JNL Series Trust Form N-Q

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

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


	Shares/Par (p)		Value
JNL/American Funds Blue Chip Income and Growth Fund
INVESTMENT COMPANIES - 99.7%
American Funds Insurance Series - Blue Chip Income and Growth Fund (a)		37,253	$	308,083

Total Investment Companies (cost $337,564)				308,083

Total Investments - 99.7% (cost $337,564)				308,083
Other Assets and Liabilities, Net - 0.3%				837

Total Net Assets - 100.0%			$	308,920

JNL/American Funds Global Bond Fund
INVESTMENT COMPANIES - 99.8%
American Funds Insurance Series - Global Bond Fund (a)		26,058	$	316,869

Total Investment Companies (cost $317,913)				316,869

Total Investments - 99.8% (cost $317,913)				316,869
Other Assets and Liabilities, Net - 0.2%				639

Total Net Assets - 100.0%			$	317,508

JNL/American Funds Global Small Capitalization Fund
INVESTMENT COMPANIES - 99.7%
American Funds Insurance Series - Global Small Capitalization Fund		6,634	$	110,328

Total Investment Companies (cost $136,316)				110,328

Total Investments - 99.7% (cost $136,316)				110,328
Other Assets and Liabilities, Net - 0.3%				317

Total Net Assets - 100.0%			$	110,645

JNL/American Funds Growth-Income Fund
INVESTMENT COMPANIES - 99.6%
American Funds Insurance Series - Growth-Income Fund		11,585	$	354,721

Total Investment Companies (cost $390,929)				354,721

Total Investments - 99.6% (cost $390,929)				354,721
Other Assets and Liabilities, Net - 0.4%				1,551

Total Net Assets - 100.0%			$	356,272

JNL/American Funds International Fund
INVESTMENT COMPANIES - 99.7%
American Funds Insurance Series - International Fund		11,993	$	176,422


	Shares/Par (p)		Value
Total Investment Companies (cost $210,133)				176,422

Total Investments - 99.7% (cost $210,133)				176,422
Other Assets and Liabilities, Net - 0.3%				480

Total Net Assets - 100.0%			$	176,902

JNL/American Funds New World Fund
INVESTMENT COMPANIES - 99.7%
American Funds Insurance Series - New World Fund (a)		11,533	$	219,006

Total Investment Companies (cost $258,330)				219,006

Total Investments - 99.7% (cost $258,330)				219,006
Other Assets and Liabilities, Net - 0.3%				550

Total Net Assets - 100.0%			$	219,556

JNL/AQR Managed Futures Strategy Fund
SHORT TERM INVESTMENTS - 96.6%
Investment Companies - 96.6%
BlackRock Liquidity Funds T-Fund Portfolio, 0.01% (h)		198,487	$	198,487
JNL Money Market Fund, 0.02% (a) (h)		210,041		210,041

Total Short Term Investments (cost $408,528)				408,528

Total Investments - 96.6% (cost $408,528)				408,528
Other Assets and Liabilities, Net - 3.4%				14,274

Total Net Assets - 100.0%			$	422,802

JNL Institutional Alt 20 Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/AQR Managed Futures Strategy Fund (7.7%) (a)		3,316	$	32,665
JNL/BlackRock Commodity Securities Fund (0.8%) (a)		804		7,377
JNL/Goldman Sachs Emerging Markets Debt Fund (1.9%) (a)		1,151		14,792
JNL/Invesco Global Real Estate Fund (2.3%) (a)		2,048		15,070
JNL/Ivy Asset Strategy Fund (1.0%) (a)		1,496		14,857
JNL/Lazard Emerging Markets Fund (1.9%) (a)		2,308		22,038
JNL/Mellon Capital Management Bond Index Fund (37.5%) (a)		16,103		200,484
JNL/Mellon Capital Management Global Alpha Fund (6.8%) (a)		3,165		33,606
JNL/Mellon Capital Management International Index Fund (8.7%) (a)		8,795		92,436
JNL/Mellon Capital Management Nasdaq 25 Fund (13.1%) (a)		2,929		32,511
JNL/Mellon Capital Management S&P 24 Fund (20.2%) (a)		10,101		94,649
JNL/Mellon Capital Management S&P SMid 60 Fund (13.6%) (a)		6,227		53,115
JNL/Mellon Capital Management Small Cap Index Fund (4.8%) (a)		2,955		30,881


	Shares/Par (p)		Value
JNL/Mellon Capital Management Value Line 30 Fund (10.2%) (a)		6,990		64,657
JNL/PIMCO Real Return Fund (1.3%) (a)		2,517		33,075
JNL/PPM America High Yield Bond Fund (3.0%) (a)		4,959		32,433
JNL/Red Rocks Listed Private Equity Fund (2.3%) (a)		1,807		14,785

Total Investment Companies (cost $824,636)				789,431

Total Investments - 99.9% (cost $824,636)				789,431
Other Assets and Liabilities, Net - 0.1%				491

Total Net Assets - 100.0%			$	789,922

JNL Institutional Alt 35 Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/AQR Managed Futures Strategy Fund (20.8%) (a)		8,933	$	87,995
JNL/BlackRock Commodity Securities Fund (2.4%) (a)		2,461		22,593
JNL/Goldman Sachs Emerging Markets Debt Fund (2.9%) (a)		1,782		22,902
JNL/Invesco Global Real Estate Fund (7.0%) (a)		6,313		46,464
JNL/Ivy Asset Strategy Fund (3.2%) (a)		4,613		45,804
JNL/Lazard Emerging Markets Fund (3.0%) (a)		3,585		34,236
JNL/Mellon Capital Management Bond Index Fund (41.0%) (a)		17,582		218,891
JNL/Mellon Capital Management Global Alpha Fund (18.4%) (a)		8,536		90,650
JNL/Mellon Capital Management International Index Fund (12.2%) (a)		12,430		130,637
JNL/Mellon Capital Management Nasdaq 25 Fund (15.1%) (a)		3,385		37,572
JNL/Mellon Capital Management S&P 24 Fund (28.5%) (a)		14,273		133,735
JNL/Mellon Capital Management S&P SMid 60 Fund (18.0%) (a)		8,229		70,196
JNL/Mellon Capital Management Small Cap Index Fund (5.5%) (a)		3,417		35,705
JNL/Mellon Capital Management Value Line 30 Fund (14.0%) (a)		9,580		88,615
JNL/PIMCO Real Return Fund (1.5%) (a)		2,905		38,179
JNL/PPM America High Yield Bond Fund (3.5%) (a)		5,733		37,495
JNL/Red Rocks Listed Private Equity Fund (10.6%) (a)		8,359		68,377

Total Investment Companies (cost $1,279,078)				1,210,046

Total Investments - 99.9% (cost $1,279,078)				1,210,046
Other Assets and Liabilities, Net - 0.1%				962

Total Net Assets - 100.0%			$	1,211,008

JNL Institutional Alt 50 Fund (b)
INVESTMENT COMPANIES - 99.7%
JNL/AQR Managed Futures Strategy Fund (37.7%) (a)		16,200	$	159,571
JNL/BlackRock Commodity Securities Fund (4.7%) (a)		4,697		43,114


	Shares/Par (p)		Value
JNL/Goldman Sachs Emerging Markets Debt Fund (5.5%) (a)		3,392		43,581
JNL/Invesco Global Real Estate Fund (15.5%) (a)		14,027		103,236
JNL/Ivy Asset Strategy Fund (5.1%) (a)		7,319		72,679
JNL/Lazard Emerging Markets Fund (3.8%) (a)		4,588		43,812
JNL/Mellon Capital Management Bond Index Fund (42.8%) (a)		18,379		228,822
JNL/Mellon Capital Management Global Alpha Fund (33.3%) (a)		15,475		164,349
JNL/Mellon Capital Management International Index Fund (12.7%) (a)		12,915		135,741
JNL/Mellon Capital Management Nasdaq 25 Fund (12.8%) (a)		2,862		31,770
JNL/Mellon Capital Management S&P 24 Fund (26.3%) (a)		13,171		123,416
JNL/Mellon Capital Management S&P SMid 60 Fund (19.0%) (a)		8,704		74,246
JNL/Mellon Capital Management Small Cap Index Fund (4.7%) (a)		2,890		30,205
JNL/Mellon Capital Management Value Line 30 Fund (13.3%) (a)		9,118		84,345
JNL/PIMCO Real Return Fund (1.3%) (a)		2,456		32,273
JNL/PPM America High Yield Bond Fund (3.0%) (a)		4,873		31,866
JNL/Red Rocks Listed Private Equity Fund (20.2%) (a)		15,927		130,279

Total Investment Companies (cost $1,628,302)				1,533,305

Total Investments - 99.7% (cost $1,628,302)				1,533,305
Other Assets and Liabilities, Net - 0.3%				5,119

Total Net Assets - 100.0%			$	1,538,424

JNL Institutional Alt 65 Fund (b)
INVESTMENT COMPANIES - 99.1%
JNL/AQR Managed Futures Strategy Fund (33.3%) (a)		14,274	$	140,595
JNL/BlackRock Commodity Securities Fund (3.9%) (a)		3,943		36,198
JNL/Goldman Sachs Emerging Markets Debt Fund (3.5%) (a)		2,143		27,538
JNL/Invesco Global Real Estate Fund (11.2%) (a)		10,102		74,354
JNL/Ivy Asset Strategy Fund (4.5%) (a)		6,463		64,177
JNL/Lazard Emerging Markets Fund (3.2%) (a)		3,849		36,762
JNL/Mellon Capital Management Bond Index Fund (15.5%) (a)		6,632		82,566
JNL/Mellon Capital Management Global Alpha Fund (29.5%) (a)		13,687		145,361
JNL/Mellon Capital Management International Index Fund (6.2%) (a)		6,324		66,466
JNL/Mellon Capital Management Nasdaq 25 Fund (8.1%) (a)		1,810		20,098
JNL/Mellon Capital Management S&P 24 Fund (14.5%) (a)		7,276		68,176
JNL/Mellon Capital Management S&P SMid 60 Fund (9.6%) (a)		4,390		37,444
JNL/Mellon Capital Management Small Cap Index Fund (2.9%) (a)		1,824		19,059
JNL/Mellon Capital Management Value Line 30 Fund (5.6%) (a)		3,833		35,454


	Shares/Par (p)		Value
JNL/PPM America High Yield Bond Fund (1.0%) (a)		1,572		10,279
JNL/Red Rocks Listed Private Equity Fund (15.5%) (a)		12,277		100,424

Total Investment Companies (cost $1,040,856)				964,951

Total Investments - 99.1% (cost $1,040,856)				964,951
Other Assets and Liabilities, Net - 0.9%				8,622

Total Net Assets - 100.0%			$	973,573

JNL Disciplined Moderate Fund (b)
INVESTMENT COMPANIES - 100.1%
JNL/Goldman Sachs Emerging Markets Debt Fund (1.3%) (a)		811	$	10,418
JNL/JPMorgan U.S. Government & Quality Bond Fund (3.5%) (a)		3,293		46,459
JNL/ Mellon Capital Management Pacific Rim 30 Fund (10.6%) (a)		518		6,259
JNL/Mellon Capital Management 25 Fund (2.8%) (a)		1,141		13,966
JNL/Mellon Capital Management Emerging Markets Index Fund (28.3%) (a)		2,647		22,737
JNL/Mellon Capital Management International Index Fund (3.3%) (a)		3,337		35,067
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.1%) (a)		41		958
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (2.4%) (a)		1,192		14,324
JNL/Mellon Capital Management S&P SMid 60 Fund (2.1%) (a)		968		8,257
JNL/Mellon Capital Management Small Cap Index Fund (2.8%) (a)		1,727		18,047
JNL/PIMCO Real Return Fund (0.7%) (a)		1,257		16,517
JNL/PIMCO Total Return Bond Fund (1.7%) (a)		5,361		68,091
JNL/PPM America Floating Rate Income Fund (1.3%) (a)		592		5,781
JNL/PPM America High Yield Bond Fund (2.6%) (a)		4,331		28,325
JNL/S&P Competitive Advantage Fund (7.1%) (a)		2,625		27,248
JNL/S&P Dividend Income & Growth Fund (3.8%) (a)		2,624		25,848
JNL/S&P Intrinsic Value Fund (7.3%) (a)		3,557		35,321
JNL/S&P Total Yield Fund (5.2%) (a)		1,855		15,396
JNL/T. Rowe Price Short-Term Bond Fund (0.7%) (a)		928		9,266

Total Investment Companies (cost $426,203)				408,285

Total Investments - 100.1% (cost $426,203)				408,285
Other Assets and Liabilities, Net - (0.1%)				(213	)

Total Net Assets - 100.0%			$	408,072

JNL Disciplined Moderate Growth Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Goldman Sachs Emerging Markets Debt Fund (1.2%) (a)		747	$	9,603
JNL/JPMorgan U.S. Government & Quality Bond Fund (1.7%) (a)		1,638		23,115


	Shares/Par (p)		Value
JNL/ Mellon Capital Management Pacific Rim 30 Fund (15.0%) (a)		732		8,829
JNL/Mellon Capital Management 25 Fund (4.3%) (a)		1,732		21,199
JNL/Mellon Capital Management Emerging Markets Index Fund (48.2%) (a)		4,510		38,744
JNL/Mellon Capital Management International Index Fund (4.6%) (a)		4,707		49,469
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.7%) (a)		197		4,633
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (3.5%) (a)		1,710		20,554
JNL/Mellon Capital Management S&P SMid 60 Fund (3.1%) (a)		1,430		12,201
JNL/Mellon Capital Management Small Cap Index Fund (4.2%) (a)		2,591		27,071
JNL/PIMCO Real Return Fund (0.4%) (a)		788		10,356
JNL/PIMCO Total Return Bond Fund (1.4%) (a)		4,228		53,690
JNL/PPM America Floating Rate Income Fund (0.6%) (a)		284		2,774
JNL/PPM America High Yield Bond Fund (2.5%) (a)		4,013		26,246
JNL/S&P Competitive Advantage Fund (8.6%) (a)		3,179		32,996
JNL/S&P Dividend Income & Growth Fund (4.7%) (a)		3,191		31,435
JNL/S&P Intrinsic Value Fund (9.0%) (a)		4,367		43,362
JNL/S&P Total Yield Fund (6.2%) (a)		2,238		18,574
JNL/T. Rowe Price Short-Term Bond Fund (0.4%) (a)		525		5,242

Total Investment Companies (cost $464,107)				440,093

Total Investments - 99.9% (cost $464,107)				440,093
Other Assets and Liabilities, Net - 0.1%				410

Total Net Assets - 100.0%			$	440,503

JNL Disciplined Growth Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Goldman Sachs Emerging Markets Debt Fund (0.4%) (a)		219	$	2,819
JNL/JPMorgan U.S. Government & Quality Bond Fund (0.3%) (a)		249		3,520
JNL/Mellon Capital Management Pacific Rim 30 Fund (6.2%) (a)		302		3,645
JNL/ Mellon Capital Management Technology Sector Fund (0.1%) (a)		64		421
JNL/Mellon Capital Management 25 Fund (1.8%) (a)		719		8,802
JNL/Mellon Capital Management Emerging Markets Index Fund (23.1%) (a)		2,162		18,572
JNL/Mellon Capital Management International Index Fund (1.9%) (a)		1,951		20,505
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.5%) (a)		136		3,191
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (1.5%) (a)		721		8,666
JNL/Mellon Capital Management S&P SMid 60 Fund (1.3%) (a)		616		5,258
JNL/Mellon Capital Management Small Cap Index Fund (1.8%) (a)		1,121		11,717
JNL/PIMCO Real Return Fund (0.1%) (a)		165		2,167
JNL/PIMCO Total Return Bond Fund (0.4%) (a)		1,087		13,801


	Shares/Par (p)		Value
JNL/PPM America High Yield Bond Fund (0.7%) (a)		1,184		7,741
JNL/S&P Competitive Advantage Fund (3.0%) (a)		1,102		11,438
JNL/S&P Dividend Income & Growth Fund (1.6%) (a)		1,115		10,983
JNL/S&P Intrinsic Value Fund (3.1%) (a)		1,524		15,136
JNL/S&P Total Yield Fund (2.1%) (a)		770		6,391
JNL/T. Rowe Price Short-Term Bond Fund (0.1%) (a)		96		953

Total Investment Companies (cost $169,366)				155,726

Total Investments - 99.9% (cost $169,366)				155,726
Other Assets and Liabilities, Net - 0.1%				231

Total Net Assets - 100.0%			$	155,957

JNL/BlackRock Commodity Securities Fund
COMMON STOCKS - 65.5%
ENERGY - 56.7%
Anadarko Petroleum Corp.		217	$	13,685
Apache Corp.		292		23,445
Arch Coal Inc.		33		487
Baker Hughes Inc.		175		8,064
Berry Petroleum Co. - Class A		121		4,294
Brigham Exploration Co. (c)		354		8,948
Cabot Oil & Gas Corp. - Class A		163		10,067
Cameron International Corp. (c)		313		12,987
Canadian Natural Resources Ltd.		330		9,696
Carrizo Oil & Gas Inc. (c)		105		2,257
Cenovus Energy Inc.		194		5,987
Chevron Corp.		250		23,085
Cimarex Energy Co.		77		4,314
CNOOC Ltd. - ADR (e)		42		6,718
Coastal Energy Co.		64		582
ConocoPhillips		168		10,638
Consol Energy Inc.		80		2,718
Crew Energy Inc.		371		3,287
Denbury Resources Inc. (c)		75		865
Devon Energy Corp.		304		16,854
Dresser-Rand Group Inc. (c)		327		13,270
Dril-Quip Inc. (c)		137		7,390
EnCana Corp. (e)		192		3,694
Ensco International Plc - ADR		110		4,453
EOG Resources Inc.		323		22,939
EQT Corp.		164		8,748
EXCO Resources Inc.		169		1,815
Exxon Mobil Corp.		321		23,320
FMC Technologies Inc. (c)		487		18,310
Forest Oil Corp. (c)		79		1,134
Halliburton Co.		317		9,686
Helmerich & Payne Inc.		171		6,959
Hess Corp.		136		7,109
Husky Energy Inc. (e)		129		2,793
Marathon Oil Corp.		236		5,102
Marathon Petroleum Corp.		124		3,360
MEG Energy Corp.		77		2,843
Murphy Oil Corp.		319		14,083
Nabors Industries Ltd. (c)		187		2,288
National Oilwell Varco Inc.		404		20,706
Newfield Exploration Co. (c)		124		4,906
Nexen Inc.		111		1,730


	Shares/Par (p)		Value
Niko Resources Ltd.		34		1,413
Noble Corp.		248		7,289
Noble Energy Inc.		143		10,144
Occidental Petroleum Corp.		238		16,996
Pan Orient Energy Corp.		116		258
Paramount Resources Ltd. - Class A		37		1,101
Peabody Energy Corp.		218		7,382
PetroBakken Energy Ltd. (e)		50		321
Petroleo Brasileiro SA - Petrobras - ADR		168		3,771
Pioneer Natural Resources Co.		103		6,747
Progress Energy Resources Corp.		249		3,069
Range Resources Corp.		239		13,953
Rowan Cos. Inc. (c)		87		2,619
Saipem SpA		159		5,589
Schlumberger Ltd.		240		14,317
Southwestern Energy Co. (c)		163		5,447
Subsea 7 SA - ADR (c) (e)		63		1,215
Suncor Energy Inc.		584		14,919
Talisman Energy Inc.		1,043		12,820
Technip SA - ADR		248		4,941
Tesco Corp. (c)		58		677
Total SA - ADR		181		7,920
Transocean Ltd.		217		10,361
Trican Well Service Ltd.		125		1,774
Uranium Energy Corp. (q)		366		1,002
Valero Energy Corp.		115		2,038
Weatherford International Ltd. (c)		150		1,828
Whiting Petroleum Corp. (c)		172		6,023
Williams Cos. Inc.		87		2,106

				523,656
MATERIALS - 8.8%
Aluminum Corp. of China Ltd. - ADR (e)		181		1,888
Barrick Gold Corp.		88		4,117
BHP Billiton Ltd.		104		3,448
Cliffs Natural Resources Inc.		109		5,583
EI Du Pont de Nemours & Co.		88		3,512
Eldorado Gold Corp.		707		12,178
Fibria Celulose SA - ADR (e)		66		496
First Quantum Minerals Ltd.		347		4,617
Franco-Nevada Corp. (e)		115		4,154
Gammon Gold Inc.		199		1,874
Goldcorp Inc.		227		10,411
HudBay Minerals Inc.		278		2,592
Inmet Mining Corp.		17		719
Newcrest Mining Ltd.		258		8,498
Newmont Mining Corp.		10		609
Praxair Inc.		33		3,059
Southern Copper Corp.		252		6,288
Vale SA - ADR		305		6,947

				80,990

Total Common Stocks (cost $696,104)				604,646

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

Total Warrants (cost $0)				—

COMMODITY INDEXED STRUCTURED NOTES - 5.0%
JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.26%, 03/21/12 (f) (i)	$	5,000		3,041
JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.26%, 04/09/12 (f) (i)		6,000		3,235


	Shares/Par (p)		Value
JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.26%, 11/17/11 (f) (i)		6,000		5,112
JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.23%, 10/16/12 (f) (i)		12,500		7,426
JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.49%, 11/02/12 (f) (i)		12,000		11,248
JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.25%, 06/25/16 (f) (i)		5,000		3,028
JP Morgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.21%, 09/10/12 (f) (i)		6,000		3,484
UBS, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.24%, 04/23/12 (f) (i)		5,000		2,531
UBS, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.49%, 10/26/12 (f) (i)		11,500		10,762
UBS AG, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.22%, 09/11/12 (f) (i)		23,000		15,619

Total Commodity Indexed Structured Notes (cost $98,000)				65,486

SHORT TERM INVESTMENTS - 39.6%
Investment Companies - 7.7%
JNL Money Market Fund, 0.02% (a) (h)		71,330		71,330
Securities Lending Collateral - 11.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		101,538		101,538
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		267		259

				101,797
Treasury Securities - 20.9%
U.S. Treasury Bill, 0.01%, 12/22/11 (e)	$	193,000		192,994

Total Short Term Investments (cost $366,131)				366,121

Total Investments - 112.2% (cost $1,154,235)				1,036,253
Other Assets and Liabilities, Net - (12.2%)				(112,881	)

Total Net Assets - 100.0%			$	923,372

JNL/BlackRock Global Allocation Fund (w)
COMMON STOCKS - 59.0%
CONSUMER DISCRETIONARY - 3.7%
Aisin Seiki Co. Ltd.		6	$	206
American Eagle Outfitters Inc.		21		247
Autoliv Inc. (e)		—		18
Bayerische Motoren Werke AG		3		205
BorgWarner Inc. (c) (e)		2		146
Bridgestone Corp.		10		234
British Sky Broadcasting Group Plc		5		54
Cheng Shin Rubber Industry Co. Ltd.		56		116
Coach Inc.		1		31
Comcast Corp. - Class A		37		775
Compagnie Financiere Richemont SA		3		133
Daihatsu Motor Co. Ltd.		13		236
Daimler AG		8		373


	Shares/Par (p)		Value
Denso Corp.		9		273
DISH Network Corp. - Class A (c)		4		101
Dongfeng Motor Group Co. Ltd.		57		77
Expedia Inc.		1		23
Ford Motor Co. (c)		37		358
Fuji Heavy Industries Ltd.		79		464
Futaba Industrial Co. Ltd.		12		93
Garmin Ltd. (e)		1		32
General Motors Co. (c) (e)		17		349
Guangzhou Automobile Group Co. Ltd.		135		131
Guinness Peat Group Plc		217		97
Honda Motor Co. Ltd.		16		480
Hyundai Motor Co.		2		280
International Game Technology		11		167
Johnson Controls Inc.		6		161
Kabel Deutschland Holding AG (c)		4		241
Lear Corp.		1		43
Liberty Global Inc. (c)		1		33
Limited Brands Inc.		1		47
LVMH Moet Hennessy Louis Vuitton SA		3		364
Macy’s Inc.		1		27
Magna International Inc.		1		21
Mando Corp.		—		48
Mattel Inc.		10		248
McDonald's Corp. (e)		4		359
McGraw-Hill Cos. Inc.		1		40
MRV Engenharia e Participacoes SA		33		165
Pulte Homes Inc. (c) (e)		32		127
Ralph Lauren Corp. - Class A		—		39
Rinnai Corp.		3		242
Ross Stores Inc. (e)		—		25
Sekisui House Ltd.		27		253
Singapore Press Holdings Ltd.		16		46
Suzuki Motor Corp.		36		789
Time Warner Cable Inc.		2		118
Toho Co. Ltd.		7		126
Toyota Industries Corp.		18		537
Toyota Motor Corp.		9		305
TRW Automotive Holdings Corp. (c)		1		19
Urban Outfitters Inc. (c) (e)		1		19
Viacom Inc. - Class B		5		204
Walt Disney Co.		9		283
Wyndham Worldwide Corp.		1		21
Yamada Denki Co. Ltd.		3		195
Yulon Motor Co. Ltd.		87		162
Zhongsheng Group Holdings Ltd.		93		146
ZON Multimedia - Servicos de Telecomunicacoes e Multimedia SGPS SA		24		74

				11,227
CONSUMER STAPLES - 3.5%
Altria Group Inc.		12		326
Beiersdorf AG		1		32
BIM Birlesik Magazalar AS		6		157
British American Tobacco Plc		12		295
Chaoda Modern Agriculture Holdings Ltd. (f)		604		107
Coca-Cola Co.		4		246
Coca-Cola Enterprises Inc.		1		32
Colgate-Palmolive Co.		6		535
ConAgra Foods Inc.		4		88
Constellation Brands Inc. - Class A (c)		4		78
Cosan Ltd. - Class A		35		328
Cresud SA - ADR		3		35
CVS Caremark Corp.		13		444
Diageo Plc - ADR (e)		8		635
Dr. Pepper Snapple Group Inc.		3		98


	Shares/Par (p)		Value
Fomento Economico Mexicano SAB de CV - ADR (e)		2		115
General Mills Inc.		11		441
HJ Heinz Co. (e)		3		131
Hypermarcas SA		70		334
Kirin Holdings Co. Ltd.		25		327
Kraft Foods Inc. - Class A (e)		17		571
Kroger Co.		2		33
Lorillard Inc.		2		198
Mead Johnson Nutrition Co.		9		603
Molson Coors Brewing Co.		1		29
Nestle SA		16		888
Philip Morris International Inc.		9		535
Procter & Gamble Co.		12		740
Sara Lee Corp.		29		473
SLC Agricola SA		22		187
Unilever NV		6		178
Unilever NV - ADR		2		75
Unilever Plc		4		132
Unilever Plc - ADR		3		84
Wal-Mart Stores Inc.		18		936
Walgreen Co.		1		27

				10,473
ENERGY - 8.8%
Alliance Resource Partners LP		2		154
Anadarko Petroleum Corp.		7		419
Apache Corp.		4		336
Baker Hughes Inc.		3		140
BG Group Plc		53		1,014
BP Plc		58		345
BP Plc - ADR		11		391
Bumi Resources Tbk PT		889		194
Canadian Natural Resources Ltd.		10		293
Cenovus Energy Inc.		2		73
Chevron Corp.		21		1,941
China Shenhua Energy Co. Ltd.		40		158
Cimarex Energy Co.		—		20
Complete Production Services Inc. (c)		6		112
ConocoPhillips		13		836
Consol Energy Inc.		35		1,181
Daylight Energy Ltd.		31		157
Devon Energy Corp.		8		425
El Paso Corp. (e)		74		1,287
ENI SpA		32		563
EOG Resources Inc.		3		183
Exxon Mobil Corp.		46		3,358
Halliburton Co.		14		430
Helmerich & Payne Inc. (e)		1		22
Hess Corp.		8		421
INPEX Corp.		—		547
KazMunaiGas Exploration Production - GDR		22		328
Kuzbassrazrezugol (c)		304		78
Marathon Oil Corp.		13		286
Marathon Petroleum Corp.		15		404
McDermott International Inc. (c)		16		174
Murphy Oil Corp.		—		18
National Oilwell Varco Inc.		13		663
Noble Corp.		1		21
Occidental Petroleum Corp.		13		945
Oceaneering International Inc.		1		28
OGX Petroleo e Gas Participacoes SA (c)		13		81
Petroleo Brasileiro SA - ADR (e)		72		1,498
PTT PCL		21		179
QEP Resources Inc.		13		362
Quicksilver Resources Inc. (c) (e)		34		257


	Shares/Par (p)		Value
Reliance Industries Ltd.		18		290
Repsol YPF SA		9		235
Rosneft Oil Co. - GDR		43		252
Royal Dutch Shell Plc - ADR		7		400
Schlumberger Ltd.		15		869
SM Energy Co.		6		336
StatoilHydro ASA		14		311
Suncor Energy Inc.		12		301
Talisman Energy Inc.		10		124
Technip SA		1		109
Tenaris SA		5		123
Total SA		15		657
Total SA - ADR		13		584
Transocean Ltd.		6		291
Tupras Turkiye Petrol Rafine		7		148
Valero Energy Corp.		14		247
Vallares Plc (c) (f)		16		252
Weatherford International Ltd. (c)		12		140
Whiting Petroleum Corp. (c)		11		376
Williams Cos. Inc.		1		25
Woodside Petroleum Ltd.		4		113

				26,505
FINANCIALS - 7.3%
ACE Ltd.		13		765
AFI Development Plc (c)		5		2
AIA Group Ltd.		39		109
Allianz SE		3		305
Allstate Corp.		3		75
Ameriprise Financial Inc.		1		22
Amlin Plc		10		42
Arch Capital Group Ltd. (c)		6		195
Assicurazioni Generali SpA		6		102
Axis Capital Holdings Ltd.		1		23
Banco Macro Bansud SA - ADR		1		24
Banco Santander SA		22		179
Bank of America Corp.		99		609
Bank of Kyoto Ltd.		3		24
Bank of New York Mellon Corp.		31		567
BNP Paribas		7		276
Brookfield Asset Management Inc. - Class A (e)		8		229
Capital One Financial Corp.		1		25
CapitaLand Ltd.		121		225
Cheung Kong Holdings Ltd.		16		174
China Life Insurance Co. Ltd. - ADR		3		98
Chubb Corp. (e)		5		315
Citigroup Inc.		40		1,028
CNA Financial Corp.		1		17
Cyrela Brazil Realty SA		28		172
Daiwa House Industry Co. Ltd.		13		160
DBS Group Holdings Ltd.		13		117
Deutsche Bank AG		4		133
DnB NOR ASA		21		207
Endurance Specialty Holdings Ltd.		4		147
Fidelity National Financial Inc. - Class A		21		323
Global Logistic Properties Ltd. (c)		78		98
Goldman Sachs Group Inc.		7		657
Housing Development Finance Corp.		36		462
HSBC Holdings Plc		80		613
ING Groep NV (c)		19		133
Intesa Sanpaolo SpA		120		189
IRSA Inversiones y Representaciones SA - ADR		4		33
JPMorgan Chase & Co.		45		1,360
Leucadia National Corp.		1		21
Lincoln National Corp.		1		17


	Shares/Par (p)		Value
Link Real Estate Investment Trust		160		507
Lloyds Banking Group Plc (c)		270		145
LSR Group - GDR		69		221
Marco Polo Investment Holding Ltd. (f) (q)		—		—
MetLife Inc.		6		172
Mitsubishi UFJ Financial Group Inc.		66		302
Mitsui Fudosan Co. Ltd.		8		122
Morgan Stanley		30		408
MS&AD Insurance Group Holdings		20		444
Muenchener Rueckversicherungs AG		1		144
Nippon Building Fund Inc.		—		31
NKSJ Holdings Inc.		18		399
Nordea Bank AB		4		30
Northern Trust Corp.		4		150
NTT Urban Development Corp. (e)		—		32
Oversea-Chinese Banking Corp. Ltd.		56		345
Ping an Insurance Group Co. of China Ltd. (e)		13		74
Platinum Underwriters Holdings Ltd.		2		74
Powszechny Zaklad Ubezpieczen SA		1		47
Principal Financial Group Inc. (e)		3		67
Progressive Corp.		7		121
Reinsurance Group of America Inc.		1		25
RenaissanceRe Holdings Ltd.		2		157
RHJ International (c)		31		161
Sberbank of Russia		252		546
Siam Commercial Bank PCL		74		253
Simon Property Group Inc.		2		189
Sony Financial Holdings Inc.		9		130
St. Joe Co. (c) (e)		44		654
Standard Chartered Plc		8		152
State Bank of India Ltd.		6		244
State Street Corp.		14		440
Sumitomo Mitsui Financial Group Inc.		8		211
SunTrust Banks Inc.		3		61
Swedbank AB		5		59
Tokio Marine Holdings Inc.		33		836
Torchmark Corp.		1		26
Travelers Cos. Inc.		11		555
Turkiye Garanti Bankasi AS		52		202
U.S. Bancorp (e)		25		595
UBS AG (c)		14		164
United Overseas Bank Ltd.		7		94
Unum Group		1		17
Validus Holdings Ltd.		4		92
Wells Fargo & Co.		35		848
Wharf Holdings Ltd.		41		200
XL Group Plc (e)		37		690
Zurich Financial Services AG		1		202

				21,910
HEALTH CARE - 6.5%
Abbott Laboratories		13		646
Aetna Inc.		17		629
AmerisourceBergen Corp. (e)		7		267
Amgen Inc.		6		330
Astellas Pharma Inc.		4		162
AstraZeneca Plc - ADR		1		22
Baxter International Inc.		1		31
Bayer AG		8		467
Bayer AG - ADR		—		8
Becton Dickinson & Co. (e)		—		30
Biogen Idec Inc. (c)		1		52
Bristol-Myers Squibb Co. (e)		36		1,141
Cardinal Health Inc.		1		37
Celgene Corp. (c)		3		176
Cephalon Inc. (c)		3		209


	Shares/Par (p)		Value
Cie Generale d’Optique Essilor International SA		7		498
CIGNA Corp.		6		247
Coventry Health Care Inc. (c)		1		29
Covidien Plc		5		198
CSL Ltd.		10		282
DaVita Inc. (c)		4		231
Eli Lilly & Co.		5		178
Fresenius Medical Care AG & Co. KGaA		8		540
Gilead Sciences Inc. (c)		9		336
GlaxoSmithKline Plc - ADR		1		36
HCA Holdings Inc. (c)		13		265
Healthsouth Corp. (c)		10		144
Hologic Inc. (c) (e)		18		274
Humana Inc.		5		364
Johnson & Johnson		29		1,849
Kinetic Concepts Inc. (c)		1		39
kyowa Hakko Kirin Co. Ltd.		23		255
Life Healthcare Group Holdings Ltd.		56		133
Life Technologies Corp. (c)		7		258
McKesson Corp.		5		345
Medco Health Solutions Inc. (c)		7		311
Medtronic Inc. (e)		16		523
Merck & Co. Inc.		33		1,070
Mettler Toledo International Inc. (c) (e)		1		157
Mindray Medical International Ltd. - ADR (e)		1		34
Mitsubishi Tanabe Pharma Corp.		9		164
Mylan Inc. (c)		16		274
Novartis AG		9		494
PerkinElmer Inc. (e)		7		140
Perrigo Co.		3		281
Pfizer Inc.		77		1,363
Raffles Medical Group Ltd.		54		92
Roche Holding AG (e)		2		369
Sanofi-Aventis SA		7		472
Sanofi-Aventis SA - ADR		1		31
Shanghai Pharmaceuticals Holding Co. Ltd. (c)		77		168
Shionogi & Co. Ltd.		10		145
Sinopharm Group Co. Ltd.		104		273
Terumo Corp.		4		182
Teva Pharmaceutical Industries Ltd. - ADR		15		552
Thermo Fisher Scientific Inc. (c)		6		308
UnitedHealth Group Inc. (e)		7		340
Valeant Pharmaceuticals International Inc.		3		123
Vanguard Health Systems Inc. (c)		8		80
Waters Corp. (c)		4		295
WellPoint Inc.		10		665

				19,614
INDUSTRIALS - 5.5%
3M Co.		5		355
Adani Enterprises Ltd.		23		241
All America Latina Logistica SA		14		63
Asciano Group		91		125
Beijing Enterprises Holdings Ltd.		124		621
Bharat Heavy Electricals Ltd.		12		387
Boeing Co.		10		592
Canadian Pacific Railway Ltd.		9		410
CNH Global NV (c)		1		22
CSR Corp. Ltd.		53		19
Dongfang Electric Corp. Ltd.		65		168
East Japan Railway Co.		13		777
Fanuc Ltd.		2		234
Fluor Corp.		1		26
Fraser and Neave Ltd.		61		269
General Dynamics Corp.		4		243


	Shares/Par (p)		Value
General Electric Co.		103		1,566
Guangshen Railway Co. Ltd.		249		75
Haitian International Holdings Ltd.		40		31
Hutchison Whampoa Ltd. (q)		28		206
JGC Corp.		18		440
Jiangsu Expressway Co. Ltd.		108		82
KBR Inc.		10		245
Keppel Corp. Ltd.		52		306
Kinden Corp.		13		112
Komatsu Ltd.		9		183
Koninklijke Philips Electronics NV		20		360
Kubota Corp.		61		501
L-3 Communications Holdings Inc.		—		23
Larsen & Toubro Ltd.		5		124
Marubeni Corp.		45		251
Mitsubishi Corp.		43		878
Mitsui & Co. Ltd. (e)		51		742
Mitsui OSK Lines Ltd.		24		94
NCB Holdings Ltd. (f) (q)		—		—
NGK Insulators Ltd.		12		184
Noble Group Ltd.		51		51
Novorossiysk Commercial Sea Port PJSC - GDR		23		158
Okumura Corp.		43		167
PACCAR Inc. (e)		8		256
Pall Corp.		2		81
Parker Hannifin Corp.		—		23
PLUS Expressways Bhd		177		239
Precision Castparts Corp. (e)		2		371
Qualicorp SA (c)		22		160
Ryder System Inc.		1		22
SembCorp Marine Ltd. (e)		32		77
Shanghai Electric Group Co. Ltd.		446		171
Siemens AG		11		980
SKF AB		4		81
SMA Solar Technology SA		1		47
Spirit Aerosystems Holdings Inc. (c) (e)		15		239
Sumitomo Electric Industries Ltd.		14		168
Tianjin Development Holdings (c)		528		232
Tianjin Port Development Holdings Ltd.		799		88
Toda Corp.		42		163
Union Pacific Corp.		12		1,013
United Technologies Corp.		7		501
Viterra Inc.		7		68
West Japan Railway Co.		6		261
Xiamen International Port Co. Ltd.		87		11
Yuanda China Holdings Ltd. (c)		811		96

				16,679
INFORMATION TECHNOLOGY - 8.9%
Accenture Plc		1		37
Activision Blizzard Inc. (e)		47		563
Adobe Systems Inc. (c)		5		119
Agilent Technologies Inc. (c)		10		310
Altera Corp.		1		28
Amdocs Ltd. (c)		1		31
Analog Devices Inc.		1		26
Apple Inc. (c)		9		3,476
Arrow Electronics Inc. (c)		1		22
ASML Holding NV		4		140
Atos Origin SA		2		70
Autodesk Inc. (c)		1		25
BMC Software Inc. (c)		1		30
Broadcom Corp.		5		159
CA Inc.		24		468
Canon Inc.		13		581


	Shares/Par (p)		Value
Check Point Software Technologies Ltd. (c)		1		39
Cisco Systems Inc.		71		1,092
Cognizant Technology Solutions Corp. -
Class A (c) (e)		1		86
Computer Sciences Corp.		1		29
Comverse Technology Inc. (c)		14		100
Corning Inc.		78		966
Dell Inc. (c) (e)		25		357
Delta Electronics Inc.		62		145
eBay Inc. (c)		7		210
Electronic Arts Inc. (c)		13		271
EMC Corp. (c)		21		442
Fidelity National Information Services Inc.		1		15
Freescale Semiconductor Holdings I Ltd. (c)		24		267
Google Inc. - Class A (c)		3		1,354
Hana Microelectronics PCL		49		27
Harris Corp.		1		19
Hewlett-Packard Co.		24		534
Hitachi Ltd.		32		158
HON HAI Precision Industry Co. Ltd.		43		96
Hoya Corp. (e)		18		413
HTC Corp.		18		395
Infineon Technologies AG		25		185
Intel Corp.		34		731
International Business Machines Corp.		14		2,407
Intuit Inc. (e)		1		33
KLA-Tencor Corp.		1		30
Lam Research Corp. (c)		1		23
Lexmark International Inc. (c)		2		63
Marvell Technology Group Ltd. (c)		9		131
MasterCard Inc.		1		235
Microsoft Corp.		102		2,530
Motorola Mobility Holdings Inc. (c)		6		240
Motorola Solutions Inc.		4		175
Murata Manufacturing Co. Ltd.		5		282
Nippon Electric Glass Co. Ltd.		17		158
Oracle Corp.		66		1,902
Polycom Inc. (c)		12		226
QUALCOMM Inc.		25		1,230
Rohm Co. Ltd.		4		188
Samsung Electronics Co. Ltd.		1		628
SanDisk Corp. (c)		6		251
Seagate Technology		12		123
Symantec Corp. (c)		16		262
Taiwan Semiconductor Manufacturing Co. Ltd.		108		243
TDK Corp.		4		143
TE Connectivity Ltd.		2		65
Teradata Corp. (c)		1		55
Texas Instruments Inc. (e)		11		301
VeriSign Inc.		1		28
Visa Inc. - Class A		4		332
Western Digital Corp. (c) (e)		5		133
Western Union Co.		2		23
Xerox Corp.		34		238
Yahoo! Japan Corp.		1		162

				26,856
MATERIALS - 6.7%
Alamos Gold Inc.		17		262
Albemarle Corp.		1		22
Alcoa Inc.		39		369
Anglo American Plc		9		305
AngloGold Ashanti Ltd. - ADR (e)		1		53
Antofagasta Plc		22		315
Asahi Kasei Corp.		33		197
Ball Corp.		1		28


	Shares/Par (p)		Value
Barrick Gold Corp.		26		1,199
BASF SE		18		1,071
BHP Billiton Ltd.		34		1,140
China Blue Chemical Ltd.		191		146
Crown Holdings Inc. (c)		4		124
Detour Gold Corp.		7		179
Dow Chemical Co.		14		314
Eastman Chemical Co.		—		25
EI Du Pont de Nemours & Co.		10		387
Eldorado Gold Corp.		40		685
FMC Corp.		10		708
Freeport-McMoRan Copper & Gold Inc.		10		318
Glencore International Plc		22		137
Goldcorp Inc.		32		1,450
Harmony Gold Mining Co. Ltd. - ADR		6		72
Hitachi Chemical Co. Ltd.		10		172
Iamgold Corp.		33		659
International Paper Co.		5		111
IOI Corp.		31		45
JSR Corp.		7		126
Katanga Mining Ltd.		36		38
Kinross Gold Corp.		58		858
Kuraray Co. Ltd.		18		240
Lanxess AG		6		267
LG Chem Ltd.		3		130
LyondellBasell Industries NV		1		20
Magnitogorsk Iron & Steel Works - GDR		23		110
MeadWestvaco Corp.		1		30
MMC Norilsk Nickel - ADR		8		172
Mongolian Mining Corp. (c)		85		75
Newcrest Mining Ltd.		27		901
Newmont Mining Corp. (e)		21		1,334
Orica Ltd.		5		114
Osisko Mining Corp.		16		206
Petropavlovsk Plc		4		33
Polyus Gold International Ltd. - GDR (c)		139		431
POSCO - ADR		2		134
POSCO Inc.		—		123
Potash Corp. of Saskatchewan Inc.		3		144
PPG Industries Inc.		—		26
Praxair Inc.		2		161
PTT Chemical PCL		84		266
Rangold Resources Ltd. - ADR		5		462
Rio Tinto Ltd.		11		638
Rio Tinto Plc		8		348
Samsung Fine Chemicals Co. Ltd.		2		79
Shin-Etsu Chemical Co. Ltd.		14		701
Silver Wheaton Corp.		14		409
Sino-Forest Corp. (f)		12		—
Sociedad Quimica y Minera de Chile SA - ADR		3		122
Sumitomo Chemical Co. Ltd.		136		523
Teck Cominco Ltd. - Class B		1		19
Ube Industries Ltd.		92		305
Uralkali - GDR		1		21

				20,059
TELECOMMUNICATION SERVICES - 45.0%
America Movil SAB de CV - ADR		15		333
American Tower Corp. - Class A (c) (e)		7		388
AT&T Inc. (e)		61		1,740
Axiata Group Bhd		374		534
BCE Inc.		1		24
BT Group Plc		140		374
CenturyLink Inc.		11		376
China Mobile Ltd.		77		752
China Telecom Corp. Ltd.		204		128


	Shares/Par (p)		Value
China Unicom Hong Kong Ltd. (e)		69		141
Chunghwa Telecom Co. Ltd.		63		209
Chunghwa Telecom Co. Ltd. - ADR		11		377
Deutsche Telekom AG		30		350
Deutsche Telekom AG - ADR		1		17
Far EasTone Telecommunications Co. Ltd.		105		155
France Telecom SA		19		311
KDDI Corp.		—		509
KT Corp.		1		27
KT Corp. - ADR (e)		12		184
M1 Ltd.		70		130
MetroPCS Communications Inc. (c)		10		83
Millicom International Cellular SA		—		39
NII Holdings Inc. - Class B (c)		1		16
Nippon Telegraph & Telephone Corp.		11		527
NTT DoCoMo Inc.		1		1,241
Philippine Long Distance Telephone Co. - ADR		2		103
Rogers Communications Inc.		6		199
Rogers Communications Inc. - Class B		1		30
Singapore Telecommunications Ltd.		162		390
SK Telecom Co. Ltd.		1		152
Swisscom AG		1		268
Telecom Argentina SA - ADR		1		23
Telecom Egypt Co.		72		177
Telecom Italia SpA		85		93
Telecomunicacoes de Sao Paulo SA - ADR		28		734
Telefonica SA		25		487
Telefonica SA - ADR		4		79
Telekom Austria AG		6		56
Telekom Malaysia Bhd		284		362
Telekomunikasi Indonesia Tbk PT		102		87
Telenor ASA		4		59
Telstra Corp. Ltd.		50		150
TELUS Corp.		2		98
Turk Telekomunikasyon AS		39		166
Turkcell Iletisim Hizmet AS		17		78
Verizon Communications Inc.		28		1,017
VimpelCom Ltd. - ADR		16		154
Vivendi SA		11		232
Vodafone Group Plc		195		502
Vodafone Group Plc - ADR (e)		13		345

				15,006
UTILITIES - 3.1%
Adani Power Ltd. (c)		101		175
AES Corp. (c)		34		332
American Electric Power Co. Inc.		6		213
American Water Works Co. Inc. (e)		6		184
Calpine Corp. (c)		18		257
CEZ AS		5		200
Cheung Kong Infrastructure Holdings Ltd.		30		172
China Resources Gas Group Ltd.		92		124
China Resources Power Holdings Co. Ltd.		116		175
CMS Energy Corp.		10		190
Companhia Energetica de Minas Gerais -
ADR (e)		8		122
Consolidated Edison Inc.		4		204
Constellation Energy Group Inc.		1		26
Dominion Resources Inc. (e)		4		205
E-CL SA		44		104
Edison International		1		34
Entergy Corp.		3		221
Exelon Corp.		9		377
Federal Hydrogenerating Co. JSC		1,132		35
Federal Hydrogenerating Co. JSC - ADR		124		414
Fortum Oyj		13		317


	Shares/Par (p)		Value
GDF Suez		23		674
Huaneng Power International Inc. (e)		236		100
International Power Plc		84		401
ITC Holdings Corp.		2		169
National Grid Plc		63		627
NextEra Energy Inc.		11		612
NRG Energy Inc. (c) (e)		8		160
Pampa Energia SA - ADR		4		45
PG&E Corp.		6		252
PPL Corp.		12		349
Scottish & Southern Energy Plc		27		532
Southern Co.		14		598
Tokyo Gas Co. Ltd.		92		427
YTL Power International Bhd		389		206

				9,233

Total Common Stocks (cost $189,487)				177,561

PREFERRED STOCKS - 1.4%
CONSUMER DISCRETIONARY - 0.3%
General Motors Co., Convertible Preferred, 4.75%		8		285
Volkswagen AG		4		565

				850
CONSUMER STAPLES - 0.2%
Bunge Ltd., 4.88%, (callable at 100 beginning 12/01/11) (m)		—		18
Cia Brasileira de Distribuicao Grupo Pao de Acucar		14		421

				439
ENERGY - 0.2%
Chesapeake Energy Corp., Convertible Preferred, 5.75% (m) (r)		1		559
SandRidge Energy Inc., Convertible Preferred, 7.00% (m) (r)		1		146

				705
FINANCIALS - 0.4%
Citigroup Capital XIII, 7.88%, (callable at 25 on 10/30/15) (m)		8		216
GMAC Capital Trust I, 8.13%		15		268
Health Care REIT Inc., 6.50%, (callable at 100 beginning 04/20/18) (m)		4		172
HSBC Holdings Plc, 8.00%, (callable at 25 beginning 12/15/15) (m)		6		142
Itau Unibanco Holding SA		12		189
UBS AG, 9.38%		7		88
Wachovia Capital Trust IV, 6.38%		1		16
Wells Fargo & Co., Convertible Preferred, 7.50% (m) (e)		—		123

				1,214
HEALTH CARE - 0.0%
Omnicare Capital Trust II, 4.00%		2		75
MATERIALS - 0.2%
Usinas Siderurgicas de Minas Gerais SA		6		35
Vale SA		21		436

				471
UTILITIES - 0.1%
PPL Corp., Convertible Preferred, 9.50%		4		206


	Shares/Par (p)		Value
PPL Corp., 8.75%		4		192

				398

Total Preferred Stocks (cost $4,695)				4,152

WARRANTS - 0.0%
Ford Motor Co. (c)		13		29
Kinross Gold Corp. (c)		3		3
TFS Corp. Ltd. (c)		105		8

Total Warrants (cost $39)				40

PURCHASED OPTIONS - 0.4%
Deutsche Borse AG Call Option, Strike Price EUR 3,319.87, Expiration 9/24/2012, GSC (f)		105		26
EUR versus USD Put Option, Strike Price USD 1.30, Expiration 9/30/2011, CSI		654,934		—
MSCI Europe excluding United Kingdom Index Call Option, Strike Price EUR 102.90, Expiration 6/15/2012, DUB		2,868		1
MSCI Europe excluding United Kingdom Index Call Option, Strike Price EUR 104.71, Expiration 6/15/2012, GSI		6,136		3
MSCI Europe excluding United Kingdom Index Call Option, Strike Price EUR 86.70, Expiration 9/24/2012, JPM		4,393		21
MSCI Europe excluding United Kingdom Index Call Option, Strike Price EUR 99.43, Expiration 7/12/2012, CSI		8,500		7
MSCI Europe excluding United Kingdom Index: Initial Reference Strike Price 1,128.89, 1 written put strike 1,128.89, 1.07 calls strike 1,128.89, Expiration 12/14/2011, JPM		346		(76	)
Russell 2000 Index Put Option, Strike Price 641.52, Expiration 3/16/2012, GSC		724		55
Russell 2000 Index Put Option, Strike Price 662.24, Expiration 12/19/2011, MSC		543		36
Russell 2000 Index Put Option, Strike Price 664.34, Expiration 1/2/2012, JPM		720		51
S&P 500 Index Call Option, Strike Price 1,282.00, Expiration 2/24/2012		134		4
S&P 500 Index Call Option, Strike Price 1,355.00, Expiration 2/24/2012		257		3
S&P 500 Index Call Option, Strike Price 1,373.88, Expiration 2/10/2012		860		7
S&P 500 Index Put Option, Strike Price 1,050.00, Expiration 11/19/2011		16		58
S&P 500 Index Put Option, Strike Price 1,075.00, Expiration 11/19/2011		6		24
S&P 500 Index Put Option, Strike Price 1,100.00, Expiration 10/22/2011		18		58
S&P 500 Index Put Option, Strike Price 1,100.00, Expiration 11/19/2011		27		140
S&P 500 Index Put Option, Strike Price 1,110.00, Expiration 10/22/2011		23		80
S&P 500 Index Put Option, Strike Price 1,120.00, Expiration 10/22/2011		10		38
S&P 500 Index Put Option, Strike Price 1,125.00, Expiration 11/19/2011		6		36
S&P 500 Index Put Option, Strike Price 1,130.00, Expiration 10/22/2011		12		49
S&P 500 Index Put Option, Strike Price 1,140.00, Expiration 10/24/2011		11		52
S&P 500 Index Put Option, Strike Price 1,150.00, Expiration 11/19/2011		6		41
S&P 500 Index Put Option, Strike Price 1,215.00, Expiration 9/30/2011		1		8


	Shares/Par (p)		Value
S&P 500 Index Put Option, Strike Price 1150.00, Expiration 10/22/2011		12		60
S&P 500 Index: Initial Reference Strike Price 1,328.17, 1 written put strike 1,130.08, 1 call strike 1,403.95, 1 put strike 1,263.03, Expiration 10/10/11, CIT		215		24
S&P 500 Index: Initial Reference Strike Price 1300.35, 1 written put strike 1,131.30, 1 call strike 1,379.67 Expiration 3/16/2012, JPM		741		(62	)
SPRD Gold Trust Call Option, Strike Price 160.00, Expiration 10/22/2011		39		17
SPRD Gold Trust Call Option, Strike Price 195.00, Expiration 12/17/2011		65		8
SPRD Gold Trust Call Option, Strike Price 205.00, Expiration 12/17/2011		65		5
SPRD Gold Trust Put Option, Strike Price 125.00, Expiration 1/21/2012, BCL		31		5
SPRD Gold Trust Put Option, Strike Price 132.00, Expiration 9/30/2011		48		—
SPRD Gold Trust Put Option, Strike Price 165.00, Expiration 12/17/2011		39		53
Taiwan Taiex Index Call Option, Strike Price TWD 7,398.50, Expiration 9/20/2013, CGM (f)		6,009		101
Taiwan Taiex Index Call Option, Strike Price TWD 7,398.50, Expiration 9/21/2012, CGM (f)		6,009		91
Tokyo Stock Price Index Call Option, Strike Price JPY 825.00, Expiration 6/11/2012, MSC (f)		67,431		23
Tokyo Stock Price Index Call Option, Strike Price JPY 825.55, Expiration 6/11/2012, DUB (f)		69,196		23
USD versus EUR Call Option, Strike Price EUR 1.30, Expiration 12/23/2011, UBS		787,700		16
Wells Fargo & Co. Call Option, Strike Price 28.00, Expiration 10/22/2011		105		2

Total Options (cost $1,060)				1,088

INVESTMENT COMPANIES - 2.5%
Energy Select Sector SPDR Fund		15		903
ETFS Gold Trust (c)		7		1,189
ETFS Physical Palladium Trust (c)		3		169
ETFS Platinum Trust (c)		2		362
iShares Comex Gold Trust Fund (a) (c)		72		1,136
iShares Silver Trust (a) (c)		3		78
SPDR Gold Trust (c)		22		3,549
Vietnam Enterprise Investments Ltd. (f)		15		35
Vinaland Ltd.		85		57

Total Investment Companies (cost $8,351)				7,478

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.1%
Banc of America Large Loan Inc. REMIC, 1.98%, 11/15/13 (i) (r)	$	424		377

Total Non-U.S. Government Agency Asset- Backed Securities (cost $380)				377

CORPORATE BONDS AND NOTES - 6.8%
CONSUMER DISCRETIONARY - 0.2%
Chrysler Group LLC
8.00%, 06/15/19 (e) (r)		256		199
8.25%, 06/15/21 (r)		210		162
Hyundai Motor Co. Ltd., 4.50%, 04/15/15 (r)		125		128


	Shares/Par (p)		Value
Urbi Desarrollos Urbanos SA de CV Term Loan, 5.39%, 04/13/12 (f) (i)		210		208

				697
CONSUMER STAPLES - 0.4%
Alberto-Culver Co., 5.15%, 06/01/20		26		30
Celestial Nutrifoods Ltd., 0.00%, 06/12/11 (c) (d) (q), SGD		400		9
China Milk Products Group Ltd. Convertible Bond, 01/05/12		100		32
IOI Capital Bhd, Convertible Bond, 12/18/11		240		282
Olam International Ltd., 6.00%, 10/15/16		400		447
REI Agro Ltd. 5.50%, 11/13/14 (q)		128		129
5.50%, 11/13/14 (q)		185		186
Wilmar International Ltd., Convertible Bond, 12/18/12		200		240

				1,355
ENERGY - 1.0%
China Petroleum & Chemical Corp. Convertible
Bond, 0.00%, 04/24/14, HKD		3,280		455
Consol Energy Inc., 8.00%, 04/01/17		378		395
Daylight Energy Ltd., 6.25%, 12/31/14, CAD		126		113
Essar Energy Plc, 4.25%, 02/01/16 (r)		200		127
Linn Energy LLC, 7.75%, 02/01/21		167		167
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 06/30/21 (r)		220		218
OGX Petroleo e Gas Participacoes SA, 8.50%, 06/01/18 (r)		408		365
Pemex Project Funding Master Trust, 6.63%, 06/15/35		124		133
PetroBakken Energy Ltd., 3.13%, 02/08/16 (q)		500		400
Petroleos Mexicanos, 6.00%, 03/05/20		177		193
SM Energy Co., 3.50%, 04/01/27		160		194
TNK-BP Finance SA, 7.50%, 07/18/16 (q)		100		104

				2,864
FINANCIALS - 2.6%
Ally Financial Inc., 4.50%, 02/11/14		487		446
BAC Capital Trust XI, 6.63%, 05/23/36		15		11
BBVA Bancomer SA, 6.50%, 03/10/21 (e) (r)		266		245
CapitaLand Ltd.
2.10%, 11/15/16, SGD		500		374
3.13%, 03/05/18, SGD		750		581
2.95%, 06/20/22, SGD		1,000		720
Credit Suisse AG, 10.25%, 07/17/22 (f) (r), IDR		1,201,280		167
Credit Suisse Group Guernsey I Ltd., 7.88%, 02/24/41		146		131
Dana Gas Sukuk Ltd., 7.50%, 10/31/12		1,230		1,118
Export-Import Bank of Korea, 4.13%, 09/09/15		412		415
Ford Motor Credit Co. LLC
7.00%, 04/15/15		120		126
6.63%, 08/15/17		100		104
5.75%, 02/01/21		200		198
Hana Bank, 4.50%, 10/30/15 (r)		125		126
HSBC Finance Corp., 6.68%, 01/15/21 (r)		38		37
Hyundai Capital Services Inc., 4.38%, 07/27/16 (r)		200		202
Keppel Land Ltd., 2.50%, 06/23/13, SGD		200		151
Korea Development Bank, 4.00%, 09/09/16		296		293
Lloyds TSB Bank Plc, 13.00%, (callable at 100 beginning 01/22/29) (m), GBP		300		473
Mie Bank Ltd., 1.00%, 10/31/11, JPY		2,000		26
Morgan Stanley, 3.80%, 04/29/16		152		140
Pyrus Ltd., 7.50%, 12/20/15 (q)		100		95


	Shares/Par (p)		Value
TNK-BP Finance SA, 6.63%, 03/20/17 (e) (r)		298		296
UBS AG Stamford - Series BKNT, 4.88%, 08/04/20		489		471
Yanlord Land Group Ltd.
5.85%, 07/13/14, SGD		250		184
9.50%, 05/04/17 (r)		110		72
Ying Li International Real Estate Ltd., 4.00%, 03/03/15, SGD		250		168
Zeus Capital Ltd., 0.00%, 08/19/13, JPY		42,000		538

				7,908
HEALTH CARE - 0.8%
Amylin Pharmaceuticals Inc., 3.00%, 06/15/14		196		175
Bio City Development Co. BV, 8.00%, 07/06/18 (f) (q)		600		600
DaVita Inc.
6.38%, 11/01/18		184		177
6.63%, 11/01/20 (e)		41		39
DJO Finance LLC, 9.75%, 10/15/17 (r)		10		8
Gilead Sciences Inc.
0.63%, 05/01/13		371		424
1.63%, 05/01/16		43		49
Hologic Inc., 2.00%, 12/15/37 (k)		484		500
Hypermarcas SA, 6.50%, 04/20/21 (r)		150		137
Mylan Inc., 3.75%, 09/15/15		223		323
Phibro Animal Health Corp., 9.25%, 07/01/18 (r)		15		15
SonoSite Inc., 3.75%, 07/15/14		42		44
Valeant Pharmaceuticals International, 6.75%, 10/01/17 (r)		48		44

				2,535
INDUSTRIALS - 0.5%
Hertz Corp., 7.50%, 10/15/18 (e)		53		51
Hutchison Whampoa International Ltd.
4.63%, 09/11/15 (r)		175		182
4.63%, 09/11/15		249		259
Inversiones Alsacia SA, 8.00%, 08/18/18 (r)		265		228
Suzlon Energy Ltd. Convertible Bond
0.00%,06/12/12		96		118
0.00%,10/11/12		183		216
4.50%,07/25/14 (q)		362		311
Viterra Inc., 5.95%, 08/01/20 (r)		106		112

				1,477
INFORMATION TECHNOLOGY - 0.3%
Advanced Micro Devices Inc.
6.00%, 05/01/15		376		368
8.13%, 12/15/17		41		41
Electronic Arts Inc., 0.75%, 07/15/16 (r)		217		208
Lam Research Corp., 1.25%, 05/15/18 (r)		64		59
SunGard Data Systems Inc., 7.38%, 11/15/18 (e)		146		136

				812
MATERIALS - 0.5%
Anglo American Plc, 4.00%, 05/07/14		100		138
Building Materials Corp. of America, 6.88%, 08/15/18 (r)		32		31
CF Industries Holding Inc., 7.13%, 05/01/20 (e)		73		83
Crown Cork & Seal Co. Inc., 7.50%, 12/15/96		68		53
Evraz Group SA
8.25%, 11/10/15 (r)		100		96
9.50%, 04/24/18 (r)		287		278
Sino-Forest Corp., 5.00%, 08/01/13 (q)		130		34
Tata Steel Ltd., 1.00%, 09/05/12		200		238
Texas Industries Inc., 9.25%, 08/15/20 (e)		200		156


	Shares/Par (p)		Value
TFS Corp. Ltd., 11.00%, 07/15/18 (r)		284		284

				1,391
TELECOMMUNICATION SERVICES - 0.3%
EH Holding Corp.
6.50%, 06/15/19 (e) (r)		170		164
7.63%, 06/15/21 (r)		49		47
Intelsat Jackson Holdings SA, 7.50%, 04/01/21 (r)		245		228
SBA Communications Corp.
1.88%, 05/01/13		62		64
4.00%, 10/01/14		52		67
Vodafone Group Plc Term Loan, 6.25%, 07/11/16 (f) (i) (q)		207		208

				778
UTILITIES - 0.2%
Calpine Corp.
7.88%, 07/31/20 (r)		51		49
7.50%, 02/15/21 (r)		21		20
Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (r)		20		17
Korea Electric Power Corp.
5.13%, 04/23/34 (q)		155		163
0.00%, 04/01/96 (k)		128		93
NRG Energy Inc., 8.25%, 09/01/20		30		28
Obsidian Natural Gas Trust Term Loan, 7.00%, 11/02/15 (i) (q)		319		319

				689

Total Corporate Bonds and Notes (cost $21,361)				20,506

GOVERNMENT AND AGENCY OBLIGATIONS - 17.5%
GOVERNMENT SECURITIES - 17.5%
Sovereign - 9.1%
Australia Government Bond
5.75%, 04/15/12 - 05/15/21, AUD		2,215		2,314
4.75%, 11/15/12, AUD		798		780
5.50%, 12/15/13, AUD		956		962
Bank Negara Malaysia, 0.88%, 03/01/12 (q), MYR		2,607		807
Brazil Notas do Tesouro Nacional
6.00%, 05/15/15, BRL		600		696
10.00%, 01/01/17 - 01/01/21 , BRL		6,700		3,391
Bundesrepublik Deutschland
4.25%, 07/04/17, EUR		2,356		3,670
3.50%, 07/04/19, EUR		1,895		2,888
Canadian Government Bond
4.00%, 06/01/16, CAD		291		311
3.50%, 06/01/20, CAD		347		369
Hong Kong Government Bond
4.13%, 02/22/13, HKD		1,750		237
2.03%, 03/18/13, HKD		5,400		712
1.67%, 03/24/14, HKD		1,050		139
3.51%, 12/08/14, HKD		2,800		395
1.69%, 12/22/14, HKD		1,400		187
Malaysia Government Bond
2.51%, 08/27/12, MYR		4,000		1,249
3.46%, 07/31/13, MYR		1,400		441
Mexico Government International Bond, 0.00%, 02/09/12 (j), MXN		6,042		429
New Zealand Government Bond, 4.50%, 02/15/16, NZD		107		136
Republic of Korea, 4.38%, 08/10/15		265		271
Svensk Exportkredit AB, 10.50%, 09/29/15, TRY		200		120


	Shares/Par (p)		Value
Turkey Government Bond
10.00%, 01/09/13, TRY		200		110
10.50%, 01/15/20, TRY		1,100		633
Ukraine Government International Bond, 7.75%, 09/23/20 (r)		184		166
United Kingdom Treasury Bond, 4.75%, 03/07/20, GBP		2,101		3,932
United Kingdom Treasury Bond, 4.00%, 09/07/16, GBP		1,000		1,755
Vietnam Government International Bond, 6.75%, 01/29/20 (q)		146		143

				27,243
Treasury Inflation Index Securities - 0.2%
Republic of Turkey Inflation Indexed Note, 4.00%, 04/01/20 (n), TRY		321		183
U.S. Treasury Inflation Indexed Note, 2.38%, 10/04/11 (n)		395		494

				677
U.S. Treasury Securities - 8.2%
U.S. Treasury Note
0.63%, 07/31/12		957		961
2.63%, 12/31/14 - 08/15/20		4,590		4,914
2.25%, 01/31/15 - 03/31/16		6,317		6,695
2.38%, 02/28/15 (e)		2,327		2,471
2.50%, 03/31/15		2,830		3,021
1.38%, 09/30/18		422		420
3.50%, 05/15/20		5,340		6,115

				24,597

Total Government and Agency Obligations (cost $54,103)				52,517

SHORT TERM INVESTMENTS - 16.0%
Securities Lending Collateral - 5.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		16,246		16,246
Treasury Securities - 10.6%
Hong Kong Treasury Bill, 0.01%, 10/12/11, HKD		6,000		771
Singapore Treasury Bill, 0.16%, 10/20/11, SGD		598		457
U.S. Treasury Bill
0.02%, 10/06/11 (e)	$	91		91
0.03%, 10/27/11		192		192
0.00%,11/10/11		1		1
0.02%, 01/12/12		492		492
0.01%, 02/02/12 (e)		2,860		2,860
0.01%, 02/09/12		7,050		7,049
0.01%, 02/23/12		575		575
0.01%, 03/08/12		16,100		16,097
0.02%, 03/22/12		3,440		3,439

				32,024

Total Short Term Investments (cost $48,313)				48,270

Total Investments - 103.7% (cost $327,789)				311,989
Other Assets and Liabilities, Net - (3.7%) (o)				(10,924	)

Total Net Assets - 100.0%			$	301,065

JNL/Capital Guardian Global Balanced Fund
COMMON STOCKS - 60.4%
CONSUMER DISCRETIONARY - 6.8%
Bayerische Motoren Werke AG		8	$	502


	Shares/Par (p)		Value
Carnival Corp.		14		427
CBS Corp. - Class B		61		1,239
Comcast Corp. - Class A		77		1,614
Daimler AG		29		1,296
Denso Corp. (e)		61		1,967
Discovery Communications Inc. - Class A (c)		24		895
DreamWorks Animation SKG Inc. -
Class A (c) (e)		25		451
Gannett Co. Inc.		140		1,335
GKN Plc		557		1,512
Hennes & Mauritz AB - Class B		34		1,024
Home Depot Inc.		20		648
Hyundai Mobis		4		1,144
Indorama Ventures PCL (q)		198		173
Li & Fung Ltd.		192		320
Li Ning Co. Ltd. (e)		69		70
Nike Inc. - Class B		8		710
SES SA - FDR - Class A		69		1,689
Signet Jewelers Ltd.		7		240
Sony Corp. (e)		39		745
Target Corp.		59		2,903
Time Warner Cable Inc.		11		714
Urban Outfitters Inc. (c)		39		868
Urbi Desarrollos Urbanos SAB DE CV (c)		53		71
Virgin Media Inc. (e)		11		256
Walt Disney Co.		16		483
Wolters Kluwer NV		27		435

				23,731
CONSUMER STAPLES - 3.6%
Ajinomoto Co. Inc. (e)		109		1,288
Avon Products Inc.		31		611
Danone SA		32		1,964
Hypermarcas SA		97		464
Imperial Tobacco Group Plc		40		1,354
Magnit OAO - GDR		9		162
Nestle SA		43		2,371
Olam International Ltd. (e) (q)		109		185
Organizacion Soriana SAB de CV (e)		30		61
Pernod-Ricard SA		27		2,083
Tesco Plc		145		850
United Spirits Ltd.		66		1,066

				12,459
ENERGY - 7.3%
Anadarko Petroleum Corp.		21		1,349
Baker Hughes Inc.		18		812
BG Group Plc		102		1,950
Cairn Energy Plc (c)		104		451
Cameco Corp. (e)		83		1,520
Cenovus Energy Inc.		80		2,454
Chevron Corp.		8		694
EnCana Corp. (e)		39		753
EnCana Corp.		9		175
Fugro NV (e)		14		727
Gazprom OAO - ADR		62		603
Halliburton Co.		60		1,822
Noble Energy Inc.		31		2,216
Oil Search Ltd.		30		159
QGEP Participacoes SA (q)		17		137
Reliance Industries Ltd.		23		383
Repsol YPF SA		54		1,416
Royal Dutch Shell Plc - Class A		24		732
Sasol Ltd.		28		1,152
Schlumberger Ltd.		45		2,700
SeaDrill Ltd.		11		293


	Shares/Par (p)		Value
TMK OAO - GDR		6		53
TransCanada Corp. (e)		7		264
Transocean Ltd.		4		181
Tullow Oil Plc		59		1,192
Uranium One Inc.		30		59
Weatherford International Ltd. (c)		66		805
YPF SA - ADR - Class D		8		257

				25,309
FINANCIALS - 9.6%
ACE Ltd.		27		1,648
AIA Group Ltd. (q)		648		1,835
Allianz SE		4		328
Allstate Corp.		49		1,163
AON Corp.		8		340
Azrieli Group		23		542
Banco Bradesco SA - ADR		62		916
Banco Espirito Santo SA (e)		46		122
Banco Santander SA		87		712
Bank Mandiri Persero Tbk PT (q)		383		271
Bank of China Ltd. - Class H		1,204		372
Barclays Plc		529		1,297
BB&T Corp.		77		1,632
BNP Paribas		17		655
Charles Schwab Corp.		69		782
DBS Group Holdings Ltd. (e)		44		391
Deutsche Boerse AG (f)		31		1,576
DLF Ltd.		195		863
Goldman Sachs Group Inc.		14		1,286
Grupo Financiero Inbursa SA		867		1,451
Hana Financial Group Inc.		24		689
HDFC Bank Ltd.		98		927
HSBC Holdings Plc		285		2,180
HSBC Holdings Plc (e)		98		752
ICICI Bank Ltd.		5		90
Industrial & Commercial Bank of China - Class H		1,267		612
Intact Financial Corp.		3		159
Itau Unibanco Holding SA - ADR		10		163
JPMorgan Chase & Co.		31		925
Kotak Mahindra Bank Ltd.		70		655
Link Real Estate Investment Trust		166		524
Macquarie Group Ltd.		32		699
Marsh & McLennan Cos. Inc.		28		735
NYSE Euronext		7		156
Powszechny Zaklad Ubezpieczen SA		6		594
Progressive Corp.		16		279
Sampo Oyj - Class A		41		1,036
Sberbank of Russia - ADR		185		1,644
SinoPac Financial Holdings Co. Ltd.		344		110
Standard Chartered Plc		12		229
Sumitomo Mitsui Financial Group Inc. (e)		12		327
Swire Pacific Ltd. - Class A		27		277
UBS AG (c)		28		319
UniCredit SpA		369		391
Vienna Insurance Group (e)		4		156
VTB Bank OJSC - GDR		25		103
Wharf Holdings Ltd.		140		689

				33,602
HEALTH CARE - 5.6%
Allergan Inc.		7		568
AMERIGROUP Corp. (c)		11		441
Baxter International Inc.		14		786
Bayer AG		28		1,534
Cerner Corp. (c)		27		1,836


	Shares/Par (p)		Value
CSL Ltd.		22		630
Novartis AG		19		1,039
Novo-Nordisk A/S - Class B		8		828
Pharmasset Inc. (c)		71		5,832
Roche Holding AG		7		1,197
Seattle Genetics Inc. (c) (e)		63		1,201
Shandong Weigao Group Medical Polymer Co. Ltd. (e)		216		240
Shire Plc		49		1,541
Shire Plc - ADR		4		348
Sonova Holding AG (c)		6		538
Sysmex Corp. (e)		30		1,072

				19,631
INDUSTRIALS - 6.4%
Adani Enterprises Ltd.		67		722
Andritz AG		15		1,241
Assa Abloy AB - Class B		46		936
Bilfinger Berger SE		11		840
CAE Inc.		85		794
Caterpillar Inc.		17		1,248
China High Speed Transmission Equipment Group Co. Ltd.		135		62
Cia de Concessoes Rodoviarias		33		851
Danaher Corp.		40		1,690
DP World Ltd.		10		96
Emerson Electric Co.		2		99
Fanuc Ltd.		4		606
Firstgroup Plc		48		239
Harbin Power Equipment Co. Ltd.		554		451
Impulsora del Desarrollo y El Empleo en America Latina SAB de CV (c)		112		146
Jacobs Engineering Group Inc. (c)		25		814
Jardine Matheson Holdings Ltd.		6		291
Kurita Water Industries Ltd. (e)		41		1,155
Mitsubishi Corp.		16		324
Nielsen Holdings NV		18		469
Norfolk Southern Corp.		27		1,660
Progressive Waste Solutions Ltd.		45		932
Sany Heavy Equipment International Holdings Co. Ltd. (e)		762		602
Schneider Electric SA		16		859
Siemens AG		19		1,727
SMC Corp. (e)		5		760
Sumitomo Corp. (e)		121		1,496
Sumitomo Electric Industries Ltd.		36		426
United Technologies Corp.		11		739

				22,275
INFORMATION TECHNOLOGY - 10.8%
Accenture Plc - Class A		16		832
Alibaba.com Ltd. (e)		53		49
Apple Inc. (c)		5		1,868
ASML Holding NV (e)		50		1,729
Asustek Computer Inc.		126		936
Broadcom Corp. - Class A		51		1,701
Canon Inc.		22		994
Daum Communications Corp.		3		348
Delta Electronics Inc.		200		469
First Solar Inc. (c) (e)		6		373
Flextronics International Ltd.		136		767
Freescale Semiconductor Holdings I Ltd. (c) (e)		17		184
Genpact Ltd. (c)		82		1,177
Google Inc. - Class A (c)		5		2,520
Hewlett-Packard Co.		9		193
HON HAI Precision Industry Co. Ltd.		18		41


	Shares/Par (p)		Value
HON HAI Precision Industry Co. Ltd. - GDR		38		173
Ibiden Co. Ltd. (e)		7		152
International Business Machines Corp.		14		2,485
Juniper Networks Inc. (c)		104		1,793
Keyence Corp.		2		613
KLA-Tencor Corp.		52		1,991
Maxim Integrated Products Inc.		35		821
Murata Manufacturing Co. Ltd. (e)		49		2,655
Nintendo Co. Ltd.		9		1,293
Oracle Corp.		56		1,598
Oracle Corp. Japan (e)		9		324
Parametric Technology Corp. (c)		30		458
Premier Farnell Plc		54		130
QUALCOMM Inc.		23		1,138
Samsung Electronics Co. Ltd.		2		1,501
Samsung Electronics Co. Ltd. - GDR		1		272
SAP AG		44		2,247
Sohu.com Inc. (c) (e)		2		72
Taiwan Semiconductor Manufacturing Co. Ltd.		413		930
TDK Corp. (e)		10		335
Trend Micro Inc.		4		128
Visa Inc. - Class A		15		1,312
Yahoo! Japan Corp. (e)		2		753
Yandex NV		25		514

				37,869
MATERIALS - 5.2%
Air Liquide		3		348
Air Products & Chemicals Inc.		3		206
Alacer Gold Corp.		20		197
Allegheny Technologies Inc.		30		1,125
Alumina Ltd.		446		622
Anglo American Plc		10		327
Barrick Gold Corp.		21		971
Centerra Gold Inc.		29		534
Cliffs Natural Resources Inc.		10		512
CRH Plc		4		62
Evraz Group SA - GDR		4		57
Gerdau SA - ADR		11		78
Glencore International Plc (e) (q)		36		224
Harmony Gold Mining Co. Ltd		9		99
Harmony Gold Mining Co. Ltd. - ADR		21		241
HeidelbergCement AG		6		225
Holcim Ltd.		10		525
Iluka Resources Ltd.		27		316
Inmet Mining Corp.		9		390
Ivanhoe Mines Ltd.		13		186
Koninklijke DSM NV		14		601
Labrador Iron Ore Royalty Corp.		23		719
Lee & Man Paper Manufacturing Ltd. (e)		738		249
LG Chem Ltd.		5		1,297
LG Chem Ltd. - GDR (q)		2		218
Mondi Plc		77		563
Monsanto Co.		46		2,756
Petra Diamonds Ltd. (c)		98		170
PT Indocement Tunggal Prakarsa Tbk		9		14
Rio Tinto Plc		6		257
Sappi Ltd. (c)		82		242
Semen Gresik Persero Tbk PT		182		170
Siam Cement PCL		6		52
Stora Enso Oyj - Class R		22		129
Sumitomo Chemical Co. Ltd. (e)		287		1,107
Syngenta AG		7		1,705
United Co. RUSAL Plc (c)		144		124
Vale SA - ADR		13		263


	Shares/Par (p)		Value
Xstrata Plc		19		244

				18,125
TELECOMMUNICATION SERVICES - 4.0%
American Tower Corp. - Class A (c)		41		2,190
AT&T Inc.		25		724
Bharti Airtel Ltd.		36		277
CenturyLink Inc.		20		652
France Telecom SA		15		251
France Telecom SA - ADR		1		13
Koninklijke KPN NV		37		487
Magyar Telekom Telecommunications Plc (e)		63		140
MTN Group Ltd.		38		617
Rostelecom OJSC - ADR (e)		10		274
SK Telecom Co. Ltd. - ADR		20		281
SoftBank Corp. (e)		86		2,502
Tele Norte Leste Participacoes SA		11		116
Tele Norte Leste Participacoes SA - ADR (e)		101		961
Telecomunicacoes de Sao Paulo SA - ADR		4		115
Telefonos de Mexico SAB de CV		50		37
Telefonos de Mexico SAB de CV - ADR		64		954
Telekomunikacja Polska SA		150		782
Telemar Norte Leste SA		5		94
Telstra Corp. Ltd.		268		799
TELUS Corp.		5		252
Verizon Communications Inc.		38		1,384

				13,902
UTILITIES - 1.1%
GDF Suez		60		1,770
Hong Kong & China Gas Co. Ltd. (e)		237		532
National Grid Plc		25		247
PG&E Corp.		22		922
Veolia Environnement		34		490

				3,961

Total Common Stocks (cost $227,044)				210,864

PREFERRED STOCKS - 0.1%
INFORMATION TECHNOLOGY - 0.0%
ASAT Holdings Ltd., 13.00% (f)		7		—
TELECOMMUNICATION SERVICES - 0.1%
Tele Norte Leste Participacoes SA		20		191

Total Preferred Stocks (cost $294)				191

CORPORATE BONDS AND NOTES - 7.5%
CONSUMER DISCRETIONARY - 0.8%
Altegrity Inc., 10.50%, 11/01/15 (q)	$	200		186
AMC Entertainment Inc., 8.75%, 06/01/19		300		295
CCO Holdings LLC, 7.25%, 10/30/17 (e)		400		400
Comcast Corp., 5.88%, 02/15/18		250		290
Michaels Stores Inc., 7.75%, 11/01/18 (e)		550		514
Nextel Communications Inc., 7.38%, 08/01/15		300		284
Time Warner Inc., 5.88%, 11/15/16		450		509
Toys R Us Property Co. II LLC, 8.50%, 12/01/17		200		195

				2,673
CONSUMER STAPLES - 0.6%
Anheuser-Busch InBev NV, 8.63%, 01/30/17, EUR		425		724
Imperial Tobacco Finance Plc, 8.38%, 02/17/16, EUR		250		396
SUPERVALU Inc., 8.00%, 05/01/16 (e)		600		567


	Shares/Par (p)		Value
Tesco Plc, 5.50%, 01/13/33, GBP		300		507

				2,194
ENERGY - 0.1%
Petrobras International Finance Co., 6.88%, 01/20/40		85		90
TransCanada Pipelines Ltd., 6.50%, 08/15/18 (e)		350		428

				518
FINANCIALS - 3.3%
Aviva Plc, 5.25%, 10/02/23 (i), EUR		150		186
Bank of America Corp., 5.75%, 12/01/17		480		450
Barclays Bank Plc, 5.13%, 01/08/20 (e)		285		279
BNP Paribas, 5.00%, 01/15/21 (e)		500		490
CIT Group Inc., 7.00%, 05/01/15 (e)		800		794
Depfa ACS Bank, 3.25%, 02/15/12, EUR		550		737
Enel Finance International SA, 3.88%, 10/07/14 (q)		300		293
Eurohypo AG, 4.50%, 01/21/13, EUR		100		139
Ford Motor Credit Co. LLC, 8.00%, 12/15/16		375		409
Goldman Sachs Group Inc., 5.25%, 07/27/21 (e)		300		296
HSBC Bank Plc, 4.13%, 08/12/20 (q)		625		619
Intesa Sanpaolo SpA, 6.50%, 02/24/21 (q)		300		267
JPMorgan Chase & Co., 4.40%, 07/22/20		625		632
Kimco Realty Corp., 5.58%, 11/23/15		325		347
Lloyds TSB Bank Plc, 6.50%, 03/24/20, EUR		500		528
Merrill Lynch & Co. Inc., 4.63%, 09/14/18, EUR		250		247
Morgan Stanley, 5.75%, 01/25/21		450		414
Muenchener Rueckversicherungs AG, 6.75%, 06/21/23 (i), EUR		150		206
Nordea Hypotek AB, 4.00%, 06/18/14, SEK		2,600		395
ProLogis Inc., 7.38%, 10/30/19 (e)		600		649
Rodamco Europe Finance BV, 3.75%, 12/12/12, EUR		200		272
Royal Bank of Scotland Plc
4.38%, 07/13/16, EUR		250		351
6.93%, 04/09/18, EUR		250		263
Societe Generale, 5.75%, 04/20/16 (q)		150		131
Societe Generale SA, 5.20%, 04/15/21 (q)		450		391
Standard Chartered Bank, 6.40%, 09/26/17 (q)		300		315
Standard Chartered Plc, 3.85%, 04/27/15 (q)		225		230
UBS AG, 5.75%, 04/25/18		250		257
UBS AG Stamford, 5.88%, 12/20/17		175		180
Westfield Europe Finance Plc.
3.63%, 06/27/12, EUR		400		541
5.50%, 06/27/17, GBP		150		251
Zurich Finance USA Inc., 5.75%, 10/02/23 (i), EUR		100		132

				11,691
HEALTH CARE - 0.8%
Bausch & Lomb Inc., 9.88%, 11/01/15		200		201
HCA Inc., 6.38%, 01/15/15 (e)		500		486
Merck & Co Inc
5.38%, 10/01/14, EUR		350		513
6.00%, 09/15/17		475		579
Pfizer Inc., 6.20%, 03/15/19		400		501
Roche Holdings Inc., 6.00%, 03/01/19 (l) (q)		400		489

				2,769
INDUSTRIALS - 0.2%
TransDigm Inc., 7.75%, 12/15/18 (q)		400		407
Volvo AB, 5.00%, 05/31/17, EUR		150		206

				613


	Shares/Par (p)		Value
INFORMATION TECHNOLOGY - 0.2%
First Data Corp.
9.88%, 09/24/15		23		19
8.25%, 01/15/21 (q)		500		395
12.63%, 01/15/21 (e) (q)		201		149
8.75%, 01/15/22 (q)		100		79

				642
MATERIALS - 0.1%
Cemex Espana Luxembourg, 9.25%, 05/12/20 (q)		95		62
Georgia Gulf Corp., 9.00%, 01/15/17 (e) (q)		300		303

				365
TELECOMMUNICATION SERVICES - 0.5%
AT&T Inc., 2.95%, 05/15/16		600		619
Koninklijke KPN NV, 4.75%, 01/17/17, EUR		200		283
New Cingular Wireless Services Inc, 8.13%, 05/01/12		250		260
Telecom Italia SpA, 8.25%, 03/21/16, EUR		150		215
Vodafone Group Plc, 4.75%, 06/14/16, EUR		350		511

				1,888
UTILITIES - 0.9%
Abu Dhabi National Energy Co., 6.17%, 10/25/17		300		331
AES Corp.
7.75%, 10/15/15 (e)		125		127
8.00%, 10/15/17 (e)		200		201
AES Panama SA, 6.35%, 12/21/16 (q)		300		321
E.ON International Finance BV, 5.80%, 04/30/18 (q)		500		573
Edison Mission Energy, 7.75%, 06/15/16 (e)		150		101
Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14 (e) (q)		525		524
National Grid Plc, 6.30%, 08/01/16		300		345
Veolia Environnement, 5.25%, 06/03/13		525		551

				3,074

Total Corporate Bonds and Notes (cost $26,906)				26,427

GOVERNMENT AND AGENCY OBLIGATIONS - 27.9%
GOVERNMENT SECURITIES - 24.4%
Sovereign - 16.8%
Argentine Republic Government International Bond, 5.83%, 12/31/33, ARS		350		105
Brazil Notas do Tesouro Nacional - Series B, 6.00%, 05/15/17, BRL		580		669
Bundesrepublic Deutschland, 3.00%, 07/04/20, EUR		4,425		6,533
Canadian Government Bond
4.50%, 06/01/15, CAD		1,500		1,602
4.25%, 06/01/18, CAD		300		333
Colombia Government International Bond
12.00%, 10/22/15, COP		231,000		145
9.85%, 06/28/27, COP		485,000		315
Croatia Government International Bond, 6.75%, 11/05/19 (q)		625		604
Denmark Government Bond
5.00%, 11/15/13, DKK		3,475		682
4.00%, 11/15/19, DKK		8,500		1,780
Dominican Republic International Bond, 8.63%, 04/20/27 (q)		150		155
German Treasury Bond, 4.00%, 01/04/37, EUR		100		166
Hungary Government Bond
5.50%, 02/12/14, HUF		100,000		441


	Shares/Par (p)		Value
6.50%, 06/24/19, HUF		55,000		228
7.63%, 03/29/41		48		47
Indonesia Government Bond
12.50%, 03/15/13, IDR		250,000		31
11.00%, 10/15/14, IDR		65,000		8
9.50%, 06/15/15, IDR		4,000,000		505
10.75%, 05/15/16, IDR		145,000		19
12.80%, 06/15/21, IDR		495,000		79
Italy Buoni Poliennali Del Tesoro
5.00%, 02/01/12, EUR		825		1,113
4.75%, 09/01/21, EUR		450		570
Japan Government Bond
1.70%, 09/20/17, JPY		400,000		5,556
1.00%, 09/20/20, JPY		200,000		2,620
2.30%, 12/20/35, JPY		50,000		704
Japan Government Ten Year Bond, 1.40%, 03/20/12, JPY		50,000		652
Korea Treasury Bond
4.25%, 09/10/14, KRW		2,150,000		1,856
5.25%, 09/10/15, KRW		190,000		170
Malaysia Government Bond, 5.09%, 04/30/14, MYR		8,825		2,890
Mexican Bonos
9.50%, 12/18/14, MXN		29,000		2,367
8.00%, 12/17/15 - 06/11/20 , MXN		10,500		838
7.75%, 12/14/17, MXN		3,800		305
Netherlands Government Bond, 3.25%,
07/15/15, EUR		1,250		1,798
Philippine Government Bond, 4.95%, 01/15/21, PHP		12,000		263
Poland Government Treasury International Bond
5.75%, 04/25/14, PLN		5,250		1,623
5.25%, 10/25/17, PLN		3,000		892
6.38%, 07/15/19		650		715
Queensland Treasury Corp., 6.00%, 10/14/15, AUD		2,050		2,110
Republic of Argentina
8.28%, 12/31/33		659		451
2.28%, 12/15/35 (i)		570		78
Republic of Belarus, 8.95%, 01/26/18		400		281
Republic of Deutschland
3.75%, 07/04/13, EUR		1,250		1,769
4.25%, 07/04/14- 07/04/18 , EUR		825		1,260
4.75%, 07/04/34, EUR		950		1,721
Republic of Hungary, 6.25%, 01/29/20		400		388
Republic of South Africa Government Bond,
7.25%, 01/15/20, ZAR		2,000		233
Republic of Turkey, 7.50%, 11/07/19		150		173
Republic of Venezuela, 9.38%, 01/13/34		300		185
Russian Foreign Bond, 7.85%, 03/10/18 (q), RUB		10,000		305
Singapore Government Bond
3.63%, 07/01/14, SGD		1,250		1,043
4.00%, 09/01/18, SGD		875		795
2.25%, 06/01/21, SGD		1,300		1,051
Sweden Government Bond
6.75%, 05/05/14 (e), SEK		15,750		2,618
4.50%, 08/12/15, SEK		5,000		815
Thailand Government Bond
5.25%, 05/12/14, THB		1,650		55
3.63%, 05/22/15, THB		7,150		231
Turkey Government Bond, 10.50%, 01/15/20, TRY		350		201
Turkey Government International Bond, 6.75%, 05/30/40		150		156


	Shares/Par (p)		Value
United Kingdom Treasury Bond
2.75%, 01/22/15, GBP		200		330
4.00%, 09/07/16 – 03/07/22, GBP		425		751
4.50%, 03/07/19, GBP		375		688
5.00%, 03/07/25, GBP		400		778
4.75%, 12/07/38, GBP		350		667
Venezuela Government International Bond,
9.25%, 09/15/27		115		73

				58,585
Treasury Inflation Index Securities - 0.5%
Republic of Turkey Inflation Indexed Note, 10.00%, 02/15/12 (n), TRY		314		175
U.S. Treasury Inflation Indexed Note, 2.00%, 07/15/14 (n)		1,528		1,644
Uruguay Government International Inflation Index Bond, 5.00%, 09/14/18 (n), UYU		3,131		158

U.S. Treasury Securities - 7.1%				333
U.S. Treasury Bond
5.25%, 02/15/29		1,000		1,366
4.38%, 02/15/38		2,250		2,874
U.S. Treasury Note
0.75%, 05/31/12		250		251
2.75%, 02/28/13		2,650		2,743
4.25%, 08/15/13 - 11/15/13		5,775		6,217
1.38%, 11/30/15		6,050		6,207
3.50%, 05/15/20		2,000		2,291
3.13%, 05/15/21		2,500		2,755

				24,723
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 3.5%
Federal National Mortgage Association - 3.5%
Federal National Mortgage Association
3.50%, 12/01/25		891		932
6.00%, 07/01/38		983		1,081
5.00%, 04/01/39		683		736
4.50%, 10/01/41, TBA (g)		1,300		1,379
5.50%, 10/01/41, TBA (g)		1,716		1,862
4.00%, 02/01/41 - 03/01/41		4,006		4,204
4.50%, 03/01/41		1,737		1,845

				12,039

Total Government and Agency Obligations (cost $93,954)				97,325

SHORT TERM INVESTMENTS - 14.9%
Investment Companies - 4.6%
JNL Money Market Fund, 0.02% (a) (h)		16,136		16,136
Securities Lending Collateral - 10.3%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		35,666		35,666
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		461		447

				36,113

Total Short Term Investments (cost $52,263)				52,249

Total Investments - 110.8% (cost $400,460)				387,056
Other Assets and Liabilities, Net - (10.8%)				(37,866	)

Total Net Assets - 100.0%			$	349,190


	Shares/Par (p)		Value
JNL/Capital Guardian Global Diversified Research Fund
COMMON STOCKS - 98.3%
CONSUMER DISCRETIONARY - 7.9%
Carnival Corp.		88	$	2,678
Comcast Corp. - Class A		104		2,180
Denso Corp.		53		1,717
Discovery Communications Inc. - Class A (c)		23		865
DreamWorks Animation SKG Inc. - Class A (c) (e)		50		902
Gannett Co. Inc.		57		547
GKN Plc		313		849
Hennes & Mauritz AB		79		2,368
Indorama Ventures PCL		748		654
Nike Inc. - Class B		16		1,385
Signet Jewelers Ltd.		42		1,413
Target Corp.		45		2,212
Time Warner Cable Inc.		28		1,736
Urban Outfitters Inc. (c)		35		790
Virgin Media Inc. (e)		57		1,381

				21,677
CONSUMER STAPLES - 6.4%
Ajinomoto Co. Inc. (e)		117		1,382
Avon Products Inc.		179		3,512
Danone SA		25		1,507
Imperial Tobacco Group Plc		111		3,747
Nestle SA		47		2,588
Olam International Ltd. (e) (q)		695		1,185
Pernod-Ricard SA		46		3,609

				17,530
ENERGY - 12.8%
BG Group Plc		344		6,584
Cairn Energy Plc (c)		361		1,565
Cameco Corp. (e)		44		804
Cenovus Energy Inc.		87		2,688
Chevron Corp.		48		4,432
EnCana Corp.		46		889
Fugro NV		23		1,135
Gazprom OAO - ADR		279		2,706
Halliburton Co.		57		1,737
Oil Search Ltd.		280		1,509
Reliance Industries Ltd.		33		546
Royal Dutch Shell Plc - Class A		118		3,635
Schlumberger Ltd.		20		1,195
SeaDrill Ltd.		41		1,126
TransCanada Corp. (e)		38		1,543
Transocean Ltd.		15		706
Tullow Oil Plc		67		1,355
Weatherford International Ltd. (c)		76		933

				35,088
FINANCIALS - 16.6%
ACE Ltd.		22		1,333
AIA Group Ltd. (q)		851		2,409
Allstate Corp.		62		1,459
AON Corp.		45		1,885
Banco Bradesco SA - ADR		91		1,341
Banco Espirito Santo SA (e)		405		1,072
Bank of China Ltd. - Class H		5,185		1,603
Barclays Plc		749		1,836
BB&T Corp.		65		1,389
BNP Paribas		27		1,075
CIMB Group Holdings Bhd		375		812


	Shares/Par (p)		Value
Charles Schwab Corp.		91		1,030
DBS Group Holdings Ltd. (e)		125		1,124
Deutsche Boerse AG (f)		14		727
Goldman Sachs Group Inc.		16		1,522
Grupo Financiero Inbursa SA		379		633
Hana Financial Group Inc.		99		2,884
HSBC Holdings Plc		216		1,656
Industrial & Commercial Bank of China - Class H		3,605		1,741
Intact Financial Corp.		24		1,329
Itau Unibanco Holding SA - ADR		50		774
JPMorgan Chase & Co.		37		1,117
Link Real Estate Investment Trust		1,031		3,256
NYSE Euronext		43		1,002
Progressive Corp.		88		1,566
Sampo Oyj		84		2,099
Standard Chartered Plc		67		1,343
Sumitomo Mitsui Financial Group Inc. (e)		69		1,939
UBS AG (c)		141		1,618
Wharf Holdings Ltd.		429		2,117

				45,691
HEALTH CARE - 12.1%
Allergan Inc.		50		4,078
AMERIGROUP Corp. (c)		32		1,245
Bayer AG		65		3,578
Cerner Corp. (c)		30		2,069
Novo-Nordisk A/S - Class B		25		2,484
Pharmasset Inc. (c)		90		7,380
Roche Holding AG		12		1,989
Seattle Genetics Inc. (c) (e)		184		3,507
Shire Plc		139		4,341
Sonova Holding AG (c)		18		1,599
Sysmex Corp. (e)		26		928

				33,198
INDUSTRIALS - 7.1%
Assa Abloy AB - Class B (e)		101		2,076
Caterpillar Inc.		19		1,433
Cia de Concessoes Rodoviarias		43		1,108
Danaher Corp.		65		2,718
Emerson Electric Co.		19		764
Firstgroup Plc		352		1,750
Jardine Matheson Holdings Ltd.		39		1,782
Kurita Water Industries Ltd.		29		810
Nielsen Holdings NV		46		1,205
Norfolk Southern Corp.		23		1,428
Schneider Electric SA		25		1,324
Siemens AG		9		809
Sumitomo Corp. (e)		103		1,278
Sumitomo Electric Industries Ltd.		85		1,001

				19,486
INFORMATION TECHNOLOGY - 15.5%
Accenture Plc - Class A		21		1,101
Apple Inc. (c)		9		3,316
ASML Holding NV (e)		31		1,084
ASML Holding NV - NYS		10		342
Asustek Computer Inc.		129		960
Broadcom Corp. - Class A		53		1,774
Canon Inc.		29		1,321
Delta Electronics Inc.		268		628
First Solar Inc. (c) (e)		4		272
Flextronics International Ltd. (c)		216		1,218
Freescale Semiconductor Holdings I Ltd. (c)		88		970
Google Inc. - Class A (c)		4		1,852


	Shares/Par (p)		Value
Hewlett-Packard Co.		51		1,138
Ibiden Co. Ltd. (e)		31		657
International Business Machines Corp.		9		1,610
Juniper Networks Inc. (c)		54		930
Keyence Corp.		8		2,058
KLA-Tencor Corp.		32		1,217
Maxim Integrated Products Inc.		126		2,947
Murata Manufacturing Co. Ltd. (e)		21		1,129
Nintendo Co. Ltd.		6		940
Oracle Corp.		73		2,101
Premier Farnell Plc		326		785
QUALCOMM Inc.		47		2,291
Samsung Electronics Co. Ltd.		1		435
Samsung Electronics Co. Ltd. - GDR		7		2,628
SAP AG		34		1,731
Taiwan Semiconductor Manufacturing Co. Ltd.		507		1,141
TDK Corp. (e)		28		991
Trend Micro Inc. (e)		36		1,123
Visa Inc. - Class A		24		2,023

				42,713
MATERIALS - 9.8%
Air Products & Chemicals Inc.		18		1,405
Alacer Gold Corp.		118		1,149
Allegheny Technologies Inc.		32		1,195
Anglo American Plc		56		1,934
Cliffs Natural Resources Inc.		33		1,678
CRH Plc		21		318
Glencore International Plc (e) (q)		191		1,201
HeidelbergCement AG		15		544
Holcim Ltd.		18		963
Inmet Mining Corp.		37		1,585
Koninklijke DSM NV		30		1,313
LG Chem Ltd. - GDR (q)		14		1,975
Mondi Plc		169		1,235
Monsanto Co.		11		673
Newcrest Mining Ltd. (e)		56		1,855
Rio Tinto Plc		37		1,662
Stora Enso Oyj - Class R		94		549
Sumitomo Chemical Co. Ltd. (e)		282		1,088
Syngenta AG (e)		10		2,560
Vale SA - ADR		28		586
Xstrata Plc		120		1,520

				26,988
TELECOMMUNICATION SERVICES - 7.7%
American Tower Corp. - Class A (c)		120		6,467
CenturyLink Inc.		56		1,858
France Telecom SA		67		1,104
Koninklijke KPN NV		212		2,798
MTN Group Ltd.		81		1,323
SoftBank Corp. (e)		56		1,630
Telstra Corp. Ltd.		1,609		4,793
TELUS Corp.		26		1,231

				21,204
UTILITIES - 2.4%
GDF Suez		37		1,099
Hong Kong & China Gas Co. Ltd. (e)		813		1,830
National Grid Plc		151		1,499
PG&E Corp.		38		1,603
Veolia Environnement		32		472

				6,503

Total Common Stocks (cost $275,620)				270,078


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 11.0%
Investment Companies - 2.1%
JNL Money Market Fund, 0.02% (a) (h)		5,643		5,643
Securities Lending Collateral - 8.9%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		24,205		24,205
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		340		330

				24,535

Total Short Term Investments (cost $30,188)				30,178

Total Investments - 109.3% (cost $305,808)				300,256
Other Assets and Liabilities, Net - (9.3%)				(25,460	)

Total Net Assets - 100.0%			$	274,796


JNL/Capital Guardian U.S. Growth Equity Fund
COMMON STOCKS - 96.4%
CONSUMER DISCRETIONARY - 17.1%
Carnival Corp.		68	$	2,069
Coach Inc.		169		8,739
Comcast Corp. - Class A		475		9,917
DreamWorks Animation SKG Inc. - Class A (c) (e)		274		4,987
Gannett Co. Inc.		476		4,539
Home Depot Inc.		50		1,637
Lowe’s Cos. Inc.		102		1,975
Scripps Networks Interactive Inc. - Class A		109		4,044
Signet Jewelers Ltd.		105		3,559
Target Corp.		189		9,249
Tiffany & Co.		100		6,094
Time Warner Cable Inc.		44		2,783
Urban Outfitters Inc. (c)		213		4,761
Viacom Inc. - Class B		69		2,669

				67,022
CONSUMER STAPLES - 4.6%
Avon Products Inc.		316		6,194
PepsiCo Inc.		109		6,759
Philip Morris International Inc.		83		5,196

				18,149
ENERGY - 11.3%
Anadarko Petroleum Corp.		104		6,532
Baker Hughes Inc.		68		3,120
Cenovus Energy Inc.		86		2,650
Dril-Quip Inc. (c)		119		6,421
EnCana Corp.		115		2,209
Halliburton Co.		164		5,015
Noble Energy Inc.		81		5,728
Schlumberger Ltd.		147		8,768
Weatherford International Ltd. (c)		325		3,972

				44,415
FINANCIALS - 4.7%
Charles Schwab Corp.		704		7,938
Goldman Sachs Group Inc.		79		7,488
JPMorgan Chase & Co.		49		1,470
Progressive Corp.		85		1,513

				18,409


	Shares/Par (p)		Value
HEALTH CARE - 18.5%
Allergan Inc.		117		9,647
AMERIGROUP Corp. (c)		108		4,221
Boston Scientific Corp. (c)		327		1,930
Centene Corp. (c)		149		4,281
Cerner Corp. (c)		179		12,258
Human Genome Sciences Inc. (c)		125		1,581
Pharmasset Inc. (c)		243		20,028
Seattle Genetics Inc. (c) (e)		522		9,947
Shire Plc - ADR		70		6,603
Universal Health Services Inc. - Class B		55		1,863

				72,359
INDUSTRIALS - 9.4%
Danaher Corp.		171		7,168
Emerson Electric Co.		60		2,466
FedEx Corp.		22		1,518
Illinois Tool Works Inc.		40		1,647
Iron Mountain Inc.		170		5,375
Jacobs Engineering Group Inc. (c)		99		3,197
Nielsen Holdings NV		476		12,417
WW Grainger Inc.		19		2,856

				36,644
INFORMATION TECHNOLOGY - 23.1%
Accenture Plc - Class A		81		4,257
Akamai Technologies Inc. (c)		80		1,592
Apple Inc. (c)		24		9,225
Broadcom Corp. - Class A		153		5,077
eBay Inc. (c)		31		908
First Solar Inc. (c) (e)		41		2,604
Flextronics International Ltd. (c)		641		3,608
Google Inc. - Class A (c)		31		15,689
International Business Machines Corp.		15		2,678
Jabil Circuit Inc.		176		3,126
Juniper Networks Inc. (c)		221		3,809
KLA-Tencor Corp.		100		3,832
MasterCard Inc. - Class A		10		3,267
Maxim Integrated Products Inc.		97		2,265
Nintendo Co. Ltd. - ADR (e)		157		2,853
Oracle Corp.		329		9,447
QUALCOMM Inc.		162		7,863
Visa Inc. - Class A		99		8,486

				90,586
MATERIALS - 5.5%
Allegheny Technologies Inc.		117		4,320
Cliffs Natural Resources Inc.		64		3,249
Ecolab Inc.		68		3,305
Monsanto Co.		145		8,712
Vulcan Materials Co. (e)		66		1,822

				21,408
TELECOMMUNICATION SERVICES - 2.2%
American Tower Corp. - Class A (c)		161		8,683

Total Common Stocks (cost $378,080)				377,675

SHORT TERM INVESTMENTS - 8.4%
Investment Companies - 3.4%
JNL Money Market Fund, 0.02% (a) (h)		13,432		13,432
Securities Lending Collateral - 5.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		19,075		19,075


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		645		625

				19,700

Total Short Term Investments (cost $33,152)				33,132


Total Investments - 104.8% (cost $411,232)				410,807
Other Assets and Liabilities, Net - (4.8%)				(18,810	)

Total Net Assets - 100.0%			$	391,997


JNL/Eagle Core Equity Fund
COMMON STOCKS - 88.6%
CONSUMER DISCRETIONARY - 10.1%
Bed Bath & Beyond Inc. (c)		99	$	5,651
Lowe’s Cos. Inc.		324		6,264
Staples Inc.		279		3,716
Walt Disney Co.		183		5,506

				21,137
CONSUMER STAPLES - 10.4%
Coca-Cola Co.		71		4,806
Kraft Foods Inc.		131		4,399
PepsiCo Inc.		64		3,931
Procter & Gamble Co.		72		4,537
Wal-Mart Stores Inc.		78		4,024

				21,697
ENERGY - 10.9%
Apache Corp.		40		3,179
Chevron Corp.		52		4,809
ConocoPhillips		71		4,468
Exxon Mobil Corp.		102		7,415
Schlumberger Ltd.		50		2,973

				22,844
FINANCIALS - 12.1%
Annaly Capital Management Inc.		182		3,034
CME Group Inc.		20		4,958
Invesco Ltd.		257		3,988
JPMorgan Chase & Co.		174		5,248
MetLife Inc.		167		4,692
SLM Corp.		267		3,318

				25,238
HEALTH CARE - 12.7%
Johnson & Johnson		67		4,258
Pfizer Inc.		435		7,695
St. Jude Medical Inc.		98		3,552
UnitedHealth Group Inc.		154		7,103
Zimmer Holdings Inc. (c)		74		3,956

				26,564
INDUSTRIALS - 6.7%
Boeing Co.		47		2,863
Tyco International Ltd.		118		4,804
Union Pacific Corp.		37		3,050
United Technologies Corp.		47		3,313

				14,030
INFORMATION TECHNOLOGY - 22.2%
Activision Blizzard Inc.		467		5,555
Apple Inc. (c)		28		10,630
Cisco Systems Inc.		108		1,671
EMC Corp. (c)		329		6,897


	Shares/Par (p)		Value
Google Inc. - Class A (c)		15		7,473
Microsoft Corp.		166		4,121
Oracle Corp.		232		6,682
QUALCOMM Inc.		69		3,348

				46,377
TELECOMMUNICATION SERVICES - 1.4%
Sprint Nextel Corp. (c)		930		2,828
UTILITIES - 2.1%
Dominion Resources Inc.		84		4,286

Total Common Stocks (cost $192,588)				185,001

INVESTMENT COMPANIES - 1.4%
Materials Select Sector SPDR Fund		96		2,821

Total Investment Companies (cost $3,292)				2,821

SHORT TERM INVESTMENTS - 9.8%
Investment Companies - 9.8%
JNL Money Market Fund, 0.02% (a) (h)		20,468		20,468

Total Short Term Investments (cost $20,468)				20,468

Total Investments - 99.8% (cost $216,348)				208,290
Other Assets and Liabilities, Net - 0.2%				521

Total Net Assets - 100.0%			$	208,811

JNL/Eagle SmallCap Equity Fund
COMMON STOCKS - 97.5%
CONSUMER DISCRETIONARY - 17.5%
Bally Technologies Inc. (c) (e)		312	$	8,408
BJ’s Restaurants Inc. (c)		337		14,869
Buffalo Wild Wings Inc. (c)		59		3,554
Chico’s FAS Inc.		327		3,741
Genesco Inc. (c)		590		30,426
GNC Holdings Inc. - Class A (c)		181		3,640
Orient-Express Hotels Ltd. - Class A (c)		613		4,239
Pinnacle Entertainment Inc. (c)		552		5,010
Shuffle Master Inc. (c)		1,426		11,996
Sotheby’s - Class A		151		4,156
Steven Madden Ltd. (c)		266		8,002
Universal Electronics Inc. (c)		400		6,560
Vitamin Shoppe Inc. (c)		483		18,088

				122,689
CONSUMER STAPLES - 2.6%
Herbalife Ltd.		143		7,642
The Fresh Market Inc. (c) (e)		277		10,573

				18,215
ENERGY - 6.7%
Cloud Peak Energy Inc. (c) (e)		189		3,197
Gulfport Energy Corp. (c)		140		3,390
Lufkin Industries Inc.		377		20,069
Oasis Petroleum Inc. (c) (e)		494		11,035
OYO Geospace Corp. (c)		157		8,829

				46,520
FINANCIALS - 5.4%
Cash America International Inc.		355		18,162
Duff & Phelps Corp. - Class A (e)		333		3,553
EZCORP Inc. (c)		159		4,550
KKR Financial Holdings LLC		405		3,010


	Shares/Par (p)		Value
Redwood Trust Inc. (e)		483		5,400
UMB Financial Corp.		97		3,109

				37,784
HEALTH CARE - 21.3%
Air Methods Corp. (c)		81		5,153
Allscripts-Misys Healthcare Solutions Inc. (c)		413		7,450
ArthroCare Corp. (c)		368		10,584
BioMarin Pharmaceutical Inc. (c)		239		7,602
Bruker Corp. (c)		573		7,752
Catalyst Health Solutions Inc. (c)		199		11,493
Centene Corp. (c)		325		9,304
Cepheid Inc. (c)		301		11,679
Delcath Systems Inc. (c) (e)		297		991
Icon Plc - ADR (c)		248		3,994
MedAssets Inc. (c)		409		3,926
Medidata Solutions Inc. (c)		185		3,045
Parexel International Corp. (c)		225		4,266
Quality Systems Inc.		180		17,412
Salix Pharmaceuticals Ltd. (c)		257		7,604
Seattle Genetics Inc. (c) (e)		507		9,654
Sirona Dental Systems Inc. (c)		242		10,257
Thoratec Corp. (c)		417		13,604
United Therapeutics Corp. (c)		88		3,299

				149,069
INDUSTRIALS - 16.1%
3D Systems Corp. (c) (e)		205		2,866
Acacia Research Corp. (c)		252		9,076
Atlas Air Worldwide Holdings Inc. (c)		184		6,126
Geo Group Inc. (c)		602		11,179
GrafTech International Ltd. (c)		876		11,125
Hexcel Corp. (c)		180		3,981
JetBlue Airways Corp. (c) (e)		1,479		6,064
Landstar System Inc.		182		7,192
Meritor Inc. (c)		730		5,152
Northwest Pipe Co. (c)		274		5,568
Regal-Beloit Corp.		138		6,255
Triumph Group Inc.		265		12,907
WABCO Holdings Inc. (c)		312		11,827
Waste Connections Inc.		398		13,466

				112,784
INFORMATION TECHNOLOGY - 21.0%
Ansys Inc. (c)		189		9,289
Cavium Inc. (c)		132		3,574
Coherent Inc. (c)		242		10,394
Compuware Corp. (c)		1,179		9,033
Cymer Inc. (c)		159		5,911
DTS Inc. (c)		391		9,719
EZchip Semiconductor Ltd. (c)		106		3,521
Fortinet Inc. (c)		543		9,119
Informatica Corp. (c)		205		8,377
Monster Worldwide Inc. (c)		623		4,474
Nice Systems Ltd. - ADR (c)		318		9,659
Progress Software Corp. (c)		280		4,922
QLIK Technologies Inc. (c)		328		7,100
Riverbed Technology Inc. (c)		218		4,354
Sapient Corp.		999		10,131
SuccessFactors Inc. (c)		327		7,515
Teradyne Inc. (c)		782		8,612
TIBCO Software Inc. (c)		375		8,407
Universal Display Corp. (c) (e)		153		7,357
Veeco Instruments Inc. (c) (e)		217		5,284

				146,752


	Shares/Par (p)		Value
MATERIALS - 6.9%
Huntsman Corp.		831		8,039
Intrepid Potash Inc. (c)		229		5,704
Quaker Chemical Corp.		167		4,338
RTI International Metals Inc. (c)		449		10,464
Texas Industries Inc. (e)		319		10,129
Titanium Metals Corp.		624		9,350

				48,024

Total Common Stocks (cost $708,560)				681,837

SHORT TERM INVESTMENTS - 10.1%
Investment Companies - 2.5%
JNL Money Market Fund, 0.02% (a) (h)		17,509		17,509
Securities Lending Collateral - 7.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		52,508		52,508
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		638		618

				53,126

Total Short Term Investments (cost $70,655)				70,635

Total Investments - 107.6% (cost $779,215)				752,472
Other Assets and Liabilities, Net - (7.6%)				(53,241	)

Total Net Assets - 100.0%			$	699,231

JNL/Franklin Templeton Founding Strategy Fund (b)
INVESTMENT COMPANIES - 100.0%
JNL/Franklin Templeton Global Growth Fund (68.9%) (a)		45,869	$	323,375
JNL/Franklin Templeton Income Fund (29.0%) (a)		33,655		324,438
JNL/Franklin Templeton Mutual Shares Fund (53.1%) (a)		42,683		323,537

Total Investment Companies (cost $1,120,038)				971,350

Total Investments - 100.0% (cost $1,120,038)				971,350
Other Assets and Liabilities, Net - (0.0%)				222

Total Net Assets - 100.0%			$	971,572

JNL/Franklin Templeton Global Growth Fund
COMMON STOCKS - 94.3%
CONSUMER DISCRETIONARY - 13.1%
Comcast Corp. - Class A		30	$	637
Comcast Corp. - Special Class A		418		8,648
Compagnie Generale des Etablissements Michelin		55		3,278
Home Depot Inc.		62		2,054
Kingfisher Plc		1,185		4,550
Marks & Spencer Group Plc		238		1,157
Mazda Motor Corp. (c) (e)		1,229		2,486
News Corp. - Class A		497		7,681
Nissan Motor Co. Ltd. (e)		441		3,904
Persimmon Plc		175		1,234
Reed Elsevier NV		180		1,980


	Shares/Par (p)		Value
Target Corp.		46		2,271
Time Warner Cable Inc.		76		4,785
Time Warner Inc.		102		3,046
Toyota Motor Corp.		148		5,084
USS Co. Ltd.		19		1,636
Viacom Inc. - Class B		113		4,376
Walt Disney Co.		91		2,749

				61,556
CONSUMER STAPLES - 2.7%
CVS Caremark Corp.		152		5,111
Nestle SA		56		3,093
Tesco Plc		732		4,288

				12,492
ENERGY - 9.3%
Baker Hughes Inc.		62		2,880
BP Plc		857		5,140
Chevron Corp.		51		4,680
ENI SpA		211		3,719
Gazprom OAO - ADR		386		3,737
Halliburton Co.		56		1,711
Noble Corp.		100		2,933
Petroleo Brasileiro SA - ADR		61		1,257
Royal Dutch Shell Plc		3		89
Royal Dutch Shell Plc - Class B		241		7,499
SBM Offshore NV		76		1,309
StatoilHydro ASA		163		3,507
Total SA (e)		116		5,136

				43,597
FINANCIALS - 17.5%
ACE Ltd.		50		3,038
AIA Group Ltd.		888		2,515
American Express Co.		101		4,534
Aviva Plc		865		4,069
AXA SA		227		2,959
Bank of America Corp.		205		1,253
Bank of New York Mellon Corp.		68		1,267
BNP Paribas		19		742
Cheung Kong Holdings Ltd. (e)		223		2,417
Citigroup Inc.		132		3,385
Credit Agricole SA		479		3,296
Credit Suisse Group AG (c)		148		3,879
Danske Bank A/S (c)		141		1,968
DBS Group Holdings Ltd.		322		2,887
HSBC Holdings Plc (e)		417		3,190
ICICI Bank Ltd. - ADR		66		2,308
ING Groep NV (c)		647		4,564
Intesa Sanpaolo SpA		1,930		3,026
JPMorgan Chase & Co.		70		2,105
KB Financial Group Inc. - ADR (e)		94		3,077
Morgan Stanley		268		3,611
Muenchener Rueckversicherungs AG		31		3,899
Nomura Holdings Inc. (e)		584		2,129
Progressive Corp.		12		219
RenaissanceRe Holdings Ltd.		37		2,389
Swire Pacific Ltd.		115		1,177
Swiss Re Ltd. (c)		102		4,795
Torchmark Corp.		30		1,043
UBS AG (c)		284		3,246
UniCredit SpA		2,826		2,997

				81,984
HEALTH CARE - 14.8%
Abbott Laboratories		54		2,756
Amgen Inc.		167		9,151


	Shares/Par (p)		Value
Bristol-Myers Squibb Co.		62		1,940
GlaxoSmithKline Plc		371		7,661
Lonza Group AG (e)		25		1,533
Medtronic Inc.		184		6,127
Merck & Co. Inc.		162		5,288
Merck KGaA		43		3,491
Novartis AG		52		2,912
Pfizer Inc.		486		8,600
Quest Diagnostics Inc.		65		3,211
Roche Holding AG		48		7,772
Sanofi-Aventis SA		139		9,138

				69,580
INDUSTRIALS - 12.2%
Adecco SA (c) (e)		23		898
Alstom SA		127		4,187
BAE Systems Plc		367		1,516
Carillion Plc		127		656
Citic Pacific Ltd. (e)		695		979
Deutsche Lufthansa AG		325		4,217
Deutsche Post AG		119		1,523
East Japan Railway Co.		61		3,704
Embraer SA - ADR		42		1,054
FedEx Corp.		49		3,302
General Electric Co.		293		4,464
Hays Plc		629		674
International Consolidated Airlines Group SA (c)		1,992		4,706
ITOCHU Corp. (e)		133		1,266
Koninklijke Philips Electronics NV (e)		334		5,996
Randstad Holding NV (e)		128		4,067
Rentokil Initial Plc (c)		949		1,053
Siemens AG		48		4,349
United Parcel Service Inc. - Class B		79		5,005
Wolseley Plc		142		3,530

				57,146
INFORMATION TECHNOLOGY - 13.0%
Accenture Plc - Class A		48		2,509
Brocade Communications Systems Inc. (c)		449		1,938
Cisco Systems Inc.		498		7,720
Dell Inc. (c)		193		2,735
Flextronics International Ltd. (c)		258		1,453
Konica Minolta Holdings Inc. (e)		154		1,056
Microsoft Corp.		359		8,935
Nintendo Co. Ltd. (e)		24		3,571
Oracle Corp.		235		6,765
Samsung Electronics Co. Ltd. - GDR (q)		19		6,903
SAP AG		92		4,669
Seagate Technology		291		2,987
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR		413		4,718
TE Connectivity Ltd.		95		2,680
Telefonaktiebolaget LM Ericsson - Class B (e)		233		2,239

				60,878
MATERIALS - 2.4%
Akzo Nobel NV		68		2,988
CRH Plc		399		6,165
POSCO - ADR (e)		14		1,057
Vale SA - ADR		59		1,233

				11,443
TELECOMMUNICATION SERVICES - 9.3%
China Mobile Ltd.		293		2,859
China Telecom Corp. Ltd. - ADR (e)		34		2,106
France Telecom SA		262		4,292


	Shares/Par (p)		Value
Singapore Telecommunications Ltd.		2,869		6,916
Sprint Nextel Corp. (c)		1,416		4,304
Telefonica SA		163		3,118
Telekom Austria AG		160		1,616
Turkcell Iletisim Hizmet AS - ADR (c) (e)		321		3,618
Vivendi SA		217		4,418
Vodafone Group Plc		4,069		10,487

				43,734

Total Common Stocks (cost $555,723)				442,410

SHORT TERM INVESTMENTS - 13.1%
Investment Companies - 5.4%
JNL Money Market Fund, 0.02% (a) (h)		25,213		25,213
Securities Lending Collateral - 7.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		35,982		35,982
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		146		141

				36,123

Total Short Term Investments (cost $61,341)				61,336

Total Investments - 107.4% (cost $617,064)				503,746
Other Assets and Liabilities, Net - (7.4%)				(34,885	)

Total Net Assets - 100.0%			$	468,861

JNL/Franklin Templeton Income Fund
COMMON STOCKS - 33.2%
CONSUMER DISCRETIONARY - 0.7%
Comcast Corp. - Class A		150	$	3,135
Dex One Corp. (c) (e)		106		59
General Motors Co. (c)		10		202
Target Corp.		100		4,919

				8,315
CONSUMER STAPLES - 0.9%
Diageo Plc		150		2,860
PepsiCo Inc.		110		6,790

				9,650
ENERGY - 5.7%
Alpha Natural Resources Inc. (c)		25		442
BP Plc - ADR		260		9,378
Callon Petroleum Co. (c)		75		290
Canadian Oil Sands Ltd. (e)		513		9,990
Chesapeake Energy Corp.		90		2,299
Chevron Corp.		30		2,776
ConocoPhillips		200		12,664
Exxon Mobil Corp.		220		15,979
Royal Dutch Shell Plc - ADR		90		5,537
Spectra Energy Corp.		140		3,424
Weatherford International Ltd. (c)		125		1,526

				64,305
FINANCIALS - 4.5%
Banco Santander SA		254		2,075
Bank of America Corp.		900		5,508
Barclays Plc		500		1,226
CIT Group Inc. (c)		89		2,691
Citigroup Inc.		100		2,562
Federal National Mortgage Association (c) (e)		165		40
HSBC Holdings Plc		750		5,744


	Shares/Par (p)		Value
JPMorgan Chase & Co.		300		9,036
M&T Bank Corp.		60		4,194
QBE Insurance Group Ltd. (e)		174		2,137
Wells Fargo & Co.		556		13,408
Westfield Retail Trust (e)		813		1,892

				50,513
HEALTH CARE - 5.7%
Johnson & Johnson		225		14,335
Merck & Co. Inc.		607		19,848
Pfizer Inc.		500		8,840
Roche Holding AG		130		20,997

				64,020
INDUSTRIALS - 1.2%
Boeing Co.		35		2,118
General Electric Co.		733		11,174

				13,292
INFORMATION TECHNOLOGY - 1.1%
Cisco Systems Inc.		100		1,549
Intel Corp.		400		8,532
Xerox Corp.		300		2,091

				12,172
MATERIALS - 0.9%
AngloGold Ashanti Ltd. - ADR (e)		60		2,482
Barrick Gold Corp.		150		6,997
Nucor Corp.		20		633

				10,112
TELECOMMUNICATION SERVICES - 2.7%
AT&T Inc.		370		10,541
CenturyLink Inc.		70		2,318
Frontier Communications Corp. (e)		116		709
SK Telecom Co. Ltd. - ADR		13		186
Telstra Corp. Ltd.		900		2,680
Verizon Communications Inc.		150		5,520
Vodafone Group Plc		3,000		7,732

				29,686
UTILITIES - 9.8%
AGL Resources Inc.		100		4,074
American Electric Power Co. Inc.		170		6,463
Dominion Resources Inc.		100		5,077
Duke Energy Corp.		400		7,996
Dynegy Inc. (c)		300		1,236
Entergy Corp.		120		7,955
FirstEnergy Corp.		75		3,368
NextEra Energy Inc.		170		9,183
PG&E Corp.		250		10,578
Pinnacle West Capital Corp.		100		4,294
PPL Corp.		160		4,566
Progress Energy Inc.		200		10,344
Public Service Enterprise Group Inc.		250		8,343
Sempra Energy		150		7,725
Southern Co.		180		7,627
TECO Energy Inc.		200		3,426
Xcel Energy Inc.		299		7,385

				109,640

Total Common Stocks (cost $409,286)				371,705

PREFERRED STOCKS - 4.8%
CONSUMER DISCRETIONARY - 0.2%
General Motors Co., Convertible Preferred, 4.75%		55		1,929


	Shares/Par (p)		Value
ENERGY - 1.2%
Chesapeake Energy Corp., Convertible Preferred, 5.75% (m) (r)		5		4,933
Chesapeake Energy Corp. (r)		100		2,569
SandRidge Energy Inc., Convertible Preferred, 7.00% (m) (r)		50		5,300

				12,802
FINANCIALS - 3.0%
Ally Financial Inc., 7.00%, (callable at 1,000 beginning 12/31/11) (m) (r)		2		1,236
Bank of America Corp., Convertible Preferred, 7.25%, Series L (m)		12		9,155
Citigroup Inc., Convertible Preferred, 7.50%		60		4,778
Federal Home Loan Mortgage Corp., 8.38%, (callable at 25 beginning 12/31/12), Series Z (c) (d) (m)		186		371
Federal National Mortgage Association, 5.38%, (callable at 105,000 on 05/16/11) (c) (d) (m)		—		290
Federal National Mortgage Association, 6.75%, (callable at 25 beginning 05/16/11), Series Q (c) (d) (m)		100		145
Federal National Mortgage Association, 7.63%, (callable at 25 beginning 11/21/12), Series R (c) (d) (e) (m)		143		241
Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)		65		123
FelCor Lodging Trust Inc., Convertible Preferred, 1.95%, Series A (m)		60		1,200
MetLife Inc., 5.00%		66		3,733
Morgan Stanley Equity Linked Note (First Solar Inc.), 8.00%, 01/24/12 (r)		5		342
UBS AG Equity Linked Note (Newmont Mining Corp.), 8.00%, 09/14/12 (r)		50		3,106
Wells Fargo & Co., Convertible Preferred, 7.50%, Series L (m)		9		8,781

				33,501
HEALTH CARE - 0.1%
Tenet Healthcare Corp., 7.00%		2		1,458
MATERIALS - 0.2%
AngloGold Ashanti Ltd., 6.00% (e)		55		2,693
UTILITIES - 0.1%
NextEra Energy Inc., Convertible Preferred, 8.38%		20		990

Total Preferred Stocks (cost $71,696)				53,373

WARRANTS - 0.0%
Charter Communications Inc. (c)		30		349
General Motors Co. (c)		18		178

Total Warrants (cost $1,159)				527

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.6%
Banc of America Large Loan Inc. REMIC, 1.98%, 11/15/13 (i) (r)	$	7,246		6,458

Total Non-U.S. Government Agency Asset- Backed Securities (cost $6,575)				6,458


	Shares/Par (p)		Value
CORPORATE BONDS AND NOTES - 56.0%
CONSUMER DISCRETIONARY - 8.6%
Academy Ltd., 9.25%, 08/01/19 (r)		1,800		1,674
AMC Networks Inc., 7.75%, 07/15/21 (e) (r)		1,600		1,640
Cablevision Systems Corp.
8.63%, 09/15/17		1,000		1,041
7.75%, 04/15/18		3,000		3,030
8.00%, 04/15/20 (e)		3,000		3,053
CCH II LLC, 13.50%, 11/30/16		5,134		5,852
CCO Holdings LLC
8.13%, 04/30/20 (e)		3,700		3,848
6.50%, 04/30/21 (e)		3,000		2,835
Cequel Communications Holdings I LLC, 8.63%, 11/15/17 (r)		2,500		2,475
Chrysler Group LLC, 8.25%, 06/15/21 (e) (r)		6,400		4,928
Chrysler Group LLC Term Loan B, 6.00%, 05/24/17 (i)		7,400		6,433
CityCenter Holdings LLC
7.63%, 01/15/16 (e) (r)		2,000		1,880
10.75%, 01/15/17 (e) (r)		2,111		1,916
Clear Channel Communications Inc.
10.75%, 08/01/16		1,000		518
9.00%, 03/01/21 (e)		16,000		11,880
Clear Channel Worldwide Holdings Inc., 9.25%, 12/15/17		1,600		1,636
ClubCorp Club Operations Inc., 10.00%, 12/01/18 (e)		5,000		4,425
ClubCorp Club Operations Inc. Term Loan B, 6.00%, 11/23/16 (i)		4,975		4,751
Cumulus Media Inc., 7.75%, 05/01/19 (e) (r)		1,900		1,601
Dynacast International LLC, 9.25%, 07/15/19 (r)		3,500		3,167
Goodyear Tire & Rubber Co., 8.25%, 08/15/20 (e)		2,300		2,340
Harrah's Operating Co. Inc., 11.25%, 06/01/17 (e)		750		757
KB Home
5.75%, 02/01/14		2,000		1,740
6.25%, 06/15/15 (e)		1,300		1,040
MGM Resorts International
6.75%, 04/01/13 (e)		2,900		2,813
10.00%, 11/01/16 (e) (r)		3,000		2,843
Reynolds Group Issuer Inc., 8.25%, 02/15/21 (r)		600		474
Shea Homes LP, 8.63%, 05/15/19 (r)		3,900		3,198
Unitymedia GmbH
8.13%, 12/01/17 (r), EUR		2,750		3,666
9.63%, 12/01/19 (r), EUR		1,500		1,939
UPC Germany GmbH, 8.13%, 12/01/17 (r)		2,100		2,100
Visant Corp., 10.00%, 10/01/17 (e)		4,700		4,347

				95,840
CONSUMER STAPLES - 1.4%
BJ’s Wholesale Club Inc. Term Loan, 7.28%, 09/26/18 (i)		3,500		3,382
Dean Foods Co., 9.75%, 12/15/18 (e)		1,900		1,924
JBS USA LLC
11.63%, 05/01/14 (e)		1,000		1,070
7.25%, 06/01/21 (e) (r)		3,500		2,888
Reynolds Group Issuer Inc.
7.88%, 08/15/19 (e) (r)		1,400		1,351
9.88%, 08/15/19 (e) (r)		1,000		880
SUPERVALU Inc., 8.00%, 05/01/16 (e)		4,500		4,252

				15,747


	Shares/Par (p)		Value
ENERGY - 8.8%
Antero Resources Finance Corp.
9.38%, 12/01/17		2,000		2,080
7.25%, 08/01/19 (r)		1,300		1,235
Arch Coal Inc., 7.25%, 06/15/21 (r)		5,600		5,390
ATP Oil & Gas Corp., 11.88%, 05/01/15 (e)		2,500		1,741
Calpine Corp., 7.25%, 10/15/17 (e) (r)		1,000		965
Chesapeake Energy Corp.
9.50%, 02/15/15		2,500		2,819
6.50%, 08/15/17 (e)		4,000		4,140
6.88%, 08/15/18 (e)		1,600		1,648
7.25%, 12/15/18 (e)		5,000		5,325
Cie Generale de Geophysique-Veritas, 6.50%, 06/01/21 (r)		4,000		3,600
Connacher Oil and Gas Ltd., 8.50%, 08/01/19 (e) (r)		3,000		2,310
Consol Energy Inc., 8.25%, 04/01/20		1,600		1,684
El Paso Corp., 7.75%, 01/15/32 (e)		1,000		1,158
Energy Transfer Partners LP, 7.50%, 10/15/20 (e)		2,500		2,569
Energy XXI Gulf Coast Inc., 9.25%, 12/15/17 (e)		3,500		3,412
EXCO Resources Inc., 7.50%, 09/15/18 (e)		3,500		3,080
Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (e) (r)		3,500		3,045
Linn Energy LLC, 8.63%, 04/15/20		3,300		3,399
NXP BV, 9.75%, 08/01/18 (r)		1,200		1,254
OGX Petroleo e Gas Participacoes SA, 8.50%, 06/01/18 (e) (r)		3,000		2,685
Petrohawk Energy Corp.
10.50%, 08/01/14		1,000		1,123
7.88%, 06/01/15		3,200		3,420
Sabine Pass LNG LP
7.25%, 11/30/13		1,350		1,306
7.50%, 11/30/16 (e)		2,500		2,312
SandRidge Energy Inc.
4.00%, 04/01/14 (e) (i)		2,000		1,936
9.88%, 05/15/16 (e) (r)		2,600		2,678
8.00%, 06/01/18 (r)		2,500		2,350
8.75%, 01/15/20		650		637
7.50%, 03/15/21 (e) (r)		4,400		4,048
SESI LLC, 6.88%, 06/01/14		1,370		1,373
Texas Competitive Electric Holdings Co. LLC
10.25%, 11/01/15 (e)		21,280		7,980
10.50%, 11/01/16 (e)		314		132
15.00%, 04/01/21 (r)		15,255		9,306
W&T Offshore Inc., 8.50%, 06/15/19 (e) (r)		6,000		5,820

				97,960
FINANCIALS - 11.8%
Abengoa Finance SAU, 8.88%, 11/01/17 (r)		3,200		2,928
Ally Financial Inc., 8.00%, 03/15/20 (e)		3,500		3,240
Bank of America Corp., 8.13%, (callable at 100 beginning 05/15/18) (e) (m)		1,000		850
Boparan Holdings Ltd.
9.75%, 04/30/18 (r), EUR		1,400		1,482
9.88%, 04/30/18 (r), GBP		1,500		1,813
CEVA Group Plc
8.38%, 12/01/17 (r)		3,400		3,145
11.50%, 04/01/18 (r)		3,600		3,312
CIT Group Inc.
7.00%, 05/04/15 (e) (r)		12,000		11,910
7.00%, 05/02/16 (r)		21,500		20,855
7.00%, 05/02/17 (r)		16,600		16,102
Felcor Lodging LP, 10.00%, 10/01/14 (e)		1,664		1,731


	Shares/Par (p)		Value
Ford Motor Credit Co. LLC, 12.00%, 05/15/15		2,600		3,120
Forest City Enterprises Inc., 4.25%, 08/15/18 (r)		2,500		2,047
Host Hotels & Resorts LP, 9.00%, 05/15/17 (e)		600		648
International Lease Finance Corp.
8.75%, 03/15/17 (e)		2,000		2,010
8.88%, 09/01/17 (e)		4,700		4,723
iStar Financial Inc.
0.87%, 10/01/12 (i)		4,500		3,938
8.63%, 06/01/13 (e)		5,000		4,550
iStar Financial Inc. Term Loan, 7.00%, 06/11/14 (i)		8,000		7,528
JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (m)		11,500		11,845
Liberty Mutual Group Inc., 10.75%, 06/15/58 (e) (i) (r)		2,500		2,975
M&T Bank Corp., 6.88%, (callable at 100 on 06/15/16) (m) (r)		2,000		1,990
Petroplus Finance Ltd.
6.75%, 05/01/14 (e) (r)		3,500		3,045
7.00%, 05/01/17 (e) (r)		3,400		2,754
9.38%, 09/15/19 (e) (r)		2,000		1,710
Pinafore LLC, 9.00%, 10/01/18 (e) (r)		600		615
SuperMedia Inc. Term Loan, 11.00%, 12/31/15 (i)		683		298
UPCB Finance III Ltd., 6.63%, 07/01/20 (e) (r)		5,000		4,700
Wells Fargo Capital XIII, 7.70%, (callable at 100 beginning 03/26/13) (m)		900		900
Wells Fargo Capital XV, 9.75%, (callable at 100 beginning 09/26/13) (e) (m)		5,000		4,972

