.45 0.45 0.45 0.45 JNL/Mellon Capital Management International Index Fund 0.30 0.30 0.25 0.25 0.25 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 0.29 0.29 0.24 0.24 0.24 JNL/Mellon Capital Management S&P 500 Index Fund 0.29 0.29 0.24 0.24 0.24 JNL/Mellon Capital Management Small Cap Index Fund 0.29 0.29 0.24 0.24 0.24 JNL/Oppenheimer Global Growth Fund 0.60 0.60 0.60 0.60 0.60 JNL/Oppenheimer Growth Fund 0.60 0.60 0.60 0.60 0.60 JNL/PIMCO Total Return Bond Fund 0.50 0.50 0.50 0.50 0.50 JNL/Putnam Equity Fund 0.575 0.575 0.575 0.575 0.575 JNL/Putnam Midcap Growth Fund 0.70 0.70 0.70 0.70 0.70 JNL/Putnam Value Equity Fund 0.575 0.575 0.575 0.575 0.575 JNL/S&P Funds 0.13 0.13 0.08 0.08 0.08 JNL/Salomon Brothers High Yield Bond Fund 0.45 0.45 0.425 0.425 0.425 JNL/Salomon Brothers Strategic Bond Fund 0.60 0.60 0.55 0.55 0.55 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 0.40 0.40 0.35 0.35 0.35 JNL/Select Balanced Fund 0.45 0.45 0.425 0.425 0.425 JNL/Select Global Growth Fund 0.70 0.70 0.65 0.60 0.60 JNL/Select Large Cap Growth Fund 0.65 0.65 0.60 0.55 0.55 JNL/Select Money Market Fund 0.30 0.30 0.25 0.25 0.25 JNL/Select Value Fund 0.50 0.50 0.45 0.45 0.45 JNL/T.Rowe Price Established Growth Fund (f) 0.60 0.60 0.55 0.55 0.55 JNL/T.Rowe Price Mid-Cap Growth Fund 0.70 0.70 0.70 0.70 0.70 JNL/T.Rowe Price Value Fund (g) 0.65 0.65 0.60 0.60 0.60
(a) Prior to January 1, 2005, the fees were 0.75% on assets up to $300 million and 0.70% over $300 million. (b) Prior to May 2, 2005, the fees were 0.80% on assets up to $50 million, 0.75% between $50 and $500, and 0.70% over $500 million. (c) Prior to May 2, 2005, the fees were 0.775% on assets up to $50 million, 0.75% between $50 million and $200 million, 0.70% between $200 million and $350 million, and 0.65% over $350 million. (d) Prior to January 1, 2005, the fees were 0.775% on assets up to $150 million, 0.725% between $150 million and $300 million, and 0.70% over $300 million. (e) Prior to January 1, 2005, the fees were 0.85% on assets up to $50 million, 0.80% between $50 million and $150 million, 0.775% between $150 million and $300 million, and 0.725% over $300 million. (f) Prior to January 1, 2005, the fees were 0.65% on assets up to $150 million and 0.60% over $150 million. (g) Prior to January 1, 2005, the fees were 0.70% on asssets up to $300 million and 0.65% over $300 million. ADMINISTRATIVE FEE - The JNL/S&P Funds pay JNAM an annual Administrative Fee of 0.05% of the average daily net assets of each Fund. The JNL/JPMorgan International Equity Fund, JNL/JPMorgan International Value Fund, the JNL/Mellon Capital Management International Index Fund, the JNL/Oppenheimer Global Growth Fund, and the JNL/Select Global Growth Fund pay JNAM an annual Administration Fee of 0.15% of the average daily net assets of the Funds. All other Funds pay JNAM an annual Administration Fee of 0.10% of the average daily net assets of the Funds. In return for the Administrative Fee, JNAM provides or procures all necessary administrative functions and services for the operation of the Funds. In addition, JNAM, 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, licensing costs, directors and officers insurance, the fees and expenses of the disinterested Managers and independent legal counsel to the disinterested Managers, and a majority of the cost associated with the Chief Compliance Officer. TRANSFER AGENCY SERVICES - The Trust has an agreement with JNAM whereby JNAM provides transfer agency services for the Funds at no additional cost. BROKERAGE FEES - During the period ended June 30, 2005, JNL/Alger Growth Fund, JNL/FMR Capital Growth Fund, JNL/JPMorgan International Equity Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Small Cap Index Fund and JNL/Oppenheimer Global Growth Fund paid $447,283; $11,302; $3,538; $1,289; $437 and $193, in thousands respectively, to affiliates of the Funds for brokerage fees on the execution of purchases and sales of portfolio investments. 12b-1 SERVICE FEE - The 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% 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)". BROKERAGE COMMISSIONS - The sub-advisers may use their best efforts (subject to obtaining best execution of each transaction) to allocate a portion of a Fund's equity security transactions through certain designated broker-dealers which will rebate a portion of the brokerage commissions to that Fund. Any amount credited to the Fund is reflected as brokerage commissions recaptured in the Statement of Operations. DEFERRED COMPENSATION PLAN - The Funds have adopted a Deferred Compensation Plan whereby non-interested Trustees may defer the receipt of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the designated Fund(s). The Fund's liability for these amounts is adjusted for market value changes and remains in the Fund until distributed under the terms of the Deferred Compensation Plan. INVESTMENTS IN AFFILIATES - During the six months ended June 30, 2005, certain Funds invested in a money market fund for temporary purposes, which were managed by an affiliate to the sub-adviser. The JNL/S&P Funds invested solely in other affiliated Funds of the Trust and JNL Variable Funds. 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 including dollar rolls for the period ended June 30, 2005, is as follows (in thousands):
Investment Securities U.S. Government Obligations Purchases Sales Purchases Sales --------------- ---------------- ----------------- ------------ --------------- ---------------- ----------------- ------------ JNL/AIM Large Cap Growth Fund 234,245 $ 107,172 $ - $ - JNL/AIM Real Estate Fund 52,307 2,296 - - JNL/AIM Small Cap Growth Fund 16,665 15,315 - - JNL/Alger Growth Fund 347,358 406,414 - - JNL/Eagle Core Equity Fund 159,241 202,196 - - JNL/Eagle SmallCap Equity Fund 49,668 60,733 - - JNL/FMR Balanced Fund 25,845 19,769 30,659 29,010 JNL/FMR Capital Growth Fund 154,269 152,477 - - JNL/Franklin Templeton Small Cap Value Fund 40,577 480 - - JNL/Goldman Sachs Mid Cap Value Fund 54,253 4,676 - - JNL/JPMorgan International Equity Fund 180,162 100,769 - - JNL/JPMorgan International Value Fund 144,580 45,747 - - JNL/Lazard Mid Cap Value Fund 96,059 105,823 - - JNL/Lazard Small Cap Value Fund 88,157 112,259 - - JNL/Mellon Capital Management Bond Index Fund 218,972 200,489 37,002 24,683 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 34,366 148,865 - - JNL/Mellon Capital Management International Index Fund 65,396 135,176 - - JNL/Mellon Capital Management S&P 400 MidCap Index Fund 40,003 8,516 - - JNL/Mellon Capital Management S&P 500 Index Fund 58,514 48,140 - - JNL/Mellon Capital Management Small Cap Index Fund 53,220 26,953 - - JNL/Oppenheimer Global Growth Fund 46,420 26,319 - - JNL/Oppenheimer Growth Fund 10,597 9,839 - - JNL/PIMCO Total Return Bond Fund 490,746 495,072 368,349 254,148 JNL/Putnam Equity Fund 102,083 98,002 - - JNL/Putnam Midcap Growth Fund 14,235 14,903 - - JNL/Putnam Value Equity Fund 76,071 100,917 - - JNL/S&P Managed Aggressive Growth Fund 197,824 220,350 - - JNL/S&P Managed Conservative Fund 40,657 3,288 - - JNL/S&P Managed Growth Fund 270,362 270,881 - - JNL/S&P Managed Moderate Fund 70,633 7,779 - - JNL/S&P Managed Moderate Growth Fund 240,750 130,703 - - JNL/Salomon Brothers High Yield Bond Fund 35,260 48,079 - - JNL/Salomon Brothers Strategic Bond Fund 538,649 487,475 54,490 55,739 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 416,473 408,544 33,570 34,133 JNL/Select Balanced Fund 37,469 40,459 18,063 14,997 JNL/Select Global Growth Fund 304,115 322,061 - - JNL/Select Large Cap Growth Fund 91,408 164,296 - - JNL/Select Money Market Fund 22,475 14,900 - - JNL/Select Value Fund 91,806 21,784 - - JNL/T.Rowe Price Established Growth Fund 204,777 115,242 - - JNL/T.Rowe Price Mid-Cap Growth Fund 77,182 74,795 - - JNL/T.Rowe Price Value Fund 81,359 65,566 - -
NOTE 5. FEDERAL INCOME TAX MATTERS At December 31, 2004, 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 YEAR(S) OF AMOUNT EXPIRATION AMOUNT EXPIRATION - ------------------------------------------------------------------ ---------------------------------------------------------------- JNL/AIM Large Cap Growth Fund $ 4,597 2010-2012 JNL/Putnam Midcap Growth Fund $ 20,871 2009-2011 JNL/AIM Small Cap Growth Fund 884 2010-2011 JNL/Putnam Value Equity Fund 41,085 2010-2011 JNL/Alger Growth Fund 111,621 2009-2011 JNL/Salomon Brothers High Yield Bond Fund 51,880 2007-2010 JNL/Eagle Core Equity Fund 28,737 2009-2011 JNL/Select Global Growth Fund 162,220 2009-2011 JNL/Eagle SmallCap Equity Fund 12,761 2010-2011 JNL/Select Large Cap Growth Fund 308,609 2009-2011 JNL/FMR Balanced Fund 2,357 2010-2011 JNL/Select Money Market Fund 2 2010-2012 JNL/FMR Capital Growth Fund 336,978 2009-2011 JNL/T.Rowe Price Established Growth Fund 70,286 2009-2011 JNL/JPMorgan International Equity Fund 30,209 2009-2011 JNL/S&P Managed Aggressive Growth Fund 46,840 2009-2012 JNL/Oppenheimer Global Growth Fund 3,744 2010-2011 JNL/S&P Managed Growth Fund 2,177 2009-2012 JNL/Oppenheimer Growth Fund 1,880 2010-2011 JNL/S&P Managed Moderate Growth Fund 339 2009-2012 JNL/Putnam Equity Fund 123,916 2009-2011
The following represents capital and/or currency losses (in thousands) realized after October 31, 2004, which were deferred for tax purposes to the first of the following fiscal year: AMOUNT - ------------------------------------------------------------------- - ------------------------------------------------------------------- JNL/Eagle Core Equity Fund $ 30 JNL/FMR Capital Growth Fund 11 JNL/T.Rowe Price Established Growth Fund 48 JNL/S&P Managed Aggressive Growth Fund 8,515 JNL/S&P Managed Moderate Growth Fund 8,178 Permanent differences between book and tax basis reporting for the 2004 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 UNDISTRIBUTED ACCUMULATED NET INVESTMENT NET REALIZED INCOME GAIN/LOSS PAID IN CAPITAL ------------------ ----------------- ---------------- ------------------ ----------------- ---------------- JNL/AIM Small Cap Growth Fund $ 413 $ $ (413) JNL/Eagle Core Equity Fund (29) 29 - JNL/Eagle SmallCap Equity Fund 1,024 - (1,024) JNL/FMR Balanced Fund (23) 23 - JNL/FMR Capital Growth Fund (23) 23 - JNL/JPMorgan International Equity Fund 458 (458) - JNL/JPMorgan International Value Fund 297 (297) - JNL/Lazard Mid Cap Value Fund (130) 130 - JNL/Lazard Small Cap Value Fund 363 (363) - JNL/Mellon Capital Management Bond Index Fund (297) 297 - JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (5) 5 - JNL/Mellon Capital Management International Index Fund 211 (211) - JNL/Mellon Capital Management S&P 400 MidCap Index Fund (3) 3 - JNL/Mellon Capital Management S&P 500 Index Fund (9) 9 - JNL/Mellon Capital Management Small Cap Index Fund (23) 23 - JNL/Oppenheimer Global Growth Fund (422) 422 - JNL/PIMCO Total Return Bond Fund (449) 449 - JNL/Putnam Equity Fund (8) 8 - JNL/Putnam Midcap Growth Fund 188 - (188) JNL/Putnam Value Equity Fund (5) 5 - JNL/S&P Managed Aggressive Growth Fund 2,332 (2,332) - JNL/S&P Managed Conservative Fund 14 (14) - JNL/S&P Managed Growth Fund 3,443 (3,443) - JNL/S&P Managed Moderate Fund 51 (51) - JNL/S&P Managed Moderate Growth Fund 1,590 (1,590) - JNL/Salomon Brothers Strategic Bond Fund 11 (11) - JNL/Salomon Brothers U.S. Government & Quality Bond Fund (219) 219 - JNL/Select Balanced Fund (324) 324 - JNL/Select Global Growth Fund (134) 134 - JNL/Select Large Cap Growth Fund 244 (24) (220) JNL/T.Rowe Price Established Growth Fund (308) 308 - JNL/T.Rowe Price Mid-Cap Growth Fund 2,546 (2,546) - JNL/T.Rowe Price Value Fund (50) 50 -
As of June 30, 2005, 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.
