N-CSR 1 d638314dncsr.htm JNL SERIES TRUST FORM N-CSR JNL Series Trust Form N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08894

JNL Series Trust

(Exact name of registrant as specified in charter)

1 Corporate Way, Lansing, Michigan 48951

(Address of principal executive offices)

225 West Wacker Drive, Suite 1200, Chicago, Illinois 60606

(Mailing address)

Steven J. Fredricks

Jackson National Asset Management, LLC

225 West Wacker Drive, Suite 1200

Chicago, Illinois 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code: (312) 338-5800

Date of Fiscal Year End: December 31

Date of Reporting Period: December 31, 2013

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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.

Item 1.  Report to Shareholders

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ANNUAL REPORT

December 31, 2013

• JNL ® Series Trust

• JNL Variable Fund LLC

This report is for the general information of qualified and nonqualified plan participants, as well as contract/policy owners of the PerspectiveSM, Perspective II®, Perspective AdvisorsSM, Perspective Advisors IISM, Perspective L Series, Perspective Rewards®, CuriangardSM, Perspective AdvantageSM, Perspective Focus®, Perspective Investor VUL®, Ultimate Investor® VUL, Jackson AdvisorSM VUL, Defined Strategies Variable Annuity®, Fifth Third Perspective, Retirement Latitudes®, Elite Access®, Perspective (New York), Perspective II (New York), Perspective Advisors II (New York), Perspective L Series (New York), Curiangard (New York), Perspective Advisors (New York), Perspective Focus (New York), Perspective Investor VUL (New York), Perspective Rewards (New York) and Elite Access (New York). Not all the portfolios are available in all of the products. Jackson is the marketing name for Jackson National Life Insurance Company (Home Office: Lansing, Michigan) and Jackson National Life Insurance Company of New York® (Home Office: Purchase, New York).

 

Issued by Jackson National Life Insurance Company

1 Corporate Way, Lansing, MI 48951

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JNL Series Trust and JNL Variable Fund LLC

December 31, 2013

President’s Letter

 

Dear Fellow Investor,

 

Enclosed is the annual report for the JNL Series Trust and JNL Variable Fund LLC for the year ended December 31, 2013, together with Management’s Discussion of Fund Performance for each of the Funds.

 

Throughout 2013, U.S. equity markets favored the opportunistic investor. Investors remained confident through 2013 due to a modestly improving economy, and ongoing stimulus from the U.S. Federal Reserve (“Fed”). The unemployment rate decreased from 7.9% at the start of the year to 6.7% by year end, with an average of 182,000 jobs added each month. The U.S. gross domestic product grew at a 4.1% annual rate in the third quarter, compared to 3.1% growth in the same period last year. The housing market also continued to show signs of significant recovery during 2013 with increased home sales and reductions in foreclosures.

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As a result of these positive trends, consumer confidence rose to a 5 1/2 year high with consumers attributing the improvement to more favorable economic conditions, as reported by the U.S. Consumer Confidence Index. The index, which had decreased in November to 72.0, rebounded in December to 78.1 (benchmark 1985 = 100), nearly reaching levels recorded before the 16 day U.S. government shutdown in October.

U.S. equities rallied strongly as 2013 drew to a close, surpassing previous all time highs attained during the first quarter. It maintained this positive trend despite uncertainty due to the government shutdown and potential debt ceiling crisis in October as well as the Fed’s December announcement that it will slowly dial back its unprecedented stimulus program in 2014. The steady increase resulted in the Standard & Poor’s 500® Index (“S&P 500”) posting 45 record closings in 2013 and its best total return (32.39%) since a 33.36% jump in 1997. During the same period, the Dow Jones Industrial Average’s (“DJIA”) total return was 29.65%, its best performance since 1995. The NASDAQ Composite Index (“NASDAQ”) returned a remarkable 40.12%.

In a departure from 2012 trends, international equities lagged at the outset of 2013 with negative returns in both emerging and developed markets. However, improving economic conditions, particularly in Europe and Japan, spurred positive total returns in 2013 for the Morgan Stanley Capital International (“MSCI”) World Index (26.68%) and the MSCI EAFE Index (22.78%). Emerging markets, in contrast, could not overcome the impact of a strengthening U.S. dollar and fears of economic slowdowns in key emerging economies, and finished the year down -2.60%, as measured by the MSCI Emerging Markets Index.

Due to improving economic conditions in the U.S. and concerns over a downshifting of the Fed’s stimulus plan, most U.S. fixed income investments posted losses during 2013. U.S Treasuries delivered a total return of -2.75%, as measured by the Barclays Capital U.S. Treasury Index, and the broader fixed-income markets produced a total return of -2.02%, as measured by the Barclays Capital U.S. Aggregate Bond Index. High yield corporate bonds were the only positive highlight of the fixed income market, with total return gains of 7.44%, as measured by the Barclays Capital U.S. Corporate High Yield Bond Index.

The performance of the alternatives market was varied, with equity based assets and strategies performing stronger than other sectors. Equity based strategies performed well as the Hedge Fund Research, Inc. Equity Hedged (Total) Index increased by 14.44% in 2013. On the other hand, volatile trend patterns negatively impacted the performance of select commodities, currencies and trend following strategies in 2013. Notably, listed private equity yielded some of the best results of any asset class with the S&P Listed Private Equity Index returning 37.19%. Private equity yields were driven by a robust IPO market providing a strong tailwind for company valuations.

Thank you for choosing Jackson for your investment needs.

 

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Mark D. Nerud

President and Chief Executive Officer

JNL Series Trust

JNL Variable Fund LLC

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JNL American Master Feeder Funds

Capital Research and Management Company (Unaudited)

 

 

 

JNL/American Funds Blue Chip Income and Growth Fund

 

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/American Funds Blue Chip Income and Growth Fund outperformed its benchmark by posting a return of 32.43% for Class A shares compared to 32.39% for the S&P 500 Index.

The Fund seeks both income exceeding the average yield on U.S. stocks generally and to provide an opportunity for growth of principal consistent with sound common stock investing through exclusive investment in the

shares of American Funds Insurance Series – Blue Chip Income and Growth Fund Class 1 (“Master Fund”). The performance of the Fund is directly related to the performance of the Master Fund. The financial statements of the Master Fund, including the Schedule of Investments and portfolio manager commentary, are provided separately and should be read in conjunction with the Fund’s financial statements.

 

 

JNL/American Funds Global Bond Fund

 

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/American Funds Global Bond Fund underperformed its benchmark by posting a return of -2.95% for Class A shares compared to -2.60% for the Barclays Capital Global Aggregate Bond Index.

The Fund seeks, over the long term, a high level of total return consistent with prudent investment management through exclusive investment in the

shares of the American Funds Insurance Series – Global Bond Fund Class 1 (“Master Fund”). The performance of the Fund is directly related to the performance of the Master Fund. The financial statements of the Master Fund, including the Schedule of Investments and portfolio manager commentary, are provided separately and should be read in conjunction with the Fund’s financial statements.

 

 

JNL/American Funds Global Small Capitalization Fund

 

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/American Funds Global Small Capitalization Fund underperformed its benchmark by posting a return of 27.90% for Class A shares compared to 28.66% for the MSCI All Country World Small Cap Index.

The Fund seeks growth of capital over time through exclusive investment in the shares of American Funds Insurance Series – Global Small

Capitalization Fund Class 1 (“Master Fund”). The performance of the Fund is directly related to the performance of the Master Fund. The financial statements of the Master Fund, including the Schedule of Investments and portfolio manager commentary, are provided separately and should be read in conjunction with the Fund’s financial statements.

 

 

JNL/American Funds Growth-Income Fund

 

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/American Funds Growth-Income Fund outperformed its benchmark by posting a return of 32.93% for Class A shares compared to 32.39% for the S&P 500 Index.

The Fund seeks long term growth of capital and income through exclusive investment in the shares of American Funds Insurance Series –  Growth-

Income Fund Class 1 (“Master Fund”). The performance of the Fund is directly related to the performance of the Master Fund. The financial statements of the Master Fund, including the Schedule of Investments and portfolio manager commentary, are provided separately and should be read in conjunction with the Fund’s financial statements.

 

 

JNL/American Funds International Fund

 

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/American Funds International Fund outperformed its benchmark by posting a return of 21.10% for Class A shares compared to 15.29% for the MSCI All Country World ex USA Index.

The Fund seeks long term growth of capital through exclusive investment in the shares of American Funds Insurance Series – International Fund

Class 1 (“Master Fund”). The performance of the Fund is directly related to the performance of the Master Fund. The financial statements of the Master Fund, including the Schedule of Investments and portfolio manager commentary, are provided separately and should be read in conjunction with the Fund’s financial statements.

 

 

JNL/American Funds New World Fund

 

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/American Funds New World Fund underperformed one of its benchmarks by posting a return of 10.88% for Class A shares compared to 22.80% for the MSCI All Country World Index and outperformed its other benchmark, the MSCI Emerging Markets Index, which returned -2.60%.

The Fund seeks long term capital appreciation through exclusive investment in the shares of American Funds Insurance Series – New World Fund

Class 1 (“Master Fund”). The performance of the Fund is directly related to the performance of the Master Fund. The financial statements of the Master Fund, including the Schedule of Investments and portfolio manager commentary, are provided separately and should be read in conjunction with the Fund’s financial statements.

 

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JNL American Master Feeder Funds (continued)

Capital Research and Management Company
(Unaudited)

 

 

 

JNL/American Funds Blue Chip Income and Growth Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     32.43%   

Since Inception

     12.53%   
(Inception date May 3, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     32.51%   

Since Inception

     12.75%   
(Inception date May 3, 2010)   
 

 

JNL/American Funds Global Bond Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     -2.95%   

Since Inception

     3.12%   
(Inception date May 3, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     -2.72%   

Since Inception

     3.40%   
(Inception date May 3, 2010)   
 

 

JNL/American Funds Global Small Capitalization Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     27.90%   

Since Inception

     8.64%   
(Inception date May 3, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     28.03%   

Since Inception

     8.86%   
(Inception date May 3, 2010)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL American Master Feeder Funds (continued)

Capital Research and Management Company
(Unaudited)

 

 

 

JNL/American Funds Growth-Income Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     32.93%   

Since Inception

     13.43%   
(Inception date May 3, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     33.11%   

Since Inception

     13.64%   
(Inception date May 3, 2010)   
 

 

JNL/American Funds International Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     21.10%   

Since Inception

     7.89%   
(Inception date May 3, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     21.24%   

Since Inception

     8.14%   
(Inception date May 3, 2010)   
 

 

JNL/American Funds New World Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     10.88%   

Since Inception

     6.68%   
(Inception date May 3, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     11.09%   

Since Inception

     6.90%   
(Inception date May 3, 2010)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Institutional Alt Funds

Jackson National Asset Management, LLC (Unaudited)

 

 

 

 

Market Summary: Against a backdrop of improving, albeit modest economic growth, benign inflation and political uncertainty, U.S. stocks posted their strongest annual returns in 18 years, as the Russell 3000 Index surged 33.55%. Strong gains in the U.S. stock market were fueled by diminishing tail risks and supportive monetary policy, as the U.S. Federal Reserve (“Fed”) continued with quantitative easing and support for low interest rates. International equities rallied as the Eurozone exited recession and Japan’s growth accelerated. The MSCI All Country World ex USA Index returned 15.29%, although there was a large dichotomy of returns between

developed markets, as measured by the MSCI EAFE Index which gained 22.78%, and emerging markets that returned -2.60% as measured by the MSCI Emerging Markets Index. The MSCI All Country World Index, a proxy for global equities, returned 22.80% during the year.

Bonds were negatively affected by rising interest rates, as improving economic conditions and the tapering of bond purchases by the Fed helped push 10-year Treasury yields form 1.86% to 3.04% during the year. The Barclays Capital U.S. Aggregate Bond Index returned -2.02%, marking its first negative annual return since 1999.

 

 

JNL Institutional Alt Funds

 

Portfolio Manager Commentary: The investment objective of JNL Institutional Alt 20 Fund, JNL Institutional Alt 35 Fund, JNL Institutional Alt 50 Fund and JNL Institutional Alt 65 Fund (collectively “JNL Institutional Alt Funds”) is long term growth of capital and income. Each Fund seeks to achieve its objective by investing in shares of a diversified group of affiliated Funds (“underlying funds”). The underlying funds in which each Fund may invest are a separate series of JNL Series Trust, JNL Variable Fund LLC and Curian Variable Series Trust. Each JNL Institutional Alt Fund has a target percentage allocation among the underlying funds that are categorized as investing in traditional asset classes and non-traditional asset classes. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

JNL Institutional Alt Funds are structured in order of priority to fulfill three primary roles: navigate rising rate environment; variable exposure to equity beta; and tactical deployment of inflation defense.

For the JNL Institutional Alt Funds during the year, Curian/DoubleLine Total Return Fund and JNL/PPM America Floating Rate Income Fund were added to structurally lower the duration of the fixed income exposure of the Funds. We plan to maintain this posture into next year as a defense against rising interest rates. In addition, positions in Curian/UBS Global Long Short Fixed Income Opportunities Fund, Curian/BlackRock Global Long Short Credit Fund and Curian Long Short Credit Fund were increased to supplement the flexibility of fixed income exposures. Strategic allocations to commodities were reduced recognizing the current absence of inflationary pressure. We favor global macro and managed future allocations for a more tactical approach to inflation defense.

 

 

JNL Institutional Alt 20 Fund

Portfolio Composition†:

Domestic Equity

     31.3   % 

Domestic Fixed Income

     20.1   

Alternative

     19.6   

International Equity

     13.1   

Global Fixed Income

     9.3   

Emerging Markets Equity

     5.0   

International Fixed Income

     1.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

JNL Institutional Alt 20 Fund allocates approximately 80% of its assets to underlying funds that invest primarily in traditional asset classes, allocating approximately 20% to 40% in fixed income securities, 20% to 40% in U.S. equity securities and 5% to 30% in international securities. In addition, the Fund allocates approximately 20% of its assets to underlying funds that invest primarily in non-traditional asset classes.

For the year ended December 31, 2013, JNL Institutional Alt 20 Fund outperformed its blended benchmark by posting a return of 13.88% for Class A shares compared to the blended return of 12.32% for the 60% MSCI All Country World Index and 40% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the MSCI All Country World Index, which returned 22.80% and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Asset allocation was the main determinant of performance with stocks far outpacing bonds and most alternative categories.

A lower allocation to bonds and an emphasis on the credit sector contributed to the outperformance. JNL/PPM America High Yield Bond

Fund and JNL/Franklin Templeton Global Multisector Bond Fund posted annual returns of 8.20% and 3.53%, respectively, deviating from the negative returns of the broad bond market.

U.S. biased equity holdings helped the equity allocation excel. Top individual performers included Curian/DFA U.S. Micro Cap Fund (+43.64%), JNL/Mellon Capital Nasdaq 25 Fund (+41.10%) and JNL/Mellon Capital S&P 24 Fund (+40.51%), which all had a significant advantage over the MSCI All Country World Index in 2013.

JNL/Red Rocks Listed Private Equity Fund and JNL/Brookfield Global Infrastructure Fund were the main contributors in the alternative allocation generating 41.66% and 23.43%, respectively, during the year. Commodities, managed futures and convertible bonds provided diversification and outpaced bonds during the year.

Curian/Van Eck International Gold Fund (-47.90%) and JNL/PIMCO Real Return Fund (-9.13%) were the biggest detractors to the Fund in the low inflationary environment.

JNL Institutional Alt 35 Fund

Portfolio Composition†:

Alternative

     34.2   % 

Domestic Equity

     25.2   

Domestic Fixed Income

     14.5   

International Equity

     13.2   

Global Fixed Income

     6.8   

Emerging Markets Equity

     5.0   

International Fixed Income

     1.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

JNL Institutional Alt 35 Fund allocates approximately 65% of its assets to underlying funds that invest primarily in traditional asset classes,

allocating approximately 15% to 35% in fixed income securities, 15% to 35% in U.S. equity securities and 5% to 25% in international securities. In addition, the Fund allocates approximately 35% of its assets to underlying funds that invest primarily in the non-traditional asset classes.

For the year ended December 31, 2013, JNL Institutional Alt 35 Fund underperformed its blended benchmark by posting a return of 12.46% for Class A shares compared to the blended return of 14.87% for the 70% MSCI All Country World Index and 30% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the MSCI All Country World Index, which returned 22.80% and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Asset allocation was the main determinant of performance with stocks far outpacing bonds and most alternative categories.

A lower allocation to bonds and an emphasis on the credit sector contributed to performance. JNL/PPM America High Yield Bond Fund and JNL/Franklin Templeton Global Multisector Bond Fund posted annual returns of 8.20% and 3.53%, respectively, deviating from the negative returns of the broad bond market.

U.S. biased equity holdings helped the equity allocation excel. However, a 26% equity underweight to the benchmark detracted from relative performance. Top individual performers included Curian/DFA U.S. Micro Cap Fund (+43.64%), JNL/Mellon Capital Nasdaq 25 Fund (+41.10%) and JNL/Mellon Capital S&P 24 Fund (+40.51%), which all had a significant advantage over the MSCI All Country World Index in 2013.

 

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JNL Institutional Alt Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL/Red Rocks Listed Private Equity Fund and JNL/Brookfield Global Infrastructure Fund were the main contributors in the alternative allocation generating 41.66% and 23.43%, respectively, during the year. Commodities, managed futures and convertible bonds provided diversification and outpaced bonds during the year.

Curian/Van Eck International Gold Fund (-47.90%) and JNL/PIMCO Real Return Fund (-9.13%) were the biggest detractors to the Fund in the low inflationary environment.

JNL Institutional Alt 50 Fund

Portfolio Composition†:

Alternative

     49.3   % 

Domestic Equity

     19.4   

Domestic Fixed Income

     11.5   

International Equity

     10.1   

Global Fixed Income

     5.3   

Emerging Markets Equity

     3.5   

International Fixed Income

     0.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

JNL Institutional Alt 50 Fund allocates approximately 50% of its assets to underlying funds that invest primarily in traditional asset classes, allocating approximately 10% to 30% in fixed income securities, 10% to 35% in U.S. equity securities and 5% to 20% in international securities. In addition, the Fund allocates approximately 50% of its assets to underlying funds that invest primarily in non-traditional asset classes.

For the year ended December 31, 2013, JNL Institutional Alt 50 Fund underperformed its blended benchmark by posting a return of 10.35% for Class A shares compared to the blended return of 16.16% for the 75% MSCI All Country World Index and 25% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the MSCI All Country World Index, which returned 22.80% and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Asset allocation was the main determinant of performance with stocks far outpacing bonds and most alternative categories.

A lower allocation to bonds and an emphasis on the credit sector contributed to performance. JNL/PPM America High Yield Bond Fund and JNL/Franklin Templeton Global Multisector Bond Fund posted annual returns of 8.20% and 3.53%, respectively, deviating from the negative returns of the broad bond market.

U.S. biased equity holdings helped the equity allocation excel. However, a 42% equity underweight to the benchmark detracted from relative performance. Top individual performers included Curian/DFA U.S. Micro Cap Fund (+43.64%), JNL/Mellon Capital Nasdaq 25 Fund (+41.10%) and JNL/Mellon Capital S&P 24 Fund (+40.51%), which all had a significant advantage over the MSCI All Country World Index in 2013.

JNL/Red Rocks Listed Private Equity Fund and JNL/Brookfield Global Infrastructure Fund were the main contributors in the alternative allocation generating 41.66% and 23.43%, respectively, during the year. Commodities, managed futures and convertible bonds provided diversification and outpaced bonds during the year.

Curian/Van Eck International Gold Fund (-47.90%) and JNL/PIMCO Real Return Fund (-9.13%) were the biggest detractors to the Fund in the low inflationary environment.

JNL Institutional Alt 65 Fund

Portfolio Composition†:

Alternative

     64.6   % 

Domestic Equity

     14.3   

International Equity

     9.2   

Domestic Fixed Income

     5.8   

Emerging Markets Equity

     3.0   

Global Fixed Income

     2.7   

International Fixed Income

     0.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

JNL Institutional Alt 65 Fund allocates approximately 35% of its assets to underlying funds that invest primarily in traditional asset classes, allocating approximately 5% to 20% in fixed income securities, 5% to 25% in U.S. equity securities and 0% to 15% in international securities. In addition, the Fund allocates approximately 65%

of its assets to underlying funds that invest primarily in non-traditional asset classes.

For the year ended December 31, 2013, JNL Institutional Alt 65 Fund underperformed its blended benchmark by posting a return of 9.50% for Class A shares compared to the blended return of 17.47% for the 80% MSCI All Country World Index and 20% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the MSCI All Country World Index, which returned 22.80% and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Asset allocation was the main determinant of performance with stocks far outpacing bonds and most alternative categories.

A lower allocation to bonds and an emphasis on the credit sector contributed to performance. JNL/PPM America High Yield Bond Fund and JNL/Franklin Templeton Global Multisector Bond Fund posted annual returns of 8.20% and 3.53%, respectively, deviating from the negative returns of the broad bond market.

U.S. biased equity holdings helped the equity allocation excel. However, a 53% equity underweight to the benchmark detracted from relative performance. Top individual performers included Curian/DFA U.S. Micro Cap Fund (+43.64%), JNL/Mellon Capital Nasdaq 25 Fund (+41.10%) and JNL/Mellon Capital S&P 24 Fund (+40.51%), which all had a significant advantage over the MSCI All Country World Index in 2013.

JNL/Red Rocks Listed Private Equity Fund and JNL/Brookfield Global Infrastructure Fund were the main contributors in the alternative allocation generating 41.66% and 23.43%, respectively, during the year. Commodities, managed futures and convertible bonds provided diversification and outpaced bonds during the year.

Curian/Van Eck International Gold Fund (-47.90%) and JNL/PIMCO Real Return Fund (-9.13%) were the biggest detractors to the Fund in the low inflationary environment.

 

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JNL Institutional Alt Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL Institutional Alt 20 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     13.88%   

Since Inception

     12.88%   
(Inception date April 6, 2009)   
 

 

JNL Institutional Alt 35 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     12.46%   

Since Inception

     13.52%   
(Inception date April 6, 2009)   
 

 

JNL Institutional Alt 50 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     10.35%   

Since Inception

     13.47%   
(Inception date April 6, 2009)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Institutional Alt Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL Institutional Alt 65 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     9.50%   

Since Inception

     13.99%   
(Inception date April 6, 2009)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL American Fund of Funds

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL American Fund of Funds

 

Portfolio Manager Commentary: Each Fund seeks to achieve its objective by investing in shares of a diversified group of affiliated Funds (“underlying funds”). The underlying funds in which each Fund may invest are a separate series of American Funds Insurance Series. The Schedules of Investments and Financial Statements for the underlying funds are available on the SEC’s website at www.sec.gov.

There were no significant allocation changes during the year. At year end, both the Funds were positioned with a roughly neutral allocation to equities and fixed income, relative to their blended benchmarks. Within equities, the Funds are positioned with a slight overweight towards large cap and growth equities. Within fixed income, the Funds remain overweight to high yield bonds and global bonds.

 

 

JNL/American Funds Balanced Allocation Fund

Portfolio Composition†:

Domestic Equity

     32.3   % 

Domestic Fixed Income

     31.9   

Global Equity

     17.6   

Global Fixed Income

     8.0   

Emerging Markets Equity

     7.4   

International Equity

     2.8   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective of JNL/American Funds Balanced Allocation Fund is to seek a balance between current income and growth of capital. The Fund allocates approximately 50% to 80% of its assets to underlying funds that invest primarily in equity securities and 20% to 50% to underlying funds that invest primarily in fixed income securities.

For the year ended December 31, 2013, JNL/American Funds Balanced Allocation Fund outperformed it blended benchmark by posting a return of 15.26% for Class A shares compared to the blended return of 14.78% for the 40% Russell 3000 Index, 40% Barclays Capital U.S. Aggregate Bond Index and 20% MSCI All Country World ex USA Index. The Fund underperformed the Russell 3000 Index and MSCI All Country World ex USA Index, which returned 33.55% and 15.29%, respectively, and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

The Fund outperformed its blended benchmark by 48 bps. The primary contributor to outperformance was positive manager selection, which added 175 bps to relative performance. Among the strongest performing Funds were the American Funds Insurance Series – New World Fund, which returned 11.66% versus -2.60% for the MSCI Emerging Market Index and the American Funds Insurance Series – Global Growth Fund, which returned 29.51% versus 22.80% for

the MSCI All Country World Index. A secondary contributor to relative performance was the Fund’s overweight to high yield bonds within its fixed income sleeve. This overweight position contributed 107 bps to relative performance, as high yield bonds returned 7.44% versus -2.02% for investment grade bonds as measured by Barclays Capital U.S. Corporate High Yield Index and Barclays Capital U.S. Aggregate Bond Index, respectively.

Primary detractors from relative performance included the Fund’s overweight to emerging market equities and underweight to domestic small cap equities. Other detractors from relative performance included underperformance of American Funds Insurance Series – Growth Fund, American Funds Insurance Series – U.S. Government/AAA-Rated Bond Fund and American Funds Insurance Series – Global Small Capitalization Fund relative to their respective benchmarks.

JNL/American Funds Growth Allocation Fund

Portfolio Composition†:

Domestic Equity

     39.5   % 

Global Equity

     25.4   

Domestic Fixed Income

     13.3   

Emerging Markets Equity

     10.4   

Global Fixed Income

     6.7   

International Equity

     4.7   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective of JNL/American Funds Growth Allocation Fund is to seek capital growth with secondary emphasis on current income. The Fund allocates approximately 70% to 100% of its assets to underlying funds that invest primarily in equity securities and 0% to 30% to underlying funds that invest primarily in fixed income securities.

For the year ended December 31, 2013, JNL/American Funds Growth Allocation Fund

outperformed its blended benchmark by posting a return of 20.86% for Class A shares compared to the blended return of 20.30% for the 50% Russell 3000 Index, 30% MSCI All Country World ex USA Index and 20% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the Russell 3000 Index, which returned 33.55% and outperformed the MSCI All Country World ex USA Index and Barclays Capital U.S. Aggregate Bond Index, which returned 15.29% and -2.02%, respectively.

The Fund outperformed its blended benchmark by 56 bps. The primary contributor to outperformance was positive manager selection, which added 257 bps to relative performance. Among the strongest performing Funds were American Funds Insurance Series – New World Fund, which returned 11.66% versus -2.60% for the MSCI Emerging Market Index and American Funds Insurance Series – Global Growth Fund, which returned 29.51% versus 22.80% for the MSCI All Country World Index. A secondary contributor to relative performance was the Fund’s overweight to high yield bonds within its fixed income sleeve. This overweight position contributed 71 bps to relative performance, as high yield bonds returned 7.44% versus -2.02% for investment grade bonds as measured by Barclays Capital U.S. Corporate High Yield Index and Barclays Capital U.S. Aggregate Bond Index, respectively.

Primary detractors from relative performance included the Fund’s overweight to emerging market equities and underweight to domestic small cap equities. Other detractors from relative performance included underperformance of American Funds Insurance Series – Growth Fund, American Funds Insurance Series – U.S. Government/AAA-Rated Bond Fund and American Funds Insurance Series – Global Small Capitalization Fund relative to their respective benchmarks.

 

 

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JNL American Fund of Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL/American Funds Balanced Allocation Fund (Class A)

 

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     15.26%   

Since Inception

     11.58%   
(Inception date April 30, 2012)   
 

 

JNL/American Funds Growth Allocation Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     20.86%   

Since Inception

     14.93%   
(Inception date April 30, 2012)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Disciplined Funds

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL Disciplined Funds

 

Portfolio Manager Commentary: Each Fund seeks to achieve its investment objective by investing in shares of a diversified group of affiliated Funds (“underlying funds”). The underlying funds in which each Fund may invest are a separate series of JNL Series Trust, JNL Variable Fund LLC, JNL Investor Series Trust and Curian Variable Series Trust. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

The JNL Disciplined Funds were positioned with a roughly neutral allocation to equities and fixed income, relative to their blended benchmarks. Within equities, the Funds remain slightly overweight to domestic equities, overweight to emerging market equities and underweight to developed international equities. Within fixed income, the Funds remain underweight to

government bonds and overweight to high yield bonds, global bonds and bank loans.

For the JNL Disciplined Funds during the year, overweight exposures to small and mid cap equities and high yield bonds were reduced, while exposure to large cap U.S. stocks, international equities, global bonds and mortgage-backed securities (“MBS”) was modestly increased. The Funds established a new position in the Curian/DoubleLine® Total Return Fund, which primarily invests in MBS, to help further diversify the Funds fixed income positioning and lower the duration (a measure of interest rate sensitivity) of the Funds. The Funds exited their positions in the JNL/T. Rowe Price Short-Term Bond Fund and the JNL/S&P Total Yield Fund.

 

 

JNL Disciplined Moderate Fund

Portfolio Composition†:

Domestic Equity

     44.5   % 

Domestic Fixed Income

     29.1   

International Equity

     9.6   

Global Fixed Income

     8.4   

Emerging Markets Equity

     6.4   

International Fixed Income

     2.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective for JNL Disciplined Moderate Fund is to seek capital growth. Current income is a secondary objective. The Fund allocates approximately 40% to 80% of its assets to underlying funds that invest primarily in equity securities, 20% to 60% to underlying funds that invest primarily in fixed income securities and 0% to 20% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL Disciplined Moderate Fund outperformed its blended benchmark by posting a return of 17.11% for Class A shares compared to the blended return of 14.78% for the 40% Russell 3000 Index, 40% Barclays Capital U.S. Aggregate Bond Index and 20% MSCI All Country World ex USA Index. The Fund underperformed the Russell 3000 Index, which returned 33.55% and outperformed the Barclays Capital U.S. Aggregate Bond Index and MSCI All Country World ex USA Index, which returned -2.02% and 15.29%, respectively.

The Fund outperformed its blended benchmark by 233 bps. The Fund’s outperformance was primarily attributable to positive manager selection within domestic equities, which contributed a total of 235 bps to relative performance. The strongest individual performers were JNL/S&P Competitive Advantage Fund, JNL/S&P Intrinsic Value Fund and JNL/S&P Total Yield Fund, which returned 42.94%, 49.95% and 51.68%, respectively, compared with the S&P 500 Index return of 32.39%. Other contributors to relative performance included the Fund’s overweight to high yield bonds and the strong performance from JNL/Franklin Templeton Global Multisector Bond Fund (+3.53%) relative to its benchmark.

The primary detractor from relative performance was the Fund’s overweight to emerging market equities, which significantly underperformed developed market equities. The MSCI Emerging Markets Index returned -2.60% versus the MSCI All Country World ex USA Index return of 15.29%. The overweight position detracted 120 bps from relative performance.

JNL Disciplined Moderate Growth Fund

Portfolio Composition†:

Domestic Equity

     55.2   % 

Domestic Fixed Income

     14.6   

International Equity

     14.1   

Emerging Markets Equity

     10.9   

Global Fixed Income

     4.2   

International Fixed Income

     1.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective for JNL Disciplined Moderate Growth Fund is to seek capital growth and current income. The Fund allocates approximately 60% to 90% of its assets to underlying funds that invest primarily in equity securities, 10% to 40% to underlying funds that invest primarily in fixed income securities and 0% to 20% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL Disciplined Moderate Growth Fund outperformed its blended benchmark by posting a return of 22.68% for Class A shares compared to the blended return of 20.30% for the 50% Russell 3000 Index, 30% MSCI All Country World ex USA Index and 20% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the Russell 3000 Index, which returned 33.55% and outperformed the Barclays Capital U.S. Aggregate Bond Index and MSCI All Country World ex USA Index, which returned -2.02% and 15.29%, respectively.

The Fund outperformed its blended benchmark by 238 bps. The Fund’s outperformance was primarily attributable to solid manager selection within domestic equities, which contributed a total of 281 bps to relative performance. The strongest individual performers were JNL/S&P Competitive Advantage Fund, JNL/S&P

Intrinsic Value Fund and JNL/S&P Total Yield Fund, which returned 42.94%, 49.95% and 51.68%, respectively, compared with the S&P 500 Index return of 32.39%. Other contributors to relative performance included the Fund’s overweight to small and mid cap equities, overweight to high yield bonds and underweight to international equities.

The primary detractor from relative performance was the Fund’s overweight to emerging market equities, which significantly underperformed developed market equities. The MSCI Emerging Markets Index returned -2.60% versus the MSCI All Country World ex USA Index return of 15.29%. The overweight position detracted 215 bps from relative performance.

JNL Disciplined Growth Fund

Portfolio Composition†:

Domestic Equity

     56.5   % 

International Equity

     17.6   

Emerging Markets Equity

     15.9   

Domestic Fixed Income

     7.0   

Global Fixed Income

     2.0   

International Fixed Income

     1.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective for JNL Disciplined Growth Fund is capital growth. The Fund allocates approximately 70% to 100% of its assets to underlying funds that invest primarily in equity securities, 0% to 30% to underlying funds that invest primarily in fixed income securities and 0% to 20% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL Disciplined Growth Fund outperformed its blended benchmark by posting a return of 24.06% for Class A shares compared to the blended return of 23.15% for the 55% Russell 3000 Index, 35% MSCI All Country World ex USA Index and 10% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the Russell 3000 Index, which returned 33.55% and outperformed the Barclays Capital U.S. Aggregate Bond Index and MSCI All Country World ex USA Index, which returned -2.02% and 15.29%, respectively.

 

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JNL Disciplined Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

The Fund outperformed its blended benchmark by 91 bps. The Fund’s outperformance was primarily attributable to solid manager selection within domestic equities, which contributed a total of 282 bps to relative performance. The strongest individual performers were JNL/S&P Competitive Advantage Fund, JNL/S&P Intrinsic Value Fund and JNL/S&P Total Yield Fund, which returned

42.94%, 49.95% and 51.68%, respectively, versus the S&P 500 Index return of 32.39%. Other contributors to relative performance included the Fund’s overweight to small and mid cap equities, overweight to high yield bonds and underweight to international equities.

The primary detractor from relative performance was the Fund’s overweight to emerging

market equities, which significantly underperformed developed market equities. The MSCI Emerging Markets Index returned -2.60% versus the MSCI All Country World ex USA Index return of 15.29%. The overweight position detracted 316 bps from relative performance.

 

 

JNL Disciplined Moderate Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     17.11%   

5 Year

     12.00%   

Since Inception

     4.78%   
(Inception date January 16, 2007)   
Jackson National Asset Management LLC assumed portfolio management responsibility on August 29, 2011.     
 

 

JNL Disciplined Moderate Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     22.68%   

5 Year

     14.08%   

Since Inception

     4.35%   
(Inception date January 16, 2007)   
Jackson National Asset Management LLC assumed portfolio management responsibility on August 29, 2011.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

LOGO

 

JNL Disciplined Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL Disciplined Growth Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     24.06%   

5 Year

     14.25%   

Since Inception

     3.38%   
(Inception date January 16, 2007)   
Jackson National Asset Management LLC assumed portfolio management responsibility on August 29, 2011.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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Fund of Funds

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL/Franklin Templeton Founding Strategy Fund

Portfolio Composition†:

Global Equity

     66.8   % 

Domestic Balanced

     33.2   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

For the year ended December 31, 2013, JNL/Franklin Templeton Founding Strategy Fund underperformed its blended benchmark by posting a return of 23.97% for Class A shares compared to the blended return of 24.09% for the 50% S&P 500 Index, 33% MSCI World Index and 17% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the S&P 500 Index and MSCI World Index, which returned 32.39% and 26.68%, respectively. The Fund outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

The investment objective of JNL/Franklin Templeton Founding Strategy Fund is capital appreciation. The Fund seeks to achieve its objective by investing approximately equal allocations in the following underlying funds: JNL/Franklin Templeton Income Fund – its investment objective is to maximize income while maintaining prospects for capital appreciation; JNL/Franklin Templeton Global Growth Fund – its investment objective is long term capital growth; and JNL/Franklin Templeton Mutual Shares Fund – its investment objective is capital appreciation which may occasionally be short term and secondarily, income.

The performance of the underlying funds contributed proportionally to the performance of JNL/Franklin Templeton Founding Strategy Fund based on their relative weights. For the year ended December 31, 2013, JNL/Franklin Templeton Income Fund returned 14.08%, JNL/Franklin Templeton Global Growth Fund returned 30.35% and JNL/Franklin Templeton Mutual Shares Fund returned 28.29%. The underlying funds are a separate series of JNL Series Trust. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

JNL/Mellon Capital 10 x 10 Fund

Portfolio Composition†:

Domestic Equity

     80.1   % 

International Equity

     10.1   

Domestic Fixed Income

     9.8   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

For the year ended December 31, 2013, JNL/Mellon Capital 10 x 10 Fund underperformed its benchmark by posting a return of 27.70% for Class A shares compared to 33.55% for the Russell 3000 Index.