				131,736
HEALTH CARE - 4.7%
Community Health Systems Inc., 8.88%, 07/15/15 (e)		5,000		4,912
Giant Funding Corp., 8.25%, 02/01/18 (r)		1,400		1,400
HCA Inc.
6.38%, 01/15/15 (e)		1,500		1,459
6.50%, 02/15/16 (e)		1,500		1,433
8.50%, 04/15/19		6,000		6,360
6.50%, 02/15/20 (e)		4,300		4,203
7.88%, 02/15/20		6,000		6,210
7.50%, 02/15/22 (e)		4,100		3,782
Mylan Inc., 6.00%, 11/15/18 (e) (r)		4,000		3,890
Tenet Healthcare Corp.
9.25%, 02/01/15 (e)		5,000		5,000
9.00%, 05/01/15 (e)		3,500		3,692
10.00%, 05/01/18 (e)		3,500		3,789
8.00%, 08/01/20 (e)		2,600		2,360
Vanguard Health Holding Co. II Inc., 7.75%, 02/01/19 (e)		1,100		980
Vanguard Health Holding Co. II LLC, 8.00%, 02/01/18 (e)		3,700		3,395
Vanguard Health Systems Inc., 0.00%, 02/01/16 (j)		244		159

				53,024
INDUSTRIALS - 3.2%
American Airlines Inc., 7.50%, 03/15/16 (e) (r)		8,300		6,972
Building Materials Corp. of America, 6.75%, 05/01/21 (e) (r)		3,500		3,325
Ceridian Corp., 11.25%, 11/15/15 (e)		4,000		3,300
CHC Helicopter SA, 9.25%, 10/15/20 (e) (r)		3,500		2,975
Hertz Corp.
8.88%, 01/01/14 (e)		909		909
6.75%, 04/15/19 (e)		1,100		998


	Shares/Par (p)		Value
Interactive Data Corp., 10.25%, 08/01/18		500		538
Manitowoc Co. Inc., 9.50%, 02/15/18 (e)		1,000		977
Niska Gas Storage US LLC, 8.88%, 03/15/18 (e)		2,500		2,475
RBS Global & Rexnord LLC
11.75%, 08/01/16 (e)		1,500		1,530
8.50%, 05/01/18 (e)		4,500		4,309
Terex Corp., 8.00%, 11/15/17 (e)		2,000		1,770
United Rentals North America Inc., 8.38%, 09/15/20 (e)		6,600		6,055

				36,133
INFORMATION TECHNOLOGY - 8.0%
Advanced Micro Devices Inc., 8.13%, 12/15/17 (e)		1,000		1,000
CDW Escrow Corp., 8.50%, 04/01/19 (e) (r)		9,500		8,360
CDW LLC
11.00%, 10/12/15 (e)		266		265
12.54%, 10/12/17 (e)		2,000		1,910
First Data Corp.
9.88%, 09/24/15 (e)		750		628
10.55%, 09/24/15		2,500		2,081
11.25%, 03/31/16 (e)		3,500		2,363
8.25%, 01/15/21 (e) (r)		10,914		8,622
12.63%, 01/15/21 (r)		11,000		8,140
8.75%, 01/15/22 (r)		3,198		2,527
First Data Corp. Extended Term Loan, 4.19%, 03/24/18 (i)		4,123		3,331
First Data Corp., Term Loan B
3.00%, 09/24/14 (i)		4,680		4,057
3.00%, 09/24/14 (i)		439		380
Freescale Semiconductor Inc.
10.13%, 12/15/16 (e)		3,000		3,053
10.13%, 03/15/18 (e) (r)		4,420		4,597
9.25%, 04/15/18 (r)		4,000		4,110
8.05%, 02/01/20 (e)		8,000		7,240
10.75%, 08/01/20 (e)		7,786		7,786
Go Daddy Group Inc. Term Loan, 0.00%, 09/28/18 (i)		5,000		4,736
Sanmina-SCI Corp.
8.13%, 03/01/16 (e)		1,500		1,511
7.00%, 05/15/19 (e) (r)		3,500		3,080
SRA International Inc. Term Loan, 6.59%, 07/07/18 (i)		5,000		4,608
Sterling Merger Inc., 11.00%, 10/01/19 (e) (r)		900		855
SunGard Data Systems Inc.
10.63%, 05/15/15 (e)		2,500		2,606
7.63%, 11/15/20 (e)		2,000		1,860

				89,706
MATERIALS - 2.8%
Berry Plastics Corp., 9.75%, 01/15/21 (e)		1,000		850
Cemex SAB de CV
3.25%, 03/15/16 (e) (r)		3,625		1,695
9.00%, 01/11/18 (e) (r)		5,000		3,387
3.75%, 03/15/18 (e) (r)		2,125		991
FMG Resources August 2006 Pty Ltd.
7.00%, 11/01/15 (r)		2,100		1,953
6.88%, 02/01/18 (e) (r)		2,500		2,200
Hexion US Finance Corp., 8.88%, 02/01/18 (e)		3,000		2,475
Huntsman International LLC, 5.50%, 06/30/16 (e)		1,000		932
Ineos Group Holdings Plc, 7.88%, 02/15/16 (r), EUR		3,250		2,983
Kerling Plc, 10.63%, 01/28/17 (r), EUR		3,600		3,931


	Shares/Par (p)		Value
Kinove German Bondco GmbH, 10.00%, 06/15/18 (e) (r), EUR		3,500		4,009
Sealed Air Corp.
8.13%, 09/15/19 (r)		2,000		2,020
8.38%, 09/15/21 (r)		1,000		1,010
Vulcan Materials Co., 7.50%, 06/15/21 (e)		3,400		3,172

				31,608
TELECOMMUNICATION SERVICES - 1.4%
Clearwire Communications LLC
12.00%, 12/01/15 (e) (r)		1,500		1,264
12.00%, 12/01/15 (e) (r)		2,500		2,119
Cricket Communications Inc.
7.75%, 10/15/20 (e)		5,500		4,785
7.75%, 10/15/20 (r)		1,000		860
Frontier Communications Corp., 8.50%, 04/15/20 (e)		900		873
Intelsat Jackson Holdings SA, 7.50%, 04/01/21 (e) (r)		3,000		2,790
Virgin Media Secured Finance Plc, 7.00%, 01/15/18, GBP		1,700		2,710

				15,401
UTILITIES - 5.3%
AES Corp., 7.38%, 07/01/21 (e) (r)		1,400		1,323
Calpine Corp.
7.88%, 07/31/20 (r)		800		772
7.50%, 02/15/21 (e) (r)		5,475		5,229
7.88%, 01/15/23 (r)		3,000		2,895
Dynegy Holdings Inc.
7.50%, 06/01/15		11,000		7,040
8.38%, 05/01/16		4,750		2,874
7.75%, 06/01/19		3,500		2,117
Dynegy Inc. Term Loan
9.25%, 08/04/16 (i)		1,950		1,889
9.25%, 08/04/16 (i)		1,050		1,030
Energy Future Holdings Corp., 6.55%, 11/15/34		9,000		3,330
Public Service Co. of New Mexico., 7.95%, 05/15/18		1,800		2,065
RRI Energy Inc., 7.88%, 06/15/17 (e)		5,000		4,600
Texas Competitive Electric Holdings Co. LLC, 11.50%, 10/01/20 (e) (r)		3,600		2,880
Texas Competitive Electric Holdings Co. LLC Term Loan, 4.69%, 10/10/17 (i)		32,093		21,357

				59,401

Total Corporate Bonds and Notes (cost $684,460)				626,556

GOVERNMENT AND AGENCY OBLIGATIONS - 0.6%
GOVERNMENT SECURITIES - 0.6%
Municipals - 0.6%
State of California
7.95%, 03/01/36		1,825		2,071
7.60%, 11/01/40		3,315		4,101

Total Government and Agency Obligations (cost $5,172)				6,172

OTHER EQUITY INTERESTS - 0.0%
General Motors Co. (f) (u)		100		38
SuperMedia Inc. Escrow Litigation Trust (f) (u)		868		9

Total Other Equity Interests (cost $14)				47

SHORT TERM INVESTMENTS - 25.1%
Investment Companies - 5.4%
JNL Money Market Fund, 0.02% (a) (h)		60,057		60,057


	Shares/Par (p)		Value
Securities Lending Collateral - 19.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		219,060		219,060
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		936		907

				219,967

Total Short Term Investments (cost $280,053)				280,024

Total Investments - 120.3% (cost $1,458,415)				1,344,862
Other Assets and Liabilities, Net - (20.3%)				(226,832	)

Total Net Assets - 100.0%			$	1,118,030

JNL/Franklin Templeton International Small Cap Growth Fund
COMMON STOCKS - 95.5%
CONSUMER DISCRETIONARY - 22.6%
Asatsu-DK Inc. (e)		272	$	7,507
Beneteau SA		311		4,411
Carpetright Plc (e)		1,084		8,357
Dignity Plc		329		4,349
Headlam Group Plc		1,227		4,687
JUMBO SA		1,277		6,595
Sankyo Co. Ltd. (e)		164		8,847
Vitec Group Plc		229		1,892

				46,645
CONSUMER STAPLES - 13.9%
Aderans Holdings Co. Ltd. (c) (e)		458		4,254
Binggrae Co. Ltd.		130		5,205
C&C Group Plc		1,793		6,770
McBride Plc (e)		3,331		6,207
Sligro Food Group NV (e)		189		6,314

				28,750
FINANCIALS - 20.7%
ARA Asset Management Ltd.		4,708		4,223
Arch Capital Group Ltd. (c)		219		7,166
Daibiru Corp. (e)		1,062		7,464
Fairfax Financial Holdings Ltd.		18		6,978
Lancashire Holdings Ltd.		373		4,005
RHJ International (c) (e)		1,392		7,219
Savills Plc		1,278		5,663

				42,718
INDUSTRIALS - 32.9%
DCC Plc		268		6,751
De La Rue Plc		699		9,115
Experian Plc		648		7,279
Flughafen Wien AG (e)		76		3,234
Grafton Group Plc		929		3,307
HomeServe Plc		1,045		7,452
Irish Continental Group Plc		186		3,560
Nexans SA (e)		98		5,643
Prysmian SPA		488		6,410
QinetiQ Group Plc		2,550		4,599
Spirax-Sarco Engineering Plc		113		3,150
Uponor Oyj (e)		338		2,787
Wavin NV (c)		499		3,840
Zardoya Otis SA		54		683

				67,810


	Shares/Par (p)		Value
INFORMATION TECHNOLOGY - 5.4%
Neopost SA		117		8,588
Rotork Plc		108		2,600

				11,188

Total Common Stocks (cost $221,720)				197,111

SHORT TERM INVESTMENTS - 15.0%
Investment Companies - 4.0%
JNL Money Market Fund, 0.02% (a) (h)		8,338		8,338
Securities Lending Collateral - 11.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		22,606		22,606
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		100		97

				22,703

Total Short Term Investments (cost $31,044)				31,041

Total Investments - 110.5% (cost $252,764)				228,152
Other Assets and Liabilities, Net - (10.5%)				(21,771	)

Total Net Assets - 100.0%			$	206,381

JNL/Franklin Templeton Mutual Shares Fund
COMMON STOCKS - 85.9%
CONSUMER DISCRETIONARY - 8.3%
British Sky Broadcasting Group Plc		513	$	5,284
Cerberus Capital Management LP (f)		4,447		578
Daimler AG		67		2,967
DR Horton Inc.		183		1,656
General Motors Co. (c)		209		4,223
Harrah's Investment LP (f)		39		—
Mattel Inc.		168		4,358
News Corp. - Class A		590		9,123
Stanley Black & Decker Inc.		63		3,087
Time Warner Cable Inc.		136		8,530
Time Warner Inc.		96		2,887
Viacom Inc.		200		7,741

				50,434
CONSUMER STAPLES - 22.5%
Altria Group Inc.		380		10,200
British American Tobacco Plc		384		16,215
Coca-Cola Enterprises Inc.		144		3,594
CVS Caremark Corp.		499		16,746
Dr. Pepper Snapple Group Inc.		158		6,133
Foster's Group Ltd. (e)		669		3,416
General Mills Inc.		166		6,396
Imperial Tobacco Group Plc		405		13,666
Kraft Foods Inc. - Class A		395		13,254
Kroger Co.		353		7,749
Lorillard Inc.		54		6,022
Nestle SA		117		6,430
PepsiCo Inc.		78		4,805
Pernod-Ricard SA		105		8,256
Philip Morris International Inc.		79		4,941
Reynolds American Inc.		137		5,146
Wal-Mart Stores Inc.		82		4,269

				137,238


	Shares/Par (p)		Value
ENERGY - 8.1%
Apache Corp.		83		6,683
BP Plc		531		3,186
Ensco International Plc - ADR		57		2,311
Exterran Holdings Inc. (c) (e)		46		446
Marathon Oil Corp.		418		9,012
Marathon Petroleum Corp. (e)		116		3,134
Murphy Oil Corp.		84		3,701
Prime AET&D Holdings No. 1 Pty Ltd. (c) (f)		402		—
Royal Dutch Shell Plc		319		9,829
Transocean Ltd.		138		6,607
Williams Cos. Inc.		177		4,319

				49,228
FINANCIALS - 11.7%
ACE Ltd.		129		7,829
Alexander’s Inc.		8		2,887
Alleghany Corp. (c)		9		2,737
American International Group Inc. (c)		248		5,443
Bank of America Corp.		590		3,613
Bond Street Holding LLC (c) (f)		41		833
Canary Wharf Group Plc (c) (f)		405		1,526
CIT Group Inc. (c)		57		1,741
CNO Financial Group Inc. (c)		97		525
Deutsche Boerse AG (f)		61		3,062
Forestar Group Inc. (c)		60		651
Guaranty Bancorp (c)		49		58
KB Financial Group Inc.		47		1,569
MetLife Inc.		125		3,511
Morgan Stanley		350		4,727
NYSE Euronext		112		2,610
Old Republic International Corp.		240		2,140
PNC Financial Services Group Inc.		183		8,840
UBS AG (c)		280		3,207
Wells Fargo & Co.		140		3,382
White Mountains Insurance Group Ltd. (e)		17		6,953
Zurich Financial Services AG		17		3,519

				71,363
HEALTH CARE - 12.8%
Amgen Inc.		169		9,283
Boston Scientific Corp. (c)		742		4,383
Cephalon Inc. (c)		30		2,433
Community Health Systems Inc. (c)		60		995
Coventry Health Care Inc. (c)		84		2,425
Eli Lilly & Co.		227		8,408
Medtronic Inc.		247		8,194
Merck & Co. Inc.		465		15,205
Pfizer Inc.		726		12,836
Sanofi-Aventis SA (c)		94		99
Tenet Healthcare Corp. (c)		787		3,248
Teva Pharmaceutical Industries Ltd. - ADR		90		3,360
UnitedHealth Group Inc.		158		7,270

				78,139
INDUSTRIALS - 4.2%
A P Moller - Maersk A/S - Class B		1		5,763
Federal Signal Corp. (e)		96		422
GenCorp Inc. (c) (e)		59		264
Huntington Ingalls Industries Inc. (c)		118		2,876
Orkla ASA		150		1,137
Oshkosh Corp. (c)		124		1,956
Owens Corning Inc. (c)		179		3,879
Raytheon Co.		180		7,358
TNT Express NV		149		1,040


	Shares/Par (p)		Value
TNT NV		157		689

				25,384
INFORMATION TECHNOLOGY - 8.1%
Cisco Systems Inc.		448		6,936
Google Inc. - Class A (c)		7		3,688
LSI Corp. (c)		356		1,847
Microsoft Corp.		559		13,911
Motorola Mobility Holdings Inc. (c)		86		3,251
Nintendo Co. Ltd. (e)		16		2,322
Symantec Corp. (c)		238		3,879
TE Connectivity Ltd.		177		4,987
Xerox Corp.		1,186		8,265

				49,086
MATERIALS - 4.0%
Domtar Corp.		35		2,379
International Paper Co.		309		7,191
Linde AG		46		6,093
MeadWestvaco Corp.		117		2,865
ThyssenKrupp AG		198		4,876
Weyerhaeuser Co.		79		1,231

				24,635
TELECOMMUNICATION SERVICES - 2.0%
Cable & Wireless Communications Plc		1,730		1,000
Vodafone Group Plc		4,360		11,238

				12,238
UTILITIES - 4.2%
Brookfield Infrastructure Partners LP		63		1,522
E.ON AG		249		5,399
Entergy Corp.		45		2,974
Exelon Corp.		154		6,572
GDF Suez		130		3,853
NRG Energy Inc. (c)		260		5,522

				25,842

Total Common Stocks (cost $582,789)				523,587

CORPORATE BONDS AND NOTES - 3.3%
CONSUMER DISCRETIONARY - 1.0%
Clear Channel Communications Inc.
11.00%, 08/01/16 (e)	$	1,353		683
9.00%, 03/01/21		373		277
Clear Channel Communications Inc. Delayed DrawTerm Loan 2, 3.89%, 01/29/16 (i)		641		444
Clear Channel Communications Inc. Term Loan B, 3.89%, 01/29/16 (i)		3,943		2,752
Clear Channel Communications Inc. Term Loan C, 3.89%, 01/29/16 (i)		743		516
Tribune Co. Term Loan
0.00%,06/04/14 (c) (d) (i)		2,280		1,197
0.00%,06/04/14 (c) (d) (i)		357		187

				6,056
CONSUMER STAPLES - 0.2%
Rite Aid Corp.
8.63%, 03/01/15 (e)		749		665
9.38%, 12/15/15		699		601

				1,266
ENERGY - 0.2%
Boston Generating LLC Term Loan
0.18%, 12/21/13 (c) (d)		—		—
6.50%, 12/21/13 (c) (d)		11		2
6.50%, 12/21/13 (c) (d)		—		—


	Shares/Par (p)		Value
OPTI Canada Inc.
9.00%, 12/15/12		609		618
9.75%, 08/15/13		889		903

				1,523
FINANCIALS - 0.7%
Realogy Corp. 7.88%, 02/15/19 (e)		238		180
Realogy Corp. Extended Revolver Term Loan 3.48%, 04/10/16 (i) (t)		37		29
Realogy Corp. First Lien Term Loan, 4.52%, 10/10/16 (i)		3,947		3,190
Realogy Corp. Second Lien Term Loan, 13.50%, 10/15/17 (i)		93		89
Realogy Corp. Term Loan 4.25%, 10/10/13 (i)		439		394
Tropicana Entertainment LLC, 9.63%, 12/15/14 (c) (d) (f) (q)		1,130		—

				3,882
UTILITIES - 1.2%
NRG Energy Inc., 7.38%, 01/15/17		255		263
Texas Competitive Electric Holdings Co. LLC, 11.50%, 10/01/20 (e)		4,182		3,346
Texas Competitive Electric Holdings Co. LLC Term Loan, 4.69%, 10/10/17 (i)		5,182		3,448

				7,057

Total Corporate Bonds and Notes (cost $24,209)				19,784

SHORT TERM INVESTMENTS - 10.6%
Investment Companies - 9.4%
JNL Money Market Fund, 0.02% (a) (h)		56,872		56,872
Securities Lending Collateral - 1.2%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		7,336		7,336

Total Short Term Investments (cost $64,208)				64,208

Total Investments - 99.8% (cost $671,206)				607,579
Other Assets and Liabilities, Net - 0.2%				1,733

Total Net Assets - 100.0%			$	609,312

JNL/Franklin Templeton Small Cap Value Fund
COMMON STOCKS - 95.2%
CONSUMER DISCRETIONARY - 18.9%
Autoliv Inc.		55	$	2,668
Brown Shoe Co. Inc. (e)		322		2,291
Brunswick Corp.		165		2,322
Cato Corp. - Class A		148		3,348
Christopher & Banks Corp.		125		441
DR Horton Inc.		78		705
Drew Industries Inc.		87		1,736
Ethan Allen Interiors Inc. (e)		55		751
Fred's Inc. - Class A (e)		163		1,736
GameStop Corp. (c) (e)		229		5,278
Gentex Corp.		197		4,740
Group 1 Automotive Inc. (e)		137		4,860
Hillenbrand Inc.		162		2,986
Hooker Furniture Corp.		40		359
J.C. Penney Co. Inc. (e)		56		1,500
La-Z-Boy Inc. (c)		417		3,090
M/I Homes Inc. (c)		158		951


	Shares/Par (p)		Value
MDC Holdings Inc. (e)		77		1,308
Men’s Wearhouse Inc.		149		3,886
Pier 1 Imports Inc. (c)		169		1,653
Regis Corp. (e)		285		4,013
Saks Inc. (c) (e)		211		1,849
Thor Industries Inc. (e)		249		5,504
Tuesday Morning Corp. (c) (e)		58		204
West Marine Inc. (c)		155		1,194
Winnebago Industries Inc. (c) (e)		119		824

				60,197
CONSUMER STAPLES - 2.0%
Casey’s General Stores Inc.		51		2,226
Lancaster Colony Corp. (e)		66		4,027

				6,253
ENERGY - 10.6%
Arch Coal Inc.		23		335
Atwood Oceanics Inc. (c)		121		4,151
Bristow Group Inc.		142		6,038
Helix Energy Solutions Group Inc. (c)		213		2,786
Oil States International Inc. (c)		77		3,936
Overseas Shipholding Group Inc. (e)		117		1,603
Rowan Cos. Inc. (c)		140		4,230
Teekay Corp.		84		1,902
Tidewater Inc.		123		5,189
Unit Corp. (c)		100		3,688

				33,858
FINANCIALS - 14.2%
American National Insurance Co.		12		831
Arthur J Gallagher & Co.		78		2,043
Aspen Insurance Holdings Ltd.		170		3,919
Chemical Financial Corp.		80		1,231
Hanover Insurance Group Inc.		115		4,075
HCC Insurance Holdings Inc.		55		1,488
Montpelier Re Holdings Ltd.		221		3,913
Old Republic International Corp.		392		3,495
Oriental Financial Group Inc.		164		1,581
Peoples Bancorp Inc. (e)		33		361
Protective Life Corp.		345		5,385
RLI Corp. (e)		36		2,289
StanCorp Financial Group Inc.		121		3,336
Tower Group Inc. (e)		190		4,332
Transatlantic Holdings Inc.		43		2,101
TrustCo Bank Corp. (e)		325		1,449
Validus Holdings Ltd.		130		3,230

				45,059
HEALTH CARE - 4.4%
Hill-Rom Holdings Inc.		2		48
Mettler Toledo International Inc. (c)		11		1,540
Pharmaceutical Product Development Inc.		154		3,946
STERIS Corp.		111		3,261
Teleflex Inc.		69		3,705
West Pharmaceutical Services Inc. (e)		44		1,621

				14,121
INDUSTRIALS - 31.7%
AAR Corp.		169		2,812
ABM Industries Inc.		186		3,539
American Woodmark Corp. (e)		105		1,272
AO Smith Corp.		35		1,111
Apogee Enterprises Inc.		227		1,948
Applied Industrial Technologies Inc.		59		1,594
Astec Industries Inc. (c)		96		2,808
Brady Corp. - Class A		141		3,719


	Shares/Par (p)		Value
Briggs & Stratton Corp.		178		2,402
Carlisle Cos. Inc.		106		3,383
Ceradyne Inc. (c)		126		3,394
CIRCOR International Inc.		46		1,349
EMCOR Group Inc.		101		2,059
EnPro Industries Inc. (c)		119		3,523
Franklin Electric Co. Inc.		60		2,170
Gardner Denver Inc.		52		3,298
General Cable Corp. (c)		27		619
Genesee & Wyoming Inc. - Class A (c)		77		3,573
Gibraltar Industries Inc. (c) (e)		191		1,553
Graco Inc.		80		2,738
Granite Construction Inc.		225		4,223
Insperity Inc.		90		1,998
Kaydon Corp.		65		1,864
Kennametal Inc.		127		4,165
Lincoln Electric Holdings Inc.		131		3,789
Mine Safety Appliances Co.		99		2,658
Mueller Industries Inc.		119		4,573
Nordson Corp.		50		1,987
Pentair Inc.		52		1,665
Powell Industries Inc. (c)		63		1,945
Roper Industries Inc.		20		1,378
Schawk Inc.		118		1,160
Simpson Manufacturing Co. Inc.		132		3,281
SkyWest Inc. (e)		295		3,393
Timken Co.		21		689
Trinity Industries Inc.		229		4,896
Universal Forest Products Inc.		173		4,163
Wabash National Corp. (c)		439		2,094
Watts Water Technologies Inc. - Class A (e)		77		2,057

				100,842
INFORMATION TECHNOLOGY - 3.5%
Benchmark Electronics Inc. (c)		386		5,024
Cohu Inc.		165		1,631
Multi-Fineline Electronix Inc. (c)		70		1,390
Rofin-Sinar Technologies Inc. (c)		170		3,272

				11,317
MATERIALS - 7.0%
A. Schulman Inc.		138		2,343
AptarGroup Inc.		41		1,818
Cabot Corp.		102		2,520
Commercial Metals Co.		111		1,056
HB Fuller Co.		58		1,055
Reliance Steel & Aluminum Co.		136		4,622
RPM International Inc.		226		4,223
Sensient Technologies Corp.		54		1,754
Steel Dynamics Inc.		286		2,835

				22,226
UTILITIES - 2.9%
Energen Corp.		66		2,694
NV Energy Inc.		263		3,869
PNM Resources Inc.		161		2,637

				9,200

Total Common Stocks (cost $342,574)				303,073

SHORT TERM INVESTMENTS - 14.2%
Investment Companies - 4.6%
JNL Money Market Fund, 0.02% (a) (h)		14,780		14,780
Securities Lending Collateral - 9.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		30,057		30,057


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		371		359

				30,416

Total Short Term Investments (cost $45,208)				45,196

Total Investments - 109.4% (cost $387,782)				348,269
Other Assets and Liabilities, Net - (9.4%)				(30,063	)

Total Net Assets - 100.0%			$	318,206

JNL/Goldman Sachs Core Plus Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 11.8%
Adjustable Rate Mortgage Trust REMIC, 2.81%, 04/25/35 (i)	$	280	$	260
American Home Mortgage Assets Trust REMIC, 0.94%, 02/25/47 (i)		3,223		1,456
Amortizing Residential Collateral Trust REMIC, 2.03%, 08/25/32 (i)		54		22
Arkle Master Issuer Plc
1.69%, 08/17/13 (i)		4,600		4,587
1.53%, 05/17/60 (i)		1,850		1,841
Arran Residential Mortgages Funding Plc, 2.74%, 11/19/47 (i) (r), EUR		1,956		2,617
Asset Backed Securities Corp. Home Equity REMIC, 3.08%, 04/15/33 (i)		41		30
Banc of America Funding Corp. REMIC
2.88%, 06/20/36 (i)		1,787		1,195
5.79%, 10/25/36 (i)		91		58
0.51%, 06/20/47 (i)		1,700		831
Banc of America Mortgage Securities Inc. REMIC, 2.76%, 09/25/35 (i)		985		790
Bear Stearns Adjustable Rate Mortgage Trust REMIC
2.47%, 04/25/34 (i)		294		253
3.28%, 11/25/34 (i)		867		806
Bear Stearns Alt-A Trust II REMIC, 5.18%, 09/25/47 (i)		2,681		1,249
Bear Stearns Mortgage Funding Trust REMIC, 0.39%, 12/25/36 (i)		3,048		1,739
Brazos Higher Education Authority
1.11%, 11/25/22 (i)		5,000		4,952
1.10%, 07/25/29 (i)		4,900		4,840
Brazos Higher Education Authority, Inc., 1.21%, 11/25/22 (i)		4,626		4,596
Carrington Mortgage Loan Trust REMIC, 0.46%, 01/25/34 (i)		31		30
Chase Mortgage Finance Corp. REMIC, 2.76%, 02/25/37 (i)		389		332
CIT Mortgage Loan Trust REMIC
1.68%, 09/25/24 (i) (q)		1,280		526
1.23%, 10/25/37 (i) (q)		299		290
1.48%, 10/25/37 (i) (q)		700		521
Citigroup Mortgage Loan Trust Inc. REMIC, 3.01%, 12/25/35 (i)		1,440		691
Commercial Mortgage Asset Trust REMIC, 7.35%, 01/17/32 (i)		400		421
Conseco Financial Corp. REMIC, 7.07%, 01/15/29		115		120
Countrywide Alternative Loan Trust REMIC
1.74%, 09/25/35 (i)		265		161
1.62%, 11/25/47 (i)		4,315		2,369


	Shares/Par (p)		Value
Countrywide Asset-Backed Certificates REMIC, 1.48%, 06/25/34 (i)		198		55
Countrywide Home Loan Mortgage Pass-Through Trust REMIC
2.76%, 02/19/34 (i)		407		352
2.85%, 11/20/34 (i)		395		312
Credit Suisse Mortgage Capital Certificates REMIC
6.50%, 10/25/21		2,258		1,724
5.59%, 02/15/39 (i)		3,060		3,274
Deutsche Bank Alternate Loan Trust REMIC, 1.83%, 08/25/35 (i)		294		193
Downey Savings & Loan Association Mortgage Loan Trust REMIC, 1.16%, 03/19/46 (i)		443		222
Educational Secvices of America Inc., 1.10%, 07/25/23 (i) (q)		1,444		1,443
FDIC Structured Sale Guaranteed Notes REMIC, 0.79%, 03/02/48 (i)		649		650
First Horizon Asset Securities Inc. REMIC, 2.70%, 12/25/34 (i)		159		142
First Union National Bank Commercial Mortgage Trust, Interest Only REMIC, 1.16%, 05/17/32 (i)		1,895		35
Fosse Master Issuer Plc REMIC, 1.65%, 10/18/54 (i)		2,800		2,792
GCO Education Loan Funding Trust
0.44%, 05/25/25 (i)		2,800		2,538
0.50%, 02/27/28 (i)		400		340
0.54%, 05/25/36 (i)		900		738
GMAC Mortgage Corp. Loan Trust REMIC
7.00%, 09/25/37 (i)		273		201
7.00%, 09/25/37 (i)		353		250
Goal Capital Funding Trust, 1.01%, 08/25/48 (i) (r)		1,509		1,499
Granite Mortgages Plc
0.63%, 12/31/20 (i)		255		243
1.99%, 01/20/44 (i), EUR		915		1,168
1.24%, 06/20/44 (i), GBP		142		209
1.28%, 09/20/44 (i), GBP		43		64
1.82%, 09/20/44 (i), EUR		345		440
Greenwich Capital Commercial Funding Corp. REMIC, 5.44%, 03/10/39		4,200		4,355
GSMPS Mortgage Loan Trust, 0.46%, 02/25/35 (i) (q)		102		86
GSR Mortgage Loan Trust REMIC, 2.84%, 10/25/35 (i)		548		383
Harborview Mortgage Loan Trust REMIC
0.57%, 06/20/35 (i)		1,074		821
2.69%, 08/19/36 (i)		1,891		1,023
Holmes Master Issuer Plc REMIC, 1.65%, 10/15/54 (i)		2,000		1,998
HSBC Home Equity Loan Trust REMIC, 1.43%, 11/20/36 (i)		1,340		1,190
Impac CMB Trust REMIC, 0.87%, 03/25/35 (i)		143		95
IndyMac Index Mortgage Loan Trust REMIC
0.85%, 06/25/34 (i)		291		213
2.65%, 03/25/35 (i)		574		432
2.47%, 08/25/35 (i)		660		479
0.44%, 05/25/46 (i)		973		574
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 4.94%, 08/15/42 (i)		7,000		7,557
LB-UBS Commercial Mortgage Trust REMIC, 5.87%, 09/15/45 (i)		3,400		3,647
Lehman Mortgage Trust REMIC, 7.25%, 09/25/37		5,010		2,055


	Shares/Par (p)		Value
Lehman XS Trust REMIC
0.49%, 02/25/46 (i)		2,017		1,006
1.08%, 09/25/47 (i)		1,449		894
Luminent Mortgage Trust REMIC, 0.42%, 05/25/46 (i)		595		274
MASTR Adjustable Rate Mortgages Trust REMIC
3.38%, 10/25/34 (i)		259		203
3.45%, 12/25/34 (i)		91		67
2.80%, 01/25/36 (i)		669		511
1.44%, 12/25/46 (i)		3,969		1,164
MASTR Seasoned Securities Trust REMIC, 4.02%, 10/25/32 (i)		299		246
Merit Securities Corp. REMIC, 1.74%, 09/28/32 (i) (q)		168		164
Merrill Lynch Alternative Note Asset Trust REMIC, 0.42%, 07/25/37 (i)		729		367
Mid-State Trust, 7.34%, 07/01/35		206		212
Morgan Stanley Capital I REMIC, 5.37%, 11/14/42 (i)		1,500		1,633
Morgan Stanley Mortgage Loan Trust REMIC
2.77%, 08/25/34 (i)		166		125
2.66%, 03/25/36 (i)		1,686		866
NCUA Guaranteed Notes REMIC
3.00%, 06/12/19		2,700		2,852
1.84%, 10/07/20		661		669
Nelnet Student Loan Trust, 1.08%, 02/25/43 (i) (r)		6,171		6,157
Permanent Master Issuer Plc
0.89%, 04/15/20, GBP		2,000		3,056
2.91%, 07/15/42 (i) (r), EUR		4,900		6,543
Residential Accredit Loans Inc. REMIC
6.47%, 11/25/37 (i)		3,982		1,725
1.24%, 01/25/46 (i)		1,201		627
Residential Funding Mortgage Securities I Inc. REMIC
2.88%, 08/25/35 (i)		683		443
5.21%, 09/25/35 (i)		839		663
Silverstone Master Issuer PLC, 1.65%, 01/21/55 (i)		4,800		4,788
Structured Adjustable Rate Mortgage Loan Trust REMIC
2.54%, 05/25/34 (i)		589		538
2.44%, 09/25/34 (i)		251		208
2.65%, 11/25/34 (i)		1,171		1,012
Structured Asset Mortgage Investments Inc.
REMIC, 2.58%, 08/25/35 (i)		91		70
Wachovia Bank Commercial Mortgage Trust, 5.77%, 07/15/45 (i)		4,500		4,913
Washington Mutual Mortgage Pass-Through
Certificates REMIC
2.58%, 06/25/34 (i)		695		672
2.61%, 12/25/35 (i)		735		694
2.77%, 09/25/36 (i)		1,345		946
0.46%, 04/25/45 (i)		157		122
Wells Fargo Alternative Loan Trust REMIC,
6.02%, 12/25/37 (i)		2,840		1,871
Wells Fargo Mortgage Backed Securities Trust REMIC, 2.75%, 04/25/36 (i)		214		177

Total Non-U.S. Government Agency Asset- Backed Securities (cost $151,712)				127,853

CORPORATE BONDS AND NOTES - 31.2%
CONSUMER DISCRETIONARY - 2.0%
Charter Communications Operating LLC, 10.88%, 09/15/14 (r)		875		938


	Shares/Par (p)		Value
Comcast Cable Communications Holdings Inc., 8.38%, 03/15/13		356		391
Comcast Holdings Corp., 10.63%, 07/15/12 (e)		875		936
DIRECTV Holdings LLC
5.88%, 10/01/19 (e)		1,275		1,434
6.00%, 08/15/40		1,500		1,601
Goodyear Tire & Rubber Co., 10.50%, 05/15/16 (e)		1,899		2,056
NBCUniversal Media LLC, 4.38%, 04/01/21 (e)		3,675		3,775
News America Inc., 6.15%, 02/15/41		1,975		2,089
Nielsen Finance LLC, 11.50%, 05/01/16		1,874		2,127
Rensselaer Polytechnic Institute, 5.60%, 09/01/20		2,300		2,633
Virgin Media Finance Plc, 9.50%, 08/15/16 (e)		1,225		1,323
WPP Finance Co.Ltd., 8.00%, 09/15/14 (l)		1,753		1,984

				21,287
CONSUMER STAPLES - 1.1%
Altria Group Inc., 9.70%, 11/10/18 (l)		875		1,160
Anheuser-Busch InBev Worldwide Inc., 7.75%, 01/15/19		1,325		1,721
CVS Caremark Corp.
6.30%, 06/01/37 (i)		3,875		3,749
5.75%, 05/15/41		2,550		2,856
Kraft Foods Inc.
6.13%, 08/23/18		1,125		1,326
6.50%, 02/09/40		1,025		1,253

				12,065
ENERGY - 3.3%
Anadarko Petroleum Corp.
6.38%, 09/15/17		2,176		2,441
8.70%, 03/15/19 (e)		1,100		1,387
BP Capital Markets Plc, 3.88%, 03/10/15		1,125		1,193
Cimarex Energy Co., 7.13%, 05/01/17		320		323
DCP Midstream LLC, 9.75%, 03/15/19 (r)		800		1,064
Dolphin Energy Ltd., 5.89%, 06/15/19 (r)		742		794
El Paso Corp.
7.80%, 08/01/31		33		38
7.75%, 01/15/32		515		597
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 04/01/20 (e)		1,975		2,174
Energy Transfer Partners LP, 5.95%, 02/01/15 (e)		2,000		2,146
Enterprise Products Operating LLC
6.65%, 04/15/18		1,125		1,328
7.03%, 01/15/68 (e) (i)		775		786
Gazprom OAO Via Gaz Capital SA, 9.25%, 04/23/19		530		615
MarkWest Energy Partners LP, 8.75%, 04/15/18		500		533
Newfield Exploration Co.
7.13%, 05/15/18 (e)		1,150		1,190
5.75%, 01/30/22 (e)		500		494
Nexen Inc.
6.40%, 05/15/37		680		692
7.50%, 07/30/39		1,050		1,230
Petrobras International Finance Co.
5.75%, 01/20/20		310		322
5.38%, 01/27/21		2,720		2,750
Petroleos de Venezuela SA, 5.25%, 04/12/17		590		332
Petroleos Mexicanos, 8.00%, 05/03/19		1,940		2,367
Plains Exploration & Production Co., 10.00%, 03/01/16 (e)		2,000		2,170
PTTEP Canada International Finance Ltd., 5.69%, 04/05/21 (r)		1,360		1,374


	Shares/Par (p)		Value
Range Resources Corp.
7.50%, 10/01/17		250		265
7.25%, 05/01/18 (e)		400		426
TNK-BP Finance SA, 7.50%, 07/18/16		820		851
TransCanada PipeLines Ltd., 6.35%, 05/15/67 (e) (i)		1,375		1,369
Transocean Inc.
6.00%, 03/15/18 (e)		1,875		1,996
6.50%, 11/15/20 (e)		575		627
Weatherford International Ltd., 9.63%, 03/01/19 (e)		1,800		2,326

				36,200
FINANCIALS - 19.1%
Abbey National Treasury Services Plc, 4.00%, 04/27/16 (e)		2,075		1,916
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (r)		5,700		6,026
American General Finance Corp., 4.88%, 07/15/12		1,250		1,169
Bank of America Corp.
5.42%, 03/15/17		1,300		1,129
5.63%, 07/01/20		1,175		1,082
5.88%, 01/05/21		1,175		1,098
Bank of New York Mellon Corp., 9.63%, 05/02/21 (e) (r)		687		584
Bank of Nova Scotia
1.45%, 07/26/13 (e) (r)		1,900		1,919
2.15%, 08/03/16 (e) (r)		5,600		5,696
Bank of Scotland Plc, 5.25%, 02/21/17 (r)		1,500		1,621
BB&T Corp., 3.20%, 03/15/16		2,025		2,068
BBVA Bancomer SA, 7.25%, 04/22/20 (e) (r)		2,125		2,072
Brandywine Operating Partnership LP, 4.95%, 04/15/18		1,775		1,715
BRFkredit AS, 2.05%, 04/15/13 (r)		8,300		8,469
Canadian Imperial Bank of Commerce
2.00%, 02/04/13 (e) (r)		3,200		3,248
0.90%, 09/19/14 (e) (r)		5,400		5,372
2.75%, 01/27/16 (e) (r)		2,600		2,723
Capital One Capital III, 7.69%, 08/15/36 (e) (i)		1,500		1,466
Chubb Corp., 6.38%, 03/29/67 (i)		825		799
Cie de Financement Foncier, 2.13%, 04/22/13 (e) (r)		3,900		3,907
Citigroup Capital XXI, 8.30%, 12/21/57 (i)		2,225		2,181
Citigroup Inc.
6.38%, 08/12/14		1,325		1,403
5.00%, 09/15/14		2,475		2,427
6.13%, 11/21/17		1,010		1,079
5.38%, 08/09/20 (e)		950		984
Developers Diversified Realty Corp.
9.63%, 03/15/16		795		900
7.50%, 04/01/17 (e)		1,900		2,005
Discover Bank, 8.70%, 11/18/19		2,325		2,656
DnB NOR Boligkreditt
2.10%, 10/14/15 (e) (i) (r)		9,800		9,918
2.90%, 03/29/16 (e) (r)		5,900		6,114
Duke Realty LP, 6.75%, 03/15/20 (e)		1,350		1,402
Endurance Specialty Holdings Ltd., 6.15%, 10/15/15		700		743
Fifth Third Bancorp
0.40%, 05/17/13 (i)		1,325		1,297
3.63%, 01/25/16		950		966
FIH Erhvervsbank A/S, 2.00%, 06/12/13 (r)		3,800		3,886
First Niagara Financial Group Inc., 6.75%, 03/19/20		925		1,040


	Shares/Par (p)		Value
HCP Inc.
6.00%, 01/30/17		1,375		1,448
5.38%, 02/01/21		900		903
Healthcare Realty Trust Inc., 6.50%, 01/17/17		1,725		1,862
HSBC Bank USA, 4.88%, 08/24/20		1,498		1,405
HSBC Bank USA Credit Linked Note, (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A) (f) (i), BRL		4,840		5,506
HSBC Holdings Plc, 6.80%, 06/01/38		2,650		2,650
ING Bank NV
2.38%, 06/09/14 (e) (r)		2,275		2,206
2.50%, 01/14/16 (r)		4,200		4,209
International Lease Finance Corp., 8.25%, 12/15/20 (e)		1,250		1,225
JPMorgan Chase & Co.
7.90% (callable at 100 beginning 04/30/18) (m)		2,050		2,112
7.25%, 02/01/18 (e)		1,475		1,739
JPMorgan Chase Capital XX, 6.55%, 09/29/36 (i)		1,650		1,666
Landwirtschaftliche Rentenbank
4.88%, 01/10/14		6,000		6,555
2.13%, 07/15/16 (e)		2,300		2,376
Liberty Property LP, 4.75%, 10/01/20		2,350		2,362
Lloyds TSB Bank Plc, 6.50%, 09/14/20 (e) (r)		615		523
Merrill Lynch & Co. Inc., 6.05%, 05/16/16 (e)		1,125		1,012
MetLife Capital Trust X, 9.25%, 04/08/38 (e) (i) (r)		500		563
Morgan Stanley
6.63%, 04/01/18		3,325		3,299
5.63%, 09/23/19		2,325		2,181
MUFG Capital Finance 1 Ltd., 6.35%, (callable at 100 beginning 07/25/16) (m)		1,310		1,323
Nationwide Financial Services, 5.38%, 03/25/21 (e) (r)		2,425		2,372
Nordea Eiendomskreditt AS, 1.88%, 04/07/15 (i) (r)		5,200		5,266
Northwestern Mutual Life Insurance Co., 6.06%, 03/30/40 (r)		2,175		2,561
Panhandle-Plains Higher Education Authority Inc. REMIC, 1.50%, 10/01/35 (i)		2,670		2,667
PNC Bank NA, 6.88%, 04/01/18		975		1,129
ProLogis Inc., 1.88%, 11/15/37		1,075		1,048
Prudential Financial Inc.
3.88%, 01/14/15		2,450		2,504
4.50%, 11/15/20 (e)		1,550		1,540
QBE Capital Funding III Ltd., 7.25%, 05/24/41 (i) (r)		1,525		1,378
Resona Preferred Global Securities Cayman Ltd., 7.19%, (callable at 100 beginning 07/30/15) (m) (r)		1,525		1,426
Royal Bank of Scotland Plc, 4.88%, 08/25/14 (r)		1,850		1,863
Simon Property Group LP, 10.35%, 04/01/19 (e)		1,650		2,207
SLM Corp., 6.25%, 01/25/16 (e)		1,750		1,718
Smurfit Kappa Treasury Funding Ltd., 7.50%, 11/20/25		225		205
Sparebank 1 Boligkreditt AS
1.25%, 10/25/13 (e) (r)		8,000		8,035
2.63%, 05/27/16 (r)		7,100		7,249
Stadshypotek AB, 1.45%, 09/30/13 (r)		3,350		3,370
SunTrust Banks Inc., 3.60%, 04/15/16		1,325		1,343
Swedbank Hypotek AB, 0.81%, 03/28/14 (i) (r)		1,200		1,202
Toronto-Dominion Bank
0.88%, 09/12/14 (e) (r)		5,500		5,479


	Shares/Par (p)		Value
1.63%, 09/14/16 (e) (r)		6,800		6,777
Transatlantic Holdings Inc., 8.00%, 11/30/39		975		1,156
UBS AG New Jersey-Credit Linked Note (Federative Republic of Brazil, 6.00%, 01/17/17, Moody rating Baa2) (f) (q), BRL		1,620		381
UPCB Finance III Ltd., 6.63%, 07/01/20 (e) (r)		1,325		1,246
WEA Finance LLC
7.50%, 06/02/14 (r)		475		530
7.13%, 04/15/18 (e) (r)		900		1,028
Westpac Securities NZ Ltd., 2.50%, 05/25/12 (r)		800		809
ZFS Finance USA Trust I, 5.88%, 05/09/32 (e) (i) (q)		1,225		1,214

				207,908
HEALTH CARE - 0.6%
Boston Scientific Corp., 4.50%, 01/15/15		1,950		2,038
Community Health Systems Inc., 8.88%, 07/15/15 (e)		2,075		2,039
DJO Finance LLC, 10.88%, 11/15/14		1,460		1,453
HCA Inc., 7.88%, 02/15/20 (e)		500		517

				6,047
INDUSTRIALS - 0.8%
ACCO Brands Corp., 10.63%, 03/15/15 (e)		1,805		1,940
Ashtead Capital Inc., 9.00%, 08/15/16 (r)		500		495
Case New Holland Inc., 7.75%, 09/01/13		625		652
GE Capital Trust I, 6.38%, 11/15/67 (e) (i)		1,374		1,324
Iron Mountain Inc., 8.75%, 07/15/18		470		479
L-3 Communications Corp., 6.38%, 10/15/15 (e)		951		971
SGS International Inc., 12.00%, 12/15/13		500		499
Transnet Ltd., 4.50%, 02/10/16 (r)		2,100		2,158

				8,518
INFORMATION TECHNOLOGY - 0.1%
Hewlett-Packard Co., 3.00%, 09/15/16 (e)		1,675		1,689
MATERIALS - 1.4%
ALROSA Finance SA, 7.75%, 11/03/20		1,170		1,103
ArcelorMittal, 6.13%, 06/01/18 (e)		1,375		1,327
Cemex SAB de CV, 5.37%, 09/30/15 (e) (i) (r)		700		420
Dow Chemical Co., 7.60%, 05/15/14 (l)		2,875		3,265
Freeport-McMoRan Copper & Gold Inc., 8.38%, 04/01/17		1,950		2,091
Methanex Corp., 8.75%, 08/15/12		175		182
PE Paper Escrow GmbH, 12.00%, 08/01/14 (r)		1,175		1,231
Plastipak Holdings Inc., 8.50%, 12/15/15 (e) (r)		600		594
Radnor Holdings Corp., 11.00%, 06/15/13 (c) (d) (f)		125		—
Rock-Tenn Co., 5.63%, 03/15/13		200		205
RSC Equipment Rental Inc., 10.00%, 07/15/17 (r)		1,825		1,916
Steel Dynamics Inc., 7.75%, 04/15/16 (e)		1,525		1,502
Teck Resources Ltd., 10.75%, 05/15/19 (e)		1,425		1,771

				15,607
TELECOMMUNICATION SERVICES - 1.7%
AT&T Inc.
2.95%, 05/15/16 (e)		3,600		3,715
3.88%, 08/15/21		1,100		1,132
Frontier Communications Corp., 6.25%, 01/15/13		1,800		1,804
Intelsat Jackson Holdings SA, 7.25%, 04/01/19 (e) (r)		1,875		1,739
MTS International Funding Ltd., 8.63%, 06/22/20		120		119


	Shares/Par (p)		Value
Qwest Communications International Inc.
7.50%, 02/15/14		255		255
8.00%, 10/01/15 (e)		1,319		1,372
Qwest Corp.
8.88%, 03/15/12		125		129
8.38%, 05/01/16 (e)		750		823
Santander Holdings USA Inc., 4.63%, 04/19/16 (e)		715		689
Sprint Capital Corp., 8.38%, 03/15/12		500		505
Telecom Italia Capital SA
7.00%, 06/04/18		1,175		1,177
6.00%, 09/30/34		925		757
Verizon Communications Inc., 6.40%, 02/15/38		1,300		1,593
Vimpel Communications
6.49%, 02/02/16 (e) (r)		400		365
9.13%, 04/30/18		460		444
7.75%, 02/02/21 (r)		730		607
VimpelCom Holdings BV, 7.50%, 03/01/22 (e) (r)		650		523
Windstream Corp., 8.63%, 08/01/16 (e)		429		442

				18,190
UTILITIES - 1.1%
Arizona Public Service Co., 8.75%, 03/01/19		1,700		2,135
IPALCO Enterprises Inc., 5.00%, 05/01/18 (e) (r)		875		801
Nevada Power Co., 7.13%, 03/15/19		1,175		1,467
NRG Energy Inc., 7.38%, 01/15/17 (e)		550		567
PPL WEM Holdings Plc, 5.38%, 05/01/21 (r)		2,200		2,343
Progress Energy Inc., 7.05%, 03/15/19		1,275		1,586
Puget Sound Energy Inc., 6.97%, 06/01/67 (e) (i)		675		676
Xylem Inc., 3.55%, 09/20/16 (r)		1,900		1,932

				11,507

Total Corporate Bonds and Notes (cost $335,084)				339,018

GOVERNMENT AND AGENCY OBLIGATIONS - 50.8%
GOVERNMENT SECURITIES - 14.6%
Federal Home Loan Bank - 1.3% (v)
Federal Home Loan Bank
5.38%, 05/15/19		8,000		9,858
5.63%, 06/11/21		3,200		3,997

				13,855
Federal Home Loan Mortgage Corp. - 0.2% (v)
Federal Home Loan Mortgage Corp., 4.50%, 09/13/19		2,300		2,703
Municipals - 2.1%
American Municipal Power Inc. - Series E, 6.27%, 02/15/50		875		986
Missouri Higher Education Loan Authority, 1.26%, 11/26/32 (i)		2,855		2,860
Northstar Education Finance Inc.
1.53%, 04/01/42 (f)		650		536
2.13%, 04/01/42 (f)		700		577
1.60%, 01/29/46		525		444
1.60%, 01/29/46 (f)		800		660
Northstar Education Finance Inc. Student Loan Asset-Backed Note
0.44%, 04/29/19 (i)		6,000		5,955
2.10%, 04/01/42 (f)		2,300		1,909
1.60%, 01/29/46		75		64
1.62%, 01/29/46 (f)		2,000		1,650
State of California
7.95%, 03/01/36		1,290		1,464
7.63%, 03/01/40		3,475		4,284


	Shares/Par (p)		Value
State of Illinois, Transit Improvements, GO, 7.35%, 07/01/35		1,525		1,716

				23,105
Sovereign - 3.2%
Brazilian Government International Bond, 4.88%, 01/22/21		2,210		2,362
Colombia Government International Bond, 4.38%, 07/12/21		4,380		4,446
Mexican Bonos, 7.50%, 06/03/27, MXN		4,352		323
Mexico Government International Bond, 5.75%, 10/12/10		600		591
Province of Quebec, Canada, 4.60%, 05/26/15 (e)		1,475		1,656
Qatar Government International Bond
5.15%, 04/09/14		290		313
5.25%, 01/20/20 (r)		4,350		4,785
Republic of Argentina, 2.84%, 12/15/35 (i), EUR		13,380		2,169
South Africa Government Bond
7.25%, 01/15/20, ZAR		3,890		453
6.75%, 03/31/21, ZAR		22,960		2,546
10.50%, 12/21/26, ZAR		49,775		7,123
Tennessee Valley Authority
4.38%, 06/15/15		2,400		2,698
5.98%, 04/01/36		1,250		1,744
4.63%, 09/15/60		800		969
United Mexican States, 6.05%, 01/11/40		400		452
Venezuela Government International Bond
7.75%, 10/13/19		1,060		673
9.00%, 05/07/23		250		155
8.25%, 10/13/24		1,450		855
9.25%, 05/07/28		90		55

				34,368
Treasury Inflation Index Securities - 0.2%
U.S. Treasury Inflation Indexed Note, 0.63%, 07/15/21 (n)		2,005		2,092
U.S. Treasury Securities - 7.6%
U.S. Treasury Bond
6.50%, 11/15/26		10,900		16,425
6.13%, 11/15/27		700		1,031
4.50%, 05/15/38		5,400		7,034
4.25%, 11/15/40		1,300		1,644
4.38%, 05/15/41		1,700		2,196
U.S. Treasury Note
0.38%, 07/31/13 (e) (o)		41,000		41,088
1.00%, 08/31/16 (e)		4,300		4,311
1.00%, 09/30/16		1,500		1,502
1.50%, 08/31/18		3,300		3,316
4.75%, 02/15/41		2,800		3,826

				82,373
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 36.2%
Federal Home Loan Mortgage Corp. - 7.2%
Federal Home Loan Mortgage Corp.
2.70%, 05/25/18		3,900		3,914
5.00%, 12/01/35		174		190
5.50%, 01/01/36 - 01/01/40		6,788		7,368
6.00%, 01/01/37 (i)		744		795
6.00%, 09/01/37 - 11/01/38		2,652		2,976
6.50%, 01/01/38 - 12/01/38		3,857		4,356
4.50%, 09/01/39 - 09/01/41		3,770		4,042
4.00%, 08/01/40 - 12/01/40		3,119		3,285
4.00%, 11/15/40, TBA (g)		49,000		51,121
REMIC, 1,156.50%, 06/15/21		—		—


	Shares/Par (p)		Value
REMIC, 0.25%, 09/15/35 (0.00% until LIBOR reaches 7.00%) (i)		54		53

				78,100
Federal National Mortgage Association - 28.2%
Federal National Mortgage Association
2.80%, 03/01/18		2,576		2,647
5.00%, 03/01/18 - 04/01/41		8,102		8,748
3.74%, 05/01/18		1,494		1,599
3.84%, 05/01/18 - 07/01/21		1,990		2,137
4.50%, 05/01/18 - 01/01/40		5,567		5,996
6.50%, 02/01/19		1		2
4.51%, 06/01/19		4,400		4,878
3.42%, 10/01/20		1,191		1,242
3.54%, 10/01/20		2,800		2,924
3.38%, 11/01/20		1,687		1,755
3.63%, 12/01/20		894		943
3.76%, 12/01/20		5,159		5,491
3.83%, 07/01/21		1,600		1,704
4.01%, 09/01/21		2,200		2,368
5.50%, 09/01/23 - 08/01/39		17,528		19,077
3.00%, 11/15/25 - 10/15/26, TBA (g)		107,000		109,894
8.00%, 08/01/29 - 01/01/31		75		88
6.00%, 03/01/32 - 11/01/38		1,663		1,847
7.00%, 07/01/32		11		12
2.27%, 11/01/35 (i)		74		77
2.55%, 05/01/36 (i)		478		490
2.69%, 05/01/36 (i)		454		466
2.73%, 08/01/36 (i)		497		525
2.58%, 09/01/36 (i)		484		501
4.00%, 10/01/39 - 04/01/41		25,907		27,191
3.50%, 09/01/40 - 02/01/41		21,666		22,280
4.00%, 10/15/40, TBA (g)		72,000		75,465
3.55%, 11/01/41, TBA (f) (g)		6,000		6,165
REMIC, 10.40%, 04/25/19		1		1

				306,513
Government National Mortgage Association - 0.8%
Government National Mortgage Association
3.95%, 07/15/25		1,046		1,142
6.00%, 06/15/34 - 11/15/38		267		299
4.50%, 06/15/39 - 10/15/39		269		294
5.00%, 07/15/39		81		90
4.00%, 10/15/40, TBA (g)		6,000		6,416
3.50%, 01/15/41		766		802

				9,043

Total Government and Agency Obligations (cost $537,141)				552,152

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

Total Common Stocks (cost $226)				—

SHORT TERM INVESTMENTS - 36.0%
Investment Companies - 27.3%
JNL Money Market Fund, 0.02% (a) (h)		296,945		296,945

Securities Lending Collateral - 8.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		94,239		94,239


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		232		225

				94,464

Total Short Term Investments (cost $391,416)				391,409

Total Investments - 129.8% (cost $1,415,579)				1,410,432
Total Forward Sales Commitments - (2.0)% (proceeds $21,389)				(21,369	)
Other Assets and Liabilities, Net - (27.8%) (o)				(302,442	)

Total Net Assets - 100.0%			$	1,086,621

FORWARD SALES COMMITMENTS – 2.0%
GOVERNMENT AND AGENCY OBLIGATIONS – 2.0%
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 2.0%
Federal Home Loan Mortgage Corp. - 0.7%
Federal Home Loan Mortgage Corp.
4.50%, 10/15/40, TBA (g)	$	1,000	$	1,058
5.50%, 10/15/40, TBA (g)		6,000		6,488

				7,546
Federal National Mortgage Association – 1.3%
Federal National Mortgage Association
3.50%, 10/15/40, TBA (g)		4,000		4,109
4.50%, 10/15/40, TBA (g)		1,000		1,061
5.00%, 10/15/40, TBA (g)		3,000		3,227
5.50%, 10/15/40		5,000		5,426

				13,823

Total Forward Sales Commitments - 2.0% (proceeds $21,389)			$	21,369

JNL/Goldman Sachs Emerging Markets Debt Fund
CORPORATE BONDS AND NOTES - 14.8%
CONSUMER DISCRETIONARY - 0.1%
Arcos Dorados Holdings Inc., 10.25%, 07/13/16 (e) (r), BRL		1,500	$	786
ENERGY - 1.1%
Gazprom Via Gaz Capital SA, 9.25%, 04/23/19	$	5,730		6,647
Petroleos de Venezuela SA
4.90%, 10/28/14		1,160		790
8.50%, 11/02/17		1,400		920

				8,357
FINANCIALS - 10.9%
Banco Safra SA, 10.25%, 08/08/16 (r), BRL		2,260		1,166
Banco Votorantim SA, 6.25%, 05/16/16 (r), BRL		1,750		964
Barclays Bank Plc Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody's rating Ba1) (f), IDR		82,000,000		10,977
Barclays Bank Plc Credit Linked Note (Letras Financeiras Do Te, 0.00%, 12/21/2011, Moody rating N/A) (f), BRL		3,557		9,250
Citigroup Funding Inc.
11.00%, 10/25/18 (f) (i) (q), COP		10,289,000		7,123
11.25%, 10/25/18 (f) (i) (q), COP		9,263,000		6,413
11.00%, 07/27/20 (f) (i) (q), COP		4,514,000		2,913
11.00%, 07/25/24 (f) (q), COP		1,642,000		1,034


	Shares/Par (p)		Value
Credit Suisse Nassau Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A) (f), BRL		3,300		3,754
Credit Suisse Nassau Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/19/40, Moody rating NA) (f), BRL		2,300		2,616
Deutsche Bank AG Credit Linked Note (Russian Government, 7.35%, 01/20/16, Moody Rating Baa1) (f), RUB		45,000		1,359
Deutsche Bank AG Credit Linked Note, (Indonesia Government, 10.75%, 05/15/16, Moody Rating Ba1) (f), IDR		20,500,000		2,838
Evergrande Real Estate Group Ltd., 7.50%, 01/19/14, CNY		19,870		2,120
Hongkong & Shanghai Banking Corp. Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody rating Ba1) (f), IDR		65,000,000		8,785
Hongkong & Shanghai Banking Corp. Credit Linked Note (Indonesia Government, 10.75%, 05/15/16, Moody rating Ba1) (f), IDR		86,000,000		11,500
HSBC Bank USA Credit Linked Note, (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody rating N/A) (f) (i), BRL		1,640		1,866
JPMorgan Chase & Co., 6.00%, 10/10/12, PHP		40,000		956
JPMorgan Chase & Co. Credit Linked Note, (Indonesia Government, 11.00%, 11/15/20, Moody rating Ba1) (f), IDR		20,000,000		3,009
Red Arrow International Leasing Plc, 8.38%, 06/30/12, RUB		11,278		347
RSHB Capital SA, 7.50%, 03/25/13, RUB		244,200		7,379

				86,369
INDUSTRIALS - 2.0%
Transnet Ltd.
9.25%, 11/14/17, ZAR		4,000		506
10.50%, 09/17/20, ZAR		17,000		2,247
10.80%, 11/06/23, ZAR		7,000		942
9.50%, 08/19/25, ZAR		32,000		3,923
8.90%, 11/14/27, ZAR		72,000		8,447

				16,065
MATERIALS - 0.4%
Cemex SAB de CV, 5.37%, 09/30/15 (e) (i) (r)		4,780		2,868
TELECOMMUNICATION SERVICES - 0.3%
MTS International Funding Ltd., 8.63%, 06/22/20		140		138
VimpelCom Holdings BV, 7.50%, 03/01/22 (e) (r)		2,340		1,884

				2,022

Total Corporate Bonds and Notes (cost $114,621)				116,467

GOVERNMENT AND AGENCY OBLIGATIONS - 62.6%
GOVERNMENT SECURITIES - 62.6%
Sovereign - 61.1%
Argentina Government International Bond, 0.00%, 12/15/35 (i)		4,110		565
Brazil Notas do Tesouro Nacional, 10.00%, 01/01/21, BRL		81,449		40,530
Chile Government International Bond, 5.50%, 08/05/20, CLP		589,500		1,192
Colombia Government International Bond 7.75%, 04/14/21, COP		9,604,000		5,349


	Shares/Par (p)		Value
9.85%, 06/28/27 (e), COP		14,609,000		9,500
Deutsche Bank AG, 7.35%, 01/20/16 (f), RUB		64,000		1,933
Hungary Government Bond
8.00%, 02/12/15, HUF		1,931,440		9,016
5.50%, 02/12/16, HUF		3,471,010		14,697
6.75%, 02/24/17 - 11/24/17, HUF		2,777,500		12,104
Indonesia Government Bond
7.38%, 09/15/16, IDR		144,764,000		17,181
15.00%, 07/15/18, IDR		18,617,000		3,068
11.00%, 11/15/20, IDR		25,400,000		3,699
12.80%, 06/15/21, IDR		9,308,000		1,493
8.25%, 07/15/21, IDR		116,720,000		14,566
10.50%, 08/15/30, IDR		71,729,000		10,546
Ivory Coast Government International Bond, 2.50%, 12/31/32		731		365
JPMorgan Chase Bank NA, 7.35%, 01/22/16 (f), RUB		625,500		19,146
Malaysia Government Bond
3.43%, 08/15/14, MYR		6,975		2,194
3.74%, 02/27/15, MYR		30,675		9,730
4.26%, 09/15/16, MYR		77,075		25,050
4.38%, 11/29/19, MYR		37,700		12,345
4.16%, 07/15/21, MYR		44,175		14,328
Mexican Bonos
10.00%, 11/20/36, MXN		130,556		11,728
8.50%, 11/18/38, MXN		332,193		25,829
Nota Do Tesouro Nacional, 6.00%, 08/15/40, BRL		14,300		16,267
Peru Government International Bond, 9.91%, 05/05/15, PEN		750		320
Peruvian Government International Bond
7.84%, 08/12/20, PEN		8,270		3,375
8.20%, 08/12/26, PEN		9,120		3,824
6.90%, 08/12/37, PEN		9,290		3,378
6.85%, 02/12/42, PEN		4,920		1,763
Poland Government Bond
5.25%, 10/25/20, PLN		4,150		1,200
5.75%, 10/25/21, PLN		24,300		7,282
Republic of Argentina
2.84%, 12/15/35 (i), EUR		8,310		1,347
3.72%, 12/15/35, ARS		138,810		4,754
Republic of South Africa Government Bond, 10.50%, 12/21/26, ZAR		241,045		34,494
Russian Foreign Bond, 7.85%, 03/10/18, RUB		320,000		9,757
Thailand Government Bond
3.63%, 05/22/15, THB		901,525		29,070
3.13%, 12/11/15, THB		71,300		2,252
4.13%, 11/18/16, THB		508,525		16,719
2.80%, 10/10/17, THB		333,800		10,215
3.88%, 06/13/19, THB		52,000		1,697
3.65%, 12/17/21, THB		285,125		9,050
Turkey Government Bond
3.87%, 04/25/12, TRY		6,500		3,348
0.00%,02/20/13 (j), TRY		45,175		21,724
9.00%, 05/21/14, TRY		43,548		27,217
11.00%, 08/06/14, TRY		5,775		3,306
Venezuela Government International Bond
7.75%, 10/13/19		1,790		1,137
9.00%, 05/07/23		1,880		1,166
8.25%, 10/13/24		2,270		1,339
9.25%, 05/07/28		190		117

				482,272


	Shares/Par (p)		Value
Treasury Inflation Index Securities - 1.5%
Poland Government Treasury Inflation Indexed Bond, 3.00%, 08/24/16 (n), PLN		38,837		11,869

Total Government and Agency Obligations (cost $532,440)				494,141

SHORT TERM INVESTMENTS - 19.0%
Investment Companies - 18.0%
JNL Money Market Fund, 0.02% (a) (h)		142,008		142,008

Securities Lending Collateral - 1.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		7,965		7,965

Total Short Term Investments (cost $149,973)				149,973

Total Investments - 96.4% (cost $797,034)				760,581
Other Assets and Liabilities, Net - 3.6% (o)				28,495

Total Net Assets - 100.0%			$	789,076

JNL/Goldman Sachs Mid Cap Value Fund
COMMON STOCKS - 97.5%
CONSUMER DISCRETIONARY - 11.5%
DISH Network Corp. - Class A (c)		268	$	6,722
Lear Corp.		271		11,645
Liberty Global Inc. (c)		156		5,661
Liberty Media Corp. (c)		722		10,663
Newell Rubbermaid Inc.		394		4,675
NVR Inc. (c)		7		4,503
PetSmart Inc.		109		4,638
PVH Corp.		112		6,510
Ross Stores Inc.		31		2,455
Scripps Networks Interactive Inc.		273		10,150
TRW Automotive Holdings Corp. (c)		156		5,101

				72,723
CONSUMER STAPLES - 6.5%
Coca-Cola Enterprises Inc.		207		5,140
ConAgra Foods Inc.		425		10,298
Energizer Holdings Inc. (c)		72		4,789
JM Smucker Co.		199		14,524
Ralcorp Holdings Inc. (c)		44		3,355
Sara Lee Corp.		193		3,160

				41,266
ENERGY- 5.5%
Cameron International Corp. (c)		159		6,604
Consol Energy Inc.		73		2,487
EQT Corp.		179		9,528
Newfield Exploration Co. (c)		50		1,980
Pioneer Natural Resources Co.		96		6,334
Range Resources Corp.		141		8,237

				35,170
FINANCIALS - 31.7%
Alexandria Real Estate Equities Inc.		94		5,765
AvalonBay Communities Inc.		76		8,695
Camden Property Trust		81		4,499
CIT Group Inc. (c)		176		5,338
Douglas Emmett Inc. (e)		282		4,820
Essex Property Trust Inc.		20		2,371
Everest Re Group Ltd.		157		12,462
Fifth Third Bancorp		701		7,078


	Shares/Par (p)		Value
First Republic Bank (c)		124		2,878
Genworth Financial Inc. - Class A (c)		418		2,400
Hartford Financial Services Group Inc.		379		6,117
Host Hotels & Resorts Inc.		609		6,660
Invesco Ltd.		331		5,128
Janus Capital Group Inc.		424		2,542
Kimco Realty Corp.		412		6,188
Lazard Ltd. - Class A (e)		103		2,181
Legg Mason Inc.		249		6,400
Liberty Property Trust (e)		161		4,689
Lincoln National Corp.		297		4,642
M&T Bank Corp.		74		5,149
Marsh & McLennan Cos. Inc.		158		4,199
MFA Financial Inc.		822		5,767
NASDAQ OMX Group Inc. (c)		374		8,658
PartnerRe Ltd.		97		5,068
Principal Financial Group Inc.		491		11,125
SLM Corp.		766		9,539
SunTrust Banks Inc.		420		7,534
Tanger Factory Outlet Centers Inc.		211		5,496
Taubman Centers Inc.		98		4,907
Unum Group		184		3,846
Ventas Inc.		162		8,004
WR Berkley Corp.		309		9,174
XL Group Plc		410		7,700
Zions Bancorporation		308		4,337

				201,356
HEALTH CARE - 5.2%
Aetna Inc.		204		7,413
Boston Scientific Corp. (c)		1,630		9,635
Hologic Inc. (c)		347		5,279
Patterson Cos. Inc.		118		3,380
Warner Chilcott Plc (c)		505		7,221

				32,928
INDUSTRIALS - 9.2%
BE Aerospace Inc. (c)		158		5,244
Cooper Industries Plc		93		4,278
Eaton Corp.		74		2,611
GrafTech International Ltd. (c)		186		2,359
JetBlue Airways Corp. (c) (e)		902		3,699
Kansas City Southern (c)		99		4,931
Masco Corp.		658		4,683
Parker Hannifin Corp.		90		5,663
Pentair Inc.		257		8,234
Republic Services Inc. - Class A		193		5,415
Spirit Aerosystems Holdings Inc. (c)		371		5,917
Textron Inc.		309		5,452

				58,486
INFORMATION TECHNOLOGY - 8.4%
Adobe Systems Inc. (c)		196		4,735
Amphenol Corp. - Class A		110		4,485
BMC Software Inc. (c)		87		3,372
Electronic Arts Inc. (c)		226		4,627
Maxim Integrated Products Inc.		299		6,965
NetApp Inc. (c)		90		3,068
Nvidia Corp. (c)		385		4,815
ON Semiconductor Corp. (c)		307		2,204
Parametric Technology Corp. (c)		301		4,635
Polycom Inc. (c)		150		2,748
QLIK Technologies Inc. (c)		121		2,618
Quest Software Inc. (c)		183		2,911
Xilinx Inc.		228		6,253

				53,436


	Shares/Par (p)		Value
MATERIALS - 2.6%
Allegheny Technologies Inc.		111		4,122
Celanese Corp. - Class A		76		2,478
Chemtura Corp. (c)		519		5,208
Cytec Industries Inc.		136		4,785

				16,593
TELECOMMUNICATION SERVICES - 1.2%
Sprint Nextel Corp. (c)		2,516		7,648
UTILITIES - 15.7%
AES Corp. (c)		270		2,632
CMS Energy Corp.		369		7,306
Edison International		161		6,156
Energen Corp.		101		4,122
GenOn Energy Inc. (c)		170		472
Great Plains Energy Inc.		149		2,879
Northeast Utilities		162		5,460
NV Energy Inc.		464		6,822
Pinnacle West Capital Corp.		139		5,974
PPL Corp.		565		16,136
Questar Corp.		123		2,175
SCANA Corp.		243		9,825
Sempra Energy		218		11,246
Westar Energy Inc.		142		3,742
Xcel Energy Inc.		602		14,864

				99,811

Total Common Stocks (cost $711,045)				619,417

SHORT TERM INVESTMENTS - 4.7%
Investment Companies - 3.0%
JNL Money Market Fund, 0.02% (a) (h)		19,486		19,486
Securities Lending Collateral - 1.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		10,433		10,433
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		256		248

				10,681

Total Short Term Investments (cost $30,175)				30,167

Total Investments - 102.2% (cost $741,220)				649,584
Other Assets and Liabilities, Net - (2.2%)				(14,291	)

Total Net Assets - 100.0%			$	635,293

JNL/Goldman Sachs U.S. Equity Flex Fund
COMMON STOCKS - 129.0%
CONSUMER DISCRETIONARY - 17.4%
CBS Corp. - Class B (o)		57	$	1,156
DISH Network Corp. - Class A (c) (o)		49		1,238
Ford Motor Co. (c)		105		1,012
Fossil Inc. (c)		6		488
Home Depot Inc. (o)		29		940
Johnson Controls Inc. (o)		47		1,252
Jos. A. Bank Clothiers Inc. (c) (o)		26		1,214
Lear Corp. (o)		38		1,640
Liberty Media Corp. (c)		78		1,154
Live Nation Inc. (c) (o)		74		593
Newell Rubbermaid Inc.		45		540
Nike Inc. - Class B		9		747
PVH Corp.		11		669


	Shares/Par (p)		Value
TRW Automotive Holdings Corp. (c)		14		460
Walt Disney Co. (o)		73		2,216

				15,319
CONSUMER STAPLES - 13.2%
Coca-Cola Enterprises Inc. (o)		21		512
ConAgra Foods Inc. (o)		26		626
CVS Caremark Corp. (o)		30		1,004
General Mills Inc. (o)		65		2,488
PepsiCo Inc.		30		1,833
Procter & Gamble Co. (o)		30		1,868
Unilever NV - ADR (o)		52		1,653
Wal-Mart Stores Inc. (o)		33		1,711

				11,695
ENERGY - 14.3%
Cameron International Corp. (c) (o)		26		1,087
Chevron Corp.		10		919
ConocoPhillips (o)		11		669
Devon Energy Corp. (o)		32		1,782
EQT Corp.		15		818
Exxon Mobil Corp. (o)		49		3,570
Newfield Exploration Co. (c) (o)		11		423
Occidental Petroleum Corp.		14		1,010
Range Resources Corp. (o)		25		1,444
Schlumberger Ltd. (o)		14		860

				12,582
FINANCIALS - 19.1%
Allstate Corp. (o)		46		1,090
Ameriprise Financial Inc. (o)		15		586
Bank of America Corp.		187		1,142
Capital One Financial Corp. (o)		23		901
Franklin Resources Inc. (o)		12		1,192
Hartford Financial Services Group Inc. (o)		55		882
Invesco Ltd. (o)		47		732
JPMorgan Chase & Co. (o)		99		2,975
MFA Financial Inc.		79		555
Prudential Financial Inc. (o)		41		1,943
SunTrust Banks Inc. (o)		59		1,063
Travelers Cos. Inc. (o)		29		1,437
U.S. Bancorp		99		2,337

				16,835
HEALTH CARE - 12.9%
Boston Scientific Corp. (c)		304		1,795
Celgene Corp. (c) (o)		27		1,665
Icon Plc - ADR (c) (o)		49		782
Merck & Co. Inc. (o)		85		2,785
Teva Pharmaceutical Industries Ltd. - ADR (o)		60		2,216
Warner Chilcott Plc (c) (o)		49		700
WellPoint Inc. (o)		23		1,488

				11,431
INDUSTRIALS - 12.7%
Boeing Co. (o)		48		2,881
General Electric Co.		240		3,659
Honeywell International Inc. (o)		51		2,238
Illinois Tool Works Inc. (o)		19		795
Textron Inc. (o)		47		832
Union Pacific Corp. (o)		10		849

				11,254
INFORMATION TECHNOLOGY - 27.2%
Accenture Plc (o)		13		660
Adobe Systems Inc. (c) (o)		88		2,123
Apple Inc. (c) (o)		9		3,425


	Shares/Par (p)		Value
Cisco Systems Inc.		30		458
Electronic Arts Inc. (c) (o)		30		611
EMC Corp. (c) (o)		106		2,222
Google Inc. - Class A (c)		5		2,798
Juniper Networks Inc. (c) (o)		35		604
KLA-Tencor Corp.		18		683
Maxim Integrated Products Inc.		78		1,818
Microsoft Corp. (o)		106		2,638
NetApp Inc. (c)		19		639
Nvidia Corp. (c) (o)		53		657
ON Semiconductor Corp. (c)		60		428
Parametric Technology Corp. (c) (o)		52		798
Plantronics Inc. (o)		18		500
QLIK Technologies Inc. (c) (o)		30		642
QUALCOMM Inc.		23		1,128
Xilinx Inc. (o)		44		1,206

				24,038
MATERIALS - 2.8%
Chemtura Corp. (c) (o)		64		645
LyondellBasell Industries NV		22		537
Mosaic Co.		18		867
Sherwin-Williams Co.		6		445

				2,494
TELECOMMUNICATION SERVICES - 4.3%
CenturyLink Inc. (o)		43		1,430
Sprint Nextel Corp. (c)		764		2,321

				3,751
UTILITIES - 5.1%
American Electric Power Co. Inc. (o)		30		1,140
PG&E Corp. (o)		28		1,197
PPL Corp. (o)		63		1,807
Public Service Enterprise Group Inc.		12		400

				4,544

Total Common Stocks (cost $130,260)				113,943

SHORT TERM INVESTMENTS - 3.5%
Investment Companies - 3.5%
JNL Money Market Fund, 0.02% (a) (h)		3,113		3,113

Total Short Term Investments (cost $3,113)				3,113

Total Investments - 132.5% (cost $133,373)				117,056
Total Securities Sold Short - (33.1)% (proceeds $33,094)				(29,276	)
Other Assets and Liabilities, Net - 0.6%				535

Total Net Assets - 100.0%			$	88,315

SECURITIES SOLD SHORT - 33.1%
COMMON STOCKS - 33.1%
CONSUMER DISCRETIONARY - 7.7%
American Axle & Manufacturing Holdings Inc.		54	$	412
AutoNation Inc.		14		459
DIRECTV - Class A		11		460
Discovery Communications Inc. - Class A		12		457
DR Horton Inc.		39		349
Federal-Mogul Corp.		18		267
Gap Inc.		29		469
Garmin Ltd.		18		559
Genuine Parts Co.		9		474
Helen of Troy Ltd.		9		217
J.C. Penney Co. Inc.		11		304


	Shares/Par (p)		Value
Limited Brands Inc.		8		312
New York Times Co. - Class A		60		346
Penske Auto Group Inc.		29		457
Pool Corp.		11		287
Regis Corp.		17		237
VF Corp.		5		550
Whirlpool Corp.		3		171

				6,787
CONSUMER STAPLES - 1.3%
Kimberly-Clark Corp.		8		595
Walgreen Co.		16		521

				1,116
ENERGY - 2.7%
Apache Corp.		9		737
Noble Energy Inc.		12		863
Transocean Ltd.		17		794

				2,394
FINANCIALS - 3.1%
ACE Ltd.		6		356
Cullen/Frost Bankers Inc.		12		543
eHealth Inc.		35		476
Federated Investors Inc. - Class B		21		360
Valley National Bancorp		62		659
Waddell & Reed Financial Inc. - Class A		15		386

				2,780
HEALTH CARE - 3.7%
Becton Dickinson & Co.		6		438
Bristol-Myers Squibb Co.		30		936
Eli Lilly & Co.		23		867
Laboratory Corp. of America Holdings		6		483
Medtronic Inc.		15		501

				3,225
INDUSTRIALS - 3.3%
Caterpillar Inc.		10		755
Joy Global Inc.		8		508
Lockheed Martin Corp.		7		503
Northrop Grumman Systems Corp.		8		435
Precision Castparts Corp.		5		742

				2,943
INFORMATION TECHNOLOGY - 8.1%
Atmel Corp.		64		520
Ceva Inc.		37		898
Concur Technologies Inc.		26		977
Intel Corp.		49		1,040
International Business Machines Corp.		7		1,231
Lexmark International Inc.		24		659
QLogic Corp.		31		393
Tech Data Corp.		17		752
Teradata Corp.		13		710

				7,180
MATERIALS - 1.0%
EI Du Pont de Nemours & Co.		22		869
TELECOMMUNICATION SERVICES - 1.7%
Level 3 Communications Inc.		318		474
US Cellular Corp.		11		448
Verizon Communications Inc.		16		576

				1,498


	Shares/Par (p)		Value
UTILITIES - 0.5%
Piedmont Natural Gas Co. Inc.		17		484

Total Securities Sold Short - 33.1% (proceeds $33,094)			$	29,276

JNL/Invesco Global Real Estate Fund
COMMON STOCKS - 97.6%
CONSUMER DISCRETIONARY - 0.2%
Starwood Hotels & Resorts Worldwide Inc.		38	$	1,465
FINANCIALS - 97.4%
Real Estate Investment Trusts - 72.0%
Diversified - REITS - 18.8%
Ascendas Real Estate Investment Trust (e)		1,616		2,492
BGP Holdings Plc (f)		5,552		—
British Land Co. Plc		890		6,553
Canadian Real Estate Investment Trust (e)		48		1,637
CapitaCommercial Trust		2,331		1,781
Corio NV		116		5,333
Derwent London Plc		152		3,382
Dexus Property Group (e)		4,774		3,763
Digital Realty Trust Inc. (e)		142		7,828
Fonciere Des Regions		31		2,185
Gecina SA		13		1,132
Goodman Group		10,204		5,591
GPT Group		1,478		4,445
H&R Real Estate Investment Trust (e)		231		4,613
Hammerson Plc		836		4,895
Klepierre		118		3,307
Land Securities Group Plc		766		7,613
Mercialys SA (e)		99		3,525
Segro Plc		849		2,895
Shaftesbury Plc		537		3,878
Stockland (e)		3,455		9,618
Suntec Real Estate Investment Trust		2,574		2,251
Unibail-Rodamco SE		102		18,232
United Urban Investment Corp.		3		2,811
Vornado Realty Trust		204		15,219
Washington REIT		12		349

				125,328
Industrial - REITS - 1.9%
ProLogis Inc.		540		13,100
Office - REITS - 9.9%
Alexandria Real Estate Equities Inc.		123		7,551
Boston Properties Inc.		148		13,190
Douglas Emmett Inc. (e)		179		3,066
Duke Realty Corp.		334		3,502
Great Portland Estates Plc		532		2,801
Highwoods Properties Inc.		140		3,954
ING Office Fund (e)		6,613		3,856
Japan Prime Realty Investment Corp. (e)		1		2,486
Japan Real Estate Investment Corp.		1		5,651
Kilroy Realty Corp.		119		3,729
Nippon Building Fund Inc. (e)		1		6,201
Nomura Real Estate Office Fund Inc. (e)		—		732
Piedmont Office Realty Trust Inc. (e)		179		2,901
SL Green Realty Corp.		68		3,934
Societe Immobiliere de Location pour l’Industrieet le Commerce		25		2,406

				65,960


	Shares/Par (p)		Value
Residential - REITS - 9.3%
Advance Residence Investment Corp.		1		1,170
American Campus Communities Inc. (e)		119		4,409
AvalonBay Communities Inc.		100		11,404
Boardwalk Real Estate Investment Trust		100		4,577
BRE Properties Inc.		62		2,617
Camden Property Trust		108		5,950
Equity Lifestyle Properties Inc.		37		2,320
Equity Residential		231		11,974
Essex Property Trust Inc.		67		8,060
Mid-America Apartment Communities Inc.		79		4,776
UDR Inc.		206		4,554

				61,811
Retail - REITS - 19.7%
Acadia Realty Trust		167		3,130
CapitaMall Trust		3,612		5,010
CFS Retail Property Trust		3,854		6,467
DDR Corp.		56		614
Federal Realty Investment Trust		70		5,769
Frontier Real Estate Investment Corp.		—		1,124
General Growth Properties Inc.		434		5,252
Japan Retail Fund Investment Corp.		2		3,347
Kimco Realty Corp.		470		7,070
Link Real Estate Investment Trust		2,212		6,988
Macerich Co.		235		10,028
National Retail Properties Inc. (e)		150		4,038
Primaris Retail Real Estate Investment Trust		252		4,928
Regency Centers Corp.		143		5,038
RioCan Real Estate Investment Trust (e)		251		6,218
Simon Property Group Inc.		277		30,423
Tanger Factory Outlet Centers Inc.		21		552
Taubman Centers Inc.		41		2,073
Westfield Group (e)		1,969		14,598
Westfield Retail Trust		3,669		8,540

				131,207
Specialized - REITS - 12.4%
Big Yellow Group Plc		514		1,907
Chartwell Seniors Housing REIT		535		3,855
DiamondRock Hospitality Co.		410		2,867
Extra Space Storage Inc.		142		2,646
HCP Inc.		381		13,366
Health Care REIT Inc.		256		11,967
Hersha Hospitality Trust		349		1,208
Host Hotels & Resorts Inc.		945		10,339
Public Storage		102		11,405
Senior Housing Properties Trust		131		2,815
Sovran Self Storage Inc.		80		2,981
Sunstone Hotel Investors Inc. (c)		114		651
Ventas Inc.		339		16,741

				82,748
Real Estate Management & Development - 25.4%
Real Estate Operating Companies - 19.0%
Agile Property Holdings Ltd. (e)		1,700		1,103
Beni Stabili SpA		2,081		1,096
Brookfield Properties Corp.		474		6,560
CapitaLand Ltd.		3,148		5,874
CapitaMalls Asia Ltd.		2,029		1,870
China Overseas Land & Investment Ltd. (e)		4,829		6,897
China Resources Land Ltd. (e)		2,084		2,241
City Developments Ltd.		357		2,588
Country Garden Holdings Co. (e)		3,559		984
Evergrande Real Estate Group Ltd. (e)		4,354		1,331
Global Logistic Properties Ltd. (c)		2,954		3,704
GSW Immobilien AG (c) (e)		79		2,251
Hang Lung Properties Ltd.		2,696		8,022


	Shares/Par (p)		Value
Henderson Land Development Co. Ltd. (e)		560		2,514
Hongkong Land Holdings Ltd.		1,782		7,895
Hysan Development Co. Ltd.		656		1,987
Keppel Land Ltd. (e)		863		1,686
Kerry Properties Ltd.		1,183		3,774
Mitsui Fudosan Co. Ltd.		876		13,838
Norwegian Property ASA		661		880
Retail Opportunity Investments Corp. (e)		229		2,542
Shimao Property Holdings Ltd. (e)		1,308		983
Sino Land Co.		1,676		2,213
Sumitomo Realty & Development Co. Ltd. (e)		530		10,188
Sun Hung Kai Properties Ltd.		1,931		22,152
Tokyu Land Corp.		479		1,722
Unite Group Plc		682		1,751
Wharf Holdings Ltd.		1,620		7,993

				126,639
Real Estate Services - 6.4%
AEON Mall Co. Ltd.		102		2,325
Castellum AB (e)		297		3,616
Conwert Immobilien Invest SE (e)		223		2,686
Deutsche Wohnen AG		151		2,004
Mitsubishi Estate Co. Ltd.		1,056		17,129
PSP Swiss Property AG		20		1,801
Sponda OYJ		811		3,048
Swiss Prime Site AG		97		7,847
Wihlborgs Fastigheter AB		144		1,814

				42,270

Total Common Stocks (cost $742,269)				650,528

SHORT TERM INVESTMENTS - 8.2%
Investment Companies - 1.8%
JNL Money Market Fund, 0.02% (a) (h)		11,808		11,808
Securities Lending Collateral - 6.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		42,403		42,403
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		582		564

				42,967

Total Short Term Investments (cost $54,793)				54,775

Total Investments - 105.8% (cost $797,062)				705,303
Other Assets and Liabilities, Net - (5.8%)				(38,761	)

Total Net Assets - 100.0%			$	666,542

JNL/Invesco International Growth Fund
COMMON STOCKS - 90.5%
CONSUMER DISCRETIONARY - 18.2%
Adidas AG		138	$	8,404
Bayerische Motoren Werke AG		71		4,667
Compagnie Generale des Etablissements
Michelin		57		3,428
Compass Group Plc		1,403		11,318
Denso Corp.		254		8,172
Eutelsat Communications Group SA		108		4,332
Grupo Televisa SA - GDR		259		4,771
Hyundai Mobis		27		7,697
Informa Plc		905		4,596
Kingfisher Plc		1,506		5,781
Next Plc		190		7,431
Publicis Groupe		70		2,926


	Shares/Par (p)		Value
Reed Elsevier Plc		1,116		8,541
Toyota Motor Corp.		238		8,169
WPP Plc		499		4,619
Yamada Denki Co. Ltd. (e)		160		11,131

				105,983
CONSUMER STAPLES - 13.8%
Anheuser-Busch InBev NV		198		10,528
British American Tobacco Plc		216		9,132
Danone SA		124		7,622
Fomento Economico Mexicano SAB de CV - ADR		105		6,833
Imperial Tobacco Group Plc		352		11,862
Koninklijke Ahold NV (e)		491		5,777
L’Oreal SA		38		3,733
Nestle SA		173		9,541
Tesco Plc		1,336		7,828
Unilever NV		248		7,862

				80,718
ENERGY - 9.2%
BG Group Plc		448		8,582
Canadian Natural Resources Ltd.		139		4,073
Cenovus Energy Inc. (e)		175		5,404
Gazprom OAO - ADR		544		5,270
Petroleo Brasileiro SA - ADR		169		3,499
Royal Dutch Shell Plc - Class B		253		7,865
Suncor Energy Inc.		281		7,171
Total SA (e)		82		3,631
WorleyParsons Ltd.		332		8,273

				53,768
FINANCIALS - 9.8%
Akbank T.A.S.		1,242		4,870
Banco Bradesco SA - ADR		643		9,507
BNP Paribas		120		4,724
Fairfax Financial Holdings Ltd.		14		5,282
Industrial & Commercial Bank of China		16,968		8,194
Julius Baer Group Ltd. (c)		170		5,681
Kinnevik Investment AB (e)		157		2,900
QBE Insurance Group Ltd. (e)		359		4,409
Swedbank AB		426		4,700
United Overseas Bank Ltd.		539		6,931

				57,198
HEALTH CARE - 11.0%
Bayer AG		71		3,927
CSL Ltd. (e)		157		4,454
Fresenius Medical Care AG & Co. KGaA		100		6,757
Novartis AG		201		11,232
Novo-Nordisk A/S		82		8,160
Roche Holding AG		57		9,222
Shire Plc		196		6,099
Smith & Nephew Plc		605		5,439
Teva Pharmaceutical Industries Ltd. - ADR		239		8,881

				64,171
INDUSTRIALS - 8.8%
ABB Ltd.		306		5,231
Brambles Ltd. (e)		993		6,121
Canadian National Railway Co.		71		4,733
Fanuc Ltd.		38		5,248
Hutchison Whampoa Ltd.		705		5,217
Keppel Corp. Ltd.		1,140		6,687
Komatsu Ltd. (e)		160		3,445
Nidec Corp. (e)		78		6,274
Schneider Electric SA		68		3,663


	Shares/Par (p)		Value
Volvo AB		467		4,584

				51,203
INFORMATION TECHNOLOGY - 10.2%
Canon Inc.		250		11,347
Cap Gemini SA		140		4,654
Infosys Technologies Ltd. - ADR (e)		105		5,380
Keyence Corp. (e)		25		6,781
NHN Corp. (c)		51		9,776
SAP AG		147		7,498
Taiwan Semiconductor Manufacturing Co. Ltd.		3,366		7,577
Telefonaktiebolaget LM Ericsson		702		6,737

				59,750
MATERIALS - 4.0%
Agrium Inc.		72		4,794
BHP Billiton Ltd.		285		9,446
Lafarge SA		78		2,682
Syngenta AG		24		6,129

				23,051
TELECOMMUNICATION SERVICES - 3.8%
America Movil SAB de CV - ADR		344		7,596
China Mobile Ltd.		485		4,736
Koninklijke KPN NV		92		1,206
VimpelCom Ltd. - ADR		199		1,893
Vodafone Group Plc		2,559		6,596

				22,027
UTILITIES - 1.7%
Centrica Plc		1,244		5,736
International Power Plc		851		4,040

				9,776

Total Common Stocks (cost $556,819)				527,645

PREFERRED STOCKS - 0.7%
CONSUMER DISCRETIONARY - 0.7%
Volkswagen AG		32		4,230

Total Preferred Stocks (cost $6,417)				4,230

SHORT TERM INVESTMENTS - 14.2%
Investment Companies - 8.2%
JNL Money Market Fund, 0.02% (a) (h)		47,395		47,395
Securities Lending Collateral - 6.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		34,392		34,392
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		566		548

				34,940

Total Short Term Investments (cost $82,353)				82,335

Total Investments - 105.4% (cost $645,589)				614,210
Other Assets and Liabilities, Net - (5.4%)				(31,269	)

Total Net Assets - 100.0%			$	582,941

JNL/Invesco Large Cap Growth Fund
COMMON STOCKS - 92.7%
CONSUMER DISCRETIONARY - 16.9%
Amazon.com Inc. (c)		109	$	23,480
AutoZone Inc. (c)		15		4,804


	Shares/Par (p)		Value
BorgWarner Inc. (c)		94		5,666
Coach Inc.		73		3,793
Comcast Corp. - Class A		648		13,544
DIRECTV - Class A (c)		658		27,793
Dollar Tree Inc. (c)		55		4,099
Kohl’s Corp.		189		9,302
Las Vegas Sands Corp. (c)		283		10,840
Macy’s Inc.		365		9,601
Prada SpA (c) (e)		1,282		5,408
Priceline.com Inc. (c)		18		8,159
Starbucks Corp.		415		15,461
Starwood Hotels & Resorts Worldwide Inc.		100		3,884

				145,834
CONSUMER STAPLES - 7.3%
Coca-Cola Co.		99		6,666
CVS Caremark Corp.		347		11,644
Hansen Natural Corp. (c)		67		5,829
Kroger Co.		394		8,654
Mead Johnson Nutrition Co.		140		9,626
Procter & Gamble Co.		321		20,250

				62,669
ENERGY - 7.2%
Anadarko Petroleum Corp.		93		5,839
Cameron International Corp. (c)		307		12,767
Ensco International Plc - ADR		295		11,924
EOG Resources Inc.		66		4,708
Halliburton Co.		333		10,148
National Oilwell Varco Inc.		149		7,651
Weatherford International Ltd. (c)		724		8,842

				61,879
FINANCIALS - 1.7%
BlackRock Inc.		14		2,034
JPMorgan Chase & Co.		433		13,044

				15,078
HEALTH CARE - 10.8%
Allergan Inc.		137		11,315
Allscripts-Misys Healthcare Solutions Inc. (c)		452		8,146
Baxter International Inc.		135		7,564
Express Scripts Inc. (c)		199		7,375
Gilead Sciences Inc. (c)		309		12,007
Illumina Inc. (c)		198		8,093
Medco Health Solutions Inc. (c)		223		10,451
UnitedHealth Group Inc.		500		23,038
Waters Corp. (c)		71		5,372

				93,361
INDUSTRIALS - 10.1%
ABB Ltd. - ADR		606		10,348
Cummins Inc.		51		4,165
Danaher Corp.		313		13,114
Foster Wheeler AG (c)		600		10,665
Ingersoll-Rand Plc		369		10,368
JB Hunt Transport Services Inc.		176		6,365
Precision Castparts Corp.		135		21,034
Union Pacific Corp.		141		11,477

				87,536
INFORMATION TECHNOLOGY - 32.1%
Accenture Plc - Class A		170		8,933
Agilent Technologies Inc. (c)		356		11,119
Apple Inc. (c)		205		78,319
Atmel Corp. (c)		1,033		8,333
Baidu.com - ADR (c)		116		12,411


	Shares/Par (p)		Value
Broadcom Corp. - Class A		382		12,708
Check Point Software Technologies Ltd. (c)		129		6,811
Citrix Systems Inc. (c)		117		6,398
Cognizant Technology Solutions Corp. -
Class A (c)		220		13,806
eBay Inc. (c)		149		4,391
EMC Corp. (c)		410		8,615
F5 Networks Inc. (c)		31		2,189
Google Inc. - Class A (c)		49		25,272
MasterCard Inc.		24		7,674
QUALCOMM Inc.		262		12,748
Rovi Corp. (c)		715		30,743
Salesforce.com Inc.		36		4,111
SanDisk Corp. (c)		66		2,652
Visa Inc. - Class A		168		14,428
Xilinx Inc.		230		6,318

				277,979
MATERIALS - 4.2%
Goldcorp Inc.		285		13,008
Molycorp Inc. (c) (e)		185		6,079
Monsanto Co.		142		8,550
Mosaic Co.		177		8,667

				36,304
TELECOMMUNICATION SERVICES - 2.4%
America Movil SAB de CV - ADR		265		5,841
American Tower Corp. - Class A (c)		281		15,100

				20,941

Total Common Stocks (cost $852,982)				801,581

SHORT TERM INVESTMENTS - 7.7%
Investment Companies - 6.7%
JNL Money Market Fund, 0.02% (a) (h)		58,186		58,186
Securities Lending Collateral - 1.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		8,258		8,258
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		201		195

				8,453

Total Short Term Investments (cost $66,645)				66,639

Total Investments - 100.4% (cost $919,627)				868,220
Other Assets and Liabilities, Net - (0.4%)				(3,266	)

Total Net Assets - 100.0%			$	864,954

JNL/Invesco Small Cap Growth Fund
COMMON STOCKS - 98.8%
CONSUMER DISCRETIONARY - 17.5%
Buffalo Wild Wings Inc. (c)		24	$	1,412
Choice Hotels International Inc.		31		925
Darden Restaurants Inc.		26		1,110
Dick’s Sporting Goods Inc. (c)		39		1,293
DreamWorks Animation SKG Inc. - Class A (c)		30		537
DSW Inc. - Class A		28		1,315
Foot Locker Inc.		72		1,448
Group 1 Automotive Inc. (e)		30		1,072
Jack in the Box Inc. (c)		56		1,121
Life Time Fitness Inc. (c)		37		1,357
Maidenform Brands Inc. (c)		54		1,259


	Shares/Par (p)		Value
Monro Muffler Brake Inc.		36		1,186
National CineMedia Inc.		61		891
Penn National Gaming Inc. (c)		46		1,542
Pool Corp.		45		1,176
Steven Madden Ltd. (c)		47		1,416
Tenneco Inc. (c)		35		897
Tractor Supply Co.		21		1,312
TRW Automotive Holdings Corp. (c)		28		920
Under Armour Inc. - Class A (c)		21		1,398
Urban Outfitters Inc. (c)		50		1,122
Vitamin Shoppe Inc. (c)		36		1,352
Weight Watchers International Inc.		20		1,177

				27,238
CONSUMER STAPLES - 4.8%
B&G Foods Inc.		74		1,228
Diamond Foods Inc. (e)		23		1,859
Lancaster Colony Corp. (e)		25		1,534
Nu Skin Enterprises Inc. - Class A		42		1,693
Ruddick Corp.		31		1,211

				7,525
ENERGY - 6.4%
Bill Barrett Corp. (c)		29		1,061
Carrizo Oil & Gas Inc. (c)		40		857
Dresser-Rand Group Inc. (c)		30		1,211
Dril-Quip Inc. (c)		18		968
FMC Technologies Inc. (c)		31		1,154
HollyFrontier Corp.		56		1,476
James River Coal Co. (c) (e)		53		338
Lufkin Industries Inc.		19		986
Patterson-UTI Energy Inc.		52		897
SandRidge Energy Inc. (c)		170		943

				9,891
FINANCIALS - 5.6%
Affiliated Managers Group Inc. (c)		17		1,325
Brown & Brown Inc.		36		647
City National Corp.		21		793
Colonial Properties Trust		70		1,262
Greenhill & Co. Inc. (e)		16		446
Huntington Bancshares Inc.		182		874
ProAssurance Corp.		23		1,646
Stifel Financial Corp. (c)		25		666
SVB Financial Group (c)		30		1,117

				8,776
HEALTH CARE - 18.1%
Acorda Therapeutics Inc. (c)		35		707
Allscripts-Misys Healthcare Solutions Inc. (c)		76		1,368
BioMarin Pharmaceutical Inc. (c)		56		1,792
Bruker Corp. (c)		62		832
Centene Corp. (c)		41		1,175
Chemed Corp.		26		1,422
Health Management Associates Inc. -
Class A (c)		127		880
HMS Holdings Corp. (c)		40		985
Incyte Corp. (c)		95		1,330
Insulet Corp. (c)		50		763
Masimo Corp.		55		1,187
Medicis Pharmaceutical Corp. - Class A		45		1,647
Mednax Inc. (c)		19		1,209
Meridian Bioscience Inc.		44		691
Parexel International Corp. (c)		48		916
PerkinElmer Inc.		49		950
PSS World Medical Inc. (c) (e)		50		980
Quality Systems Inc.		18		1,757


	Shares/Par (p)		Value
Salix Pharmaceuticals Ltd. (c)		39		1,144
Sirona Dental Systems Inc. (c)		31		1,300
STERIS Corp.		44		1,296
Techne Corp.		17		1,141
United Therapeutics Corp. (c)		19		729
VCA Antech Inc. (c)		45		727
Zoll Medical Corp. (c)		36		1,343

				28,271
INDUSTRIALS - 13.7%
Corrections Corp. of America (c)		70		1,597
CoStar Group Inc. (c) (e)		31		1,599
Crane Co.		31		1,104
Forward Air Corp.		40		1,019
Fuel Tech Inc. (c)		21		125
General Cable Corp. (c)		32		758
Hexcel Corp. (c)		66		1,467
HUB Group Inc. - Class A (c)		46		1,296
Kennametal Inc.		34		1,111
Lincoln Electric Holdings Inc.		39		1,123
Lindsay Corp.		18		946
Meritor Inc. (c)		81		569
Tetra Tech Inc. (c)		66		1,241
Thomas & Betts Corp. (c)		25		1,006
TransDigm Group Inc. (c)		37		3,058
Wabtec Corp.		31		1,618
Watsco Inc.		16		823
WESCO International Inc. (c)		26		877

				21,337
INFORMATION TECHNOLOGY - 25.6%
Alliance Data Systems Corp. (c)		16		1,515
Ancestry.com Inc. (c)		33		776
Ansys Inc. (c)		26		1,258
Aspen Technology Inc. (c)		93		1,419
BroadSoft Inc. (c) (e)		44		1,347
Cavium Inc. (c)		41		1,095
Ciena Corp. (c) (e)		56		631
CommVault Systems Inc. (c)		42		1,540
Cymer Inc. (c)		29		1,069
Fair Isaac Corp.		43		935
Finisar Corp. (c)		60		1,051
Hittite Microwave Corp. (c)		28		1,343
Informatica Corp. (c)		46		1,897
Interactive Intelligence Group (c)		36		970
Littelfuse Inc.		27		1,089
Manhattan Associates Inc. (c)		43		1,412
Micros Systems Inc. (c)		34		1,511
Microsemi Corp. (c)		77		1,228
NetGear Inc. (c)		41		1,050
NetLogic Microsystems Inc. (c)		14		696
Open Text Corp. (c)		24		1,256
Parametric Technology Corp. (c)		54		829
PMC - Sierra Inc. (c)		156		935
Polycom Inc. (c)		62		1,139
Power Integrations Inc. (e)		43		1,303
Quest Software Inc. (c)		63		999
RightNow Technologies Inc. (c)		43		1,437
Semtech Corp. (c)		65		1,372
SolarWinds Inc. (c)		63		1,394
Teradyne Inc. (c)		100		1,096
ValueClick Inc. (c)		100		1,553
Volterra Semiconductor Corp. (c)		53		1,012
WebMD Health Corp. - Class A (c)		22		667
Websense Inc. (c)		57		978

				39,802


	Shares/Par (p)		Value
MATERIALS - 4.6%
Allied Nevada Gold Corp. (c)		15		531
Carpenter Technology Corp.		30		1,328
Detour Gold Corp.		18		474
Grief Inc. - Class A		24		1,011
Intrepid Potash Inc. (c)		38		952
Olin Corp.		63		1,142
Rockwood Holdings Inc. (c)		26		892
Solutia Inc. (c)		63		809

				7,139
TELECOMMUNICATION SERVICES - 0.8%
SBA Communications Corp. (c)		36		1,245
UTILITIES - 1.7%
Energen Corp.		26		1,065
ITC Holdings Corp.		21		1,623

				2,688

Total Common Stocks (cost $167,766)				153,912

SHORT TERM INVESTMENTS - 6.1%
Investment Companies - 1.4%
JNL Money Market Fund, 0.02% (a) (h)		2,189		2,189
Securities Lending Collateral - 4.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		7,136		7,136
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		176		171

				7,307

Total Short Term Investments (cost $9,501)				9,496

Total Investments - 104.9% (cost $177,267)				163,408
Other Assets and Liabilities, Net - (4.9%)				(7,595	)

Total Net Assets - 100.0%			$	155,813

JNL/Ivy Asset Strategy Fund
COMMON STOCKS - 72.6%
CONSUMER DISCRETIONARY - 23.4%
Bayerische Motoren Werke AG		365	$	24,106
CBS Corp. - Class B		1,060		21,609
Compagnie Financiere Richemont SA		892		39,717
Hyundai Motor Co.		165		28,757
LVMH Moet Hennessy Louis Vuitton SA		219		28,908
Prada SpA (c) (q)		2,047		8,633
Sands China Ltd. (c) (r)		15,747		36,843
Starbucks Corp.		528		19,693
Starwood Hotels & Resorts Worldwide Inc. (o)		714		27,733
Wynn Macau Ltd.		11,800		27,904
Wynn Resorts Ltd. (o)		599		68,916

				332,819
CONSUMER STAPLES - 1.8%
Philip Morris International Inc.		406		25,307
ENERGY - 12.9%
ConocoPhillips (o)		954		60,433
Exxon Mobil Corp.		199		14,424
Halliburton Co. (o)		803		24,500
National Oilwell Varco Inc.		386		19,745
Occidental Petroleum Corp.		239		17,117
Schlumberger Ltd.		397		23,716


	Shares/Par (p)		Value
SeaDrill Ltd.		753		20,797
StatoilHydro ASA		142		3,038

				183,770
FINANCIALS - 6.5%
AIA Group Ltd. (r)		8,265		23,404
Apollo Global Management LLC - Class A		821		8,407
Blackstone Group LP		1,320		15,816
BOC Hong Kong Holdings Ltd.		2,053		4,340
China Pacific Insurance Group Co. Ltd.		5,967		17,198
CITIC Securities Co. Ltd. (c) (f) (q)		8,320		14,210
KKR & Co. LP		920		9,571

				92,946
HEALTH CARE - 0.5%
Allergan Inc.		85		7,010
INDUSTRIALS - 6.0%
A P Moller - Maersk A/S - Class B		—		587
Caterpillar Inc.		279		20,565
Cathay Pacific Airways Ltd.		3,254		5,311
Cummins Inc.		229		18,708
Hutchison Port Holdings Trust		132		88
Hutchison Whampoa Ltd.		2,666		19,730
Volvo AB - Class B		2,124		20,864

				85,853
INFORMATION TECHNOLOGY - 19.6%
Apple Inc. (c) (o)		147		55,862
ASML Holding NV		701		24,236
Baidu.com - ADR (c)		446		47,703
Broadcom Corp.		442		14,704
Cognizant Technology Solutions Corp. -
Class A (c) (o)		534		33,507
Google Inc. - Class A (c) (o)		40		20,524
Juniper Networks Inc. (c)		1,107		19,100
NetApp Inc. (c)		538		18,249
Oracle Corp.		668		19,207
Tencent Holdings Ltd.		1,261		26,152

				279,244
MATERIALS - 0.4%
Freeport-McMoRan Copper & Gold Inc.		191		5,825
TELECOMMUNICATION SERVICES - 1.5%
France Telecom SA		290		4,740
Vivendi SA		833		16,962

				21,702

Total Common Stocks (cost $1,151,435)				1,034,476

PREFERRED STOCKS - 5.6%
CONSUMER DISCRETIONARY - 5.5%
Porsche Automobil Holding SE		335		15,971
Volkswagen AG (r)		435		57,352
Volkswagen AG Rights, Convertible Preferred		42		5,674

				78,997
INDUSTRIALS - 0.1%
Volvo (r)		148		1,475

Total Preferred Stocks (cost $84,917)				80,472

PURCHASED OPTIONS - 2.6%
ARM Holdings Plc Call Option, Strike Price 28.00, Expiration 10/22/2011, MSC (f)		804		68


	Shares/Par (p)		Value
Bayerische Motoren Werke AG Call Option, Strike Price EUR 62.00, Expiration 12/16/2011, MSC (f)		223		34
Blackstone Group LP Call Option, Strike Price 15.00, Expiration 12/17/2011, DUB (f)		1,516		64
CBS Corp. Call Option, Strike Price 27.00, Expiration 12/17/2011, MSC (f)		890		27
Deutscher Aktien IndeX Put Option, Strike Price EUR 4,850.00, Expiration 10/21/2011, GSC		1,744		742
Deutscher Aktien IndeX Put Option, Strike Price EUR 4,950.00, Expiration 10/21/2011, GSC		1,738		936
Deutscher Aktien IndeX Put Option, Strike Price EUR 5,000.00, Expiration 10/21/2011, MSC		1,745		1,055
Deutscher Aktien IndeX Put Option, Strike Price EUR 5,350.00, Expiration 11/18/2011, DUB		1,747		3,442
EUR versus USD Put Option, Strike Price 1.44, Expiration 11/23/2011, DUB		58,100,000		6,071
EUR versus USD Put Option, Strike Price 1.44, Expiration 11/29/2011, DUB		50,200,000		5,283
Exxon Mobil Corp. Call Option, Strike Price 77.50, Expiration 10/22/2011, DUB (f) (r)		234		18
Freeport-McMoRan Copper & Gold Inc. Call Option, Strike Price 50.00, Expiration 11/19/2011, GSC (f)		416		4
Halliburton Co. Call Option, Strike Price 50.00, Expiration 10/22/2011, JPM (f)		429		—
Juniper Networks Inc. Call Option, Strike Price 24.00, Expiration 10/22/2011, DUB (f)		848		4
NASDAQ 100 Index Put Option, Strike Price 2,050.00, Expiration 11/19/2011, JPM		312		2,867
NASDAQ 100 Index Put Option, Strike Price 2,075.00, Expiration 10/22/2011, MSC		298		1,650
NASDAQ 100 Index Put Option, Strike Price 2,100.00, Expiration 10/22/2011, UBS		298		1,997
NASDAQ 100 Index Put Option, Strike Price 2,150.00, Expiration 11/18/2011, MSC		299		3,552
National-Oilwell Varco Inc. Call Option, Strike Price 77.50, Expiration 11/19/2011		335		4
Russell 2000 Index Put Option, Strike Price 610.00, Expiration 10/22/2011		770		1,380
Russell 2000 Index Put Option, Strike Price 620.00, Expiration 10/21/2011		770		1,639
Russell 2000 Index Put Option, Strike Price 625.00, Expiration 10/22/2011		748		1,731
Russell 2000 Index Put Option, Strike Price 650.00, Expiration 11/19/2011, DUB		772		3,872
Starbucks Corp. Call Option, Strike Price 42.00, Expiration 10/22/2011, DUB (f)		791		21
Starwood Hotels & Resorts Worldwide Inc. Call Option, Strike Price 49.00, Expiration 11/19/2011		452		25
Volvo AB Call Option, Strike Price SEK 85.00, Expiration 12/16/2011, MSC (f)		1,258		21

Total Options (cost $29,548)				36,507

PRECIOUS METALS - 13.0%
Gold Bullion		114,022		184,829

Total Precious Metals (cost $159,088)				184,829


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 6.8%
INVESTMENT COMPANIES - 6.8%
JNL Money Market Fund, 0.02% (a) (h)		97,672		97,672

Total Short Term Investments (cost $97,672)				97,672

Total Investments - 100.6% (cost $1,522,660)				1,433,956
Other Assets and Liabilities, Net - (0.6%) (o)				(8,379	)

Total Net Assets - 100.0%			$	1,425,577

JNL/JPMorgan International Value Fund
COMMON STOCKS - 96.7%
CONSUMER DISCRETIONARY - 8.0%
Bridgestone Corp.		222	$	5,046
Daimler AG		135		5,993
InterContinental Hotels Group Plc		304		4,927
Nissan Motor Co. Ltd. (e)		991		8,772
PPR SA		35		4,508
Sodexo SA		98		6,444
Toyota Motor Corp.		221		7,582

				43,272
CONSUMER STAPLES - 5.3%
British American Tobacco Plc		235		9,920
Japan Tobacco Inc.		2		10,225
Unilever NV		270		8,533

				28,678
ENERGY - 10.9%
BP Plc		1,663		9,971
Cairn Energy Plc (c)		888		3,851
JX Holdings Inc.		1,419		7,964
Repsol YPF SA		311		8,211
Royal Dutch Shell Plc		840		25,947
Tullow Oil Plc		152		3,079

				59,023
FINANCIALS - 21.6%
African Bank Investments Ltd.		903		3,671
Allianz SE		132		12,373
Aviva Plc		1,118		5,257
Banco Bilbao Vizcaya Argentaria SA		671		5,555
Barclays Plc		1,513		3,709
BNP Paribas		193		7,607
China Construction Bank Corp.		6,793		4,109
China Resources Land Ltd. (e)		2,746		2,953
Commerzbank AG (c) (e)		1,591		3,987
Credit Suisse Group AG (c)		196		5,139
Deutsche Boerse AG (f)		69		3,487
DnB NOR ASA		509		5,075
Erste Group Bank AG		120		3,048
HSBC Holdings Plc		443		3,390
ING Groep NV (c)		1,232		8,690
KBC Groep NV (e)		149		3,427
Lloyds Banking Group Plc (c)		6,115		3,283
Man Group Plc		1,097		2,837
Nordea Bank AB		861		6,968
QBE Insurance Group Ltd. (e)		317		3,889
Standard Chartered Plc		199		3,977
Sumitomo Mitsui Financial Group Inc. (e)		520		14,648

				117,079


	Shares/Par (p)		Value
HEALTH CARE - 10.2%
Bayer AG		199		11,009
GlaxoSmithKline Plc		722		14,905
Novartis AG		248		13,878
Sanofi-Aventis SA		236		15,515

				55,307
INDUSTRIALS - 10.9%
Amada Co. Ltd. (e)		579		3,809
Bouygues SA (e)		83		2,730
Cookson Group Plc		302		2,015
East Japan Railway Co.		69		4,189
European Aeronautic Defence & Space Co. NV		209		5,869
Experian Plc		357		4,011
Hamburger Hafen und Logistik AG (e)		24		678
Marubeni Corp.		727		4,059
Mitsubishi Electric Corp.		540		4,783
Mitsui & Co. Ltd. (e)		427		6,185
Nippon Sheet Glass Co. Ltd. (e)		977		2,186
Ruukki Group Oyj (e)		583		766
Schneider Electric SA		161		8,641
Sumitomo Corp. (e)		776		9,597

				59,518
INFORMATION TECHNOLOGY - 5.6%
Canon Inc.		128		5,807
Fujitsu Ltd. (e)		1,672		7,885
HON HAI Precision Industry Co. Ltd.		1,700		3,789
Samsung Electronics Co. Ltd.		10		7,187
Telefonaktiebolaget LM Ericsson		617		5,923

				30,591
MATERIALS - 5.8%
BASF SE		98		5,960
First Quantum Minerals Ltd.		223		2,962
Glencore International Plc (e)		199		1,253
Holcim Ltd.		127		6,719
Lanxess AG		37		1,759
Petropavlovsk Plc		152		1,397
Solvay SA (e)		58		5,437
UPM-Kymmene Oyj		520		5,872

				31,359
TELECOMMUNICATION SERVICES - 11.1%
BT Group Plc		1,762		4,723
Deutsche Telekom AG		568		6,672
KDDI Corp. (e)		2		12,426
Koninklijke KPN NV		355		4,679
Nippon Telegraph & Telephone Corp.		147		7,038
Singapore Telecommunications Ltd.		2,698		6,504
Vodafone Group Plc		7,192		18,536

				60,578
UTILITIES - 7.3%
Centrica Plc		1,318		6,077
E.ON AG		343		7,431
GDF Suez		297		8,835
International Power Plc		1,143		5,428
Snam Rete Gas SpA		1,739		8,029
Suez Environnement SA		271		3,768

				39,568

Total Common Stocks (cost $622,162)				524,973


	Shares/Par (p)		Value
PREFERRED STOCKS - 1.0%
CONSUMER DISCRETIONARY - 1.0%
Volkswagen AG		39		5,134

Total Preferred Stocks (cost $5,376)				5,134

RIGHTS - 0.0%
Banco Bilbao Vizcaya Argentaria SA (c)		671		99

Total Rights (cost $100)				99

SHORT TERM INVESTMENTS - 14.4%
Investment Companies - 2.3%
JNL Money Market Fund, 0.02% (a) (h)		12,195		12,195
Securities Lending Collateral - 12.1%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		65,321		65,321
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		510		494

				65,815

Total Short Term Investments (cost $78,026)				78,010

Total Investments - 112.1% (cost $705,664)				608,216
Other Assets and Liabilities, Net - (12.1%)				(65,566	)

Total Net Assets - 100.0%			$	542,650

JNL/JPMorgan Mid Cap Growth Fund
COMMON STOCKS - 97.3%
CONSUMER DISCRETIONARY - 18.7%
Abercrombie & Fitch Co. - Class A		58	$	3,546
BorgWarner Inc. (c)		85		5,127
Coach Inc.		82		4,240
Deckers Outdoor Corp. (c)		38		3,581
Dick’s Sporting Goods Inc. (c)		84		2,814
Fossil Inc. (c)		33		2,683
Harley-Davidson Inc.		189		6,492
International Game Technology		282		4,098
Lululemon Athletica Inc. (c)		56		2,700
Marriott International Inc.		184		4,998
NetFlix Inc. (c)		21		2,342
Royal Caribbean Cruises Ltd.		135		2,911
Scripps Networks Interactive Inc. - Class A		110		4,104
Sirius XM Radio Inc. (c) (e)		2,186		3,301
Sotheby’s - Class A		65		1,781
Tempur-Pedic International Inc. (c)		48		2,530
Tesla Motors Inc. (c) (e)		85		2,073
Toll Brothers Inc. (c)		175		2,518
Wynn Resorts Ltd.		29		3,291

				65,130
ENERGY - 7.4%
Cameron International Corp. (c)		156		6,498
CARBO Ceramics Inc.		19		1,968
Concho Resources Inc. (c)		89		6,310
Core Laboratories NV (e)		42		3,773
Newfield Exploration Co. (c)		82		3,251
Range Resources Corp.		69		4,057

				25,857
FINANCIALS - 8.8%
Air Lease Corp. (c) (e)		160		3,068


	Shares/Par (p)		Value
Blackstone Group LP		234		2,799
BOK Financial Corp.		73		3,432
Camden Property Trust		58		3,211
Lazard Ltd. - Class A		126		2,648
Moody's Corp.		160		4,863
Och-Ziff Capital Management Group LLC - Class A		93		846
ProLogis Inc.		96		2,338
T. Rowe Price Group Inc.		94		4,511
TD Ameritrade Holding Corp.		188		2,762

				30,478
HEALTH CARE - 13.3%
Alexion Pharmaceuticals Inc. (c)		78		4,965
Brookdale Senior Living Inc. (c)		195		2,448
Bruker Corp. (c)		125		1,684
Cerner Corp. (c)		65		4,435
Coventry Health Care Inc. (c)		117		3,374
Humana Inc.		72		5,258
Illumina Inc. (c)		50		2,030
Lincare Holdings Inc.		158		3,546
Perrigo Co.		41		3,981
Sirona Dental Systems Inc. (c)		114		4,822
Thoratec Corp. (c)		100		3,270
Valeant Pharmaceuticals International Inc.		177		6,578

				46,391
INDUSTRIALS - 18.6%
AGCO Corp. (c)		65		2,250
Armstrong World Industries Inc.		97		3,327
Avis Budget Group Inc. (c)		235		2,275
Carlisle Cos. Inc.		114		3,644
Cooper Industries Plc		64		2,947
Cummins Inc.		50		4,069
Goodrich Corp.		56		6,722
IHS Inc. - Class A (c)		65		4,893
JB Hunt Transport Services Inc.		99		3,572
Pall Corp.		108		4,571
Parker Hannifin Corp.		52		3,308
Roper Industries Inc.		49		3,355
Stericycle Inc. (c)		59		4,727
TransDigm Group Inc. (c)		39		3,205
Wabtec Corp.		85		4,494
WW Grainger Inc.		50		7,432

				64,791
INFORMATION TECHNOLOGY - 26.7%
Agilent Technologies Inc. (c)		126		3,941
Alliance Data Systems Corp. (c)		64		5,914
Amphenol Corp. - Class A		81		3,301
Aruba Networks Inc. (c) (e)		105		2,198
Avago Technologies Ltd.		141		4,611
CGI Group Inc. - Class A (c)		149		2,793
Citrix Systems Inc. (c)		47		2,568
Concur Technologies Inc. (c)		55		2,043
Equinix Inc. (c)		44		3,944
F5 Networks Inc. (c)		51		3,595
Factset Research Systems Inc.		33		2,963
FleetCor Technologies Inc. (c)		78		2,054
Fortinet Inc. (c)		103		1,732
Freescale Semiconductor Holdings I Ltd. (c) (e)		212		2,343
Microchip Technology Inc. (e)		126		3,904
Micros Systems Inc. (c)		93		4,092
NetApp Inc. (c)		86		2,929
Nuance Communications Inc. (c)		248		5,043
OpenTable Inc. (c) (e)		48		2,186


	Shares/Par (p)		Value
Polycom Inc. (c)		181		3,318
Rackspace Hosting Inc. (c)		73		2,506
Red Hat Inc. (c)		107		4,539
Rovi Corp. (c)		83		3,567
Salesforce.com Inc.		31		3,508
TE Connectivity Ltd.		127		3,563
VeriFone Holdings Inc. (c)		114		3,992
Xilinx Inc.		130		3,556
Zebra Technologies Corp. - Class A (c)		63		1,934

				92,637
MATERIALS - 3.8%
FMC Corp.		76		5,242
Grief Inc. - Class A		69		2,977
Sherwin-Williams Co.		66		4,912

				13,131

Total Common Stocks (cost $383,060)				338,415

SHORT TERM INVESTMENTS - 7.3%
Investment Companies - 2.1%
JNL Money Market Fund, 0.02% (a) (h)		7,251		7,251
Securities Lending Collateral - 5.2%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		17,679		17,679
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		254		245

				17,924

Total Short Term Investments (cost $25,184)				25,175

Total Investments - 104.6% (cost $408,244)				363,590
Other Assets and Liabilities, Net - (4.6%)				(15,899	)

Total Net Assets - 100.0%			$	347,691

JNL/JPMorgan U.S. Government & Quality Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 4.2%
ACE Securities Corp. REMIC, 0.36%, 02/25/31 (i)	$	272	$	208
AH Mortgage Advance Trust, 2.63%, 05/10/42 (r)		1,337		1,332
Banc of America Commercial Mortgage Inc. REMIC, 6.62%, 09/11/36 (i)		1,976		2,115
CompuCredit Acquired Portfolio Voltage Master Trust, 0.40%, 09/15/18 (i)		286		272
Conseco Financial Corp. REMIC, 7.07%, 01/15/29		108		113
Countrywide Alternative Loan Trust REMIC
0.44%, 07/20/46 (i)		1,127		431
0.43%, 12/20/46 (i)		1,375		684
Countrywide Home Equity Loan Trust, 0.52%, 02/15/34 (i)		544		385
Credit Suisse First Boston Mortgage Securities Corp. REMIC, 6.00%, 09/25/34		1,075		1,080
FDIC Structured Sale Guaranteed Notes, 1.84%, 04/11/17		4,335		4,389
Federal National Mortgage Association REMIC, 6.00%, 02/25/37 (i)		9,619		10,835


	Shares/Par (p)		Value
IndyMac Seconds Asset Backed Trust REMIC, 0.36%, 06/25/36 (i)		939		120
LB-UBS Commercial Mortgage Trust REMIC, 5.35%, 11/15/38		2,520		2,662
MASTR Adjustable Rate Mortgages Trust REMIC, 2.26%, 02/25/34 (i)		680		519
Morgan Stanley Capital I, 4.05%, 06/15/21 (f)		1,697		1,714
Morgan Stanley Mortgage Loan Trust REMIC, 2.51%, 10/25/34 (i)		557		495
NCUA Guaranteed Notes, 1.60%, 10/29/20		2,287		2,310
Nomura Asset Acceptance Corp. REMIC, 6.50%, 03/25/34 (r)		4,564		4,627
Provident Funding Mortgage Loan Trust REMIC, 2.68%, 10/25/35 (i)		398		348
Residential Funding Mortgage Securities I REMIC, 5.50%, 02/25/35		4,003		3,904
SACO I Inc. REMIC, 0.49%, 06/25/36 (i)		342		112
Springleaf Mortgage Loan Trust REMIC, 4.05%, 01/25/58 (i)		3,872		3,867
Structured Asset Mortgage Investments Inc. REMIC, 0.44%, 08/25/36 (i)		1,374		785
Vendee Mortgage Trust REMIC, 6.75%, 02/15/31		2,580		3,054
Wells Fargo Mortgage Backed Securities Trust REMIC
5.50%, 04/25/22		3,707		3,822
6.00%, 06/25/37		782		723
Wells Fargo-RBS Commercial Mortgage Trust, 4.38%, 03/15/44 (r)		4,750		4,799

Total Non-U.S. Government Agency Asset- Backed Securities (cost $58,241)				55,705

CORPORATE BONDS AND NOTES - 1.7%
CONSUMER STAPLES - 0.1%
PepsiCo Inc., 3.00%, 08/25/21 (e)		782		790
ENERGY - 0.1%
Occidental Petroleum Corp., 3.13%, 02/15/22		666		666
FINANCIALS - 1.2%
Bank of New York Mellon Corp., 3.55%, 09/23/21		3,850		3,838
General Electric Capital Corp., 3.00%, 12/09/11		2,500		2,513
Morgan Stanley, 3.25%, 12/01/11		2,500		2,512
PNC Funding Corp., 2.70%, 09/19/16		1,400		1,400
Toyota Motor Credit Corp., 3.40%, 09/15/21		5,500		5,547
Wells Fargo & Co., 3.00%, 12/09/11 (e)		1,525		1,533

				17,343
INDUSTRIALS - 0.1%
Lockheed Martin Corp., 3.35%, 09/15/21		984		974
INFORMATION TECHNOLOGY - 0.1%
Intel Corp., 3.30%, 10/01/21 (e)		1,279		1,307
UTILITIES - 0.1%
Florida Power Corp., 3.10%, 08/15/21		1,203		1,205

Total Corporate Bonds and Notes (cost $22,165)				22,285

GOVERNMENT AND AGENCY OBLIGATIONS - 85.7%
GOVERNMENT SECURITIES - 30.4%
Federal Farm Credit Bank - 0.7% (v)
Federal Farm Credit Bank, 5.75%, 12/07/28		7,000		9,083
Federal Home Loan Bank - 1.3% (v)
Federal Home Loan Bank 4.88%, 05/17/17 (e)		10,000		11,931


	Shares/Par (p)		Value
5.25%, 12/11/20		4,500		5,476

				17,407
Federal National Mortgage Association - 1.9% (v)
Federal National Mortgage Association, 0.00%, 10/09/19 - 11/15/20 (j)		33,000		25,361
Federal National Mortgage Association Principal Strip, 0.00%, 03/23/28 (j)		4,000		2,289

				27,650
Sovereign - 4.3%
Financing Corp. Fico, 0.00%, 04/05/19 (j)		5,000		4,318
Israel Government Aid Bond, 0.00%, 09/15/19 - 11/01/21 (j)		30,000		24,688
Province of Saskatchewan Canada, 9.38%, 12/15/20 (e)		1,500		2,246
Residual Funding
0.00%,10/15/19 (e) (j)		3,800		3,245
0.00%, 07/15/20 - 01/15/30 (j)		12,410		8,773
Tennessee Valley Authority Generic Strip, 0.00%, 01/15/21 - 07/15/21 (j)		14,487		11,205

				54,475
Treasury Inflation Index Securities - 2.0%
U.S. Treasury Inflation Indexed Note
2.38%, 10/04/11 (n)		2,252		2,816
1.38%, 07/15/18 (n)		15,715		17,414
2.00%, 01/15/40 (n)		5,896		7,004

				27,234
U.S. Treasury Securities - 20.2%
U.S. Treasury Bond
8.13%, 08/15/21 (e)		25,000		20,286
5.25%, 11/15/28 - 02/15/29		30,000		40,917
5.38%, 02/15/31		33,000		46,422
U.S. Treasury Note
2.00%, 04/30/16		25,000		26,297
4.63%, 02/15/17		22,000		26,103
4.75%, 08/15/17		17,000		20,469
3.38%, 11/15/19		50,000		56,703
2.63%, 08/15/20		30,000		32,130

				269,327
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 55.3%
Federal Home Loan Mortgage Corp. - 23.4%
Federal Home Loan Mortgage Corp.
6.50%, 08/01/13		3		3
8.00%, 07/01/20		14		16
6.00%, 11/01/28		207		229
7.00%, 04/01/29 - 08/01/32		226		261
5.00%, 08/01/33 - 12/01/34		4,187		4,576
5.25%, 12/01/35 (i)		3,408		3,633
5.49%, 01/01/37 (i)		302		320
5.50%, 07/01/38, TBA (g)		29,818		32,312
4.50%, 10/01/40, TBA (g)		3,340		3,538
REMIC, 5.00%, 10/15/17 - 08/15/39		106,480		117,051
REMIC, 4.50%, 06/15/18 - 07/15/34		38,684		42,616
REMIC, 5.50%, 01/15/26 - 07/15/40		55,180		62,319
REMIC, 3.50%, 02/15/26 - 06/15/26		35,400		37,504
REMIC, 4.00%, 06/15/36		5,000		5,378
REMIC, 6.00%, 07/15/37		2,000		2,383

				312,139
Federal National Mortgage Association - 23.3%
Federal National Mortgage Association
12.50%, 09/20/15 - 01/15/16		3		3
12.00%, 01/01/16 - 01/15/16		16		18
5.00%, 02/01/19 - 11/01/40		57,755		62,868
11.50%, 09/01/19		—		—


	Shares/Par (p)		Value
10.50%, 08/01/20		3		4
4.00%, 02/01/25 - 09/01/25		22,510		23,772
6.50%, 03/01/26 - 03/01/36		1,837		2,047
7.00%, 05/01/26 - 01/01/30		21		24
8.00%, 07/01/29 - 03/01/31		147		173
6.00%, 02/01/31 - 12/01/36		24,025		26,873
7.50%, 02/01/31		20		23
5.50%, 02/01/35 - 10/01/36		15,516		17,032
REMIC, 5.00%, 05/25/18 - 09/25/39		37,209		40,820
REMIC, 4.00%, 01/25/19 - 04/25/30		28,000		29,659
REMIC, 4.50%, 04/25/23 - 02/25/40		54,012		58,652
REMIC, 3.50%, 07/25/33		1,645		1,732
REMIC, 5.50%, 12/25/34 - 11/25/35		15,552		17,524
REMIC, 0.00%,04/25/36 (j)		5,746		5,388
REMIC, 11.06%, 02/25/40 (i)		896		956
REMIC, 7.50%, 12/25/41		9,039		10,618
REMIC, 5.75%, 06/25/42		2,279		2,496
REMIC, 4.68%, 06/25/43		5,768		6,162
REMIC, 6.00%, 12/25/49		2,532		2,815

				309,659
Government National Mortgage Association - 8.6%
Government National Mortgage Association
6.00%, 04/15/29 - 01/15/36		3,127		3,506
4.00%, 11/20/38		15,000		16,297
REMIC, 4.00%, 09/16/24		5,000		5,420
REMIC, 6.50%, 06/20/28 - 06/16/31		3,995		4,431
REMIC, 5.00%, 09/20/32 - 05/20/40		20,578		23,213
REMIC, 5.50%, 03/20/33 - 02/16/38		25,127		27,502
REMIC, 6.00%, 12/16/33		3,180		3,673
REMIC, 3.00%, 04/20/39		9,634		10,141
REMIC, 4.50%, 06/20/39		10,000		11,129
Government National Mortgage Association, Interest Only REMIC
6.50%, 11/20/34		237		7
6.17%, 05/16/38 (i)		7,107		1,440
Interest Only, 5.90%, 07/20/41 (i)		48,309		8,056

				114,815

Total Government and Agency Obligations (cost $1,036,106)				1,141,789

SHORT TERM INVESTMENTS - 12.6%
Investment Companies - 10.6%
JNL Money Market Fund, 0.02% (a) (h)		141,260		141,260
Securities Lending Collateral - 2.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		25,127		25,127
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		1,918		1,858

				26,985

Total Short Term Investments (cost $168,305)				168,245

Total Investments - 104.2% (cost $1,284,817)				1,388,024
Other Assets and Liabilities, Net - (4.2%)				(56,539	)

Total Net Assets - 100.0%			$	1,331,485

JNL/Lazard Emerging Markets Fund
COMMON STOCKS - 97.7%
CONSUMER DISCRETIONARY - 5.4%
CFAO SA		207	$	7,408
Cia Hering		23		385


	Shares/Par (p)		Value
Corp GEO SAB de CV (c)		159		206
Desarrolladora Homex SAB de CV - ADR (c) (e)		238		3,208
Genting Bhd		99		281
Grupo Televisa SA - GDR		593		10,904
Hyundai Mobis		42		11,794
MRV Engenharia e Participacoes SA		62		317
Tofas Turk Otomobil Fabrikasi AS		69		245
Truworths International Ltd.		1,578		13,714
Woongjin Coway Co. Ltd.		422		13,582

				62,044
CONSUMER STAPLES - 13.2%
British American Tobacco Plc		514		7,173
Cia de Bebidas das Americas - ADR		475		14,559
CP ALL PCL		5,810		8,971
Eastern Tobacco		280		4,167
Hite Jinro Co. Ltd.		185		3,943
Kimberly-Clark de Mexico SAB de CV		1,546		7,886
KT&G Corp.		401		25,008
Magnit OJSC - GDR (r)		363		6,945
Massmart Holdings Ltd.		261		4,462
Natura Cosmeticos SA		863		14,683
Oriflame Cosmetics SA (e)		227		8,220
Shoprite Holdings Ltd.		1,378		19,291
Souza Cruz SA		1,352		13,469
Tiger Brands Ltd.		489		12,688

				151,465
ENERGY - 7.0%
Alliance Oil Co. Ltd. (c) (e)		35		372
Banpu Public Co. Ltd.		751		12,674
Eurasia Drilling Co. Ltd. - GDR		11		206
Gazprom OAO - ADR		1,514		14,670
Lukoil OAO - ADR		180		9,039
Oil & Gas Development Co. Ltd.		4,461		6,685
Pacific Rubiales Energy Corp.		17		362
Pakistan Petroleum Ltd.		4,466		9,647
PT Tambang Batubara Bukit Asam Tbk		4,532		8,564
PTT Exploration & Production PCL		327		1,468
TMK OAO - GDR		24		217
YPF SA - ADR		492		16,833

				80,737
FINANCIALS - 22.3%
Agricultural Bank of China (e)		1,018		332
Akbank T.A.S.		2,860		11,217
Banco do Brasil SA		3,132		40,548
BanColombia SA - ADR (e)		7		390
Bank Mandiri Persero Tbk PT		11,617		8,213
Bank of India		1,448		9,275
Bank Rakyat Indonesia Persero Tbk PT		429		281
China Construction Bank Corp.		16,186		9,790
Commercial International Bank		3,123		12,001
Grupo Financiero Banorte SAB de CV		82		243
Halyk Savings Bank of Kazakhstan JSC - GDR		64		408
ICICI Bank Ltd. - ADR		12		399
Kasikornbank Public Co. Ltd.		1,763		6,694
KB Financial Group Inc.		323		10,676
Korea Life Insurance Co. Ltd.		2,712		12,698
Nedbank Group Ltd.		633		10,675
OTP Bank Rt		799		11,759
Ping an Insurance Group Co. of China Ltd.		49		271
Punjab National Bank Ltd.		1,189		23,020
Sanlam Ltd.		2,645		8,836
Sberbank of Russia - ADR		1,737		14,937