Gross Gross Net Unrealized Cost of Unrealized Unrealized Appreciation/ nvestments Appreciation Depreciation (Depreciation) - ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- JNL/AIM Large Cap Growth Fund $ 298,594 $ 30,188 $ (3,067) $ 27,121 JNL/AIM Real Estate Fund 53,781 3,259 (161) 3,098 JNL/AIM Small Cap Growth Fund 39,601 7,759 (1,221) 6,538 JNL/Alger Growth Fund 218,071 17,099 (3,451) 13,648 JNL/Eagle Core Equity Fund 257,836 20,609 (7,486) 13,123 JNL/Eagle SmallCap Equity Fund 128,026 37,595 (4,519) 33,076 JNL/FMR Balanced Fund 105,426 11,959 (3,214) 8,745 JNL/FMR Capital Growth Fund 196,928 18,247 (8,769) 9,478 JNL/Franklin Templeton Small Cap Value Fund 51,530 2,802 (473) 2,329 JNL/Goldman Sachs Mid Cap Value Fund 53,027 3,556 (391) 3,165 JNL/JPMorgan International Equity Fund 170,030 6,574 (3,352) 3,222 JNL/JPMorgan International Value Fund 171,634 8,614 (2,916) 5,698 JNL/Lazard Mid Cap Value Fund 198,577 19,363 (6,426) 12,937 JNL/Lazard Small Cap Value Fund 173,209 23,006 (6,136) 16,870 JNL/Mellon Capital Management Bond Index Fund 183,975 2,043 (541) 1,502 JNL/Mellon Capital Management Enhanced S&P 500 Index Fund 55,423 4,694 (2,039) 2,655 JNL/Mellon Capital Management International Index Fund 201,392 18,197 (6,029) 12,168 JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund 201,706 42,999 (10,221) 32,778 JNL/Mellon Capital Management S&P 500 Index Fund 333,095 43,490 (15,571) 27,919 JNL/Mellon Capital Management Small Cap Index Fund 184,739 30,942 (13,964) 16,978 JNL/Oppenheimer Global Growth Fund 205,112 44,208 (6,325) 37,883 JNL/Oppenheimer Growth Fund 23,447 2,441 (765) 1,676 JNL/PIMCO Total Return Bond Fund 544,167 6,135 (261) 5,874 JNL/Putnam Equity Fund 144,224 15,869 (3,629) 12,240 JNL/Putnam Midcap Growth Fund 29,187 4,118 (764) 3,354 JNL/Putnam Value Equity Fund 173,476 23,017 (6,673) 16,344 JNL/S&P Managed Aggressive Growth Fund 584,837 62,186 (572) 61,614 JNL/S&P Managed Conservative Fund 51,214 803 (90) 713 JNL/S&P Managed Growth Fund 920,504 81,339 (1,208) 80,131 JNL/S&P Managed Moderate Fund 81,961 1,424 (153) 1,271 JNL/S&P Managed Moderate Growth Fund 683,434 50,285 (1,154) 49,131 JNL/Salomon Brothers High Yield Bond Fund 256,216 10,046 (6,673) 3,373 JNL/Salomon Brothers Strategic Bond Fund 375,051 7,782 (3,169) 4,613 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 272,459 5,342 (449) 4,893 JNL/Select Balanced Fund 359,785 27,193 (7,530) 19,663 JNL/Select Global Growth Fund 175,745 12,826 (2,619) 10,207 JNL/Select Large Cap Growth Fund 205,133 20,300 (6,229) 14,071 JNL/Select Money Market Fund 220,706 - - - JNL/Select Value Fund 215,469 17,302 (4,863) 12,439 JNL/T. Rowe Price Established Growth Fund 624,523 92,755 (23,501) 69,254 JNL/T. Rowe Price Mid-Cap Growth Fund 434,605 140,609 (20,395) 120,214 JNL/T. Rowe Price Value Fund 433,224 77,197 (17,785) 59,412
The tax character of distributions paid during the period ended December 31, 2004, were as follows (in thousands): ORDINARY LONG-TERM INCOME CAPITAL GAIN ------------------------------ JNL/Alger Growth Fund $ 28 $ - JNL/Eagle Core Equity Fund 2,505 - JNL/FMR Balanced Fund 1,265 - JNL/JPMorgan International Equity Fund 1,170 - JNL/JPMorgan International Value Fund 713 5 JNL/Lazard Mid Cap Value Fund 13,855 9,465 JNL/Lazard Small Cap Value Fund 7,300 10,754 JNL/Mellon Capital Management Bond Index Fund 333 2 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 485 - JNL/Mellon Capital Management International Index Fund 245 - JNL/Mellon Capital Management S&P 400 MidCap Index Fund 10 - JNL/Mellon Capital Management S&P 500 Index Fund 4,356 1,275 JNL/Mellon Capital Management Small Cap Index Fund 6 333 JNL/Oppenheimer Global Growth Fund 288 - JNL/PIMCO Total Return Bond Fund 7,429 2,747 JNL/Putnam Equity Fund 860 - JNL/Putnam Value Equity Fund 2,931 - JNL/S&P Managed Aggressive Growth Fund 698 - JNL/S&P Managed Growth Fund 5,127 3,197 JNL/S&P Managed Moderate Growth Fund 5,828 8,768 JNL/Salomon Brothers High Yield Bond Fund 5,803 67 JNL/Salomon Brothers Strategic Bond Fund 10,250 3,507 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 9,399 555 JNL/Select Balanced Fund 375 2,289 JNL/Select Money Market Fund 1,600 - JNL/Select Value Fund 1,045 423 JNL/T.Rowe Price Established Growth Fund 2,214 - JNL/T.Rowe Price Mid-Cap Growth Fund 1,741 25,887 JNL/T.Rowe Price Value Fund 2,908 - The tax character of distributions paid during the period ended December 31, 2003, were as follows (in thousands):
ORDINARY LONG-TERM INCOME CAPITAL GAIN ----------------------------- JNL/Eagle Core Equity Fund $ 1,494 $ - JNL/FMR Balanced Fund 1,480 - JNL/JPMorgan International Equity Fund 1,395 - 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 Enhanced S&P 500 Stock Index Fund 236 - JNL/Mellon Capital Management International Index Fund 1,094 - 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/PIMCO Total Return Bond Fund 8,768 1,422 JNL/Putnam Equity Fund 486 - JNL/Putnam Value Equity Fund 3,168 - JNL/S&P Managed Aggressive Growth Fund 1,956 - JNL/S&P Managed Growth Fund 9,969 - JNL/S&P Managed Moderate Growth Fund 8,874 - 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/Select Balanced Fund 7,530 401 JNL/Select Money Market Fund 924 - JNL/Select Value Fund 303 - 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 6. SUBSEQUENT EVENT Effective July 1, 2005, the advisory fee for the JNL/Oppenheimer Growth Fund is 0.65% on assets up to $300 million and 0.60% on assets over $300 million pursuant to an amendment to the Investment Advisory and Management Agreement between the Trust and JNAM. NOTE 7. FUND ACQUISITION On May 2, 2005, the following acquisition was accomplished by a taxable exchange of shares (in thousands) pursuant to a plan of reorganization approved by the Board of Trustees on February 9, 2005:
OF ACQUIRED FUND ON ACQUISITION DATE: ----------------------------------------- SHARES OF ----------------------------------------- ACQUIRING ACCUMULATED UNREALIZED FUND ISSUED MERGER SHARES REALIZED APPRECIATION/ ACQUIRING FUND IN EXCHANGE TAX STATUS ACQUIRED FUND OUTSTANDING GAIN/(LOSS) (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ JNL/T.Rowe Established Growth Fund 2,154 Taxable JNL/Alliance Capital Growth Fund 3,809 $ (62,113) $ - The aggregate net assets (in thousands) of the acquiring and acquired funds immediately before the acquisition were as follows: ACQUIRING FUND NET ASSETS ACQUIRED FUND NET ASSETS - --------------------------------------------------------------------------------------------------------------- JNL/T.Rowe Established Growth Fund$ 606,447 JNL/Alliance Capital Growth Fund $ 36,924
DISCLOSURE OF FUND EXPENSES (UNAUDITED) All Mutual Funds are affected by ongoing costs, which include (among others) costs for portfolio management, administrative services, and the operating expenses. Operating expenses such as these are deducted from the Fund's gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund's average net assets; this percentage is known as the Fund's expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other Mutual Funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses the shareholder paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses paid During Period" to estimate the expenses paid during this period. Hypothetical 5% Return. The information in this section can be used to compare each Fund's costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make the 5% calculation.
ACTUAL FUND RETURN -------------------------------------------------------------------- -------------------------------------------------------------------- BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/31/2004 6/30/2005 RATIOS PERIOD ---------------- ----------------- --------------- --------------- ---------------- ----------------- --------------- --------------- JNL/AIM Large Cap Growth Fund Class A $ 1,000.00 $ 990.60 1.02 % $ 5.03 Class B 1,000.00 991.40 0.82 4.05 JNL/AIM Real Estate Fund (a) Class A 1,000.00 1,078.30 1.04 5.36 Class B 1,000.00 1,078.00 0.85 4.38 JNL/AIM Small Cap Growth Fund Class A 1,000.00 1,019.20 1.16 5.81 Class B 1,000.00 1,021.60 0.96 4.81 JNL/Alger Growth Fund Class A 1,000.00 1,012.90 1.01 5.04 Class B 1,000.00 1,014.20 0.82 4.10 JNL/Eagle Core Equity Fund Class A 1,000.00 975.90 0.96 4.70 Class B 1,000.00 976.70 0.77 3.77 JNL/Eagle SmallCap Equity Fund Class A 1,000.00 983.00 1.06 5.21 Class B 1,000.00 984.00 0.86 4.23 JNL/FMR Balanced Fund Class A 1,000.00 1,033.30 1.01 5.09 Class B 1,000.00 1,023.80 0.81 4.06 JNL/FMR Capital Growth Fund Class A 1,000.00 968.10 1.01 4.93 Class B 1,000.00 968.80 0.81 3.95 JNL/Franklin Templeton Small Cap Value Fund (a) Class A 1,000.00 1,050.00 1.15 5.85 Class B 1,000.00 1,050.00 0.95 4.83 JNL/Goldmn Sachs Mid Cap Value Fund (a) Class A 1,000.00 1,074.00 1.05 5.40 Class B 1,000.00 1,074.00 0.85 4.37 JNL/JPMorgan International Equity Fund Class A 1,000.00 975.50 1.11 5.44 Class B 1,000.00 977.40 0.90 4.41 JNL/JPMorgan International Value Fund Class A 1,000.00 1,005.40 1.10 5.47 Class B 1,000.00 996.80 0.89 4.41 JNL/Lazard Mid Cap Value Fund Class A 1,000.00 1,018.40 1.03 5.15 Class B 1,000.00 1,019.00 0.84 4.21 JNL/Lazard Small Cap Value Fund Class A 1,000.00 1,001.40 1.06 5.26 Class B 1,000.00 1,002.20 0.86 4.27 JNL/Mellon Capital Management Bond Index Fund Class A 1,000.00 1,062.40 0.61 3.12 Class B 1,000.00 1,024.20 0.41 2.06 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund Class A $ 1,000.00 $ 994.30 0.79 % $ 3.91 Class B 1,000.00 996.60 0.61 3.02 JNL/Mellon Capital Management International Index Fund Class A 1,000.00 986.10 0.66 3.25 Class B 1,000.00 986.80 0.46 2.27 JNL/Mellon Capital Management S&P 400 MidCap Index Fund Class A 1,000.00 1,036.90 0.61 3.08 Class B 1,000.00 1,037.70 0.41 2.07 JNL/Mellon Capital Mangement S&P 500 Index Fund Class A 1,000.00 989.70 0.61 3.01 Class B 1,000.00 989.70 0.41 2.02 JNL/Mellon Capital Management Small Cap Index Fund Class A 1,000.00 985.90 0.60 2.95 Class B 1,000.00 986.60 0.40 1.97 JNL/Oppenheimer Global Growth Fund Class A 1,000.00 995.80 1.06 5.25 Class B 1,000.00 997.50 0.86 4.26 JNL/Oppenheimer Growth Fund Class A 1,000.00 993.00 1.01 4.99 Class B 1,000.00 994.20 0.81 4.01 JNL/PIMCO Total Return Bond Fund Class A 1,000.00 1,027.60 0.81 4.07 Class B 1,000.00 1,028.00 0.61 3.07 JNL/Putnam Equity Fund Class A 1,000.00 1,011.30 0.98 4.89 Class B 1,000.00 1,012.40 0.79 3.94 JNL/Putnam Midcap Growth Fund Class A 1,000.00 1,000.00 1.06 5.26 Class B 1,000.00 1,000.00 0.86 4.26 JNL/Putnam Value Equity Fund Class A 1,000.00 1,005.20 0.97 4.82 Class B 1,000.00 1,006.90 0.77 3.83 JNL/S&P Managed Aggressive Growth Fund Class A 1,000.00 998.30 0.18 0.89 JNL/S&P Managed Conservative Fund Class A 1,000.00 1,013.50 0.19 0.95 JNL/S&P Managed Growth Fund Class A 1,000.00 999.20 0.16 0.79 