The investment objective of JNL/Mellon Capital 10 x 10 Fund is capital appreciation and income. The Fund seeks to achieve its objective

by investing in approximate allocations in the following underlying funds: 50% JNL/Mellon Capital JNL 5 Fund – its investment objective is total return through capital appreciation and dividend income; 10% JNL/Mellon Capital S&P 500 Index Fund – its investment objective is to match the performance of the S&P 500 Index; 10% JNL/Mellon Capital S&P 400 MidCap Index Fund – its investment objective is to match the performance of the S&P 400 MidCap Index; 10% JNL/Mellon Capital Small Cap Index Fund – its investment objective is to match the performance of the Russell 2000 Index; 10% JNL/Mellon Capital International Index Fund – its investment objective is to match the performance of the MSCI EAFE Index; and 10% JNL/Mellon Capital Bond Index Fund – its investment objective is to match the performance of the Barclays Capital U.S. Aggregate Bond Index.

The performance of the underlying funds contributed proportionally to the performance of JNL/Mellon Capital 10 x 10 Fund based on their relative weights. For the year ended December 31, 2013, JNL/Mellon Capital JNL 5 Fund contributed most to the Fund’s performance with a Fund return of 31.68%. JNL/Mellon Capital Small Cap Index Fund returned 38.44%, JNL/Mellon Capital S&P 400 Mid Cap Index Fund returned 32.99%, JNL/Mellon Capital S&P 500 Index Fund returned 31.64% and JNL/Mellon Capital International Index Fund returned 21.43%. JNL/Mellon Capital Bond Index Fund detracted from the Fund’s performance with a Fund return of -2.73%. The underlying funds are a separate series of JNL Series Trust or JNL Variable Fund LLC. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

JNL/Mellon Capital Index 5 Fund

Portfolio Composition†:

Domestic Equity

     60.2   % 

International Equity

     20.2   

Domestic Fixed Income

     19.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

For the year ended December 31, 2013, JNL/Mellon Capital Index 5 Fund underperformed its benchmark by posting a return of 23.74% for Class A shares compared to 33.55% for the Russell 3000 Index.

The investment objective of JNL/ Mellon Capital Index 5 is capital appreciation. The Fund seeks to achieve its objective by investing in approximately equal allocations in the following underlying funds: JNL/Mellon Capital S&P 500 Index Fund – its investment objective is to match the performance of the S&P 500 Index; JNL/Mellon Capital S&P 400 MidCap Index Fund – its investment objective is to match the performance of the S&P 400 MidCap Index; JNL/Mellon Capital Small Cap Index Fund – its investment

objective is to match the performance of the Russell 2000 Index; JNL/Mellon Capital International Index Fund – its investment objective is to match the performance of the MSCI EAFE Index; and JNL/Mellon Capital Bond Index Fund – its investment objective is to match the performance of the Barclays Capital U.S. Aggregate Bond Index.

The performance of the underlying funds contributed proportionally to the performance of the Fund based on their relative weights. For the year ended December 31, 2013, JNL/Mellon Capital Small Cap Index Fund contributed most to the Fund’s performance with a Fund return of 38.44%. JNL/Mellon Capital S&P 400 Mid Cap Index Fund returned 32.99%, JNL/Mellon Capital S&P 500 Index Fund returned 31.64% and JNL/Mellon Capital International Index Fund returned 21.43%. JNL/Mellon Capital Bond Index Fund detracted from the Fund’s performance with a Fund return of -2.73%. The underlying funds are a separate series of JNL Series Trust. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

JNL/S&P 4 Fund

Portfolio Composition†:

Domestic Equity

     100.0   % 
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

For the year ended December 31, 2013, JNL/S&P 4 Fund outperformed its benchmark by posting a return of 43.63% for Class A shares compared to 32.39% for the S&P 500 Index.

The investment objective of JNL/S&P 4 Fund is capital appreciation. The Fund seeks to achieve its objective by investing approximately equal allocations in the following underlying funds: JNL/S&P Competitive Advantage Fund – its investment objective is capital appreciation; JNL/S&P Dividend Income & Growth Fund – its investment objective is capital appreciation with a secondary focus on current income; JNL/S&P Intrinsic Value Fund – its investment objective is capital appreciation; and JNL/S&P Total Yield Fund – its investment objective is capital appreciation.

The performance of the underlying funds contributed proportionately to the performance of JNL/S&P 4 Fund based on their relative weights. For the year ended December 31, 2013, JNL/S&P Total Yield Fund contributed most to the Fund’s performance with a Fund return of 51.68%. JNL/S&P Intrinsic Value Fund returned 49.95%, JNL/S&P Competitive Advantage Fund returned 42.94% and JNL/S&P Dividend Income & Growth Fund returned 30.78%. The underlying funds are a separate series of JNL Series Trust. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

 

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Fund of Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL/Franklin Templeton Founding Strategy Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     23.97%   

5 Year

     15.29%   

Since Inception

     3.99%   
(Inception date January 16, 2007)   
 

 

JNL/Mellon Capital 10 x 10 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     27.70%   

5 Year

     16.03%   

Since Inception

     4.37%   
(Inception date April 30, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

LOGO

 

Fund of Funds (continued)

Jackson National Asset Management, LLC (Unaudited)

 

 

 

JNL/Mellon Capital Index 5 Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     23.74%   

5 Year

     14.88%   

Since Inception

     5.21%   
(Inception date April 30, 2007)   
 

 

JNL/S&P 4 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     43.63%   

5 Year

     23.33%   

Since Inception

     11.50%   
(Inception date December 03, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL/S&P Funds

Standard & Poor’s Investment Advisory Services LLC  (Unaudited)

 

 

 

JNL/S&P Funds

 

Portfolio Manager Commentary: Each Fund seeks to achieve its objective by investing in shares of a diversified group of affiliated Funds (“underlying funds”). The underlying funds in which each Fund may invest are a separate series of JNL Series Trust, JNL Variable Fund LLC, JNL Investor Series Trust and Curian Variable Series Trust. The Schedules of Investments and Financial Statements for the underlying funds are available at jackson.com or on the SEC’s website at www.sec.gov.

During September 2013, Standard and Poor’s Investment Advisory Services LLC (“SPIAS”) recommended its latest asset allocation revisions in the

JNL/S&P Funds. SPIAS is overweighting equities by one percentage point relative to fixed income across the Funds. Relative to their benchmarks, there is an underweight allocation in both developed and developing international equities. The Funds reduced allocations in both real estate and commodities special equity funds. SPIAS increased holdings within domestic equities, favoring growth over value across all market capitalizations. Overall, the JNL/S&P Funds were underweight fixed income but maintained a bias towards domestic high yield.

 

 

JNL/S&P Managed Conservative Fund

Portfolio Composition†:

Domestic Fixed Income

     67.6   % 

Domestic Equity

     17.9   

Global Fixed Income

     7.6   

International Fixed Income

     2.9   

International Equity

     2.0   

Emerging Markets Equity

     1.0   

Alternative

     1.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective for JNL/S&P Managed Conservative Fund is capital growth and current income. The Fund allocates approximately 10% to 30% of its assets to underlying funds that invest primarily in equity securities, 70% to 90% to underlying funds that invest primarily in fixed income securities and 0% to 30% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL/S&P Managed Conservative Fund outperformed its blended benchmark by posting a return of 4.52% for Class A shares compared to the blended return of 3.78% for the 80% Barclays Capital U.S. Aggregate Bond Index, 15% S&P 500 Index and 5% MSCI EAFE Index. The Fund underperformed the S&P 500 Index and MSCI EAFE Index, which returned 32.39% and 22.78%, respectively, and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Relative to the MSCI EAFE Index, the leading international equity contributors to performance were JNL/Invesco International Growth Fund and JNL/JPMorgan International Value Fund while JNL/Lazard Emerging Markets Fund slightly detracted from performance.

Relative to the S&P 500 Index, the leading domestic equity contributors to performance were allocations to JNL/T. Rowe Price Value Fund, JNL/T. Rowe Price Established Growth Fund and JNL/WMC Value Fund. None of the domestic equity selections were negative contributors to performance.

The main fixed income contributors to performance relative to the Barclays Capital U.S. Aggregate Bond Index were the allocations to JNL/PPM America Floating Rate Income Fund, JNL/PPM America High Yield Bond Fund and JNL/Franklin Templeton Global Multisector Bond Fund. The leading detractors to performance

were holdings in JNL/PIMCO Real Return Fund, JNL/JPMorgan U.S. Government & Quality Bond Fund, JNL/PIMCO Total Return Bond Fund and JNL/Goldman Sachs Emerging Markets Debt Fund.

JNL/S&P Managed Moderate Fund

Portfolio Composition†:

Domestic Fixed Income

     47.0   % 

Domestic Equity

     34.5   

Global Fixed Income

     6.1   

International Fixed Income

     3.2   

Alternative

     3.1   

Emerging Markets Equity

     2.6   

International Equity

     2.3   

Global Equity

     1.2   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective for JNL/S&P Managed Moderate Fund is to seek capital growth. Current income is a secondary objective. The Fund allocates approximately 30% to 50% of its assets to underlying funds that invest primarily in equity securities, 50% to 70% to underlying funds that invest primarily in fixed income securities and 0% to 25% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL/S&P Managed Moderate Fund outperformed its blended benchmark by posting a return of 10.43% for Class A shares compared to the blended return of 9.87% for the 60% Barclays Capital U.S. Aggregate Bond Index, 30% S&P 500 Index and 10% MSCI EAFE Index. The Fund underperformed the S&P 500 Index and MSCI EAFE Index, which returned 32.39% and 22.78%, respectively, and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Relative to the MSCI EAFE Index, the leading international equity contributors to performance were JNL/Oppenheimer Global Growth Fund and JNL/Invesco International Growth Fund while JNL/Lazard Emerging Markets Fund detracted from performance.

Relative to the S&P 500 Index, the leading domestic equity contributors to performance were allocations to JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Value Fund and JNL/WMC Value Fund. None of the domestic equity selections were negative contributors to performance.

The main fixed income contributors to performance relative to the Barclays Capital U.S. Aggregate Bond Index were the allocations to JNL/PPM America High Yield Bond Fund, JNL/PPM America Floating Rate Income Fund and JNL/Franklin Templeton Global Multisector Bond Fund. The leading detractors to performance were holdings in JNL/PIMCO Real Return Fund, JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/PIMCO Total Return Bond Fund and JNL/JPMorgan U.S. Government & Quality Bond Fund.

JNL/S&P Managed Moderate Growth Fund

Portfolio Composition†:

Domestic Equity

     47.7   % 

Domestic Fixed Income

     29.6   

Global Fixed Income

     5.4   

International Equity

     4.6   

Alternative

     4.3   

Emerging Markets Equity

     4.2   

International Fixed Income

     2.4   

Global Equity

     1.8   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective of JNL/S&P Managed Moderate Growth Fund is capital growth and current income. The Fund allocates approximately 50% to 70% of its assets to underlying funds that invest primarily in equity securities, 30% to 50% to underlying funds that invest primarily in fixed income securities and 0% to 20% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL/S&P Managed Moderate Growth Fund underperformed its blended benchmark by posting a return of 15.85% for Class A shares compared to the blended return of 16.27% for the 45% S&P 500 Index, 40% Barclays Capital U.S. Aggregate Bond Index and 15% MSCI EAFE Index. The Fund underperformed the S&P 500 Index and MSCI EAFE Index, which returned 32.39% and 22.78%, respectively, and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Relative to the MSCI EAFE Index, the leading international equity contributors to performance were JNL/Invesco International Growth Fund and JNL/Oppenheimer Global Growth Fund while JNL/Lazard Emerging Markets Fund detracted from performance.

 

LOGO

 

JNL/S&P Funds (continued)

Standard & Poor’s Investment Advisory Services LLC  (Unaudited)

 

 

 

Relative to the S&P 500 Index, the leading domestic equity contributors to performance were allocations to JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Value Fund and JNL/WMC Value Fund. None of the domestic equity selections were negative contributors to performance.

The main fixed income contributors to performance relative to the Barclays Capital U.S. Aggregate Bond Index were the allocations to JNL/PPM America High Yield Bond Fund and JNL/Franklin Templeton Global Multisector Bond Fund. The leading detractors to performance were holdings in JNL/PIMCO Total Return Bond Fund, JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/PIMCO Real Return Fund and JNL/JPMorgan U.S. Government & Quality Bond Fund.

JNL/S&P Managed Growth Fund

Portfolio Composition†:

Domestic Equity

     61.5   % 

Domestic Fixed Income

     15.2   

International Equity

     6.9   

Alternative

     4.8   

Emerging Markets Equity

     4.7   

Global Equity

     4.5   

International Fixed Income

     1.6   

Global Fixed Income

     0.8   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective of JNL/S&P Managed Growth Fund is to seek capital growth. Current income is a secondary objective. The Fund allocates approximately 70% to 90% of its assets to underlying funds that invest primarily in equity securities, 10% to 30% to underlying funds that invest primarily in fixed income securities and 0% to 15% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL/S&P Managed Growth Fund underperformed its blended benchmark by posting a return of 22.58% for Class A shares compared to

the blended return of 22.98% for the 60% S&P 500 Index, 20% Barclays Capital U.S. Aggregate Bond Index and 20% MSCI EAFE Index. The Fund underperformed the S&P 500 Index and MSCI EAFE Index, which returned 32.39% and 22.78%, respectively, and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

Relative to the MSCI EAFE Index, the leading international equity contributors to performance were JNL/Invesco International Growth Fund and JNL/Oppenheimer Global Growth Fund while JNL/Lazard Emerging Markets Fund detracted from performance.

Relative to the S&P 500 Index, the leading domestic equity contributors to performance were allocations to JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Value Fund and JNL/Invesco Large Cap Growth Fund. None of the domestic equity selections were negative contributors to performance.

The main fixed income contributors to performance relative to the Barclays Capital U.S. Aggregate Bond Index were the allocations to JNL/PPM America High Yield Bond Fund and JNL/Franklin Templeton Global Multisector Bond Fund. The leading detractors to performance were holdings in JNL/PIMCO Real Return Fund, JNL/Goldman Sachs Emerging Markets Debt Fund and JNL/JPMorgan U.S. Government & Quality Bond Fund.

JNL/S&P Managed Aggressive Growth Fund

Portfolio Composition†:

Domestic Equity

     69.3   % 

International Equity

     7.5   

Domestic Fixed Income

     6.4   

Global Equity

     5.7   

Emerging Markets Equity

     5.6   

Alternative

     3.8   

International Fixed Income

     1.7   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

The investment objective of JNL/S&P Managed Aggressive Growth Fund is capital growth. The Fund allocates approximately 80% to 100% of its assets to underlying funds that invest primarily in equity securities, 0% to 20% to underlying funds that invest primarily in fixed income securities and 0% to 10% to underlying funds that invest primarily in money market securities.

For the year ended December 31, 2013, JNL/S&P Managed Aggressive Growth Fund underperformed its blended benchmark by posting a return of 25.77% for Class A shares compared to the blended return of 26.22% for the 65% S&P 500 Index, 10% Barclays Capital U.S. Aggregate Bond Index and 25% MSCI EAFE Index. The Fund underperformed the S&P 500 Index, which returned 32.39% and outperformed the Barclays Capital U.S. Aggregate Bond Index and MSCI EAFE Index, which returned -2.02% and 22.78%, respectively.

Relative to the MSCI EAFE Index, the leading international equity contributors to performance were JNL/Invesco International Growth Fund and JNL/Oppenheimer Global Growth Fund while JNL/Lazard Emerging Markets Fund detracted from performance.

Relative to the S&P 500 Index, the leading domestic equity contributors to performance were allocations to JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Value Fund and JNL/Invesco Large Cap Growth Fund. None of the domestic equity selections were negative contributors to performance.

The main fixed income contributor to performance relative to the Barclays Capital U.S. Aggregate Bond Index was the allocation to JNL/PPM America High Yield Bond Fund. The leading detractors to performance were holdings in JNL/Goldman Sachs Emerging Markets Debt Fund and JNL/PIMCO Total Return Bond Fund.

 

LOGO

 

JNL/S&P Funds (continued)

Standard & Poor’s Investment Advisory Services LLC  (Unaudited)

 

 

 

JNL/S&P Managed Conservative Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     4.52%   

5 Year

     7.67%   

Since Inception

     4.75%   
(Inception date October 4, 2004)   
 

 

JNL/S&P Managed Moderate Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     10.43%   

5 Year

     10.28%   

Since Inception

     5.85%   
(Inception date October 4, 2004)   
 

 

JNL/S&P Managed Moderate Growth Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     15.85%   

5 Year

     12.70%   

10 Year

     6.48%   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

LOGO

 

JNL/S&P Funds (continued)

Standard & Poor’s Investment Advisory Services LLC  (Unaudited)

 

 

 

JNL/S&P Managed Growth Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     22.58%   

5 Year

     15.29%   

10 Year

     6.93%   
 

 

JNL/S&P Managed Aggressive Growth Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     25.77%   

5 Year

     16.31%   

10 Year

     7.15%   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

          Shares     Value  

JNL/American Funds Blue Chip Income and Growth Fund

   

INVESTMENT COMPANIES - 100.0%

  

American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1 (a)

     92,596      $ 1,214,856   
     

 

 

  

Total Investment Companies (cost $927,149)

  

     1,214,856   
     

 

 

  

Total Investments - 100.0% (cost $927,149)

  

     1,214,856   

Other Assets and Liabilities, Net - (0.0% )

  

     (467 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     1,214,389   
     

 

 

  

JNL/American Funds Global Bond Fund

  

INVESTMENT COMPANIES - 100.0%

  

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

     38,334      $ 455,412   
     

 

 

  

Total Investment Companies (cost $470,236)

  

     455,412   
     

 

 

  

Total Investments - 100.0% (cost $470,236)

  

     455,412   

Other Assets and Liabilities, Net - (0.0% )

  

     (159 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 455,253   
     

 

 

  

JNL/American Funds Global Small Capitalization Fund

  

INVESTMENT COMPANIES - 100.0%

  

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

     13,111      $ 336,834   
     

 

 

  

Total Investment Companies (cost $273,979)

  

     336,834   
     

 

 

  

Total Investments - 100.0% (cost $273,979)

  

     336,834   

Other Assets and Liabilities, Net - (0.0% )

  

     (113 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 336,721   
     

 

 

  

JNL/American Funds Growth-Income Fund

  

INVESTMENT COMPANIES - 100.0%

  

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

     32,441      $ 1,645,403   
     

 

 

  

Total Investment Companies (cost $1,244,256)

  

     1,645,403   
     

 

 

  

Total Investments - 100.0% (cost $1,244,256)

  

     1,645,403   

Other Assets and Liabilities, Net - (0.0% )

  

     (722 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 1,644,681   
     

 

 

  
      Shares      Value  

JNL/American Funds International Fund

  

INVESTMENT COMPANIES - 100.0%

  

American Funds Insurance Series - International Fund - Class 1 (a)

      26,492       $ 562,154   
        

 

 

  

Total Investment Companies (cost $470,186)

  

      562,154   
        

 

 

  

Total Investments - 100.0% (cost $470,186)

  

      562,154   

Other Assets and Liabilities, Net - (0.0% )

  

      (230 ) 
        

 

 

  

Total Net Assets - 100.0%

  

    $     561,924   
        

 

 

  

JNL/American Funds New World Fund

  

INVESTMENT COMPANIES - 100.0%

  

American Funds Insurance Series - New World Fund - Class 1 (a)

      25,817       $ 647,489   
        

 

 

  

Total Investment Companies (cost $577,327)

  

      647,489   
        

 

 

  

Total Investments - 100.0% (cost $577,327)

  

      647,489   

Other Assets and Liabilities, Net - (0.0% )

  

      (267 ) 
        

 

 

  

Total Net Assets - 100.0%

  

    $ 647,222   
        

 

 

  

JNL Institutional Alt 20 Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian Long Short Credit Fund (8.8%) (b)

      3,425       $ 34,831   

Curian/AQR Risk Parity Fund (8.7%) (b)

      2,692         27,080   

Curian/BlackRock Global Long Short Credit Fund (8.3%) (b)

      3,409         34,433   

Curian/DFA U.S. Micro Cap Fund (25.8%) (b)

      3,201         46,057   

Curian/DoubleLine Total Return Fund (5.0%) (b)

      2,769         27,688   

Curian/Eaton Vance Global Macro Absolute Return Advantage Fund (8.6%) (b)

      3,614         34,410   

Curian/Franklin Templeton Frontier Markets Fund (21.9%) (b)

      2,946         36,413   

Curian/Franklin Templeton Natural Resources Fund (7.5%) (b)

      1,086         10,354   

Curian/Neuberger Berman Currency Fund (8.2%) (b)

      1,379         13,513   

Curian/Nicholas Convertible Arbitrage Fund (7.1%) (b)

      1,611         16,991   

Curian/PineBridge Merger Arbitrage Fund (6.6%) (b)

      1,698         17,102   

Curian/The Boston Company Multi-Alpha Market Neutral Equity Fund (8.6%) (b)

      1,020         10,282   

Curian/UBS Global Long Short Fixed Income Opportunities Fund (5.2%) (b)

      686         6,836   

Curian/Van Eck International Gold Fund (7.9%) (b)

      1,973         9,254   

JNL/AQR Managed Futures Strategy Fund (7.4%) (b)

      3,473         35,768   

JNL/BlackRock Commodity Securities Strategy Fund (0.7%) (b)

      927         10,344   

JNL/Brookfield Global Infrastructure Fund (3.2%) (b)

      1,469         21,724   

JNL/Franklin Templeton Global Multisector Bond Fund (4.7%) (b)

      6,935         83,144   

JNL/Goldman Sachs Emerging Markets Debt Fund (3.5%) (b)

      2,409         27,607   

JNL/Invesco Global Real Estate Fund (1.3%) (b)

      2,080         20,444   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

JNL/Lazard Emerging Markets Fund (3.4%) (b)

     4,741        52,008   

JNL/Mellon Capital Bond Index Fund (15.9%) (b)

     21,134        245,576   

JNL/Mellon Capital Global Alpha Fund (7.4%) (b)

     1,704        17,145   

JNL/Mellon Capital International Index Fund (10.0%) (b)

     16,019        232,440   

JNL/Mellon Capital Nasdaq 25 Fund (9.1%) (b)

     2,916        55,400   

JNL/Mellon Capital S&P 24 Fund (17.9%) (b)

     12,739        188,918   

JNL/Mellon Capital S&P SMid 60 Fund (14.9%) (b)

     7,182        99,833   

JNL/Mellon Capital Small Cap Index Fund (3.0%) (b)

     3,241        54,610   

JNL/Mellon Capital Value Line 30 Fund (13.7%) (b)

     7,556        110,397   

JNL/Neuberger Berman Strategic Income Fund (17.6%) (b)

     7,847        82,394   

JNL/PPM America Floating Rate Income Fund (1.8%) (b)

     2,524        27,537   

JNL/PPM America High Yield Bond Fund (2.2%) (b)

     7,799        55,997   

JNL/Red Rocks Listed Private Equity Fund (3.1%) (b)

     2,133        25,965   
     

 

 

  

Total Investment Companies (cost $1,566,752)

  

     1,772,495   
     

 

 

  

Total Investments - 100.0% (cost $1,566,752)

  

     1,772,495   

Other Assets and Liabilities, Net - (0.0% )

  

     (275 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     1,772,220   
     

 

 

  

JNL Institutional Alt 35 Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian Long Short Credit Fund (21.1%) (b)

     8,191      $ 83,302   

Curian/AQR Risk Parity Fund (20.7%) (b)

     6,416        64,541   

Curian/BlackRock Global Long Short Credit Fund (19.9%) (b)

     8,137        82,179   

Curian/DFA U.S. Micro Cap Fund (28.3%) (b)

     3,502        50,395   

Curian/DoubleLine Total Return Fund (4.9%) (b)

     2,705        27,047   

Curian/Eaton Vance Global Macro Absolute Return Advantage Fund (20.5%) (b)

     8,595        81,828   

Curian/Franklin Templeton Frontier Markets Fund (29.9%) (b)

     4,026        49,762   

Curian/Franklin Templeton Natural Resources Fund (17.7%) (b)

     2,583        24,612   

Curian/Neuberger Berman Currency Fund (19.4%) (b)

     3,267        32,012   

Curian/Nicholas Convertible Arbitrage Fund (17.0%) (b)

     3,832        40,429   

Curian/PineBridge Merger Arbitrage Fund (15.6%) (b)

     4,040        40,686   

Curian/The Boston Company Multi-Alpha Market Neutral Equity Fund (20.6%) (b)

     2,427        24,469   

Curian/UBS Global Long Short Fixed Income Opportunities Fund (12.4%) (b)

     1,628        16,211   

Curian/Van Eck International Gold Fund (17.8%) (b)

     4,443        20,839   

JNL/AQR Managed Futures Strategy Fund (17.6%) (b)

     8,251        84,990   

JNL/BlackRock Commodity Securities Strategy Fund (1.7%) (b)

     2,207        24,626   

JNL/Brookfield Global Infrastructure Fund (7.7%) (b)

     3,531        52,217   

JNL/Franklin Templeton Global Multisector Bond Fund (4.7%) (b)

     6,806        81,603   
     Shares     Value  

JNL/Goldman Sachs Emerging Markets Debt Fund (3.4%) (b)

     2,348        26,908   

JNL/Invesco Global Real Estate Fund (3.1%) (b)

     4,948        48,639   

JNL/Lazard Emerging Markets Fund (4.6%) (b)

     6,454        70,805   

JNL/Mellon Capital Bond Index Fund (15.5%) (b)

     20,686        240,371   

JNL/Mellon Capital Global Alpha Fund (17.6%) (b)

     4,036        40,606   

JNL/Mellon Capital International Index Fund (13.6%) (b)

     21,959        318,622   

JNL/Mellon Capital Nasdaq 25 Fund (10.3%) (b)

     3,319        63,070   

JNL/Mellon Capital S&P 24 Fund (19.6%) (b)

     13,930        206,579   

JNL/Mellon Capital S&P SMid 60 Fund (16.7%) (b)

     8,051        111,903   

JNL/Mellon Capital Small Cap Index Fund (3.4%) (b)

     3,692        62,215   

JNL/Mellon Capital Value Line 30 Fund (14.1%) (b)

     7,759        113,361   

JNL/Neuberger Berman Strategic Income Fund (17.3%) (b)

     7,702        80,868   

JNL/PPM America Floating Rate Income Fund (1.8%) (b)

     2,476        27,017   

JNL/PPM America High Yield Bond Fund (2.1%) (b)

     7,645        54,894   

JNL/Red Rocks Listed Private Equity Fund (7.5%) (b)

     5,105        62,131   
   

 

 

  

Total Investment Companies (cost $2,151,695)

  

     2,409,737   
   

 

 

  

Total Investments - 100.0% (cost $2,151,695)

  

     2,409,737   

Other Assets and Liabilities, Net - (0.0% )

  

     (368 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,409,369   
   

 

 

  

JNL Institutional Alt 50 Fund

  

INVESTMENT COMPANIES - 100.0%

  

  

Curian Long Short Credit Fund (41.7%) (b)

     16,165      $ 164,398   

Curian/AQR Risk Parity Fund (41.1%) (b)

     12,718        127,944   

Curian/BlackRock Global Long Short Credit Fund (39.4%) (b)

     16,121        162,819   

Curian/DFA U.S. Micro Cap Fund (29.1%) (b)

     3,604        51,855   

Curian/DoubleLine Total Return Fund (5.3%) (b)

     2,913        29,134   

Curian/Eaton Vance Global Macro Absolute Return Advantage Fund (40.8%) (b)

     17,124        163,023   

Curian/Franklin Templeton Frontier Markets Fund (30.7%) (b)

     4,137        51,128   

Curian/Franklin Templeton Natural Resources Fund (35.1%) (b)

     5,118        48,774   

Curian/Neuberger Berman Currency Fund (38.7%) (b)

     6,513        63,832   

Curian/Nicholas Convertible Arbitrage Fund (33.7%) (b)

     7,620        80,386   

Curian/PineBridge Merger Arbitrage Fund (31.0%) (b)

     8,024        80,803   

Curian/The Boston Company Multi-Alpha Market Neutral Equity Fund (40.8%) (b)

     4,824        48,622   

Curian/UBS Global Long Short Fixed Income Opportunities Fund (24.7%) (b)

     3,238        32,253   

Curian/Van Eck International Gold Fund (37.1%) (b)

     9,237        43,323   

JNL/AQR Managed Futures Strategy Fund (34.9%) (b)

     16,348        168,387   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

JNL/BlackRock Commodity Securities Strategy Fund (3.4%) (b)

     4,369        48,760   

JNL/Brookfield Global Infrastructure
Fund (15.2%) (b)

     6,922        102,377   

JNL/Franklin Templeton Global Multisector Bond Fund (5.0%) (b)

     7,367        88,330   

JNL/Goldman Sachs Emerging Markets Debt Fund (3.6%) (b)

     2,526        28,945   

JNL/Invesco Global Real Estate
Fund (6.2%) (b)

     9,771        96,045   

JNL/Lazard Emerging Markets
Fund (4.2%) (b)

     5,887        64,583   

JNL/Mellon Capital Bond Index
Fund (16.9%) (b)

     22,488        261,311   

JNL/Mellon Capital Global Alpha
Fund (35.1%) (b)

     8,078        81,267   

JNL/Mellon Capital International Index
Fund (14.4%) (b)

     23,140        335,760   

JNL/Mellon Capital Nasdaq 25
Fund (11.4%) (b)

     3,658        69,505   

JNL/Mellon Capital S&P 24
Fund (21.9%) (b)

     15,523        230,213   

JNL/Mellon Capital S&P SMid 60
Fund (15.3%) (b)

     7,364        102,367   

JNL/Mellon Capital Small Cap Index
Fund (3.7%) (b)

     4,069        68,563   

JNL/Mellon Capital Value Line 30
Fund (15.0%) (b)

     8,266        120,762   

JNL/Neuberger Berman Strategic
Income Fund (18.7%) (b)

     8,344        87,615   

JNL/PPM America Floating Rate Income
Fund (1.9%) (b)

     2,684        29,279   

JNL/PPM America High Yield Bond
Fund (2.3%) (b)

     8,258        59,291   

JNL/Red Rocks Listed Private Equity
Fund (14.6%) (b)

     9,932        120,867   
     

 

 

  

Total Investment Companies (cost $3,010,180)

  

     3,312,521   
     

 

 

  

Total Investments - 100.0% (cost $3,010,180)

  

     3,312,521   
     

 

 

  

Other Assets and Liabilities, Net - (0.0% )

  

     (497 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     3,312,024   
     

 

 

  

JNL Institutional Alt 65 Fund

  

INVESTMENT COMPANIES—100.0%

  

  

Curian Long Short Credit
Fund (12.6%) (b)

     4,887      $ 49,702   

Curian/AQR Risk Parity
Fund (12.6%) (b)

     3,902        39,255   

Curian/BlackRock Global Long Short Credit Fund (12.0%) (b)

     4,903        49,523   

Curian/DFA U.S. Micro Cap
Fund (6.6%) (b)

     812        11,688   

Curian/DoubleLine Total Return
Fund (0.6%) (b)

     340        3,399   

Curian/Eaton Vance Global Macro Absolute Return Advantage
Fund (12.4%) (b)

     5,208        49,583   

Curian/Franklin Templeton Frontier Markets Fund (7.0%) (b)

     949        11,732   

Curian/Franklin Templeton Natural Resources Fund (10.7%) (b)

     1,564        14,902   

Curian/Neuberger Berman Currency
Fund (11.9%) (b)

     2,005        19,653   

Curian/Nicholas Convertible Arbitrage
Fund (10.4%) (b)

     2,343        24,719   

Curian/PineBridge Merger Arbitrage
Fund (9.5%) (b)

     2,458        24,748   

Curian/The Boston Company Multi-Alpha Market Neutral Equity Fund (12.5%) (b)

     1,474        14,859   
     Shares     Value  

Curian/UBS Global Long Short Fixed Income Opportunities Fund (7.6%) (b)

     997     

 

9,928

  

Curian/Van Eck International Gold
Fund (10.2%) (b)

     2,533     

 

11,880

  

JNL/AQR Managed Futures Strategy
Fund (10.5%) (b)

     4,904     

 

50,509

  

JNL/BlackRock Commodity Securities
Strategy Fund (1.0%) (b)

     1,347     

 

15,028

  

JNL/Brookfield Global Infrastructure
Fund (4.5%) (b)

     2,066     

 

30,559

  

JNL/Franklin Templeton Global Multisector Bond Fund (0.6%) (b)

     862     

 

10,336

  

JNL/Goldman Sachs Emerging Markets Debt Fund (0.4%) (b)

     297     

 

3,401

  

JNL/Invesco Global Real Estate Fund (1.9%) (b)

     2,994     

 

29,430

  

JNL/Lazard Emerging Markets
Fund (0.8%) (b)

     1,041     

 

11,425

  

JNL/Mellon Capital Bond Index
Fund (2.0%) (b)

     2,637     

 

30,642

  

JNL/Mellon Capital Global Alpha
Fund (10.7%) (b)

     2,455     

 

24,698

  

JNL/Mellon Capital International Index
Fund (3.0%) (b)

     4,847     

 

70,329

  

JNL/Mellon Capital Nasdaq 25
Fund (2.6%) (b)

     824     

 

15,648

  

JNL/Mellon Capital S&P 24
Fund (3.0%) (b)

     2,116     

 

31,388

  

JNL/Mellon Capital S&P SMid 60
Fund (2.3%) (b)

     1,113     

 

15,469

  

JNL/Mellon Capital Small Cap Index
Fund (0.6%) (b)

     695     

 

11,710

  

JNL/Mellon Capital Value Line 30
Fund (2.9%) (b)

     1,606     

 

23,464

  

JNL/Neuberger Berman Strategic
Income Fund (2.2%) (b)

     978     

 

10,265

  

JNL/PPM America Floating Rate Income
Fund (0.2%) (b)

     314     

 

3,428

  

JNL/PPM America High Yield Bond
Fund (0.3%) (b)

     958     

 

6,877

  

JNL/Red Rocks Listed Private Equity
Fund (4.3%) (b)

     2,922     

 

35,563

  

     

 

 

  

Total Investment Companies (cost $707,354)

  

     765,740   
     

 

 

  

Total Investments - 100.0% (cost $707,354)

  

     765,740   

Other Assets and Liabilities, Net - (0.0% )

  

     (143 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     765,597   
     

 

 

  

JNL/American Funds Balanced Allocation Fund

  

INVESTMENT COMPANIES - 100.0%

  

  

American Funds Insurance Series - Blue Chip Income and Growth Fund

     2,604      $ 34,167   

American Funds Insurance Series - Bond Fund

     6,868        73,691   

American Funds Insurance Series - Global Bond Fund

     3,102        36,852   

American Funds Insurance Series - Global Growth and Income Fund

     1,373        17,204   

American Funds Insurance Series - Global Growth Fund

     1,143        34,412   

American Funds Insurance Series - Global Small Capitalization Fund

     1,162        29,843   

American Funds Insurance Series - Growth Fund

     870        68,358   

American Funds Insurance Series - Growth-Income Fund

     928        47,087   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

American Funds Insurance Series - High-Income Bond Fund

     4,261        47,424   

American Funds Insurance Series - International Fund

     604        12,807   

American Funds Insurance Series - New World Fund

     1,360        34,107   

American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund

     2,204        26,312   
     

 

 

  

Total Investment Companies (cost $422,863)

  

     462,264   
     

 

 

  

Total Investments - 100.0% (cost $422,863)

  

     462,264   

Other Assets and Liabilities, Net - (0.0% )

  

     (189 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     462,075   
     

 

 

  

JNL/American Funds Growth Allocation Fund

  

INVESTMENT COMPANIES - 100.0%

  

American Funds Insurance Series - Blue Chip Income and Growth Fund

     2,679      $ 35,143   

American Funds Insurance Series - Bond Fund

     1,392        14,936   

American Funds Insurance Series - Global Bond Fund

     2,095        24,893   

American Funds Insurance Series - Global Growth and Income Fund

     1,402        17,572   

American Funds Insurance Series - Global Growth Fund

     1,401        42,171   

American Funds Insurance Series - Global Small Capitalization Fund

     1,368        35,143   

American Funds Insurance Series - Growth Fund

     895        70,286   

American Funds Insurance Series - Growth-Income Fund

     831        42,171   

American Funds Insurance Series - High-Income Bond Fund

     2,237        24,893   

American Funds Insurance Series - International Fund

     828        17,572   

American Funds Insurance Series - New World Fund

     1,541        38,657   

American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund

     834        9,957   
     

 