	Shares/Par (p)		Value
Shinhan Financial Group Co. Ltd.		842		29,351
SM Investments Corp.		23		278
Standard Bank Group Ltd.		826		9,451
Turkiye Is Bankasi SA		9,811		25,203

				256,946
INDUSTRIALS - 8.6%
Bharat Heavy Electricals Ltd.		577		19,242
Bidvest Group Ltd.		859		15,817
Changsha Zoomlion Heavy Industry Science and Technology Development Co. Ltd. (e)		256		286
China National Materials Co. Ltd.		672		242
China State Construction International Holdings Ltd.		528		278
Cia de Concessoes Rodoviarias		408		10,520
Globaltrans Investment Plc - GDR		26		364
KOC Holding AS		3,361		12,423
KOC Holding AS - ADR (e)		26		475
Localiza Rent a Car SA		23		305
Murray & Roberts Holdings Ltd.		2,110		6,769
Orascom Construction Industries		382		13,458
Samsung Engineering Co. Ltd.		2		290
United Tractors Tbk PT		3,884		9,598
Weichai Power Co. Ltd. (e)		2,064		9,377

				99,444
INFORMATION TECHNOLOGY - 16.4%
AAC Technologies Holdings Inc.		142		305
Cielo SA		1,847		40,676
Cielo SA - ADR (e)		20		441
Delta Electronics Inc.		1,300		3,045
HON HAI Precision Industry Co. Ltd.		113		252
HON HAI Precision Industry Co. Ltd. - GDR		1,961		8,833
HTC Corp.		622		13,661
Infosys Technologies Ltd. - ADR (e)		143		7,323
MediaTek Inc.		1,005		10,927
Netease.com - ADR (c)		179		6,831
NHN Corp. (c)		88		16,684
Redecard SA		2,951		39,729
Samsung Electronics Co. Ltd.		31		21,680
Synnex Technology International Corp.		147		317
Taiwan Semiconductor Manufacturing Co. Ltd.		146		329
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR		1,508		17,242
Totvs SA		17		285
Tripod Technology Corp.		108		281

				188,841
MATERIALS - 13.5%
Cia Siderurgica Nacional SA - ADR		1,715		13,620
First Quantum Minerals Ltd.		938		12,484
Grupo Mexico SAB de CV		7,648		18,089
Hidili Industry International Development Ltd. (e)		489		142
Huabao International Holdings Ltd. (e)		18,159		14,777
Jindal Steel & Power Ltd.		1,279		13,133
Kumba Iron Ore Ltd. (e)		245		12,873
Kumba Resources Ltd.		21		430
Pretoria Portland Cement Co. Ltd.		2,782		7,980
Semen Gresik Persero Tbk PT		11,730		10,979
Siam Cement PCL		810		8,074
Uralkali - GDR (e)		315		10,767
Vale SA - ADR		1,403		31,950

				155,298
TELECOMMUNICATION SERVICES - 9.4%
America Movil SAB de CV - ADR		744		16,421


	Shares/Par (p)		Value
Egyptian Co. for Mobile Services		186		2,860
Mobile Telesystems - ADR		1,372		16,874
Philippine Long Distance Telephone Co. - ADR		501		24,825
PT Telekomunikasi Indonesia - ADR (e)		829		27,405
Turkcell Iletisim Hizmet AS		4,428		20,093
Turkcell Iletisim Hizmet AS - ADR (c) (e)		32		360

				108,838
UTILITIES - 1.9%
Companhia Energetica de Minas Gerais - ADR (e)		998		14,807
Perusahaan Gas Negara PT		22,585		6,788

				21,595

Total Common Stocks (cost $1,283,379)				1,125,208

PREFERRED STOCKS - 0.2%
INDUSTRIALS - 0.0%
Marcopolo SA		78		285
MATERIALS - 0.2%
Usinas Siderurgicas de Minas Gerais SA, Class A		420		2,356

Total Preferred Stocks (cost $5,431)				2,641

SHORT TERM INVESTMENTS - 5.0%
Investment Companies - 0.9%
JNL Money Market Fund, 0.02% (a) (h)		10,250		10,250
Securities Lending Collateral - 4.1%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		46,796		46,796
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		486		471

				47,267

Total Short Term Investments (cost $57,532)				57,517

Total Investments - 102.9% (cost $1,346,342)				1,185,366
Other Assets and Liabilities, Net - (2.9%)				(33,472	)

Total Net Assets - 100.0%			$	1,151,894

JNL/Lazard Mid Cap Equity Fund
COMMON STOCKS - 91.3%
CONSUMER DISCRETIONARY - 15.0%
ANN Inc. (c)		74	$	1,683
AutoZone Inc. (c)		4		1,404
Big Lots Inc. (c)		60		2,093
Darden Restaurants Inc.		57		2,415
DeVry Inc.		59		2,166
International Game Technology		243		3,535
Interpublic Group of Cos. Inc.		182		1,310
Lear Corp.		70		2,982
Mattel Inc.		110		2,840
Newell Rubbermaid Inc.		130		1,543
Ross Stores Inc.		61		4,816
TJX Cos. Inc.		32		1,770

				28,557
CONSUMER STAPLES - 8.5%
Avon Products Inc. (e)		61		1,198
Campbell Soup Co.		102		3,308
Energizer Holdings Inc. (c)		69		4,604


	Shares/Par (p)		Value
Molson Coors Brewing Co. - Class B		103		4,076
Ralcorp Holdings Inc. (c)		38		2,892

				16,078
ENERGY - 6.9%
Consol Energy Inc.		29		988
EQT Corp.		33		1,772
Marathon Petroleum Corp.		58		1,561
Noble Energy Inc.		27		1,876
QEP Resources Inc.		59		1,589
Rowan Cos. Inc. (c)		97		2,916
Tidewater Inc.		60		2,502

				13,204
FINANCIALS - 13.9%
Ameriprise Financial Inc.		89		3,487
City National Corp.		39		1,476
Duke Realty Corp.		207		2,176
Fifth Third Bancorp		272		2,744
Invesco Ltd.		176		2,736
Kilroy Realty Corp.		57		1,778
LaSalle Hotel Properties		123		2,367
Macerich Co.		63		2,698
PartnerRe Ltd.		34		1,762
Principal Financial Group Inc.		67		1,508
Signature Bank (c)		25		1,188
Tanger Factory Outlet Centers Inc.		96		2,492

				26,412
HEALTH CARE - 9.9%
Dentsply International Inc.		59		1,820
Healthsouth Corp. (c)		78		1,157
Laboratory Corp. of America Holdings (c)		42		3,352
Medicis Pharmaceutical Corp.		69		2,502
Quest Diagnostics Inc.		34		1,654
Warner Chilcott Plc - Class A (c)		183		2,610
Waters Corp. (c)		39		2,959
Zimmer Holdings Inc. (c)		52		2,766

				18,820
INDUSTRIALS - 10.7%
Corrections Corp. of America (c)		182		4,136
Dover Corp.		77		3,607
Equifax Inc.		126		3,864
Foster Wheeler AG (c)		71		1,260
Rockwell Collins Inc.		65		3,445
Thomas & Betts Corp. (c)		72		2,866
Timken Co.		36		1,168

				20,346
INFORMATION TECHNOLOGY - 15.5%
Amdocs Ltd. (c)		138		3,753
BMC Software Inc. (c)		92		3,563
Ingram Micro Inc. - Class A (c)		102		1,652
Intuit Inc.		55		2,628
Lexmark International Inc. (c)		81		2,189
NCR Corp. (c)		180		3,032
Quest Software Inc. (c)		116		1,845
SanDisk Corp. (c)		62		2,498
Symantec Corp. (c)		180		2,941
Teradata Corp. (c)		46		2,452
Xilinx Inc.		104		2,840

				29,393
MATERIALS - 5.1%
Ball Corp.		69		2,153
Bemis Co. Inc.		49		1,424


	Shares/Par (p)		Value
Cliffs Natural Resources Inc.		24		1,243
Compass Minerals International Inc.		43		2,865
Eastman Chemical Co.		22		1,515
Stillwater Mining Co. (c) (e)		51		432

				9,632
UTILITIES - 5.8%
CMS Energy Corp.		242		4,783
Energen Corp.		60		2,470
Wisconsin Energy Corp.		123		3,858

				11,111

Total Common Stocks (cost $193,511)				173,553

PREFERRED STOCKS - 0.8%
INDUSTRIALS - 0.8%
Better Place (f) (q)		338		1,541

Total Preferred Stocks (cost $1,015)				1,541

SHORT TERM INVESTMENTS - 5.7%
Investment Companies - 5.5%
JNL Money Market Fund, 0.02% (a) (h)		10,470		10,470
Securities Lending Collateral - 0.2%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		97		97
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		260		252

				349

Total Short Term Investments (cost $10,827)				10,819

Total Investments - 97.8% (cost $205,353)				185,913
Other Assets and Liabilities, Net - 2.2%				4,188

Total Net Assets - 100.0%			$	190,101

JNL/M&G Global Basics Fund
COMMON STOCKS - 92.3%
CONSUMER DISCRETIONARY - 2.8%
Compagnie des Alpes (e)		68	$	1,701
Hongkong & Shanghai Hotels		3,899		5,319

				7,020
CONSUMER STAPLES - 15.6%
Agrana Beteiligungs AG		48		5,259
Baron de Ley SA (c)		23		1,320
Colgate-Palmolive Co.		89		7,884
Elizabeth Arden Inc. (c)		99		2,827
Kerry Group Plc		157		5,494
Kirin Holdings Co. Ltd.		417		5,454
Marico Ltd.		451		1,321
Petra Foods Ltd.		435		582
PZ Cussons Plc (e)		1,206		6,184
Yakult Honsha Co. Ltd. (e)		91		2,827

				39,152
ENERGY - 15.2%
African Petroleum Corp. Ltd.		395		115
Aquila Resources Ltd. (c) (e)		952		4,465
BP Plc		135		810
Chevron Corp.		126		11,653
Equatorial Resources Ltd. (c)		338		789
Nexus Energy Ltd. (c)		5,614		741


	Shares/Par (p)		Value
Santos Ltd.		578		6,257
Tap Oil Ltd. (c)		259		148
Tullow Oil Plc		661		13,372

				38,350
FINANCIALS - 2.9%
AMMB Holdings Bhd		4,003		7,212
HEALTH CARE - 5.2%
Ansell Ltd. (e)		680		8,507
Genus Plc		80		1,306
GI Dynamics Inc. (c) (q)		384		297
Mesoblast Ltd. (c) (e)		395		3,027

				13,137
INDUSTRIALS - 13.7%
All America Latina Logistica SA		338		1,519
DP World Ltd.		276		2,841
Fluor Corp.		98		4,581
Fraser and Neave Ltd.		2,607		11,444
G4S Plc		2,184		9,038
Noble Group Ltd. (e)		5,064		5,052

				34,475
MATERIALS - 36.9%
Alacer Gold Corp.		321		3,136
AMCOL International Corp. (e)		87		2,082
Boral Ltd. (e)		1,372		4,564
Centerra Gold Inc.		364		6,771
Cudeco Ltd. (c) (e) (f)		287		942
Discovery Metals Ltd. (c)		153		191
Eldorado Gold Corp.		146		2,518
Eramet		23		3,171
Galaxy Resources Ltd. (c) (e)		786		447
Harry Winston Diamond Corp.		101		1,028
Hochschild Mining Plc (e)		609		3,852
Iluka Resources Ltd. (e)		821		9,604
Imerys SA		137		6,866
Ivanhoe Australia Ltd. (c) (e)		518		475
K+S AG		157		8,196
Minefinders Corp.		33		465
Monsanto Co.		94		5,650
Newmont Mining Corp.		78		4,875
Novagold Resources Inc.		231		1,489
OZ Minerals Ltd. (e)		545		4,860
Panoramic Resources Ltd. (e)		368		413
Resolute Mining Ltd. (c) (e)		1,047		1,527
Scotts Miracle-Gro Co. - Class A (e)		155		6,917
SEMAFO Inc.		69		571
Sherritt International Corp.		245		1,020
St. Barbara Ltd. (c) (e)		217		430
Symrise AG		398		9,192
Umicore		12		427
Uralkali - GDR		19		643
White Energy Co. Ltd. (c) (e)		311		436

				92,758

Total Common Stocks (cost $255,745)				232,104

PREFERRED STOCKS - 0.1%
INDUSTRIALS - 0.1%
Villeroy & Boch AG (e)		38		289

Total Preferred Stocks (cost $291)				289


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 15.9%
Investment Companies - 6.9%
JNL Money Market Fund, 0.02% (a) (h)		17,185		17,185
Securities Lending Collateral - 9.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		22,595		22,595

Total Short Term Investments (cost $39,780)				39,780

Total Investments - 108.3% (cost $295,816)				272,173
Other Assets and Liabilities, Net - (8.3%)				(20,792	)

Total Net Assets - 100.0%			$	251,381

JNL/M&G Global Leaders Fund
COMMON STOCKS - 96.4%
CONSUMER DISCRETIONARY - 14.6%
Aaron’s Inc.		1	$	20
Amer Sports Oyj		41		515
CBS Corp.		20		408
Chico’s FAS Inc.		18		204
DeVry Inc.		10		351
Expedia Inc.		16		407
Harley-Davidson Inc.		12		426
McGraw-Hill Cos. Inc.		10		422
MGM Resorts International (c)		33		307
Orient-Express Hotels Ltd. - Class A (c)		21		142
Pioneer Corp. (c) (e)		92		385
Pulte Homes Inc. (c)		43		169
Sega Sammy Holdings Inc.		28		646
Time Warner Cable Inc.		7		445

				4,847
CONSUMER STAPLES - 14.3%
CVS Caremark Corp.		19		635
Dr. Pepper Snapple Group Inc.		13		508
Foster's Group Ltd.		78		398
HJ Heinz Co.		16		793
Kobayashi Pharmaceutical Co. Ltd.		10		510
Lawson Inc. (e)		12		679
Metro AG		9		363
SUPERVALU Inc.		14		93
Tesco Plc		67		391
Treasury Wine Estates Ltd.		103		385

				4,755
ENERGY - 7.8%
Anadarko Petroleum Corp.		8		479
China Petroleum & Chemical Corp.		346		333
Hess Corp.		4		231
Marathon Oil Corp.		12		265
Marathon Petroleum Corp.		9		239
Repsol YPF SA		13		340
Santos Ltd. (e)		22		237
Sunoco Inc.		10		304
Talisman Energy Inc.		14		167

				2,595
FINANCIALS - 8.0%
Citigroup Inc.		20		525
GAM Holding Ltd.		42		525
Krung Thai Bank PCL		400		197
NOMOS-BANK - GDR		28		272


	Shares/Par (p)		Value
Principal Financial Group Inc.		13		301
State Bank of India - GDR		—		13
State Bank of India Ltd. - GDR		2		137
Unum Group		8		157
Wells Fargo & Co.		22		523

				2,650
HEALTH CARE - 13.3%
Astellas Pharma Inc. (e)		20		747
CIGNA Corp.		14		596
Haemonetics Corp. (c) (e)		2		140
Medicis Pharmaceutical Corp. - Class A		4		161
Myriad Genetics Inc. (c)		17		322
Novartis AG		13		700
Pfizer Inc.		49		870
Sanofi-Aventis SA		13		872

				4,408
INDUSTRIALS - 12.3%
ABM Industries Inc.		12		227
Deere & Co.		3		194
Deutsche Lufthansa AG		20		255
Fiat Industrial SpA (c)		31		234
ITT Corp.		10		403
JGC Corp. (e)		22		538
Nidec Corp. (e)		7		596
Northrop Grumman Systems Corp.		9		454
Rolls-Royce Holdings Plc (c)		26		242
Snap-On Inc.		8		373
Timken Co.		5		167
Toyota Tsusho Corp.		16		277
UTi Worldwide Inc.		10		134

				4,094
INFORMATION TECHNOLOGY - 15.6%
Ancestry.com Inc. (c) (e)		3		66
Cisco Systems Inc.		33		510
eBay Inc. (c)		27		799
Hitachi Ltd.		126		625
Intel Corp.		27		567
Nomura Research Institute Ltd. (e)		15		331
Parametric Technology Corp. (c)		20		305
QUALCOMM Inc.		16		759
SAP AG		11		553
Yokogawa Electric Corp. (c) (e)		71		672

				5,187
MATERIALS - 6.8%
AbitibiBowater Inc. (c) (e)		12		181
Anglo American Plc		5		162
BASF SE		7		407
Koninklijke DSM NV		8		333
Newmont Mining Corp.		13		837
ThyssenKrupp AG		10		241
Tikkurila Oyj (e)		6		100

				2,261
TELECOMMUNICATION SERVICES - 2.2%
China Communication Services Corp. Ltd.		484		222
Deutsche Telekom AG		42		493

				715
UTILITIES - 1.5%
EDP - Energias do Brasil SA		24		483

Total Common Stocks (cost $36,435)				31,995


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 13.2%
Investment Companies - 1.1%
JNL Money Market Fund, 0.02% (a) (h)		376		376
Securities Lending Collateral - 12.1%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		4,010		4,010

Total Short Term Investments (cost $4,386)				4,386

Total Investments - 109.6% (cost $40,821)				36,381
Other Assets and Liabilities, Net - (9.6%)				(3,174	)

Total Net Assets - 100.0%			$	33,207

JNL/Mellon Capital Management 10 x 10 Fund (b)
INVESTMENT COMPANIES - 100.1%
JNL/Mellon Capital Management Bond Index Fund (5.7%) (a)		2,433	$	30,286
JNL/Mellon Capital Management International Index (2.2%) (a)		2,266		23,819
JNL/Mellon Capital Management JNL 5 Fund (4.4%) (a)		16,291		121,860
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (4.2%) (a)		2,051		24,654
JNL/Mellon Capital Management S&P 500 Index Fund (2.7%) (a)		2,667		25,683
JNL/Mellon Capital Management Small Cap Index Fund (3.6%) (a)		2,254		23,552

Total Investment Companies (cost $249,971)				249,854

Total Investments - 100.1% (cost $249,971)				249,854
Other Assets and Liabilities, Net - (0.1%)				(126	)

Total Net Assets - 100.0%			$	249,728

JNL/Mellon Capital Management Index 5 Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Mellon Capital Management Bond Index Fund (16.5%) (a)		7,099	$	88,382
JNL/Mellon Capital Management International Index (6.5%) (a)		6,614		69,510
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (12.3%) (a)		5,985		71,947
JNL/Mellon Capital Management S&P 500 Index Fund (7.9%) (a)		7,783		74,950
JNL/Mellon Capital Management Small Cap Index Fund (10.6%) (a)		6,577		68,730

Total Investment Companies (cost $366,402)				373,519

Total Investments - 99.9% (cost $366,402)				373,519
Other Assets and Liabilities, Net - 0.1%				376

Total Net Assets - 100.0%			$	373,895


	Shares/Par (p)		Value
JNL/Mellon Capital Management European 30 Fund
COMMON STOCKS - 99.1%
CONSUMER DISCRETIONARY - 7.6%
M6-Metropole Television SA		31	$	511
Next Plc		25		969

				1,480
CONSUMER STAPLES - 6.9%
Heineken Holding NV		18		676
Tesco Plc		115		673

				1,349
ENERGY - 13.3%
BP Plc		105		629
ENI SpA		35		611
Royal Dutch Shell Plc - Class B		23		718
Total SA (e)		14		632

				2,590
FINANCIALS - 7.7%
BNP Paribas		12		470
Danske Bank A/S (c)		30		415
Zurich Financial Services AG		3		611

				1,496
HEALTH CARE - 26.4%
Actelion Ltd. (c)		14		463
AstraZeneca Plc		17		742
GlaxoSmithKline Plc		39		812
Merck KGaA		10		780
Novartis AG		13		724
Roche Holding AG		5		840
Sanofi-Aventis SA		12		783

				5,144
INDUSTRIALS - 8.8%
A P Moller - Maersk A/S		—		493
BAE Systems Plc		148		611
Balfour Beatty Plc		156		617

				1,721
MATERIALS - 5.5%
Rio Tinto Plc		11		481
Svenska Cellulosa AB		48		589

				1,070
TELECOMMUNICATION SERVICES - 13.7%
France Telecom SA		37		598
Koninklijke KPN NV		52		687
Mobistar SA		12		671
Swisscom AG		2		705

				2,661
UTILITIES - 9.2%
Enel SpA		152		673
RWE AG		11		421
Snam Rete Gas SpA		153		707

				1,801

Total Common Stocks (cost $24,271)				19,312

SHORT TERM INVESTMENTS - 3.0%
Investment Companies - 0.1%
JNL Money Market Fund, 0.02% (a) (h)		27		27


	Shares/Par (p)		Value
Securities Lending Collateral - 2.9%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		566		566

Total Short Term Investments (cost $593)				593

Total Investments - 102.1% (cost $24,864)				19,905
Other Assets and Liabilities, Net - (2.1%)				(416	)

Total Net Assets - 100.0%			$	19,489

JNL/Mellon Capital Management Pacific Rim 30 Fund
COMMON STOCKS - 98.2%
CONSUMER STAPLES - 14.1%
FamilyMart Co. Ltd.		56	$	2,127
Metcash Ltd. (e)		499		1,968
Nissin Foods Holdings Co. Ltd. (e)		59		2,358
Woolworths Ltd.		76		1,826

				8,279
FINANCIALS - 21.6%
Australia & New Zealand Banking Group Ltd.		88		1,638
Bank of Yokohama Ltd. (e)		405		2,031
Commonwealth Bank of Australia		41		1,765
Goodman Group		3,170		1,737
National Australia Bank Ltd.		87		1,845
United Overseas Bank Ltd.		148		1,903
Westpac Banking Corp.		93		1,797

				12,716
HEALTH CARE - 13.6%
Alfresa Holdings Corp.		48		1,987
Chugai Pharmaceutical Co. Ltd. (e)		115		1,940
Daiichi Sankyo Co. Ltd. (e)		96		2,009
Tsumura & Co. (e)		65		2,069

				8,005
INDUSTRIALS - 7.5%
Cathay Pacific Airways Ltd. (e)		765		1,248
Mitsui & Co. Ltd. (e)		127		1,843
SembCorp Industries Ltd.		526		1,358

				4,449
MATERIALS - 7.6%
Amcor Ltd. (e)		304		2,013
MacArthur Coal Ltd.		160		2,452

				4,465
TELECOMMUNICATION SERVICES - 15.4%
Nippon Telegraph & Telephone Corp.		47		2,232
NTT DoCoMo Inc. (e)		1		2,194
Telecom Corp. of New Zealand Ltd.		1,241		2,467
Telstra Corp. Ltd.		736		2,191

				9,084
UTILITIES - 18.4%
Chubu Electric Power Co. Inc. (e)		86		1,607
Hongkong Electric Holdings Ltd.		334		2,555
Kansai Electric Power Co. Inc. (e)		86		1,477
Toho Gas Co. Ltd. (e)		420		2,757
Tokyo Electric Power Co. Inc. (c)		85		258


	Shares/Par (p)		Value
Tokyo Gas Co. Ltd.		474		2,202

				10,856

Total Common Stocks (cost $61,591)				57,854

INVESTMENT COMPANIES - 0.8%
Vanguard Pacific Vipers		10		487

Total Investment Companies (cost $505)				487

SHORT TERM INVESTMENTS - 24.7%
Investment Companies - 0.1%
JNL Money Market Fund, 0.02% (a) (h)		83		83
Securities Lending Collateral - 24.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		14,496		14,496

Total Short Term Investments (cost $14,579)				14,579

Total Investments - 123.7% (cost $76,675)				72,920
Other Assets and Liabilities, Net - (23.7%)				(13,990	)

Total Net Assets - 100.0%			$	58,930

JNL/Mellon Capital Management S&P 500 Index Fund
COMMON STOCKS - 97.7%
CONSUMER DISCRETIONARY - 10.5%
Abercrombie & Fitch Co. - Class A		8	$	486
Amazon.com Inc. (c)		33		7,075
Apollo Group Inc. - Class A (c)		11		434
AutoNation Inc. (c) (e)		6		188
AutoZone Inc. (c)		3		824
Bed Bath & Beyond Inc. (c)		22		1,285
Best Buy Co. Inc. (e)		29		677
Big Lots Inc. (c)		7		236
Cablevision Systems Corp. - Class A		21		326
Carmax Inc. (c)		20		485
Carnival Corp.		41		1,254
CBS Corp. - Class B		60		1,227
Chipotle Mexican Grill Inc. (c)		3		849
Coach Inc.		26		1,370
Comcast Corp. - Class A		249		5,204
Darden Restaurants Inc.		12		525
DeVry Inc.		6		204
DIRECTV - Class A (c)		67		2,828
Discovery Communications Inc. - Class A (c)		25		943
DR Horton Inc.		25		229
Expedia Inc.		18		463
Family Dollar Stores Inc.		11		560
Ford Motor Co. (c)		342		3,306
Fortune Brands Inc.		14		751
GameStop Corp. - Class A (c) (e)		13		294
Gannett Co. Inc.		22		206
Gap Inc.		35		571
Genuine Parts Co.		14		719
Goodyear Tire & Rubber Co. (c)		22		222
H&R Block Inc.		27		366
Harley-Davidson Inc. (e)		21		730
Harman International Industries Inc.		6		180
Hasbro Inc.		12		400
Home Depot Inc.		142		4,652
International Game Technology		27		392


	Shares/Par (p)		Value
Interpublic Group of Cos. Inc.		44		317
J.C. Penney Co. Inc. (e)		14		363
Johnson Controls Inc.		61		1,610
Kohl's Corp.		25		1,242
Leggett & Platt Inc.		13		255
Lennar Corp. - Class A (e)		14		196
Limited Brands Inc.		23		874
Lowe’s Cos. Inc.		117		2,267
Macy’s Inc.		38		1,011
Marriott International Inc. - Class A		26		696
Mattel Inc.		31		810
McDonald’s Corp.		93		8,203
McGraw-Hill Cos. Inc.		27		1,125
NetFlix Inc. (c)		5		525
Newell Rubbermaid Inc.		26		311
News Corp. - Class A		206		3,182
Nike Inc. - Class B		34		2,920
Nordstrom Inc.		15		690
O'Reilly Automotive Inc. (c)		12		827
Omnicom Group Inc.		25		932
Priceline.com Inc. (c)		4		2,009
Pulte Homes Inc. (c)		30		120
Ralph Lauren Corp. - Class A		6		751
Ross Stores Inc.		11		828
Scripps Networks Interactive Inc. - Class A		8		304
Sears Holdings Corp. (c) (e)		4		223
Stanley Black & Decker Inc.		15		743
Staples Inc.		64		854
Starbucks Corp.		67		2,516
Starwood Hotels & Resorts Worldwide Inc.		18		682
Target Corp.		62		3,042
Tiffany & Co.		11		699
Time Warner Cable Inc.		30		1,898
Time Warner Inc.		96		2,889
TJX Cos. Inc.		35		1,928
Urban Outfitters Inc. (c)		11		250
VF Corp.		8		957
Viacom Inc. - Class B		53		2,040
Walt Disney Co.		168		5,064
Washington Post Co. - Class B (e)		—		152
Whirlpool Corp. (e)		7		342
Wyndham Worldwide Corp.		15		436
Wynn Resorts Ltd.		7		788
Yum! Brands Inc.		42		2,070

				100,402
CONSUMER STAPLES - 11.4%
Altria Group Inc.		188		5,052
Archer-Daniels-Midland Co.		61		1,523
Avon Products Inc.		39		759
Brown-Forman Corp. - Class B (e)		9		651
Campbell Soup Co.		16		532
Clorox Co.		12		796
Coca-Cola Co.		207		14,002
Coca-Cola Enterprises Inc.		29		728
Colgate-Palmolive Co.		44		3,903
ConAgra Foods Inc.		37		891
Constellation Brands Inc. - Class A (c)		16		290
Costco Wholesale Corp.		39		3,229
CVS Caremark Corp.		122		4,099
Dean Foods Co. (c)		16		146
Dr. Pepper Snapple Group Inc.		20		773
Estee Lauder Cos. Inc. - Class A		10		902
General Mills Inc.		57		2,211
Hershey Co.		14		818
HJ Heinz Co.		29		1,462


	Shares/Par (p)		Value
Hormel Foods Corp.		13		338
JM Smucker Co.		10		761
Kellogg Co.		23		1,199
Kimberly-Clark Corp.		35		2,511
Kraft Foods Inc. - Class A		158		5,314
Kroger Co.		55		1,199
Lorillard Inc.		13		1,432
McCormick & Co. Inc.		12		551
Mead Johnson Nutrition Co.		18		1,266
Molson Coors Brewing Co. - Class B		14		567
PepsiCo Inc.		142		8,808
Philip Morris International Inc.		159		9,907
Procter & Gamble Co.		249		15,702
Reynolds American Inc.		30		1,141
Safeway Inc.		32		530
Sara Lee Corp.		53		861
SUPERVALU Inc.		19		127
Sysco Corp.		53		1,360
Tyson Foods Inc. - Class A		27		469
Wal-Mart Stores Inc.		160		8,309
Walgreen Co.		82		2,710
Whole Foods Market Inc.		13		878

				108,707
ENERGY - 11.3%
Alpha Natural Resources Inc. (c)		20		361
Anadarko Petroleum Corp.		45		2,824
Apache Corp.		35		2,770
Baker Hughes Inc.		39		1,806
Cabot Oil & Gas Corp. - Class A		9		582
Cameron International Corp. (c)		22		916
Chesapeake Energy Corp.		59		1,513
Chevron Corp.		181		16,743
ConocoPhillips		124		7,874
Consol Energy Inc.		20		692
Denbury Resources Inc. (c)		36		411
Devon Energy Corp.		38		2,111
Diamond Offshore Drilling Inc. (e)		6		343
El Paso Corp.		69		1,210
EOG Resources Inc.		24		1,716
EQT Corp.		13		718
Exxon Mobil Corp.		440		31,932
FMC Technologies Inc. (c)		22		813
Halliburton Co.		82		2,514
Helmerich & Payne Inc.		10		391
Hess Corp.		27		1,428
Marathon Oil Corp.		64		1,383
Marathon Petroleum Corp.		32		867
Murphy Oil Corp.		17		769
Nabors Industries Ltd. (c)		26		317
National Oilwell Varco Inc.		38		1,951
Newfield Exploration Co. (c)		12		472
Noble Corp.		23		666
Noble Energy Inc.		16		1,125
Occidental Petroleum Corp.		73		5,232
Peabody Energy Corp.		24		826
Pioneer Natural Resources Co.		11		691
QEP Resources Inc.		16		431
Range Resources Corp.		14		845
Rowan Cos. Inc. (c)		11		346
Schlumberger Ltd.		122		7,296
Southwestern Energy Co. (c)		31		1,044
Spectra Energy Corp.		59		1,435
Sunoco Inc.		11		338
Tesoro Corp. (c)		13		252
Valero Energy Corp.		51		913


	Shares/Par (p)		Value
Williams Cos. Inc.		53		1,289

				108,156
FINANCIALS - 13.2%
ACE Ltd.		30		1,842
AFLAC Inc.		42		1,471
Allstate Corp.		47		1,115
American Express Co.		94		4,227
American International Group Inc. (c)		39		862
Ameriprise Financial Inc.		22		858
AON Corp.		30		1,249
Apartment Investment & Management Co. -
Class A		11		238
Assurant Inc.		9		311
AvalonBay Communities Inc.		8		949
Bank of America Corp.		912		5,582
Bank of New York Mellon Corp. (a)		112		2,080
BB&T Corp.		63		1,337
Berkshire Hathaway Inc. - Class B (c)		158		11,258
BlackRock Inc.		9		1,336
Boston Properties Inc.		13		1,168
Capital One Financial Corp.		41		1,638
CB Richard Ellis Group Inc. - Class A (c)		26		354
Charles Schwab Corp.		96		1,087
Chubb Corp.		26		1,580
Cincinnati Financial Corp. (e)		15		386
Citigroup Inc. (e)		263		6,736
CME Group Inc.		6		1,487
Comerica Inc.		18		415
Discover Financial Services		49		1,126
E*Trade Financial Corp. (c)		23		206
Equity Residential		27		1,376
Federated Investors Inc. - Class B (e)		8		147
Fifth Third Bancorp		83		835
First Horizon National Corp.		24		141
Franklin Resources Inc.		13		1,242
Genworth Financial Inc. - Class A (c)		44		253
Goldman Sachs Group Inc.		46		4,329
Hartford Financial Services Group Inc.		40		647
HCP Inc.		37		1,281
Health Care REIT Inc.		16		745
Host Hotels & Resorts Inc.		62		676
Hudson City Bancorp Inc.		47		268
Huntington Bancshares Inc.		78		373
IntercontinentalExchange Inc. (c)		7		783
Invesco Ltd.		42		645
Janus Capital Group Inc. (e)		17		101
JPMorgan Chase & Co.		353		10,626
KeyCorp		86		508
Kimco Realty Corp.		37		551
Legg Mason Inc.		13		344
Leucadia National Corp.		18		404
Lincoln National Corp.		28		441
Loews Corp.		28		966
M&T Bank Corp.		11		790
Marsh & McLennan Cos. Inc.		49		1,309
MetLife Inc.		95		2,665
Moody’s Corp. (e)		18		543
Morgan Stanley		134		1,806
NASDAQ OMX Group Inc. (c)		14		313
Northern Trust Corp.		22		761
NYSE Euronext		24		548
People’s United Financial Inc.		34		386
Plum Creek Timber Co. Inc.		15		506
PNC Financial Services Group Inc.		47		2,283
Principal Financial Group Inc.		29		656


	Shares/Par (p)		Value
Progressive Corp.		59		1,045
ProLogis Inc.		41		992
Prudential Financial Inc.		44		2,059
Public Storage		13		1,403
Regions Financial Corp.		113		377
Simon Property Group Inc.		26		2,904
SLM Corp.		47		591
State Street Corp.		45		1,459
SunTrust Banks Inc. (e)		48		868
T. Rowe Price Group Inc.		23		1,117
Torchmark Corp.		9		330
Travelers Cos. Inc. (e)		38		1,837
U.S. Bancorp		173		4,083
Unum Group		28		581
Ventas Inc.		26		1,279
Vornado Realty Trust		16		1,225
Wells Fargo & Co.		476		11,484
XL Group Plc		28		524
Zions Bancorporation (e)		17		233

				125,537
HEALTH CARE - 11.8%
Abbott Laboratories		140		7,155
Aetna Inc.		34		1,242
Allergan Inc.		27		2,260
AmerisourceBergen Corp.		25		919
Amgen Inc.		84		4,599
Baxter International Inc.		51		2,883
Becton Dickinson & Co.		20		1,444
Biogen Idec Inc. (c)		22		2,026
Boston Scientific Corp. (c)		138		813
Bristol-Myers Squibb Co.		154		4,819
Cardinal Health Inc.		32		1,322
CareFusion Corp. (c)		20		482
Celgene Corp. (c)		42		2,580
Cephalon Inc. (c)		7		559
Cerner Corp. (c)		13		892
CIGNA Corp.		24		1,021
Coventry Health Care Inc. (c)		13		384
Covidien Plc		45		1,968
CR Bard Inc.		8		675
DaVita Inc. (c)		9		539
Dentsply International Inc.		13		389
Edwards Lifesciences Corp. (c)		10		736
Eli Lilly & Co.		92		3,390
Express Scripts Inc. (c)		44		1,629
Forest Laboratories Inc. (c)		26		793
Gilead Sciences Inc. (c)		71		2,749
Hospira Inc. (c)		15		559
Humana Inc.		15		1,103
Intuitive Surgical Inc. (c)		4		1,288
Johnson & Johnson		247		15,721
Laboratory Corp. of America Holdings (c)		9		713
Life Technologies Corp. (c)		16		618
McKesson Corp.		23		1,650
Medco Health Solutions Inc. (c)		36		1,688
Medtronic Inc.		96		3,200
Merck & Co. Inc.		278		9,089
Mylan Inc. (c)		40		672
Patterson Cos. Inc.		9		247
PerkinElmer Inc.		10		195
Pfizer Inc.		705		12,473
Quest Diagnostics Inc.		14		699
St. Jude Medical Inc.		30		1,071
Stryker Corp.		30		1,416
Tenet Healthcare Corp. (c)		44		182


	Shares/Par (p)		Value
Thermo Fisher Scientific Inc. (c)		35		1,747
UnitedHealth Group Inc.		98		4,498
Varian Medical Systems Inc. (c)		11		550
Waters Corp. (c)		8		623
Watson Pharmaceuticals Inc. (c)		11		777
WellPoint Inc.		33		2,158
Zimmer Holdings Inc. (c)		17		924

				112,129
INDUSTRIALS - 10.0%
3M Co.		64		4,592
Avery Dennison Corp.		10		239
Boeing Co.		66		4,021
Caterpillar Inc.		58		4,284
CH Robinson Worldwide Inc.		15		1,005
Cintas Corp.		10		285
CSX Corp.		99		1,853
Cummins Inc.		18		1,443
Danaher Corp.		51		2,143
Deere & Co.		38		2,440
Dover Corp.		17		783
Dun & Bradstreet Corp.		4		272
Eaton Corp.		31		1,090
Emerson Electric Co.		68		2,795
Equifax Inc.		11		341
Expeditors International Washington Inc.		19		775
Fastenal Co. (e)		27		883
FedEx Corp.		28		1,923
Flowserve Corp.		5		372
Fluor Corp.		16		730
General Dynamics Corp.		33		1,905
General Electric Co.		955		14,550
Goodrich Corp.		11		1,357
Honeywell International Inc.		71		3,111
Illinois Tool Works Inc.		45		1,873
Ingersoll-Rand Plc		30		837
Iron Mountain Inc.		18		571
ITT Corp.		17		696
Jacobs Engineering Group Inc. (c)		11		369
Joy Global Inc.		9		590
L-3 Communications Holdings Inc.		10		592
Lockheed Martin Corp.		26		1,862
Masco Corp.		32		230
Norfolk Southern Corp.		32		1,940
Northrop Grumman Systems Corp.		25		1,306
PACCAR Inc.		33		1,113
Pall Corp.		10		443
Parker Hannifin Corp.		15		922
Pitney Bowes Inc. (e)		18		345
Precision Castparts Corp.		13		2,014
Quanta Services Inc. (c)		19		365
Raytheon Co.		32		1,310
Republic Services Inc. - Class A		27		766
Robert Half International Inc.		13		280
Rockwell Automation Inc.		13		727
Rockwell Collins Inc.		14		732
Roper Industries Inc.		9		595
RR Donnelley & Sons Co.		17		238
Ryder System Inc.		5		173
Snap-On Inc.		5		233
Southwest Airlines Co.		71		573
Stericycle Inc. (c)		8		624
Textron Inc.		25		439
Tyco International Ltd.		42		1,720
Union Pacific Corp.		44		3,606
United Parcel Service Inc. - Class B		89		5,606


	Shares/Par (p)		Value
United Technologies Corp.		82		5,797
Waste Management Inc.		43		1,390
WW Grainger Inc.		5		783

				94,852
INFORMATION TECHNOLOGY - 19.1%
Accenture Plc		58		3,079
Adobe Systems Inc. (c)		45		1,098
Advanced Micro Devices Inc. (c)		52		264
Agilent Technologies Inc. (c)		31		979
Akamai Technologies Inc. (c)		17		334
Altera Corp.		29		915
Amphenol Corp. - Class A		16		646
Analog Devices Inc.		27		843
Apple Inc. (c)		84		31,899
Applied Materials Inc.		119		1,228
Autodesk Inc. (c)		21		578
Automatic Data Processing Inc.		45		2,121
BMC Software Inc. (c)		16		614
Broadcom Corp. - Class A		43		1,430
CA Inc.		34		663
Cisco Systems Inc.		495		7,669
Citrix Systems Inc. (c)		17		923
Cognizant Technology Solutions Corp. -
Class A (c)		27		1,717
Computer Sciences Corp.		14		375
Compuware Corp. (c)		20		150
Corning Inc.		141		1,747
Dell Inc. (c)		141		1,993
eBay Inc. (c)		103		3,032
Electronic Arts Inc. (c)		30		612
EMC Corp. (c)		185		3,888
F5 Networks Inc. (c)		7		519
Fidelity National Information Services Inc.		24		589
First Solar Inc. (c) (e)		5		309
Fiserv Inc. (c)		13		656
FLIR Systems Inc.		14		360
Google Inc. - Class A (c)		23		11,639
Harris Corp.		11		391
Hewlett-Packard Co.		187		4,192
Intel Corp.		477		10,180
International Business Machines Corp.		108		18,903
Intuit Inc.		27		1,285
Jabil Circuit Inc.		18		315
JDS Uniphase Corp. (c)		20		204
Juniper Networks Inc. (c)		48		828
KLA-Tencor Corp.		15		579
Lexmark International Inc. - Class A (c)		7		193
Linear Technology Corp.		21		567
LSI Corp. (c)		55		282
MasterCard Inc. - Class A		9		3,010
MEMC Electronic Materials Inc. (c)		21		109
Microchip Technology Inc. (e)		17		533
Micron Technology Inc. (c)		89		448
Microsoft Corp.		673		16,748
Molex Inc. (e)		13		255
Monster Worldwide Inc. (c)		16		116
Motorola Mobility Holdings Inc. (c)		24		904
Motorola Solutions Inc.		28		1,157
NetApp Inc. (c)		33		1,124
Novellus Systems Inc. (c)		6		171
Nvidia Corp. (c)		54		675
Oracle Corp.		356		10,235
Paychex Inc.		29		764
QUALCOMM Inc.		150		7,309
Red Hat Inc. (c)		17		734


	Shares/Par (p)		Value
SAIC Inc. (c)		25		297
Salesforce.com Inc.		12		1,378
SanDisk Corp. (c)		21		866
Symantec Corp. (c)		68		1,109
Tellabs Inc.		33		140
Teradata Corp. (c)		15		813
Teradyne Inc. (c)		17		184
Texas Instruments Inc.		105		2,786
Total System Services Inc.		15		247
VeriSign Inc.		15		434
Visa Inc. - Class A (e)		46		3,927
Western Digital Corp. (c)		21		538
Western Union Co.		57		870
Xerox Corp.		126		879
Xilinx Inc.		24		656
Yahoo! Inc. (c)		117		1,544

				181,748
MATERIALS - 3.3%
Air Products & Chemicals Inc.		19		1,457
Airgas Inc.		6		401
AK Steel Holding Corp. (e)		12		80
Alcoa Inc.		96		916
Allegheny Technologies Inc.		10		353
Ball Corp.		15		469
Bemis Co. Inc.		9		278
CF Industries Holdings Inc.		6		794
Cliffs Natural Resources Inc.		13		666
Dow Chemical Co.		106		2,377
Eastman Chemical Co.		6		438
Ecolab Inc. (e)		21		1,021
EI Du Pont de Nemours & Co.		84		3,342
FMC Corp.		6		447
Freeport-McMoRan Copper & Gold Inc.		85		2,597
International Flavors & Fragrances Inc.		7		407
International Paper Co.		39		915
MeadWestvaco Corp.		15		375
Monsanto Co.		48		2,897
Mosaic Co.		25		1,224
Newmont Mining Corp.		44		2,795
Nucor Corp.		28		900
Owens-Illinois Inc. (c)		15		223
PPG Industries Inc.		14		1,006
Praxair Inc.		27		2,559
Sealed Air Corp.		14		241
Sherwin-Williams Co.		8		591
Sigma-Aldrich Corp.		11		677
Titanium Metals Corp. (e)		11		161
United States Steel Corp.		13		285
Vulcan Materials Co. (e)		12		320
Weyerhaeuser Co.		48		754

				31,966
TELECOMMUNICATION SERVICES - 3.2%
American Tower Corp. - Class A (c)		36		1,921
AT&T Inc.		533		15,204
CenturyLink Inc.		55		1,833
Frontier Communications Corp. (e)		90		547
MetroPCS Communications Inc. (c)		24		208
Sprint Nextel Corp. (c)		269		819
Verizon Communications Inc.		255		9,372
Windstream Corp. (e)		46		535

				30,439
UTILITIES - 3.9%
AES Corp. (c)		59		577


	Shares/Par (p)		Value
Ameren Corp.		22		646
American Electric Power Co. Inc.		43		1,649
CenterPoint Energy Inc.		38		751
CMS Energy Corp.		23		450
Consolidated Edison Inc.		26		1,502
Constellation Energy Group Inc.		18		688
Dominion Resources Inc.		52		2,632
DTE Energy Co.		15		747
Duke Energy Corp.		120		2,396
Edison International		29		1,122
Entergy Corp.		16		1,062
Exelon Corp. (e)		60		2,541
FirstEnergy Corp.		38		1,691
Integrys Energy Group Inc.		7		341
NextEra Energy Inc.		38		2,052
Nicor Inc.		4		226
NiSource Inc. (e)		25		538
Northeast Utilities		16		535
NRG Energy Inc. (c)		22		460
Oneok Inc.		10		637
Pepco Holdings Inc.		20		384
PG&E Corp.		36		1,516
Pinnacle West Capital Corp.		10		421
PPL Corp.		52		1,483
Progress Energy Inc.		27		1,371
Public Service Enterprise Group Inc.		46		1,520
SCANA Corp.		10		416
Sempra Energy		22		1,110
Southern Co.		76		3,239
TECO Energy Inc.		19		331
Wisconsin Energy Corp.		21		658
Xcel Energy Inc.		44		1,076

				36,768

Total Common Stocks (cost $906,407)				930,704

SHORT TERM INVESTMENTS - 3.1%
Investment Companies - 1.9%
JNL Money Market Fund, 0.02% (a) (h)		18,280		18,280
Securities Lending Collateral - 1.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		8,847		8,847
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		691		669

				9,516
Treasury Securities - 0.2%
U.S. Treasury Bill
0.01%, 02/09/12 (o)	$	40		40
0.02%, 03/08/12 (o)		1,065		1,065
0.02%, 03/22/12 (o)		365		365

				1,470

Total Short Term Investments (cost $29,288)				29,266

Total Investments - 100.8% (cost $935,695)				959,970
Other Assets and Liabilities, Net - (0.8%)				(7,744	)

Total Net Assets - 100.0%			$	952,226


	Shares/Par (p)		Value
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
COMMON STOCKS - 98.3%
CONSUMER DISCRETIONARY - 13.7%
99 Cents Only Stores (c)		29	$	526
Aaron’s Inc.		47		1,190
Advance Auto Parts Inc.		45		2,598
Aeropostale Inc. (c)		49		528
AMC Networks Inc. (c)		35		1,112
American Eagle Outfitters Inc.		118		1,382
American Greetings Corp. - Class A (e)		24		453
ANN Inc. (c)		31		719
Ascena Retail Group Inc. (c)		42		1,128
Bally Technologies Inc. (c) (e)		26		704
Barnes & Noble Inc. (e)		24		280
Bob Evans Farms Inc.		18		523
BorgWarner Inc. (c)		66		4,011
Brinker International Inc.		51		1,073
Career Education Corp. (c) (e)		38		496
Cheesecake Factory Inc. (c)		35		869
Chico’s FAS Inc.		107		1,219
Collective Brands Inc. (c) (e)		37		483
Deckers Outdoor Corp. (c)		23		2,183
Dick's Sporting Goods Inc. (c)		58		1,937
Dollar Tree Inc. (c)		74		5,558
DreamWorks Animation SKG Inc. - Class A (c) (e)		43		781
Eastman Kodak Co. (c) (e)		163		127
Foot Locker Inc.		93		1,870
Fossil Inc. (c)		32		2,581
Gentex Corp.		86		2,077
Guess? Inc.		39		1,101
HanesBrands Inc. (c)		58		1,461
International Speedway Corp. - Class A		18		403
ITT Educational Services Inc. (c) (e)		12		715
John Wiley & Sons Inc. - Class A		28		1,258
KB Home (e)		44		256
Lamar Advertising Co. - Class A (c) (e)		35		593
Life Time Fitness Inc. (c) (e)		26		942
LKQ Corp. (c)		88		2,133
Matthews International Corp. - Class A (e)		18		549
MDC Holdings Inc. (e)		23		388
Meredith Corp. (e)		22		499
Mohawk Industries Inc. (c)		34		1,463
New York Times Co. - Class A (c) (e)		72		419
NVR Inc. (c)		3		1,987
Office Depot Inc. (c)		172		353
Panera Bread Co. - Class A (c)		18		1,913
PetSmart Inc.		69		2,926
Polaris Industries Inc.		42		2,078
PVH Corp.		41		2,373
RadioShack Corp.		60		702
Regis Corp.		35		493
Rent-A-Center Inc.		39		1,057
Ryland Group Inc. (e)		27		286
Saks Inc. (c) (e)		99		866
Scholastic Corp.		14		404
Scientific Games Corp. - Class A (c)		38		274
Service Corp. International		145		1,324
Sotheby’s - Class A		41		1,127
Strayer Education Inc. (e)		7		568
Thor Industries Inc.		26		569
Toll Brothers Inc. (c)		89		1,279
Tractor Supply Co.		44		2,735


	Shares/Par (p)		Value
Tupperware Brands Corp.		37		1,974
Under Armour Inc. - Class A (c) (e)		22		1,434
Valassis Communications Inc. (c) (e)		30		557
Warnaco Group Inc. (c)		27		1,227
Wendy’s Co.		183		841
Williams-Sonoma Inc.		64		1,956
WMS Industries Inc. (c)		35		609

				80,500
CONSUMER STAPLES - 5.1%
BJ’s Wholesale Club Inc. (c)		33		1,695
Church & Dwight Co. Inc.		87		3,824
Corn Products International Inc.		46		1,812
Energizer Holdings Inc. (c)		42		2,801
Flowers Foods Inc.		68		1,323
Green Mountain Coffee Roasters Inc. (c)		77		7,200
Hansen Natural Corp. (c)		46		4,022
Lancaster Colony Corp. (e)		11		699
Ralcorp Holdings Inc. (c)		33		2,555
Ruddick Corp.		29		1,143
Smithfield Foods Inc. (c)		100		1,959
Tootsie Roll Industries Inc. (e)		15		364
Universal Corp. (e)		14		503

				29,900
ENERGY - 6.1%
Arch Coal Inc.		128		1,873
Atwood Oceanics Inc. (c)		34		1,172
Bill Barrett Corp. (c)		29		1,035
CARBO Ceramics Inc.		12		1,228
Cimarex Energy Co.		52		2,883
Comstock Resources Inc. (c)		29		446
Dresser-Rand Group Inc. (c)		48		1,957
Dril-Quip Inc. (c)		21		1,124
Exterran Holdings Inc. (c)		39		376
Forest Oil Corp. (c)		69		990
Helix Energy Solutions Group Inc. (c)		64		840
HollyFrontier Corp.		126		3,305
Northern Oil and Gas Inc. (c) (e)		38		729
Oceaneering International Inc.		66		2,321
Oil States International Inc. (c)		31		1,578
Overseas Shipholding Group Inc. (e)		16		223
Patriot Coal Corp. (c)		55		467
Patterson-UTI Energy Inc.		94		1,621
Plains Exploration & Production Co. (c)		85		1,938
Quicksilver Resources Inc. (c) (e)		71		542
SM Energy Co.		39		2,335
Southern Union Co.		75		3,062
Superior Energy Services Inc. (c)		48		1,265
Tidewater Inc.		31		1,320
Unit Corp. (c)		24		893

				35,523
FINANCIALS - 18.7%
Affiliated Managers Group Inc. (c)		31		2,458
Alexandria Real Estate Equities Inc.		37		2,294
American Campus Communities Inc.		42		1,553
American Financial Group Inc.		46		1,420
Apollo Investment Corp.		119		892
Arthur J Gallagher & Co.		67		1,758
Aspen Insurance Holdings Ltd.		43		987
Associated Banc-Corp		105		975
Astoria Financial Corp.		50		385
BancorpSouth Inc. (e)		44		390
Bank of Hawaii Corp.		29		1,051
BRE Properties Inc. - Class A		44		1,881


	Shares/Par (p)		Value
Brown & Brown Inc.		71		1,263
Camden Property Trust		42		2,347
Cathay General Bancorp		48		542
City National Corp.		29		1,081
Commerce Bancshares Inc.		47		1,630
Corporate Office Properties Trust		43		937
Cousins Properties Inc.		63		367
Cullen/Frost Bankers Inc.		37		1,700
Duke Realty Corp.		153		1,605
East West Bancorp Inc.		90		1,342
Eaton Vance Corp.		72		1,598
Equity One Inc.		37		594
Essex Property Trust Inc.		20		2,367
Everest Re Group Ltd.		33		2,611
Federal Realty Investment Trust		38		3,104
Fidelity National Financial Inc. - Class A		135		2,051
First American Financial Corp.		64		815
First Niagara Financial Group Inc.		179		1,635
FirstMerit Corp.		66		751
Fulton Financial Corp.		121		922
Greenhill & Co. Inc. (e)		17		497
Hancock Holding Co.		51		1,353
Hanover Insurance Group Inc.		27		976
HCC Insurance Holdings Inc.		67		1,804
Highwoods Properties Inc.		44		1,233
Hospitality Properties Trust		75		1,586
International Bancshares Corp.		32		420
Jefferies Group Inc.		86		1,070
Jones Lang LaSalle Inc.		26		1,346
Kemper Corp.		30		710
Liberty Property Trust		70		2,030
Macerich Co.		79		3,377
Mack-Cali Realty Corp.		53		1,407
Mercury General Corp.		22		827
MSCI Inc. - Class A (c)		73		2,205
New York Community Bancorp Inc.		265		3,149
Old Republic International Corp.		154		1,377
Omega Healthcare Investors Inc.		61		980
Potlatch Corp.		24		766
Prosperity Bancshares Inc.		28		927
Protective Life Corp.		52		811
Raymond James Financial Inc.		61		1,590
Rayonier Inc.		74		2,709
Realty Income Corp.		77		2,474
Regency Centers Corp.		54		1,922
Reinsurance Group of America Inc.		45		2,055
SEI Investments Co.		87		1,344
Senior Housing Properties Trust		92		1,979
SL Green Realty Corp.		51		2,994
StanCorp Financial Group Inc.		27		755
SVB Financial Group (c)		26		960
Synovus Financial Corp. (e)		475		508
Taubman Centers Inc.		35		1,754
TCF Financial Corp. (e)		96		882
Transatlantic Holdings Inc.		38		1,834
Trustmark Corp. (e)		38		695
UDR Inc.		133		2,935
Valley National Bancorp (e)		103		1,088
Waddell & Reed Financial Inc. - Class A		52		1,307
Washington Federal Inc.		67		856
Webster Financial Corp.		44		681
Weingarten Realty Investors		73		1,547
Westamerica Bancorporation		17		670
WR Berkley Corp.		70		2,087

				109,783


	Shares/Par (p)		Value
HEALTH CARE - 11.5%
Allscripts-Misys Healthcare Solutions Inc. (c)		115		2,074
AMERIGROUP Corp. (c)		30		1,171
Bio-Rad Laboratories Inc. - Class A (c)		12		1,077
Catalyst Health Solutions Inc. (c)		30		1,737
Charles River Laboratories International Inc. (c)		31		895
Community Health Systems Inc. (c)		57		946
Cooper Cos. Inc.		28		2,248
Covance Inc. (c)		37		1,668
Endo Pharmaceuticals Holdings Inc. (c)		71		1,974
Gen-Probe Inc. (c)		29		1,661
Health Management Associates Inc. - Class A (c)		153		1,060
Health Net Inc. (c)		55		1,298
Henry Schein Inc. (c)		56		3,462
Hill-Rom Holdings Inc.		38		1,147
Hologic Inc. (c)		158		2,407
Idexx Laboratories Inc. (c)		35		2,393
Kindred Healthcare Inc. (c)		31		270
Kinetic Concepts Inc. (c)		37		2,456
LifePoint Hospitals Inc. (c)		32		1,164
Lincare Holdings Inc.		57		1,289
Masimo Corp.		36		783
Medicis Pharmaceutical Corp. - Class A		37		1,363
Mednax Inc. (c)		29		1,820
Mettler Toledo International Inc. (c)		19		2,722
Omnicare Inc. (e)		70		1,784
Owens & Minor Inc.		39		1,099
Perrigo Co.		56		5,390
Pharmaceutical Product Development Inc.		69		1,758
ResMed Inc. (c) (e)		93		2,664
STERIS Corp.		36		1,049
Techne Corp.		22		1,528
Teleflex Inc.		24		1,311
Thoratec Corp. (c)		35		1,130
United Therapeutics Corp. (c)		31		1,159
Universal Health Services Inc. - Class B		59		2,009
VCA Antech Inc. (c) (e)		52		836
Vertex Pharmaceuticals Inc. (c)		125		5,552
WellCare Health Plans Inc. (c)		26		978

				67,332
INDUSTRIALS - 14.1%
Acuity Brands Inc. (e)		26		944
AECOM Technology Corp. (c)		72		1,275
AGCO Corp. (c)		57		1,983
Alaska Air Group Inc. (c)		22		1,220
Alexander & Baldwin Inc.		25		919
Alliant Techsystems Inc.		20		1,107
AMETEK Inc.		97		3,208
BE Aerospace Inc. (c)		62		2,066
Brink’s Co.		28		657
Carlisle Cos. Inc.		37		1,181
Clean Harbors Inc. (c)		28		1,430
Con-Way Inc.		34		742
Copart Inc. (c)		34		1,341
Corporate Executive Board Co.		21		622
Corrections Corp. of America (c)		65		1,473
Crane Co.		29		1,046
Deluxe Corp.		31		579
Donaldson Co. Inc.		46		2,531
Esterline Technologies Corp. (c)		18		959
FTI Consulting Inc. (c) (e)		25		937
Gardner Denver Inc.		32		2,010
GATX Corp.		28		870


	Shares/Par (p)		Value
General Cable Corp. (c)		32		737
Graco Inc.		37		1,253
Granite Construction Inc.		21		386
Harsco Corp.		49		947
Herman Miller Inc.		35		619
HNI Corp. (e)		27		518
Hubbell Inc. - Class B		36		1,806
Huntington Ingalls Industries Inc. (c)		30		718
IDEX Corp.		50		1,563
JB Hunt Transport Services Inc.		56		2,007
JetBlue Airways Corp. (c) (e)		123		504
Kansas City Southern (c)		66		3,318
KBR Inc.		92		2,167
Kennametal Inc.		50		1,621
Kirby Corp. (c) (e)		34		1,771
Korn/Ferry International (c)		28		346
Landstar System Inc.		29		1,146
Lennox International Inc.		32		814
Lincoln Electric Holdings Inc.		51		1,481
Manpower Inc.		50		1,672
Mine Safety Appliances Co.		19		508
MSC Industrial Direct Co. - Class A		27		1,544
Nordson Corp.		37		1,452
Oshkosh Corp. (c)		55		868
Pentair Inc.		60		1,906
Regal-Beloit Corp.		25		1,139
Rollins Inc.		38		718
Shaw Group Inc. (c)		44		950
SPX Corp.		31		1,398
Terex Corp. (c)		66		681
Thomas & Betts Corp. (c)		32		1,266
Timken Co.		51		1,668
Towers Watson & Co. - Class A		31		1,873
Trinity Industries Inc.		48		1,035
Triumph Group Inc.		23		1,128
United Rentals Inc. (c)		38		637
URS Corp. (c)		48		1,411
UTi Worldwide Inc.		62		810
Valmont Industries Inc.		14		1,053
Wabtec Corp.		29		1,545
Waste Connections Inc.		69		2,324
Watsco Inc.		17		876
Werner Enterprises Inc.		27		560
Woodward Governor Co.		36		981

				82,825
INFORMATION TECHNOLOGY - 15.7%
ACI Worldwide Inc. (c)		20		557
Acxiom Corp. (c)		49		522
ADTRAN Inc.		39		1,035
Advent Software Inc. (c)		20		410
Alliance Data Systems Corp. (c) (e)		31		2,862
Ansys Inc. (c)		56		2,724
AOL Inc. (c)		65		776
Arrow Electronics Inc. (c)		70		1,951
Atmel Corp. (c)		277		2,234
Avnet Inc. (c)		92		2,411
Broadridge Financial Solutions Inc.		75		1,503
Cadence Design Systems Inc. (c) (e)		163		1,504
Ciena Corp. (c) (e)		57		644
Concur Technologies Inc. (c)		28		1,056
Convergys Corp. (c)		73		689
CoreLogic Inc. (c)		66		705
Cree Inc. (c)		70		1,816
Cypress Semiconductor Corp. (c)		102		1,522
Diebold Inc.		40		1,087


	Shares/Par (p)		Value
Digital River Inc. (c)		24		497
DST Systems Inc.		22		949
Equinix Inc. (c)		28		2,518
Factset Research Systems Inc.		28		2,484
Fair Isaac Corp.		24		526
Fairchild Semiconductor International Inc. (c)		77		834
Gartner Inc. - Class A (c)		58		2,013
Global Payments Inc.		48		1,957
Informatica Corp. (c)		64		2,621
Ingram Micro Inc. - Class A (c)		97		1,572
Integrated Device Technology Inc. (c)		90		462
International Rectifier Corp. (c)		42		786
Intersil Corp. - Class A		76		782
Itron Inc. (c)		25		725
Jack Henry & Associates Inc.		52		1,514
Lam Research Corp. (c)		75		2,861
Lender Processing Services Inc.		52		715
Mantech International Corp. - Class A (e)		14		431
Mentor Graphics Corp. (c)		57		553
Micros Systems Inc. (c)		49		2,155
National Instruments Corp.		54		1,235
NCR Corp. (c)		96		1,621
NeuStar Inc. - Class A (c)		45		1,122
Parametric Technology Corp. (c)		72		1,105
Plantronics Inc.		29		828
Polycom Inc. (c)		107		1,962
QLogic Corp. (c)		63		804
Quest Software Inc. (c)		37		585
Rackspace Hosting Inc. (c)		62		2,118
RF Micro Devices Inc. (c)		168		1,062
Riverbed Technology Inc. (c)		93		1,854
Rovi Corp. (c)		68		2,937
Semtech Corp. (c)		39		833
Silicon Laboratories Inc. (c)		27		903
Skyworks Solutions Inc. (c)		113		2,021
Solera Holdings Inc.		43		2,159
Synopsys Inc. (c)		89		2,162
Tech Data Corp. (c)		26		1,141
TIBCO Software Inc. (c)		98		2,191
Trimble Navigation Ltd. (c)		74		2,490
ValueClick Inc. (c)		48		741
Varian Semiconductor Equipment Associates Inc. (c)		46		2,791
VeriFone Holdings Inc. (c)		63		2,194
Vishay Intertechnology Inc. (c)		95		798
Zebra Technologies Corp. - Class A (c)		33		1,023

				91,643
MATERIALS - 6.2%
Albemarle Corp.		55		2,242
AptarGroup Inc.		41		1,817
Ashland Inc.		48		2,114
Cabot Corp.		40		983
Carpenter Technology Corp.		27		1,196
Commercial Metals Co.		70		664
Compass Minerals International Inc.		20		1,328
Cytec Industries Inc.		30		1,046
Domtar Corp.		25		1,693
Grief Inc. - Class A		19		809
Intrepid Potash Inc. (c) (e)		31		778
Louisiana-Pacific Corp. (c)		80		408
Martin Marietta Materials Inc. (e)		28		1,744
Minerals Technologies Inc.		11		545
NewMarket Corp.		7		990
Olin Corp.		48		868
Packaging Corp. of America		61		1,414


	Shares/Par (p)		Value
Reliance Steel & Aluminum Co.		45		1,540
Rock-Tenn Co. - Class A		43		2,085
RPM International Inc.		79		1,476
Scotts Miracle-Gro Co. - Class A (e)		27		1,210
Sensient Technologies Corp.		30		986
Silgan Holdings Inc.		30		1,091
Sonoco Products Co.		60		1,703
Steel Dynamics Inc.		132		1,311
Temple-Inland Inc.		66		2,056
Valspar Corp.		57		1,769
Worthington Industries Inc.		34		471

				36,337
TELECOMMUNICATION SERVICES - 0.5%
Telephone & Data Systems Inc.		55		1,173
tw telecom inc. (c)		91		1,506

				2,679
UTILITIES - 6.7%
AGL Resources Inc.		47		1,929
Alliant Energy Corp.		67		2,597
Aqua America Inc.		84		1,804
Atmos Energy Corp.		55		1,774
Black Hills Corp. (e)		24		731
Cleco Corp.		37		1,260
DPL Inc.		71		2,133
Energen Corp.		44		1,783
Great Plains Energy Inc.		82		1,588
Hawaiian Electric Industries Inc.		58		1,400
IDACORP Inc.		30		1,133
MDU Resources Group Inc.		114		2,192
National Fuel Gas Co.		50		2,436
NSTAR		63		2,809
NV Energy Inc.		143		2,099
OGE Energy Corp.		59		2,831
PNM Resources Inc.		52		862
Questar Corp.		107		1,902
UGI Corp.		68		1,775
Vectren Corp.		49		1,339
Westar Energy Inc.		69		1,817
WGL Holdings Inc.		31		1,211

				39,405

Total Common Stocks (cost $622,275)				575,927

SHORT TERM INVESTMENTS - 5.4%
Investment Companies - 1.5%
JNL Money Market Fund, 0.02% (a) (h)		8,699		8,699
Securities Lending Collateral - 3.8%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		21,397		21,397
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		1,041		1,008

				22,405
Treasury Securities - 0.1%
U.S. Treasury Bill 0.02%, 03/22/12 (o)	$	340		340


	Shares/Par (p)		Value
0.04%, 03/08/12 (o)		445		445

				785

Total Short Term Investments (cost $31,922)				31,889

Total Investments - 103.7% (cost $654,197)				607,816
Other Assets and Liabilities, Net - (3.7%)				(21,771	)

Total Net Assets - 100.0%			$	586,045

JNL/Mellon Capital Management Small Cap Index Fund
COMMON STOCKS - 97.9%
CONSUMER DISCRETIONARY - 12.9%
1-800-Flowers.com Inc. - Class A (c)		14	$	33
99 Cents Only Stores (c)		31		573
Accuride Corp. (c)		25		126
Aeropostale Inc. (c)		54		580
AFC Enterprises Inc. (c)		17		196
AH Belo Corp. - Class A (e)		14		60
Ambassadors Group Inc.		11		63
America’s Car-Mart Inc. (c)		6		182
American Axle & Manufacturing Holdings Inc. (c)		42		318
American Greetings Corp. - Class A		26		477
American Public Education Inc. (c)		12		393
Amerigon Inc. (c)		15		196
Ameristar Casinos Inc.		22		346
ANN Inc. (c)		34		775
Arbitron Inc.		17		572
Arctic Cat Inc. (c)		9		133
Asbury Automotive Group Inc. (c)		20		323
Ascena Retail Group Inc. (c)		41		1,122
Ascent Media Corp. (c)		9		364
Audiovox Corp. - Class A (c)		14		79
Barnes & Noble Inc. (e)		19		219
Beazer Homes USA Inc. (c) (e)		45		69
Bebe Stores Inc.		24		160
Belo Corp.		57		281
Benihana Inc. - Class A (c)		8		70
Big 5 Sporting Goods Corp.		13		77
Biglari Holdings Inc. (c)		1		228
BJ’s Restaurants Inc. (c)		16		703
Black Diamond Inc. (c)		8		52
Blue Nile Inc. (c) (e)		8		279
Blyth Inc.		4		195
Bob Evans Farms Inc.		19		555
Body Central Corp. (c)		7		132
Bon-Ton Stores Inc. (e)		9		46
Boyd Gaming Corp. (c) (e)		33		162
Bravo Brio Restaurant Group Inc. (c)		12		198
Bridgepoint Education Inc. (c) (e)		13		220
Brown Shoe Co. Inc.		29		206
Brunswick Corp.		59		827
Buckle Inc. (e)		18		687
Buffalo Wild Wings Inc. (c)		12		726
Build-A-Bear Workshop Inc. (c) (e)		13		66
Cabela’s Inc. - Class A (c)		29		588
Callaway Golf Co. (e)		40		205
Cambium Learning Group Inc. (c)		9		27
Capella Education Co. (c)		10		296
Caribou Coffee Co. Inc. (c)		9		107
Carrol’s Restaurant Group Inc. (c)		8		67


	Shares/Par (p)		Value
Carter’s Inc. (c)		32		992
Casual Male Retail Group Inc. (c)		27		103
Cato Corp. - Class A		18		416
Cavco Industries Inc. (c)		5		164
CEC Entertainment Inc.		12		355
Central European Media Entertainment Ltd. (c)		25		193
Charming Shoppes Inc. (c) (e)		74		193
Cheesecake Factory Inc. (c)		38		940
Cherokee Inc.		5		67
Childrens Place Retail Stores Inc. (c) (e)		17		805
Christopher & Banks Corp.		24		84
Churchill Downs Inc.		8		329
Cinemark Holdings Inc.		61		1,157
Citi Trends Inc. (c)		11		130
Coinstar Inc. (c) (e)		21		829
Coldwater Creek Inc. (c)		32		40
Collective Brands Inc. (c) (e)		41		531
Columbia Sportswear Co.		8		351
Conn's Inc. (c)		10		69
Cooper Tire & Rubber Co.		41		451
Core-Mark Holding Co. Inc. (c)		8		233
Corinthian Colleges Inc. (c) (e)		56		88
Cost Plus Inc. (c)		12		73
Cracker Barrel Old Country Store Inc.		15		610
Crocs Inc. (c)		56		1,333
Crown Media Holdings Inc. - Class A (c) (e)		29		42
CSS Industries Inc.		6		95
Cumulus Media Inc. - Class A (c) (e)		12		33
Dana Holding Corp. (c)		96		1,013
Delta Apparel Inc. (c)		4		70
Denny’s Corp. (c)		67		223
Destination Maternity Corp.		8		104
DineEquity Inc. (c)		10		376
Domino’s Pizza Inc. (c)		41		1,110
Dorman Products Inc. (c)		8		253
Drew Industries Inc.		13		259
Eastman Kodak Co. (c) (e)		172		134
Einstein Noah Restaurant Group Inc.		5		59
Entercom Communications Corp. - Class A (c) (e)		17		87
Entravision Communications Corp. - Class A (c)		26		27
Ethan Allen Interiors Inc.		16		213
EW Scripps Co. - Class A (c)		20		142
Exide Technologies (c)		52		209
Express Inc.		37		744
Finish Line - Class A		33		661
Fisher Communications Inc. (c)		5		122
Fred’s Inc. - Class A		26		278
Fuel Systems Solutions Inc. (c)		10		199
Furniture Brands International Inc. (c)		31		64
G-III Apparel Group Ltd. (c)		11		255
Gaylord Entertainment Co. (c) (e)		24		458
Genesco Inc. (c)		16		808
Global Sources Ltd. (c)		11		72
GNC Holdings Inc. - Class A (c)		15		308
Gordman’s Stores Inc. (c) (e)		4		49
Grand Canyon Education Inc. (c)		19		303
Gray Television Inc. (c) (e)		40		62
Group 1 Automotive Inc. (e)		16		557
Harte-Hanks Inc.		28		234
Haverty Furniture Cos. Inc.		13		134
Helen of Troy Ltd. (c)		20		503
hhgregg Inc. (c) (e)		11		109
Hibbett Sports Inc. (c)		18		608
Hillenbrand Inc.		41		763


	Shares/Par (p)		Value
HOT Topic Inc.		30		231
Hovnanian Enterprises Inc. - Class A (c) (e)		43		52
HSN Inc.		26		876
Iconix Brand Group Inc. (c)		48		762
interCLICK Inc. (c)		12		69
International Speedway Corp. - Class A		20		448
Interval Leisure Group Inc. (c)		27		360
iRobot Corp. (c) (e)		16		399
Isle of Capri Casinos Inc. (c)		12		58
Jack in the Box Inc. (c)		32		642
Jakks Pacific Inc.		19		351
Jamba Inc. (c) (e)		45		58
Johnson Outdoors Inc. - Class A (c)		4		63
Jos. A. Bank Clothiers Inc. (c)		18		829
Journal Communications Inc. - Class A (c)		27		80
K-Swiss Inc. - Class A (c) (e)		15		64
K12 Inc. (c)		17		441
KB Home (e)		52		304
Kenneth Cole Productions Inc. - Class A (c)		5		55
Kirkland's Inc. (c)		12		107
Knology Inc. (c) (e)		20		262
Krispy Kreme Doughnuts Inc. (c)		39		268
La-Z-Boy Inc. (c)		33		246
Leapfrog Enterprises Inc. - Class A (c)		24		80
Libbey Inc. (c)		12		125
Life Time Fitness Inc. (c)		28		1,029
Lifetime Brands Inc.		8		76
LIN TV Corp. - Class A (c)		25		54
Lincoln Educational Services Corp. (e)		14		113
Lions Gate Entertainment Corp. (c)		29		200
Lithia Motors Inc. - Class A		14		198
Live Nation Inc. (c)		91		729
Liz Claiborne Inc. (c) (e)		62		309
Luby's Inc. (c)		11		47
Lumber Liquidators Holdings Inc. (c) (e)		16		237
M/I Homes Inc. (c)		14		83
Mac-Gray Corp.		8		99
Maidenform Brands Inc. (c)		15		353
Marcus Corp.		15		152
Marine Products Corp. (c)		5		18
MarineMax Inc. (c)		17		107
Martha Stewart Living Omnimedia Inc. - Class A (c) (e)		19		60
Matthews International Corp. - Class A (e)		19		577
McClatchy Co. - Class A (c) (e)		38		50
McCormick & Schmick’s Seafood Restaurants Inc. (c)		10		66
MDC Holdings Inc. (e)		25		424
MDC Partners Inc.		17		244
Men’s Wearhouse Inc.		34		887
Meredith Corp. (e)		24		547
Meritage Homes Corp. (c)		18		267
Modine Manufacturing Co. (c)		29		263
Monarch Casino & Resort Inc. (c)		5		50
Monro Muffler Brake Inc.		20		665
Morgans Hotel Group Co. (c)		13		78
Motorcar Parts of America Inc. (c)		7		60
Movado Group Inc.		12		147
Multimedia Games Inc. (c)		18		74
National American University Holdings Inc.		4		30
National CineMedia Inc.		37		533
National Presto Industries Inc. (e)		3		281
New York & Co. Inc. (c)		16		51
New York Times Co. (c) (e)		91		528
Nexstar Broadcasting Group Inc. - Class A (c)		6		38
NutriSystem Inc. (e)		18		222


	Shares/Par (p)		Value
O’Charley’s Inc. (c)		12		73
Office Depot Inc. (c)		185		382
OfficeMax Inc. (c) (e)		56		271
Orbitz Worldwide Inc. (c)		13		29
Orient-Express Hotels Ltd. - Class A (c)		60		414
Outdoor Channel Holdings Inc. (c)		12		67
Overstock.com Inc. (c)		9		86
Oxford Industries Inc. (e)		9		309
Pacific Sunwear of California Inc. (c)		39		47
Papa John’s International Inc. (c)		13		401
Peets Coffee & Tea Inc. (c)		9		475
Penske Auto Group Inc.		28		454
PEP Boys-Manny Moe & Jack		34		340
Perry Ellis International Inc. (c)		9		168
PetMed Express Inc. (e)		15		139
PF Chang’s China Bistro Inc. (e)		15		402
Pier 1 Imports Inc. (c)		70		689
Pinnacle Entertainment Inc. (c)		41		374
Pool Corp.		32		834
Quicksilver Inc. (c)		82		250
ReachLocal Inc. (c) (e)		6		67
Red Lion Hotels Corp. (c)		10		70
Red Robin Gourmet Burgers Inc. (c) (e)		8		198
Regis Corp.		38		541
Rent-A-Center Inc.		42		1,152
Rentrak Corp. (c)		6		72
RG Barry Corp.		5		48
Ruby Tuesday Inc. (c)		44		313
Rue21 Inc. (c) (e)		9		209
Ruth's Hospitality Group Inc. (c)		26		112
Ryland Group Inc.		28		302
Saga Communications Inc. (c)		2		65
Saks Inc. (c) (e)		76		669
Scholastic Corp.		18		497
Scientific Games Corp. - Class A (c)		37		261
Sealy Corp. (c) (e)		35		52
Select Comfort Corp. (c)		37		516
Shiloh Industries Inc.		3		25
Shoe Carnival Inc. (c)		6		140
Shuffle Master Inc. (c)		35		294
Shutterfly Inc. (c)		20		810
Sinclair Broadcast Group Inc. - Class A		31		225
Six Flags Entertainment Corp. (e)		28		764
Skechers U.S.A. Inc. - Class A (c)		25		351
Skyline Corp.		5		49
Smith & Wesson Holding Corp. (c)		42		106
Sonic Automotive Inc. - Class A		27		291
Sonic Corp. (c)		39		273
Sotheby’s - Class A		44		1,226
Spartan Motors Inc.		21		86
Speedway Motorsports Inc.		9		104
Stage Stores Inc.		24		336
Standard Motor Products Inc.		14		175
Standard-Pacific Corp. (c) (e)		68		169
Stein Mart Inc.		15		97
Steiner Leisure Ltd. (c)		10		410
Steinway Musical Instruments Inc. (c)		4		83
Steven Madden Ltd. (c)		25		753
Stewart Enterprises Inc. - Class A (e)		53		314
Stoneridge Inc. (c)		16		85
Strayer Education Inc. (e)		8		622
Sturm Ruger & Co. Inc.		13		328
Summer Infant Inc. (c)		11		71
Superior Industries International Inc.		15		228
Syms Corp. (c) (e)		4		35
Systemax Inc. (c)		8		100


	Shares/Par (p)		Value
Talbots Inc. (c)		41		111
Tenneco Inc. (c)		40		1,021
Texas Roadhouse Inc. - Class A		42		553
The Jones Group Inc.		57		522
Tower International Inc. (c)		4		45
Town Sports International Holdings Inc. (c)		12		90
True Religion Apparel Inc. (c)		17		463
Tuesday Morning Corp. (c)		27		94
U.S. Auto Parts Network Inc. (c) (e)		9		43
Unifi Inc. (c)		10		80
Universal Electronics Inc. (c)		10		168
Universal Technical Institute Inc. (c)		13		177
Vail Resorts Inc. (e)		24		900
Valassis Communications Inc. (c) (e)		32		592
Value Line Inc. (e)		1		7
ValueVision Media Inc. (c)		25		59
Vera Bradley Inc. (c) (e)		13		478
Vitamin Shoppe Inc. (c)		16		616
Warnaco Group Inc. (c)		29		1,336
West Marine Inc. (c)		9		69
Westwood One Inc. (c) (e)		3		10
Wet Seal Inc. - Class A (c)		65		293
Weyco Group Inc. (e)		4		99
Winmark Corp. (e)		1		60
Winnebago Industries Inc. (c) (e)		17		117
Wolverine World Wide Inc.		33		1,089
World Wrestling Entertainment Inc. -
Class A (e)		19		168
Zale Corp. (c) (e)		19		56
Zumiez Inc. (c)		14		251

				83,276
CONSUMER STAPLES - 3.8%
A.T. Cross Co. (c)		6		66
Alico Inc.		3		60
Alliance One International Inc. (c)		57		140
Andersons Inc.		12		397
Arden Group Inc. - Class A		1		45
B&G Foods Inc.		30		509
Boston Beer Co. Inc. - Class A (c) (e)		5		375
Cal-Maine Foods Inc. (e)		9		294
Calavo Growers Inc. (e)		7		151
Casey’s General Stores Inc.		25		1,093
Central European Distribution Corp. (c) (e)		49		344
Central Garden & Pet Co. - Class A (c)		30		211
Chiquita Brands International Inc. (c)		31		255
Coca-Cola Bottling Co. Consolidated		3		174
Craft Brewers Alliance Inc. (c) (e)		6		35
Darling International Inc. (c)		77		972
Diamond Foods Inc. (e)		15		1,159
Dole Food Co. Inc. (c) (e)		23		228
Elizabeth Arden Inc. (c)		16		463
Farmer Bros. Co. (e)		3		17
Female Health Co. (e)		16		63
Fresh Del Monte Produce Inc.		24		560
Griffin Land & Nurseries Inc. - Class A		2		39
Hain Celestial Group Inc. (c)		24		724
Harbinger Group Inc. (c)		4		20
Heckmann Corp. (c)		62		328
Imperial Sugar Co.		9		56
Ingles Markets Inc. - Class A		9		124
Inter Parfums Inc.		10		152
J&J Snack Foods Corp.		10		458
Lancaster Colony Corp. (e)		12		732
Lifeway Foods Inc. (c) (e)		2		24
Limoneira Co. (e)		4		62


	Shares/Par (p)		Value
Medifast Inc. (c) (e)		8		130
MGP Ingredients Inc.		6		30
Nash Finch Co.		8		227
National Beverage Corp.		8		115
Natures Sunshine Products Inc. (c) (e)		7		97
Nu Skin Enterprises Inc. - Class A		36		1,463
Nutraceutical International Corp. (c)		7		92
Oil-Dri Corp. of America		4		76
Omega Protein Corp. (c)		12		107
Pantry Inc. (c)		15		185
Pilgrim’s Pride Corp. (c) (e)		31		134
Prestige Brands Holdings Inc. (c)		31		283
PriceSmart Inc.		12		735
Primo Water Corp. (c) (e)		8		47
Revlon Inc. - Class A (c)		6		72
Rite Aid Corp. (c)		394		386
Ruddick Corp.		32		1,263
Sanderson Farms Inc. (e)		15		699
Schiff Nutrition International Inc. (c) (e)		9		101
Seneca Foods Corp. - Class A (c)		7		129
Smart Balance Inc. (c)		35		209
Snyders-Lance Inc.		31		653
Spartan Stores Inc.		15		234
Spectrum Brands Holdings Inc. (c)		11		262
Star Scientific Inc. (c) (e)		63		145
Susser Holdings Corp. (c)		6		113
Synutra International Inc. (c) (e)		13		69
The Fresh Market Inc. (c) (e)		19		712
Tootsie Roll Industries Inc.		16		385
TreeHouse Foods Inc. (c)		23		1,448
United Natural Foods Inc. (c)		32		1,181
Universal Corp.		15		540
USANA Health Sciences Inc. (c) (e)		5		131
Vector Group Ltd. (e)		31		535
Village Super Market Inc. - Class A (e)		4		91
WD-40 Co.		11		449
Weis Markets Inc.		7		256
Winn-Dixie Stores Inc. (c)		37		217

				24,331
ENERGY - 6.1%
Abraxas Petroleum Corp. (c) (e)		54		141
Alon USA Energy Inc.		8		51
Amyris Inc. (c) (e)		11		219
Apco Oil And Gas International Inc. (e)		6		453
Approach Resources Inc. (c) (e)		14		237
ATP Oil & Gas Corp. (c) (e)		29		225
Basic Energy Services Inc. (c)		16		229
Berry Petroleum Co. - Class A		34		1,201
Bill Barrett Corp. (c) (e)		31		1,127
BPZ Resources Inc. (c) (e)		61		170
Bristow Group Inc.		24		1,018
Cal Dive International Inc. (c)		58		110
Callon Petroleum Co. (c)		27		106
CAMAC Energy Inc. (c) (e)		26		15
Carrizo Oil & Gas Inc. (c)		26		556
Cheniere Energy Inc. (c) (e)		55		285
Clayton Williams Energy Inc. (c) (e)		4		153
Clean Energy Fuels Corp. (c) (e)		33		368
Cloud Peak Energy Inc. (c)		40		684
Complete Production Services Inc. (c)		52		980
Comstock Resources Inc. (c)		32		489
Contango Oil & Gas Co. (c)		8		445
Crimson Exploration Inc. (c) (e)		13		28
Crosstex Energy Inc.		27		359
CVR Energy Inc. (c)		58		1,222


	Shares/Par (p)		Value
Dawson Geophysical Co. (c)		5		121
Delek US Holdings Inc.		9		100
DHT Holdings Inc (e)		40		81
Dril-Quip Inc. (c)		23		1,221
Endeavour International Corp. (c) (e)		23		184
Energy Partners Ltd. (c)		18		202
Energy XXI Bermuda Ltd. (c)		50		1,065
Evolution Petroleum Corp. (c) (e)		13		91
Exterran Holdings Inc. (c)		43		415
Frontline Ltd. (e)		31		152
FX Energy Inc. (c) (e)		32		131
Gastar Exploration Ltd. (c)		34		101
General Maritime Corp. (e)		77		20
Geokinetics Inc. (c)		6		16
GeoResources Inc. (c)		12		222
Gevo Inc. (c) (e)		3		17
Global Geophysical Services Inc. (c)		11		89
Global Industries Ltd. (c)		65		514
GMX Resources Inc. (c) (e)		39		89
Golar LNG Ltd. (e)		26		839
Goodrich Petroleum Corp. (c) (e)		16		194
Green Plains Renewable Energy Inc. (c) (e)		14		134
Gulf Island Fabrication Inc.		9		189
Gulfmark Offshore Inc. - Class A (c)		16		574
Gulfport Energy Corp. (c)		28		669
Hallador Energy Co. (e)		2		17
Harvest Natural Resources Inc. (c) (e)		23		197
Helix Energy Solutions Group Inc. (c)		70		916
Hercules Offshore Inc. (c)		74		216
Hornbeck Offshore Services Inc. (c) (e)		15		373
Houston American Energy Corp. (e)		12		170
Hyperdynamics Corp. (c) (e)		104		384
ION Geophysical Corp. (c) (e)		87		413
Isramco Inc. (c) (e)		1		53
James River Coal Co. (c) (e)		22		140
Key Energy Services Inc. (c)		82		781
Knightsbridge Tankers Ltd. (e)		15		246
Kodiak Oil & Gas Corp. (c)		139		722
L&L Energy Inc. (c) (e)		12		32
Lufkin Industries Inc.		20		1,069
Magnum Hunter Resources Corp. (c) (e)		69		230
Matrix Service Co. (c)		18		149
McMoRan Exploration Co. (c) (e)		65		646
Miller Energy Resources Inc. (c) (e)		19		51
Mitcham Industries Inc. (c)		9		99
Natural Gas Services Group Inc. (c)		8		108
Newpark Resources Inc. (c)		57		350
Nordic American Tanker Shipping Ltd. (e)		31		443
Northern Oil and Gas Inc. (c) (e)		42		810
Oasis Petroleum Inc. (c)		39		878
Overseas Shipholding Group Inc. (e)		18		247
OYO Geospace Corp. (c)		3		148
Panhandle Oil and Gas Inc. - Class A (e)		5		128
Parker Drilling Co. (c)		75		329
Patriot Coal Corp. (c)		60		511
Penn Virginia Corp.		28		155
Petroleum Development Corp. (c) (e)		15		289
PetroQuest Energy Inc. (c) (e)		35		195
PHI Inc. (c)		8		154
Pioneer Drilling Co. (c)		41		295
Rentech Inc. (c)		148		115
Resolute Energy Corp. (c) (e)		31		351
Rex Energy Corp. (c) (e)		24		298
Rex Stores Corp. (c)		4		72
Rosetta Resources Inc. (c)		35		1,194
Scorpio Tankers Inc. (c) (e)		15		77


	Shares/Par (p)		Value
SemGroup Corp. (c)		28		551
Ship Finance International Ltd. (e)		30		391
Solazyme Inc. (c) (e)		7		64
Stone Energy Corp. (c)		32		526
Swift Energy Co. (c)		28		683
Syntroleum Corp. (c)		71		61
Targa Resources Corp.		11		328
Teekay Tankers Ltd. - Class A (e)		25		115
Tesco Corp. (c)		19		220
Tetra Technologies Inc. (c)		49		381
Triangle Petroleum Corp. (c)		26		94
Union Drilling Inc. (c)		10		48
Ur-Energy Inc. (c) (e)		63		56
Uranerz Energy Corp. (c) (e)		39		54
Uranium Energy Corp. (c) (e)		50		136
Uranium Resources Inc. (c) (e)		57		39
USEC Inc. (c) (e)		76		122
VAALCO Energy Inc. (c)		31		151
Vantage Drilling Co. (c)		121		151
Venoco Inc. (c)		18		162
Voyager Oil & Gas Inc. (c) (e)		29		60
W&T Offshore Inc.		22		302
Warren Resources Inc. (c)		46		109
Western Refining Inc. (c) (e)		35		436
Westmoreland Coal Co. (c) (e)		6		47
Willbros Group Inc. (c)		25		103
World Fuel Services Corp.		47		1,522
Zion Oil & Gas Inc. (c) (e)		15		30

				39,294
FINANCIALS - 21.6%
1st Source Corp.		10		200
1st United Bancorp Inc. (c)		21		103
Abington Bancorp Inc.		14		99
Acadia Realty Trust		27		501
Advance America Cash Advance Centers Inc.		36		262
Agree Realty Corp.		6		138
Alexander’s Inc.		1		492
Alliance Financial Corp.		3		79
Alterra Capital Holdings Ltd.		57		1,075
American Assets Trust Inc.		22		387
American Campus Communities Inc.		45		1,663
American Equity Investment Life Holding Co.		40		348
American Safety Insurance Holdings Ltd. (c)		7		133
Ameris Bancorp (c)		17		145
Amerisafe Inc. (c)		12		229
Ames National Corp. (e)		6		99
AmTrust Financial Services Inc.		16		359
Anworth Mortgage Asset Corp.		84		572
Apollo Commercial Real Estate Finance Inc.		13		177
Apollo Investment Corp.		129		972
Argo Group International Holdings Ltd.		18		519
Arlington Asset Investment Corp. - Class A (e)		5		122
ARMOUR Residential REIT Inc. (e)		50		341
Arrow Financial Corp.		7		157
Artio Global Investors Inc. (e)		19		155
Ashford Hospitality Trust Inc.		35		247
Associated Estates Realty Corp.		28		427
Astoria Financial Corp.		55		424
Avatar Holdings Inc. (c)		7		55
Baldwin & Lyons Inc. - Class B		5		111
BancFirst Corp. (e)		4		137
Banco Latinoamericano de Comercio Exterior SA - Class E		18		267
Bancorp Inc. (c)		20		147
Bancorp Rhode Island Inc.		2		91


	Shares/Par (p)		Value
BancorpSouth Inc. (e)		55		487
Bank Mutual Corp.		26		69
Bank of Kentucky Financial Corp. (e)		3		71
Bank of Marin Bancorp. (e)		3		109
Bank of the Ozarks Inc.		19		393
BankFinancial Corp.		13		88
Banner Corp.		10		128
Beneficial Mutual Bancorp Inc. (c)		21		160
Berkshire Hills Bancorp Inc.		13		236
BGC Partners Inc. - Class A		47		284
BioMed Realty Trust Inc.		86		1,432
BlackRock Kelso Capital Corp. (e)		47		344
BofI Holding Inc. (c) (e)		6		75
Boston Private Financial Holdings Inc. (e)		52		305
Bridge Bancorp Inc. (e)		4		77
Bridge Capital Holdings (c)		6		56
Brookline Bancorp Inc.		39		298
Bryn Mawr Bank Corp.		8		126
Calamos Asset Management Inc. - Class A (e)		12		120
California First National Bancorp. (e)		1		14
Camden National Corp.		5		133
Campus Crest Communities Inc.		20		214
Cape Bancorp Inc. (c) (e)		7		49
Capital Bank Corp. (c) (e)		8		18
Capital City Bank Group Inc. (e)		9		93
Capital Southwest Corp. (e)		2		149
CapLease Inc.		46		166
Capstead Mortgage Corp.		55		638
Cardinal Financial Corp.		19		162
Cardtronics Inc. (c)		29		654
Cascade Bancorp (c) (e)		4		21
Cash America International Inc.		19		993
Cathay General Bancorp		50		570
CBL & Associates Properties Inc.		98		1,110
Cedar Shopping Centers Inc.		37		114
Center Bancorp Inc. (e)		7		71
Center Financial Corp. (c)		24		113
CenterState Banks of Florida Inc.		22		116
Central Pacific Financial Corp. (c)		9		91
Century Bancorp. Inc. - Class A		3		65
Charter Financial Corp. (e)		4		39
Chatham Lodging Trust		9		86
Chemical Financial Corp.		17		262
Chesapeake Lodging Trust		20		241
CIFC Corp. (c) (e)		7		31
Citizens & Northern Corp.		8		120
Citizens Inc. - Class A (c)		22		143
City Holdings Co. (e)		11		284
Clifton Savings Bancorp Inc. (e)		5		44
CNB Financial Corp. (e)		8		99
CNO Financial Group Inc. (c)		147		793
CoBiz Financial Inc.		24		109
Cogdell Spencer Inc.		30		113
Cohen & Steers Inc. (e)		12		341
Colonial Properties Trust		55		1,000
Colony Financial Inc.		22		281
Columbia Banking System Inc.		26		370
Community Bank System Inc.		24		554
Community Trust Bancorp Inc.		9		219
Compass Diversified Holdings (e)		27		330
Consolidated-Tomoka Land Co.		3		83
Coresite Realty Corp.		13		186
Cousins Properties Inc.		60		349
Cowen Group Inc. - Class A (c)		46		124
Crawford & Co. - Class B		19		101
Credit Acceptance Corp. (c)		4		268


	Shares/Par (p)		Value
CreXus Investment Corp.		38		340
CubeSmart		65		551
CVB Financial Corp. (e)		59		452
CYS Investments Inc. (e)		55		661
DCT Industrial Trust Inc.		163		715
Delphi Financial Group Inc. - Class A		32		688
DFC Global Corp. (c)		29		637
Diamond Hill Investment Group Inc.		2		110
DiamondRock Hospitality Co.		111		774
Dime Community Bancshares Inc.		21		214
Donegal Group Inc. - Class A		5		63
Doral Financial Corp. (c)		78		85
Duff & Phelps Corp. - Class A		21		220
DuPont Fabros Technology Inc. (e)		39		766
Dynex Capital Inc. (e)		25		203
Eagle Bancorp Inc. (c)		11		127
EastGroup Properties Inc.		17		667
Edelman Financial Group Inc. (e)		14		93
Education Realty Trust Inc.		46		393
eHealth Inc. (c) (e)		14		186
EMC Insurance Group Inc.		3		48
Employer Holdings Inc.		26		335
Encore Bancshares Inc. (c) (e)		7		73
Encore Capital Group Inc. (c)		10		219
Enstar Group Ltd. (c)		4		413
Enterprise Bancorp Inc. (e)		4		44
Enterprise Financial Services Corp.		11		149
Entertainment Properties Trust		31		1,199
Epoch Holding Corp.		10		139
Equity Lifestyle Properties Inc.		20		1,272
Equity One Inc.		36		565
ESB Financial Corp.		8		85
ESSA BanCorp Inc.		8		87
Evercore Partners Inc. - Class A		14		321
Excel Trust Inc. (e)		19		178
Extra Space Storage Inc.		62		1,153
EZCORP Inc. - Class A (c)		31		884
FBL Financial Group Inc. - Class A		8		226
FBR Capital Markets Corp. (c)		39		93
Federal Agricultural Mortgage Corp. - Class C (e)		6		123
FelCor Lodging Trust Inc. (c)		82		190
Fifth Street Finance Corp. (e)		48		449
Financial Engines Inc. (c) (e)		25		462
Financial Institutions Inc.		9		133
First American Financial Corp.		69		889
First Bancorp Inc.		10		101
First Bancorp Inc. (e)		7		86
First Busey Corp.		48		209
First Cash Financial Services Inc. (c)		21		868
First Commonwealth Financial Corp.		71		261
First Community Bancshares Inc.		10		103
First Defiance Financial Corp. (c)		6		79
First Financial Bancorp		38		521
First Financial Bankshares Inc. (e)		20		532
First Financial Corp.		8		208
First Financial Holdings Inc.		10		41
First Industrial Realty Trust Inc. (c)		58		462
First Interstate BancSystem Inc.		11		119
First Marblehead Corp. (c)		33		33
First Merchants Corp.		16		111
First Midwest Bancorp Inc.		50		365
First of Long Island Corp.		5		123
First PacTrust Bancorp Inc. (e)		5		59
First Potomac Realty Trust		32		401
FirstMerit Corp.		72		821


	Shares/Par (p)		Value
Flagstar Bancorp Inc. (c)		120		59
Flagstone Reinsurance Holdings SA		33		253
Flushing Financial Corp.		21		230
FNB Corp.		84		720
Forestar Group Inc. (c)		22		245
Fortegra Financial Corp. (c)		4		19
Fox Chase Bancorp Inc.		9		113
FPIC Insurance Group Inc. (c)		5		223
Franklin Financial Corp. (c)		8		93
Franklin Street Properties Corp.		47		531
FXCM Inc. - Class A (e)		14		192
Gain Capital Holdings Inc. (c) (e)		6		35
GAMCO Investors Inc.		4		175
German American Bancorp Inc. (e)		8		125
Getty Realty Corp. (e)		17		250
GFI Group Inc.		44		177
Glacier Bancorp Inc.		47		439
Gladstone Capital Corp.		13		90
Gladstone Commercial Corp.		7		107
Gladstone Investment Corp.		17		114
Gleacher & Co. Inc. (c)		57		67
Glimcher Realty Trust		71		504
Global Indemnity Plc (c)		9		149
Golub Capital BDC Inc.		6		89
Government Properties Income Trust		24		507
Great Southern Bancorp Inc.		7		121
Greenlight Capital Re Ltd. - Class A (c)		19		388
Hallmark Financial Services Inc. (c)		6		47
Hampton Roads Bankshares Inc. (c) (e)		6		28
Hancock Holding Co.		50		1,346
Hanmi Financial Corp. (c)		95		79
Harleysville Group Inc.		8		488
Harris & Harris Group Inc. (c) (e)		20		71
Hatteras Financial Corp.		49		1,239
Healthcare Realty Trust Inc.		51		859
Heartland Financial USA Inc.		9		133
Hercules Technology Growth Capital Inc.		27		229
Heritage Commerce Corp. (c) (e)		13		49
Heritage Financial Corp.		10		108
Hersha Hospitality Trust		88		305
HFF Inc. - Class A (c)		18		157
Highwoods Properties Inc.		47		1,342
Hilltop Holdings Inc. (c)		27		193
Home Bancshares Inc.		15		310
Home Federal Bancorp Inc.		11		82
Home Properties Inc.		26		1,460
Horace Mann Educators Corp.		26		295
Hudson Pacific Properties Inc.		15		175
Hudson Valley Holding Corp.		10		170
IberiaBank Corp.		19		910
Imperial Holdings Inc. (c)		11		26
Independence Holding Co. (e)		4		32
Independent Bank Corp.		13		291
Infinity Property & Casualty Corp.		8		433
Inland Real Estate Corp.		52		376
International Bancshares Corp.		35		464
INTL FCStone Inc. (c) (e)		9		188
Invesco Mortgage Capital Inc.		75		1,066
Investment Technology Group Inc. (c)		28		274
Investors Bancorp Inc. (c)		30		382
Investors Real Estate Trust (e)		54		386
iStar Financial Inc. (c) (e)		58		336
JMP Group Inc.		9		50
Kansas City Life Insurance Co. (e)		3		95
KBW Inc.		23		313
Kearny Financial Corp.		9		75


	Shares/Par (p)		Value
Kennedy-Wilson Holdings Inc. (e)		15		155
Kilroy Realty Corp.		39		1,206
Kite Realty Group Trust		36		132
Knight Capital Group Inc. - Class A (c)		66		799
Kohlberg Capital Corp. (e)		12		68
Ladenburg Thalmann Financial Services Inc. (c) (e)		75		116
Lakeland Bancorp Inc.		13		102
Lakeland Financial Corp.		10		210
LaSalle Hotel Properties		56		1,080
Lexington Realty Trust (e)		80		520
LTC Properties Inc.		20		511
Maiden Holdings Ltd.		32		236
Main Street Capital Corp. (e)		14		242
MainSource Financial Group Inc.		12		108
MarketAxess Holdings Inc.		19		496
Marlin Business Services Inc. (c)		7		74
MB Financial Inc.		36		533
MCG Capital Corp.		48		188
Meadowbrook Insurance Group Inc.		33		298
Medallion Financial Corp.		11		105
Medical Properties Trust Inc.		74		662
Medley Capital Corp.		7		68
Merchants Bancshares Inc. (e)		3		81
Meridian Interstate BanCorp Inc. (c)		4		47
Metro Bancorp Inc. (c)		11		92
MF Global Holdings Ltd. (c) (e)		109		450
MFA Financial Inc.		234		1,645
MGIC Investment Corp. (c)		118		220
Mid-America Apartment Communities Inc.		24		1,455
Midsouth Bancorp Inc.		5		51
Mission West Properties Inc.		12		88
Monmouth Real Estate Investment Corp. - Class A		22		174
Montpelier Re Holdings Ltd.		41		731
MPG Office Trust Inc. (c) (e)		38		80
MVC Capital Inc. (e)		16		165
Nara Bancorp Inc. (c)		24		143
National Bankshares Inc. (e)		5		124
National Financial Partners Corp. (c) (e)		30		323
National Health Investors Inc.		16		681
National Interstate Corp.		4		94
National Penn Bancshares Inc.		81		568
National Retail Properties Inc.		56		1,505
National Western Life Insurance Co. - Class A		1		201
Navigators Group Inc. (c)		8		365
NBT Bancorp Inc.		23		421
Nelnet Inc. - Class A		16		300
Netspend Holdings Inc. (c)		19		97
New Mountain Finance Corp.		4		56
Newcastle Investment Corp.		54		218
NewStar Financial Inc. (c)		17		154
NGP Capital Resources Co. (e)		15		95
Nicholas Financial Inc. (e)		6		58
Northfield Bancorp Inc. (e)		11		144
NorthStar Realty Finance Corp.		60		198
Northwest Bancshares Inc.		70		836
OceanFirst Financial Corp.		10		121
Ocwen Financial Corp. (c)		49		641
Old National Bancorp		63		586
Omega Healthcare Investors Inc.		67		1,068
OmniAmerican Bancorp Inc. (c)		8		104
One Liberty Properties Inc.		8		120
OneBeacon Insurance Group Ltd.		13		184
Oppenheimer Holdings Inc. - Class A		7		116
Oriental Financial Group Inc.		31		298


	Shares/Par (p)		Value
Oritani Financial Corp.		37		482
Orrstown Financial Services Inc. (e)		5		60
Pacific Capital Bancorp NA (c) (e)		2		64
Pacific Continental Corp.		11		77
PacWest Bancorp		19		263
Park National Corp. (e)		8		432
Park Sterling Corp. (c) (e)		17		59
Parkway Properties Inc.		14		158
Pebblebrook Hotel Trust		34		530
PennantPark Investment Corp. (e)		29		262
Penns Woods Bancorp Inc. (e)		2		79
Pennsylvania Real Estate Investment Trust (e)		36		280
Pennymac Mortgage Investment Trust		19		295
Peoples Bancorp Inc.		8		92
PHH Corp. (c)		37		600
Phoenix Cos. Inc. (c)		77		95
Pico Holdings Inc. (c)		15		305
Pinnacle Financial Partners Inc. (c)		22		241
Piper Jaffray Cos. (c)		10		175
Platinum Underwriters Holdings Ltd.		24		745
PMI Group Inc. (c)		88		18
Portfolio Recovery Associates Inc. (c)		11		684
Post Properties Inc.		33		1,141
Potlatch Corp.		26		814
Presidential Life Corp.		15		125
Primerica Inc.		23		489
Primus Guaranty Ltd. (c) (e)		16		83
PrivateBancorp Inc.		37		281
ProAssurance Corp.		20		1,451
Prospect Capital Corp. (e)		72		608
Prosperity Bancshares Inc.		31		1,011
Provident Financial Services Inc.		39		422
Provident New York Bancorp		24		138
PS Business Parks Inc.		12		611
Pzena Investment Management Inc. - Class A		4		13
Radian Group Inc.		82		179
RAIT Financial Trust (e)		28		94
Ramco-Gershenson Properties Trust		24		195
Redwood Trust Inc. (e)		52		582
Renasant Corp. (e)		17		217
Republic Bancorp Inc. - Class A		6		108
Resource Capital Corp.		48		241
Retail Opportunity Investments Corp. (e)		26		291
RLI Corp. (e)		12		768
RLJ Lodging Trust		17		213
Rockville Financial Inc.		18		172
Roma Financial Corp. (e)		4		35
S&T Bancorp Inc. (e)		17		283
Sabra Healthcare REIT Inc.		24		230
Safety Insurance Group Inc.		8		321
Sandy Spring Bancorp Inc.		16		238
Saul Centers Inc.		5		171
SCBT Financial Corp.		9		225
SeaBright Insurance Holdings Inc.		13		97
Seacoast Banking Corp. of Florida (c)		44		65
Selective Insurance Group		35		454
Sierra Bancorp		7		66
Signature Bank (c)		30		1,439
Simmons First National Corp. - Class A		11		231
Solar Capital Ltd.		24		488
Solar Senior Capital Ltd.		5		71
Southside Bancshares Inc.		11		201
Southwest Bancorp Inc. (c)		12		49
Sovran Self Storage Inc.		18		666
STAG Industrial Inc.		10		98
Starwood Property Trust Inc.		62		1,056


	Shares/Par (p)		Value
State Auto Financial Corp.		8		110
State Bancorp. Inc.		11		117
State Bank Financial Corp. (c)		21		269
StellarOne Corp.		14		142
Sterling Bancorp		20		149
Sterling Financial Corp. (c) (e)		16		201
Stewart Information Services Corp. (e)		14		120
Stifel Financial Corp. (c)		35		942
Strategic Hotels & Resorts Inc. (c)		116		501
Suffolk Bancorp		7		58
Summit Hotel Properties Inc.		16		112
Sun Bancorp Inc. (c) (e)		23		60
Sun Communities Inc.		14		497
Sunstone Hotel Investors Inc. (c)		79		449
Susquehanna Bancshares Inc.		83		453
SVB Financial Group (c)		28		1,046
SWS Group Inc.		20		93
SY Bancorp Inc.		7		136
Symetra Financial Corp.		45		367
Tanger Factory Outlet Centers Inc.		57		1,472
Taylor Capital Group Inc. (c) (e)		9		61
Tejon Ranch Co. (c)		10		230
Terreno Realty Corp		7		85
Territorial Bancorp Inc.		8		147
Texas Capital Bancshares Inc. (c)		25		565
THL Credit Inc.		5		53
TICC Capital Corp.		22		180
Tompkins Financial Corp.		6		198
Tower Bancorp Inc.		6		132
Tower Group Inc.		24		547
TowneBank (e)		17		189
Triangle Capital Corp. (e)		14		220
Trico Bancshares (e)		9		115
TrustCo Bank Corp.		57		256
Trustmark Corp. (e)		41		749
Two Harbors Investment Corp. (e)		93		821
UMB Financial Corp.		21		680
UMH Properties Inc.		8		68
Umpqua Holdings Corp.		73		642
Union First Market Bankshares Corp.		14		152
United Bankshares Inc. (e)		33		660
United Community Banks Inc. (c) (e)		27		230
United Financial Bancorp Inc.		11		153
United Fire & Casualty Co.		13		238
Universal Health Realty Income Trust		7		251
Universal Insurance Holdings Inc. (e)		9		36
Univest Corp. of Pennsylvania		12		156
Urstadt Biddle Properties Inc. - Class A		16		249
ViewPoint Financial Group		21		245
Virginia Commerce Bancorp (c)		15		86
Virtus Investment Partners Inc. (c)		4		200
Walker & Dunlop Inc. (c)		7		76
Walter Investment Management Corp.		17		395
Washington Banking Co.		11		111
Washington REIT		43		1,225
Washington Trust Bancorp Inc.		9		170
Webster Financial Corp.		48		729
WesBanco Inc.		16		270
West Bancorp Inc. (e)		12		101
West Coast Bancorp (c) (e)		12		172
Westamerica Bancorporation		19		714
Western Alliance Bancorp (c)		47		257
Westfield Financial Inc.		20		129
Westwood Holdings Group Inc.		4		129
Whitestone REIT (e)		5		51
Wilshire Bancorp Inc. (c)		42		116


	Shares/Par (p)		Value
Winthrop Realty Trust		19		164
Wintrust Financial Corp.		23		598
World Acceptance Corp. (c) (e)		10		572
WSFS Financial Corp.		4		141

				140,011
HEALTH CARE - 12.7%
Abaxis Inc. (c) (e)		14		327
Abiomed Inc. (c) (e)		21		237
Accelrys Inc. (c)		34		205
Accretive Health Inc. (c) (e)		27		563
Accuray Inc. (c)		43		171
Achillion Pharmaceuticals Inc. (c)		33		154
Acorda Therapeutics Inc. (c)		26		522
Acura Pharmaceuticals Inc. (c) (e)		4		13
Aegerion Pharmaceuticals Inc. (c)		6		72
Affymax Inc. (c)		21		95
Affymetrix Inc. (c)		48		234
Air Methods Corp. (c)		8		480
Akorn Inc. (c)		37		292
Albany Molecular Research Inc. (c)		15		42
Align Technology Inc. (c)		41		616
Alimera Sciences Inc. (c) (e)		7		56
Alkermes Plc (c)		63		961
Alliance HealthCare Services Inc. (c)		19		21
Allos Therapeutics Inc. (c)		47		87
Almost Family Inc. (c)		5		79
Alnylam Pharmaceuticals Inc. (c)		24		160
Alphatec Holdings Inc. (c)		39		83
AMAG Pharmaceuticals Inc. (c)		14		212
Amedisys Inc. (c)		19		276
American Dental Partners Inc. (c)		10		93
Amicus Therapeutics Inc. (c)		10		37
AMN Healthcare Services Inc. (c)		28		112
Ampio Pharmaceuticals Inc. (c) (e)		12		80
Amsurg Corp. (c)		20		456
Anacor Pharmaceuticals Inc. (c)		12		68
Analogic Corp.		8		377
AngioDynamics Inc. (c)		17		219
Antares Pharma Inc. (c)		57		132
Anthera Pharmaceuticals Inc. (c)		17		79
Ardea Biosciences Inc. (c)		12		180
Arena Pharmaceuticals Inc. (c) (e)		88		128
Ariad Pharmaceuticals Inc. (c)		87		768
ArQule Inc. (c)		32		162
Array BioPharma Inc. (c)		35		69
ArthroCare Corp. (c)		18		522
Assisted Living Concepts Inc. - Class A		12		152
Astex Pharmaceuticals (c)		40		78
athenahealth Inc. (c) (e)		23		1,369
AtriCure Inc. (c)		9		83
Atrion Corp.		1		222
Auxilium Pharmaceuticals Inc. (c)		32		477
AVANIR Pharmaceuticals - Class A (c) (e)		77		221
AVEO Pharmaceuticals Inc. (c)		21		324
AVI BioPharma Inc. (c)		96		108
Bacterin International Holdings Inc. (c) (e)		14		27
BG Medicine Inc. (c) (e)		5		17
Bio-Reference Labs Inc. (c) (e)		15		279
BioCryst Pharmaceuticals Inc. (c) (e)		16		43
Biolase Technology Inc. (c) (e)		17		52
BioMimetic Therapeutics Inc. (c) (e)		11		35
Biosante Pharmaceuticals Inc. (c) (e)		72		163
BioScrip Inc. (c)		27		171
BioSpecifics Technologies Corp. (c) (e)		3		49
Biotime Inc. (c) (e)		17		76


	Shares/Par (p)		Value
Cadence Pharmaceuticals Inc. (c) (e)		24		155
Caliper Life Sciences Inc. (c)		29		307
Cambrex Corp. (c)		23		115
Cantel Medical Corp.		9		190
Capital Senior Living Corp. (c)		20		123
CardioNet Inc. (c)		16		49
Cardiovascular Systems Inc. (c)		8		92
Cell Therapeutics Inc. (c) (e)		126		134
Celldex Therapeutics Inc. (c) (e)		34		78
Centene Corp. (c)		33		946
Cepheid Inc. (c)		41		1,580
Cerus Corp. (c) (e)		32		67
Chelsea Therapeutics International Inc. (c) (e)		33		121
Chemed Corp.		14		774
Chindex International Inc. (c) (e)		9		76
Cleveland Biolabs Inc. (c) (e)		14		36
Codexis Inc. (c)		15		69
Columbia Laboratories Inc. (c) (e)		45		87
Complete Genomics Inc. (c)		6		36
Computer Programs & Systems Inc.		7		488
Conceptus Inc. (c)		20		208
Conmed Corp. (c)		18		420
Continucare Corp. (c)		22		137
Corcept Therapeutics Inc. (c)		22		69
Cornerstone Therapeutics Inc. (c)		6		41
Corvel Corp. (c)		4		172
Cross Country Healthcare Inc. (c)		21		87
CryoLife Inc. (c)		17		75
Cubist Pharmaceuticals Inc. (c)		40		1,396
Curis Inc. (c) (e)		50		157
Cyberonics Inc. (c)		18		514
Cynosure Inc. - Class A (c)		6		59
Cytori Therapeutics Inc. (c) (e)		36		108
Delcath Systems Inc. (c) (e)		36		120
DepoMed Inc. (c)		34		186
DexCom Inc. (c)		45		536
Durect Corp. (c)		54		87
DUSA Pharmaceuticals Inc. (c)		15		55
Dyax Corp. (c)		60		76
Dynavax Technologies Inc. (c)		73		135
Dynavox Inc. - Class A (c)		5		18
Emergent BioSolutions Inc. (c)		15		234
Emeritus Corp. (c)		19		268
Endocyte Inc. (c) (e)		11		119
Endologix Inc. (c)		33		330
Ensign Group Inc.		10		235
Enzo Biochem Inc. (c) (e)		30		78
Enzon Pharmaceuticals Inc. (c) (e)		28		197
Epocrates Inc. (c)		3		29
eResearch Technology Inc. (c)		31		140
Exact Sciences Corp. (c)		33		216
ExacTech Inc. (c)		7		93
ExamWorks Group Inc. (c) (e)		17		170
Exelixis Inc. (c)		82		447
Five Star Quality Care Inc. (c)		32		81
Fluidigm Corp. (c) (e)		4		54
Furiex Pharmaceuticals Inc. (c)		6		88
Genomic Health Inc. (c) (e)		11		232
Gentiva Health Services Inc. (c)		20		108
Geron Corp. (c) (e)		81		172
Greatbatch Inc. (c)		14		289
GTx Inc. (c)		11		37
Haemonetics Corp. (c)		17		992
Halozyme Therapeutics Inc. (c)		55		337
Hanger Orthopedic Group Inc. (c)		22		423
Hansen Medical Inc. (c) (e)		36		118


	Shares/Par (p)		Value
Harvard Bioscience Inc. (c)		14		59
Healthsouth Corp. (c)		63		937
HealthSpring Inc. (c)		45		1,626
HealthStream Inc. (c)		9		120
Healthways Inc. (c)		22		215
HeartWare International Inc. (c) (e)		8		515
Hi-Tech Pharmacal Co. Inc. (c)		7		238
HMS Holdings Corp. (c)		56		1,362
ICU Medical Inc. (c)		8		300
Idenix Pharmaceuticals Inc. (c)		34		170
Immunogen Inc. (c) (e)		50		548
Immunomedics Inc. (c) (e)		43		137
Impax Laboratories Inc. (c)		43		774
Incyte Corp. (c)		57		793
Infinity Pharmaceuticals Inc. (c) (e)		12		83
Inhibitex Inc. (c)		39		95
Insmed Inc. (c) (e)		15		77
Insulet Corp. (c)		31		467
Integra LifeSciences Holdings Corp. (c)		13		480
InterMune Inc. (c)		32		654
Invacare Corp.		18		418
IPC The Hospitalist Co. Inc. (c)		10		365
IRIS International Inc. (c)		11		100
Ironwood Pharmaceuticals Inc. (c)		34		364
Isis Pharmaceuticals Inc. (c) (e)		66		450
Ista Pharmaceuticals Inc. (c)		21		72
Jazz Pharmaceuticals Inc. (c)		15		609
Kensey Nash Corp. (c)		6		145
Keryx Biopharmaceuticals Inc. (c)		48		143
Kindred Healthcare Inc. (c)		33		288
KV Pharmaceutical Co. - Class A (c) (e)		31		42
Landauer Inc.		6		302
Lannett Co. Inc. (c) (e)		11		42
Lexicon Pharmaceuticals Inc. (c) (e)		128		118
LHC Group Inc. (c)		10		176
Ligand Pharmaceuticals Inc. (c)		12		161
Luminex Corp. (c)		24		537
Magellan Health Services Inc. (c)		21		1,023
MAKO Surgical Corp. (c) (e)		21		726
MannKind Corp. (c) (e)		46		175
MAP Pharmaceuticals Inc. (c)		14		198
Masimo Corp.		35		752
Maxygen Inc. (e)		22		123
MedAssets Inc. (c)		30		286
Medical Action Industries Inc. (c)		10		52
Medicines Co. (c)		36		534
Medicis Pharmaceutical Corp. - Class A		41		1,483
Medidata Solutions Inc. (c)		14		235
Medivation Inc. (c)		20		335
MedQuist Holdings Inc. (c)		19		145
MEDTOX Scientific Inc.		5		60
Merge Healthcare Inc. (c)		32		192
Meridian Bioscience Inc.		27		430
Merit Medical Systems Inc. (c)		28		368
Metabolix Inc. (c) (e)		22		95
Metropolitan Health Networks Inc. (c)		30		134
Micromet Inc. (c) (e)		60		290
Molina Healthcare Inc. (c)		17		270
Momenta Pharmaceuticals Inc. (c)		31		353
MWI Veterinary Supply Inc. (c)		8		550
Nabi Biopharmaceuticals (c)		28		47
National Healthcare Corp.		6		206
National Research Corp.		1		25
Natus Medical Inc. (c)		19		178
Nektar Therapeutics (c)		76		369
Neogen Corp. (c)		15		511


	Shares/Par (p)		Value
Neoprobe Corp. (c) (e)		65		193
NeoStem Inc. (c) (e)		14		9
Neurocrine Biosciences Inc. (c) (e)		30		177
Novavax Inc. (c) (e)		74		119
NPS Pharmaceuticals Inc. (c)		57		374
NuVasive Inc. (c)		26		450
NxStage Medical Inc. (c)		30		619
Nymox Pharmaceutical Corp. (c) (e)		14		114
Obagi Medical Products Inc. (c)		12		105
Omnicell Inc. (c)		21		287
OncoGenex Pharmaceutical Inc. (c)		6		58
Oncothyreon Inc. (c) (e)		25		151
Onyx Pharmaceuticals Inc. (c)		42		1,253
Opko Health Inc. (c)		68		294
Optimer Pharmaceuticals Inc. (c) (e)		29		400
OraSure Technologies Inc. (c)		28		225
Orexigen Therapeutics Inc. (c) (e)		18		37
Orthofix International NV (c)		12		401
Osiris Therapeutics Inc. (c) (e)		13		65
Owens & Minor Inc.		42		1,197
Pacific Biosciences of California Inc. (c) (e)		21		67
Pacira Pharmaceuticals Inc. (c)		3		29
Pain Therapeutics Inc. (c) (e)		21		98
Palomar Medical Technologies Inc. (c)		13		100
Par Pharmaceutical Cos. Inc. (c)		24		639
Parexel International Corp. (c)		39		738
PDL BioPharma Inc.		91		506
Peregrine Pharmaceuticals Inc. (c) (e)		40		43
Pernix Therapeutics Holdings (c)		3		31
Pharmacyclics Inc. (c)		31		364
PharmAthene Inc. (c) (e)		22		38
PharMerica Corp. (c)		21		295
Pozen Inc. (c)		17		40
Progenics Pharmaceuticals Inc. (c)		17		98
Providence Services Corp. (c)		9		94
PSS World Medical Inc. (c) (e)		37		723
Quality Systems Inc.		13		1,240
Questcor Pharmaceuticals Inc. (c)		35		956
Quidel Corp. (c) (e)		18		290
RadNet Inc. (c) (e)		19		45
Raptor Pharmaceutical Corp. (c) (e)		26		117
Rigel Pharmaceuticals Inc. (c)		43		313
Rockwell Medical Technologies Inc. (c) (e)		10		79
RTI Biologics Inc. (c)		33		109
Sagent Pharmaceuticals Inc. (c) (e)		4		82
Salix Pharmaceuticals Ltd. (c)		39		1,141
Sangamo Biosciences Inc. (c) (e)		36		157
Santarus Inc. (c)		37		102
Savient Pharmaceuticals Inc. (c) (e)		47		193
Sciclone Pharmaceuticals Inc. (c)		27		102
Seattle Genetics Inc. (c) (e)		64		1,214
Select Medical Holdings Corp. (c)		28		188
Sequenom Inc. (c) (e)		66		334
SIGA Technologies Inc. (c) (e)		24		79
Skilled Healthcare Group Inc. - Class A (c)		12		45
Solta Medical Inc. (c)		41		51
SonoSite Inc. (c)		8		257
Spectranetics Corp. (c)		22		156
Spectrum Pharmaceuticals Inc. (c)		35		268
Staar Surgical Co. (c)		24		184
Stereotaxis Inc. (c) (e)		28		31
STERIS Corp.		39		1,143
Sucampo Pharmaceuticals Inc. - Class A (c) (e)		13		49
Sun Healthcare Group Inc. (c)		15		40
Sunesis Pharmaceuticals Inc. (c) (e)		17		21
Sunrise Senior Living Inc. (c) (e)		35		162


	Shares/Par (p)		Value
SurModics Inc. (c)		12		108
Symmetry Medical Inc. (c)		24		189
Synergetics USA Inc. (c) (e)		13		73
Synovis Life Technologies Inc. (c)		7		118
Synta Pharmaceuticals Corp. (c) (e)		14		45
Targacept Inc. (c)		17		258
Team Health Holdings Inc. (c)		16		271
Theravance Inc. (c)		46		919
Tornier BV (c)		6		131
Transcend Services Inc. (c)		6		130
Transcept Pharmaceuticals Inc. (c) (e)		3		19
Triple-S Management Corp. - Class B (c)		12		202
Trius Therapeutics Inc. (c)		4		24
Unilife Corp. (c) (e)		39		164
Universal American Corp.		20		201
Uroplasty Inc. (c)		13		61
US Physical Therapy Inc.		7		136
Vanda Pharmaceuticals Inc. (c)		21		104
Vascular Solutions Inc. (c)		12		137
Vical Inc. (c) (e)		53		130
ViroPharma Inc. (c)		49		890
Vivus Inc. (c) (e)		58		470
Volcano Corp. (c)		34		1,020
WellCare Health Plans Inc. (c)		28		1,066
West Pharmaceutical Services Inc.		22		821
Wright Medical Group Inc. (c)		25		439
XenoPort Inc. (c)		21		123
Young Innovations Inc.		4		115
Zalicus Inc. (e)		55		54
ZIOPHARM Oncology Inc. (c) (e)		40		177
Zogenix Inc. (c) (e)		7		12
Zoll Medical Corp. (c)		14		525

				81,890
INDUSTRIALS - 14.8%
3D Systems Corp. (c) (e)		28		391
A123 Systems Inc. (c) (e)		58		201
AAON Inc. (e)		12		196
AAR Corp.		26		440
ABM Industries Inc.		35		670
Acacia Research Corp. (c)		28		1,015
ACCO Brands Corp. (c)		37		175
Aceto Corp.		16		86
Active Power Inc. (c) (e)		49		63
Actuant Corp. - Class A		45		896
Acuity Brands Inc.		29		1,029
Advisory Board Co. (c)		11		679
AeroVironment Inc. (c)		11		297
Air Transport Services Group Inc (c)		34		148
Aircastle Ltd.		39		369
Alamo Group Inc.		5		100
Alaska Air Group Inc. (c)		24		1,329
Albany International Corp. - Class A		18		323
Allegiant Travel Co. (c)		10		471
Altra Holdings Inc. (c)		18		204
AMERCO (c)		6		350
Ameresco Inc. - Class A (c)		11		111
American Railcar Industries Inc. (c)		6		99
American Reprographics Co. (c)		22		74
American Science & Engineering Inc.		6		371
American Superconductor Corp. (c) (e)		31		123
American Woodmark Corp.		7		82
Ameron International Corp.		6		517
Ampco-Pittsburgh Corp.		5		102
AO Smith Corp.		25		804
APAC Customer Services Inc. (c)		20		168


	Shares/Par (p)		Value
Apogee Enterprises Inc.		19		163
Applied Energetics Inc. (c)		—		—
Applied Industrial Technologies Inc.		28		761
Argan Inc. (c)		7		68
Arkansas Best Corp.		16		258
Astec Industries Inc. (c)		13		382
Astronics Corp. (c)		8		216
Atlas Air Worldwide Holdings Inc. (c)		17		579
Avis Budget Group Inc. (c)		69		672
AZZ Inc.		8		325
Badger Meter Inc. (e)		9		274
Baltic Trading Ltd. (e)		12		55
Barnes Group Inc.		36		694
Barrett Business Services Inc.		6		84
Beacon Roofing Supply Inc. (c) (e)		29		466
Belden Inc.		31		808
Blount International Inc. (c)		31		419
Brady Corp. - Class A		31		815
Briggs & Stratton Corp.		34		453
Brink's Co.		31		720
Broadwind Energy Inc. (c) (e)		71		23
Builders FirstSource Inc. (c)		25		32
CAI International Inc. (c)		7		81
Capstone Turbine Corp. (c) (e)		157		157
Cascade Corp.		6		190
Casella Waste Systems Inc. - Class A (c)		18		96
CBIZ Inc. (c)		27		178
CDI Corp.		8		88
Celadon Group Inc.		12		110
Cenveo Inc. (c) (e)		33		100
Ceradyne Inc. (c)		17		444
Chart Industries Inc. (c)		19		819
Chase Corp. (e)		4		42
CIRCOR International Inc.		11		329
CLARCOR Inc.		33		1,374
Clean Harbors Inc. (c)		31		1,582
Coleman Cable Inc. (c)		4		36
Colfax Corp. (c) (e)		16		324
Columbus Mckinnon Corp. (c)		12		131
Comfort Systems USA Inc.		24		198
Commercial Vehicle Group Inc. (c)		18		118
Consolidated Graphics Inc. (c)		6		216
Corporate Executive Board Co.		23		682
CoStar Group Inc. (c)		17		869
Courier Corp.		6		42
Covenant Transportation Group Inc. (c)		5		18
CRA International Inc. (c)		7		132
Cubic Corp.		11		412
Curtiss-Wright Corp.		31		885
Deluxe Corp.		33		618
DigitalGlobe Inc. (c)		23		456
Dolan Media Co. (c)		18		164
Dollar Thrifty Automotive Group Inc. (c)		19		1,074
Douglas Dynamics Inc.		11		147
Ducommun Inc.		8		117
DXP Enterprises Inc. (c)		5		99
Dycom Industries Inc. (c)		24		360
Dynamic Materials Corp.		9		138
Eagle Bulk Shipping Inc. (c) (e)		41		64
EMCOR Group Inc.		44		898
Encore Wire Corp. (e)		12		239
Ener1 Inc. (c)		37		5
Energy Recovery Inc. (c) (e)		36		108
EnergySolutions Inc. (c)		55		195
EnerNOC Inc. (c) (e)		14		127
EnerSys		33		666


	Shares/Par (p)		Value
Ennis Inc.		17		226
EnPro Industries Inc. (c)		13		393
ESCO Technologies Inc.		18		451
Essex Rental Corp. (c) (e)		10		26
Esterline Technologies Corp. (c)		20		1,041
Excel Maritime Carriers Ltd. (c) (e)		38		80
Exponent Inc. (c)		9		364
Federal Signal Corp.		40		176
Flow International Corp. (c)		35		78
Force Protection Inc. (c)		45		174
Forward Air Corp.		19		481
Franklin Covey Co. (c)		9		65
Franklin Electric Co. Inc.		15		550
FreightCar America Inc. (c)		7		103
FTI Consulting Inc. (c) (e)		28		1,022
Fuel Tech Inc. (c)		12		70
FuelCell Energy Inc. (c) (e)		84		70
Furmanite Corp. (c)		25		137
G&K Services Inc. - Class A		13		321
Genco Shipping & Trading Ltd. (c) (e)		17		131
GenCorp Inc. (c)		39		177
Generac Holdings Inc. (c)		16		292
Genesee & Wyoming Inc. - Class A (c)		26		1,215
Geo Group Inc. (c)		43		796
GeoEye Inc. (c)		14		401
Gibraltar Industries Inc. (c)		20		159
Global Power Equipment Group Inc. (c) (e)		10		222
Gorman-Rupp Co.		10		253
GP Strategies Corp. (c)		11		112
Graham Corp.		7		112
Granite Construction Inc.		26		483
Great Lakes Dredge & Dock Corp.		37		152
Greenbrier Cos. Inc. (c)		12		136
Griffon Corp. (c)		30		245
H&E Equipment Services Inc. (c)		17		141
Hawaiian Holdings Inc. (c)		32		135
Healthcare Services Group Inc.		44		711
Heartland Express Inc.		32		438
HEICO Corp. (e)		27		1,353
Heidrick & Struggles International Inc.		11		178
Heritage-Crystal Clean Inc. (c)		3		52
Herman Miller Inc.		37		659
Hexcel Corp. (c)		65		1,430
Higher One Holdings Inc. (c) (e)		21		334
Hill International Inc. (c)		18		85
HNI Corp.		29		548
Houston Wire & Cable Co.		12		138
HUB Group Inc. - Class A (c)		24		689
Hudson Highland Group Inc. (c)		21		70
Hurco Cos. Inc. (c)		4		79
Huron Consulting Group Inc. (c)		15		461
ICF International Inc. (c)		12		230
II-VI Inc. (c)		34		601
InnerWorkings Inc. (c) (e)		18		141
Insituform Technologies Inc. - Class A (c)		26		306
Insperity Inc.		15		341
Insteel Industries Inc.		12		124
Interface Inc. - Class A		35		416
Interline Brands Inc. (c)		21		266
International Shipholding Corp.		4		76
Intersections Inc.		6		72
JetBlue Airways Corp. (c)		163		670
John Bean Technologies Corp.		18		255
Kadant Inc. (c)		8		139
Kaman Corp. - Class A		17		471
Kaydon Corp.		21		609


	Shares/Par (p)		Value
Kelly Services Inc. - Class A		16		187
Keyw Holding Corp. (c) (e)		11		81
Kforce Inc. (c)		23		225
Kimball International Inc. - Class B		23		113
Knight Transportation Inc.		41		539
Knoll Inc.		32		437
Korn/Ferry International (c)		31		381
Kratos Defense & Security Solutions Inc. (c)		21		144
Lawson Products Inc.		2		29
Layne Christensen Co. (c)		13		293
LB Foster Co.		6		137
Lindsay Corp.		8		430
LMI Aerospace Inc. (c)		6		97
LSI Industries Inc.		13		80
Lydall Inc. (c)		14		121
M&F Worldwide Corp. (c)		7		180
Marten Transport Ltd.		11		183
MasTec Inc. (c)		37		660
McGrath RentCorp		16		387
Meritor Inc. (c)		61		429
Met-Pro Corp.		11		94
Metalico Inc. (c) (e)		23		88
Michael Baker Corp. (c)		5		91
Middleby Corp. (c)		12		872
Miller Industries Inc.		8		143
Mine Safety Appliances Co.		18		487
Mistras Group Inc. (c)		10		177
Mobile Mini Inc. (c)		23		383
Moog Inc. - Class A (c)		30		977
Mueller Industries Inc.		24		942
Mueller Water Products Inc.		98		242
Multi-Color Corp.		7		154
MYR Group Inc. (c)		13		225
NACCO Industries Inc. - Class A		4		249
Navigant Consulting Inc. (c)		32		299
NCI Building Systems Inc. (c)		13		97
NN Inc. (c)		10		51
Northwest Pipe Co. (c)		6		129
Odyssey Marine Exploration Inc. (c) (e)		51		126
Old Dominion Freight Line Inc. (c)		31		908
Omega Flex Inc. (c) (e)		1		12
On Assignment Inc. (c)		24		171
Orbital Sciences Corp. (c)		39		497
Orion Marine Group Inc. (c)		17		99
Otter Tail Corp.		23		422
Pacer International Inc. (c)		25		95
Park-Ohio Holdings Corp. (c)		6		78
Patriot Transportation Holding Inc. (c) (e)		3		67
Pendrell Corp. (c) (e)		105		237
Pike Electric Corp. (c)		11		73
PMFG Inc. (c) (e)		12		189
Powell Industries Inc. (c)		6		178
PowerSecure International Inc. (c)		12		58
Preformed Line Products Co. (e)		2		70
Primoris Services Corp.		17		174
Quad/Graphics Inc. (e)		16		286
Quality Distribution Inc. (c)		10		94
Quanex Building Products Corp.		24		260
RailAmerica Inc. (c)		16		204
Raven Industries Inc.		12		578
RBC Bearings Inc. (c)		14		484
Republic Airways Holdings Inc. (c)		36		101
Resources Connection Inc.		30		290
Roadrunner Transportation Systems Inc. (c)		6		78
Robbins & Myers Inc.		26		903
Rollins Inc.		42		787


	Shares/Par (p)		Value
RPX Corp. (c)		6		120
RSC Holdings Inc. (c)		42		300
Rush Enterprises Inc. - Class A (c)		21		298
Saia Inc. (c)		11		112
SatCon Technology Corp. (c) (e)		71		67
Sauer-Danfoss Inc. (c)		8		221
Schawk Inc. - Class A		7		73
School Specialty Inc. (c) (e)		10		75
Seaboard Corp.		—		368
SeaCube Container Leasing Ltd.		8		95
Simpson Manufacturing Co. Inc.		28		687
SkyWest Inc.		34		390
Spirit Airlines Inc. (c)		9		118
Standard Parking Corp. (c)		10		153
Standex International Corp.		8		250
Steelcase Inc. - Class A		53		336
Sterling Construction Co. Inc. (c)		10		108
Sun Hydraulics Corp.		13		274
Swift Transporation Co. (c)		53		341
Swisher Hygiene Inc. (c) (e)		51		208
Sykes Enterprises Inc. (c)		27		403
TAL International Group Inc.		14		359
Taser International Inc. (c)		41		178
Team Inc. (c)		12		255
Tecumseh Products Co. - Class A (c)		14		102
Teledyne Technologies Inc. (c)		24		1,183
Tennant Co.		13		450
Tetra Tech Inc. (c)		41		773
Textainer Group Holdings Ltd.		7		144
Thermon Group Holdings Inc. (c)		6		84
Titan International Inc.		28		420
Titan Machinery Inc. (c)		10		172
TMS International Corp. (c)		8		57
TRC Cos. Inc. (c)		11		32
Tredegar Corp.		15		227
Trex Co. Inc. (c) (e)		10		153
TriMas Corp. (c)		16		235
Triumph Group Inc.		25		1,209
TrueBlue Inc. (c)		30		336
Tutor Perini Corp.		19		223
Twin Disc Inc.		6		152
Ultrapetrol Ltd. (c) (e)		13		30
UniFirst Corp.		9		428
United Rentals Inc. (c) (e)		41		698
United Stationers Inc.		30		829
UniTek Global Services Inc. (c)		7		33
Universal Forest Products Inc.		12		292
Universal Truckload Services Inc.		3		36
US Airways Group Inc. (c) (e)		104		573
US Ecology Inc.		12		193
USG Corp. (c) (e)		48		321
Valence Technology Inc. (c) (e)		41		43
Viad Corp.		13		223
Vicor Corp.		12		101
VSE Corp.		3		86
Wabash National Corp. (c)		42		198
Watsco Inc.		19		948
Watts Water Technologies Inc. - Class A		19		509
WCA Waste Corp. (c) (e)		10		43
Werner Enterprises Inc.		29		605
Woodward Governor Co.		41		1,111
Xerium Technologies Inc. (c) (e)		7		71
Zipcar Inc. (c) (e)		6		112