JNL/S&P Managed Moderate Fund Class A 1,000.00 1,006.60 0.19 0.95 JNL/S&P Managed Moderate Growth Fund Class A 1,000.00 1,003.40 0.18 0.89 JNL/Salomon Brothers High Yield Bond Fund Class A 1,000.00 1,002.40 0.81 4.02 Class B 1,000.00 1,003.50 0.61 3.03 JNL/Salomon Brothers Strategic Bond Fund Class A 1,000.00 1,020.90 0.94 4.71 Class B 1,000.00 1,022.00 0.74 3.71 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Class A 1,000.00 1,029.20 0.80 4.03 Class B 1,000.00 1,029.90 0.60 3.02 JNL/Select Balanced Fund Class A 1,000.00 1,003.50 0.80 3.97 Class B 1,000.00 1,004.70 0.60 2.98 JNL/Select Global Growth Fund Class A $ 1,000.00 $ 926.80 1.10 % $ 5.26 Class B 1,000.00 928.00 0.91 4.35 JNL/Select Large Cap Growth Fund Class A 1,000.00 984.30 0.99 4.87 Class B 1,000.00 985.30 0.80 3.94 JNL/Select Money Market Fund Class A 1,000.00 1,010.60 0.61 3.04 Class B 1,000.00 1,011.60 0.41 2.04 JNL/Select Value Fund Class A 1,000.00 1,015.00 0.86 4.30 Class B 1,000.00 1,016.20 0.66 3.30 JNL/T.Rowe Price Established Growth Fund Class A 1,000.00 986.40 0.91 4.48 Class B 1,000.00 987.50 0.71 3.50 JNL/T.Rowe Price Mid-Cap Growth Fund Class A 1,000.00 1,014.00 1.02 5.09 Class B 1,000.00 1,015.00 0.83 4.15 JNL/T.Rowe Price Value Fund Class A 1,000.00 1,000.00 0.97 4.81 Class B 1,000.00 1,001.50 0.78 3.87 - --------------------------------------------------- - --------------------------------------------------- (a) Period from May 2, 2005 (commencement of operations). HYPOTHETICAL 5% RETURN ------------------------------------------------------------------ ------------------------------------------------------------------ BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/31/2004 6/30/2005 RATIOS PERIOD ---------------- ---------------- --------------- --------------- ---------------- ---------------- --------------- --------------- JNL/AIM Large Cap Growth Fund Class A $ 1,000.00 $ 1,019.82 1.02 % $ 5.11 Class B 1,000.00 1,020.80 0.82 4.11 JNL/AIM Real Estate Fund (a) Class A 1,000.00 1,019.31 1.04 5.21 Class B 1,000.00 1,020.26 0.85 4.26 JNL/AIM Small Cap Growth Fund Class A 1,000.00 1,019.31 1.16 5.81 Class B 1,000.00 1,020.26 0.96 4.81 JNL/Alger Growth Fund Class A 1,000.00 1,020.06 1.01 5.06 Class B 1,000.00 1,021.11 0.82 4.11 JNL/Eagle Core Equity Fund Class A 1,000.00 1,020.30 0.96 4.81 Class B 1,000.00 1,021.28 0.77 3.86 JNL/Eagle SmallCap Equity Fund Class A 1,000.00 1,019.82 1.06 5.31 Class B 1,000.00 1,020.85 0.86 4.31 JNL/FMR Balanced Fund Class A 1,000.00 1,020.07 1.01 5.06 Class B 1,000.00 1,021.26 0.81 4.06 JNL/FMR Capital Growth Fund Class A 1,000.00 1,020.07 1.01 5.06 Class B 1,000.00 1,021.17 0.81 4.06 JNL/Franklin Templeton Small Cap Value Fund (a) Class A 1,000.00 1,020.07 1.15 5.76 Class B 1,000.00 1,021.17 0.95 4.76 JNL/Goldmn Sachs Mid Cap Value Fund (a) Class A 1,000.00 1,020.07 1.05 5.26 Class B 1,000.00 1,021.17 0.85 4.26 JNL/JPMorgan International Equity Fund Class A 1,000.00 1,019.42 1.11 5.56 Class B 1,000.00 1,020.61 0.90 4.51 JNL/JPMorgan International Value Fund Class A 1,000.00 1,019.47 1.10 5.51 Class B 1,000.00 1,020.37 0.89 4.46 JNL/Lazard Mid Cap Value Fund Class A 1,000.00 1,019.73 1.03 5.16 Class B 1,000.00 1,020.72 0.84 4.21 JNL/Lazard Small Cap Value Fund Class A 1,000.00 1,019.52 1.06 5.31 Class B 1,000.00 1,020.62 0.86 4.31 JNL/Mellon Capital Management Bond Index Fund Class A 1,000.00 1,022.08 0.61 3.06 Class B 1,000.00 1,023.08 0.41 2.06 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund Class A $ 1,000.00 $ 1,021.25 0.79 % $ 3.96 Class B 1,000.00 1,022.29 0.61 3.06 JNL/Mellon Capital Management International Index Fund Class A 1,000.00 1,021.83 0.66 3.31 Class B 1,000.00 1,022.82 0.46 2.31 JNL/Mellon Capital Management S&P 400 MidCap Index Class A 1,000.00 1,022.13 0.61 3.06 Class B 1,000.00 1,023.14 0.41 2.06 JNL/Mellon Capital Mangement S&P 500 Index Fund Class A 1,000.00 1,022.13 0.61 3.06 Class B 1,000.00 1,023.13 0.41 2.06 JNL/Mellon Capital Management Small Cap Index Fund Class A 1,000.00 1,022.13 0.60 3.01 Class B 1,000.00 1,023.13 0.40 2.01 JNL/Oppenheimer Global Growth Fund Class A 1,000.00 1,019.82 1.06 5.31 Class B 1,000.00 1,020.82 0.86 4.31 JNL/Oppenheimer Growth Fund Class A 1,000.00 1,020.06 1.01 5.06 Class B 1,000.00 1,020.84 0.81 4.06 JNL/PIMCO Total Return Bond Fund Class A 1,000.00 1,021.07 0.81 4.06 Class B 1,000.00 1,022.09 0.61 3.06 JNL/Putnam Equity Fund Class A 1,000.00 1,020.19 0.98 4.91 Class B 1,000.00 1,021.22 0.79 3.96 JNL/Putnam Midcap Growth Fund Class A 1,000.00 1,019.81 1.06 5.31 Class B 1,000.00 1,020.74 0.86 4.31 JNL/Putnam Value Equity Fund Class A 1,000.00 1,020.30 0.97 4.86 Class B 1,000.00 1,021.40 0.77 3.86 JNL/S&P Managed Aggressive Growth Fund Class A 1,000.00 1,024.23 0.18 0.90 JNL/S&P Managed Conservative Fund Class A 1,000.00 1,024.23 0.19 0.95 JNL/S&P Managed Growth Fund Class A 1,000.00 1,024.30 0.16 0.80 JNL/S&P Managed Moderate Fund Class A 1,000.00 1,024.23 0.19 0.95 JNL/S&P Managed Moderate Growth Fund Class A 1,000.00 1,024.22 0.18 0.90 JNL/Salomon Brothers High Yield Bond Fund Class A 1,000.00 1,021.04 0.81 4.06 Class B 1,000.00 1,022.05 0.61 3.06 JNL/Salomon Brothers Strategic Bond Fund Class A 1,000.00 1,020.41 0.94 4.71 Class B 1,000.00 1,019.82 0.74 3.71 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Class A 1,000.00 1,021.14 0.80 4.01 Class B 1,000.00 1,022.12 0.60 3.01 JNL/Select Balanced Fund Class A 1,000.00 1,021.12 0.80 4.01 Class B 1,000.00 1,022.30 0.60 3.01 JNL/Select Global Growth Fund Class A $ 1,000.00 $ 1,019.62 1.10 % $ 5.51 Class B 1,000.00 1,021.01 0.91 4.56 JNL/Select Large Cap Growth Fund Class A 1,000.00 1,020.17 0.99 4.96 Class B 1,000.00 1,021.29 0.80 4.01 JNL/Select Money Market Fund Class A 1,000.00 1,022.08 0.61 3.06 Class B 1,000.00 1,023.14 0.41 2.06 JNL/Select Value Fund Class A 1,000.00 1,020.82 0.86 4.31 Class B 1,000.00 1,021.82 0.66 3.31 JNL/T.Rowe Price Established Growth Fund Class A 1,000.00 1,020.50 0.91 4.56 Class B 1,000.00 1,021.48 0.71 3.56 JNL/T.Rowe Price Mid-Cap Growth Fund Class A 1,000.00 1,019.99 1.02 5.11 Class B 1,000.00 1,021.07 0.83 4.16 JNL/T.Rowe Price Value Fund Class A 1,000.00 1,020.15 0.97 4.86 Class B 1,000.00 1,021.16 0.78 3.91 - --------------------------------------------------- - --------------------------------------------------- (a) Period from May 2, 2005 (commencement of operations).
ADDITIONAL DISCLOSURE QUARTERLY PORTFOLIO HOLDINGS The Registrants file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Registrants' Forms N-Q are available on the SEC's website at www.sec.gov. The Registrant's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330; and is available upon request from the Registrants by calling Shareholder Services toll-free at 800-644-4563. TRUSTEES AND OFFICERS OF THE 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* (56) Trustee 8/97 to Senior Vice President (9/03 to 65 None 1 Corporate Way present present) and Controller of Lansing, MI 48951 Jackson National Life Insurance President 12/02 to Company (9/82 to present); Vice and Chief present President and Controller of Executive Jackson National Life Insurance Officer 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 (49) Trustee 12/03 to Sheriff, Oakland County, Michigan 65 None 1 Corporate Way present (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 (67) Chairman of 2/04 to Acting Commissioner of Insurance 65 None 1 Corporate Way the Board present for the State of Michigan (1/90 Lansing, MI 48951 to 5/90) (8/97 to 5/98) Trustee 2/02 to present - --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------ - --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------ Michelle Engler (47) Trustee 12/03 to Attorney (1983 to present); 65 Director of 1 Corporate Way present 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 (71) Trustee 12/94 to Consultant (Banking) 65 None 1 Corporate Way present Lansing, MI 48951 - --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------ - --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------ Richard McLellan (63) Trustee 12/94 to Member, Dykema Gossett PLLC (Law 65 None 1 Corporate Way present Firm) Lansing, MI 48951 - --------------------------- -------------- -------------- ----------------------------------- ------------------ ------------------ - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ NUMBER OF CURRENT PORTFOLIOS IN THE OTHER POSITION LENGTH OF PRINCIPAL FUND COMPLEX TRUSTEESHIPS TRUSTEE/OFFICER (AGE) & WITH THE TIME OCCUPATION OVERSEEN BY THE HELD BY THE ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE TRUSTEE - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ OFFICERS - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ Mark D. Nerud (39) Vice 8/97 to Chief Financial Officer of the Not Applicable Not Applicable 225 West Wacker Drive, President present Adviser (11/00 to present) and Chicago, IL 60606 Managing Board Member of the Treasurer 12/02 to Adviser (11/00 to 11/03); Vice and Chief present President, Treasurer, Chief Financial Financial Officer of other Officer Investment Companies advised by the Adviser; Vice President - Fund Accounting & Administration of Jackson National Life Insurance Company (1/00 to present) - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ Susan S. Rhee (33) Vice 2/04 to Secretary of the Adviser (11/00 Not Applicable Not Applicable 1 Corporate Way President, present to present); Assistant Vice Lansing, MI 48951 Counsel and President of Jackson National Secretary 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) - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------ Steven J. Fredricks (35) Chief 1/05 to present Attorney of Jackson National Not Applicable Not Applicable 1 Corporate Way Compliance Life Insurance Company (2/02 to Lansing, MI 48951 Officer Present); Contract Attorney, Godfrey & Kahn, S.C. (2001 - 2002); Assistant General Counsel, Aid Association for Lutherans (1997 to 2001) - -------------------------- -------------- --------------- ---------------------------------- ------------------- ------------------
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 and Life Service Center), 1-800-599-5651 (NY Annuity and Life Service Center), 1-800-777-7779 (for contracts purchased through a bank or financial institution) or 1-888-464-7779 (for NY contracts purchased through a bank or financial institution), by writing JNL Series Trust, P.O. Box 378002, Denver, Colorado 80237-8002 or by visiting WWW.JNL.COM or WWW.JNLNY.COM. - -------- * Mr. Fritts is an "interested persons" of the Trust due to his position with Jackson National Life Insurance Company(R), which is the parent company of the Adviser and Distributor. TRUSTEES OF THE JNL SERIES TRUST The 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 for the six month period ended June 30, 2005.
- ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- PENSION OR RETIREMENT AGGREGATE BENEFITS ACCRUED AS PART ESTIMATED ANNUAL COMPENSATION OF BENEFITS UPON TOTAL COMPENSATION FROM TRUSTEE FROM TRUST* TRUST EXPENSES RETIREMENT TRUST AND FROM FUND COMPLEX - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- Michael Bouchard $32,500 $0 $0 $32,500 - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- Michelle Engler $32,500 $0 $0 $32,500 - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- Dominic D'Annunzio $40,000 $0 $0 $40,000** - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- Joeph Frauenheim $40,000 $0 $0 $40,000 - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- - ------------------------------ ------------------- -------------------------- -------------------- ---------------------------- Richard McLellan $37,500 $0 $0 $37,500 - ------------------------------ ------------------- -------------------------- -------------------- ----------------------------
* 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. ** Mr. D'Annunzio deferred $20,000. PROXY VOTING GUIDELINES JNAM, the Funds' 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 used by the Funds to vote proxies relating to the portfolio securities and information on how the Funds voted proxies relating to portfolio securities during the 12 month period ended June 30 are available (1) 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), (2) on Jackson National Life Insurance Company's website at WWW.JNL.COM or Jackson National Life Insurance Company of New York's website at WWW.JNLNY.COM, and (3) on the SEC's website at WWW.SEC.GOV. SUB-ADVISORY AGREEMENT WITH ALLIANCE CAPITAL MANAGEMENT LLP(JNL/ALLIANCE CAPITAL GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Alliance Capital Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Alliance Capital Management LLP (the "Sub-adviser") through April 29, 2005 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund as well as the time that investment personnel devote to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc, which ranked the Fund in the 71st, 90th, and 61st percentile for total return for the one-, three, and five-year periods ended December 31, 2004. The Board considered the below average performance of the Fund and possible merger with the JNL/T. Rowe Price Established Growth Fund, which was ranked in the 27th, 15th and 6th percentile for the same time periods. The Board considered the fact that JNAM could not implement the merger prior to April 29, 2005 because of significant system and administrative changes required for fund mergers. Given these necessary and essential changes and the fact that JNAM does not have the capability to manage this Fund itself, the Board concluded that it would not be prudent to replace Alliance at the February meeting. The Board, therefore, concluded, that it would be reasonable to approve the Agreement despite the Sub-adviser's performance, given JNAM's merger proposal. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund. The Board also considered the profitability of the Sub-adviser from its relationship with the Fund. The Board examined the sub-adviser fee for the Fund as compared to that of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that as of 12/31/03, the Fund's sub-adviser fee of 0.35% versus 0.41%. However, based on current asset level of approximately $45 million, the Fund's sub-adviser fee is 0.69%. The Board also noted that the information provided by Lipper reflected that the Fund's management fee was below the median of management fees for other mutual funds similar in size, character and investment strategy. The Board considered the low expense ratio compared to its Lipper average against the Fund's poor performance. The Board also considered JNAM's representation that a lower fee could not be negotiated for the remainder of Alliance's tenure as sub-adviser. The Board also considered the possible merger with the JNL/T. Rowe Price Established Growth Fund and noted its sub-adviser fee was 0.38%, versus the Fund's current sub-adviser fee 0.69%. The Board decided that the 2 basis point increase in the advisory fee due to the merger is reasonable in light of the performance of the JNL/T. Rowe Price Established Growth Fund and concluded that, it is in the best interest of the Fund and its shareholders to merge the Fund into the JNL/T. Rowe Price Established Fund effective April 29, 2005. Due to the 2 basis point increase, the shareholders of the Fund would have to approve the merger. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders to be a relevant factor regardless of the proposed duration of the contract. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase, notwithstanding that no breakpoint was likely to take effect prior to April 29, 2005. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board concluded that shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser receives research results from the Funds' soft dollar trades. In evaluating the benefits that accrue to the Sub-Adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-Advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT FOR JNL/AIM REAL ESTATE FUND At its meeting on February 9, 2005, the Board of Trustees (the "Board"), including a majority of the Independent Trustees, considered and approved an amendment to the Fund's investment sub-advisory agreement with AIM Capital Management Inc. (the "Sub-adviser") through May 1, 2007 (the "Agreement") in order to add the JNL/AIM Real Estate Fund, with Fund operations commencing May 2, 2005. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Sub-adviser for funds, including information comparing the performance of the Fund with a peer group of funds and an appropriate index and (3) comparative fund expense information and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. SUB-SUB-ADVISORY AGREEMENT FOR JNL/AIM REAL ESTATE FUND At a special meeting held on April 29, 2005, the Board of Trustees (the "Board") approved an agreement between INVESCO Institutional (N.A), Inc. ("IINA") and A I M Capital Management, Inc. ("AIM") whereby AIM designates IINA as Sub-sub-adviser to the JNL/AIM Real Estate Fund through May 1, 2007 (the "Agreement"). In considering the Agreement, the Board relied on the information provided at the February 9, 2005 Board of Trustees meeting. The Board of Trustees also periodically considers other material facts such as the allocation of each Fund's brokerage commissions and each Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services that would be provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. While recent legal and regulatory issues at the Sub-Adviser are cause for concern, and require increased scrutiny by JNAM and the Board, the Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board reviewed information provided by the Sub-adviser, which showed the AIM Real Estate Fund, the Fund's "patterned after" fund, outperformed its benchmark by 213, 275 and 197 basis points for total return for the year to date, three-, and five-year periods ended September 30, 2004. The fund also ranked in the top quintile against its Lipper average for the one-, three- and five-year periods ended November 30, 2004. The Board concluded that it is in the best interest of its shareholders to enter into an Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the sub-advisory fee and expense information for the Fund as compared to comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's expense ratio of 1.10% was below the Lipper average of 1.17%. The sub-adviser fee of 0.50% was slightly above the Lipper average of 0.45%. The Board concluded that the Fund's expense ratio and sub-advisory fee are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that although the real estate portfolio being proposed will be seeded with the minimum investment required in order for the Sub-Adviser to effectively commence operations, the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser enjoys benefits from the other JNL Funds it sub-advises. In evaluating the benefits that would accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser may pay part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH FRED ALGER MANAGEMENT INC. (JNL/ALGER GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Alger Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Fred Alger Management Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc, which ranked the Fund in the bottom quartile versus its peers for total return for the one-year period and the third quartile for the three-year period ended December 31, 2004. For the five-year period, the Fund ranked in the second quartile versus its peers and outperformed its Lipper benchmark. The Sub-adviser recently replaced the portfolio manager in September 2004 and subsequently, the Fund has outperformed its benchmark every month through December 31, 2004. The Board considered the recent portfolio manager change, the strong 5-year track record, and recent improvement in performance compared to its benchmark and concluded that, it will continue to closely monitor the Fund's performance for improvement with the new management, but at this time, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.55% from inception to July 2004 was higher than the Lipper average of 0.41%. In July 2004, the Fund's sub-adviser fees were reduced resulting in a sub-adviser fee of 0.45%, which was closer to the Fund's Lipper average. The Board also noted that the information provided by Lipper reflected that the Fund's sub-advisory fee was competitive with the median of management fees for other mutual funds similar in size, character and investment strategy. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser uses its affiliated broker-dealer for many of the Fund's trades and therefore, the commissions paid by the Fund are paid to an affiliate of the Sub-adviser. In evaluating the benefits that accrue to the Sub-Adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-Advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH FRANKLIN TEMPLETON ASSET MANAGEMENT (JNL/FRANKLIN TEMPLETON SMALL CAP VALUE FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board"), including a majority of the Independent Trustees, considered and approved the investment sub-advisory agreement with Franklin Templeton Asset Management (the "Sub-adviser") for the JNL/Franklin Templeton Small Cap Value Fund (the "Fund") through May 1, 2007 (the "Agreement"), with Fund operations commencing May 2, 2005. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund "patterned after" fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) comparative fund expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of each Fund's brokerage commissions and each Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. The Board also met with a representative from the Sub-adviser who answered several questions, including questions regarding the Sub-adviser's legal/regulatory issues. The Adviser and the Board would continue to monitor these issues. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services that would be provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board reviewed information provided by the Sub-adviser, which showed the Franklin Templeton Small Cap Value Fund, the Fund's "patterned after" fund, outperformed its benchmark by 293 basis points for total return for the year to date period, and was in line for the three- and five-year periods ended September 30, 2004. The fund also ranked in the 4th, 48th and 37th percentile for the one-, three- and five-year periods ended November 30, 2004. The Board concluded that it is in the best interest of its shareholders to enter into an Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the sub-advisory fee and expense information for the Fund as compared to comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's expense ratio of 1.15% was equal to its Lipper average. The sub-adviser fee of 0.60% was above the Lipper average of 0.52%. The Board concluded that the Fund's expense ratio and sub-advisory fee are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's management fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that although the small cap value portfolio being proposed will be seeded with the minimum investment in order for the Sub-Adviser to effectively commence operations, the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-Adviser does not realize any other benefits at this time. SUB-ADVISORY AGREEMENT WITH GOLDMAN SACHS MANAGEMENT (JNL/GOLDMAN SACHS MID CAP VALUE FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board"), including a majority of the Independent Trustees, considered and approved the investment sub-advisory agreement with Goldman Sachs Management (the "Sub-adviser") for the JNL/Goldman Sachs Mid Cap Value Fund's (the "Fund") through May 1, 2007 (the "Agreement"), with Fund operations commencing May 2, 2005. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Sub-adviser for funds with similar investment objectives and strategies, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) comparative fund expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of each Fund's brokerage commissions and each Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management LLC ("Adviser") and the Sub-adviser and the terms of the Agreement. The Board also met with a representative and a portfolio manager from the Sub-Adviser who answered several questions Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services that would be provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board reviewed information provided by Lipper, which showed the Goldman Sachs Mid Cap Value Fund, the Fund's "patterned-after" fund, considerably outperformed its Lipper average by 73, 775, and 291 basis points for total return for the year to date, one-, and three-year periods, respectively. The Goldman Sachs retail fund underperformed for the five-year period by 660 basis points. All figures are based on performance as of January 18, 2005. The Board concluded that it is in the best interest of its shareholders to enter into an Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the sub-advisory fee and expense information for the Fund as compared to comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's expense ratio of 1.05% was below the Lipper average of 1.08%. The sub-adviser fee of 0.50% was slightly above the Lipper average of 0.46%. The Board concluded that the Fund's sub-advisory fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's management fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that although the mid cap value portfolio being proposed will be seeded with the minimum investment in order for the Sub-Adviser to effectively commence operations, the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-Adviser does not realize any other benefits at this time. SUB-ADVISORY AGREEMENT WITH OPPENHEIMERFUNDS (JNL/OPPENHEIMER GLOBAL GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Oppenheimer Global Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with OppenheimerFunds (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund as well as the time that investment personnel devote to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which ranked the Fund in the second quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund also outperformed its benchmark and respective Lipper benchmark. The Board reviewed the strong Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2003. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Sub-adviser fee of 0.35% is 9 basis points lower than the Lipper average of 0.44%. The Board also noted that the information provided by Lipper reflected that the Fund's sub-adviser fee was lower than the median for other mutual funds similar in size, character and investment strategy. The Board concluded that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER Other than acting as Sub-adviser to another JNL Fund, the Sub-adviser does not realize any other benefits at this time. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH OPPENHEIMERFUNDS (JNL/OPPENHEIMER GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Oppenheimer Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with OppenheimerFunds (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which ranked the Fund in the bottom quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Sub-adviser recently replaced the portfolio manager in June 2004. Since this personnel change the Fund has outperformed its benchmark over the last four months of 2004. In light of the more recent performance trend and the change in portfolio manager for the Fund, the Board concluded that it was reasonable to allow the Fund's new portfolio manager to create a performance record in which the Sub-adviser should be evaluated. The Board considered the recent portfolio manager change and concluded that, it will continue to closely monitor the Fund's performance for improvement with the new management, but at this time, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the sub-adviser fee of 0.45% is above the Lipper average of 0.41% due primarily to the Fund's small size. The pro-forma sub-adviser fee using the Lipper average assets is 0.38%. The Board also noted, however, that the information provided by Lipper reflected that the Fund's sub-adviser fee was below the median of sub-adviser fees for other mutual funds similar in size, character and investment strategy. The Board concluded that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER Other than acting as Sub-adviser to another JNL Fund, the Sub-adviser does not realize any other benefits at this time. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH PACIFIC INVESTMENT MANAGEMENT COMPANY (JNL/PIMCO TOTAL RETURN BOND FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/PIMCO Total Return Bond Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Pacific Investment Management Company (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub- Adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund as well as the time that investment personnel devote to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which ranked the Fund in the top half versus its peers for total return for the one- and three-year periods and the top quartile for the five-year period ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the same time periods. The Board reviewed the strong Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the sub-adviser fee of 0.25% just above the Lipper average of 0.23%. The Board also noted that the information provided by Lipper reflected that the Fund's sub-adviser fee is lower than the median for other mutual funds similar in size, character and investment strategy. The Board concluded that while the Fund's sub-advisory fee is slightly higher than the Lipper average, the Sub-Adviser's positive performance record made it reasonable to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's management fee reflects economies of scale for the benefit of Fund shareholders. The sub-adviser fee currently has no breakpoints. The Fund's sub-advisory fee is the same as that of other funds managed by the Sub-adviser. The Board reviewed the Fund's fee arrangements and considered them reasonable due to the strong short and long term performance record. The Board concluded that the current fee schedule was competitive with comparable funds managed by other advisers. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser does not realize any other benefits at this time. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM EQUITY FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board) of the JNL/Putnam Equity Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Putnam Investment Management Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. While recent legal and regulatory issues at the Sub-Adviser are a cause for concern, and require increased scrutiny by JNAM and the Board, the Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, which ranked the Fund in the 6th, 29th, and 93rd percentile versus its peers for total return for the one-, three-, and five-year period, respectively, ended December 31, 2004. The Fund also outperformed its Lipper benchmark for the same time periods except the five-year period. The Board considered the solid performance record, and concluded that, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2003. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.50% is above the Lipper average of 0.38%. In May 2004, the Fund's Sub-adviser fee was reduced to 0.47%, resulting in the Fund's sub-adviser fee to be more in line, though still above, its respective Lipper average. The Board concluded that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser receives research results from the Funds' soft dollar trades and is sub-adviser to other Funds advised by JNAM. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM INTERNATIONAL EQUITY FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Putnam International Equity Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Putnam Investment Management LLC ("Putnam" or the "Sub-adviser") through May 2, 2005 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. While recent legal and regulatory issues at the Sub-Adviser are a cause for concern, and require increased scrutiny by JNAM and the Board, the Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which ranked the Fund in the 70th, 87th and 66th percentile for total return for the one-, three, and five-year periods ended December 31, 2004. The Board considered the below average performance of the Fund and possible sub-adviser change to JP Morgan Investment Management, Inc ("JPMorgan"). JPMorgan offers an International Equity product, which fits within the current investment objectives of the JNL/Putnam International Equity Fund and has ranked in the 17th, 8th and 9th percentile for the same time periods. The Board considered the fact that JNAM could not implement the sub-advisory change prior to May 2, 2005 because of significant system and administrative changes required for sub-adviser replacements. Given these necessary and customary changes and the fact that JNAM does not have the capability to manage this Fund itself, the Board concluded that it would not be prudent to replace Putnam at the February meeting. The Board concluded that it is in the best interest of the Fund and its shareholders to replace Putnam with JPMorgan effective May 2, 2005. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2003. The Board examined the sub-adviser fee for the Fund as compared to that of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's advisory fee of 0.78% (with the May 2004 pro-forma reduction) is below the Lipper average of 0.84%, but the sub-adviser fee of 0.55% is above the Lipper average of 0.45%. The Board considered the sub-advisory reduction of 7 basis points to 0.48% if JPMorgan is approved as described above. The Board also considered JNAM's belief that a lower fee could not be negotiated for the remainder of Putnam's tenure as sub-adviser to the Fund. Given this fact and more importantly, the challenges noted above of replacing Putnam with JPMorgan prior to May 2, 2005, the Board concluded that, it is in the best interest of the Fund and its shareholders to replace Putnam with JPMorgan effective May 2, 2005. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders to be a relevant factor regardless of the proposed duration of the contract. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase, notwithstanding that no breakpoint was likely to take effect prior to May 2, 2005. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-advisor receives research results from the Funds' soft dollar trades and is sub-adviser to other Funds advised by JNAM. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM MIDCAP GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Putnam Midcap Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Putnam Investment Management Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. While recent legal and regulatory issues at the Sub-Adviser are a cause for concern, and require increased scrutiny by JNAM and the Board, the Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, which ranked the Fund in the top quartile versus its peers for total return for the one-year period and ranked in the 51st percentile for the three-year period ended December 31, 2004. The Fund also outperformed its benchmark for the one-year period and corresponding Lipper benchmark for both periods. The Board reviewed the strong Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2003. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the sub-adviser fee of 0.50% was slightly above the Lipper average of 0.44%. The Board also noted that the information provided by Lipper reflected that the Fund's sub-adviser fee was lower than the median for other mutual funds similar in size, character and investment strategy. The Board noted that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser receives research results from the Funds' soft dollar trades and is sub-adviser to other Funds advised by JNAM. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH PUTNAM INVESTMENT MANAGEMENT INC. (JNL/PUTNAM VALUE EQUITY FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/Putnam Value Equity Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with Putnam Investment Management Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. While recent legal and regulatory issues at the Sub-Adviser are a cause for concern, and require increased scrutiny by JNAM and the Board, the Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which ranked the Fund in the bottom quartile versus its peers for total return for the one- and three-year period and the third quartile for the five-year period ended December 31, 2004. The Fund slightly lagged its benchmark and Lipper benchmark for the same time periods except the five-year period, where the fund strongly outperformed both benchmarks. The Sub-adviser has recently had a change in the portfolio manager. Since this personnel change in December 2004, the Fund has outperformed its benchmark. In light of the more recent performance trend and the change in portfolio manager for the Fund, the Board concluded that it was reasonable to allow the Fund's new portfolio manager to create a performance record in which he and the Sub-adviser should be evaluated. The Board considered the recent portfolio manager change and concluded that it will continue to closely monitor the Fund's performance for improvement with the new management, but at this time, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2003. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.48% was higher than the Lipper average of 0.40%. In May 2004, the Fund's sub-adviser fees was reduced to 0.45% resulting in the Fund's sub-adviser fee to be in line with its Lipper average. The Board also noted that the information provided by Lipper reflected that the Fund's management fee was below the median of management fees for other mutual funds similar in size, character and investment strategy. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER The Sub-adviser receives research results from the Funds' soft dollar trades and is sub-adviser to other funds advised by JNAM. In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P MANAGED AGGRESSIVE GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/S&P Managed Aggressive Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with S&P Investment Advisory Services Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, which ranked the Fund in the second quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004 and ranked in the 59th percentile for the five-year period. The Fund also outperformed its Lipper benchmark for the all periods except the five-year. The Board reviewed the strong Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.06% is considerably lower than the Lipper average of 0.37%. The Lipper category includes fund of funds and actively managed funds in calculating averages. The current Fund expense ratio is 0.17%, and including the underlying funds, the ratio is 1.128%. The Board also noted that the information provided by Lipper reflected that the Fund's sub-adviser fee was equal to the median for other fund of funds similar in size, character and investment strategy. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does not realize any other benefits at this time. SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P MANAGED CONSERVATIVE FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/S&P Managed Conservative Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with S&P Investment Advisory Services Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser and the performance of the other funds managed by the Sub-adviser, including comparative performance information. The Fund operations commenced October 4, 2004. Returns for month-end and since inception as of December 31, 2004 were 1.57% and 3.50%, respectively. The Board reviewed the Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.06% is considerably lower than the Lipper average of 0.37%. The Lipper category includes fund of funds and actively managed funds in calculating averages. The Fund expense ratio including the underlying funds is 1.002%. The Board also noted that while the information provided by Lipper reflected that the Fund's sub-adviser fee was higher than the median for other fund of funds similar in character and investment strategy, the asset size of the other fund of funds was considerably higher than the Fund. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does not realize any other benefits at this time. SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P MANAGED GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/S&P Managed Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with S&P Investment Advisory Services Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which placed the Fund in the 59th percentile versus its peers for total return for the one-year period and the second quartile for the three- and five-year periods, ended December 31, 2004. The Fund was also in line with its Lipper benchmark. The Board reviewed the strong Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.06% was considerably lower than the Lipper average of 0.37%. The Lipper category includes fund of funds and actively managed funds in calculating averages. The current Fund expense ratio is 0.16%. and including the underlying funds, the ratio is 1.111%. The Board also noted that the information provided by an independent data service reflected that the Fund's management fee and expense ratio were below the median for other fund of funds similar in size, character and investment strategy. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does not realize any other benefits at this time. SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P MANAGED MODERATE FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/S&P Managed Moderate Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with S&P Investment Advisory Services, Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment manager, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser and the performance of the other funds managed by the Sub-adviser, including comparative performance information. Fund operations commenced October 4, 2004. Returns for month-end and since inception as of December 31, 2004 were 2.33% and 5.40%, respectively. The Board reviewed the solid Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.06% was considerably lower than the Lipper average of 0.37%. The Lipper category includes fund of funds and actively managed funds in calculating averages. The Fund expense ratio including the underlying funds is 1.035%. The Board also noted that the information provided by an independent data service reflected that the Fund's expense ratio was equal to the median for other fund of funds similar in size, character and investment strategy. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does not realize any other benefits at this time. SUB-ADVISORY AGREEMENT WITH S&P INVESTMENT ADVISORY SERVICES INC. (JNL/S&P MANAGED MODERATE GROWTH FUND) At its meeting on February 9, 2005, the Board of Trustees (the "Board") of the JNL/S&P Managed Moderate Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement with S&P Investment Advisory Services Inc. (the "Sub-adviser") through February 28, 2006 (the "Agreement"). In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. At its meeting on May 17, 2005, the Board considered and approved the agreement through June 30, 2006. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel in providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including duties for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with various Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information provided by Lipper, Inc., which placed the Fund in the 78th percentile versus its peers for total return for the one-year period and the second quartile for the three- and five-year periods, ended December 31, 2004. The Fund also outperformed its Lipper benchmark for the three- and five-year periods. Prior to October 4, 2004, this Fund was the JNL/S&P Conservative Growth Fund I and maintained an allocation of approximately 60% equity fund investments and 40% fixed income fund investments. With the overall equity market up 10.81% as measured by the S&P 500 Index and the bond markets up only 4.31% (Lehman Aggregate Bond Index), the more conservatively managed Fund would expect to underperform its peers in the Lipper Multi-cap Core index. After the changes to the S&P Fund line-up in October, the Fund currently has a equity and fixed income weighting of 75%/25%. JNAM was comfortable with the Fund's overall performance as it outperformed its 50/50 benchmark index and also outperformed both of JNL's Balanced Funds for the 1-year period. The Board reviewed the above average Fund performance record achieved by the Sub-adviser relative to the Fund's peers and concluded that, while past performance is no guarantee of future performance, it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee 0.06% was considerably lower than the Lipper average of 0.37%. The Lipper category includes fund of funds and actively managed funds in calculating averages. The current Fund expense ratio is 0.17%, and including the underlying funds, the ratio is 1.070%. The Board also noted that the information provided by Lipper reflected that the Fund's management fee was below the median for other fund of funds similar in size, character and investment strategy. The Board concluded that the Fund's management fee and expense ratio are reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shares with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable to conclude that under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER Other than acting as sub-adviser to other JNL Funds, the Sub-Adviser does not realize any other benefits at this time. INVESTMENT ADVISORY AGREEMENT WITH JACKSON NATIONAL ASSET MANAGEMENT, LLC At its meeting on May 17, 2005, the Board of Trustees/Managers (the "Board") of the JNL Series Trust, JNL and JNLNY Variable Funds (collectively, the "Funds"), including a majority of the Independent Trustees/Managers, considered and approved the investment advisory agreements (the "Agreements") with Jackson National Asset Management, LLC ("JNAM") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of its services, (2) the investment performance of the Funds, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) its profitability, including an analysis of the cost of providing services and comparative expense information, (4) the extent to which economies of scale are realized as the Funds grow and whether fee levels reflect these economies of scale for the Funds' investors, and (5) other "fall-out" benefits realized by JNAM (i.e. ancillary benefits derived by JNAM or its affiliates from JNAM's relationship with the Funds). The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by them to the Funds. The Board also examined information on JNAM's key personnel that will be providing investment advisory services to the Funds, including responsibilities for serving as the Funds' administrator and transfer agent, overseeing the Funds' sub-advisers, monitoring adherence to the Funds' investment restrictions and monitoring compliance with various policies and procedures of the Funds. In light of the foregoing, the Board concluded it was reasonable to expect that the Funds would continue to benefit from the services provided by JNAM under their Agreements as a result of their experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISERS AND THE FUNDS The Board reviewed information on the performance of the Funds, including comparative performance information. The Board also reviewed the information prepared by Lipper. JNAM provided the following information to the Board: The JNL/AIM Large Cap Growth Fund ranked in the top quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the same time periods. JNAM recommends that the Board approve the Agreement. The JNL/AIM Small Cap Growth Fund ranked in the bottom quartile versus its peers for total return for the one-year period and the third quartile for the three-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the same time periods. Despite their performance, JNAM believes it reasonable to continue to retain AIM as the Fund's Sub-Adviser because in September 2004 AIM replaced the portfolio manager responsible for the Fund and its performance. Since this personnel change, the Fund has out-performed by 305 and 393 basis points against the Russell 2000 Index and the Russell 2000 Growth Index, respectively. JNAM believes it is reasonable to allow the Fund's new portfolio manager to create a performance record in which she and AIM should be evaluated. JNAM will continue to closely monitor for improvement and recommends that the Board approve the Agreement. The JNL/Alger Growth Fund ranked in the bottom quartile versus its peers for total return for the one-year period, the third quartile for the three-year period and the second quartile for the five-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods, and outperformed in the five-year period. Alger replaced the portfolio manager in September 2004 and subsequently, the Fund has outperformed its benchmark. JNAM notes the recent portfolio manager change, the strong 5-year track record, and recent uptick in performance compared to its benchmark and concludes that, it will continue to monitor closely the Fund's performance for improvement with the new management and recommends that the Board approve the Agreement. The JNL/Eagle Core Equity Fund ranked in the bottom quartile versus its peers for total return for the one-year period the third quartile for the three-year period and the top quartile for the five-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods, and outperformed in the five-year period. The Fund's underperformance was attributable to the growth portion of the portfolio and its positioning of the portfolio last year while the economy was recovering from the recession. The value and equity income portions performed consistent with their benchmarks. There have been no significant changes to Eagle's overall investment process and no material changes in portfolio management personnel on the growth side. JNAM will continue to closely monitor performance for improvement and recommends that the Board approve the Agreement. The JNL/Eagle SmallCap Equity Fund ranked in the second quartile versus its peers for total return for the one-year period the third quartile for the three- and five-year periods ended December 31, 2004. The Fund outperformed its Lipper benchmark for the one-year period and underperformed in the three- and five-year periods. The Fund out-performed the Russell 2000 Growth Index over all periods. JNAM will continue to closely monitor performance for improvement and recommends that the Board approve the Agreement. The JNL/FMR Balanced Fund ranked in the second quartile versus its peers for total return for the one-year period the third quartile for the three-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods. JNAM notes the sub-adviser change during mid-2004 and the subsequent improvement in performance. JNAM will continue to closely monitor performance for improvement and recommends that the Board approve the Agreement. The JNL/FMR Capital Growth Fund ranked in the second quartile versus its peers for total return for the one- and three-year periods and the bottom quartile for the five-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year period and underperformed for the three- and five-year periods. JNAM notes the sub-adviser change during mid-2004 and the subsequent improvement in performance. JNAM recommends that the Board approve the Agreement. The JNL/JPMorgan International Equity Fund ranked in the third quartile versus its peers for total return for the one- and five-year periods and the bottom quartile for the three-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one-, three- and five-year periods. JPMorgan replaced Putnam as the Fund's subadvisor on May 2, 2005. JNAM recommends that the Board approve the Agreement. The JNL/JPMorgan International Value Fund ranked in thetop quartile for the one-year period and the bottom quartile for the three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year period. Even though the long-term performance has lagged its peers, JNAM notes the Fund changed its investment style approximately two years ago from emerging markets to a value focus in more developed countries. Since this style change and subsequent growth in assets, the Fund has performed very well. JNAM will continue to closely monitor performance and recommends that the Board approve the Agreement. The JNL/Lazard Mid Cap Value Fund ranked in the top quartile versus its peers for total return for the one-, three- and five-year periods ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the same time periods. JNAM recommends that the Board approve the Agreement. The JNL/Lazard Small Cap Value Fund ranked in the third quartile versus its peers for total return for the one-, three-year periods and the second quartile for the five-year period ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the same time periods. The Fund's recent underperformance is due to an underweight in areas the sub-adviser believed were over priced such as the financial industry and REITs, which have performed well. There have been no significant changes to Lazard's investment process and no material changes in portfolio management personnel. JNAM will continue to closely monitor performance and notes the Fund's strong 5-year track record. JNAM recommends that the Board approve the Agreement. The JNL/Mellon Capital Management Bond Index Fund ranked in the bottom quartile versus its peers for total return for the one-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the same time period. The Lipper category was not comprised of funds utilizing the same strategies as the Mellon funds. JNAM compared the Fund's performance to its benchmark and the Fund's underperformance compared to the Lipper peers did not concern JNAM. JNAM recommends that the Board approve the Agreement. The JNL/Mellon Capital Management Enhanced S&P 500 Index Fund ranked in the top quartile versus its peers for total return for the one-year period, second quartile for the three-year period and the third quartile for the five-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year period and underperformed for the three- and five-year periods. JNAM recommends that the Board approve the Agreement. The JNL/Mellon Capital Management International Index Fund ranked in the second quartile versus its peers for total return for the one-year period ended December 31, 2004. The Fund was in-line with its benchmark and corresponding Lipper benchmark for the same time period. JNAM recommends that the Board approve the Agreement. The JNL/Mellon Capital Management S&P 400 MidCap Index Fund ranked in the 52nd percentile for total return for the one-year period ended December 31, 2004. The Fund slightly underperformed its benchmark and corresponding Lipper benchmark for the same time period. JNAM recommends that the Board approve the Agreement. The JNL/Mellon Capital Management S&P 500 Stock Index Fund ranked in the bottom quartile versus its peers for total return for the one-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the same time period. The Lipper category was not comprised of funds utilizing the same strategies as the Mellon funds. JNAM compared the Fund's performance to its benchmark and the Fund's underperformance compared to the Lipper peers did not concern JNAM. JNAM recommends that the Board approve the Agreement. The JNL/Mellon Capital Management Small Cap Index Fund ranked in the 54th percentile for total return for the one-year period ended December 31, 2004. The Fund slightly underperformed its benchmark and corresponding Lipper benchmark for the same time period. JNAM recommends that the Board approve the Agreement. The JNL/Oppenheimer Global Growth Fund ranked in the second quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the same time periods. JNAM recommends that the Board approve the Agreement. The JNL/Oppenheimer Growth Fund ranked in the bottom quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the same time periods. Despite this performance, JNAM believes it is reasonable to continue to retain Oppenheimer as the Fund's Sub-adviser because in June 2004 Oppenheimer replaced the portfolio manager that was responsible for the Fund's performance. Since this personnel change, the Fund has outperformed its benchmark. In light of the more recent performance trend and the change in portfolio manager for the Fund, JNAM believes it is reasonable to allow the Fund's new portfolio manager to create a performance record in which he and Oppenheimer should be evaluated. JNAM will continue to closely monitor the Fund's performance for improvement with the new management and recommends that the Board approve the Agreement. The JNL/Putnam Equity Fund ranked in the top quartile versus its peers for total return for the one-year period, the second quartile for the three-year period and the bottom quartile for the five-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year period and underperformed for the three- and five-year periods. JNAM recommends that the Board approve the Agreement. The JNL/Putnam Mid-Cap Growth Fund ranked in the top quartile versus its peers for total return for the one-year period and the 51st percentile for the three-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year period and underperformed for the three-year period. JNAM recommends that the Board approve the Agreement. The JNL/Putnam Value Equity Fund ranked in the bottom quartile versus its peers for total return for the one- and three-year periods and the third quartile for the five-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods and outperformed for the five-year period. Despite this performance, JNAM believes it is reasonable to continue to retain Putnam as the Fund's Sub-adviser at this time because in December 2004, the portfolio manager and chief investment officer ("CIO") of Putnam's Large Cap Value team responsible for the Fund's performance decided to leave Putnam. The portfolio manager and CIO was replaced as CIO by Josh Brooks, and two current members of the portfolio management team will assume a co-portfolio manager role. Since this personnel change at the end of December 2004, the Fund has outperformed its benchmark. In light of the more recent performance trend and the change in portfolio manager for the Fund, JNAM believes it is reasonable to allow the Fund's new portfolio managers to create a performance record in which they and Putnam should be evaluated. JNAM recommends that the Board approve the Agreement. The JNL/S&P Managed Aggressive Growth Fund ranked in the second quartile versus its peers for total return for the one- and three-year periods and the third quartile for the five-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods and underperformed for the five-year period. JNAM recommends that the Board approve the Agreement. The JNL/S&P Managed Conservative Fund was launched in October 2004. No performance information has been provided due to the short time period since the Fund's inception. JNAM recommends that the Board approve the Agreement. The JNL/S&P Managed Growth Fund ranked in the third quartile versus its peers for total return for the one-year period and the second quartile for the three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods and underperformed for the five-year period. JNAM recommends that the Board approve the Agreement. The JNL/S&P Managed Moderate Fund was launched in October 2004. No performance information has been provided due to the short time period since the Fund's inception. JNAM recommends that the Board approve the Agreement. The JNL/S&P Managed Moderate Growth Fund ranked in the bottom quartile versus its peers for total return for the one-year period and the second quartile for the three- and five-year periods ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one-year period and outperformed for the three- and five-year periods. JNAM notes the strong long-term track record, and will continue to closely monitor the Fund's short-term performance for improvement. However, at this time, believes that it is in the best interest of the Fund and its shareholders to renew the Agreement. JNAM recommends that the Board approve the Agreement. The JNL/Salomon Brothers High Yield Bond Fund ranked in the bottom quartile versus its peers for total return for the one-year period and the top quartile for the three- and five-year periods ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one-year period and outperformed for the three- and five-year periods. JNAM notes the strong long-term track record, and will continue to closely monitor the Fund's short-term performance for improvement. However, at this time, JNAM recommends that the Board approve the Agreement. The JNL/Salomon Brothers Strategic Bond Fund ranked in the third quartile versus its peers for total return for the one- and three-year periods and the second quartile for the five-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-, three- and five-year periods. Subsequent to 2004, performance has improved. There have been no significant changes to Salomon's investment process and no material changes in portfolio management personnel. The Fund has significantly outperformed its benchmark in all periods. JNAM notes the Fund's solid long-term track record, and will closely monitor performance for improvement in the short term. However, at this time, JNAM recommends that the Board approve the Agreement. The JNL/Salomon Brothers U.S. Government & Quality Bond Fund ranked in the second quartile versus its peers for total return for the one-, three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods and underperformed for the five-year period. JNAM recommends that the Board approve the Agreement. The JNL/Select Balanced Fund ranked in the top quartile versus its peers for total return for the one-, three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the same time periods. JNAM recommends that the Board approve the Agreement. The JNL/Select Global Growth Fund ranked in the bottom quartile versus its peers for total return for the one-, three- and five-year periods ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the same time periods. The Fund had a subadviser replacement in May 2004. JNAM recommends that the Board approve the Agreement. The JNL/Select Large Cap Growth Fund ranked in the top quartile versus its peers for total return for the one- and three-year periods and the bottom quartile for the five-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the one- and three-year periods and underperformed for the five-year period. JNAM recommends that the Board approve the Agreement. The JNL/Select Money Market Fund ranked in the third quartile versus its peers for total return for the one-year period and the bottom quartile for the three- and five-year periods ended December 31, 2004. The Fund was in-line with its benchmark and corresponding Lipper benchmark for the one-year period and underperformed for the three- and five-year periods. The Fund had