 

  

Total Investment Companies (cost $333,708)

  

     373,394   
     

 

 

  

Total Investments - 100.0% (cost $333,708)

  

     373,394   

Other Assets and Liabilities, Net - (0.0% )

  

     (149 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 373,245   
     

 

 

  

JNL Disciplined Moderate Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return
Fund (9.8%) (b)

     5,384      $ 53,845   

JNL/Franklin Templeton Global Multisector Bond Fund (4.0%) (b)

     5,904        70,787   

JNL/Goldman Sachs Emerging Markets Debt Fund (2.7%) (b)

     1,885        21,597   

JNL/JPMorgan U.S. Government & Quality Bond Fund (2.3%) (b)

     2,052        26,900   

JNL/Mellon Capital 25 Fund (1.1%) (b)

     569        11,158   

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund (15.0%) (b)

     1,564        22,153   
     Shares     Value  

JNL/Mellon Capital Emerging Markets Index Fund (9.8%) (b)

     6,951        70,618   

JNL/Mellon Capital International Index
Fund (3.8%) (b)

     6,116        88,745   

JNL/Mellon Capital Pacific Rim 30
Fund (10.6%) (b)

     1,175        16,328   

JNL/Mellon Capital S&P 400 MidCap Index
Fund (4.4%) (b)

     3,880        72,018   

JNL/Mellon Capital S&P 500 Index
Fund (3.2%) (b)

     6,513        99,776   

JNL/Mellon Capital Small Cap Index
Fund (3.0%) (b)

     3,322        55,976   

JNL/Neuberger Berman Strategic Income
Fund (4.6%) (b)

     2,063        21,657   

JNL/PIMCO Real Return Fund (2.1%) (b)

     3,691        37,653   

JNL/PIMCO Total Return Bond
Fund (1.3%) (b)

     5,136        64,766   

JNL/PPM America Floating Rate Income
Fund (2.1%) (b)

     2,983        32,539   

JNL/PPM America High Yield Bond
Fund (1.7%) (b)

     6,083        43,678   

JNL/PPM America Total Return
Fund (10.0%) (b)

     5,241        59,538   

JNL/S&P Competitive Advantage
Fund (5.1%) (b)

     5,261        88,491   

JNL/S&P Dividend Income & Growth
Fund (3.0%) (b)

     6,175        87,938   

JNL/S&P Intrinsic Value Fund (3.1%) (b)

     3,242        50,544   
     

 

 

  

Total Investment Companies (cost $996,321)

  

     1,096,705   
     

 

 

  

Total Investments - 100.0% (cost $996,321)

  

     1,096,705   

Other Assets and Liabilities, Net - (0.0% )

  

     (159 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     1,096,546   
     

 

 

  

JNL Disciplined Moderate Growth Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return
Fund (5.8%) (b)

     3,182      $ 31,818   

JNL/Franklin Templeton Global Multisector Bond Fund (2.4%) (b)

     3,482        41,750   

JNL/Goldman Sachs Emerging Markets Debt Fund (1.6%) (b)

     1,115        12,774   

JNL/JPMorgan U.S. Government & Quality Bond Fund (1.4%) (b)

     1,213        15,901   

JNL/Mellon Capital 25 Fund (2.5%) (b)

     1,334        26,143   

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index
Fund (26.5%) (b)

     2,757        39,033   

JNL/Mellon Capital Emerging Markets Index Fund (19.6%) (b)

     13,900        141,228   

JNL/Mellon Capital International Index
Fund (6.7%) (b)

     10,813        156,891   

JNL/Mellon Capital Pacific Rim 30
Fund (16.7%) (b)

     1,849        25,709   

JNL/Mellon Capital S&P 400 MidCap
Index Fund (7.5%) (b)

     6,696        124,279   

JNL/Mellon Capital S&P 500 Index
Fund (3.8%) (b)

     7,623        116,788   

JNL/Mellon Capital Small Cap Index
Fund (4.3%) (b)

     4,701        79,215   

JNL/Neuberger Berman Strategic
Income Fund (2.7%) (b)

     1,217        12,782   

JNL/PIMCO Real Return Fund (1.2%) (b)

     2,183        22,270   

JNL/PIMCO Total Return Bond
Fund (0.7%) (b)

     3,039        38,320   

JNL/PPM America Floating Rate Income
Fund (1.2%) (b)

     1,760        19,199   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

JNL/PPM America High Yield Bond
Fund (1.0%) (b)

     3,628        26,053   

JNL/PPM America Total Return
Fund (5.9%) (b)

     3,092        35,123   

JNL/S&P Competitive Advantage
Fund (7.9%) (b)

     8,060        135,565   

JNL/S&P Dividend Income & Growth
Fund (3.5%) (b)

     7,248        103,210   

JNL/S&P Intrinsic Value Fund (5.6%) (b)

     5,854        91,260   
     

 

 

  

Total Investment Companies (cost $1,135,765)

  

     1,295,311   
     

 

 

  

Total Investments - 100.0% (cost $1,135,765)

  

     1,295,311   

Other Assets and Liabilities, Net - (0.0% )

  

     (182 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $     1,295,129   
     

 

 

  

JNL Disciplined Growth Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return
Fund (1.0%) (b)

     550      $ 5,498   

JNL/Franklin Templeton Global Multisector Bond Fund (0.6%) (b)

     920        11,029   

JNL/Goldman Sachs Emerging Markets Debt Fund (0.7%) (b)

     481        5,508   

JNL/Mellon Capital 25 Fund (1.3%) (b)

     705        13,830   

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index
Fund (15.0%) (b)

     1,566        22,182   

JNL/Mellon Capital Emerging Markets
Index Fund (12.3%) (b)

     8,696        88,349   

JNL/Mellon Capital International Index
Fund (3.6%) (b)

     5,769        83,708   

JNL/Mellon Capital Pacific Rim 30
Fund (9.0%) (b)

     994        13,815   

JNL/Mellon Capital S&P 400 MidCap
Index Fund (3.7%) (b)

     3,286        60,983   

JNL/Mellon Capital S&P 500 Index
Fund (1.1%) (b)

     2,167        33,197   

JNL/Mellon Capital Small Cap Index
Fund (2.1%) (b)

     2,319        39,069   

JNL/PIMCO Total Return Bond
Fund (0.2%) (b)

     655        8,259   

JNL/PPM America Floating Rate Income
Fund (0.2%) (b)

     252        2,756   

JNL/PPM America High Yield Bond
Fund (0.4%) (b)

     1,540        11,059   

JNL/PPM America Total Return
Fund (1.8%) (b)

     968        11,003   

JNL/S&P Competitive Advantage
Fund (3.5%) (b)

     3,612        60,750   

JNL/S&P Dividend Income & Growth
Fund (1.3%) (b)

     2,714        38,648   

JNL/S&P Intrinsic Value Fund (2.7%) (b)

     2,842        44,304   
     

 

 

  

Total Investment Companies (cost $484,760)

  

     553,947   
     

 

 

  

Total Investments - 100.0% (cost $484,760)

  

     553,947   

Other Assets and Liabilities, Net - (0.0% )

  

     (89 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 553,858   
     

 

 

  

JNL/Franklin Templeton Founding Strategy Fund

  

INVESTMENT COMPANIES—100.0%

  

  

JNL/Franklin Templeton Global Growth
Fund (52.8%) (b)

     44,752      $ 522,259   

JNL/Franklin Templeton Income
Fund (23.6%) (b)

     44,148        517,856   
     Shares     Value  

JNL/Franklin Templeton Mutual Shares Fund (46.4%) (b)

     44,331        519,553   
     

 

 

  

Total Investment Companies (cost $1,224,207)

  

     1,559,668   
     

 

 

  

Total Investments - 100.0% (cost $1,224,207)

  

     1,559,668   

Other Assets and Liabilities, Net - (0.0% )

  

     (116 ) 
     

 

 

  

Total Net Assets - 100.0%

     $     1,559,552   
     

 

 

  

JNL/Mellon Capital 10 x 10 Fund

  

INVESTMENT COMPANIES - 100.0%

  

JNL/Mellon Capital Bond Index
Fund (2.5%) (b)

     3,326      $ 38,647   

JNL/Mellon Capital International Index
Fund (1.7%) (b)

     2,729        39,595   

JNL/Mellon Capital JNL 5 Fund (5.5%) (b)

     16,272        197,052   

JNL/Mellon Capital S&P 400 MidCap Index Fund (2.4%) (b)

     2,126        39,465   

JNL/Mellon Capital S&P 500 Index
Fund (1.3%) (b)

     2,573        39,424   

JNL/Mellon Capital Small Cap Index
Fund (2.1%) (b)

     2,350        39,591   
     

 

 

  

Total Investment Companies (cost $269,489)

  

     393,774   
     

 

 

  

Total Investments - 100.0% (cost $269,489)

  

     393,774   

Other Assets and Liabilities, Net - (0.0% )

  

     (27 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 393,747   
     

 

 

  

JNL/Mellon Capital Index 5 Fund

  

INVESTMENT COMPANIES - 100.0%

  

JNL/Mellon Capital Bond Index
Fund (9.0%) (b)

     12,038      $ 139,879   

JNL/Mellon Capital International Index
Fund (6.2%) (b)

     9,933        144,127   

JNL/Mellon Capital S&P 400 MidCap Index Fund (8.7%) (b)

     7,724        143,363   

JNL/Mellon Capital S&P 500 Index
Fund (4.6%) (b)

     9,339        143,073   

JNL/Mellon Capital Small Cap Index
Fund (7.8%) (b)

     8,541        143,912   
     

 

 

  

Total Investment Companies (cost $559,858)

  

     714,354   
     

 

 

  

Total Investments - 100.0% (cost $559,858)

  

     714,354   

Other Assets and Liabilities, Net - (0.0% )

  

     (45 ) 
     

 

 

  

Total Net Assets - 100.0%

  

   $ 714,309   
     

 

 

  

JNL/S&P 4 Fund

  

INVESTMENT COMPANIES - 100.0%

  

JNL/S&P Competitive Advantage
Fund (44.9%) (b)

     45,938      $ 772,678   

JNL/S&P Dividend Income & Growth Fund (26.4%) (b)

     54,261        772,677   

JNL/S&P Intrinsic Value
Fund (47.8%) (b)

     49,562        772,677   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

JNL/S&P Total Yield Fund (66.2%) (b)

     51,581        772,678   
   

 

 

  

Total Investment Companies (cost $2,364,553)

  

     3,090,710   
   

 

 

  

Total Investments - 100.0% (cost $2,364,553)

       3,090,710   

Other Assets and Liabilities, Net - (0.0% )

       (172 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     3,090,538   
   

 

 

  

JNL/S&P Managed Conservative Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return Fund (9.9%) (b)

     5,450      $ 54,495   

JNL/DFA U.S. Core Equity Fund (7.9%) (b)

     3,757        39,593   

JNL/Eagle SmallCap Equity Fund (1.2%) (b)

     666        19,374   

JNL/Franklin Templeton Global Multisector Bond Fund (7.4%) (b)

     10,882        130,478   

JNL/Franklin Templeton Small Cap Value Fund (2.0%) (b)

     1,214        20,158   

JNL/Goldman Sachs Core Plus Bond Fund (6.5%) (b)

     4,443        50,828   

JNL/Goldman Sachs Emerging Markets Debt Fund (6.1%) (b)

     4,259        48,808   

JNL/Goldman Sachs Mid Cap Value Fund (0.2%) (b)

     154        1,857   

JNL/Invesco Global Real Estate Fund (1.1%) (b)

     1,773        17,425   

JNL/Invesco International Growth Fund (1.5%) (b)

     1,477        18,954   

JNL/JPMorgan International Value Fund (2.3%) (b)

     1,856        15,519   

JNL/JPMorgan MidCap Growth Fund (4.3%) (b)

     1,771        55,020   

JNL/JPMorgan U.S. Government & Quality Bond Fund (16.1%) (b)

     14,402        188,812   

JNL/Lazard Emerging Markets Fund (1.2%) (b)

     1,610        17,659   

JNL/PIMCO Real Return Fund (3.7%) (b)

     6,687        68,212   

JNL/PIMCO Total Return Bond Fund (4.9%) (b)

     20,238        255,200   

JNL/PPM America Floating Rate Income Fund (5.0%) (b)

     7,015        76,537   

JNL/PPM America High Yield Bond Fund (3.5%) (b)

     12,665        90,937   

JNL/PPM America Low Duration Bond Fund (20.3%) (b)

     8,766        87,838   

JNL/PPM America Total Return Fund (19.8%) (b)

     10,402        118,164   

JNL/T. Rowe Price Established Growth Fund (1.4%) (b)

     1,794        59,777   

JNL/T. Rowe Price Short-Term Bond Fund (10.2%) (b)

     17,073        169,709   

JNL/T. Rowe Price Value Fund (2.7%) (b)

     4,111        66,303   

JNL/WMC Value Fund (2.6%) (b)

     1,955        44,984   
   

 

 

  

Total Investment Companies (cost $1,676,502)

  

     1,716,641   
   

 

 

  

Total Investments - 100.0% (cost $1,676,502)

       1,716,641   

Other Assets and Liabilities, Net - (0.0% )

       (263 ) 
   

 

 

  

Total Net Assets - 100.0%

     $ 1,716,378   
   

 

 

  

JNL/S&P Managed Moderate Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return Fund (21.2%) (b)

     11,625      $ 116,254   
     Shares     Value  

JNL/BlackRock Commodity Securities Strategy Fund (3.5%) (b)

     4,523        50,480   

JNL/BlackRock Large Cap Select Growth Fund (2.4%) (b)

     868        24,070   

JNL/DFA U.S. Core Equity Fund (7.5%) (b)

     3,548        37,401   

JNL/Eagle SmallCap Equity Fund (2.9%) (b)

     1,657        48,202   

JNL/Franklin Templeton Global Multisector Bond Fund (11.6%) (b)

     17,028        204,168   

JNL/Franklin Templeton Small Cap Value Fund (7.0%) (b)

     4,364        72,484   

JNL/Goldman Sachs Emerging Markets Debt Fund (13.4%) (b)

     9,292        106,487   

JNL/Goldman Sachs Mid Cap Value Fund (10.0%) (b)

     9,633        116,074   

JNL/Invesco Global Real Estate Fund (3.5%) (b)

     5,425        53,323   

JNL/Invesco International Growth Fund (4.3%) (b)

     4,127        52,947   

JNL/Invesco Small Cap Growth Fund (4.0%) (b)

     1,504        29,464   

JNL/JPMorgan International Value Fund (3.7%) (b)

     2,947        24,634   

JNL/JPMorgan MidCap Growth Fund (11.4%) (b)

     4,717        146,498   

JNL/JPMorgan U.S. Government & Quality Bond Fund (13.0%) (b)

     11,636        152,548   

JNL/Lazard Emerging Markets Fund (5.8%) (b)

     8,036        88,151   

JNL/Oppenheimer Global Growth Fund (3.9%) (b)

     2,671        38,094   

JNL/PIMCO Real Return Fund (6.4%) (b)

     11,413        116,415   

JNL/PIMCO Total Return Bond Fund (7.2%) (b)

     29,634        373,684   

JNL/PPM America Floating Rate Income Fund (7.3%) (b)

     10,321        112,599   

JNL/PPM America High Yield Bond Fund (5.6%) (b)

     20,202        145,048   

JNL/PPM America Low Duration Bond Fund (29.2%) (b)

     12,619        126,443   

JNL/PPM America Total Return Fund (29.6%) (b)

     15,500        176,079   

JNL/T. Rowe Price Established Growth Fund (8.1%) (b)

     10,630        354,311   

JNL/T. Rowe Price Short-Term Bond Fund (15.2%) (b)

     25,345        251,930   

JNL/T. Rowe Price Value Fund (8.2%) (b)

     12,360        199,374   

JNL/WMC Value Fund (7.2%) (b)

     5,484        126,184   
   

 

 

  

Total Investment Companies (cost $3,105,977)

  

     3,343,346   
   

 

 

  

Total Investments - 100.0% (cost $3,105,977)

       3,343,346   

Other Assets and Liabilities, Net - (0.0% )

       (472 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     3,342,874   
   

 

 

  

JNL/S&P Managed Moderate Growth Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return Fund (17.5%) (b)

     9,614      $ 96,144   

JNL/BlackRock Commodity Securities Strategy Fund (8.6%) (b)

     11,184        124,810   

JNL/BlackRock Large Cap Select Growth Fund (8.1%) (b)

     2,980        82,614   

JNL/Eagle SmallCap Equity Fund (9.6%) (b)

     5,405        157,234   

JNL/Franklin Templeton Global Multisector Bond Fund (18.6%) (b)

     27,165        325,712   

JNL/Franklin Templeton Small Cap Value Fund (14.4%) (b)

     8,951        148,677   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

JNL/Goldman Sachs Core Plus Bond Fund (9.8%) (b)

     6,668        76,278   

JNL/Goldman Sachs Emerging Markets Debt Fund (18.1%) (b)

     12,590        144,282   

JNL/Goldman Sachs Mid Cap Value Fund (16.0%) (b)

     15,410        185,696   

JNL/Invesco Global Real Estate Fund (8.7%) (b)

     13,725        134,912   

JNL/Invesco International Growth Fund (16.7%) (b)

     16,018        205,511   

JNL/Invesco Large Cap Growth Fund (19.5%) (b)

     11,870        198,118   

JNL/Invesco Mid Cap Value Fund (14.6%) (b)

     3,648        55,629   

JNL/Invesco Small Cap Growth Fund (12.7%) (b)

     4,748        93,021   

JNL/JPMorgan International Value Fund (11.1%) (b)

     8,975        75,033   

JNL/JPMorgan MidCap Growth Fund (19.0%) (b)

     7,899        245,354   

JNL/JPMorgan U.S. Government & Quality Bond Fund (13.7%) (b)

     12,240        160,471   

JNL/Lazard Emerging Markets Fund (16.6%) (b)

     23,093        253,330   

JNL/Morgan Stanley Mid Cap Growth Fund (34.3%) (b)

     5,475        71,884   

JNL/Oppenheimer Global Growth Fund (11.1%) (b)

     7,684        109,575   

JNL/PIMCO Real Return Fund (5.2%) (b)

     9,273        94,581   

JNL/PIMCO Total Return Bond Fund (9.1%) (b)

     37,424        471,917   

JNL/PPM America Floating Rate Income Fund (3.3%) (b)

     4,637        50,590   

JNL/PPM America High Yield Bond Fund (9.3%) (b)

     33,601        241,256   

JNL/PPM America Low Duration Bond Fund (37.9%) (b)

     16,396        164,285   

JNL/PPM America Mid Cap Value Fund (6.8%) (b)

     1,444        21,556   

JNL/PPM America Total Return Fund (26.3%) (b)

     13,811        156,891   

JNL/T. Rowe Price Established Growth Fund (18.4%) (b)

     24,163        805,337   

JNL/T. Rowe Price Short-Term Bond Fund (16.6%) (b)

     27,706        275,398   

JNL/T. Rowe Price Value Fund (18.3%) (b)

     27,590        445,027   

JNL/WMC Value Fund (21.3%) (b)

     16,157        371,762   
   

 

 

  

Total Investment Companies (cost $5,347,587)

  

     6,042,885   
   

 

 

  

Total Investments - 100.0% (cost $5,347,587)

  

     6,042,885   

Other Assets and Liabilities, Net - (0.0% )

       (833 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     6,042,052   
   

 

 

  

JNL/S&P Managed Growth Fund

  

INVESTMENT COMPANIES - 100.0%

  

Curian/DoubleLine Total Return Fund (11.0%) (b)

     6,044      $ 60,436   

JNL/BlackRock Commodity Securities Strategy Fund (8.3%) (b)

     10,770        120,194   

JNL/BlackRock Large Cap Select Growth Fund (19.1%) (b)

     6,983        193,573   

JNL/Eagle SmallCap Equity Fund (9.1%) (b)

     5,151        149,830   

JNL/Franklin Templeton Global Multisector Bond Fund (2.1%) (b)

     3,072        36,835   

JNL/Franklin Templeton Small Cap Value Fund (11.8%) (b)

     7,344        121,986   
     Shares     Value  

JNL/Goldman Sachs Emerging Markets Debt Fund (9.0%) (b)

     6,245        71,574   

JNL/Goldman Sachs Mid Cap Value Fund (13.6%) (b)

     13,139        158,320   

JNL/Invesco Global Real Estate Fund (6.1%) (b)

     9,587        94,235   

JNL/Invesco International Growth Fund (19.0%) (b)

     18,212        233,664   

JNL/Invesco Large Cap Growth Fund (19.0%) (b)

     11,596        193,535   

JNL/Invesco Mid Cap Value Fund (10.3%) (b)

     2,565        39,121   

JNL/Invesco Small Cap Growth Fund (8.0%) (b)

     3,006        58,894   

JNL/JPMorgan International Value Fund (11.7%) (b)

     9,422        78,770   

JNL/JPMorgan MidCap Growth Fund (15.3%) (b)

     6,366        197,731   

JNL/JPMorgan U.S. Government & Quality Bond Fund (3.5%) (b)

     3,161        41,444   

JNL/Lazard Emerging Markets Fund (13.9%) (b)

     19,347        212,239   

JNL/M&G Global Basics Fund (42.7%) (b)

     5,370        72,604   

JNL/Morgan Stanley Mid Cap Growth Fund (24.3%) (b)

     3,878        50,914   

JNL/Oppenheimer Global Growth Fund (13.2%) (b)

     9,117        130,003   

JNL/PIMCO Real Return Fund (2.0%) (b)

     3,535        36,057   

JNL/PIMCO Total Return Bond Fund (4.0%) (b)

     16,401        206,821   

JNL/PPM America High Yield Bond Fund (4.5%) (b)

     16,342        117,335   

JNL/PPM America Mid Cap Value Fund (6.8%) (b)

     1,444        21,556   

JNL/PPM America Total Return Fund (6.5%) (b)

     3,420        38,853   

JNL/T. Rowe Price Established Growth Fund (14.8%) (b)

     19,429        647,582   

JNL/T. Rowe Price Mid-Cap Growth Fund (4.9%) (b)

     3,357        125,792   

JNL/T. Rowe Price Short-Term Bond Fund (11.3%) (b)

     18,779        186,659   

JNL/T. Rowe Price Value Fund (19.7%) (b)

     29,679        478,716   

JNL/WMC Value Fund (19.5%) (b)

     14,766        339,758   
   

 

 

  

Total Investment Companies (cost $3,820,461)

  

     4,515,031   
   

 

 

  

Total Investments - 100.0% (cost $3,820,461)

  

     4,515,031   

Other Assets and Liabilities, Net - (0.0% )

  

     (627 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     4,514,404   
   

 

 

  

JNL/S&P Managed Aggressive Growth Fund

  

INVESTMENT COMPANIES - 100.0%

  

JNL/BlackRock Commodity Securities Strategy Fund (2.0%) (b)

     2,632      $ 29,378   

JNL/BlackRock Large Cap Select Growth Fund (7.8%) (b)

     2,866        79,440   

JNL/Eagle SmallCap Equity Fund (3.6%) (b)

     2,054        59,744   

JNL/Franklin Templeton Small Cap Value Fund (5.2%) (b)

     3,233        53,706   

JNL/Goldman Sachs Emerging Markets Debt Fund (3.3%) (b)

     2,304        26,401   

JNL/Goldman Sachs Mid Cap Value Fund (7.1%) (b)

     6,835        82,367   

JNL/Invesco Global Real Estate Fund (2.0%) (b)

     3,203        31,481   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares     Value  

JNL/Invesco International Growth Fund (9.0%) (b)

     8,639        110,832   

JNL/Invesco Large Cap Growth Fund (7.7%) (b)

     4,688        78,249   

JNL/Invesco Small Cap Growth Fund (3.7%) (b)

     1,389        27,208   

JNL/JPMorgan International Value Fund (1.1%) (b)

     868        7,258   

JNL/JPMorgan MidCap Growth Fund (6.4%) (b)

     2,664        82,740   

JNL/Lazard Emerging Markets Fund (5.8%) (b)

     8,048        88,283   

JNL/M&G Global Basics Fund (18.0%) (b)

     2,269        30,681   

JNL/Morgan Stanley Mid Cap Growth Fund (11.2%) (b)

     1,794        23,551   

JNL/Oppenheimer Global Growth Fund (6.0%) (b)

     4,159        59,302   

JNL/PIMCO Total Return Bond Fund (0.9%) (b)

     3,764        47,467   

JNL/PPM America High Yield Bond Fund (1.1%) (b)

     3,828        27,486   

JNL/T. Rowe Price Established Growth Fund (5.1%) (b)

     6,653        221,752   

JNL/T. Rowe Price Mid-Cap Growth Fund (2.6%) (b)

     1,773        66,444   

JNL/T. Rowe Price Short-Term Bond Fund (1.6%) (b)

     2,702        26,859   

JNL/T. Rowe Price Value Fund (7.2%) (b)

     10,843        174,890   

JNL/WMC Value Fund (8.3%) (b)

     6,264        144,137   
   

 

 

  

Total Investment Companies (cost $1,301,060)

  

     1,579,656   
   

 

 

  

Total Investments - 100.0% (cost $1,301,060)

  

     1,579,656   

Other Assets and Liabilities, Net - (0.0% )

  

     (237 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,579,419   
   

 

 

  

 

(a)

Investment in affiliate.

(b)

At December 31, 2013, the Fund’s percentage ownership of the underlying affiliated fund is presented parenthetically. The Fund does not invest in the underlying affiliated funds for the purpose of exercising management or control.

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

   

JNL/American

Funds Blue

Chip Income

and Growth

Fund(d)

    

JNL/American

Funds

Global

Bond Fund(d)

    

JNL/American

Funds Global
Small
Capitalization
Fund(d)

    

JNL/American

Funds Growth-

Income

Fund(d)

    

JNL/American

Funds
International
Fund(d)

    

JNL/American

Funds New
World Fund(d)

    

JNL Institutional

Alt 20 Fund

  

Assets

              

Investments - unaffiliated, at value (a)

   $ –      $ –      $ –      $ –      $ –      $ –      $ –   

Investments - affiliated, at value (b)

     1,214,856        455,412        336,834        1,645,403        562,154        647,489        1,772,495   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     1,214,856        455,412        336,834        1,645,403        562,154        647,489        1,772,495   

Receivable for investments sold

     –        –        –        –        –        –        598   

Receivable for fund shares sold

     762        569        324        2,397        749        676        319   

Receivable from adviser

     480        213        168        539        277        427        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     1,216,098        456,194        337,326        1,648,339        563,180        648,592        1,773,412   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Payable for advisory fees

     692        271        209        918        393        561        169   

Payable for administrative fees

     150        57        42        203        68        80        74   

Payable for 12b-1 fee (Class A)

     90        34        25        122        42        48        –   

Payable for investment securities purchased

     430        415        37        2,066        626        509        –   

Payable for fund shares redeemed

     332        155        287        331        123        167        917   

Payable for trustee fees

     12        8        4        15        3        4        28   

Payable for other expenses

     3        1        1        3        1        1        4   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     1,709        941        605        3,658        1,256        1,370        1,192   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 1,214,389      $ 455,253      $ 336,721      $ 1,644,681      $ 561,924      $ 647,222      $ 1,772,220   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

  

            

Paid-in capital

   $ 906,718      $ 467,019      $ 270,504      $ 1,212,828      $ 461,907      $ 565,997      $ 1,519,072   

Undistributed (excess of distributions over) net investment income

     17,057        41        853        13,908        4,995        6,135        30,358   

Accumulated net realized gain (loss)

     2,907        3,017        2,509        16,798        3,054        4,928        17,047   

Net unrealized appreciation (depreciation) on investments

     287,707        (14,824 )      62,855        401,147        91,968        70,162        205,743   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,214,389      $ 455,253      $ 336,721      $ 1,644,681      $ 561,924      $ 647,222      $ 1,772,220   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 1,214,231      $ 455,032      $ 336,588      $ 1,644,396      $ 561,746      $ 647,045      $ 1,772,220   

Shares outstanding (no par value), unlimited shares authorized

     81,077        43,152        25,500        105,597        43,679        52,300        108,787   

Net asset value per share

   $ 14.98      $ 10.54      $ 13.20      $ 15.57      $ 12.86      $ 12.37      $ 16.29   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 158      $ 221      $ 133      $ 285      $ 178      $ 177        N/A   

Shares outstanding (no par value), unlimited shares authorized

     11        21        10        18        14        14        N/A   

Net asset value per share

   $ 15.05      $ 10.61      $ 13.26      $ 15.64      $ 12.93      $ 12.43        N/A   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ –      $ –      $ –      $ –      $ –      $ –      $ –   

(b)    Investments - affiliated, at cost

     927,149        470,236        273,979        1,244,256        470,186        577,327        1,566,752   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 927,149      $ 470,236      $ 273,979      $ 1,244,256      $ 470,186      $ 577,327      $ 1,566,752   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
(d) The Master Funds for the JNL American Master Feeder Funds are the Class 1 shares of the corresponding American Fund Insurance Series Fund. These financial statements should be read in conjunction with each Master Fund’s shareholder report.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL Institutional
Alt 35 Fund		     JNL Institutional
Alt 50 Fund		     JNL Institutional
Alt 65 Fund		    

JNL/American

Funds Balanced

Allocation Fund

    

JNL/American

Funds Growth
Allocation Fund

    

JNL Disciplined

Moderate Fund

    

JNL Disciplined

Moderate
Growth Fund

  

Assets

              

Investments - unaffiliated, at value (a)

   $ –      $ –      $ –      $ 462,264      $ 373,394      $ –      $ –   

Investments - affiliated, at value (b)

     2,409,737        3,312,521        765,740        –        –        1,096,705        1,295,311   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     2,409,737        3,312,521        765,740        462,264        373,394        1,096,705        1,295,311   

Receivable for investments sold

     719        –        493        –        –        –        –   

Receivable for fund shares sold

     561        2,138        80        1,385        1,639        529        604   

Receivable from adviser

     –        –        –        19        15        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     2,411,017        3,314,659        766,313        463,668        375,048        1,097,234        1,295,915   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Payable for advisory fees

     223        298        86        114        90        94        107   

Payable for administrative fees

     101        139        33        58        45        46        54   

Payable for 12b-1 fee (Class A)

     –        –        –        34        27        –        –   

Payable for investment securities purchased

     –        492        –        1,249        1,531        274        412   

Payable for fund shares redeemed

     1,279        1,646        572        135        108        255        192   

Payable for trustee fees

     40        53        23        2        1        17        19   

Payable for other expenses

     5        7        2        1        1        2        2   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     1,648        2,635        716        1,593        1,803        688        786   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 2,409,369      $ 3,312,024      $ 765,597      $ 462,075      $ 373,245      $ 1,096,546      $ 1,295,129   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

  

            

Paid-in capital

   $ 2,090,725      $ 2,933,074      $ 681,093      $ 415,285      $ 327,412      $ 918,268      $ 1,048,672   

Undistributed (excess of distributions over) net investment income

     38,302        49,143        9,900        6,429        4,175        26,589        27,202   

Accumulated net realized gain (loss)

     22,300        27,466        16,218        960        1,972        51,305        59,709   

Net unrealized appreciation (depreciation) on investments

     258,042        302,341        58,386        39,401        39,686        100,384        159,546   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 2,409,369      $ 3,312,024      $ 765,597      $ 462,075      $ 373,245      $ 1,096,546      $ 1,295,129   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 2,409,369      $ 3,312,024      $ 765,597      $ 462,075      $ 373,245      $ 1,096,546      $ 1,295,129   

Shares outstanding (no par value), unlimited shares authorized

     145,041        197,246        47,241        38,705        29,717        90,776        111,394   

Net asset value per share

   $ 16.61      $ 16.79      $ 16.21      $ 11.94      $ 12.56      $ 12.08      $ 11.63   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

     N/A        N/A        N/A        N/A        N/A        N/A        N/A   

Shares outstanding (no par value), unlimited shares authorized

     N/A        N/A        N/A        N/A        N/A        N/A        N/A   

Net asset value per share

     N/A        N/A        N/A        N/A        N/A        N/A        N/A   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ –      $ –      $ –      $ 422,863      $ 333,708      $ –      $ –   

(b)    Investments - affiliated, at cost

     2,151,695        3,010,180        707,354        –        –        996,321        1,135,765   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 2,151,695      $ 3,010,180      $ 707,354      $ 422,863      $ 333,708      $ 996,321      $ 1,135,765   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL Disciplined
Growth Fund		    

JNL/Franklin

Templeton

Founding

Strategy Fund

    

JNL/Mellon

Capital 10 x 10

Fund

    

JNL/Mellon

Capital Index 5

Fund

     JNL/S&P 4 Fund    

JNL/S&P

Managed

Conservative

Fund

    

JNL/S&P

Managed

Moderate Fund

  

Assets

              

Investments - unaffiliated, at value (a)

   $ –      $ –      $ –      $ –      $ –      $ –      $ –   

Investments - affiliated, at value (b)

     553,947        1,559,668        393,774        714,354        3,090,710        1,716,641        3,343,346   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     553,947        1,559,668        393,774        714,354        3,090,710        1,716,641        3,343,346   

Receivable for investments sold

     –        –        771        226        –        1,721        577   

Receivable for fund shares sold

     631        1,464        198        172        6,287        183        895   

Receivable from adviser

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     554,578        1,561,132        394,743        714,752        3,096,997        1,718,545        3,344,818   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Payable for advisory fees

     58        –        –        –        –        139        246   

Payable for administrative fees

     23        65        16        30        126        73        141   

Payable for 12b-1 fee (Class A)

     –        –        –        –        –        –        –   

Payable for investment securities purchased

     517        205        –        –        3,556        –        –   

Payable for fund shares redeemed

     114        1,259        968        397        2,731        1,904        1,471   

Payable for trustee fees

     7        48        11        14        40        47        79   

Payable for other expenses

     1        3        1        2        6        4        7   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     720        1,580        996        443        6,459        2,167        1,944   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 553,858      $ 1,559,552      $ 393,747      $ 714,309      $ 3,090,538      $ 1,716,378      $ 3,342,874   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

  

            

Paid-in capital

   $ 453,801      $ 1,286,542      $ 287,442      $ 529,702      $ 2,203,505      $ 1,660,272      $ 3,063,872   

Undistributed (excess of distributions over) net investment income

     10,453        27,072        7,481        10,295        92,582        4,931        6,853   

Accumulated net realized gain (loss)

     20,417        (89,523 )      (25,461 )      19,816        68,294        11,036        34,780   

Net unrealized appreciation (depreciation) on investments

     69,187        335,461        124,285        154,496        726,157        40,139        237,369   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 553,858      $ 1,559,552      $ 393,747      $ 714,309      $ 3,090,538      $ 1,716,378      $ 3,342,874   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 553,858      $ 1,559,552      $ 393,747      $ 714,309      $ 3,090,538      $ 1,716,378      $ 3,342,874   

Shares outstanding (no par value), unlimited shares authorized

     50,920        131,576        35,579        58,553        184,378        143,646        257,308   

Net asset value per share

   $ 10.88      $ 11.85      $ 11.07      $ 12.20      $ 16.76      $ 11.95      $ 12.99   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

     N/A        N/A        N/A        N/A        N/A        N/A        N/A   

Shares outstanding (no par value), unlimited shares authorized

     N/A        N/A        N/A        N/A        N/A        N/A        N/A   

Net asset value per share

     N/A        N/A        N/A        N/A        N/A        N/A        N/A   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ –      $ –      $ –      $ –      $ –      $ –      $ –   

(b)    Investments - affiliated, at cost

     484,760        1,224,207        269,489        559,858        2,364,553        1,676,502        3,105,977   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 484,760      $ 1,224,207      $ 269,489      $ 559,858      $ 2,364,553      $ 1,676,502      $ 3,105,977   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

   

JNL/S&P

Managed
Moderate
Growth Fund

    

JNL/S&P

Managed
Growth Fund

    

JNL/S&P

Managed
Aggressive
Growth Fund

  

Assets

      

Investments - unaffiliated, at value (a)

   $ –      $ –      $ –   

Investments - affiliated, at value (b)

     6,042,885        4,515,031        1,579,656   
 

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     6,042,885        4,515,031        1,579,656   

Receivable for investments sold

     76        –        –   

Receivable for fund shares sold

     2,267        2,325        1,070   

Receivable from adviser

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Total assets

     6,045,228        4,517,356        1,580,726   
 

 