				95,786


	Shares/Par (p)		Value
INFORMATION TECHNOLOGY - 16.7%
ACI Worldwide Inc. (c)		22		610
Active Network Inc. (c)		7		110
Actuate Corp. (c)		28		152
Acxiom Corp. (c)		54		574
ADTRAN Inc.		43		1,128
Advanced Analogic Technologies Inc. (c)		26		113
Advanced Energy Industries Inc. (c)		27		234
Advent Software Inc. (c)		21		430
Aeroflex Holding Corp. (c)		12		110
Agilysys Inc. (c)		11		77
Alpha & Omega Semiconductor Ltd. (c) (e)		9		74
American Software Inc. - Class A		14		103
Amkor Technology Inc. (c) (e)		68		295
Amtech Systems Inc. (c)		6		46
Anadigics Inc. (c)		42		90
Anaren Inc. (c)		10		198
Ancestry.com Inc. (c) (e)		21		493
Anixter International Inc.		19		908
Applied Micro Circuits Corp. (c)		43		232
Archipelago Learning Inc. (c)		10		81
Arris Group Inc. (c)		80		826
Aruba Networks Inc. (c) (e)		56		1,177
Aspen Technology Inc. (c)		56		854
ATMI Inc. (c)		21		336
Aviat Networks Inc. (c)		46		107
Avid Technology Inc. (c) (e)		18		142
Axcelis Technologies Inc. (c)		69		83
AXT Inc. (c)		20		101
Bel Fuse Inc. - Class B		6		98
Benchmark Electronics Inc. (c)		39		508
BigBand Networks Inc. (c)		27		35
Black Box Corp.		12		248
Blackbaud Inc.		29		647
Blackboard Inc. (c)		23		1,033
Blue Coat Systems Inc. (c)		29		404
Bottomline Technologies Inc. (c)		23		456
Brightpoint Inc. (c)		43		395
BroadSoft Inc. (c) (e)		15		457
Brooks Automation Inc.		44		361
Cabot Microelectronics Corp. (c)		15		528
CACI International Inc. - Class A (c)		20		993
Calix Inc. (c)		25		197
Callidus Software Inc. (c) (e)		18		84
Cass Information Systems Inc.		5		170
Cavium Inc. (c)		32		864
Ceva Inc. (c)		15		365
Checkpoint Systems Inc. (c)		27		364
Ciber Inc. (c)		40		121
Cirrus Logic Inc. (c)		44		645
Cognex Corp.		27		743
Coherent Inc. (c)		16		703
Cohu Inc.		16		156
Communications Systems Inc. (e)		4		52
CommVault Systems Inc. (c)		29		1,078
Computer Task Group Inc. (c)		9		103
comScore Inc. (c)		20		334
Comtech Telecommunications Corp.		17		489
Concur Technologies Inc. (c)		29		1,096
Constant Contact Inc. (c)		19		324
Convergys Corp. (c)		70		654
Convio Inc. (c)		7		63
Cornerstone OnDemand Inc. (c) (e)		7		87
Cray Inc. (c)		24		126
CSG Systems International Inc. (c)		22		278


	Shares/Par (p)		Value
CSR Plc - ADR (c)		5		62
CTS Corp.		23		190
Cymer Inc. (c)		20		751
Daktronics Inc.		24		202
DDi Corp.		10		73
DealerTrack Holdings Inc. (c)		26		412
Deltek Inc. (c)		14		82
Demand Media Inc. (c) (e)		5		38
DemandTec Inc. (c) (e)		20		131
DG FastChannel Inc. (c)		17		290
Dialogic Inc. (c) (e)		9		17
Dice Holdings Inc. (c)		33		255
Digi International Inc. (c)		16		177
Digimarc Corp. (c)		5		125
Digital River Inc. (c)		25		520
Diodes Inc. (c)		24		422
Dot Hill Systems Corp. (c)		34		52
DSP Group Inc. (c)		15		91
DTS Inc. (c)		11		270
Dynamics Research Corp. (c)		5		48
Earthlink Inc.		73		478
Ebix Inc. (e)		20		294
Echelon Corp. (c) (e)		21		148
Echo Global Logistics Inc. (c) (e)		8		106
Electro Rent Corp.		12		161
Electro Scientific Industries Inc. (c)		14		170
Electronics for Imaging Inc. (c)		31		420
Ellie Mae Inc. (c)		5		28
eMagin Corp. (c) (e)		11		28
Emcore Corp. (c) (e)		54		53
Emulex Corp. (c)		56		356
Entegris Inc. (c)		89		569
Entropic Communications Inc. (c) (e)		53		220
Envestnet Inc. (c)		12		118
EPIQ Systems Inc.		22		274
ePlus Inc. (c) (e)		3		62
Euronet Worldwide Inc. (c)		34		536
Exar Corp. (c)		24		134
ExlService Holdings Inc. (c)		11		240
Extreme Networks (c)		61		160
Fabrinet (c)		13		235
Fair Isaac Corp.		26		566
FalconStor Software Inc. (c) (e)		18		53
FARO Technologies Inc. (c)		11		332
FEI Co. (c)		26		767
Finisar Corp. (c)		58		1,012
FormFactor Inc. (c)		32		199
Forrester Research Inc.		10		309
FSI International Inc. (c) (e)		28		53
Geeknet Inc. (c)		3		54
Gerber Scientific Inc. (f)		19		—
Global Cash Access Holdings Inc. (c)		48		122
Globecomm Systems Inc. (c)		15		209
Glu Mobile Inc. (c) (e)		25		54
GSI Group Inc. (c)		16		120
GSI Technology Inc. (c)		12		60
GT Advanced Technologies Inc. (c) (e)		84		588
Guidance Software Inc. (c)		12		75
Hackett Group Inc. (c)		19		70
Harmonic Inc. (c)		72		305
Heartland Payment Systems Inc.		26		506
Hittite Microwave Corp. (c)		21		1,007
Identive Group Inc. (c)		23		47
iGate Corp. (e)		19		222
Imation Corp. (c)		21		154
Immersion Corp. (c)		20		121


	Shares/Par (p)		Value
Infinera Corp. (c) (e)		70		537
Infospace Inc. (c)		23		192
Inphi Corp. (c)		13		110
Insight Enterprises Inc. (c)		30		459
Integrated Device Technology Inc. (c)		99		507
Integrated Silicon Solutions Inc. (c)		19		146
Interactive Intelligence Group (c)		9		252
InterDigital Inc. (e)		30		1,389
Intermec Inc. (c)		37		241
Internap Network Services Corp. (c)		32		160
Intevac Inc. (c)		14		98
IntraLinks Holdings Inc. (c)		20		147
Ixia (c)		26		202
IXYS Corp. (c)		15		161
j2 Global Communications Inc.		30		818
Jack Henry & Associates Inc.		57		1,647
JDA Software Group Inc. (c)		28		657
Kemet Corp. (c)		30		213
Kenexa Corp. (c)		17		259
Keynote Systems Inc.		9		192
KIT Digital Inc. (c) (e)		22		185
Kopin Corp. (c)		41		142
Kulicke & Soffa Industries Inc. (c)		46		342
KVH Industries Inc. (c)		10		83
Lattice Semiconductor Corp. (c)		76		399
LeCroy Corp. (c)		10		79
Limelight Networks Inc. (c) (e)		42		100
Lionbridge Technologies Inc. (c)		36		88
Liquidity Services Inc. (c)		12		375
Littelfuse Inc.		15		606
LivePerson Inc. (c)		35		350
LogMeIn Inc. (c)		14		453
LoopNet Inc. (c)		10		180
Loral Space & Communications Inc. (c)		7		356
LTX-Credence Corp. (c)		32		168
Magma Design Automation Inc. (c)		46		207
Manhattan Associates Inc. (c)		14		462
Mantech International Corp. - Class A		15		486
Marchex Inc. - Class B (e)		13		113
MAXIMUS Inc.		23		801
MaxLinear Inc. - Class A (c)		10		63
Maxwell Technologies Inc. (c) (e)		19		346
Measurement Specialties Inc. (c)		10		251
Mentor Graphics Corp. (c)		64		614
Mercury Computer Systems Inc. (c)		19		220
Meru Networks Inc. (c) (e)		7		54
Methode Electronics Inc.		25		182
Micrel Inc.		34		321
Microsemi Corp. (c)		57		913
MicroStrategy Inc. - Class A (c)		5		605
Microvision Inc. (c) (e)		52		35
Mindspeed Technologies Inc. (c)		20		105
MIPS Technologies Inc. - Class A (c)		32		153
MKS Instruments Inc.		35		751
ModusLink Global Solutions Inc.		32		112
MoneyGram International Inc. (c)		60		139
Monolithic Power Systems Inc. (c)		19		197
Monotype Imaging Holdings Inc. (c)		22		268
MoSys Inc. (c) (e)		25		92
Motricity Inc. (c) (e)		23		38
Move Inc. (c)		110		160
MTS Systems Corp.		10		320
Multi-Fineline Electronix Inc. (c)		6		120
Nanometrics Inc. (c)		14		199
NCI Inc. - Class A (c)		4		52
NeoPhotonics Corp. (c)		5		36


	Shares/Par (p)		Value
Ness Technologies Inc. (c)		20		156
NetGear Inc. (c)		24		628
NetLogic Microsystems Inc. (c)		45		2,166
NetScout Systems Inc. (c)		23		266
NetSuite Inc. (c)		18		489
Newport Corp. (c)		24		257
NIC Inc.		43		488
Novatel Wireless Inc. (c)		21		63
Numerex Corp. (c) (e)		6		32
NVE Corp. (c)		3		195
Oclaro Inc. (c) (e)		30		111
OCZ Technology Group Inc. (c) (e)		31		151
Omnivision Technologies Inc. (c)		38		540
OpenTable Inc. (c) (e)		16		716
Openwave Systems Inc. (c) (e)		62		98
Oplink Communications Inc. (c)		14		212
OPNET Technologies Inc.		10		338
Opnext Inc. (c)		37		47
ORBCOMM Inc. (c)		21		54
OSI Systems Inc. (c)		13		426
Parametric Technology Corp. (c)		78		1,207
Park Electrochemical Corp.		14		297
PC Connection Inc. (c)		5		37
PDF Solutions Inc. (c)		18		75
Pegasystems Inc. (e)		11		328
Perficient Inc. (c)		17		124
Pericom Semiconductor Corp. (c)		16		117
Photronics Inc. (c)		40		198
Plantronics Inc.		32		904
Plexus Corp. (c)		25		557
PLX Technology Inc. (c) (e)		34		102
Power Integrations Inc.		19		586
Power-One Inc. (c) (e)		46		208
Powerwave Technologies Inc. (c) (e)		111		191
PRG-Schultz International Inc. (c) (e)		12		56
Procera Networks Inc. (c)		9		86
Progress Software Corp. (c)		44		778
PROS Holdings Inc. (c)		15		189
Pulse Electronics Corp.		29		82
QAD Inc. - Class A (e)		6		61
QLIK Technologies Inc. (c)		46		1,006
Quantum Corp. (c)		148		268
Quepasa Corp. (c) (e)		4		15
Quest Software Inc. (c)		41		644
QuinStreet Inc. (c)		17		175
Radisys Corp. (c)		13		82
Rambus Inc. (c) (e)		65		911
RealD Inc. (c) (e)		27		257
RealNetworks Inc.		14		121
RealPage Inc. (c)		20		415
Renaissance Learning Inc.		9		154
Responsys Inc. (c)		6		62
RF Micro Devices Inc. (c)		182		1,156
Richardson Electronics Ltd.		11		146
RightNow Technologies Inc. (c)		16		543
RigNet Inc. (c)		3		49
Rimage Corp.		7		92
Rofin-Sinar Technologies Inc. (c)		19		365
Rogers Corp. (c)		11		416
Rosetta Stone Inc. (c) (e)		8		73
Rubicon Technology Inc. (c)		10		115
Rudolph Technologies Inc. (c)		19		126
S1 Corp. (c)		36		329
Saba Software Inc. (c)		18		105
Sanmina-SCI Corp. (c)		54		360
Sapient Corp.		72		734


	Shares/Par (p)		Value
ScanSource Inc. (c)		18		531
SciQuest Inc. (c)		7		112
SeaChange International Inc. (c)		19		148
Semtech Corp. (c)		43		910
ServiceSource International Inc. (c) (e)		6		80
ShoreTel Inc. (c)		29		145
Sigma Designs Inc. (c)		20		156
Silicon Graphics International Corp. (c) (e)		20		243
Silicon Image Inc. (c)		54		315
Smith Micro Software Inc. (c)		19		29
SolarWinds Inc. (c)		38		830
Sonus Networks Inc. (c)		131		285
Sourcefire Inc. (c) (e)		18		485
Spansion Inc. (c)		34		410
SPS Commerce Inc. (c)		5		85
SRS Labs Inc. (c)		8		55
SS&C Technologies Holdings Inc. (c)		16		223
Stamps.com Inc.		6		132
Standard Microsystems Corp. (c)		15		287
STEC Inc. (c) (e)		28		282
Stratasys Inc. (c)		13		249
SuccessFactors Inc. (c)		55		1,256
Super Micro Computer Inc. (c)		18		228
Supertex Inc. (c)		7		114
support.com Inc. (c)		32		64
Sycamore Networks Inc.		14		245
Symmetricom Inc. (c)		27		116
Synaptics Inc. (c) (e)		23		544
Synchronoss Technologies Inc. (c)		18		439
SYNNEX Corp. (c)		17		440
Syntel Inc.		10		444
Take-Two Interactive Software Inc. (c) (e)		49		621
Taleo Corp. - Class A (c)		27		700
TechTarget Inc. (c)		8		47
Tekelec (c)		39		235
TeleCommunication Systems Inc. - Class A (c)		29		102
TeleNav Inc. (c)		10		90
TeleTech Holdings Inc. (c)		16		243
Tessera Technologies Inc. (c)		32		384
THQ Inc. (c) (e)		39		67
TiVo Inc. (c)		79		737
TNS Inc. (c)		17		312
Travelzoo Inc. (c) (e)		4		80
TriQuint Semiconductor Inc. (c)		109		545
TTM Technologies Inc. (c)		33		318
Tyler Technologies Inc. (c)		21		539
Ultimate Software Group Inc. (c)		17		799
Ultra Clean Holdings Inc. (c)		16		70
Ultratech Inc. (c)		16		283
Unisys Corp. (c)		28		434
United Online Inc.		58		303
Universal Display Corp. (c)		25		1,215
ValueClick Inc. (c)		52		810
VASCO Data Security International Inc. (c)		16		84
Veeco Instruments Inc. (c) (e)		27		657
Verint Systems Inc. (c)		14		373
ViaSat Inc. (c)		24		800
Viasystems Group Inc. (c) (e)		2		41
VirnetX Holding Corp. (c) (e)		27		405
Virtusa Corp. (c)		9		115
Vishay Precision Group Inc. (c)		7		98
Vocus Inc. (c)		12		201
Volterra Semiconductor Corp. (c)		15		295
Wave Systems Corp. (c) (e)		53		123
Web.com Group Inc. (c)		18		123
Websense Inc. (c)		26		447


	Shares/Par (p)		Value
Westell Technologies Inc. (c)		32		70
Wright Express Corp. (c)		26		970
X-Rite Inc. (c)		19		71
XO Group Inc. (c)		22		183
Xyratex Ltd.		18		171
Zixit Corp. (c)		39		104
Zygo Corp. (c)		11		125

				108,261
MATERIALS - 4.4%
A. Schulman Inc.		21		351
AEP Industries Inc. (c)		3		65
AM Castle & Co. (c)		10		110
AMCOL International Corp.		16		374
American Vanguard Corp.		13		145
Arch Chemicals Inc.		15		695
Balchem Corp.		19		713
Boise Inc.		65		337
Buckeye Technologies Inc.		26		617
Calgon Carbon Corp. (c)		36		526
Century Aluminum Co. (c)		33		292
Chemtura Corp. (c)		64		640
Clearwater Paper Corp. (c)		15		521
Coeur d'Alene Mines Corp. (c)		59		1,263
Deltic Timber Corp.		7		423
Eagle Materials Inc.		30		493
Ferro Corp. (c)		55		336
Flotek Industries Inc. (c)		30		141
FutureFuel Corp. (e)		11		118
General Moly Inc. (c) (e)		42		123
Georgia Gulf Corp. (c)		21		297
Glatfelter		31		406
Globe Specialty Metals Inc.		42		607
Gold Resource Corp. (e)		19		316
Golden Minerals Co. (c) (e)		7		56
Golden Star Resources Ltd. (c) (e)		173		321
Graphic Packaging Holding Co. (c)		107		368
Handy & Harman Ltd. (c)		4		36
Hawkins Inc. (e)		5		175
Haynes International Inc.		8		354
HB Fuller Co.		33		597
Headwaters Inc. (c)		37		53
Hecla Mining Co. (c)		184		986
Horsehead Holding Corp. (c)		28		207
Innophos Holdings Inc.		14		557
Innospec Inc. (c)		16		385
Jaguar Mining Inc. (c) (e)		57		266
Kaiser Aluminum Corp.		11		480
KapStone Paper and Packaging Corp. (c)		25		351
KMG Chemicals Inc.		6		71
Koppers Holdings Inc.		13		338
Kraton Performance Polymers Inc. (c)		21		344
Landec Corp. (c)		16		84
Louisiana-Pacific Corp. (c)		88		448
LSB Industries Inc. (c)		12		351
Materion Corp. (c)		13		302
Metals USA Holdings Corp. (c) (e)		6		55
Midway Gold Corp. (c) (e)		60		121
Minerals Technologies Inc.		12		597
Myers Industries Inc.		23		231
Neenah Paper Inc.		10		138
NewMarket Corp.		6		904
NL Industries Inc.		4		45
Noranda Aluminium Holding Corp. (c) (e)		14		117
Olin Corp.		53		948
Olympic Steel Inc.		5		93


	Shares/Par (p)		Value
OM Group Inc. (c)		21		534
Omnova Solutions Inc. (c)		27		96
Paramount Gold and Silver Corp. (c) (e)		71		168
PolyOne Corp.		62		662
Quaker Chemical Corp.		8		208
Revett Minerals Inc. (c) (e)		15		59
RTI International Metals Inc. (c)		20		456
Schweitzer-Mauduit International Inc.		11		637
Senomyx Inc. (c) (e)		26		92
Sensient Technologies Corp.		33		1,075
Spartech Corp. (c)		23		75
Stepan Co.		5		364
Stillwater Mining Co. (c)		68		578
STR Holdings Inc. (c) (e)		19		153
Texas Industries Inc. (e)		15		481
Thompson Creek Metals Co. Inc. (c)		101		614
TPC Group Inc. (c)		8		164
United States Lime & Minerals Inc. (c) (e)		1		56
Universal Stainless & Alloy Products Inc. (c)		5		122
US Energy Corp. Wyoming (c) (e)		18		41
US Gold Corp. (c) (e)		70		282
Verso Paper Corp. (c) (e)		8		13
Vista Gold Corp. (c) (e)		43		144
Wausau Paper Corp.		29		188
Worthington Industries Inc.		37		512
Zagg Inc. (c) (e)		15		144
Zep Inc.		14		217
Zoltek Cos. Inc. (c)		17		108

				28,531
TELECOMMUNICATION SERVICES - 1.0%
8x8 Inc. (c) (e)		38		153
AboveNet Inc.		15		822
Alaska Communications Systems Group Inc. (e)		29		192
Atlantic Tele-Network Inc.		6		208
Boingo Wireless Inc. (c) (e)		3		25
Cbeyond Inc. (c)		19		137
Cincinnati Bell Inc. (c)		131		406
Cogent Communications Group Inc. (c)		30		398
Consolidated Communications Holdings Inc.		16		294
Fairpoint Communications Inc. (c) (e)		13		56
General Communication Inc. - Class A (c)		28		231
Global Crossing Ltd. (c)		20		472
Globalstar Inc. (c) (e)		63		26
HickoryTech Corp. (e)		8		78
ICG Group Inc. (c)		25		232
IDT Corp. - Class B		9		188
inContact Inc. (c) (e)		19		64
Iridium Communications Inc. (c)		27		168
Leap Wireless International Inc. (c)		41		283
Neutral Tandem Inc. (c)		23		226
NTELOS Holdings Corp.		20		357
PAETEC Holding Corp. (c)		84		445
Premiere Global Services Inc. (c)		33		211
Safeguard Scientifics Inc. (c)		14		207
Shenandoah Telecommunications Co. (e)		15		167
SureWest Communications (e)		9		89
Towerstream Corp. (c) (e)		26		68
USA Mobility Inc.		15		198
Vonage Holdings Corp. (c)		86		224

				6,625
UTILITIES - 3.9%
Allete Inc.		21		773
American States Water Co.		12		408


	Shares/Par (p)		Value
Artesian Resources Corp. - Class A		4		71
Atlantic Power Corp. (e)		45		645
Avista Corp.		38		908
Black Hills Corp. (e)		26		799
Cadiz Inc. (c)		10		75
California Water Service Group		28		492
Central Vermont Public Service Corp.		9		312
CH Energy Group Inc.		10		530
Chesapeake Utilities Corp.		6		259
Cleco Corp.		40		1,372
Connecticut Water Services Inc.		5		131
Consolidated Water Co. Ltd. (e)		10		75
Dynegy Inc. (c)		63		259
El Paso Electric Co.		28		893
Empire District Electric Co.		28		538
IDACORP Inc.		33		1,235
Laclede Group Inc.		15		577
MGE Energy Inc.		15		624
Middlesex Water Co.		11		182
New Jersey Resources Corp.		27		1,161
Nicor Inc.		30		1,649
Northwest Natural Gas Co.		18		779
NorthWestern Corp.		23		750
Ormat Technologies Inc. (e)		11		175
Pennichuck Corp.		3		79
Piedmont Natural Gas Co. Inc. (e)		47		1,366
PNM Resources Inc.		56		922
Portland General Electric Co.		50		1,177
SJW Corp.		10		209
South Jersey Industries Inc.		19		959
Southwest Gas Corp.		30		1,094
UIL Holdings Corp.		33		1,072
UniSource Energy Corp.		24		876
Unitil Corp.		7		175
WGL Holdings Inc.		34		1,319
York Water Co. (e)		8		126

				25,046

Total Common Stocks (cost $687,976)				633,051

SHORT TERM INVESTMENTS - 13.7%
Investment Companies - 1.5%
JNL Money Market Fund, 0.02% (a) (h)		9,610		9,610
Securities Lending Collateral - 12.0%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		75,828		75,828
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		1,440		1,394

				77,222
Treasury Securities - 0.2%
U.S. Treasury Bill 0.04%, 03/08/12 (o)	$	985		985
0.02%, 03/22/12 (o)		610		610

				1,595

Total Short Term Investments (cost $88,473)				88,427

Total Investments - 111.6% (cost $776,448)				721,478
Other Assets and Liabilities, Net - (11.6%)				(75,165	)

Total Net Assets - 100.0%			$	646,313


	Shares/Par (p)		Value
JNL/Mellon Capital Management International Index Fund
COMMON STOCKS - 95.6%
CONSUMER DISCRETIONARY - 9.5%
ABC-Mart Inc. (e)		3	$	127
Accor SA		16		437
Adidas AG		24		1,461
Aisin Seiki Co. Ltd.		22		729
Asics Corp. (e)		18		246
Autogrill SpA		11		113
Axel Springer AG (e)		5		163
Bayerische Motoren Werke AG		37		2,445
Benesse Corp.		8		346
Bridgestone Corp.		75		1,693
British Sky Broadcasting Group Plc		131		1,346
Burberry Group Plc		48		874
Carnival Plc		21		649
Casio Computer Co. Ltd. (e)		27		170
Christian Dior SA		6		684
Compagnie Financiere Richemont SA		58		2,601
Compagnie Generale des Etablissements Michelin		20		1,211
Compass Group Plc		211		1,700
Continental AG (c)		9		505
Crown Ltd.		49		372
Daihatsu Motor Co. Ltd. (e)		22		399
Daimler AG		102		4,515
Dena Co. Ltd.		11		452
Denso Corp.		56		1,791
Dentsu Inc. (e)		21		672
Echo Entertainment Group Ltd. (c)		76		267
Electrolux AB (e)		28		405
Esprit Holdings Ltd. (e)		130		158
Eutelsat Communications Group SA		11		432
Fairfax Media Ltd. (e)		259		203
Fast Retailing Co. Ltd.		6		1,075
Fiat SpA (e)		87		470
Fuji Heavy Industries Ltd.		71		417
Galaxy Entertainment Group Ltd. (c) (e)		133		193
Genting International Plc (c) (e)		703		816
Gestevision Telecinco SA		18		104
GKN Plc		140		379
Hakuhodo DY Holdings Inc. (e)		2		121
Harvey Norman Holdings Ltd. (e)		55		113
Hennes & Mauritz AB		114		3,426
Honda Motor Co. Ltd.		183		5,355
Husqvarna AB (e)		53		214
Inditex SA		24		2,076
InterContinental Hotels Group Plc		32		526
Isetan Mitsukoshi Holdings Ltd. (e)		41		410
Isuzu Motors Ltd.		131		563
ITV Plc		437		400
J. Front Retailing Co. Ltd.		53		253
Jardine Cycle & Carriage Ltd.		12		377
JC Decaux SA (c)		7		185
Jupiter Telecommunications Co. Ltd.		—		195
Kabel Deutschland Holding AG (c)		10		519
Kingfisher Plc		261		1,003
Koito Manufacturing Co. Ltd.		11		174
Lagardere SCA		13		314
Li & Fung Ltd.		636		1,061
Lifestyle International Holdings Ltd.		69		174
Luxottica Group SpA (e)		13		331
LVMH Moet Hennessy Louis Vuitton SA		28		3,753


	Shares/Par (p)		Value
M6-Metropole Television SA		7		120
Marks & Spencer Group Plc		175		852
Marui Group Co. Ltd. (e)		25		184
Mazda Motor Corp. (c) (e)		169		342
McDonald's Holdings Co. Japan Ltd. (e)		9		229
Mediaset SpA (e)		76		240
Mitsubishi Motors Corp. (c)		423		561
Modern Times Group AB - Class B		5		215
Namco Bandai Holdings Inc.		24		318
Next Plc		20		776
NGK Spark Plug Co. Ltd.		19		258
NHK Spring Co. Ltd.		15		133
Nikon Corp. (e)		38		885
Nissan Motor Co. Ltd. (e)		278		2,456
Nitori Co. Ltd.		4		443
NOK Corp. (e)		12		224
Nokian Renkaat Oyj		13		384
OPAP SA		25		249
Oriental Land Co. Ltd. (e)		6		587
Panasonic Corp. (e)		247		2,383
Pandora A/S		6		39
Pearson Plc		93		1,645
Peugeot SA (e)		17		370
Pirelli & C. SpA (e)		24		169
PPR SA		9		1,131
ProSiebenSat.1 Media AG		8		143
Publicis Groupe		14		569
Rakuten Inc. (e)		1		931
Reed Elsevier NV		79		874
Reed Elsevier Plc		137		1,053
Renault SA		22		720
Rinnai Corp. (e)		3		284
Sands China Ltd. (c)		277		647
Sankyo Co. Ltd. (e)		6		314
Sanoma Oyj (e)		9		107
Sega Sammy Holdings Inc.		24		549
Sekisui Chemical Co. Ltd. (e)		46		387
Sekisui House Ltd.		63		590
SES SA - FDR		35		845
Shangri-La Asia Ltd.		150		287
Sharp Corp. (e)		114		958
Shimamura Co. Ltd.		3		273
Shimano Inc. (e)		9		471
Singapore Press Holdings Ltd. (e)		166		475
SJM Holdings Ltd.		195		344
SKYCITY Entertainment Group Ltd.		71		181
Societe Television Francaise 1 (e)		15		182
Sodexo SA		10		683
Sony Corp. (e)		112		2,146
Stanley Electric Co. Ltd.		17		249
Sumitomo Rubber Industries Inc. (e)		22		276
Suzuki Motor Corp. (e)		38		846
Swatch Group AG		9		1,462
Tabcorp Holdings Ltd.		76		186
Takashimaya Co. Ltd. (e)		34		248
Tatts Group Ltd.		153		327
Toho Co. Ltd.		12		215
Toyoda Gosei Co. Ltd. (e)		6		114
Toyota Boshoku Corp. (e)		7		105
Toyota Industries Corp. (e)		21		612
Toyota Motor Corp.		310		10,616
TUI AG (c) (e)		15		78
TUI Travel Plc		60		138
USS Co. Ltd.		3		241
Volkswagen AG		3		404
Whitbread Plc		21		512


	Shares/Par (p)		Value
Wolters Kluwer NV		34		555
WPP Plc		140		1,300
Wynn Macau Ltd. (e)		183		433
Yamada Denki Co. Ltd. (e)		9		625
Yamaha Corp.		17		187
Yamaha Motor Co. Ltd.		33		433
Yue Yuen Industrial Holdings Ltd.		85		220

				101,751
CONSUMER STAPLES - 10.9%
AEON Co. Ltd. (e)		66		894
Ajinomoto Co. Inc. (e)		73		862
Anheuser-Busch InBev NV		90		4,773
Anheuser-Busch InBev NV (c)		13		—
Aryzta AG		9		397
Asahi Breweries Ltd. (e)		43		905
Associated British Foods Plc		41		705
Beiersdorf AG		12		628
British American Tobacco Plc		224		9,463
Carlsberg A/S		12		729
Carrefour SA		64		1,464
Casino Guichard Perrachon SA		6		475
Coca-Cola Amatil Ltd. (e)		65		743
Coca-Cola Hellenic Bottling Co. SA		20		356
Coca-Cola West Co. Ltd.		8		144
Colruyt SA (e)		9		365
Danone SA		65		4,015
Delhaize Group		11		658
Diageo Plc		281		5,351
Distribuidora Internacional de Alimentacion SA (c)		67		267
FamilyMart Co. Ltd. (e)		8		286
Foster's Group Ltd.		214		1,096
Golden Agri-Resources Ltd.		792		367
Heineken Holding NV		13		511
Heineken NV		30		1,336
Henkel AG & Co. KGaA		15		650
Imperial Tobacco Group Plc		114		3,847
J Sainsbury Plc		133		566
Japan Tobacco Inc.		1		2,348
Jeronimo Martins SGPS SA		25		386
Kao Corp.		60		1,674
Kerry Group Plc		16		575
Kesko Oyj		8		242
Kikkoman Corp. (e)		17		194
Kirin Holdings Co. Ltd.		93		1,216
Koninklijke Ahold NV		133		1,559
L'Oreal SA		27		2,614
Lawson Inc. (e)		7		374
Lindt & Spruengli AG (e)		—		449
MEIJI Holdings Co. Ltd. (e)		8		366
Metcash Ltd. (e)		83		327
Metro AG		15		637
Nestle SA		389		21,432
Nippon Meat Packers Inc.		19		247
Nisshin Seifun Group Inc.		23		299
Nissin Foods Holdings Co. Ltd. (e)		7		290
Olam International Ltd. (e)		159		272
Parmalat SpA (e)		39		83
Pernod-Ricard SA		22		1,729
Reckitt Benckiser Group Plc		69		3,500
SABMiller Plc		107		3,477
Seven & I Holdings Co. Ltd.		84		2,356
Shiseido Co. Ltd. (e)		40		768
Suedzucker AG		7		199
Swedish Match AB		24		799


	Shares/Par (p)		Value
Tesco Plc		902		5,283
Toyo Suisan Kaisha Ltd.		9		247
Unicharm Corp. (e)		12		595
Unilever NV		183		5,781
Unilever Plc		144		4,504
Wesfarmers Ltd. (e)		129		3,908
Wilmar International Ltd. (e)		219		871
WM Morrison Supermarkets Plc		250		1,129
Woolworths Ltd.		136		3,244
Yakult Honsha Co. Ltd. (e)		10		318
Yamazaki Baking Co. Ltd.		15		228

				116,373
ENERGY - 7.8%
Aker Solutions ASA		18		173
AMEC Plc		38		479
BG Group Plc		380		7,274
BP Plc		2,111		12,656
Cairn Energy Plc (c)		154		668
Caltex Australia Ltd.		16		162
Cie Generale de Geophysique-Veritas (c)		16		279
Cosmo Oil Co. Ltd.		68		168
ENI SpA		269		4,738
Essar Energy Plc (c)		33		130
Fugro NV (e)		8		386
Galp Energia SGPS SA		27		489
Idemitsu Kosan Co. Ltd. (e)		2		216
INPEX Corp. (e)		—		1,498
Japan Petroleum Exploration Co.		4		135
JX Holdings Inc.		258		1,446
Neste Oil Oyj		14		121
OMV AG (e)		19		567
Origin Energy Ltd. (e)		118		1,514
Paladin Energy Ltd. (c)		75		86
Petrofac Ltd.		30		559
Repsol YPF SA		89		2,339
Royal Dutch Shell Plc		404		12,488
Royal Dutch Shell Plc - Class B		303		9,414
Saipem SpA		30		1,067
Santos Ltd. (e)		97		1,050
SBM Offshore NV		19		322
SeaDrill Ltd.		37		1,013
Showa Shell Sekiyu KK		21		149
StatoilHydro ASA		125		2,677
Subsea 7 SA (c)		33		622
Technip SA		11		872
Tenaris SA		54		685
TonenGeneral Sekiyu KK (e)		31		356
Total SA (e)		237		10,474
Transocean Ltd.		36		1,714
Tullow Oil Plc		99		2,000
Woodside Petroleum Ltd.		70		2,160
WorleyParsons Ltd.		22		550

				83,696
FINANCIALS - 21.2%
3i Group Plc		107		312
Admiral Group Plc		24		462
Aegon NV (c)		194		786
AEON Credit Service Co. Ltd. (e)		7		105
AEON Mall Co. Ltd.		9		204
Ageas		256		441
AIA Group Ltd.		940		2,662
Allianz SE		51		4,767
Alpha Bank AE (c)		57		99
AMP Ltd.		323		1,214


	Shares/Par (p)		Value
Anglo Irish Bank Corp. Plc (f)		34		—
Aozora Bank Ltd. (e)		67		153
Ascendas Real Estate Investment Trust		215		332
Assicurazioni Generali SpA (e)		130		2,064
ASX Ltd. (e)		20		585
Australia & New Zealand Banking Group Ltd.		291		5,403
Aviva Plc		314		1,476
AXA SA		195		2,531
Baloise Holding AG		5		384
Banca Carige SpA (e)		60		117
Banca Monte dei Paschi di Siena SpA		517		287
Banco Bilbao Vizcaya Argentaria SA		478		3,956
Banco Comercial Portugues SA (c) (e)		398		103
Banco de Sabadell SA (e)		122		436
Banco Espirito Santo SA (e)		64		169
Banco Popolare SC		195		323
Banco Popular Espanol SA (e)		104		478
Banco Santander SA		947		7,743
Bank Hapoalim BM		124		429
Bank Leumi Le-Israel BM		138		422
Bank of Cyprus Public Co. Ltd.		94		145
Bank of East Asia Ltd. (e)		176		540
Bank of Kyoto Ltd. (e)		39		347
Bank of Yokohama Ltd. (e)		134		672
Bankia SA (c)		101		493
Bankinter SA (e)		21		116
Barclays Plc		1,295		3,175
Bendigo and Adelaide Bank Ltd.		42		337
BGP Holdings Plc (f)		479		—
BNP Paribas		107		4,237
BOC Hong Kong Holdings Ltd.		426		902
British Land Co. Plc		96		710
Capital Shopping Centres Group		63		317
CapitaLand Ltd.		280		522
CapitaMall Trust		204		283
CapitaMalls Asia Ltd.		139		128
CFS Retail Property Trust		198		333
Cheung Kong Holdings Ltd.		155		1,680
China Bank Ltd. (e)		90		624
Chugoku Bank Ltd. (e)		18		265
Chuo Mitsui Trust Holdings Inc.		353		1,168
City Developments Ltd.		54		391
CNP Assurances SA		17		246
Commerzbank AG (c) (e)		410		1,028
Commonwealth Bank of Australia (e)		174		7,559
Corio NV		7		304
Credit Agricole SA		106		731
Credit Saison Co. Ltd.		17		320
Credit Suisse Group AG (c)		126		3,299
Criteria CaixaCorp SA (e)		81		354
Dai-Ichi Life Insurance Co. Ltd. (e)		1		1,069
Daito Trust Construction Co. Ltd. (e)		8		770
Daiwa House Industry Co. Ltd. (e)		53		679
Daiwa Securities Group Inc. (e)		185		691
Danske Bank A/S (c)		72		1,009
DBS Group Holdings Ltd.		194		1,735
Delta Lloyd NV		11		175
Deutsche Bank AG		104		3,607
Deutsche Boerse AG (f)		22		1,128
Dexia SA (c) (e)		65		124
Dexus Property Group		569		449
DnB NOR ASA		112		1,118
EFG Eurobank Ergasias SA (c)		33		40
Erste Group Bank AG		21		547
Eurazeo		3		140
Exor SpA		7		131


	Shares/Par (p)		Value
Fonciere Des Regions		3		230
Fukuoka Financial Group Inc.		83		347
GAM Holding Ltd.		23		285
Gecina SA		2		212
Gjensidige Forsikring ASA (e)		22		222
Global Logistic Properties Ltd. (c)		203		255
Goodman Group		807		442
GPT Group		203		610
Groupe Bruxelles Lambert SA		9		631
Groupe Bruxelles Lambert SA (c)		—		—
Gunma Bank Ltd.		41		229
Hachijuni Bank Ltd.		47		290
Hammerson Plc		77		450
Hang Lung Group Ltd. (e)		103		525
Hang Lung Properties Ltd.		284		845
Hang Seng Bank Ltd. (e)		88		1,031
Hannover Rueckversicherung AG		7		306
Henderson Land Development Co. Ltd.		108		485
Hiroshima Bank Ltd. (e)		55		274
Hokuhoku Financial Group Inc. (e)		134		293
Hong Kong Exchanges & Clearing Ltd. (e)		114		1,657
Hopewell Holdings Ltd. (e)		63		181
HSBC Holdings Plc		2,004		15,349
Hysan Development Co. Ltd.		66		200
Icade SA		3		216
ICAP Plc		62		396
IMMOFINANZ Immobilien Anlagen AG (e)		107		302
Industrivarden AB		13		134
ING Groep NV (c)		429		3,023
Insurance Australia Group Ltd. (e)		241		697
Intesa Sanpaolo SpA		1,123		1,761
Investec Plc		55		297
Investor AB		53		924
Israel Discount Bank Ltd. (c)		85		125
Iyo Bank Ltd.		27		275
Japan Prime Realty Investment Corp. (e)		—		185
Japan Real Estate Investment Corp.		—		489
Japan Retail Fund Investment Corp.		—		270
Joyo Bank Ltd. (e)		81		377
Julius Baer Group Ltd. (c)		23		762
KBC Groep NV		18		426
Keppel Land Ltd.		83		162
Kerry Properties Ltd.		86		273
Kinnevik Investment AB		24		445
Klepierre		12		323
Land Securities Group Plc		85		846
Legal & General Group Plc		676		1,009
Lend Lease Corp. Ltd.		62		417
Link Real Estate Investment Trust		259		817
Lloyds Banking Group Plc (c)		4,559		2,448
London Stock Exchange Group Plc		18		228
Macquarie Group Ltd.		40		863
Man Group Plc		218		564
Mapfre SA (e)		92		283
Mediobanca SpA		61		475
Mirvac Group		402		441
Mitsubishi Estate Co. Ltd.		140		2,269
Mitsubishi UFJ Financial Group Inc.		1,428		6,554
Mitsubishi UFJ Lease & Finance Co. Ltd.		6		244
Mitsui Fudosan Co. Ltd.		96		1,517
Mizrahi Tefahot Bank Ltd.		14		116
Mizuho Financial Group Inc. (e)		2,553		3,739
MS&AD Insurance Group Holdings		63		1,378
Muenchener Rueckversicherungs AG		21		2,615
National Australia Bank Ltd.		243		5,167
National Bank of Greece SA (c)		106		384


	Shares/Par (p)		Value
Natixis		103		323
New World Development Ltd.		275		263
Nippon Building Fund Inc.		—		621
Nishi-Nippon City Bank Ltd. (e)		74		227
NKSJ Holdings Inc.		41		915
Nomura Holdings Inc.		393		1,434
Nomura Real Estate Holdings Inc.		11		168
Nomura Real Estate Office Fund Inc. (e)		—		183
Nordea Bank AB		294		2,376
NTT Urban Development Corp. (e)		—		81
Old Mutual Plc		628		1,019
ORIX Corp.		12		949
Oversea-Chinese Banking Corp. Ltd.		280		1,723
Pargesa Holding SA		3		212
Pohjola Bank Plc		13		142
Prudential plc (a)		284		2,443
QBE Insurance Group Ltd. (e)		123		1,515
Raiffeisen International Bank Holding AG (e)		6		172
Ratos AB		24		273
Resolution Ltd.		162		621
Resona Holdings Inc.		218		1,042
Royal Bank of Scotland Plc (c)		2,020		723
RSA Insurance Group Plc		405		698
Sampo Oyj		48		1,212
SBI Holdings Inc.		2		193
Schroders Plc		12		232
SCOR SE		19		403
Segro Plc		80		272
Seven Bank Ltd. (e)		—		121
Shinsei Bank Ltd.		175		197
Shizuoka Bank Ltd. (e)		70		733
Singapore Exchange Ltd.		100		503
Sino Land Co. (e)		303		400
Skandinaviska Enskilda Banken AB		162		873
Societe Generale		71		1,854
Sony Financial Holdings Inc.		20		299
Standard Chartered Plc		269		5,369
Standard Life Plc		265		819
Stockland		263		731
Sumitomo Mitsui Financial Group Inc. (e)		150		4,238
Sumitomo Realty & Development Co. Ltd. (e)		41		779
Sun Hung Kai Properties Ltd.		158		1,813
Suncorp Group Ltd. (e)		145		1,104
Suruga Bank Ltd.		23		224
Svenska Handelsbanken		54		1,384
Swedbank AB		93		1,027
Swire Pacific Ltd.		80		822
Swiss Life Holding AG		3		362
Swiss Re Ltd. (c)		39		1,842
T&D Holdings Inc.		67		635
Tokio Marine Holdings Inc.		81		2,048
Tokyu Land Corp.		49		176
TrygVesta AS		3		169
UBS AG (c)		408		4,667
Unibail-Rodamco SE		10		1,826
UniCredit SpA		1,504		1,595
Unione di Banche Italiane SCPA		96		357
United Overseas Bank Ltd.		138		1,774
UOL Group Ltd.		61		191
Vienna Insurance Group (e)		4		146
Westfield Group		245		1,814
Westfield Retail Trust		336		782
Westpac Banking Corp. (e)		337		6,535
Wharf Holdings Ltd.		171		846
Wheelock & Co. Ltd.		105		311
Wing Hang Bank Ltd.		9		73


	Shares/Par (p)		Value
Yamaguchi Financial Group Inc.		24		243
Zurich Financial Services AG		16		3,395

				226,178
HEALTH CARE - 9.4%
Actelion Ltd. (c)		13		427
Alfresa Holdings Corp.		5		192
Astellas Pharma Inc. (e)		50		1,871
AstraZeneca Plc		156		6,925
Bayer AG		93		5,116
Celesio AG		10		138
Chugai Pharmaceutical Co. Ltd.		24		410
Cie Generale d’Optique Essilor International SA		22		1,610
Cochlear Ltd. (e)		6		278
Coloplast A/S		3		369
CSL Ltd.		60		1,713
Daiichi Sankyo Co. Ltd. (e)		77		1,613
Dainippon Sumitomo Pharma Co. Ltd. (e)		16		178
Eisai Co. Ltd. (e)		29		1,154
Elan Corp. Plc (c)		55		584
Fresenius Medical Care AG & Co. KGaA		23		1,530
Fresenius SE		13		1,121
Getinge AB		23		504
GlaxoSmithKline Plc		582		12,017
Grifols SA (e)		17		320
Hisamitsu Pharmaceutical Co. Inc. (e)		7		322
kyowa Hakko Kirin Co. Ltd.		31		342
Lonza Group AG		6		335
Medipal Holdings Corp.		16		166
Merck KGaA		7		593
Miraca Holdings Inc.		6		264
Mitsubishi Tanabe Pharma Corp. (e)		27		495
Novartis AG		262		14,641
Novo-Nordisk A/S		48		4,806
Olympus Corp. (e)		24		753
Ono Pharmaceutical Co. Ltd. (e)		9		561
Orion Oyj (e)		12		241
Otsuka Holdings Co. Ltd. (e)		28		770
Qiagen NV (c)		25		349
Ramsay Health Care Ltd.		14		258
Roche Holding AG		79		12,742
Sanofi-Aventis SA		125		8,226
Santen Pharmaceutical Co. Ltd.		9		361
Shionogi & Co. Ltd. (e)		35		518
Shire Plc		63		1,955
Smith & Nephew Plc		103		927
Sonic Health Care Ltd.		43		468
Sonova Holding AG (c)		5		493
Straumann Holding AG (e)		1		136
Suzuken Co. Ltd. (e)		9		238
Synthes Inc.		7		1,173
Sysmex Corp. (e)		8		286
Taisho Pharmaceutical Co. Ltd. (e) (f)		14		344
Takeda Pharmaceutical Co. Ltd. (e)		88		4,193
Terumo Corp. (e)		19		968
Teva Pharmaceutical Industries Ltd.		105		3,899
Tsumura & Co. (e)		8		242
UCB SA		12		499
William Demant Holding AS (c)		2		184

				100,818
INDUSTRIALS - 11.8%
A P Moller - Maersk A/S - Class A		—		347
A P Moller - Maersk A/S - Class B		—		893
ABB Ltd.		246		4,202


	Shares/Par (p)		Value
Abertis Infraestructuras SA (e)		46		711
ACS Actividades de Construccion y Servicios
SA		16		558
Adecco SA (c) (e)		15		572
Aeroports de Paris		4		288
Aggreko Plc		29		738
Air France-KLM (c) (e)		14		100
Alfa Laval AB		39		607
All Nippon Airways Co. Ltd.		89		279
Alstom SA		24		780
Amada Co. Ltd.		40		263
Asahi Glass Co. Ltd.		116		1,133
Asciano Group		323		445
Assa Abloy AB		36		745
Atlantia SpA		35		506
Atlas Copco AB - Class A		77		1,362
Atlas Copco AB - Class B		43		673
Auckland International Airport Ltd.		115		200
Babcock International Group Plc		40		406
BAE Systems Plc		391		1,613
Balfour Beatty Plc		75		298
Bekaert SA (e)		4		180
Bouygues SA (e)		26		867
Brambles Ltd.		167		1,030
Brenntag AG		4		325
Bunzl Plc		36		429
Bureau Veritas SA		6		434
Capita Group Plc		70		767
Cathay Pacific Airways Ltd.		137		224
Central Japan Railway Co.		—		1,457
Chiyoda Corp. (e)		19		185
Cie de Saint-Gobain		44		1,694
Cobham Plc		130		352
ComfortDelgro Corp. Ltd.		227		225
Cosco Corp. Singapore Ltd. (e)		108		75
Dai Nippon Printing Co. Ltd. (e)		61		631
Daikin Industries Ltd. (e)		27		768
Delek Group Ltd.		1		80
Deutsche Lufthansa AG		27		344
Deutsche Post AG		94		1,204
DSV A/S		23		406
East Japan Railway Co.		38		2,303
Edenred		17		408
Eiffage SA (e)		4		128
Elbit Systems Ltd.		3		105
European Aeronautic Defence & Space Co. NV		45		1,275
Experian Plc		114		1,278
Fanuc Ltd.		21		2,948
Ferrovial SA (e)		40		454
Fiat Industrial SpA (c)		88		659
Finmeccanica SpA		49		340
Fomento de Construcciones y Contratas SA (e)		6		149
Fraport AG Frankfurt Airport Services Worldwide		5		268
Fraser and Neave Ltd.		100		437
Fuji Electric Holdings Co. Ltd. (e)		67		173
Furukawa Electric Co. Ltd. (e)		68		185
G4S Plc		164		679
GEA Group AG		19		444
Geberit AG		4		831
Groupe Eurotunnel SA		59		499
GS Yuasa Corp. (e)		36		169
Hexagon AB - B Shares (e)		28		363
Hino Motors Ltd. (e)		28		167
Hitachi Construction Machinery Co. Ltd. (e)		11		186
Hochtief AG		5		297


	Shares/Par (p)		Value
Hutchison Port Holdings Trust (e)		553		369
Hutchison Whampoa Ltd.		238		1,761
IHI Corp.		151		333
International Consolidated Airlines Group SA (c)		68		161
Intertek Group Plc		19		538
Invensys Plc		90		312
ITOCHU Corp. (e)		168		1,602
Japan Steel Works Ltd. (e)		39		233
JGC Corp. (e)		24		587
JS Group Corp. (e)		30		826
JTEKT Corp.		24		281
Kajima Corp. (e)		92		302
Kamigumi Co. Ltd.		29		259
Kawasaki Heavy Industries Ltd. (e)		154		393
Kawasaki Kisen Kaisha Ltd. (e)		85		177
Keihin Electric Express Railway Co. Ltd. (e)		51		471
Keio Corp. (e)		66		472
Keisei Electric Railway Co. Ltd.		31		210
Keppel Corp. Ltd.		163		956
Kinden Corp.		16		138
Kintetsu Corp. (e)		188		709
Komatsu Ltd. (e)		106		2,285
Kone Oyj		18		855
Koninklijke Boskalis Westminster NV (e)		8		244
Koninklijke Philips Electronics NV (e)		110		1,974
Koninklijke Vopak NV		8		359
Kubota Corp. (e)		134		1,093
Kuehne & Nagel International AG		6		675
Kurita Water Industries Ltd.		13		364
Legrand SA		22		678
Leighton Holdings Ltd.		18		313
Mabuchi Motor Co. Ltd. (e)		2		107
Makita Corp.		13		459
Man AG		7		557
MAp Group		55		171
Marubeni Corp.		187		1,044
Metso Oyj		15		427
Minebea Co. Ltd. (e)		37		124
Mitsubishi Corp.		158		3,207
Mitsubishi Electric Corp.		216		1,913
Mitsubishi Heavy Industries Ltd. (e)		348		1,468
Mitsubishi Logistics Corp. (e)		13		140
Mitsui & Co. Ltd. (e)		194		2,814
Mitsui Engineering & Shipbuilding Co. Ltd. (e)		90		151
Mitsui OSK Lines Ltd. (e)		134		516
MTR Corp.		157		470
Nabtesco Corp. (e)		10		197
Neptune Orient Lines Ltd. (e)		94		78
NGK Insulators Ltd. (e)		27		406
Nidec Corp. (e)		12		991
Nippon Express Co. Ltd.		92		392
Nippon Sheet Glass Co. Ltd.		113		253
Nippon Yusen KK (e)		168		456
Noble Group Ltd.		425		424
NSK Ltd.		52		382
NTN Corp. (e)		60		281
NWS Holdings Ltd.		147		195
Obayashi Corp.		79		390
Odakyu Electric Railway Co. Ltd. (e)		68		646
Orient Overseas International Ltd.		23		93
Orkla ASA		85		644
Prysmian SPA		22		289
Qantas Airways Ltd. (c)		130		174
QR National Ltd. (e)		188		568
Randstad Holding NV (e)		13		420


	Shares/Par (p)		Value
Rolls-Royce Holdings Plc (c)		209		1,919
Ryanair Holdings Plc (c)		2		8
Safran SA		19		586
Sandvik AB		112		1,290
Scania AB		37		531
Schindler Holding AG		2		247
Schneider Electric SA		55		2,931
Secom Co. Ltd.		23		1,119
Securitas AB		33		242
SembCorp Industries Ltd.		117		302
SembCorp Marine Ltd. (e)		93		229
Serco Group Plc		53		421
SGS SA		1		922
Shimizu Corp.		63		277
Siemens AG		92		8,308
Singapore Airlines Ltd.		59		514
Singapore Technologies Engineering Ltd.		171		364
Skanska AB (e)		44		606
SKF AB		44		830
SMC Corp. (e)		6		877
Smiths Group Plc		46		703
Societe BIC SA		3		259
Sojitz Corp. (e)		132		241
Sulzer AG		3		266
Sumitomo Corp. (e)		125		1,549
Sumitomo Electric Industries Ltd.		87		1,021
Sumitomo Heavy Industries Ltd.		59		302
Taisei Corp. (e)		121		333
Thales SA		11		344
THK Co. Ltd. (e)		13		211
TNT Express NV		42		291
TNT NV		42		182
Tobu Railway Co. Ltd. (e)		116		546
Tokyu Corp. (e)		132		663
Toll Holdings Ltd.		80		334
Toppan Printing Co. Ltd. (e)		61		444
TOTO Ltd.		33		291
Toyota Tsusho Corp.		23		394
Transurban Group (e)		148		770
Ushio Inc. (e)		14		207
Vallourec SA		12		710
Vestas Wind Systems A/S (c)		23		367
Vinci SA		50		2,129
Volvo AB		153		1,508
Wartsila Oyj		20		465
Weir Group Plc		23		552
Wendel Investissement		4		222
West Japan Railway Co. (e)		19		802
Wolseley Plc		32		801
Yamato Holdings Co. Ltd.		46		845
Yangzijiang Shipbuilding Holdings Ltd.		247		165
Zardoya Otis SA (e)		15		190

				125,548
INFORMATION TECHNOLOGY - 4.7%
Advantest Corp. (e)		19		207
Alcatel-Lucent (c)		256		742
Amadeus IT Holding SA		32		505
ARM Holdings Plc		155		1,323
ASM Pacific Technology Ltd. (e)		22		213
ASML Holding NV (e)		48		1,660
Atos Origin SA		6		255
Autonomy Corp. Plc (c)		26		1,011
Brother Industries Ltd. (e)		25		298
Canon Inc.		127		5,771
Cap Gemini SA		17		570


	Shares/Par (p)		Value
Citizen Holdings Co. Ltd.		30		150
Computershare Ltd. (e)		49		352
Dassault Systemes SA		6		454
Elpida Memory Inc. (c) (e)		20		124
Foxconn International Holdings Ltd. (c) (e)		243		126
FUJIFILM Holdings Corp.		53		1,236
Fujitsu Ltd.		211		995
Gree Inc. (e)		11		332
Hamamatsu Photonics KK (e)		8		326
Hirose Electric Co. Ltd. (e)		3		316
Hitachi High-Technologies Corp.		7		147
Hitachi Ltd. (e)		505		2,507
Hoya Corp. (e)		49		1,145
Ibiden Co. Ltd. (e)		15		315
Indra Sistemas SA (e)		11		161
Infineon Technologies AG		125		923
Itochu Techno-Solutions Corp. (e)		3		153
Keyence Corp.		5		1,260
Konami Corp.		11		373
Konica Minolta Holdings Inc. (e)		56		387
Kyocera Corp.		17		1,421
Murata Manufacturing Co. Ltd. (e)		23		1,265
NEC Corp. (e)		285		579
Neopost SA		4		283
NICE Systems Ltd. (c)		8		229
Nintendo Co. Ltd.		11		1,616
Nippon Electric Glass Co. Ltd. (e)		44		400
Nokia Oyj		418		2,365
Nomura Research Institute Ltd. (e)		11		247
NTT Data Corp. (e)		—		432
Omron Corp. (e)		22		434
Oracle Corp. Japan (e)		5		158
Otsuka Corp.		1		97
Renewable Energy Corp. AS (c) (e)		49		43
Ricoh Co. Ltd. (e)		77		645
Rohm Co. Ltd.		11		558
Sage Group Plc		148		586
SAP AG		103		5,247
Seiko Epson Corp. (e)		14		178
Shimadzu Corp. (e)		26		219
Square Enix Holdings Co. Ltd.		6		108
STMicroelectronics NV		73		476
Sumco Corp. (c) (e)		13		120
TDK Corp. (e)		14		471
Telefonaktiebolaget LM Ericsson		337		3,236
Tokyo Electron Ltd. (e)		20		885
Toshiba Corp.		449		1,832
Trend Micro Inc.		13		391
United Internet AG (e)		14		241
Yahoo! Japan Corp. (e)		2		521
Yaskawa Electric Corp. (e)		25		188
Yokogawa Electric Corp. (c) (e)		24		226

				50,034
MATERIALS - 9.6%
Acerinox SA (e)		12		131
Air Liquide		32		3,715
Air Water Inc.		14		173
Akzo Nobel NV		27		1,172
Alumina Ltd.		273		380
Amcor Ltd. (e)		142		938
Anglo American Plc		148		5,093
Antofagasta Plc		43		621
ArcelorMittal		96		1,529
Arkema SA		6		347
Asahi Kasei Corp.		146		875


	Shares/Par (p)		Value
BASF SE		103		6,281
BHP Billiton Ltd.		361		11,941
BHP Billiton Plc		241		6,433
BlueScope Steel Ltd. (e)		188		130
Boliden AB		30		309
Boral Ltd. (e)		79		263
Cimpor Cimentos de Portugal SGPS SA		25		169
CRH Plc		81		1,258
Daicel Chemical Industries Ltd. (e)		38		216
Daido Steel Co. Ltd. (e)		32		191
Denki Kagaku Kogyo K K		49		187
Eramet		1		74
Eurasian Natural Resources Corp.		29		254
Fletcher Building Ltd.		77		448
Fortescue Metals Group Ltd. (e)		144		602
Fresnillo Plc		20		485
Givaudan SA		1		737
Glencore International Plc (e)		97		607
HeidelbergCement AG		15		560
Hitachi Chemical Co. Ltd.		12		191
Hitachi Metals Ltd. (e)		17		196
Holcim Ltd.		28		1,490
Holmen AB (e)		7		167
Iluka Resources Ltd. (e)		49		568
Imerys SA		4		191
Incitec Pivot Ltd. (e)		190		587
Israel Chemicals Ltd.		49		562
Israel Corp. Ltd.		—		179
James Hardie Industries SE (c) (e)		46		252
JFE Holdings Inc. (e)		53		1,071
Johnson Matthey Plc		24		577
JSR Corp. (e)		22		379
K+S AG		20		1,036
Kaneka Corp.		32		181
Kansai Paint Co. Ltd. (e)		22		211
Kazakhmys Plc		26		317
Kobe Steel Ltd. (e)		292		487
Koninklijke DSM NV		17		739
Kuraray Co. Ltd. (e)		40		551
Lafarge SA		23		792
Lanxess AG		9		436
Linde AG		19		2,528
Lonmin Plc		17		281
Lynas Corp. Ltd. (c) (e)		182		186
MacArthur Coal Ltd.		18		270
Makhteshim-Agan Industries Ltd.		29		156
Maruichi Steel Tube Ltd.		6		137
Mitsubishi Chemical Holdings Corp. (e)		150		1,016
Mitsubishi Gas Chemical Co. Inc.		42		258
Mitsubishi Materials Corp. (e)		130		317
Mitsui Chemicals Inc. (e)		87		291
Newcrest Mining Ltd.		86		2,822
Nippon Paper Group Inc. (e)		11		280
Nippon Steel Corp. (e)		568		1,629
Nisshin Steel Co. Ltd.		92		164
Nitto Denko Corp. (e)		19		752
Norsk Hydro ASA (e)		108		491
Novozymes A/S		5		748
OJI Paper Co. Ltd. (e)		101		554
OneSteel Ltd.		147		172
Orica Ltd.		40		901
Outokumpu Oyj (e)		15		99
OZ Minerals Ltd. (e)		38		334
Randgold Resources Ltd.		10		979
Rautaruukki Oyj (e)		8		83
Rexam Plc		101		486


	Shares/Par (p)		Value
Rio Tinto Ltd. (e)		49		2,856
Rio Tinto Plc		160		7,115
Salzgitter AG		4		216
Shin-Etsu Chemical Co. Ltd. (e)		46		2,247
Showa Denko KK (e)		159		314
Sika AG		—		418
Sims Metal Management Ltd.		20		237
Solvay SA (e)		7		645
SSAB Svenskt Stal AB - Class A		19		142
Stora Enso Oyj		65		380
Sumitomo Chemical Co. Ltd. (e)		175		675
Sumitomo Metal Industries Ltd.		384		796
Sumitomo Metal Mining Co. Ltd. (e)		58		768
Svenska Cellulosa AB		63		770
Syngenta AG		11		2,749
Taiyo Nippon Sanso Corp. (e)		28		195
Teijin Ltd.		104		374
ThyssenKrupp AG		43		1,045
Toray Industries Inc. (e)		169		1,184
Tosoh Corp. (e)		66		207
Toyo Seikan Kaisha Ltd.		16		242
Ube Industries Ltd.		121		402
Umicore		13		482
UPM-Kymmene Oyj		60		679
Vedanta Resources Plc (e)		13		225
Voestalpine AG		12		351
Wacker Chemie AG (e)		2		159
Xstrata Plc		232		2,933
Yamato Kogyo Co. Ltd. (e)		4		105
Yara International ASA		21		800

				102,924
TELECOMMUNICATION SERVICES - 6.0%
Belgacom SA		17		513
Bezeq Israeli Telecommunication Corp. Ltd.		197		368
BT Group Plc		867		2,323
Cellcom Israel Ltd.		5		105
Deutsche Telekom AG		315		3,692
Elisa Oyj		15		313
France Telecom SA		208		3,397
Hellenic Telecommunications Organization SA		25		105
Iliad SA (e)		2		268
Inmarsat Plc		54		413
KDDI Corp.		—		2,244
Koninklijke KPN NV		176		2,313
Millicom International Cellular SA		8		837
Mobistar SA		4		209
Nippon Telegraph & Telephone Corp.		53		2,558
NTT DoCoMo Inc. (e)		2		3,123
Partner Communications Co. Ltd.		9		84
PCCW Ltd.		321		119
Portugal Telecom SGPS SA		74		546
Singapore Telecommunications Ltd.		890		2,144
SoftBank Corp. (e)		97		2,835
StarHub Ltd.		65		141
Swisscom AG		3		1,093
TDC A/S		40		327
Tele2 AB (e)		35		640
Telecom Corp. of New Zealand Ltd.		228		454
Telecom Italia SpA		1,041		1,131
Telefonica SA		461		8,835
Telekom Austria AG		38		388
Telenor ASA		83		1,278
TeliaSonera AB (e)		241		1,589
Telstra Corp. Ltd.		485		1,443
Vivendi SA		138		2,817


	Shares/Par (p)		Value
Vodafone Group Plc		5,766		14,862

				63,507
UTILITIES - 4.7%
A2A SpA (e)		129		161
Acciona SA		3		220
AGL Energy Ltd. (e)		51		702
Centrica Plc		576		2,655
Cheung Kong Infrastructure Holdings Ltd.		46		268
Chubu Electric Power Co. Inc. (e)		76		1,429
Chugoku Electric Power Co. Inc. (e)		32		570
CLP Holdings Ltd. (e)		214		1,932
Contact Energy Ltd.		37		154
E.ON AG		202		4,376
EDP Renovaveis SA (c)		25		137
Electric Power Development Co. Ltd. (e)		14		408
Electricite de France SA		26		767
Enagas SA		20		375
Enel Green Power SpA (e)		195		443
Enel SpA		737		3,251
Energias de Portugal SA		218		671
Fortum Oyj		51		1,200
Gas Natural SDG SA		37		636
GDF Suez		139		4,118
Hokkaido Electric Power Co. Inc.		20		287
Hokuriku Electric Power Co.		19		349
Hong Kong & China Gas Co. Ltd. (e)		547		1,230
Hongkong Electric Holdings Ltd.		154		1,178
Iberdrola SA		442		2,985
International Power Plc		177		840
Kansai Electric Power Co. Inc. (e)		84		1,443
Kyushu Electric Power Co. Inc.		45		717
National Grid Plc		393		3,892
Osaka Gas Co. Ltd.		222		922
Public Power Corp. SA		14		111
Red Electrica Corp. SA		12		552
RWE AG		47		1,720
Scottish & Southern Energy Plc		104		2,085
Severn Trent Plc		27		652
Shikoku Electric Power Co. Inc. (e)		22		608
Snam Rete Gas SpA		177		818
SP AusNet		178		160
Suez Environnement SA		30		421
Terna Rete Elettrica Nazionale SpA (e)		131		484
Toho Gas Co. Ltd. (e)		51		335
Tohoku Electric Power Co. Inc. (e)		53		737
Tokyo Electric Power Co. Inc. (c)		159		481
Tokyo Gas Co. Ltd. (e)		288		1,338
United Utilities Group Plc		76		738
Veolia Environnement		39		575
Verbund - Oesterreichische Elektrizitaetswirtschafts AG		7		213

				50,344

Total Common Stocks (cost $1,212,961)				1,021,173

PREFERRED STOCKS - 0.6%
CONSUMER DISCRETIONARY - 0.3%
Bayerische Motoren Werke AG		6		304
Porsche Automobil Holding SE		17		826
Volkswagen AG		16		2,132

				3,262
CONSUMER STAPLES - 0.1%
Henkel AG & Co. KGaA		20		1,070


	Shares/Par (p)		Value
Lindt & Spruengli AG		—		273

				1,343
FINANCIALS - 0.0%
Intesa Sanpaolo SpA		102		132
INDUSTRIALS - 0.1%
Schindler Holding AG		6		592
TELECOMMUNICATION SERVICES - 0.1%
Telecom Italia SpA - RNC		661		643
UTILITIES - 0.0%
RWE AG (e)		4		136

Total Preferred Stocks (cost $6,679)				6,108

RIGHTS - 0.0%
Banco Bilbao Vizcaya Argentaria SA (c)		478		70
CaixaBank (c)		81		7

Total Rights (cost $78)				77

OTHER EQUITY INTERESTS - 0.0%
IMMOEAST AG (c) (f) (u)		37		—
IMMOFINANZ AG (c) (f) (u)		27		—

Total Other Equity Interests (cost $0)				—

SHORT TERM INVESTMENTS - 16.6%
Investment Companies - 2.4%
JNL Money Market Fund, 0.02% (a) (h)		25,835		25,835
Securities Lending Collateral - 13.9%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		147,957		147,957
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		760		736

				148,693
Treasury Securities - 0.3%
U.S. Treasury Bill
0.00%,02/09/12 (o)	$	20		20
0.03%, 03/08/12 (o)		1,610		1,609
0.02%, 03/22/12 (o)		1,280		1,280

				2,909

Total Short Term Investments (cost $177,462)				177,437

Total Investments - 112.8% (cost $1,397,180)				1,204,795
Other Assets and Liabilities, Net - (12.8%)				(136,427	)

Total Net Assets - 100.0%			$	1,068,368

JNL/Mellon Capital Management Bond Index Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.2%
Ally Auto Receivables Trust
0.91%, 11/17/14	$	500	$	501
1.11%, 01/15/15		500		502
Banc of America Commercial Mortgage Inc. REMIC
5.92%, 05/10/45 (i)		1,500		1,644
5.96%, 05/10/45 (i)		550		544
4.89%, 07/10/45		370		377
5.45%, 01/15/49		200		208
5.45%, 01/15/49		1,500		1,600


	Shares/Par (p)		Value
5.48%, 01/15/49 (i)		350		306
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.91%, 05/11/17 (i)		300		320
5.12%, 02/11/41 (i)		1,150		1,234
Centerpoint Energy Transition Co. LLC Secured Transition Bond, 5.17%, 08/01/19		741		857
Citibank Credit Card Issuance Trust, 5.30%, 03/15/16		900		1,050
Citigroup Commercial Mortgage Trust REMIC, 5.25%, 04/15/40 (i)		155		161
Citigroup/Deutsche Bank Commercial Mortgage Trust REMIC
5.62%, 10/15/48		250		263
5.65%, 10/15/48		500		438
Commercial Mortgage Loan Trust REMIC, 6.21%, 12/10/49 (i)		750		658
Continental Airlines Inc. Pass Through Trust - Class A, 4.75%, 01/12/21 (e)		300		288
Credit Suisse First Boston Mortgage Securities Corp. REMIC, 5.14%, 08/15/36 (i)		1,500		1,569
Credit Suisse Mortgage Capital Certificates REMIC, 5.38%, 02/15/40		250		264
CS First Boston Mortgage Securities Corp. REMIC
5.01%, 01/15/12 (i)		800		855
5.42%, 05/15/36 (i)		350		375
5.10%, 08/15/38 (i)		338		344
Delta Air Lines Class A Pass Through Trust - Class A, 6.82%, 02/10/24 (i)		378		381
GE Capital Commercial Mortgage Corp. REMIC, 5.49%, 11/10/45 (i)		200		182
Greenwich Capital Commercial Funding Corp.
5.22%, 04/10/37 (i)		1,000		1,062
REMIC, 4.57%, 01/10/12		500		503
GS Mortgage Securities Corp. II REMIC, 5.56%, 11/10/39		400		423
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC
5.93%, 05/12/17 (i)		1,000		874
5.79%, 06/12/41 (i)		850		914
5.54%, 10/12/41		1,250		1,369
4.88%, 01/15/42		750		804
4.74%, 07/15/42		500		535
4.78%, 07/15/42		500		499
4.94%, 08/15/42 (i)		278		300
5.42%, 01/15/49		250		259
5.93%, 02/12/49 (i)		200		212
5.79%, 02/12/51 (i)		521		562
LB-UBS Commercial Mortgage Trust REMIC
3.85%, 05/15/27		111		112
4.17%, 05/15/32		165		170
5.42%, 02/15/40		330		348
5.87%, 09/15/45 (i)		2,000		2,145
Merrill Lynch Mortgage Trust REMIC, 5.74%, 08/12/43 (i)		250		275
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC
5.41%, 07/12/46 (i)		200		215
5.17%, 12/12/49		200		213
5.75%, 06/12/50 (i)		532		551
Morgan Stanley Capital I REMIC
5.77%, 06/12/12 (i)		363		366
5.77%, 03/12/17 (i)		400		417
4.80%, 01/13/41		250		263
5.33%, 11/12/41		250		269


	Shares/Par (p)		Value
5.90%, 10/15/42 (i)		270		294
Wachovia Bank Commercial Mortgage Trust REMIC
5.22%, 01/15/41 (i)		100		106
5.49%, 07/15/41 (i)		250		269
4.89%, 10/15/41		200		197
4.90%, 10/15/41 (i)		500		474
5.12%, 07/15/42 (i)		410		446
5.53%, 12/15/44 (i)		200		165
5.42%, 01/15/45 (i)		350		377
6.20%, 06/15/45 (i)		500		377
5.57%, 10/15/48		250		265
5.31%, 11/15/48		1,082		1,145

Total Non-U.S. Government Agency Asset-Backed Securities (cost $31,185)				32,696

CORPORATE BONDS AND NOTES - 21.6%
CONSUMER DISCRETIONARY - 1.6%
Ace INA Holdings Inc., 5.88%, 06/15/14		500		553
AutoZone Inc., 5.50%, 11/15/15		400		440
Board of Trustees of The Leland Stanford Junior University, 3.63%, 05/01/14		700		749
CBS Corp., 5.63%, 09/15/19 (e)		500		564
Comcast Cable Communications Holdings Inc.
8.38%, 03/15/13		357		392
9.46%, 11/15/22		500		721
Comcast Corp.
5.30%, 01/15/14		500		542
6.50%, 01/15/15		50		57
6.50%, 11/15/35		100		115
6.95%, 08/15/37		500		599
COX Communications Inc., 5.45%, 12/15/14 (e)		150		166
Daimler Finance North America LLC, 6.50%, 11/15/13		100		110
Diageo Capital Plc, 4.83%, 07/15/20 (e)		395		442
DIRECTV Holdings LLC
3.55%, 03/15/15 (e)		200		209
3.50%, 03/01/16		400		413
4.60%, 02/15/21		200		205
6.35%, 03/15/40		600		668
6.00%, 08/15/40		200		213
Discovery Communications LLC
3.70%, 06/01/15 (e)		100		105
5.63%, 08/15/19		100		113
5.05%, 06/01/20 (e)		200		219
6.35%, 06/01/40		100		117
Fortune Brands Inc., 5.38%, 01/15/16		45		50
Gap Inc., 5.95%, 04/12/21		400		376
Grupo Televisa SA, 6.63%, 03/18/25 (e)		100		111
Hasbro Inc., 6.35%, 03/15/40		300		330
Home Depot Inc.
5.25%, 12/16/13		250		272
5.40%, 03/01/16		500		566
5.88%, 12/16/36		250		291
Johnson Controls Inc., 5.50%, 01/15/16		250		281
Lowe’s Cos. Inc.
4.63%, 04/15/20		100		110
5.50%, 10/15/35 (e)		150		171
5.80%, 04/15/40 (e)		100		117
Macy’s Retail Holdings Inc.
5.75%, 07/15/14		500		534
6.65%, 07/15/24 (e)		200		228
6.90%, 04/01/29		250		281


	Shares/Par (p)		Value
McDonald’s Corp.
5.35%, 03/01/18		300		358
6.30%, 03/01/38		500		669
NBCUniversal Media LLC
2.10%, 04/01/14 (e)		500		508
5.15%, 04/30/20		200		219
6.40%, 04/30/40		200		233
News America Inc.
5.30%, 12/15/14 (e)		175		190
5.65%, 08/15/20		300		332
4.50%, 02/15/21		400		402
6.20%, 12/15/34 (e)		50		54
6.40%, 12/15/35		100		108
6.65%, 11/15/37		300		330
6.15%, 02/15/41 (e)		300		317
Omnicom Group Inc., 5.90%, 04/15/16		250		277
Target Corp.
5.88%, 07/15/16		250		297
7.00%, 07/15/31		500		664
6.50%, 10/15/37		300		391
Thomson Reuters Corp., 6.50%, 07/15/18		500		593
Time Warner Cable Inc.
6.20%, 07/01/13		300		324
5.85%, 05/01/17		150		167
8.75%, 02/14/19		169		216
6.55%, 05/01/37		250		278
7.30%, 07/01/38		300		365
6.75%, 06/15/39		300		343
Time Warner Entertainment Co. LP, 8.38%, 03/15/23		600		768
Time Warner Inc.
3.15%, 07/15/15		200		207
5.88%, 11/15/16		350		396
4.70%, 01/15/21		200		209
7.63%, 04/15/31		250		312
6.10%, 07/15/40 (e)		200		220
Viacom Inc., 7.88%, 07/30/30		125		158
Wal-Mart Stores Inc., 5.63%, 04/15/41		300		370
Walt Disney Co.
4.50%, 12/15/13		500		540
2.75%, 08/16/21		300		297
7.00%, 03/01/32		50		71
Whirlpool Corp., 4.85%, 06/15/21 (e)		400		402
Yale University, 2.90%, 10/15/14		300		318
Yum! Brands Inc., 6.88%, 11/15/37 (e)		200		262

				23,595
CONSUMER STAPLES - 1.6%
Altria Group Inc.
8.50%, 11/10/13 (e) (l)		500		570
9.70%, 11/10/18 (l)		500		663
9.25%, 08/06/19 (l)		100		131
9.95%, 11/10/38 (l)		100		143
Anheuser-Busch Cos. Inc.
4.95%, 01/15/14		200		217
5.05%, 10/15/16		100		113
6.45%, 09/01/37 (e)		300		392
Anheuser-Busch InBev Worldwide Inc.
6.88%, 11/15/19		400		509
5.38%, 01/15/20		400		466
8.20%, 01/15/39		400		604
Archer-Daniels-Midland Co., 5.45%, 03/15/18 (e)		350		410
Bottling Group LLC, 6.95%, 03/15/14		200		229
Bunge Ltd. Finance Corp.
5.35%, 04/15/14		75		79


	Shares/Par (p)		Value
4.10%, 03/15/16		500		514
Campbell Soup Co., 4.25%, 04/15/21		300		330
Coca-Cola Co.
0.75%, 11/15/13		600		599
3.15%, 11/15/20		300		310
ConAgra Foods Inc., 7.00%, 04/15/19 (e)		300		361
CVS Caremark Corp.
6.13%, 08/15/16		250		289
5.75%, 06/01/17		500		574
4.13%, 05/15/21 (e)		400		416
Diageo Investment Corp., 8.00%, 09/15/22		100		134
General Mills Inc.
5.20%, 03/17/15		500		561
5.70%, 02/15/17		300		352
H.J. Heinz Finance Co., 6.75%, 03/15/32		100		130
Kellogg Co.
5.13%, 12/03/12		200		210
4.45%, 05/30/16		350		390
4.00%, 12/15/20		200		214
Kimberly-Clark Corp., 7.50%, 11/01/18		500		660
Kraft Foods Inc.
5.25%, 10/01/13		400		427
4.13%, 02/09/16		100		106
6.13%, 02/01/18		300		352
5.38%, 02/10/20		600		679
6.88%, 02/01/38		500		630
6.88%, 01/26/39		100		126
Kroger Co.
5.50%, 02/01/13		100		105
6.40%, 08/15/17		200		237
6.15%, 01/15/20		200		240
7.50%, 04/01/31		150		201
Lorillard Tobacco Co., 8.13%, 06/23/19 (e) (l)		500		586
Pepsi Bottling Group Inc., 7.00%, 03/01/29		75		106
PepsiCo Inc.
4.65%, 02/15/13		800		843
7.90%, 11/01/18		555		738
3.13%, 11/01/20		300		308
Philip Morris International Inc.
4.88%, 05/16/13		500		530
6.88%, 03/17/14		500		567
5.65%, 05/16/18		250		295
Procter & Gamble Co.
4.95%, 08/15/14		150		168
4.70%, 02/15/19		500		586
5.55%, 03/05/37 (e)		100		129
Reynolds American Inc., 7.63%, 06/01/16		250		299
Safeway Inc., 6.35%, 08/15/17 (e)		500		578
Unilever Capital Corp.
2.75%, 02/10/16 (e)		400		423
5.90%, 11/15/32		300		398
Wal-Mart Stores Inc.
4.55%, 05/01/13 (e)		100		106
1.63%, 04/15/14 (e)		400		409
2.25%, 07/08/15		300		312
2.80%, 04/15/16 (e)		400		422
4.13%, 02/01/19		300		335
4.25%, 04/15/21 (e)		400		448
7.55%, 02/15/30		300		428
6.20%, 04/15/38		300		387
4.88%, 07/08/40 (e)		300		333
Walgreen Co., 4.88%, 08/01/13		200		215

				23,622
ENERGY - 2.0%
Alberta Energy Co. Ltd., 7.38%, 11/01/31		400		489


	Shares/Par (p)		Value
Anadarko Petroleum Corp.
5.95%, 09/15/16		100		109
8.70%, 03/15/19 (e)		250		315
6.45%, 09/15/36		150		159
Apache Corp.
5.25%, 04/15/13		250		266
3.63%, 02/01/21 (e)		400		420
BP Capital Markets Plc
5.25%, 11/07/13		400		431
3.13%, 10/01/15 (e)		500		517
4.50%, 10/01/20		500		542
Burlington Resources Finance Co., 7.20%, 08/15/31		100		136
Canadian Natural Resources Ltd.
5.85%, 02/01/35		150		170
6.25%, 03/15/38 (e)		300		356
CenterPoint Energy Resources Corp.
4.50%, 01/15/21		43		44
6.63%, 11/01/37 (e)		200		245
Conoco Funding Co., 7.25%, 10/15/31		75		103
ConocoPhillips
6.65%, 07/15/18		75		92
5.75%, 02/01/19		300		359
6.00%, 01/15/20		300		367
6.50%, 02/01/39 (e)		500		663
ConocoPhillips Holding Co., 6.95%, 04/15/29		200		266
Devon Energy Corp.
2.40%, 07/15/16 (e)		500		507
7.95%, 04/15/32		100		142
Devon Financing Corp. ULC, 7.88%, 09/30/31		100		140
Enbridge Energy Partners LP
9.88%, 03/01/19		500		663
7.50%, 04/15/38		200		252
EnCana Corp., 6.50%, 08/15/34		100		113
Energy Transfer Partners LP
5.95%, 02/01/15		250		268
9.70%, 03/15/19		500		619
7.50%, 07/01/38		200		217
Enterprise Products Operating LLC
5.60%, 10/15/14		25		27
3.70%, 06/01/15		100		104
5.25%, 01/31/20		300		330
6.88%, 03/01/33		25		29
6.45%, 09/01/40		100		113
5.95%, 02/01/41		300		322
EOG Resources Inc., 4.40%, 06/01/20		200		220
Halliburton Co., 7.45%, 09/15/39		250		357
Hess Corp.
7.30%, 08/15/31		35		45
5.60%, 02/15/41 (e)		400		432
Husky Energy Inc., 7.25%, 12/15/19 (e)		500		613
Kinder Morgan Energy Partners LP
5.00%, 12/15/13		75		80
6.00%, 02/01/17		150		170
9.00%, 02/01/19		500		639
6.50%, 09/01/39 (e)		200		215
Magellan Midstream Partners LP, 4.25%, 02/01/21		300		310
Marathon Oil Corp., 5.90%, 03/15/18 (e)		228		266
Marathon Petroleum Corp., 6.50%, 03/01/41 (r)		300		324
Nabors Industries Inc., 6.15%, 02/15/18		300		334
Nexen Inc.
5.88%, 03/10/35		50		49
6.40%, 05/15/37		100		102
Noble Energy Inc., 8.25%, 03/01/19 (e)		300		394


	Shares/Par (p)		Value
Noble Holding International Ltd.
3.45%, 08/01/15		200		210
6.20%, 08/01/40		200		236
Occidental Petroleum Corp.
2.50%, 02/01/16		400		417
4.10%, 02/01/21		250		271
ONEOK Partners LP, 6.65%, 10/01/36		150		174
PC Financial Partnership, 5.00%, 11/15/14		500		542
Pemex Project Funding Master Trust
5.75%, 03/01/18 (e)		500		541
6.63%, 06/15/35 (e)		150		161
Petro-Canada, 7.00%, 11/15/28		75		90
Petrobras International Finance Co.
3.88%, 01/27/16		500		496
6.13%, 10/06/16 (e)		100		108
5.88%, 03/01/18		150		156
7.88%, 03/15/19		500		580
6.88%, 01/20/40		400		422
Petroleos Mexicanos, 6.00%, 03/05/20		500		547
Plains All American Pipeline LP
3.95%, 09/15/15		300		316
6.50%, 05/01/18		100		115
6.70%, 05/15/36		100		114
Pride International Inc., 6.88%, 08/15/20		400		462
Rowan Cos. Inc., 7.88%, 08/01/19 (e)		300		354
Shell International Finance BV
4.00%, 03/21/14		500		539
5.20%, 03/22/17		250		291
4.38%, 03/25/20		300		337
6.38%, 12/15/38		200		272
5.50%, 03/25/40		300		373
Southern Natural Gas Co., 5.90%, 04/01/17 (r)		250		280
Spectra Energy Capital LLC, 8.00%, 10/01/19 (e)		250		314
StatoilHydro ASA, 5.25%, 04/15/19 (e)		500		590
Suncor Energy Inc.
5.95%, 12/01/34		100		108
6.50%, 06/15/38		300		350
Total Capital SA
3.00%, 06/24/15		400		423
2.30%, 03/15/16		250		257
TransCanada Pipelines Ltd.
6.50%, 08/15/18 (e)		200		245
3.80%, 10/01/20 (e)		400		422
6.20%, 10/15/37		300		371
Transocean Inc.
4.95%, 11/15/15		500		527
6.80%, 03/15/38		150		155
Valero Energy Corp.
9.38%, 03/15/19		500		641
7.50%, 04/15/32		100		116
Weatherford International Inc., 6.35%, 06/15/17		250		282
Weatherford International Ltd. Bermuda, 5.13%, 09/15/20 (e)		400		407
Williams Cos. Inc., 8.75%, 03/15/32		186		243
Williams Partners LP
3.80%, 02/15/15		100		104
5.25%, 03/15/20		100		108
6.30%, 04/15/40 (e)		200		221

				28,733
FINANCIALS - 8.9%
Abbey National Treasury Services Plc, 2.88%, 04/25/14		500		471
Aegon NV, 4.75%, 06/01/13		150		157
AFLAC Inc., 8.50%, 05/15/19		500		609


	Shares/Par (p)		Value
African Development Bank, 3.00%, 05/27/14 (e)		500		531
Allstate Corp.
6.75%, 05/15/18		300		357
7.45%, 05/16/19		300		367
5.35%, 06/01/33		75		77
5.55%, 05/09/35		100		108
Ally Financial Inc., 2.20%, 12/19/12		500		511
American Express Centurion Bank, 5.55%, 10/17/12		300		313
American Express Co.
4.88%, 07/15/13		250		263
6.15%, 08/28/17		750		857
8.15%, 03/19/38		100		143
American Express Credit Corp., 2.75%, 09/15/15 (e)		500		502
American International Group Inc.
4.25%, 05/15/13 (e)		500		499
5.60%, 10/18/16 (e)		500		495
5.85%, 01/16/18		200		198
6.40%, 12/15/20		500		509
6.25%, 03/15/37 (i)		400		277
Ameriprise Financial Inc., 7.52%, 06/01/66 (i)		250		250
Asian Development Bank
3.63%, 09/05/13		500		530
4.25%, 10/20/14		750		830
5.59%, 07/16/18		400		493
6.38%, 10/01/28		210		290
Assurant Inc., 6.75%, 02/15/34		100		107
AXA SA, 8.60%, 12/15/30		100		112
Bank of America Corp.
4.88%, 01/15/13 (e)		200		199
4.90%, 05/01/13		200		198
4.75%, 08/15/13 (e)		200		199
7.38%, 05/15/14		200		206
4.50%, 04/01/15		500		474
3.70%, 09/01/15		600		553
3.63%, 03/17/16		500		455
6.50%, 08/01/16		300		298
5.75%, 12/01/17		675		633
5.65%, 05/01/18		500		475
5.49%, 03/15/19		200		176
5.00%, 05/13/21		400		357
Bank of America NA, 6.00%, 10/15/36		250		228
Bank of New York Mellon Corp.
4.95%, 11/01/12 (a)		500		522
2.50%, 01/15/16 (a)		500		510
3.55%, 09/23/21 (a)		600		598
Bank of Nova Scotia
2.38%, 12/17/13 (e)		672		691
2.05%, 10/07/15		500		504
Bank One Corp., 7.63%, 10/15/26		500		627
Barclays Bank Plc
3.90%, 04/07/15 (e)		500		491
5.13%, 01/08/20		300		294
BB&T Capital Trust I, 5.85%, 08/18/35		100		101
BB&T Capital Trust II, 6.75%, 06/07/36		150		153
BB&T Corp., 5.20%, 12/23/15		300		322
Bear Stearns Cos. Inc., 5.70%, 11/15/14		700		755
Berkshire Hathaway Finance Corp.
4.60%, 05/15/13		100		105
4.63%, 10/15/13 (e)		250		266
4.85%, 01/15/15 (e)		100		111
5.40%, 05/15/18		500		571
4.25%, 01/15/21 (e)		300		315
BlackRock Inc., 3.50%, 12/10/14		200		213


	Shares/Par (p)		Value
BNP Paribas, 5.00%, 01/15/21 (e)		400		392
BNP Paribas LLC, 2.13%, 12/21/12 (e)		500		492
Boeing Capital Corp.
5.80%, 01/15/13		125		133
3.25%, 10/27/14		300		318
Boston Properties LP, 5.63%, 11/15/20 (e)		200		215
Camden Property Trust, 5.00%, 06/15/15		100		107
Canadian Imperial Bank of Commerce, 1.45%,
09/13/13		300		302
Capital One Bank USA NA, 6.50%, 06/13/13		250		267
Capital One Capital III, 7.69%, 08/15/36 (e) (i)		100		98
Capital One Capital V, 10.25%, 08/15/39 (e)		400		406
Capital One Financial Corp.
2.13%, 07/15/14		600		594
6.15%, 09/01/16		250		265
Caterpillar Financial Services Corp.
1.55%, 12/20/13 (e)		450		456
4.75%, 02/17/15		100		112
2.75%, 06/24/15		200		208
Caterpillar Inc., 7.30%, 05/01/31		92		130
Chubb Corp., 5.20%, 04/01/13		100		105
Cincinnati Financial Corp.
6.92%, 05/15/28		400		453
6.13%, 11/01/34		100		105
Citigroup Funding Inc.
1.88%, 10/22/12 (e)		1,000		1,016
1.88%, 11/15/12		1,000		1,017
Citigroup Inc.
5.50%, 04/11/13		500		515
6.50%, 08/19/13		1,000		1,052
5.00%, 09/15/14		400		392
6.01%, 01/15/15		500		531
4.75%, 05/19/15		500		512
5.85%, 08/02/16		250		267
6.00%, 08/15/17		250		265
6.13%, 05/15/18		400		429
8.50%, 05/22/19		550		664
6.00%, 10/31/33		50		44
5.88%, 05/29/37 (e)		500		478
8.13%, 07/15/39		600		719
CNA Financial Corp., 5.75%, 08/15/21 (e)		400		404
CommonWealth REIT, 6.25%, 08/15/16		500		537
ConocoPhillips Canada Funding Co. I, 5.63%,
10/15/16		300		348
Corp. Andina de Fomento, 3.75%, 01/15/16 (e)		200		202
Credit Suisse AG, 5.40%, 01/14/20		300		288
Credit Suisse New York, 3.50%, 03/23/15		500		500
Credit Suisse USA Inc.
5.50%, 08/15/13		450		471
5.13%, 08/15/15		200		211
5.85%, 08/16/16		600		659
7.13%, 07/15/32		100		114
Deutsche Bank AG London
4.88%, 05/20/13		450		465
3.45%, 03/30/15 (e)		500		498
6.00%, 09/01/17		500		551
Deutsche Bank Financial LLC, 5.38%, 03/02/15		250		253
Discover Bank, 7.00%, 04/15/20		300		318
Duke Realty LP, 7.38%, 02/15/15 (e)		150		163
Eksportfinans ASA, 3.00%, 11/17/14		500		528
ERP Operating LP
5.25%, 09/15/14		250		270
5.75%, 06/15/17		150		168
European Bank for Reconstruction & Development
2.75%, 04/20/15 (e)		500		526


	Shares/Par (p)		Value
2.50%, 03/15/16		200		210
European Investment Bank
1.88%, 06/17/13 (e)		1,000		1,023
1.25%, 09/17/13 (e)		500		506
1.25%, 02/14/14 (e)		500		507
3.00%, 04/08/14		500		528
1.50%, 05/15/14 (e)		500		510
4.63%, 05/15/14 (e)		150		165
3.13%, 06/04/14		500		531
2.75%, 03/23/15		400		424
1.63%, 09/01/15 (e)		600		614
4.88%, 02/16/16		250		289
2.50%, 05/16/16 (e)		500		529
2.13%, 07/15/16 (e)		1,000		1,041
5.13%, 05/30/17 (e)		500		595
4.00%, 02/16/21 (e)		500		569
Export-Import Bank of Korea
8.13%, 01/21/14		500		558
5.13%, 03/16/15		200		209
Fidelity National Financial Inc., 6.60%,
05/15/17		400		421
Fifth Third Bancorp, 6.25%, 05/01/13 (e)		300		318
Fifth Third Capital Trust IV, 6.50%, 04/15/37 (i)		200		190
Franklin Resources Inc., 3.13%, 05/20/15		300		310
General Electric Capital Corp.
2.00%, 09/28/12		500		508
5.25%, 10/19/12		400		418
2.63%, 12/28/12		1,000		1,028
2.80%, 01/08/13		700		712
1.88%, 09/16/13 (e)		500		502
3.50%, 06/29/15 (e)		500		516
5.00%, 01/08/16 (e)		300		324
2.95%, 05/09/16 (e)		400		401
5.63%, 09/15/17		800		878
5.50%, 01/08/20		200		218
4.63%, 01/07/21 (e)		400		415
6.75%, 03/15/32 (e)		850		970
5.88%, 01/14/38		400		410
Genworth Financial Inc., 7.70%, 06/15/20		350		308
Goldman Sachs Group Inc.
5.25%, 04/01/13 (e)		600		619
4.75%, 07/15/13		275		283
6.00%, 05/01/14 (e)		500		529
5.13%, 01/15/15		200		206
3.63%, 02/07/16 (e)		200		195
5.75%, 10/01/16 (e)		250		262
6.25%, 09/01/17		200		208
5.95%, 01/18/18		300		309
7.50%, 02/15/19		600		670
5.38%, 03/15/20		400		397
5.95%, 01/15/27		250		244
6.13%, 02/15/33 (e)		850		853
Hartford Financial Services Group Inc.
5.38%, 03/15/17		500		504
6.10%, 10/01/41		75		65
HCP Inc.
2.70%, 02/01/14 (e)		700		690
6.00%, 01/30/17		150		158
5.38%, 02/01/21		300		301
Health Care REIT Inc., 6.13%, 04/15/20		400		417
Hospitality Properties Trust, 5.63%,
03/15/17 (e)		500		508
HSBC Bank USA
4.88%, 08/24/20		300		281
7.00%, 01/15/39		340		373


	Shares/Par (p)		Value
HSBC Finance Capital Trust IX, 5.91%, 11/30/35 (e) (i)		250		208
HSBC Finance Corp., 4.75%, 07/15/13 (e)		600		620
HSBC Holdings Plc
5.25%, 12/12/12 (e)		500		516
5.10%, 04/05/21		500		515
7.63%, 05/17/32		150		158
ICICI Bank Ltd., 6.63%, 10/03/12 (r)		200		205
Inter-American Development Bank
1.75%, 10/22/12		490		497
4.50%, 09/15/14		500		554
5.13%, 09/13/16		250		294
3.88%, 02/14/20 (e)		700		804
International Bank for Reconstruction & Development
1.75%, 07/15/13 (e)		750		768
1.13%, 08/25/14		1,000		1,016
2.38%, 05/26/15		200		211
2.13%, 03/15/16		500		525
7.63%, 01/19/23		300		446
International Business Machines International Group Capital LLC, 5.05%, 10/22/12		300		314
International Finance Corp., 2.13%, 11/17/17		500		506
International Lease Finance Corp., 3.00%, 04/22/14		500		524
Japan Bank of International Cooperation,
2.13%, 11/05/12		500		509
Jefferies Group Inc.
5.13%, 04/13/18 (e)		500		468
6.45%, 06/08/27		100		96
6.25%, 01/15/36		500		454
Jefferson-Pilot Corp., 4.75%, 01/30/14		400		422
John Deere Capital Corp.
1.88%, 06/17/13		200		204
2.25%, 06/07/16 (e)		400		406
3.90%, 07/12/21		500		540
JPMorgan Chase & Co.
5.38%, 10/01/12		500		520
2.13%, 12/26/12		500		511
5.38%, 01/15/14 (e)		500		539
2.05%, 01/24/14 (e)		300		303
4.75%, 03/01/15		250		265
5.15%, 10/01/15		250		264
3.45%, 03/01/16		800		803
6.40%, 10/02/17		500		568
6.00%, 01/15/18		400		445
4.40%, 07/22/20		600		607
5.60%, 07/15/41		500		522
JPMorgan Chase Capital XXV, 6.80%,
10/01/37		600		602
KeyBank NA, 5.80%, 07/01/14		100		108
KeyCorp
3.75%, 08/13/15 (e)		500		515
5.10%, 03/24/21		500		505
Korea Development Bank
5.30%, 01/17/13		300		310
3.25%, 03/09/16		300		289
Kreditanstalt fuer Wiederaufbau
1.88%, 01/14/13 (e)		800		814
3.50%, 05/16/13		1,000		1,047
1.38%, 07/15/13 (e)		500		507
1.38%, 01/13/14 (e)		500		508
4.13%, 10/15/14		650		702
2.63%, 03/03/15 (e)		500		529
2.63%, 02/16/16 (e)		1,000		1,064
4.88%, 01/17/17		500		587


	Shares/Par (p)		Value
4.38%, 03/15/18		500		580
4.88%, 06/17/19		500		601
2.75%, 09/08/20		500		518
0.00%,06/29/37 (j)		500		211
Landwirtschaftliche Rentenbank, 2.50%, 02/15/16 (e)		1,000		1,053
Lincoln National Corp., 8.75%, 07/01/19		500		593
Lloyds TSB Bank Plc, 6.38%, 01/21/21		500		493
Marsh & McLennan Cos. Inc., 5.75%, 09/15/15		20		22
Merrill Lynch & Co. Inc.
5.00%, 01/15/15		550		532
6.05%, 05/16/16 (e)		250		225
5.70%, 05/02/17		500		446
7.75%, 05/14/38		400		372
MetLife Inc.
5.00%, 11/24/13		100		107
6.75%, 06/01/16		500		575
7.72%, 02/15/19 (e)		500		613
5.70%, 06/15/35		100		107
6.40%, 12/15/36 (i)		100		89
Morgan Stanley
5.25%, 11/02/12 (e)		500		509
4.75%, 04/01/14		450		428
4.20%, 11/20/14		500		489
5.38%, 10/15/15		500		496
5.45%, 01/09/17		850		820
7.30%, 05/13/19		300		309
5.50%, 01/26/20		500		459
5.50%, 07/24/20		500		453
5.75%, 01/25/21		400		368
7.25%, 04/01/32		387		391
MUFG Capital Finance 1 Ltd., 6.35%, (callable at 100 beginning 07/25/16) (m)		250		253
National City Bank, 4.63%, 05/01/13		100		104
National Rural Utilities Cooperative Finance Corp.
10.38%, 11/01/18		200		287
8.00%, 03/01/32		150		210
NB Capital Trust II, 7.83%, 12/15/26		100		90
Nomura Holdings Inc, 6.70%, 03/04/20		400		450
Nordic Invest Bank, 3.63%, 06/17/13 (e)		600		631
Northern Trust Corp., 3.45%, 11/04/20 (e)		300		308
Oesterreichische Kontrollbank AG
4.75%, 10/16/12		650		678
1.75%, 03/11/13 (e)		300		305
PNC Funding Corp.
5.25%, 11/15/15		250		268
5.63%, 02/01/17		600		651
6.70%, 06/10/19		500		600
Principal Life Income Funding Trusts, 5.10%,
04/15/14		150		162
ProLogis Inc.
6.25%, 03/15/17		400		419
7.38%, 10/30/19 (e)		400		433
ProLogis LP, 7.63%, 08/15/14 (e)		300		327
Prudential Financial Inc.
4.75%, 09/17/15		500		522
5.38%, 06/21/20 (e)		200		210
5.75%, 07/15/33 (e)		400		395
5.70%, 12/14/36		250		243
6.63%, 06/21/40		200		216
Rabobank Nederland NV, 2.13%, 10/13/15		500		499
Realty Income Corp.
6.75%, 08/15/19		150		175
5.88%, 03/15/35		300		299
Royal Bank of Canada
2.10%, 07/29/13 (e)		200		205


	Shares/Par (p)		Value
2.88%, 04/19/16 (e)		500		518
Royal Bank of Scotland Group Plc
5.00%, 10/01/14		100		93
6.40%, 10/21/19		200		191
Royal Bank of Scotland Plc
3.25%, 01/11/14 (e)		300		291
4.88%, 03/16/15		300		294
3.95%, 09/21/15		500		470
6.13%, 01/11/21 (e)		300		297
Simon Property Group LP
5.75%, 12/01/15		400		441
5.25%, 12/01/16 (e)		250		272
6.75%, 02/01/40 (e)		100		121
SLM Corp.
5.00%, 10/01/13		520		509
5.05%, 11/14/14		250		241
8.00%, 03/25/20		100		99
SunTrust Banks Inc., 3.60%, 04/15/16		500		507
SunTrust Capital VIII, 6.10%, 12/01/66 (e) (i)		99		98
Teco Finance Inc., 5.15%, 03/15/20 (e)		200		220
Toronto-Dominion Bank, 1.38%, 07/14/14 (e)		500		504
Toyota Motor Credit Corp.
3.20%, 06/17/15		500		525
4.25%, 01/11/21		400		434
Transatlantic Holdings Inc., 5.75%, 12/14/15		200		213
Travelers Cos. Inc., 6.25%, 06/15/37		150		177
Travelers Property Casualty Corp., 6.38%,
03/15/33		400		466
UBS AG Stamford
3.88%, 01/15/15 (e)		500		498
5.88%, 07/15/16		250		257
5.88%, 12/20/17		250		257
4.88%, 08/04/20		500		481
Union Bank NA, 5.95%, 05/11/16		500		551
US Bancorp
1.38%, 09/13/13 (e)		580		584
2.45%, 07/27/15		400		410
4.13%, 05/24/21		400		431
Validus Holding Ltd., 8.88%, 01/26/40		500		555
Wachovia Bank NA
6.00%, 11/15/17		250		277
5.85%, 02/01/37		250		260
6.60%, 01/15/38		300		344
Wachovia Corp.
5.50%, 05/01/13		500		531
5.25%, 08/01/14		250		262
5.63%, 10/15/16		500		540
Wells Fargo & Co.
4.95%, 10/16/13		700		740
5.00%, 11/15/14		200		210
3.68%, 06/15/16		600		624
4.60%, 04/01/21 (e)		500		534
Wells Fargo Bank NA, 4.75%, 02/09/15		250		261
Westpac Banking Corp.
2.25%, 11/19/12 (e)		300		304
4.20%, 02/27/15		500		524

				130,145
HEALTH CARE - 1.4%
Abbott Laboratories
5.15%, 11/30/12 (e)		500		527
5.88%, 05/15/16		250		294
6.00%, 04/01/39 (e)		550		712
Aetna Inc., 6.63%, 06/15/36		150		190
Amgen Inc., 6.38%, 06/01/37		400		511


	Shares/Par (p)		Value
AstraZeneca Plc
5.90%, 09/15/17		250		299
6.45%, 09/15/37		250		334
Baxter International Inc.
4.00%, 03/01/14 (e)		300		321
4.63%, 03/15/15		75		83
4.25%, 03/15/20		200		218
Becton Dickinson and Co., 3.25%, 11/12/20		300		307
Boston Scientific Corp.
6.25%, 11/15/15 (l)		300		334
7.38%, 01/15/40		300		375
Bristol-Myers Squibb Co.
5.45%, 05/01/18		150		179
5.88%, 11/15/36		67		84
Celgene Corp., 3.95%, 10/15/20		300		304
Covidien International Finance SA, 6.00%,
10/15/17 (e)		300		356
Eli Lilly & Co.
5.20%, 03/15/17		500		580
5.55%, 03/15/37		100		121
Express Scripts Inc.
6.25%, 06/15/14		300		330
3.13%, 05/15/16		300		303
Genentech Inc.
4.75%, 07/15/15		50		56
5.25%, 07/15/35		250		291
GlaxoSmithKline Capital Inc.
4.85%, 05/15/13 (e)		500		533
4.38%, 04/15/14 (e)		150		163
5.65%, 05/15/18		500		605
5.38%, 04/15/34		150		178
Hospira Inc., 6.05%, 03/30/17		200		231
Humana Inc., 7.20%, 06/15/18 (e) (l)		500		592
Johnson & Johnson
3.80%, 05/15/13		500		526
3.55%, 05/15/21		350		387
5.95%, 08/15/37		250		337
4.85%, 05/15/41		350		414
McKesson Corp., 5.70%, 03/01/17		100		117
Medco Health Solutions Inc., 7.13%, 03/15/18 (l)		500		606
Medtronic Inc., 4.45%, 03/15/20 (e)		400		453
Merck & Co Inc
6.00%, 09/15/17 (e)		250		305
6.50%, 12/01/33 (l)		350		481
Merck & Co. Inc.
4.75%, 03/01/15		250		281
6.55%, 09/15/37 (e)		300		422
Novartis AG, 5.13%, 02/10/19 (e)		500		590
Novartis Capital Corp., 4.13%, 02/10/14		300		323
Pfizer Inc.
5.35%, 03/15/15		100		114
6.20%, 03/15/19		500		627
Pharmacia Corp., 6.60%, 12/01/28		50		65
Quest Diagnostic Inc., 4.70%, 04/01/21 (e)		500		537
Sanofi-Aventis SA, 2.63%, 03/29/16		500		517
Teva Pharmaceutical Finance LLC, 6.15%,
02/01/36		150		186
Thermo Fisher Scientific Inc.
2.05%, 02/21/14 (e)		400		411
5.00%, 06/01/15		200		222
3.20%, 03/01/16		300		315
UnitedHealth Group Inc.
5.38%, 03/15/16		250		285
6.00%, 02/15/18		150		178
4.70%, 02/15/21 (e)		400		441


	Shares/Par (p)		Value
5.80%, 03/15/36		150		174
5.95%, 02/15/41		450		547
WellPoint Inc.
5.25%, 01/15/16		300		334
4.35%, 08/15/20		200		212
5.85%, 01/15/36 (e)		100		115
5.80%, 08/15/40 (e)		200		235
Wyeth
5.50%, 03/15/13 (l)		100		107
5.50%, 02/15/16		500		575
5.95%, 04/01/37		250		319

				21,169
INDUSTRIALS - 1.2%
3M Co., 5.70%, 03/15/37		150		196
Boeing Co., 4.88%, 02/15/20		500		571
Burlington Northern Santa Fe Corp.
4.70%, 10/01/19		300		334
6.15%, 05/01/37		100		122
5.75%, 05/01/40		400		471
Burlington Northern Santa Fe LLC, 4.10%, 06/01/21		300		319
Canadian National Railway Co., 5.55%, 03/01/19		400		481
Caterpillar Inc., 7.90%, 12/15/18		500		670
CSX Corp.
7.38%, 02/01/19		300		380
6.00%, 10/01/36		200		242
Dover Corp., 5.38%, 03/01/41		500		606
Emerson Electric Co.
4.50%, 05/01/13 (e)		414		436
5.00%, 12/15/14		100		111
General Dynamics Corp., 4.25%, 05/15/13 (e)		250		264
General Electric Co., 5.00%, 02/01/13		800		838
Honeywell International Inc.
5.00%, 02/15/19 (e)		500		579
5.38%, 03/01/41		300		361
Ingersoll-Rand Global Holding Co. Ltd., 6.88%, 08/15/18		200		245
Koninklijke Philips Electronics NV, 5.75%, 03/11/18 (e)		350		402
L-3 Communications Corp., 4.95%, 02/15/21		500		522
Lockheed Martin Corp.
3.35%, 09/15/21		600		594
6.15%, 09/01/36		175		212
5.72%, 06/01/40		200		229
Norfolk Southern Corp.
5.90%, 06/15/19 (e)		300		361
7.25%, 02/15/31		62		85
4.84%, 10/01/41 (e) (r)		124		130
Northrop Grumman Systems Corp., 5.05%, 08/01/19		210		238
PACCAR Inc., 6.88%, 02/15/14 (e)		200		227
Pitney Bowes Inc., 5.75%, 09/15/17 (e)		500		513
Raytheon Co., 3.13%, 10/15/20		500		498
Republic Services Inc.
5.00%, 03/01/20		300		334
6.20%, 03/01/40 (e)		430		517
Ryder System Inc., 3.15%, 03/02/15		500		509
Tyco International Finance SA, 4.63%, 01/15/23		200		215
Tyco International Group SA, 6.00%, 11/15/13		500		547
Union Pacific Corp.
4.16%, 07/15/22 (r)		655		699
6.63%, 02/01/29		25		32
5.78%, 07/15/40		300		367


	Shares/Par (p)		Value
United Parcel Service Inc.
3.13%, 01/15/21		500		522
6.20%, 01/15/38		350		474
United Technologies Corp.
4.88%, 05/01/15		300		337
6.13%, 02/01/19		250		307
6.70%, 08/01/28		50		66
5.70%, 04/15/40		500		610
Waste Management Inc.
6.38%, 11/15/12		200		212
6.10%, 03/15/18		200		231

				17,216
INFORMATION TECHNOLOGY - 0.9%
Adobe Systems Inc., 4.75%, 02/01/20		300		315
Agilent Technologies Inc., 5.00%, 07/15/20		200		216
Amphenol Corp., 4.75%, 11/15/14		350		371
Cisco Systems Inc.
1.63%, 03/14/14		500		509
5.50%, 02/22/16 (e)		250		288
4.45%, 01/15/20 (e)		650		719
5.90%, 02/15/39		250		300
Dell Inc.
4.70%, 04/15/13		200		211
5.40%, 09/10/40 (e)		200		206
EnCana Corp., 6.50%, 02/01/38 (e)		300		342
Google Inc.
1.25%, 05/19/14		500		507
2.13%, 05/19/16 (e)		500		515
Harris Corp., 4.40%, 12/15/20		500		532
Hewlett-Packard Co.
4.50%, 03/01/13		300		313
6.13%, 03/01/14		400		437
2.13%, 09/13/15 (e)		300		297
International Business Machines Corp.
1.00%, 08/05/13		500		504
5.70%, 09/14/17		600		714
6.50%, 01/15/28 (e)		200		271
5.60%, 11/30/39		330		407
Juniper Networks Inc., 3.10%, 03/15/16		500		512
Microsoft Corp.
1.63%, 09/25/15		200		204
3.00%, 10/01/20		300		308
5.30%, 02/08/41		300		369
Oracle Corp.
5.75%, 04/15/18		350		417
3.88%, 07/15/20 (r)		300		319
6.13%, 07/08/39		300		383
5.38%, 07/15/40 (r)		500		580
Western Union Co., 5.25%, 04/01/20 (e)		500		557
Xerox Corp.
6.35%, 05/15/18 (e)		500		568
4.50%, 05/15/21 (e)		400		400

				12,591
MATERIALS - 1.1%
Agrium Inc., 7.13%, 05/23/36		300		398
Air Products & Chemicals Inc., 4.38%, 08/21/19		400		440
Airgas Inc., 2.95%, 06/15/16		500		504
Alcoa Inc.
5.55%, 02/01/17 (e)		200		209
6.75%, 07/15/18		300		321
5.40%, 04/15/21 (e)		400		388
ArcelorMittal
5.38%, 06/01/13 (e)		400		408
9.85%, 06/01/19 (e)		500		567


	Shares/Par (p)		Value
7.00%, 10/15/39 (l)		200		178
Barrick Gold Corp.
2.90%, 05/30/16		600		608
6.95%, 04/01/19		350		424
5.95%, 10/15/39		300		324
BHP Billiton Finance USA Ltd.
4.80%, 04/15/13		100		106
5.50%, 04/01/14		100		110
5.25%, 12/15/15		90		103
5.40%, 03/29/17		200		229
CRH America Inc., 6.00%, 09/30/16		250		268
Dow Chemical Co.
6.00%, 10/01/12		50		52
7.60%, 05/15/14 (l)		250		284
2.50%, 02/15/16		500		492
8.55%, 05/15/19 (l)		197		252
7.38%, 11/01/29		200		252
Eastman Chemical Co., 3.00%, 12/15/15		500		507
EI du Pont de Nemours & Co.
4.75%, 11/15/12		100		104
1.75%, 03/25/14 (e)		300		306
2.75%, 04/01/16 (e)		300		315
4.25%, 04/01/21 (e)		300		329
4.90%, 01/15/41 (e)		300		334
Freeport-McMoRan Copper & Gold Inc.,
8.38%, 04/01/17		700		751
International Paper Co.
7.95%, 06/15/18 (e)		150		173
8.70%, 06/15/38		300		379
Newmont Mining Corp.
5.88%, 04/01/35		50		54
6.25%, 10/01/39		400		452
Nucor Corp., 5.00%, 06/01/13		500		533
Plum Creek Timberlands LP, 4.70%, 03/15/21		400		405
Potash Corp. of Saskatchewan Inc., 5.25%,
05/15/14		500		550
PPG Industries Inc., 3.60%, 11/15/20		400		413
Praxair Inc.
3.95%, 06/01/13		100		106
5.38%, 11/01/16		500		586
Rio Tinto Alcan Inc., 5.20%, 01/15/14		500		534
Rio Tinto Finance USA Ltd.
1.88%, 11/02/15 (e)		250		250
3.50%, 11/02/20		400		393
RPM International Inc., 6.13%, 10/15/19		200		216
Southern Copper Corp., 7.50%, 07/27/35 (e)		150		162
Teck Resources Ltd., 10.75%, 05/15/19		200		249
Vale Overseas Ltd.
6.25%, 01/11/16 (e)		100		108
6.25%, 01/23/17		150		163
8.25%, 01/17/34 (e)		200		244
6.88%, 11/21/36		200		216

				15,749
TELECOMMUNICATION SERVICES - 1.1%
America Movil SAB de CV
3.63%, 03/30/15 (e)		200		207
5.00%, 03/30/20 (e)		200		211
6.38%, 03/01/35		200		216
6.13%, 03/30/40		300		312
AT&T Corp., 8.00%, 11/15/31 (l)		17		24
AT&T Inc.
4.95%, 01/15/13		750		786
2.50%, 08/15/15		500		511
5.80%, 02/15/19		500		585
4.45%, 05/15/21 (e)		500		536


	Shares/Par (p)		Value
6.15%, 09/15/34		350		392
6.50%, 09/01/37		500		584
6.30%, 01/15/38		300		344
6.55%, 02/15/39		250		296
BellSouth Capital Funding Corp., 7.88%,
02/15/30		100		134
BellSouth Corp., 5.20%, 09/15/14		300		329
British Telecommunications Plc, 9.88%,
12/15/30 (l)		150		217
CenturyLink Inc., 6.00%, 04/01/17		250		245
Deutsche Telekom International Finance BV
5.25%, 07/22/13		200		211
5.75%, 03/23/16		250		275
8.75%, 06/15/30 (l)		300		400
Embarq Corp., 8.00%, 06/01/36		100		94
France Telecom SA
4.38%, 07/08/14		400		427
8.50%, 03/01/31 (l)		250		346
GTE Corp.
6.84%, 04/15/18		250		301
6.94%, 04/15/28		50		62
Pacific Bell Telephone Co., 7.13%, 03/15/26		500		624
Qwest Communications International Inc.,
8.00%, 10/01/15 (e)		300		312
Qwest Corp.
8.38%, 05/01/16 (e)		200		219
7.25%, 09/15/25		110		106
Rogers Communications Inc., 6.80%, 08/15/18		500		606
Southwestern Bell Telephone LP, 7.00%, 07/01/15		100		117
Telecom Italia Capital SA
5.25%, 11/15/13 (e)		500		489
6.18%, 06/18/14		300		299
4.95%, 09/30/14		100		96
5.25%, 10/01/15		200		191
6.38%, 11/15/33		50		43
6.00%, 09/30/34		100		82
Telefonica Emisiones SAU
3.73%, 04/27/15 (e)		100		95
3.99%, 02/16/16		400		381
5.13%, 04/27/20		100		93
Telefonica Europe BV, 8.25%, 09/15/30		200		224
Verizon Communications Inc.
5.25%, 04/15/13		200		213
5.55%, 02/15/16		200		228
8.75%, 11/01/18		350		469
6.35%, 04/01/19 (e)		500		601
6.90%, 04/15/38		300		387
6.00%, 04/01/41 (e)		400		486
Verizon Florida LLC, 6.86%, 02/01/28 (e)		200		236
Verizon Wireless Capital LLC
7.38%, 11/15/13		750		841
8.50%, 11/15/18		150		200
Vodafone Group Plc
5.00%, 12/16/13 (e)		150		162
5.38%, 01/30/15		500		557
5.63%, 02/27/17		200		229
7.88%, 02/15/30		200		285

				16,916
UTILITIES - 1.8%
Alabama Power Co., 6.00%, 03/01/39 (e)		250		325
Cleveland Electric Illuminating Co., 5.95%, 12/15/36		500		523
Consolidated Edison Co. of New York Inc. 4.88%, 02/01/13 (e)		300		315


	Shares/Par (p)		Value
5.30%, 03/01/35		250		287
5.85%, 03/15/36		300		367
5.70%, 06/15/40		100		122
Constellation Energy Group Inc., 7.60%, 04/01/32		150		182
Consumers Energy Co., 5.50%, 08/15/16		25		29
Detroit Edison Co., 5.60%, 06/15/18		250		302
Dominion Resources Inc.
1.80%, 03/15/14 (e)		400		404
8.88%, 01/15/19		350		467
4.45%, 03/15/21 (e)		400		435
7.00%, 06/15/38		200		266
Duke Energy Carolinas LLC
5.63%, 11/30/12		150		157
5.30%, 10/01/15		200		229
7.00%, 11/15/18		100		128
5.30%, 02/15/40		300		360
Duke Energy Corp., 6.30%, 02/01/14		200		222
Edison International, 3.75%, 09/15/17		300		304
Enersis SA, 7.40%, 12/01/16 (e)		150		176
Entergy Arkansas Inc., 3.75%, 02/15/21		400		407
Entergy Corp., 3.63%, 09/15/15 (e) (l)		300		300
Exelon Corp., 4.90%, 06/15/15 (e)		200		216
Exelon Generation Co. LLC
5.35%, 01/15/14		150		161
6.20%, 10/01/17		200		226
5.20%, 10/01/19		200		216
6.25%, 10/01/39 (e)		300		349
First Energy Solutions Corp., 6.80%, 08/15/39		200		219
Florida Power & Light Co.
5.63%, 04/01/34		100		121
4.95%, 06/01/35		300		336
5.13%, 06/01/41		400		470
Florida Power Corp.
5.65%, 06/15/18		350		417
4.55%, 04/01/20 (e)		300		336
6.40%, 06/15/38		300		394
FPL Group Capital Inc., 6.00%, 03/01/19		100		116
Georgia Power Co.
1.30%, 09/15/13 (e)		500		503
3.00%, 04/15/16 (e)		500		524
4.25%, 12/01/19		300		331
Great Plains Energy Inc., 4.85%, 06/01/21		250		263
Iberdrola USA Inc, 6.75%, 07/15/36		150		161
Kentucky Utilities Co., 5.13%, 11/01/40		300		355
LG&E and KU Energy LLC, 3.75%, 11/15/20		300		290
MidAmerican Energy Co., 6.75%, 12/30/31		50		65
MidAmerican Energy Holdings Co.
5.88%, 10/01/12		100		105
6.13%, 04/01/36		350		419
National Grid Plc, 6.30%, 08/01/16		150		172
Nevada Power Co., 7.13%, 03/15/19		250		312
NiSource Finance Corp.
5.40%, 07/15/14		75		81
6.80%, 01/15/19 (e)		300		350
5.95%, 06/15/41		250		271
Northern States Power Co., 5.25%, 03/01/18		350		414
Ohio Power Co., 6.00%, 06/01/16		250		288
Oncor Electric Delivery Co. LLC
6.38%, 01/15/15		150		171
7.00%, 09/01/22		150		189
5.25%, 09/30/40		200		222
Oneok Inc., 5.20%, 06/15/15		500		549
Pacific Gas & Electric Co.
4.80%, 03/01/14 (e)		250		270
6.05%, 03/01/34		500		597


	Shares/Par (p)		Value
PacifiCorp
5.75%, 04/01/37		150		182
6.25%, 10/15/37		500		647
Panhandle Eastern Pipeline Co. LP, 6.20%, 11/01/17		500		581
PPL Corp., 5.70%, 10/15/15		440		477
Progress Energy Inc., 7.75%, 03/01/31		150		205
PSEG Power LLC
2.50%, 04/15/13		300		304
2.75%, 09/15/16		500		498
8.63%, 04/15/31		75		104
Public Service Co. of Colorado, 7.88%, 10/01/12		500		534
Public Service Electric & Gas Co., 5.50%, 03/01/40 (e)		200		245
Puget Sound Energy Inc., 5.76%, 10/01/39		200		242
San Diego Gas & Electric Co., 5.35%, 05/15/40 (e)		200		246
Scottish Power Ltd., 5.38%, 03/15/15		50		52
Sempra Energ, 9.80%, 02/15/19		300		420
Sempra Energy
6.00%, 02/01/13		250		265
2.00%, 03/15/14		500		505
South Carolina Electric & Gas Co., 6.05%, 01/15/38		400		502
Southern California Edison Co.
6.00%, 01/15/34 (e)		75		96
5.95%, 02/01/38		400		522
Southwestern Electric Power Co.
6.45%, 01/15/19		300		360
6.20%, 03/15/40 (e)		200		238
Toledo Edison Co., 7.25%, 05/01/20		300		379
TransAlta Corp., 6.50%, 03/15/40		300		341
Union Electric Co., 6.40%, 06/15/17		100		119
Veolia Environnement, 6.00%, 06/01/18 (e)		200		222
Virginia Electric & Power Co., 5.95%, 09/15/17		250		299
Xcel Energy Inc., 4.80%, 09/15/41		500		529

				25,900

Total Corporate Bonds and Notes (cost $300,458)				315,636

GOVERNMENT AND AGENCY OBLIGATIONS - 75.2%
GOVERNMENT SECURITIES - 41.6%
Federal Farm Credit Bank - 0.2% (v)
Federal Farm Credit Bank
1.88%, 12/07/12		500		509
1.75%, 02/21/13		500		509
0.48%, 03/13/13		600		597
3.88%, 10/07/13		500		534
3.00%, 06/13/18		300		304

				2,453
Federal Home Loan Bank - 0.9% (v)
Federal Home Loan Bank
1.63%, 09/26/12 - 11/21/12		2,000		2,028
4.50%, 11/15/12 - 09/16/13		1,365		1,460
1.50%, 01/16/13		1,000		1,015
3.88%, 06/14/13		1,025		1,085
1.88%, 06/21/13		1,000		1,026
3.63%, 10/18/13		1,000		1,064
0.88%, 12/27/13		1,000		1,009
5.25%, 06/18/14		1,075		1,210
5.00%, 12/21/15		500		579
5.38%, 05/18/16		500		593
4.75%, 12/16/16		300		350
4.00%, 01/13/21		500		504


	Shares/Par (p)		Value
5.65%, 04/20/22		125		128
5.50%, 07/15/36		400		516

				12,567
Federal Home Loan Mortgage Corp. - 2.1% (v)
Federal Home Loan Mortgage Corp.
4.63%, 10/25/12		300		314
1.38%, 01/09/13 - 02/25/14		2,885		2,927
4.50%, 01/15/13 - 04/02/14		1,965		2,112
1.00%, 03/27/13 - 08/27/14		3,000		3,030
1.63%, 04/15/13		500		510
3.50%, 05/29/13		960		1,010
3.75%, 06/28/13		900		954
4.50%, 07/15/13 (e)		952		1,022
0.50%, 08/23/13		795		793
4.13%, 09/27/13		1,149		1,233
4.88%, 11/15/13		500		547
2.50%, 04/23/14		1,000		1,050
1.20%, 04/28/14		250		250
1.65%, 04/28/14		550		550
1.10%, 07/07/14		500		500
3.00%, 07/28/14		900		960
2.00%, 12/09/14		500		501
1.27%, 01/26/15		750		754
5.05%, 01/26/15		100		114
2.88%, 02/09/15		1,000		1,069
2.75%, 03/13/15		950		1,012
4.38%, 07/17/15		300		339
1.75%, 09/10/15		1,000		1,031
4.75%, 01/19/16		1,206		1,392
5.25%, 04/18/16 (e)		1,000		1,180
1.50%, 09/21/16		750		749
5.13%, 10/18/16		620		734
5.50%, 08/23/17		900		1,098
3.75%, 03/27/19 (e)		980		1,107
3.53%, 09/30/19		500		507
6.75%, 09/15/29 - 03/15/31		180		271
6.25%, 07/15/32		600		872
6.00%, 04/16/37		100		103

				30,595
Federal National Mortgage Association - 1.8% (v)
Federal National Mortgage Association
0.50%, 10/30/12		316		317
0.55%, 11/01/12		500		500
2.00%, 04/19/13 - 11/30/15		750		751
1.75%, 05/07/13		754		769
1.50%, 06/26/13 (e)		525		535
1.25%, 08/20/13 - 10/28/14		979		990
1.00%, 09/20/13 - 06/27/14		2,400		2,410
4.63%, 10/15/13 - 10/15/14		1,050		1,157
0.88%, 11/08/13		500		500
0.75%, 12/18/13		1,093		1,098
2.75%, 02/05/14 (e)		900		947
2.75%, 03/13/14		1,276		1,345
2.50%, 05/15/14		675		708
1.13%, 06/27/14		1,000		1,015
1.50%, 09/08/14		500		511
2.63%, 11/20/14		1,000		1,060
5.00%, 04/15/15 - 09/01/35		2,528		2,902
4.38%, 10/15/15 (e)		390		442
1.63%, 10/26/15		1,383		1,418
1.55%, 10/27/15		350		350
2.20%, 07/05/16		500		502
4.88%, 12/15/16		500		587
0.00%,06/01/17 (j)		1,085		986
5.38%, 04/11/22		50		51


	Shares/Par (p)		Value
5.78%, 06/07/22		250		258
6.25%, 05/15/29		471		668
7.13%, 01/15/30		495		757
7.25%, 05/15/30		540		843
6.63%, 11/15/30		631		938
6.00%, 04/18/36		300		346
Principal Only, 0.00%,10/09/19 (j)		680		517

				26,178
Municipals - 1.1%
American Municipal Power-Ohio Inc., 7.50%, 02/15/50		400		520
Bay Area Toll Authority, 6.26%, 04/01/49		200		260
Chicago Transit Authority, 6.90%, 12/01/40		500		600
City of New York
5.97%, 03/01/36		200		240
5.52%, 10/01/37		100		113
Commonwealth of Massachusetts, Ad Valorem Property Tax, GO, 4.91%, 05/01/29		300		339
Cook County, Illinois, 6.23%, 11/15/34		200		231
Dallas Area Rapid Transit, 5.02%, 12/01/48		400		453
Dallas Convention Center Hotel Development Corp., 7.09%, 01/01/42		200		223
Dallas County Hospital District, 5.62%, 08/15/44		300		367
Dallas Independent School District, 6.45%, 02/15/35		300		357
Government Development Bank for Puerto Rico
3.67%, 05/01/14		500		509
4.70%, 05/01/16		500		523
Indianapolis Local Public Improvement Bond Bank, 6.12%, 01/15/40		200		253
Los Angeles Department of Water & Power
5.72%, 07/01/39		245		284
6.57%, 07/01/45		400		519
Los Angeles Unified School District, 5.75%, 07/01/34		300		337
Los Angeles Unified School District, Ad Valorem Property Tax, GO, 5.76%, 07/01/29		200		223
Metropolitan Transportation Authority, Transit Revenue, RB
6.55%, 11/15/31		200		239
6.65%, 11/15/39		150		185
Municipal Electric Authority of Georgia, 7.06%, 04/01/57		400		414
New Jersey Economic Development Authority (insured by National Public Finance Guarantee Corp), 7.43%, 02/15/29		200		241
New Jersey State Turnpike Authority, 7.10%, 01/01/41		500		669
New Jersey State Turnpike Authority (insured by AMBAC Assurance Corp.), 4.25%, 01/01/16		95		100
New Jersey State Turnpike Authority (Prerefunded at 01/01/15, insured by AMBAC Assurance Corp.), 4.25%, 01/01/16		5		5
New York City Municipal Water Finance
Authority, 6.01%, 06/15/42		200		255
New York City Transitional Finance Authority, 5.51%, 08/01/37		500		590
New York Dromitory Authority, RB, 5.60%, 03/15/40		200		239
New York, NJ, Port Authority Revenue, 6.04%, 12/01/29		200		242
Ohio State University, College & University Revenue, 4.91%, 06/01/40		400		451


	Shares/Par (p)		Value
Oregon State Department of Transportation, 5.83%, 11/15/34		300		369
State of California
5.75%, 03/01/17		500		562
7.63%, 03/01/40		300		370
7.60%, 11/01/40		300		371
State of California Various Purpose Bond, 7.50%, 04/01/34		500		602
State of Connecticut, 5.09%, 10/01/30		250		269
State of Connecticut, Ad Valorem Property Tax,
GO, 5.85%, 03/15/32		200		241
State of Georgia, GO, 4.50%, 11/01/25		300		338
State of Illinois
4.96%, 03/01/16		500		528
5.10%, 06/01/33		700		633
State of Illinois, Transit Improvements, GO, 7.35%, 07/01/35		400		450
State of Texas
5.52%, 04/01/39		465		582
4.68%, 04/01/40		400		446
University of California, 6.55%, 05/15/48		300		362

				16,104
Sovereign - 1.8%
Brazilian Government International Bond
7.88%, 03/07/15 (e)		565		665
6.00%, 01/17/17		500		571
5.88%, 01/15/19		700		803
10.13%, 05/15/27 (e)		235		371
7.13%, 01/20/37		455		581
11.00%, 08/17/40 (e)		300		397
Canadian Government Bond, 2.38%, 09/10/14 (e)		500		526
Chile Government International Bond, 5.50%, 01/15/13		100		105
Colombia Government International Bond
10.75%, 01/15/13 (e)		400		444
8.13%, 05/21/24 (e)		400		530
Eksportfinans ASA, 5.50%, 06/26/17		500		592
Export Development Canada
1.50%, 05/15/14 (e)		400		410
2.25%, 05/28/15 (e)		200		210
Federal Republic of Brazil, 12.25%, 03/06/30		220		400
Financement-Quebec, 5.00%, 10/25/12		100		105
Hungary Government International Bond
4.75%, 02/03/15		250		245
6.38%, 03/29/21 (e)		600		584
Hydro Quebec
8.00%, 02/01/13		250		274
7.50%, 04/01/16		100		124
9.40%, 02/01/21		250		383
Israel Government AID Bond, 5.50%, 04/26/24		142		181
Israel Government International Bond
4.63%, 06/15/13		75		78
7.25%, 12/15/28		200		250
Italy Government International Bond
4.38%, 06/15/13 (e)		500		501
4.50%, 01/21/15		1,000		988
6.88%, 09/27/23		450		443
5.38%, 06/15/33		500		457
Japan Finance Corp.
2.88%, 02/02/15		500		529
2.50%, 05/18/16 (e)		500		522
Japan Finance Organization for Municipalities, 4.00%, 01/13/21		500		556
Mexico Government International Bond 6.38%, 01/16/13 (e)		339		358


	Shares/Par (p)		Value
5.88%, 01/15/14		250		270
6.63%, 03/03/15		93		105
5.63%, 01/15/17		750		835
5.13%, 01/15/20 (e)		600		650
8.30%, 08/15/31		300		428
7.50%, 04/08/33		250		331
6.75%, 09/27/34		300		369
Panama Government International Bond
5.20%, 01/30/20		200		219
6.70%, 01/26/36		400		484
Peru Government International Bond, 7.13%, 03/30/19 (e)		200		242
Poland Government International Bond, 5.13%, 04/21/21 (e)		400		399
Poland Government Treasury International Bond, 5.00%, 10/19/15		250		264
Province of British Columbia, Canada
2.85%, 06/15/15		200		213
6.50%, 01/15/26		70		97
Province of Manitoba, 2.63%, 07/15/15		500		528
Province of New Brunswick, Canada, 5.20%, 02/21/17		250		293
Province of Nova Scotia, Canada, 8.75%, 04/01/22		250		376
Province of Ontario, Canada
1.88%, 11/19/12 (e)		700		710
4.10%, 06/16/14 (e)		500		541
2.70%, 06/16/15 (e)		300		315
5.45%, 04/27/16		750		881
4.40%, 04/14/20 (e)		200		228
Province of Quebec, Canada
4.60%, 05/26/15		500		561
7.50%, 07/15/23		100		143
7.13%, 02/09/24 (e)		250		350
Republic of Colombia, 11.75%, 02/25/20		300		460
Republic of Korea
5.13%, 12/07/16		150		162
5.63%, 11/03/25		250		287
Republic of Peru, 6.55%, 03/14/37 (e)		250		290
Republic of South Africa Government Bond, 5.50%, 03/09/20		200		219
South Africa Government International Bond, 6.50%, 06/02/14 (e)		200		222
Svensk Exportkredit AB, 5.13%, 03/01/17		200		231
Tennessee Valley Authority
5.50%, 07/18/17		1,000		1,209
5.25%, 09/15/39		500		640

				26,735
U.S. Treasury Securities - 33.7%
U.S. Treasury Bond
11.25%, 02/15/15		667		906
10.63%, 08/15/15		370		511
9.25%, 02/15/16		367		501
7.25%, 05/15/16 - 08/15/22		1,956		2,701
7.50%, 11/15/16		640		849
8.75%, 05/15/17 - 08/15/20		2,455		3,764
8.88%, 08/15/17 - 02/15/19 (e)		1,240		1,834
9.13%, 05/15/18 (e)		315		472
9.00%, 11/15/18		800		1,214
8.13%, 08/15/19 - 08/15/21		2,338		3,599
8.50%, 02/15/20		926		1,427
7.88%, 02/15/21		946		1,443
8.00%, 11/15/21 (e)		1,786		2,789
7.13%, 02/15/23		1,174		1,771
6.25%, 08/15/23 - 05/15/30		2,310		3,387
7.50%, 11/15/24 (e)		500		795


	Shares/Par (p)		Value
7.63%, 02/15/25		739		1,190
6.88%, 08/15/25		410		628
6.00%, 02/15/26		1,800		2,577
6.75%, 08/15/26		330		506
6.50%, 11/15/26		660		995
6.63%, 02/15/27		545		833
6.38%, 08/15/27		694		1,044
6.13%, 11/15/27		1,495		2,202
5.50%, 08/15/28		727		1,015
5.25%, 11/15/28 - 02/15/29		1,635		2,231
5.38%, 02/15/31		1,000		1,406
4.50%, 02/15/36 - 08/15/39		7,193		9,366
4.75%, 02/15/37		1,645		2,209
5.00%, 05/15/37		1,256		1,749
4.38%, 02/15/38 - 05/15/41		12,203		15,708
3.50%, 02/15/39		2,122		2,359
4.25%, 05/15/39 (e)		2,601		3,273
4.63%, 02/15/40		3,560		4,757
3.88%, 08/15/40		3,789		4,502
4.25%, 11/15/40		3,774		4,772
3.75%, 08/15/41 (e)		1,500		1,746
U.S. Treasury Note
1.38%, 09/15/12 - 11/30/15		25,989		26,388
0.38%, 09/30/12 - 07/31/13		13,621		13,650
4.25%, 09/30/12 - 11/15/17		14,440		15,942
3.88%, 10/31/12 - 05/15/18		5,816		6,271
4.00%, 11/15/12 - 08/15/18		7,951		8,835
0.50%, 11/30/12 - 11/15/13		10,176		10,216
3.38%, 11/30/12 - 11/15/19		7,621		8,369
1.13%, 12/15/12 - 06/15/13		5,158		5,222
0.63%, 12/31/12 - 07/15/14		12,839		12,912
3.63%, 12/31/12 - 02/15/21		15,050		17,142
2.88%, 01/31/13		1,059		1,096
2.75%, 02/28/13 - 02/15/19		8,657		9,300
0.75%, 03/31/13 - 06/15/14		12,545		12,657
2.50%, 03/31/13 - 06/30/17		9,852		10,498
1.75%, 04/15/13 - 07/31/15		9,995		10,326
3.13%, 04/30/13 - 05/12/21 (e)		9,032		9,816
3.50%, 05/31/13 - 05/15/20		8,558		9,663
1.00%, 07/15/13 - 08/31/16		8,006		8,084
3.38%, 07/31/13 (e)		1,756		1,855
0.13%, 08/31/13 (e)		3,000		2,993
3.13%, 08/31/13 - 05/15/19		14,300		15,653
2.00%, 11/30/13 - 04/30/16		6,616		6,926
1.50%, 12/31/13 - 08/31/18		12,089		12,349
1.25%, 02/15/14 - 10/31/15		10,948		11,183
1.88%, 02/28/14 - 10/31/17		10,489		10,910
1.88%, 04/30/14 - 09/30/17 (e)		9,300		9,655
4.75%, 05/15/14 - 02/15/41		8,128		10,063
2.25%, 05/31/14 - 11/30/17		10,020		10,588
2.63%, 06/30/14 - 11/15/20		26,960		28,846
0.50%, 08/15/14		2,000		2,005
2.38%, 08/31/14 - 06/30/18		21,048		22,331
2.13%, 11/30/14 - 02/29/16		10,164		10,713
4.13%, 05/15/15		1,933		2,177
1.25%, 08/31/15 (e)		2,800		2,865
4.50%, 11/15/15 - 02/15/16		3,510		4,058
9.88%, 11/15/15		447		614
5.13%, 05/15/16		1,299		1,551
1.75%, 05/31/16 (e)		2,100		2,184
3.25%, 05/31/16 - 03/31/17		8,177		9,100
3.25%, 06/30/16 (e)		1,500		1,665
4.88%, 08/15/16		1,307		1,554
3.00%, 08/31/16 - 02/28/17		5,563		6,120
4.63%, 11/15/16 - 02/15/17		2,741		3,244
2.75%, 11/30/16 (e)		2,039		2,218