a subadivser replacement in October 2004 and an adviser fee cut of 10 bps in January 2004. JNAM recommends that the Board approve the Agreement. The JNL/Select Value Fund ranked in the second quartile versus its peers for total return for the one-year period ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the same time period. JNAM recommends that the Board approve the Agreement. The JNL/T.Rowe Price Established Growth Fund ranked in the second quartile versus its peers for total return for the one-year period and the top quartile in the three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-, three- and five-year periods. JNAM recommends that the Board approve the Agreement. The JNL/T.Rowe Price Mid-Cap Growth Fund ranked in the top quartile versus its peers for total return for the one-, three and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the same time periods. JNAM recommends that the Board approve the Agreement. The JNL/T.Rowe Price Value Fund ranked in the second quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the same time periods. JNAM recommends that the Board approve the Agreement. The Board considered the performance of the Funds and concluded that it was in the best interest of the Funds and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE ADVISER The Board reviewed information on JNAM's costs in serving as the Funds investment manager, including the costs associated with the personnel and systems necessary to manage the Funds for 2004. In addition, the Board reviewed information on JNAM's profitability from their relationship with the Funds. The Board examined the advisory fees for the Funds as compared to that of other funds and accounts managed by other advisers, in addition to its Lipper average. The Board concluded that the Funds' advisory fees were reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Funds' advisory fees reflect economies of scale for the benefit of Funds' shareholders. The Board reviewed the Funds' fee arrangements, which include breakpoints that decrease the fee rate as the Funds' assets increase. The Board concluded that the breakpoints in its contracts with the Funds, shared with shareholders the benefits of economies of scale as the Funds' assets grow. JNAM provided the following information: The JNL/AIM Large Cap Growth Fund's current Advisory Fee of 0.71% is below the Lipper average of 0.74%. The JNL/AIM Real Estate Fund's Advisory Fee of 0.75% is slightly above the Lipper average of 0.72%. JNAM notes that this Fund is a recent start-up (May 2005) and has not grown its assets to exceed the Fund's fee breakpoints. The JNL/AIM Small Cap Growth Fund's Advisory Fee of 0.85% is slightly above the Lipper average of 0.82% due to the Fund's small size compared to the Lipper peer group average. The JNL/Alger Growth Fund's current Advisory Fee of 0.70% is below the Lipper average of 0.74%. The JNL/Eagle Core Equity Fund's Advisory Fee of 0.65% is the same as the Lipper average of 0.65%. The JNL/Eagle SmallCap Equity Fund's Advisory Fee of 0.75% is the same as the Lipper average of 0.75%. The JNL/FMR Balanced Fund's current Advisory Fee of 0.70% is above the Lipper average of 0.58%. The JNL/FMR Capital Growth Fund's Advisory Fee of 0.70% is below the Lipper average of 0.76%. The JNL/Franklin Templeton Small Cap Value Fund's Advisory Fee of 0.85% is above the Lipper average of 0.80%. JNAM notes that this Fund is a recent start-up (May 2005) and has not grown its assets to exceed the Fund's fee breakpoints. The JNL/Goldman Sachs Mid Cap Value Fund's Advisory Fee of 0.75% is below the Lipper average of 0.77%. JNAM notes that this Fund is a recent start-up (May 2005) and has not grown its assets to exceed the Fund's fee breakpoints. The JNL/JPMorgan International Equity Fund's current Advisory Fee of 0.71% is below the Lipper average of 0.79%. The JNL/JPMorgan International Value Fund's current Advisory Fee of 0.71% is slightly above the Lipper average of 0.69%. The Fund's fee schedule includes breakpoints that will decrease the Fund's effective fee as its assets increase. The JNL/Lazard Mid Cap Value Fund's current Advisory Fee of 0.72% is above the Lipper average of 0.66%. The Fund's fee schedule includes breakpoints that will decrease the Fund's effective fee as its assets increase. The JNL/Lazard Small Cap Value Fund's current Advisory Fee of 0.75% is the same as the Lipper average of 0.75%. The JNL/Mellon Capital Management Bond Index Fund's Advisory Fee of 0.30% is below the Lipper average of 0.54%. The JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund's current Advisory Fee of 0.49% is below the Lipper average of 0.65%. The JNL/Mellon Capital Management International Index Fund's Advisory Fee of 0.30% is below the Lipper average of 0.79%. The JNL/Mellon Capital Management S&P 400 MidCap Index Fund's Advisory Fee of 0.29% is below the Lipper average of 0.66%. The JNL/Mellon Capital Management S&P 500 Index Fund's Advisory Fee of 0.29% is slightly above the Lipper average of 0.26% due the Fund's smaller asset base than the Lipper average. The JNL/Oppenheimer Global Growth Fund's Advisory Fee of 0.70% is below the Lipper average of 0.79%. The JNL/Oppenheimer Growth Fund's Advisory Fee of 0.70% is below the Lipper average of 0.74%. Effective July 1, 2005, this fee will be reduced to 0.65%. The JNL/PIMCO Total Return Bond Fund's Advisory Fee of 0.50% is below the Lipper average of 0.54%. The JNL/Putnam Equity Fund's current Advisory Fee of 0.67% is slightly above the Lipper average of 0.65% due to the Fund's smaller asset base than the Lipper average. The JNL/Putnam Midcap Growth Fund's Advisory Fee of 0.75% is below the Lipper average of 0.76%. The JNL/Putnam Value Equity Fund's Advisory Fee of 0.66% is the same as the Lipper average of 0.66%. The JNL/S&P Managed Aggressive Growth Fund's current Advisory Fee of 0.12% is below the Lipper average of 0.62%. The JNL/S&P Managed Conservative Fund's Advisory Fee of 0.13% is below the Lipper average of 0.62%. The JNL/S&P Managed Growth Fund's Advisory Fee of 0.11% is below the Lipper average of 0.62%. The JNL/S&P Managed Moderate Fund's Advisory Fee of 0.13% is below the Lipper average of 0.62%. The JNL/S&P Managed Moderate Growth Fund's current Advisory Fee of 0.11% is below the Lipper average of 0.62%. The JNL/Salomon Brothers High Yield Bond Fund's current Advisory Fee of 0.50% is below the Lipper average of 0.62%. The JNL/Salomon Brothers Strategic Bond Fund's Advisory Fee of 0.63% is below the Lipper average of 0.72%. The JNL/Salomon Brothers U.S. Government & Quality Bond Fund's current Advisory Fee of 0.49% is below the Lipper average of 0.55%. The JNL/Select Balanced Fund's Advisory Fee of 0.49% is below the Lipper average of 0.58%. The JNL/Select Global Growth Fund's current Advisory Fee of 0.74% is below the Lipper average of 0.79%. The JNL/Select Large Cap Growth Fund's current Advisory Fee of 0.68% is below the Lipper average of 0.74%. The JNL/Select Money Market Fund's Advisory Fee of 0.30% is below the Lipper average of 0.41%. The JNL/Select Value Fund's Advisory Fee of 0.55% is below the Lipper average of 0.68%. The JNL/T.Rowe Established Growth Fund's current Advisory Fee of 0.60% is below the Lipper average of 0.74%. The JNL/T.Rowe Mid-Cap Growth Fund's Advisory Fee of 0.71% is below the Lipper average of 0.76%. The JNL/T.Rowe Value Fund's current Advisory Fee of 0.67% is below the Lipper average of 0.68%. In light of this, the Board believed it would be reasonable to conclude that, under the Agreements, shareholders shared in the benefits to be achieved through economies of scale. The Board noted that the JNL/PIMCO Total Return Bond Fund does not have any breakpoints in its fees. However, the Board concluded that the current fee schedule was competitive with comparable funds managed by other advisers. OTHER BENEFITS TO THE ADVISER AND ITS AFFILIATES In evaluating the benefits that accrue to the Adviser, the Board reviewed the Funds as a whole. Through its relationship with the Funds, JNAM, and its affiliate, Jackson National Life Distributors, Inc. ("JNLD"), recognize that they serve the Funds in various capacities, including as Adviser, administrator, transfer agent and distributor, and receive compensation from the Funds in connection with providing certain of these services to the Funds. As administrator, JNAM receives a fee for providing fund accounting and administration services to the Funds. This fee also is used by JNAM to cover most of the Funds' operating expenses. The Board reviews this Administrative Fee annually. JNAM does not receive a fee for its transfer agent services. As distributor, JNLD receives a 0.20% 12b-1 fee from the Funds. During 2004, JNLD also received 12b-1 fees from the Funds as part of a commission recapture program. This fee was discontinued in December 2004 with any ongoing commissions recaptured accruing to the benefit of the Funds. In addition, certain sub-advisers pay part of the costs of various meetings organized and run by JNLD for its variable insurance product wholesalers. The meetings are arranged by JNLD and provide an opportunity for the sub-advisers to educate the wholesalers and, in the case of the due diligence meetings, certain agents. After full consideration of these, and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Funds and its shareholders. SUB-ADVISORY AGREEMENT WITH AIM CAPITAL MANAGEMENT INC. (JNL/AIM LARGE CAP GROWTH FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/AIM Large Cap Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with AIM Capital Management Inc. (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the top quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the same time periods. The Board considered the strong Fund performance record achieved by the Sub-adviser relative to the Fund's peers, and concluded that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel, and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.52% is above the Lipper average of 0.42%. Effective January 1, 2005, the sub-adviser fee was reduced to 0.45%. The Board concluded that, while the Sub-adviser's fee under the Agreement is slightly higher than the Lipper average, the Sub-Adviser's positive performance record supports the conclusion that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these, and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH AIM CAPITAL MANAGEMENT INC. (JNL/AIM SMALL CAP GROWTH FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/AIM Small Cap Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with AIM Capital Management Inc. (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows, and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-Adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 80th and 58th percentile for total return for the one and three-year period ended December 31, 2004. The Fund also underperformed its benchmark and corresponding Lipper benchmark for the same time periods. Despite their performance, the Board concluded that it would be reasonable to continue to retain AIM as the Fund's Sub-Adviser because in September 2004 the Sub-adviser replaced the portfolio manager responsible for the Fund and its performance. Since this personnel change, performance has improved by 305 and 393 basis points against the Russell 2000 Index and the Russell 2000 Growth Index, respectively. The Board concluded that it would be reasonable to allow the Fund's new portfolio manager to create a performance record in which she and the Sub-adviser should be evaluated. The Board requested that JNAM continue to closely monitor for improvement, but at this time, believed that it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund as compared to that of other funds and accounts managed by the Sub-adviser and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.65% is above the Lipper average of 0.51%. However, the Fund's sub-advisory fee is in line with the three funds in the Lipper peer group analysis with sub-advisory fees of 50, 61.5, and 60 bps. In addition, due to capacity constraints in the small cap mandates, many sub-advisory firms are no longer accepting new accounts and those that are, have higher fees. The Board concluded that, while the Sub-adviser's fee under the Agreement was higher than the Lipper average, the Sub-adviser's recent positive performance record and the fee comparisons above, supported the conclusion that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that these breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH EAGLE ASSET MANAGEMENT INC. (JNL/EAGLE CORE EQUITY FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Eagle Core Equity Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Eagle Asset Management Inc. (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-Adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 76th, 61st, and 22nd percentile for total return for the one-, three- and five-year periods ended December 31, 2004, respectively. The Fund also underperformed its benchmark and corresponding Lipper benchmark for the same time periods except the five-year period. JNAM noted that the under performance was attributable to the growth portion of the portfolio and that the value and equity income portions performed consistent with their benchmarks. JNAM also noted that there have been no significant changes to Eagle's investment process and no material changes in portfolio management personnel on the growth side and that the underperformance was due to the positioning of the portfolio last year while the economy was recovering from the recession. Overall, the Fund has a solid long-term performance record. The Board requested that JNAM continue to closely monitor the Fund's recent performance for improvement, but at this time, believes that it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.41% is just above the Lipper average of 0.38%. The Board noted that, while the Sub-adviser's fee under the Agreement is slightly higher than the Lipper average, the Sub-adviser's positive long-term performance record makes it reasonable to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH EAGLE ASSET MANAGEMENT INC. (JNL/EAGLE SMALL CAP EQUITY FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Eagle SmallCap Equity Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Eagle Asset Management Inc. (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the second quartile versus its peers for total return for the one-year period, and the third quartile for the three- and five-year period ended December 31, 2004. The Fund outperformed its benchmark for all periods, and was inline with its corresponding Lipper benchmark for the one- and three-year periods. The Board noted the solid Fund performance record relative to the Fund's peers and believes that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.50% is just below the Lipper average of 0.51%. The Board concluded that it would be reasonable for the Board to conclude that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH J.P. MORGAN INVESTMENT MANAGEMENT INC. (JNL/JPMORGAN INTERNATIONAL VALUE FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/JPMorgan International Value Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with J.P. Morgan Investment Management Inc. (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties under the Agreement in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser under the Agreement as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-Adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the top quartile versus its peers for total return for the one-year period and the bottom quartile for the three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year time period and underperformed for the three- and five-year periods. Even though the long-term performance has lagged its peers, the Board noted the Fund changed its investment style approximately two years ago from emerging markets to a value focus in more developed countries. Since this style change and subsequent growth in assets, the Fund has performed very well. The Board requested that JNAM continue to closely monitor performance, but at this time the Board believed that it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.55% is above the Lipper average of 0.47%. Effective May 1, 2005, the sub-adviser fee was reduced to an effective annual rate of 0.47%. The Board concluded that it would be reasonable for the Board to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that these breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH LAZARD ASSET MANAGEMENT (JNL/LAZARD MID CAP VALUE FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Lazard Mid Cap Value Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Lazard Asset Management (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed the information prepared by Lipper, which ranked the Fund in the top quartile versus its peers for total return for the one-, three- and five-year periods ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the same time periods. The Board considered the strong Fund performance record relative to the Fund's peers and believes that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Board noted that the Fund's sub-adviser fee of 0.53% is above the Lipper average of 0.40%. Effective January 1, 2005, the sub-adviser fee was reduced to 0.47%. The Board also noted that the information provided by Lipper reflected that the Fund's sub-adviser fee was in line with other mutual funds similar in size, character, and investment strategy. The Board believed that, while the