 

    

 

 

    

 

 

  

Liabilities

      

Payable for advisory fees

     426        321        126   

Payable for administrative fees

     253        187        65   

Payable for 12b-1 fee
(Class A)

     –        –        –   

Payable for investment securities purchased

     –        166        58   

Payable for fund shares redeemed

     2,343        2,159        1,011   

Payable for trustee fees

     142        111        44   

Payable for other expenses

     12        8        3   
 

 

 

    

 

 

    

 

 

  

Total liabilities

     3,176        2,952        1,307   
 

 

 

    

 

 

    

 

 

  

Net assets

   $ 6,042,052      $ 4,514,404      $ 1,579,419   
 

 

 

    

 

 

    

 

 

  

Net assets consist of:

      

Paid-in capital

   $ 5,254,552      $ 3,728,820      $ 1,288,247   

Undistributed (excess of distributions over) net investment income

     14,665        25,028        7,842   

Accumulated net realized gain (loss)

     77,537        65,986        4,734   

Net unrealized appreciation (depreciation) on investments

     695,298        694,570        278,596   
 

 

 

    

 

 

    

 

 

  
  $ 6,042,052      $ 4,514,404      $ 1,579,419   
 

 

 

    

 

 

    

 

 

  

Class A

      

Net assets

   $ 6,042,052      $ 4,514,404      $ 1,579,419   

Shares outstanding (no par value), unlimited shares authorized

     429,438        315,099        95,824   

Net asset value per share

   $ 14.07      $ 14.33      $ 16.48   
 

 

 

    

 

 

    

 

 

  

Class B

      

Net assets

     N/A        N/A        N/A   

Shares outstanding (no par value), unlimited shares authorized

     N/A        N/A        N/A   

Net asset value per share

     N/A        N/A        N/A   

 

  

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ –      $ –      $ –   

(b)    Investments - affiliated, at cost

     5,347,587        3,820,461        1,301,060   
 

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 5,347,587      $ 3,820,461      $ 1,301,060   
 

 

 

    

 

 

    

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/American

Funds Blue
Chip Income
and Growth
Fund(b)

    

JNL/American

Funds Global
Bond Fund(b)

    

JNL/American

Funds Global
Small
Capitalization
Fund(b)

    

JNL/American

Funds Growth-

Income
Fund(b)

    

JNL/American

Funds
International
Fund(b)

    

JNL/American

Funds New
World Fund(b)

    

JNL

Institutional Alt
20 Fund

  

Investment income

  

Dividends (a)

   $ –      $ –      $ –      $ –      $ –      $ –      $ 28,967   

Dividends received from master fund (a)

     23,095        –        2,334        22,490        7,994        9,674        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     23,095        –        2,334        22,490        7,994        9,674        28,967   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     6,666        3,222        2,007        8,542        3,797        5,693        1,852   

Administrative fees

     1,432        691        401        1,857        670        814        801   

12b-1 fees (Class A)

     2,387        1,150        669        3,094        1,116        1,355        –   

Legal fees

     4        2        1        6        1        2        7   

Trustee fees

     13        7        4        16        3        4        22   

Other expenses

     9        6        2        13        4        5        19   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     10,511        5,078        3,084        13,528        5,591        7,873        2,701   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     (4,479 )      (2,532 )      (1,605 )      (4,952 )      (2,595 )      (4,338 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     6,032        2,546        1,479        8,576        2,996        3,535        2,701   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     17,063        (2,546 )      855        13,914        4,998        6,139        26,266   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     –        –        –        –        –        –        –   

Affiliated investments

     3,027        353        2,587        16,799        3,108        2,581        9,882   

Distributions from unaffiliated investment companies

     –        –        –        –        –        –        –   

Distributions from affiliated investment companies

     –        5,653        –        –        –        2,392        12,182   

Net change in unrealized appreciation (depreciation) on investments

     242,550        (17,725 )      61,095        321,350        79,564        48,310        159,544   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     245,577        (11,719 )      63,682        338,149        82,672        53,283        181,608   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 262,640      $ (14,265 )    $ 64,537      $ 352,063      $ 87,670      $ 59,422      $ 207,874   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 23,095      $ —      $ 2,334      $ 22,490      $ 7,994      $ 9,674      $ 28,967   
(b)

The Master Funds for the JNL American Master Feeder Funds are the Class 1 shares of the corresponding American Fund Insurance Series Fund. These financial statements should be read in conjunction with each Master Fund’s shareholder report.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

   

JNL

Institutional Alt

35 Fund

    

JNL

Institutional Alt

50 Fund

    

JNL

Institutional Alt

65 Fund

    

JNL/American

Funds

Balanced

Allocation Fund

    

JNL/American

Funds Growth

Allocation Fund

    

JNL Disciplined

Moderate Fund

    

JNL Disciplined

Moderate

Growth Fund

  

Investment income

              

Dividends (a)

   $ 37,190      $ 48,357      $ 10,432      $ 8,102      $ 5,477      $ 16,812      $ 16,995   

Dividends received from master fund

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     37,190        48,357        10,432        8,102        5,477        16,812        16,995   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     2,492        3,362        1,087        892        645        1,000        1,085   

Administrative fees

     1,121        1,556        418        446        323        469        522   

12b-1 fees (Class A)

     –        –        –        743        538        –        –   

Legal fees

     10        15        4        1        1        4        4   

Trustee fees

     32        44        13        4        2        13        14   

Other expenses

     27        36        12        2        1        9        10   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     3,682        5,013        1,534        2,088        1,510        1,495        1,635   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        (105 )      (78 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     3,682        5,013        1,534        1,983        1,432        1,495        1,635   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     33,508        43,344        8,898        6,119        4,045        15,317        15,360   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     –        –        –        18        1,647        –        –   

Affiliated investments

     16,058        25,215        18,005        –        –        43,026        49,549   

Distributions from unaffiliated investment companies

     –        –        –        1,265        463        –        –   

Distributions from affiliated investment companies

     14,324        16,519        3,025        –        –        22,144        26,647   

Net change in unrealized appreciation (depreciation) on investments

     198,806        219,634        45,479        35,997        36,265        64,591        118,928   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     229,188        261,368        66,509        37,280        38,375        129,761        195,124   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 262,696      $ 304,712      $ 75,407      $ 43,399      $ 42,420      $ 145,078      $ 210,484   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 37,190      $ 48,357      $ 10,432      $ —      $ —      $ 16,812      $ 16,995   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

   

JNL Disciplined

Growth Fund

    

JNL/Franklin

Templeton

Founding

Strategy Fund

    

JNL/Mellon

Capital 10 x 10

Fund

    

JNL/Mellon

Capital Index 5

Fund

    

JNL/S&P 4

Fund

    

JNL/S&P

Managed

Conservative

Fund

    

JNL/S&P

Managed

Moderate Fund

  

Investment income

              

Dividends (a)

   $ 7,046      $ 27,849      $ 7,469      $ 9,892      $ 25,388      $ 33,920      $ 52,204   

Dividends received from master fund

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     7,046        27,849        7,469        9,892        25,388        33,920        52,204   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     547        –        –        –        –        1,697        2,768   

Administrative fees

     211        695        176        316        1,009        905        1,573   

12b-1 fees (Class A)

     –        –        –        –        –        –        –   

Legal fees

     2        6        1        3        9        8        14   

Trustee fees

     6        20        5        9        25        27        45   

Other expenses

     3        18        3        6        19        25        39   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     769        739        185        334        1,062        2,662        4,439   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     769        739        185        334        1,062        2,662        4,439   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     6,277        27,110        7,284        9,558        24,326        31,258        47,765   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     –        –        –        –        –        –        –   

Affiliated investments

     15,646        (1,021 )      11,732        22,222        39,403        60,090        94,486   

Distributions from unaffiliated investment companies

     –        –        –        –        –        –        –   

Distributions from affiliated investment companies

     10,728        –        2,960        10,724        120,298        25,682        75,522   

Net change in unrealized appreciation (depreciation) on investments

     57,272        270,920        63,514        91,270        509,008        (39,678 )      93,817   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     83,646        269,899        78,206        124,216        668,709        46,094        263,825   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 89,923      $ 297,009      $ 85,490      $ 133,774      $ 693,035      $ 77,352      $ 311,590   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 7,046      $ 27,849      $ 7,469      $ 9,892      $ 25,388      $ 33,920      $ 52,204   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/S&P

Managed

Moderate

Growth Fund

    

JNL/S&P

Managed

Growth Fund

    

JNL/S&P

Managed

Aggressive

Growth Fund

  

Investment income

      

Dividends (a)

   $ 83,662      $ 48,711      $ 15,005   

Dividends received from master fund

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Total investment income

     83,662        48,711        15,005   
 

 

 

    

 

 

    

 

 

  

Expenses

      

Advisory fees

     4,583        3,336        1,297   

Administrative fees

     2,708        1,929        654   

12b-1 fees (Class A)

     –        –        –   

Legal fees

     25        18        6   

Trustee fees

     76        53        18   

Other expenses

     65        44        14   
 

 

 

    

 

 

    

 

 

  

Total expenses

     7,457        5,380        1,989   
 

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Net expenses

     7,457        5,380        1,989   
 

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     76,205        43,331        13,016   
 

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

      

Net realized gain (loss) on:

      

Unaffiliated investments

     –        –        –   

Affiliated investments

     165,464        156,501        59,671   

Distributions from unaffiliated investment companies

     –        –        –   

Distributions from affiliated investment companies

     145,585        131,448        53,012   

Net change in unrealized appreciation (depreciation) on investments

     411,877        454,248        175,650   
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     722,926        742,197        288,333   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 799,131      $ 785,528      $ 301,349   

 

  

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 83,662      $ 48,711      $ 15,005   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/American

Funds Blue

Chip Income

and Growth

Fund(a)

    

JNL/American

Funds Global

Bond Fund(a)

    

JNL/American

Funds Global

Small

Capitalization

Fund(a)

    

JNL/American

Funds Growth-

Income

Fund(a)

    

JNL/American

Funds

International

Fund(a)

    

JNL/American

Funds New

World Fund(a)

    

JNL

Institutional Alt

20 Fund

  

Operations

              

Net investment income (loss)

   $ 17,063      $ (2,546 )    $ 855      $ 13,914      $ 4,998      $ 6,139      $ 26,266   

Net realized gain (loss)

     3,027        6,006        2,587        16,799        3,108        4,973        22,064   

Net change in unrealized appreciation (depreciation)

     242,550        (17,725 )      61,095        321,350        79,564        48,310        159,544   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     262,640        (14,265 )      64,537        352,063        87,670        59,422        207,874   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (11,218 )      (9,701 )      (1,871 )      (10,238 )      (3,804 )      (3,060 )      (32,596 ) 

Class B

     (2 )      (5 )      (1 )      (2 )      (1 )      (1 )      –   

From net realized gains

              

Class A

     (4,729 )      (2,151 )      (635 )      (1,276 )      (756 )      (1,049 )      (27,405 ) 

Class B

     (1 )      (1 )      –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (15,950 )      (11,858 )      (2,507 )      (11,516 )      (4,561 )      (4,110 )      (60,001 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     415,370        164,773        127,907        685,757        204,625        241,916        376,247   

Class B

     46        75        24        102        34        43        –   

Reinvestment of distributions

              

Class A

     15,947        11,852        2,506        11,514        4,560        4,109        60,001   

Class B

     3        6        1        2        1        1        –   

Cost of shares redeemed

              

Class A

     (162,529 )      (161,757 )      (61,452 )      (257,566 )      (90,483 )      (118,571 )      (217,791 ) 

Class B

     (41 )      (107 )      (26 )      (51 )      (47 )      (19 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     268,796        14,842        68,960        439,758        118,690        127,479        218,457   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     515,486        (11,281 )      130,990        780,305        201,799        182,791        366,330   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     698,903        466,534        205,731        864,376        360,125        464,431        1,405,890   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 1,214,389      $ 455,253      $ 336,721      $ 1,644,681      $ 561,924      $ 647,222      $ 1,772,220   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 17,057      $ 41      $ 853      $ 13,908      $ 4,995      $ 6,135      $ 30,358   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     31,100        15,147        10,692        50,553        17,512        20,861        23,986   

Class B

     4        7        2        8        3        4        –   

Reinvestment of distributions

              

Class A

     1,106        1,125        193        769        367        340        3,778   

Class B

     –        1        –        –        –        –        –   

Shares redeemed

              

Class A

     (12,068 )      (14,922 )      (5,158 )      (18,935 )      (7,807 )      (10,260 )      (13,819 ) 

Class B

     (3 )      (10 )      (2 )      (4 )      (4 )      (2 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     20,138        1,350        5,727        32,387        10,072        10,941        13,945   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     1        (2 )      –        4        (1 )      2        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 280,424      $ 81,783      $ 82,958      $ 500,272      $ 137,656      $ 157,990      $ 588,223   

Proceeds from sales of securities

     10,340        75,692        15,605        57,791        18,461        26,016        391,261   

 

(a)

The Master Funds for the JNL American Master Feeder Funds are the Class 1 shares of the corresponding American Fund Insurance Series Fund. These financial statements should be read in conjunction with each Master Fund’s shareholder report.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

   

JNL
Institutional Alt

35 Fund

    

JNL

Institutional Alt

50 Fund

    

JNL

Institutional Alt

65 Fund

    

JNL/American

Funds

Balanced

Allocation Fund

     JNL/American
Funds Growth
Allocation Fund		     JNL Disciplined
Moderate Fund		     JNL Disciplined
Moderate
Growth Fund		  

Operations

              

Net investment income (loss)

   $ 33,508      $ 43,344      $ 8,898      $ 6,119      $ 4,045      $ 15,317      $ 15,360   

Net realized gain (loss)

     30,382        41,734        21,030        1,283        2,110        65,170        76,196   

Net change in unrealized appreciation (depreciation)

     198,806        219,634        45,479        35,997        36,265        64,591        118,928   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     262,696        304,712        75,407        43,399        42,420        145,078        210,484   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (37,476 )      (40,698 )      (8,254 )      (2,353 )      (1,323 )      (12,966 )      (12,356 ) 

Class B

     –        –        –        –        –        –        –   

From net realized gains

              

Class A

     (42,632 )      (33,152 )      (17,787 )      (212 )      (260 )      (17,651 )      (23,566 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (80,108 )      (73,850 )      (26,041 )      (2,565 )      (1,583 )      (30,617 )      (35,922 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     499,392        806,896        30,222        321,003        269,689        351,914        430,411   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     80,108        73,850        26,041        2,565        1,583        30,617        35,922   

Class B

     –        –        –        –        –        –        –   

Cost of shares redeemed

              

Class A

     (372,806 )      (598,789 )      (250,927 )      (50,912 )      (43,788 )      (161,500 )      (163,740 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     206,694        281,957        (194,664 )      272,656        227,484        221,031        302,593   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     389,282        512,819        (145,298 )      313,490        268,321        335,492        477,155   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     2,020,087        2,799,205        910,895        148,585        104,924        761,054        817,974   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 2,409,369      $ 3,312,024      $ 765,597      $ 462,075      $ 373,245      $ 1,096,546      $ 1,295,129   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 38,302      $ 49,143      $ 9,900      $ 6,429      $ 4,175      $ 26,589      $ 27,202   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     31,036        49,606        1,893        28,771        23,331        30,571        39,432   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     4,945        4,500        1,643        219        130        2,584        3,168   

Class B

     –        –        –        –        –        –        –   

Shares redeemed

              

Class A

     (23,055 )      (36,654 )      (15,696 )      (4,544 )      (3,791 )      (14,012 )      (15,005 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     12,926        17,452        (12,160 )      24,446        19,670        19,143        27,595   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        –        –        –        –        –        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 844,615      $ 1,362,872      $ 305,890      $ 280,331      $ 240,148      $ 461,138      $ 532,453   

Proceeds from sales of securities

     670,129        1,094,815        514,684        2,732        9,637        233,217        223,713   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL Disciplined
Growth Fund		     JNL/Franklin
Templeton
Founding
Strategy Fund		     JNL/Mellon
Capital 10 × 10
Fund		    

JNL/Mellon
Capital Index 5

Fund

    

JNL/S&P 4

Fund

    

JNL/S&P

Managed

Conservative

Fund

    

JNL/S&P

Managed

Moderate Fund

  

Operations

              

Net investment income (loss)

   $ 6,277      $ 27,110      $ 7,284      $ 9,558      $ 24,326      $ 31,258      $ 47,765   

Net realized gain (loss)

     26,374        (1,021 )      14,692        32,946        159,701        85,772        170,008   

Net change in unrealized appreciation (depreciation)

     57,272        270,920        63,514        91,270        509,008        (39,678 )      93,817   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     89,923        297,009        85,490        133,774        693,035        77,352        311,590   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (4,157 )      (28,077 )      (7,375 )      (9,881 )      (16,817 )      (10,471 )      (14,661 ) 

Class B

     –        –        –        –        –        –        –   

From net realized gains

              

Class A

     (9,910 )      –        (2,549 )      (10,590 )      (63,183 )      (1,142 )      (6,549 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (14,067 )      (28,077 )      (9,924 )      (20,471 )      (80,000 )      (11,613 )      (21,210 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     229,760        279,603        63,675        150,098        1,611,190        481,551        768,492   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     14,067        28,077        9,924        20,471        80,000        11,613        21,210   

Class B

     –        –        –        –        –        –        –   

Cost of shares redeemed

              

Class A

     (82,140 )      (243,371 )      (69,602 )      (112,255 )      (498,151 )      (682,553 )      (650,442 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     161,687        64,309        3,997        58,314        1,193,039        (189,389 )      139,260   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     237,543        333,241        79,563        171,617        1,806,074        (123,650 )      429,640   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     316,315        1,226,311        314,184        542,692        1,284,464        1,840,028        2,913,234   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 553,858      $ 1,559,552      $ 393,747      $ 714,309      $ 3,090,538      $ 1,716,378      $ 3,342,874   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 10,453      $ 27,072      $ 7,481      $ 10,295      $ 92,582      $ 4,931      $ 6,853   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     22,563        25,555        6,234        13,203        105,936        41,021        62,029   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     1,328        2,442        924        1,728        4,920        981        1,661   

Class B

     –        –        –        –        –        –        –   

Shares redeemed

              

Class A

     (8,065 )      (22,355 )      (6,884 )      (9,818 )      (33,536 )      (58,205 )      (52,414 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     15,826        5,642        274        5,113        77,320        (16,203 )      11,276   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        –        –        –        –        –        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 249,513      $ 110,303      $ 37,176      $ 106,825      $ 1,332,091      $ 704,914      $ 1,285,941   

Proceeds from sales of securities

     84,848        46,938        32,854        48,688        74,340        848,973        1,044,535   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/S&P
Managed
Moderate
Growth Fund		     JNL/S&P
Managed
Growth Fund		     JNL/S&P
Managed
Aggressive
Growth Fund		  

Operations

      

Net investment income (loss)

   $ 76,205      $ 43,331      $ 13,016   

Net realized gain (loss)

     311,049        287,949        112,683   

Net change in unrealized appreciation (depreciation)

     411,877        454,248        175,650   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     799,131        785,528        301,349   
 

 

 

    

 

 

    

 

 

  

Distributions to shareholders

      

From net investment income

      

Class A

     (27,305 )      (34,757 )      (9,521 ) 

Class B

     –        –        –   

From net realized gains

      

Class A

     (18,263 )      (20,284 )      (3,885 ) 

Class B

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (45,568 )      (55,041 )      (13,406 ) 
 

 

 

    

 

 

    

 

 

  

Share transactions1

      

Proceeds from the sale of shares

      

Class A

     1,287,220        1,067,135        481,737   

Class B

     –        –        –   

Reinvestment of distributions

      

Class A

     45,568        55,041        13,406   

Class B

     –        –        –   

Cost of shares redeemed

      

Class A

     (844,711 )      (601,595 )      (295,573 ) 

Class B

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     488,077        520,581        199,570   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     1,241,640        1,251,068        487,513   
 

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     4,800,412        3,263,336        1,091,906   
 

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 6,042,052      $ 4,514,404      $ 1,579,419   
 

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 14,665      $ 25,028      $ 7,842   
 

 

 

    

 

 

    

 

 

  

1 Share transactions

      

Shares sold

      

Class A

     98,065        81,358        32,384   

Class B

     –        –        –   

Reinvestment of distributions

      

Class A

     3,319        3,965        843   

Class B

     –        –        –   

Shares redeemed

      

Class A

     (64,269 )      (45,860 )      (19,997 ) 

Class B

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

      

Class A

     37,115        39,463        13,230   
 

 

 

    

 

 

    

 

 

  

Class B

     –        –        –   

 

  

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

      

Purchase of securities

   $ 1,843,115      $ 1,485,419      $ 581,550   

Proceeds from sales of securities

     1,178,641        844,941        329,297   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/American

Funds Blue

Chip Income

and Growth

Fund(a)

    

JNL/American

Funds Global

Bond Fund(a)

    

JNL/American

Funds Global

Small

Capitalization

Fund(a)

    

JNL/American

Funds Growth-

Income

Fund(a)

    

JNL/American

Funds

International

Fund(a)

    

JNL/American

Funds New

World Fund(a)

    

JNL

Institutional Alt

20 Fund

  

Operations

              

Net investment income (loss)

   $ 11,215      $ 8,041      $ 1,870      $ 10,236      $ 3,803      $ 3,058      $ 15,850   

Net realized gain (loss)

     4,758        3,417        616        1,276        757        1,043        43,270   

Net change in unrealized appreciation (depreciation)

     46,958        10,567        23,597        84,903        40,585        54,385        60,194   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     62,931        22,025        26,083        96,415        45,145        58,486        119,314   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (5,803 )      (8,317 )      (1,262 )      (5,712 )      (3,389 )      (3,988 )      (19,119 ) 

Class B

     (1 )      (5 )      (1 )      (1 )      (2 )      (1 )      –   

From net realized gains

              

Class A

     (726 )      (3,547 )      (1,554 )      (689 )      (603 )      (1,604 )      (29,326 ) 

Class B

     –        (2 )      (1 )      –        –        (1 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (6,530 )      (11,871 )      (2,818 )      (6,402 )      (3,994 )      (5,594 )      (48,445 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     366,959        243,989        96,756        426,381        155,103        217,130        527,971   

Class B

     96        114        78        89        99        98        –   

Reinvestment of distributions

              

Class A

     6,529        11,864        2,816        6,401        3,992        5,592        48,445   

Class B

     1        7        2        1        2        2        –   

Cost of shares redeemed

              

Class A

     (134,671 )      (139,290 )      (47,359 )      (118,833 )      (53,324 )      (86,361 )      (151,742 ) 

Class B

     (44 )      (44 )      (35 )      (31 )      (13 )      (62 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     238,870        116,640        52,258        314,008        105,859        136,399        424,674   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     295,271        126,794        75,523        404,021        147,010        189,291        495,543   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     403,632        339,740        130,208        460,355        213,115        275,140        910,347   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 698,903      $ 466,534      $ 205,731      $ 864,376      $ 360,125      $ 464,431      $ 1,405,890   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed net investment income

   $ 11,214      $ 9,702      $ 1,870      $ 10,234      $ 3,802      $ 3,057      $ 32,310   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     32,942        21,839        9,773        37,975        15,489        20,694        36,023   

Class B

     9        10        9        8        10        10        –   

Reinvestment of distributions

              

Class A

     577        1,060        280        550        382        515        3,314   

Class B

     –        1        –        –        –        –        –   

Shares redeemed

              

Class A

     (12,120 )      (12,492 )      (4,819 )      (10,575 )      (5,341 )      (8,245 )      (10,357 ) 

Class B

     (4 )      (4 )      (4 )      (3 )      (1 )      (6 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     21,399        10,407        5,234        27,950        10,530        12,964        28,980   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     5        7        5        5        9        4        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 273,362      $ 160,927      $ 65,835      $ 324,489      $ 113,632      $ 151,489      $ 609,723   

Proceeds from sales of securities

     29,731        44,601        14,517        6,519        7,928        17,585        193,693   

 

(a)

The Master Funds for the JNL American Master Feeder Funds are the Class 1 shares of the corresponding American Fund Insurance Series Fund. These financial statements should be read in conjunction with each Master Fund’s shareholder report.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL

Institutional Alt

35 Fund

    

JNL

Institutional Alt

50 Fund

    

JNL

Institutional Alt

65 Fund

    

JNL/American

Funds

Balanced

Allocation

Fund(a)

    

JNL/American

Funds Growth

Allocation

Fund(a)

    

JNL Disciplined

Moderate Fund

    

JNL Disciplined

Moderate

Growth Fund

  

Operations

              

Net investment income (loss)

   $ 18,321      $ 19,402      $ 3,480      $ 2,332      $ 1,316      $ 8,741      $ 8,934   

Net realized gain (loss)

     60,296        49,881        21,667        220        259        21,602        28,396   

Net change in unrealized appreciation (depreciation)

     100,239        158,140        76,294        3,404        3,421        43,491        48,499   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     178,856        227,423        101,441        5,956        4,996        73,834        85,829   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (30,712 )      (44,037 )      (22,947 )      –        –        (9,961 )      (9,844 ) 

Class B

     –        –        –        –        –        –        –   

From net realized gains

              

Class A

     (53,943 )      (68,858 )      (51,627 )      –        –        (22,273 )      (23,526 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (84,655 )      (112,895 )      (74,574 )      –        –        (32,234 )      (33,370 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     684,942        1,203,414        40,877        162,287        113,631        328,040        322,368   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     84,655        112,895        74,574        –        –        32,234        33,370   

Class B

     –        –        –        –        –        –        –   

Cost of shares redeemed

              

Class A

     (233,481 )      (448,413 )      (218,268 )      (19,658 )      (13,703 )      (103,543 )      (99,581 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     536,116        867,896        (102,817 )      142,629        99,928        256,731        256,157   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     630,317        982,424        (75,950 )      148,585        104,924        298,331        308,616   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     1,389,770        1,816,781        986,845        –        –        462,723        509,358   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 2,020,087      $ 2,799,205      $ 910,895      $ 148,585      $ 104,924      $ 761,054      $ 817,974   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed net investment income

   $ 36,772      $ 39,308      $ 7,660      $ 2,353      $ 1,322      $ 12,955      $ 12,344   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     44,939        77,315        2,561        16,196        11,407        31,187        33,642   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     5,617        7,355        4,935        –        –        3,082        3,491   

Class B

     –        –        –        –        –        –        –   

Shares redeemed

              

Class A

     (15,300 )      (28,920 )      (13,678 )      (1,937 )      (1,360 )      (9,830 )      (10,414 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     35,256        55,750        (6,182 )      14,259        10,047        24,439        26,719   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        –        –        –        –        –        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 859,927      $ 1,438,264      $ 353,334      $ 151,388      $ 106,765      $ 394,321      $ 429,155   

Proceeds from sales of securities

     361,505        631,332        519,241        6,316        5,462        150,658        186,176   

 

(a)

Period from April 30, 2012 (commencement of operations).

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL Disciplined

Growth Fund

    

JNL/Franklin

Templeton

Founding

Strategy Fund

    

JNL/Mellon

Capital 10 x 10

Fund

    

JNL/Mellon

Capital Index 5

Fund

    

JNL/S&P 4

Fund

    

JNL/S&P

Managed

Conservative

Fund

    

JNL/S&P

Managed

Moderate Fund

  

Operations

              

Net investment income (loss)

   $ 3,115      $ 28,068      $ 7,149      $ 9,100      $ 11,409      $ 22,776      $ 33,655   

Net realized gain (loss)

     11,083        (9,917 )      (2,373 )      12,355        68,059        41,762        109,217   

Net change in unrealized appreciation (depreciation)

     18,001        151,104        39,138        40,413        88,810        62,220        114,311   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     32,199        169,255        43,914        61,868        168,278        126,758        257,183   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (3,204 )      (25,315 )      (7,118 )      (7,665 )      (22,259 )      (40,062 )      (48,485 ) 

Class B

     –        –        –        –        –        –        –   

From net realized gains

              

Class A

     (8,109 )      –        (2,859 )      (14,811 )      (47,013 )      (23,338 )      (83,101 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (11,313 )      (25,315 )      (9,977 )      (22,476 )      (69,272 )      (63,400 )      (131,586 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     150,388        213,639        53,886        130,690        413,113        812,378        985,852   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     11,313        25,315        9,977        22,476        69,272        63,400        131,586   

Class B

     –        –        –        –        –        –        –   

Cost of shares redeemed

              

Class A

     (48,004 )      (221,692 )      (60,004 )      (73,369 )      (306,076 )      (397,425 )      (459,287 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     113,697        17,262        3,859        79,797        176,309        478,353        658,151   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     134,583        161,202        37,796        119,189        275,315        541,711        783,748   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     181,732        1,065,109        276,388        423,503        1,009,149        1,298,317        2,129,486   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 316,315      $ 1,226,311      $ 314,184      $ 542,692      $ 1,284,464      $ 1,840,028      $ 2,913,234   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed net investment income

   $ 4,152      $ 28,039      $ 7,366      $ 9,871      $ 16,790      $ 10,438      $ 14,604   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     17,035        23,082        6,262        13,030        34,398        70,376        82,844   

Class B

     –        –        –        –        –        –        –   

Reinvestment of distributions

              

Class A

     1,287        2,651        1,143        2,259        5,861        5,513        11,142   

Class B

     –        –        –        –        –        –        –   

Shares redeemed

              

Class A

     (5,459 )      (23,941 )      (6,948 )      (7,332 )      (25,647 )      (34,471 )      (38,444 ) 

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     12,863        1,792        457        7,957        14,612        41,418        55,542   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        –        –        –        –        –        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 194,912      $ 74,829      $ 32,582      $ 95,434      $ 263,873      $ 744,418      $ 1,365,110   

Proceeds from sales of securities

     85,129        54,797        29,453        21,693        117,784        282,674        775,841   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/S&P

Managed

Moderate

Growth Fund

    

JNL/S&P

Managed

Growth Fund

    

JNL/S&P

Managed

Aggressive

Growth Fund

  

Operations

      

Net investment income (loss)

   $ 48,882      $ 30,076      $ 8,470   

Net realized gain (loss)

     179,105        111,285        17,316   

Net change in unrealized appreciation (depreciation)

     295,187        260,496        113,355   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     523,174        401,857        139,141   
 

 

 

    

 

 

    

 

 

  

Distributions to shareholders

      

From net investment income

      

Class A

     (65,560 )      (36,973 )      (9,238 ) 

Class B

     –        –        –   

From net realized gains

      

Class A

     (150,060 )      (94,731 )      –   

Class B

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (215,620 )      (131,704 )      (9,238 ) 
 

 

 

    

 

 

    

 

 

  

Share transactions1

      

Proceeds from the sale of shares

      

Class A

     1,426,145        913,360        365,161   

Class B

     –        –        –   

Reinvestment of distributions

      

Class A

     215,620        131,704        9,238   

Class B

     –        –        –   

Cost of shares redeemed

      

Class A

     (668,625 )      (534,014 )      (255,832 ) 

Class B

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     973,140        511,050        118,567   
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     1,280,694        781,203        248,470   
 

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     3,519,718        2,482,133        843,436   
 

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 4,800,412      $ 3,263,336      $ 1,091,906   
 

 

 

    

 

 

    

 

 

  

Undistributed net investment income

   $ 27,205      $ 34,677      $ 9,489   
 

 

 

    

 

 

    

 

 

  

1 Share transactions

      

Shares sold

      

Class A

     117,254        78,168        29,012   

Class B

     –        –        –   

Reinvestment of distributions

      

Class A

     17,703        11,199        704   

Class B

     –        –        –   

Shares redeemed

      

Class A

     (54,871 )      (45,704 )      (20,378 ) 

Class B

     –        –        –   
 

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

      

Class A

     80,086        43,663        9,338   
 

 

 

    

 

 

    

 

 

  

Class B

     –        –        –   

 

  

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

      

Purchase of securities

   $ 2,295,900      $ 1,191,618      $ 370,035   

Proceeds from sales of securities

     1,439,774        744,877        239,504   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Financial Highlights

For a Share Outstanding

 

            Increase (Decrease) from
Investment Operations(a)		     Distributions from            Supplemental Data     Ratios(b)(e)  
Period
Ended		    Net Asset
Value,
Beginning
of Period		      Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		      Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		      Portfolio
Turnover(d)		     Net Expenses
to Average
Net Assets		     Total
Expenses to
Average Net
Assets		     Net Investment
Income (Loss)
to Average Net
Assets		  

JNL/American Funds Blue Chip Income and Growth Fund(g)

  

Class A

     

12/31/2013

    $ 11.47       $ 0.24      $ 3.47      $ 3.71      $ (0.14 )    $ (0.06 )    $ 14.98         32.43 %    $ 1,214,231         1 %      0.63 %      1.10 %      1.79 % 

12/31/2012

      10.21         0.22        1.15        1.37        (0.10 )      (0.01 )      11.47         13.43        698,789         5        0.65        1.10        1.97   

12/31/2011

      10.39         0.21        (0.34 )      (0.13 )      (0.05 )      –        10.21         (1.25 )      403,577         4        0.65        1.10        2.05   

12/31/2010 *

      10.00         0.29        0.10        0.39        –        –        10.39         3.90        148,996         5        0.65        1.10        4.51   

Class B

                     

12/31/2013

      11.53         0.25        3.49        3.74        (0.16 )      (0.06 )      15.05         32.51        158         1        0.38        0.85        1.83   

12/31/2012

      10.25         0.25        1.15        1.40        (0.11 )      (0.01 )      11.53         13.69        114         5        0.40        0.85        2.26   

12/31/2011

      10.41         0.32        (0.43 )      (0.11 )      (0.05 )      –        10.25         (1.03 )      55         4        0.40        0.85        3.12   

12/31/2010 *

      10.00         0.42        (0.01 )      0.41        –        –        10.41         4.10        9         5        0.40        0.85        6.57   

JNL/American Funds Global Bond Fund(g)

  

Class A

                     

12/31/2013

      11.15         (0.06 )      (0.27 )      (0.33 )      (0.23 )      (0.05 )      10.54         (2.95 )      455,032         16        0.55        1.10        (0.55 ) 

12/31/2012

      10.82         0.22        0.41        0.63        (0.21 )      (0.09 )      11.15         5.76        466,274         11        0.55        1.10        1.98   

12/31/2011

      10.45         0.38        0.07        0.45        (0.08 )      (0.00 )(f)      10.82         4.32        339,564         18        0.55        1.10        3.54   

12/31/2010 *

      10.00         0.48        (0.03 )      0.45        –        –        10.45         4.50        105,262         5        0.55        1.10        6.97   

Class B

                     

12/31/2013

      11.22         (0.04 )      (0.27 )      (0.31 )      (0.25 )      (0.05 )      10.61         (2.72 )      221         16        0.30        0.85        (0.38 ) 

12/31/2012

      10.86         0.24        0.43        0.67        (0.22 )      (0.09 )      11.22         6.15        260         11        0.30        0.85        2.15   

12/31/2011

      10.47         0.39        0.08        0.47        (0.08 )      (0.00 )(f)      10.86         4.53        176         18        0.30        0.85        3.58   

12/31/2010 *

      10.00         0.63        (0.16 )      0.47        –        –        10.47         4.70        79         5        0.30        0.85        8.98   

JNL/American Funds Global Small Capitalization Fund(g)

  

Class A

                     

12/31/2013

      10.40         0.04        2.86        2.90        (0.07 )      (0.03 )      13.20         27.90        336,588         6        0.55        1.15        0.32   

12/31/2012

      8.95         0.11        1.49        1.60        (0.07 )      (0.08 )      10.40         17.90        205,624         8        0.55        1.15        1.09   

12/31/2011

      11.15         0.11        (2.28 )      (2.17 )      (0.03 )      (0.00 )(f)      8.95         (19.43 )      130,159         10        0.55        1.15        1.11   

12/31/2010 *

      10.00         0.13        1.02        1.15        –        –        11.15         11.50        80,924         4        0.55        1.15        1.93   

Class B

                     

12/31/2013

      10.45         0.07        2.86        2.93        (0.09 )      (0.03 )      13.26         28.03        133         6        0.30        0.90        0.62   

12/31/2012

      8.99         0.13        1.49        1.62        (0.08 )      (0.08 )      10.45         18.10        107         8        0.30        0.90        1.30   

12/31/2011

      11.16         0.12        (2.26 )      (2.14 )      (0.03 )      (0.00 )(f)      8.99         (19.11 )      49         10        0.30        0.90        1.19   

12/31/2010 *

      10.00         0.22        0.94        1.16        –        –        11.16         11.60        23         4        0.30        0.90        3.11   