	Shares/Par (p)		Value
4.50%, 05/15/17 (e)		1,294		1,534
2.88%, 03/31/18 (e)		1,834		2,013
2.25%, 07/31/18 (e)		82		87
3.75%, 11/15/18		3,165		3,661
2.13%, 08/15/21 (e)		2,000		2,035
6.13%, 08/15/29		599		898

				493,066
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 33.6%
Federal Home Loan Bank - 0.1%
Federal Home Loan Bank, 5.00%, 11/17/17		855		1,029
Federal Home Loan Mortgage Corp. - 9.7%
Federal Home Loan Mortgage Corp.
2.13%, 09/21/12		868		883
6.50%, 06/01/14 - 03/01/39		4,407		4,906
7.00%, 08/01/15 - 08/01/37		331		378
6.00%, 12/01/16 - 05/01/40		14,158		15,592
5.00%, 09/01/17 - 04/01/40		22,111		23,812
4.50%, 01/01/18 - 06/01/41		32,312		34,350
5.50%, 01/01/18 - 10/01/39		23,094		25,104
4.00%, 04/01/19 - 04/01/41		20,795		21,866
3.50%, 10/01/25 - 10/01/40		5,125		5,336
7.50%, 11/01/31 - 04/01/32		177		206
5.79%, 01/01/37 (i)		47		51
6.07%, 01/01/37 (i)		164		178
5.63%, 02/01/37 (i)		276		299
4.00%, 10/15/40, TBA (g)		1,300		1,361
4.50%, 10/15/40, TBA (g)		3,700		3,913
5.00%, 10/15/40, TBA (g)		3,200		3,431

				141,666
Federal National Mortgage Association - 16.6%
Federal National Mortgage Association
4.75%, 11/19/12		20		21
5.00%, 02/01/13 - 05/01/41		35,640		38,541
5.50%, 12/01/13 - 06/01/40		32,374		35,298
1.25%, 02/27/14		961		978
0.60%, 03/06/14		1,000		997
1.50%, 03/28/14		500		503
1.11%, 04/29/14		750		750
0.88%, 08/28/14		1,500		1,509
0.85%, 09/12/14		750		747
6.00%, 01/01/16 - 07/01/40		23,336		25,709
6.50%, 09/01/16 - 03/01/40		7,584		8,456
5.25%, 09/15/16		900		1,072
4.50%, 02/01/18 - 07/01/41		47,188		50,260
4.00%, 07/01/18 - 03/01/41		36,363		38,277
3.50%, 09/01/25 - 02/01/41		10,899		11,347
7.00%, 02/01/31 - 04/01/39		1,024		1,176
2.41%, 05/01/35 (i)		167		176
2.59%, 05/01/35 (i)		61		64
2.53%, 10/01/35 (i)		331		349
0.00%,11/01/35		—		—
5.34%, 02/01/37 (i)		29		31
5.45%, 02/01/37 (i)		324		345
5.60%, 02/01/37 (i)		201		217
5.62%, 04/01/37 (i)		73		78
5.80%, 04/01/37 (i)		528		562
7.50%, 11/01/37		39		45
5.38%, 01/01/38 (i)		517		554
5.65%, 03/01/38 (i)		610		655
4.39%, 07/01/39 (i)		1,709		1,828
3.82%, 12/01/39 (i)		547		574
3.68%, 02/01/40 (i)		1,352		1,419
3.35%, 03/01/40 (i)		737		770
4.21%, 03/01/40 (i)		753		796


	Shares/Par (p)		Value
3.13%, 06/01/40 (i)		308		319
3.24%, 07/01/40 (i)		778		813
3.57%, 08/01/40 (i)		389		408
4.00%, 10/15/40, TBA (g)		1,100		1,153
4.50%, 10/15/40, TBA (g)		7,300		7,744
5.00%, 10/15/40, TBA (g)		5,000		5,378
5.50%, 10/15/40, TBA (g)		700		760
3.32%, 12/01/40 (i)		468		489
2.86%, 01/01/41 (i)		487		503
3.44%, 02/01/41 (i)		564		586
3.65%, 05/01/41 (i)		497		520
2.51%, 07/01/41 (i)		785		806

				243,591
Government National Mortgage Association - 7.2%
Government National Mortgage Association
5.50%, 01/15/24 - 03/15/40		10,328		11,447
4.00%, 08/15/24 - 07/20/41		15,727		16,841
3.50%, 12/15/25 - 01/20/41		1,122		1,184
4.50%, 04/20/26 - 07/20/41		31,038		33,795
8.00%, 04/15/30		8		10
8.50%, 06/15/30 - 12/15/30		6		7
6.50%, 01/15/32 - 10/15/38		1,859		2,115
6.00%, 05/15/32 - 12/20/40		6,485		7,250
5.00%, 03/15/33 - 06/20/41		20,190		22,229
7.00%, 11/15/36		105		123
3.50%, 07/20/40 - 03/20/41(i)		845		891
4.50%, 10/15/40, TBA (g)		2,800		3,042
6.00%, 10/15/40, TBA (g)		500		558
2.50%, 11/20/40 - 12/20/40(i)		975		1,003
3.00%, 01/20/41 - 02/20/41(i)		1,451		1,516
5.00%, 10/15/41, TBA (g)		2,800		3,075

				105,086

Total Government and Agency Obligations (cost $1,043,270)				1,099,069

SHORT TERM INVESTMENTS - 9.6%
Investment Companies - 2.0%
JNL Money Market Fund, 0.02% (a) (h)		29,678		29,678
Securities Lending Collateral - 7.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		108,768		108,768
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		1,752		1,697

				110,465

Total Short Term Investments (cost $140,198)				140,143

Total Investments - 108.6% (cost $1,515,111)				1,587,544
Total Forward Sales Commitments - (1.2)%
(proceeds $18,084)				(18,010	)
Other Assets and Liabilities, Net - (6.6%)				(108,114	)

Total Net Assets - 100.0%			$	1,461,420

FORWARD SALES COMMITMENTS - 1.2%
GOVERNMENT AND AGENCY OBLIGATIONS - 1.2%
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 1.2%
Federal Home Loan Mortgage Corp. - 0.6%
Federal Home Loan Mortgage Corp.
4.00%, 10/15/26	$	1,200	$	1,262
4.50%, 10/15/26		900		955
5.00%, 10/15/26		1,000		1,073
5.50%, 10/15/40, TBA (g)		2,600		2,812


	Shares/Par (p)		Value
6.00%, 10/15/40, TBA (g)		1,900		2,081

				8,183
Federal National Mortgage Association - 0.5%
Federal National Mortgage Association
4.50%, 10/15/25, TBA (g)		1,400		1,489
5.50%, 10/15/25, TBA (g)		700		758
5.00%, 10/15/26		800		860
3.50%, 10/15/2040		600		616
6.00%, 10/15/40, TBA (g)		3,000		3,291
6.50%, 10/15/40, TBA (g)		1,000		1,102

Government National Mortgage Association - 0.1%				8,116
Government National Mortgage Association, 4.00%, 10/15/40, TBA (g)		1,600		1,711

Total Government and Agency Obligations - 1.2% (proceeds $18,084)			$	18,010

JNL/Mellon Capital Management Emerging Markets Index Fund
COMMON STOCKS - 89.5%
CONSUMER DISCRETIONARY - 7.5%
Anhanguera Educacional Participacoes SA		3	$	37
ANTA Sports Products Ltd.		23		27
Arcelik A/S		5		21
AviChina Industry & Technology Co. Ltd.		52		16
B2W Compania Global Do Varejo		2		15
Bajaj Auto Ltd.		2		71
BEC World Public Co. Ltd.		26		30
Belle International Holdings Ltd.		106		183
Berjaya Sports Toto Bhd		21		28
Bosideng International Holdings Ltd.		66		14
Brilliance China Automotive Holdings Ltd. (c)		58		45
Brookfield Incorporacoes SA		7		19
BYD Co. Ltd. (c)		13		22
Cheng Shin Rubber Industry Co. Ltd.		40		83
China Dongxiang Group Co.		77		13
China Motor Corp.		15		13
Cia Hering		3		52
Cyfrowy Polsat SA (c)		6		26
Dongfeng Motor Group Co. Ltd.		68		92
Far Eastern Department Stores Co. Ltd.		24		31
Formosa International Hotels Corp.		1		15
Formosa Taffeta Co. Ltd.		20		18
Foschini Ltd.		5		54
Gafisa SA		11		31
Geely Automobile Holdings Ltd. (e)		100		22
Genting Bhd		57		160
Genting Malaysia Bhd		74		80
Giant Manufacturing Co. Ltd.		8		29
Golden Eagle Retail Group Ltd.		18		37
GOME Electrical Appliances Holdings Ltd. (e)		254		58
Great Wall Motor Co. Ltd. (e)		27		31
Grupo Elektra SA de CV		2		138
Guangzhou Automobile Group Co. Ltd.		56		54
Hankook Tire Co. Ltd.		2		64
Hengdeli Holdings Ltd.		60		21
Hero Honda Motors Ltd.		2		82
Hyundai Department Store Co. Ltd.		—		52
Hyundai Mobis		2		509
Hyundai Motor Co.		4		716
Hyundai Wia Corp. (c)		—		38


	Shares/Par (p)		Value
Imperial Holdings Ltd.		4		58
Intime Department Store Group Co. Ltd.		26		28
Jollibee Foods Corp.		11		21
Kangwon Land Inc.		2		55
Kia Motors Corp.		6		379
LG Display Co. Ltd.		6		93
LG Electronics Inc.		2		132
Li Ning Co. Ltd. (e)		19		19
Lojas Renner SA		3		83
Lotte Shopping Co. Ltd.		—		85
Mahindra & Mahindra Ltd.		8		132
Mando Corp.		—		52
Maruti Suzuki India Ltd.		2		40
MRV Engenharia e Participacoes SA		7		37
Nan Kang Rubber Tire Co. Ltd.		13		21
Naspers Ltd.		10		440
Parkson Holdings Bhd		15		26
Parkson Retail Group Ltd.		37		44
PDG Realty SA Empreendimentos e Participacoes		32		103
Pick n Pay Stores Ltd.		5		24
Pou Chen Corp.		54		39
PT Astra International Tbk		55		390
Rossi Residencial SA		4		20
Ruentex Industries Ltd.		10		16
S.A.C.I. Falabella		9		70
Skyworth Digital Holdings Ltd.		48		17
Steinhoff International Holdings Ltd. (c)		27		74
Tainan Spinning Co. Ltd.		25		11
Tata Motors Ltd.		40		127
Tatung Co. Ltd. (c)		51		19
Titan Industries Ltd.		6		26
Truworths International Ltd.		11		95
Turkiye Sise ve Cam Fabrikalari A/S		11		21
TVN SA		5		20
UMW Holdings Bhd		14		29
Urbi Desarrollos Urbanos SAB DE CV (c)		14		19
Woolworths Holdings Ltd.		19		83
Woongjin Coway Co. Ltd.		1		43
Yulon Motor Co. Ltd.		22		41
Zee Entertainment Enterprises Ltd.		12		29

				6,108
CONSUMER STAPLES - 7.0%
Almacenes Exito SA		5		59
Amorepacific Corp.		—		79
Anadolu Efes Biracilik Ve Malt Sanayii AS		5		58
Arca Continental SAB de CV		9		36
Astra Agro Lestari Tbk PT		10		22
BIM Birlesik Magazalar AS		2		57
British American Tobacco Plc		3		40
Cencosud SA		25		137
Chaoda Modern Agriculture Holdings Ltd. (f)		72		13
Charoen Pokphand Foods Public Co. Ltd.		76		65
Charoen Pokphand Indonesia Tbk PT		187		50
China Agri-Industries Holdings Ltd.		42		26
China Mengniu Dairy Co. Ltd.		31		95
China Resources Enterprise Ltd.		34		113
China Yurun Food Group Ltd. (e)		34		36
Cia Cervecerias Unidas SA		3		30
Cia de Bebidas das Americas		20		595
CJ CheilJedang Corp.		—		47
Coca-Cola Femsa SAB de CV		7		61
Coca-Cola Icecek A/S		2		23
Cosan SA Industria e Comercio		3		40
CP ALL Public Co. Ltd.		56		86


	Shares/Par (p)		Value
Dabur India Ltd.		11		23
E-Mart Co. Ltd. (c)		1		152
Fomento Economico Mexicano SAB de CV		52		334
Genting Plantations Bhd		6		13
Grupo Bimbo SAB de CV		41		75
Grupo Modelo SAB de CV		16		88
Gudang Garam Tbk PT		15		86
Hengan International Group Co. Ltd.		19		148
Hindustan Unilever Ltd.		22		154
Hypermarcas SA		7		33
Indofood Sukses Makmur Tbk		111		63
ITC Ltd.		57		231
JBS SA		19		37
Kernel Holding SA (c)		1		23
Kimberly-Clark de Mexico SAB de CV		15		79
KT&G Corp.		3		186
LG Household & Health Care Ltd.		—		104
Lotte Confectionery Co. Ltd.		—		23
Magnit OAO - GDR		6		119
Marfrig Frigorificos e Comercio de Alimentos SA		4		12
Massmart Holdings Ltd.		3		43
Natura Cosmeticos SA		4		73
Perdigao SA		18		300
PPB Group Bhd		12		60
President Chain Store Corp.		14		79
Shinsegae Co. Ltd.		—		43
Shoprite Holdings Ltd.		11		155
Souza Cruz SA		10		95
Spar Group Ltd.		4		51
Tiger Brands Ltd.		5		119
Tingyi Cayman Islands Holding Corp.		54		132
Tsingtao Brewery Co. Ltd.		8		44
Uni-President Enterprises Corp.		108		138
Unilever Indonesia Tbk PT		38		70
United Spirits Ltd.		2		37
Vina Concha y Toro SA		14		25
Wal-Mart de Mexico SAB de CV		164		376
Want Want China Holdings Ltd.		150		136
Wumart Stores Inc.		14		28

				5,755
DIVERSIFIED - 0.2%
Remgro Ltd.		11		150
ENERGY - 11.8%
Adaro Energy Tbk PT		357		69
Banpu PCL		4		64
Bharat Petroleum Corp. Ltd.		2		31
Bumi Resources Tbk PT		388		84
China Coal Energy Co		102		91
China Oilfield Services Ltd.		38		48
China Petroleum & Chemical Corp.		448		431
China Shenhua Energy Co. Ltd.		91		357
CNOOC Ltd.		471		757
Coal India Ltd.		13		87
Ecopetrol SA		109		220
Energy Development Corp.		188		24
Gazprom OAO - ADR		140		1,358
Grupa Lotos SA (c)		2		13
GS Holdings Corp.		1		60
HRT Participacoes em Petroleo SA (c)		—		40
Indo Tambangraya Megah Tbk PT		10		42
IRPC PCL		257		29
Kunlun Energy Co. Ltd.		64		88
Lukoil OAO - ADR		14		683


	Shares/Par (p)		Value
MOL Hungarian Oil and Gas Plc (c)		1		71
NovaTek OAO - GDR		2		264
OGX Petroleo e Gas Participacoes SA (c)		35		213
Oil & Natural Gas Corp. Ltd.		19		105
PetroChina Co. Ltd.		560		678
Petroleo Brasileiro SA		77		852
Petronas Dagangan Bhd		6		31
Polskie Gornictwo Naftowe i Gazownictwo SA		43		52
PT Tambang Batubara Bukit Asam Tbk		20		38
PTT Exploration & Production PCL		32		144
PTT Public Company Ltd.		24		197
Reliance Industries Ltd.		34		557
Rosneft Oil Co. - GDR		43		253
S-Oil Corp.		1		96
Sasol Ltd.		14		591
SK Energy Co. Ltd.		2		189
Surgutneftegaz - ADR		24		192
Tatneft - ADR		6		143
Tupras Turkiye Petrol Rafine		3		63
Ultrapar Participacoes SA		8		128
Xinao Gas Holdings Ltd.		18		58
Yanzhou Coal Mining Co. Ltd.		54		115

				9,606
FINANCIALS - 20.5%
Absa Group Ltd.		7		116
African Bank Investments Ltd.		19		79
Agile Property Holdings Ltd.		38		25
Agricultural Bank of China		503		164
Akbank T.A.S.		29		115
Alliance Financial Group Bhd		26		26
AMMB Holdings Bhd		44		79
Asya Katilim Bankasi A/S		13		14
Attijariwafa Bank		1		33
Axis Bank Ltd.		6		120
Ayala Corp.		5		32
Ayala Land Inc.		134		44
Banco de Credito e Inversiones		1		39
Banco de Oro Unibank Inc.		23		26
Banco do Brasil SA		14		181
Banco Santander Brasil SA		18		131
Banco Santander Chile		1,174		85
BanColombia SA		6		81
Bangkok Bank PCL		32		149
Bank Central Asia Tbk PT		329		285
Bank Danamon Indonesia Tbk PT		85		44
Bank Handlowy w Warszawie SA		1		20
Bank Mandiri Persero Tbk PT		258		182
Bank Millennium SA		13		18
Bank Negara Indonesia Persero Tbk PT		185		77
Bank of Ayudhya Public Co. Ltd.		42		27
Bank of China Ltd.		1,769		547
Bank of Communications Co. Ltd.		202		120
Bank of India		3		18
Bank of the Philippine Islands		35		44
Bank Pekao SA		3		117
Bank Rakyat Indonesia Persero Tbk PT		273		179
BM&F Bovespa SA		48		223
BR Malls Participacoes SA		10		103
Bradespar SA		6		99
BRE Bank SA (c)		—		29
BS Financial Group Inc. (c)		5		51
Bumiputra-Commerce Holdings Bhd		128		276
Bursa Malaysia Bhd		11		21
Canara Bank		2		20
Capital Securities Corp.		57		19


	Shares/Par (p)		Value
Cathay Financial Holding Co. Ltd.		181		205
CETIP SA		5		59
Chang Hwa Commercial Bank		100		57
China Citic Bank (c)		184		75
China Construction Bank Corp.		1,263		764
China Development Financial Holding Corp.		220		65
China Everbright Ltd.		24		26
China Life Insurance Co. Ltd.		238		504
China Merchants Bank Co. Ltd.		107		161
China Minsheng Banking Corp. Ltd.		93		57
China Overseas Land & Investment Ltd. (e)		104		149
China Pacific Insurance Group Co. Ltd.		48		138
China Resources Land Ltd. (e)		48		52
China Taiping Insurance Holdings Co. Ltd. (c)		20		39
Chinatrust Financial Holding Co. Ltd.		236		138
Chongqing Rural Commercial Bank (c)		61		19
Commercial International Bank		14		53
Compartamos SAB de CV		28		38
Corp. Financiera Colombiana SA		2		37
Corpbanca		2,424		31
Country Garden Holdings Co. (e)		114		31
Credicorp Ltd.		2		157
Cyrela Brazil Realty SA		7		46
Daewoo Securities Co. Ltd.		6		48
DGB Financial Group Inc. (c)		3		40
Discovery Holdings Ltd.		7		35
DLF Ltd.		11		48
Dongbu Insurance Co. Ltd.		1		46
Douja Promotion Groupe Addoha SA		4		34
E. Sun Financial Holding Co. Ltd.		97		48
Egyptian Financial Group-Hermes Holding		8		22
Egyptian Kuwaiti Holding Co. SAE		20		21
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S		18		23
Evergrande Real Estate Group Ltd. (e)		135		41
Farglory Land Development Co. Ltd.		8		13
First Financial Holding Co. Ltd.		135		86
FirstRand Ltd.		70		170
Franshion Properties China Ltd.		112		17
Fubon Financial Holding Co. Ltd.		122		126
Getin Holding SA (c)		9		19
Globe Trade Centre SA (c)		5		18
Growthpoint Properties Ltd.		42		92
Grupo de Inversiones Suramericana SA		6		105
Grupo Financiero Banorte SAB de CV		40		119
Grupo Financiero Inbursa SA		50		84
Guangdong Investment Ltd.		66		41
Guangzhou R&F Properties Co. Ltd. (e)		27		20
Haci Omer Sabanci Holding A/S		13		46
Hana Financial Group Inc.		5		158
HDFC Bank Ltd.		39		365
Highwealth Construction Corp.		11		18
Hong Leong Bank Bhd		12		39
Hong Leong Financial Group Bhd		6		21
Housing Development & Infrastructure Ltd. (c)		6		12
Housing Development Finance Corp.		28		364
Hua Nan Financial Holdings Co. Ltd.		103		61
Hyundai Securities Co. Ltd.		3		25
ICICI Bank Ltd.		21		367
Indiabulls Real Estate Ltd.		9		14
IndusInd Bank Ltd.		4		22
Industrial & Commercial Bank of China		1,598		772
Industrial Bank of Korea		4		47
Infrastructure Development Finance Co. Ltd.		26		58
Investec Ltd.		7		37
Kasikornbank Public Co. Ltd.		41		156
KB Financial Group Inc.		10		324


	Shares/Par (p)		Value
KGI Securities Co. Ltd.		80		28
Komercni Banka AS		—		69
Korea Exchange Bank		6		38
Korea Investment Holdings Co. Ltd.		1		30
Korea Life Insurance Co. Ltd.		4		19
Kotak Mahindra Bank Ltd.		7		67
Krung Thai Bank Plc		74		37
KWG Property Holding Ltd.		39		14
Liberty Holdings Ltd.		3		30
LIC Housing Finances Ltd.		8		34
Longfor Properties Co. Ltd. (e)		35		34
LSR Group - GDR		7		22
Malayan Banking Bhd		88		220
Mega Financial Holdings Co. Ltd.		217		149
Metropolitan Bank & Trust Co.		21		32
Mirae Asset Securities Co. Ltd.		1		15
MMI Holdings Ltd.		27		56
Multiplan Empreendimentos Imobiliarios SA		2		33
National Societe Generale Bank SAE		3		10
Nedbank Group Ltd.		5		84
OTP Bank Rt		6		90
PICC Property & Casualty Co. Ltd.		62		66
Ping an Insurance Group Co. of China Ltd.		47		260
Polaris Securities Co. Ltd. (f)		58		38
Poly Hong Kong Investments Ltd. (e)		54		16
Porto Seguro SA		3		27
Powszechna Kasa Oszczednosci Bank Polski SA		15		151
Powszechny Zaklad Ubezpieczen SA		1		130
Public Bank Bhd		25		97
Redefine Properties Ltd.		71		71
Reliance Capital Ltd.		3		18
Renhe Commercial Holdings Co. Ltd.		278		30
RHB Capital Bhd		14		31
RMB Holdings Ltd.		19		59
RMI Holdings		22		34
Ruentex Development Co. Ltd.		14		14
Rural Electrification Corp. Ltd.		8		29
Samsung Card Co. Ltd.		1		39
Samsung Fire & Marine Insurance Co. Ltd.		1		175
Samsung Life Insurance Co. Ltd.		1		106
Samsung Securities Co. Ltd.		1		55
Sanlam Ltd.		44		147
Sberbank of Russia - ADR		62		530
Shimao Property Holdings Ltd.		43		32
Shin Kong Financial Holding Co. Ltd. (c)		143		42
Shinhan Financial Group Co. Ltd.		11		395
Shriram Transport Finance Co. Ltd.		3		42
Shui On Land Ltd.		78		19
Siam Commercial Bank Public Co. Ltd.		44		147
Sino-Ocean Land Holdings Ltd. (e)		91		29
SinoPac Financial Holdings Co. Ltd.		145		46
SM Investments Corp.		4		53
SM Prime Holdings Inc.		148		41
Soho China Ltd.		58		37
SP Setia Berhad		34		41
Standard Bank Group Ltd.		31		354
State Bank of India Ltd.		2		60
Sul America SA		3		24
Taishin Financial Holding Co. Ltd.		126		48
Taiwan Business Bank (c)		66		19
Taiwan Cooperative Bank		93		56
Talaat Moustafa Group (c)		26		16
Turkiye Garanti Bankasi AS		58		225
Turkiye Halk Bankasi AS		8		54
Turkiye Is Bankasi SA		38		99


	Shares/Par (p)		Value
Turkiye Vakiflar Bankasi T.A.O.		19		37
UEM Land Holdings Bhd (c)		30		16
Unitech Ltd. (c)		37		20
VTB Bank OJSC - GDR		38		158
Woori Finance Holdings Co. Ltd.		9		76
Yapi ve Kredi Bankasi AS (c)		21		47
Yuanta Financial Holding Co. Ltd. (c)		165		83
Yuexiu Property Co. Ltd. (c)		152		20

				16,751
HEALTH CARE - 1.1%
Amil Participacoes SA		3		29
Aspen Pharmacare Holdings Ltd.		7		78
Celltrion Inc.		2		64
China Shineway Pharmaceutical Group Ltd.		10		12
Cipla Ltd.		9		50
Diagnosticos da America SA		6		49
Dr. Reddy’s Laboratories Ltd.		3		81
Gedeon Richter Rt		—		49
Kalbe Farma Tbk PT		118		43
Life Healthcare Group Holdings Ltd.		19		46
Lupin Ltd.		4		38
Netcare Ltd.		24		38
Odontoprev SA		2		34
Piramal Healthcare Ltd.		2		14
Ranbaxy Laboratories Ltd.		3		36
Shandong Weigao Group Medical Polymer Co. Ltd.		40		45
Sihuan Pharmaceutical Holdings Group Ltd.		47		17
Sinopharm Group Co. Ltd.		20		54
Sun Pharmaceutical Industries Ltd.		8		75
Yuhan Corp.		—		19

				871
INDUSTRIALS - 6.2%
Aboitiz Equity Ventures Inc.		49		42
Adani Enterprises Ltd.		6		63
Aditya Birla Nuvo Ltd.		1		23
Air China Ltd.		52		36
AirAsia BHD		33		31
Alfa SAB de CV		8		78
All America Latina Logistica SA		11		51
Alliance Global Group Inc.		107		23
Barloworld Ltd.		5		40
Beijing Capital International Airport Co. Ltd.		54		22
Beijing Enterprises Holdings Ltd.		13		65
Berjaya Corp. Bhd		72		22
Bharat Heavy Electricals Ltd.		3		101
Bidvest Group Ltd.		9		163
Changsha Zoomlion Heavy Industry Science and Technology Development Co. Ltd.		33		37
China Airlines Ltd.		57		28
China Communications Constructions Co. Ltd.		111		72
China COSCO Holdings Co. Ltd. (e)		70		29
China High Speed Transmission Equipment Group Co. Ltd.		31		14
China Merchants Holdings International Co. Ltd.		28		75
China National Materials Co. Ltd.		33		12
China Railway Construction Corp. Ltd.		50		21
China Railway Group Ltd.		102		20
China Rongsheng Heavy Industries Group Holdings Ltd.		47		13
China Shipping Container Lines Co. Ltd. (c)		98		15
China Shipping Development Co. Ltd.		36		23
China Southern Airlines Co. Ltd. (c)		46		21


	Shares/Par (p)		Value
China State Construction International Holdings Ltd.		40		21
Cia de Concessoes Rodoviarias		6		142
Citic Pacific Ltd.		34		48
COSCO Pacific Ltd.		42		46
CSR Corp. Ltd.		49		17
Daelim Industrial Co. Ltd.		1		56
Daewoo Engineering & Construction Co. Ltd. (c)		3		20
Daewoo International Corp.		1		23
Daewoo Shipbuilding & Marine Engineering Co. Ltd.		2		45
Dongfang Electric Corp. Ltd.		9		23
Dongkuk Steel Mill Co. Ltd.		1		19
Doosan Corp.		—		29
Doosan Heavy Industries and Construction Co. Ltd.		1		49
Doosan Infracore Co. Ltd. (c)		3		39
EcoRodovias Infraestrutura e Logistica SA		4		32
Empresa Brasileira de Aeronautica SA		14		88
Empresas COPEC SA		11		135
Enka Insaat ve Sanayi AS		8		20
Eva Airways Corp.		41		27
Evergreen International Storage & Transport Corp.		15		8
Evergreen Marine Corp. Taiwan Ltd.		35		18
Far Eastern New Century Corp		72		74
Fosun International Ltd.		48		24
Gamuda Berhad		43		38
GMR Infrastructure Ltd. (c)		31		17
Greentown China Holdings Ltd.		22		10
Grupo Aeroportuario del PacifiCo SAB de CV		13		42
Grupo Carso SAB de CV		16		37
GS Engineering & Construction Corp.		1		72
Hanjin Heavy Industries & Construction Co. Ltd. (c)		1		12
Hanjin Shipping Co. Ltd.		1		11
Hiwin Technologies Corp.		4		27
Hyundai Development Co.		1		20
Hyundai Engineering & Construction Co. Ltd.		2		84
Hyundai Glovis Co. Ltd.		—		41
Hyundai Heavy Industries		1		259
Hyundai Merchant Marine Co. Ltd.		1		24
Hyundai Mipo Dockyard Co. Ltd.		—		24
IJM Corp. Bhd		30		46
Jaiprakash Associates Ltd.		28		41
Jiangsu Expressway Co. Ltd.		34		26
KCC Corp.		—		20
KOC Holding AS		15		55
Korean Air Lines Co. Ltd.		1		33
Lan Airlines SA		3		71
Larsen & Toubro Ltd.		5		149
Localiza Rent a Car SA		3		38
Lonking Holdings Ltd.		55		18
LS Corp.		1		44
Malaysia Airports Holdings Bhd		13		22
Malaysia Marine and Heavy Engineering
Holdings Bhd		13		23
Metallurgical Corp. of China Ltd.		79		15
MISC Bhd		28		50
MMC Corp. Bhd		23		18
Mundra Port and Special Economic Zone Ltd.		11		35
Orascom Construction Industries		2		80
PLUS Expressways Bhd		37		50
Reunert Ltd.		5		35
S1 Corp.		—		19


	Shares/Par (p)		Value
Samsung C&T Corp.		3		198
Samsung Engineering Co. Ltd.		1		159
Samsung Heavy Industries Co. Ltd.		4		92
Samsung Techwin Co. Ltd.		1		42
Sany Heavy Equipment International Holdings Co. Ltd.		26		21
Shanghai Electric Group Co. Ltd.		72		28
Shanghai Industrial Holdings Ltd.		14		39
Siemens Ltd.		2		31
Sime Darby Bhd		75		198
SK Holdings Co. Ltd.		1		72
SK Networks Co. Ltd.		3		26
STX Pan Ocean Co. Ltd.		3		17
Suzlon Energy Ltd. (c)		23		17
Taiwan Glass Industrial Corp.		24		27
TAV Havalimanlari Holding A/S (c)		5		19
Teco Electric and Machinery Co. Ltd.		44		24
Thai Airways International PCL		18		11
Turk Hava Yollari AO (c)		13		18
U-Ming Marine Transport Corp.		12		17
United Tractors Tbk PT		42		104
Walsin Lihwa Corp.		83		25
Wan Hai Lines Ltd.		30		14
Weichai Power Co. Ltd. (e)		10		45
Yang Ming Marine Transport Corp.		39		15
Zhejiang Expressway Co. Ltd.		40		24
Zhuzhou CSR Times Electric Co. Ltd.		12		20

				5,052
INFORMATION TECHNOLOGY - 11.9%
Acer Inc.		63		76
Advanced Semiconductor Engineering Inc.		117		100
Advantech Co. Ltd.		7		18
Alibaba.com Ltd.		33		30
Asseco Poland SA		2		21
Asustek Computer Inc.		17		127
AU Optronics Corp.		185		74
Catcher Technology Co. Ltd.		13		74
Cheng Uei Precision Industry Co. Ltd.		10		22
Chicony Electronics Co. Ltd.		11		18
Chimei Innolux Corp. (c)		127		51
Chunghwa Picture Tubes (c)		112		8
Cielo SA		7		148
Clevo Co.		12		20
CMC Magnetics Corp. (c)		74		14
Compal Electronics Inc.		119		108
Coretronic Corp.		18		14
Delta Electronics Inc.		44		103
E. Ink Holdings Inc.		20		41
Epistar Corp.		19		33
Everlight Electronics Co. Ltd.		9		15
Foxconn Technology Co. Ltd.		17		54
HannStar Display Corp. (c)		127		8
HCL Technologies Ltd.		4		37
HON HAI Precision Industry Co. Ltd.		239		533
HTC Corp.		19		417
Hynix Semiconductor Inc.		13		237
Infosys Technologies Ltd.		11		574
Inotera Memories Inc. (c)		53		11
Inventec Co. Ltd.		50		18
Kinsus Interconnect Technology Corp.		7		23
Largan Precision Co. Ltd.		3		69
Lenovo Group Ltd.		150		100
LG Innotek Co. Ltd.		—		12
Lite-On Technology Corp.		51		46
Macronix International Co., Ltd.		82		29


	Shares/Par (p)		Value
MediaTek Inc.		28		304
Motech Industries Inc.		8		13
MStar Semiconductor Inc.		9		47
Nan Ya Printed Circuit Board Corp.		5		13
Nanya Technology Corp. (c)		48		6
NCSoft Corp.		—		107
NHN Corp. (c)		1		209
Novatek Microelectronics Corp.		13		30
Pegatron Corp.		42		39
Phison Electronics Corp.		3		14
Powerchip Technology Corp. (c)		151		8
Powertech Technology Inc.		18		38
Qisda Corp.		45		12
Quanta Computer Inc.		61		117
Realtek Semiconductor Corp.		11		18
Redecard SA		8		113
Richtek Technology Corp.		4		19
Samsung Electro-Mechanics Co. Ltd.		1		90
Samsung Electronics Co. Ltd.		3		2,013
Samsung SDI Co.		1		82
Satyam Computer Services Ltd.		17		24
Semiconductor Manufacturing International Corp. (c)		508		25
Seoul Semiconductor Co.		1		14
Siliconware Precision Industries Co.		73		71
Simplo Technology Co. Ltd.		6		37
Sino-American Silicon Products Inc.		9		15
SK C&C Co. Ltd.		—		46
Synnex Technology International Corp.		32		69
Taiwan Semiconductor Manufacturing Co. Ltd.		645		1,452
Tata Consultancy Services Ltd.		12		255
Tencent Holdings Ltd.		27		552
Totvs SA		3		47
TPK Holding Co. Ltd. (c)		2		37
Transcend Information Inc.		5		10
Tripod Technology Corp.		11		29
Unimicron Technology Corp.		32		45
United Microelectronics Corp.		347		128
Vanguard International Semiconductor Corp.		23		8
Winbond Electronics Corp. (c)		75		15
Wintek Corp.		37		29
Wipro Ltd.		13		87
Wistron Corp.		48		54
WPG Holdings Co. Ltd.		33		38
Young Fast Optoelectronics Co. Ltd.		3		8

				9,670
MATERIALS - 12.1%
ACC Ltd.		1		31
African Rainbow Minerals Ltd.		3		66
Aluminum Corp. of China Ltd.		96		41
Ambuja Cements Ltd.		16		49
Aneka Tambang Tbk PT		80		13
Angang Steel Co. Ltd.		30		16
Anglo Platinum Ltd. (e)		2		110
AngloGold Ashanti Ltd.		10		415
Anhui Conch Cement Co. Ltd.		31		84
ArcelorMittal South Africa Ltd.		5		33
Asia Cement Corp.		47		48
Asian Paints Ltd.		1		48
Aveng Ltd.		9		40
BBMG Corp.		30		22
CAP SA		2		59
Cementos Argos SA		7		41
Cheil Industries Inc.		1		82
China Blue Chemical Ltd.		48		37


	Shares/Par (p)		Value
China Molybdenum Co. Ltd.		32		13
China National Building Material Co. Ltd.		72		61
China Petrochemical Development Corp.		45		48
China Resources Cement Holdings Ltd.		54		36
China Shanshui Cement Group Ltd.		46		31
China Steel Corp.		303		295
China Zhongwang Holdings Ltd.		40		14
Cia de Minas Buenaventura SA - ADR		5		189
Cia Siderurgica Nacional SA		19		145
Dongyue Group		22		11
Duratex SA		6		28
Empresas COPEC SA		28		95
Eregli Demir ve Celik Fabrikalari TAS		15		25
Eternal Chemical Co. Ltd.		21		16
Feng Hsin Iron & Steel Co.		13		22
Fibria Celulose SA		5		41
Formosa Chemicals & Fibre Corp.		77		198
Formosa Petrochemical Corp.		27		74
Formosa Plastics Corp.		106		279
Fushan International Energy Group Ltd.		76		25
Gold Fields Ltd.		19		291
Grupo Mexico SAB de CV		102		242
Hanwha Chem Corp.		2		45
Hanwha Corp.		1		32
Harmony Gold Mining Co. Ltd		10		113
Hidili Industry International Development Ltd.		28		8
Hindalco Industries Ltd.		29		78
Honam Petrochemical Corp.		—		86
Huabao International Holdings Ltd. (e)		49		40
Hyosung Corp.		1		26
Hyundai Hysco		1		33
Hyundai Steel Co.		1		101
Impala Platinum Holdings Ltd.		13		268
Indorama Ventures PCL		37		32
Industrias Penoles SAB de CV		3		128
International Nickel Indonesia Tbk PT		60		20
Inversiones Argos SA		7		66
IOI Corp.		89		128
Jastrzebska Spolka Weglowa SA (c)		1		26
Jiangxi Copper Co. Ltd.		34		59
Jindal Steel & Power Ltd.		10		98
JSW Steel Ltd.		2		29
KGHM Polska Miedz SA		4		155
Kingboard Chemical Holdings Ltd.		16		42
Korea Kumho Petrochemical		—		40
Korea Zinc Co. Ltd.		—		51
KP Chemical Corp.		1		16
Kuala Lumpur Kepong Bhd		12		77
Kumba Iron Ore Ltd. (e)		2		105
Kumba Resources Ltd.		4		77
Lafarge Malayan Cement Bhd		12		24
LCY Chemical Corp.		11		16
Lee & Man Paper Manufacturing Ltd.		47		16
LG Chem Ltd.		4		445
Maanshan Iron & Steel		52		11
Mechel OAO - ADR		4		40
Mexichem SAB de CV		19		56
Minera Frisco SAB de CV (c) (e)		16		54
Minmetals Resources Ltd. (c)		40		15
MMC Norilsk Nickel - ADR		16		339
MMX Mineracao e Metalicos SA (c)		7		24
Nan Ya Plastics Corp.		126		271
Nine Dragons Paper Holdings Ltd. (e)		44		22
Northam Platinum Ltd.		5		21
NOVOLIPETSK STEEL - GDR		2		45
OCI Co. Ltd.		—		67


	Shares/Par (p)		Value
Petronas Chemicals Group Bhd		59		103
Polski Koncern Naftowy ORLEN SA (c)		9		103
Polymetal JSC - GDR (c)		5		72
POSCO Inc.		2		531
Pretoria Portland Cement Co. Ltd.		14		40
PT Indocement Tunggal Prakarsa Tbk		38		59
PTT Aromatics & Refining Public Co. Ltd.		29		22
PTT Chemical PCL		9		30
Sappi Ltd. (c)		14		40
Semen Gresik Persero Tbk PT		75		70
Sesa Goa Ltd.		9		37
Severstal OAO - GDR		6		67
Siam Cement PCL		8		78
Sinochem Hong Kong Holding Ltd.		62		16
Sinopec Shanghai Petrochemical Co. Ltd.		64		23
Southern Copper Corp.		5		115
Steel Authority of India Ltd.		8		18
Sterlite Industries India Ltd.		34		79
Synthos SA		17		19
Taiwan Cement Corp.		83		88
Taiwan Fertilizer Co. Ltd.		18		44
Tata Steel Ltd.		8		67
Thai Oil Public Co. Ltd.		21		34
TSRC Corp.		13		28
Tung Ho Steel Enterprise Corp.		21		19
Ultratech Cement Ltd.		2		41
United Phosphorus Ltd.		7		18
Uralkali - GDR		8		256
Usinas Siderurgicas de Minas Gerais SA		5		51
Vale SA		33		737
Zhaojin Mining Industry Co. Ltd.		23		38
Zijin Mining Group Co. Ltd.		150		44

				9,846
TELECOMMUNICATION SERVICES - 8.3%
Advanced Info Service Public Co. Ltd.		23		94
America Movil SAB de CV		1,075		1,187
Axiata Group Bhd		70		100
China Communication Services Corp. Ltd.		52		24
China Mobile Ltd.		158		1,540
China Telecom Corp. Ltd.		370		232
China Unicom Hong Kong Ltd.		156		317
Chunghwa Telecom Co. Ltd.		101		334
DiGi.Com Bhd		7		68
Egyptian Co. for Mobile Services		1		11
ENTEL Chile SA		3		49
Far EasTone Telecommunications Co. Ltd.		46		68
Globe Telecom Inc.		1		16
Indonesian Satellite Corp.		34		20
KT Corp. - ADR		3		46
LG Telecom Ltd.		5		29
Magyar Telekom Telecommunications Plc		13		28
Maroc Telecom		5		79
Maxis Bhd		60		100
Mobile Telesystems - ADR		13		164
MTN Group Ltd.		44		723
Orascom Telecom Holding SAE (c)		63		34
Philippine Long Distance Telephone Co.		1		57
Reliance Communications Ltd.		14		20
Rostelecom OJSC - ADR		6		167
Sistema JSFC - GDR		3		43
SK Telecom Co. Ltd. - ADR		5		73
Taiwan Mobile Co. Ltd. (f)		39		104
Tele Norte Leste Participacoes SA		1		15
Telecom Egypt Co.		7		16
Telefonica O2 Czech Republic AS		3		69


	Shares/Par (p)		Value
Telefonos de Mexico SAB de CV		148		110
Telekom Malaysia Bhd		26		32
Telekomunikacja Polska SA		18		93
Telekomunikasi Indonesia Tbk PT		272		232
Telemar Norte Leste SA		1		18
Telkom SA Ltd.		6		24
Tim Participacoes SA		19		89
Turk Telekomunikasyon AS		13		54
Turkcell Iletisim Hizmet AS		22		100
Vodacom Group Ltd.		10		110
XL Axiata Tbk PT		43		24
ZTE Corp.		15		44

				6,757
UTILITIES - 2.9%
Aboitiz Power Corp.		45		29
AES Gener SA		59		30
Centrais Eletricas Brasileiras SA		7		57
CEZ AS		4		166
China Gas Holdings Ltd.		80		21
China Longyuan Power Group Corp.		52		43
China Resources Power Holdings Co. Ltd.		42		63
Cia de Saneamento Basico do Estado de Sao Paulo		4		81
Cia Energetica de Minas Gerais		10		139
Colbun SA		172		43
CPFL Energia SA		5		50
Datang International Power Generation Co. Ltd. (e)		76		19
E-CL SA		13		31
EDP - Energias do Brasil SA		3		54
Empresa Nacional de Electricidad SA		95		138
Enea SA		3		12
Enersis SA		380		132
Federal Hydrogenerating Co. JSC- ADR		34		113
GAIL India Ltd.		10		82
GCL-Poly Energy Holdings Ltd. (e)		177		46
Glow Energy PCL		14		22
Huaneng Power International Inc.		80		34
Interconexion Electrica SA		10		59
Korea Electric Power Corp. (c)		7		124
Korea Gas Corp.		1		15
Manila Electric Co.		7		36
NTPC Ltd.		14		47
Perusahaan Gas Negara PT		318		95
Petronas Gas BHD		16		66
PGE SA		16		95
Power Grid Corp. of India Ltd.		29		58
Reliance Infrastructure Ltd.		3		23
Reliance Power Ltd. (c)		15		24
Tata Power Co. Ltd.		26		53
Tauron Polska Energia SA		25		38
Tenaga Nasional Bhd		68		109
Tractebel Energia SA		4		58
YTL Corp. Bhd		81		33
YTL Power International Bhd		52		27

				2,365

Total Common Stocks (cost $83,706)				72,931

PREFERRED STOCKS - 7.6%
CONSUMER DISCRETIONARY - 0.5%
Grupo Televisa SA		64		234
Hyundai Motor Co.		1		27
Hyundai Motor Co. Ltd.		1		51


	Shares/Par (p)		Value
Lojas Americanas SA		8		60

				372
CONSUMER STAPLES - 0.1%
Cia Brasileira de Distribuicao Grupo Pao de Acucar		3		79
ENERGY - 1.4%
Petroleo Brasileiro SA		111		1,125
FINANCIALS - 2.6%
Banco Bradesco SA		50		738
Banco do Estado do Rio Grande do Sul		5		39
BanColombia SA		8		113
Itau Unibanco Holding SA		60		925
Itausa - Investimentos Itau SA		62		314

				2,129
INDUSTRIALS - 0.1%
Gol Linhas Aereas Inteligentes SA		3		14
TAM SA		2		30

				44
INFORMATION TECHNOLOGY - 0.3%
Samsung Electronics Co. Ltd.		1		260
MATERIALS - 2.0%
Braskem SA		4		32
Fertilizantes Fosfatados SA		3		32
Gerdau SA		21		151
Klabin SA		12		32
LG Chem Ltd.		—		15
Metalurgica Gerdau SA		7		62
Sociedad Quimica y Minera de Chile SA		2		118
Suzano Papel e Celulose SA		5		20
Usinas Siderurgicas de Minas Gerais SA		11		63
Vale SA		54		1,122

				1,647
TELECOMMUNICATION SERVICES - 0.3%
Brasil Telecom SA		6		37
Tele Norte Leste Participacoes SA		6		54
Telecomunicacoes de Sao Paolo SA		7		193

				284
UTILITIES - 0.3%
AES Tiete SA		3		31
Centrais Eletricas Brasileiras SA		7		81
Cia de Transmissao de Energia Electrica Paulista		1		18
Cia Energetica de Sao Paulo		5		69
Cia Paranaense de Energia		3		45
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		2		36

				280

Total Preferred Stocks (cost $7,362)				6,220

RIGHTS - 0.0%
Daewood Securities (c) (f)		2		4
Hong Leong Bank Bhd (c) (f)		2		1
Lojas Americanas SA (c)		—		—

Total Rights (cost $0)				5

INVESTMENT COMPANIES - 0.1%
Vanguard Emerging Markets Vipers		3		91

Total Investment Companies (cost $97)				91


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 2.8%
Investment Companies - 1.7%
JNL Money Market Fund, 0.02% (a) (h)		1,347		1,347
Securities Lending Collateral - 0.9%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		761		761
Treasury Securities - 0.2%
U.S. Treasury Bill, 0.02%, 03/08/12	$	115		115

Total Short Term Investments (cost $2,223)				2,223

Total Investments - 101.3% (cost $93,388)				81,470
Other Assets and Liabilities, Net - (1.3%)				(1,075	)

Total Net Assets - 100.0%			$	80,395

JNL/Mellon Capital Management Global Alpha Fund
PURCHASED OPTIONS - 4.3%
U.S. 10 yr Note Call Option, Strike Price 109.00, Expiration 11/24/2011		1,012	$	21,347

Total Purchased Options (cost $20,337)				21,347

SHORT TERM INVESTMENTS - 95.8%
Commercial Paper - 16.6%
Bank of Nova Scotia
0.07%, 10/17/11	$	4,500		4,500
0.05%, 10/28/11		6,000		6,000
Barclays Bank Plc, 0.17%, 10/19/11		10,000		9,999
Barclays US Funding Corp., 0.25%, 10/07/11		4,500		4,500
JPMorgan Chase & Co.
0.03%, 10/17/11		10,000		10,000
0.54%, 10/19/11		6,000		6,000
Royal Bank of Scotland Plc, 0.20%, 10/24/11		5,000		4,999
Swedbank AB
0.28%, 10/19/11		6,000		5,999
0.37%, 11/28/11		6,000		5,997
Toyota Motor Credit Corp.
0.11%, 10/17/11		4,000		4,000
0.10%, 10/24/11		8,000		7,999
UBS Finance LLC, 0.14%, 10/11/11		12,000		12,000

				81,993
Federal Home Loan Bank - 10.9% (v)
Federal Home Loan Bank
0.02%,10/27/11		8,000		8,000
0.02%, 10/27/11 - 11/16/11		45,800		45,798

				53,798
Federal Home Loan Mortgage Corp. - 4.8% (v)
Federal Home Loan Mortgage Corp.
0.00%,10/25/11		13,800		13,800
0.03%, 11/28/11		9,700		9,700

				23,500
Federal National Mortgage Association - 10.4% (v)
Federal National Mortgage Association
0.01%, 10/12/11 - 11/02/11		42,000		42,000
0.02%, 11/07/11		9,000		9,000

				51,000
Investment Companies - 6.5%
JNL Money Market Fund, 0.02% (a) (h)		32,231		32,231


	Shares/Par (p)		Value
Treasury Securities - 46.6%
U.S. Treasury Bill
0.02%, 10/20/11	$	100,600		100,599
0.00%,11/10/11		6,000		6,000
0.00%,11/25/11		72,719		72,717
0.02%, 12/01/11		16,000		16,000
0.03%, 03/15/12		15,630		15,626
0.02%, 03/22/12 (o)		18,375		18,371

				229,313

Total Short Term Investments (cost $471,840)				471,835

Total Investments - 100.1% (cost $492,177)				493,182
Other Assets and Liabilities, Net - (0.1%)				(622	)

Total Net Assets - 100.0%			$	492,560

JNL/Oppenheimer Global Growth Fund
COMMON STOCKS - 96.1%
CONSUMER DISCRETIONARY - 16.0%
Bayerische Motoren Werke AG		9	$	564
Carnival Corp.		238		7,218
Grupo Televisa SA - GDR		297		5,454
Inditex SA (e)		105		8,934
Kingfisher Plc		405		1,555
Lottomatica SpA (c) (e)		118		1,838
LVMH Moet Hennessy Louis Vuitton SA		59		7,843
McDonald’s Corp.		120		10,574
McGraw-Hill Cos. Inc.		135		5,522
PPR SA		27		3,473
Shuffle Master Inc. (c)		86		721
Sony Corp. (e)		161		3,072
Tiffany & Co.		138		8,390
Tod’s SpA (e)		49		4,127
Walt Disney Co.		249		7,519
Wire & Wireless India Ltd. (c)		217		30
Zee Entertainment Enterprises Ltd.		866		2,071
Zee Learn Ltd. (c)		68		27

				78,932
CONSUMER STAPLES - 9.2%
Carlsberg A/S		42		2,483
Cia de Bebidas das Americas - ADR (e)		184		5,653
Colgate-Palmolive Co.		100		8,898
E-Mart Co. Ltd. (c)		13		3,346
Fomento Economico Mexicano SAB de CV		1,254		8,139
Grupo Modelo SAB de CV		529		2,992
Nestle SA		114		6,294
Unilever Plc		246		7,699

				45,504
ENERGY - 3.7%
Technip SA (e)		89		7,130
Total SA		116		5,132
Transocean Ltd.		96		4,593
YPF SA - ADR		36		1,235

				18,090
FINANCIALS - 14.5%
AFLAC Inc.		104		3,634
Allianz SE		69		6,444
Banco Bilbao Vizcaya Argentaria SA		703		5,821
Bank of America Corp.		378		2,312
BM&F Bovespa SA		935		4,309


	Shares/Par (p)		Value
Credit Suisse Group AG (c)		267		6,991
Dai-Ichi Life Insurance Co. Ltd. (e)		5		4,736
DLF Ltd.		513		2,271
Fidelity National Financial Inc. - Class A		175		2,659
Goldman Sachs Group Inc.		55		5,231
HSBC Holdings Plc (e)		318		2,431
Investor AB - Class B		299		5,265
Itau Unibanco Holding SA - ADR		123		1,907
Societe Generale - Class A		90		2,352
Sumitomo Mitsui Financial Group Inc. (e)		140		3,942
UBS AG (c)		579		6,619
XL Group Plc - Class A		223		4,199

				71,123
HEALTH CARE - 10.2%
Aetna Inc.		224		8,144
Allergan Inc.		22		1,844
Amgen Inc.		76		4,152
Amylin Pharmaceuticals Inc. (c)		238		2,192
Bayer AG		95		5,238
Gilead Sciences Inc. (c)		52		2,013
Mitsubishi Tanabe Pharma Corp. (e)		176		3,276
Pfizer Inc.		85		1,497
Roche Holding AG		22		3,612
Theravance Inc. (c) (e)		128		2,568
WellPoint Inc.		141		9,180
Zimmer Holdings Inc. (c)		117		6,260

				49,976
INDUSTRIALS - 11.6%
3M Co.		84		6,048
All America Latina Logistica SA		157		703
Assa Abloy AB		321		6,605
Embraer SA - ADR		192		4,860
Emerson Electric Co.		98		4,040
European Aeronautic Defence & Space Co. NV		308		8,652
Fanuc Ltd.		25		3,430
Koninklijke Philips Electronics NV (e)		231		4,136
Multiplus SA		51		733
Nidec Corp. (e)		44		3,560
Prysmian SPA		147		1,931
Siemens AG		138		12,452

				57,150
INFORMATION TECHNOLOGY - 28.0%
Adobe Systems Inc. (c)		235		5,669
Altera Corp.		303		9,558
Automatic Data Processing Inc.		123		5,820
Corning Inc.		299		3,692
eBay Inc. (c)		526		15,520
Google Inc. (c)		11		5,530
Hoya Corp. (e)		146		3,385
Infosys Technologies Ltd.		120		6,145
Intuit Inc.		214		10,131
Juniper Networks Inc. (c)		272		4,692
Keyence Corp. (e)		21		5,693
Kyocera Corp.		37		3,069
Maxim Integrated Products Inc.		313		7,294
Microsoft Corp.		321		7,981
Murata Manufacturing Co. Ltd. (e)		117		6,369
Nintendo Co. Ltd. (e)		13		1,954
SAP AG		208		10,608
Taiwan Semiconductor Manufacturing Co. Ltd.		2,478		5,577
Telefonaktiebolaget LM Ericsson		1,964		18,858

				137,545


	Shares/Par (p)		Value
MATERIALS - 0.7%
Linde AG		27		3,559
TELECOMMUNICATION SERVICES - 1.4%
KDDI Corp.		1		7,091
UTILITIES - 0.8%
Fortum Oyj		172		4,040

Total Common Stocks (cost $517,916)				473,010

PREFERRED STOCKS - 1.5%
CONSUMER DISCRETIONARY - 1.5%
Bayerische Motoren Werke AG		164		7,674

Total Preferred Stocks (cost $7,259)				7,674

RIGHTS - 0.0%
Banco Bilbao Vizcaya Argentaria SA (c)		703		104

Total Rights (cost $105)				104

SHORT TERM INVESTMENTS - 10.2%
Investment Companies- 2.1%
JNL Money Market Fund, 0.02% (a) (h)		10,189		10,189
Securities Lending Collateral - 8.1%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		39,478		39,478
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		375		363

				39,841

Total Short Term Investments (cost $50,042)				50,030

Total Investments - 107.8% (cost $575,322)				530,818
Other Assets and Liabilities, Net - (7.8%)				(38,625	)

Total Net Assets- 100.0%			$	492,193


JNL/PAM Asia ex-Japan Fund
COMMON STOCKS - 96.9%
CONSUMER DISCRETIONARY - 4.2%
Esprit Holdings Ltd.		149	$	180
Genting Malaysia Bhd		944		1,027
Hankook Tire Co. Ltd.		48		1,605
Kangwon Land Inc.		13		290
Tata Motors Ltd.		644		1,146

				4,248
CONSUMER STAPLES - 4.9%
E-Mart Co. Ltd. (c)		10		2,418
Hengan International Group Co. Ltd.		155		1,234
Salim Ivomas Pratama Tbk PT (c)		6,227		808
Shinsegae Co. Ltd.		2		494

				4,954
ENERGY - 7.7%
Banpu Public Co. Ltd.		20		343
Cairn India Ltd. (c)		252		1,396
China Petroleum & Chemical Corp.		180		173
China Shenhua Energy Co. Ltd.		232		908
CNOOC Ltd.		1,959		3,150
GS Holdings Corp.		29		1,380


	Shares/Par (p)		Value
Indika Energy Tbk PT		1,826		461

				7,811
FINANCIALS - 31.0%
AIA Group Ltd.		433		1,225
Alam Sutera Realty Tbk PT		10,458		452
AMMB Holdings Bhd		474		854
Bangkok Bank PCL		363		1,717
Bank of China Ltd.		8,702		2,691
Bank Rakyat Indonesia Persero Tbk PT		1,333		873
Bumi Serpong Damai PT		7,048		689
China Construction Bank Corp.		3,757		2,273
China Pacific Insurance Group Co. Ltd.		827		2,385
China Resources Land Ltd. (e)		608		654
DBS Group Holdings Ltd. (e)		277		2,483
Global Logistic Properties Ltd. (c)		684		858
Hana Financial Group Inc.		67		1,951
Hang Seng Bank Ltd. (e)		95		1,113
Henderson Land Development Co. Ltd. (e)		387		1,737
ICICI Bank Ltd.		111		1,954
KB Financial Group Inc.		49		1,615
Longfor Properties Co. Ltd. (e)		595		591
Mahindra & Mahindra Financial Services Ltd.		82		1,095
Metropolitan Bank & Trust Co.		325		485
Perennial China Retail Trust (c)		2,573		895
Rural Electrification Corp. Ltd.		128		451
Samsung Fire & Marine Insurance Co. Ltd.		6		1,088
Wharf Holdings Ltd.		173		852
Yuanta Financial Holding Co. Ltd. (c)		841		421

				31,402
HEALTH CARE - 1.8%
Ranbaxy Laboratories Ltd.		178		1,857
INDUSTRIALS - 10.5%
COSCO Pacific Ltd.		1,292		1,429
Far Eastern New Century Corp		641		654
Hutchison Whampoa Ltd.		275		2,035
Hyundai Engineering & Construction Co. Ltd.		47		2,386
IVRCL Infrastructures & Projects Ltd.		365		260
S1 Corp.		18		835
SembCorp Industries Ltd. (e)		699		1,804
Suzlon Energy Ltd. (c)		1,000		738
Voltas Ltd.		238		537

				10,678
INFORMATION TECHNOLOGY - 19.8%
AAC Technologies Holdings Inc. (e)		1,432		3,071
Chimei Innolux Corp. (c)		3,189		1,270
HON HAI Precision Industry Co. Ltd.		1,323		2,948
HTC Corp.		45		995
Largan Precision Co. Ltd.		31		716
Mphasis Ltd.		147		1,029
Samsung Electronics Co. Ltd.		7		4,675
Shanda Games Ltd. - ADR		256		1,016
Taiwan Semiconductor Manufacturing Co. Ltd.		1,318		2,965
Wistron Corp.		1,188		1,333

				20,018
MATERIALS - 9.0%
China Resources Cement Holdings Ltd.		2,120		1,396
China Shanshui Cement Group Ltd.		1,413		956
Hindalco Industries Ltd.		493		1,312
Huabao International Holdings Ltd. (e)		2,169		1,765
POSCO Inc.		3		949
Taiwan Fertilizer Co. Ltd.		652		1,579


	Shares/Par (p)		Value
Xingda International Holdings Ltd.		2,449		1,179

				9,136
TELECOMMUNICATION SERVICES - 6.0%
Axiata Group Bhd		1,368		1,956
China Mobile Ltd.		146		1,427
KT Corp.		28		841
Telekomunikasi Indonesia Tbk PT		2,120		1,808

				6,032
UTILITIES - 2.0%
China Resources Power Holdings Co. Ltd.		396		598
GVK Power & Infrastructure Ltd. (c)		1,296		416
Korea Electric Power Corp. (c)		61		1,062

				2,076

Total Common Stocks (cost $123,314)				98,212

SHORT TERM INVESTMENTS - 9.1%
Investment Companies - 2.5%
JNL Money Market Fund, 0.02% (a) (h)		2,481		2,481
Securities Lending Collateral - 6.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		6,645		6,645
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		17		17

				6,662

Total Short Term Investments (cost $9,143)				9,143

Total Investments - 106.0% (cost $132,457)				107,355
Other Assets and Liabilities, Net - (6.0%)				(6,051	)

Total Net Assets - 100.0%			$	101,304

JNL/PAM China-India Fund
COMMON STOCKS - 97.3%
CONSUMER DISCRETIONARY - 10.2%
BYD Co. Ltd. (c) (e)		631	$	1,050
Focus Media Holding Ltd. - ADR (c) (e)		433		7,277
GOME Electrical Appliances Holdings Ltd. (e)		9,008		2,072
Mahindra & Mahindra Ltd.		503		8,220
Sun TV Network Ltd.		619		2,931
Tata Motors Ltd.		2,839		7,026

				28,576
CONSUMER STAPLES - 4.2%
Colgate-Palmolive India Ltd.		325		6,478
ITC Ltd.		1,315		5,297

				11,775
ENERGY - 15.9%
China Petroleum & Chemical Corp.		9,324		8,967
China Shenhua Energy Co. Ltd.		1,886		7,395
CNOOC Ltd.		5,693		9,154
Oil India Ltd.		171		4,723
Reliance Industries Ltd.		871		14,293

				44,532
FINANCIALS - 31.8%
Bank of Baroda		382		5,899
Bank of China Ltd.		58,296		18,026
China Pacific Insurance Group Co. Ltd.		2,241		6,460
Evergrande Real Estate Group Ltd. (e)		16,434		5,023


	Shares/Par (p)		Value
Franshion Properties China Ltd. (e)		13,910		2,171
HDFC Bank Ltd.		964		9,117
ICICI Bank Ltd.		712		12,557
Industrial & Commercial Bank of China		20,996		10,139
LIC Housing Finances Ltd.		1,341		5,758
Mahindra & Mahindra Financial Services Ltd.		540		7,232
Ping an Insurance Group Co. of China Ltd. (e)		582		3,254
Rural Electrification Corp. Ltd.		614		2,160
Sino-Ocean Land Holdings Ltd. (e)		4,107		1,308

				89,104
HEALTH CARE - 3.7%
Dr. Reddy’s Laboratories Ltd.		345		10,372
INDUSTRIALS - 2.4%
Fosun International Ltd.		4,862		2,454
Mundra Port and Special Economic Zone Ltd.		927		3,098
Sinotrans Shipping Ltd. (e)		5,125		1,130

				6,682
INFORMATION TECHNOLOGY - 11.0%
AAC Technologies Holdings Inc.		1,038		2,226
Infosys Technologies Ltd.		328		16,856
Mphasis Ltd.		470		3,288
OnMobile Global Ltd. (c)		577		700
Sohu.com Inc. (c)		101		4,854
Travelsky Technology Ltd.		6,518		2,841

				30,765
MATERIALS - 7.2%
China Resources Cement Holdings Ltd. (e)		8,494		5,593
Hindalco Industries Ltd.		2,154		5,737
Huabao International Holdings Ltd. (e)		4,018		3,270
Sterlite Industries India Ltd.		1,179		2,714
Xingda International Holdings Ltd.		6,274		3,020

				20,334
TELECOMMUNICATION SERVICES - 8.2%
China Mobile Ltd.		791		7,732
China Unicom Hong Kong Ltd. (e)		7,133		14,502
Idea Cellular Ltd. (c)		390		780

				23,014
UTILITIES - 2.7%
China Resources Power Holdings Co. Ltd.		1,896		2,862
GAIL India Ltd.		587		4,899

				7,761

Total Common Stocks (cost $331,283)				272,915

SHORT TERM INVESTMENTS - 12.8%
Investment Companies - 2.0%
JNL Money Market Fund, 0.02% (a) (h)		5,633		5,633
Securities Lending Collateral - 10.8%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		30,277		30,277
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		21		20

				30,297

Total Short Term Investments (cost $35,931)				35,930

Total Investments - 110.1% (cost $367,214)				308,845
Other Assets and Liabilities, Net - (10.1%)				(28,364	)

Total Net Assets - 100.0%			$	280,481


	Shares/Par (p)		Value
JNL/PIMCO Real Return Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 13.0%
American General Mortgage Loan Trust REMIC, 5.15%, 03/25/40 (i) (r)	$	3,285	$	3,361
American Home Mortgage Assets REMIC, 0.42%, 09/25/46 (i)		4,581		2,250
American Money Management Corp., 0.54%, 05/03/18 (i) (r)		496		479
Aquilae CLO Plc, 2.06%, 01/17/23 (i), EUR		2,366		2,920
ARES CLO Funds, 0.56%, 03/12/18 (i) (r)		1,249		1,211
Arran Residential Mortgages Funding Plc
2.74%, 05/16/47 (i) (r), EUR		638		854
2.74%, 11/19/47 (i) (r), EUR		8,662		11,589
2.99%, 11/19/47 (i) (r), EUR		18,700		24,930
Banc of America Commercial Mortgage Inc. REMIC
5.92%, 07/10/17 (i)		2,900		3,051
5.89%, 07/10/44 (i)		2,000		2,156
0.41%, 06/10/49 (i) (r)		336		327
5.80%, 06/10/49 (i)		2,900		3,050
5.80%, 06/10/49 (i)		336		340
Banc of America Large Loan Inc. REMIC
1.98%, 11/15/13 (i) (r)		15,073		13,431
5.67%, 07/17/17 (i) (r)		600		655
0.74%, 08/15/29 (i) (r)		940		871
5.69%, 06/24/50 (i) (r)		1,100		1,193
Banc of America Mortgage Securities Inc. REMIC, 2.87%, 06/25/35 (i)		344		279
BCAP LLC
5.76%, 03/25/37 (r)		1,600		1,213
5.25%, 08/25/37 (r)		6,200		6,101
Bear Stearns Adjustable Rate Mortgage Trust REMIC
2.60%, 05/25/33 (i)		81		77
2.85%, 02/25/34 (i)		575		495
3.28%, 11/25/34 (i)		607		564
3.07%, 01/25/35 (i)		1,150		978
4.83%, 01/25/35 (i)		406		330
2.73%, 03/25/35 (i)		92		86
2.74%, 03/25/35 (i)		676		532
2.15%, 08/25/35 (i)		97		90
2.40%, 08/25/35 (i)		168		154
Bear Stearns Alt-A Trust REMIC
2.61%, 01/25/36 (i)		891		433
2.75%, 08/25/36 (i)		344		154
Bear Stearns Asset Backed Securities Trust REMIC, 1.23%, 08/25/37 (i)		999		597
Bear Stearns Structured Products Inc. REMIC
2.57%, 01/26/36 (i)		966		575
4.72%, 12/26/46 (i)		984		598
Capital Auto Receivables Asset Trust, 1.68%, 10/15/12 (i)		874		874
Chase Mortgage Finance Corp. REMIC, 2.76%, 02/25/37 (i)		195		166
Chevy Chase Mortgage Funding Corp. REMIC, 0.36%, 05/25/48 (i) (r)		895		354
Citibank Omni Master Trust
2.33%, 05/16/16 (e) (i) (r)		9,000		9,077
2.98%, 08/15/18 (i) (r)		4,400		4,604
Citigroup Mortgage Loan Trust Inc. REMIC
2.37%, 08/25/35 (i)		116		106
2.45%, 08/25/35 (i)		156		130
2.70%, 08/25/35 (i)		790		376
0.31%, 01/25/37 (i)		185		129


	Shares/Par (p)		Value
0.29%, 05/25/37 (i)		228		218
5.62%, 09/25/37 (i)		2,638		1,576
0.29%, 08/25/45 (i)		511		382
College Loan Corp. Trust, 0.50%, 01/25/24 (i)		800		802
Commercial Mortgage Pass Through Certificates REMIC, 3.16%, 11/10/15 (r)		6,091		6,144
Conseco Finance Securitizations Corp., 6.68%, 07/01/31		66		70
Countrywide Alternative Loan Trust REMIC, 0.40%, 05/25/47 (i)		8,166		5,029
Countrywide Asset-Backed Certificates REMIC
0.48%, 10/25/34 (i)		209		177
0.41%, 12/25/34 (i)		3,500		2,825
0.41%, 09/25/36 (i)		558		438
0.33%, 09/25/37 (i)		161		158
Countrywide Home Loan Mortgage Pass-Through Trust REMIC
2.79%, 08/25/34 (i)		511		357
4.92%, 11/20/34 (i)		465		418
2.70%, 04/20/35 (i)		576		521
Credit Suisse Mortgage Capital Certificates REMIC
5.38%, 11/15/16 (r)		1,000		1,078
5.86%, 02/25/37 (i)		1,087		561
5.90%, 06/15/39 (i)		4,140		4,311
5.47%, 09/19/39 (r)		1,400		1,529
Credit-Based Asset Servicing and Securitization LLC REMIC, 0.35%, 07/25/37 (i) (r)		297		272
CS First Boston Mortgage Securities Corp. REMIC, 2.45%, 04/25/34 (i)		615		551
Cumberland CLO Ltd., 0.52%, 11/10/19 (i) (r)		3,077		2,941
DBUBS Mortgage Trust, 3.39%, 07/10/44 (r)		16,500		16,663
Deutsche Mortgage Securities Inc., 1.49%, 06/25/47 (i) (r)		593		592
Duane Street CLO, 0.52%, 11/08/17 (i) (r)		970		915
First CLO Ltd., 0.62%, 12/14/16		744		721
First Franklin Mortgage Loan Asset Backed Certificates REMIC, 0.28%, 11/25/36 (i)		3		3
First NLC Trust REMIC, 0.30%, 08/25/37 (i) (r)		462		222
Ford Credit Auto Owner Trust, 2.73%, 05/15/13 (i)		2,072		2,081
Fosse Master Issuer Plc REMIC, 1.65%, 10/18/54 (i) (r)		8,100		8,076
Gallatin Funding Ltd., 0.54%, 08/15/17 (i) (r)		1,200		1,146
GE Capital Commercial Mortgage Corp. REMIC, 4.71%, 05/10/43		63		63
GMAC Commercial Mortgage Securities In REMIC, 5.24%, 11/10/45 (i)		2,000		2,126
Granite Master Issuer Plc
0.27%, 12/20/54 (i)		1,037		982
0.32%, 12/20/54 (i)		225		212
0.33%, 12/20/54 (i)		315		297
Granite Mortgages Plc, 1.30%, 09/20/44 (i), GBP		978		1,450
Greenwich Capital Commercial Funding Corp. REMIC, 5.44%, 03/10/39		4,000		4,148
GS Mortgage Securities Corp. REMIC, 4.59%, 08/12/43 (r)		4,300		4,456
GS Mortgage Securities Corp. II
1.14%, 03/06/20 (i) (r)		398		395
1.32%, 03/06/20 (i) (r)		3,100		3,079
GSR Mortgage Loan Trust REMIC, 3.00%, 01/25/35 (i)		497		419
Harborview Mortgage Loan Trust REMIC, 2.68%, 04/19/34 (i)		710		645


	Shares/Par (p)		Value
Harvest CLO SA, 2.23%, 03/29/17 (i), EUR		362		464
Hillmark Funding, 0.55%, 05/21/21 (i) (r)		9,000		8,345
Holmes Master Issuer Plc, 2.68%, 10/15/54 (i) (r), EUR		9,600		12,776
HSBC Home Equity Loan Trust REMIC, 0.38%, 03/20/36 (i)		1,609		1,477
HSI Asset Securitization Corp. REMIC, 0.29%, 05/25/37 (i)		50		50
Indymac Index Mortgage Loan Trust REMIC
2.62%, 03/25/35 (i)		1,113		948
5.07%, 11/25/35 (i)		1,462		1,154
Indymac Residential Asset Backed Trust REMIC, 0.36%, 04/25/37 (i)		32		32
JPMorgan Mortgage Trust REMIC
2.73%, 08/25/35 (i)		772		557
2.79%, 08/25/35 (i)		551		460
5.38%, 09/25/35 (i)		194		175
5.31%, 07/27/37 (r)		1,231		940
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC
2.81%, 07/25/35 (i)		489		437
5.79%, 02/12/51 (i)		4,000		4,312
Katonah Ltd., 0.67%, 09/20/16 (i) (r)		2,581		2,513
Landmark CDO Ltd., 0.63%, 06/01/17 (i) (r)		4,130		3,946
LB-UBS Commercial Mortgage Trust REMIC, 5.42%, 02/15/40		6,200		6,544
Lehman Brothers Mortgage Loan Trust REMIC, 0.32%, 06/25/37 (i) (r)		433		136
MAGI Advisors LLC, 1.83%, 04/11/21 (r), EUR		1,487		1,848
MASTR Adjustable Rate Mortgages Trust REMIC, 2.43%, 12/25/33 (i)		1,194		1,030
MASTR Asset Backed Securities Trust REMIC, 0.31%, 05/25/37 (i)		182		163
Merrill Lynch First Franklin Mortgage Loan Trust REMIC, 0.29%, 07/25/37 (i)		42		41
Merrill Lynch Mortgage Investors Inc. REMIC
2.28%, 02/25/33 (i)		271		236
2.49%, 02/25/34 (i)		550		508
MLCC Mortgage Investors Inc. REMIC, 2.42%, 10/25/35 (i)		706		585
Morgan Stanley Capital I
6.08%, 06/11/49 (i)		3,200		3,393
REMIC, 0.29%, 05/25/37 (i)		240		204
Nationstar Home Equity Loan Trust REMIC, 0.29%, 06/25/37 (i)		101		99
Nautique Funding Ltd., 0.50%, 04/15/20 (i) (r)		481		443
Navigare Funding CLO Ltd., 0.56%, 05/20/19 (i) (r)		479		458
NCUA Guaranteed Notes REMIC
0.69%, 10/07/20 (i)		3,851		3,857
0.80%, 12/08/20 (i)		4,572		4,600
Nelnet Student Loan Trust, 0.95%, 07/25/18 (i)		866		869
NYLIM Flatiron CLO Ltd., 0.49%, 08/08/20 (i) (r)		500		464
Penta CLO SA, 1.93%, 06/04/24 (i), EUR		2,614		3,124
Permanent Master Issuer Plc, 2.91%, 07/15/42 (i) (r), EUR		900		1,202
Provident Funding Mortgage Loan Trust REMIC, 2.60%, 08/25/33 (i)		398		390
RBSCF Trust REMIC
6.21%, 08/16/17 (i) (r)		1,700		1,877
5.70%, 09/16/40 (i) (r)		4,000		4,391
Residential Asset Securities Corp. REMIC, 0.34%, 02/25/30 (i)		40		40
Residential Asset Securitization Trust REMIC, 5.50%, 06/25/33		191		194


	Shares/Par (p)		Value
Sequoia Mortgage Trust REMIC, 0.43%, 07/20/36 (i)		1,773		1,376
SLM Student Loan Trust
4.50%, 12/15/16 (i) (r)		5,917		5,655
0.70%, 01/25/17 (i)		3,100		3,095
0.36%, 04/25/17 (i)		170		170
1.88%, 12/15/17 (i) (r)		1,774		1,780
1.75%, 04/25/23 (i)		8,817		9,056
1.69%, 10/25/23 (i), EUR		2,700		3,304
2.35%, 04/15/39 (i) (r)		3,645		3,681
REMIC, 0.29%, 04/25/19 (i)		6,300		6,076
REMIC, 6.23%, 07/15/42 (i) (r)		4,919		4,611
Structured Adjustable Rate Mortgage Loan Trust REMIC
2.49%, 02/25/34 (i)		888		803
5.50%, 12/25/34 (i)		1,048		937
Structured Asset Mortgage Investments Inc. REMIC, 0.89%, 10/19/34 (i)		44		36
Structured Asset Securities Corp. REMIC, 0.37%, 05/25/47 (i)		1,900		1,264
Swan, 6.10%, 04/25/41 (i), AUD		656		636
Symphony CLO Ltd., 0.53%, 05/15/19 (i) (r)		2,200		2,058
TBW Mortgage Backed Pass-Through Certificates REMIC, 5.97%, 09/25/36 (i)		485		97
Thornburg Mortgage Securities Trust REMIC
0.33%, 03/25/37 (i)		1,437		1,408
0.33%, 03/25/37 (i)		716		700
Vornado DP LLC, 4.00%, 09/13/20 (r)		4,600		4,613
Wachovia Bank Commercial Mortgage Trust REMIC
0.31%, 06/15/20 (i) (r)		865		759
0.32%, 09/15/21 (i) (r)		3,074		2,966
5.09%, 08/15/41 (i)		1,000		1,061
WaMu Mortgage Pass-Through Certificates REMIC, 5.54%, 08/25/35 (i)		497		420
Washington Mutual Alternative Mortgage Pass- Through Certificates REMIC, 5.18%, 12/25/35 (i)		447		380
Washington Mutual Mortgage Pass-Through Certificates REMIC
2.25%, 03/25/33 (i)		166		152
2.58%, 06/25/33 (i)		552		527
2.55%, 09/25/33 (i)		602		573
1.24%, 08/25/46 (i)		6,258		3,939
1.01%, 05/25/47 (i)		724		434
Wells Fargo Mortgage Backed Securities Trust REMIC
4.93%, 12/25/34 (i)		563		511
2.77%, 04/25/36 (i)		1,975		1,592
Wind River CLO Ltd., 0.68%, 12/19/16 (i) (r)		712		681
Wood Street CLO BV, 1.99%, 03/29/21 (i) (r), EUR		591		747

Total Non-U.S. Government Agency Asset- Backed Securities (cost $334,426)				322,169

CORPORATE BONDS AND NOTES - 24.7%
CONSUMER DISCRETIONARY - 0.7%
Macy’s Retail Holdings Inc., 7.45%, 07/15/17 (e)		400		472
Videotron Ltee, 6.88%, 01/15/14 (e)		848		848
Volkswagen International Finance NV, 0.82%, 10/01/12 (i) (r)		15,500		15,528

				16,848


	Shares/Par (p)		Value
CONSUMER STAPLES - 0.8%
Wesfarmers Ltd., 2.98%, 05/18/16 (r)		18,700		18,930
ENERGY - 0.7%
Gaz Capital SA, 7.34%, 04/11/13 (r)		300		308
Gazprom Via Gaz Capital SA, 5.09%, 11/29/15 (e) (r)		1,600		1,568
Kinder Morgan Energy Partners LP, 5.70%, 01/05/16 (e)		5,000		5,012
Petrobras International Finance Co., 3.88%, 01/27/16		8,200		8,134
Petroleos Mexicanos
5.50%, 01/21/21 (e)		1,200		1,260
6.50%, 06/02/41 (e) (r)		1,500		1,553

				17,835
FINANCIALS - 21.4%
ABN Amro Bank NV, 2.02%, 01/30/14 (e) (i) (r)		8,600		8,193
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (r)		4,000		4,229
AGFS Funding Co. Term Loan, 5.50%, 05/28/17 (i)		9,800		8,467
Ally Financial Inc.
3.48%, 02/11/14 (i)		11,800		10,844
3.75%, 06/20/14 (e) (i)		700		639
8.30%, 02/12/15		1,500		1,483
American Express Bank FSB, 0.37%, 05/29/12 (i)		800		797
American International Group Inc.
0.36%, 10/18/11 (i)		1,000		999
5.05%, 10/01/15		1,200		1,174
5.85%, 01/16/18		1,100		1,090
8.25%, 08/15/18		1,000		1,108
8.18%, 05/15/58 (e) (i)		4,700		4,148
ANZ National International Ltd.
6.20%, 07/19/13 (r)		2,000		2,136
0.74%, 08/19/14 (i) (r)		2,000		2,011
Australia & New Zealand Banking Group Ltd., 0.63%, 06/18/12 (i) (r)		5,000		5,003
Banco Mercantil del Norte SA, 4.38%, 07/19/15 (r)		3,900		3,880
Banco Santander Brazil SA
0.00%,12/28/11 (j) (r)		600		597
2.45%, 03/18/14 (i) (r)		4,900		4,739
Bank of America Corp., 5.38%, 06/15/14 (e)		600		595
Bank of Montreal, 2.85%, 06/09/15 (e) (r)		5,500		5,805
Barclays Bank Plc
7.43% (callable at 100 beginning 12/15/17) (m)		200		164
6.05%, 12/04/17 (r)		2,000		1,836
BBVA Bancomer SA, 6.50%, 03/10/21 (e) (r)		6,300		5,812
BPCE SA, 2.38%, 10/04/13 (e) (r)		2,700		2,628
Citigroup Inc.
5.25%, 02/27/12		1,300		1,318
5.30%, 10/17/12		1,000		1,025
1.14%, 02/15/13 (e) (i)		29,100		28,690
5.50%, 04/11/13		1,200		1,235
7.38%, 06/16/14, EUR		3,600		5,102
0.55%, 11/05/14 (e) (i)		800		738
Commonwealth Bank of Australia
0.81%, 07/12/13 (i) (r)		14,700		14,693
0.86%, 06/25/14 (e) (i) (r)		3,800		3,824
0.63%, 09/17/14 (i) (r)		3,800		3,802
Countrywide Financial Corp., 5.80%, 06/07/12 (e)		7,000		7,020
Credit Suisse New York, 1.21%, 01/14/14 (i)		20,000		19,623


	Shares/Par (p)		Value
DanFin Funding Ltd., 0.95%, 07/16/13 (i) (r)		5,800		5,798
Dexia Credit Local
0.73%, 03/05/13 (i) (r)		3,100		3,092
0.73%, 04/29/14 (i) (r)		18,700		17,611
FIH Erhvervsbank A/S, 2.00%, 06/12/13 (e) (r)		800		818
Ford Motor Credit Co. LLC
7.25%, 10/25/11		3,150		3,155
7.80%, 06/01/12 (e)		4,350		4,458
7.50%, 08/01/12		3,300		3,366
7.00%, 10/01/13 (e)		3,800		3,990
8.00%, 06/01/14 (e)		900		954
General Electric Capital Corp.
0.35%, 09/21/12 (i)		15,200		15,203
0.35%, 12/21/12 (e) (i)		34,600		34,632
Goldman Sachs Group Inc., 1.84%, 11/15/14 (i), EUR		3,200		3,860
HSBC Finance Corp.
0.60%, 07/19/12 (e) (i)		1,200		1,189
1.81%, 04/05/13 (i), EUR		2,600		3,383
ING Bank NV
1.02%, 01/13/12 (i) (r)		7,700		7,698
1.57%, 10/18/13 (i) (r)		4,100		4,020
1.74%, 06/09/14 (e) (i) (r)		19,500		19,168
International Lease Finance Corp.
6.38%, 03/25/13 (e)		700		681
5.63%, 09/20/13 (e)		1,100		1,056
6.63%, 11/15/13		500		485
6.50%, 09/01/14 (e) (r)		1,000		1,000
6.75%, 09/01/16 (r)		900		902
7.13%, 09/01/18 (r)		1,700		1,706
LeasePlan Corp. NV, 3.00%, 05/07/12 (r)		5,300		5,373
Lehman Brothers Holdings Inc.
6.20%, 09/26/14 (c) (d)		200		48
6.88%, 05/02/18 (c) (d)		1,200		292
7.00%, 09/27/27 (c) (d)		100		24
Macquarie Bank Ltd.
2.60%, 01/20/12 (r)		900		906
4.10%, 12/17/13		27,200		29,156
Magnolia Funding Ltd., 3.00%, 04/20/17 (r), EUR		547		732
Marsh & McLennan Cos. Inc., 5.75%, 09/15/15		184		205
Merrill Lynch & Co. Inc.
0.56%, 06/05/12 (i)		1,000		961
6.05%, 08/15/12		16,100		16,248
2.29%, 09/27/12 (i), EUR		600		778
1.87%, 01/31/14 (i), EUR		2,200		2,605
5.45%, 07/15/14		200		196
Morgan Stanley
1.18%, 12/01/11 (i)		2,000		2,003
1.87%, 03/01/13 (i), EUR		2,100		2,659
2.79%, 05/14/13 (i)		2,600		2,514
1.84%, 11/29/13 (i), EUR		6,300		7,703
0.69%, 01/09/14 (i)		5,300		4,805
0.73%, 10/15/15 (i)		1,000		844
0.70%, 10/18/16 (i)		1,000		779
National Australia Bank Ltd.
5.35%, 06/12/13 (r)		1,700		1,797
0.89%, 07/08/14 (i) (r)		1,900		1,908
NIBC Bank NV, 2.80%, 12/02/14 (e) (r)		15,100		15,819
Nordea Bank AB, 1.15%, 01/14/14 (i) (r)		16,600		16,468
Pacific Life Global Funding, 5.15%, 04/15/13 (r)		500		522
Pearson Dollar Finance Plc, 5.70%, 06/01/14 (e) (r)		1,000		1,100
Racers Trust, 0.62%, 07/25/17 (f) (i) (r)		989		967
Royal Bank of Scotland Plc 1.45%, 10/20/11 (r)		15,300		15,309


	Shares/Par (p)		Value
3.00%, 12/09/11 (r)		1,600		1,608
0.58%, 03/30/12 (i) (r)		18,800		18,811
1.15%, 04/23/12 (i)		400		402
2.72%, 08/23/13 (i)		19,700		19,634
Santander US Debt SA Unipersonal, 1.17%, 03/30/12 (e) (i) (r)		12,700		12,607
SLM Corp.
0.48%, 10/25/11 (i)		1,400		1,398
5.38%, 01/15/13		400		400
5.05%, 11/14/14		600		579
Svenska Handelsbanken AB, 1.34%, 09/14/12 (i) (r)		4,300		4,330
Toronto-Dominion Bank, 1.63%, 09/14/16 (e) (r)		200		199
TransCapitalInvest Ltd., 7.70%, 08/07/13 (r)		1,500		1,591
Turkiye Garanti Bankasi AS, 2.75%, 04/20/16 (i) (r)		1,100		990
UBS AG Stamford -, 2.25%, 08/12/13		7,100		6,973
Wachovia Bank NA, 0.64%, 11/03/14 (i)		500		470
Wachovia Corp., 1.69%, 02/13/14 (i), EUR		3,200		4,136
Wells Fargo & Co., 7.98%, (callable at 100 beginning 03/15/18) (e) (m)		1,300		1,339
Wells Fargo Capital XIII, 7.70%, (callable at 100 beginning 03/26/13) (m)		800		800
Westpac Banking Corp.
1.10%, 03/31/14 (e) (i) (r)		10,100		10,132
3.59%, 08/14/14 (r)		4,400		4,698
0.62%, 09/10/14 (i) (r)		700		705
Westpac Securities NZ Ltd., 2.50%, 05/25/12 (r)		2,700		2,731

				530,926
HEALTH CARE - 0.2%
HCA Inc., 7.25%, 09/15/20		4,700		4,747
INDUSTRIALS - 0.0%
GATX Financial Corp., 5.80%, 03/01/16		1,000		1,071
INFORMATION TECHNOLOGY - 0.2%
Seagate Technology Inc., 6.38%, 10/01/11 (e)		5,000		5,000
MATERIALS - 0.1%
Dow Chemical Co., 4.85%, 08/15/12 (e)		1,000		1,030
Rexam Plc, 6.75%, 06/01/13 (r)		700		749

				1,779
TELECOMMUNICATION SERVICES - 0.4%
TDC A/S, 3.50%, 02/23/15, EUR		3,200		4,367
Telefonica Emisiones SAU, 0.59%, 02/04/13 (i)		4,641		4,463

				8,830
UTILITIES - 0.2%
NRG Energy Inc. Term Loan, 2.51%, 05/05/18 (i)		5,000		4,879

Total Corporate Bonds and Notes (cost $617,530)				610,845

GOVERNMENT AND AGENCY OBLIGATIONS - 100.3%
GOVERNMENT SECURITIES - 98.8%
Federal Home Loan Mortgage Corp. - 1.3% (v)
Federal Home Loan Mortgage Corp., 0.19%, 03/21/13 (i)		31,300		31,292
Federal National Mortgage Association - 1.2% (v)
Federal National Mortgage Association
0.75%, 12/18/13		21,300		21,394
1.25%, 03/14/14		7,100		7,217
5.38%, 04/11/22		1,100		1,125


	Shares/Par (p)		Value
6.28%, 06/15/27		1,000		1,011

				30,747
Municipals - 0.3%
Illinois Student Assistance Commission, 0.73%, 04/25/17 (i)		952		949
North Carolina State Education Assistance Authority, 0.71%, 10/26/20		5,100		5,090
Tobacco Settlement Authority of West Virgina, 7.47%, 06/01/47		475		345
Tobacco Settlement Financing Corp., 4.75%, 06/01/34		1,000		650
Tobacco Settlement Funding Corp., 5.00%, 06/01/41		200		129

				7,163
Sovereign - 3.1%
Australia Government Bond
3.00%, 09/20/25, AUD		14,300		16,788
2.50%, 09/20/30, AUD		1,900		2,061
Canadian Government Bond
2.75%, 09/01/16, CAD		6,500		6,601
4.25%, 12/01/21, CAD		144		193
Instituto de Credito Oficial, 3.29%, 03/25/14 (i) (r), EUR		12,800		16,486
New South Wales Treasury Corp., 2.75%, 11/20/25, AUD		6,100		6,863
Societe Financement de l’Economie Francaise
2.13%, 01/30/12 (e) (r)		400		402
0.45%, 07/16/12 (i) (r)		10,600		10,617
United Kingdom Treasury Bond, 4.75%, 12/07/30, GBP		8,300		15,746

				75,757
Treasury Inflation Index Securities - 91.9%
Australian Government Treasury Inflation Indexed Bond, 4.00%, 08/20/20 (s), AUD		12,300		21,192
Italy Buoni Poliennali Del Tesoro Inflation Indexed Note
2.10%, 09/15/16 - 09/15/21 (n), EUR		30,374		34,964
2.60%, 09/15/23 (n), EUR		3,273		3,550
U.S. Treasury Inflation Indexed Note
2.38%, 10/04/11 - 01/15/25 , TBA (g) (n)		151,528		189,248
2.13%, 10/12/11 - 10/12/11 , TBA (g) (n)		94,277		120,395
0.13%, 10/13/11 (n) (o)		48,465		50,074
0.13%, 10/13/11 - 04/15/16 (n)		70,046		72,371
0.63%, 10/31/11 - 07/15/21 (n)		85,894		89,651
1.38%, 10/31/11, TBA (g) (n) (o)		71,583		79,686
1.38%, 10/31/11 (n)		11,142		12,403
1.75%, 10/31/11 (n) (o)		24,437		28,309
1.75%, 10/31/11 (n)		11,992		13,892
2.50%, 12/01/11, TBA (g) (n)		27,625		35,466
2.50%, 12/01/11 - 01/15/29 (n)		67,572		86,526
3.38%, 01/15/12 (n) (o)		16,795		16,935
3.38%, 01/15/12, TBA (g) (n)		50,661		51,085
2.00%, 04/15/12 - 01/15/26 , TBA (g) (n)		147,218		164,502
2.00%, 04/15/12 - 01/15/26 (n)		162,037		167,349
3.00%, 07/15/12 , TBA (g) (n) (o)		58,240		59,878
0.63%, 04/15/13 (n) (o)		26,401		26,888
0.63%, 04/15/13 - 07/15/21 , TBA (g) (n)		28,810		29,529
1.88%, 07/15/13 - 07/15/13 , TBA (g) (n)		11,443		11,978
1.88%, 07/15/13 - 07/15/19 (n)		153,367		162,815
1.25%, 04/15/14 - 07/15/20 (n)		47,247		51,553
1.25%, 04/15/14, TBA (g) (n)		32,467		34,017
1.63%, 01/15/15, TBA (g) (n) (o)		44,625		48,021
1.63%, 01/15/15, (n)		19,170		20,628
0.50%, 04/15/15 (n)		43,994		45,777
2.00%, 01/15/16 – 01/15/26 (n) (o)		31.132		35,880


	Shares/Par (p)		Value
0.13%, 04/15/16, TBA (g) (n)		32,460		33,538
2.63%, 07/15/17 (n)		33,247		39,177
1.63%, 01/15/18 (n) (o)		20,490		22,924
1.63%, 01/15/18, TBA (g) (n)		43,267		48,408
0.01%, 01/15/21 (n)		2,014		2,198
2.38%, 01/15/25 - 01/15/25 (n)		73,002		90,175
1.75%, 01/15/28, TBA (g) (n)		35,927		41,619
3.63%, 04/15/28, TBA (g) (n) (o)		38,174		54,904
3.63%, 04/15/28, TBA (g) (n)		36,561		52,585
3.88%, 04/15/29 (n)		23,775		35,772
3.88%, 04/15/29, TBA (g) (n)		33,709		50,719
2.13%, 02/15/40 (n)		36,636		46,485
United Kingdom Inflation Linked Treasury Bond, 1.88%, 11/22/22 (n), GBP		5,820		11,229

				2,274,418
U.S. Treasury Securities - 1.0%
U.S. Treasury Note
1.50%, 08/31/18		21,500		21,604
3.13%, 05/15/21, TBA (g)		24,900		27,637

				49,241
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 1.5%
Federal Home Loan Mortgage Corp. - 0.4%
Federal Home Loan Mortgage Corp.
2.11%, 07/01/36 (i)		517		543
2.26%, 09/01/36 (i)		494		519
2.60%, 10/01/36 (i)		444		471
REMIC, 0.68%, 08/15/33 (i)		7,587		7,561
REMIC, 1.45%, 10/25/44 - 02/25/45 (i)		1,222		1,219

Federal National Mortgage Association - 0.7%				10,313
Federal National Mortgage Association
4.50%, 04/01/23 - 04/01/24		7,975		8,503
2.34%, 11/01/35 (i)		153		159
5.61%, 03/01/36 (i)		320		342
5.82%, 06/01/36 (i)		128		139
REMIC, 5.00%, 02/25/17		49		49
REMIC, 1.03%, 02/25/36 (i)		255		255
REMIC, 0.29%, 07/25/37 (i)		463		444
REMIC, 0.91%, 02/25/41 (i)		7,775		7,795

				17,686
Government National Mortgage Association - 0.3%
Government National Mortgage Association REMIC, 0.53%, 03/20/37 (i)		7,029		7,002
Small Business Administration Participation Certificates - 0.1%
Small Business Administration Participation Certificates, 5.29%, 12/01/27		1,321		1,460

Total Government and Agency Obligations (cost $2,505,642)				2,505,079

PREFERRED STOCKS - 0.0%
FINANCIALS - 0.0%
Wells Fargo & Co., Convertible Preferred, 7.50%, Series L (m)		1		517

Total Preferred Stocks (cost $500)				517

SHORT TERM INVESTMENTS - 32.4%
Certificates of Deposit - 1.1%
Banco do Brasil NY, 1.31%, 11/15/11	$	3,300		3,304
BNP Paribas SF, 0.68%, 03/02/12 (i)		6,900		6,902
Itau Unibanco NY, 1.69%, 03/02/12		17,800		17,693

				27,899


	Shares/Par (p)		Value
Federal Home Loan Bank - 1.6% (v)
Federal Home Loan Bank, 0.09%, 03/23/12		39,200		39,194
Federal Home Loan Mortgage Corp. - 20.5% (v)
Federal Home Loan Mortgage Corp., 0.09%, 03/21/12 - 03/28/12		507,600		507,527

				507,527
Federal National Mortgage Association - 2.0% (v)
Federal National Mortgage Association
0.04%, 01/06/12 - 01/17/12		40,000		39,998
0.09%, 03/28/12		8,500		8,499

				48,497
Investment Company - 0.2%
JNL Money Market Fund, 0.02% (a) (h)		5,476		5,476
Securities Lending Collateral - 3.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		84,603		84,603
Treasury Securities - 3.6%
Japan Treasury Bill, 0.00%10/31/11, JPY		6,710,000		86,988
U.S. Treasury Bill, 0.02%, 03/22/12	$	960		960

				87,948

Total Short Term Investments (cost $799,996)				801,144

Total Investments - 171.3% (cost $4,258,095)				4,239,754
Total Forward Sales Commitments - (1.0)% (proceeds $24,929)				(24,529	)
Other Assets and Liabilities, Net - (70.3%) (o)				(1,740,798	)

Total Net Assets - 100.0%			$	2,474,427

FORWARD SALES COMMITMENTS - 1.0%
GOVERNMENT AND AGENCY OBLIGATIONS - 1.0%
GOVERNMENT SECURITIES - 1.0%
U.S. Treasury Securities - 1.0%
U.S. Treasury Note, 3.13%, 05/15/21 , TBA (g) $		22,100	$	24,529

Total Forward Sales Commitments - 1.0% (proceeds $24,929)			$	24,529

JNL/PIMCO Total Return Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 6.0%
Access Group Inc., 1.55%, 10/27/25 (i)	$	6,398	$	6,442
American Home Mortgage Investment Trust REMIC, 2.22%, 02/25/45 (i)		334		266
Amortizing Residential Collateral Trust REMIC, 0.81%, 07/25/32 (i)		15		13
Arran Residential Mortgages Funding Plc
2.49%, 05/16/47 (r), EUR		4,800		6,405
2.74%, 05/16/47 (i) (r), EUR		1,437		1,923
Asset Backed Securities Corp. Home Equity REMIC, 0.51%, 09/25/34 (i)		294		256
Banc of America Commercial Mortgage Inc. REMIC
5.92%, 05/10/45 (i)		2,000		2,192
5.80%, 06/10/49 (i)		2,830		2,976
Banc of America Funding Corp. REMIC, 2.72%, 05/25/35 (i)		442		439


	Shares/Par (p)		Value
Banc of America Large Loan Inc. REMIC, 1.98%, 11/15/13 (i) (r)		2,319		2,066
Banc of America Mortgage Securities Inc. REMIC
6.50%, 10/25/31		43		44
6.50%, 09/25/33		26		27
BCAP LLC
5.25%, 02/25/36 (r)		3,321		3,317
5.76%, 03/25/37 (r)		500		379
5.25%, 05/25/37 (r)		12,966		10,664
5.25%, 08/25/37 (r)		7,800		7,675
Bear Stearns Adjustable Rate Mortgage REMIC
3.11%, 11/25/30 (i)		3		2
2.77%, 02/25/33 (i)		13		10
5.68%, 02/25/33 (i)		11		11
2.73%, 04/25/33 (i)		70		61
2.96%, 01/25/34 (i)		277		256
Bear Stearns Adjustable Rate Mortgage Trust REMIC
2.74%, 11/25/34 (i)		1,343		1,059
3.28%, 11/25/34 (i)		390		363
2.73%, 03/25/35 (i)		3,179		2,996
Bear Stearns Alt-A Trust REMIC
2.60%, 05/25/35 (i)		652		476
2.77%, 09/25/35 (i)		414		279
Bear Stearns Asset Backed Securities Trust REMIC, 0.48%, 04/25/37 (i)		5,300		1,562
Bear Stearns CMBS REMIC, 5.47%, 01/12/45 (i)		700		769
Bear Stearns Commercial Mortgage Securities Inc. REMIC, 5.33%, 02/11/44		300		309
Bear Stearns Structured Products Inc. REMIC
2.57%, 01/26/36 (i)		1,208		719
4.72%, 12/26/46 (i)		677		411
Chase Issuance Trust, 1.85%, 09/15/15 (i)		12,800		13,150
Chase Mortgage Finance Corp. REMIC, 5.37%, 12/25/35 (i)		6,450		5,892
Citigroup Mortgage Loan Trust Inc. REMIC
2.50%, 12/25/35 (i)		176		150
0.29%, 08/25/45 (i)		1,279		956
Commercial Mortgage Pass-Through
Certificates REMIC, 5.31%, 12/10/46		2,100		2,204
Countrywide Alternative Loan Trust REMIC, 0.41%, 05/25/47 (i)		823		448
Countrywide Home Loan Mortgage Pass-Through Trust REMIC
3.03%, 11/25/34 (i)		954		718
2.77%, 02/20/35 (i)		1,623		1,255
5.75%, 12/25/35		9,419		8,188
2.59%, 02/20/36 (i)		226		168
Credit Suisse Mortgage Capital Certificates REMIC
5.82%, 03/15/39 (i)		200		209
5.70%, 09/15/40 (i)		7,800		8,310
CS First Boston Mortgage Securities Corp. REMIC, 0.80%, 03/25/32 (i) (r)		22		18
CVS Pass-Through Trust, 6.94%, 01/10/30		368		413
Equity One ABS Inc., 0.79%, 11/25/32 (i)		150		125
European Loan Conduit, 1.69%, 05/15/19 (i), EUR		301		331
First American Alternative Mortgage Securities REMIC, 2.25%, 09/25/35 (i)		506		332
First Horizon Asset Securities Inc. REMIC
2.65%, 10/25/35 (i)		3,167		2,513
5.69%, 02/25/36 (i)		3,731		3,249
Galaxy CLO Ltd., 0.53%, 04/17/17 (i) (r)		4,198		4,060


	Shares/Par (p)		Value
Granite Master Issuer Plc
0.32%, 12/17/54 (i)		2,610		2,460
0.33%, 12/20/54 (e) (i)		14,805		13,954
1.46%, 12/20/54 (i), EUR		5,445		6,912
REMIC, 0.37%, 12/20/54 (i) (r)		1,193		1,124
GreenPoint Mortgage Funding Trust REMIC,
0.31%, 01/25/47 (i)		127		120
Greenwich Capital Commercial Funding Corp. REMIC
5.44%, 03/10/39		1,000		1,037
4.80%, 08/10/42 (i)		100		105
GS Mortgage Securities Corp. II, 1.14%, 03/06/20 (i) (r)		1,562		1,552
GSR Mortgage Loan Trust REMIC
2.74%, 09/25/35 (i)		2,047		1,878
5.15%, 11/25/35 (i)		941		857
Harborview Mortgage Loan Trust REMIC
0.45%, 05/19/35 (i)		182		111
2.76%, 07/19/35 (i)		836		561
HSBC Home Equity Loan Trust REMIC, 0.52%, 01/20/34 (i)		1,172		1,003
IndyMac ARM Trust REMIC, 1.82%, 01/25/32 (i)		1		—
IndyMac Index Mortgage Loan Trust REMIC, 2.44%, 01/25/36 (i)		840		470
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 4.07%, 09/15/20 (r)		4,600		4,504
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC
5.34%, 05/15/47		1,900		1,962
5.44%, 06/12/47		11,300		11,736
5.42%, 01/15/49		6,400		6,636
5.79%, 02/12/51 (i)		14,500		15,631
5.88%, 02/15/51 (i)		700		744
JPMorgan Mortgage Trust REMIC
5.02%, 02/25/35 (i)		297		282
5.75%, 01/25/36		392		369
Long Beach Mortgage Loan Trust REMIC, 0.79%, 10/25/34 (i)		34		25
MASTR Asset Backed Securities Trust REMIC
0.28%, 01/25/37 (i)		520		118
0.31%, 05/25/37 (i)		207		187
Mellon Residential Funding Corp. REMIC
2.61%, 10/20/29 (i)		169		150
0.71%, 06/15/30 (i)		338		311
Merrill Lynch Mortgage Investors Inc. REMIC
2.24%, 05/25/33 (i)		625		571
0.44%, 02/25/36 (i)		424		281
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC
6.17%, 07/12/17 (i)		10,700		11,245
5.49%, 03/12/51 (i)		1,500		1,539
Mid-State Trust REMIC, 8.33%, 04/01/30		8		8
MLCC Mortgage Investors Inc. REMIC
1.22%, 10/25/35 (i)		190		154
0.48%, 11/25/35 (i)		332		248
Morgan Stanley Asset-Backed Securities Capital I REMIC, 0.27%, 01/25/37 (i)		101		98
Morgan Stanley Capital I REMIC
0.29%, 10/15/20 (i) (r)		194		193
5.81%, 12/12/49 (e)		100		107
Morgan Stanley Re-REMIC Trust, 5.98%, 04/12/17 (i) (r)		800		872
Prime Mortgage Trust REMIC
0.63%, 02/25/19 (i)		7		6
0.63%, 02/25/34 (i)		62		58


	Shares/Par (p)		Value
RBSSP Resecuritization Trust, 0.48%, 02/26/37 (i) (r)		4,530		3,858
Securitized Asset Backed Receivables LLC Trust REMIC, 0.29%, 12/25/36 (i)		340		96
Sequoia Mortgage Trust REMIC, 0.58%, 10/19/26 (i)		63		54
SLM Student Loan Trust
0.55%, 01/25/15 (i)		127		127
2.88%, 12/16/19 (i) (r)		1,000		1,018
1.75%, 04/25/23 (i)		10,054		10,327
Structured Asset Mortgage Investments Inc. REMIC
0.89%, 09/19/32 (i)		69		57
0.48%, 07/19/35 (i)		822		685
0.36%, 03/25/37 (i)		1,525		806
Structured Asset Securities Corp. REMIC
2.66%, 02/25/32 (i)		2		2
0.81%, 01/25/33 (i)		9		8
Thornburg Mortgage Securities Trust REMIC, 0.34%, 12/25/36 (i)		519		517
Vendee Mortgage Trust REMIC, 6.50%, 09/15/24		508		596
Wachovia Bank Commercial Mortgage Trust REMIC
0.31%, 06/15/20 (i) (r)		1,545		1,355
0.32%, 09/15/21 (i) (r)		4,713		4,548
Washington Mutual Mortgage Pass-Through Certificates REMIC
2.02%, 02/25/31 (i)		1		1
1.64%, 08/25/42 (i)		157		130
1.44%, 11/25/42 (i)		90		73
0.52%, 10/25/45 (i)		179		137
Wells Fargo Mortgage Backed Securities Trust REMIC
4.80%, 01/25/35 (i)		837		772
2.73%, 03/25/36 (i)		6,265		5,015
2.73%, 03/25/36 (i)		875		718
2.75%, 04/25/36 (i)		4,777		3,770

Total Non-U.S. Government Agency Asset- Backed Securities (cost $232,128)				231,905

CORPORATE BONDS AND NOTES - 26.9%
CONSUMER DISCRETIONARY - 0.2%
Comcast Corp.
5.88%, 02/15/18		400		464
6.45%, 03/15/37		400		460
Daimler Finance North America LLC, 1.54%, 09/13/13 (i) (q)		2,200		2,200
Target Corp., 5.13%, 01/15/13		3,000		3,171
Volkswagen International Finance NV, 0.98%, 04/01/14 (i) (r)		400		401

				6,696
CONSUMER STAPLES - 0.5%
Altria Group Inc., 4.13%, 09/11/15		2,500		2,676
Anheuser-Busch Cos. Inc., 5.50%, 01/15/18 (e)		100		117
Campbell Soup Co., 4.50%, 02/15/19		6,800		7,456
Kraft Foods Inc.
2.63%, 05/08/13		3,000		3,062
6.13%, 02/01/18 (e)		1,400		1,643
6.88%, 02/01/38		600		757
Philip Morris International Inc., 5.65%, 05/16/18		1,200		1,418
Reynolds Group Issuer Inc., 6.88%, 02/15/21 (e) (r)		4,000		3,600

				20,729


	Shares/Par (p)		Value
ENERGY - 2.1%
El Paso Corp.
8.05%, 10/15/30 (e)		600		701
7.80%, 08/01/31		800		930
Gaz Capital SA
6.21%, 11/22/16 (e) (r)		300		302
9.25%, 04/23/19		7,900		9,164
Gazprom International SA, 7.20%, 02/01/20		91		95
Gazprom OAO, 9.63%, 03/01/13		200		211
Kinder Morgan Energy Partners LP, 5.95%, 02/15/18		6,400		7,284
Korea Hydro & Nuclear Power Co. Ltd., 6.25%, 06/17/14 (r)		3,300		3,562
Novatek Finance Ltd., 5.33%, 02/03/16 (r)		900		880
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 06/30/21 (e) (r)		1,000		990
Peabody Energy Corp., 7.88%, 11/01/26		500		545
Petrobras International Finance Co.
5.88%, 03/01/18 (e)		1,300		1,354
8.38%, 12/10/18 (e)		700		826
7.88%, 03/15/19		16,800		19,488
Petroleos Mexicanos
8.00%, 05/03/19 (e)		6,500		7,930
5.50%, 01/21/21 (e)		6,900		7,245
Petroleum Export Ltd. Term Loan 3.31%B, 12/20/12 (f) (i)		2,309		2,300
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.84%, 09/30/27 (r)		500		550
Total Capital SA, 4.45%, 06/24/20 (e)		1,000		1,118
Transocean Inc.
4.95%, 11/15/15		700		737
1.50%, 12/15/37 (e)		13,900		13,709

				79,921
FINANCIALS - 20.3%
AGFS Funding Co. Term Loan, 5.50%, 05/28/17 (i)		4,000		3,456
Allstate Life Global Funding Trust, 5.38%, 04/30/13		1,900		2,014
Ally Financial Inc.
6.88%, 08/28/12		2,400		2,445
7.50%, 12/31/13 (e)		10,000		10,150
3.48%, 02/11/14 (i)		700		643
4.50%, 02/11/14		100		92
8.30%, 02/12/15 (e)		5,800		5,735
6.25%, 12/01/17		5,000		4,356
7.50%, 09/15/20 (e)		1,900		1,719
8.00%, 11/01/31 (e)		10,000		8,775
American Express Bank FSB
5.50%, 04/16/13		2,700		2,850
6.00%, 09/13/17		300		337
American Express Centurion Bank, 6.00%, 09/13/17		300		337
American Express Co., 7.00%, 03/19/18 (e)		2,100		2,484
American General Finance Corp.
0.60%, 12/15/11 (e) (i)		10,300		10,165
4.88%, 07/15/12 (e)		500		467
American International Group Inc.
5.05%, 10/01/15		200		196
5.85%, 01/16/18		19,700		19,517
8.25%, 08/15/18		10,100		11,195
6.25%, 05/01/36 (e)		6,800		6,512
6.25%, 03/15/37 (i)		800		554
8.18%, 05/15/58 (e) (i)		4,400		3,883


	Shares/Par (p)		Value
ANZ National International Ltd., 6.20%, 07/19/13 (r)		2,200		2,349
Asciano Finance Ltd., 5.00%, 04/07/18 (r)		19,300		19,734
Australia & New Zealand Banking Group Ltd., 2.13%, 01/12/14 (r)		6,400		6,422
Banco Santander Brazil SA, 2.45%, 03/18/14 (i) (r)		4,100		3,966
Banco Santander Chile SA, 1.50%, 04/20/12 (i) (r)		4,500		4,503
Bank of America Corp.
4.50%, 04/01/15 (e)		3,400		3,222
6.50%, 08/01/16		10,500		10,427
6.00%, 09/01/17 (e)		1,700		1,636
5.65%, 05/01/18 (e)		9,300		8,831
Bank of America NA
0.63%, 06/15/16 (i)		700		542
6.00%, 10/15/36		600		548
Bank of China Hong Kong Ltd., 5.55%, 02/11/20 (e) (r)		800		800
Bank of India, 6.25%, 02/16/21		3,100		3,031
Bank of Montreal, 2.85%, 06/09/15 (e) (r)		1,800		1,900
Bank of Nova Scotia, 1.65%, 10/29/15 (e) (r)		2,200		2,216
Barclays Bank Plc
5.93% (callable at 100 beginning 12/15/16) (m) (r)		5,000		3,700
7.43% (callable at 100 beginning 12/15/17) (e) (m) (r)		15,000		12,300
5.45%, 09/12/12		10,700		10,968
2.38%, 01/13/14 (e)		5,200		5,086
5.00%, 09/22/16 (e)		10,600		10,624
6.05%, 12/04/17 (r)		1,600		1,469
BBVA Bancomer SA
4.50%, 03/10/16 (e) (r)		1,200		1,116
6.50%, 03/10/21 (r)		2,400		2,214
BNP Paribas, 5.19%, (callable at 100 beginning 06/29/15) (m) (r)		4,100		2,829
BPCE SA, 2.38%, 10/04/13 (e) (r)		900		876
Braskem Finance Ltd., 5.75%, 04/15/21 (e) (r)		4,100		3,742
Cemex 10 Capital SPV Ltd., 6.72%, (callable at 100 beginning 12/31/16) (e) (m) (r)		1,000		450
CIT Group Inc., 5.25%, 04/01/14 (r)		800		774
Citigroup Capital XXI, 8.30%, 12/21/57 (e) (i)		9,800		9,604
Citigroup Inc.
5.50%, 08/27/12		1,500		1,539
5.63%, 08/27/12 (e)		1,000		1,018
5.30%, 10/17/12		600		615
5.50%, 04/11/13		13,900		14,306
5.85%, 07/02/13		400		414
5.50%, 10/15/14		10,900		11,325
6.00%, 08/15/17 (e)		2,200		2,335
8.50%, 05/22/19		1,000		1,208
6.13%, 08/25/36 (e)		1,700		1,438
Countrywide Financial Corp., 5.80%, 06/07/12 (e)		2,300		2,307
Credit Agricole SA, 8.38%, (callable at 100 beginning 10/13/19) (m) (r)		15,500		12,206
Credit Suisse New York, 2.20%, 01/14/14		1,900		1,883
Dai-ichi Life Insurance Co. Ltd., 7.25%, (callable at 100 beginning 07/25/21) (e) (m) (r)		2,300		2,262
Deutsche Bank AG London, 6.00%, 09/01/17 (e)		2,900		3,195
Dexia Credit Local, 0.73%, 04/29/14 (i) (r)		8,300		7,817
Enel Finance International SA, 6.25%, 09/15/17 (e) (r)		4,700		4,747


	Shares/Par (p)		Value
Export-Import Bank of Korea
1.05%, 03/03/12 (r), SGD		5,600		4,281
5.88%, 01/14/15		9,700		10,314
5.13%, 06/29/20		1,400		1,419
FCE Bank Plc, 7.13%, 01/16/12, EUR		4,000		5,372
Fibria Overseas Finance Ltd., 7.50%, 05/04/20 (r)		7,400		6,956
Fifth Third Bancorp, 8.25%, 03/01/38 (e)		10,200		12,202
FIH Erhvervsbank A/S, 0.71%, 06/13/13 (i) (r)		31,900		31,878
Ford Motor Credit Co. LLC
7.50%, 08/01/12 (e)		2,800		2,856
7.00%, 10/01/13 (e)		500		525
7.00%, 04/15/15 (e)		1,900		1,995
5.63%, 09/15/15 (e)		3,900		3,923
5.88%, 08/02/21 (e)		300		298
Fortis Bank Nederland Holding, 3.00%, 04/17/12, EUR		500		677
Gazprom - White Nights
10.50%, 03/08/14		1,000		1,117
10.50%, 03/25/14		300		335
General Electric Capital Corp.
5.50%, 09/15/67 (r), EUR		6,100		6,538
6.38%, 11/15/67 (e) (i)		3,200		3,008
Goldman Sachs Group Inc.
1.91%, 02/04/13 (i), EUR		20,300		25,983
1.88%, 05/23/16 (i), EUR		1,800		2,048
5.63%, 01/15/17 (e)		900		873
6.25%, 09/01/17 (e)		4,400		4,583
5.95%, 01/18/18 (e)		1,200		1,235
6.15%, 04/01/18		600		622
6.75%, 10/01/37		6,300		5,763
HBOS Capital Funding LP, 6.46%, (callable at 100 beginning 11/30/18) (m), GBP		5,700		5,022
HSBC Bank Plc, 2.00%, 01/19/14 (r)		2,000		1,989
HSBC Holdings Plc
5.10%, 04/05/21		29,900		31,849
6.50%, 05/02/36		500		502
6.50%, 09/15/37 (e)		700		687
ICICI Bank Ltd., 4.75%, 11/25/16 (r)		13,600		13,002
ING Bank NV, 1.17%, 03/30/12 (e) (i) (r)		21,700		21,673
International Lease Finance Corp.
5.55%, 09/05/12 (e)		4,200		4,132
5.75%, 05/15/16 (e)		700		622
6.75%, 09/01/16 (r)		1,900		1,905
JPMorgan Chase & Co.
7.90% (callable at 100 beginning 04/30/18) (m)		4,200		4,326
1.79%, 09/26/13 (i), EUR		100		131
3.15%, 07/05/16 (e)		3,500		3,477
6.00%, 01/15/18		1,200		1,336
JPMorgan Chase Bank NA, 6.00%, 10/01/17		4,100		4,310
JPMorgan Chase Capital XX, 6.55%, 09/29/36 (i)		300		303
Korea Development Bank, 8.00%, 01/23/14		1,200		1,333
Korea Housing Finance Corp., 4.13%, 12/15/15 (r)		2,900		2,976
Kreditanstalt fuer Wiederaufbau, 2.00%, 09/07/16, EUR		5,500		7,428
LBG Capital No.1 Plc
8.50% (callable at 100 beginning 12/17/21) (m) (r)		200		136
7.87%, 12/17/19, GBP		1,900		2,163
6.44%, 05/23/20, EUR		3,100		2,783
LBG Capital No.2 Plc
15.00%, 12/21/19, GBP		1,200		1,965
8.88%, 02/07/20, EUR		1,200		1,294


	Shares/Par (p)		Value
LeasePlan Corp. NV, 3.13%, 02/10/12, EUR		3,500		4,716
Lehman Brothers Holdings Inc.
0.00%,11/24/08 (c) (d)		4,800		1,110
0.00%,12/23/08 (c) (d)		200		46
0.00%,04/03/09 (c) (d)		600		139
0.00%,11/10/09 (c) (d)		900		208
0.00%,11/16/09 (c) (d)		400		92
0.00%,07/18/11 (c) (d)		1,100		254
5.63%, 01/24/13 (c) (d)		1,600		384
0.00%,06/15/13 (c) (d)		1,100		254
6.20%, 09/26/14 (c) (d)		1,700		410
6.88%, 05/02/18 (c) (d)		1,000		244
Lloyds TSB Bank Plc, 4.88%, 01/21/16 (e)		3,400		3,352
Macquarie Bank Ltd., 6.63%, 04/07/21 (r)		29,100		27,338
Merrill Lynch & Co. Inc.
6.05%, 08/15/12		600		606
6.40%, 08/28/17		1,900		1,842
MetLife Inc., 6.40%, 12/15/36 (e) (i)		500		443
Morgan Stanley
2.79%, 05/14/13 (i)		4,000		3,868
6.25%, 08/28/17		1,200		1,185
5.95%, 12/28/17		1,800		1,745
7.30%, 05/13/19		200		206
National Australia Bank Ltd.
5.35%, 06/12/13 (r)		1,900		2,008
1.20%, 07/25/14 (e) (i) (r)		2,300		2,326
Nationwide Building Society, 4.65%, 02/25/15 (e) (r)		3,500		3,533
Nationwide Life Global Funding I, 5.45%, 10/02/12 (e) (r)		16,200		16,725
Nordea Bank AB, 2.13%, 01/14/14 (e) (r)		900		893
Northern Rock Plc, 5.63%, 06/22/17 (e) (q)		16,000		16,899
Ohio National Financial Services Inc., 6.38%, 04/30/20 (r)		900		984
Pacific LifeCorp., 6.00%, 02/10/20 (e) (r)		900		962
Principal Life Income Funding Trusts, 5.30%, 04/24/13 (e)		1,700		1,802
RBS Capital Trust I, 4.71%, (callable at 100beginning 07/01/13) (m)		800		360
Resona Bank Ltd., 5.85%, (callable at 100beginning 04/15/16) (m) (r)		300		296
Royal Bank of Scotland Group Plc, 6.99%, (callable at 100 beginning 10/05/17) (e) (m) (r)		2,100		1,333
Royal Bank of Scotland Plc
2.63%, 05/11/12 (r)		2,100		2,127
4.88%, 08/25/14 (r)		400		403
3.95%, 09/21/15 (e)		500		470
2.47%, 01/28/16 (i), EUR		500		497
4.38%, 03/16/16		9,000		8,606
1.09%, 04/11/16 (i)		600		423
0.53%, 10/14/16 (i)		800		562
RZD Capital Ltd., 5.74%, 04/03/17		1,500		1,492
Santander Finance Preferred SA Unipersonal,
11.30%, (callable at 100 beginning 07/27/14) (m), GBP		700		1,015
Santander US Debt SA Unipersonal
1.17%, 03/30/12 (i) (r)		13,100		13,004
2.99%, 10/07/13 (r)		8,800		8,458
SLM Corp.
5.40%, 10/25/11		5,324		5,324
5.13%, 08/27/12		500		500
3.13%, 09/17/12, EUR		2,500		3,285
1.86%, 06/17/13 (i), EUR		1,250		1,577
6.25%, 01/25/16 (e)		100		98
8.45%, 06/15/18		3,400		3,537


	Shares/Par (p)		Value
8.00%, 03/25/20 (e)		1,100		1,086
5.63%, 08/01/33		800		637
Springleaf Finance Corp., 6.90%, 12/15/17 (e)		1,900		1,368
State Bank of India, 4.50%, 07/27/15 (e) (r)		2,500		2,502
State Street Capital Trust III, 5.34%, (callable at 100 beginning 03/15/13) (e) (m)		1,700		1,700
State Street Capital Trust IV, 1.35%, 06/15/37 (i)		200		137
Stone Street Trust, 5.90%, 12/15/15 (r)		7,000		7,252
Sumitomo Mitsui Banking Corp., 1.95%, 01/14/14 (e) (r)		6,000		6,040
Svenska Handelsbanken AB, 1.34%, 09/14/12 (i) (r)		17,000		17,117
Sydney Airport Finance Co. Pty Ltd., 5.13%, 02/22/21 (l) (r)		500		521
Temasek Financial I Ltd., 4.30%, 10/25/19 (e) (r)		1,800		1,916
TNK-BP Finance SA, 6.13%, 03/20/12 (r)		300		303
TransCapitalInvest Ltd., 8.70%, 08/07/18 (r)		800		926
UBS AG Stamford
1.40%, 02/23/12 (i)		1,600		1,600
1.25%, 01/28/14 (i)		1,000		988
5.88%, 12/20/17		1,200		1,235
UBS Preferred Funding Trust V, 6.24%, (callable at 100 beginning 05/15/16) (m)		10,000		7,425
USB Capital IX, 3.50%, (callable at 100 beginning 04/15/11) (m)		200		141
VEB Finance Ltd., 6.90%, 07/09/20 (r)		23,500		23,030
Vnesheconombank Via VEB Finance Ltd., 5.45%, 11/22/17 (r)		1,100		1,050
Wachovia Corp.
0.38%, 10/15/11 (i)		3,200		3,200
5.75%, 02/01/18 (e)		4,300		4,845
Wells Fargo & Co., 7.98%, (callable at 100 beginning 03/15/18) (e) (m)		2,400		2,472
Westpac Banking Corp.
0.73%, 07/16/14 (i) (r)		1,000		1,012
3.59%, 08/14/14 (r)		1,800		1,922
ZFS Finance USA Trust I, 5.88%, 05/09/32 (e) (i) (r)		175		173

				791,060
HEALTH CARE - 0.5%
Amgen Inc., 6.15%, 06/01/18		7,300		8,875
AstraZeneca Plc, 5.90%, 09/15/17		600		717
Novartis Capital Corp., 4.13%, 02/10/14		5,800		6,236
UnitedHealth Group Inc., 4.88%, 02/15/13		1,600		1,679

				17,507
INDUSTRIALS - 0.4%
CSN Islands XI Corp., 6.88%, 09/21/19 (e) (r)		700		737
CSN Resources SA, 6.50%, 07/21/20 (e) (r)		7,900		8,235
Noble Group Ltd.
4.88%, 08/05/15 (r)		1,000		920
6.75%, 01/29/20		2,600		2,288
Union Pacific Corp., 4.16%, 07/15/22 (e) (r)		3,500		3,735

				15,915
INFORMATION TECHNOLOGY - 0.7%
Dell Inc., 4.70%, 04/15/13		3,600		3,795
International Business Machines Corp., 5.70%, 09/14/17 (e)		13,200		15,705
Oracle Corp.
4.95%, 04/15/13		4,200		4,470
5.75%, 04/15/18 (e)		4,100		4,885

				28,855


	Shares/ Par (p)		Value
MATERIALS - 0.6%
Alcoa Inc., 6.15%, 08/15/20 (e)		2,900		2,938
Corp. Nacional del Cobre de Chile
7.50%, 01/15/19 (r)		1,900		2,388
6.15%, 10/24/36 (r)		200		242
Gerdau Holdings Inc.
7.00%, 01/20/20 (e) (r)		4,400		4,510
5.75%, 01/30/21 (r)		6,400		6,064
Nucor Corp., 5.75%, 12/01/17 (e)		2,400		2,828
Rio Tinto Alcan Inc., 4.88%, 09/15/12		4,300		4,436
Rohm & Haas Co., 6.00%, 09/15/17		900		1,017
Vale Overseas Ltd.
6.25%, 01/23/17		300		325
6.88%, 11/21/36 (e)		300		324

				25,072
TELECOMMUNICATION SERVICES - 0.4%
AT&T Inc.
4.95%, 01/15/13		2,000		2,095
5.50%, 02/01/18 (e)		2,000		2,308
6.30%, 01/15/38		1,400		1,604
Qtel International Finance Ltd.
3.38%, 10/14/16 (r)		300		300
4.75%, 02/16/21 (r)		200		200
Qwest Corp., 7.63%, 06/15/15 (e)		800		856
Verizon Wireless Capital LLC, 5.25%, 02/01/12		9,900		10,038

				17,401
UTILITIES - 1.2%
Centrais Eletricas Brasileiras SA, 6.88%, 07/30/19 (r)		5,000		5,600
CMS Energy Corp., 5.05%, 02/15/18 (e)		2,300		2,272
Comision Federal de Electricidad, 4.88%, 05/26/21 (r)		15,500		15,577
Electricite de France SA
5.50%, 01/26/14 (e) (r)		1,600		1,714
6.50%, 01/26/19 (r)		1,600		1,870
6.95%, 01/26/39 (r)		1,300		1,619
ENN Energy Holdings Ltd., 6.00%, 05/13/21 (e) (r)		500		483
Entergy Corp., 3.63%, 09/15/15 (e) (l)		5,200		5,205
Majapahit Holding BV
8.00%, 08/07/19 (e) (r)		2,200		2,464
7.75%, 01/20/20 (e) (r)		5,000		5,530
NRG Energy Inc., 8.25%, 09/01/20 (e)		3,500		3,308
NV Energy Inc., 6.25%, 11/15/20		1,800		1,879
Tokyo Electric Power Co. Inc.
1.50%, 05/30/14, JPY		4,000		45
1.85%, 07/28/14, JPY		19,000		216

				47,782

Total Corporate Bonds and Notes (cost $1,052,723)				1,050,938

GOVERNMENT AND AGENCY OBLIGATIONS - 70.4%
GOVERNMENT SECURITIES - 33.6%
Federal Home Loan Mortgage Corp. - 0.1% (v)
Federal Home Loan Mortgage Corp.
2.50%, 05/27/16		800		847
2.00%, 08/25/16		800		828
4.88%, 06/13/18		1,100		1,316

				2,991
Federal National Mortgage Association - 0.2% (v)
Federal National Mortgage Association
2.00%, 02/18/15 - 09/21/15		2,000		2,070
4.38%, 10/15/15		700		794


	Shares/Par (p)		Value
1.63%, 10/26/15		100		103
2.25%, 03/15/16		5,100		5,352

				8,319
Municipals - 3.7%
Bay Area Toll Authority, Toll Bridge Revenue, RB, 7.04%, 04/01/50		3,400		4,561
Buckeye Tobacco Settlement Financing Authority (insured by AMBAC Assurance Corp.), 5.88%, 06/01/30		1,000		748
California Infrastructure & Economic Development Bank, 6.49%, 05/15/49		1,000		1,176
California State University, 6.43%, 11/01/30		1,400		1,596
Calleguas - Las Virgenes Public Financing Authority, 5.94%, 07/01/40		1,100		1,264
Chicago Transit Authority
6.30%, 12/01/21 - 12/01/21		300		336
6.20%, 12/01/40		1,000		1,113
6.90%, 12/01/40 - 12/01/40		4,100		4,920
City of New York
5.52%, 10/01/37		7,630		8,642
6.27%, 12/01/37		6,560		8,209
City of North Las Vegas Nevada, Ad Valorem Property Tax, GO, 6.57%, 06/01/40		9,200		10,380
County of Clark NV, 6.82%, 07/01/45		1,600		1,981
Fresno County, California Pension Bond, 0.00%, 08/15/21 (j)		2,000		1,161
Golden State Tobacco Securitization Corp., 5.75%, 06/01/47		6,900		4,855
Illinois Municipal Electric Agency, 6.83%, 02/01/35		1,800		1,959
Irvine Ranch Water District Series B, 6.62%, 05/01/40		16,800		22,694
Los Angeles Unified School District, 6.76%, 07/01/34		3,100		3,857
Los Angeles Unified School District (insured by Federal Agricultural Mortgage Corp.), 4.50%, 07/01/22		3,600		3,812
Los Angeles Unified School District (insured by National Public Finance Guarantee Corp), 4.50%, 01/01/28		6,300		6,357
New Jersey Economic Development Authority (insured by National Public Finance Guarantee Corp.) - Series B, 0.00%, 02/15/19 (j)		5,410		3,772
New Jersey State Turnpike Authority, 7.41%, 01/01/40		7,800		10,745
New York State Dormitory Authority, 5.05%, 09/15/27		4,700		5,066
North Carolina Turnkpike Authority, 6.70%, 01/01/39		2,000		2,282
Pennsylvania Economic Development Financing Authority, 6.53%, 06/15/39		1,900		2,178
Port Authority of New York & New Jersey, 5.65%, 11/01/40		1,100		1,279
San Diego Tobacco Settlement Revenue Funding Corp., 7.13%, 06/01/32		790		607
Santa Barbara Secondary High School District, 0.00%, 08/01/36 (j)		10,000		2,207
State of California
7.70%, 11/01/30		100		114
7.95%, 03/01/36		600		681
State of California Various Purpose Bond
7.50%, 04/01/34		600		722
5.65%, 04/01/39		600		635
7.55%, 04/01/39		600		735


	Shares/Par (p)		Value
State of Illinois
4.07%, 01/01/14		2,400		2,471
6.90%, 03/01/35		1,000		1,087
6.73%, 04/01/35		900		954
State of Iowa, 6.75%, 06/01/34		4,100		4,736
State of Texas, 4.75%, 04/01/35		500		514
Texas State Transportation Commission, Highway Revenue Tolls, RB, 5.18%, 04/01/30		1,000		1,180
Tobacco Settlement Authority of Iowa, 6.50%, 06/01/23		215		203
Tobacco Settlement Authority of West Virgina, 7.47%, 06/01/47		1,690		1,227
University of California, 6.55%, 05/15/48		1,500		1,812
Washington State Convention Center Public Facilities District, 6.79%, 07/01/40		5,600		6,885
Washington State Municipal Bond (insured by National Public Finance Guarantee Corp), 2.93%, 12/01/20 (j)		1,400		1,064

				142,777
Sovereign - 6.2%
Banco Nacional de Desenvolvimento Economico e Social, 4.13%, 09/15/17 (r), EUR		1,000		1,286
Brazil Notas do Tesouro Nacional, 10.00%, 01/01/13 - 01/01/17, BRL		2,752		1,417
Canada Housing Trust No. 1
3.15%, 06/15/14 (r), CAD		400		401
2.75%, 09/15/14 - 12/15/15 (r), CAD		8,300		8,280
3.35%, 12/15/20 (r), CAD		7,400		7,518
3.80%, 06/15/21 (q), CAD		900		943
Canadian Government Bond
4.50%, 06/01/15, CAD		700		747
3.00%, 12/01/15, CAD		3,300		3,369
2.75%, 09/01/16, CAD		6,900		7,007
4.25%, 06/01/18, CAD		500		554
3.75%, 06/01/19, CAD		1,600		1,730
3.25%, 06/01/21, CAD		1,500		1,568
Export-Import Bank of China, 4.88%, 07/21/15 (r)		200		214
Instituto de Credito Oficial, 3.29%, 03/25/14 (i), EUR		5,100		6,569
Mexican Bonos, 6.00%, 06/18/15, MXN		24,700		1,834
Mexico Cetes, 0.00%, 10/06/11 (j), MXN		223,880		16,132
Nota Do Tesouro Nacional, 10.00%, 01/01/14, BRL		153		82
Panama Government International Bond, 7.25%, 03/15/15		400		457
Province of Ontario, Canada
1.60%, 09/21/16 (e)		76,800		76,625
4.30%, 03/08/17, CAD		2,600		2,761
4.50%, 12/01/17 - 12/01/18 , CAD		1,200		1,282
4.20%, 03/08/18 - 06/02/20 , CAD		2,100		2,196
5.50%, 06/02/18, CAD		700		790
4.40%, 06/02/19, CAD		2,400		2,553
4.00%, 06/02/21, CAD		8,200		8,398
4.25%, 12/01/21, CAD		4,300		4,452
4.70%, 06/02/37, CAD		6,100		6,671
4.60%, 06/02/39, CAD		1,700		1,847
Province of Quebec, Canada, 4.50%, 12/01/16, CAD		100		107
Republic of Korea, 4.38%, 08/10/15		7,200		7,360
Russian Foreign Bond, 3.63%, 04/29/15		500		491
Societe Financement de l’Economie Francaise
2.13%, 05/20/12, EUR		300		404
0.45%, 07/16/12 (i) (r)		2,000		2,003


	Shares/Par (p)		Value
3.38%, 05/05/14 (e) (r)		4,200		4,460
South Africa Government International Bond, 5.88%, 05/30/22		100		112
Spanish Government Bond, 4.65%, 07/30/25, EUR		48,600		59,170
United Mexican States, 6.05%, 01/11/40		1,500		1,695

				243,485
Treasury Inflation Index Securities - 4.8%
Italy Buoni Poliennali Del Tesoro Inflation Indexed Note
2.10%, 09/15/16 - 09/15/21 (n), EUR		4,655		5,102
2.35%, 09/15/19 (n), EUR		6,558		7,691
U.S. Treasury Inflation Indexed Note
2.38%, 10/04/11 (n)		16,132		20,172
1.75%, 10/31/11 (n) (o)		39,793		46,098
2.50%, 12/01/11 (n)		10,417		13,374
2.50%, 07/15/16 (n) (o)		25,171		28,928
1.25%, 07/15/20 (n) (o)		15,953		17,612
1.13%, 01/15/21 (n)		4,234		4,622
2.38%, 01/15/25		9,349		11,548
2.00%, 01/15/26 (o)		19,806		23,527
3.63%, 04/15/28 (n) (o)		3,632		5,223
3.88%, 04/15/29 (n)		1,924		2,895

				186,792
U.S. Treasury Securities - 18.6%
U.S. Treasury Note
0.13%, 09/30/13		87,000		86,775
0.50%, 08/15/14		14,200		14,237
1.50%, 07/31/16		58,400		59,970
3.00%, 02/28/17, TBA (g) (o)		186,600		205,581
2.25%, 07/31/18		1,600		1,688
1.50%, 08/31/18, TBA (g) (o)		227,900		229,004
1.38%, 09/30/18		48,700		48,464
3.38%, 11/15/19		600		680
3.63%, 02/15/20 - 02/15/21		26,500		30,612
3.50%, 05/15/20		3,200		3,665
2.63%, 08/15/20 - 11/15/20		18,500		19,800
3.13%, 05/15/21, TBA (g)		21,400		23,752