Sub-adviser's fee, under the Agreement, is higher than the Lipper average, the Sub-adviser's positive performance record supports the conclusion that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that these breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board believed that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH LAZARD ASSET MANAGEMENT (JNL/LAZARD SMALL CAP VALUE FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Lazard Small Cap Value Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Lazard Asset Management (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 62nd percentile for total return for the one- and three-year periods and the 30th percentile for the five-year period ended December 31, 2004. The Fund underperformed its benchmark and corresponding Lipper benchmark for the same time periods except the five-year period, where the Fund outperformed both benchmarks by 598 and 483 basis points, respectively. The Board requested that JNAM continue to closely monitor performance and noted the Fund's strong 5-year track record. JNAM stated the Fund had a value focus and that the Sub-adviser is conservative and therefore underweight in areas they believed were over priced such as the financial industry and REITs, which have performed well. JNAM informed the Board that there have been no significant changes to the Sub-adviser's investment process and no material changes in portfolio management personnel. The Board believed that it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.58% is just above the Lipper average of 0.51%. Effective January 1, 2005, the sub-adviser fee was reduced to 0.50%. The Board believed it would be reasonable for the Board to conclude that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH SALOMON BROTHERS ASSET MANAGEMENT INC (JNL/SALOMON BROTHERS HIGH YIELD BOND FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Salomon Brothers High Yield Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Salomon Brothers Asset Management (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-Adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 81st percentile for total return for the one-year period and in the top quartile for the three- and five-year periods ended December 31, 2004. The Fund also underperformed its benchmark and corresponding Lipper benchmark for the one-year period and outperformed all benchmarks in the three- and five-year periods. The Board considered the strong long-term track record, and requested that JNAM continue to closely monitor the Fund's short-term performance for improvement. However, at this time, the Board concluded that given that long-term performance record it was in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.33% is below the Lipper average of 0.38%. The Board believed it would be reasonable for the Board to conclude that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH SALOMON BROTHERS ASSET MANAGEMENT INC (JNL/SALOMON BROTHERS STRATEGIC BOND FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Salomon Brothers Strategic Bond Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Salomon Brothers Asset Management (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 69th percentile versus its peers for total return for the one- and three-year period and in the 47th percentile for the five-year period ended December 31, 2004. The Fund outperformed its benchmark for all periods but underperformed its corresponding Lipper benchmark for all periods. The Board considered the Fund's solid five-year track record, and requested that JNAM closely monitor performance for improvement in the short term. Subsequent to 2004, performance has improved. JNAM informed the Board that there have been no significant changes to the Sub-adviser's investment process and no material changes in portfolio management personnel. The Fund had significantly outperformed its benchmark in all periods. Mr. Nerud stated that JNAM noted it was reviewing the Fund's Lipper classificationand that the Fund was currently classified as global income even though the Fund did not invest in international bonds. However, at this time the Board believed that it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.34% is below the Lipper average of 0.39%. The Board believed it would be reasonable for the Board to conclude that the Fund's sub-adviser fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board believed it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH SALOMON BROTHERS ASSET MANAGEMENT INC (JNL/SALOMON U.S. GOVERNMENT BOND FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/Salomon Brothers U.S. Government & Quality Bond Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with Salomon Brothers Asset Management (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board the nature, quality and extent of the services provided by the Sub- adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered information on the Sub-adviser's duties, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the second quartile versus its peers for total return for the one-, three- and five-year periods ended December 31, 2004. The Fund also outperformed its benchmark and corresponding Lipper benchmark for the one-year period and was in line for the three- and five-year time period. The Board considered the solid Fund performance record relative to the Fund's peers and believes that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.21% is just above the Lipper average of 0.16%. The Board concluded that, while the Sub-adviser's fee under the Agreement is slightly higher than the Lipper average, the Sub-adviser's positive performance record makes it reasonable to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that these breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, The Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH T. ROWE PRICE (JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/T. Rowe Price Established Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with T. Rowe Price (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser, including responsibilities for investment research and stock selection, adherence to the Fund's investment restrictions, and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 27th percentile versus its peers for total return for the one-year period, and in the top quartile for the three- and five-year periods ended December 31, 2004. The Fund was inline with its benchmark for the one-year period and outperformed its benchmark for three- and five-year periods and its corresponding Lipper benchmark for all periods. The Board noted the strong Fund performance record achieved by the Sub-adviser, relative to the Fund's peers, and believes that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.40% is below the Lipper average of 0.42%. The Board concluded that the Sub-adviser's positive performance record makes it reasonable to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that these breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH T. ROWE PRICE (JNL/T. ROWE PRICE MID-CAP GROWTH FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/T. Rowe Price Mid-Cap Growth Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with T. Rowe Price (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board reviewed the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel that will be providing investment management services to the Fund. The Board also considered information on the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser, including investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the 27th percentile versus its peers for total return for the one-year period, and in the top quartile for the three- and five-year periods ended December 31, 2004. The Fund outperformed its benchmark for the one-year period and was inline with its benchmark for the three- and five-year periods. The Fund outperformed the Lipper benchmark for all periods. The Board noted the strong Fund performance record achieved by the Sub-adviser, relative to the Fund's peers, and believes that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined information on the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.50% is just above the Lipper average of 0.46%. The Board concluded that, while the Sub-adviser's fee, under the Agreement, is slightly higher than the Lipper average, the Sub-adviser's positive performance record makes it reasonable to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. SUB-ADVISORY AGREEMENT WITH T. ROWE PRICE (JNL/T. ROWE PRICE VALUE FUND) At its meeting on May 17, 2005, the Board of Trustees (the "Board") of the JNL/T. Rowe Price Value Fund (the "Fund"), including a majority of the Independent Trustees, considered and approved the Fund's investment sub-advisory agreement (the "Agreement") with T. Rowe Price (the "Sub-adviser") through June 30, 2006. In considering the Agreement, the Board reviewed and analyzed the factors it deemed relevant, including: (1) the nature, quality and extent of the Sub-adviser's services, (2) the investment performance of the Fund, including information comparing the performance of the Fund with a peer group of funds and an appropriate index, (3) the profitability of the Sub-adviser, including an analysis of the Sub-adviser's cost of providing services and comparative expense information, and (4) the extent to which economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors. The Board of Trustees also periodically considers other material facts such as the allocation of the Fund's brokerage commissions and the Fund's record of compliance with its investment policies and restrictions on personal securities transactions. Before approving the Agreement, the Board's Independent Trustees met in executive session with their independent counsel on numerous occasions to consider the materials provided by Jackson National Asset Management, LLC (the "Adviser") and the Sub-adviser and the terms of the Agreement. Based on its evaluation of all material factors, the Board, including a majority of the Independent Trustees, concluded that the Agreement is fair and in the best interests of shareholders. During its deliberations, the Board balanced the various factors based on all the facts and circumstances applicable to each sub-advisory relationship. The following summaries do not detail every matter considered. In reaching its conclusion, the Board considered the following: NATURE, QUALITY AND EXTENT OF SERVICES The Board examined the nature, quality and extent of the services provided by the Sub-adviser to the Fund. The Board reviewed the Sub-adviser's key personnel providing investment management services to the Fund. The Board also considered information on the Sub-adviser's duties, under the Agreement, in serving as the Fund's investment Sub-adviser, including responsibilities investment research and stock selection, adherence to the Fund's investment restrictions and monitoring compliance with applicable Fund policies and procedures. The Board concluded that the Fund benefits from the services provided by the Sub-adviser, under the Agreement, as a result of the Sub-adviser's experience, reputation, personnel, operations and resources. INVESTMENT PERFORMANCE OF THE SUB-ADVISER AND THE FUND The Board considered information on the performance of the Fund and the Sub-adviser, including comparative performance information. The Board reviewed information prepared by Lipper, which ranked the Fund in the second quartile versus its peers for total return for the one- and three-year periods ended December 31, 2004. The Fund outperformed its benchmark and corresponding Lipper benchmark for the one-year period and was inline with its benchmarks for the three-year period. The Board noted the strong Fund performance record achieved by the Sub-adviser, relative to the Fund's peers, and believed that, while past performance is no guarantee of future performance, it is in the best interest of the Fund and its shareholders to renew the Agreement. COSTS OF SERVICES AND PROFITS REALIZED BY THE SUB-ADVISER The Board examined the Sub-adviser's costs in serving as the Fund's investment manager, including the costs associated with the personnel and systems necessary to manage the Fund for 2004. The Board also considered the profitability of the Sub-adviser from their relationship with the Fund. The Board examined the sub-adviser fee for the Fund, as compared to that of other funds, and accounts managed by the Sub-adviser, and of comparable funds managed by other advisers, in addition to its Lipper average. The Fund's sub-adviser fee of 0.41% is just below the Lipper average of 0.43%. Effective January 1, 2005, the sub-adviser fee was reduced to 0.39%. The Board concluded that the Sub-adviser's positive performance record makes it reasonable to conclude that the Fund's sub-advisory fee is reasonable. ECONOMIES OF SCALE The Board considered the extent to which the Fund's sub-advisory fee reflects economies of scale for the benefit of Fund shareholders. The Board has reviewed the Fund's fee arrangements, which include breakpoints that decrease the fee rate as the Fund's assets increase. The Board concluded that the breakpoints shared with JNAM and that JNAM in turn, through the breakpoints in its contract with the Fund, shared with shareholders the benefits of economies of scale as the Fund's assets grow. In light of this, the Board noted that it would be reasonable for the Board to conclude that, under the Agreement, shareholders share in the benefits to be achieved through economies of scale. OTHER BENEFITS TO THE SUB-ADVISER AND ADVISER In evaluating the benefits that accrue to the Sub-adviser, the Board reviewed the Fund as a whole, including the benefits accruing to the Adviser who identifies and recommends the Sub-advisers to the JNL Funds. Through its relationship with the Fund, the Board recognized that the Adviser and its affiliate serve the Fund in various capacities, including as distributor. The Sub-adviser pays part of the costs of various meetings organized and run by the distributor for its variable insurance product wholesalers. The meetings are arranged by the distributor, and provide an opportunity for the Sub-adviser to educate the wholesalers and, in the case of the due diligence meetings, certain agents. The Board considered the payments made by the Sub-adviser. After full consideration of these and other factors, the Board, including a majority of the Independent Trustees, concluded that approval of the Agreement was in the best interest of the Fund and its shareholders. JNL SERIES TRUST A Special Meeting of the Shareholders of the JNL Series Trust held April 20, 2005. The following proposal was voted upon at the meeting: 1. To approve or disapprove the Plan by and among the JNL/Alliance Capital Growth Fund and JNL/T. Rowe Price Established Growth Fund, providing for the reorganization of the JNL/Alliance Capital Growth Fund with and into the JNL/T. Rowe Price Established Growth Fund.
AFFIRMATIVE AGAINST WITHHOLD JNL/Alliance Capital Growth Fund 1,087,308.833 14,296.591 72,993.805 (Class A)
Item 2. Code of Ethics. Not applicable to the semi-annual filing. Item 3. Audit Committee Financial Expert. Not applicable to the semi-annual filing. Item 4. Principal Accountant Fees and Services. Not applicable to the semi-annual filing. Item 5. Audit Committee of Listed Registrants. Not applicable as this is not a listed issuer as defined in Rule 10A-3 under the Exchange Act. 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. Portfolio Managers of Closed-End Management Investment Companies. Not applicable as this is an Open-End Management Investment Company. Item 9. Purchases of Equity Securties by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable as this is an Open-End Management Investment Company. Item 10. Submission of Matters to a Vote of Security Holders. No material changes have been made. Item 11. Controls and Procedures. (a) 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 22, 2005, and have concluded that our disclosure controls and procedures are effective. (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's first and second fiscal quarters of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12. Exhibits a. (1) 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. (1)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 1st day of September 2005. 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 1, 2005 - ---------------------- ---------------- Robert A. Fritts President, Chief Executive Officer & Trustee /s/ Mark D. Nerud September 1, 2005 - ----------------------- ---------------- Mark D. Nerud Chief Financial Officer EXHIBIT LIST Exhibit 12(a)(2) Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Act. Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Act. Exhibit 12(b)(1) Certification required by Rule 30a-2(b) under the Act. EX-99.CERT 2 cert_302.txt 302 CERTIFICATION Exhibit 12(a)(2) 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 1, 2005 /s/ Robert A. Fritts --------------------------------------- Robert A. Fritts President and Chief Executive Officer 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 1, 2005 /s/ Mark D. Nerud -------------------------------------- Mark D. Nerud Chief Financial Officer EX-99.906CERT 3 cert_906.txt Exhibit 12(b)(1) 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 1, 2005 By: /s/ Mark D. Nerud -------------------------------------------- Mark D. Nerud Chief Financial Officer Date: September 1, 2005 -----END PRIVACY-ENHANCED MESSAGE-----