JNL/American Funds Growth-Income Fund(g)

  

Class A

                     

12/31/2013

      11.80         0.15        3.73        3.88        (0.10 )      (0.01 )      15.57         32.93        1,644,396         5        0.69        1.09        1.12   

12/31/2012

      10.17         0.17        1.55        1.72        (0.08 )      (0.01 )      11.80         16.92        864,206         1        0.70        1.10        1.52   

12/31/2011

      10.45         0.18        (0.42 )      (0.24 )      (0.04 )      –        10.17         (2.30 )      460,263         3        0.70        1.10        1.76   

12/31/2010 *

      10.00         0.24        0.21        0.45        –        –        10.45         4.50        174,494         0        0.70        1.10        3.72   

Class B

                     

12/31/2013

      11.85         0.18        3.74        3.92        (0.12 )      (0.01 )      15.64         33.11        285         5        0.44        0.84        1.32   

12/31/2012

      10.20         0.19        1.56        1.75        (0.09 )      (0.01 )      11.85         17.18        170         1        0.45        0.85        1.71   

12/31/2011

      10.46         0.22        (0.44 )      (0.22 )      (0.04 )      –        10.20         (2.09 )      92         3        0.45        0.85        2.14   

12/31/2010 *

      10.00         0.27        0.19        0.46        –        –        10.46         4.60        23         0        0.45        0.85        4.22   

JNL/American Funds International Fund(g)

  

Class A

                     

12/31/2013

      10.71         0.13        2.13        2.26        (0.09 )      (0.02 )      12.86         21.10        561,746         4        0.67        1.25        1.12   

12/31/2012

      9.23         0.13        1.48        1.61        (0.11 )      (0.02 )      10.71         17.41        359,964         3        0.70        1.25        1.35   

12/31/2011

      10.85         0.20        (1.75 )      (1.55 )      (0.06 )      (0.01 )      9.23         (14.38 )      213,058         3        0.70        1.25        1.99   

12/31/2010 *

      10.00         0.27        0.58        0.85        –        –        10.85         8.50        102,766         3        0.70        1.25        3.92   

Class B

                     

12/31/2013

      10.77         0.15        2.14        2.29        (0.11 )      (0.02 )      12.93         21.24        178         4        0.42        1.00        1.27   

12/31/2012

      9.28         0.18        1.45        1.63        (0.12 )      (0.02 )      10.77         17.57        161         3        0.45        1.00        1.82   

12/31/2011

      10.87         0.25        (1.77 )      (1.52 )      (0.06 )      (0.01 )      9.28         (14.05 )      57         3        0.45        1.00        2.41   

12/31/2010 *

      10.00         0.46        0.41        0.87        –        –        10.87         8.70        20         3        0.45        1.00        6.65   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Financial Highlights

For a Share Outstanding

 

            Increase (Decrease) from
Investment Operations(a)		     Distributions from            Supplemental Data     Ratios(b)(e)  
Period
Ended		    Net Asset
Value,
Beginning
of Period		      Net
Investment
Income
(Loss)		      Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		    

Net Asset
Value,

End of
Period

      Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		      Portfolio
Turnover(d)		    

Net Expenses

to Average
Net Assets

    

Total
Expenses to
Average Net

Assets

     Net Investment
Income (Loss)
to Average Net
Assets		  

JNL/American Funds New World Fund(g)

  

Class A

                               

12/31/2013

    $ 11.23       $ 0.13       $ 1.09      $ 1.22      $ (0.06 )    $ (0.02 )    $ 12.37         10.88 %    $ 647,045         5 %      0.65 %      1.45 %      1.13 % 

12/31/2012

      9.69         0.09         1.59        1.68        (0.10 )      (0.04 )      11.23         17.38        464,295         5        0.65        1.45        0.83   

12/31/2011

      11.36         0.20         (1.82 )      (1.62 )      (0.05 )      –        9.69         (14.30 )      275,059         7        0.65        1.45        1.91   

12/31/2010 *

      10.00         0.27         1.09        1.36        –        –        11.36         13.60        133,465         0        0.65        1.45        3.78   

Class B

                               

12/31/2013

      11.28         0.15         1.10        1.25        (0.08 )      (0.02 )      12.43         11.09        177         5        0.40        1.20        1.32   

12/31/2012

      9.73         0.11         1.59        1.70        (0.11 )      (0.04 )      11.28         17.55        136         5        0.40        1.20        1.05   

12/31/2011

      11.37         0.35         (1.94 )      (1.59 )      (0.05 )      –        9.73         (14.00 )      81         7        0.40        1.20        3.34   

12/31/2010 *

      10.00         0.28         1.09        1.37        –        –        11.37         13.70        18         0        0.40        1.20        3.94   

JNL Institutional Alt 20 Fund

  

Class A

                               

12/31/2013

      14.82         0.26         1.78        2.04        (0.31 )      (0.26 )      16.29         13.88        1,772,220         24        0.17        0.17        1.64   

12/31/2012

      13.82         0.20         1.33        1.53        (0.21 )      (0.32 )      14.82         11.15        1,405,890         17        0.17        0.17        1.35   

12/31/2011

      14.32         0.29         (0.66 )      (0.37 )      (0.12 )      (0.01 )      13.82         (2.57 )      910,347         23        0.19        0.19        1.99   

12/31/2010

      12.73         0.25         1.41        1.66        (0.07 )      (0.00 )(f)      14.32         13.06        615,034         3        0.20        0.20        1.91   

12/31/2009 *

      10.00         0.45         2.28        2.73        –        –        12.73         27.30        199,516         3        0.20        0.20        4.93   

JNL Institutional Alt 35 Fund

  

Class A

                               

12/31/2013

      15.29         0.24         1.65        1.89        (0.27 )      (0.30 )      16.61         12.46        2,409,369         30        0.16        0.16        1.49   

12/31/2012

      14.35         0.16         1.46        1.62        (0.25 )      (0.43 )      15.29         11.33        2,020,087         21        0.17        0.17        1.06   

12/31/2011

      15.05         0.33         (0.90 )      (0.57 )      (0.11 )      (0.02 )      14.35         (3.81 )      1,389,770         29        0.17        0.17        2.17   

12/31/2010

      13.24         0.25         1.65        1.90        (0.08 )      (0.01 )      15.05         14.36        885,456         2        0.20        0.20        1.79   

12/31/2009 *

      10.00         0.44         2.80        3.24        –        –        13.24         32.40        308,516         6        0.20        0.20        4.72   

JNL Institutional Alt 50 Fund

  

Class A

                               

12/31/2013

      15.57         0.23         1.37        1.60        (0.21 )      (0.17 )      16.79         10.35        3,312,024         35        0.16        0.16        1.39   

12/31/2012

      14.65         0.13         1.45        1.58        (0.26 )      (0.40 )      15.57         10.88        2,799,205         27        0.16        0.16        0.83   

12/31/2011

      15.49         0.39         (1.10 )      (0.71 )      (0.11 )      (0.02 )      14.65         (4.63 )      1,816,781         28        0.17        0.17        2.54   

12/31/2010

      13.57         0.26         1.76        2.02        (0.08 )      (0.02 )      15.49         14.90        1,077,623         2        0.20        0.20        1.82   

12/31/2009 *

      10.00         0.49         3.08        3.57        –        –        13.57         35.70        361,516         13        0.20        0.20        5.06   

JNL Institutional Alt 65 Fund

  

Class A

                               

12/31/2013

      15.33         0.17         1.27        1.44        (0.18 )      (0.38 )      16.21         9.50        765,597         37        0.18        0.18        1.06   

12/31/2012

      15.05         0.06         1.57        1.63        (0.42 )      (0.93 )      15.33         10.95        910,895         37        0.18        0.18        0.36   

12/31/2011

      16.07         0.33         (1.20 )      (0.87 )      (0.11 )      (0.04 )      15.05         (5.43 )      986,845         40        0.18        0.18        2.06   

12/31/2010

      13.97         0.22         1.99        2.21        (0.07 )      (0.04 )      16.07         15.85        728,410         5        0.20        0.20        1.52   

12/31/2009 *

      10.00         0.47         3.50        3.97        –        –        13.97         39.70        229,813         24        0.20        0.20        4.80   

JNL/American Funds Balanced Allocation Fund

  

Class A

                               

12/31/2013

      10.42         0.23         1.36        1.59        (0.06 )      (0.01 )      11.94         15.26        462,075         1        0.67        0.70        2.06   

12/31/2012 *

      10.00         0.33         0.09        0.42        –        –        10.42         4.20        148,585         9        0.70        0.70        4.79   

JNL/American Funds Growth Allocation Fund

  

Class A

                               

12/31/2013

      10.44         0.22         1.96        2.18        (0.05 )      (0.01 )      12.56         20.86        373,245         4        0.67        0.70        1.88   

12/31/2012 *

      10.00         0.28         0.16        0.44        –        –        10.44         4.40        104,924         11        0.70        0.70        4.15   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Financial Highlights

For a Share Outstanding

 

            Increase (Decrease) from
Investment Operations(a)		     Distributions from            Supplemental Data     Ratios(b)(e)  
Period
Ended		    Net Asset
Value,
Beginning
of Period		      Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		      Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		      Portfolio
Turnover(d)		    

Net Expenses

to Average
Net Assets

    

Total
Expenses to
Average Net

Assets

    

Net Investment
Income (Loss)
to Average

Net Assets

  

JNL Disciplined Moderate Fund

  

Class A

                              

12/31/2013

    $ 10.62       $ 0.19      $ 1.62      $ 1.81      $ (0.15 )    $ (0.20 )    $ 12.08         17.11 %    $ 1,096,546         25 %      0.16 %      0.16 %      1.63 % 

12/31/2012

      9.80         0.15        1.15        1.30        (0.15 )      (0.33 )      10.62         13.30        761,054         25        0.17        0.17        1.43   

12/31/2011

      9.85         0.16        (0.09 )      0.07        (0.12 )      –        9.80         0.72        462,723         127        0.18        0.18        1.64   

12/31/2010

      8.94         0.18        0.81        0.99        (0.08 )      –        9.85         11.10        346,433         21        0.18        0.18        1.93   

12/31/2009

      7.72         0.23        1.21        1.44        (0.16 )      (0.06 )      8.94         18.67        168,455         12        0.19        0.19        2.75   

JNL Disciplined Moderate Growth Fund

  

Class A

                              

12/31/2013

      9.76         0.16        2.05        2.21        (0.12 )      (0.22 )      11.63         22.68        1,295,129         21        0.16        0.16        1.47   

12/31/2012

      8.92         0.13        1.13        1.26        (0.12 )      (0.30 )      9.76         14.21        817,974         28        0.17        0.17        1.34   

12/31/2011

      9.09         0.13        (0.21 )      (0.08 )      (0.09 )      –        8.92         (0.86 )      509,358         101        0.18        0.18        1.40   

12/31/2010

      8.10         0.14        0.94        1.08        (0.09 )      –        9.09         13.29        376,092         26        0.18        0.18        1.64   

12/31/2009

      6.81         0.21        1.34        1.55        (0.17 )      (0.09 )      8.10         22.77        206,365         16        0.19        0.19        2.78   

JNL Disciplined Growth Fund

  

Class A

                              

12/31/2013

      9.01         0.15        2.01        2.16        (0.09 )      (0.20 )      10.88         24.06        553,858         20        0.18        0.18        1.48   

12/31/2012

      8.17         0.11        1.08        1.19        (0.10 )      (0.25 )      9.01         14.58        316,315         34        0.18        0.18        1.24   

12/31/2011

      8.52         0.11        (0.38 )      (0.27 )      (0.08 )      –        8.17         (3.14 )      181,732         109        0.18        0.18        1.24   

12/31/2010

      7.64         0.13        0.84        0.97        (0.09 )      –        8.52         12.74        137,476         28        0.18        0.18        1.71   

12/31/2009

      6.31         0.20        1.40        1.60        (0.17 )      (0.10 )      7.64         25.39        80,863         24        0.19        0.19        2.87   

JNL/Franklin Templeton Founding Strategy Fund

  

Class A

                              

12/31/2013

      9.74         0.21        2.12        2.33        (0.22 )      –        11.85         23.97        1,559,552         3        0.05        0.05        1.95   

12/31/2012

      8.58         0.23        1.14        1.37        (0.21 )      –        9.74         15.96        1,226,311         5        0.05        0.05        2.44   

12/31/2011

      8.83         0.21        (0.33 )      (0.12 )      (0.13 )      –        8.58         (1.36 )      1,065,109         8        0.05        0.05        2.35   

12/31/2010

      8.22         0.14        0.71        0.85        (0.24 )      –        8.83         10.39        1,037,981         3        0.05        0.05        1.72   

12/31/2009

      6.32         0.29        1.61        1.90        (0.00 )(f)      –        8.22         30.13        838,759         5        0.06        0.06        4.15   

JNL/Mellon Capital 10 × 10 Fund

  

Class A

                              

12/31/2013

      8.90         0.21        2.24        2.45        (0.21 )      (0.07 )      11.07         27.70        393,747         9        0.05        0.05        2.07   

12/31/2012

      7.93         0.21        1.05        1.26        (0.21 )      (0.08 )      8.90         15.96        314,184         10        0.05        0.05        2.40   

12/31/2011

      8.22         0.21        (0.38 )      (0.17 )      (0.12 )      –        7.93         (2.09 )      276,388         9        0.05        0.05        2.56   

12/31/2010

      7.19         0.14        1.04        1.18        (0.15 )      (0.00 )(f)      8.22         16.43        257,545         8        0.05        0.05        1.90   

12/31/2009

      6.19         0.21        1.31        1.52        (0.26 )      (0.26 )      7.19         24.59        194,494         11        0.06        0.06        3.20   

JNL/Mellon Capital Index 5 Fund

  

Class A

                              

12/31/2013

      10.16         0.17        2.23        2.40        (0.17 )      (0.19 )      12.20         23.74        714,309         8        0.05        0.05        1.51   

12/31/2012

      9.31         0.19        1.10        1.29        (0.15 )      (0.29 )      10.16         13.96        542,692         4        0.05        0.05        1.87   

12/31/2011

      9.62         0.18        (0.38 )      (0.20 )      (0.09 )      (0.02 )      9.31         (2.08 )      423,503         9        0.05        0.05        1.86   

12/31/2010

      8.39         0.14        1.19        1.33        (0.09 )      (0.01 )      9.62         15.78        332,481         10        0.05        0.05        1.58   

12/31/2009

      6.83         0.18        1.53        1.71        (0.07 )      (0.08 )      8.39         25.16        204,951         8        0.06        0.06        2.43   

JNL/S&P 4 Fund

  

Class A

                              

12/31/2013

      12.00         0.18        5.04        5.22        (0.10 )      (0.36 )      16.76         43.63        3,090,538         4        0.05        0.05        1.21   

12/31/2012

      10.92         0.12        1.64        1.76        (0.22 )      (0.46 )      12.00         16.23        1,284,464         10        0.05        0.05        0.97   

12/31/2011

      10.86         0.11        0.53        0.64        (0.53 )      (0.05 )      10.92         5.87        1,009,149         13        0.05        0.05        0.97   

12/31/2010

      9.55         0.09        1.23        1.32        –        (0.01 )      10.86         13.79        843,945         10        0.05        0.05        0.90   

12/31/2009

      6.79         (0.00 )(f)      2.84        2.84        (0.08 )      (0.00 )(f)      9.55         41.85        627,405         12        0.06        0.06        (0.03 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)(e)  

Period

Ended

  

Net Asset

Value,

Beginning

of Period

    

Net

Investment

Income

(Loss)

    

Net Realized

& Unrealized

Gains

(Losses)

    

Total from

Investment

Operations

    

Net

Investment

Income

    

Net Realized

Gains on

Investment

Transactions

    

Net Asset

Value,

End of
Period

    

Total

Return(c)

    

Net Assets,

End of

Period (in

thousands)

    

Portfolio

Turnover(d)

    

Net Expenses

to Average

Net Assets

    

Total

Expenses to

Average Net

Assets

    

Net Investment

Income (Loss)

to Average

Net Assets

  

JNL/S&P Managed Conservative Fund

  

Class A

                          

12/31/2013

   $ 11.51      $ 0.20      $ 0.32      $ 0.52      $ (0.07 )    $ (0.01 )    $ 11.95        4.52 %    $ 1,716,378        39 %      0.15 %      0.15 %      1.73 % 

12/31/2012

     10.96        0.17        0.79        0.96        (0.26 )      (0.15 )      11.51        8.77        1,840,028        18        0.15        0.15        1.47   

12/31/2011

     11.00        0.17        0.17        0.34        (0.23 )      (0.15 )      10.96        3.12        1,298,317        35        0.16        0.16        1.48   

12/31/2010

     10.34        0.18        0.72        0.90        (0.24 )      –        11.00        8.70        979,568        9        0.17        0.17        1.67   

12/31/2009

     9.35        0.26        1.00        1.26        (0.17 )      (0.10 )      10.34        13.53        623,958        11        0.18        0.18        2.66   

JNL/S&P Managed Moderate Fund

  

Class A

                          

12/31/2013

     11.84        0.19        1.05        1.24        (0.06 )      (0.03 )      12.99        10.43        3,342,874        33        0.14        0.14        1.52   

12/31/2012

     11.18        0.16        1.06        1.22        (0.21 )      (0.35 )      11.84        10.92        2,913,234        30        0.14        0.14        1.30   

12/31/2011

     11.39        0.14        (0.04 )      0.10        (0.21 )      (0.10 )      11.18        0.84        2,129,486        28        0.15        0.15        1.24   

12/31/2010

     10.41        0.15        1.02        1.17        (0.19 )      –        11.39        11.30        1,665,098        5        0.15        0.15        1.41   

12/31/2009

     8.97        0.25        1.43        1.68        (0.12 )      (0.12 )      10.41        18.63        1,021,335        6        0.17        0.17        2.57   

JNL/S&P Managed Moderate Growth Fund

  

Class A

                          

12/31/2013

     12.24        0.19        1.74        1.93        (0.06 )      (0.04 )      14.07        15.85        6,042,052        22        0.14        0.14        1.41   

12/31/2012

     11.27        0.14        1.41        1.55        (0.18 )      (0.40 )      12.24        13.74        4,800,412        34        0.14        0.14        1.15   

12/31/2011

     11.80        0.14        (0.29 )      (0.15 )      (0.18 )      (0.20 )      11.27        (1.27 )      3,519,718        23        0.14        0.14        1.19   

12/31/2010

     10.54        0.13        1.26        1.39        (0.13 )      –        11.80        13.18        2,861,191        6        0.15        0.15        1.16   

12/31/2009

     8.79        0.21        1.86        2.07        (0.07 )      (0.25 )      10.54        23.46        1,774,984        13        23.46        0.16        2.14   

JNL/S&P Managed Growth Fund

  

Class A

                          

12/31/2013

     11.84        0.15        2.52        2.67        (0.11 )      (0.07 )      14.33        22.58        4,514,404        22        0.14        0.14        1.12   

12/31/2012

     10.70        0.12        1.52        1.64        (0.14 )      (0.36 )      11.84        15.34        3,263,336        26        0.14        0.14        1.03   

12/31/2011

     11.18        0.11        (0.46 )      (0.35 )      (0.08 )      (0.05 )      10.70        (3.14 )      2,482,133        19        0.14        0.14        0.98   

12/31/2010

     9.71        0.08        1.49        1.57        (0.10 )      –        11.18        16.12        2,140,816        7        0.15        0.15        0.75   

12/31/2009

     7.94        0.14        2.09        2.23        (0.16 )      (0.30 )      9.71        28.06        1,479,759        8        0.16        0.16        1.55   

JNL/S&P Managed Aggressive Growth Fund

  

Class A

                          

12/31/2013

     13.22        0.15        3.25        3.40        (0.10 )      (0.04 )      16.48        25.77        1,579,419        25        0.15        0.15        0.99   

12/31/2012

     11.51        0.11        1.71        1.82        (0.11 )      –        13.22        15.84        1,091,906        24        0.16        0.16        0.86   

12/31/2011

     12.17        0.10        (0.68 )      (0.58 )      (0.08 )      –        11.51        (4.79 )      843,436        20        0.16        0.16        0.84   

12/31/2010

     10.46        0.08        1.71        1.79        (0.08 )      –        12.17        17.09        788,664        11        0.17        0.17        0.76   

12/31/2009

     8.39        0.10        2.51        2.61        (0.21 )      (0.33 )      10.46        31.05        582,868        19        0.19        0.19        1.07   

 

*

Commencement of operations was as follows: JNL/American Funds Blue Chip Income and Growth Fund – May 3, 2010; JNL/American Funds Global Bond Fund – May 3, 2010; JNL/American Funds Global Small Capitalization Fund – May 3, 2010; JNL/American Funds Growth-Income Fund - May 3, 2010; JNL/American Funds International Fund – May 3, 2010; JNL/American Funds New World Fund – May 3, 2010; JNL Institutional Alt 20 Fund - April 6, 2009; JNL Institutional Alt 35 Fund - April 6, 2009; JNL Institutional Alt 50 Fund - April 6, 2009; JNL Institutional Alt 65 Fund - April 6, 2009; JNL/American Funds Balanced Allocation Fund - April 30, 2012; JNL/American Funds Growth Allocation Fund - April 30, 2012.

(a)

Calculated using the average shares method.

(b)

Annualized for periods less than one year.

(c)

Total return assumes reinvestment of all distributions for the period. Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges.

(d)

Portfolio turnover is not annualized for periods of less than one year. Portfolio turnover rate is based on the Feeder Funds’ or fund of funds’ purchases or sales of the Master Fund or underlying funds, respectively.

(e)

Ratios of net investment income and expenses to average net assets do not include the impact of each Master Fund’s and underlying funds’ expenses.

(f)

Amount represents less than $0.005.

(g)

The Master Funds for the JNL American Master Feeder Funds are the Class 1 shares of the corresponding American Fund Insurance Series Fund. These financial statements should be read in conjunction with each Master Fund’s shareholder report.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

NOTE 1. ORGANIZATION

The JNL Series Trust (“Trust”) is an open-end management investment company organized under the laws of the Commonwealth of Massachusetts, by a Declaration of Trust, dated June 1, 1994. The Trust is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended, (“1940 Act”), and its shares are registered under the Securities Act of 1933, as amended, (“1933 Act”). The Trust currently offers shares in eighty-nine (89) separate funds, each with its own investment objective. Information in these financial statements pertains to twenty-four (24) Funds (each a “Fund”, and collectively, “Funds”) offered by the Trust that are listed in the table below.

Jackson National Asset Management, LLC (“JNAM” or “Adviser”), a wholly-owned subsidiary of Jackson National Life Insurance Company® (“Jackson”), serves as investment adviser to each of the Funds. Jackson is an indirect wholly owned subsidiary of Prudential plc, a publicly traded company incorporated in the United Kingdom. Prudential plc is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is the United States of America. Shares of each Fund are sold to life insurance company separate accounts and other registered investment companies to fund the benefits of variable annuity contracts and variable life insurance policies. Shares may also be sold directly to qualified and non-qualified retirement plans and to other affiliated funds. The Funds and each Fund’s Adviser/Sub-Adviser are:

 

Adviser:

   Fund:

Capital Research and Management Company (Investment Adviser to each Master Fund)

 

  

JNL/American Funds Blue Chip Income and Growth Fund, JNL/American Funds Global Bond Fund, JNL/American Funds Global Small Capitalization Fund, JNL/American Funds Growth-Income Fund, JNL/American Funds International Fund and JNL/American Funds New World Fund. The funds are collectively known as “JNL American Master Feeder Funds”.

 

JNAM

 

  

JNL Institutional Alt 20 Fund, JNL Institutional Alt 35 Fund, JNL Institutional Alt 50 Fund and JNL Institutional Alt 65 Fund, the funds are collectively known as “JNL Institutional Alt Funds”; JNL/American Funds Balanced Allocation Fund and JNL/American Funds Growth Allocation Fund, the funds are collectively known as “JNL American Fund of Funds”; JNL Disciplined Moderate Fund, JNL Disciplined Moderate Growth Fund and JNL Disciplined Growth Fund, the funds are collectively known as “JNL Disciplined Funds”; JNL/Franklin Templeton Founding Strategy Fund, JNL/Mellon Capital 10 x 10 Fund, JNL/Mellon Capital Index 5 Fund and JNL/S&P 4 Fund.

 

Standard & Poor’s Investment Advisory Services LLC

(Sub-Adviser)

   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. The funds are collectively known as “JNL/S&P Funds”.

Each Fund, except the JNL American Master Feeder Funds, operates under a “fund of funds” structure, investing substantially all of its assets in other affiliated or unaffiliated Funds (each, an “Underlying Fund,” and, collectively, the “Underlying Funds”). The affiliated Underlying Funds are advised by JNAM or Curian Capital, LLC (“Curian”), a subsidiary of Jackson and an affiliate of JNAM.

Each of the JNL American Master Feeder Funds operates 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”). Each JNL American Fund’s Master Fund is a series of American Funds Insurance Series® (“American Funds”), a registered open-end management investment company, that has the same investment objective as each corresponding Feeder Fund. Each Master Fund directly acquires securities and the Feeder Fund, by investing in the Master Fund, acquires an indirect interest in those securities. As of December 31, 2013, the JNL American Master Feeder Funds owned the following percentage of its corresponding Master Fund: JNL/American Funds Blue Chip Income and Growth Fund – 19.46%, JNL/American Funds Global Bond Fund - 19.91%, JNL/American Funds Global Small Capitalization Fund - 9.45%, JNL/American Funds Growth-Income Fund - 6.90%, JNL/American Funds International Fund - 6.37% and JNL/American Funds New World Fund - 26.54%. The Master Funds’ Schedule of Investments, Financial Statements and accounting policies are outlined in each Master Fund’s shareholder report, which accompanies this report. This report should be read in conjunction with the Master Funds’ shareholder reports.

The Funds are diversified Funds for purposes of the 1940 Act, with the exception of the following non-diversified Funds: JNL/American Funds Global Bond Fund, JNL Institutional Alt Funds, JNL American Fund of Funds, JNL Disciplined Funds, JNL/S&P 4 Fund and JNL/S&P Funds.

Each Fund, except the JNL American Master Feeder Funds, offers Class A shares. The JNL American Master Feeder Funds offers Class A and Class B shares. The two classes differ principally in applicable 12b-1 fees. Shareholders bear the common expenses of each Fund and earn income and realized gains/losses from each Fund pro rata based on the average daily net assets of each class, without discrimination between share classes. Each share class also has different voting rights on matters affecting a single class. No class has preferential dividend rights. Trust level expenses are allocated to the Funds based on the average daily net assets of each Fund.

Effective April 29, 2013, the names of JNL/Mellon Capital Management 10 X 10 Fund changed to JNL/Mellon Capital 10 X 10 Fund and JNL/Mellon Capital Management Index 5 Fund changed to JNL/Mellon Capital Index 5 Fund.

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL Institutional Alt 65 Fund is closed to all new investors.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are investment companies and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”):

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

The net asset value (“NAV”) of 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. The fund of funds’ investments in the Underlying Funds are valued at the daily NAV of the applicable Underlying Fund determined as of the close of the NYSE on each valuation date. Valuation of investments by the Underlying Funds is discussed in the annual report of the Underlying Funds. Each Feeder Fund’s investment in its corresponding Master Fund is valued at the daily NAV per share of the applicable Master Fund determined as of the close of the NYSE on each valuation date. Valuation of the investments by the Master Fund is discussed in each Master Fund’s shareholder report, which accompanies this report.

FASB ASC Topic 820, “Fair Value Measurements and Disclosure” establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance and are summarized into 3 broad categories. Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for investments in mutual funds. Investments in the Underlying Funds and Master Funds are categorized as Level 1 within FASB ASC Topic 820 fair value hierarchy. The Level 1 valuation assets for the Funds can be referenced in the Schedules of Investments. There were no Level 2 or Level 3 investments in these Funds.

Distributions to Shareholders - The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends from net investment income are generally declared and paid annually, but may be paid more frequently to avoid excise tax. Distributions of net realized capital gains, if any, will be distributed at least annually, to the extent they exceed available capital loss carry forwards. Capital gains distributions received from the affiliated Master Funds and the affiliated Underlying Funds are recorded as net realized gain from affiliated investments in the Statements of Operations.

Security Transactions and Investment Income - Security transactions are recorded on the trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date. Realized gains and losses are determined on the specific identification basis.

Expenses - Expenses are recorded on an accrual basis. Expenses of the Trust that are directly attributable to a specific Fund are charged to that Fund. Expenses attributable to a specific class of shares are charged to that class. Other Trust level expenses are allocated to the Funds based on the average daily net assets of each Fund.

Expenses in Master Funds and Fund of Funds - Because each Feeder Fund invests substantially all of its assets in a Master Fund, the Feeder Fund shareholders bear the fees and expenses of each respective Master Fund in which the Feeder Fund invests. Such expenses are not included in the Statements of Operations, but are incurred indirectly because they are considered in the calculation of the net asset value of the respective Master Fund. As a result, the Feeder Funds’ actual expenses may be higher than those of other mutual funds that invest directly in securities. A similar situation exists for a fund of funds as it relates to the expenses associated with the investments in Underlying Funds.

Guarantees and Indemnifications - In the normal course of business, the Trust may enter into contracts with service providers that contain a variety of representations which provide general indemnifications for certain liabilities. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Each Fund’s maximum exposure under these arrangements is unknown. However, since their commencement of operations, the Funds have not had claims or losses pursuant to these contracts and expect the risk of loss to be remote. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined and the Funds have no historical basis for predicting the likelihood of any such claims.

Use of Estimates - The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

NOTE 3. CERTAIN RISKS

Market Risk - In the normal course of business, the Master Funds and Underlying Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (“market risk”). The value of securities held by the Master Funds and Underlying Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by a Master Fund or Underlying Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency, interest rate and price fluctuations.

Credit and Counterparty Risk - In the normal course of business, the Master Funds or Underlying Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to failure of the other party to a transaction to perform (“credit risk”). Similar to credit risk, a Master Fund or Underlying Fund may be exposed to the risk that an institution or other entity with which the Master Fund or Underlying Fund has unsettled or open transactions will default (“counterparty risk”). Financial assets, which potentially expose a Master Fund or Underlying Fund to credit risk, consist principally of investments and cash due from counterparties. The potential loss could exceed the value of the financial assets and liabilities recorded in the Master Fund’s or Underlying Fund’s financial statements. A Master Fund or Underlying Fund manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. A Master Fund’s or Underlying Fund’s Adviser and Sub-Advisers attempt to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Master Fund and Underlying Fund restrict their exposure to credit and counterparty losses by entering into master netting agreements with counterparties with whom they undertake a significant volume of transactions. In the event of default, the total market value exposure would be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. The extent of a Master Fund’s or Underlying Fund’s exposure to credit and counterparty risks in respect to financial assets is incorporated within their carrying value as recorded in each Master Fund’s or Underlying Fund’s Statement of Assets and Liabilities. For certain derivative contracts held by a Master Fund or Underlying Fund, the potential loss could exceed the value of the financial assets recorded in their financial statements.

Underlying Fund Investment Risks - Each Fund’s prospectus includes a discussion of the principal investment risks of the Master Fund or Underlying Fund in which it invests. Additional risks associated with a Master Fund’s or Underlying Fund’s investments are described within the respective Master Fund’s or Underlying Fund’s annual report.

Feeder Funds and Fund of Funds Risks - The value of an investment in a Feeder Fund changes with the value of the corresponding Master Fund and its investments. The value of an investment in a fund of funds changes with the values of the corresponding Underlying Funds and their investments. The Master Fund’s and Underlying Fund’s shares may be purchased by other investment companies and shareholders. In some cases, the Master Fund or Underlying Fund may experience large subscriptions or redemptions due to allocation changes or rebalancing. While it is impossible to predict the overall impact of these transactions over time, there could be adverse effects on Fund performance.

NOTE 4. INVESTMENT ADVISORY FEES AND TRANSACTIONS WITH AFFILIATES

Advisory and Administrative Fees - The Trust has an investment advisory and management agreement with JNAM, whereby JNAM provides investment management services. Each Fund pays JNAM an annual fee, accrued daily and paid monthly, based on a specified percentage of the average daily net assets of each Fund. A portion of this fee is paid by JNAM to the Sub-Adviser as compensation for their services.

JNAM also serves as the “Administrator” to the Funds. The Funds pay an administrative fee based on the average daily net assets of each Fund, accrued daily and paid monthly. In return for the administrative fee, JNAM provides or procures all necessary administrative functions and services for the operation of the Funds. In addition, JNAM, at its own expense, arranges for legal, audit, fund accounting, transfer agency, custody, printing and mailing, a portion of the Chief Compliance Officer costs, and all other services necessary for the operation of each Fund. Each Fund is responsible for interest and taxes, other non-operating expenses, registration fees, directors and officers insurance, the fees and expenses of the disinterested Trustees and independent legal counsel to the disinterested Trustees, and a portion of the costs associated with the Chief Compliance Officer.

The following schedule indicates the range of the advisory fee at various net assets levels and the administrative fee each Fund is currently obligated to pay JNAM. For the advisory fee ranges presented, refer to the Trust’s Prospectus for the specific percentage of average daily net assets and break points for each Fund.

 

     Advisory Fee (m-millions)   

Administrative

Fee

      $0m to $500m    Over $500m   
JNL/American Funds Blue Chip Income and Growth Fund       0.70%    0.70 - 0.65%       0.15%
JNL/American Funds Global Bond Fund    0.70    0.70 - 0.65    0.15
JNL/American Funds Global Small Capitalization Fund    0.75    0.75 - 0.70    0.15
JNL/American Funds Growth-Income Fund    0.70    0.70 - 0.65    0.15
JNL/American Funds International Fund    0.85    0.85 - 0.80    0.15
JNL/American Funds New World Fund    1.05    1.05 - 1.00    0.15
JNL Institutional Alt Funds    0.15    0.15 - 0.10    0.05
JNL/American Fund of Funds    0.30    0.30 - 0.275    0.15
JNL Disciplined Funds    0.13    0.08    0.05
JNL/Franklin Templeton Founding Strategy Fund    0.00    0.00    0.05
JNL/Mellon Capital 10 x 10 Fund    0.00    0.00    0.05
JNL/Mellon Capital Index 5 Fund    0.00    0.00    0.05
JNL/S&P 4 Fund       0.00%       0.00%       0.05%
JNL/S&P Funds    0.13    0.08    0.05

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Fee Waiver and Expense Reimbursements - Pursuant to contractual fee waiver agreements, JNAM agreed to waive a portion of its advisory fees for each of the following Funds:

 

Fund

   

Advisory Fee Waiver as a Percentage of Average Daily Net Assets

JNL/American Funds Blue Chip Income and Growth Fund    0.45% prior to June 3, 2013, 0.48%*
JNL/American Funds Global Bond Fund    0.55%
JNL/American Funds International Fund    0.55% prior to June 3, 2013, 0.60%*
JNL/American Funds Global Small Capitalization Fund    0.60%
JNL/American Funds Growth-Income Fund    0.40%
JNL/American Funds New World Fund    0.80%
JNL/American Funds Balanced Allocation Fund    0.05%*
JNL/American Funds Growth Allocation Fund    0.05%*

*Effective June 3, 2013.

The amount of expenses waived for each Fund during the current year is recorded as expense waiver in each Fund’s Statement of Operations.

Distribution Fees - The JNL American Master Feeder Funds and JNL American Fund of Funds adopted a Distribution Plan under the provisions of Rule 12b-1 under the 1940 Act for the purpose of reimbursement of certain distribution and related service expenses from the sale and distribution of each Fund’s Class A shares (through the sale of variable insurance products funded by the Trust). Jackson National Life Distributors LLC (“JNLD”), a wholly-owned subsidiary of Jackson and an affiliate of JNAM, is the principal underwriter of the Funds, with responsibility for promoting sales of their shares. JNLD also is the principal underwriter of the variable annuity insurance products issued by Jackson and its subsidiaries. The maximum annual Rule 12b-1 fee allowed is 0.25% of the average daily net assets attributable to the Class A shares. Amounts charged pursuant to the Distribution Plan are reflected as 12b-1 fees (Class A) in each Fund’s Statement of Operations.