				724,228
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 36.8%
Federal Home Loan Mortgage Corp. - 2.7%
Federal Home Loan Mortgage Corp.
6.00%, 03/01/16 - 01/01/38		5,508		6,050
2.59%, 07/01/27 (i)		1		1
5.50%, 12/01/27 - 08/15/40		18,453		20,015
4.50%, 09/01/38 - 02/01/39		1,483		1,572
4.50%, 10/15/40, TBA (g)		30,000		31,730
6.00%, 10/15/40, TBA (g)		28,000		30,673
REMIC, 0.38%, 07/15/19 (i)		755		752
REMIC, 0.39%, 08/15/19		1,820		1,815
REMIC, 7.00%, 05/15/23		218		249
REMIC, 0.68%, 11/15/30 (i)		4		4
REMIC, 4.50%, 03/15/34		8,683		9,469
REMIC, 0.27%, 12/25/36 (i)		1,487		1,478
REMIC, 1.45%, 02/25/45 (i)		83		80

				103,888
Federal National Mortgage Association - 33.6%
Federal National Mortgage Association
4.00%, 09/01/13 - 09/01/41		274,080		288,266
4.50%, 11/01/13 - 08/01/41		318,295		338,230
6.00%, 05/01/16 - 08/01/40		77,612		85,362
3.33%, 11/21/21 (f)		100		100
5.50%, 04/01/22 - 10/01/39		46,947		51,242


	Shares/Par (p)		Value
4.50%, 10/15/25 - 11/15/40, TBA (g)		336,100		356,757
5.50%, 10/15/25, TBA (g)		3,000		3,250
6.50%, 07/01/29 - 02/01/37		172		192
5.00%, 02/01/34 - 03/01/35		6,740		7,283
2.20%, 01/01/35 (i)		1,476		1,531
1.64%, 09/01/40 (i)		9		9
3.50%, 09/01/40 - 06/01/41		23,687		24,359
5.00%, 10/15/40, TBA (g)		100,000		107,563
6.00%, 10/15/40, TBA (g)		37,000		40,584
1.44%, 06/01/43 (i)		472		474
REMIC, 5.00%, 02/25/17 - 04/25/33		398		440
REMIC, 2.39%, 05/25/35 (i)		113		118
REMIC, 0.68%, 09/25/35 (i)		3,688		3,688
REMIC, 0.54%, 04/25/37 (i)		1,788		1,780
REMIC, 0.29%, 07/25/37 (i)		839		805
REMIC, 6.50%, 12/25/42		67		81
REMIC, 0.58%, 03/25/44 (i)		454		439

				1,312,553
Government National Mortgage Association - 0.0%
Government National Mortgage Association
2.38%, 05/20/26 - 05/20/30 (i)		80		82
1.75%, 02/20/32 (i)		58		60
2.00%, 02/20/32 (i)		41		43

				185
Small Business Administration Participation Certificates - 0.5%
Small Business Administration Participation Certificates
6.29%, 01/01/21		20		22
5.13%, 09/01/23		43		47
5.52%, 06/01/24		911		1,008
5.29%, 12/01/27		793		876
5.16%, 02/01/28		8,817		9,680
5.49%, 03/01/28		8,109		9,010

				20,643

Total Government and Agency Obligations (cost $2,696,977)				2,745,861

PREFERRED STOCKS - 0.4%
CONSUMER DISCRETIONARY - 0.0%
General Motors Co. (f)		128		49
FINANCIALS - 0.4%
DG Funding Trust, 0.89%, (callable at 10,000 beginning 09/30/10) (f) (m) (q)		—		3,149
GMAC Capital Trust I, 8.13%		740		13,505

				16,654

Total Preferred Stocks (cost $22,927)				16,703

SHORT TERM INVESTMENTS - 21.2%
Certificates of Deposit - 0.6%
Bank of Nova Scotia, 0.52%, 08/09/12 (i)	$	7,600		7,622
Intesa Sanpaolo SpA, 2.38%, 12/21/12		15,200		14,771
Itau Usa Securities Inc., 1.45%, 12/05/11		2,700		2,694

				25,087
Commercial Paper - 3.0%
Kells Fund LLC
0.26%, 10/05/11		7,000		7,000
0.30%, 10/03/11		30,000		29,999
0.25%, 11/01/11		5,000		4,999
0.26%, 10/05/11		12,900		12,900
0.29%, 01/10/12		5,000		4,995
Straight-A Funding LLC, 0.22%, 10/11/11		57,000		56,997

				116,890


	Shares/Par (p)		Value
Securities Lending Collateral - 4.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		179,247		179,247
Treasury Securities - 13.0%
Japan Treasury Bill
0.00%,10/17/11, JPY		2,490,000		32,282
0.00%,10/03/11, JPY		340,000		4,408
0.00%,10/11/11, JPY		390,000		5,056
0.00%,10/24/11, JPY		4,530,000		58,728
0.00%,10/31/11, JPY		12,840,000		166,458
0.00%,11/07/11, JPY		1,850,000		23,983
0.00%,11/21/11, JPY		8,110,000		105,132
0.00%,11/14/11, JPY		8,360,000		108,375
U.S. Treasury Bill
0.01%, 03/08/12 (o)	$	2,203		2,203
0.00%,12/29/11 (o)		260		260
0.02%, 03/22/12 (o)		130		130
0.01%, 03/01/12 (o)		300		300

				507,315

Total Short Term Investments (cost $825,895)				828,539

Total Investments - 124.9% (cost $4,830,650)				4,873,946
Total Forward Sales Commitments - (0.5)% (proceeds $21,324)				(21,307	)
Other Assets and Liabilities, Net - (24.4%) (o)				(950,995	)

Total Net Assets - 100.0%			$	3,901,644

FORWARD SALES COMMITMENTS - 0.5%
GOVERNMENT AND AGENCY OBLIGATIONS - 0.5%
GOVERNMENT SECURITIES - 0.5%
U.S. Treasury Securities - 0.5%
U.S. Treasury Note
1.50%, 07/31/16, TBA (g)	$	5,303	$	5,445
0.50%, 08/15/14		14,200		14,237

				19,682
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.0%
Federal National Mortgage Association - 0.0%
Federal National Mortgage Association, 5.50%, 11/15/41		1,500		1,625

Total Forward Sales Commitments - 0.5% (proceeds $21,324)			$	21,307

JNL/PPM America Floating Rate Income Fund
CORPORATE BONDS AND NOTES - 7.6%
CONSUMER DISCRETIONARY - 2.2%
Beazer Homes USA Inc., 9.13%, 06/15/18	$	1,000	$	615
Cablevision Systems Corp., 8.63%, 09/15/17		1,000		1,041
Delphi Corp., 6.13%, 05/15/21 (r)		709		659
Ford Motor Co., 7.45%, 07/16/31		1,000		1,129
Harrah’s Operating Co. Inc., 10.75%, 02/01/16		1,000		725
J.C. Penney Co. Inc., 6.38%, 10/15/36		1,000		840
Levi Strauss & Co., 7.63%, 05/15/20		1,000		930
MGM Resorts International, 11.13%, 11/15/17		1,000		1,097
Nielsen Finance LLC, 7.75%, 10/15/18		1,000		1,020
Univision Communications Inc., 7.88%, 11/01/20 (r)		1,000		938


	Shares/Par (p)		Value
Wynn Las Vegas LLC, 7.75%, 08/15/20		1,000		1,050

				10,044
ENERGY - 0.9%
Chesapeake Energy Corp., 6.63%, 08/15/20		1,000		1,030
El Paso Corp., 7.80%, 08/01/31		1,000		1,162
Linn Energy LLC, 8.63%, 04/15/20		1,000		1,030
Tesoro Corp., 6.50%, 06/01/17		1,000		995

				4,217
FINANCIALS - 1.1%
Ally Financial Inc., 8.00%, 11/01/31		1,000		912
CIT Group Inc., 7.00%, 05/02/17		1,000		970
Ford Motor Credit Co. LLC, 5.88%, 08/02/21		1,000		995
International Lease Finance Corp., 6.25%, 05/15/19		1,000		869
Reynolds Group Issuer Inc., 8.75%, 10/15/16 (r)		1,000		1,003

				4,749
HEALTH CARE - 0.3%
Endo Pharmaceuticals Holdings Inc., 7.25%, 01/15/22 (r)		430		431
HCA Inc., 8.50%, 04/15/19		1,000		1,060

				1,491
INDUSTRIALS - 0.9%
BE Aerospace Inc., 8.50%, 07/01/18		1,000		1,070
DynCorp International Inc., 10.38%, 07/01/17		1,000		873
L-3 Communications Corp., 6.38%, 10/15/15		1,000		1,021
United Rentals North America Inc., 8.38%, 09/15/20		1,000		917

				3,881
INFORMATION TECHNOLOGY - 0.2%
SunGard Data Systems Inc., 10.25%, 08/15/15		1,000		1,010
MATERIALS - 0.8%
Ball Corp., 5.75%, 05/15/21		1,000		973
Ineos Group Holdings Plc, 8.50%, 02/15/16 (r)		1,000		740
Momentive Performance Materials Inc., 9.00%, 01/15/21		1,000		685
Steel Dynamics Inc., 6.75%, 04/01/15		1,000		982

				3,380
TELECOMMUNICATION SERVICES - 0.6%
EH Holding Corp., 7.63%, 06/15/21 (r)		1,000		962
Qwest Communications International Inc., 7.13%, 04/01/18		1,000		980
Sprint Capital Corp., 6.88%, 11/15/28		1,000		748

				2,690
UTILITIES - 0.6%
AES Corp., 7.38%, 07/01/21		1,000		945
Calpine Corp., 7.25%, 10/15/17		1,000		965
Puget Energy Inc., 6.00%, 09/01/21		778		772

				2,682

Total Corporate Bonds and Notes (cost $36,745)				34,144

VARIABLE RATE SENIOR LOAN INTERESTS - 88.2% (i)
CONSUMER DISCRETIONARY - 25.6%
Acosta Inc. Term Loan, 4.75%, 02/22/18		2,394		2,280
Advantage Sales & Marketing 1st Lien Term Loan, 5.25%, 12/17/17		1,990		1,912
Affinion Group Replacement Term Loan, 5.00%, 10/10/16		1,990		1,806


	Shares/Par (p)		Value
Allison Transmission Inc. Term Loan
2.98%, 08/07/14		58		54
2.98%, 08/07/14		782		736
2.98%, 08/07/14		260		245
2.98%, 08/07/14		782		736
2.98%, 08/07/14		1,034		973
AMC Entertainment Inc. Term Loan, 3.50%, 12/15/16		2,987		2,835
AMC Networks Term Loan B, 4.00%, 10/11/11		2,500		2,425
Ameristar Casinos Term Loan B, 4.00%, 04/14/18		249		240
ARAMARK Corp. Extended Term Loan
3.44%, 01/26/14		185		179
3.50%, 07/26/16		2,815		2,719
Atlantic Broadband Term Loan B, 4.00%, 03/08/16		2,330		2,208
Autoparts Holdings Ltd. 1st Lien Term Loan
6.50%, 09/30/11		1,457		1,450
6.50%, 09/30/11		743		739
AutoTrader.com Inc. Term Loan B, 4.00%, 09/30/11		2,494		2,431
Bass Pro Group, LLC Term Loan B, 5.25%, 06/15/17		2,500		2,401
Burger King Corp. Term Loan B, 4.50%, 10/19/16		2,987		2,878
Carmike Cinemas Inc. Initial Term Loan, 5.50%, 01/27/16		890		866
Cedar Fair LP U.S.Term Loan I, 4.00%, 12/15/17		1,959		1,928
Cequel Communications LLC 1st Lien Term Loan, 2.22%, 11/05/13		1,990		1,909
Charter Communications Operating LLC Term Loan, 3.50%, 09/06/16		1,990		1,920
Clarke American Corp. Term Loan B
2.72%, 06/30/14		294		246
2.72%, 06/30/14		403		338
2.75%, 06/30/14		630		529
2.75%, 06/30/14		244		204
2.75%, 06/30/14		419		352
Cumulus Media Inc. Term Loan
6.75%, 07/31/18		650		611
8.25%, 07/31/18		1,350		1,269
Delphi Automotive LLC Term Loan B, 3.50%, 03/31/17		342		337
Dollar General Corp. Term Loan B-1, 2.97%, 07/06/14		551		546
Dollar General Corp. Term Loan B-2, 3.00%, 07/06/14		419		415
Dollar General Corp. Term Loan B-3, 2.97%, 07/06/14		419		415
Dollar General Corp. Term Loan B-4, 2.97%, 07/06/14		533		527
Dollar General Corp. Term Loan B-5, 2.96%, 07/06/14		78		78
FoxCo Acquisition Sub LLC Term Loan B, 4.75%, 07/14/15		2,471		2,347
FTD Group Inc. Term Loan, 4.75%, 09/30/11		1,995		1,945
GNC Corp. Term Loan B, 4.25%, 03/04/18		1,170		1,136
Goodyear Engineered Products Delayed Draw Term Loan, 2.97%, 07/31/14		125		112
Goodyear Engineered Products Term Loan B, 2.73%, 07/31/14		1,865		1,670
Gymboree Corp. 1st Lien Term Loan, 5.00%, 02/23/18		3,112		2,768
Harbor Freight Tools USA Term Loan B, 6.50%, 12/17/17		1,969		1,940


	Shares/Par (p)		Value
Hargray 1st Lien Term Loan B
2.52%, 06/29/14		726		670
2.52%, 06/29/14		234		216
2.52%, 06/29/14		40		37
Harrahs Operating Co. Extended Term Loan B
4.50%, 01/28/18		918		730
4.50%, 01/28/18		82		65
Isle of Capri Casinos Inc. Term Loan B
4.75%, 03/22/17		938		917
4.75%, 03/22/17		44		43
J. Crew Group Inc. Term Loan
4.75%, 03/07/17		349		310
4.75%, 03/07/17		1,047		929
Jarden Corporation Term Loan B, 3.29%, 01/31/17		1,966		1,950
JRD Holdings Inc. Term Loan B, 2.51%, 07/02/14		1,866		1,805
Knology Inc. Term Loan B, 4.00%, 08/28/17		2,390		2,304
Las Vegas Sands LLC Extended Term Loan B, 2.72%, 11/23/16		1,653		1,535
Las Vegas Sands LLC Delayed Draw Term Loan, 2.72%, 11/23/16		332		309
Live Nation Entertainment Inc. Term Loan B, 4.50%, 11/05/16		1,990		1,924
Michaels Stores B-2 Extended Term Loan
4.75%, 07/31/16		483		461
4.75%, 07/31/16		523		498
4.75%, 07/31/16		690		658
4.75%, 07/31/16		304		289
NDS Treasury LLC Term Loan B, 4.00%, 03/18/18		836		793
Neiman Marcus Group Senior Term Loan, 4.75%, 05/16/18		3,000		2,768
OSI Restaurant Partners LLC Pre-Funded RC Term Loan
2.50%, 06/14/14		19		18
2.50%, 06/14/14		69		64
OSI Restaurant Partners LLC Term Loan B,
2.56%, 06/14/14		906		841
Penn National Gaming Inc. Term Loan B
3.75%, 09/30/11		25		25
3.75%, 07/16/12		2,475		2,443
PETCO Animal Supplies Inc. New Term Loan, 4.50%, 11/25/17		1,782		1,683
Pilot Travel Centers LLC Term Loan B, 4.25%, 03/30/18		2,000		1,969
Regal Cinemas Corp. Term Loan, 3.50%, 08/23/17		2,948		2,859
Reynolds Group Holdings Inc. Term Loan B, 6.50%, 08/19/18		1,050		1,017
Reynolds Group Holdings Term Loan E
6.50%, 02/09/18		579		561
6.50%, 02/09/18		994		963
6.50%, 02/09/18		1,120		1,085
Roundy’s Inc. Extended Term Loan
7.00%, 11/03/13		749		723
7.00%, 11/03/13		41		39
7.00%, 11/03/13		72		70
7.00%, 11/03/13		1,128		1,089
Rovi Corp. Term Loan A, 2.75%, 02/07/16		500		492
Rovi Corp. Term Loan B, 4.00%, 02/07/18		499		490
Sabre Inc. Term Loan
2.22%, 09/30/14		628		525
2.25%, 09/30/14		362		303
Sally Holdings LLC Term Loan B 2.47%, 11/16/13		711		698


	Shares/Par (p)		Value
2.47%, 11/16/13		941		923
Savers Inc. Term Loan, 4.25%, 03/04/17		1,995		1,958
SBA Senior Finance II LLC Term Loan, 3.75%, 10/31/11		998		974
ServiceMaster Co. Delayed Draw Term Loan, 2.72%, 07/24/14		180		168
ServiceMaster Co. Term Loan
2.72%, 07/24/14		691		644
2.72%, 07/24/14		727		678
2.83%, 07/24/14		391		365
Springs Window Fashions LLC Term Loan B, 6.00%, 05/31/17		1,500		1,455
Tenneco Inc. Term Loan B, 5.00%, 06/03/16		1,990		1,970
Univision Communications First Lien Term Loan, 4.47%, 03/31/17		2,974		2,495
UPC Financing Partnership Term Loan X, 3.72%, 12/31/17		2,897		2,759
Visant Holding Corp. Term Loan B, 5.25%, 12/22/16		2,382		2,169
Warnaco Inc. Term Loan B, 3.80%, 06/17/18		500		488
WaveDivision Holdings LLC Delayed Draw Term Loan B
2.55%, 06/30/14		794		738
2.55%, 06/30/14		201		187
Weather Channel Term Loan, 4.25%, 02/11/17		998		983
Wendy’s/Arby’s Restaurants, LLC Term Loan,
5.00%, 05/24/17		1,890		1,877
WideOpenWest Finance LLC 1st Lien New Term Loan
2.71%, 06/28/14		994		922
4.75%, 06/28/14		—		—
WideOpenWest Finance LLC New Term Loan A
6.72%, 06/28/14		1,987		1,905
8.75%, 06/28/14		—		—
Windsor Quality Food Co. Ltd. Term Loan B, 5.07%, 02/09/17		679		654

				115,135
CONSUMER STAPLES - 4.0%
Darling International Term Loan, 5.75%, 12/17/16		400		396
Del Monte New Term Loan B, 4.50%, 02/16/18		3,000		2,782
DineEquity Inc. Term Loan B-1, 4.25%, 10/19/17		657		635
Dole Food Co. Inc. Term Loan B-2, 6.00%, 09/30/11		810		796
Dole Food Co. Inc. Term Loan C-2, 6.00%, 09/30/11		1,504		1,479
Dunkin Brands Inc. Term Loan B-2, 4.00%, 11/23/17		2,980		2,880
Michael Foods Group Inc. Term Loan B, 4.25%, 02/25/18		698		674
NBTY Inc. Term Loan B-1, 4.25%, 10/01/17		2,291		2,216
Revlon Consumer Prodcuts Term Loan
4.75%, 11/19/17		493		476
4.75%, 11/19/17		8		7
Spectrum Brands Inc. Term Loan
5.00%, 06/17/16		356		352
5.00%, 06/17/16		418		412
SUPERVALU Inc. Term Loan B-2, 3.47%, 10/05/15		3,128		2,928
Wm. Bolthouse Farms Inc. Term Loan B, 5.50%, 02/11/16		1,907		1,871

				17,904


	Shares/Par (p)		Value
ENERGY - 2.0%
EquiPower Resources Holdings LLC Term Loan B, 5.75%, 01/26/18		1,995		1,930
Gibson Energy Corp. Term Loan, 5.75%, 06/15/18		2,250		2,199
Helix Energy Solutions Group Extended Term Loan
3.71%, 07/01/16		1,099		1,052
3.71%, 07/01/16		311		298
3.72%, 07/01/16		552		528
Hercules Offshore Term Loan, 7.50%, 07/11/13		963		922
Oxbow Carbon LLC Term Loan B-1
3.72%, 05/08/16		106		102
3.75%, 05/08/16		1,851		1,768
Walter Energy Inc. Term Loan B
4.00%, 03/04/18		80		77
4.00%, 03/04/18		80		77
4.00%, 03/04/18		40		39
4.00%, 03/04/18		79		76

				9,068
FINANCIALS - 10.2%
Altegrity Inc. Term Loan, 3.00%, 02/21/15		1,592		1,430
AmWINS Group Inc. 1st Lien Term Loan
6.50%, 06/08/13		578		538
6.50%, 06/08/13		413		385
Asurion LLC 1st Lien Term Loan
5.50%, 11/14/11		573		539
5.50%, 11/30/11		314		295
Asurion LLC Term Loan
5.50%, 06/01/18		1,030		969
5.50%, 06/01/18		341		321
5.50%, 06/01/18		682		642
Capital Automotive LLC Term Loan B, 5.00%, 03/15/17		3,423		3,258
CB Richard Ellis Services Inc. Term Loan C, 3.47%, 12/01/11		1,120		1,066
CB Richard Ellis Services Inc. Term Loan D, 3.71%, 03/04/18		1,120		1,067
CNO Financial Group, Inc. Term Loan, 6.25%, 09/30/16		1,964		1,942
CPG International I Inc. 1st Lien Term Loan, 6.00%, 02/18/16		1,592		1,512
Fifth Third Processing Solutions LLC Term Loan B1, 4.50%, 11/21/11		2,995		2,892
First American Payment Systems Term Loan
6.75%, 10/28/16		330		322
6.75%, 10/28/16		610		595
Goodman Global Inc. Initial Term Loan, 5.75%, 10/28/16		2,880		2,842
HarbourVest Partners, LP 1st Lien Term Loan
6.25%, 12/25/16		—		—
6.25%, 12/25/16		906		897
Hub International Holdings, Inc. Delayed Draw Term Loan
2.75%, 06/13/14		105		97
2.75%, 06/13/14		176		162
2.75%, 06/13/14		84		77
Hub International Holdings, Inc. Term Loan B, 2.75%, 06/13/14		1,624		1,493
iPayment Inc. Term Loan B, 5.75%, 05/08/17		721		699
Kar Holdings Inc. Term Loan, 5.00%, 06/15/17		3,000		2,895
KIK Custom Products Inc. Canadian Term Loan, 2.51%, 05/31/14		145		122


	Shares/Par (p)		Value
KIK Custom Products Inc. U.S. Term Loan, 2.51%, 05/31/14		847		710
Mondrian Investment Partners Ltd. Term Loan B, 5.50%, 09/30/11		1,814		1,764
Nielsen Finance LLC Term Loan C, 3.48%, 05/02/16		2,987		2,864
Nuveen Investments Inc. Extended Term Loan
5.75%, 05/13/17		1,206		1,114
5.75%, 05/13/17		1,632		1,507
5.81%, 05/13/17		162		149
Openlink Financial Inc. Term Loan, 5.25%, 04/27/18		2,250		2,199
Realogy Corp. Extended Term Loan
4.44%, 10/10/16		104		84
4.52%, 10/10/16		615		497
RPI Finance Trust Term Loan 2, 4.00%, 09/30/11		2,250		2,227
Sedgwick CMS Holdings Term Loan B-1, 5.00%, 12/31/16		517		489
Springleaf Finance Corp. Term Loan, 5.50%, 05/06/17		3,000		2,592
TransUnion LLC Term Loan, 4.75%, 02/11/18		998		971
West Corp. Term Loan B-4
4.50%, 07/15/16		295		284
4.50%, 07/15/16		258		249
4.58%, 07/15/16		439		424
West Corp. Term Loan B-5, 4.50%, 07/15/16		360		347
West Corp. Term Loan B-6, 4.58%, 07/15/16		225		217
West Corp. Term Loan B-7, 4.50%, 07/15/16		408		394

				46,139
HEALTH CARE - 14.5%
Alere Inc. Term Loan B, 4.56%, 10/11/11		2,000		1,931
Ardent Medical Services Inc. Term Loan B, 6.50%, 09/30/11		3,000		2,895
Axcan Intermediate Holdings Inc. Term Loan
5.50%, 02/11/17		194		172
5.50%, 02/11/17		1,463		1,292
5.50%, 02/11/17		333		294
Carestream Health Inc. Term Loan, 5.00%, 02/23/17		1,950		1,631
Community Health Systems Delayed Draw Term Loan, 2.57%, 07/25/14		146		136
Community Health Systems Term Loan, 2.57%, 07/25/14		2,842		2,653
Convatec Inc. Dollar Term Loan, 5.75%, 12/22/16		1,990		1,895
Da Vita Inc. Term Loan B, 4.50%, 10/20/16		1,990		1,963
Emergency Medical Services Corp. Term Loan, 5.25%, 05/05/18		499		474
Endo Pharmaceutical Holdings Inc. Term Loan B, 4.00%, 06/15/18		805		800
Fenwal Inc. 1st Lien Term Loan B, 2.57%, 02/28/14		841		772
Fenwal Inc. Delayed Draw Term Loan, 2.57%, 02/28/14		144		132
Gentiva Health Services Inc. Term Loan B1, 4.75%, 08/17/16		1,902		1,605
Golden Living Communities Term Loan B, 5.00%, 04/28/18		3,000		2,618
Grifols Inc. Term Loan B, 6.00%, 11/23/16		1,000		980
HCA Inc. Term Loan B-3, 3.50%, 05/01/18		4,000		3,751
HCR ManorCare Inc. Term Loan, 5.00%, 03/18/18		1,995		1,714
Health Management Associates Inc. Term Loan, 2.00%, 02/28/14		1,989		1,868


	Shares/Par (p)		Value
Iasis Healthcare Corp. Term Loan B, 5.00%, 05/05/18		2,993		2,795
IMS Health Inc. Dollar Term Loan B
4.50%, 08/26/17		142		139
4.50%, 08/26/17		474		464
4.50%, 08/26/17		554		542
Inventiv Health Inc. Term Loan B, 6.50%, 05/11/11		1,990		1,893
Kindred Healthcare Inc. Term Loan, 5.32%, 03/04/18		1,976		1,827
Multiplan Inc. Term Loan, 4.75%, 08/26/17		2,976		2,810
PTS Acquisition Corp. Dollar Term Loan, 2.47%, 04/13/14		1,990		1,838
Quintiles Transnational Corp. Term Loan B, 5.00%, 06/08/18		2,500		2,346
Radnet Management Inc. Term Loan B, 5.75%, 04/06/16		1,990		1,899
Renal Advantage Holdings Term Loan B, 5.75%, 12/17/16		1,990		1,977
Select Medical Corp. Term Loan B, 5.50%, 06/01/18		2,250		2,036
Surgical Care Affiliates LLC Extended Term Loan, 4.25%, 09/30/11		1,990		1,801
Surgical Care Affiliates LLC Incremental Term Loan B, 5.50%, 09/30/11		500		456
Team Health Inc. Term Loan B, 5.00%, 09/30/11		1,500		1,433
The TriZetto Group Inc. Term Loan, 4.75%, 05/02/18		2,500		2,398
Universal Health Services Term Loan B, 4.00%, 11/15/16		2,751		2,663
Valitas Health Services Inc. Term Loan B, 5.75%, 06/03/17		2,494		2,406
Vanguard Health Systems Term Loan B, 5.00%, 01/29/16		1,990		1,932
Warner Chilcott Co. LLC Term Loan B-2, 4.25%, 03/15/18		525		510
Warner Chilcott Co. LLC Term Loan B-3, 4.25%, 03/15/18		723		702
Warner Chilcott Corp. Term Loan B-1, 4.25%, 03/15/18		1,051		1,021

				65,464
INDUSTRIALS - 9.2%
BakerCorp Term Loan, 5.00%, 05/25/18		1,000		960
Bombardier Recreational Products Term Loan B
2.75%, 06/28/13		1,113		1,049
2.75%, 06/28/13		878		827
Brickman Group Holdings Term Loan B, 7.25%, 10/14/16		1,990		1,955
Capsugel Holdings US Inc. Term Loan
5.25%, 09/30/11		5		5
5.25%, 06/29/12		995		977
Ducommun Inc. Term Loan B, 5.50%, 09/30/11		1,500		1,451
Dyncorp International Inc. Term Loan, 6.25%, 07/07/16		1,820		1,775
Earthbound Holdings III LLC Term Loan, 5.58%, 12/21/16		2,102		2,040
Edwards Ltd. Extended Term Loan, 5.50%, 05/31/16		995		916
Edwards Ltd. Incremental Term Loan, 5.50%, 05/31/16		993		914
EnergySolutions LLC Term Loan B, 6.25%, 08/10/16		1,945		1,906
Hertz Corp. Term Loan B, 3.75%, 03/09/18		2,394		2,269


	Shares/Par (p)		Value
Manitowoc Company Inc. Term Loan B, 4.25%, 11/12/17		1,500		1,450
Metaldyne LLC Term Loan, 5.25%, 05/18/18		1,995		1,930
Nortek Inc. Incremental Term Loan, 5.25%, 04/26/17		1,496		1,391
Novelis Inc. Term Loan, 3.75%, 03/10/17		1,995		1,938
Polypore Inc. Incremental Term Loan, 2.22%, 07/03/14		1,989		1,920
RBS Global & Rexnord LLC Term Loan B
2.75%, 07/19/13		702		675
2.81%, 07/19/13		1,298		1,250
Sensata Technologies BV Term Loan B, 4.00%, 05/12/18		3,000		2,912
Sensus Metering Systems Inc. 1st Lien Term Loan, 4.75%, 05/09/17		1,247		1,195
Swift Transportation Co. Inc. Term Loan, 6.00%, 12/21/16		1,887		1,824
TASC Inc. Term Loan B, 4.50%, 05/04/17		2,160		2,047
TransDigm Inc. Term Loan, 4.06%, 02/14/17		557		544
Transtar Industries Inc. 1st Lien Term Loan, 4.50%, 12/17/16		1,990		1,908
TriMas Corp. Term Loan
4.25%, 06/21/17		278		266
4.25%, 06/21/17		222		213
UCI International Inc. Term Loan, 5.50%, 03/23/17		1,990		1,970
ValleyCrest Companies LLC Term Loan A, 6.50%, 10/04/16		995		895

				41,372
INFORMATION TECHNOLOGY - 7.2%
Aeroflex Inc. Term Loan, 4.25%, 05/06/18		2,993		2,879
Attachmate Corp. Term Loan, 6.50%, 03/04/17		840		806
AVG Technologies NV Term Loan, 7.50%, 03/15/16		1,700		1,615
CommScope Inc. Term Loan
5.00%, 01/14/18		146		143
5.00%, 01/14/18		1,350		1,322
DG FastChannel Inc. Term Loan B, 5.75%, 09/30/11		2,200		2,167
Epicor Software Corp. Term Loan B, 5.00%, 05/15/18		2,500		2,329
Fidelity National Information Services Term Loan B, 5.25%, 07/18/16		1,990		1,983
First Data Corp. Term Loan, 4.22%, 03/24/18		1,697		1,371
First Data Corp. Term Loan B-3, 2.97%, 09/24/14		181		146
Freescale Semiconductor Inc. Term Loan B, 4.47%, 12/01/16		2,971		2,713
Go Daddy Group Inc. Term Loan, 7.00%, 10/05/18		1,000		947
Information Resources Inc. Term Loan B, 5.00%, 11/16/17		1,000		969
Kronos Incorporated 1st Lien Term Loan, 2.00%, 06/11/14		992		940
Mediacom Broadband Term Loan D-2, 1.94%, 01/31/15		2,984		2,708
MoneyGram International Inc. Term Loan, 4.50%, 05/04/17		218		211
Nuance Communications Inc. Term Loan C, 3.23%, 09/30/11		995		968
Reynolds & Reynolds Term Loan B, 3.75%, 04/11/18		1,500		1,466
SourceHOV Inc. Term Loan B, 6.63%, 04/29/17		1,500		1,326


	Shares/Par (p)		Value
SunGard Data Systems Inc. Term Loan B
3.87%, 02/28/16		134		129
3.90%, 02/28/16		2,866		2,757
Verint Systems Inc. Term Loan, 4.50%, 04/29/17		2,494		2,422

				32,317
MATERIALS - 7.8%
Ashland Inc. Term Loan B, 3.75%, 10/24/11		1,000		991
Berry Plastics Corp. Term Loan, 2.21%, 04/03/15		2,321		2,107
BWAY Holding Corp. Replacement Term Loan B
4.50%, 02/23/18		93		88
4.50%, 02/23/18		1,662		1,584
4.50%, 02/23/18		73		70
4.50%, 02/23/18		144		137
4.50%, 02/23/18		19		18
5.50%, 02/23/18		—		—
Fairmount Minerals Ltd. Term Loan B, 5.25%, 03/15/15		1,302		1,279
General Chemical Holding New Term Loan B
5.00%, 10/06/15		1,897		1,811
5.00%, 10/06/15		4		4
Graphic Packaging International, Inc. Term Loan
2.22%, 05/16/14		357		348
2.22%, 05/16/14		34		33
2.25%, 05/16/14		408		398
2.25%, 05/16/14		162		158
2.25%, 05/16/14		125		122
2.25%, 05/16/14		162		158
Hexion US Term Loan C-1B, 4.00%, 05/05/15		2,087		1,955
Hexion US Term Loan C-2B, 4.00%, 05/05/15		884		829
Houghton International Inc. Term B1, 6.84%, 01/31/16		1,981		1,955
Huntsman International LLC Term Loan C
2.47%, 06/30/16		1,947		1,816
2.47%, 06/30/16		1,053		982
JMC Steel Group Inc. Term Loan, 4.75%, 04/01/17		648		628
Nalco Comp. Term Loan B-1
4.50%, 10/06/17		72		72
4.50%, 10/06/17		1,918		1,905
NewPage Corp. Term Loan, 8.00%, 03/07/13		1,000		994
OM Group Inc. Term Loan B, 5.75%, 10/03/11		2,825		2,799
OMNOVA Solutions Inc. Term Loan, 5.75%, 04/25/17		1,985		1,914
Pelican Products Inc. Term Loan, 5.00%, 03/07/17		557		535
Rock-Tenn Company Term Loan B, 3.50%, 05/27/18		1,482		1,468
Sealed Air Corp. Term Loan, 4.75%, 10/13/18		500		500
Solutia Inc. Term Loan 1, 3.50%, 08/01/17		2,073		2,024
Styron S.A.R.L. LLC Term Loan B, 6.00%, 08/02/17		3		2
Styron S.A.R.L. Replacement Term Loan, 6.00%, 08/02/17		2,987		2,683
Univar Inc. Term Loan B, 5.00%, 06/30/17		2,828		2,647

				35,014
TELECOMMUNICATION SERVICES - 4.7%
Alaska Communications Inc. Term Loan, 5.50%, 10/21/16		1,990		1,906
Global Tel*Link Corp. Term Loan, 5.00%, 11/10/16		2,169		2,092
Intelsat Jackson Holdings Term Loan B, 5.25%, 04/02/18		2,993		2,850


	Shares/Par (p)		Value
IPC Information Systems LLC 1st Lien Term Loan
2.50%, 05/31/14		586		541
2.50%, 05/31/14		414		382
Level 3 Communications Inc. Term Loan B-2, 5.75%, 09/01/18		2,000		1,893
nTelos Inc. Term Loan B, 4.00%, 08/07/15		1,990		1,928
SBA Senior Finance II LLC Term Loan, 3.75%, 09/30/11		3		2
Syniverse Holdings Inc. Term Loan, 5.25%, 12/21/17		1,990		1,955
Targus Information Corp. Initial Term Loan, 7.00%, 12/29/16		944		930
Telcordia Technologies Inc. Term Loan, 6.75%, 04/30/16		1,738		1,728
Telesat LLC U.S. Term Loan I
3.23%, 10/31/14		921		892
3.23%, 10/31/14		1,830		1,772
Telesat LLC U.S. Term Loan II
3.23%, 10/31/14		79		77
3.23%, 10/31/14		157		152
TowerCo Finance LLC Term Loan, 5.25%, 02/02/17		249		243
Transaction Network Services 1st Lien Term Loan, 6.00%, 11/18/15		1,591		1,587
Transaction Network Services New Term Loan 1, 6.00%, 11/18/15		301		300

				21,230
UTILITIES - 3.0%
Aes Corp. Term Loan B, 4.25%, 06/08/18		2,985		2,915
Calpine Corp. B-2 Term Loan, 4.50%, 04/01/18		500		470
Calpine Corp. Term Loan, 4.50%, 03/07/18		1,995		1,874
GenOn Energy Inc. Term Loan B, 6.00%, 09/30/11		3,000		2,938
NRG Energy Inc. Term Loan B
4.00%, 09/30/11		875		854
4.00%, 10/03/11		1,125		1,098
SunCoke Energy Inc. Term Loan B, 4.06%, 09/30/11		2,250		2,216
Texas Competitive Electric Holdings Extended Term Loan, 4.72%, 10/10/17		1,923		1,279

				13,644

Total Variable Rate Senior Loan Interests (cost $416,543)				397,287

OTHER EQUITY INTERESTS - 0.2%
Wind Acquisition Finance SA, 11.75%, 07/15/17 (r) (u)		1,000		850

Total Other Equity Interests (cost $1,118)				850

SHORT TERM INVESTMENTS - 3.9%
Investment Companies - 3.9%
State Street Institutional Liquid Reserves Fund, 0.10% (h)		17,717		17,717

Total Short Term Investments (cost $17,717)				17,717

Total Investments - 99.9% (cost $472,123)				449,998
Other Assets and Liabilities, Net - 0.1%				499

Total Net Assets - 100.0%			$	450,497


	Shares/Par (p)		Value
JNL/PPM America High Yield Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.1%
Ahold Lease USA Inc., 7.82%, 01/02/20 (k)	$	1,494	$	1,669
American Airlines Pass-Through Trust, 10.38%, 07/02/19 (e)		1,305		1,416
Banc of America Commercial Mortgage Inc. REMIC
5.68%, 07/10/46		1,305		1,218
5.48%, 01/15/49 (i)		3,000		2,622
Bear Stearns CMBS REMIC, 5.92%, 06/11/50 (i)		359		328
Bear Stearns Commercial Mortgage Securities Inc. REMIC, 5.94%, 09/11/38 (i)		1,000		790
Citigroup Commercial Mortgage Trust REMIC, 5.89%, 06/10/17 (i)		1,905		1,756
Credit Suisse Mortgage Capital Certificates REMIC
5.59%, 02/15/39 (i)		1,085		1,040
5.59%, 02/15/39 (i)		550		456
5.34%, 12/15/39		112		100
6.32%, 09/15/40 (i)		2,000		1,128
CW Capital Cobalt Ltd. REMIC, 5.29%, 08/15/48		4,000		2,704
Delta Air Lines Inc. Pass-Through Trust
6.38%, 07/02/17		1,000		900
7.75%, 06/17/21		1,547		1,624
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 5.50%, 02/12/17 (i)		2,000		1,160
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC, 6.10%, 06/12/46 (i)		515		488
United Air Lines Inc., 10.40%, 11/01/16		3,521		3,803

Total Non-U.S. Government Agency Asset- Backed Securities (cost $20,521)				23,202

CORPORATE BONDS AND NOTES - 89.2%
CONSUMER DISCRETIONARY - 24.8%
Affinion Group Holdings Inc., 11.63%, 11/15/15 (e)		4,000		3,080
Allbritton Communications Co., 8.00%, 05/15/18		2,929		2,753
Allison Transmission Inc., 7.13%, 05/15/19 (r)		2,419		2,189
AMC Entertainment Inc., 9.75%, 12/01/20		5,429		4,913
Ameristar Casinos Inc., 7.50%, 04/15/21 (e) (r)		4,747		4,593
Armored Autogroup Inc., 9.25%, 11/01/18 (r)		2,000		1,605
Aviation Capital Group Corp., 6.75%, 04/06/21 (r)		6,462		6,217
Beazer Homes USA Inc.
9.13%, 06/15/18		1,000		615
9.13%, 05/15/19 (e)		6,909		4,387
Belo Corp.
8.00%, 11/15/16		393		415
7.25%, 09/15/27 (e)		3,000		2,482
Blue Merger Sub Inc., 7.63%, 02/15/19 (e) (r)		4,950		4,183
Boyd Gaming Corp., 9.13%, 12/01/18 (e) (r)		3,183		2,618
Bresnan Broadband Holdings LLC, 8.00%, 12/15/18 (e) (r)		495		499
Cablevision Systems Corp.
8.63%, 09/15/17		1,000		1,041
7.75%, 04/15/18		512		517
8.00%, 04/15/20 (e)		313		318
CCH II LLC, 13.50%, 11/30/16		1,467		1,672
CCO Holdings LLC, 7.00%, 01/15/19 (e)		3,143		3,049


	Shares/Par (p)		Value
CityCenter Holdings LLC
7.63%, 01/15/16 (e) (r)		4,709		4,426
10.75%, 01/15/17 (e) (r)		1,508		1,369
CKE Restaurants Inc., 11.38%, 07/15/18 (e)		3,256		3,386
Cooper-Standard Automotive Inc., 8.50%, 05/01/18 (e)		820		836
Crown Media Holdings Inc., 10.50%, 07/15/19 (r)		1,800		1,782
Delphi Corp., 6.13%, 05/15/21 (e) (r)		7,389		6,872
Diversey Inc., 8.25%, 11/15/19 (e)		767		915
Dollar General Corp., 11.88%, 07/15/17		1,373		1,517
Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 07/01/19 (r)		5,000		4,712
Dynacast International LLC, 9.25%, 07/15/19 (r)		4,000		3,620
Easton-Bell Sports Inc., 9.75%, 12/01/16		1,400		1,463
Ford Motor Co., 7.45%, 07/16/31 (e)		9,000		10,160
Gymboree Corp., 9.13%, 12/01/18 (e)		2,000		1,480
Hanesbrands Inc.
8.00%, 12/15/16		370		391
6.38%, 12/15/20 (e)		1,100		1,067
Harrah's Operating Co. Inc.
5.38%, 12/15/13		4,500		3,971
10.75%, 02/01/16		1,000		725
11.25%, 06/01/17 (e)		1,291		1,302
10.00%, 12/15/18 (e)		2,000		1,190
Interpublic Group Cos. Inc., 10.00%, 07/15/17		3,793		4,315
J.C. Penney Co. Inc.
6.88%, 10/15/15		1,000		1,038
5.65%, 06/01/20 (e)		2,488		2,332
6.38%, 10/15/36		511		429
Jarden Corp., 6.13%, 11/15/22 (e)		857		838
Kabel BW Erste Beteiligungs GmbH, 7.50%, 03/15/19 (e) (r)		5,159		5,017
Lear Corp.
7.88%, 03/15/18		1,591		1,639
8.13%, 03/15/20 (e)		955		1,003
Lennar Corp., 12.25%, 06/01/17		2,000		2,200
Levi Strauss & Co.
8.88%, 04/01/16 (e)		2,000		2,020
7.63%, 05/15/20 (e)		1,812		1,685
Libbey Glass Inc., 10.00%, 02/15/15		519		544
Live Nation Entertainment Inc., 8.13%, 05/15/18 (r)		574		551
Ltd Brands Inc., 6.63%, 04/01/21		5,960		6,005
MCE Finance Ltd., 10.25%, 05/15/18		3,000		3,180
MDC Partners Inc., 11.00%, 11/01/16		2,279		2,461
Meritage Homes Corp., 6.25%, 03/15/15		2,000		1,920
MGM Resorts International
6.75%, 04/01/13 (e)		2,600		2,522
7.63%, 01/15/17 (e)		925		793
11.38%, 03/01/18 (e)		2,000		2,000
9.00%, 03/15/20		329		342
Michaels Stores Inc., 7.75%, 11/01/18 (e)		2,000		1,870
MTR Gaming Group Inc., 11.50%, 08/01/19 (e) (r)		6,000		4,815
NCL Corp. Ltd., 9.50%, 11/15/18 (r)		920		929
Neiman-Marcus Group Inc., 10.38%, 10/15/15 (e)		4,205		4,247
Newsday Secured Term Loan
10.50%, 08/01/13 (i)		2,000		2,053
10.50%, 12/31/49 (i)		808		829
Nielsen Finance LLC
11.50%, 05/01/16 (e)		288		327
7.75%, 10/15/18 (e)		3,019		3,079


	Shares/Par (p)		Value
Ono Finance II Plc, 10.88%, 07/15/19 (e) (r)		5,172		3,620
Palace Entertainment Holdings LLC, 8.88%, 04/15/17 (r)		4,667		4,270
Petco Animal Supplies Inc., 9.25%, 12/01/18 (e) (r)		3,125		3,125
Phillips-Van Heusen Corp., 7.38%, 05/15/20 (e)		320		334
Pittsburgh Glass Works LLC, 8.50%, 04/15/16 (r)		5,616		5,167
QVC Inc., 7.50%, 10/01/19 (r)		2,649		2,821
Regal Entertainment Group, 9.13%, 08/15/18 (e)		3,215		3,183
Reynolds Group Inc. 7.13%, 04/15/19 (r)		948		882
9.00%, 04/15/19 (e) (r)		1,538		1,307
Reynolds Group Issuer Inc., 8.25%, 02/15/21 (r)		4,000		3,160
Royal Caribbean Cruises Ltd., 7.25%, 06/15/16 (e)		3,500		3,544
Sally Holdings LLC, 10.50%, 11/15/16		1,500		1,549
Scientific Games International Inc., 9.25%, 06/15/19 (e)		2,167		2,183
Seminole Indian Tribe of Florida, 7.75%, 10/01/17 (e) (r)		2,583		2,596
ServiceMaster Co., 10.75%, 07/15/15 (e) (r)		3,000		3,030
Seven Seas Cruises S. DE R.L. LLC, 9.13%, 05/15/19 (e) (r)		3,500		3,465
Shea Homes LP, 8.63%, 05/15/19 (r)		6,338		5,197
Sheraton Holding Corp., 7.38%, 11/15/15 (e)		1,000		1,078
Shingle Springs Tribal Gaming Authority, 9.38%, 06/15/15 (r)		4,000		2,340
Sirius XM Radio Inc.
8.75%, 04/01/15 (r)		3,000		3,247
9.75%, 09/01/15 (r)		1,000		1,083
Standard Pacific Corp.
8.38%, 05/15/18 (e)		983		836
8.38%, 01/15/21 (e)		4,000		3,290
Station Casinos Inc.
6.50%, 02/01/14 (c) (d) (f)		1,000		—
6.88%, 03/01/16 (c) (d) (f)		2,175		—
6.63%, 03/15/18 (c) (d) (f)		50		—
Tenneco Inc.
7.75%, 08/15/18		508		511
6.88%, 12/15/20 (e)		2,211		2,145
Ticketmaster Entertainment Inc., 10.75%, 08/01/16		1,125		1,181
Tower Automotive Holdings USA LLC, 10.63%, 09/01/17 (e) (r)		3,000		2,970
TRW Automotive Inc.
7.00%, 03/15/14 (r)		1,500		1,575
8.88%, 12/01/17 (e) (r)		2,000		2,130
Universal City Development Partners Ltd.
8.88%, 11/15/15		546		592
10.88%, 11/15/16 (e)		271		316
Univision Communications Inc.
7.88%, 11/01/20 (e) (r)		1,447		1,357
8.50%, 05/15/21 (e) (r)		6,355		4,957
UPC Germany GmbH, 8.13%, 12/01/17 (r)		2,000		2,000
UPC Holding BV, 9.88%, 04/15/18 (e) (r)		1,573		1,573
Virgin Media Finance Plc
9.50%, 08/15/16 (e)		2,000		2,160
8.38%, 10/15/19 (e)		2,319		2,464
Virgin Media Inc., 6.50%, 11/15/16		1,000		1,500
Visant Corp., 10.00%, 10/01/17 (e)		4,000		3,700
WMG Acquisition Corp., 11.50%, 10/01/18 (e) (r)		2,917		2,684
WMG Holdings Corp., 13.75%, 10/01/19 (r)		5,000		4,575


	Shares/Par (p)		Value
Wynn Las Vegas LLC, 7.75%, 08/15/20 (e)		1,680		1,764
YCC Holdings LLC, 10.25%, 02/15/16		947		805
Yonkers Racing Corp, 11.38%, 07/15/16 (e) (r)		3,635		3,708

				265,286
CONSUMER STAPLES - 2.9%
Altria Group Inc., 10.20%, 02/06/39 (l)		1,000		1,449
Burger King Holdings Inc., 4.10%, 04/15/19 (e) (k) (r)		6,700		3,668
Dole Food Co. Inc., 8.00%, 10/01/16 (e) (r)		345		353
New Albertson's Inc.
7.75%, 06/15/26 (e)		1,000		820
8.00%, 05/01/31 (e)		1,000		790
Pernod-Ricard SA, 5.75%, 04/07/21 (e) (r)		5,368		5,884
Reynolds Group Issuer Inc.
9.88%, 08/15/19 (e) (r)		4,000		3,520
6.88%, 02/15/21 (r)		1,435		1,291
Rite Aid Corp.
9.50%, 06/15/17		1,000		790
10.25%, 10/15/19 (e)		1,000		1,042
8.00%, 08/15/20 (e)		2,000		2,085
Smithfield Foods Inc., 10.00%, 07/15/14		857		973
Spectrum Brands Holdings Inc., 9.50%, 06/15/18		2,070		2,205
Toys R Us Property Co. I LLC, 10.75%, 07/15/17		3,000		3,172
Tyson Foods Inc., 10.50%, 03/01/14		929		1,073
Yankee Acquisition Corp.
8.50%, 02/15/15 (e)		2,000		1,920
9.75%, 02/15/17		250		231

				31,266
ENERGY - 11.7%
Antero Resources Finance Corp., 7.25%, 08/01/19 (e) (r)		2,055		1,952
Aquilex Holdings LLC, 11.13%, 12/15/16		3,225		1,419
Arch Coal Inc.
7.25%, 10/01/20		1,302		1,250
7.25%, 06/15/21 (r)		4,090		3,937
Bill Barrett Corp., 7.63%, 10/01/19		1,650		1,621
Boart Longyear Management Pty Ltd., 7.00%, 04/01/21 (r)		2,695		2,668
Calumet Specialty Products Partners LP
9.38%, 05/01/19 (e) (r)		4,766		4,432
9.38%, 05/01/19 (r)		3,125		2,875
Chaparral Energy Inc., 9.88%, 10/01/20		3,636		3,636
Chesapeake Energy Corp.
6.88%, 08/15/18 (e)		1,824		1,879
6.13%, 02/15/21 (e)		4,433		4,466
Chesapeake Midstream Partners LP, 5.88%, 04/15/21 (r)		1,320		1,254
Clayton Williams Energy Inc., 7.75%, 04/01/19 (r)		2,857		2,457
Cloud Peak Energy Resources LLC, 8.50%, 12/15/19 (e)		1,990		2,070
Consol Energy Inc.
8.00%, 04/01/17		718		750
8.25%, 04/01/20		1,191		1,254
6.38%, 03/01/21 (r)		667		644
Copano Energy LLC, 7.13%, 04/01/21		1,684		1,646
Denbury Resources Inc.
9.75%, 03/01/16 (e)		1,251		1,351
6.38%, 08/15/21 (e)		2,302		2,233
Dresser-Rand Group Inc., 6.50%, 05/01/21 (r)		2,100		1,974
El Paso Corp.
7.80%, 08/01/31		2,460		2,859


	Shares/Par (p)		Value
7.75%, 01/15/32		3,430		3,973
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 04/01/20		7,000		7,705
Enterprise Products Operating LLC
8.38%, 08/01/66 (e) (i)		860		891
7.03%, 01/15/68 (i)		3,700		3,751
Hilcorp Energy Co., 8.00%, 02/15/20 (r)		2,000		2,035
Holly Corp., 9.88%, 06/15/17		1,000		1,080
Hornbeck Offshore Services Inc., 8.00%, 09/01/17 (e)		3,000		2,985
Linn Energy LLC, 6.50%, 05/15/19 (r)		3,572		3,286
MarkWest Energy Partners LP, 8.75%, 04/15/18		1,517		1,616
Newfield Exploration Co.
6.88%, 02/01/20 (e)		3,430		3,533
5.75%, 01/30/22 (e)		2,242		2,217
NXP BV, 9.75%, 08/01/18 (e) (r)		2,000		2,090
Overseas Shipholding Group Inc, 7.50%, 02/15/24 (e)		3,000		2,002
Penn Virginia Corp., 7.25%, 04/15/19 (e)		2,306		2,133
Plains Exploration & Production Co., 6.63%, 05/01/21 (e)		2,445		2,399
Precision Drilling Corp., 6.63%, 11/15/20 (e)		4,650		4,534
Pride International Inc., 6.88%, 08/15/20		2,970		3,427
QEP Resources Inc., 6.88%, 03/01/21		1,160		1,212
Quicksilver Resources Inc.
11.75%, 01/01/16		1,944		2,100
7.13%, 04/01/16 (e)		3,428		3,017
Range Resources Corp., 5.75%, 06/01/21 (e)		5,144		5,337
SandRidge Energy Inc.
8.00%, 06/01/18 (e) (r)		1,160		1,090
8.75%, 01/15/20		1,275		1,250
7.50%, 03/15/21 (e) (r)		2,049		1,885
SESI LLC, 6.38%, 05/01/19 (r)		3,067		2,960
Targa Resources Partners LP
8.25%, 07/01/16		1,000		1,040
6.88%, 02/01/21 (r)		1,342		1,288
Teekay Corp., 8.50%, 01/15/20 (e)		459		439
Tesoro Corp.
6.50%, 06/01/17		2,000		1,990
9.75%, 06/01/19 (e)		378		408
Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 (e)		2,000		740
Valero Energy Corp., 9.38%, 03/15/19		1,767		2,264

				125,304
FINANCIALS - 9.7%
Abengoa Finance SAU, 8.88%, 11/01/17 (e) (r)		6,483		5,932
Ally Financial Inc.
6.75%, 12/01/14		3,000		2,869
8.00%, 11/01/31		2,000		1,755
BAC Capital Trust VI, 5.63%, 03/08/35		4,000		2,864
Bank of America Corp., 8.00%, (callable at 100 beginning 01/30/18) (m)		1,500		1,275
Capital One Capital VI, 8.88%, 05/15/40		3,852		3,909
CIT Group Inc.
7.00%, 05/02/16 (e) (r)		5,000		4,850
7.00%, 05/02/17 (r)		11,000		10,670
Citigroup Capital XXI, 8.30%, 12/21/57 (i)		2,050		2,009
CKE Holdings Inc., 10.50%, 03/14/16 (r)		3,170		2,773
CNO Financial Group Inc., 9.00%, 01/15/18 (e) (r)		1,242		1,285
Ford Motor Credit Co. LLC
5.00%, 05/15/18		7,244		6,997
8.13%, 01/15/20 (e)		1,053		1,195
5.88%, 08/02/21 (e)		1,478		1,470


	Shares/Par (p)		Value
Genworth Financial Inc.
8.63%, 12/15/16		1,416		1,397
7.63%, 09/24/21 (e)		2,466		2,125
International Lease Finance Corp.
8.63%, 09/15/15 (e)		2,988		2,966
5.75%, 05/15/16 (e)		2,881		2,561
8.75%, 03/15/17 (e)		6,179		6,210
6.25%, 05/15/19		2,490		2,164
8.25%, 12/15/20 (e)		3,003		2,943
Liberty Mutual Group Inc., 7.80%, 03/15/37 (e) (i) (r)		2,300		2,012
Marina District Finance Co. Inc., 9.88%, 08/15/18 (e)		6,000		5,010
Petroplus Finance Ltd., 9.38%, 09/15/19 (e) (r)		1,179		1,008
PNC Preferred Funding Trust III, 8.70%, (callable at 100 beginning 03/15/13) (m) (r)		3,000		3,089
SLM Corp., 6.25%, 01/25/16 (e)		6,715		6,591
Springleaf Finance Corp., 6.90%, 12/15/17		5,000		3,600
Springleaf Finance Corp. Term Loan, 5.50%, 05/06/17 (i)		3,969		3,429
UnumProvident Finance Co. Plc, 6.85%, 11/15/15 (r)		1,000		1,121
Washington Mutual Bank, 6.88%, 06/15/13 (c) (d)		1,500		2
WEA Finance LLC, 6.75%, 09/02/19 (r)		2,694		2,993
Wells Fargo Capital XIII, 7.70%, (callable at 100 beginning 03/26/13) (m)		2,000		2,000
Weyerhaeuser Co., 7.38%, 03/15/32		3,000		2,992

				104,067
HEALTH CARE - 5.8%
American Renal Holdings, 8.38%, 05/15/18 (e)		427		429
Biomet Inc., 10.38%, 10/15/17 (e)		2,000		2,050
Community Health Systems Inc., 8.88%, 07/15/15 (e)		2,733		2,685
DJO Finance LLC, 7.75%, 04/15/18 (r)		4,421		3,780
Endo Pharmaceuticals Holdings Inc.
7.00%, 12/15/20 (r)		2,260		2,266
7.25%, 01/15/22 (e) (r)		1,454		1,458
Fresenius Medical Care US Finance Inc.
6.50%, 09/15/18 (e) (r)		2,300		2,334
5.75%, 02/15/21 (r)		3,667		3,539
HCA Inc.
6.25%, 02/15/13		2,234		2,265
5.75%, 03/15/14		3,561		3,472
6.50%, 02/15/16 (e)		4,000		3,820
6.50%, 02/15/20		2,571		2,513
Healthsouth Corp.
7.25%, 10/01/18 (e)		1,700		1,615
8.13%, 02/15/20		2,000		1,875
IASIS Healthcare LLC, 8.38%, 05/15/19 (r)		2,800		2,268
IVD Acquisition Corp., 11.13%, 08/15/19 (e) (r)		2,400		2,334
Mylan Inc., 7.88%, 07/15/20 (r)		2,216		2,316
Omnicare Inc., 7.75%, 06/01/20 (e)		2,032		2,073
Phibro Animal Health Corp., 9.25%, 07/01/18 (r)		1,400		1,368
Radnet Management Inc., 10.38%, 04/01/18		5,000		4,625
Res-Care Inc., 10.75%, 01/15/19		3,555		3,448
US Oncology Escrow, 0.00%, 02/16/47		828		6
Valeant Pharmaceuticals International
6.75%, 10/01/17 (e) (r)		2,804		2,583
6.88%, 12/01/18 (r)		2,642		2,391
Vanguard Health Holding Co. II LLC, 8.00%, 02/01/18 (e)		4,679		4,293


	Shares/Par (p)		Value
Vanguard Health Systems Inc., 0.00%, 02/01/16 (j)		824		536

				62,342
INDUSTRIALS - 8.5%
ACCO Brands Corp., 10.63%, 03/15/15		469		504
AE Escrow Corp., 9.75%, 03/15/20 (r)		4,200		4,032
Air Canada, 9.25%, 08/01/15 (e) (r)		3,000		2,850
Aircastle Ltd., 9.75%, 08/01/18 (e)		5,000		5,150
American Commercial Lines Inc., 10.63%, 02/15/16 (e) (r)		4,439		3,462
ARAMARK Corp.
3.75%, 02/01/15 (i)		220		204
8.63%, 05/01/16 (e) (r)		4,967		4,892
ArvinMeritor Inc., 10.63%, 03/15/18 (e)		2,500		2,406
Blue Merger Sub Inc., 8.25%, 06/01/19 (r)		3,333		3,000
Bombardier Inc., 7.50%, 03/15/18 (e) (r)		2,730		2,880
Building Materials Corp. of America, 6.75%, 05/01/21 (r)		2,308		2,193
Case New Holland Inc., 7.88%, 12/01/17		3,925		4,180
Columbus McKinnon Corp., 7.88%, 02/01/19		2,000		1,940
Ducommun Inc., 9.75%, 07/15/18 (r)		5,081		5,081
DynCorp International Inc., 10.38%, 07/01/17 (e)		6,619		5,775
EnergySolutions Inc., 10.75%, 08/15/18		5,150		5,150
FGI Operating Co. Inc., 10.25%, 08/01/15 (e)		571		594
Florida East Coast Railway Corp.
8.13%, 02/01/17 (e)		2,296		2,227
10.50%, 08/01/17		1,053		990
Hertz Corp., 6.75%, 04/15/19 (e)		7,188		6,523
Interactive Data Corp., 10.25%, 08/01/18		730		785
International Wire Group Inc., 9.75%, 04/15/15 (r)		3,000		2,947
Iron Mountain Inc., 7.75%, 10/01/19		5,000		4,962
L-3 Communications Corp., 6.38%, 10/15/15		1,000		1,021
Liberty Tire Recycling, 11.00%, 10/01/16 (r)		2,000		2,040
Manitowoc Co. Inc., 8.50%, 11/01/20 (e)		1,782		1,613
Nortek Inc., 8.50%, 04/15/21 (e) (r)		2,150		1,731
Owens Corning, 9.00%, 06/15/19		1,383		1,633
Polymer Group Inc., 7.75%, 02/01/19 (r)		530		529
Spirit Aerosystems Inc., 7.50%, 10/01/17		485		502
TransUnion LLC, 11.38%, 06/15/18 (e)		2,006		2,182
Trimas Corp., 9.75%, 12/15/17		2,500		2,613
United Rentals North America Inc., 8.38%, 09/15/20 (e)		1,923		1,764
Western Express Inc., 12.50%, 04/15/15 (e) (r)		4,000		2,680

				91,035
INFORMATION TECHNOLOGY - 4.1%
Amkor Technology Inc., 6.63%, 06/01/21 (e) (r)		6,404		5,732
Equinix Inc., 7.00%, 07/15/21		5,250		5,230
First Data Corp.
9.88%, 09/24/15 (e)		171		143
10.55%, 09/24/15 (e)		248		206
7.38%, 06/15/19 (e) (r)		4,107		3,645
8.25%, 01/15/21 (r)		2,813		2,222
12.63%, 01/15/21 (r)		1,813		1,342
Freescale Semiconductor Inc.
8.05%, 02/01/20 (e)		4,308		3,899
10.75%, 08/01/20 (e)		5,321		5,321
Jabil Circuit Inc., 5.63%, 12/15/20		2,430		2,369
Sanmina-SCI Corp., 8.13%, 03/01/16 (e)		683		688
Seagate HDD Cayman, 7.75%, 12/15/18 (r)		4,734		4,639
Seagate Technology Plc, 7.00%, 11/01/21 (e) (r)		1,388		1,277


	Shares/Par (p)		Value
Sensata Technologies BV, 6.50%, 05/15/19 (e) (r)		1,879		1,785
SunGard Data Systems Inc., 10.25%, 08/15/15 (e)		2,515		2,540
Unisys Corp., 12.75%, 10/15/14 (e) (r)		257		291
Viasat Inc., 8.88%, 09/15/16		628		638
Viasystems Group Inc., 12.00%, 01/15/15 (r)		2,000		2,140

				44,107
MATERIALS - 9.2%
AEP Industries Inc., 8.25%, 04/15/19		1,200		1,131
American Rock Salt Co. LLC, 8.25%, 05/01/18 (r)		2,000		1,750
Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (e) (r)		833		750
Atkore International Inc., 9.88%, 01/01/18 (r)		4,000		3,620
Ball Corp., 5.75%, 05/15/21 (e)		410		399
Berry Plastics Corp.
9.50%, 05/15/18 (e)		2,000		1,700
9.75%, 01/15/21 (e)		4,000		3,400
Building Materials Corp. of America
6.88%, 08/15/18 (e) (r)		1,582		1,534
7.00%, 02/15/20 (e) (r)		658		656
7.50%, 03/15/20 (r)		1,172		1,172
BWAY Holdings Co., 10.00%, 06/15/18 (e)		967		1,015
BWAY Parent Co. Inc., 10.13%, 11/01/15		3,168		3,057
Celanese US Holdings LLC, 5.88%, 06/15/21 (e)		1,778		1,751
Cemex Finance LLC, 9.50%, 12/14/16 (e) (r)		6,417		4,652
Cemex SAB de CV, 9.00%, 01/11/18 (r)		1,552		1,051
Crown Americas LLC, 6.25%, 02/01/21 (e) (r)		6,176		6,176
Exopack Holding Corp., 10.00%, 06/01/18 (r)		6,000		5,610
Ferrexpo Finance Plc, 7.88%, 04/07/16 (e) (r)		3,000		2,595
FMG Resources August 2006 Pty Ltd., 6.88%, 02/01/18 (e) (r)		4,270		3,758
Georgia-Pacific LLC, 7.13%, 01/15/17 (r)		4,000		4,192
Gerdau Holdings Inc., 5.75%, 01/30/21 (r)		5,020		4,756
Graphic Packaging International Corp., 7.88%, 10/01/18		475		487
Hanson Ltd., 6.13%, 08/15/16		1,231		1,237
Hexion Specialty Chemicals Inc., 9.20%, 03/15/21		2,165		1,624
Hexion US Finance Corp.
8.88%, 02/01/18 (e)		1,641		1,354
9.00%, 11/15/20		2,000		1,465
Huntsman International LLC, 8.63%, 03/15/20 (e)		769		748
Ineos Finance Plc, 9.00%, 05/15/15 (e) (r)		708		673
Ineos Group Holdings Plc, 8.50%, 02/15/16 (e) (r)		2,000		1,480
LBI Escrow Corp., 8.00%, 11/01/17 (e) (r)		4,215		4,542
Mercer International Inc., 9.50%, 12/01/17 (e)		2,000		1,965
Mirabela Nickel Ltd., 8.75%, 04/15/18 (e) (r)		2,847		2,306
Momentive Performance Materials Inc., 9.00%, 01/15/21		3,000		2,055
Novelis Inc., 8.75%, 12/15/20		7,000		6,860
Omnova Solutions Inc., 7.88%, 11/01/18		3,066		2,483
Owens-Illinois Inc., 7.80%, 05/15/18 (e)		2,000		2,050
Plastipak Holdings Inc., 10.63%, 08/15/19 (r)		2,400		2,496
Radnor Holdings Corp., 11.00%, 06/15/13 (c) (d) (f)		100		—
Sealed Air Corp.
8.13%, 09/15/19 (r)		1,190		1,202
8.38%, 09/15/21 (r)		1,017		1,027
Smurfit Kappa Funding Plc, 7.75%, 04/01/15		575		552
Steel Dynamics Inc., 6.75%, 04/01/15		2,000		1,965


	Shares/Par (p)		Value
Verso Paper Holdings LLC
11.50%, 07/01/14		1,800		1,872
11.38%, 08/01/16 (e)		1,000		725
8.75%, 02/01/19 (e)		2,583		1,782
Vulcan Materials Co., 7.50%, 06/15/21 (e)		1,333		1,244

				98,920
TELECOMMUNICATION SERVICES - 6.8%
Avaya Inc., 7.00%, 04/01/19 (e) (r)		3,945		3,353
Cincinnati Bell Inc., 8.75%, 03/15/18 (e)		5,312		4,714
Clearwire Communications LLC, 12.00%, 12/01/17 (e) (r)		6,167		3,716
EH Holding Corp., 7.63%, 06/15/21 (e) (r)		6,734		6,481
Frontier Communications Corp.
8.25%, 04/15/17 (e)		938		910
8.13%, 10/01/18 (e)		882		864
7.13%, 03/15/19 (e)		620		591
8.50%, 04/15/20 (e)		3,244		3,147
Inmarsat Finance Plc, 7.38%, 12/01/17 (e) (r)		781		783
Intelsat Jackson Holding Ltd., 7.25%, 10/15/20 (e) (r)		1,990		1,836
Intelsat Jackson Holdings SA, 7.25%, 04/01/19 (r)		1,846		1,712
Intelsat Luxembourg SA, 11.25%, 02/04/17 (e)		7,500		6,506
ITC Deltacom Inc., 10.50%, 04/01/16		3,000		3,060
Level 3 Communications Inc., 11.88%, 02/01/19 (r)		2,000		1,900
Level 3 Escrow Inc., 8.13%, 07/01/19 (r)		2,665		2,355
Nextel Communications Inc.
6.88%, 10/31/13 (e)		371		361
5.95%, 03/15/14		2,629		2,465
Qwest Communications International Inc.
8.00%, 10/01/15		1,188		1,235
7.13%, 04/01/18		1,844		1,807
Santander Holdings USA Inc., 4.63%, 04/19/16 (e)		1,100		1,060
Sprint Capital Corp.
6.90%, 05/01/19 (e)		1,666		1,433
6.88%, 11/15/28		6,141		4,590
Sprint Nextel Corp., 6.00%, 12/01/16		2,654		2,282
Syniverse Holdings Inc., 9.13%, 01/15/19 (e)		1,960		1,921
Telesat Canada
11.00%, 11/01/15 (e)		2,000		2,140
12.50%, 11/01/17		500		560
West Corp., 7.88%, 01/15/19		5,488		5,159
Windstream Corp., 7.75%, 10/15/20		5,333		5,200

				72,141
UTILITIES - 5.7%
AES Corp.
9.75%, 04/15/16 (e)		1,355		1,457
8.00%, 10/15/17		2,000		2,010
8.00%, 06/01/20		2,000		2,000
7.38%, 07/01/21 (e) (r)		3,367		3,182
Calpine Corp.
7.88%, 07/31/20 (r)		3,000		2,895
7.88%, 01/15/23 (e) (r)		4,149		4,004
CMS Energy Corp., 6.55%, 07/17/17		1,500		1,596
Dolphin Subsidiary II Inc., 7.25%, 10/15/21 (r)		3,214		3,118
Duquesne Light Holdings Inc., 5.90%, 12/01/21 (e) (r)		5,555		5,629
Dynegy Holdings Inc., 7.75%, 06/01/19 (e)		3,500		2,117
Dynegy Inc. 1st Lien Term Loan
9.86%, 08/04/16 (i)		2,500		2,453
9.86%, 08/04/16 (i)		1,500		1,453
Edison Mission Energy, 7.00%, 05/15/17 (e)		2,900		1,725


	Shares/Par (p)		Value
Energy Future Holdings Corp.
10.88%, 11/01/17		688		554
11.25%, 11/01/17 (e)		745		622
10.00%, 12/01/20 (e)		1,380		1,346
GenOn Energy Inc., 9.88%, 10/15/20 (e)		5,956		5,569
GenOn Escrow Corp. Term Loan B, 6.00%, 09/20/17 (i)		3,166		3,101
Ipalco Enterprises Inc., 7.25%, 04/01/16 (r)		800		822
IPALCO Enterprises Inc., 5.00%, 05/01/18 (r)		1,898		1,737
NRG Energy Inc.
7.63%, 01/15/18 (e) (r)		4,825		4,487
7.88%, 05/15/21 (e) (r)		835		764
Puget Energy Inc., 6.00%, 09/01/21		4,669		4,631
RRI Energy Inc., 7.88%, 06/15/17 (e)		1,500		1,380
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan 4.69%, 10/10/17 (i)		3,758		2,501

				61,152

Total Corporate Bonds and Notes (cost $1,002,579)				955,620

COMMON STOCKS - 2.5%
CONSUMER DISCRETIONARY - 0.3%
DISH Network Corp. - Class A (c)		150		3,759
Home Interior Gift Inc. (c) (f) (q)		429		—

				3,759
CONSUMER STAPLES - 0.3%
B&G Foods Inc.		200		3,336
ENERGY - 0.5%
Chesapeake Energy Corp.		14		366
Inergy LP		95		2,377
Linn Energy LLC		80		2,853

				5,596
FINANCIALS - 0.8%
JPMorgan Chase & Co.		135		4,066
Wells Fargo & Co.		175		4,221

				8,287
HEALTH CARE - 0.2%
DaVita Inc. (c)		35		2,193
MATERIALS - 0.1%
Applied Extrusion Technologies Inc. - Class B (c) (f) (q)		3		—
Rock-Tenn Co.		14		660

				660
TELECOMMUNICATION SERVICES - 0.3%
Manitoba Telecom Services Inc. (q)		1		16
Windstream Corp. (e)		240		2,799

				2,815

Total Common Stocks (cost $27,827)				26,646

PREFERRED STOCKS - 1.4%
FINANCIALS - 1.4%
Ally Financial Inc., 7.00%, (callable at 1,000 beginning 12/31/11) (m) (r)		1		679
Ally Financial Inc., 8.50%, (callable at 25 beginning 05/15/16) (m)		480		8,376
Citigroup Capital XIII, 7.88%, (callable at 25 on 10/30/15) (m)		191		5,044
Federal Home Loan Mortgage Corp., 8.38%, (callable at 25 beginning 12/31/12), Series Z (c) (d) (m)		50		100


	Shares/Par (p)		Value
Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)		19		36
Federal National Mortgage Association, 8.25%, (callable at 25 beginning 05/20/13), Series T (c) (d) (e) (m)		40		78
Wells Fargo Capital XII, 7.88%, (callable at 25 beginning 03/15/13) (m)		18		464

Total Preferred Stocks (cost $20,412)				14,777

INVESTMENT COMPANIES - 0.6%
Eaton Vance Senior Floating-Rate Trust		150		2,131
Invesco Van Kampen Senior Income Trust		400		1,688
Pimco Floating Rate Strategy Fund		267		2,339

Total Investment Companies (cost $5,446)				6,158

OTHER EQUITY INTERESTS - 0.1%
Stone Container Finance Co., 7.38%, 07/15/14 (f) (u)		1,375		—
Wind Acquisition Finance SA, 11.75%, 07/15/17 (r) (u)		1,113		946

Total Other Equity Interests (cost $1,102)				946

SHORT TERM INVESTMENTS - 30.5%
Investment Companies - 2.8%
JNL Money Market Fund, 0.02% (a) (h)		30,361		30,361

Securities Lending Collateral - 27.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		296,142		296,142
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		516		500

				296,642

Total Short Term Investments (cost $327,019)				327,003

Total Investments - 126.4% (cost $1,404,906)				1,354,352
Other Assets and Liabilities, Net - (26.4%)				(282,731	)

Total Net Assets - 100.0%			$	1,071,621

JNL/PPM America Mid Cap Value Fund
COMMON STOCKS - 99.5%
CONSUMER DISCRETIONARY - 13.6%
Bally Technologies Inc. (c) (e)		58	$	1,554
Best Buy Co. Inc. (e)		55		1,282
Macy’s Inc.		95		2,495
Meredith Corp. (e)		93		2,115
Newell Rubbermaid Inc.		219		2,594
Royal Caribbean Cruises Ltd.		60		1,298
Skechers U.S.A. Inc. - Class A (c)		103		1,439
Viacom Inc. - Class B		25		961

				13,738
CONSUMER STAPLES - 3.4%
Corn Products International Inc.		62		2,429
SUPERVALU Inc. (e)		147		982

				3,411
ENERGY - 8.9%
Comstock Resources Inc. (c) (e)		117		1,812
Diamond Offshore Drilling Inc. (e)		35		1,938
Helix Energy Solutions Group Inc. (c)		135		1,771


	Shares/Par (p)		Value
National Oilwell Varco Inc.		23		1,157
Patterson-UTI Energy Inc.		134		2,329

				9,007
FINANCIALS - 14.6%
Allstate Corp.		90		2,141
American Financial Group Inc.		87		2,694
Astoria Financial Corp.		305		2,348
Hartford Financial Services Group Inc.		153		2,468
Lincoln National Corp.		160		2,504
Reinsurance Group of America Inc.		55		2,513

				14,668
HEALTH CARE - 8.7%
CIGNA Corp.		61		2,575
LifePoint Hospitals Inc. (c)		65		2,374
Owens & Minor Inc.		58		1,660
Teleflex Inc.		40		2,162

				8,771
INDUSTRIALS - 24.5%
Belden Inc.		38		967
Con-Way Inc.		90		1,983
Esterline Technologies Corp. (c)		47		2,431
GATX Corp.		64		1,980
Goodrich Corp.		18		2,172
Kennametal Inc.		82		2,695
Lincoln Electric Holdings Inc.		88		2,550
SkyWest Inc.		89		1,020
Spirit Aerosystems Holdings Inc. (c)		161		2,565
Steelcase Inc. - Class A		263		1,662
Terex Corp. (c)		201		2,061
Textron Inc.		146		2,568

				24,654
INFORMATION TECHNOLOGY - 12.3%
Applied Materials Inc.		155		1,604
Avnet Inc. (c)		94		2,449
Computer Sciences Corp.		78		2,097
Fairchild Semiconductor International Inc. (c)		219		2,362
Omnivision Technologies Inc. (c)		95		1,337
Teradyne Inc. (c)		226		2,487

				12,336
MATERIALS - 9.2%
Allegheny Technologies Inc.		25		939
Nucor Corp.		34		1,063
Olin Corp.		110		1,972
PPG Industries Inc.		15		1,046
Reliance Steel & Aluminum Co.		70		2,381
Steel Dynamics Inc.		191		1,895

				9,296
UTILITIES - 4.3%
Edison International		69		2,647
Westar Energy Inc.		63		1,654

				4,301

Total Common Stocks (cost $132,648)				100,182


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 6.5%
Securities Lending Collateral - 6.5%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		6,568		6,568

Total Short Term Investments (cost $6,568)				6,568

Total Investments - 106.0% (cost $139,216)				106,750
Other Assets and Liabilities, Net - (6.0%)				(6,063	)

Total Net Assets - 100.0%			$	100,687

JNL/PPM America Small Cap Value Fund
COMMON STOCKS - 99.4%
CONSUMER DISCRETIONARY - 18.1%
Bally Technologies Inc. (c)		57	$	1,524
Bob Evans Farms Inc.		52		1,492
Columbia Sportswear Co.		31		1,457
Jakks Pacific Inc.		80		1,508
K-Swiss Inc. - Class A (c) (e)		137		583
Meredith Corp. (e)		70		1,585
Skechers U.S.A. Inc. - Class A (c)		84		1,183
Superior Industries International Inc. (e)		104		1,607

				10,939
CONSUMER STAPLES - 6.8%
Corn Products International Inc.		22		879
Cott Corp. (c)		231		1,573
Hain Celestial Group Inc. (c)		31		941
SUPERVALU Inc. (e)		110		734

				4,127
ENERGY - 8.0%
Comstock Resources Inc. (c)		89		1,379
Helix Energy Solutions Group Inc. (c)		105		1,378
Hercules Offshore Inc. (c)		348		1,016
Patterson-UTI Energy Inc.		60		1,044

				4,817
FINANCIALS - 12.2%
American Financial Group Inc.		26		799
Astoria Financial Corp.		184		1,413
Delphi Financial Group Inc. - Class A		73		1,577
Independent Bank Corp. (e)		74		1,615
Reinsurance Group of America Inc.		14		634
SeaBright Insurance Holdings Inc.		181		1,305

				7,343
HEALTH CARE - 8.3%
Greatbatch Inc. (c)		49		976
LifePoint Hospitals Inc. (c)		43		1,565
Owens & Minor Inc.		32		908


	Shares/Par (p)		Value
Teleflex Inc.		28		1,522

				4,971
INDUSTRIALS - 28.1%
Apogee Enterprises Inc.		176		1,511
Belden Inc.		57		1,473
Con-Way Inc.		70		1,547
Esterline Technologies Corp. (c)		28		1,472
GATX Corp.		38		1,187
GenCorp Inc. (c) (e)		377		1,691
Kennametal Inc.		46		1,519
Lincoln Electric Holdings Inc.		43		1,236
SkyWest Inc.		137		1,572
Spirit Aerosystems Holdings Inc. (c)		56		890
Steelcase Inc. - Class A		237		1,492
Terex Corp. (c)		131		1,340

				16,930
INFORMATION TECHNOLOGY - 12.1%
Benchmark Electronics Inc. (c)		118		1,536
Fairchild Semiconductor International Inc. (c)		134		1,443
Omnivision Technologies Inc. (c)		95		1,334
SYNNEX Corp. (c)		56		1,462
Teradyne Inc. (c)		139		1,532

				7,307
MATERIALS - 4.3%
Olin Corp.		83		1,498
Reliance Steel & Aluminum Co.		18		602
Steel Dynamics Inc.		52		516

				2,616
UTILITIES - 1.5%
Westar Energy Inc.		34		909

Total Common Stocks (cost $77,655)				59,959

SHORT TERM INVESTMENTS - 6.4%
Securities Lending Collateral - 6.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		3,839		3,839

Total Short Term Investments (cost $3,839)				3,839

Total Investments - 105.8% (cost $81,494)				63,798
Other Assets and Liabilities, Net - (5.8%)				(3,502	)

Total Net Assets - 100.0%			$	60,296

JNL/PPM America Value Equity Fund
COMMON STOCKS - 99.6%
CONSUMER DISCRETIONARY - 11.3%
Best Buy Co. Inc. (e)		46	$	1,076
Comcast Corp. - Class A		113		2,364
Macy’s Inc.		81		2,132
Newell Rubbermaid Inc.		138		1,638
Royal Caribbean Cruises Ltd.		42		913
VF Corp.		8		1,021
Viacom Inc. - Class B		46		1,767

				10,911
CONSUMER STAPLES - 6.3%
Altria Group Inc.		96		2,565
Archer-Daniels-Midland Co.		83		2,057


	Shares/Par (p)		Value
CVS Caremark Corp.		42		1,424

				6,046
ENERGY - 11.9%
Apache Corp.		27		2,166
Chevron Corp.		26		2,406
ConocoPhillips		34		2,134
Diamond Offshore Drilling Inc. (e)		30		1,653
National Oilwell Varco Inc.		21		1,065
Occidental Petroleum Corp.		19		1,323
Patterson-UTI Energy Inc.		44		760

				11,507
FINANCIALS - 23.4%
Allstate Corp.		74		1,744
Bank of America Corp.		313		1,913
Goldman Sachs Group Inc.		23		2,175
Hartford Financial Services Group Inc.		137		2,214
JPMorgan Chase & Co.		76		2,295
Lincoln National Corp.		136		2,129
Morgan Stanley		165		2,222
PNC Financial Services Group Inc.		22		1,036
Travelers Cos. Inc.		48		2,324
U.S. Bancorp		86		2,029
Wells Fargo & Co.		103		2,487

				22,568
HEALTH CARE - 11.2%
CIGNA Corp.		56		2,365
Johnson & Johnson		24		1,504
Medtronic Inc.		61		2,034
Merck & Co. Inc.		77		2,506
Pfizer Inc.		137		2,419

				10,828
INDUSTRIALS - 11.2%
Caterpillar Inc.		30		2,215
Goodrich Corp.		17		2,003
Lockheed Martin Corp.		32		2,332
Spirit Aerosystems Holdings Inc. (c)		86		1,372
Terex Corp. (c)		72		738
Textron Inc.		123		2,161

				10,821
INFORMATION TECHNOLOGY - 15.6%
Applied Materials Inc.		168		1,743
Avnet Inc. (c)		46		1,210
Computer Sciences Corp.		49		1,321
Hewlett-Packard Co.		106		2,389
Intel Corp.		115		2,455
International Business Machines Corp.		12		2,013
Microsoft Corp.		96		2,387
Texas Instruments Inc.		56		1,492

				15,010
MATERIALS - 3.3%
Allegheny Technologies Inc.		22		799
Nucor Corp.		45		1,414
PPG Industries Inc.		14		975

				3,188
TELECOMMUNICATION SERVICES - 3.3%
AT&T Inc.		73		2,070
Verizon Communications Inc.		29		1,071

				3,141
UTILITIES - 2.1%
Edison International		53		2,020


	Shares/Par (p)		Value
Total Common Stocks (cost $105,394)				96,040

SHORT TERM INVESTMENTS - 2.9%
Investment Companies - 0.2%
JNL Money Market Fund, 0.02% (a) (h)		209		209
Securities Lending Collateral - 2.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		2,519		2,519
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		97		94

				2,613

Total Short Term Investments (cost $2,825)				2,822

Total Investments - 102.5% (cost $108,219)				98,862
Other Assets and Liabilities, Net - (2.5%)				(2,447	)

Total Net Assets - 100.0%			$	96,415

JNL/Red Rocks Listed Private Equity Fund
COMMON STOCKS - 98.5%
DIVERSIFIED - 5.9%
Holding Companies - Diversified - 5.9%
Ackermans & van Haaren NV		155	$	10,894
Aker ASA		386		7,757
Remgro Ltd.		689		9,422
Schouw & Co.		533		9,852

				37,925
FINANCIALS - 78.6%
Closed - End Funds - 31.5%
AP Alternative Assets LP (e)		2,645		26,982
ARC Capital Holdings Ltd. (c)		11,600		8,961
Candover Investments Plc (c)		790		5,751
Castle Private Equity Ltd. (c)		1,082		9,490
Conversus Capital LP		1,598		32,830
Electra Private Equity Plc (c)		1,051		22,294
Graphite Enterprise Trust Plc		2,582		14,736
HBM BioVentures AG - Class A (c) (e)		229		10,434
HgCapital Trust Plc		823		12,742
Pantheon International, LLC (c)		1,337		12,997
Princess Private Equity Holding Ltd.		2,336		18,151
Standard Life European Private Equity Trust Plc		2,022		4,226
SVG Capital Plc (c)		7,496		24,382

				203,976
Diversified Financial Services - 19.5%
Blackstone Group LP		2,142		25,659
Brookfield Asset Management Inc. - Class A		377		10,386
GP Investments Ltd. - BDR (c)		4,252		9,294
Intermediate Capital Group Plc		5,698		18,947
KKR & Co. LP		2,485		25,844
Onex Corp.		801		24,968
Partners Group Holding AG (e)		65		10,752

				125,850
Holding Companies - Diversified - 1.8%
Leucadia National Corp.		510		11,567
Investment Companies - 6.4%
Bure Equity AB (c)		1,721		4,697
LMS Capital Plc (c)		7,532		6,535


	Shares/Par (p)		Value
Ratos AB (e)		1,808		20,755
RHJ International (c) (e)		1,165		6,038
THL Credit Inc.		289		3,156

				41,181
Venture Capital - 19.4%
3i Group Plc		10,055		29,234
Altamir Amboise (c) (e)		1,611		14,049
American Capital Ltd. (c)		229		1,562
Apollo Global Management LLC - Class A		1,289		13,196
Aurelius AG (e)		169		6,263
Deutsche Beteiligungs AG (e)		431		8,595
Eurazeo		655		27,510
Gimv NV (e)		408		19,926
IP Group Plc (c)		5,867		4,300
Marfin Investment Group SA (c)		2,641		830

				125,465
INDUSTRIALS - 6.6%
Fosun International Ltd.		30,199		15,245
Orkla ASA		1,055		8,019
Wendel Investissement (e)		312		19,556

				42,820
TELECOMMUNICATION SERVICES - 5.4%
ICG Group Inc. (c)		1,131		10,417
Safeguard Scientifics Inc. (c) (e)		1,054		15,820
SoftBank Corp. (e)		291		8,515
UTILITIES - 2.0%
Brookfield Infrastructure Partners LP		528		12,847

Total Common Stocks (cost $741,485)				636,383

RIGHTS - 0.1%
HgCapital Trust Plc (c)		222		317

Total Rights (cost $263)				317

SHORT TERM INVESTMENTS - 2.9%
Investment Companies - 0.7%
JNL Money Market Fund, 0.02% (a) (h)		4,751		4,751
Securities Lending Collateral - 2.2%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		14,148		14,148

Total Short Term Investments (cost $18,899)				18,899

Total Investments - 101.5% (cost $760,647)				655,599
Other Assets and Liabilities, Net - (1.5%)				(9,552	)

Total Net Assets - 100.0%			$	646,047

JNL/S&P Managed Conservative Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Eagle Core Equity Fund (10.4%) (a)		3,235	$	21,609
JNL/Goldman Sachs Core Plus Bond Fund (13.4%) (a)		11,433		146,118
JNL/Goldman Sachs Emerging Markets Debt Fund (4.4%) (a)		2,684		34,484
JNL/Goldman Sachs Mid Cap Value Fund (3.3%) (a)		2,319		20,758
JNL/Invesco International Growth Fund (3.8%) (a)		2,445		22,082
JNL/Invesco Large Cap Growth Fund (2.5%) (a)		1,940		21,399


	Shares/Par (p)		Value
JNL/JPMorgan International Value Fund (3.9%) (a)		3,386		21,164
JNL/JPMorgan U.S. Government & Quality Bond Fund (11.9%) (a)		11,181		157,762
JNL/Oppenheimer Global Growth Fund (2.2%) (a)		1,197		10,805
JNL/PIMCO Real Return Fund (6.4%) (a)		11,996		157,633
JNL/PIMCO Total Return Bond Fund (3.6%) (a)		11,137		141,438
JNL/PPM America Floating Rate Income Fund (24.7%) (a)		11,391		111,295
JNL/T. Rowe Price Established Growth Fund (1.5%) (a)		1,236		23,568
JNL/T. Rowe Price Short-Term Bond Fund (17.9%) (a)		22,875		228,293
JNL/T. Rowe Price Value Fund (3.4%) (a)		4,084		38,549
JNL/WMC Value Fund (3.7%) (a)		2,622		39,299

Total Investment Companies (cost $1,177,795)				1,196,256

Total Investments - 99.9% (cost $1,177,795)				1,196,256
Other Assets and Liabilities, Net - 0.1%				1,606

Total Net Assets - 100.0%			$	1,197,862

JNL/S&P Managed Moderate Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/Franklin Templeton International Small Cap Growth Fund (0.3%) (a)		99	$	686
JNL/Goldman Sachs Core Plus Bond Fund (15.8%) (a)		13,406		171,328
JNL/Goldman Sachs Emerging Markets Debt Fund (7.3%) (a)		4,491		57,712
JNL/Goldman Sachs Mid Cap Value Fund (10.4%) (a)		7,366		65,925
JNL/Invesco Global Real Estate Fund (0.8%) (a)		727		5,354
JNL/Invesco International Growth Fund (6.4%) (a)		4,103		37,048
JNL/Invesco Large Cap Growth Fund (10.4%) (a)		8,190		90,331
JNL/JPMorgan International Value Fund (6.3%) (a)		5,448		34,050
JNL/JPMorgan MidCap Growth Fund (13.8%) (a)		2,841		47,986
JNL/JPMorgan U.S. Government & Quality Bond Fund (14.0%) (a)		13,253		187,006
JNL/Lazard Emerging Markets Fund (3.0%) (a)		3,567		34,062
JNL/M&G Global Basics Fund (14.7%) (a)		2,931		36,931
JNL/Oppenheimer Global Growth Fund (7.5%) (a)		4,111		37,126
JNL/PIMCO Real Return Fund (9.6%) (a)		18,067		237,396
JNL/PIMCO Total Return Bond Fund (4.9%) (a)		14,900		189,229
JNL/PPM America Floating Rate Income Fund (27.7%) (a)		12,791		124,963
JNL/T. Rowe Price Established Growth Fund (6.9%) (a)		5,900		112,520
JNL/T. Rowe Price Short-Term Bond Fund (21.3%) (a)		27,187		271,330
JNL/T. Rowe Price Value Fund (9.5%) (a)		11,227		105,985
JNL/WMC Value Fund (9.9%) (a)		7,045		105,597

Total Investment Companies (cost $1,960,636)				1,952,565


	Shares/Par (p)		Value
Total Investments - 99.9% (cost $1,960,636)				1,952,565
Other Assets and Liabilities, Net - 0.1%				1,629

Total Net Assets - 100.0%			$	1,954,194

JNL/S&P Managed Moderate Growth Fund (b)
INVESTMENT COMPANIES - 100.0%
JNL/BlackRock Commodity Securities Fund (1.2%) (a)		1,195	$	10,974
JNL/Eagle SmallCap Equity Fund (2.8%) (a)		1,018		19,655
JNL/Franklin Templeton International Small Cap Growth Fund (7.7%) (a)		2,295		15,907
JNL/Franklin Templeton Small Cap Value Fund (11.0%) (a)		3,901		34,911
JNL/Goldman Sachs Core Plus Bond Fund (16.3%) (a)		13,904		177,691
JNL/Goldman Sachs Emerging Markets Debt Fund (12.4%) (a)		7,586		97,476
JNL/Goldman Sachs Mid Cap Value Fund (22.3%) (a)		15,857		141,919
JNL/Invesco Global Real Estate Fund (1.2%) (a)		1,111		8,178
JNL/Invesco International Growth Fund (20.3%) (a)		13,083		118,137
JNL/Invesco Large Cap Growth Fund (24.8%) (a)		19,433		214,351
JNL/JPMorgan International Value Fund (20.9%) (a)		18,147		113,417
JNL/JPMorgan MidCap Growth Fund (22.6%) (a)		4,653		78,596
JNL/JPMorgan U.S. Government & Quality Bond Fund (14.5%) (a)		13,671		192,900
JNL/Lazard Emerging Markets Fund (7.2%) (a)		8,707		83,150
JNL/M&G Global Basics Fund (18.3%) (a)		3,640		45,863
JNL/Oppenheimer Global Growth Fund (12.6%) (a)		6,893		62,242
JNL/PIMCO Real Return Fund (11.7%) (a)		22,020		289,342
JNL/PIMCO Total Return Bond Fund (5.3%) (a)		16,341		207,528
JNL/PPM America Floating Rate Income Fund (23.4%) (a)		10,792		105,438
JNL/PPM America High Yield Bond Fund (4.9%) (a)		8,083		52,862
JNL/PPM Mid Cap Value Fund (11.1%) (a)		1,326		11,190
JNL/T. Rowe Price Established Growth Fund (16.6%) (a)		14,140		269,660
JNL/T. Rowe Price Mid-Cap Growth Fund (3.0%) (a)		1,480		39,214
JNL/T. Rowe Price Short-Term Bond Fund (21.4%) (a)		27,303		272,484
JNL/T. Rowe Price Value Fund (23.9%) (a)		28,323		267,373
JNL/WMC Value Fund (25.2%) (a)		17,904		268,380

Total Investment Companies (cost $3,333,352)				3,198,838

Total Investments - 100.0% (cost $3,333,352)				3,198,838

Other Assets and Liabilities, Net - (0.0% )				1,569

Total Net Assets - 100.0%			$	3,200,407


	Shares/Par (p)		Value
JNL/S&P Managed Growth Fund (b)
INVESTMENT COMPANIES - 100.0%
JNL/BlackRock Commodity Securities Fund (4.6%) (a)		4,594	$	42,175
JNL/Eagle Core Equity Fund (30.0%) (a)		9,381		62,663
JNL/Eagle SmallCap Equity Fund (12.0%) (a)		4,347		83,951
JNL/Franklin Templeton International Small Cap Growth Fund (9.8%) (a)		2,916		20,207
JNL/Franklin Templeton Small Cap Value Fund (14.1%) (a)		5,009		44,829
JNL/Goldman Sachs Core Plus Bond Fund (1.3%) (a)		1,148		14,666
JNL/Goldman Sachs Emerging Markets Debt Fund (8.9%) (a)		5,438		69,874
JNL/Goldman Sachs Mid Cap Value Fund (14.5%) (a)		10,312		92,293
JNL/Invesco Global Real Estate Fund (2.6%) (a)		2,356		17,342
JNL/Invesco International Growth Fund (15.4%) (a)		9,953		89,875
JNL/Invesco Large Cap Growth Fund (20.6%) (a)		16,182		178,483
JNL/JPMorgan International Value Fund (14.6%) (a)		12,686		79,286
JNL/JPMorgan MidCap Growth Fund (5.7%) (a)		1,173		19,805
JNL/JPMorgan U.S. Government & Quality Bond Fund (2.3%) (a)		2,187		30,860
JNL/Lazard Emerging Markets Fund (6.3%) (a)		7,641		72,975
JNL/M&G Global Basics Fund (32.9%) (a)		6,550		82,537
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.9%) (a)		267		6,282
JNL/Oppenheimer Global Growth Fund (13.2%) (a)		7,181		64,848
JNL/PIMCO Real Return Fund (7.4%) (a)		13,974		183,613
JNL/PIMCO Total Return Bond Fund (3.2%) (a)		9,744		123,746
JNL/PPM America High Yield Bond Fund (5.5%) (a)		8,965		58,629
JNL/PPM America Mid Cap Value Fund (11.1%) (a)		1,326		11,190
JNL/T. Rowe Price Established Growth Fund (14.0%) (a)		11,895		226,843
JNL/T. Rowe Price Mid-Cap Growth Fund (7.4%) (a)		3,688		97,732
JNL/T. Rowe Price Value Fund (20.8%) (a)		24,646		232,661
JNL/WMC Value Fund (20.0%) (a)		14,219		213,144

Total Investment Companies (cost $2,362,096)				2,220,509

Total Investments - 100.0% (cost $2,362,096)				2,220,509
Other Assets and Liabilities, Net - (0.0% )				1,053

Total Net Assets - 100.0%			$	2,221,562

JNL/S&P Managed Aggressive Growth Fund (b)
INVESTMENT COMPANIES - 99.9%
JNL/BlackRock Commodity Securities Fund (2.5%) (a)		2,542	$	23,330
JNL/Eagle SmallCap Equity Fund (4.8%) (a)		1,724		33,287
JNL/Franklin Templeton International Small Cap Growth Fund (6.5%) (a)		1,951		13,519
JNL/Franklin Templeton Small Cap Value Fund (8.9%) (a)		3,172		28,385


	Shares/Par (p)		Value
JNL/Goldman Sachs Emerging Markets Debt Fund (2.0%) (a)		1,251		16,077
JNL/Goldman Sachs Mid Cap Value Fund (6.8%) (a)		4,836		43,283
JNL/Invesco Global Real Estate Fund (0.9%) (a)		832		6,124
JNL/Invesco International Growth Fund (5.6%) (a)		3,594		32,455
JNL/Invesco Large Cap Growth Fund (8.2%) (a)		6,398		70,568
JNL/JPMorgan International Value Fund (5.6%) (a)		4,832		30,201
JNL/JPMorgan MidCap Growth Fund (3.3%) (a)		675		11,395
JNL/Lazard Emerging Markets Fund (2.5%) (a)		3,073		29,350
JNL/M&G Global Basics Fund (14.3%) (a)		2,841		35,801
JNL/Mellon Capital Management Oil & Gas Sector Fund (0.6%) (a)		183		4,287
JNL/Oppenheimer Global Growth Fund (7.7%) (a)		4,188		37,818
JNL/PIMCO Real Return Fund (1.3%) (a)		2,490		32,721
JNL/PPM America High Yield Bond Fund (2.9%) (a)		4,716		30,845
JNL/T. Rowe Price Established Growth Fund (5.4%) (a)		4,580		87,339
JNL/T. Rowe Price Mid-Cap Growth Fund (2.9%) (a)		1,460		38,698
JNL/T. Rowe Price Value Fund (6.4%) (a)		7,623		71,960
JNL/WMC Value Fund (7.2%) (a)		5,138		77,023

Total Investment Companies (cost $817,029)				754,466

Total Investments - 99.9% (cost $817,029)				754,466
Other Assets and Liabilities, Net - 0.1%				680

Total Net Assets - 100.0%			$	755,146

JNL/S&P Competitive Advantage Fund
COMMON STOCKS - 99.3%
CONSUMER DISCRETIONARY - 28.8%
Apollo Group Inc. - Class A (c)		376	$	14,882
Best Buy Co. Inc. (e)		300		6,989
DeVry Inc.		298		11,019
Family Dollar Stores Inc.		254		12,902
Gap Inc.		600		9,737
RadioShack Corp.		694		8,068
Ross Stores Inc.		197		15,467
Starbucks Corp.		417		15,564
TJX Cos. Inc.		280		15,510

				110,138
CONSUMER STAPLES - 3.0%
Sysco Corp.		439		11,374
ENERGY - 3.0%
Southwestern Energy Co. (c)		352		11,725
FINANCIALS - 2.5%
Federated Investors Inc. - Class B (e)		540		9,470
HEALTH CARE - 9.8%
Eli Lilly & Co.		378		13,989
Gilead Sciences Inc. (c)		349		13,538
Varian Medical Systems Inc. (c)		193		10,093

				37,620


	Shares/Par (p)		Value
INDUSTRIALS - 10.7%
Lockheed Martin Corp.		187		13,597
Rockwell Collins Inc.		227		11,995
WW Grainger Inc.		102		15,266

				40,858
INFORMATION TECHNOLOGY - 34.7%
Apple Inc. (c)		41		15,646
Intel Corp.		604		12,889
International Business Machines Corp.		90		15,762
Lexmark International Inc. - Class A (c)		353		9,550
MasterCard Inc. - Class A		54		17,093
Microsoft Corp.		505		12,573
Paychex Inc.		447		11,776
Teradata Corp. (c)		311		16,638
Texas Instruments Inc.		403		10,732
Western Digital Corp. (c)		380		9,783

				132,442
MATERIALS - 6.8%
Ecolab Inc.		268		13,089
Sherwin-Williams Co.		172		12,790

				25,879

Total Common Stocks (cost $382,107)				379,506

SHORT TERM INVESTMENTS - 4.8%
Investment Companies - 0.4%
JNL Money Market Fund, 0.02% (a) (h)		1,442		1,442
Securities Lending Collateral - 4.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		16,643		16,643
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		153		148

				16,791

Total Short Term Investments (cost $18,238)				18,233

Total Investments - 104.1% (cost $400,345)				397,739
Other Assets and Liabilities, Net - (4.1%)				(15,840	)

Total Net Assets - 100.0%			$	381,899

JNL/S&P Dividend Income & Growth Fund
COMMON STOCKS - 98.9%
CONSUMER DISCRETIONARY - 11.6%
Home Depot Inc.		704	$	23,144
McDonald’s Corp.		273		23,970
VF Corp. (e)		258		31,319

				78,433
CONSUMER STAPLES - 9.8%
Clorox Co.		346		22,938
Kimberly-Clark Corp.		345		24,521
Sysco Corp.		731		18,934

				66,393
ENERGY - 10.2%
Chevron Corp.		263		24,302
Exxon Mobil Corp.		307		22,320
Marathon Oil Corp.		639		13,798


	Shares/Par (p)		Value
Marathon Petroleum Corp.		316		8,564

				68,984
FINANCIALS - 9.4%
Kimco Realty Corp.		1,283		19,290
M&T Bank Corp.		278		19,419
Public Storage		220		24,514

				63,223
HEALTH CARE - 10.3%
Bristol-Myers Squibb Co.		843		26,442
Merck & Co. Inc.		615		20,133
Pfizer Inc.		1,312		23,197

				69,772
INDUSTRIALS - 8.9%
Lockheed Martin Corp.		314		22,819
Pitney Bowes Inc. (e)		970		18,240
Raytheon Co.		460		18,810

				59,869
INFORMATION TECHNOLOGY - 9.7%
Automatic Data Processing Inc.		477		22,503
Intel Corp.		1,012		21,588
Microsoft Corp.		848		21,106

				65,197
MATERIALS - 8.9%
Air Products & Chemicals Inc.		247		18,852
PPG Industries Inc.		274		19,379
Praxair Inc.		231		21,605

				59,836
TELECOMMUNICATION SERVICES - 9.3%
AT&T Inc.		769		21,938
CenturyLink Inc.		495		16,392
Verizon Communications Inc.		668		24,570

				62,900
UTILITIES - 10.8%
Consolidated Edison Inc.		440		25,073
PPL Corp.		841		24,004
Southern Co.		567		24,007

				73,084

Total Common Stocks (cost $648,202)				667,691

SHORT TERM INVESTMENTS - 4.8%
Investment Companies - 0.7%
JNL Money Market Fund, 0.02% (a) (h)		4,665		4,665
Securities Lending Collateral - 4.1%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		27,668		27,668
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		184		178

				27,846

Total Short Term Investments (cost $32,517)				32,511

Total Investments - 103.7% (cost $680,719)				700,202
Other Assets and Liabilities, Net - (3.7%)				(25,202	)

Total Net Assets - 100.0%			$	675,000

JNL/S&P Intrinsic Value Fund


	Shares/Par (p)		Value
COMMON STOCKS - 99.3%
CONSUMER DISCRETIONARY - 17.0%
GameStop Corp. - Class A (c) (e)		797	$	18,421
H&R Block Inc.		1,265		16,838
RadioShack Corp.		879		10,210
VF Corp.		191		23,153
Washington Post Co. - Class B (e)		43		13,926

				82,548
HEALTH CARE - 38.2%
Abbott Laboratories		342		17,503
Aetna Inc.		480		17,441
AmerisourceBergen Corp.		459		17,118
Amgen Inc.		302		16,618
Cardinal Health Inc.		396		16,578
CIGNA Corp.		384		16,123
Humana Inc.		254		18,460
Medtronic Inc.		476		15,820
Quest Diagnostics Inc.		281		13,882
UnitedHealth Group Inc.		388		17,903
Zimmer Holdings Inc. (c)		323		17,279

				184,725
INDUSTRIALS - 11.5%
General Dynamics Corp.		243		13,803
L-3 Communications Holdings Inc.		228		14,121
Pitney Bowes Inc. (e)		731		13,738
Raytheon Co.		347		14,169

				55,831
INFORMATION TECHNOLOGY - 19.3%
Dell Inc. (c)		1,203		17,024
Fiserv Inc. (c)		289		14,694
Harris Corp.		364		12,427
Microsoft Corp.		633		15,752
Symantec Corp. (c)		950		15,484
Total System Services Inc.		1,054		17,839

				93,220
MATERIALS - 6.4%
Ball Corp.		485		15,055
MeadWestvaco Corp.		642		15,772

				30,827
TELECOMMUNICATION SERVICES - 3.8%
Verizon Communications Inc.		497		18,275
UTILITIES - 3.1%
Entergy Corp.		225		14,889

Total Common Stocks (cost $495,664)				480,315

SHORT TERM INVESTMENTS - 8.9%
Investment Companies - 1.1%
JNL Money Market Fund, 0.02% (a) (h)		5,439		5,439
Securities Lending Collateral - 7.8%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		37,618		37,618
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		198		192

				37,810

Total Short Term Investments (cost $43,255)				43,249


	Shares/Par (p)		Value
Total Investments - 108.2% (cost $538,919)				523,564
Other Assets and Liabilities, Net - (8.2%)				(39,879	)

Total Net Assets - 100.0%			$	483,685

JNL/S&P Total Yield Fund
COMMON STOCKS - 99.5%
CONSUMER DISCRETIONARY - 26.3%
DR Horton Inc.		1,085	$	9,809
Gannett Co. Inc.		830		7,913
Gap Inc.		508		8,247
H&R Block Inc.		865		11,515
Limited Brands Inc.		323		12,457
O’Reilly Automotive Inc. (c)		181		12,059
RadioShack Corp.		588		6,833
Washington Post Co. - Class B (e)		29		9,440

				78,273
CONSUMER STAPLES - 2.7%
SUPERVALU Inc. (e)		1,204		8,019
ENERGY - 3.8%
ConocoPhillips		181		11,463
FINANCIALS - 29.9%
American Express Co.		252		11,316
Bank of America Corp.		991		6,063
Capital One Financial Corp.		293		11,595
Chubb Corp.		191		11,462
Citigroup Inc.		258		6,618
Goldman Sachs Group Inc.		69		6,569
JPMorgan Chase & Co.		291		8,779
Legg Mason Inc.		334		8,579
State Street Corp.		252		8,103
Vornado Realty Trust		134		9,964

				89,048
HEALTH CARE - 9.6%
Biogen Idec Inc. (c)		170		15,858
WellPoint Inc.		195		12,756

				28,614
INDUSTRIALS - 13.0%
General Electric Co.		688		10,487
Huntington Ingalls Industries Inc. (c)		29		707
L-3 Communications Holdings Inc.		155		9,600
Northrop Grumman Systems Corp.		176		9,205
Textron Inc.		485		8,558

				38,557
INFORMATION TECHNOLOGY - 3.4%
Fiserv Inc. (c)		197		10,002
MATERIALS - 3.6%
MeadWestvaco Corp.		439		10,770
TELECOMMUNICATION SERVICES - 7.2%
Sprint Nextel Corp. (c)		2,882		8,762
Verizon Communications Inc.		340		12,522

				21,284

Total Common Stocks (cost $338,951)				296,030


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 5.5%
Investment Companies - 0.1%
JNL Money Market Fund, 0.02% (a) (h)		194		194
Securities Lending Collateral - 5.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		15,750		15,750
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		461		447

				16,197

Total Short Term Investments (cost $16,405)				16,391

Total Investments - 105.0% (cost $355,356)				312,421
Other Assets and Liabilities, Net - (5.0%)				(14,972	)

Total Net Assets - 100.0%			$	297,449

JNL/S&P 4 Fund (b)
INVESTMENT COMPANIES - 99.7%
JNL/S&P Competitive Advantage Fund (54.5%) (a)		20,072	$	208,354
JNL/S&P Dividend Income & Growth Fund (33.0%) (a)		22,619		222,795
JNL/S&P Intrinsic Value Fund (44.8%) (a)		21,790		216,378
JNL/S&P Total Yield Fund (63.6%) (a)		22,780		189,071

Total Investment Companies (cost $738,608)				836,598

Total Investments - 99.7% (cost $738,608)				836,598
Other Assets and Liabilities, Net - 0.3%				2,893

Total Net Assets - 100.0%			$	839,491

JNL/T.Rowe Price Established Growth Fund
COMMON STOCKS - 97.5%
CONSUMER DISCRETIONARY - 19.0%
Amazon.com Inc. (c)		343	$	74,210
AutoZone Inc. (c)		29		9,161
Carmax Inc. (c)		386		9,196
Carnival Plc		259		8,085
Chipotle Mexican Grill Inc. - Class A (c)		45		13,693
Coach Inc.		111		5,769
Ctrip.com International Ltd. - ADR (c)		249		8,005
Discovery Communications Inc. - Class A (c)		88		3,322
Fossil Inc. (c)		77		6,201
Harley-Davidson Inc.		135		4,624
Johnson Controls Inc.		202		5,324
Las Vegas Sands Corp. (c)		232		8,887
Liberty Media Corp. (c)		380		5,617
Marriott International Inc. - Class A		500		13,609
MGM Resorts International (c)		496		4,610
Nike Inc. - Class B		238		20,309
Prada SpA (c) (e)		1,553		6,551
Priceline.com Inc. (c)		76		34,076
Ralph Lauren Corp. - Class A		85		10,986
Ross Stores Inc.		96		7,531
Royal Caribbean Cruises Ltd.		131		2,841
Starbucks Corp.		502		18,705
Starwood Hotels & Resorts Worldwide Inc.		242		9,398
Walt Disney Co.		379		11,422


	Shares/Par (p)		Value
Yum! Brands Inc.		127		6,277

				308,409
CONSUMER STAPLES - 2.4%
Costco Wholesale Corp.		176		14,445
Green Mountain Coffee Roasters Inc. (c)		139		12,919
Hansen Natural Corp. (c)		73		6,398
Whole Foods Market Inc.		92		5,976

				39,738
ENERGY - 6.7%
Cameron International Corp. (c)		279		11,573
Cimarex Energy Co.		63		3,487
Continental Resources Inc. (c) (e)		172		8,334
EOG Resources Inc.		197		13,968
FMC Technologies Inc. (c)		396		14,905
McDermott International Inc. (c)		393		4,227
Occidental Petroleum Corp.		231		16,538
Peabody Energy Corp.		192		6,518
Schlumberger Ltd.		359		21,437
Suncor Energy Inc.		285		7,243

				108,230
FINANCIALS - 5.5%
American Express Co.		522		23,451
CB Richard Ellis Group Inc. (c)		356		4,788
Franklin Resources Inc.		202		19,358
IntercontinentalExchange Inc. (c)		121		14,333
Invesco Ltd.		616		9,551
JPMorgan Chase & Co.		327		9,843
U.S. Bancorp		336		7,898

				89,228
HEALTH CARE - 6.4%
Alexion Pharmaceuticals Inc. (c)		98		6,284
Allergan Inc.		112		9,218
AmerisourceBergen Corp.		153		5,684
Baxter International Inc.		94		5,283
Biogen Idec Inc. (c)		75		6,996
Celgene Corp. (c)		129		7,988
Covidien Plc		50		2,187
Edwards Lifesciences Corp. (c)		106		7,527
Express Scripts Inc. (c)		342		12,674
Human Genome Sciences Inc. (c)		346		4,385
McKesson Corp.		287		20,887
Stryker Corp.		199		9,360
Valeant Pharmaceuticals International Inc.		146		5,419

				103,892
INDUSTRIALS - 14.9%
3M Co.		130		9,311
Babcock & Wilcox Co. (c)		191		3,728
Boeing Co.		217		13,137
Caterpillar Inc.		67		4,940
Cooper Industries Plc		148		6,817
Cummins Inc.		91		7,431
Danaher Corp.		1,085		45,492
Deere & Co.		103		6,657
Emerson Electric Co.		134		5,515
Expeditors International Washington Inc.		223		9,035
Fastenal Co. (e)		623		20,730
FedEx Corp.		337		22,828
Fluor Corp.		98		4,557
Joy Global Inc.		116		7,242
Kansas City Southern (c)		159		7,919
Precision Castparts Corp.		151		23,521
Roper Industries Inc.		106		7,284


	Shares/Par (p)		Value
Union Pacific Corp.		203		16,603
United Parcel Service Inc. - Class B		216		13,628
WW Grainger Inc.		42		6,326

				242,701
INFORMATION TECHNOLOGY - 33.8%
Accenture Plc - Class A		361		19,033
Apple Inc. (c)		399		152,015
Autodesk Inc. (c)		281		7,809
Baidu.com - ADR (c)		319		34,083
Broadcom Corp. - Class A		374		12,437
Corning Inc.		1,371		16,939
eBay Inc. (c)		601		17,735
EMC Corp. (c)		263		5,529
Facebook Inc. - Class A (f) (q)		130		4,042
Facebook Inc. - Class B (f) (q)		290		9,047
Google Inc. - Class A (c)		131		67,487
Juniper Networks Inc. (c)		621		10,720
Mail.ru Group Ltd. - GDR (f) (q)		210		6,149
MasterCard Inc. - Class A		130		41,199
NetApp Inc. (c)		237		8,055
Nuance Communications Inc. (c) (e)		323		6,572
NXP Semiconductors NV (c)		215		3,039
QUALCOMM Inc.		915		44,482
Red Hat Inc. (c)		226		9,555
Rovi Corp. (c)		156		6,704
Salesforce.com Inc.		57		6,526
SanDisk Corp. (c)		144		5,802
Tencent Holdings Ltd.		624		12,951
Teradata Corp. (c)		115		6,151
Trimble Navigation Ltd. (c)		178		5,987
Twitter Inc. (f)		78		1,261
Visa Inc. - Class A		217		18,619
Western Union Co.		583		8,914

				548,842
MATERIALS - 4.4%
Air Products & Chemicals Inc.		88		6,690
BHP Billiton Ltd. (e)		363		12,008
Freeport-McMoRan Copper & Gold Inc.		191		5,810
Potash Corp. of Saskatchewan Inc.		194		8,402
Praxair Inc.		404		37,766

				70,676
TELECOMMUNICATION SERVICES - 4.4%
American Tower Corp. - Class A (c)		644		34,664
Crown Castle International Corp. (c)		919		37,384

				72,048

Total Common Stocks (cost $1,488,622)				1,583,758

PREFERRED STOCKS - 0.8%
CONSUMER DISCRETIONARY - 0.6%
Groupon Inc. (f) (q)		108		6,288
Zynga Inc. (f) (q)		274		3,838

				10,126
INFORMATION TECHNOLOGY - 0.2%
Twitter Inc. Series A (f) (q)		—		3
Twitter Inc. Series B (f) (q)		3		51
Twitter Inc. Series C (f) (q)		1		13
Twitter Inc. Series D (f) (q)		30		485
Twitter Inc. Series G-2 (f) (q)		123		1,974

Total Preferred Stocks (cost $9,771)				12,652


	Shares/Par (p)		Value
SHORT TERM INVESTMENTS - 2.9%
Investment Companies - 1.3%
JNL Money Market Fund, 0.02% (a) (h)		1,000		1,000
T. Rowe Price Reserves Investment Fund, 0.13% (a) (h)		19,995		19,995

				20,995
Securities Lending Collateral - 1.6%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		25,059		25,059
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		1,061		1,028

				26,087

Total Short Term Investments (cost $47,115)				47,082

Total Investments - 101.2% (cost $1,545,508)				1,643,492
Other Assets and Liabilities, Net - (1.2%)				(19,877	)

Total Net Assets - 100.0%			$	1,623,615

JNL/T.Rowe Price Mid-Cap Growth Fund
COMMON STOCKS - 94.0%
CONSUMER DISCRETIONARY - 13.1%
Bed Bath & Beyond Inc. (c)		157	$	8,998
Carmax Inc. (c)		556		13,261
Chipotle Mexican Grill Inc. - Class A (c)		28		8,483
Choice Hotels International Inc.		195		5,795
Discovery Communications Inc. - Class A (c)		505		18,321
Dollar General Corp. (c)		672		25,375
Kohl's Corp.		145		7,119
Lamar Advertising Co. - Class A (c) (e)		439		7,476
Liberty Media Corp. (c)		811		17,852
Madison Square Garden Inc. - Class A (c)		110		2,508
Marriott International Inc. - Class A		485		13,211
O'Reilly Automotive Inc. (c)		246		16,391
Panera Bread Co. - Class A (c)		68		7,068
Starbucks Corp.		138		5,146
Tim Hortons Inc.		182		8,427
Weight Watchers International Inc. (e)		120		6,990

				172,421
CONSUMER STAPLES - 2.2%
Hansen Natural Corp. (c)		40		3,492
Shoppers Drug Mart Corp. (e)		469		18,283
Whole Foods Market Inc.		117		7,641

				29,416
ENERGY - 8.4%
Consol Energy Inc.		395		13,402
Continental Resources Inc. (c) (e)		140		6,772
EQT Corp.		262		13,980
FMC Technologies Inc. (c)		232		8,723
McDermott International Inc. (c)		987		10,620
Peabody Energy Corp.		103		3,490
QEP Resources Inc.		323		8,744
Quicksilver Resources Inc. (c) (e)		475		3,600
Range Resources Corp.		282		16,468
SM Energy Co.		161		9,765
Trican Well Service Ltd.		485		6,878
Ultra Petroleum Corp. (c)		273		7,568

				110,010


	Shares/Par (p)		Value
FINANCIALS - 8.5%
Air Lease Corp. (c) (e)		340		6,528
AON Corp.		235		9,865
BankUnited Inc.		241		5,003
CBOE Holdings Inc.		300		7,341
Eaton Vance Corp.		281		6,258
HCC Insurance Holdings Inc.		282		7,628
Interactive Brokers Group Inc.		62		864
IntercontinentalExchange Inc. (c)		92		10,880
Jones Lang LaSalle Inc.		98		5,077
MSCI Inc. - Class A (c)		446		13,527
Principal Financial Group Inc.		277		6,280
TCF Financial Corp. (e)		664		6,082
TD Ameritrade Holding Corp.		700		10,294
Willis Group Holdings Plc		205		7,046
WR Berkley Corp.		289		8,580

				111,253
HEALTH CARE - 14.9%
Alexion Pharmaceuticals Inc. (c)		181		11,595
Allscripts-Misys Healthcare Solutions Inc. (c)		406		7,318
Bruker Corp. (c)		578		7,820
CareFusion Corp. (c)		516		12,358
Covance Inc. (c)		311		14,135
CR Bard Inc.		164		14,357
Dentsply International Inc.		559		17,156
Edwards Lifesciences Corp. (c)		102		7,271
Elan Corp. Plc - ADR (c)		612		6,444
Henry Schein Inc. (c)		254		15,751
Human Genome Sciences Inc. (c)		405		5,140
Idexx Laboratories Inc. (c)		159		10,966
Illumina Inc. (c)		64		2,619
Laboratory Corp. of America Holdings (c)		103		8,142
Mednax Inc. (c)		102		6,389
Qiagen NV (c) (e)		121		1,673
Regeneron Pharmaceuticals Inc. (c)		202		11,756
SXC Health Solutions Corp. (c)		164		9,135
Theravance Inc. (c) (e)		244		4,914
Universal Health Services Inc. - Class B		201		6,834
Valeant Pharmaceuticals International Inc.		235		8,723
Vertex Pharmaceuticals Inc. (c)		119		5,300

				195,796
INDUSTRIALS - 18.9%
A123 Systems Inc. (c) (e)		167		574
Acuity Brands Inc.		114		4,109
AMETEK Inc.		628		20,705
Babcock & Wilcox Co. (c)		611		11,945
Crane Co.		119		4,247
Fastenal Co. (e)		564		18,770
Gardner Denver Inc.		270		17,159
Goodrich Corp.		105		12,671
Hertz Global Holdings Inc. (c)		870		7,743
IDEX Corp.		381		11,872
IHS Inc. - Class A (c)		267		19,974
Kansas City Southern (c)		120		5,995
Manpower Inc.		358		12,036
MSC Industrial Direct Co. - Class A		119		6,719
Pall Corp.		298		12,635
Quanta Services Inc. (c)		806		15,145
Robert Half International Inc.		164		3,480
Rockwell Collins Inc.		151		7,967
Roper Industries Inc.		268		18,468
Textron Inc.		827		14,595
UTi Worldwide Inc.		417		5,438
Verisk Analytics Inc. - Class A (c)		234		8,136


	Shares/Par (p)		Value
WABCO Holdings Inc. (c)		199		7,534

				247,917
INFORMATION TECHNOLOGY - 23.4%
Altera Corp.		201		6,338
Amdocs Ltd. (c)		484		13,126
Ariba Inc. (c)		242		6,706
Atmel Corp. (c)		805		6,496
Concur Technologies Inc. (c)		220		8,188
Cree Inc. (c)		200		5,196
Dolby Laboratories Inc. - Class A (c)		306		8,397
Factset Research Systems Inc.		120		10,676
First Solar Inc. (c) (e)		45		2,844
Fiserv Inc. (c)		240		12,185
FLIR Systems Inc.		405		10,145
Gartner Inc. - Class A (c)		483		16,842
Global Payments Inc.		407		16,439
Intersil Corp. - Class A		666		6,853
JDS Uniphase Corp. (c)		1,165		11,615
Juniper Networks Inc. (c)		246		4,246
Marvell Technology Group Ltd. (c)		686		9,968
MEMC Electronic Materials Inc. (c)		678		3,553
Microchip Technology Inc. (e)		243		7,560
Micros Systems Inc. (c)		232		10,187
Motorola Mobility Holdings Inc. (c)		242		9,143
Nuance Communications Inc. (c)		1,139		23,190
Nvidia Corp. (c)		727		9,088
PMC - Sierra Inc. (c)		335		2,003
Rackspace Hosting Inc. (c)		138		4,711
Red Hat Inc. (c)		360		15,214
Rovi Corp. (c)		245		10,509
Silicon Laboratories Inc. (c)		239		8,009
TIBCO Software Inc. (c)		323		7,232
Trimble Navigation Ltd. (c)		406		13,621
WebMD Health Corp. - Class A (c)		31		938
Western Union Co.		860		13,149
Xilinx Inc.		476		13,061

				307,428
MATERIALS - 3.3%
Agnico-Eagle Mines Ltd.		243		14,463
Franco-Nevada Corp.		319		11,541
HudBay Minerals Inc.		417		3,982
Osisko Mining Corp.		518		6,565
Rockwood Holdings Inc. (c)		199		6,704

				43,255
UTILITIES - 1.3%
Calpine Corp. (c)		1,221		17,192

Total Common Stocks (cost $1,217,269)				1,234,688

PREFERRED STOCKS - 1.0%
CONSUMER DISCRETIONARY - 0.7%
Hungry Machine Inc. (f) (q)		719		5,526
Michael Kors Holdings Ltd. (f) (q)		91		4,184

				9,710
INFORMATION TECHNOLOGY - 0.3%
Coupon.com Inc. (f) (q)		625		3,435

Total Preferred Stocks (cost $11,680)				13,145

CORPORATE BONDS AND NOTES - 0.1%
INDUSTRIALS - 0.1%
A123 Systems Inc., 3.75%, 04/15/16	$	1,335		865


	Shares/Par (p)		Value
Total Corporate Bonds and Notes (cost $1,335)				865

SHORT TERM INVESTMENTS - 10.7%
Investment Companies - 4.9%
JNL Money Market Fund, 0.02% (a) (h)		261		261
T. Rowe Price Reserves Investment Fund, 0.13% (a) (h)		64,378		64,378

				64,639
Securities Lending Collateral - 5.8%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		74,222		74,222
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		2,258		2,187

				76,409

Total Short Term Investments (cost $141,119)				141,048

Total Investments - 105.8% (cost $1,371,403)				1,389,746
Other Assets and Liabilities, Net - (5.8%)				(76,255	)

Total Net Assets - 100.0%			$	1,313,491

JNL/T.Rowe Price Short-Term Bond Fund
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 14.8%
Ally Auto Receivables Trust
1.45%, 05/15/14	$	1,531	$	1,539
1.38%, 07/15/14		3,119		3,136
0.97%, 08/17/15		1,155		1,158
1.98%, 04/15/16		2,885		2,960
1.61%, 05/16/16		2,140		2,174
Ally Master Owner Trust, 2.15%, 01/15/16		4,490		4,560
AmeriCredit Automobile Receivables Trust
3.72%, 11/17/14		355		362
1.61%, 10/08/15		1,895		1,908
1.17%, 05/09/16		3,140		3,135
Banc of America Commercial Mortgage Inc. REMIC
4.63%, 12/10/42		680		704
4.62%, 07/10/43		3,200		3,229
5.55%, 02/10/51		351		355
Bank of America Auto Trust, 1.31%, 07/15/14		3,334		3,348
Bear Stearns Commercial Mortgage Securities, 5.20%, 01/12/41		880		934
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.61%, 02/11/13		1,892		1,951
5.75%, 09/11/42		2,640		2,832
5.70%, 06/11/50		960		1,017
BMW Vehicle Owner Trust, 0.76%, 09/25/14		2,360		2,357
Cabela’s Master Credit Card Trust
5.26%, 10/15/14 (r)		300		300
1.68%, 01/16/18 (i) (r)		1,700		1,755
CarMax Auto Owner Trust
4.79%, 02/15/13		301		304
1.56%, 07/15/14		1,224		1,231
1.41%, 02/16/15		2,490		2,507
2.04%, 10/15/15		2,420		2,477
0.91%, 12/15/15		3,045		3,042
3.75%, 12/15/15		660		692
4.88%, 08/15/16		420		443
Chase Issuance Trust, 5.12%, 10/15/14		4,345		4,549


	Shares/Par (p)		Value
Citibank Credit Card Issuance Trust, 0.56%, 10/07/13 (i)		2,350		2,350
Citicorp Mortgage Securities Inc. REMIC, 5.50%, 12/25/33		505		508
CitiFinancial Auto Issuance Trust
2.59%, 10/15/13 (r)		1,537		1,549
3.15%, 08/15/16 (r)		3,690		3,784
Citigroup Commercial Mortgage Trust REMIC, 5.54%, 04/15/40 (i)		1,600		1,707
CNH Equipment Trust
1.85%, 12/16/13		140		140
1.54%, 07/15/14		1,072		1,076
5.17%, 10/15/14		577		593
1.03%, 11/17/14		1,866		1,869
3.00%, 08/17/15		2,445		2,499
0.91%, 08/15/16		2,770		2,769
Commercial Mortgage Loan Trust REMIC
6.21%, 09/10/12 (i)		1,052		1,058
6.21%, 12/10/49 (i)		940		963
Commercial Mortgage Pass-Through Certificate REMIC, 5.53%, 07/10/37 (i)		1,300		1,399
CS First Boston Mortgage Securities Corp. REMIC, 5.01%, 01/15/12 (i)		1,455		1,555
DBUBS Mortgage Trust, 2.24%, 08/10/44		1,815		1,833
Discover Card Master Trust
1.53%, 12/15/14 (i)		3,500		3,530
0.88%, 09/15/15 (i)		3,090		3,114
0.58%, 08/15/16 (i)		3,570		3,581
Ford Credit Auto Lease Trust
1.03%, 07/15/14		2,700		2,704
1.34%, 09/15/14		2,455		2,468
Ford Credit Auto Owner Trust
1.51%, 01/15/14		1,337		1,343
0.98%, 10/15/14		2,500		2,507
2.42%, 11/15/14		1,823		1,868
8.14%, 02/15/16 (r)		415		464
Ford Credit Floorplan Master Owner Trust
4.20%, 02/15/17 (r)		438		476
REMIC, 1.50%, 09/15/15		3,700		3,723
Fosse Master Issuer Plc REMIC, 1.65%, 10/18/54 (i) (r)		1,530		1,525
GE Capital Credit Card Master Note Trust, 2.21%, 06/15/16		3,770		3,855
GE Equipment Midticket LLC, 0.94%, 07/14/14 (r)		2,710		2,712
GMAC Commercial Mortgage Securities Inc. REMIC, 4.08%, 05/10/36		1,910		1,964
GS Mortgage Securities Corp. II REMIC
2.33%, 12/10/15 (r)		4,619		4,678
5.98%, 08/10/45 (i)		1,065		1,085
Holmes Master Issuer Plc, 1.95%, 01/21/15 (i) (r)		1,655		1,655
Honda Auto Receivables Owner Trust
1.25%, 10/21/13		1,224		1,228
1.34%, 03/18/14		1,804		1,813
1.98%, 05/23/16		545		554
1.55%, 08/18/17		1,695		1,723
HSBC Home Equity Loan Trust REMIC, 0.38%, 03/20/36 (i)		1,448		1,330
Huntington Auto Trust, 1.01%, 01/15/16 (r)		2,205		2,201
John Deere Owner Trust
1.57%, 10/15/13		308		309
1.32%, 05/15/14		368		369
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC
1.87%, 11/15/15 (r)		2,386		2,393


	Shares/Par (p)		Value
4.72%, 01/15/38		1,725		1,814
4.72%, 02/11/41		300		313
4.68%, 07/15/42		1,104		1,124
1.53%, 07/15/46 (r)		3,924		3,908
JPMorgan Mortgage Trust REMIC, 2.80%, 07/25/35 (i)		373		300
Mercedes-Benz Auto Receivables Trust, 1.22%, 12/15/17		1,820		1,835
MMAF Equipment Finance LLC, 2.37%, 11/15/13 (r)		1,158		1,164
Morgan Stanley Capital I
4.78%, 12/13/41		950		1,010
REMIC, 5.27%, 06/13/41 (i)		880		943
REMIC, 4.99%, 08/13/42		1,565		1,685
REMIC, 6.46%, 01/11/43 (i)		2,430		2,591
Navistar Financial Corp. Owner Trust, 1.08%, 03/18/14 (r)		1,425		1,424
Nissan Auto Lease Trust, 0.92%, 03/17/14		3,495		3,494
Nissan Auto Receivables Owner Trust, 1.18%, 02/16/15		1,875		1,889
Porsche Financial Auto Securitization Trust, 1.19%, 12/17/18 (r)		915		919
RSB Bondco LLC, 5.72%, 04/01/18		4,690		5,264
Sequoia Mortgage Trust REMIC, 3.75%, 02/25/40 (i)		206		204
SMART Trust
1.77%, 12/14/13 (r)		1,280		1,288
1.54%, 03/14/15 (r)		890		892
Structured Asset Securities Corp. REMIC, 2.43%, 09/25/33 (i)		761		640
Toyota Auto Receivables Owner Trust, 1.47%, 01/17/17		1,385		1,401
USAA Auto Owner Trust
1.30%, 06/16/14		690		692
2.14%, 09/15/15		895		913
Volkswagen Auto Loan Enhanced Trust, 1.22%, 06/20/15		5,030		5,079
Wachovia Bank Commercial Mortgage Trust REMIC, 4.94%, 04/15/42		670		722
Wells Fargo & Co. Commercial Mortgage Trust, 2.50%, 02/15/44 (r)		1,138		1,151
Wells Fargo Mortgage Backed Securities Trust REMIC, 2.74%, 04/25/35 (i)		2,422		2,239
WF-RBS Commercial Mortgage Trust, 1.61%, 06/15/44 (r)		2,918		2,907
World Financial Network Credit Card Master Trust
3.79%, 05/15/16		570		582
4.66%, 05/15/17		3,640		3,852

Total Non-U.S. Government Agency Asset- Backed Securities (cost $188,126)				188,022

CORPORATE BONDS AND NOTES - 48.7%
CONSUMER DISCRETIONARY - 3.9%
Anglo American Capital Plc, 2.15%, 09/27/13 (r)		2,040		2,034
COX Communications Inc., 5.45%, 12/15/14		3,025		3,350
Daimler Finance North America LLC
0.97%, 03/28/14 (i) (r)		4,845		4,846
1.88%, 09/15/14 (r)		1,710		1,688
DIRECTV Holdings LLC, 4.75%, 10/01/14		5,460		5,915
Home Depot Inc., 5.25%, 12/16/13		2,600		2,827
Interpublic Group of Cos. Inc., 6.25%, 11/15/14		2,946		3,108
Johnson Controls Inc., 0.67%, 02/04/14 (i)		4,385		4,385
Macy's Retail Holdings Inc., 5.35%, 03/15/12		990		1,005
NBCUniversal Media LLC, 2.10%, 04/01/14		4,260		4,325


	Shares/Par (p)		Value
Staples Inc., 9.75%, 01/15/14 (l)		4,125		4,781
TCM Sub LLC, 3.55%, 01/15/15 (r)		4,715		5,016
Thomson Reuters Corp., 5.95%, 07/15/13		1,000		1,080
Time Warner Cable Inc.
5.40%, 07/02/12 (e)		3,870		3,994
7.50%, 04/01/14		810		916

				49,270
CONSUMER STAPLES - 2.6%
Altria Group Inc., 8.50%, 11/10/13 (l)		3,800		4,334
Anheuser-Busch InBev Worldwide Inc.
3.00%, 10/15/12		3,830		3,910
1.50%, 07/14/14		2,125		2,140
BAT International Finance Plc, 8.13%, 11/15/13 (r)		5,260		5,993
Coca-Cola Amatil Ltd., 3.25%, 11/02/14 (r)		3,975		4,150
Coca-Cola Bottling Co., 5.00%, 11/15/12		2,000		2,086
Coca-Cola Enterprises Inc., 1.13%, 11/12/13		3,060		3,055
General Mills Inc.
6.00%, 02/15/12		1,400		1,426
1.55%, 05/16/14		1,780		1,798
Kraft Foods Inc., 2.63%, 05/08/13		1,130		1,153
Kroger Co.
6.75%, 04/15/12		625		644
7.50%, 01/15/14		700		792
Safeway Inc., 5.80%, 08/15/12		2,080		2,160

				33,641
ENERGY - 4.5%
Apache Corp., 6.00%, 09/15/13		4,835		5,290
Canadian Natural Resources Ltd.
5.45%, 10/01/12		565		588
5.15%, 02/01/13		2,630		2,768
CenterPoint Energy Resources Corp., 7.88%, 04/01/13		1,575		1,717
DCP Midstream LLC, 9.70%, 12/01/13 (r)		2,135		2,448
Devon Energy Corp., 2.40%, 07/15/16		3,825		3,876
Ensco Plc, 3.25%, 03/15/16		2,730		2,772
Enterprise Products Operating LLC
4.60%, 08/01/12 (e)		1,785		1,832
6.38%, 02/01/13		675		715
EOG Resources Inc., 6.13%, 10/01/13		3,475		3,821
Korea Hydro & Nuclear Power Co. Ltd., 3.13%, 09/16/15 (r)		2,835		2,771
MidAmerican Energy Holdings Co., 5.00%, 02/15/14		1,825		1,965
Nabors Industries Inc., 5.38%, 08/15/12		910		939
Noble Corp., 5.88%, 06/01/13		500		535
Noble Holding International Ltd., 3.45%, 08/01/15		975		1,025
Occidental Petroleum Corp.
1.45%, 12/13/13		3,815		3,860
1.75%, 02/15/17 (e)		2,800		2,779
Plains All American Pipeline LP, 4.25%, 09/01/12		4,090		4,204
SeaRiver Maritime Inc., 0.00%, 09/01/12 (j)		2,730		2,679
Shell International Finance BV, 1.88%, 03/25/13 (e)		2,615		2,669
Transocean Inc., 5.25%, 03/15/13		3,380		3,521
Weatherford International Inc., 5.95%, 06/15/12		2,965		3,050
Williams Partners LP, 3.80%, 02/15/15		1,496		1,561