Deferred Compensation Plan - Effective January 1, 2007, the Funds adopted a Deferred Compensation Plan whereby disinterested Trustees may defer the receipt of all or a portion of their compensation. These deferred amounts, which remain as liabilities of the Funds, are treated as if invested and reinvested in shares of one or more affiliated funds at the discretion of the applicable Trustee. These amounts represent general, unsecured liabilities of the Funds and vary according to the total returns of the selected Funds. Prior to January 1, 2007, Trustees were able to defer the receipt of their compensation under a separate plan. Deferred amounts under this plan are credited at a fixed annual rate of return of five percent (5%). Liabilities related to deferred balances are included in payable for trustee fees in the Statements of Assets and Liabilities. Increases or decreases related to the changes in value of deferred balances are included in trustee fees set forth in the Statements of Operations.

Investments in Affiliates - The fund of funds invested solely in Class A shares of other affiliated Funds advised by JNAM or Curian. JNL/American Funds Blue Chip Income and Growth Fund, JNL/American Funds Global Bond Fund, JNL/American Funds Global Small Capitalization Fund, JNL/American Funds Growth-Income Fund, JNL/American Funds International Fund and JNL/American Funds New World Fund (“American Funds Feeder Funds”) invest primarily all of their investable assets in the respective American Funds Master Fund. Due to their ownership of more than 5% of the shares of the American Funds Master Fund, the JNL American Funds Feeder Funds may be deemed an affiliated person thereof under the 1940 Act. The total value and cost of such affiliated investments is disclosed separately in the Statements of Assets and Liabilities, and the associated income and realized gain (loss) are disclosed separately in the Statements of Operations.

The following table details each Fund’s long term investments in affiliates (in thousands) held during the year ended December 31, 2013.

 

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

    $ 699,195       $ 280,424       $ 10,340       $ 23,095       $ 3,027       $ 1,214,856   

JNL/American Funds Global Bond Fund

   

American Funds Insurance Series - Global Bond Fund Class 1

      466,692         81,783         75,692         -         6,006         455,412   

JNL/American Funds Global Small Capitalization Fund

   

American Funds Insurance Series - Global Small Capitalization Fund - Class 1

      205,800         82,958         15,605         2,334         2,587         336,834   

JNL/ American Funds Growth-Income Fund

   

American Funds Insurance Series - Growth-Income Fund - Class 1

      864,773         500,272         57,791         22,490         16,799         1,645,403   

JNL/American Funds International Fund

   

American Funds Insurance Series - International Fund - Class 1

      360,287         137,656         18,461         7,994         3,108         562,154   

JNL/American Funds New World Fund

   

American Funds Insurance Series - New World Fund Class 1

      464,623         157,990         26,016         9,674         4,973         647,489   

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

NOTE 5. BORROWING ARRANGEMENTS

Effective June 7, 2013, the Trust entered into a Syndicated Credit Agreement (“SCA”) with a group of lenders. The Funds participate in the SCA with other funds managed by JNAM and Curian in a credit facility which is used solely to finance shareholder redemptions or for other temporary or emergency purposes. The Funds may borrow up to the lesser of $300,000,000, the amount available under the facility; the limits set for borrowing by the Funds’ prospectuses and the 1940 Act; or an amount prescribed within the SCA. Interest on borrowings is payable at the Federal Funds Rate plus the amount by which the one month London Interbank Offer Rate (“LIBOR”) exceeds the Federal Funds rate plus 1.00% on an annualized basis. The Funds pay an annual commitment fee of 0.075% of the available commitments and an annual administration fee to JPM Chase. These expenses are allocated to the participating Funds based on each Fund’s net assets as a percentage of the participating Funds’ total net assets. No amounts were borrowed under the facility during the period. The fees are included in other expenses in each Fund’s Statement of Operations.

NOTE 6. INCOME TAX MATTERS

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to qualify as a regulated investment company (“RIC”) and to distribute substantially all net investment income and net capital gains, if any, to its shareholders and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Therefore, no federal income tax provision is required. Under current tax law, interest, dividends and capital gains paid by the Funds are not currently taxable to shareholders when left to accumulate within a variable annuity contract or variable life insurance policies.

The following information is presented on an income tax basis (in thousands). Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Permanent differences may include but are not limited to the following: consent dividends and distribution adjustments. These reclassifications have no impact on net assets.

 

     Net Increase (Decrease)  
      Undistributed
Net Investment
Income		     Accumulated
Net Realized
Gain (Loss)		    

Paid-

in Capital

  
JNL/American Funds Global Bond Fund    $ 2,591      $ (2,591 )    $ –   
JNL Institutional Alt 20 Fund      4,378        (4,378 )      –   
JNL Institutional Alt 35 Fund      5,498        (5,498 )      –   
JNL Institutional Alt 50 Fund      7,189        (7,189 )      –   
JNL Institutional Alt 65 Fund      1,596        (1,596 )      –   
JNL/American Funds Balanced Allocation Fund      310        (310 )      –   
JNL/American Funds Growth Allocation Fund      131        (131 )      –   
JNL Disciplined Moderate Fund      11,283        (11,283 )      –   
JNL Disciplined Moderate Growth Fund      11,854        (11,854 )      –   
JNL Disciplined Growth Fund      4,181        (4,181 )      –   
JNL/Mellon Capital Management 10 x 10 Fund      206        (206 )      –   
JNL/Mellon Capital Management Index 5 Fund      747        (747 )      –   
JNL/S&P 4 Fund      68,283        (68,283 )      –   
JNL/S&P Managed Conservative Fund      (26,294 )      (60,232 )      86,526   
JNL/S&P Managed Moderate Fund      (40,855 )      (119,377 )      160,232   
JNL/S&P Managed Moderate Growth Fund      (61,440 )      (203,976 )      265,416   
JNL/S&P Managed Growth Fund      (18,223 )      (181,851 )      200,074   
JNL/S&P Managed Aggressive Growth Fund      (5,142 )      (62,822 )      67,964   

At December 31, 2013, the following Funds had net capital loss carryforwards (in thousands) for U.S. federal income tax purposes to offset future net realized capital gains. Details of the capital loss carryforwards are listed in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates.

 

     Expiring Capital  Loss
Carryforwards		      No Expiration         
      Year(s) of
Expiration		      Amount      Short Term      Long Term      Total  
JNL/Franklin Templeton Founding Strategy Fund      2016       $ 9,243       $ –       $ 10,281       $ 19,524   

At December 31, 2013, the Funds had no capital, currency and/or PFIC mark-to-market losses realized after October 31, 2013 (“Post-October losses”).

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

As of December 31, 2013, the cost of investments and the components of net unrealized appreciation/(depreciation) (in thousands) were as follows:

 

      Tax Cost of
Investments		      Gross
Unrealized
Appreciation		      Gross
Unrealized
Depreciation		     Net Unrealized
Appreciation/
(Depreciation)		  

JNL/American Funds Blue Chip Income and Growth Fund

    $ 927,268       $ 287,588       $ –      $ 287,588   

JNL/American Funds Global Bond Fund

      471,098         39         (15,725 )      (15,686 ) 

JNL/American Funds Global Small Capitalization Fund

      274,057         62,777         –        62,777   

JNL/American Funds Growth-Income Fund

      1,244,257         401,146         –        401,146   

JNL/American Funds International Fund

      470,241         91,913         –        91,913   

JNL/American Funds New World Fund

      577,371         70,142         (24 )      70,118   

JNL Institutional Alt 20 Fund

      1,568,924         230,787         (27,216 )      203,571   

JNL Institutional Alt 35 Fund

      2,156,781         293,312         (40,356 )      252,956   

JNL Institutional Alt 50 Fund

      3,022,272         357,052         (66,803 )      290,249   

JNL Institutional Alt 65 Fund

      711,647         70,626         (16,533 )      54,093   

JNL/American Funds Balanced Allocation Fund

      422,961         45,251         (5,948 )      39,303   

JNL/American Funds Growth Allocation Fund

      333,731         41,670         (2,007 )      39,663   

JNL Disciplined Moderate Fund

      998,785         116,910         (18,990 )      97,920   

JNL Disciplined Moderate Growth Fund

      1,140,058         167,199         (11,946 )      155,253   

JNL Disciplined Growth Fund

      486,447         70,151         (2,651 )      67,500   

JNL/Franklin Templeton Founding Strategy Fund

      1,294,207         265,686         (225 )      265,461   

JNL/Mellon Capital 10 x 10 Fund

      309,400         85,270         (896 )      84,374   

JNL/Mellon Capital Index 5 Fund

      569,953         148,359         (3,958 )      144,401   

JNL/S&P 4 Fund

      2,382,604         714,312         (6,206 )      708,106   

JNL/S&P Managed Conservative Fund

      1,684,134         98,222         (65,715 )      32,507   

JNL/S&P Managed Moderate Fund

      3,117,655         319,064         (93,373 )      225,691   

JNL/S&P Managed Moderate Growth Fund

      5,375,097         769,336         (101,548 )      667,788   

JNL/S&P Managed Growth Fund

      3,857,799         713,242         (56,010 )      657,232   

JNL/S&P Managed Aggressive Growth Fund

      1,340,148         251,746         (12,238 )      239,508   

As of December 31, 2013, the components of distributable taxable earnings for U.S. federal income tax purposes (in thousands) were as follows:

 

      Undistributed
Net Ordinary
Income*		     

Undistributed
Net Long-Term

Capital Gain

      Unrealized
Gains
(Losses)**		     Capital Loss
Carryforward		  

JNL/American Funds Blue Chip Income and Growth Fund

    $ 17,066       $ 3,027       $ 287,578      $ –   

JNL/American Funds Global Bond Fund

      48         3,878         (15,692 )      –   

JNL/American Funds Global Small Capitalization Fund

      856         2,587         62,774        –   

JNL/American Funds Growth-Income Fund

      13,919         16,799         401,135        –   

JNL/American Funds International Fund

      4,997         3,108         91,912        –   

JNL/American Funds New World Fund

      6,137         4,973         70,115        –   

JNL Institutional Alt 20 Fund

      30,609         18,992         203,547        –   

JNL Institutional Alt 35 Fund

      38,900         26,822         252,922        –   

JNL Institutional Alt 50 Fund

      50,301         38,446         290,203        –   

JNL Institutional Alt 65 Fund

      10,308         20,124         54,072        –   

JNL/American Funds Balanced Allocation Fund

      6,431         1,057         39,302        –   

JNL/American Funds Growth Allocation Fund

      4,669         1,502         39,662        –   

JNL Disciplined Moderate Fund

      27,927         52,446         97,905        –   

JNL Disciplined Moderate Growth Fund

      29,379         61,841         155,237        –   

JNL Disciplined Growth Fund

      11,514         21,050         67,493        –   

JNL/Franklin Templeton Founding Strategy Fund

      27,118         –         265,416        (19,524 ) 

JNL/Mellon Capital Management 10 x 10 Fund

      7,491         14,450         84,364        –   

JNL/Mellon Capital Management Index 5 Fund

      10,308         29,911         144,388        –   

JNL/S&P 4 Fund

      92,617         86,345         708,071        –   

JNL/S&P Managed Conservative Fund

      5,039         18,603         32,464        –   

JNL/S&P Managed Moderate Fund

      6,976         46,406         225,620        –   

JNL/S&P Managed Moderate Growth Fund

      14,791         105,047         667,662        –   

JNL/S&P Managed Growth Fund

      25,125         103,324         657,135        –   

JNL/S&P Managed Aggressive Growth Fund

      7,879         43,821         239,472        –   

 

*

Undistributed net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

**

Unrealized gains (losses) are adjusted for open wash sale loss deferrals.

The tax character of distributions paid (in thousands) during the Funds’ fiscal year ended December 31, 2013 was as follows:

 

      Net Ordinary
Income *		      Long-term
Capital Gain **		  

JNL/American Funds Blue Chip Income and Growth Fund

    $ 11,220       $ 4,729   

JNL/American Funds Global Bond Fund

      9,706         2,152   

JNL/American Funds Global Small Capitalization Fund

      1,872         635   

JNL/American Funds Growth-Income Fund

      10,240         1,276   

JNL/American Funds International Fund

      3,805         757   

JNL/American Funds New World Fund

      3,061         1,049   

JNL Institutional Alt 20 Fund

      32,596         27,405   

JNL Institutional Alt 35 Fund

      37,476         42,632   

JNL Institutional Alt 50 Fund

      40,698         33,152   

JNL Institutional Alt 65 Fund

      8,254         17,787   

JNL/American Funds Balanced Allocation Fund

      2,542         24   

JNL/American Funds Growth Allocation Fund

      1,575         8   

JNL Series Trust Master Feeder Funds and Fund of Funds

Notes to Financial Statements

December 31, 2013

 

 

 

      Net Ordinary
Income *		      Long-term
Capital Gain **		  

JNL Disciplined Moderate Fund

    $ 20,207       $ 10,411   

JNL Disciplined Moderate Growth Fund

      20,093         15,829   

JNL Disciplined Growth Fund

      7,986         6,081   

JNL/Franklin Templeton Founding Strategy Fund

      28,077         –   

JNL/Mellon Capital 10 x 10 Fund

      7,375         2,549   

JNL/Mellon Capital Index 5 Fund

      9,881         10,590   

JNL/S&P 4 Fund

      16,817         63,183   

JNL/S&P Managed Conservative Fund

      56,017         42,123   

JNL/S&P Managed Moderate Fund

      90,243         91,200   

JNL/S&P Managed Moderate Growth Fund

      158,714         152,270   

JNL/S&P Managed Growth Fund

      99,897         155,217   

JNL/S&P Managed Aggressive Growth Fund

      31,233         50,136   

 

*

Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

**

The Funds designated as a long-term capital gain dividend, pursuant to the Internal Revenue code section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gains to zero for the year ended December 31, 2013.

The tax character of distributions paid (in thousands) during the Funds’ fiscal year ended December 31, 2012 was as follows:

 

      Net Ordinary
Income *		      Long-term
Capital Gain		  

JNL/American Funds Blue Chip Income and Growth Fund

    $ 5,813       $ 717   

JNL/American Funds Global Bond Fund

      8,368         3,503   

JNL/American Funds Global Small Capitalization Fund

      2,539         279   

JNL/American Funds Growth-Income Fund

      6,014         388   

JNL/American Funds International Fund

      3,629         365   

JNL/American Funds New World Fund

      5,106         488   

JNL Institutional Alt 20 Fund

      20,382         28,063   

JNL Institutional Alt 35 Fund

      35,317         49,338   

JNL Institutional Alt 50 Fund

      44,561         68,334   

JNL Institutional Alt 65 Fund

      24,432         50,142   

JNL Disciplined Moderate Fund

      9,961         22,273   

JNL Disciplined Moderate Growth Fund

      9,844         23,526   

JNL Disciplined Growth Fund

      3,204         8,109   

JNL/Franklin Templeton Founding Strategy Fund

      25,315         –   

JNL/Mellon Capital 10 x 10 Fund

      7,118         2,859   

JNL/Mellon Capital Index 5 Fund

      7,665         14,811   

JNL/S&P 4 Fund

      22,259         47,013   

JNL/S&P Managed Conservative Fund

      41,301         22,099   

JNL/S&P Managed Moderate Fund

      52,132         79,454   

JNL/S&P Managed Moderate Growth Fund

      72,539         143,081   

JNL/S&P Managed Growth Fund

      38,173         93,531   

JNL/S&P Managed Aggressive Growth Fund

      9,238         –   

 

*

Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

FASB ASC Topic 740 “Income Taxes” provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FASB ASC Topic 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would result in the Funds recording a tax expense in the current year. FASB ASC Topic 740 requires that management evaluate the tax positions taken in returns for 2010, 2011, 2012 and 2013, which remain subject to examination by the Internal Revenue Service and certain other jurisdictions. Management completed an evaluation of the Funds’ tax positions and based on that evaluation, determined that no provision for federal income tax was required in the Funds’ financial statements during the year ended December 31, 2013.

NOTE 7. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Funds through the date the financial statements are issued, and has concluded there are no events that require adjustments to the financial statements or disclosure in the notes.

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees

JNL Series Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each series within JNL Series Trust (the “Funds”) as listed in Note 1 to the financial statements of the JNL Series Trust Master Feeder Funds and Fund of Funds as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2013, the results of their operations, changes in their net assets and the financial highlights for each of the years or periods indicated above, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Chicago, Illinois

February 28, 2014

JNL Series Trust Master Feeder Funds and Fund of Funds

Additional Disclosures (Unaudited)

December 31, 2013

 

 

Disclosure of Fund Expenses. Shareholders incur ongoing costs, which include costs for portfolio management, administrative services, Rule 12b-1 fees (Class A shares of certain Funds) and other operating expenses. Operating expenses such as these are deducted from each Fund’s gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The examples do not reflect the expenses of the variable insurance contracts or the separate account. Total expenses would be higher if these expenses were included.

Expenses Using Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.

Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.

 

     Expenses Using Actual Fund Return      Expenses Using Hypothetical 5% Return  
     Beginning
Account
Value
7/1/2013		      Ending
Account
Value
12/31/2013		      Annualized
Expense
Ratios		     Expenses
Paid
During
Period		      Beginning
Account
Value
7/1/2013		      Ending
Account
Value
12/31/2013		      Annualized
Expense
Ratios		     Expenses
Paid
During
Period*		  
JNL/American Funds Blue Chip Income and Growth Fund                      

Class A

    $ 1,000.00       $ 1,159.50         0.62 %    $ 3.37       $ 1,000.00       $ 1,022.08         0.62 %    $ 3.16   

Class B

      1,000.00         1,160.10         0.37        2.01         1,000.00         1,023.34         0.37        1.89   
JNL/American Funds Global Bond Fund                      

Class A

      1,000.00         1,023.70         0.55        2.81         1,000.00         1,022.42         0.55        2.80   

Class B

      1,000.00         1,024.90         0.30        1.53         1,000.00         1,023.67         0.30        1.53   
JNL/American Funds Global Small Capitalization Fund                      

Class A

      1,000.00         1,176.10         0.55        3.02         1,000.00         1,022.42         0.55        2.80   

Class B

      1,000.00         1,176.70         0.30        1.65         1,000.00         1,023.68         0.30        1.53   
JNL/American Funds Growth-Income Fund                      

Class A

      1,000.00         1,192.00         0.69        3.81         1,000.00         1,021.74         0.69        3.52   

Class B

      1,000.00         1,192.20         0.44        2.43         1,000.00         1,023.00         0.44        2.24   
JNL/American Funds International Fund                      

Class A

      1,000.00         1,174.80         0.65        3.56         1,000.00         1,021.92         0.65        3.31   

Class B

      1,000.00         1,175.30         0.40        2.19         1,000.00         1,023.19         0.40        2.04   
JNL/American Funds New World Fund                      

Class A

      1,000.00         1,138.20         0.65        3.50         1,000.00         1,021.92         0.65        3.31   

Class B

      1,000.00         1,139.20         0.40        2.16         1,000.00         1,023.19         0.40        2.04   
JNL Institutional Alt 20 Fund                      

Class A

      1,000.00         1,101.60         0.17        0.90         1,000.00         1,024.36         0.17        0.87   
JNL Institutional Alt 35 Fund                      

Class A

      1,000.00         1,093.80         0.16        0.84         1,000.00         1,024.38         0.16        0.82   
JNL Institutional Alt 50 Fund                      

Class A

      1,000.00         1,081.30         0.16        0.84         1,000.00         1,024.40         0.16        0.82   
JNL Institutional Alt 65 Fund                      

Class A

      1,000.00         1,074.60         0.19        0.99         1,000.00         1,024.27         0.19        0.97   
JNL/American Funds Balanced Allocation Fund                      

Class A

      1,000.00         1,109.00         0.65        3.46         1,000.00         1,021.92         0.65        3.31   
JNL/American Funds Growth Allocation Fund                      

Class A

      1,000.00         1,141.90         0.65        3.51         1,000.00         1,021.92         0.65        3.31   
JNL Disciplined Moderate Fund                      

Class A

      1,000.00         1,106.50         0.16        0.85         1,000.00         1,024.41         0.16        0.82   
JNL Disciplined Moderate Growth Fund                      

Class A

      1,000.00         1,136.00         0.15        0.81         1,000.00         1,024.43         0.15        0.77   
JNL Disciplined Growth Fund                      

Class A

      1,000.00         1,147.60         0.18        0.97         1,000.00         1,024.29         0.18        0.92   

JNL/Franklin Templeton Founding Strategy Fund

                      

Class A

      1,000.00         1,142.30         0.05        0.27         1,000.00         1,024.94         0.05        0.26   
JNL/Mellon Capital 10 x 10 Fund                      

Class A

      1,000.00         1,151.50         0.05        0.27         1,000.00         1,024.94         0.05        0.26   
JNL/Mellon Capital Index 5 Fund                      

Class A

      1,000.00         1,138.80         0.05        0.27         1,000.00         1,024.94         0.05        0.26   
JNL/S&P 4 Fund                      

Class A

      1,000.00         1,188.70         0.05        0.28         1,000.00         1,024.94         0.05        0.26   
JNL/S&P Managed Conservative Fund                      

Class A

      1,000.00         1,044.30         0.15        0.77         1,000.00         1,024.46         0.15        0.77   
JNL/S&P Managed Moderate Fund                      

Class A

    $ 1,000.00       $ 1,079.60         0.14 %    $ 0.73       $ 1,000.00       $ 1,024.50         0.14 %    $ 0.71   
JNL/S&P Managed Moderate Growth Fund                      

Class A

      1,000.00         1,113.00         0.14        0.75         1,000.00         1,024.51         0.14        0.71   
JNL/S&P Managed Growth Fund                      

Class A

      1,000.00         1,146.40         0.14        0.76         1,000.00         1,024.51         0.14        0.71   
JNL/S&P Managed Aggressive Growth Fund                      

Class A

      1,000.00         1,162.70         0.15        0.82         1,000.00         1,024.45         0.15        0.77   

 

*

Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 184/365 (to reflect the most recent 6-month period).

JNL Series Trust Master Feeder Funds and Fund of Funds

Additional Disclosures (Unaudited)

December 31, 2013

 

 

Quarterly Portfolio Holdings. The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. It is also available upon request from the registrant by calling the Funds toll-free at 1-866-255-1935.

Proxy Voting Policies and Procedures. A description of the Policy of the Funds’ Adviser (and sub-advisers) used to vote proxies relating to the portfolio securities and how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2013, are available (1) without charge, upon request by calling 1-800-873-5654 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or 1-800-777-7779 (for contracts purchased through a bank or financial institution) or 1-888-464-7779 (for NY contracts purchased through a bank or financial institution), (2) by writing JNL Series Trust, P.O. Box 30314, Lansing, Michigan 48909-7814 (3) on Jackson National Life Insurance Company’s or Jackson National Life Insurance Company of New York’s website at www.jackson.com, and (4) on the SEC’s website at www.sec.gov.

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JNL AQR Fund

AQR Capital Management, LLC (Unaudited)

 

 

 

Market Summary: The year ending December 31, 2013 saw a prolonged bull market in global equities, widespread improvements across developed economies and volatility in many markets dominated by central bank intervention. During the first half of the year, containment of the sovereign debt crisis in Europe and improving fundamental data led to a global equity rally and a steady decline in safe haven fixed income assets. In June, fixed income and equity markets declined sharply over concerns of tightening by the U.S. Federal Reserve (“Fed”) and a credit squeeze in China. However, during the second half of the year, equities furthered earlier gains as the Fed

surprised markets with delayed tapering. Improved economic data in the U.S. and European economies supported developed market stocks, while a second credit squeeze in China and disappointing emerging Asian data led to declines in emerging markets. Commodity markets and fixed income markets were choppy due to changes in inflation expectations and uncertainty regarding monetary stimulus. In the foreign exchange markets, the Euro and U.S. Dollar strengthened in tandem with their economies, while the Japanese Yen fell due to highly stimulative fiscal and monetary policy by the government and central bank of Japan.

 

 

JNL/AQR Managed Futures Strategy Fund

 

Portfolio Composition†:

Short Term Investments††

     100.0   % 
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

 †Total Investments at December 31, 2013

††In general, the Fund uses derivatives as direct substitutes for investment in developed market stock indices, government bonds and currencies. Please refer to the Notes to the Schedules of Investments for the Fund’s derivative investments.

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/AQR Managed Futures Strategy Fund outperformed its benchmarks by posting a return of 7.08% for Class A shares compared to 0.07% for the BofA Merrill Lynch U.S. Treasury Bill 3-Month Index, 2.64% for the S&P Diversified Trends Indicator Total Return Index and -2.56% for the Credit Suisse Managed Futures Hedge Fund Index. The Newedge CTA Trend Sub-Index, a peer group index of large trend following managed futures hedge funds, returned -3.47% for the year.

The Fund invests in both long and short futures and currency forward contracts to gain economic exposure to global equity, fixed income, commodity and currency markets. These derivative positions are responsible for substantially all the performance in the Fund. Gross of fees by asset class, commodities detracted -1.2%, currencies contributed 4.9%, equities contributed 7.6% and fixed income detracted -2.5%.

While we expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle, the Fund maintained a tactical positive beta to equity markets at all points during the year. The Fund’s expected beta to the S&P 500 Index began bullish at +0.57 and peaked at +0.73 during February’s rally. After bearish commentary by the Fed, the Fund’s beta fell to +0.11 in July, and rose back to +0.43 at the end of the year as markets rallied.

By asset class, the Fund’s tactical long position in developed equity markets was the largest

contributor, as the Fund benefited from the year’s broad rally in global stock markets. By asset, currency crosses short the Japanese Yen had the greatest positive contribution to the Fund, as unprecedented stimulative measures and sustained attempts at devaluation by the Japanese government and central bank led to sustained profits in the Fund. Alternatively, while currency trading overall led to strong gains for the Fund, currency crosses versus the Swedish Krona and Norwegian Krone were the largest individual detractors as the currencies reversed sharply multiple times over the year on economic uncertainty and changing stances by their central banks. We believe this type of environment illustrates the importance of Fund construction, which emphasizes diversification across assets, asset classes and trend signals. Consistent trends in equities and currencies more than offset choppiness in fixed income and commodities.

 

 

JNL/AQR Managed Futures Strategy Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     7.08%   

Since Inception

     2.92%   
(Inception date August 29, 2011)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     7.19%   

Since Inception

     3.10%   
(Inception date August 29, 2011)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL BlackRock Funds

BlackRock Investment Management, LLC (Unaudited)

 

 

 

Market Summary: International equity markets began 2013 with a powerful relief rally after the U.S. averted the worst of its potential fiscal crisis with a last minute tax deal. The rally softened in February, however, as global economic momentum slowed. Later in the first quarter, a stalemate presidential election in Italy and a severe banking crisis in Cyprus reminded investors that political and financial instability in Europe continued to pose risks. The ascent of equities persevered as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield.

As the year progressed, the direction of equity markets became increasingly dominated by speculation around the future of monetary policy in response to signals from central banks, particularly the U.S. Federal Reserve (“Fed”). Sluggish global growth, ironically, was often conducive to positive stock market performance as weak economic data reinforced investors’ expectations that major central banks would maintain their accommodative stance. Additionally, the modest pace of economic growth bode well for corporate profit margins as the global recovery was strong enough to support revenues while nearly stagnant wage growth kept costs low.

As economic indicators improved later in the fall, investors around the world grappled with rising uncertainty around the timing of the anticipated Fed taper. This anxiety was ultimately relieved when the central bank announced the commencement of tapering in mid December. Investors reacted positively to this policy move as it signalled the Fed’s perception of real improvement in U.S. growth. Sentiment was also buoyed by the extension of the Fed’s expected time horizon for maintaining low short term interest rates.

Commodities markets ended the fourth quarter and year on a low note with energy being the lone positive performing sector in 2013. Low global demand growth has reduced the likelihood of a broad market rally as developed economies continue to struggle to generate meaningful secular growth. China has delivered on its goal of achieving 7.5 to 8.0% gross domestic product (“GDP”) growth yet concerns over the health of its credit sector continues to weigh on the economic outlook of the world’s driver of marginal commodity demand. On the supply side, idiosyncratic trends have provided some respite for certain commodities as production outages, geopolitical tensions and inclement weather have driven positive and diversified returns.

 

 

JNL/BlackRock Commodity Securities Strategy Fund

 

Portfolio Composition†:

Energy

     70.5   % 

Commodity Indexed Structured Notes††

     6.3   

Materials

     5.0   

Financials

     0.9   

Short Term Investments

     17.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

  †Total Investments at December 31, 2013

††The Fund invests its portfolio in commodity indexed structured notes and short term investments to gain exposure to the Dow Jones-UBS Commodity Index.

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/BlackRock Commodity Securities Strategy Fund outperformed its blended benchmark by posting a return of 9.51% for Class A shares compared to the blended return of 7.51% for the 75% MSCI Natural Resources Index and 25% Dow Jones-UBS Commodity Index. The Fund outperformed the Dow Jones-UBS Commodity Index, which returned -9.52%, and underperformed the MSCI Natural Resources Index which returned 13.70%.

In relative terms, outperformance during the year was generated through a strong combination of stock selection and an overweight to exploration and production, followed by a large underweight in diversified metals and mining. An overweight in gas and equipment services and strong individual selection within oil and gas drilling also enhanced relative returns during the year. The largest detractor from performance was an underweight in integrated oil and gas, followed by weaker stock selection within oil & gas equipment & services and steel. Lastly, security selection within diversified metals and mining and coal also detracted from performance during the year.

With respect to the commodities sleeve, energy was the outperformer of the group, rising 5.2%. Industrial and precious metals declined -13.6% and -30.8%, respectively. Grains and soft commodities both fell -16.9% while livestock dropped -3.5%. Precious metals lost their luster on the announcement of Fed tapering in December. Investor sentiment remains weak. Withdrawals from precious metals exchange

traded products (“ETPs”) have overshadowed small positive flows elsewhere into the asset class this year. Industrial metals continued to suffer from a high inventory overhang as slowing Chinese demand and robust supply continues to cast a pall over the sector. Industrial metals are highly cyclical and the outlook in the sector hinges on a sustained recovery in the global economy and in particular, China. Energy rallied strongly, led by natural gas. In the U.S., colder than normal weather resulted in large draws from natural gas inventories, including the largest ever weekly withdrawal reported in December. Storage levels fell below the five year average for much of the quarter and the early winter supply tightness drove natural gas to a 11.0% gain for the quarter. Agricultural commodities have seen broad price decreases as stocks have replenished following last year’s historic drought in the U.S. High prices incentivized farmers to plant record amount of seeds at the start of the year and stable weather growing conditions led to a bumper harvest in 2013.

 

 

JNL/BlackRock Global Allocation Fund

 

Portfolio Composition†:

Financials

     15.2   % 

Government Securities

     11.6   

Health Care

     9.9   

Industrials

     9.9   

Information Technology

     9.1   

Consumer Discretionary

     7.8   

Energy

     6.4   

Materials

     5.0   

Consumer Staples

     4.3   

Telecommunication Services

     3.4   

Utilities

     2.1   

Purchased Options

     0.5   

Investment Companies

     1.1   

Short Term Investments

     13.7   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/BlackRock Global Allocation Fund outperformed its blended benchmark by posting a return of 14.31% compared to the blended return of 13.67% for the 36% S&P 500 Index, 24% FTSE World ex-U.S. Index, 24% BofA Merrill Lynch Current 5-Year U.S. Treasury Index and 16% Citigroup Non-U.S. Dollar World Government Bond Index. The S&P 500 Index returned 32.39%, the FTSE World Index returned 24.67%, the FTSE World ex-U.S. Index returned 17.41%, the BofA Merrill Lynch Current 5-Year U.S. Treasury Index returned -2.42% and the Citigroup Non-U.S. Dollar World Government Bond Index returned -4.56%

Within equities, stock selection and an overweight in Japan and Hong Kong, stock selection in Europe, an overweight to Brazil and an

underweight to Australia contributed to performance. Stock selection and an underweight to the U.S. detracted from performance. From a sector perspective stock selection in information technology, energy, telecommunication services and utilities, stock selection and an overweight in industrials and health care, and an underweight in consumer staples contributed to returns. Stock selection and an overweight to materials, led by gold related securities weighed on returns. Overall, an underweight to fixed income positively impacted performance. Within fixed income, an overweight to both convertible and U.S. corporate bonds contributed to performance, and an overweight to Brazilian sovereign bond exposure detracted from performance. From a currency perspective, an underweight to the Japanese Yen and the Australian Dollar was additive to

 

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JNL BlackRock Funds (continued)

BlackRock Investment Management, LLC (Unaudited)

 

 

 

JNL/BlackRock Global Allocation Fund (continued)

 

performance. An overweight to cash weighed on returns.

During the year, the Fund’s overall equity allocation increased from 62% to 68% of net assets. Within equities, the Fund increased exposure to Japan (+1.4%) and Europe (+3.8%), and decreased exposure to the U.S. (-2.2%) and Canada (-0.9%). From a sector perspective, the Fund increased weightings in industrials (+3.9%), financials (+2.1%), health care (+1.9%), consumer discretionary (+1.7%), information technology (+0.7%) and utilities (+0.3%), and decreased weightings in materials (-1.8%), energy (-1.3%) and telecommunication services (-1.0%). The Fund’s overall allocation to fixed income decreased from 23% to 22% of net assets, which was notably due to decreased

exposure in government bonds (-3.3%), most specifically Australia (-0.9%), Brazil (-0.7%), Hong Kong (-0.4%) and Malaysia (-0.4%). This was partially offset by increased exposure to U.S. Dollar corporate bonds (+1.2%) and U.S. Treasuries (+0.4%). Reflecting the above changes, the Fund’s cash equivalents decreased from 15% to 10% of net assets.

Compared to its blended benchmark, the Fund was overweight equities (+3%), significantly underweight fixed income (-20%), and overweight cash equivalents (+17%). Within the equity segment, the Fund was overweight Japan (+4.4%) and Europe (+1.9%), and underweight the U.S. (-3.5%). From a sector perspective, the Fund was overweight industrials (+2.7%), health care (+2.6%), materials (+2.6%) and information

technology (+0.6%) and underweight consumer staples (-1.8%). Within fixed income, the Fund was underweight U.S. Treasuries (-17.7%), Japanese government bonds (-5.7%) and European sovereign debt (-5.5%), and overweight sovereign and provincial debt in Australia (+0.8%) and Brazilian government bonds (+0.8%). In addition, the Fund was overweight corporate (+5.0%) and convertible (+2.8%) debt. As for currency exposure, the Fund was overweight the U.S. Dollar (+4.7%), Brazilian Real (+0.7%), Australian Dollar (+0.4%), Singapore Dollar (+0.3%) and Canadian Dollar (+0.3%), and was underweight the Japanese Yen (-3.9%), the Euro (-2.3%) and the Taiwan Dollar (-0.4%). The Fund also had overweight positions in several emerging market Asian currencies.

 

 

JNL/BlackRock Large Cap Select Growth Fund (formerly JNL/UBS Large Cap Select Growth Fund)

 

Portfolio Composition†:

Information Technology

     28.6   % 

Consumer Discretionary

     28.4   

Industrials

     13.2   

Health Care

     12.9   

Telecommunication Services

     4.7   

Energy

     3.3   

Financials

     3.2   

Consumer Staples

     2.2   

Materials

     1.9   

Short Term Investments

     1.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/BlackRock Large Cap Select Growth Fund outperformed its benchmark by posting a return of 38.99% for Class A shares compared to 33.48% for the Russell 1000 Growth Index.

For the period January 1, 2013 through September 15, 2013, the Fund was sub-advised by UBS Global Asset Management (Americas) Inc. During this period, the Fund posted a return of 22.17% compared to 20.22% for the Russell 1000 Growth Index.

During the period, stock selection within information technology was the largest contributor to performance, followed by energy, industrials, consumer discretionary and financials. Stock selection in telecommunication services and consumer staples was a modest detractor from performance during the period. From a sector standpoint the Fund’s overweight to consumer discretionary, health care and energy and its underweight to consumer staples, materials and financials contributed to performance.

The largest contributors at the stock level during the period were the Fund’s holdings in Gilead Sciences Inc., Priceline.com Inc., Facebook Inc. and Apple Inc.. The largest detractors at the stock level were VMware Inc., Lululemon Athletica Inc., Teradata Corp., and Intuitive Surgical Inc.

At the end of the period, the Fund was overweight consumer discretionary, information technology and energy and underweight consumer staples, materials and financials.

Effective September 16, 2013, BlackRock Investment Management, LLC assumed management responsibility for the Fund. For the period September 16, 2013 through December 31, 2013, the Fund posted a return of 13.77% compared to 11.03% for the Russell 1000 Growth Index.

During the period, consumer discretionary was one of the top performing sectors, led by Amazon.com Inc. (“Amazon”) which rose nearly 28% on an upside revenue surprise for its third quarter, as well as growing appreciation for Amazon Web Services’ potential to take share in cloud computing. Select information technology holdings provided some top contributors including Yahoo! Inc. which appreciated as a result of its 20% stake in Chinese e-commerce Alibaba Group. Google Inc. contributed, boosted by a third quarter that beat analysts’ expectations. Twitter Inc. added value when the stock more than doubled following its successful initial public offering. At the stock level, United Therapeutics Corp. and Japanese internet telecom SoftBank Corp. (“SoftBank”) aided performance.

Conversely, Sirius XM Holdings Inc. and LinkedIn Corp. were the most notable individual detractors. At the sector level, energy was the prime detractor from performance, specifically

Gulfport Energy Corp. which traded lower on declining commodity prices.

During the period, exposure to telecommunication services was increased by adding to SoftBank and purchasing Vivendi SA and increased in consumer discretionary by purchasing Starbucks Corp. Exposure to health care was increased by purchasing Intuitive Surgical Inc. and increased in materials by adding to Monsanto Co. Conversely weightings were lowered in information technology by eliminating Equinix Inc. and Citrix Systems Inc., in energy by selling Gulfport Energy Corp. and in financials by eliminating American International Group Inc.

We believe the U.S. recovery is accelerating, and the trend bodes well for economic and corporate earnings growth in 2014. Historically, when the U.S. economy accelerates, growth stocks tend to outperform the broader market – a dynamic that was clearly evident in the growth indices’ strong third and fourth quarter showings across the market capitalization spectrum.

The strong performance for U.S. stocks in 2013 has naturally given way to worries about stretched valuations. Though pockets of overvaluation may exist, we take a longer term view of the investments we make focusing on businesses for which the magnitude and/or duration of future growth prospects are underestimated by the market. On that score, we continue to find reasonable valuations for great companies with strong earnings potential, large addressable markets and dominant market positions that we believe can thrive irrespective of the macro ebbs and flows. The Fund’s largest overweight relative to the index remains consumer discretionary, while the most notable underweight is consumer staples.

 

 

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JNL BlackRock Funds (continued)

BlackRock Investment Management, LLC (Unaudited)

 

 

 

JNL/BlackRock Commodity Securities Strategy Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     9.51%   

5 Year

     12.51%   

Since Inception

     2.91%   
(Inception date January 16, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     9.83%   

5 Year

     12.73%   

Since Inception

     3.12%   

(Inception date January 16, 2007)

  

BlackRock Investment Management LLC assumed portfolio management responsibility on October 11, 2010.     
 

JNL/BlackRock Global Allocation Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     14.31%   

Since Inception

     7.09%   
(Inception date October 11, 2010)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     14.43%   

Since Inception

     7.28%   
(Inception date October 11, 2010)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL BlackRock Funds (continued)

BlackRock Investment Management, LLC (Unaudited)

 

 

 

JNL/BlackRock Large Cap Select Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     38.99%   

5 Year

     18.68%   

10 Year

     6.44%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     39.30%   

5 Year

     19.14%   

Since Inception

     6.27%   
(Inception date March 5, 2004)   

BlackRock Investment Management LLC assumed portfolio management responsibility on September 16, 2013.

    

 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

 

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JNL Brookfield Fund

Brookfield Investment Management Inc (Unaudited)

 

 

 

Market Summary: In early 2013, governments helped drive yields in fixed income to all time lows, encouraging an ongoing global search for current income. Global infrastructure securities benefitted given the asset class generally delivers attractive yields. The market reversed course in May when U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke foreshadowed a reduction in government bond purchases. Asset classes with higher yields, like infrastructure securities, were vulnerable. Global infrastructure securities as measured by the Dow Jones Brookfield Global Infrastructure Composite Index returned 18.77% in 2013, underperforming the MSCI World Index by 8.60%.

Europe was a bright spot among infrastructure stocks as the region rebounded off its lows. European infrastructure securities returned a strong 22.49% in 2013, followed by the Americas and Asia Pacific, up 13.65% and 11.28% respectively. Master Limited Partnerships (“MLPs”) also had a

banner year, and the Alerian MLP Total Return Index returned 27.58%. Higher growth sectors levered to an economic recovery were also strong, led by airports (+26.64%) and toll roads (+25.02%). Communications (+7.73%) and water (+9.45%) lagged. Water suffered from its low growth profile while communications companies may have been impacted by relatively higher leverage levels. (Unless noted otherwise, sector and regional returns are measured by the Dow Jones Brookfield Infrastructure Indices.)

We believe underperformance of the infrastructure asset class in 2013 creates investment opportunities for the year ahead. While a steep increase in interest rates would present a downside risk for infrastructure securities, we expect a modest rise in long term interest rates at a moderate pace. A number of positive trends, particularly investor demand for infrastructure securities as well as rapid growth in the asset class, support our positive outlook for the space in 2014.

 

 

JNL/Brookfield Global Infrastructure Fund

 

Portfolio Composition†:

Energy

     35.7   % 

Utilities

     20.6   

Industrials

     20.1   

Telecommunication Services

     5.5   

Financials

     5.3   

Consumer Discretionary

     1.5   

Short Term Investments

     11.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Brookfield Global Infrastructure Fund outperformed its benchmark by posting a return of 23.43% compared to 18.77% for the Dow Jones Brookfield Global Infrastructure Composite Index. A majority of relative outperformance was driven by strong stock selection, while sector allocation was also positive. Regional allocation was modestly negative.

By sector, stock selection among MLPs and C-Corp pipelines were strong contributors.

However, stock selection among toll roads and water companies detracted from relative performance. By region, strong stock selection within the U.S. drove positive relative performance, and was the strongest regional contributor by a wide margin. This was partially offset by an approximately 3% average overweight exposure to Latin America. Brazil has been weak from a macro perspective and negatively impacted relative Fund performance. By security, overweight exposure to MLP Access Midstream Partners LP was the top contributor in 2013. Not owning midstream pipeline company Cheniere Energy Inc. was the largest detractor as the company had a strong year due to investor optimism regarding its potential to receive approval from the Department of Energy for exports of liquefied natural gas to non free trade agreement countries.

Growth focused Fund positioning was implemented in the first quarter of the year, with no dramatic portfolio changes. We incorporated a quality bias within the Fund in an environment

where higher yielding, often lower quality companies, like electricity transmission and distribution were significantly outperforming their higher quality peers. Throughout the year, we favored high growth sectors in the U.S., including pipelines and non-benchmark rail companies. We increased exposure to European transportation companies during 2013, favoring Spain and Italy where signs of improving traffic driven by gross domestic product growth are expected to benefit transportation operators in the region. Within Europe, we remain cautious on regulated businesses like UK water companies in light of regulatory uncertainty. We maintained moderate exposure to Brazil, where we have identified ongoing value opportunities among high quality companies in the country but remain cautious on the volatile macro climate. Finally, we favor gas utilities in China.

 

 

JNL/Brookfield Global Infrastructure Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     23.43%   

Since Inception

     22.54%   
(Inception date December 12, 2011)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     23.62%   

Since Inception

     22.77%   
(Inception date December 12, 2011)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Capital Guardian Funds

Capital Guardian Trust Company (Unaudited)

 

 

 

Market Summary: Global stocks rose to near record highs, supported by central bank stimulus, an accelerating U.S. economy and reasonably good earnings growth. Equity markets in most regions posted double digit gains, supported by the U.S. Federal Reserve’s (“Fed”) unconventional asset purchase programs. Fed action influenced the direction of global markets as the central bank contemplated and later implemented a $10 billion reduction in its bond buying program. Emerging markets stocks retreated, lagging developed markets by a wide margin amid rising interest rates, currency weakness and a reduced appetite for risk during the Fed’s taper discussion. Losses were tempered by signs of economic stabilization in China. The Fed’s midyear taper talk drove interest rates higher, pressuring bond markets.

Most sectors enjoyed strong gains for the year, led by consumer discretionary and health care stocks. Telecommunication services stocks advanced amid resurgent merger & acquisition activity. Materials, energy and utilities stocks trailed the broader market. Metals prices slid, hurt by uncertainty regarding China’s growth prospects.

U.S. equities rose 32.39%, as measured by the S&P 500 Index, the largest gain since 1997. A sharp increase in U.S. gross domestic product in the third quarter outweighed investor concerns about deflationary pressures in Europe and a slowing of the Japanese economy. The year closed on a positive note as several key stock market indices reached all time highs in December. For the year, the U.S. Dollar gained against the Japanese Yen and most emerging markets currencies, but fell versus the Euro.

 

 

JNL/Capital Guardian Global Balanced Fund

 

Portfolio Composition†:

Government Securities

     18.8   % 

Financials

     15.4   

Consumer Discretionary

     10.8   

Industrials

     10.8   

Information Technology

     9.8   

Health Care

     8.6   

Telecommunication Services

     4.0   

Consumer Staples

     3.5   

Materials

     3.1   

U.S. Government Agency MBS

     3.0   

Energy

     2.9   

Utilities

     0.9   

Non-U.S. Government Agency ABS

     0.4   

Short Term Investments

     8.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Capital Guardian Global Balanced Fund outperformed its blended benchmark by posting a return of 15.55% for Class A shares compared to the blended return of 13.35% for the 65% MSCI All Country World Index and 35% Barclays Capital Global Aggregate Bond Index. The Fund outperformed the Barclays Capital Global Aggregate Bond Index, which returned -2.60%, and

underperformed the MSCI All Country World Index, which returned 22.80%.

The equity portion of the Fund delivered positive results, outpacing its respective index, while the fixed income portion was modestly negative for the year, largely in line with its respective index.

Among equities, health care was the largest contributor to returns, particularly the investment in Gilead Sciences Inc. (“Gilead Sciences”). Bristol-Myers Squibb Co. (“Bristol-Myers”) and Seattle Genetics Inc. (“Seattle Genetics”) also notched strong gains.

Telecommunications stocks were another source of significant gains. Shares of SoftBank Corp. (“Softbank”) rallied as the Japanese wireless provider benefited from strong iPhone sales in Japan and the completion of its Sprint Nextel Corp. (“Sprint”) acquisition. But elsewhere in the sector, shares of Brazilian telecommunications company Oi SA tumbled as investors worried about the company’s rising debt levels and capital spending.

The selection of consumer discretionary stocks, and an overweight stance in the sector, aided the Fund. Greek toy retailer JUMBO SA, which was added to the Fund during the year, soared on better sales and an optimistic outlook for growth.

Stock selection in the consumer staples sector hurt results. The investment in Pernod-Ricard SA was a significant detractor and major sells during the year included Hitachi Ltd., AT&T Inc. and Progressive Waste Solutions Ltd.

Within the bond portion of the Fund, currency exposure was a positive contributor to returns, while country allocation and curve positioning were the largest detractors. The underweight position in European bonds hurt results, as did an overweight position in U.S. Treasuries. A less than index exposure to the Japanese Yen helped as the Japanese currency tumbled versus the U.S. Dollar amid massive quantitative easing by the Bank of Japan. On the other hand, an underweight stance in the Euro hurt relative results as the currency has continued to strengthen despite a relatively weak economy.

Heading into 2014, managers have positioned the Fund with a preference for equities over fixed income investments, reflecting their expectation of an improving global economy and a gradual rise in interest rates. Among equities, managers continue to favor companies that dominate their respective industries through innovation, rapid growth and superior technology. In fixed income, managers are focused on delivering consistent returns without taking excessive risk.

 

 

JNL/Capital Guardian Global Diversified Research Fund

 

Portfolio Composition†:

Financials

     16.3   % 

Health Care

     15.4   

Consumer Discretionary

     15.3   

Information Technology

     12.8   

Industrials

     12.1   

Consumer Staples

     6.4   

Energy

     5.2   

Materials

     5.1   

Telecommunication Services

     3.7   

Utilities

     1.1   

Short Term Investments

     6.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Capital Guardian Global Diversified Research Fund outperformed its benchmark by posting a return of

23.23% for Class A shares compared to 22.80% for the MSCI All Country World Index.

Investments in health care were strong contributors to results. Gilead Sciences saw its share price double over the year as it reported strong sales growth and benefited from successful clinical trials and regulatory approvals for its HIV and hepatitis C drugs. Shares of Seattle Genetics and Bristol-Myers advanced on hopes for novel cancer therapies in their pipelines, and German drug giant Bayer AG benefited from earnings growth boosted by sales of new products.

Investments in a range of consumer discretionary stocks benefited the Fund, including film and media company DreamWorks Animation SKG Inc., gaming group Wynn Macau Ltd. and coffeehouse chain Starbucks Corp. The investment in Japanese mobile company SoftBank was

additive. SoftBank, which owns 80% of U.S. carrier Sprint, benefited from rumors Sprint was considering a merger with T-Mobile USA Inc.

Investments in consumer staples companies dragged on results. Shares of Coca-Cola Amatil Ltd. fell amid concerns about declines in its Australian business, while shares of French distiller Pernod-Ricard SA were flat amid a deteriorating sales outlook in China. Samsung Electronics Co. Ltd. shares declined 7% as the company downgraded its profit forecasts.

The investment in American Tower Corp. hurt relative results. The cell tower operator is organized as a real estate investment trust and thus fared poorly in the rising rate environment. However, the company is well positioned to benefit from global wireless growth. The investment in UK based energy exploration firm Tullow Oil Plc detracted, as a succession of wells failed

 

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JNL Capital Guardian Funds (continued)

Capital Guardian Trust Company (Unaudited)

 

 

 

JNL/Capital Guardian Global Diversified Research Fund (continued)

 

to yield commercially viable results. Investments in energy weighed on returns.

The Fund continues to favor companies that dominate their respective industries through innovation and superior technology. Health care remains a primary focus, especially pharmaceut-

ical firms with the demonstrated ability to produce new breakthrough treatments for serious diseases. Information technology firms and consumer discretionary companies also feature prominently as corporate and consumer spending in those areas is expected to accelerate.

Financials and utilities remain significantly lower than the index as rising interest rates and regulatory constraints produce unfavorable headwinds in those sectors.

 

 

JNL/Capital Guardian Global Balanced Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     15.55%   

5 Year

     10.68%   

10 Year

     5.55%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     15.75%   

5 Year

     10.93%   

Since Inception

     5.58%   
(Inception date March 5, 2004)   
Capital Guardian Trust Company assumed portfolio management responsibility on December 3, 2007.     
 

 

JNL/Capital Guardian Global Diversified Research Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares

1 Year

     23.23%   

5 Year

     16.32%   

10 Year

     6.62%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     23.48%   

5 Year

     16.61%   

Since Inception

     6.42%   
(Inception date March 5, 2004)   
Capital Guardian Trust Company assumed portfolio management responsibility on December 3, 2007.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL DFA Fund

Dimensional Fund Advisors LP (Unaudited)

 

 

 

Market Summary: U.S. stocks delivered very strong returns in 2013. The annual return for the broad U.S. market, as measured by the Russell 3000 Index, was +33.55%. The daily volatility of the U.S. market was moderate throughout most of the year. Asset class returns ranged from 32.53% for large cap value stocks to 43.30% for small cap growth stocks, as measured by the Russell 1000 Value Index and the Russell 2000 Growth Index, respectively. The strongest sectors were consumer discretionary and health care, while the weakest sector was real estate investment trusts (“REITs”).

Using conventional indices as proxies, small caps outperformed large caps in the U.S. A closer look reveals that micro cap performance was particularly strong and contributed significantly to the positive size premium. Value stocks ex REITs and highly regulated utilities outperformed growth stocks among large cap stocks, but not among small cap stocks.

 

 

JNL/DFA U.S. Core Equity Fund

 

Portfolio Composition†:

Financials

     16.9   % 

Information Technology

     16.3   

Consumer Discretionary

     13.2   

Industrials

     13.1   

Health Care

     10.7   

Energy

     9.7   

Consumer Staples

     6.7   

Materials

     4.2   

Utilities

     2.8   

Telecommunication Services

     2.0   

Short Term Investments

     4.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/DFA U.S. Core Equity Fund outperformed its benchmark by posting a return of 35.17% for Class A shares compared to 33.55% for the Russell 3000 Index. The majority of the Fund’s outperformance came from the exclusion of REITs, and increased exposure to small cap securities.

For the year, REITs underperformed all other sectors in the U.S. markets. As a result, the Fund’s exclusion of REITs from investment contributed over 1% to total outperformance. REITs are excluded by design because research shows they tend not to deliver the same premiums as other types of equities. This was the case in

2013, as highlighted by a total return of 1.22% for the Dow Jones U.S. Select REIT Index.

The Fund’s lesser allocation than the index to large cap stocks contributed positively to the Fund’s outperformance, as small cap and mid cap stocks outperformed large cap stocks for the year.

Compared to the benchmark, the Fund invests in deeper value stocks, defined as those stocks with low price to book ratios. Although there was a negative value premium observed in the market, with the Russell 3000 Value Index underperforming Russell 3000 Growth Index, deep value stocks held in the Fund outperformed those in the index, especially within financials (ex-REITs).

 

 

JNL/DFA U.S. Core Equity Fund (Class A)

 

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Effective April 29, 2013, the Fund replaced the S&P 500 Index with the Russell 3000 Index.

 

Average Annual Total Returns*
for Class A Shares		    

1 Year

     35.17%   

5 Year

     17.93%   

10 Year

     5.62%   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     35.43%   

5 Year

     18.19%   

Since Inception

     5.56%   
(Inception date March 5, 2004)   
Dimensional Fund Advisors LP assumed portfolio management responsibility on April 30, 2012.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Eagle Fund

Eagle Asset Management, Inc. (Unaudited)

 

 

 

Market Summary: For the year, the Russell 2000 Growth Index which was up 43.30%, outpaced the Russell 2000 Value Index which was up 34.52% in what was its strongest performance year in a decade. Strength in returns was broad based during 2013, led by healthcare (+52.0), consumer

staples (+49.6%) and information technology (+42.7%) while materials came in light (+31.8%) relative to the Russell 2000 Growth Index’s extremely strong performance during 2013.

 

 

JNL/Eagle SmallCap Equity Fund

 

Portfolio Composition†:

Health Care

     21.1   % 

Information Technology

     20.4   

Consumer Discretionary

     16.0   

Industrials

     15.0   

Materials

     5.2   

Consumer Staples

     4.8   

Energy

     4.4   

Financials

     4.0   

Short Term Investments

     9.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Eagle SmallCap Equity Fund underperformed its benchmark by posting a return of 30.47% for Class A shares compared to 43.30% for the Russell 2000 Growth Index. The Fund trailed most notably in healthcare and information technology, while finishing slightly ahead in energy on a relative basis.

The Fund’s top performing stocks were United Therapeutics Corp., Salix Pharmaceuticals Ltd.,

Natural Grocers by Vitamin Cottage Inc., Bally Technologies Inc. and Genesco Inc. The Fund’s worst performing stocks were ARIAD Pharmaceuticals Inc., Vocera Communications Inc., Fusion-io Inc., Francesca’s Holdings Corp. and Monster Worldwide Inc.

The Fund’s most significant sector weighting changes came from increasing exposure to information technology, through purchases of Aruba Networks Inc., Aspen Technology Inc. and Palo Alto Networks Inc. and decreasing exposure to energy, through a takeout of Lufkin Industries Inc. and sales of Dril-Quip Inc. and Ocean Rig UDW Inc.

As the market shrugged off the U.S. Federal Reserve’s (“Fed”) tapering and rallied to new highs, once again, particular strength was evident in our own backyard, the small cap space, as the “risk-on” trade continued. Valuations increase and the possibility of a correction also increases as the market rises. Nevertheless, valuations, while not cheap, are not excessive either. Important metrics such as domestic housing and

autos continue to be strong. Employment statistics are getting better and recent economic data from Europe and China also have been encouraging. Finally, the Fed’s gradual tapering has been well received. We continue to believe higher interest rates are inevitable and continue to believe investors will move money out of fixed income and into those asset classes producing the highest returns. It appears to us that conditions remain in place for the market to continue higher but gains of the magnitude of 2013 would be an unrealistic expectation. We maintain a neutral outlook on energy given a relatively muted outlook for commodity prices. Within materials and industrials, we continue to favor building materials and petrochemical processing. Scale likely will rule as a strategy for success in healthcare as a result of Obamacare. Some of our favorite themes in technology are cyber security and software as a service. Better employment data and a generally stronger economy should bode well for consumer stocks.

 

 

JNL/Eagle SmallCap Equity Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     30.47%   

5 Year

     21.69%   

10 Year

     10.43%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     30.69%   

5 Year

     21.92%   

Since Inception

     9.89%   
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Eastspring Funds

Eastspring Investments (Singapore) Limited (Unaudited)

 

 

 

 

Market Summary: Over the year, Asia Pacific ex-Japan equity markets were volatile as investors weighed the implications of a reduction in the U.S. Federal Reserve Board’s quantitative easing program. Expectations of a rosier growth outlook sparked a rise in U.S. interest rates. Asian markets with current account deficits grappled with the impact of rising U.S. rates, however, export driven economies benefitted from hopes of a renewed export cycle. In the second half of the year, markets were optimistic ahead of China’s third plenum. Extensive reform plans in Asia’s largest economy, deemed to be the broadest since the 1990s, provided confidence that the Chinese government will address structural challenges in its economy. However, a deadly typhoon in the Philippines, political unrest in Thailand and a weakening currency in Indonesia negatively affected sentiment toward the end of the year, particularly in Southeast Asian markets.

Chinese and Indian equity markets were a tale of two halves in 2013 as the first half of 2013 was quite weak because a slowdown in the Chinese economy coupled with the weakening of the Indian Rupee affected overall sentiment for both markets. But during the second half of 2013, markets began to recover as highly attractive valuations in China and moderately attractive valuations in India coupled with talk of reforms in both China and India helped the markets recover during the second half of the year. In China, the 3rd plenum session held in November brought some surprises to the market as talk of structural reforms brought hope that more would be done in China to correct some of its problems. In India, the introduction of constructive measures by its central bank and the government helped stabilize its currency and attracted U.S. Dollars from non resident Indians to finance the deficit, instilling confidence back to the Indian capital markets.

 

 

JNL/Eastspring Investments Asia ex-Japan Fund

 

Portfolio Composition†:

Financials

     32.9   % 

Information Technology

     16.8   

Consumer Discretionary

     10.5   

Industrials

     9.4   

Energy

     8.3   

Consumer Staples

     6.4   

Telecommunication Services

     4.3   

Materials

     3.3   

Utilities

     2.2   

Health Care

     0.5   

Short Term Investments

     5.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Eastspring Investments Asia ex-Japan Fund underperformed its benchmark by posting a return of

-6.04% for Class A shares compared to 3.07% for the MSCI Asia ex-Japan Index.

Stock selection in the industrials sector was a key contributor to the Fund’s relative performance. In contrast, stock selection in information technology detracted from the Fund’s relative performance.

AAC Technologies Holdings Inc., a key contributor to the Fund’s performance, is a leader in the design and manufacture of acoustic components. Headquartered in Taiwan, the company is a key supplier to the consumer electronics industry. The stock price rose sharply as a result of strong demand for smart phones globally.

The underweight position in Tencent Holdings Ltd. (“Tencent”) detracted from performance as its shares rose 99% year on year. Tencent is China’s most diversified internet and telecommunications service company. The company

is at an inflection point as it seeks to monetize its asset base in mobile messenger, e-commerce and mobile games. Despite an unproven business model, Tencent trades at expensive valuations and is priced with little margin of safety. The portfolio manager believes that there are more attractive risk reward opportunities in the market.

The Fund added to an existing position in SK Innovation Co. Ltd. and initiated a new position China Merchants Holdings International Co. Ltd. while exposure to COSCO Pacific Ltd. and Xingda International Holdings Ltd. was trimmed.

At year end, China and India were the Fund’s top overweight markets; Taiwan and Malaysia were the top underweight markets. The Fund’s top positive positions included Cheung Kong Holdings Ltd., China Merchants Bank Co. Ltd. and Standard Chartered Plc.

 

 

JNL/Eastspring Investments China-India Fund

 

Portfolio Composition†:

Financials

     29.9   % 

Energy

     14.5   

Information Technology

     12.7   

Consumer Discretionary

     9.6   

Telecommunication Services

     6.8   

Materials

     5.4   

Health Care

     4.8   

Consumer Staples

     4.4   

Industrials

     3.9   

Utilities

     1.4   

Short Term Investments

     6.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 2013, JNL/Eastspring Investments China-India Fund underperformed its blended benchmark by posting a return of -2.35% for Class A shares compared to 0.42% for the 50% MSCI China Index and 50% MSCI India Index. The Fund underperformed the MSCI China Index, which returned 3.64%, and outperformed the MSCI India Index, which returned -3.83%.

Stock selections among financials were the key contributors to the Fund’s overall performance in 2013. Stock selections among information technology companies were the biggest detractors for the year.

Travelsky Technology Ltd., a non benchmark Chinese information technology company, was the top contributor to the Fund as the stock returned over 85% during the year. The company, which runs China’s dominant air ticket booking information technology infrastructure system, is one of the cheapest Chinese information technology stocks as the company is trading at a price/earnings (“P/E”) ratio of 12.7x. Mahindra & Mahindra Financial Services Ltd., a non benchmark Indian financial stock, was among the top contributors to the Fund for a second consecutive year. The company, which finances utility vehicles, tractors and cars, continues to benefit from its strong reach in rural and semi urban India. Its stock was up by another 46% during the year.

The Fund’s underweighting of Tencent, a Chinese information technology company specializing in online video games and social media, was the biggest detractor. Despite its

strong price performance for most of the year, our portfolio manager continues to believe that Tencent is overvalued given the fact that the company is currently trading at a P/E of 33.6x while most other information technology companies, like Google Inc., are valued at around 20x P/E. In addition, The Fund’s overweighting of LIC Housing Finance Ltd. (“LIC”), an Indian mortgage lender, was another key detractor. LIC’s share price dropped by almost 25% in 2013 on the back of contracting profit margins.

The Fund liquidated positions in Gome Electrical Appliances Holding Ltd., Lenovo Group Ltd. and Nine Dragons Paper Holdings Ltd. and reduced exposure in Tata Motors Ltd., Indusind Bank Ltd. and Bank of Baroda. The proceeds were used to add new positions in China Blue Chemical Ltd. and China Merchants Bank Co. Ltd. and to increase exposure in Infosys Ltd., Cairn India Ltd. and Larsen & Toubro Ltd.

The Fund is currently overweighting India relative to China. The biggest overweight sector positioning continues to be in consumer discretionary, while the biggest underweight sector is still information technology.

 

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JNL Eastspring Funds (continued)

Eastspring Investments (Singapore) Limited (Unaudited)

 

 

 

JNL/Eastspring Investments Asia ex-Japan Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -6.04%   

5 Year

     12.94%   

Since Inception

     -1.74%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -5.84%   

5 Year

     13.14%   

Since Inception

     -1.54%   
(Inception date December 3, 2007)   
 

 

JNL/Eastspring Investments China-India Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -2.35%   

5 Year

     13.13%   

Since Inception

     -3.93%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -2.14%   

5 Year

     13.35%   

Since Inception

     -3.74%   
(Inception date December 3, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Franklin Templeton Funds

Templeton Global Advisors Limited (Unaudited)

 

 

 

Market Summary: The year 2013 brought progress to financial markets and the global economy as stabilization for key financial institutions and declining equity correlations allowed investors to refocus on fundamentals. U.S. economic growth and employment trends generally exceeded expectations. The U.S. Federal Reserve (“Fed”) expanded its asset purchase program early in the year. After encouraging economic and employment reports, the Fed announced in December it would reduce its monthly bond purchases beginning in January 2014 but committed to keeping interest rates low.

The Eurozone emerged from its longest recession on record during the second half of 2013 and Japan’s growth moderated. The European Central

Bank reduced its policy rate to a record low and pledged to maintain systemic support. In Asia, the Bank of Japan set an explicit inflation target and pledged to double bond purchases in an unprecedented wave of policy reform. Growth in China and other emerging markets moderated based on lower domestic demand, falling exports and weakening commodity prices. Emerging market equities and regional currencies depreciated during the year, although rallying toward year end. The stock market rally in developed markets accelerated during 2013 amid redoubled central bank commitments, continued corporate earnings strength and increasing signs of economic progress.

 

 

JNL/Franklin Templeton Global Growth Fund

 

Portfolio Composition†:

Financials

     20.8   % 

Industrials

     13.6   

Health Care

     13.0   

Energy

     12.3   

Consumer Discretionary

     11.5   

Information Technology

     9.8   

Telecommunication Services

     6.4   

Materials

     4.4   

Consumer Staples

     3.1   

Short Term Investments

     5.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Franklin Templeton Global Growth Fund outperformed its benchmark by posting a return of 30.35% for Class A shares compared to 26.68% for the MSCI World Index.

As bottom-up investors, stock selection was largely responsible for outperformance as declining equity correlations and stabilization for key financial institutions allowed investors to refocus on fundamentals.

Financials, a top sector contributor, benefited from stock selection in Europe and from certain U.S. positions. In the U.S., Morgan Stanley’s earnings exceeded estimates mainly resulting from profits at its brokerage unit. Although the Fund’s contrarian European financials stocks rallied from historically low valuations, they traded at significant discounts to their global peers and the broader European market. European financials offered further upside potential as restructuring continued amid an improving economic outlook.

Stock selection in industrials bolstered relative performance as near term economic uncertainty created opportunities among restructuring firms we viewed as positioned for growth in an economic recovery. For example, International Consolidated Airlines Group SA’s share price reached a six year high and earnings rose as the parent company of British Airways Plc cut costs, rationalized capacity and benefited from recovering air passenger traffic.

However, the Fund’s telecommunication services stocks trailed the benchmark’s sector returns, pressured by losses for certain emerging

market mobile phone operators. The sector’s high average dividend yield and valuations, which seemed undemanding, failed to result in wider value recognition. We believe that improving industry fundamentals and a growing addressable market could eventually unlock value for patient shareholders. Although what we viewed as attractive bargains in the energy sector, the Fund’s overweighting detracted from the Fund’s relative performance. We believe depressed energy sector valuations might understate the long term cash flow and shareholder return potential of oil companies with falling capital expenditures and improving production prospects.

From a geographical perspective, the benefit from stock selection in the U.S. and the UK overcame the negative effects of a U.S. underweighting and Europe overweighting. Detractive allocations to Asian countries outside of Japan, including off benchmark South Korea, more than offset the favorable effect of stock selection in Japan.

 

 

JNL/Franklin Templeton Global Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     30.35%   

5 Year

     15.96%   

Since Inception

     3.27%   
(Inception date January 16, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     30.66%   

5 Year

     16.16%   

Since Inception

     3.48%   
(Inception date January 16, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Franklin Templeton Funds

Franklin Advisers, Inc. (Unaudited)

 

 

 

Market Summary: The U.S. economy recovered, especially during the second half of 2013. Improved business, consumer, housing and manufacturing trends contributed to third quarter gross domestic product growth that was the highest since 2011. The unemployment rate declined from a year earlier. Washington’s gridlock yielded automatic budget cuts starting in March and a temporary government shut down in October. The U.S. Federal Reserve (“Fed”) announced in December a $10 billion monthly reduction in asset purchases beginning in January 2014. Rising corporate profits and generally favorable economic trends encouraged investors despite sell offs in reaction to Fed statements and Washington’s fiscal battles. U.S. stocks generated strong 12 month returns as the S&P 500 Index and Dow Jones Industrial Average reached all time highs.

Although the Fed’s asset purchase program put downward pressure on long term interest rates during the fiscal year, investor concerns about the eventual reduction of asset purchases pushed the 10-year U.S. Treasury

note yield to 3.04% at year end from 1.78% on December 31, 2012. Investors also anticipated higher interest rates and pulled back from the fixed income markets overall. Most fixed income markets declined during the year.

The global economic recovery was mixed during the year. The recovery in emerging markets moderated after many economies had previously returned to and exceeded pre crisis activity levels. Fears of possible reductions in stimulative government policies contributed to periods of risk aversion, when credit spreads widened and assets perceived as risky sold off, alternating with periods of heightened risk appetite, when spreads narrowed and investors again favored risk assets. Against this backdrop, extensive liquidity creation continued, in particular from the Bank of Japan’s commitment to raise its inflation target, as well as from the European Central Bank’s interest rate cuts.

 

 

JNL/Franklin Templeton Global Multisector Bond Fund

 

Portfolio Composition†:

Government Securities

     63.0   % 

Financials

     2.8   

Consumer Discretionary

     2.2   

Energy

     2.2   

Materials

     1.5   

Telecommunication Services

     1.5   

Health Care

     0.7   

Information Technology

     0.7   

Industrials

     0.6   

Consumer Staples

     0.4   

Utilities

     0.3   

Short Term Investments

     24.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Franklin Templeton Global Multisector Bond Fund outperformed its benchmark by posting a return of

3.53% for Class A shares compared to -2.19% for the Barclays Capital Multiverse Index.

In 2013, the Fund’s interest rate strategies, currency exposures and sovereign and corporate credit positions contributed to its outperformance relative to the benchmark. As part of the Fund’s investment strategy, currency forward contracts were used to hedge or gain exposure to various currencies. Exposure to Asian currencies other than the Japanese Yen detracted from relative performance, as did exposure to certain Latin American currencies. However, the Fund’s large net negative exposure to the Japanese Yen, achieved via the use of currency forward contracts, contributed meaningfully to performance during the year as the Japanese Yen depreciated against the U.S. Dollar. Conversely, net negative positioning in the Euro detracted from relative performance as the monetary union’s currency appreciated against the U.S. Dollar during the year.

The Fund maintained a defensive posture with respect to interest rate risk in developed and emerging markets. At year end, the Fund had a shorter duration position than the benchmark index, a stance arising from our assessment that there is limited scope for further global interest rate reductions. However, select duration exposures in Europe and Latin America contributed to relative performance overall.

The Fund purchased investment grade and sub investment grade hard currency denominated sovereign debt that typically compensates for greater credit risk by offering higher yields relative to U.S. Treasury and European benchmark bonds. In addition to purchasing global government bonds, the Fund also invested in the credit sector. Overall, the Fund’s sovereign and corporate credit exposures contributed to relative performance. In particular, the Fund’s overweighted allocation to high yield corporate credit contributed to relative performance.

 

 

JNL/Franklin Templeton Income Fund

 

Portfolio Composition†:

Energy

     19.2   % 

Utilities

     11.2   

Materials

     11.2   

Financials

     9.5   

Health Care

     7.8   

Information Technology

     7.8   

Consumer Discretionary

     7.1   

Industrials

     6.0   

Telecommunication Services

     5.0   

Consumer Staples

     3.2   

Short Term Investments

     12.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Franklin Templeton Income Fund performed in line with its blended benchmark by posting a return of 14.08% for Class A shares compared to the

blended return of 14.08% for the 50% S&P 500 Index and 50% Barclays Capital U.S. Aggregate Bond Index. The Fund outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%, and underperformed the S&P 500 Index, which returned 32.39%.

Most equity and fixed income sectors contributed during the year. Leading equity sectors included financials, energy and health care. Among fixed income investments, technology, communications and consumer non cyclical sectors benefited performance.

Within the Fund’s equity investments, financials positions, including Wells Fargo & Co. and JPMorgan Chase & Co., advanced partly because of favorable credit conditions and optimism about loan growth. Health care companies Roche Holding AG, Merck & Co. Inc. and Johnson & Johnson benefited from strong cash flow. Leading individual contributors included Dow

Chemical Co. and LyondellBasell Industries NV in materials. The companies advanced amid improved prospects for economic growth and better margin trends attributed to a favorable feedstock cost outlook driven by low natural gas prices. Notable individual detractors included Newmont Mining Corp., Barrick Gold Corp. and GoldCorp Inc., which were hurt by falling commodity prices and a slowing growth outlook for many emerging market economies.

Leading fixed income contributors, including First Data Corp. and Freescale Semiconductor Inc. in technology and Clear Channel Communications Inc. in communications, benefited from accommodative capital markets that enabled refinancing of existing debt maturities. Record high yield bond issuance and favorable credit spreads drove outperformance relative to other fixed income securities. Texas Competitive Electric Holdings Co. LLC (“TCEH”) was a notable

 

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JNL Franklin Templeton Funds (continued)

Franklin Advisers, Inc. (Unaudited)

 

 

 

JNL/Franklin Templeton Income Fund (continued)

 

fixed income detractor. TCEH struggled with a highly leveraged balance sheet amid weak power market fundamentals and low natural gas prices.

During the year, the Fund increased its equity weighting, driven by appreciation of underlying positions and reallocation of assets toward equities. The Fund’s largest equity allocations were in dividend paying common stocks followed by

convertible securities, and the largest sectors in the diversified portfolio were energy and utilities.

The Fund’s fixed income weighting declined. The Fund remained positioned largely in high yield corporate bonds, which performed well relative to other fixed income securities as higher coupons and strong credit trends helped mitigate headwinds from long term interest rates.