				57,385
FINANCIALS - 21.4%
Allstate Corp., 6.13%, 02/15/12		2,400		2,442
American Express Bank FSB, 5.55%, 10/17/12		1,375		1,434


	Shares/Par (p)		Value
American Express Centurion Bank, 5.55%, 10/17/12		1,500		1,563
American Express Credit Corp., 5.13%, 08/25/14		2,000		2,165
American Honda Finance Corp.
0.54%, 08/28/12 (i) (r)		2,440		2,439
2.38%, 03/18/13 (r)		1,260		1,277
American International Group Inc., 4.25%, 09/15/14		3,740		3,637
ANZ National International Ltd., 2.38%, 12/21/12 (r)		2,915		2,932
Bank of America Corp., 1.67%, 01/30/14 (i)		4,115		3,727
Bank of New York Mellon Corp., 0.53%, 01/31/14 (i)		4,335		4,325
Bank of Nova Scotia
2.25%, 01/22/13 (e)		2,135		2,175
2.38%, 12/17/13		4,480		4,605
Barclays Bank Plc, 5.20%, 07/10/14		5,765		5,896
BB&T Corp.
3.85%, 07/27/12		2,770		2,833
5.70%, 04/30/14		2,300		2,510
Berkshire Hathaway Inc., 2.20%, 08/15/16 (e)		5,765		5,803
BPCE SA, 2.38%, 10/04/13 (r)		5,410		5,265
Capital One Financial Corp., 2.13%, 07/15/14 (e)		4,015		3,975
Caterpillar Financial Services Corp., 0.66%, 04/01/14 (i)		6,700		6,712
Charles Schwab Corp., 4.95%, 06/01/14		850		929
Citigroup Inc.
1.30%, 04/01/14 (i)		6,800		6,509
6.38%, 08/12/14		1,000		1,059
5.50%, 10/15/14		965		1,003
Commonwealth Bank of Australia, 2.75%, 10/15/12 (e) (r)		1,170		1,190
Credit Suisse New York, 3.45%, 07/02/12 (e)		1,275		1,295
Crown Castle Towers LLC, 4.52%, 01/15/15 (r)		4,835		5,073
Deutsche Bank AG London, 5.38%, 10/12/12		3,090		3,187
Enel Finance International SA, 3.88%, 10/07/14 (r)		2,535		2,474
ERAC USA Finance Co.
5.80%, 10/15/12 (r)		5,782		6,025
2.75%, 07/01/13 (r)		1,990		2,013
Fifth Third Bancorp, 6.25%, 05/01/13		3,658		3,873
General Electric Capital Corp.
2.00%, 09/28/12		5,200		5,288
1.88%, 09/16/13 (e)		1,535		1,542
1.01%, 04/07/14 (i)		6,355		6,203
2.25%, 11/09/15		2,950		2,916
Goldman Sachs Group Inc., 1.27%, 02/07/14 (e) (i)		8,930		8,557
GTP Acquisition Partners I LLC, 4.35%, 06/15/16 (r)		1,690		1,698
HSBC Bank Plc, 1.63%, 08/12/13 (r)		3,595		3,567
HSBC Holdings Plc, 5.25%, 12/12/12		1,640		1,691
Hyundai Capital Services Inc., 4.38%, 07/27/16 (r)		2,745		2,778
John Deere Capital Corp., 4.95%, 12/17/12 (e)		3,810		3,993
JPMorgan Chase & Co.
6.95%, 08/10/12 (e)		2,429		2,548
1.10%, 05/02/14 (e) (i)		9,050		8,913
4.65%, 06/01/14		885		937
KeyCorp, 3.75%, 08/13/15		2,560		2,637
Kilroy Realty LP, 5.00%, 11/03/15		2,960		3,073
Kreditanstalt fuer Wiederaufbau, 4.75%, 05/15/12		4,500		4,618
LeasePlan Corp. NV, 3.00%, 05/07/12 (r)		1,900		1,926


	Shares/Par (p)		Value
Lloyds TSB Bank Plc., 4.38%, 01/12/15 (r)		2,950		2,886
MassMutual Global Funding II, 3.63%, 07/16/12 (r)		2,400		2,450
MetLife Inc., 1.52%, 08/06/13 (i)		2,220		2,234
MetLife Institutional Funding II, 1.27%, 04/04/14 (i) (r)		5,880		5,873
Metropolitan Life Global Funding I, 2.50%, 01/11/13 (r)		1,250		1,263
Morgan Stanley, 1.85%, 01/24/14 (e) (i)		8,160		7,613
National Australia Bank Ltd., 2.35%, 11/16/12 (r)		2,150		2,179
National Rural Utilities Cooperative Finance Corp., 7.25%, 03/01/12		554		569
New York Life Global Funding, 2.45%, 07/14/16 (r)		5,160		5,242
Nordea Bank AB
2.50%, 11/13/12 (r)		765		771
1.75%, 10/04/13 (r)		2,795		2,768
2.13%, 01/14/14 (r)		3,295		3,270
PACCAR Financial Corp., 1.95%, 12/17/12		1,620		1,637
Principal Financial Group Inc., 7.88%, 05/15/14		3,620		4,112
Prudential Financial Inc.
3.63%, 09/17/12		4,830		4,911
2.75%, 01/14/13		490		494
Rabobank Nederland NV, 4.20%, 05/13/14 (r)		1,150		1,221
RCI Banque SA, 2.26%, 04/11/14 (i) (r)		1,655		1,566
Regions Financial Corp., 5.75%, 06/15/15		1,330		1,277
Royal Bank of Canada, 0.55%, 04/17/14 (i)		6,195		6,170
Royal Bank of Scotland Plc
2.63%, 05/11/12 (r)		5,200		5,266
3.40%, 08/23/13		3,645		3,628
Santander US Debt SA, 2.49%, 01/18/13 (r)		300		292
Simon Property Group LP, 4.20%, 02/01/15		540		570
SLM Corp., 5.13%, 08/27/12		6,375		6,372
Societe Generale, 2.50%, 01/15/14 (r)		3,110		2,893
Standard Chartered Plc, 3.85%, 04/27/15 (e) (r)		1,720		1,762
State Street Corp., 0.68%, 03/07/14 (i)		2,700		2,676
Toronto-Dominion Bank
0.43%, 07/26/13 (i)		2,070		2,069
0.55%, 07/14/14 (i)		2,055		2,056
Toyota Motor Credit Corp., 2.00%, 09/15/16 (e)		5,380		5,355
UBS AG Stamford
1.40%, 02/23/12 (i)		1,475		1,475
1.25%, 01/28/14 (i)		4,375		4,320
US Bancorp, 2.00%, 06/14/13		1,810		1,846
Ventas Realty LP, 3.13%, 11/30/15		1,220		1,206
Wachovia Capital Trust III, 5.57%, (callable at 100 beginning 06/15/11) (m)		425		348
WEA Finance LLC, 5.40%, 10/01/12 (r)		550		567
Wells Fargo & Co., 5.25%, 10/23/12		1,435		1,496
Westpac Banking Corp., 2.10%, 08/02/13		3,250		3,296
Woodside Finance Ltd.
5.00%, 11/15/13 (r)		820		870
4.50%, 11/10/14 (r)		1,695		1,800

				271,899
HEALTH CARE - 3.6%
AmerisourceBergen Corp., 5.63%, 09/15/12		4,435		4,613
Amgen Inc., 2.30%, 06/15/16 (e)		3,030		3,102
Boston Scientific Corp., 4.50%, 01/15/15		5,280		5,517
Cardinal Health Inc., 5.50%, 06/15/13		3,410		3,652
Express Scripts Inc.
5.25%, 06/15/12		5,375		5,519
6.25%, 06/15/14		865		952
3.13%, 05/15/16		1,810		1,828


	Shares/Par (p)		Value
Life Technologies Corp.
3.38%, 03/01/13		4,620		4,736
3.50%, 01/15/16		1,910		1,944
McKesson Corp., 3.25%, 03/01/16		735		775
Sanofi-Aventis SA, 0.67%, 03/28/14 (i)		3,840		3,831
Teva Pharmaceutical Finance III BV, 0.85%, 03/21/14 (i)		2,705		2,703
Watson Pharmaceuticals Inc., 5.00%, 08/15/14		1,500		1,624
WellPoint Inc.
6.80%, 08/01/12		2,230		2,339
6.00%, 02/15/14		2,525		2,790

				45,925
INDUSTRIALS - 1.8%
CSX Corp.
6.30%, 03/15/12 (e)		220		225
5.75%, 03/15/13		1,760		1,871
GATX Corp.
4.75%, 10/01/12		1,970		2,026
3.50%, 07/15/16		3,365		3,350
General Dynamics Corp., 1.38%, 01/15/15 (e)		5,735		5,740
Lockheed Martin Corp., 2.13%, 09/15/16		2,160		2,148
Roper Industries Inc., 6.63%, 08/15/13 (l)		1,435		1,554
Southwest Airlines Co., 6.50%, 03/01/12		3,805		3,884
Waste Management Inc.
6.38%, 11/15/12		1,083		1,147
2.60%, 09/01/16 (e)		1,300		1,303

				23,248
INFORMATION TECHNOLOGY - 2.6%
Agilent Technologies Inc., 2.50%, 07/15/13		630		639
Broadcom Corp.
1.50%, 11/01/13 (r)		1,210		1,212
2.38%, 11/01/15 (r)		1,590		1,604
Cisco Systems Inc., 0.59%, 03/14/14 (i)		4,870		4,834
Fiserv Inc., 3.13%, 06/15/16		980		992
Google Inc., 1.25%, 05/19/14		5,800		5,880
Hewlett-Packard Co., 2.35%, 03/15/15		3,120		3,129
International Business Machines Corp., 1.00%, 08/05/13 (e)		5,000		5,036
Microsoft Corp., 0.88%, 09/27/13 (e)		3,970		3,996
Xerox Corp.
5.50%, 05/15/12		2,085		2,143
5.65%, 05/15/13		2,100		2,223
1.11%, 05/16/14 (i)		1,230		1,219

				32,907
MATERIALS - 1.3%
ArcelorMittal, 5.38%, 06/01/13 (e)		2,620		2,673
Barrick Gold Corp., 6.13%, 09/15/13		3,600		3,935
CRH America Inc., 5.30%, 10/15/13		980		1,027
Dow Chemical Co.
6.00%, 10/01/12		1,451		1,517
2.50%, 02/15/16 (e)		2,615		2,573
Rio Tinto Finance USA Ltd., 8.95%,
05/01/14 (l)		3,905		4,618

				16,343
TELECOMMUNICATION SERVICES - 3.1%
America Movil SAB de CV
3.63%, 03/30/15		1,580		1,635
2.38%, 09/08/16 (e)		2,565		2,480
American Tower Corp., 4.63%, 04/01/15		4,740		5,026
AT&T Corp., 7.30%, 11/15/11 (l)		2,500		2,519
AT&T Inc., 6.70%, 11/15/13 (e)		3,635		4,038
British Telecommunications Plc, 5.15%, 01/15/13		2,565		2,683


	Shares/Par (p)		Value
CenturyLink Inc., 7.88%, 08/15/12		670		699
Rogers Cable Inc.
6.25%, 06/15/13		1,070		1,158
5.50%, 03/15/14		275		300
Rogers Wireless Communications Inc., 6.38%, 03/01/14		900		999
Telecom Italia Capital SA, 5.25%, 11/15/13 (e)		4,485		4,384
Telefonica Emisiones SAU
5.86%, 02/04/13		2,190		2,229
2.58%, 04/26/13 (e)		2,590		2,506
Verizon Virginia Inc., 4.63%, 03/15/13 (e)		7,365		7,698
Vodafone Group Plc, 5.35%, 02/27/12		1,650		1,680

				40,034
UTILITIES - 3.9%
Abu Dhabi National Energy Co., 5.62%, 10/25/12 (r)		4,410		4,545
Allegheny Energy Supply, 8.25%, 04/15/12 (q)		890		921
Appalachian Power Co., 5.65%, 08/15/12		1,750		1,816
Commonwealth Edison Co.
1.63%, 01/15/14		2,485		2,502
1.95%, 09/01/16		1,095		1,085
Dominion Resources Inc.
5.70%, 09/17/12 (e)		1,020		1,065
2.25%, 09/01/15		1,275		1,294
1.95%, 08/15/16		1,465		1,458
DTE Energy Co., 1.03%, 06/03/13 (i)		2,210		2,206
Duke Energy Corp., 6.30%, 02/01/14		1,575		1,746
FirstEnergy Corp., 6.45%, 11/15/11		32		32
Florida Gas Transmission Co. LLC, 4.00%, 07/15/15 (r)		640		677
Georgia Power Co., 1.30%, 09/15/13		3,060		3,080
Great Plains Energy Inc., 2.75%, 08/15/13		1,905		1,938
Kentucky Utilities Co., 1.63%, 11/01/15		915		911
NiSource Finance Corp.
6.15%, 03/01/13		1,355		1,434
5.40%, 07/15/14		1,040		1,126
Northeast Utilities, 5.65%, 06/01/13		3,775		4,030
PPL Energy Supply LLC, 6.40%, 11/01/11		1,200		1,205
Progress Energy Inc., 6.05%, 03/15/14		875		963
PSEG Power LLC
6.95%, 06/01/12		1,020		1,059
2.50%, 04/15/13		2,535		2,567
2.75%, 09/15/16		1,215		1,210
Sempra Energy, 1.11%, 03/15/14 (i)		4,435		4,443
Sierra Pacific Power Co., 5.45%, 09/01/13		2,310		2,474
Southern California Edison Co., 0.65%, 10/21/11 (i)		1,110		1,110
Southern Co.
5.30%, 01/15/12		1,250		1,265
1.95%, 09/01/16 (e)		1,370		1,364

				49,526

Total Corporate Bonds and Notes (cost $619,345)				620,178

GOVERNMENT AND AGENCY OBLIGATIONS - 32.0%
GOVERNMENT SECURITIES - 11.6%
Federal Home Loan Bank - 1.4% (v)
Federal Home Loan Bank, 1.63%, 11/21/12		17,310		17,567
Federal Home Loan Mortgage Corp. - 1.1% (v)
Federal Home Loan Mortgage Corp.
1.75%, 06/15/12		2,100		2,122
0.88%, 10/28/13		11,915		12,019

				14,141


	Shares/Par (p)		Value
Federal National Mortgage Association - 1.3% (v)
Federal National Mortgage Association
1.25%, 06/22/12		11,460		11,541
1.00%, 09/23/13		4,415		4,459

				16,000
Municipals - 0.5%
Florida Hurricane Catastrophe Fund Finance Corp., 1.01%, 10/15/12 (i)		6,305		6,304
Sovereign - 1.1%
Canada Housing Trust, 4.00%, 06/15/12 (r), CAD		2,355		2,295
Kommunalbanken AS, 5.13%, 05/30/12		7,400		7,620
Mexican Bonos, 9.00%, 12/22/11, MXN		59,290		4,316

				14,231
Treasury Inflation Index Securities - 2.7%
U.S. Treasury Inflation Indexed Note
3.00%, 07/15/12 (n)		24,219		24,889
1.88%, 07/15/13 (n)		2,091		2,189
0.50%, 04/15/15 (n)		6,417		6,677

				33,765
U.S. Treasury Securities - 3.5%
U.S. Treasury Note
0.38%, 10/31/12 (o)		37,000		37,077
1.50%, 07/31/16		7,665		7,871

				44,948
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 20.4%
Federal Home Loan Mortgage Corp. - 2.9%
Federal Home Loan Mortgage Corp.
4.00%, 02/01/14 - 06/01/26		3,827		4,027
5.00%, 10/01/17 - 09/01/38		10,221		10,985
4.50%, 04/01/18 - 08/01/25		2,410		2,566
5.50%, 10/01/19 - 07/01/20		1,427		1,552
2.37%, 09/01/33 (i)		200		211
2.50%, 09/01/33 - 06/01/35 (i)		1,160		1,221
2.30%, 10/01/34 (i)		88		90
2.71%, 11/01/34 (i)		58		61
2.76%, 11/01/34 (i)		45		46
2.84%, 11/01/34 (i)		80		84
2.43%, 01/01/35 - 02/01/35 (i)		177		186
2.36%, 02/01/35 - 03/01/36 (i)		808		850
2.38%, 02/01/35 - 02/01/35 (i)		175		183
2.39%, 02/01/35 (i)		53		56
2.49%, 02/01/35 (i)		163		173
2.65%, 02/01/35 (i)		87		92
2.51%, 09/01/35 (i)		1,048		1,096
2.48%, 10/01/35 - 11/01/35 (i)		1,038		1,092
6.00%, 11/01/37		4,850		5,327
REMIC, 5.00%, 10/15/21		1,156		1,231
REMIC, 0.68%, 05/15/36 (i)		726		727
REMIC, 0.73%, 08/15/41 (i)		5,445		5,428

				37,284
Federal National Mortgage Association - 17.4%
Federal National Mortgage Association
5.50%, 01/01/17 - 05/01/40		78,257		85,133
5.00%, 07/01/19 - 07/01/41		15,549		16,780
4.50%, 08/01/24 - 09/01/25		53,179		56,969
4.00%, 02/01/25 - 08/01/26		29,740		31,450
2.35%, 03/01/33 - 01/01/35 (i)		182		192
1.83%, 06/01/33 (i)		66		68
2.45%, 06/01/33 - 07/01/33 (i)		788		831
2.63%, 09/01/33 (i)		5		6
2.32%, 12/01/33 (i)		2		2
2.46%, 12/01/33 (i)		805		843


	Shares/Par (p)		Value
2.38%, 04/01/34 - 08/01/35 (i)		7,178		7,542
2.51%, 04/01/34 - 10/01/34 (i)		45		48
2.53%, 11/01/34 (i)		8		8
2.55%, 11/01/34 (i)		893		948
2.61%, 11/01/34 (i)		201		212
2.33%, 01/01/35 (i)		120		126
2.36%, 01/01/35 (i)		34		35
2.37%, 01/01/35 (i)		96		101
2.44%, 02/01/35 - 02/01/36 (i)		2,096		2,204
2.15%, 03/01/35 (i)		87		91
2.07%, 04/01/35 (i)		651		674
2.69%, 04/01/35 (i)		187		197
2.74%, 04/01/35 (i)		498		530
2.18%, 05/01/35 - 05/01/35 (i)		1,209		1,254
2.43%, 05/01/35 (i)		102		107
2.54%, 06/01/35 (i)		800		843
2.66%, 07/01/35 (i)		641		681
1.76%, 08/01/35 (i)		1,359		1,398
2.27%, 11/01/35 (i)		958		1,005
2.59%, 11/01/35 (i)		430		452
2.30%, 02/01/36 (i)		995		1,044
2.39%, 03/01/36 (i)		390		411
2.49%, 03/01/36 (i)		801		845
6.00%, 01/01/38		1,589		1,746
REMIC,
5.00%, 08/25/19 - 11/25/21		6,444		6,934

				221,710
Government National Mortgage Association - 0.1%
Government National Mortgage Association
7.00%, 12/15/17		765		799
5.50%, 07/15/20		267		289

				1,088

Total Government and Agency Obligations (cost $401,996)				407,038

INVESTMENT COMPANIES - 0.1%
T. Rowe Price Term Asset-Backed Securities Loan Facility (a) (f) (q)		258		696

Total Investment Companies (cost $2,836)				696

SHORT TERM INVESTMENTS - 6.9%
Certificates of Deposit - 0.3%
Svenska Handelsbanken, 0.80%, 03/18/13 (i)	$	4,200		4,196
Investment Companies - 3.7%
JNL Money Market Fund, 0.02% (a) (h)		4,105		4,105
T. Rowe Price Reserves Investment Fund, 0.13% (a) (h)		43,161		43,161

				47,266

Securities Lending Collateral - 2.9%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		37,109		37,109
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		454		440

				37,549

Total Short Term Investments (cost $89,029)				89,011

Total Investments - 102.5% (cost $1,301,332)				1,304,945
Other Assets and Liabilities, Net - (2.5%)				(31,447	)

Total Net Assets - 100.0%			$	1,273,498


	Shares/Par (p)		Value
JNL/T.Rowe Price Value Fund
COMMON STOCKS - 96.0%
CONSUMER DISCRETIONARY - 9.7%
Carnival Corp.		328	$	9,926
Comcast Corp. - Class A		44		913
Comcast Corp. - Special Class A		581		12,011
Discovery Communications Inc. - Class C (c)		355		12,492
General Motors Co. (c)		385		7,773
H&R Block Inc.		454		6,047
International Game Technology		618		8,980
Kohl’s Corp.		339		16,655
Lowe’s Cos. Inc.		219		4,234
Madison Square Garden Inc. - Class A (c)		74		1,698
Time Warner Cable Inc.		164		10,297
Time Warner Inc.		456		13,678
Walt Disney Co.		125		3,773

				108,477
CONSUMER STAPLES - 4.8%
Archer-Daniels-Midland Co.		125		3,094
Avon Products Inc.		395		7,746
General Mills Inc.		176		6,755
Kellogg Co.		91		4,856
Kroger Co.		279		6,131
PepsiCo Inc.		188		11,644
Procter & Gamble Co.		220		13,893

				54,119
ENERGY - 14.4%
Chevron Corp.		385		35,620
Consol Energy Inc.		205		6,959
Devon Energy Corp.		72		3,992
El Paso Corp.		1,270		22,193
ENI SpA		253		4,445
EOG Resources Inc.		66		4,715
EQT Corp.		60		3,186
Hess Corp.		127		6,640
Murphy Oil Corp.		79		3,506
Newfield Exploration Co. (c)		54		2,135
Nexen Inc.		615		9,528
Noble Corp.		262		7,695
Peabody Energy Corp.		230		7,806
QEP Resources Inc.		127		3,430
Royal Dutch Shell Plc - ADR		213		13,104
Southwestern Energy Co. (c)		114		3,783
Spectra Energy Corp.		719		17,632
Weatherford International Ltd. (c)		415		5,068

				161,437
FINANCIALS - 18.0%
Allstate Corp.		148		3,497
American Express Co.		215		9,663
Ameriprise Financial Inc.		140		5,518
AON Corp.		250		10,478
Assured Guaranty Ltd.		278		3,052
Bank of America Corp.		1,400		8,568
First Horizon National Corp.		856		5,099
Goldman Sachs Group Inc.		49		4,671
JPMorgan Chase & Co.		657		19,777
Legg Mason Inc.		86		2,219
Marsh & McLennan Cos. Inc.		249		6,598
MetLife Inc.		392		10,991
Moody's Corp. (e)		603		18,364
Morgan Stanley		600		8,097
NYSE Euronext		444		10,314


	Shares/Par (p)		Value
PNC Financial Services Group Inc.		114		5,479
Regions Financial Corp.		1,746		5,813
SLM Corp.		850		10,581
St. Joe Co. (c) (e)		110		1,653
SunTrust Banks Inc.		223		4,001
U.S. Bancorp		683		16,066
Wells Fargo & Co.		1,175		28,331
Willis Group Holdings Plc		86		2,970

				201,800
HEALTH CARE - 13.8%
Amgen Inc.		299		16,414
CIGNA Corp.		228		9,541
Covidien Plc		388		17,129
Gilead Sciences Inc. (c)		441		17,091
Johnson & Johnson		236		15,042
Merck & Co. Inc.		810		26,485
Pfizer Inc.		2,372		41,932
WellPoint Inc.		158		10,314

				153,948
INDUSTRIALS - 8.5%
3M Co.		144		10,359
Boeing Co.		133		8,042
Canadian Pacific Railway Ltd. (e)		59		2,833
Emerson Electric Co.		133		5,482
Fluor Corp.		68		3,147
General Electric Co.		1,264		19,260
Honeywell International Inc.		220		9,656
Illinois Tool Works Inc.		134		5,562
Ingersoll-Rand Plc		214		6,000
Raytheon Co.		194		7,941
Republic Services Inc. - Class A		95		2,657
Southwest Airlines Co.		1,268		10,198
Union Pacific Corp.		51		4,124

				95,261
INFORMATION TECHNOLOGY - 11.4%
Amdocs Ltd. (c)		19		526
Analog Devices Inc.		149		4,659
Applied Materials Inc.		961		9,945
Cisco Systems Inc.		872		13,512
Computer Sciences Corp.		149		4,006
Corning Inc.		438		5,410
Harris Corp.		60		2,043
Hewlett-Packard Co.		252		5,646
International Business Machines Corp.		55		9,592
Marvell Technology Group Ltd. (c)		598		8,695
Microsoft Corp.		768		19,111
TE Connectivity Ltd.		332		9,354
Texas Instruments Inc.		735		19,582
Visa Inc.		115		9,884
Western Union Co.		351		5,368

				127,333
MATERIALS - 3.7%
International Paper Co.		705		16,380
Monsanto Co.		175		10,477
Owens-Illinois Inc. (c)		226		3,410
Vulcan Materials Co. (e)		121		3,321
Weyerhaeuser Co.		509		7,921

				41,509
TELECOMMUNICATION SERVICES - 3.8%
AT&T Inc.		798		22,748
CenturyLink Inc.		226		7,498
Telefonica SA		309		5,916


	Shares/Par (p)		Value
Vodafone Group Plc		2,617		6,744

				42,906
UTILITIES - 7.9%
AES Corp. (c)		1,317		12,857
Edison International		19		742
Entergy Corp.		187		12,370
Exelon Corp.		373		15,902
FirstEnergy Corp.		187		8,406
MDU Resources Group Inc.		375		7,190
NiSource Inc.		238		5,093
NRG Energy Inc. (c)		442		9,373
PPL Corp.		590		16,838

				88,771

Total Common Stocks (cost $1,179,091)				1,075,561

PREFERRED STOCKS - 1.4%
FINANCIALS - 1.3%
Citigroup Inc., Convertible Preferred, 7.50%		92		7,302
Fifth Third Bancorp, Convertible Preferred, 8.50%, Series G (m)		61		7,815

				15,117
UTILITIES - 0.1%
PPL Corp., Convertible Preferred, 9.50%		27		1,472

Total Preferred Stocks (cost $17,638)				16,589

CORPORATE BONDS AND NOTES - 0.5%
CONSUMER DISCRETIONARY - 0.1%
International Game Technology, 3.25%, 05/01/14 (e)	$	1,007		1,158
FINANCIALS - 0.1%
Assured Guaranty Municipal Holdings Inc., 6.40%, 12/15/66 (i) (q)		1,850		1,332
MATERIALS - 0.3%
United States Steel Corp., 4.00%, 05/15/14		3,004		3,132

Total Corporate Bonds and Notes (cost $5,670)				5,622

SHORT TERM INVESTMENTS - 3.0%
Investment Companies - 1.6%
JNL Money Market Fund, 0.02% (a) (h)		1,145		1,145
T. Rowe Price Reserves Investment Fund, 0.13% (a) (h)		16,632		16,632

				17,777
Securities Lending Collateral - 1.4%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		14,879		14,879
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		704		682

				15,561

Total Short Term Investments (cost $33,360)				33,338

Total Investments - 100.9% (cost $1,235,759)				1,131,110
Other Assets and Liabilities, Net - (0.9%)				(10,612	)

Total Net Assets - 100.0%			$	1,120,498

JNL/WMC Balanced Fund


	Shares/Par (p)		Value
COMMON STOCKS - 63.9%
CONSUMER DISCRETIONARY - 6.3%
Comcast Corp. - Class A		891	$	18,617
Ford Motor Co. (c)		497		4,804
Honda Motor Co. Ltd. - ADR (e)		223		6,506
J.C. Penney Co. Inc. (e)		128		3,422
Johnson Controls Inc.		330		8,699
Lowe's Cos. Inc.		584		11,287
Mattel Inc.		265		6,861
Omnicom Group Inc.		111		4,094
Staples Inc.		425		5,654
Target Corp.		202		9,886
Time Warner Inc.		335		10,029
Walt Disney Co.		300		9,043

				98,902
CONSUMER STAPLES - 5.0%
CVS Caremark Corp.		333		11,194
PepsiCo Inc.		317		19,613
Philip Morris International Inc.		262		16,321
Procter & Gamble Co.		343		21,691
Unilever NV - ADR		316		9,944

				78,763
ENERGY - 8.5%
Anadarko Petroleum Corp.		231		14,593
Baker Hughes Inc.		160		7,363
Chevron Corp.		384		35,557
Exxon Mobil Corp.		599		43,522
Occidental Petroleum Corp.		188		13,456
Total SA - ADR		196		8,590
Ultra Petroleum Corp. (c)		334		9,266

				132,347
FINANCIALS - 10.2%
ACE Ltd.		214		12,961
Bank of America Corp.		1,007		6,160
BB&T Corp.		423		9,021
BlackRock Inc.		58		8,518
Chubb Corp.		166		9,961
Goldman Sachs Group Inc.		57		5,429
Hartford Financial Services Group Inc.		349		5,635
JPMorgan Chase & Co.		870		26,208
MetLife Inc.		479		13,417
PNC Financial Services Group Inc.		291		14,045
Principal Financial Group Inc.		255		5,779
UBS AG (c) (e)		541		6,184
Wells Fargo & Co.		1,466		35,349

				158,667
HEALTH CARE - 9.0%
Cardinal Health Inc.		314		13,146
Eli Lilly & Co.		583		21,541
Johnson & Johnson		434		27,652
Medtronic Inc.		483		16,067
Merck & Co. Inc.		847		27,711
Pfizer Inc.		1,565		27,663
Teva Pharmaceutical Industries Ltd. - ADR		161		6,007

				139,787
INDUSTRIALS - 6.9%
Avery Dennison Corp.		156		3,907
Cooper Industries Plc		270		12,461
Deere & Co.		130		8,367
FedEx Corp.		127		8,573
General Dynamics Corp.		132		7,527


	Shares/Par (p)		Value
General Electric Co.		751		11,439
Honeywell International Inc.		186		8,154
Northrop Grumman Systems Corp.		91		4,729
Pentair Inc. (e)		108		3,471
Siemens AG - ADR (e)		101		9,039
United Continental Holdings Inc. (c)		422		8,181
United Parcel Service Inc. - Class B		179		11,286
Waste Management Inc.		319		10,390

				107,524
INFORMATION TECHNOLOGY - 9.9%
Accenture Plc - Class A		176		9,285
Analog Devices Inc.		355		11,094
Automatic Data Processing Inc.		264		12,431
Avnet Inc. (c)		289		7,544
Cisco Systems Inc.		696		10,775
eBay Inc. (c)		287		8,454
Intel Corp.		631		13,452
International Business Machines Corp.		178		31,128
Microsoft Corp.		997		24,803
QUALCOMM Inc.		205		9,964
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR		485		5,549
Texas Instruments Inc.		379		10,111

				154,590
MATERIALS - 1.8%
Barrick Gold Corp.		185		8,617
Dow Chemical Co.		378		8,498
Owens-Illinois Inc. (c)		230		3,480
Praxair Inc.		53		4,989
Rio Tinto Plc - ADR		50		2,204

				27,788
TELECOMMUNICATION SERVICES - 2.9%
AT&T Inc.		1,540		43,910
Sprint Nextel Corp. (c)		566		1,722

				45,632
UTILITIES - 3.4%
Dominion Resources Inc. (e)		320		16,245
Exelon Corp.		244		10,401
PG&E Corp.		312		13,214
Xcel Energy Inc.		541		13,346

				53,206

Total Common Stocks (cost $1,047,897)				997,206

NON-U.S. GOVERNMENT AGENCY ASSET- BACKED SECURITIES - 1.1%
Ally Auto Receivables Trust, 1.35%, 12/15/15	$	275		277
AmeriCredit Automobile Receivables Trust, 3.34%, 04/08/16		455		463
Avis Budget Rental Car Funding AESOP LLC, 2.09%, 04/20/14 (r)		1,375		1,380
Banc of America Commercial Mortgage Inc. REMIC
5.12%, 07/11/43		532		536
5.37%, 09/10/47 (i)		1,200		1,320
Bear Stearns Commercial Mortgage Securities Inc. REMIC
5.70%, 04/12/38 (i)		168		187
5.20%, 12/11/38		780		843
5.62%, 03/11/39 (i)		915		998
5.54%, 09/11/41		600		658
CarMax Auto Owner Trust, 4.79%, 02/15/13		193		195


	Shares/Par (p)		Value
Citibank Credit Card Issuance Trust, 5.65%, 09/20/19		750		896
Continental Airlines Inc. Pass-Through Trust - Class A, 5.98%, 10/19/23		265		267
DBUBS Mortgage Trust REMIC, 3.74%, 06/01/17 (r)		2,643		2,711
Ford Credit Floorplan Master Owner Trust, 1.88%, 12/15/14 (i) (r)		1,000		1,014
GS Mortgage Securities Corp. II REMIC, 4.75%, 07/10/39 (e)		900		955
JPMorgan Chase Commercial Mortgage Securities Corp. REMIC
5.90%, 09/11/38 (i)		540		593
5.54%, 10/12/41		545		597
Marriott Vacation Club Trust, 5.36%, 10/20/28 (r)		24		24
Merrill Lynch Mortgage Trust REMIC, 5.05%, 07/12/38 (i)		500		543
Morgan Stanley Dean Witter Capital I REMIC, 5.98%, 01/15/39		479		485
OBP Depositor LLC Trust, 4.65%, 07/15/45 (r)		495		526
SBA Tower Trust, 4.25%, 04/15/40 (r)		420		443
Southwest Airlines Co., 6.15%, 02/01/24 (e)		216		229
World Omni Automobile Lease Securitization Trust, 1.49%, 10/15/14		680		684

Total Non-U.S. Government Agency Asset- Backed Securities (cost $16,064)				16,824

CORPORATE BONDS AND NOTES - 7.8%
CONSUMER DISCRETIONARY - 0.8%
CBS Corp.
5.75%, 04/15/20 (e)		805		886
4.30%, 02/15/21		25		25
Comcast Corp.
6.50%, 01/15/17		750		881
6.55%, 07/01/39 (e)		375		435
COX Communications Inc., 5.45%, 12/15/14 (e)		500		554
Daimler Finance North America LLC
2.63%, 09/15/16 (r)		1,400		1,365
8.50%, 01/18/31 (e)		300		424
DIRECTV Holdings LLC
3.13%, 02/15/16		900		916
6.38%, 03/01/41		635		711
Grupo Televisa SA, 6.63%, 01/15/40		375		396
Lowe's Cos. Inc., 6.65%, 09/15/37		420		538
NBCUniversal Media LLC, 2.88%, 04/01/16		1,700		1,731
News America Inc., 4.50%, 02/15/21 (e)		850		854
Staples Inc., 9.75%, 01/15/14 (l)		335		388
Target Corp., 5.38%, 05/01/17		800		930
Time Warner Cable Inc.
5.85%, 05/01/17		270		300
5.00%, 02/01/20 (e)		500		531
Time Warner Inc., 4.88%, 03/15/20		500		532
Viacom Inc., 6.88%, 04/30/36		670		798

				13,195
CONSUMER STAPLES - 0.7%
Altria Group Inc., 4.75%, 05/05/21 (e)		895		926
Anheuser-Busch InBev Worldwide Inc.
6.88%, 11/15/19		680		865
5.38%, 01/15/20 (e)		170		198
CVS Caremark Corp.
6.13%, 08/15/16		400		463
5.75%, 06/01/17		245		281


	Shares/Par (p)		Value
Dr. Pepper Snapple Group Inc., 2.90%, 01/15/16		247		255
Kellogg Co., 4.00%, 12/15/20 (e)		1,300		1,393
Kraft Foods Inc., 6.25%, 06/01/12		302		313
PepsiCo Inc., 3.13%, 11/01/20		1,800		1,845
SABMiller Plc, 6.50%, 07/15/18 (r)		600		722
Wal-Mart Stores Inc, 3.63%, 07/08/20 (e)		2,300		2,460
WM Wrigley Jr. Co., 3.70%, 06/30/14 (e) (r)		925		956

				10,677
ENERGY - 0.4%
BP Capital Markets Plc, 4.75%, 03/10/19		675		746
ConocoPhillips, 4.60%, 01/15/15 (e)		500		548
EOG Resources Inc., 5.63%, 06/01/19		190		225
Motiva Enterprises LLC, 5.75%, 01/15/20 (e) (r)		75		87
Occidental Petroleum Corp., 4.10%, 02/01/21 (e)		941		1,021
Shell International Finance BV
3.10%, 06/28/15		400		425
3.25%, 09/22/15 (e)		550		586
4.38%, 03/25/20 (e)		675		758
StatoilHydro ASA, 5.25%, 04/15/19 (e)		215		253
TransCanada Pipelines Ltd., 3.80%, 10/01/20 (e)		975		1,028

				5,677
FINANCIALS - 3.8%
Ace Capital Trust II, 9.70%, 04/01/30		525		668
American Express Centurion Bank, 6.00%, 09/13/17		850		954
American Express Credit Corp., 2.75%, 09/15/15 (e)		500		502
American Honda Finance Corp., 2.50%, 09/21/15 (r)		1,000		1,011
Ameriprise Financial Inc., 5.30%, 03/15/20		170		188
ANZ National International Ltd., 2.38%, 12/21/12 (r)		260		262
ASIF Global Financing XIX, 4.90%, 01/17/13 (r)		500		506
AXA SA, 8.60%, 12/15/30 (e)		425		476
Bank of America Corp.
6.50%, 08/01/16		2,000		1,986
5.42%, 03/15/17		700		608
7.63%, 06/01/19 (e)		800		840
Bank of New York Mellon Corp.
4.30%, 05/15/14		240		259
5.45%, 05/15/19 (e)		500		578
Bank of Nova Scotia, 3.40%, 01/22/15 (e)		625		658
Barclays Bank Plc, 6.75%, 05/22/19 (e)		320		346
Canadian Imperial Bank of Commerce, 2.35%, 12/11/15 (e)		1,300		1,317
Caterpillar Financial Services Corp., 2.75%, 06/24/15		600		625
CDP Financial, 4.40%, 11/25/19 (r)		600		654
Charles Schwab Corp., 4.95%, 06/01/14		190		208
Citigroup Inc.
5.50%, 10/15/14		515		535
4.59%, 12/15/15 (e)		535		549
5.85%, 08/02/16 (e)		1,300		1,390
8.50%, 05/22/19		400		483
8.13%, 07/15/39		115		138
Comerica Inc., 3.00%, 09/16/15		95		94
Credit Agricole SA, 3.50%, 04/13/15 (e) (r)		740		694
Credit Suisse New York, 3.50%, 03/23/15 (e)		345		345
Deutsche Bank AG London, 3.45%, 03/30/15 (e)		500		498
Discover Financial Services, 6.45%, 06/12/17		90		94


	Shares/Par (p)		Value
Eaton Vance Corp., 6.50%, 10/02/17 (e)		160		183
Enel Finance International SA
5.13%, 10/07/19 (e) (r)		350		328
6.80%, 09/15/37 (r)		235		219
ERAC USA Finance Co., 4.50%, 08/16/21 (e) (r)		620		625
ERAC USA Finance LLC, 2.25%, 01/10/14 (r)		375		377
ERP Operating LP, 4.75%, 07/15/20		765		797
Everest Reinsurance Holdings Inc., 5.40%, 10/15/14		215		230
General Electric Capital Corp.
5.90%, 05/13/14		250		273
2.25%, 11/09/15		1,000		988
5.63%, 09/15/17		1,700		1,865
4.63%, 01/07/21 (e)		1,000		1,038
Goldman Sachs Group Inc.
5.35%, 01/15/16		900		931
5.63%, 01/15/17		1,350		1,310
6.25%, 02/01/41 (e)		940		914
Hartford Financial Services Group Inc., 6.10%, 10/01/41		645		562
HCP Inc., 6.00%, 01/30/17 (e)		365		384
Household Finance Co., 6.38%, 11/27/12		500		518
HSBC Bank Plc, 4.13%, 08/12/20 (e) (r)		900		891
HSBC Bank USA, 5.88%, 11/01/34 (e)		250		239
ING Bank NV, 2.00%, 10/18/13 (r)		1,850		1,803
John Deere Capital Corp., 2.95%, 03/09/15 (e)		180		189
JPMorgan Chase & Co.
3.70%, 01/20/15 (e)		600		615
3.40%, 06/24/15 (e)		1,800		1,828
6.30%, 04/23/19		475		537
6.40%, 05/15/38		425		485
Kimco Realty Corp., 5.78%, 03/15/16		345		374
Kreditanstalt fuer Wiederaufbau, 1.25%, 10/26/15 (e)		2,000		2,012
Liberty Mutual Insurance Co., 7.88%, 10/15/26 (r)		475		565
Liberty Property LP, 6.63%, 10/01/17		225		246
Lloyds TSB Bank Plc., 4.38%, 01/12/15 (r)		625		611
MassMutual Global Funding II, 2.88%, 04/21/14 (r)		172		177
MetLife Global Funding I Inc., 2.50%, 09/29/15 (r)		1,200		1,209
Metropolitan Life Global Funding I, 2.88%, 09/17/12 (e) (r)		600		609
Morgan Stanley
6.00%, 05/13/14 (e)		400		405
5.38%, 10/15/15 (e)		170		169
5.45%, 01/09/17		1,700		1,640
National Rural Utilities Cooperative Finance Corp., 5.45%, 02/01/18		1,000		1,151
Nomura Holdings Inc., 5.00%, 03/04/15 (e)		280		293
Nordea Bank AB, 3.70%, 11/13/14 (r)		345		351
Northern Trust Corp., 3.45%, 11/04/20 (e)		490		502
PNC Funding Corp., 5.40%, 06/10/14 (e)		525		571
Private Export Funding Corp., 2.25%, 12/15/17		1,985		2,053
Prudential Financial Inc.
5.50%, 03/15/16		425		459
6.00%, 12/01/17		450		477
Rabobank Nederland NV, 3.20%, 03/11/15 (e) (r)		750		778
Realty Income Corp.
6.75%, 08/15/19		355		413
5.75%, 01/15/21 (e)		335		372
Royal Bank of Scotland Plc, 4.88%, 03/16/15		500		490


	Shares/Par (p)		Value
Simon Property Group LP
4.20%, 02/01/15 (e)		600		633
6.10%, 05/01/16		325		369
Sovereign Bank, 8.75%, 05/30/18		450		524
Standard Chartered Plc, 3.85%, 04/27/15 (r)		265		271
Svenska Handelsbanken AB, 4.88%, 06/10/14 (r)		700		740
Toyota Motor Credit Corp., 2.80%, 01/11/16 (e)		1,020		1,042
US Bank NA, 4.95%, 10/30/14		450		490
US Bancorp, 2.88%, 11/20/14 (e)		500		518
Wachovia Corp.
5.25%, 08/01/14		500		525
5.75%, 06/15/17		1,500		1,689
WEA Finance LLC
5.70%, 10/01/16 (e) (r)		100		107
7.13%, 04/15/18 (e) (r)		350		400
Wells Fargo & Co., 3.75%, 10/01/14 (e)		575		607

				59,437
HEALTH CARE - 0.5%
Amgen Inc.
6.15%, 06/01/18		425		517
5.70%, 02/01/19 (e)		350		418
Express Scripts Inc., 6.25%, 06/15/14		160		176
McKesson Corp., 3.25%, 03/01/16		175		185
Merck & Co. Inc., 4.00%, 06/30/15		370		407
Pfizer Inc., 6.20%, 03/15/19		700		877
Roche Holdings Inc., 6.00%, 03/01/19 (l) (r)		750		916
Sanofi-Aventis SA, 4.00%, 03/29/21		1,025		1,112
Schering-Plough, 5.30%, 12/01/13 (e) (l)		450		492
Thermo Fisher Scientific Inc.
3.25%, 11/20/14		140		148
3.20%, 05/01/15		180		190
UnitedHealth Group Inc.
5.50%, 11/15/12		379		398
3.88%, 10/15/20		600		634
WellPoint Inc., 4.35%, 08/15/20 (e)		1,000		1,058

				7,528
INDUSTRIALS - 0.3%
Boeing Co., 3.75%, 11/20/16 (e)		860		937
Cargill Inc., 4.31%, 05/14/21 (e) (r)		517		560
Deere & Co., 4.38%, 10/16/19 (e)		185		209
Pitney Bowes Inc., 5.75%, 09/15/17 (e)		385		395
Raytheon Co., 1.63%, 10/15/15		835		833
Siemens Financieringsmaatschappij NV,
5.75%, 10/17/16 (r)		675		787
Southwest Airlines Co., 5.75%, 12/15/16 (e)		500		554
United Parcel Service Inc., 4.88%, 11/15/40 (e)		370		424

				4,699
INFORMATION TECHNOLOGY - 0.4%
Cisco Systems Inc., 4.45%, 01/15/20 (e)		500		553
Dell Inc., 5.88%, 06/15/19 (e)		460		524
Hewlett-Packard Co., 3.75%, 12/01/20 (e)		1,000		971
International Business Machines Corp., 2.00%, 01/05/16		1,300		1,319
Intuit Inc., 5.40%, 03/15/12		550		560
Microsoft Corp., 4.50%, 10/01/40		500		550
Oracle Corp., 6.13%, 07/08/39		500		638
Xerox Corp.
8.25%, 05/15/14		345		393
6.75%, 02/01/17		75		86
6.35%, 05/15/18 (e)		50		57
5.63%, 12/15/19		30		32

				5,683


	Shares/Par (p)		Value
MATERIALS - 0.0%
Agrium Inc., 6.13%, 01/15/41		210		257
ArcelorMittal, 6.75%, 03/01/41 (e) (l)		189		163

				420
TELECOMMUNICATION SERVICES - 0.3%
AT&T Inc.
2.50%, 08/15/15		500		511
6.80%, 05/15/36		150		181
BellSouth Corp., 6.55%, 06/15/34 (e)		300		348
BellSouth Telecommunications Inc., 7.00%, 12/01/95		70		83
Cellco Partnership, 5.55%, 02/01/14 (e)		500		547
Deutsche Telekom International Finance BV, 8.75%, 06/15/30 (l)		275		367
France Telecom SA, 4.38%, 07/08/14		230		245
SBC Communications, 6.45%, 06/15/34		480		552
Telecom Italia Capital SA, 5.25%, 10/01/15		675		644
Verizon Global Funding Corp., 7.75%, 12/01/30		500		687
Virgin Media Secured Finance Plc, 5.25%, 01/15/21		460		495
Vodafone Group Plc, 5.45%, 06/10/19		600		703

				5,363
UTILITIES - 0.6%
Abu Dhabi National Energy Co.
5.62%, 10/25/12 (r)		250		258
5.88%, 10/27/16 (r)		195		215
Atmos Energy Corp., 6.35%, 06/15/17		385		459
Colorado Public Service Co., 5.13%, 06/01/19		500		591
Consolidated Edison Co. of New York Inc., 5.30%, 12/01/16		250		290
Duke Energy Carolinas LLC, 4.30%, 06/15/20		875		967
Florida Power & Light Co., 5.25%, 02/01/41		1,465		1,759
Indianapolis Power & Light Co. (insured by AMBAC Assurance Corp.), 6.60%, 06/01/37 (r)		500		678
MidAmerican Energy Holdings Co., 6.13%, 04/01/36		350		419
Niagara Mohawk Power Corp., 3.55%, 10/01/14 (r)		415		435
Oncor Electric Delivery Co. LLC, 5.25%, 09/30/40		325		361
Pennsylvania Electric Co., 5.20%, 04/01/20		600		671
PPL Electric Utilities Corp., 6.25%, 05/15/39		60		80
Public Service Electric & Gas Co., 2.70%, 05/01/15		230		240
San Diego Gas & Electric Co.
6.00%, 06/01/39		100		132
5.35%, 05/15/40 (e)		800		983
Southern California Edison Co., 5.55%, 01/15/37		500		613

				9,151

Total Corporate Bonds and Notes (cost $115,311)				121,830


GOVERNMENT AND AGENCY OBLIGATIONS - 24.7%
GOVERNMENT SECURITIES - 10.9%
Federal Home Loan Mortgage Corp. - 0.3% (v)
Federal Home Loan Mortgage Corp., 3.50%, 05/29/13		5,000		5,259
Municipals - 1.0%
Bay Area Toll Authority, 6.26%, 04/01/49		975		1,269
City of Chicago, IL, 6.85%, 01/01/38		700		779


	Shares/Par (p)		Value
Dallas Area Rapid Transit (insured by AMBAC Assurance Corp.), 6.00%, 12/01/44		890		1,136
Illinois State Toll Highway Municipal Bond, 6.18%, 01/01/34		565		639
Irvine Ranch Water District, 2.61%, 03/15/14		545		568
Los Angeles Unified School District, 5.75%, 07/01/34		800		898
Maryland Transportation Authority, 5.89%, 07/01/43		270		333
Massachusetts School Building Authority, 5.72%, 08/15/39		500		618
Metropolitan Transportation Authority
7.34%, 11/15/39		75		105
6.09%, 11/15/40		405		489
New Jersey State Turnpike Authority, 7.41%, 01/01/40		705		971
New York State Thruway Authority, Miscellaneous Revenue, RB, 5.88%, 04/01/30		840		1,018
New York, NJ, Port Authority Revenue
5.86%, 12/01/24		180		216
6.04%, 12/01/29		105		127
North Texas Tollway Authority, 6.72%, 01/01/49		850		1,078
Oregon School Boards Association (insured by AMBAC Assurance Corp.), 4.76%, 06/30/28		420		424
Oregon State Department of Transportation, 5.83%, 11/15/34		255		314
San Antonio Texas Electric & Gas, 5.99%, 02/01/39		135		170
State of California, 7.63%, 03/01/40		400		493
State of California Various Purpose Bond, 7.55%, 04/01/39		400		490
State of Illinois
5.37%, 03/01/17		20		21
5.67%, 03/01/18		370		398
5.88%, 03/01/19		300		320
State of Utah, 3.29%, 07/01/20		1,000		1,073
University of California, 6.58%, 05/15/49		370		459
University of California Build America Bond, 5.77%, 05/15/43		615		708
University of Missouri, 5.96%, 11/01/39		360		440

				15,554
Sovereign - 0.4%
Financing Corp. Fico, 0.00%, 12/06/13 - 12/27/13 (j)		495		486
Province of Ontario, Canada, 4.00%, 10/07/19		550		614
Resolution Funding Corp., 0.00%, 04/15/14 (j)		2,550		2,499
Tennessee Valley Authority, 4.38%, 06/15/15		1,900		2,136

				5,735
U.S. Treasury Securities - 9.2%
U.S. Treasury Bond
5.38%, 02/15/31		1,700		2,391
4.25%, 05/15/39 (e)		1,000		1,258
4.38%, 11/15/39 - 05/15/41		6,638		8,561
4.63%, 02/15/40		3,830		5,118
4.25%, 11/15/40		2,100		2,655
U.S. Treasury Note
1.38%, 05/15/12		9,800		9,874
4.75%, 05/31/12		2,000		2,061
0.63%, 12/31/12 - 01/31/13		15,800		15,884
0.63%, 04/30/13 (e)		15,000		15,091
3.13%, 09/30/13		2,500		2,641
1.88%, 02/28/14		10,700		11,085
1.75%, 07/31/15		7,000		7,295


	Shares/Par (p)		Value
1.25%, 10/31/15		5,000		5,106
2.00%, 01/31/16 - 04/30/16		17,000		17,879
1.50%, 06/30/16		13,600		13,975
3.88%, 05/15/18		1,000		1,161
3.63%, 02/15/20		3,915		4,519
2.63%, 11/15/20		9,400		10,052
3.13%, 05/15/21 (e)		2,900		3,219
4.75%, 02/15/41 (e)		2,800		3,826

				143,651
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 13.8%
Federal Home Loan Mortgage Corp. - 7.9%
Federal Home Loan Mortgage Corp.
6.00%, 04/01/17 - 12/01/39		1,858		2,041
6.50%, 11/01/17		27		29
4.50%, 05/01/18 - 03/01/39		8,000		8,494
4.00%, 09/01/26 - 08/01/41		53,327		55,904
7.00%, 11/01/30 - 10/01/32		166		192
4.50%, 10/15/40, TBA (g)		40,600		42,941
5.00%, 10/15/40, TBA (g)		10,700		11,472
5.50%, 10/15/40, TBA (g)		2,400		2,595

				123,668
Federal National Mortgage Association - 5.6%
Federal National Mortgage Association
6.00%, 01/01/18 - 09/01/38		104		114
3.50%, 10/01/25 - 03/01/26		6,197		6,481
3.50%, 10/15/25 – 10/15/40, TBA (g)		7,200		7,475
4.00%, 10/15/25, TBA (g)		6,700		7,060
4.50%, 10/15/25, TBA (g)		15,100		16,065
4.00%, 06/01/26 - 09/01/26		6,918		7,306
7.50%, 09/01/29		25		30
7.00%, 10/01/33		109		125
5.50%, 03/01/38 - 11/01/38		5,643		6,134
5.00%, 06/01/40 - 08/01/40		3,183		3,430
5.00%, 10/15/40, TBA (g)		16,000		17,210
5.50%, 10/15/40, TBA (g)		10,700		11,611
6.50%, 10/15/40, TBA (g)		3,500		3,858

				86,899
Government National Mortgage Association - 0.3%
Government National Mortgage Association
6.50%, 04/15/26		32		37
5.50%, 11/15/32 - 02/15/36		268		297
7.00%, 01/15/33 - 05/15/33		45		53
6.00%, 02/15/33 - 01/15/35		244		273
5.00%, 06/20/33 - 09/15/38		3,344		3,693
REMIC, 7.50%, 09/16/35		17		20

				4,373

Total Government and Agency Obligations (cost $369,600)				385,140

SHORT TERM INVESTMENTS - 12.4%
Investment Companies - 9.6%
JNL Money Market Fund, 0.02% (a) (h)		149,080		149,080
Securities Lending Collateral - 2.8%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		43,302		43,302


	Shares/Par (p)		Value
Securities Lending Liquidating Fund LLC, 0.29% (a) (h)		801		776

				44,078

Total Short Term Investments (cost $193,183)				193,158

Total Investments - 109.8% (cost $1,742,055)				1,714,158
Total Forward Sales Commitments - (0.2)% (proceeds $2,368)				(2,370	)
Other Assets and Liabilities, Net - (9.6%)				(151,148	)

Total Net Assets - 100.0%			$	1,560,640

FORWARD SALES COMMITMENTS - 0.2%
GOVERNMENT AND AGENCY OBLIGATIONS - 0.2%
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.2%
Federal National Mortgage Association - 0.2%
Federal National Mortgage Association, 3.00%, 10/15/26 , TBA (g)	$	2,300	$	2,370

Total Government and Agency Obligations - 0.2% (proceeds $2,368)			$	2,370

JNL/WMC Money Market Fund
CORPORATE BONDS AND NOTES - 10.0%
FINANCIALS - 8.9%
Bank of America Corp.
0.24%, 11/28/11	$	4,000	$	4,000
0.31%, 01/17/12		6,700		6,700
3.13%, 06/15/12		5,000		5,102
2.38%, 06/22/12		5,010		5,087
Bear Stearns Cos. Inc., 0.51%, 11/28/11 (i)		5,650		5,652
Citigroup Funding Inc., 1.88%, 10/22/12		10,000		10,170
Countrywide Financial Corp., 5.80%, 06/07/12		4,000		4,124
General Electric Capital Corp.
0.44%, 03/02/12 (i)		4,000		4,002
2.00%, 09/28/12		10,000		10,174
Goldman Sachs Group Inc.
0.65%, 10/07/11 (i)		4,500		4,500
6.60%, 01/15/12		5,250		5,338
0.45%, 02/06/12 (i)		7,245		7,245
John Deere Capital Corp., 2.88%, 06/19/12		10,000		10,189
JPMorgan Chase & Co., 0.48%, 06/25/12 (i)		5,000		5,005
State Street Corp., 2.15%, 04/30/12		3,500		3,540
Toyota Motor Credit Corp., 0.29%, 02/02/12 (i)		6,000		6,000
Wachovia Corp.
0.38%, 10/15/11 (i)		2,750		2,750
0.48%, 03/01/12 (i)		2,400		2,401
Wells Fargo & Co., 0.34%, 01/24/12 (i)		2,750		2,751

				104,730
HEALTH CARE - 0.6%
Pfizer Inc.
4.45%, 03/15/12		5,550		5,652
4.45%, 03/15/12		2,000		2,037

				7,689
INFORMATION TECHNOLOGY - 0.5%
Hewlett-Packard Co.
4.25%, 02/24/12		3,500		3,552


	Shares/Par (p)		Value
5.25%, 03/01/12		2,000		2,041

				5,593

Total Corporate Bonds and Notes (cost $118,012)				118,012


GOVERNMENT AND AGENCY OBLIGATIONS - 10.1%
GOVERNMENT SECURITIES - 10.1%
Federal Home Loan Mortgage Corp. - 7.2% (v)
Federal Home Loan Mortgage Corp.
1.25%, 05/03/12		40,000		40,242
0.35%, 07/25/12		3,000		3,000
0.17%, 09/19/12 (i)		20,000		19,996
0.45%, 09/21/12		8,000		8,000
0.49%, 09/21/12		6,000		6,000
0.21%, 10/12/12 (i)		8,300		8,302

				85,540
U.S. Treasury Securities - 2.9%
U.S. Treasury Note
1.00%, 04/30/12		30,400		30,540
0.75%, 05/31/12		4,000		4,014

				34,554

Total Government and Agency Obligations (cost $120,094)				120,094

SHORT TERM INVESTMENTS - 79.8%
Certificates of Deposit - 20.4%
Bank of Montreal
0.24%, 10/03/11 (i)		6,400		6,400
0.32%, 10/26/11		10,000		10,000
0.32%, 02/17/12		10,000		10,000
Bank of Nova Scotia
0.45%, 10/31/11 (i)		6,000		6,001
0.36%, 11/28/11		8,000		8,000
0.25%, 01/25/12 (i)		3,500		3,500
0.19%, 07/16/12		10,000		10,000
Barclays Bank Plc
0.74%, 10/25/11		7,500		7,500
0.81%, 02/16/12		5,200		5,200
0.59%, 05/03/12 (i)		3,500		3,500
BNP Paribas
0.36%, 12/12/11		6,500		6,500
0.76%, 03/01/12		3,500		3,500
Canadian Imperial Bank of Commerce
0.45%, 01/19/12 (i)		3,400		3,402
0.45%, 03/12/12		7,000		7,000
0.46%, 05/04/12 (i)		2,500		2,502
0.35%, 08/09/12 (i)		11,300		11,300
Citibank NA, 0.24%, 12/12/11		8,000		8,000
Credit Agricole SA, 0.31%, 10/04/11		5,000		5,000
Deutsche Bank AG, 0.20%, 10/03/11		5,000		5,000
DnB NOR Bank ASA
0.33%, 11/07/11 (i)		4,000		4,000
0.48%, 11/22/11		3,800		3,800
0.30%, 03/02/12		5,000		5,000
0.33%, 03/31/12 (i)		8,000		8,000
National Australia Bank Ltd., 0.21%, 11/01/11		10,000		10,000
Rabobank Nederland NV
0.31%, 11/07/11 (i)		4,000		4,000
0.28%, 02/10/12 (i)		3,700		3,700
0.30%, 05/29/12 (i)		4,000		4,000
Royal Bank of Canada
0.30%, 02/15/12		15,000		15,000
0.29%, 03/02/12 (i)		2,000		2,000


	Shares/Par (p)		Value
Societe Generale
0.39%, 11/07/11 (i)		7,700		7,700
0.43%, 12/12/11 (i)		7,000		7,000
Standard Chartered Bank
0.47%, 12/05/11 (i)		1,900		1,900
0.35%, 01/10/12		5,000		5,000
Toronto-Dominion Bank NY
0.31%, 10/28/11 (i)		5,500		5,500
0.21%, 01/03/12		7,000		7,000
0.40%, 04/27/12		3,500		3,500
UBS AG
0.39%, 12/22/11 (i)		7,400		7,400
0.62%, 03/02/12		4,500		4,500
UBS AG Stamford
0.61%, 11/23/11 (i)		4,700		4,700
0.29%, 12/14/11 (i)		5,000		5,000

				241,005
Commercial Paper - 19.4%
Amsterdam Funding Corp.
0.21%, 10/05/11 (r)		6,100		6,100
0.22%, 10/05/11 (r)		2,000		2,000
0.23%, 10/11/11 (r)		6,600		6,599
0.28%, 10/11/11 (r)		2,800		2,800
CAFCO LLC, 0.18%, 10/05/11 (r)		9,000		9,000
Chariot Funding LLC, 0.16%, 10/06/11 (r)		17,500		17,500
Coca-Cola Co.
0.17%, 10/04/11 (r)		6,400		6,400
0.21%, 03/01/12 (r)		5,000		4,995
CRC Funding LLC
0.20%, 10/18/11 (r)		4,200		4,199
0.26%, 11/21/11 (r)		5,000		4,998
0.27%, 12/06/11 (r)		8,300		8,296
Fairway Finance Corp.
1.75%, 10/11/11 (r)		2,400		2,400
0.20%, 10/14/11 (r)		5,400		5,400
0.20%, 10/18/11 (r)		9,500		9,499
Falcon Asset Securitization Co. LLC, 0.15%, 10/11/11 (r)		18,600		18,599
General Electric Capital Corp.
0.22%, 12/12/11		14,000		13,994
0.23%, 02/03/12		8,800		8,793
Hewlett-Packard Co., 0.16%, 10/17/11 (r)		11,700		11,699
Jupiter Securitization Corp., 0.17%, 10/04/11 (r)		2,000		2,000
Market Street Funding, 0.16%, 10/18/11 (r)		18,000		17,999
National Australia Bank Ltd., 0.20%, 10/03/11		8,000		8,000
Old Line Funding LLC
0.17%, 10/06/11 (r)		3,000		3,000
0.21%, 11/14/11		14,600		14,596
Province of Quebec, Canada, 0.16%, 11/14/11		5,000		4,999
Sanoti-Aventis SA, 0.37%, 10/14/11 (r)		9,400		9,399
Toyota Motor Credit Corp., 0.26%, 12/20/11		9,000		8,995
Windmill Funding LLC
0.23%, 10/12/11 (r)		12,500		12,499
0.03%, 11/07/11 (r)		4,700		4,698

				229,456
Investment Companies - 0.0%
JPMorgan Prime Money Market Fund, 0.02% (h)		62		62


	Shares/Par (p)		Value
Repurchase Agreements - 40.0%
Repurchase Agreement with Deutsche Bank, 0.06% (Collateralized by $48,761 Federal Home Loan Mortgage Corp., 3.50%, due 08/01/26, value $51,000) acquired on 09/29/11, due 10/06/11 at $50,000	$	50,000		50,000
Repurchase Agreement with Deutsche Bank., 0.05% (Collateralized by $30,415 U.S. Treasury Inflation Indexed Security, 3.00%, due 07/15/12, value $30,600) acquired on 09/30/11, due 10/03/11 at $30,000		30,000		30,000
Repurchase Agreement with Deutsche Bank., 0.09% (Collateralized by $42,378 Federal National Mortgage Association, 5.00% - 6.50%, due 08/01/23 - 12/1/40, value $45,947) acquired on 09/28/11, due 10/05/11 at $45,001		45,000		45,000
Repurchase Agreement with Deutsche Bank., 0.10 % (Collateralized by $4,595 Government National Mortgage Association, 5.00%, due 06/15/38-01/15/41, value $5,062, and $27,589 Federal National Mortgage Association, 3.50%-7.00%, due 09/01/34-07/01/47, value $30,699) acquired on 09/27/11, due 10/04/11 at $35,001		35,000		35,000
Repurchase Agreement with Deutsche Bank., 0.12% (Collateralized by $35,439 Federal National Mortgage Association, 6.00% - 7.00%, due 11/01/37 - 10/1/38, value $40,866) acquired on 09/01/11, due 10/03/11 at $40,004		40,000		40,000
Repurchase Agreement with Goldman Sachs and Co., 0.10% (Collateralized by $18,121 Government National Mortgage Association, 4.50% - 6.50%, due 10/20/24 - 07/20/41, value $20,400) acquired on 09/28/11, due 10/05/11 at $20,000		20,000		20,000
Repurchase Agreement with Goldman Sachs and Co., 0.11% (Collateralized by $36,575 Government National Mortgage Association, 4.00% - 7.00%, due 10/15/23 - 09/20/41, value $40,800) acquired on 09/27/11, due 10/04/11 at $40,001		40,000		40,000
Repurchase Agreement with Goldman Sachs and Co., 0.12% (Collateralized by $44,068 Government National Mortgage Association, 4.00% - 6.50%, due 06/20/23 - 08/15/41, value $48,960) acquired on 09/30/2011, due 10/28/2011 at $48,004 (q)		48,000		48,000
Repurchase Agreement with UBS AG, 0.08% (Collateralized by $154,563 Government National Mortgage Association, 0.00% - 6.50%, due 10/15/23 - 09/20/41, value $168,708) acquired on 09/30/11, due 10/03/11 at $165,400		165,400		165,400

				473,400

Total Short Term Investments (cost $943,923)				943,923

Total Investments - 99.9% (cost $1,182,029)				1,182,029
Other Assets and Liabilities, Net - 0.1%				913

Total Net Assets - 100.0%			$	1,182,942


	Shares/Par (p)		Value
JNL/WMC Value Fund
COMMON STOCKS - 96.7%
CONSUMER DISCRETIONARY - 9.9%
CBS Corp. - Class B		231	$	4,716
Comcast Corp. - Class A		944		19,727
General Motors Co. (c)		193		3,899
Goodyear Tire & Rubber Co. (c)		438		4,423
Home Depot Inc.		369		12,126
Kohl's Corp.		308		15,103
Mattel Inc.		475		12,306
Nordstrom Inc.		227		10,369
Stanley Black & Decker Inc.		325		15,977
Staples Inc.		490		6,518

				105,164
CONSUMER STAPLES - 7.9%
Anheuser-Busch InBev NV - ADR		214		11,311
Archer-Daniels-Midland Co.		203		5,027
CVS Caremark Corp.		435		14,604
General Mills Inc.		248		9,521
Kraft Foods Inc. - Class A		378		12,707
PepsiCo Inc.		201		12,467
Philip Morris International Inc.		232		14,478
Sysco Corp.		166		4,302

				84,417
ENERGY - 11.6%
Apache Corp.		100		8,032
Baker Hughes Inc.		237		10,945
Chevron Corp.		383		35,472
EOG Resources Inc.		76		5,404
Exxon Mobil Corp.		227		16,494
Marathon Oil Corp.		323		6,966
Noble Corp.		110		3,231
Occidental Petroleum Corp.		263		18,797
Royal Dutch Shell Plc - ADR - Class B (e)		173		10,704
Southwestern Energy Co. (c)		225		7,483

				123,528
FINANCIALS - 21.9%
ACE Ltd.		372		22,555
Ameriprise Financial Inc.		162		6,364
Bank of America Corp. (e)		2,015		12,331
BlackRock Inc.		96		14,239
Chubb Corp.		241		14,464
Credit Suisse Group AG - ADR (e)		331		8,675
Goldman Sachs Group Inc.		121		11,459
JPMorgan Chase & Co. (e)		982		29,575
Marsh & McLennan Cos. Inc.		658		17,474
PNC Financial Services Group Inc.		406		19,546
Principal Financial Group Inc.		335		7,588
Swiss Re Ltd. (c)		180		8,455
U.S. Bancorp		685		16,134
Unum Group		506		10,596
Wells Fargo & Co.		1,393		33,589

				233,044
HEALTH CARE - 14.8%
Abbott Laboratories		217		11,077
Amgen Inc.		281		15,430
Baxter International Inc.		211		11,828
Covidien Plc		306		13,477
HCA Holdings Inc. (c)		487		9,810
Johnson & Johnson		229		14,558
Merck & Co. Inc.		544		17,801


	Shares/Par (p)		Value
Pfizer Inc.		1,631		28,843
Teva Pharmaceutical Industries Ltd. - ADR		306		11,382
UnitedHealth Group Inc.		362		16,691
Zimmer Holdings Inc. (c)		123		6,570

				157,467
INDUSTRIALS - 9.7%
3M Co.		122		8,787
Boeing Co.		158		9,567
General Electric Co.		1,526		23,256
Illinois Tool Works Inc.		251		10,458
Ingersoll-Rand Plc		423		11,871
PACCAR Inc.		246		8,310
Republic Services Inc.		295		8,281
Textron Inc. (e)		352		6,216
Tyco International Ltd.		414		16,854

				103,600
INFORMATION TECHNOLOGY - 8.4%
Analog Devices Inc.		342		10,700
Cisco Systems Inc.		853		13,207
Hewlett-Packard Co.		301		6,766
Intel Corp.		966		20,605
Maxim Integrated Products Inc.		372		8,688
Microsoft Corp.		628		15,626
Xilinx Inc.		481		13,199

				88,791
MATERIALS - 5.3%
CF Industries Holdings Inc.		62		7,675
Dow Chemical Co.		536		12,032
EI Du Pont de Nemours & Co.		237		9,465
Mosaic Co.		195		9,539
Nucor Corp.		154		4,860
Rexam Plc - ADR (e)		199		4,760
Steel Dynamics Inc.		830		8,233

				56,564
TELECOMMUNICATION SERVICES - 3.2%
AT&T Inc.		1,186		33,823
UTILITIES - 4.0%
Edison International		257		9,838
Entergy Corp. (e)		162		10,726
NextEra Energy Inc.		121		6,520
Northeast Utilities		325		10,936
PPL Corp.		151		4,309

				42,329

Total Common Stocks (cost $1,092,731)				1,028,727

SHORT TERM INVESTMENTS - 4.6%
Investment Companies - 2.9%
JNL Money Market Fund, 0.02% (a) (h)		30,731		30,731
Securities Lending Collateral - 1.7%
Securities Lending Cash Collateral Fund LLC, 0.24% (a) (h)		18,150		18,150

Restricted Securities - Restricted securities are often purchased in private placement transactions and cannot be sold without prior registration unless the sale is pursuant to an exemption under the Securities Exchange Act of 1933, as amended. The following table details restricted securities, including Rule 144A securities that have been deemed illiquid, held by the Funds at September 30, 2011.

Sub-Adviser Affiliates - The following Sub-Advisers are affiliates of Jackson National Asset Management, LLC (“Adviser” or “JNAM”): PPM America, Inc. serves as Sub-Adviser for JNL/PPM America High Yield Bond Fund, JNL/PPM America Floating Rate Income Fund, JNL/PPM America Mid Cap Value Fund, JNL/PPM America Small Cap Value Fund and JNL/PPM America Value Equity Fund. Prudential Asset Management (Singapore) Limited serves as Sub-Adviser for JNL/PAM Asia ex-Japan Fund and JNL/PAM China-India Fund. M&G Investment Management Limited serves as Sub-Adviser for JNL/M&G Global Basics Fund and JNL/M&G Global Leaders Fund.

Investments in Affiliates - For the period ended September 30, 2011, certain Funds invested in money market funds, which are managed by the Adviser or an affiliate of the Funds. The JNL Money Market Fund is offered as a cash management tool to the Funds and their affiliates and is not available for direct purchase by members of the public. The Funds sub-advised by T. Rowe Price Associates, Inc. invested in the T. Rowe Price Reserves Investment Fund as a cash management tool. In addition, JPMorgan Chase Bank, N.A. (“JPM Chase” or “Custodian”) is an affiliate of the Funds for which J.P. Morgan Investment Management Inc. is the Sub-Adviser. Certain Funds participating in securities lending receive cash collateral, which is invested by the Custodian in the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC. JNAM serves as the Administrator for the Securities Lending Cash Collateral Fund LLC and Securities Lending Liquidating Fund LLC. The fair value and par value of the investment in the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC are reported under Securities Lending Collateral in the Schedules of Investments. Income received from the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC is aggregated with income from securities lending when received from the custodian. The JNL Institutional Alt 20 Fund, JNL Institutional Alt 35 Fund, JNL Institutional Alt 50 Fund, JNL Institutional Alt 65 Fund, JNL Disciplined Moderate Fund, JNL Disciplined Moderate Growth Fund, JNL Disciplined Growth Fund, JNL/Franklin Templeton Founding Strategy Fund, JNL/Mellon Capital Management 10 x 10 Fund, JNL/Mellon Capital Management Index 5 Fund, JNL/S&P 4 Fund, JNL/S&P Managed Conservative Fund, JNL/S&P Managed Moderate Fund, JNL/S&P Managed Moderate Growth Fund, JNL/S&P Managed Growth Fund and JNL/S&P Managed Aggressive Growth Fund invested solely in the Class A shares of other affiliated Funds of the Trust and JNL Variable Fund LLC. Each of the JNL/American Funds Blue Chip Income and Growth Fund, JNL/American Funds Global Bond Fund and JNL/American Funds New World Fund operate as a “Feeder Fund” and seeks to achieve its investment objective by investing primarily all its investable assets in a separate mutual fund (“Master Fund”). Due to each Fund’s ownership of more than 5% of the shares of its corresponding Master Fund, these Funds may be deemed an affiliated person thereof under the Investment Company Act of 1940, as amended (“1940 Act”). The JNL/BlackRock Global Allocation Fund invested in the iShares Comex Gold Trust Fund and iShares Silver Trust, which is an affiliate of the Fund. The JNL/Mellon Capital Management International Index Fund invested in Prudential plc, the parent company of Jackson National Life Insurance Company^®. Prudential plc is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is in the United States of America. The JNL/Mellon Capital Management S&P 500 Index Fund and JNL/Mellon Capital Management Bond Index Fund invested in Bank of New York Mellon Corp., the parent company of the Fund’s Sub-Adviser. The JNL/T. Rowe Price Value Fund invested in T. Rowe Price Institutional Floating Rate Fund which is an affiliate of the Fund. The JNL/T. Rowe Price Short-Term Bond Fund invested in T. Rowe Price Term Asset-Backed Securities Loan Facility, LLC which is an affiliate of the Fund.

The following table details each Fund’s long-term investments in affiliates held during the period ended September 30, 2011.

The following table details cash management investments in affiliates held at September 30, 2011. There was no realized gain or loss relating to transactions in these investments during the period ended September 30, 2011.

Unfunded Loan Commitments - A Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Unfunded loan commitments and funded portions of credit agreements are marked to market daily. Funded portions of credit agreements are presented in the Schedules of Investments. The following table details unfunded loan commitments at September 30, 2011.

Security Valuation - The net asset value (“NAV”) of each Fund shall be determined as of the close of trading (generally, 4:00 PM Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading. Stocks traded on an exchange are generally valued at the official closing price of the exchange where the security is principally traded. If there is no official closing price for the security, the security may be valued at the last quoted sale price on the exchange where the security is principally traded or final bid price in the absence of a sale. Stocks not listed on a national or foreign stock exchange may be valued at the closing bid price on the over-the-counter market. Investments in mutual funds are valued at the NAV per share determined as of the close of the NYSE on each valuation date. Each Feeder Fund’s investment in its corresponding Master Fund is valued at the NAV per share of the applicable Master Fund determined as of the close of the NYSE on each valuation date. Valuation of the investments by the Master Funds is discussed in the Master Funds’ Form N-Q, which is available on the SEC’s website at www.sec.gov. The securities lending collateral funds, which provide daily liquidity, are valued, at the daily reported NAV of the funds, as a practical expedient as of the close of the NYSE on each valuation date. All securities in the JNL/WMC Money Market Fund, as permitted by compliance with applicable provisions under Rule 2a-7 under the 1940 Act, and other short-term securities maturing within sixty (60) days are valued at amortized cost, unless it is determined that such practice does not approximate market value. Debt securities are generally valued by independent pricing services approved by the Board. If pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or widely used quotation system. Term loans are generally valued at the composite bid prices provided by approved pricing services. Commodity-linked structured notes and credit-linked notes are valued by pricing models using observable inputs or at the most recent bid quotation obtained from a broker/dealer. Futures contracts traded on a liquid exchange are valued at the settlement price. If the settlement price is not available, exchange-traded futures are valued at the last sales price as of the close of business on the local exchange. Options traded on a liquid exchange are valued at the last traded price as of the close of business on the local exchange. If the last trade is determined to not be representative of fair value, exchange-traded options are valued at the last bid. Options traded on an illiquid exchange are valued at the most recent bid quotation obtained from a broker/dealer. Forward foreign currency contracts are valued at the foreign currency exchange rate as of the close of the NYSE, unless the Adviser determines that such markets lack an appropriate level of liquidity at that time. In such instances, the Funds will generally utilize foreign currency exchange rates as of the close of the London Stock Exchange. Non-exchange-traded derivatives, such as options and swap agreements, are generally valued by approved pricing services. If the pricing services are unable to provide valuations, non-exchange-traded derivatives are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or by pricing models using observable inputs. Pricing services utilized to value debt and derivatives securities may use various pricing techniques which take into account appropriate factors such as: yield; credit quality; coupon rate; maturity; type of issue; trading characteristics; call features; credit ratings; and other data, as well as broker quotes.

Market quotations may not be readily available for certain investments or it may be determined that a quotation for an investment does not represent market value. In such instances, the investment is valued as determined in good faith using procedures adopted by the Board. Situations that may require an investment to be fair valued may include instances where a security is thinly traded, halted or restricted as to resale. In addition, investments may be fair valued based on the occurrence of a significant event. Significant events may be specific to a particular issuer, such as mergers, restructurings or defaults. Alternatively, significant events may affect an entire market, such as natural disasters, government actions, and significant changes in value of U.S. securities markets. Securities are fair valued based on observable and unobservable inputs, including the Adviser’s own assumptions in determining fair value of an investment. Under the procedures adopted by the Board, the Adviser may rely on pricing services or other sources to assist in determining the fair value of an investment. Factors considered to determine fair value may include the correlation with price movement of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading or other market data. The Board has retained an independent statistical fair value pricing service to assist in the fair valuation process for securities traded in foreign markets in order to adjust for possible changes in value that may occur between the close of the foreign exchange and the time at which the NAVs are determined.

If an investment is valued at a fair value for purposes of calculating a Fund’s NAV, the value may be different from the last quoted price for the investment depending on the source and method used to determine the value. Although there can be no assurance, in general, the fair value of the investment is the amount the owner of such investment might reasonably expect to receive upon its current sale.

Recent Accounting Pronouncements - In April, 2011, FASB released Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control for Repurchase Agreements”. ASU No. 2011-03 is intended to improve financial reporting of repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem the financial assets before their maturity. The ASU eliminates the collateral maintenance provision that an entity may use to determine whether a transfer of securities in a repurchase agreement is accounted for as a sale or a secured borrowing. The ASU may cause certain dollar roll transactions that are currently accounted for as purchase and sale to be characterized as a secured borrowing transaction. The ASU is effective for the first interim or annual period beginning on or after December 15, 2011. Management is currently evaluating the impact ASU No. 2011-03 will have on the Funds’ financial statement disclosures.

In May 2011, FASB released ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards”. ASU 2011-04 further clarifies fair value measurement principles and requires additional disclosures. Effective for interim and annual periods beginning after December 15, 2011, entities will need to disclose the amounts and reasons for any transfers between Level 1 and Level 2 securities; quantitative information relating to significant observable inputs, a narrative description of the valuation process, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable or Level 3 fair valuation inputs.

FASB ASC Topic 820, “Fair Value Measurements and Disclosure” - This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance. The inputs are summarized into three broad categories. Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on a national or foreign stock exchange, investments in mutual funds or securities lending collateral, which are valued as a practical expedient at its daily reported NAV. Level 2 includes valuations for which all significant inputs are observable, either directly or indirectly. Direct observable inputs include broker quotes, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including term loans, priced by pricing services, over the counter derivatives, broker quotes in active markets, securities subject to corporate actions, securities valued at amortized cost, international equity securities priced by an independent statistical fair value pricing service, swap agreements valued by pricing services, ADRs and GDRs for which quoted prices in active markets are not available, or over the counter “look alike” options priced at their exchange traded equivalent. Level 3 includes valuations based on inputs that are unobservable and significant to the fair value measurement including the Adviser’s own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features or maturity; or industry specific inputs such as: trading activity of similar markets or securities, or changes in the security’s underlying index or comparable securities’ models. Level 3 valuations include securities that are priced based on single source broker quotes, where prices may be unavailable due to halted trading, restricted to resale due to market events, newly issued or for which reliable quotes are not available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes each Fund’s investments in securities and other financial instruments as of September 30, 2011 by valuation level.

Significant transfers between Level 1 and Level 2 valuations during the period ended September 30, 2011, related to certain Fund’s using an independent statistical fair value model pricing service to value certain foreign securities as described in Security Valuation in these Notes to the Schedules of Investments. In instances when criteria constituting a significant event exists and foreign investments are valued using an independent statistical fair value pricing service, they are considered Level 2 valuations. In the absence of the existence of such criteria, the same foreign investments are generally valued using market prices from the applicable exchange and are considered Level 1 valuations. Significant event criteria did not exist as of December 31, 2010 and existed at September 30, 2011, and therefore, certain foreign investments were valued as Level 1 valuations at December 31, 2010 and Level 2 valuations at September 30, 2011. Significant transfers between Level 3 to Level 2 valuations during the period ended September 30, 2011 include: (1) certain mortgage backed securities valued by an approved independent pricing service, that were previously valued using Sub-Adviser guidance. Fixed income investments valued by an approved independent pricing service generally are considered a Level 2 valuation. Fixed income investments valued by Sub-Adviser guidance generally are considered a Level 3 valuation; (2) certain over the counter options valued at the traded exchange equivalent, that were previously valued using a single source broker quote. Option contracts valued at the exchange equivalent generally are considered a Level 2 valuation. Option contracts valued using a single source broker quote generally are considered a Level 3 valuation.

The following table is a rollforward of Level 3 investments by category for which significant unobservable inputs were used to determine fair value during the period ended September 30, 2011:

Securities Lending and Securities Lending Collateral - A Fund may lend securities to certain brokers, dealers or other financial institutions in order to earn additional income. The borrowers and the Funds’ securities lending agent exchange negotiated lender fees and the Funds receive a fee equal to a percentage of the net negotiated lender fees and the net income generated by the securities lending collateral held during each lending transaction. The securities lending agent is authorized to loan securities on behalf of the Funds to approved borrowers and is required to maintain collateral at least equal to the value of the securities loaned based on the previous day’s value of the securities loaned, marked-to-market daily. Any shortfalls are adjusted the next business day. In the event of bankruptcy or other default of the borrower, a Fund could experience delays in liquidating the loan collateral or recovering the loaned securities and incur expenses related to enforcing its rights. In addition, there could be a decline in the value of the collateral or in the value of the securities loaned while a Fund seeks to enforce its rights thereto and the Fund could experience subnormal levels of income or lack of access to income during that period. The Funds also bear the risk of any deficiency in the amount of collateral available for return to a borrower due to a loss in an approved investment. Each Fund is responsible for returning the full amount of collateral received for a particular loan when the borrower returns the applicable security.

JPM Chase serves as custodian and securities lending agent to the Trust for all Funds except for the JNL/PPM America Floating Rate Income Fund. The Funds have cash collateral invested in the Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC, each a limited liability company sponsored by the Adviser. As the assets in the Securities Lending Liquidating Fund LLC mature or are liquidated, the proceeds are invested in the Securities Lending Cash Collateral Fund LLC. Although the Securities Lending Cash Collateral Fund LLC is not a registered fund under the 1940 Act, and is not a “money market fund”, it typically invests in high quality U.S. dollar-denominated instruments that qualify at time of purchase as “eligible securities” within the meaning of Rule 2a-7 under the 1940 Act, which governs money market funds. The Securities Lending Cash Collateral Fund LLC and the Securities Lending Liquidating Fund LLC are only offered to the Funds and JNAM affiliated funds.

Short-term securities in the Securities Lending Cash Collateral Fund LLC and securities maturing within 60 days in Securities Lending Liquidating LLC are valued at amortized cost, unless it is determined that such practice does not approximate market value. Securities that are not valued at amortized cost in the Securities Lending Liquidating Fund LLC are generally valued based on prices furnished by pricing services. If pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or widely used quotation system.

Securities Sold Short - A Fund may enter into short sales transactions whereby the Fund sells a security it does not own in anticipation of a decline in the market price of the security. When a Fund engages in a short sale, the Fund borrows the security sold short and delivers it to the counterparty through which it made the short sale as collateral for its obligation. The Fund may have to pay a fee to borrow securities and is often obligated to repay the lender of the securities for any interest or dividends that accrues on the borrowed securities during the period of the loan. Until the Fund closes its short position,

the net proceeds of the short sale will be retained by the lending broker to the extent necessary to meet margin requirements, together with any additional assets the broker requires as collateral. A Fund is also required to designate, on its books or the books of its custodian, liquid assets (less any additional collateral held by the broker) to cover the short sale obligation, marked-to-market daily. A Fund is obligated to deliver securities at the market price at the time the short position is closed. If the price of the security sold short increases between the time of the short sale and the time that the Fund replaces the borrowed security, the Fund will incur a capital loss; conversely, if the price declines, the Fund will realize a capital gain. A Fund’s loss on a short sale could theoretically be unlimited in cases where the Fund is unable, for whatever reason, to close out its short position.

FASB ASC Topic 815, “Derivatives and Hedging” - This standard includes the requirement for enhanced qualitative disclosures about objectives and strategies for using derivative instruments and disclosures regarding credit related contingent features in derivative instruments; as well as requiring quantitative disclosures in the semi-annual and annual financial statements about fair value, realized and unrealized gains and losses and volume of activity for derivative instruments. Information about these instruments is disclosed in the context of each instrument’s primary underlying risk exposure which is categorized as credit, equity price, interest rate and foreign currency exchange rate risk. The objectives, strategies and underlying risks for each instrument held by the Funds are discussed in the following paragraph.

Options Transactions - A Fund may be subject to equity price, interest rate and foreign currency exchange rate risk in the normal course of pursuing its investment objective. A Fund may buy and sell (“write”) call and put options on securities, futures, indices, currencies and swaps (“swaptions”) and inflation caps and floors. During the period, these Funds entered into options for the following reasons: JNL/BlackRock Global Allocation Fund to hedge changes in securities prices, as a means of risk management, as a substitute for investments in physical securities, as a directional investment, and to generate income; JNL/Ivy Asset Strategy Fund to manage exposure to or hedge changes in securities prices and as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy; JNL/Mellon Capital Management Global Alpha Fund purchased options, as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy; and JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund to generate income and for straddle options to take a position on expectations of volatility of the reference entity. Straddle options are written or purchased with premiums to be determined on a future date which are based upon implied volatility parameters at specified terms. The purpose of an inflation cap is to protect the buyer from inflation erosion above a certain rate. An inflation floor can be used to provide downside protection to investments in inflation-linked products.

When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost basis of the underlying investment or offset against the proceeds of the underlying investment transaction to determine realized gain or loss. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. The risks associated with purchasing options are limited to premiums paid and the failure of the counterparty to honor its obligation under the contract.

When a Fund writes a call or put option or inflation cap or floor, the premium received by the Fund is recorded as a liability and is subsequently marked to market to reflect the current value of the option. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds of the underlying investment transaction or reduce the cost basis of the underlying investment to determine the realized gain or loss. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. Writing put options tends to increase a Fund’s exposure to the underlying instrument. The risk associated with writing an option that is exercised is that an unfavorable change in the price of the security underlying the option could result in a Fund buying the underlying security at a price higher than the current value. There is also the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. Options written by a Fund do not give rise to counterparty credit risk, as they obligate the Fund, not the counterparty, to perform. The maximum potential amount of future payments (undiscounted) that a Fund could be required to make under an inflation cap or floor would be the notional amount times the percentage increase (for an inflation cap) or decrease (for an inflation floor) in inflation determined by the difference between the index’s current value and the value at the time the inflation cap or floor was entered into.

Futures Contracts - A Fund may be subject to equity price, interest rate and foreign currency exchange rate risk in the normal course of pursuing its investment objective. During the period, these Funds entered into futures contracts for the following reasons: JNL/AQR Managed Futures Strategy Fund to manage its exposure to or hedge interest rates, to manage its exposure to changes in interest rates, and as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy; JNL/BlackRock Global Allocation Fund to hedge changes in securities prices, as a means of risk management, as efficient management of cash flows, and as a substitute for investments in physical securities; JNL/Mellon Capital Management Global Alpha Fund as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy; JNL/JPMorgan International Value Fund to gain exposure to markets for efficient management of cash flows; JNL/Ivy Asset Strategy Fund to manage its exposure to or hedge changes in securities prices and as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy; JNL/Mellon Capital Management S&P 500 Index Fund, JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund, JNL/Mellon Capital Management Small Cap Index Fund, JNL/Mellon Capital Management International Index Fund and JNL/Mellon Capital Management Emerging Markets Index Fund to hedge accrued dividends and for efficient management of cash flows; JNL/Goldman Sachs Core Plus Bond Fund, JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund to manage their exposure to or hedge interest rates and as an efficient means of adjusting overall exposure to certain markets as part of their investment strategy; and JNL/WMC Balanced Fund and JNL/T. Rowe Price Short-Term Bond Fund to manage their exposure to or hedge interest rates. Upon entering into a futures contract, the Fund is required to deposit with the broker or counterparty an amount of cash or cash equivalents equal to a certain percentage of the contract amount known as the “initial margin”. The Fund receives from or pays to the counterparty an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the “variation margin”,

are recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund or the change in the market value of an underlying entity and the prices of the futures contracts and the possibility a Fund may not be able to enter into a closing transaction because of an illiquid market. The Funds may also suffer a loss on futures contracts. With futures, there is minimal counterparty risk to a Fund since future contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the future contracts against default.

Forward Foreign Currency Contracts - A Fund may be subject to foreign currency exchange rate risk in the normal course of pursuing its investment objective. During the period, these Funds entered into forward foreign currency contracts for the following reasons: JNL/AQR Managed Futures Strategy Fund, JNL/Capital Guardian Global Balanced Fund, JNL/Franklin Templeton Mutual Shares Fund, JNL/Goldman Sachs Core Plus Bond Fund, JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/Ivy Asset Strategy Fund, JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund to minimize foreign currency exposure on portfolio securities denominated in foreign currencies and as part of their investment strategy; JNL/BlackRock Global Allocation Fund to hedge changes in securities prices, as a means of risk management and to gain directional exposure to currencies; JNL/JPMorgan International Value Fund to minimize foreign currency exposure on portfolio securities denominated in foreign currencies, to strive to reduce currency deviations from its benchmark and as a means of risk management; JNL/Mellon Capital Management International Index Fund to create foreign currency exposure in U.S. dollar cash balances; and JNL/Mellon Capital Management Global Alpha Fund and JNL/T. Rowe Price Short-Term Bond Fund as part of their investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund’s portfolio securities, but it does establish a rate of currency exchange that can be achieved in the future. The value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss and as a receivable or payable from forward foreign currency contracts. Upon settlement, or delivery or receipt of the currency, a realized gain or loss is recorded which is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Forward foreign currency contracts involve market risk in excess of the receivable or payable related to forward foreign currency contracts recorded by the Funds. Although contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Additionally, a Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparty to a contract is unable to meet the terms of the contract or if the value of the currency changes unfavorably to the value of the offsetting currency.

Non Deliverable Bond Forward Contract - A Fund may be subject to interest rate risk in the normal course of pursuing its investment objective. The JNL/Goldman Sachs Emerging Markets Debt Fund entered into a non-deliverable bond forward contract to hedge fluctuation in interest rates. A non-deliverable bond forward contract is a short-term forward agreement between two parties to buy or sell synthetic exposure to an asset, denominated in a non-deliverable foreign currency, at a future date at an agreed upon price. The security may be sold prior to expiration date and the price is netted against the forward price negotiated on trade date. The non-deliverable forward currency mark-to-market is then converted to USD and settled via cash payment. The value of the non-deliverable bond forward contract fluctuates based upon the price of the reference obligation. Non-deliverable bond forward contract are marked-to-market daily and the unrealized gain or loss is recorded by the Fund as a receivable or payable. The maximum amount of potential loss for a non-deliverable bond forward contract is the value of the contract.

Credit Linked Notes - A Fund may invest in credit linked notes in the normal course of pursuing its investment objective. During the period, JNL/Goldman Sachs Emerging Markets Debt Fund and the JNL/Goldman Sachs Core Plus Bond Fund invested in credit linked notes to manage portfolio risk and to gain exposure to certain foreign markets. The value of a credit linked note is based on the price movements of a particular credit, known as a reference credit. Credit linked notes that the Funds invest in are listed instruments that typically provide the same return as the underlying reference credit. Credit linked notes are intended to replicate the economic effects that would apply had a Fund directly purchased the underlying reference credit. The Fund generally will receive a fixed or floating coupon and the note’s par value upon maturity. If a specified credit event occurs, such as default or bankruptcy, the Fund may experience a delay in payment or forego interest. The maximum potential risk of loss is limited to the par amount of the credit linked note plus any accrued interest. The reference credit and its credit rating, for each credit linked note, are presented parenthetically in the Schedules of Investments.

Swap Agreements - Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are illiquid investments. If a Fund transacts in swap agreements, they are a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements (“ISDA Master Agreements”) with select counterparties. The ISDA Master Agreements govern transactions in over-the-counter derivative and forward foreign currency contracts and maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early termination could be material to the financial statements. The amount of collateral exchanged is based on provisions within the ISDA Master Agreements and is determined by the net exposure with the counterparty and is not identified for a specific swap agreement. The Fund’s pledged collateral (which is delivered to counterparties) or segregated collateral (which is at the Custodian) as of September 30, 2011, is included in Pledged or Segregated Collateral in these Notes to the Schedules of Investments.

Swap agreements are marked-to-market daily and change in value is recorded by a Fund as an unrealized gain or loss. Swap premiums paid or received at the beginning of the measurement period which are recorded by the Fund represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions relating to credit spreads,

interest rates, currency exchange rates, and other relevant factors as appropriate. These upfront payments are amortized over the life of the swap agreement and recorded as a realized gain or loss upon termination or maturity of the swap agreement. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss. Net periodic payments received or paid by a Fund are included as part of realized gain or loss.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the unrealized gain or loss recorded by the Fund. Such risks involve the possibility that there will be no liquid market for these agreements, that there may be unfavorable changes in interest rates or value of underlying securities and that the counterparty to the agreements may default on its obligation to perform. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The credit risk associated with contracts is reduced by master netting arrangements to the extent that if an event of default occurs, all amounts with the counterparty are terminated and settled on a net basis. A Fund’s overall exposure to credit risk subject to master netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.

Interest Rate Swap Agreements - A Fund may be subject to interest rate risk and foreign currency exchange risk in the normal course of pursuing its investment objective. During the period, these Funds entered into interest rate swaps for the following reasons: JNL/BlackRock Global Allocation Fund to manage duration; JNL/Goldman Sachs Core Plus Bond Fund and JNL/Goldman Sachs Emerging Markets Debt Fund to hedge against the risk that the value of their fixed rate bond investments will decrease/increase as interest rates rise/fall, to execute yield curve, swap spread and sovereign relative value trades, and to express views on a country’s interest rates; JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund to manage interest rate and yield curve exposure and as a substitute for investment in physical securities. Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Forms of interest rate swap agreements may include: interest rate caps, under which, in return for a premium, one party agrees to make payments to the other party to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a premium, one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate, or “floor”; interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding certain levels; callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date; or forward spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark.

A Fund’s maximum risk of loss from counterparty credit risk for an interest rate swap agreement is the discounted net value of the cash flows to be received from or paid to the counterparty over the contract’s remaining life, to the extent this amount is positive. This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.

Cross-Currency Swap Agreements - A Fund may be subject to interest rate risk and foreign currency exchange risk in the normal course of pursuing its investment objective. During the period, JNL/BlackRock Global Allocation Fund entered into cross-currency swaps to hedge fund holdings and as a means of risk management. Cross-currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot or another specified rate. A Fund’s maximum risk of loss for a cross currency swap agreement is the foreign currency notional amount.

Credit Default Swap Agreements - A Fund may be subject to credit rate risk in the normal course of pursuing its investment objective. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return if a credit event occurs for the referenced entity, obligation or index. A credit event is defined under the terms of each swap agreement and may include, but is not limited to, underlying entity default, bankruptcy, write-down, principal shortfall, or interest shortfall.

A Fund may use credit default swap agreements on corporate or sovereign issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

A Fund may use credit default swap agreements on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Unlike credit default swaps on corporate or sovereign issues, deliverable obligations in most instances would be limited to the specific referenced obligation because performance for asset-backed securities can vary across deals. Write-downs, such as prepayments and principal pay downs, or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts.

A Fund may also use credit default swap agreements to generate income. In such an arrangement, a Fund would write protection on a security or instrument, and receive a premium in return for such protection. Written credit default swaps offer the Fund an opportunity to generate income, but may expose the Fund to risk of loss where there is a credit event.

A Fund may use credit default swap agreements on credit indices to hedge a portfolio of credit default swap agreements or bonds, to protect investors owning bonds against default and to speculate on changes in credit quality. A credit index is a basket of credit instruments or exposures designed to represent a portion of the credit market. These indices consist of reference credits that are considered to be the liquid entities in the credit default swap market based on the index sector. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities and emerging market securities. These components can be determined based upon various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the issuers in the index, and if there is a credit event, the credit event is settled based on that issuer’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each issuer has an equal weight in the index.

During the period, these Funds entered into credit default swap agreements for the following reasons: JNL/Goldman Sachs Core Plus Bond Fund to provide a measure of protection against defaults of the issuers, to manage duration at the cross sector level, and to manage credit exposure; JNL/PIMCO Total Return Bond Fund to manage credit exposure; and JNL/PIMCO Real Return Fund to manage credit exposure and in combination with cash bonds (1) take advantage of spread variances between cash bonds and the credit default swap agreement or (2) to hedge the underlying exposure to the cash bonds.

A Fund can be either a seller or buyer of protection when entering into a credit default swap agreement. As a seller of protection, the Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap if there is no credit event. As a seller, the Fund adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Until a credit event occurs, recovery values are determined by market makers considering either industry standard recovery rates or entity specific factors and considerations. When a credit event occurs, the recovery value is determined by a facilitated auction, administered by ISDA, whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Either as a seller of protection or a buyer of protection of a credit default swap agreement, a Fund’s maximum risk of loss from counterparty risk is the fair value of the agreement. This risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by posting collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of September 30, 2011, for which the Fund is the seller of protection are disclosed in these Notes to the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

Total Return Swap Agreements - A Fund may be subject to equity price and interest rate risk in the normal course of pursuing its investment objective. During the period, these Funds entered into total return swaps for the following reasons: JNL/BlackRock Global Allocation Fund as a substitute for investments in physical securities; and JNL/AQR Managed Futures Strategy Fund, JNL/Goldman Sachs Emerging Markets Debt Fund and JNL/Ivy Asset Strategy Fund to manage their exposure to or hedge against changes in securities prices and as an efficient means of adjusting overall exposure to certain markets as part of their investment strategy. Some total return swap agreements involve a commitment to pay periodic interest payments in exchange for a market-linked return based on a security or a basket of securities. To the extent the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. A Fund’s maximum risk of loss from counterparty credit risk for this type of total return swap agreement is the discounted net value of the cash flows to be received from or paid to the counterparty over the contract’s remaining life, to the extent this amount is positive. Other total return swap agreements involve a right to receive the appreciation in value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon rate. To the extent the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the value of that decline to the counterparty. A Fund’s maximum risk of loss from counterparty credit risk for this type of total return swap agreement is the value of the underlying security, index or other financial instrument.

The counterparty credit risk for the total return swap agreement is mitigated by having a master netting arrangement between a Fund and the counterparty and by posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.


	Expiration	Contracts Long / (Short)			Unrealized Appreciation / (Depreciation)
JNL/AQR Managed Futures Strategy Fund
3 Month Euro Swiss Franc Interest Rate Future	March 2012		87		$	(19	)
3 Month Euro Swiss Franc Interest Rate Future	June 2012		95			1
3 Month Sterling Interest Rate Future	March 2012		164			(23	)
3 Month Sterling Interest Rate Future	June 2012		293			(34	)
3 Month Sterling Interest Rate Future	September 2013		316			49
3 Month Sterling Interest Rate Future	June 2013		338			38
3 Month Sterling Interest Rate Future	March 2013		361			17
3 Month Sterling Interest Rate Future	December 2012		389			(10	)
3 Month Sterling Interest Rate Future	September 2012		395			(32	)
3-Month Euro Euribor Interest Rate Future	March 2012		122			(34	)
3-Month Euro Euribor Interest Rate Future	June 2012		122			(19	)
3-Month Euro Euribor Interest Rate Future	September 2012		137			—
3-Month Euro Euribor Interest Rate Future	December 2012		152			25
3-Month Euro Euribor Interest Rate Future	September 2013		155			83
3-Month Euro Euribor Interest Rate Future	March 2013		155			53
3-Month Euro Euribor Interest Rate Future	June 2013		156			67
90-Day Eurodollar Future	March 2012		(31	)		2
90-Day Eurodollar Future	June 2012		24			(7	)
90-Day Eurodollar Future	September 2012		164			(46	)
90-Day Eurodollar Future	September 2013		210			(49	)
90-Day Eurodollar Future	June 2013		229			(46	)
90-Day Eurodollar Future	December 2012		256			(59	)
90-Day Eurodollar Future	March 2013		257			(51	)
Amsterdam Exchange Index Future	October 2011		(120	)		(397	)
ASX SPI 200 Index Future	December 2011		(91	)		138
Australia Commonwealth Treasury Bond Future, 10-Year	December 2011		160			(194	)
Australia Commonwealth Treasury Bond Future, 3-Year	December 2011		437			(264	)
Canadian Bank Acceptance Future	June 2012		107			62
Canadian Bank Acceptance Future	March 2012		112			35
Canadian Government Bond Future, 10-Year	December 2011		66			99
DAX Index Future	December 2011		(30	)		(232	)
Dow Jones E Mini Index Future	December 2011		(33	)		50
Euro-Bobl Future, 5-Year	December 2011		197			(21	)
Euro-Bund Future, 10-Year	December 2011		107			(30	)
Euro-Buxl Bond Future, 30-Year	December 2011		51			281
Euro-Schatz DUA Index Future, 2-Year	December 2011		166			(26	)
FTSE 100 Index Future	December 2011		(68	)		(35	)
FTSE/JSE Top 40 Index Future	December 2011		95			(130	)
Hang Seng Index Future	October 2011		(84	)		283
HSCEI China Index Future	October 2011		(98	)		225
Japanese Government Bond Future, 10-Year	December 2011		28			(170	)


	Expiration	Contracts Long / (Short)			Unrealized Appreciation / (Depreciation)
JNL/AQR Managed Futures Strategy Fund (continued)
MSCI Singapore Index Future	October 2011		(146	)		108
MSCI Taiwan Index Future	October 2011		(170	)		(86	)
NASDAQ 100 E-Mini Index Future	December 2011		55			(138	)
Russell 2000 Mini Index Future	December 2011		(22	)		5
S&P 500 E-Mini Index Future	December 2011		(51	)		55
S&P MidCap 400 E-Mini Index Future	December 2011		(12	)		21
S&P/TSX 60 Index Future	December 2011		(55	)		(125	)
Singapore Exchange S&P CNX Nifty Index Future	October 2011		(687	)		12
Topix Index Future	December 2011		(51	)		(148	)
U.K. Long Gilt Future	December 2011		69			39
U.S. Treasury Note Future, 10-Year	December 2011		198			89
U.S. Treasury Note Future, 30-Year	December 2011		44			145
U.S. Treasury Note Future, 5-Year	December 2011		415			(84	)

					$	(527	)

JNL/BlackRock Global Allocation Fund
ASX SPI 200 Index Future	December 2011		1		$	2
DAX Index Future	December 2011		3			11
Euro Stoxx 50 Index Future	December 2011		(34	)		(46	)
FTSE 100 Index Future	December 2011		2			(7	)
Hang Seng Index Future	October 2011		1			(9	)
HSCEI China Index Future	October 2011		2			—
MSCI Singapore Index Future	October 2011		4			(4	)
MSCI Taiwan Index Future	October 2011		7			(7	)
Russell 2000 Mini Index Future	December 2011		(44	)		181
Yen Denominated Nikkei 225 Future	December 2011		7			9

					$	130

JNL/Goldman Sachs Core Plus Bond Fund
Australia Commonwealth Treasury Bond Future, 3-Year	December 2011		(544	)	$	150
CME Ultra Long Term U.S. Treasury Bond Future	December 2011		323			4,850
Euro Schatz DUA Index Future	December 2011		(36	)		9
Euro-Bobl Future	December 2011		(7	)		1
Euro-Bund Future	December 2011		(101	)		(124	)
Japanese Government Bond Future, 10-Year	December 2011		(40	)		264
U.K. Long Gilt Future	December 2011		(4	)		(1	)
U.S. Treasury Note Future, 10-Year	December 2011		319			74
U.S. Treasury Note Future, 2-Year	December 2011		251			(66	)
U.S. Treasury Note Future, 30-Year	December 2011		(265	)		(292	)
U.S. Treasury Note Future, 5-Year	December 2011		2,033			(66	)

					$	4,799

JNL/Ivy Asset Strategy Fund
DAX Index Future	December 2011		(85	)	$	(846	)
NASDAQ 100 E-Mini Index Future	December 2011		(1,791	)		2,606
Russell 2000 Mini Index Future	December 2011		(203	)		695
S&P 500 E-Mini Index Future	December 2011		(1,870	)		3,078

					$	5,533


	Expiration	Contracts Long / (Short)			Unrealized Appreciation / (Depreciation)
JNL/Mellon Capital Management Emerging Market Index Fund
Mini MSCI Emerging Markets Future	December 2011		19		$	(98	)

JNL/Mellon Capital Management Global Alpha Fund
Amsterdam Exchange Index Future	October 2011		270		$	616
ASX SPI 200 Index Future	December 2011		116			(243	)
Australia Commonwealth Treasury Bond Future, 10-Year	December 2011		184			(131	)
Canadian Government Bond Future, 10-Year	December 2011		271			73
DAX Index Future	December 2011		118			757
Euro-Bund Future	December 2011		165			254
FTSE 100 Index Future	December 2011		115			(243	)
Hang Seng Index Future	October 2011		(257	)		701
S&P 500 E-Mini Index Future	December 2011		492			(981	)
S&P/TSX 60 Index Future	December 2011		(181	)		931
Stoxx 600 Banks Index Future	December 2011		(274	)		170
Topix Index Future	December 2011		(381	)		(654	)
U.K. Long Gilt Future	December 2011		(633	)		(75	)
U.S. Treasury Note Future, 10-Year	December 2011		(230	)		262

					$	1,437

JNL/Mellon Capital Management International Index Fund
ASX SPI 200 Index Future	December 2011		12		$	(19	)
Euro Stoxx 50 Index Future	December 2011		163			113
FTSE 100 Index Future	December 2011		49			(83	)
Topix Index Future	December 2011		31			44

					$	55

JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund
S&P MidCap 400 E-Mini Index Future	December 2011		124		$	(881	)

JNL/Mellon Capital Management S&P 500 Index Fund
S&P 500 E-Mini Index Future	December 2011		359		$	(751	)

JNL/Mellon Capital Management Small Cap Index Fund
Russell 2000 Mini Index Future	December 2011		184		$	(773	)

JNL/PIMCO Real Return Fund
3-Month Euro Euribor Interest Rate Future	March 2014		48		$	26
3-Month Euro Euribor Interest Rate Future	September 2013		48			(5	)
3-Month Euro Euribor Interest Rate Future	December 2013		96			(6	)
90-Day Eurodollar Future	September 2013		316			358
90-Day Eurodollar Future	June 2013		364			726
90-Day Eurodollar Future	March 2013		727			1,229
90-Day Eurodollar Future	December 2013		1,156			1,319
Euro-Bund Future	December 2011		175			(180	)

					$	3,467

JNL/PIMCO Total Return Bond Fund
90-Day Eurodollar Future	June 2014		66		$	190
90-Day Eurodollar Future	December 2012		111			100
90-Day Eurodollar Future	December 2011		317			(10	)
90-Day Eurodollar Future	December 2013		328			744
90-Day Eurodollar Future	March 2014		337			884
90-Day Eurodollar Future	March 2013		435			192


	Expiration	Contracts Long / (Short)			Unrealized Appreciation / (Depreciation)
JNL/PIMCO Total Return Bond Fund (continued)
90-Day Eurodollar Future	September 2013		780		$	1,275
90-Day Eurodollar Future	December 2012		1,365			879
90-Day Eurodollar Future	March 2012		1,633			1,146
90-Day Eurodollar Future	June 2013		1,860			2,507
90-Day Eurodollar Future	September 2012		2,568			1,541
90-Day Eurodollar Future	March 2013		2,592			2,532
90-Day Eurodollar Future	June 2012		6,072			5,178
U.S. Treasury Note Future, 10-Year	December 2011		185			48

					$	17,206

JNL/T.Rowe Price Short-Term Bond Fund
U.S. Treasury Note Future, 5-Year	December 2011		(107	)	$	(38	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount		Value		Unrealized Gain/(Loss)
	JNL/AQR Managed Futures Strategy Fund
	AUD/USD	12/21/2011	RBS	AUD		23,097	$	22,139	$	(1,994	)
	AUD/USD	12/21/2011	RBS	AUD		13,215		12,667		(1,159	)
	AUD/USD	12/21/2011	RBS	AUD		2,215		2,123		(144	)
	AUD/USD	12/21/2011	RBS	AUD		10,136		9,715		(616	)
	AUD/USD	12/21/2011	RBS	AUD		1,999		1,916		(40	)
	AUD/USD	12/21/2011	RBS	AUD		181		173		(1	)
	BRL/USD	12/21/2011	RBS	BRL		4,700		2,458		(267	)
	BRL/USD	12/21/2011	RBS	BRL		400		209		(8	)
	CAD/USD	12/21/2011	RBS	CAD		6,132		5,842		(358	)
	CAD/USD	12/21/2011	RBS	CAD		8,423		8,024		(495	)
	CAD/USD	12/21/2011	RBS	CAD		13,097		12,477		(740	)
	CAD/USD	12/21/2011	RBS	CAD		9,571		9,118		(606	)
	CHF/USD	12/21/2011	RBS	CHF		11,665		12,891		(461	)
	CLP/USD	12/21/2011	RBS	CLP		630,000		1,200		(132	)
	CZK/USD	12/21/2011	RBS	CZK		199,971		10,862		(263	)
	CZK/USD	12/21/2011	RBS	CZK		23,000		1,249		(13	)
	CZK/USD	12/21/2011	RBS	CZK		18,000		978		(21	)
	CZK/USD	12/21/2011	RBS	CZK		22,000		1,195		(32	)
	EUR/USD	12/21/2011	RBS	EUR		10,838		14,515		(571	)
	EUR/USD	12/21/2011	RBS	EUR		1,390		1,862		(32	)
	EUR/USD	12/21/2011	RBS	EUR		27,934		37,412		(940	)
	EUR/USD	12/21/2011	RBS	EUR		4,030		5,397		(107	)
	EUR/USD	12/21/2011	RBS	EUR		2,520		3,375		(38	)
	EUR/USD	12/21/2011	RBS	EUR		54,703		73,265		(587	)
	EUR/USD	12/21/2011	RBS	EUR		22,819		30,562		(505	)
	GBP/USD	12/21/2011	RBS	GBP		11,715		18,254		(431	)
	GBP/USD	12/21/2011	RBS	GBP		1,110		1,730		(23	)
	GBP/USD	12/21/2011	RBS	GBP		2,480		3,864		(58	)
	GBP/USD	12/21/2011	RBS	GBP		1,920		2,992		(26	)
	GBP/USD	12/21/2011	RBS	GBP		1,580		2,462		16
	GBP/USD	12/21/2011	RBS	GBP		10,241		15,958		42
	GBP/USD	12/21/2011	RBS	GBP		1,220		1,901		(6	)
	GBP/USD	12/21/2011	RBS	GBP		700		1,091		(3	)
	HUF/USD	12/21/2011	RBS	HUF		800,000		3,627		(189	)
	IDR/USD	12/21/2011	RBS	IDR		41,700,000		4,706		(76	)
	INR/USD	12/21/2011	RBS	INR		2,000		40		(3	)
	INR/USD	12/21/2011	RBS	INR		70,000		1,413		(17	)
	INR/USD	12/21/2011	RBS	INR		63,000		1,272		18
	JPY/USD	12/21/2011	RBS	JPY		1,276,117		16,565		41
	JPY/USD	12/21/2011	RBS	JPY		1,622,818		21,065		107
	JPY/USD	12/21/2011	RBS	JPY		4,513,557		58,588		(55	)
	JPY/USD	12/21/2011	RBS	JPY		68,000		883		(3	)
	JPY/USD	12/21/2011	RBS	JPY		1,332,042		17,291		(95	)
	JPY/USD	12/21/2011	RBS	JPY		1,728,524		22,437		(170	)
	JPY/USD	12/21/2011	RBS	JPY		1,157,769		15,028		(174	)
	JPY/USD	12/21/2011	RBS	JPY		716,645		9,302		(63	)
	KRW/USD	12/21/2011	RBS	KRW		2,400,000		2,029		(152	)
	KRW/USD	12/21/2011	RBS	KRW		9,100,000		7,692		(442	)
	KRW/USD	12/21/2011	RBS	KRW		760,000		642		4
	KRW/USD	12/21/2011	RBS	KRW		500,000		423		1
	MXN/USD	12/21/2011	RBS	MXN		38,000		2,720		(260	)
	MXN/USD	12/21/2011	RBS	MXN		6,000		429		(7	)
	MXN/USD	12/21/2011	RBS	MXN		25,000		1,789		(61	)
	MYR/USD	12/21/2011	RBS	MYR		1,200		375		(26	)
	MYR/USD	12/21/2011	RBS	MYR		15,600		4,874		(230	)
	NOK/USD	12/21/2011	RBS	NOK		234,644		39,818		(3,465	)
	NOK/USD	12/21/2011	RBS	NOK		14,094		2,392		(233	)
	NOK/USD	12/21/2011	RBS	NOK		21,923		3,720		(337	)
	NOK/USD	12/21/2011	RBS	NOK		4,316		732		(63	)
	NZD/USD	12/21/2011	RBS	NZD		23,450		17,777		(1,679	)
	NZD/USD	12/21/2011	RBS	NZD		60,981		46,228		(3,685	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/AQR Managed Futures Strategy Fund (continued)
	NZD/USD	12/21/2011	RBS	NZD		3,781		$	2,866		$	(207	)
	NZD/USD	12/21/2011	RBS	NZD		9,455			7,168			(602	)
	NZD/USD	12/21/2011	RBS	NZD		2,544			1,929			(61	)
	PHP/USD	12/21/2011	RBS	PHP		236,000			5,376			(151	)
	PHP/USD	12/21/2011	RBS	PHP		40,000			911			(6	)
	PLN/USD	12/21/2011	RBS	PLN		600			180			1
	RUB/USD	12/21/2011	RBS	RUB		98,000			2,999			(195	)
	RUB/USD	12/21/2011	RBS	RUB		6,000			184			(12	)
	RUB/USD	12/21/2011	RBS	RUB		15,000			459			2
	RUB/USD	12/21/2011	RBS	RUB		20,000			612			(7	)
	SEK/USD	12/21/2011	RBS	SEK		65,134			9,456			(722	)
	SEK/USD	12/21/2011	RBS	SEK		105,010			15,246			(1,174	)
	SEK/USD	12/21/2011	RBS	SEK		34,319			4,983			(337	)
	SEK/USD	12/21/2011	RBS	SEK		26,824			3,894			(206	)
	SEK/USD	12/21/2011	RBS	SEK		66,120			9,600			(223	)
	SEK/USD	12/21/2011	RBS	SEK		81,155			11,782			(231	)
	SGD/USD	12/21/2011	RBS	SGD		400			306			(26	)
	SGD/USD	12/21/2011	RBS	SGD		1,800			1,377			(85	)
	SGD/USD	12/21/2011	RBS	SGD		2,000			1,529			(25	)
	SGD/USD	12/21/2011	RBS	SGD		1,100			841			(5	)
	SGD/USD	12/21/2011	RBS	SGD		1,700			1,300			(8	)
	TRY/USD	12/21/2011	RBS	TRY		100			53			(3	)
	TRY/USD	12/21/2011	RBS	TRY		1,600			851			(29	)
	TRY/USD	12/21/2011	RBS	TRY		200			106			(4	)
	TRY/USD	12/21/2011	RBS	TRY		1,400			744			(36	)
	TRY/USD	12/21/2011	RBS	TRY		1,700			904			(6	)
	TWD/USD	12/21/2011	RBS	TWD		53,000			1,743			(76	)
	TWD/USD	12/21/2011	RBS	TWD		65,000			2,138			(49	)
	TWD/USD	12/21/2011	RBS	TWD		47,000			1,546			(12	)
	TWD/USD	12/21/2011	RBS	TWD		18,000			592			3
	TWD/USD	12/21/2011	RBS	TWD		44,000			1,447			5
	USD/AUD	12/21/2011	RBS	AUD		(2,026	)		(1,942	)		179
	USD/AUD	12/21/2011	RBS	AUD		(26,975	)		(25,856	)		1,661
	USD/AUD	12/21/2011	RBS	AUD		(23,448	)		(22,475	)		1,310
	USD/AUD	12/21/2011	RBS	AUD		(11,092	)		(10,632	)		582
	USD/AUD	12/21/2011	RBS	AUD		(1,769	)		(1,696	)		20
	USD/BRL	12/21/2011	RBS	BRL		(1,400	)		(732	)		93
	USD/BRL	12/21/2011	RBS	BRL		(2,700	)		(1,412	)		192
	USD/BRL	12/21/2011	RBS	BRL		(900	)		(471	)		51
	USD/BRL	12/21/2011	RBS	BRL		(1,800	)		(941	)		94
	USD/BRL	12/21/2011	RBS	BRL		(900	)		(471	)		43
	USD/BRL	12/21/2011	RBS	BRL		(800	)		(418	)		44
	USD/BRL	12/21/2011	RBS	BRL		(1,600	)		(837	)		(18	)
	USD/BRL	12/21/2011	RBS	BRL		(100	)		(52	)		—
	USD/CAD	12/21/2011	RBS	CAD		(5,003	)		(4,766	)		250
	USD/CAD	12/21/2011	RBS	CAD		(15,912	)		(15,159	)		772
	USD/CAD	12/21/2011	RBS	CAD		(2,973	)		(2,832	)		163
	USD/CAD	12/21/2011	RBS	CAD		(30,552	)		(29,106	)		564
	USD/CAD	12/21/2011	RBS	CAD		(1,244	)		(1,185	)		24
	USD/CHF	12/21/2011	RBS	CHF		(11,665	)		(12,891	)		680
	USD/CLP	12/21/2011	RBS	CLP		(170,000	)		(324	)		20
	USD/CLP	12/21/2011	RBS	CLP		(710,000	)		(1,352	)		(13	)
	USD/CLP	12/21/2011	RBS	CLP		(130,000	)		(248	)		—
	USD/COP	12/21/2011	RBS	COP		(500,000	)		(258	)		20
	USD/COP	12/21/2011	RBS	COP		(200,000	)		(103	)		6
	USD/COP	12/21/2011	RBS	COP		(1,000,000	)		(515	)		19
	USD/COP	12/21/2011	RBS	COP		(1,600,000	)		(825	)		(3	)
	USD/CZK	12/21/2011	RBS	CZK		(101,000	)		(5,486	)		316
	USD/CZK	12/21/2011	RBS	CZK		(105,000	)		(5,703	)		330
	USD/CZK	12/21/2011	RBS	CZK		(22,000	)		(1,195	)		27
	USD/CZK	12/21/2011	RBS	CZK		(5,000	)		(272	)		8


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/AQR Managed Futures Strategy Fund (continued)
	USD/CZK	12/21/2011	RBS	CZK		(59,000	)	$	(3,205	)	$	(18	)
	USD/CZK	12/21/2011	RBS	CZK		(57,000	)		(3,096	)		(4	)
	USD/EUR	12/21/2011	RBS	EUR		(56,938	)		(76,258	)		3,755
	USD/EUR	12/21/2011	RBS	EUR		(8,864	)		(11,872	)		602
	USD/EUR	12/21/2011	RBS	EUR		(15,523	)		(20,790	)		755
	USD/EUR	12/21/2011	RBS	EUR		(2,730	)		(3,656	)		45
	USD/EUR	12/21/2011	RBS	EUR		(9,698	)		(12,989	)		212
	USD/EUR	12/21/2011	RBS	EUR		(8,752	)		(11,722	)		253
	USD/EUR	12/21/2011	RBS	EUR		(4,810	)		(6,442	)		8
	USD/EUR	12/21/2011	RBS	EUR		(3,380	)		(4,527	)		45
	USD/EUR	12/21/2011	RBS	EUR		(25,375	)		(33,985	)		548
	USD/GBP	12/21/2011	RBS	GBP		(7,238	)		(11,278	)		285
	USD/GBP	12/21/2011	RBS	GBP		(4,330	)		(6,747	)		145
	USD/GBP	12/21/2011	RBS	GBP		(5,935	)		(9,248	)		216
	USD/GBP	12/21/2011	RBS	GBP		(3,119	)		(4,860	)		50
	USD/GBP	12/21/2011	RBS	GBP		(3,224	)		(5,024	)		46
	USD/GBP	12/21/2011	RBS	GBP		(750	)		(1,169	)		7
	USD/GBP	12/21/2011	RBS	GBP		(8,808	)		(13,725	)		(129	)
	USD/GBP	12/21/2011	RBS	GBP		(460	)		(717	)		(6	)
	USD/HUF	12/21/2011	RBS	HUF		(10,000	)		(45	)		2
	USD/HUF	12/21/2011	RBS	HUF		(80,000	)		(363	)		19
	USD/HUF	12/21/2011	RBS	HUF		(270,000	)		(1,224	)		56
	USD/HUF	12/21/2011	RBS	HUF		(50,000	)		(227	)		11
	USD/HUF	12/21/2011	RBS	HUF		(160,000	)		(725	)		18
	USD/HUF	12/21/2011	RBS	HUF		(60,000	)		(272	)		1
	USD/HUF	12/21/2011	RBS	HUF		(390,000	)		(1,768	)		17
	USD/IDR	12/21/2011	RBS	IDR		(24,100,000	)		(2,720	)		(48	)
	USD/IDR	12/21/2011	RBS	IDR		(2,900,000	)		(327	)		(16	)
	USD/IDR	12/21/2011	RBS	IDR		(5,800,000	)		(655	)		(55	)
	USD/IDR	12/21/2011	RBS	IDR		(6,300,000	)		(711	)		(34	)
	USD/ILS	12/21/2011	RBS	ILS		(600	)		(160	)		1
	USD/ILS	12/21/2011	RBS	ILS		(4,800	)		(1,279	)		8
	USD/ILS	12/21/2011	RBS	ILS		(200	)		(53	)		1
	USD/ILS	12/21/2011	RBS	ILS		(2,900	)		(772	)		11
	USD/ILS	12/21/2011	RBS	ILS		(600	)		(160	)		1
	USD/INR	12/21/2011	RBS	INR		(45,000	)		(909	)		37
	USD/INR	12/21/2011	RBS	INR		(198,000	)		(3,998	)		156
	USD/INR	12/21/2011	RBS	INR		(194,000	)		(3,917	)		73
	USD/INR	12/21/2011	RBS	INR		(96,000	)		(1,938	)		47
	USD/INR	12/21/2011	RBS	INR		(91,000	)		(1,837	)		(2	)
	USD/INR	12/21/2011	RBS	INR		(111,000	)		(2,241	)		(40	)
	USD/INR	12/21/2011	RBS	INR		(22,000	)		(444	)		(3	)
	USD/INR	12/21/2011	RBS	INR		(92,000	)		(1,857	)		(9	)
	USD/JPY	12/21/2011	RBS	JPY		(1,268,438	)		(16,465	)		(88	)
	USD/JPY	12/21/2011	RBS	JPY		(499,000	)		(6,477	)		(32	)
	USD/JPY	12/21/2011	RBS	JPY		(1,447,129	)		(18,785	)		42
	USD/JPY	12/21/2011	RBS	JPY		(154,000	)		(1,999	)		11
	USD/JPY	12/21/2011	RBS	JPY		(255,000	)		(3,310	)		16
	USD/JPY	12/21/2011	RBS	JPY		(814,921	)		(10,578	)		104
	USD/JPY	12/21/2011	RBS	JPY		(661,096	)		(8,581	)		72
	USD/KRW	12/21/2011	RBS	KRW		(1,460,000	)		(1,234	)		120
	USD/KRW	12/21/2011	RBS	KRW		(8,020,000	)		(6,779	)		459
	USD/KRW	12/21/2011	RBS	KRW		(3,250,000	)		(2,747	)		179
	USD/KRW	12/21/2011	RBS	KRW		(4,460,000	)		(3,770	)		98
	USD/KRW	12/21/2011	RBS	KRW		(900,000	)		(761	)		1
	USD/KRW	12/21/2011	RBS	KRW		(2,100,000	)		(1,775	)		(22	)
	USD/KRW	12/21/2011	RBS	KRW		(540,000	)		(456	)		—
	USD/MXN	12/21/2011	RBS	MXN		(6,000	)		(429	)		38
	USD/MXN	12/21/2011	RBS	MXN		(20,000	)		(1,431	)		102
	USD/MXN	12/21/2011	RBS	MXN		(6,000	)		(429	)		29
	USD/MXN	12/21/2011	RBS	MXN		(1,000	)		(72	)		6


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/AQR Managed Futures Strategy Fund (continued)
	USD/MXN	12/21/2011	RBS	MXN		(8,000	)	$	(573	)	$	—
	USD/MXN	12/21/2011	RBS	MXN		(64,000	)		(4,581	)		(16	)
	USD/MYR	12/21/2011	RBS	MYR		(10,400	)		(3,249	)		152
	USD/MYR	12/21/2011	RBS	MYR		(5,600	)		(1,750	)		62
	USD/MYR	12/21/2011	RBS	MYR		(5,600	)		(1,750	)		60
	USD/MYR	12/21/2011	RBS	MYR		(3,400	)		(1,062	)		19
	USD/MYR	12/21/2011	RBS	MYR		(1,600	)		(500	)		4
	USD/MYR	12/21/2011	RBS	MYR		(400	)		(125	)		—
	USD/MYR	12/21/2011	RBS	MYR		(400	)		(125	)		1
	USD/NOK	12/21/2011	RBS	NOK		(80,175	)		(13,605	)		413
	USD/NOK	12/21/2011	RBS	NOK		(47,963	)		(8,139	)		265
	USD/NOK	12/21/2011	RBS	NOK		(14,757	)		(2,504	)		70
	USD/NOK	12/21/2011	RBS	NOK		(92,665	)		(15,725	)		163
	USD/NZD	12/21/2011	RBS	NZD		(14,899	)		(11,294	)		912
	USD/NZD	12/21/2011	RBS	NZD		(43,307	)		(32,830	)		880
	USD/NZD	12/21/2011	RBS	NZD		(16,024	)		(12,147	)		262
	USD/NZD	12/21/2011	RBS	NZD		(1,081	)		(819	)		10
	USD/PHP	12/21/2011	RBS	PHP		(60,000	)		(1,367	)		20
	USD/PHP	12/21/2011	RBS	PHP		(39,000	)		(888	)		10
	USD/PHP	12/21/2011	RBS	PHP		(77,000	)		(1,754	)		2
	USD/PHP	12/21/2011	RBS	PHP		(34,000	)		(775	)		(4	)
	USD/PHP	12/21/2011	RBS	PHP		(30,000	)		(683	)		(5	)
	USD/PHP	12/21/2011	RBS	PHP		(7,000	)		(159	)		1
	USD/PLN	12/21/2011	RBS	PLN		(6,900	)		(2,066	)		211
	USD/PLN	12/21/2011	RBS	PLN		(6,900	)		(2,066	)		199
	USD/PLN	12/21/2011	RBS	PLN		(6,200	)		(1,857	)		76
	USD/PLN	12/21/2011	RBS	PLN		(500	)		(150	)		5
	USD/PLN	12/21/2011	RBS	PLN		(2,400	)		(719	)		12
	USD/RUB	12/21/2011	RBS	RUB		(84,000	)		(2,570	)		185
	USD/RUB	12/21/2011	RBS	RUB		(57,000	)		(1,744	)		44
	USD/RUB	12/21/2011	RBS	RUB		(29,000	)		(887	)		4
	USD/RUB	12/21/2011	RBS	RUB		(167,000	)		(5,110	)		(13	)
	USD/SEK	12/21/2011	RBS	SEK		(90,462	)		(13,134	)		256
	USD/SEK	12/21/2011	RBS	SEK		(232,256	)		(33,720	)		667
	USD/SEK	12/21/2011	RBS	SEK		(108,931	)		(15,815	)		38
	USD/SGD	12/21/2011	RBS	SGD		(1,700	)		(1,300	)		79
	USD/SGD	12/21/2011	RBS	SGD		(6,400	)		(4,894	)		290
	USD/SGD	12/21/2011	RBS	SGD		(1,800	)		(1,377	)		74
	USD/SGD	12/21/2011	RBS	SGD		(1,300	)		(994	)		49
	USD/SGD	12/21/2011	RBS	SGD		(900	)		(688	)		25
	USD/SGD	12/21/2011	RBS	SGD		(3,600	)		(2,753	)		39
	USD/TRY	12/21/2011	RBS	TRY		(16,000	)		(8,507	)		301
	USD/TRY	12/21/2011	RBS	TRY		(3,000	)		(1,595	)		14
	USD/TRY	12/21/2011	RBS	TRY		(2,300	)		(1,223	)		8
	USD/TWD	12/21/2011	RBS	TWD		(53,000	)		(1,743	)		70
	USD/TWD	12/21/2011	RBS	TWD		(2,000	)		(66	)		2
	USD/TWD	12/21/2011	RBS	TWD		(354,000	)		(11,643	)		387
	USD/TWD	12/21/2011	RBS	TWD		(18,000	)		(592	)		3
	USD/TWD	12/21/2011	RBS	TWD		(28,000	)		(921	)		3
	USD/ZAR	12/21/2011	RBS	ZAR		(2,400	)		(294	)		36
	USD/ZAR	12/21/2011	RBS	ZAR		(43,900	)		(5,376	)		530
	USD/ZAR	12/21/2011	RBS	ZAR		(5,600	)		(686	)		65
	USD/ZAR	12/21/2011	RBS	ZAR		(3,700	)		(453	)		41
	USD/ZAR	12/21/2011	RBS	ZAR		(26,900	)		(3,294	)		170
	USD/ZAR	12/21/2011	RBS	ZAR		(10,100	)		(1,237	)		(23	)
	ZAR/USD	12/21/2011	RBS	ZAR		15,300			1,874			(20	)
	ZAR/USD	12/21/2011	RBS	ZAR		3,000			367			(10	)

								$	(22,927	)	$	(3,686	)

	JNL/BlackRock Global Allocation Fund
	CAD/USD	10/28/2011	DUB	CAD		240		$	229		$	(11	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/BlackRock Global Allocation Fund (continued)
	CAD/USD	10/28/2011	CSI	CAD		259		$	247		$	(12	)
	CHF/EUR	10/21/2011	UBS	EUR		(338	)		(453	)		(4	)
	CHF/EUR	10/21/2011	CSI	EUR		(263	)		(352	)		(4	)
	CHF/EUR	10/27/2011	UBS	EUR		(330	)		(442	)		—
	CHF/USD	10/13/2011	JPM	CHF		1,888			2,083			(116	)
	CNH/USD	04/11/2012	UBS	CNH		886			137			(1	)
	CNH/USD	04/11/2012	UBS	CNH		1,769			273			(5	)
	CNH/USD	04/11/2012	UBS	CNH		2,367			365			(5	)
	CNY/USD	03/12/2012	CSI	CNY		4,749			746			5
	CNY/USD	03/12/2012	CSI	CNY		1,051			165			(1	)
	EUR/USD	10/06/2011	BOA	EUR		543			727			(54	)
	EUR/USD	10/07/2011	CSI	EUR		168			225			(17	)
	EUR/USD	11/04/2011	CSI	EUR		618			827			(13	)
	GBP/USD	10/13/2011	JPM	GBP		63			97			1
	JPY/USD	10/14/2011	DUB	JPY		32,080			416			1
	JPY/USD	10/14/2011	UBS	JPY		82,675			1,072			2
	KRW/USD	10/06/2011	UBS	KRW		277,010			235			(24	)
	KRW/USD	10/06/2011	DUB	KRW		214,809			182			(19	)
	NOK/USD	10/28/2011	UBS	NOK		3,201			545			(18	)
	NOK/USD	10/28/2011	DUB	NOK		3,125			532			(18	)
	SGD/USD	11/10/2011	HSB	SGD		56			43			(1	)
	SGD/USD	11/16/2011	JPM	SGD		537			411			(21	)
	SGD/USD	03/12/2012	JPM	SGD		469			359			(28	)
	TWD/USD	11/18/2011	HSB	TWD		7,952			261			—
	USD/AUD	10/17/2011	CSI	AUD		(23	)		(22	)		2
	USD/AUD	11/15/2011	GSC	AUD		(19	)		(18	)		2
	USD/AUD	04/16/2012	CSI	AUD		(821	)		(779	)		60
	USD/AUD	05/15/2012	GSC	AUD		(19	)		(18	)		2
	USD/AUD	11/15/2012	GSC	AUD		(413	)		(392	)		25
	USD/AUD	11/15/2012	GSC	AUD		(404	)		(383	)		26
	USD/CHF	10/13/2011	JPM	CHF		(265	)		(292	)		8
	USD/CHF	10/13/2011	JPM	CHF		(264	)		(292	)		8
	USD/CHF	10/13/2011	JPM	CHF		(161	)		(177	)		5
	USD/EUR	10/07/2011	UBS	EUR		(213	)		(285	)		22
	USD/GBP	10/13/2011	JPM	GBP		(125	)		(195	)		5
	USD/GBP	10/13/2011	JPM	GBP		(183	)		(285	)		(3	)
	USD/GBP	10/21/2011	JPM	GBP		(192	)		(299	)		2
	USD/GBP	10/21/2011	JPM	GBP		(415	)		(647	)		2
	USD/MXN	02/09/2012	CGM	MXN		(6,042	)		(431	)		54
	USD/MYR	03/01/2012	HSB	MYR		(2,607	)		(813	)		27

								$	3,602		$	(116	)

	JNL/Capital Guardian Global Balanced Fund
	EUR/USD	10/19/2011	BOA	EUR		1,621		$	2,171		$	(79	)
	EUR/USD	10/26/2011	BOA	EUR		2,973			3,983			(17	)
	JPY/EUR	10/20/2011	BNY	EUR		(2,300	)		(3,081	)		75
	JPY/USD	10/17/2011	BOA	JPY		883,729			11,460			(40	)
	JPY/USD	10/20/2011	BOA	JPY		76,835			996			(4	)
	MXN/USD	10/11/2011	BNY	MXN		1,309			94			(7	)
	MXN/USD	10/11/2011	BNY	MXN		1,309			94			(5	)
	MXN/USD	10/11/2011	BNY	MXN		2,622			189			(6	)
	USD/BRL	10/21/2011	RBS	BRL		(1,240	)		(657	)		32
	USD/BRL	10/24/2011	UBS	BRL		(72	)		(38	)		2
	USD/CAD	10/31/2011	CSI	CAD		(384	)		(366	)		10
	USD/COP	10/21/2011	RBS	COP		(949,200	)		(491	)		18
	USD/EUR	10/03/2011	BOA	EUR		(1,281	)		(1,716	)		142
	USD/EUR	10/17/2011	BNY	EUR		(2,453	)		(3,286	)		66
	USD/EUR	10/28/2011	BNY	EUR		(196	)		(263	)		—
	USD/EUR	10/28/2011	JPM	EUR		(30	)		(41	)		—
	USD/EUR	10/31/2011	BOA	EUR		(1,363	)		(1,826	)		25
	USD/HUF	10/13/2011	BOA	HUF		(27,254	)		(125	)		13


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Capital Guardian Global Balanced Fund (continued)
	USD/IDR	10/21/2011	JPM	IDR		(2,891,575	)	$	(328	)	$	(11	)
	USD/JPY	10/12/2011	BNY	JPY		(39,242	)		(509	)		(2	)
	USD/JPY	10/31/2011	BNY	JPY		(18,535	)		(240	)		2
	USD/KRW	10/21/2011	UBS	KRW		(202,375	)		(172	)		5
	USD/MXN	10/11/2011	BNY	MXN		(5,240	)		(378	)		39
	USD/MXN	10/31/2011	RBS	MXN		(2,944	)		(212	)		7
	USD/MYR	10/21/2011	CSI	MYR		(1,390	)		(435	)		8
	USD/PHP	10/21/2011	CSI	PHP		(12,030	)		(275	)		1
	USD/PLN	10/11/2011	BOA	PLN		(1,083	)		(327	)		33
	USD/TRY	10/21/2011	CIT	TRY		(219	)		(117	)		3
	USD/TRY	10/21/2011	RBS	TRY		(106	)		(57	)		2
	USD/ZAR	10/31/2011	BOA	ZAR		(574	)		(71	)		2
	USD/ZAR	10/31/2011	BOA	ZAR		(237	)		(29	)		1

								$	3,947		$	315

	JNL/Franklin Templeton Mutual Shares Fund
	CHF/USD	02/10/2012	DUB	CHF		150		$	166		$	(33	)
	CHF/USD	02/10/2012	DUB	CHF		457			506			(123	)
	CHF/USD	02/10/2012	SSB	CHF		120			133			(29	)
	CHF/USD	02/10/2012	DUB	CHF		60			66			(14	)
	CHF/USD	02/10/2012	DUB	CHF		158			175			(4	)
	CHF/USD	02/10/2012	BOA	CHF		158			175			(4	)
	CHF/USD	02/10/2012	DUB	CHF		101			112			(2	)
	CHF/USD	02/10/2012	BCL	CHF		503			556			—
	CHF/USD	02/10/2012	BCL	CHF		331			366			(4	)
	CHF/USD	02/10/2012	SSB	CHF		78			86			(1	)
	CHF/USD	02/10/2012	BCL	CHF		321			355			(4	)
	EUR/USD	03/15/2012	DUB	EUR		396			531			(10	)
	EUR/USD	03/15/2012	BOA	EUR		255			342			(6	)
	EUR/USD	03/15/2012	SSB	EUR		242			324			(2	)
	EUR/USD	03/15/2012	DUB	EUR		1,031			1,381			(6	)
	GBP/USD	11/18/2011	BOA	GBP		131			204			(11	)
	GBP/USD	11/18/2011	BOA	GBP		243			378			(20	)
	GBP/USD	11/18/2011	DUB	GBP		965			1,504			(86	)
	GBP/USD	11/18/2011	BCL	GBP		431			671			(8	)
	GBP/USD	11/18/2011	SSB	GBP		369			575			(7	)
	GBP/USD	11/18/2011	BOA	GBP		248			387			(5	)
	GBP/USD	11/18/2011	BCL	GBP		316			493			(2	)
	JPY/USD	10/20/2011	DUB	JPY		7,000			91			4
	JPY/USD	10/20/2011	SSB	JPY		10,100			131			6
	JPY/USD	10/20/2011	BCL	JPY		11,447			148			6
	JPY/USD	10/20/2011	BCL	JPY		22,378			290			12
	JPY/USD	10/20/2011	HSB	JPY		8,205			106			2
	JPY/USD	10/20/2011	BCL	JPY		6,945			90			2
	JPY/USD	10/20/2011	DUB	JPY		7,915			103			2
	JPY/USD	10/20/2011	DUB	JPY		8,210			106			1
	JPY/USD	10/20/2011	BCL	JPY		10,517			136			—
	JPY/USD	10/20/2011	DUB	JPY		7,740			100			(1	)
	JPY/USD	10/20/2011	HSB	JPY		8,664			112			(1	)
	JPY/USD	10/20/2011	BOA	JPY		11,747			152			9
	JPY/USD	10/20/2011	BOA	JPY		11,944			155			9
	JPY/USD	10/20/2011	DUB	JPY		9,406			122			6
	JPY/USD	10/20/2011	DUB	JPY		4,260			55			3
	JPY/USD	10/20/2011	DUB	JPY		7,248			94			4
	JPY/USD	10/20/2011	DUB	JPY		7,497			97			4
	JPY/USD	10/20/2011	DUB	JPY		15,780			205			8
	JPY/USD	10/20/2011	BCL	JPY		8,498			110			4
	JPY/USD	10/20/2011	BOA	JPY		11,665			151			6
	JPY/USD	10/20/2011	DUB	JPY		10,446			135			6
	NOK/USD	12/19/2011	BOA	NOK		526			89			(6	)
	NOK/USD	12/19/2011	BOA	NOK		2,316			393			(18	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Franklin Templeton Mutual Shares Fund (continued)
	NOK/USD	12/19/2011	BOA	NOK		1,005		$	171		$	(5	)
	NOK/USD	12/19/2011	DUB	NOK		482			82			(3	)
	NOK/USD	12/19/2011	BOA	NOK		302			51			—
	USD/AUD	12/21/2011	DUB	AUD		(287	)		(275	)		21
	USD/AUD	12/21/2011	BCL	AUD		(53	)		(51	)		5
	USD/AUD	12/21/2011	BOA	AUD		(525	)		(503	)		54
	USD/AUD	12/21/2011	BOA	AUD		(76	)		(73	)		5
	USD/AUD	02/23/2012	BOA	AUD		(2,355	)		(2,243	)		167
	USD/AUD	02/23/2012	DUB	AUD		(63	)		(60	)		1
	USD/AUD	02/23/2012	BCL	AUD		(157	)		(150	)		2
	USD/CHF	02/10/2012	DUB	CHF		(3,505	)		(3,879	)		736
	USD/CHF	02/10/2012	BCL	CHF		(3,395	)		(3,756	)		721
	USD/CHF	02/10/2012	DUB	CHF		(423	)		(468	)		72
	USD/CHF	02/10/2012	DUB	CHF		(42	)		(47	)		6
	USD/CHF	02/10/2012	BCL	CHF		(21	)		(23	)		3
	USD/CHF	02/10/2012	BCL	CHF		(84	)		(92	)		13
	USD/EUR	03/15/2012	BOA	EUR		(24,986	)		(33,463	)		717
	USD/EUR	03/15/2012	DUB	EUR		(440	)		(589	)		20
	USD/EUR	03/15/2012	BCL	EUR		(440	)		(589	)		21
	USD/EUR	03/15/2012	BCL	EUR		(237	)		(317	)		5
	USD/GBP	11/18/2011	BOA	GBP		(8,124	)		(12,663	)		509
	USD/GBP	11/18/2011	BCL	GBP		(8,124	)		(12,664	)		482
	USD/GBP	11/18/2011	BOA	GBP		(8,124	)		(12,664	)		469
	USD/GBP	11/18/2011	SSB	GBP		(2,980	)		(4,645	)		175
	USD/GBP	11/18/2011	DUB	GBP		(380	)		(592	)		32
	USD/GBP	11/18/2011	DUB	GBP		(288	)		(449	)		24
	USD/GBP	11/18/2011	DUB	GBP		(240	)		(374	)		14
	USD/GBP	11/18/2011	HSB	GBP		(592	)		(923	)		28
	USD/GBP	11/18/2011	BCL	GBP		(94	)		(146	)		4
	USD/GBP	11/18/2011	SSB	GBP		(699	)		(1,090	)		5
	USD/JPY	10/20/2011	HSB	JPY		(9,961	)		(129	)		(9	)
	USD/JPY	10/20/2011	DUB	JPY		(19,926	)		(258	)		(18	)
	USD/JPY	10/20/2011	BCL	JPY		(9,964	)		(129	)		(9	)
	USD/JPY	10/20/2011	HSB	JPY		(7,397	)		(96	)		(6	)
	USD/JPY	10/20/2011	DUB	JPY		(14,811	)		(192	)		(12	)
	USD/JPY	10/20/2011	BOA	JPY		(131,796	)		(1,709	)		(110	)
	USD/JPY	10/20/2011	HSB	JPY		(26,600	)		(345	)		(22	)
	USD/JPY	10/20/2011	HSB	JPY		(42,900	)		(556	)		(31	)
	USD/JPY	10/20/2011	HSB	JPY		(6,486	)		(84	)		—
	USD/JPY	10/20/2011	DUB	JPY		(17,494	)		(227	)		(2	)
	USD/NOK	12/19/2011	SSB	NOK		(10,825	)		(1,837	)		166

								$	(85,389	)	$	3,937

	JNL/Goldman Sachs Core Plus Bond Fund
	AUD/USD	12/21/2011	JPM	AUD		954		$	914		$	(83	)
	AUD/USD	12/21/2011	JPM	AUD		5,265			5,046			(464	)
	AUD/USD	12/21/2011	JPM	AUD		1,528			1,465			(77	)
	CAD/EUR	12/21/2011	RBC	EUR		(1,814	)		(2,429	)		—
	CAD/USD	12/21/2011	JPM	CAD		1,366			1,301			(81	)
	CAD/USD	12/21/2011	JPM	CAD		1,776			1,692			(98	)
	CAD/USD	12/21/2011	CIT	CAD		4,702			4,479			(299	)
	CAD/USD	12/21/2011	JPM	CAD		2,765			2,634			(72	)
	CHF/EUR	12/21/2011	UBS	EUR		(3,755	)		(5,029	)		18
	CHF/USD	12/21/2011	CSI	CHF		2,405			2,658			(3	)
	EUR/AUD	12/21/2011	DUB	AUD		(1,318	)		(1,264	)		52
	EUR/AUD	12/21/2011	DUB	AUD		(2,802	)		(2,685	)		13
	EUR/CAD	12/21/2011	RBC	CAD		(2,672	)		(2,545	)		85
	EUR/CAD	12/21/2011	JPM	CAD		(2,758	)		(2,627	)		50
	EUR/CHF	12/21/2011	DUB	CHF		(2,743	)		(3,031	)		22
	EUR/NOK	12/21/2011	HSB	NOK		(49,317	)		(8,369	)		89
	EUR/NOK	12/21/2011	JPM	NOK		(15,712	)		(2,666	)		20


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Core Plus Bond Fund (continued)
	EUR/NZD	12/21/2011	DUB	NZD		(3,485	)	$	(2,642	)	$	42
	EUR/SEK	12/21/2011	HSB	SEK		(17,824	)		(2,588	)		60
	EUR/USD	12/21/2011	JPM	EUR		937			1,255			(63	)
	EUR/USD	12/21/2011	JPM	EUR		950			1,272			(58	)
	EUR/USD	12/21/2011	UBS	EUR		171			228			(11	)
	EUR/USD	12/21/2011	DUB	EUR		1,953			2,616			(64	)
	EUR/USD	12/21/2011	JPM	EUR		1,361			1,823			(22	)
	EUR/USD	12/21/2011	CSI	EUR		2,000			2,679			(22	)
	GBP/EUR	12/21/2011	DUB	EUR		(1,980	)		(2,652	)		34
	GBP/USD	10/19/2011	MSC	GBP		1,650			2,572			(61	)
	GBP/USD	12/21/2011	UBS	GBP		1,759			2,741			39
	GBP/USD	12/21/2011	RBS	GBP		1,736			2,705			—
	GBP/USD	12/21/2011	CIT	GBP		867			1,351			(2	)
	JPY/EUR	12/21/2011	DUB	EUR		(1,129	)		(1,512	)		78
	JPY/EUR	12/21/2011	CIT	EUR		(3,156	)		(4,227	)		34
	JPY/USD	12/21/2011	JPM	JPY		288,169			3,741			(17	)
	NOK/EUR	12/21/2011	JPM	EUR		(469	)		(628	)		(26	)
	NOK/EUR	12/21/2011	HSB	EUR		(1,957	)		(2,621	)		(26	)
	NZD/EUR	12/21/2011	DUB	EUR		(1,933	)		(2,589	)		(139	)
	NZD/USD	12/21/2011	JPM	NZD		12,124			9,191			(669	)
	NZD/USD	12/21/2011	RBS	NZD		3,274			2,482			(182	)
	NZD/USD	12/21/2011	DUB	NZD		3,443			2,610			(85	)
	SEK/EUR	12/21/2011	RBS	EUR		(985	)		(1,319	)		(18	)
	SEK/EUR	12/21/2011	JPM	EUR		(985	)		(1,319	)		(5	)
	SEK/USD	12/21/2011	HSB	SEK		40,526			5,884			(129	)
	USD/AUD	12/21/2011	RBS	AUD		(1,261	)		(1,209	)		104
	USD/AUD	12/21/2011	CSI	AUD		(1,269	)		(1,216	)		107
	USD/AUD	12/21/2011	CIT	AUD		(2,585	)		(2,478	)		171
	USD/AUD	12/21/2011	RBC	AUD		(2,779	)		(2,664	)		18
	USD/AUD	12/21/2011	JPM	AUD		(4,476	)		(4,290	)		10
	USD/BRL	10/18/2011	UBS	BRL		(9,229	)		(4,891	)		882
	USD/CAD	12/21/2011	JPM	CAD		(2,671	)		(2,545	)		144
	USD/CAD	12/21/2011	RBC	CAD		(5,622	)		(5,355	)		75
	USD/CHF	12/21/2011	JPM	CHF		(1,499	)		(1,657	)		257
	USD/EUR	10/13/2011	JPM	EUR		(6,996	)		(9,372	)		700
	USD/EUR	12/21/2011	JPM	EUR		(937	)		(1,255	)		74
	USD/EUR	12/21/2011	RBC	EUR		(1,909	)		(2,556	)		98
	USD/EUR	12/21/2011	DUB	EUR		(1,953	)		(2,616	)		51
	USD/EUR	12/21/2011	JPM	EUR		(1,180	)		(1,580	)		32
	USD/EUR	12/21/2011	UBS	EUR		(985	)		(1,319	)		30
	USD/EUR	12/21/2011	CIT	EUR		(986	)		(1,320	)		29
	USD/EUR	12/21/2011	DUB	EUR		(973	)		(1,303	)		33
	USD/EUR	12/21/2011	DUB	EUR		(1,023	)		(1,370	)		35
	USD/EUR	12/21/2011	DUB	EUR		(1,361	)		(1,823	)		40
	USD/EUR	12/21/2011	DUB	EUR		(2,000	)		(2,679	)		20
	USD/GBP	10/19/2011	JPM	GBP		(1,913	)		(2,982	)		73
	USD/GBP	12/21/2011	MSC	GBP		(1,763	)		(2,748	)		67
	USD/GBP	12/21/2011	CIT	GBP		(1,671	)		(2,604	)		62
	USD/GBP	12/21/2011	BCL	GBP		(2,570	)		(4,005	)		22
	USD/GBP	12/21/2011	BCL	GBP		(699	)		(1,089	)		(5	)
	USD/JPY	12/21/2011	CSI	JPY		(145,165	)		(1,884	)		17
	USD/NZD	12/21/2011	DUB	NZD		(7,955	)		(6,030	)		516
	USD/NZD	12/21/2011	JPM	NZD		(1,615	)		(1,224	)		113
	USD/NZD	12/21/2011	JPM	NZD		(1,635	)		(1,239	)		92
	USD/NZD	12/21/2011	JPM	NZD		(7,139	)		(5,412	)		59
	USD/SEK	12/21/2011	HSB	SEK		(43,647	)		(6,337	)		469
	USD/ZAR	10/28/2011	CSI	ZAR		(71,149	)		(8,780	)		1,303
	USD/ZAR	10/28/2011	UBS	ZAR		(12,799	)		(1,579	)		151

								$	(88,814	)	$	3,709


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund
	BRL/USD	10/18/2011	UBS	BRL		19,345		$	10,251		$	(1,848	)
	BRL/USD	10/18/2011	MSC	BRL		8,810			4,669			(798	)
	BRL/USD	10/18/2011	MSC	BRL		3,696			1,958			(378	)
	BRL/USD	10/18/2011	JPM	BRL		7,677			4,068			(623	)
	BRL/USD	10/18/2011	HSB	BRL		7,734			4,099			(690	)
	BRL/USD	10/18/2011	UBS	BRL		7,678			4,069			(189	)
	BRL/USD	10/18/2011	HSB	BRL		6,774			3,590			(56	)
	BRL/USD	10/27/2011	UBS	BRL		3,912			2,068			(8	)
	CLP/USD	10/18/2011	BCL	CLP		421,798			810			(86	)
	CLP/USD	10/18/2011	DUB	CLP		2,167,826			4,163			(502	)
	CLP/USD	10/18/2011	MSC	CLP		2,623,268			5,038			(340	)
	CNY/USD	10/25/2011	MLP	CNY		121,472			19,027			159
	CNY/USD	03/01/2012	HSB	CNY		166,204			26,106			(165	)
	CNY/USD	03/01/2012	BCL	CNY		68,685			10,789			(72	)
	CNY/USD	03/01/2012	JPM	CNY		121,472			19,080			(128	)
	CNY/USD	05/09/2012	CIT	CNY		151,250			23,782			8
	CNY/USD	05/09/2012	MSC	CNY		149,000			23,428			17
	CNY/USD	05/09/2012	HSB	CNY		149,000			23,428			54
	COP/USD	10/18/2011	CSI	COP		25,784,505			13,349			(1,239	)
	COP/USD	10/18/2011	MSC	COP		7,091,125			3,671			(324	)
	EUR/HUF	12/21/2011	BCL	HUF		(890,648	)		(4,037	)		235
	EUR/HUF	12/21/2011	BCL	HUF		(629,003	)		(2,851	)		158
	EUR/HUF	12/21/2011	BCL	HUF		(31,184	)		(141	)		2
	EUR/HUF	12/21/2011	BCL	HUF		(455,355	)		(2,064	)		(2	)
	EUR/PLN	12/21/2011	HSB	PLN		(20,043	)		(6,003	)		383
	EUR/PLN	12/21/2011	BCL	PLN		(13,800	)		(4,133	)		89
	EUR/PLN	12/21/2011	HSB	PLN		(9,507	)		(2,847	)		69
	EUR/PLN	12/21/2011	HSB	PLN		(6,942	)		(2,079	)		(17	)
	EUR/PLN	12/21/2011	BOA	PLN		(13,213	)		(3,957	)		13
	EUR/PLN	12/21/2011	CGM	PLN		(6,662	)		(1,995	)		3
	EUR/USD	12/21/2011	JPM	EUR		3,083			4,129			(22	)
	EUR/USD	12/21/2011	BCL	EUR		2,925			3,917			(45	)
	EUR/USD	12/21/2011	WBC	EUR		2,158			2,890			(42	)
	HUF/EUR	12/21/2011	BCL	EUR		(3,232	)		(4,329	)		(180	)
	HUF/EUR	12/21/2011	HSB	EUR		(1,574	)		(2,108	)		(34	)
	HUF/EUR	12/21/2011	BCL	EUR		(1,074	)		(1,438	)		(24	)
	HUF/USD	12/21/2011	HSB	HUF		1,750,652			7,936			(130	)
	HUF/USD	12/21/2011	CSI	HUF		625,539			2,836			(75	)
	IDR/USD	10/06/2011	CIT	IDR		38,598,250			4,390			(135	)
	IDR/USD	10/18/2011	MSC	IDR		71,905,764			8,170			(187	)
	IDR/USD	10/18/2011	CGM	IDR		38,302,680			4,352			(120	)
	IDR/USD	10/18/2011	HSB	IDR		38,598,250			4,385			(74	)
	IDR/USD	10/18/2011	MSC	IDR		21,961,440			2,495			79
	IDR/USD	12/15/2011	CGM	IDR		22,283,208			2,516			(40	)
	INR/USD	10/18/2011	DUB	INR		400,436			8,159			(722	)
	INR/USD	10/18/2011	DUB	INR		336,525			6,857			(643	)
	INR/USD	10/18/2011	BCL	INR		339,457			6,916			(662	)
	INR/USD	10/18/2011	RBC	INR		169,958			3,463			(346	)
	INR/USD	10/18/2011	BCL	INR		212,971			4,339			(258	)
	INR/USD	10/18/2011	DUB	INR		125,241			2,552			(173	)
	INR/USD	10/18/2011	CGM	INR		97,400			1,985			6
	INR/USD	10/18/2011	BCL	INR		97,476			1,986			7
	KRW/USD	10/18/2011	CGM	KRW		16,038,000			13,601			(1,399	)
	KRW/USD	10/18/2011	RBS	KRW		15,276,766			12,955			(1,321	)
	KRW/USD	10/18/2011	JPM	KRW		7,173,323			6,083			(684	)
	KRW/USD	10/18/2011	BCL	KRW		7,932,992			6,727			(758	)
	KRW/USD	10/18/2011	CGM	KRW		5,066,280			4,296			(395	)
	KRW/USD	10/18/2011	HSB	KRW		1,625,250			1,378			(122	)
	KRW/USD	10/18/2011	JPM	KRW		4,802,481			4,073			(399	)
	KRW/USD	10/18/2011	BCL	KRW		3,271,933			2,775			1
	KRW/USD	10/31/2011	RGC	KRW		4,660,488			3,949			(14	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund (continued)
	MXN/EUR	12/21/2011	BCL	EUR		(3,134	)	$	(4,197	)	$	(160	)
	MXN/USD	12/21/2011	HSB	MXN		28,434			2,035			(228	)
	MXN/USD	12/21/2011	DUB	MXN		56,203			4,023			(519	)
	MXN/USD	12/21/2011	CSI	MXN		56,200			4,022			(520	)
	MXN/USD	12/21/2011	JPM	MXN		56,488			4,043			(496	)
	MXN/USD	12/21/2011	HSB	MXN		17,007			1,217			(134	)
	MXN/USD	12/21/2011	DUB	MXN		623,356			44,615			(4,857	)
	MXN/USD	12/21/2011	BCL	MXN		56,297			4,029			(229	)
	MXN/USD	12/21/2011	DUB	MXN		9,506			680			(9	)
	MXN/USD	12/21/2011	JPM	MXN		53,888			3,857			(106	)
	MXN/USD	12/21/2011	HSB	MXN		3,759			269			(7	)
	MYR/USD	10/18/2011	DUB	MYR		74,968			23,468			(1,331	)
	MYR/USD	10/18/2011	CGM	MYR		74,968			23,468			(1,323	)
	MYR/USD	10/18/2011	CIT	MYR		28,368			8,880			(625	)
	MYR/USD	10/18/2011	HSB	MYR		8,732			2,734			(158	)
	MYR/USD	10/18/2011	BCL	MYR		17,256			5,402			(379	)
	MYR/USD	10/18/2011	BCL	MYR		14,635			4,581			(343	)
	MYR/USD	10/18/2011	DUB	MYR		20,969			6,564			(484	)
	MYR/USD	10/18/2011	MSC	MYR		15,045			4,710			(359	)
	MYR/USD	10/18/2011	HSB	MYR		9,071			2,840			(14	)
	MYR/USD	10/18/2011	DUB	MYR		20,183			6,318			(23	)
	PEN/USD	10/18/2011	DUB	PEN		24,722			8,896			(59	)
	PEN/USD	10/18/2011	DUB	PEN		2,832			1,019			(6	)
	PHP/USD	10/18/2011	HSB	PHP		567,875			12,976			(177	)
	PLN/EUR	12/21/2011	JPM	EUR		(3,178	)		(4,256	)		(211	)
	PLN/EUR	12/21/2011	BCL	EUR		(1,595	)		(2,136	)		(88	)
	PLN/EUR	12/21/2011	DUB	EUR		(1,610	)		(2,156	)		(69	)
	PLN/EUR	12/21/2011	MSC	EUR		(1,610	)		(2,156	)		(64	)
	PLN/EUR	12/21/2011	BOA	EUR		(1,574	)		(2,108	)		(27	)
	PLN/USD	12/21/2011	HSB	PLN		8,787			2,631			(256	)
	PLN/USD	12/21/2011	SSB	PLN		136,108			40,762			(4,001	)
	PLN/USD	12/21/2011	BCL	PLN		20,211			6,053			(333	)
	PLN/USD	12/21/2011	BCL	PLN		8,986			2,691			(129	)
	PLN/USD	12/21/2011	BOA	PLN		12,575			3,766			(140	)
	RUB/USD	10/18/2011	RBS	RUB		868,618			26,912			(3,918	)
	RUB/USD	10/18/2011	UBS	RUB		226,135			7,006			(979	)
	RUB/USD	10/18/2011	CSI	RUB		427,144			13,234			(1,921	)
	RUB/USD	10/18/2011	HSB	RUB		868,618			26,912			(3,948	)
	RUB/USD	10/18/2011	CGM	RUB		130,503			4,043			(622	)
	RUB/USD	10/18/2011	BCL	RUB		68,959			2,136			(209	)
	RUB/USD	10/18/2011	CGM	RUB		136,785			4,238			(469	)
	RUB/USD	10/18/2011	UBS	RUB		153,539			4,757			(542	)
	RUB/USD	10/18/2011	CIT	RUB		262,954			8,147			(904	)
	RUB/USD	10/18/2011	UBS	RUB		132,263			4,098			(444	)
	RUB/USD	10/18/2011	CGM	RUB		195,498			6,057			(311	)
	TRY/USD	12/21/2011	HSB	TRY		24,100			12,814			(514	)
	TRY/USD	12/21/2011	MSC	TRY		1,075			572			(17	)
	TRY/USD	12/21/2011	HSB	TRY		27,586			14,668			(112	)
	TRY/USD	12/21/2011	JPM	TRY		7,718			4,104			(48	)
	TWD/USD	10/18/2011	BCL	TWD		419,439			13,767			(779	)
	TWD/USD	10/18/2011	BCL	TWD		275,362			9,038			(585	)
	TWD/USD	10/31/2011	HSB	TWD		46,560			1,529			(4	)
	TWD/USD	10/31/2011	HSB	TWD		108,633			3,567			(10	)
	USD/BRL	10/18/2011	UBS	BRL		(3,649	)		(1,934	)		189
	USD/BRL	10/18/2011	UBS	BRL		(7,516	)		(3,983	)		275
	USD/BRL	10/18/2011	BCL	BRL		(7,340	)		(3,889	)		166
	USD/BRL	10/18/2011	JPM	BRL		(5,826	)		(3,088	)		566
	USD/BRL	10/18/2011	HSB	BRL		(15,271	)		(8,093	)		1,305
	USD/BRL	10/18/2011	CSI	BRL		(14,949	)		(7,922	)		1,277
	USD/BRL	10/18/2011	MSC	BRL		(15,113	)		(8,009	)		1,404
	USD/BRL	10/18/2011	HSB	BRL		(7,464	)		(3,956	)		583


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund (continued)
	USD/BRL	10/18/2011	HSB	BRL		(3,839	)	$	(2,034	)	$	169
	USD/CLP	10/18/2011	CGM	CLP		(2,234,070	)		(4,290	)		530
	USD/CLP	10/18/2011	MSC	CLP		(2,104,734	)		(4,042	)		497
	USD/CLP	10/18/2011	DUB	CLP		(1,049,500	)		(2,016	)		239
	USD/CNY	10/25/2011	CGM	CNY		(54,453	)		(8,529	)		(13	)
	USD/CNY	10/25/2011	JPM	CNY		(121,472	)		(19,027	)		60
	USD/CNY	03/01/2012	BCL	CNY		(54,891	)		(8,622	)		(15	)
	USD/CNY	03/01/2012	DUB	CNY		(56,121	)		(8,815	)		(2	)
	USD/CNY	03/01/2012	CGM	CNY		(54,883	)		(8,621	)		(14	)
	USD/CNY	05/09/2012	BCL	CNY		(268,010	)		(42,141	)		(230	)
	USD/CNY	05/09/2012	RBS	CNY		(181,240	)		(28,497	)		(116	)
	USD/COP	10/18/2011	HSB	COP		(8,970,486	)		(4,644	)		33
	USD/COP	10/18/2011	BCL	COP		(11,919,730	)		(6,171	)		579
	USD/COP	10/18/2011	MSC	COP		(13,326,898	)		(6,899	)		630
	USD/EUR	12/21/2011	JPM	EUR		(5,102	)		(6,833	)		376
	USD/EUR	12/21/2011	BCL	EUR		(7,596	)		(10,174	)		500
	USD/EUR	12/21/2011	MSC	EUR		(3,206	)		(4,294	)		165
	USD/EUR	12/21/2011	HSB	EUR		(1,576	)		(2,111	)		39
	USD/HUF	12/21/2011	BCL	HUF		(967,461	)		(4,386	)		455
	USD/HUF	12/21/2011	JPM	HUF		(1,100,396	)		(4,988	)		584
	USD/HUF	12/21/2011	BCL	HUF		(695,322	)		(3,152	)		213
	USD/IDR	10/06/2011	HSB	IDR		(38,598,250	)		(4,390	)		77
	USD/IDR	10/18/2011	MSC	IDR		(70,635,660	)		(8,025	)		250
	USD/IDR	10/18/2011	BCL	IDR		(40,373,684	)		(4,587	)		169
	USD/IDR	10/18/2011	BCL	IDR		(42,330,000	)		(4,809	)		171
	USD/IDR	10/18/2011	HSB	IDR		(20,692,808	)		(2,351	)		63
	USD/INR	10/18/2011	DUB	INR		(213,446	)		(4,349	)		440
	USD/INR	10/18/2011	DUB	INR		(215,876	)		(4,398	)		411
	USD/INR	10/18/2011	BCL	INR		(142,727	)		(2,908	)		181
	USD/INR	10/18/2011	HSB	INR		(222,147	)		(4,526	)		297
	USD/INR	10/21/2011	CGM	INR		(204,512	)		(4,165	)		93
	USD/INR	10/28/2011	DUB	INR		(603,013	)		(12,268	)		22
	USD/KRW	10/18/2011	CGM	KRW		(7,408,985	)		(6,283	)		(55	)
	USD/KRW	10/18/2011	DUB	KRW		(16,001,289	)		(13,569	)		1,309
	USD/KRW	10/18/2011	CGM	KRW		(5,096,933	)		(4,322	)		467
	USD/KRW	10/18/2011	CGM	KRW		(3,244,150	)		(2,751	)		239
	USD/KRW	10/18/2011	BCL	KRW		(5,016,153	)		(4,254	)		379
	USD/KRW	10/31/2011	BCL	KRW		(2,889,452	)		(2,448	)		(17	)
	USD/KRW	10/31/2011	JPM	KRW		(2,884,445	)		(2,444	)		(17	)
	USD/MXN	12/21/2011	CIT	MXN		(55,992	)		(4,007	)		144
	USD/MXN	12/21/2011	DUB	MXN		(87,398	)		(6,255	)		(27	)
	USD/MXN	12/21/2011	JPM	MXN		(87,024	)		(6,229	)		(1	)
	USD/MXN	12/21/2011	HSB	MXN		(52,286	)		(3,742	)		142
	USD/MYR	10/11/2011	CGM	MYR		(6,696	)		(2,097	)		32
	USD/MYR	10/11/2011	JPM	MYR		(6,693	)		(2,096	)		33
	USD/MYR	10/11/2011	CGM	MYR		(26,485	)		(8,293	)		11
	USD/MYR	10/18/2011	HSB	MYR		(18,156	)		(5,684	)		46
	USD/MYR	10/18/2011	MSC	MYR		(21,036	)		(6,585	)		413
	USD/MYR	10/18/2011	CGM	MYR		(14,212	)		(4,449	)		362
	USD/MYR	10/18/2011	CGM	MYR		(14,262	)		(4,465	)		324
	USD/MYR	10/18/2011	RBC	MYR		(14,296	)		(4,475	)		313
	USD/MYR	10/18/2011	DUB	MYR		(10,082	)		(3,156	)		218
	USD/MYR	10/18/2011	MLP	MYR		(16,441	)		(5,147	)		290
	USD/MYR	10/18/2011	DUB	MYR		(17,916	)		(5,609	)		305
	USD/MYR	10/18/2011	JPM	MYR		(11,519	)		(3,606	)		253
	USD/PEN	10/18/2011	HSB	PEN		(6,947	)		(2,500	)		17
	USD/PEN	10/18/2011	HSB	PEN		(9,625	)		(3,464	)		39
	USD/PEN	10/18/2011	DUB	PEN		(10,981	)		(3,952	)		48
	USD/PHP	10/18/2011	BCL	PHP		(452,145	)		(10,332	)		240
	USD/PLN	12/21/2011	HSB	PLN		(3,379	)		(1,012	)		18
	USD/PLN	12/21/2011	HSB	PLN		(13,519	)		(4,049	)		462


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Goldman Sachs Emerging Markets Debt Fund (continued)
	USD/RUB	10/18/2011	JPM	RUB		(64,688	)	$	(2,004	)	$	119
	USD/RUB	10/18/2011	DUB	RUB		(146,381	)		(4,535	)		237
	USD/RUB	10/18/2011	UBS	RUB		(199,478	)		(6,180	)		188
	USD/RUB	10/18/2011	JPM	RUB		(143,349	)		(4,441	)		724
	USD/RUB	10/18/2011	JPM	RUB		(238,030	)		(7,375	)		1,186
	USD/RUB	10/18/2011	CSI	RUB		(186,695	)		(5,784	)		922
	USD/RUB	10/18/2011	UBS	RUB		(135,421	)		(4,196	)		613
	USD/RUB	10/18/2011	RBS	RUB		(92,016	)		(2,851	)		297
	USD/RUB	10/18/2011	UBS	RUB		(238,535	)		(7,390	)		888
	USD/RUB	10/18/2011	BCL	RUB		(68,853	)		(2,133	)		156
	USD/RUB	10/18/2011	HSB	RUB		(74,525	)		(2,309	)		233
	USD/RUB	10/18/2011	RBC	RUB		(210,683	)		(6,527	)		708
	USD/RUB	10/18/2011	BCL	RUB		(70,186	)		(2,175	)		234
	USD/RUB	10/18/2011	DUB	RUB		(165,073	)		(5,114	)		588
	USD/RUB	10/18/2011	CSI	RUB		(446,481	)		(13,833	)		1,261
	USD/RUB	10/18/2011	BCL	RUB		(84,875	)		(2,630	)		232
	USD/TRY	12/21/2011	HSB	TRY		(7,774	)		(4,134	)		124
	USD/TRY	12/21/2011	HSB	TRY		(6,256	)		(3,327	)		79
	USD/TRY	12/21/2011	HSB	TRY		(1,778	)		(945	)		6
	USD/TRY	12/21/2011	HSB	TRY		(1,920	)		(1,021	)		48
	USD/TWD	10/25/2011	JPM	TWD		(126,867	)		(4,165	)		93
	USD/TWD	10/25/2011	RGC	TWD		(504,551	)		(16,563	)		45
	USD/ZAR	12/21/2011	BCL	ZAR		(26,503	)		(3,245	)		77
	USD/ZAR	12/21/2011	HSB	ZAR		(15,136	)		(1,854	)		48
	USD/ZAR	12/21/2011	HSB	ZAR		(12,542	)		(1,536	)		49
	USD/ZAR	12/21/2011	HSB	ZAR		(16,131	)		(1,975	)		53
	USD/ZAR	12/21/2011	MSC	ZAR		(16,069	)		(1,968	)		45
	USD/ZAR	12/21/2011	MSC	ZAR		(139,248	)		(17,052	)		2,177
	USD/ZAR	12/21/2011	HSB	ZAR		(53,215	)		(6,517	)		613
	USD/ZAR	12/21/2011	BCL	ZAR		(32,268	)		(3,952	)		383
	ZAR/USD	10/28/2011	JPM	ZAR		29,950			3,696			124
	ZAR/USD	12/21/2011	JPM	ZAR		32,172			3,940			(602	)
	ZAR/USD	12/21/2011	JPM	ZAR		26,515			3,247			(145	)
	ZAR/USD	12/21/2011	HSB	ZAR		115,900			14,193			(262	)
	ZAR/USD	12/21/2011	BCL	ZAR		16,207			1,985			8
	ZAR/USD	12/21/2011	MSC	ZAR		259,920			31,829			(816	)

								$	182,658		$	(20,048	)

	JNL/Ivy Asset Strategy Fund
	CAD/USD	11/25/2011	GSC	CAD		14,600		$	13,915		$	(959	)
	CAD/USD	11/25/2011	GSC	CAD		1,300			1,239			(107	)
	CAD/USD	11/25/2011	GSC	CAD		1,600			1,525			(107	)
	CNY/USD	06/25/2012	DUB	CNY		122,000			19,183			62
	CNY/USD	06/28/2012	CIT	CNY		1,610			253			5
	CNY/USD	06/28/2012	JPM	CNY		4,600			723			15
	CNY/USD	06/28/2012	CIT	CNY		1,900			299			7
	CNY/USD	06/28/2012	CIT	CNY		4,490			706			16
	CNY/USD	06/28/2012	CIT	CNY		184,000			28,931			23
	JPY/USD	04/12/2012	DUB	JPY		3,468,000			45,098			1,061
	JPY/USD	07/11/2012	CIT	JPY		939,800			12,221			268
	MYR/USD	10/07/2011	CIT	MYR		67,800			21,235			(1,621	)
	MYR/USD	10/12/2011	GSC	MYR		43,500			13,621			(985	)
	SGD/USD	10/14/2011	DUB	SGD		44,200			33,795			(2,228	)
	SGD/USD	11/08/2011	DUB	SGD		53,300			40,755			(3,340	)
	SGD/USD	11/23/2011	DUB	SGD		18,400			14,069			(1,167	)
	SGD/USD	11/23/2011	DUB	SGD		15,000			11,470			(986	)
	USD/CAD	11/25/2011	GSC	CAD		(7,700	)		(7,339	)		163
	USD/CAD	11/25/2011	GSC	CAD		(9,800	)		(9,340	)		235
	USD/EUR	03/13/2012	DUB	EUR		(27,400	)		(36,696	)		716
	USD/EUR	03/13/2012	DUB	EUR		(4,700	)		(6,295	)		104
	USD/EUR	03/13/2012	DUB	EUR		(5,300	)		(7,098	)		132


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Ivy Asset Strategy Fund (continued)
	USD/EUR	03/13/2012	DUB	EUR		(3,600	)	$	(4,821	)	$	119
	USD/EUR	03/14/2012	MSC	EUR		(14,800	)		(19,821	)		305
	USD/EUR	06/15/2012	GSC	EUR		(19,700	)		(26,384	)		523
	USD/EUR	06/15/2012	GSC	EUR		(17,200	)		(23,036	)		511
	USD/JPY	04/12/2012	DUB	JPY		(3,468,000	)		(45,098	)		(4,118	)
	USD/JPY	07/11/2012	CIT	JPY		(939,800	)		(12,221	)		(601	)
	USD/MYR	10/07/2011	CIT	MYR		(67,800	)		(21,235	)		968
	USD/MYR	10/12/2011	GSC	MYR		(22,900	)		(7,171	)		237
	USD/MYR	10/12/2011	GSC	MYR		(20,600	)		(6,450	)		114
	USD/SGD	10/14/2011	DUB	SGD		(30,400	)		(23,244	)		1,411
	USD/SGD	10/14/2011	DUB	SGD		(13,800	)		(10,551	)		611
	USD/SGD	11/08/2011	DUB	SGD		(13,000	)		(9,940	)		539
	USD/SGD	11/08/2011	DUB	SGD		(18,500	)		(14,146	)		715
	USD/SGD	11/08/2011	DUB	SGD		(4,000	)		(3,059	)		117
	USD/SGD	11/08/2011	DUB	SGD		(17,800	)		(13,610	)		93
	USD/SGD	11/23/2011	DUB	SGD		(9,600	)		(7,341	)		162

								$	(55,858	)	$	(6,987	)

	JNL/JPMorgan International Value Fund
	AUD/USD	11/28/2011	BCL	AUD		44,618		$	42,878		$	(3,451	)
	CAD/EUR	11/28/2011	WBC	EUR		(826	)		(1,106	)		(13	)
	CAD/USD	11/28/2011	WBC	CAD		1,061			1,011			(52	)
	CHF/USD	11/28/2011	BCL	CHF		11,586			12,797			(2,000	)
	EUR/SEK	11/28/2011	BCL	SEK		(13,868	)		(2,015	)		4
	EUR/USD	11/28/2011	MSC	EUR		2,766			3,705			(281	)
	EUR/USD	11/28/2011	CSI	EUR		1,739			2,330			(166	)
	EUR/USD	11/28/2011	HSB	EUR		3,425			4,587			(292	)
	EUR/USD	11/28/2011	BCL	EUR		461			618			(46	)
	EUR/USD	11/28/2011	MSC	EUR		3,803			5,093			(395	)
	EUR/USD	11/28/2011	BCL	EUR		956			1,280			(98	)
	GBP/USD	11/28/2011	MSC	GBP		1,981			3,088			(183	)
	GBP/USD	11/28/2011	BNP	GBP		1,009			1,572			(48	)
	GBP/USD	11/28/2011	WBC	GBP		650			1,013			(2	)
	HKD/JPY	11/28/2011	BCL	JPY		(376,503	)		(4,885	)		46
	HKD/USD	11/28/2011	BCL	HKD		101,498			13,042			6
	JPY/USD	11/28/2011	MSC	JPY		404,589			5,250			(32	)
	JPY/USD	11/28/2011	SSB	JPY		308,307			4,000			(35	)
	JPY/USD	11/28/2011	WBC	JPY		250,377			3,249			(23	)
	NOK/USD	11/28/2011	BCL	NOK		6,644			1,129			(94	)
	SEK/USD	11/28/2011	BCL	SEK		8,397			1,220			(106	)
	SGD/USD	11/28/2011	BCL	SGD		6,984			5,340			(473	)
	USD/CAD	11/28/2011	BCL	CAD		(4,196	)		(3,999	)		245
	USD/CHF	11/28/2011	BNP	CHF		(3,855	)		(4,258	)		649
	USD/EUR	11/28/2011	BCL	EUR		(424	)		(568	)		38
	USD/EUR	11/28/2011	BNP	EUR		(2,011	)		(2,693	)		204
	USD/EUR	11/28/2011	BCL	EUR		(22,858	)		(30,614	)		2,427
	USD/EUR	11/28/2011	WBC	EUR		(1,525	)		(2,043	)		151
	USD/GBP	11/28/2011	BCL	GBP		(25,340	)		(39,494	)		2,435
	USD/GBP	11/28/2011	UBS	GBP		(3,345	)		(5,213	)		277
	USD/GBP	11/28/2011	WBC	GBP		(821	)		(1,280	)		16
	USD/HKD	11/28/2011	UBS	HKD		(38,248	)		(4,915	)		(1	)
	USD/JPY	11/28/2011	BCL	JPY		(287,580	)		(3,731	)		23
	USD/JPY	11/28/2011	BCL	JPY		(343,204	)		(4,453	)		30

								$	1,935		$	(1,240	)

	JNL/Mellon Capital Management Global Alpha Fund
	AUD/USD	12/21/2011	BCL	AUD		3,197		$	3,064		$	(191	)
	AUD/USD	12/21/2011	UBS	AUD		5,328			5,107			(322	)
	AUD/USD	12/21/2011	RBS	AUD		2,131			2,043			(129	)
	AUD/USD	12/21/2011	HSB	AUD		10,656			10,214			(632	)
	AUD/USD	12/21/2011	UBS	AUD		2,232			2,139			(113	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount		Value		Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	AUD/USD	12/21/2011	HSB	AUD		2,752	$	2,638	$	(19	)
	AUD/USD	12/21/2011	UBS	AUD		8,715		8,353		(73	)
	AUD/USD	12/21/2011	HSB	AUD		19,891		19,065		(237	)
	AUD/USD	12/21/2011	UBS	AUD		13,923		13,346		(162	)
	AUD/USD	12/21/2011	DUB	AUD		5,967		5,720		(77	)
	AUD/USD	12/21/2011	HSB	AUD		2,714		2,601		(77	)
	AUD/USD	12/21/2011	UBS	AUD		1,368		1,312		(39	)
	AUD/USD	12/21/2011	BCL	AUD		479		459		(13	)
	CAD/USD	12/21/2011	HSB	CAD		11,444		10,902		(669	)
	CAD/USD	12/21/2011	HSB	CAD		10,872		10,357		(612	)
	CAD/USD	12/21/2011	HSB	CAD		6,294		5,996		(342	)
	CAD/USD	12/21/2011	UBS	CAD		15,868		15,116		(979	)
	CAD/USD	12/21/2011	HSB	CAD		7,327		6,980		(484	)
	CAD/USD	12/21/2011	UBS	CAD		9,913		9,444		(624	)
	CAD/USD	12/21/2011	BOA	CAD		4,310		4,106		(279	)
	CAD/USD	12/21/2011	DUB	CAD		12,930		12,318		(807	)
	CAD/USD	12/21/2011	UBS	CAD		1,003		955		(47	)
	CAD/USD	12/21/2011	UBS	CAD		901		858		(21	)
	CAD/USD	12/21/2011	DUB	CAD		2,702		2,574		(56	)
	CAD/USD	12/21/2011	HSB	CAD		22,485		21,421		(638	)
	CAD/USD	12/21/2011	UBS	CAD		11,337		10,800		(325	)
	CAD/USD	12/21/2011	BCL	CAD		3,968		3,780		(112	)
	CHF/USD	12/21/2011	UBS	CHF		8,757		9,678		(342	)
	CHF/USD	12/21/2011	BCL	CHF		754		833		(11	)
	CHF/USD	12/21/2011	HSB	CHF		4,273		4,722		(61	)
	CHF/USD	12/21/2011	UBS	CHF		2,154		2,381		(34	)
	EUR/USD	12/21/2011	UBS	EUR		6,089		8,155		(295	)
	EUR/USD	12/21/2011	HSB	EUR		2,982		3,994		(115	)
	EUR/USD	12/21/2011	BOA	EUR		1,754		2,349		(66	)
	EUR/USD	12/21/2011	UBS	EUR		4,034		5,403		(154	)
	EUR/USD	12/21/2011	DUB	EUR		5,262		7,048		(200	)
	EUR/USD	12/21/2011	UBS	EUR		1,017		1,362		(8	)
	EUR/USD	12/21/2011	HSB	EUR		1,453		1,946		(13	)
	EUR/USD	12/21/2011	DUB	EUR		436		584		(4	)
	EUR/USD	12/21/2011	BCL	EUR		1,624		2,175		(37	)
	EUR/USD	12/21/2011	UBS	EUR		4,640		6,215		(109	)
	EUR/USD	12/21/2011	HSB	EUR		9,203		12,326		(209	)
	EUR/USD	12/21/2011	DUB	EUR		5,008		6,708		(101	)
	EUR/USD	12/21/2011	BCL	EUR		6,158		8,247		(134	)
	EUR/USD	12/21/2011	BOA	EUR		3,284		4,399		(67	)
	EUR/USD	12/21/2011	HSB	EUR		1,971		2,639		(45	)
	GBP/USD	12/21/2011	DUB	GBP		19,322		30,108		(445	)
	GBP/USD	12/21/2011	UBS	GBP		20,113		31,340		(334	)
	GBP/USD	12/21/2011	BCL	GBP		1,929		3,006		(23	)
	GBP/USD	12/21/2011	RBS	GBP		1,286		2,004		(17	)
	GBP/USD	12/21/2011	UBS	GBP		3,215		5,010		(42	)
	GBP/USD	12/21/2011	HSB	GBP		6,431		10,020		(85	)
	GBP/USD	12/21/2011	DUB	GBP		2,265		3,529		33
	GBP/USD	12/21/2011	HSB	GBP		7,550		11,764		100
	GBP/USD	12/21/2011	UBS	GBP		5,285		8,235		59
	JPY/USD	12/21/2011	BCL	JPY		1,117,701		14,508		(55	)
	JPY/USD	12/21/2011	UBS	JPY		870,847		11,304		(40	)
	JPY/USD	12/21/2011	UBS	JPY		1,140,853		14,809		(97	)
	JPY/USD	12/21/2011	UBS	JPY		524,378		6,807		(44	)
	JPY/USD	12/21/2011	HSB	JPY		346,219		4,494		(15	)
	JPY/USD	12/21/2011	UBS	JPY		468,413		6,080		(20	)
	JPY/USD	12/21/2011	BOA	JPY		203,658		2,644		(9	)
	JPY/USD	12/21/2011	DUB	JPY		610,974		7,931		(27	)
	JPY/USD	12/21/2011	RBS	JPY		124,282		1,613		(14	)
	JPY/USD	12/21/2011	UBS	JPY		310,706		4,033		(36	)
	JPY/USD	12/21/2011	HSB	JPY		621,411		8,066		(73	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	JPY/USD	12/21/2011	BCL	JPY		186,423		$	2,420		$	(21	)
	JPY/USD	12/21/2011	UBS	JPY		42,121			547			(5	)
	JPY/USD	12/21/2011	BCL	JPY		208,240			2,703			(18	)
	JPY/USD	12/21/2011	UBS	JPY		594,971			7,723			(47	)
	JPY/USD	12/21/2011	HSB	JPY		1,180,026			15,317			(110	)
	NOK/USD	12/21/2011	UBS	NOK		43,888			7,448			(407	)
	NOK/USD	12/21/2011	HSB	NOK		7,099			1,205			(62	)
	NOK/USD	12/21/2011	UBS	NOK		9,604			1,630			(80	)
	NOK/USD	12/21/2011	BOA	NOK		4,176			709			(35	)
	NOK/USD	12/21/2011	DUB	NOK		12,527			2,126			(106	)
	NOK/USD	12/21/2011	RBS	NOK		10,377			1,761			(66	)
	NOK/USD	12/21/2011	UBS	NOK		25,942			4,402			(173	)
	NOK/USD	12/21/2011	HSB	NOK		51,885			8,805			(349	)
	NOK/USD	12/21/2011	BCL	NOK		15,565			2,641			(97	)
	NZD/USD	12/21/2011	DUB	NZD		8,990			6,815			(536	)
	NZD/USD	12/21/2011	BCL	NZD		3,429			2,599			(192	)
	NZD/USD	12/21/2011	BCL	NZD		13,715			10,397			(768	)
	SEK/USD	12/21/2011	UBS	SEK		57,150			8,297			(261	)
	SEK/USD	12/21/2011	BCL	SEK		40,064			5,817			(116	)
	SEK/USD	12/21/2011	DUB	SEK		157,489			22,865			(539	)
	SEK/USD	12/21/2011	UBS	SEK		82,557			11,986			(515	)
	SEK/USD	12/21/2011	HSB	SEK		10,843			1,574			(55	)
	SEK/USD	12/21/2011	UBS	SEK		14,669			2,130			(69	)
	SEK/USD	12/21/2011	BOA	SEK		6,378			926			(30	)
	SEK/USD	12/21/2011	DUB	SEK		19,134			2,778			(90	)
	SEK/USD	12/21/2011	UBS	SEK		14,483			2,103			(75	)
	SEK/USD	12/21/2011	BCL	SEK		8,690			1,262			(42	)
	SEK/USD	12/21/2011	RBS	SEK		5,793			841			(29	)
	SEK/USD	12/21/2011	HSB	SEK		28,966			4,205			(147	)
	SEK/USD	12/21/2011	BCL	SEK		6,716			975			(20	)
	SEK/USD	12/21/2011	HSB	SEK		38,057			5,525			(115	)
	SEK/USD	12/21/2011	UBS	SEK		19,188			2,786			(57	)
	USD/AUD	12/21/2011	HSB	AUD		(6,896	)		(6,610	)		429
	USD/AUD	12/21/2011	HSB	AUD		(3,992	)		(3,827	)		240
	USD/AUD	12/21/2011	HSB	AUD		(7,259	)		(6,958	)		460
	USD/AUD	12/21/2011	UBS	AUD		(8,189	)		(7,850	)		460
	USD/AUD	12/21/2011	DUB	AUD		(12,596	)		(12,073	)		698
	USD/AUD	12/21/2011	UBS	AUD		(18,828	)		(18,047	)		1,181
	USD/AUD	12/21/2011	UBS	AUD		(1,760	)		(1,687	)		119
	USD/AUD	12/21/2011	BOA	AUD		(765	)		(734	)		52
	USD/AUD	12/21/2011	HSB	AUD		(1,301	)		(1,247	)		86
	USD/AUD	12/21/2011	DUB	AUD		(2,296	)		(2,201	)		155
	USD/CAD	12/21/2011	UBS	CAD		(3,948	)		(3,761	)		219
	USD/CAD	12/21/2011	BCL	CAD		(755	)		(719	)		41
	USD/CAD	12/21/2011	RBS	CAD		(503	)		(479	)		27
	USD/CAD	12/21/2011	UBS	CAD		(1,258	)		(1,198	)		67
	USD/CAD	12/21/2011	HSB	CAD		(2,515	)		(2,396	)		135
	USD/CAD	12/21/2011	HSB	CAD		(35,042	)		(33,383	)		531
	USD/CAD	12/21/2011	UBS	CAD		(15,819	)		(15,070	)		311
	USD/CAD	12/21/2011	HSB	CAD		(22,599	)		(21,529	)		386
	USD/CAD	12/21/2011	DUB	CAD		(6,780	)		(6,459	)		138
	USD/CHF	12/21/2011	UBS	CHF		(1,704	)		(1,883	)		81
	USD/CHF	12/21/2011	HSB	CHF		(446	)		(493	)		17
	USD/CHF	12/21/2011	DUB	CHF		(787	)		(869	)		32
	USD/CHF	12/21/2011	BOA	CHF		(262	)		(290	)		11
	USD/CHF	12/21/2011	UBS	CHF		(603	)		(666	)		24
	USD/CHF	12/21/2011	DUB	CHF		(230	)		(254	)		—
	USD/CHF	12/21/2011	HSB	CHF		(767	)		(847	)		2
	USD/CHF	12/21/2011	UBS	CHF		(537	)		(593	)		—
	USD/EUR	12/21/2011	UBS	EUR		(80,042	)		(107,202	)		2,612
	USD/EUR	12/21/2011	BCL	EUR		(2,808	)		(3,761	)		81


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management Global Alpha Fund (continued)
	USD/EUR	12/21/2011	RBS	EUR		(1,872	)	$	(2,507	)	$	56
	USD/EUR	12/21/2011	HSB	EUR		(9,361	)		(12,537	)		256
	USD/EUR	12/21/2011	UBS	EUR		(4,680	)		(6,268	)		145
	USD/EUR	12/21/2011	UBS	EUR		(13,906	)		(18,625	)		402
	USD/EUR	12/21/2011	HSB	EUR		(17,085	)		(22,882	)		110
	USD/GBP	12/21/2011	BCL	GBP		(5,348	)		(8,333	)		29
	USD/GBP	12/21/2011	UBS	GBP		(5,290	)		(8,243	)		111
	USD/GBP	12/21/2011	UBS	GBP		(4,302	)		(6,703	)		85
	USD/GBP	12/21/2011	BOA	GBP		(1,870	)		(2,914	)		38
	USD/GBP	12/21/2011	HSB	GBP		(3,180	)		(4,955	)		61
	USD/GBP	12/21/2011	DUB	GBP		(5,611	)		(8,743	)		116
	USD/GBP	12/21/2011	UBS	GBP		(3,203	)		(4,991	)		4
	USD/GBP	12/21/2011	UBS	GBP		(14,987	)		(23,353	)		(338	)
	USD/GBP	12/21/2011	DUB	GBP		(670	)		(1,044	)		(1	)
	USD/GBP	12/21/2011	HSB	GBP		(9,822	)		(15,304	)		65
	USD/GBP	12/21/2011	UBS	GBP		(4,952	)		(7,716	)		51
	USD/GBP	12/21/2011	BCL	GBP		(1,733	)		(2,701	)		17
	USD/GBP	12/21/2011	UBS	GBP		(223	)		(348	)		—
	USD/GBP	12/21/2011	HSB	GBP		(1,711	)		(2,667	)		10
	USD/GBP	12/21/2011	DUB	GBP		(4,350	)		(6,778	)		21
	USD/GBP	12/21/2011	BOA	GBP		(2,852	)		(4,444	)		7
	USD/JPY	12/21/2011	HSB	JPY		(1,787,576	)		(23,204	)		241
	USD/JPY	12/21/2011	DUB	JPY		(594,399	)		(7,716	)		84
	USD/JPY	12/21/2011	UBS	JPY		(1,386,930	)		(18,003	)		177
	USD/JPY	12/21/2011	HSB	JPY		(1,981,329	)		(25,719	)		214
	USD/NOK	12/21/2011	BCL	NOK		(91,253	)		(15,485	)		554
	USD/NOK	12/21/2011	DUB	NOK		(148,945	)		(25,275	)		935
	USD/NOK	12/21/2011	BCL	NOK		(13,391	)		(2,272	)		57
	USD/NOK	12/21/2011	HSB	NOK		(75,885	)		(12,877	)		289
	USD/NOK	12/21/2011	UBS	NOK		(38,261	)		(6,493	)		168
	USD/NZD	12/21/2011	UBS	NZD		(5,554	)		(4,211	)		333
	USD/NZD	12/21/2011	BOA	NZD		(1,668	)		(1,264	)		112
	USD/NZD	12/21/2011	UBS	NZD		(3,835	)		(2,907	)		256
	USD/NZD	12/21/2011	DUB	NZD		(5,003	)		(3,792	)		333
	USD/NZD	12/21/2011	HSB	NZD		(2,835	)		(2,149	)		187
	USD/NZD	12/21/2011	BCL	NZD		(2,750	)		(2,085	)		172
	USD/NZD	12/21/2011	UBS	NZD		(4,583	)		(3,474	)		281
	USD/NZD	12/21/2011	HSB	NZD		(9,166	)		(6,948	)		567
	USD/NZD	12/21/2011	RBS	NZD		(1,833	)		(1,390	)		113
	USD/NZD	12/21/2011	DUB	NZD		(3,030	)		(2,297	)		52
	USD/NZD	12/21/2011	HSB	NZD		(10,099	)		(7,655	)		153
	USD/NZD	12/21/2011	UBS	NZD		(7,069	)		(5,359	)		119
	USD/NZD	12/21/2011	BCL	NZD		(1,964	)		(1,489	)		57
	USD/NZD	12/21/2011	HSB	NZD		(11,130	)		(8,437	)		335
	USD/NZD	12/21/2011	UBS	NZD		(5,612	)		(4,254	)		169
	USD/SEK	12/21/2011	DUB	SEK		(19,017	)		(2,761	)		(2	)
	USD/SEK	12/21/2011	HSB	SEK		(63,392	)		(9,203	)		(63	)
	USD/SEK	12/21/2011	UBS	SEK		(44,374	)		(6,442	)		5

								$	(24,848	)	$	(762	)

	JNL/Mellon Capital Management International Index Fund
	AUD/USD	12/21/2011	DUB	AUD		1,135		$	1,088		$	(63	)
	AUD/USD	12/21/2011	CCI	AUD		738			708			(39	)
	AUD/USD	12/21/2011	CCI	AUD		101			97			(6	)
	AUD/USD	12/21/2011	JPM	AUD		205			196			(13	)
	AUD/USD	12/21/2011	CSI	AUD		104			100			(5	)
	AUD/USD	12/21/2011	JPM	AUD		102			98			(6	)
	AUD/USD	12/21/2011	JPM	AUD		197			188			(2	)
	AUD/USD	12/21/2011	BCL	AUD		194			186			(4	)
	EUR/USD	12/21/2011	CCI	EUR		1,904			2,550			(58	)
	EUR/USD	12/21/2011	CCI	EUR		81			108			(3	)


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/Mellon Capital Management International Index Fund (continued)
	EUR/USD	12/21/2011	WBC	EUR		4,238		$	5,676		$	(127	)
	EUR/USD	12/21/2011	JPM	EUR		128			172			(5	)
	EUR/USD	12/21/2011	CSI	EUR		405			543			(9	)
	EUR/USD	12/21/2011	JPM	EUR		544			728			(17	)
	EUR/USD	12/21/2011	CSI	EUR		334			447			(2	)
	EUR/USD	12/21/2011	JPM	EUR		201			270			(2	)
	EUR/USD	12/21/2011	BCL	EUR		311			417			(5	)
	EUR/USD	12/21/2011	CSI	EUR		217			290			(5	)
	GBP/USD	12/21/2011	CCI	GBP		3,672			5,722			(66	)
	GBP/USD	12/21/2011	CCI	GBP		104			161			(2	)
	GBP/USD	12/21/2011	CCI	GBP		52			81			(1	)
	GBP/USD	12/21/2011	JPM	GBP		266			414			(5	)
	GBP/USD	12/21/2011	CSI	GBP		267			415			(2	)
	GBP/USD	12/21/2011	JPM	GBP		314			490			(4	)
	GBP/USD	12/21/2011	CSI	GBP		262			409			5
	GBP/USD	12/21/2011	JPM	GBP		151			235			1
	GBP/USD	12/21/2011	BCL	GBP		304			473			(1	)
	GBP/USD	12/21/2011	CSI	GBP		208			324			(1	)
	JPY/USD	12/21/2011	CCI	JPY		189,678			2,462			(14	)
	JPY/USD	12/21/2011	JPM	JPY		185,922			2,413			(15	)
	JPY/USD	12/21/2011	CCI	JPY		14,870			193			(1	)
	JPY/USD	12/21/2011	JPM	JPY		29,780			387			(2	)
	JPY/USD	12/21/2011	CSI	JPY		22,755			295			(2	)
	JPY/USD	12/21/2011	JPM	JPY		30,340			394			(3	)
	JPY/USD	12/21/2011	JPM	JPY		29,480			383			(4	)
	JPY/USD	12/21/2011	BCL	JPY		57,480			746			(6	)
	USD/EUR	12/21/2011	CCI	EUR		(196	)		(263	)		4
	USD/GBP	12/21/2011	CCI	GBP		(53	)		(82	)		—
	USD/JPY	12/21/2011	CSI	JPY		(22,110	)		(287	)		4

								$	29,228		$	(486	)

	JNL/PIMCO Real Return Fund
	BRL/USD	11/03/2011	MSC	BRL		260		$	137		$	(27	)
	BRL/USD	11/03/2011	BCL	BRL		434			229			(34	)
	CAD/USD	10/31/2011	DUB	CAD		9,382			8,947			(507	)
	CNY/USD	11/15/2011	JPM	CNY		26,142			4,096			26
	CNY/USD	02/13/2012	DUB	CNY		26,791			4,206			70
	CNY/USD	06/01/2012	BCL	CNY		23,665			3,721			21
	EUR/USD	11/18/2011	MSC	EUR		3,993			5,348			(408	)
	EUR/USD	11/18/2011	JPM	EUR		684			916			(74	)
	EUR/USD	11/18/2011	BCL	EUR		329			441			(11	)
	EUR/USD	11/18/2011	BCL	EUR		1,205			1,614			(40	)
	EUR/USD	11/18/2011	CIT	EUR		632			846			(6	)
	IDR/USD	10/31/2011	CIT	IDR		18,745,600			2,127			107
	IDR/USD	10/31/2011	CIT	IDR		11,555,200			1,311			55
	INR/USD	07/12/2012	JPM	INR		893,829			17,922			(1,308	)
	KRW/USD	11/14/2011	JPM	KRW		24,619,012			20,842			(2,266	)
	MXN/USD	11/18/2011	BCL	MXN		49,532			3,555			(472	)
	MXN/USD	11/18/2011	BCL	MXN		36,053			2,588			(293	)
	MXN/USD	11/18/2011	MSC	MXN		30,220			2,169			(407	)
	MYR/USD	11/10/2011	CIT	MYR		16,997			5,316			(384	)
	PHP/USD	11/15/2011	CIT	PHP		71,700			1,636			19
	PHP/USD	11/15/2011	CIT	PHP		47,268			1,079			27
	PHP/USD	11/15/2011	JPM	PHP		90,678			2,069			50
	PHP/USD	03/15/2012	CIT	PHP		318,818			7,232			(120	)
	SGD/USD	12/09/2011	UBS	SGD		1,000			765			(61	)
	SGD/USD	12/09/2011	UBS	SGD		11,056			8,455			(690	)
	USD/AUD	11/10/2011	DUB	AUD		(52,990	)		(51,027	)		622
	USD/AUD	11/10/2011	CIT	AUD		(3,884	)		(3,740	)		48
	USD/AUD	11/10/2011	JPM	AUD		(3,600	)		(3,467	)		18
	USD/BRL	11/03/2011	CIT	BRL		(1,124	)		(593	)		101


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/PIMCO Real Return Fund (continued)
	USD/BRL	11/03/2011	DUB	BRL		(1,754	)	$	(925	)	$	152
	USD/EUR	11/18/2011	JPM	EUR		(160,351	)		(214,771	)		16,163
	USD/EUR	11/18/2011	BCL	EUR		(419	)		(561	)		14
	USD/EUR	11/18/2011	CIT	EUR		(355	)		(475	)		14
	USD/EUR	11/18/2011	CIT	EUR		(492	)		(659	)		8
	USD/GBP	12/08/2011	BCL	GBP		(1,221	)		(1,903	)		46
	USD/GBP	12/08/2011	MSC	GBP		(2,903	)		(4,524	)		137
	USD/GBP	12/08/2011	JPM	GBP		(825	)		(1,286	)		30
	USD/GBP	12/08/2011	UBS	GBP		(707	)		(1,102	)		26
	USD/GBP	12/08/2011	UBS	GBP		(708	)		(1,103	)		16
	USD/GBP	12/08/2011	CIT	GBP		(1,818	)		(2,833	)		37
	USD/GBP	12/08/2011	BCL	GBP		(10,181	)		(15,866	)		(79	)
	USD/JPY	10/17/2011	CIT	JPY		(183,846	)		(2,384	)		(96	)
	USD/JPY	10/31/2011	JPM	JPY		(6,710,000	)		(87,029	)		(782	)

								$	(286,681	)	$	9,742

	JNL/PIMCO Total Return Bond Fund
	BRL/USD	11/03/2011	BCL	BRL		84,514		$	44,602		$	(6,535	)
	CAD/USD	10/31/2011	DUB	CAD		12,528			11,947			(677	)
	CNY/USD	11/15/2011	JPM	CNY		22,631			3,546			28
	CNY/USD	11/15/2011	CIT	CNY		115,099			18,033			227
	CNY/USD	06/01/2012	CGM	CNY		8,326			1,309			9
	CNY/USD	06/01/2012	JPM	CNY		37,219			5,852			52
	CNY/USD	06/01/2012	JPM	CNY		52,619			8,274			74
	CNY/USD	06/01/2012	JPM	CNY		20,435			3,213			13
	CNY/USD	06/01/2012	MSC	CNY		15,924			2,504			4
	CNY/USD	06/01/2012	JPM	CNY		21,692			3,411			11
	CNY/USD	06/01/2012	BCL	CNY		6,390			1,005			5
	CNY/USD	06/01/2012	JPM	CNY		81,242			12,774			(26	)
	CNY/USD	06/01/2012	JPM	CNY		9,653			1,518			18
	EUR/USD	10/19/2011	CIT	EUR		2,775			3,717			(245	)
	EUR/USD	10/19/2011	CSI	EUR		6,383			8,551			(460	)
	EUR/USD	10/19/2011	JPM	EUR		4,017			5,381			(320	)
	EUR/USD	10/19/2011	BCL	EUR		8,220			11,011			(840	)
	EUR/USD	10/19/2011	CSI	EUR		3,165			4,240			(317	)
	EUR/USD	10/19/2011	BCL	EUR		509			682			(17	)
	EUR/USD	10/19/2011	CIT	EUR		2,685			3,597			(104	)
	IDR/USD	10/31/2011	DUB	IDR		84,058,400			9,539			(241	)
	IDR/USD	01/31/2012	DUB	IDR		10,396,000			1,169			(32	)
	IDR/USD	01/31/2012	UBS	IDR		7,148,000			804			(12	)
	IDR/USD	01/31/2012	BOA	IDR		28,835,400			3,242			62
	INR/USD	11/18/2011	JPM	INR		149,361			3,029			(230	)
	INR/USD	07/12/2012	JPM	INR		470,049			9,425			(688	)
	JPY/USD	10/17/2011	UBS	JPY		2,629,932			34,104			830
	JPY/USD	10/17/2011	CSI	JPY		8,069			105			(1	)
	JPY/USD	10/24/2011	DUB	JPY		14,000,000			181,563			3,583
	KRW/USD	11/14/2011	JPM	KRW		35,241,285			29,835			(3,243	)
	MXN/USD	11/18/2011	DUB	MXN		1,840			132			(24	)
	MXN/USD	11/18/2011	MSC	MXN		481,456			34,559			(5,804	)
	MYR/USD	04/23/2012	JPM	MYR		15,345			4,782			(277	)
	PHP/USD	11/15/2011	CIT	PHP		38,790			885			(15	)
	PHP/USD	11/15/2011	CIT	PHP		34,716			792			(8	)
	PHP/USD	11/15/2011	CIT	PHP		36,975			844			(6	)
	PHP/USD	11/15/2011	DUB	PHP		37,443			854			4
	PHP/USD	11/15/2011	JPM	PHP		22,050			503			3
	PHP/USD	11/15/2011	CIT	PHP		21,945			501			1
	PHP/USD	11/15/2011	CIT	PHP		17,820			407			7
	PHP/USD	11/15/2011	JPM	PHP		17,748			405			5
	PHP/USD	11/15/2011	CIT	PHP		22,105			504			4
	PHP/USD	11/15/2011	CIT	PHP		28,500			650			7
	PHP/USD	11/15/2011	JPM	PHP		36,116			824			20


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/PIMCO Total Return Bond Fund (continued)
	PHP/USD	11/15/2011	CIT	PHP		18,828		$	430		$	11
	PHP/USD	03/15/2012	MSC	PHP		117,131			2,657			(33	)
	PHP/USD	03/15/2012	CIT	PHP		353,255			8,013			(89	)
	SGD/USD	12/09/2011	UBS	SGD		2,000			1,529			(122	)
	SGD/USD	12/09/2011	UBS	SGD		22,089			16,891			(1,379	)
	TWD/USD	01/11/2012	CIT	TWD		9,638			317			(19	)
	USD/CAD	10/31/2011	MSC	CAD		(72	)		(69	)		4
	USD/CAD	10/31/2011	BCL	CAD		(26	)		(25	)		1
	USD/CAD	10/31/2011	CSI	CAD		(3,686	)		(3,515	)		36
	USD/EUR	10/19/2011	MSC	EUR		(70,235	)		(94,086	)		3,786
	USD/EUR	10/19/2011	CSI	EUR		(70,234	)		(94,085	)		3,979
	USD/EUR	10/19/2011	UBS	EUR		(600	)		(804	)		45
	USD/EUR	10/19/2011	JPM	EUR		(2,189	)		(2,932	)		154
	USD/EUR	10/19/2011	JPM	EUR		(7,093	)		(9,502	)		498
	USD/EUR	10/19/2011	CSI	EUR		(18,140	)		(24,300	)		1,950
	USD/EUR	10/19/2011	JPM	EUR		(2,982	)		(3,995	)		247
	USD/EUR	10/19/2011	BCL	EUR		(5,495	)		(7,361	)		441
	USD/EUR	10/19/2011	CIT	EUR		(1,654	)		(2,216	)		29
	USD/EUR	11/02/2011	JPM	EUR		(1,300	)		(1,741	)		26
	USD/GBP	12/08/2011	BCL	GBP		(15,566	)		(24,258	)		587
	USD/IDR	10/31/2011	CGM	IDR		(38,346,000	)		(4,352	)		(152	)
	USD/JPY	10/03/2011	CIT	JPY		(340,000	)		(4,408	)		(211	)
	USD/JPY	10/11/2011	UBS	JPY		(390,000	)		(5,057	)		(257	)
	USD/JPY	10/17/2011	CIT	JPY		(30,586	)		(397	)		(16	)
	USD/JPY	10/17/2011	JPM	JPY		(590,500	)		(7,657	)		(220	)
	USD/JPY	10/17/2011	DUB	JPY		(578,000	)		(7,495	)		(214	)
	USD/JPY	10/17/2011	CIT	JPY		(590,500	)		(7,657	)		(214	)
	USD/JPY	10/17/2011	UBS	JPY		(442,100	)		(5,733	)		(159	)
	USD/JPY	10/17/2011	UBS	JPY		(288,900	)		(3,746	)		(106	)
	USD/JPY	10/24/2011	DUB	JPY		(3,862,000	)		(50,085	)		(1,232	)
	USD/JPY	10/24/2011	CIT	JPY		(6,332,000	)		(82,118	)		(1,990	)
	USD/JPY	10/24/2011	BOA	JPY		(8,336,000	)		(108,108	)		(2,722	)
	USD/JPY	10/31/2011	JPM	JPY		(10,080,000	)		(130,738	)		(1,175	)
	USD/JPY	10/31/2011	UBS	JPY		(2,760,000	)		(35,797	)		(118	)
	USD/JPY	11/07/2011	CIT	JPY		(1,064,000	)		(13,802	)		(20	)
	USD/JPY	11/07/2011	CIT	JPY		(786,000	)		(10,196	)		(14	)
	USD/JPY	11/14/2011	DUB	JPY		(904,000	)		(11,727	)		(27	)
	USD/JPY	11/14/2011	BOA	JPY		(1,219,000	)		(15,814	)		(20	)
	USD/JPY	11/14/2011	BCL	JPY		(818,000	)		(10,612	)		(17	)
	USD/JPY	11/14/2011	BCL	JPY		(1,347,000	)		(17,474	)		(7	)
	USD/JPY	11/14/2011	CIT	JPY		(1,219,000	)		(15,814	)		(30	)
	USD/JPY	11/14/2011	UBS	JPY		(975,000	)		(12,648	)		(9	)
	USD/JPY	11/14/2011	UBS	JPY		(975,000	)		(12,648	)		(11	)
	USD/JPY	11/14/2011	DUB	JPY		(903,000	)		(11,714	)		(27	)
	USD/JPY	11/21/2011	BCL	JPY		(657,000	)		(8,524	)		45
	USD/JPY	11/21/2011	DUB	JPY		(2,440,000	)		(31,657	)		154
	USD/JPY	11/21/2011	CIT	JPY		(1,743,000	)		(22,614	)		113
	USD/JPY	11/21/2011	JPM	JPY		(1,635,000	)		(21,213	)		104
	USD/JPY	11/21/2011	JPM	JPY		(1,635,000	)		(21,213	)		104
	USD/KRW	11/14/2011	JPM	KRW		(10,694,997	)		(9,054	)		(54	)
	USD/KRW	11/14/2011	CSI	KRW		(710,100	)		(601	)		(1	)
	USD/KRW	11/14/2011	CSI	KRW		(710,280	)		(601	)		(1	)
	USD/MXN	11/18/2011	UBS	MXN		(454,818	)		(32,647	)		5,749
	USD/MXN	11/18/2011	JPM	MXN		(1,350	)		(97	)		3
	USD/MXN	11/18/2011	MSC	MXN		(49,980	)		(3,588	)		112
	USD/MXN	11/18/2011	UBS	MXN		(36,360	)		(2,610	)		90
	USD/MYR	11/10/2011	BCL	MYR		(1,899	)		(594	)		6
	USD/MYR	11/10/2011	BCL	MYR		(1,598	)		(500	)		—
	USD/PHP	11/15/2011	CGM	PHP		(191,884	)		(4,378	)		22
	USD/SGD	12/09/2011	CSI	SGD		(1,619	)		(1,238	)		62
	USD/SGD	12/09/2011	CIT	SGD		(747	)		(571	)		29


Purchased/ Sold		Settlement Date	Counter- Party		Notional Amount			Value			Unrealized Gain/(Loss)
	JNL/PIMCO Total Return Bond Fund (continued)
	USD/SGD	12/09/2011	BCL	SGD		(1,553	)	$	(1,188	)	$	12
	USD/SGD	12/09/2011	UBS	SGD		(1,814	)		(1,387	)		13
	USD/ZAR	10/28/2011	JPM	ZAR		(745	)		(92	)		8
	USD/ZAR	10/28/2011	BCL	ZAR		(1,487	)		(184	)		17
	USD/ZAR	10/28/2011	JPM	ZAR		(13,757	)		(1,698	)		3
	USD/ZAR	10/28/2011	JPM	ZAR		(2,425	)		(299	)		1
	USD/ZAR	10/28/2011	JPM	ZAR		(1,619	)		(200	)		—
	ZAR/USD	10/28/2011	UBS	ZAR		68,526			8,456			(1,546	)
	ZAR/USD	01/26/2012	JPM	ZAR		7,600			926			(116	)

								$	(507,591	)	$	(9,042	)

	JNL/T.Rowe Price Short-Term Bond Fund
	CNY/USD	12/16/2011	JPM	CNY		55,585		$	8,712		$	176
	CNY/USD	12/16/2011	CIT	CNY		45,400			7,115			12
	CNY/USD	06/20/2012	SCB	CNY		58,000			9,120			47
	USD/CNY	12/16/2011	SCB	CNY		(43,170	)		(6,766	)		(54	)

								$	18,181		$	181

Pledged or Segregated Collateral – The following table summarizes cash and securities collateral pledged for options contracts, futures contracts and reverse repurchase agreements or segregated for securities sold short, swap agreements and delayed delivery securities:

Reverse Repurchase Agreements – The average daily balance of reverse repurchase agreements and the weighted average interest rate for the period ended September 30, 2011 were as follows: JNL/PIMCO Real Return Fund, $45,320 and 0.21%, and JNL/PIMCO Total Return Bond Fund, $39,419 and 0.15%, respectively.

At September 30, 2011 reverse repurchase agreements outstanding were as follows:

Federal Income Tax Matters – As of September 30, 2011, the cost of investments and the components of net unrealized appreciation/(depreciation) for U.S federal income tax purposes were as follows:

For additional information on the Funds’ policies regarding valuation of investments and other significant accounting matters, please refer to the Funds’ most recent annual or semi-annual report.

Within ninety (90) days prior to the filing date of this Quarterly Schedule of Portfolio Holdings on Form N-Q, the registrant had carried out an evaluation, under the supervision and with the participation of the registrant’s management, including the registrant’s principal executive officer and the registrant’s principal financial officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the registrant’s principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures are effective.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


ARS - Argentine peso	CZK - Czech Republic korunas	JPY - Japanese yen	RUB - Russian ruble
AUD - Australian dollar	DKK - Danish krone	KRW - Korean won	SEK - Swedish krona
BRL - Brazilian real	EUR - European currency unit (euro)	MXN - Mexican peso	SGD - Singapore dollar
CAD - Canadian dollar	GBP - British pound	MYR - Malaysian ringgit	THB - Thai baht
CHF - Swiss franc	HKD - Hong Kong dollar	NOK - Norwegian krone	TRY - New Turkish lira
CLP - Chilean peso	HUF - Hungarian forint	NZD - New Zealand dollar	TWD - Taiwan dollar
CNH - Chinese offshore yuan	IDR - Indonesian rupiah	PEN - Peruvian nuevo sol	USD - United States dollar
CNY - Chinese yuan	ILS - Israeli new sheqel	PHP - Philippine peso	UYU - Uruguayan peso
COP - Colombian peso	INR - Indian rupee	PLN - Polish zloty	ZAR - South African rand


“-” Amount rounds to less than one thousand		DAX - Deutscher Aktienindex
ABS - Asset Backed Security		Euro-Bobl - debt instrument issued by the Federal Republic of Germany with a term of 4.5 to 5.5 years
ADR - American Depositary Receipt
AMBAC - AMBAC Indemnity Corp.		Euro-Bund - debt instrument issued by the Federal Republic of Germany with a term of 8.5 to 10.5 years
ASX - Australian Stock Exchange
BDR - Brazilian Depository Receipt		FDR - Fiduciary Depository Receipt
CDO - Collateralized Debt Obligation		FTSE - Financial Times and the London Stock Exchange
CDX - Credit Default Swap Index		GDR - Global Depository Receipt
CLO - Collateralized Loan Obligation		GO - General Obligation
CMBS - Commercialized Mortgage Backed Security		HSCEI - Hang Seng China Enterprises Index
CNX - Crisil (Credit Rating Information Services of India Limited) National Stock Exchange of India Index		JSE - Johannesburg Stock Exchange
		KOSPI - Korea Composite Stock Price Index
CPI - Consumer Price Index		LIBOR - London Interbank Offered Rate
CPURNSA - CPI Urban Consumers Index Non-Seasonably Adjusted		MSCI - Morgan Stanley Capital International


NYS - New York Registered Shares		SPDR - Standard & Poor’s Depository Receipt
OTC - Over the Counter		SPI - Schedule Performance Index
RB - Revenue Bond		TBA - To Be Announced (Securities purchased on a delayed delivery basis)
REIT - Real Estate Investment Trust		Taiex - Taiwan Stock Exchange Capitalization Weighted Stock Index
REMIC -Real Estate Mortgage Investment Conduit		Topix - Tokyo Stock Price Index
RNC - Republican National Committee		TSX - Toronto Stock Exchange


	Initial Acquisition Date		Cost		Ending Value		Percent of Net Assets
JNL/BlackRock Commodity Securities Fund
Uranium Energy Corp.		11/02/2010	$	1,243	$	1,002		0.1	%
Uranium Energy Corp. Warrant		10/22/2010		—		—		—

			$	1,243	$	1,002		0.1	%


JNL/BlackRock Global Allocation Fund
Bank Negara Malaysia, 0.88%, 03/01/12		09/15/2011	$	837	$	807		0.3	%
Bio City Development Co. BV, 8.00%, 07/06/18		08/29/2011		600		600		0.2
Celestial Nutrifoods Ltd., 0.00%, 06/12/11		08/29/2011		49		9		—
Hutchison Whampoa Ltd.		08/29/2011		251		206		0.1
Korea Electric Power Corp., 5.13%, 04/23/34		08/29/2011		164		163		0.1
Marco Polo Investment Holding Ltd.		08/29/2011		—		—		—
NCB Holdings Ltd.		08/29/2011		—		—		—
Obsidian Natural Gas Trust, 7.00%, 11/02/15		08/29/2011		316		319		0.1
PetroBakken Energy Ltd., 3.13%, 02/08/16		08/29/2011		463		400		0.1
Pyrus Ltd., 7.50%, 12/20/15		08/29/2011		100		95		—
REI Agro Ltd., 5.50%, 11/13/14		08/29/2011		179		186		0.1
REI Agro Ltd., 5.50%, 11/13/14		08/29/2011		124		129		—
Sino-Forest Corp., 5.00%, 08/01/13		08/29/2011		36		34		—
Suzlon Energy Ltd., 0.00%, 07/25/14		08/29/2011		312		311		0.1
TNK-BP Finance SA, 7.50%, 07/18/16		08/29/2011		111		104		—
Vietnam Government International Bond, 6.75%, 01/29/20		08/29/2011		151		143		0.1
Vodafone Group Plc Term Loan, 6.25%, 07/11/16		08/29/2011		208		208		0.1

			$	3,064	$	2,907		1.3	%

JNL/Capital Guardian Global Balanced Fund
AES Panama SA, 6.35%, 12/21/16		01/04/2008	$	298	$	321		0.1	%
AIA Group Ltd.		10/25/2010		1,844		1,835		0.5
Altegrity Inc., 10.50%, 11/01/15		07/27/2009		162		186		0.1
Bank Mandiri Persero Tbk PT		01/27/2011		225		271		0.1
Cemex Espana Luxembourg, 9.25%, 05/12/20		08/31/2011		78		62		—
Croatia Government International Bond, 6.75%, 11/05/19		10/30/2009		629		604		0.2
Dominican Republic International Bond, 8.63%, 04/20/27		12/17/2009		158		155		—
E.ON International Finance BV, 5.80%, 04/30/18		01/14/2010		538		573		0.2
Enel Finance International SA, 3.88%, 10/07/14		01/11/2011		302		293		0.1
First Data Corp., 8.25%, 01/15/21		12/22/2009		487		395		0.1
First Data Corp., 8.75%, 01/15/22		12/22/2009		88		79		—
First Data Corp., 12.63%, 01/15/21		12/22/2009		168		149		0.1
Georgia Gulf Corp., 9.00%, 01/15/17		10/11/2010		318		303		0.1
Glencore International Plc		05/20/2011		307		224		0.1
HSBC Bank Plc, 4.13%, 08/12/20		09/09/2011		634		619		0.1
Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14		01/12/2011		520		524		0.1
Indorama Ventures PCL		01/18/2011		299		173		0.1
Intesa Sanpaolo SpA, 6.50%, 02/24/21		03/25/2011		315		267		0.1
LG Chem Ltd. - GDR		09/08/2009		134		218		0.1
Olam International Ltd.		06/08/2011		239		185		0.1
QGEP Participacoes SA		02/09/2011		196		137		—
Roche Holdings Inc., 6.00%, 03/01/19		05/19/2009		416		489		0.1
Russian Foreign Bond, 7.85%, 03/10/18		05/20/2011		374		305		0.1
Societe Generale, 5.75%, 04/20/16		08/07/2008		145		131		—
Societe Generale SA, 5.20%, 04/15/21		09/26/2011		381		391		0.1
Standard Chartered Bank, 6.40%, 09/26/17		12/18/2007		299		315		0.1
Standard Chartered Plc, 3.85%, 04/27/15		03/17/2011		232		230		0.1
TransDigm Inc., 7.75%, 12/15/18		09/16/2011		400		407		0.1

			$	10,186	$	9,841		2.9	%


	Initial Acquisition Date		Cost		Ending Value		Percent of Net Assets
JNL/Capital Guardian Global Diversified Research Fund
AIA Group Ltd.		10/25/2010	$	2,411	$	2,409		0.9	%
Glencore International Plc		05/20/2011		1,646		1,201		0.4
LG Chem Ltd. - GDR		12/17/2009		1,407		1,975		0.7
Olam International Ltd.		06/03/2011		1,528		1,185		0.4

			$	6,992	$	6,770		2.4	%


JNL/Franklin Templeton Global Growth Fund
Samsung Electronics Co. Ltd. - GDR		02/06/2007	$	5,199	$	6,097		1.3	%
Samsung Electronics Co. Ltd. - GDR		02/06/2007		773		806		0.2

			$	5,972	$	6,903		1.5	%


JNL/Franklin Templeton Mutual Shares Fund
Tropicana Entertainment LLC, 9.63%, 12/15/14		12/14/2007	$	743	$	—		—	%


JNL/Goldman Sachs Core Plus Bond Fund
CIT Mortgage Loan Trust REMIC, 1.23%, 10/25/37		10/11/2007	$	299	$	290		—	%
CIT Mortgage Loan Trust REMIC, 1.48%, 10/25/37		10/11/2007		700		521		0.1
CIT Mortgage Loan Trust REMIC, 1.68%, 09/25/24		10/11/2007		1,280		526		0.1
Educational Secvices of America Inc., 1.10%, 07/25/23		02/24/2010		1,443		1,443		0.1
GSMPS Mortgage Loan Trust, 0.46%, 02/25/35		05/18/2006		102		86		—
Merit Securities Corp. REMIC, 1.74%, 09/28/32		12/10/2002		153		164		—
UBS AG New Jersey-Credit Linked Note (Federative Republic of Brazil, 6.00%, 01/17/17)		09/27/2011		707		381		—
ZFS Finance USA Trust I, 5.88%, 05/09/32		05/04/2007		1,225		1,214		0.1

			$	5,909	$	4,625		0.4	%


JNL/Goldman Sachs Emerging Markets Debt Fund
Citigroup Funding Inc., 11.00%, 10/25/18		07/03/2011	$	7,555	$	7,123		0.9	%
Citigroup Funding Inc., 11.00%, 07/27/20		07/26/2011		3,139		2,913		0.4
Citigroup Funding Inc., 11.00%, 07/25/24		08/12/2011		1,099		1,034		0.1
Citigroup Funding Inc., 11.25%, 10/25/18		06/30/2011		6,739		6,413		0.8

			$	18,532	$	17,483		2.2	%


JNL/Ivy Asset Strategy Fund
CITIC Securities Co. Ltd.		09/30/2011	$	14,340	$	14,210		1.0	%
Prada SpA		06/21/2011		10,482		8,633		0.6

			$	24,822	$	22,843		1.6	%


JNL/Lazard Mid Cap Equity Fund
Better Place		04/23/2010	$	1,015	$	1,541		0.8	%

JNL/M&G Global Basics Fund
GI Dynamics Inc.		09/07/2011	$	447	$	297		0.1	%


JNL/PIMCO Total Return Bond Fund
Canada Housing Trust No. 1, 3.80%, 06/15/21		09/13/2011	$	997	$	943		—	%
DG Funding Trust, 0.89%, (callable at 10,000 beginning 09/30/10)		11/10/2003		4,427		3,149		0.1
Daimler Finance North America LLC, 1.54%, 09/13/13		09/08/2011		2,200		2,200		0.1
Northern Rock Plc, 5.63%, 06/22/17		06/08/2009		14,237		16,899		0.4

			$	21,861	$	23,191		0.6	%


JNL/PPM America High Yield Bond Fund
Applied Extrusion Technologies Inc. - Class B		05/05/2005	$	63	$	—		—	%
Home Interior Gift Inc.		02/22/2006		174		—		—
Manitoba Telecom Services Inc.		06/10/2005		—		16		—

			$	237	$	16		—	%


JNL/T.Rowe Price Established Growth Fund
Facebook Inc. - Class A		08/15/2011	$	4,042		4,042		0.2	%
Facebook Inc. - Class B		04/01/2011		7,264	$	9,047		0.6
Groupon Inc.		12/17/2010		3,407		6,288		0.4
Mail.ru Group Ltd. - GDR		11/08/2010		7,197		6,149		0.4
Twitter Inc. Series A		09/14/2011		3		3		—
Twitter Inc. Series B		09/14/2011		51		51		—
Twitter Inc. Series C		09/14/2011		13		13		—
Twitter Inc. Series D		09/14/2011		485		485		—
Twitter Inc. Series G-2		07/28/2011		1,975		1,975		0.1
Zynga Inc.		02/18/2011		3,838		3,838		0.2

			$	28,275	$	31,891		1.9	%


Fund	Affiliate	Value Beginning of Period		Purchases		Sales Proceeds		Dividend/ Interest Income		Realized Gain (Loss)			Value End of Period
JNL/American Funds Blue Chip Income and Growth Fund	American Funds Insurance Series – Blue Chip Income and Growth Fund Class 1	$	149,079	$	209,615	$	11,266	$	947	$	847		$	308,083
JNL/American Funds Global Bond Fund	American Funds Insurance Series – Global Bond Fund Class 1		105,387		226,333		16,244		2,326		1,243			316,869
JNL/American Funds New World Fund	American Funds Insurance Series – New World Fund Class 1		133,548		144,250		12,548		1,205		1,605			219,006
JNL/BlackRock Global Allocation Fund	iShares Comex Gold Trust Fund		—		1,258		—		—		—			1,136
JNL/BlackRock Global Allocation Fund	iShares Silver Trust		—		177		69		—		(17	)		78
JNL/Mellon Capital Management S&P 500 Index Fund	Bank of New York Mellon Corp.		4,327		329		911		53		(503	)		2,080
JNL/Mellon Capital Management International Index Fund	Prudential plc		2,552		610		123		115		14			2,443
JNL/Mellon Capital Management Bond Index Fund	Bank of New York Mellon Corp., 4.95%, 11/01/12		—		537		—		18		—			522
JNL/Mellon Capital Management Bond Index Fund	Bank of New York Mellon Corp., 2.50%, 01/15/16		—		499		—		9		—			510
JNL/Mellon Capital Management Bond Index Fund	Bank of New York Mellon Corp., 3.55%, 09/23/21		—		599		—		—		—			598
JNL/T. Rowe Price Short-Term Bond Fund	T. Rowe Price Term Asset-Backed Securities Loan		2,543		—		—		2,003		—			696
JNL/T. Rowe Price Value Fund	T. Rowe Price Institutional Floating Rate Fund		4,227		40		4,318		25		580			—


	JNL Money Market Fund
Fund	Beginning Amortized Cost		Ending Amortized Cost		Dividend Income
JNL/AQR Managed Futures Strategy Fund	$	—	$	210,041	$	4
JNL/BlackRock Commodity Securities Fund		62,860		71,330		30
JNL/Capital Guardian Global Balanced Fund		16,241		16,136		4
JNL/Capital Guardian Global Diversified Research Fund		14,275		5,643		3
JNL/Capital Guardian U.S. Growth Equity Fund		55,757		13,432		12
JNL/Eagle Core Equity Fund		9,525		20,468		5
JNL/Eagle SmallCap Equity Fund		21,944		17,509		5
JNL/Franklin Templeton Global Growth Fund		28,349		25,213		9
JNL/Franklin Templeton Income Fund		67,966		60,057		24
JNL/Franklin Templeton International Small Cap Growth Fund		7,881		8,338		3
JNL/Franklin Templeton Mutual Shares Fund		62,650		56,872		20
JNL/Franklin Templeton Small Cap Value Fund		20,020		14,780		10
JNL/Goldman Sachs Core Plus Bond Fund		356,880		296,945		71
JNL/Goldman Sachs Emerging Markets Debt Fund		211,959		142,008		48
JNL/Goldman Sachs Mid Cap Value Fund		23,029		19,486		7
JNL/Goldman Sachs U.S. Equity Flex Fund		4,931		3,113		1
JNL/Invesco Global Real Estate Fund		8,743		11,808		4
JNL/Invesco International Growth Fund		37,733		47,395		15
JNL/Invesco Large Cap Growth Fund		18,815		58,186		10
JNL/Invesco Small Cap Growth Fund		4,579		2,189		3
JNL/Ivy Asset Strategy Fund		100,979		97,672		31
JNL/JPMorgan International Value Fund		11,098		12,195		5
JNL/JPMorgan MidCap Growth Fund		5,111		7,251		4
JNL/JPMorgan U.S. Government & Quality Bond Fund		36,257		141,260		20
JNL/Lazard Emerging Markets Fund		60,363		10,250		19
JNL/Lazard Mid Cap Equity Fund		11,284		10,470		3
JNL/M&G Global Basics Fund		5,571		17,185		3
JNL/M&G Global Leaders Fund		—		376		—
JNL/Mellon Capital Management European 30 Fund		79		27		—
JNL/Mellon Capital Management Pacific Rim 30 Fund		134		83		—
JNL/Mellon Capital Management S&P 500 Index Fund		16,641		18,280		13
JNL/Mellon Capital Management S&P 400 MidCap Index Fund		12,073		8,699		6
JNL/Mellon Capital Management Small Cap Index Fund		12,878		9,610		5
JNL/Mellon Capital Management International Index Fund		28,075		25,835		8
JNL/Mellon Capital Management Bond Index Fund		44,153		29,678		11
JNL/Mellon Capital Management Emerging Markets Index Fund		—		1,347		—
JNL/Mellon Capital Management Global Alpha Fund		3,593		32,231		8
JNL/Oppenheimer Global Growth Fund		7,173		10,189		4
JNL/PAM Asia ex-Japan Fund		1,752		2,481		1
JNL/PAM China-India Fund		20,481		5,633		3
JNL/PIMCO Real Return Fund		400		5,476		1
JNL/PIMCO Total Return Bond Fund		15,624		—		6
JNL/PPM America High Yield Bond Fund		35,569		30,361		18
JNL/PPM America Mid Cap Value Fund		864		—		1
JNL/PPM America Small Cap Value Fund		634		—		—
JNL/PPM America Value Equity Fund		233		209		—
JNL/Red Rocks Listed Private Equity Fund		20,746		4,751		4
JNL/S&P Competitive Advantage Fund		613		1,442		—
JNL/S&P Dividend Income & Growth Fund		5,012		4,665		1
JNL/S&P Intrinsic Value Fund		1,339		5,439		1
JNL/S&P Total Yield Fund		518		194		—
JNL/T. Rowe Price Established Growth Fund		250		1,000		—
JNL/T. Rowe Price Mid-Cap Growth Fund		4,056		261		1
JNL/T. Rowe Price Short-Term Bond Fund		6,234		4,105		2
JNL/T. Rowe Price Value Fund		4,638		1,145		1
JNL/WMC Balanced Fund		130,095		149,080		56
JNL/WMC Value Fund		26,760		30,731		9


	T. Rowe Price Reserves Investment Fund
Fund	Beginning Amortized Cost		Ending Amortized Cost		Dividend Income
JNL/T. Rowe Price Established Growth Fund	$	21,210	$	19,995	$	21
JNL/T. Rowe Price Mid-Cap Growth Fund		62,363		64,378		91
JNL/T. Rowe Price Short-Term Bond Fund		50,383		43,161		88
JNL/T. Rowe Price Value Fund		14,447		16,632		16


	Unfunded Commitment		Appreciation / (Depreciation)
JNL/Franklin Templeton Mutual Shares Fund
Realogy Corp. Extended Revolver Term Loan, 3.48%, 04/10/16	$	409	$	(59	)


	Assets - Securities
	Level 1		Level 2		Level 3		Total
JNL/American Funds Blue Chip Income and Growth Fund
Investment Companies	$	308,083	$	—	$	—	$	308,083

Fund Total	$	308,083	$	—	$	—	$	308,083
JNL/American Funds Global Bond Fund
Investment Companies	$	316,869	$	—	$	—	$	316,869

Fund Total	$	316,869	$	—	$	—	$	316,869
JNL/American Funds Global Small Capitalization Fund
Investment Companies	$	110,328	$	—	$	—	$	110,328

Fund Total	$	110,328	$	—	$	—	$	110,328
JNL/American Funds Growth-Income Fund
Investment Companies	$	354,721	$	—	$	—	$	354,721

Fund Total	$	354,721	$	—	$	—	$	354,721
JNL/American Funds International Fund
Investment Companies	$	176,422	$	—	$	—	$	176,422

Fund Total	$	176,422	$	—	$	—	$	176,422
JNL/American Funds New World Fund
Investment Companies	$	219,006	$	—	$	—	$	219,006

Fund Total	$	219,006	$	—	$	—	$	219,006
JNL/AQR Managed Futures Strategy Fund
Investment Companies	$	408,528	$	—	$	—	$	408,528

Fund Total	$	408,528	$	—	$	—	$	408,528
JNL Institutional Alt 20 Fund
Investment Companies	$	789,431	$	—	$	—	$	789,431

Fund Total	$	789,431	$	—	$	—	$	789,431
JNL Institutional Alt 35 Fund
Investment Companies	$	1,210,046	$	—	$	—	$	1,210,046

Fund Total	$	1,210,046	$	—	$	—	$	1,210,046
JNL Institutional Alt 50 Fund
Investment Companies	$	1,533,305	$	—	$	—	$	1,533,305

Fund Total	$	1,533,305	$	—	$	—	$	1,533,305
JNL Institutional Alt 65 Fund
Investment Companies	$	964,951	$	—	$	—	$	964,951

Fund Total	$	964,951	$	—	$	—	$	964,951
JNL Disciplined Moderate Fund
Investment Companies	$	408,285	$	—	$	—	$	408,285

Fund Total	$	408,285	$	—	$	—	$	408,285


	Assets - Investments in Other Financial Instruments¹
	Level 1		Level 2		Level 3		Total
JNL/AQR Managed Futures Strategy Fund
Open Futures Contracts	$	1,983	$	—	$	—	$	1,983
Open Forward Foreign Currency Contracts		—		23,605		—		23,605

Fund Total	$	1,983	$	23,605	$	—	$	25,588
JNL/BlackRock Global Allocation Fund
Open Futures Contracts	$	203	$	—	$	—	$	203
Open Forward Foreign Currency Contracts		—		259		—		259
Total Return Swap Agreements		—		1		—		1

Fund Total	$	203	$	260	$	—	$	463
JNL/Capital Guardian Global Balanced Fund
Open Forward Foreign Currency Contracts	$	—	$	486	$	—	$	486

Fund Total	$	—	$	486	$	—	$	486
JNL/Franklin Templeton Mutual Shares Fund
Open Forward Foreign Currency Contracts	$	—	$	4,571	$	—	$	4,571

Fund Total	$	—	$	4,571	$	—	$	4,571
JNL/Goldman Sachs Core Plus Bond Fund
Open Futures Contracts	$	5,348	$	—	$	—	$	5,348
Open Forward Foreign Currency Contracts		—		6,490		—		6,490
Interest Rate Swap Agreements		—		7,277		—		7,277
Credit Default Swap Agreements		—		1,198		—		1,198

Fund Total	$	5,348	$	14,965	$	—	$	20,313


	Liabilities - Investments in Other Financial Instruments¹
	Level 1			Level 2			Level 3			Total
JNL/Ivy Asset Strategy Fund
Written Options	$	(3,759	)	$	(12,573	)	$	—		$	(16,332	)
Open Futures Contracts		(846	)		—			—			(846	)
Open Forward Foreign Currency Contracts		—			(16,219	)		—			(16,219	)

Fund Total	$	(4,605	)	$	(28,792	)	$	—		$	(33,397	)
JNL/JPMorgan International Value Fund
Open Forward Foreign Currency Contracts	$	—		$	(7,791	)	$	—		$	(7,791	)

Fund Total	$	—		$	(7,791	)	$	—		$	(7,791	)
JNL/Mellon Capital Management S&P 500 Index Fund
Open Futures Contracts	$	(751	)	$	—		$	—		$	(751	)

Fund Total	$	(751	)	$	—		$	—		$	(751	)
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
Open Futures Contracts		(881	)		—			—			(881	)

Fund Total	$	(881	)	$	—		$	—		$	(881	)
JNL/Mellon Capital Management Small Cap Index Fund
Open Futures Contracts	$	(773	)	$	—		$	—		$	(773	)

Fund Total	$	(773	)	$	—		$	—		$	(773	)
JNL/Mellon Capital Management International Index Fund
Open Futures Contracts	$	(102	)	$	—		$	—		$	(102	)
Open Forward Foreign Currency Contracts		—			(500	)		—			(500	)

Fund Total	$	(102	)	$	(500	)	$	—		$	(602	)
JNL/Mellon Capital Management Emerging Market Index Fund
Open Futures Contracts	$	(98	)	$	—		$	—		$	(98	)

Fund Total	$	(98	)	$	—		$	—		$	(98	)
JNL/Mellon Capital Management Global Alpha Fund
Open Futures Contracts	$	(2,327	)	$	—		$	—		$	(2,327	)
Open Forward Foreign Currency Contracts		—			(17,096	)		—			(17,096	)

Fund Total	$	(2,327	)	$	(17,096	)	$	—		$	(19,423	)
JNL/PIMCO Real Return Fund
Written Options	$	—		$	(3,486	)	$	(589	)	$	(4,075	)
Open Futures Contracts		(191	)		—			—			(191	)
Open Forward Foreign Currency Contracts		—			(8,065	)		—			(8,065	)
Interest Rate Swap Agreements		—			(4	)		—			(4	)
Credit Default Swap Agreements		—			(5,881	)		—			(5,881	)

Fund Total	$	(191	)	$	(17,436	)	$	(589	)	$	(18,216	)
JNL/PIMCO Total Return Bond Fund
Written Options	$	(95	)	$	(2,113	)	$	(1,335	)	$	(3,543	)
Open Futures Contracts		(10	)		—			—			(10	)
Open Forward Foreign Currency Contracts		—			(32,450	)		—			(32,450	)
Interest Rate Swap Agreements		—			(510	)		—			(510	)
Credit Default Swap Agreements		—			(18,793	)		—			(18,793	)

Fund Total	$	(105	)	$	(53,866	)	$	(1,335	)	$	(55,305	)
JNL/T.Rowe Price Short-Term Bond Fund
Open Futures Contracts	$	(38	)	$	—		$	—		$	(38	)
Open Forward Foreign Currency Contracts		—			(54	)		—			(54	)

Fund Total	$	(38	)	$	(54	)	$	—		$	(92	)


	Balance at Beginning of Period			Transfers into Level 3 During the Period		Transfers Out of Level 3 During the Period			Total Realized and Change in Unrealized Gain/(Loss)			Purchases		(Sales)			Balance at End of Period		Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at End of Period ²
JNL/BlackRock Global Allocation Fund
Common Stocks		$ —			$ —		$ —			$(26)			$278		$ —			$252		$(26)
Purchased Options		—			—		—			(10	)		274		—			264		(10	)
Corporate Bond and Notes		—			—		—			(105	)		1,408		—			1,303		(105	)

Fund Total Investments in Securities	$	—		$	—	$	—		$	(141	)	$	1,960	$	—		$	1,819	$	(141	)
Investments in Other Financial Instruments¹
Written Options		$ —			$ —		$ —			$(30)			$ —		$(272)			$(302)		$(30)

JNL/Franklin Templeton Income Fund
Other Equity Interests	$	7		$	—	$	—		$	40		$	—	$	—		$	47	$	40

JNL/Franklin Templeton Mutual Shares Fund
Common Stocks		$4,578			$ —		$ —			$(1,444)			$28		$(225)			$2,937		$(1,444)
Corporate Bond and Notes		1,579			1		—			374			—		(1,954)			—		—

Fund Total Investments in Securities	$	6,157		$	1	$	—		$	(1,069	)	$	28	$	(2,179	)	$	2,937	$	(1,444	)
JNL/Goldman Sachs Core Plus Bond Fund
Non-U.S. Government Agency ABS	$	5,088		$	—	$	(5,088	)	$	—		$	—	$	—		$	—	$	—
Corporate Bond and Notes		—			443		—			(62)			—		—			381		(62)
Government and Agency Obligations		—			—		—			(67	)		11,563		—			11,496		(67	)

Fund Total Investments in Securities		$5,088			$443		$(5,088)			$(129)			$11,563		$ —			$11,877		$(129)
JNL/Goldman Sachs Emerging Markets Debt Fund
Corporate Bond and Notes		$2,680			$10,662		$(2,680)			$315			$ —		$ —			$10,977		$315

Investments in Other Financial Instruments¹
Total Return Swap Agreements		$446			$ —		$ —			$(446)			$ —		$ —			$ —		$ —

JNL/Ivy Asset Strategy Fund
Purchased Options		$6,037			$ —		$ —			$(5,204)			$ —		$(833)			$ —		$ —

Investments in Other Financial Instruments¹
Written Options	$	(1,583	)	$	—	$	—		$	1,533		$	142	$	(92	)	$	—	$	—

JNL/JPMorgan Mid Cap Growth Fund
Common Stocks	$	587		$	—	$	(587	)	$	—		$	—	$	—		$	—	$	—

JNL/JPMorgan U.S. Government & Quality Bond Fund
Non-U.S. Government Agency ABS	$	—		$	—	$	—		$	—		$	1,714	$	—		$	1,714	$	—

JNL/Lazard Mid Cap Equity Fund
Preferred Stocks	$	1,015		$	—	$	—		$	526		$	—	$	—		$	1,541	$	526

JNL/M&G Global Basics Fund
Common Stocks	$	—		$	—	$	—		$	123		$	819	$	—		$	942	$	123

JNL/Mellon Capital Management Small Cap Index Fund
Common Stocks	$	45		$	—	$	—		$	(9	)	$	—	$	(36	)	$	—	$	—

JNL/Mellon Capital Management Emerging Market Index Fund
Common Stocks	$	—		$	—	$	—		$	(3,279	)	$	3,383	$	—		$	104	$	(3,279	)


	Expiration Date	Exercise Price	Contracts		Value
Exchange-Traded Futures Options
JNL/PIMCO Total Return Bond Fund
Eurodollar Future Put Option	03/19/2012	99.00		442	$	(95	)

Foreign Currency Options
JNL/BlackRock Global Allocation Fund
EUR versus USD Call Option	09/30/2011	1.47		654,934	$	—

JNL/Ivy Asset Strategy Fund
EUR versus USD Put Option	11/23/2011	1.35		58,100,000	$	(2,250	)
EUR versus USD Put Option	11/29/2011	1.35		50,200,000		(2,029	)

				108,300,000	$	(4,279	)

JNL/PIMCO Real Return Fund
AUD versus USD Put Option	10/11/2011	0.99		11,500,000	$	(319	)

Index Options
JNL/BlackRock Global Allocation Fund
** Deutsche Borse AG German Stock Price Index Put Option	09/21/2012	3,003.69		75	$	(31	)
MSCI Europe excluding United Kingdom Index Call Option	07/12/2012	113.00		8,500		(1	)
MSCI Europe excluding United Kingdom Index Put Option	09/21/2012	78.44		3,009		(23	)
MSCI Europe excluding United Kingdom Index Put Option	07/12/2012	92.97		8,500		(126	)
MSCI Europe excluding United Kingdom Index Put Option	06/15/2012	98.12		2,868		(55	)
MSCI Europe excluding United Kingdom Index Put Option	06/15/2012	99.84		6,136		(127	)
Russell 2000 Index Call Option	12/16/2011	715.62		452		(10	)
Russell 2000 Index Call Option	12/30/2011	718.57		600		(15	)
Russell 2000 Index Call Option	03/16/2012	748.89		724		(20	)
Russell 2000 Index Call Option	03/16/2012	540.23		724		(27	)
Russell 2000 Index Put Option	12/16/2011	591.28		452		(16	)
Russell 2000 Index Put Option	12/30/2011	593.16		600		(24	)
S&P 500 Index Put Option	02/10/2012	915.92		261		(6	)
S&P 500 Index Put Option	02/24/2012	950.00		134		(4	)
S&P 500 Index Put Option	12/08/2011	988.57		160		(3	)
S&P 500 Index Put Option	02/24/2012	1,025.00		131		(6	)
** Taiwan Taiex Index Put Option	09/18/2013	5,992.78		4,006		(121	)
** Taiwan Taiex Index Put Option	09/19/2012	6,880.60		4,006		(117	)
** Tokyo Stock Price Index Put Option	06/08/2012	675.00		37,050		(17	)
** Tokyo Stock Price Index Put Option	06/08/2012	675.45		38,020		(17	)

				116,333	$	(766	)

JNL/Ivy Asset Strategy Fund
Deutsche Borse AG German Stock Price Index Put Option	11/18/2011	4,800.00		1,747	$	(1,573	)
Deutsche Borse AG German Stock Price Index Put Option	10/21/2011	4,400.00		3,482		(471	)
Deutsche Borse AG German Stock Price Index Put Option	10/21/2011	4,550.00		1,745		(351	)
Nasdaq 100 Stock Index Put Option	11/19/2011	1,825.00		312		(1,070	)
Nasdaq 100 Stock Index Put Option	11/19/2011	1,925.00		299		(1,495	)
Nasdaq 100 Stock Index Put Option	10/22/2011	1,850.00		298		(413	)
Nasdaq 100 Stock Index Put Option	10/22/2011	1,875.00		298		(557	)
Russell 2000 Index Put Option	10/22/2011	550.00		770		(493	)
Russell 2000 Index Put Option	10/22/2011	560.00		1,518		(1,169	)
Russell 2000 Index Put Option	11/19/2011	580.00		772		(1,891	)

				11,241	$	(9,483	)

JNL/PIMCO Total Return Bond Fund
CDX.IG-16 5 Year Call Option	12/21/2011	0.85		247	$	(13	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.84		111		(5	)
CDX.IG-16 5 Year Call Option	12/21/2011	1.00		98		(14	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.85		421		(22	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.80		107		(4	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.82		113		(5	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.80		247		(8	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.85		49		(2	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.85		27		(1	)
CDX.IG-16 5 Year Call Option	12/21/2011	0.85		107		(6	)


Summary of Written Options	Contracts			Premiums
JNL/BlackRock Global Allocation Fund
Options outstanding at December 31, 2010		—		$	—
Options written during the period		109,053,984			(1,277	)
Options closed during the period		2,707,980			60
Options exercised during the period		31			31
Options expired during the period		23,631			1

Options outstanding at September 30, 2011		(106,322,342	)	$	(1,185	)

JNL/Ivy Asset Strategy Fund
Options outstanding at December 31, 2010		(4,769	)	$	(1,434	)
Options written during the period		(216,619,650	)		(14,162	)
Options closed during the period		108,304,748			3,604
Options expired during the period		632			211

Options outstanding at September 30, 2011		(108,319,039	)	$	11,781

JNL/PIMCO Real Return Fund
Options outstanding at December 31, 2010		(4,928	)	$	(3,230	)
Options written during the period		(23,004,598	)		(2,566	)
Options closed during the period		2,535			1,209
Options expired during the period		11,503,356			1,443

Options outstanding at September 30, 2011		11,503,635		$	(3,144	)

JNL/PIMCO Total Return Bond Fund
Options outstanding at December 31, 2010		(7,752	)	$	(6,624	)
Options written during the period		(13,487	)		(6,398	)
Options closed during the period		2,802			2,369
Options expired during the period		4,364			1,124

Options outstanding at September 30, 2011		(14,073	)	$	(9,529	)


Counterparty	Floating Rate Index	Paying/Receiving Floating Rate	Fixed Rate			Expiration Date		Notional Amount¹		Unrealized Appreciation / (Depreciation)
JNL/Goldman Sachs Core Plus Bond Fund
BCL	6-Month EURIBOR	Paying		2.65	%		09/30/2018	EUR	11,700	$	(111	)
BCL	6-Month EURIBOR	Receiving		3.01	%		09/30/2023	EUR	6,300		76
BOA	3-Month Canadian Bankers Acceptance Rate	Receiving		1.88	%		09/13/2017	CAD	5,900		(9	)
BOA	3-Month Canadian Bankers Acceptance Rate	Paying		2.63	%		09/13/2022	CAD	7,900		(60	)
BOA	3-Month Canadian Bankers Acceptance Rate	Receiving		2.85	%		09/13/2042	CAD	2,100		53
BOA	3-Month LIBOR	Receiving		3.50	%		12/21/2021		7,200		(413	)
CIT	6-Month EURIBOR	Paying		2.10	%		11/05/2015	EUR	6,250		173
CIT	6-Month EURIBOR	Receiving		3.25	%		12/21/2016	EUR	1,150		(60	)
CIT	6-Month EURIBOR	Paying		2.55	%		09/30/2018	EUR	12,600		(195	)
CIT	6-Month EURIBOR	Receiving		2.89	%		09/30/2023	EUR	6,800		169
CSI	3-Month Canadian Dealer Offered Rate	Receiving		2.37	%		07/15/2016	CAD	5,600		(236	)
CSI	6-Month EURIBOR	Receiving		1.83	%		09/09/2014	EUR	13,700		95
CSI	6-Month EURIBOR	Receiving		1.81	%		09/09/2014	EUR	16,100		115
CSI	6-Month EURIBOR	Paying		2.53	%		07/19/2016	EUR	4,900		160
CSI	6-Month EURIBOR	Paying		2.40	%		09/09/2016	EUR	9,300		(57	)
CSI	6-Month EURIBOR	Paying		2.37	%		09/09/2016	EUR	11,000		(80	)
CSI	6-Month EURIBOR	Paying		2.50	%		09/30/2018	EUR	6,500		(119	)
CSI	6-Month EURIBOR	Receiving		2.94	%		09/09/2020	EUR	2,100		—
CSI	6-Month EURIBOR	Receiving		2.90	%		09/09/2020	EUR	2,500		7
CSI	6-Month EURIBOR	Receiving		2.84	%		09/30/2023	EUR	3,540		106
CST	3-Month LIBOR	Receiving		4.25	%		12/17/2013		160		(9	)
CST	3-Month LIBOR	Paying		2.50	%		12/21/2016		13,050		641
CST	6-Month EURIBOR	Receiving		3.12	%		03/18/2014	EUR	41,100		(729	)
CST	6-Month EURIBOR	Paying		3.45	%		03/18/2016	EUR	28,300		1,236
CST	6-Month EURIBOR	Receiving		3.81	%		03/18/2020	EUR	6,500		(554	)
CST	British Pound 6-Month LIBOR	Paying		3.21	%		02/15/2016	GBP	680		71
CST	British Pound 6-Month LIBOR	Paying		3.20	%		02/16/2016	GBP	1,370		145
CST	British Pound 6-Month LIBOR	Paying		3.12	%		02/18/2016	GBP	1,520		154
DUB	3-Month LIBOR	Paying		0.50	%		09/30/2013		40,200		(27	)
DUB	3-Month LIBOR	Receiving		2.50	%		12/21/2016		5,300		(81	)
DUB	3-Month LIBOR	Receiving		3.25	%		12/21/2018		5,100		(70	)
DUB	3-Month LIBOR	Receiving		2.51	%		10/15/2020		5,500		(300	)
DUB	3-Month LIBOR	Receiving		3.50	%		12/21/2021		6,800		(106	)
DUB	3-Month New Zealand Bank Bill	Receiving		4.69	%		02/15/2016	NZD	650		(22	)
DUB	3-Month New Zealand Bank Bill	Receiving		4.70	%		02/18/2016	NZD	4,110		(140	)
DUB	3-Month New Zealand Bank Bill	Receiving		4.68	%		02/22/2016	NZD	3,380		(113	)
DUB	6-Month EURIBOR	Receiving		2.96	%		03/18/2014	EUR	38,700		(604	)
DUB	6-Month EURIBOR	Receiving		2.80	%		07/04/2014	EUR	41,800		(362	)
DUB	6-Month EURIBOR	Receiving		2.52	%		07/15/2014	EUR	30,600		(140	)
DUB	6-Month EURIBOR	Receiving		1.70	%		09/16/2014	EUR	28,000		249
DUB	6-Month EURIBOR	Paying		3.32	%		03/18/2016	EUR	26,700		1,038
DUB	6-Month EURIBOR	Paying		3.25	%		07/04/2016	EUR	28,600		853
DUB	6-Month EURIBOR	Paying		2.98	%		07/15/2016	EUR	20,975		401
DUB	6-Month EURIBOR	Paying		2.21	%		09/16/2016	EUR	19,000		(255	)
DUB	6-Month EURIBOR	Receiving		3.71	%		03/18/2020	EUR	6,100		(469	)
DUB	6-Month EURIBOR	Receiving		3.72	%		07/04/2020	EUR	6,600		(457	)
DUB	6-Month EURIBOR	Receiving		3.45	%		07/15/2020	EUR	4,825		(226	)
DUB	6-Month EURIBOR	Receiving		2.70	%		09/16/2020	EUR	4,300		85
DUB	British Pound 6-Month LIBOR	Paying		3.19	%		02/11/2016	GBP	300		31
JPM	3-Month LIBOR	Receiving		3.25	%		12/21/2018		9,200		(106	)
JPM	3-Month LIBOR	Receiving		3.25	%		12/21/2018		5,800		(75	)
JPM	3-Month LIBOR	Receiving		3.25	%		05/15/2037		5,400		(350	)
JPM	6-Month EURIBOR	Receiving		1.84	%		09/20/2014	EUR	14,600		109
JPM	6-Month EURIBOR	Receiving		1.75	%		09/23/2014	EUR	13,900		118
JPM	6-Month EURIBOR	Receiving		1.75	%		09/23/2014	EUR	17,000		144
JPM	6-Month EURIBOR	Paying		2.35	%		09/20/2016	EUR	10,000		(84	)
JPM	6-Month EURIBOR	Paying		2.24	%		09/23/2016	EUR	9,400		(118	)
JPM	6-Month EURIBOR	Paying		2.23	%		09/23/2016	EUR	11,600		(150	)
JPM	6-Month EURIBOR	Receiving		2.82	%		09/20/2020	EUR	2,300		24


Counterparty	Reference Obligation	Implied Credit Spread ⁴			Fixed Received / Pay Rate ⁶			Expiration Date		Notional Amount ^1, 5			Value			Unrealized Appreciation / (Depreciation)
JNL/Goldman Sachs Core Plus Bond Fund
Credit default swap agreements - purchase protection ³
BOA	CDX.NA.IG.16		N/A			1.00	%		06/20/2014	$	23,900		$	17		$	286
DUB	CDX.NA.IG.16		N/A			1.00	%		06/20/2014		18,900			13			241
JPM	CDX.NA.IG.16		N/A			1.00	%		06/20/2014		26,100			18			348
JPM	CDX.NA.IG.16		N/A			1.00	%		06/20/2014		24,700			17			323

										$	93,600		$	65		$	1,198

Credit default swap agreements - sell protection ²
BOA	CDX.NA.IG.16		1.36	%		1.00	%		06/20/2016	$	(23,900	)	$	(379	)	$	(426	)
DUB	CDX.NA.IG.16		1.36	%		1.00	%		06/20/2016		(9,800	)		(155	)		(192	)
JPM	CDX.NA.IG.16		1.36	%		1.00	%		06/20/2016		(16,500	)		(262	)		(333	)
JPM	CDX.NA.IG.16		1.36	%		1.00	%		06/20/2016		(6,825	)		(108	)		(134	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(110	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(105	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(106	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(104	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(1,500	)		(111	)		(72	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(1,000	)		(74	)		(49	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(124	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(112	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(101	)
DUB	MCDX.16		2.34	%		1.00	%		06/20/2021		(2,500	)		(185	)		(99	)
DUB	Metlife Inc., 5.00%, 06/15/2015		3.07	%		1.00	%		03/20/2015		(2,000	)		(133	)		(68	)
DUB	Metlife Inc., 5.00%, 06/15/2015		3.20	%		1.00	%		09/20/2015		(1,000	)		(79	)		(25	)
JPM	Prudential Financial Inc., 4.50%, 07/15/2013		2.78	%		1.00	%		06/20/2015		(825	)		(51	)		(6	)

										$	(83,350	)	$	(2,832	)	$	(2,166	)

JNL/PIMCO Real Return Fund
Credit default swap agreements - sell protection ²
DUB	American International Group Inc., 6.25%, 05/01/2036		3.68	%		5.00	%		12/20/2013	$	(8,300	)	$	229		$	739
CIT	CDX.EM-14		3.45	%		5.00	%		12/20/2015		(400	)		24			(1,044	)
DUB	CDX.EM-14		3.45	%		5.00	%		12/20/2015		(3,800	)		225			(1,804	)
MSS	CDX.EM-14		3.45	%		5.00	%		12/20/2015		(27,700	)		1,643			(201	)
STA	CDX.EM-14		3.45	%		5.00	%		12/20/2015		(2,800	)		166			(76	)
BNP	CDX.NA.IG.15		1.27	%		1.00	%		12/20/2015		(2,800	)		(31	)		(56	)
BOA	CDX.NA.IG.16		1.36	%		1.00	%		06/20/2016		(700	)		(11	)		(1,347	)
DUB	Federated Republic of Brazil, 12.25%, 03/06/2030		2.27	%		1.00	%		06/20/2020		(4,200	)		(398	)		(270	)
JPM	Federated Republic of Brazil, 12.25%, 03/06/2030		1.74	%		1.00	%		06/20/2015		(1,600	)		(43	)		(28	)
BOA	French Republic, 4.25%, 04/25/2019		1.71	%		0.25	%		12/20/2015		(3,900	)		(228	)		(126	)
BOA	French Republic, 4.25%, 04/25/2019		1.71	%		0.25	%		12/20/2015		(2,800	)		(164	)		(109	)
CIT	French Republic, 4.25%, 04/25/2019		1.71	%		0.25	%		12/20/2015		(400	)		(23	)		(8	)
CIT	French Republic, 4.25%, 04/25/2019		1.83	%		0.25	%		09/20/2016		(1,400	)		(102	)		(22	)
DUB	French Republic, 4.25%, 04/25/2019		1.65	%		0.25	%		06/20/2015		(400	)		(20	)		(6	)
JPM	French Republic, 4.25%, 04/25/2019		1.71	%		0.25	%		12/20/2015		(1,100	)		(64	)		(43	)
MSC	French Republic, 4.25%, 04/25/2019		1.79	%		0.25	%		06/20/2016		(5,200	)		(354	)		(127	)
BOA	Japanese Government Bond, 2.00%, 03/21/2022		1.31	%		1.00	%		12/20/2015		(1,600	)		(20	)		(52	)
BOA	Japanese Government Bond, 2.00%, 03/21/2022		1.31	%		1.00	%		12/20/2015		(4,800	)		(61	)		(168	)
CIT	Japanese Government Bond, 2.00%, 03/21/2022		1.39	%		1.00	%		06/20/2016		(8,500	)		(150	)		(147	)
DUB	Japanese Government Bond, 2.00%, 03/21/2022		1.31	%		1.00	%		12/20/2015		(1,700	)		(22	)		(55	)
JPM	Japanese Government Bond, 2.00%, 03/21/2022		1.31	%		1.00	%		12/20/2015		(1,600	)		(20	)		(52	)
DUB	Petrobras International Finance Co., 8.38%, 12/10/2018		1.14	%		1.00	%		09/20/2012		(500	)		(1	)		4
BOA	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.76	%		1.00	%		06/20/2015		(2,900	)		26			(6	)
CST	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.81	%		1.00	%		12/20/2015		(4,500	)		34			(69	)
DUB	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.76	%		1.00	%		06/20/2015		(1,100	)		10			4
DUB	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.76	%		1.00	%		06/20/2015		(2,700	)		24			2
DUB	UK Gilt Treasury Bond, 4.25%, 06/07/2032		0.81	%		1.00	%		12/20/2015		(1,700	)		13			(26	)

										$	(99,100	)	$	682		$	(5,093	)

Credit default swap agreements - purchase protection ³
CIT	GATX Corp., 5.80%, 03/01/2016		N/A			1.07	%		03/20/2016	$	1,000		$	51		$	51


Counterparty	Receiving Return of Reference Entity	Rate Paid by the Fund	Expiration Date		Notional Amount¹				Unrealized Appreciation / (Depreciation)
JNL/AQR Managed Futures Strategy Fund
BOA	Euro Schatz DUA Index Future	N/A		12/31/2011		EUR		—	$	(168	)
BOA	KOSPI 200 Index Future	N/A		12/31/2011		KRW		—		(68	)
RBS	Swiss Market Index Future	N/A		12/31/2011		CHF		—		(189	)
BOA	U.S Treasury Note 2-Year Future	N/A		12/31/2011			$	1		(303	)
BOA	U.S. Treasury Note 5-Year Future	N/A		12/31/2011				—		(2	)

									$	(730	)

JNL/BlackRock Global Allocation Fund
BNP	MSCI Daily TR Net Emerging Markets Index	3-Month LIBOR plus 0.38%		01/11/2012			$	78	$	(24	)
CIT	HSCEI Dividend Point Index December 2012 Future	N/A		12/27/2012		HKD		3		(8	)
CIT	Nikkei Dividend Index December 2012 Future	N/A		03/29/2013		JPY		50		1
CIT	Nikkei Dividend Index December 2013 Future	N/A		03/31/2014		JPY		80		(4	)

									$	(35	)


Counterparty		Abbreviations
BANCAMERICA SECURITIES/BANK OF AMERICA NA		BOA
BARCLAYS CAPITAL INC.		BCL
BARCLAYS BANK PLC		BBP
BNP PARIBAS SECURITIES		BNP
BNY CAPITAL MARKETS		BNY
CITIBANK, INC.		CIT
CITICORP SECURITIES, INC.		CCI
CITIGROUP GLOBAL MARKETS(FRMRLY SALOMON)		CGM
CREDIT SUISSE INTERNATIONAL		CST
CREDIT SUISSE SECURITIES, LLC		CSI
DEUTSCHE BANK ALEX BROWN INC.		DUB
GOLDMAN SACHS & CO.		GSC
GOLDMAN SACHS INTERNATIONAL		GSI
HSBC SECURITIES, INC.		HSB
J.P. MORGAN		JPM
J.P. MORGAN SECURITIES, INC.		JPM
MERRILL LYNCH CAPITAL SERVICES		MLC
MERRILL LYNCH INTERNATIONAL		MLI
MERRILL LYNCH PROFESSIONAL CLEARING CORP		MLP
MERRILL LYNCH, PIERCE, FENNER, & SMITH		MLP
MORGAN STANLEY & CO., INCORPORATED		MSC
MORGAN STANLEY CAPITAL SERVICES INC.		MSS
ROYAL BANK OF CANADA		RBC
ROYAL BANK OF SCOTLAND		RBS
RBS GREENWICH CAPITAL		RGC
STANDARD CHARTERED BANK		SCB
STATE STREET BROKERAGE SERVICES, INC.		SSB
UBS AG STAMFORD		STA
WESTPAC BANKING CORPORATION		WBC


									Reverse Repurchased Pledged Securities		Securities Sold Short Segregated Securities						Master Forwards Securities		Total Pledged or Segregated Cash and Securities
	Options Pledged Cash		Contracts Pledged Securities		Futures Contracts								Swap Agreements
	Options Pledged Cash		Contracts Pledged Securities		Pledged Cash		Pledged or Segregated Securities						Segregated Cash		Segregated Securities
JNL/AQR Managed Futures Strategy Fund	$	—	$	—	$	14,413	$	—	$	—	$	—	$	—	$	—	$	—	$	14,413
JNL/BlackRock Global Allocation Fund		603		—		835		—		—		—		—		—		—		1,438
JNL/Goldman Sachs Core Plus Bond Fund		—		—		—		5,311		—		—		7,070		—		—		12,381
JNL/Goldman Sachs Emerging Markets Debt Fund		—		—		—		—		—		—		1,825		—		—		1,825
JNL/Goldman Sachs U.S. Equity Flex Fund		—		—		—		—		—		72,397		—		—		—		72,397
JNL/Ivy Asset Strategy Fund		1,860		3,096		—		31,518		—		—		—		—		—		36,474
JNL/Mellon Capital Management S&P 500 Index Fund		—		—		—		1,470		—		—		—		—		—		1,470
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund		—		—		—		785		—		—		—		—		—		785
JNL/Mellon Capital Management Small Cap Index Fund		—		—		—		1,595		—		—		—		—		—		1,595
JNL/Mellon Capital Management International Index Fund		—		—		—		2,909		—		—		—		—		—		2,909
JNL/Mellon Capital Management Emerging Markets Index Fund		—		—		—		115		—		—		—		—		—		115
JNL/Mellon Capital Management Global Alpha Fund		—		—		—		18,371		—		—		—		—		—		18,371
JNL/PIMCO Real Return Fund		—		—		1		2,561		11,689		—		—		925		960		16,136
JNL/PIMCO Total Return Bond Fund		—		—		9		10,183		216		—		—		19,599		350		30,357
JNL/T. Rowe Short Term Bond Fund		—		—		—		150		—		—		—		—		—		150


	Repurchase Amount		Counter- party		Interest Rate			Maturity Date
JNL/PIMCO Real Return Fund
	$	11,734		CSI		0.14	%		10/07/2011
JNL/PIMCO Total Return Bond Fund
		86,248		JPM		0.15			10/05/2011
		3,364		MLP		0.40			07/07/2013


	Tax Cost of Investments		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation/ (Depreciation)
JNL/American Funds Blue Chip Income and Growth Fund	$	337,879	$	541	$	(30,337	)	$	(29,796	)
JNL/American Funds Global Bond Fund		317,913		2,867		(3,911	)		(1,044	)
JNL/American Funds Global Small Capitalization Fund		136,373		—		(26,045	)		(26,045	)
JNL/American Funds Growth-Income Fund		390,929		1,240		(37,448	)		(36,208	)
JNL/American Funds International Fund		210,133		32		(33,743	)		(33,711	)
JNL/American Funds New World Fund		258,330		3		(39,327	)		(39,324	)
JNL/AQR Managed Futures Strategy Fund		408,528		—		—			—
JNL Institutional Alt 20 Fund		824,636		20,975		(56,180	)		(35,205	)
JNL Institutional Alt 35 Fund		1,279,079		25,948		(94,981	)		(69,033	)
JNL Institutional Alt 50 Fund		1,628,303		26,094		(121,092	)		(94,998	)
JNL Institutional Alt 65 Fund		1,040,901		11,011		(86,961	)		(75,950	)
JNL Disciplined Moderate Fund		436,229		—		(27,944	)		(27,944	)
JNL Disciplined Moderate Growth Fund		480,417		—		(40,324	)		(40,324	)
JNL Disciplined Growth Fund		175,617		—		(19,891	)		(19,891	)
JNL/BlackRock Commodity Securities Fund		1,154,635		22,553		(140,935	)		(118,382	)
JNL/BlackRock Global Allocation Fund		327,797		1,567		(17,375	)		(15,808	)
JNL/Capital Guardian Global Balanced Fund		401,967		25,316		(40,227	)		(14,911	)
JNL/Capital Guardian Global Diversified Research Fund		306,037		30,827		(36,608	)		(5,781	)
JNL/Capital Guardian U.S. Growth Equity Fund		418,804		44,064		(52,061	)		(7,997	)
JNL/Eagle Core Equity Fund		217,239		11,687		(20,636	)		(8,949	)
JNL/Eagle SmallCap Equity Fund		781,731		85,914		(115,173	)		(29,259	)
JNL/Franklin Templeton Founding Strategy Fund		1,173,250		—		(201,900	)		(201,900	)
JNL/Franklin Templeton Global Growth Fund		617,334		23,200		(136,788	)		(113,588	)
JNL/Franklin Templeton Income Fund		1,458,873		44,278		(158,289	)		(114,011	)
JNL/Franklin Templeton International Small Cap Growth Fund		252,764		9,674		(34,286	)		(24,612	)
JNL/Franklin Templeton Mutual Shares Fund		676,992		26,790		(96,203	)		(69,413	)
JNL/Franklin Templeton Small Cap Value Fund		388,690		25,553		(65,974	)		(40,421	)
JNL/Goldman Sachs Core Plus Bond Fund		1,416,192		28,524		(34,284	)		(5,760	)
JNL/Goldman Sachs Emerging Markets Debt Fund		797,356		17,389		(54,164	)		(36,775	)
JNL/Goldman Sachs Mid Cap Value Fund		744,903		17,167		(112,486	)		(95,319	)
JNL/Goldman Sachs U.S. Equity Flex Fund		134,172		1,984		(19,100	)		(17,116	)
JNL/Invesco Global Real Estate Fund		824,430		—		(119,127	)		(119,127	)
JNL/Invesco International Growth Fund		653,270		37,217		(76,277	)		(39,060	)
JNL/Invesco Large Cap Growth Fund		923,623		60,124		(115,527	)		(55,403	)
JNL/Invesco Small Cap Growth Fund		177,378		12,585		(26,555	)		(13,970	)
JNL/Ivy Asset Strategy Fund		1,524,314		113,594		(203,952	)		(90,358	)
JNL/JPMorgan International Value Fund		712,389		15,844		(120,017	)		(104,173	)
JNL/JPMorgan Mid Cap Growth Fund		411,823		12,946		(61,179	)		(48,233	)
JNL/JPMorgan U.S. Government & Quality Bond Fund		1,284,817		107,208		(4,001	)		103,207
JNL/Lazard Emerging Markets Fund		1,358,070		57,985		(230,689	)		(172,704	)
JNL/Lazard Mid Cap Equity Fund		207,413		4,788		(26,288	)		(21,500	)
JNL/M&G Global Basics Fund		297,270		17,307		(42,404	)		(25,097	)
JNL/M&G Global Leaders Fund		40,970		833		(5,422	)		(4,589	)
JNL/Mellon Capital Management 10 x 10 Fund		277,383		—		(27,529	)		(27,529	)
JNL/Mellon Capital Management Index 5 Fund		380,088		13,938		(20,507	)		(6,569	)
JNL/Mellon Capital Management European 30 Fund		25,588		—		(5,683	)		(5,683	)
JNL/Mellon Capital Management Pacific Rim 30 Fund		77,013		2,124		(6,217	)		(4,093	)
JNL/Mellon Capital Management S&P 500 Index Fund		945,698		122,976		(108,704	)		14,272


JNL Series Trust

By:		/s/ Mark D. Nerud
		Mark D. Nerud
		Principal Executive Officer

Date:		November 29, 2011


Exhibit 3(a):		Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.

Exhibit 3(b):		Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.