Although the Fund was more weighted toward equities at year end, the rise in long term interest rates and underperformance of fixed income sectors enabled the Fund to purchase some corporate bonds with a fairly balanced mix of sectors led by communications and energy.

 

 

JNL/Franklin Templeton Global Multisector Bond Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     3.53%   

Since Inception

     10.52%   
(Inception date December 12, 2011)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     3.75%   

Since Inception

     10.73%   
(Inception date December 12, 2011)   

 

 

 

JNL/Franklin Templeton Income Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     14.08%   

5 Year

     14.45%   

Since Inception

     5.82%   
(Inception date May 1, 2006)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     14.27%   

5 Year

     14.65%   

Since Inception

     6.03%   
(Inception date May 1, 2006)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Franklin Templeton Funds

Franklin Templeton Institutional, LLC (Unaudited)

 

 

 

Market Summary: U.S. economic growth and employment trends generally exceeded expectations. The U.S. Federal Reserve Board (“Fed”) expanded its asset purchase program early in the year. After encouraging economic and employment reports, the Fed announced in December it would reduce its monthly bond purchases beginning in January 2014 but committed to keeping interest rates low. The Eurozone emerged from its longest recession on record during 2013’s second half and Japan’s growth moderated. The European Central Bank reduced its policy rate to a record low and pledged to maintain systemic support. In Asia, the Bank of Japan

set an explicit inflation target and pledged to double bond purchases in an unprecedented wave of policy reform. Growth in China and other emerging markets moderated based on lower domestic demand, falling exports and weakening commodity prices. Emerging market equities declined and regional currencies depreciated against the U.S. Dollar during the year, although rallying toward year end. The stock market rally in developed markets accelerated during 2013 amid redoubled central bank commitments, continued corporate earnings strength and increasing signs of economic progress.

 

 

JNL/Franklin Templeton International Small Cap Growth Fund

 

Portfolio Composition†:

 

Industrials

     34.9   % 

Financials

     22.8   

Consumer Discretionary

     17.6   

Consumer Staples

     9.4   

Materials

     3.7   

Information Technology

     2.1   

Health Care

     0.9   

Energy

     0.8   

Utilities

     0.2   

Investment Companies

     0.4   

Short Term Investments

     7.2   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Franklin Templeton International Small Cap Growth Fund outperformed its benchmark by posting a return of 32.41% for Class A shares compared to 29.30% for the MSCI EAFE Small Cap Index.

Performance relative to the benchmark benefited from stock selection and overweighting in industrials and materials, including a position in

building materials company Grafton Group Plc (Ireland). Stock selection in financials also aided results, including a position in French insurer Euler Hermes SA. The Fund’s position in toy retailer JUMBO SA (Greece) and a lack of exposure to the underperforming energy sector also boosted results. Relative performance was hindered by overweighting and stock selection in consumer staples, including positions such as wig manufacturer Aderans Holdings Co. Ltd. (Japan) and Ireland based alcoholic beverage manufacturer C&C Group Plc. Stock selection in consumer discretionary detracted from results, including the Fund’s position in floor covering and bed manufacturer Carpetright Plc (UK). An underweighted allocation to information technology also detracted.

An overweighting and stock selection in Europe contributed to relative performance, particularly stock selection in Greece, an overweighting in Ireland, an overweighting and stock selection in France and stock selection in Finland. Stock selection and underweighting in Singapore also notably helped results. Stock

selection in the UK, Belgium, Italy and Japan detracted from relative performance.

Major purchases included new positions in RenaissanceRe Holdings Ltd. (U.S.) and TNT NV (Netherlands) and additional shares of Alent Plc and Fairfax Financial HoldingsLtd. The Fund eliminated positions in DCC Plc (Ireland) and QinetiQ Group Plc (UK) and reduced exposure to Daibiru Corp. and Neopost SA.

The global economy improved in 2013, enhancing the positive impact of corporate restructuring. With selectively attractive valuations, we believe scope for further gains exists, particularly in Europe. After the Eurozone’s longest recession on record, companies there traded at material discounts to their historical averages and U.S. peers. Overall, we continue to search for companies we believe offer strong risk/reward profiles over the next five years. Although performance may lag in the short term, we are long term investors and believe that strong, bottom-up stock picking can potentially benefit the Fund over time.

 

 

JNL/Franklin Templeton International Small Cap Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     32.41%   

5 Year

     21.61%   

Since Inception

     3.15%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     32.73%   

5 Year

     21.82%   

Since Inception

     3.37%   
(Inception date December 3, 2007)   
Franklin Templeton Institutional, LLC assumed portfolio management responsibility on May 3, 2010.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Franklin Templeton Funds

Franklin Mutual Advisers, LLC (Unaudited)

 

 

 

Market Summary: The U.S. economy recovered in 2013, especially in the second half. Improved business investment, net exports and state and local government spending mitigated negative effects of federal budget cuts. Third quarter U.S. gross domestic product growth was the highest since the end of 2011, underpinned by consumer spending and rising inventories. Historically low mortgage rates and positive sentiment aided the housing market, evidenced by solid new and existing home sales, rising home prices, low inventories and multiyear lows in new foreclosures. Manufacturing expanded in 2013, and the unemployment rate declined. Inflation remained below the U.S. Federal Reserve Board’s (“Fed”) target.

In January, Washington averted automatic federal budget cuts and income tax increases, but automatic budget cuts started in March after Congress could not agree on expenditure reductions. Fed Chairman Bernanke indicated in May that the Fed might reduce monthly asset purchases,

assuming ongoing U.S. recovery but stated in September that reductions were postponed pending stronger economic growth. A U.S. budget impasse that shut down nonessential government services in October ended after Congress funded the government until early 2014. In December, Congress passed a two year budget deal to ease automatic spending cuts in 2014 and avoid future government shutdowns, and the Fed announced it would reduce monthly asset purchases by $10 billion beginning in January 2014. The Fed reaffirmed supporting low interest rates as long as the unemployment rate exceeded 6.5% and inflation expectations remained low.

Rising corporate profits and generally favorable economic data encouraged investors, helping mitigate sell offs in reaction to Fed statements and Washington’s fiscal negotiations. U.S. stocks generated strong twelve month returns as the S&P 500 Index and Dow Jones Industrial Average reached all time highs.

 

 

JNL/Franklin Templeton Mutual Shares Fund

 

Portfolio Composition†:

 

Financials

     19.4   % 

Consumer Staples

     12.5   

Energy

     12.0   

Information Technology

     11.1   

Consumer Discretionary

     10.9   

Health Care

     10.6   

Materials

     5.1   

Industrials

     4.5   

Telecommunication Services

     3.3   

Utilities

     3.1   

Purchased Options

     0.1   

Short Term Investments

     7.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Franklin Templeton Mutual Shares Fund underperformed its benchmark by posting a return of 28.29% compared to 32.39% for the S&P 500 Index.

Key detractors from Fund performance included UK headquartered metals and mining company Anglo American Plc (“Anglo American”), Netherlands based heavy machinery manufacturer CNH Industrial NV (“CNH Industrial”) and Brazilian integrated energy firm Petroleo Brasileiro SA – Petrobras – ADR (“Petrobras”). Anglo American shares were negatively affected by declining prices for several of the commodities the company produces. CNH Industrial lost value during the year as it reported quarterly earnings that missed consensus estimates. Petrobras’s refining and marketing (downstream) operations hurt results during the year and led the stock to decline.

In contrast, several holdings supported Fund performance. Top contributors included mobile telephony operator UK Vodafone Group Plc (“Vodafone”), software firm Microsoft Corp. (“Microsoft”) and managed health care company CIGNA Corp. (“Cigna”). Vodafone shares rallied

in the second half of the year, driven largely by the long anticipated sale of its 45% stake in Verizon Wireless to Verizon Communications Inc. Microsoft shares benefited from improved investor sentiment as the company reported earnings that modestly beat expectations. Shares also gained following chief executive officer Steve Ballmer’s announcement that he would retire in 2014. Shares of Cigna rallied early in the period following the company’s divestiture of its legacy run off insurance business.

At year end, equities remained the core of the Fund. At the sector level, weightings in consumer staples, utilities and consumer discretionary decreased while weightings of financials, information technology and materials holdings increased during the year. Consistent with its investment strategy, the Fund maintained some exposure to distressed debt and reorganization securities and merger arbitrage strategies.

 

 

JNL/Franklin Templeton Mutual Shares Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     28.29%   

5 Year

     15.40%   

Since Inception

     3.53%   
(Inception date January 16, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     28.47%   

5 Year

     15.65%   

Since Inception

     3.75%   
(Inception date January 16, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Franklin Templeton Funds

Franklin Advisory Services, LLC (Unaudited)

 

 

 

Market Summary: The U.S. economy recovered in 2013, especially in the second half. Improved business investment, net exports and state and local government spending mitigated the negative effects of federal budget cuts. Third quarter U.S. gross domestic product growth was the highest since the end of 2011, underpinned by consumer spending and rising inventories. Historically low mortgage rates and positive sentiment aided the housing market, evidenced by solid new and existing home sales, rising home prices, low inventories and multi year lows in new foreclosures. Manufacturing expanded in 2013, and the unemployment rate declined to 6.7% in December from 7.9% a year earlier. Inflation remained below the U.S. Federal Reserve Board’s (“Fed”) 2.0% target.

In January, Washington averted automatic federal budget cuts and income tax increases, but automatic budget cuts started in March after Congress could not agree on expenditure reductions. Fed Chairman Bernanke indicated in May that the Fed might reduce monthly asset purchases,

assuming ongoing U.S. recovery but stated in September that reductions were postponed pending stronger economic growth. A U.S. budget impasse that shut down non essential government services in October ended after Congress funded the government until early 2014. In December, Congress passed a two year budget deal to ease automatic spending cuts in 2014 and avoid future government shutdowns, and the Fed announced it would reduce monthly asset purchases by $10 billion beginning in January 2014. The Fed reaffirmed supporting low interest rates as long as the unemployment rate exceeded 6.5% and inflation expectations remained low.

Rising corporate profits and generally favorable economic data encouraged investors, helping mitigate sell offs in reaction to Fed statements and Washington’s fiscal negotiations. U.S. stocks generated strong twelve month returns as the S&P 500 Index and Dow Jones Industrial Average reached all time highs.

 

 

JNL/Franklin Templeton Small Cap Value Fund

Portfolio Composition†:

 

Industrials

     31.3   % 

Consumer Discretionary

     20.9   

Materials

     11.3   

Financials

     10.7   

Energy

     8.8   

Health Care

     3.3   

Information Technology

     2.6   

Short Term Investments

     11.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Franklin Templeton Small Cap Value Fund outperformed its benchmark by posting a return of 34.38% for Class A shares compared to 33.32% for the Russell 2500 Value Index.

The Fund employs bottom-up stock selection, and the managers invest without regard to benchmark comparisons.

Consumer discretionary, financials and materials especially aided performance relative to the benchmark. Contributors included insurer Pro-

tective Life Corp. (“Protective Life”), furniture retailer La-Z-Boy Inc. (“La-Z-Boy”) and video game retailer GameStop Corp. (“GameStop”). Protective Life rallied based on earnings growth from its annuities business, a potential benefit from acquisitions and the possibility of higher interest rates. La-Z-Boy experienced earnings growth from increased sales and productivity. GameStop expected to benefit from Microsoft’s and Sony’s new video game consoles.

Detractors included flexible circuit materials maker Multi-Fineline Electronix, hair care salon operator Regis Corp. (“Regis”), and single family home builder M/I Homes Inc. (“M/I Homes”). Multi-Fineline Electronix experienced weaker than expected demand and disappointing earnings. Regis posted lower than expected earnings as its restructuring had not yet gained traction. M/I Homes suffered from an uncertain outlook for housing demand because of higher interest rates.

The Fund initiated positions including Regal-Beloit Corp., Carpenter Technology Corp., Genesco Inc. and Lindsay Corp. and added to positions including Hillenbrand Inc., Emcor Group

Inc. and Cabot Corp. The Fund eliminated positions including West Pharmaceutical Services Inc., CIRCOR International Inc. and A.O. Smith Corp. and reduced positions including Protective Life, Gamestop and Trinity Industries Inc. There were four all cash takeovers completed during the year: Gardner Denver Inc was acquired by KKR & Co. LP, Maidenform Brands Inc. was acquired by HanesBrands Inc., Kaydon Corp. was acquired by SKF AB and NV Energy Inc. was acquired by Berkshire Hathaway Inc.

The Fund invests in small cap companies we believe are selling below their underlying worth. Our strategy is to buy and hold fundamentally sound companies for five years or more. We purchase securities at what we consider attractive prices, often when they are out of favor with other investors. We select securities without regard to benchmark comparisons, and we aim for long term results. We are confident that over time the market will provide opportunities to execute our strategy with success.

 

 

JNL/Franklin Templeton Small Cap Value Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     34.38%   

5 Year

     21.15%   

Since Inception

     9.08%   
(Inception date May 2, 2005)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     34.67%   

5 Year

     21.37%   

Since Inception

     9.29%   
(Inception date May 2, 2005)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Goldman Sachs Funds

Goldman Sachs Asset Management, L.P. (Unaudited)

 

 

 

 

Market Summary: The bull market in U.S. equities continued through the end of 2013. The S&P 500 Index enjoyed a strong finish and posted a fifth consecutive year of gains, returning 2.53% in December to end the fourth quarter up 10.51% and finishing the year with a gain of 32.39%. The S&P 500 Index reached new record highs in December as the U.S. Federal Reserve Board (“Fed”) ended seven months of speculation and announced it would finally begin tapering asset purchases, signaling confidence in the U.S. economy. Days later, the U.S. revised up its gross domestic product (“GDP”) growth estimate for the third quarter to an annualized pace of 4.1%, the fastest pace in two years. Importantly, stronger consumer spending accounted for most of the upward revision. During the year, the Dow Jones Industrial Average also recorded a new high while the NASDAQ Composite Index close above 4,000 for the first time in 13 years. For the full year, health care and consumer discretionary posted the biggest gains. In contrast, utilities and telecommunication services underperformed during the year as investors repositioned for growth.

Total returns for 2013 trended negative in the U.S. fixed income market as uncertainty over a possible reduction in monetary stimulus by the Fed helped push yields substantially higher over the year. The benchmark 10 year Treasury rate rose from 1.78% in December 2012 to 3.04% at year end 2013. Some non Treasury sectors, notably U.S. high yield corporates and non agency mortgage-backed securities (“MBS”) performed well despite the increase in rates. Early in the year, fiscal tightening in the U.S., tensions around Italy’s elections and concern over Cyprus’ bailout initiated a period of weakness for risk assets. Spread sectors began to recover somewhat from this weakness due to strengthening U.S. economic data. However, initial comments from the Fed about a possible winding down of asset purchases produced a global increase in volatility across the fixed income spectrum. Yields drifted higher early in the third quarter as ambiguity surrounding who would replace Fed Chairman Bernanke and the risk of a military intervention in Syria added to market volatility. Markets later stabilized, however, following the Fed’s decision in September to continue its current pace of asset purchases. Heading into the fourth quarter, Janet Yellen was nominated as the next Fed Chairman and the U.S. faced a political stalemate over government funding that forced the first government shutdown in 17 years. The negative impact from the shutdown was less pronounced than

initially expected, as labor market conditions and economic data surprised to the upside. Continued resilience in the U.S. housing market also proved positive in 2013. Uncertainty over potential Fed tapering abated when, in December, the central bank elected to trim its monthly purchases of Treasury and agency MBS by $10 billion, to $75 billion.

In 2013, emerging local debt markets returned -8.98%, as measured by JPMorgan GBI EM Global Diversified Index, due to both an increase in interest rates and depreciation of emerging market (“EM”) currencies versus the U.S. Dollar. In his May testimony to Congress, Fed Chairman Bernanke said the central bank could begin reducing asset purchases at the next few meetings. The introduction of the “taper” led to price deterioration and significantly higher volatility.

The first quarter’s returns were negative due to the depreciation of EM currencies versus the U.S. Dollar. The JPMorgan GBI EM Global Diversified Index returned -0.12%, comprising 0.21% from interest rates and -0.33% from currency depreciation versus the U.S. Dollar. Mexico led gains on the back of currency appreciation following a rate cut by the central bank. Hungary underperformed as the Hungarian Forint weakened and growth forecasts remained stagnant.

In the second quarter, the JPMorgan GBI EM Global Diversified Index returned -7.04%, comprised of -3.46% from interest rates and -3.58% from currency depreciation versus the U.S. dollar. The magnitude of the upward move in U.S. Treasury yields give stronger economic data and discussions over potential Fed tapering negatively impacted the EM asset class. Brazil lagged the JPMorgan GBI EM Global Diversified Index as its currency depreciated sharply.

In the third quarter, the JPMorgan GBI EM Global Diversified Index returned -0.43%, comprised of -0.35% from interest rates and -0.08% from currency depreciation versus the U.S. dollar. Indonesia significantly underperformed as investors became cautious on the country due to its large current account deficit.

In the fourth quarter, the JPMorgan GBI EM Global Diversified Index returned -1.54%, comprising -0.61% from interest rates and -0.93% from currency depreciation versus the U.S. dollar. Poland was the outperformer during the quarter, whereas Turkey delivered negative returns.

 

 

JNL/Goldman Sachs Core Plus Bond Fund

 

Portfolio Composition†:

Government Securities

     31.3   % 

U.S. Government Agency MBS

     21.0   

Financials

     13.2   

Non-U.S. Government Agency ABS

     8.6   

Energy

     3.5   

Telecommunication Services

     3.4   

Consumer Discretionary

     2.4   

Consumer Staples

     1.2   

Health Care

     1.1   

Utilities

     0.8   

Industrials

     0.8   

Information Technology

     0.7   

Materials

     0.2   

Short Term Investments

     11.8   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Goldman Sachs Core Plus Bond Fund outperformed its benchmark by posting a return of -1.05% for Class A shares compared to -2.02% for the Barclays Capital U.S. Aggregate Bond Index.

Within duration positioning, a short U.S. duration position was the largest contributor to returns as rates began a rising trend during the latter half of the year on expectations of a possible

slowdown in quantitative easing by the U.S Federal Reserve (“Fed”). Within cross sector positioning, an overweight to corporate credit proved particularly beneficial, as a healthy growth picture and improving economic data in the U.S. supported the asset class. Exposure to non agency MBS also added to returns. Security selection, overall, also had a positive impact on outperformance with choices of asset backed securities and non agency adjustable rate mortgages within the collateralized debt sector driving returns. On the downside, exposure to Brazil detracted from performance within the emerging market debt space. There were no other material detractors from performance over the period. The portfolio ended 2013 with a short U.S. duration position, an underweight agency MBS position and overweight positions in corporate credit, non agency MBS and U.S. municipal securities.

The Fund held derivatives during the year. Derivatives allow for managing interest rate, credit and currency risks more effectively as part of hedging activity and in applying active investment views. Derivatives can offer greater versatility and efficiency, as well as allow for enhanced precision in risk management. Derivatives were used in several capacities over the year as part of the Fund’s overall investment strategy, including

to manage duration/yield curve and cross sector positioning.

The global economy maintained its momentum through the second half of 2013 and we believe the implications for 2014 are positive. For the first time since the financial crisis, we see broad global participation in the recovery and relatively low risks of a relapse. The prospects for further improvement in the near term vary, however, and we believe they are strongest in the U.S. Despite the Fed’s unwind of quantitative easing, starting in January 2014, U.S. monetary policy remains highly stimulative and well behind the economic and market cycles. One of our highest conviction views is that U.S. rates will rise in 2014 as stronger economic growth leads the Fed to end its asset purchase program and raises the risk of an earlier move toward rate hikes than the market currently expects. We also believe Europe’s recovery has gained sufficient traction to sustain positive growth, although we anticipate a stronger pickup in the UK than in the Eurozone. Japan’s economy is still benefiting from policy stimulus, but we see challenges ahead and the outlook remains clouded by uncertainty over the longer term success of “Abenomics”, the economic policies advocated by Shinzô Abe, the current Prime Minister of Japan.

 

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JNL Goldman Sachs Funds (continued)

Goldman Sachs Asset Management, L.P. (Unaudited)

 

 

 

JNL/Goldman Sachs Emerging Markets Debt Fund

 

Portfolio Composition†:

Government Securities

     55.3   % 

Financials

     13.4   

Energy

     5.5   

Telecommunication Services

     3.0   

Utilities

     2.8   

Industrials

     2.1   

Consumer Discretionary

     1.6   

Materials

     1.6   

Consumer Staples

     1.6   

Purchased Options

     0.5   

Non-U.S. Government Agency ABS

     0.3   

Information Technology

     0.1   

Health Care

     0.1   

Short Term Investments

     12.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Goldman Sachs Emerging Markets Debt Fund underperformed its blended benchmark by posting a return of -7.77% for Class A shares compared to the blended return of -6.90% for the 75% JPMorgan GBI EM Global Diversified Index and

25% JPMorgan CEMBI Broad Diversified Index. The Fund outperformed the JPMorgan GBI EM Global Diversified Index, which returned -8.98%, and underperformed the JPMorgan CEMBI Broad Diversified Index, which returned -0.60%.

Contributors to performance during the year included the Fund’s currency exposure to the Brazilian Real and country and security selection of Indonesia, Colombia and Turkey local rates. Detractors from performance included country and security selection of Brazil local rates and currency exposure to the Malaysia Ringgit and Indian Rupee. Romania was added as the 16th country in the JPM GBI EM Global Diversified Index in February 2013.

We believe that emerging market currency undervaluation makes currency exposure via unhedged local debt look compelling over the long run. Our favored positions in local currencies are the Mexican Peso and the Dominican Peso. We see value in Latin American rate markets and have overweights in Brazil, Mexico and Colombia. Finally we hold an underweight in Asian rates, primarily due to valuations.

The Fund held derivatives during the year. We do not employ derivatives to gain leverage, but to gain access to otherwise inaccessible markets or to be as tax efficient as possible. The use of derivatives allow us to manage interest rate, credit and currency risks more effectively by allowing us to both hedge and apply active investment views with greater versatility. They also afford greater risk management precision. Derivatives allow us to efficiently access desired markets, hedge unwanted risks and generally manage the spectrum of portfolio risks. Currency forwards are employed to gain currency exposure or hedge non base currency exposures back to base currency. Interest rate swaps and total return swaps may be employed to hedge risk and/or gaining exposure to illiquid or high transaction cost local markets. Credit linked notes are used to gain local market exposure to otherwise inaccessible cash markets. Derivatives are used by the Fund as they are the most liquid and cost effective means of managing portfolio risk or gaining local market exposure as part of our security selection process.

 

 

JNL/Goldman Sachs Mid Cap Value Fund

 

Portfolio Composition†:

Financials

     28.7   % 

Industrials

     12.2   

Consumer Discretionary

     11.5   

Information Technology

     10.9   

Health Care

     10.3   

Energy

     7.7   

Utilities

     6.5   

Materials

     5.1   

Consumer Staples

     3.4   

Investment Companies

     0.4   

Short Term Investments

     3.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Goldman Sachs Mid Cap Value Fund underperformed its benchmark by posting a return of 32.73% for Class A shares compared to 33.46% for the Russell Midcap® Value Index.

For 2013, financials and energy were the two top contributing sectors for the Fund’s performance, whereas information technology and

industrials were the two largest detractors. ING US Inc. and Pioneer Natural Resources Co. were the two top contributors to performance. Digital Realty Trust Inc. and Altera Corp. were the two largest detractors. During the period the Fund initiated positions in Agilent Technologies Inc. and Lincoln National Corp. and eliminated positions in Dover Corp. and Ventas Inc.

Despite strong 2013 performance, we believe U.S. equities have further upside potential as the U.S. economy accelerates and as real earnings growth drives performance. We believe U.S. corporate fundamentals remain solid and should provide companies with multiple options to increase shareholder value. While we acknowledge that potential headwinds remain, we also believe there are ample tailwinds including the strengthening U.S. housing and employment markets, which should continue to provide a favorable backdrop for equities. Looking forward, we believe that as the economy improves, companies will reinvest for future growth rather than keeping excess cash on balance sheets. From a valuation perspective, U.S. equities

remain reasonably valued relative to history and inexpensive relative to fixed income. Lastly, we believe improved investor sentiment and increased flows into U.S. equities could be additional catalysts for the market in the months ahead.

Regardless of the market direction, our fundamental, bottom-up stock selection continues to drive our process, rather than headlines or sentiment. We maintain high conviction in the companies that the Fund owns and believe they have the potential to outperform relative to the broader market regardless of the growth environment. We continue to focus on undervalued companies in control of their own destiny, such as innovators with differentiated products, companies with low cost structures, or ones that have been investing in their own businesses and are poised to gain market share. We maintain our discipline in identifying companies with strong or improving balance sheets, led by quality management teams, trading at discounted valuations, and remain focused on the long term outperformance of the Fund.

 

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JNL Goldman Sachs Funds (continued)

Goldman Sachs Asset Management, L.P. (Unaudited)

 

 

 

JNL/Goldman Sachs U.S. Equity Flex Fund

 

Long Investments Portfolio Composition†:

Information Technology

     22.9   % 

Financials

     16.0   

Consumer Discretionary

     13.2   

Health Care

     11.9   

Industrials

     9.8   

Energy

     9.3   

Consumer Staples

     8.6   

Materials

     4.2   

Utilities

     1.6   

Short Term Investments

     2.5   
 

 

 

  

Total Long Investments

       100.0   % 
 

 

 

  

†Total Long Investments represent 120.5% of net assets at December 31, 2013.

Short Investments Portfolio Composition*:

Information Technology

     23.7   % 

Materials

     18.7   

Financials

     12.8   

Industrials

     12.7   

Consumer Discretionary

     12.0   

Energy

     10.1   

Telecommunication Services

     4.7   

Consumer Staples

     3.1   

Utilities

     2.2   
 

 

 

  

Total Short Investments

       100.0   % 
 

 

 

  

*Total Short Investments represent (49.1%) of net assets at December 31, 2013.

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Goldman Sachs U.S. Equity Flex Fund outperformed its benchmark by posting a return of 34.20% for Class A shares compared to 32.39% for the S&P 500 Index.

For 2013, consumer staples and financials were the Fund’s two top contributing sectors to performance, whereas information technology and health care were the two largest detractors. Boeing Co. and Vertex Pharmaceuticals Inc. were the two top contributors to performance. ARIAD Pharmaceuticals Inc. and EMC Corp. were the two largest detractors. During the year the Fund initiated positions in Estee Lauder Cos. Inc. and Liberty Global Inc. and eliminated positions in Lowe’s Cos. Inc. and DIRECTV.

Despite strong 2013 performance, we believe U.S. equities have further upside potential, as the U.S. economy accelerates and as real earnings growth drives performance. We believe U.S. corporate fundamentals remain solid and should provide companies with multiple options to increase shareholder value. While we acknowledge that potential headwinds remain, we also believe there are ample tailwinds including the strengthening U.S. housing and employment markets, which should continue to provide a favorable backdrop for equities. Looking forward,

we believe that as the economy improves, companies will reinvest for future growth rather than keeping excess cash on balance sheets. From a valuation perspective, U.S. equities remain reasonably valued relative to history and inexpensive relative to fixed income. Lastly, we believe improved investor sentiment and increased flows into U.S. equities could be additional catalysts for the market in the months ahead.

Regardless of the market direction, our fundamental, bottom-up stock selection continues to drive our process, rather than headlines or sentiment. We maintain high conviction in the companies that the Fund owns and believe they have the potential to outperform relative to the broader market regardless of the growth environment. We continue to focus on undervalued companies in control of their own destiny, such as innovators with differentiated products, companies with low cost structures, or ones that have been investing in their own businesses and are poised to gain market share. We maintain our discipline in identifying companies with strong or improving balance sheets, led by quality management teams, trading at discounted valuations, and remain focused on the long term outperformance of the Fund.

 

 

JNL/Goldman Sachs Core Plus Bond Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -1.05%   

5 Year

     6.84%   

10 Year

     4.96%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -0.93%   

5 Year

     7.04%   

Since Inception

     5.07%   
(Inception date March 5, 2004)   
Goldman Sachs Asset Management, L.P. assumed portfolio management responsibility on April 30, 2007.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Goldman Sachs Funds (continued)

Goldman Sachs Asset Management, L.P. (Unaudited)

 

 

 

JNL/Goldman Sachs Emerging Markets Debt Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     -7.77%   

5 Year

     8.54%   

Since Inception

     7.45%   
(Inception date October 6, 2008)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     -7.66%   

5 Year

     8.76%   

Since Inception

     7.65%   
(Inception date October 6, 2008)   
 

 

JNL/Goldman Sachs Mid Cap Value Fund (Class A)

 

LOGO

Average Annual Total Returns*
for Class A Shares		    

1 Year

     32.73%   

5 Year

     19.29%   

Since Inception

     8.89%   
(Inception date May 2, 2005)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     32.90%   

5 Year

     19.58%   

Since Inception

     9.12%   
(Inception date May 2, 2005)   
 

 

JNL/Goldman Sachs U.S. Equity Flex Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     34.20%   

5 Year

     14.25%   

Since Inception

     4.03%   
(Inception date January 16, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     34.36%   

5 Year

     14.46%   

Since Inception

     4.24%   
(Inception date January 16, 2007)   
Goldman Sachs Asset Management, L.P. assumed portfolio management responsibility on October 11, 2010.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Invesco Funds

Invesco Advisers, Inc. (Unaudited)

 

 

 

 

Market Summary: While U.S. and global equity markets enjoyed generally strong returns for the year ended December 31, 2013, the U.S. and global economies improved only slowly. As the year began, consumer confidence trended higher based on the recovery of the U.S. housing market, despite uncertainty surrounding the outcome of tax and spending negotiations between the White House and Congress – and implementation of sequestration spending cuts – which consequently left many businesses hesitant to spend.

U.S. equity markets rose for the first half of the year, but from late May through June, capital markets declined following U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke’s comments suggesting that the time had come for the Fed to begin to reduce the size of its bond buying program, also known as quantitative easing (“QE”). This sell off was brief but broad, and few asset classes were immune. Markets stabilized in mid summer, despite some volatility in August surrounding a potential U.S. military reaction to instability in Syria. The fourth quarter began amid uncertainty created by a two week federal government shutdown, yet equities shrugged off this news and rallied steadily throughout the last three months of the year. In December, as expected, the Fed officially announced that it would begin reducing the scope of QE in early 2014. Despite the Fed’s actions, equities continued to rise, as the announcement was widely anticipated and largely priced into stock valuations.

For the year, major U.S. equity market indexes delivered strong double digit gains, and all 10 sectors of the S&P 500 Index had positive returns. All sectors within the Russell Midcap Value Index posted positive results for the year.

Improving macroeconomic data and reduced political uncertainty buoyed European equity markets during the year. UK equities ended the year strongly, spurred by improving housing and employment data. Continental European equity markets posted strong gains for the year as well; indeed, the Eurozone officially exited recession in late summer.

Japanese equities rose sharply, based on investors’ hopes that the new government led by Prime Minister Shinzo Abe, along with new leadership at the Bank of Japan, would finally arrest deflation. However, the market consolidated in May amid a tug of war between optimism about Abe’s

leadership and the potential of “Abenomics” and concern about political developments in China and economic prospects in the U.S. and emerging markets.

Emerging economies had a difficult year, with slowing world trade and abrupt corrections to their equity, bond and currency markets after the Fed indicated mid year it might reduce its extraordinary bond buying program in 2013. The economies most seriously affected — including Brazil, India, Indonesia, Turkey and South Africa — had allowed money and credit growth to expand significantly in the preceding three years.

Many aspects of 2013 were positive from an economic and fundamental real estate perspective. The global economy had another year of recovery, having maintained its overall modest growth path across most regions of the world. The much anticipated beginning of a withdrawal of stimulus by the Fed reflected the sustained positive data from the U.S. economy. In Europe, further stimulus was added, with interest rates lowered by the European Central Bank in response to persistent weak inflation data. Japanese confidence continued to grow as further stimulus was added to the economy, however, the remainder of Asia evidenced more modest data as it struggled to balance the impact of an improving U.S. economy with local policy priorities. Additionally, emerging market currencies struggled beginning in May as tapering came to be expected in the U.S.

Most developed world bond yields rose, while general equity markets posted gains over the year. Global real estate equities produced gains, however, lagged broad market equities for the year ended December 31, 2013. As interest rates rose on the 10-year U.S. Treasury beginning in May, REITs and global real estate equities came under pressure despite an improved fundamental backdrop. Listed real estate performance was mixed, led by Europe and Japan and lagged by a number of more income oriented U.S. REIT sectors, as well as Hong Kong and Singapore companies which tend to be sensitive to U.S. interest rate prospects. Although real estate equities responded negatively to increasing interest rates, improvements were seen in rents and occupancy rates, leading to high demand for high quality real estate investments. Additionally, the market evidenced a modestly increased appetite for development risk and lower quality real estate investments.

 

 

JNL/Invesco Global Real Estate Fund

 

Portfolio Composition†:

Real Estate Operating Companies

     19.7   % 

Retail – REITS

     19.2   

Diversified – REITS

     14.8   

Specialized – REITS

     13.3   

Office – REITS

     10.9   

Residential – REITS

     8.3   

Real Estate Services

     5.5   

Industrial – REITS

     3.4   

Short Term Investments

     4.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Invesco Global Real Estate Fund underperformed its benchmark by posting a return of 2.76% for Class A shares compared to 4.39% for the FTSE EPRA/NAREIT Developed Real Estate Index.

Detractors from performance included security selection in the UK, Hong Kong and Australia. Additionally, an underweight exposure to the strong performance of the UK also hurt relative performance. Relative contributors included security selection in Japan, Germany and Canada. Additionally, the Fund benefited from

overweight exposure to strong performance in Japan, as well underweight exposure to negative performance in Canada and Switzerland.

Benchmark relative contributors during the year included overweight positions in large cap Japanese real estate developer stocks, including Mitsui Fudosan Co. Ltd. (“Mitsui Fudosan”) and Sumitomo Realty & Development Co. Ltd. (“Sumitomo Realty & Development”). Mitsui Fudosan owns and manages office space throughout prime areas of central Tokyo, is a top tier residential developer with a well located land bank and has a growing retail mall portfolio. Sumitomo Realty & Development is primarily focused on office buildings and housing and operates in four business segments, including property leasing and management, development and sales, construction and remodeling, and real estate brokerage.

Top benchmark relative detractors for the year were U.S. REITs: AvalonBay Communities Inc. (“AvalonBay”) and Health Care REIT. Early in the year, apartment REIT AvalonBay, in conjunction with Equity Residential, purchased Archstone Apartments. We added to the Fund’s position in

AvalonBay following its share price weakness as a result of favorable relative value and above average earnings growth expectations. Health Care REIT, which focuses on senior housing and medical office buildings, has an above average dividend yield and above average growth prospects relative to health care peers based on a combination of accretive acquisitions and results from its senior housing platform.

Real estate securities valuations appeared fair by longer term standards, given a relatively attractive yield and solid, fundamentally driven earnings growth prospects. With generally healthy balance sheets and access to multiple sources of investment capital, most listed real estate are now focused on generating growth, which can now also include the opportunity to undertake modest new development. We maintained our bias toward companies with higher quality assets, supply constrained markets, generally lower leveraged balance sheets and, as we expect risk free rates may continue to rise modestly, companies with above average earnings growth prospects.

 

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JNL Invesco Funds (continued)

Invesco Advisers, Inc. (Unaudited)

 

 

 

JNL/Invesco International Growth Fund

 

Portfolio Composition†:

Consumer Discretionary

     22.9   % 

Financials

     15.1   

Information Technology

     13.1   

Industrials

     10.0   

Consumer Staples

     9.2   

Health Care

     8.6   

Energy

     7.8   

Materials

     3.1   

Telecommunication Services

     1.8   

Utilities

     0.9   

Short Term Investments

     7.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Invesco International Growth Fund outperformed its benchmark by posting a return of 18.98% for Class A shares compared to 15.49% for the MSCI All Country World ex USA Growth Index.

In this environment, we continued to construct the Fund with a bottom-up approach, selecting stocks on an individual basis. The Fund posted positive returns in nine of the ten invested sectors and outperformed its benchmark during the year.

In information technology, strong stock selection led the Fund to meaningfully outperform the Fund’s benchmark. Fund holdings in the internet software and services industry lead performance in the sector. The Fund also outperformed the index in the consumer discretionary sector due to an overweight allocation and stock selection in the strong performing sector. The Fund’s holdings in the media, multiline retail and hotels, restaurants and leisure industries were particularly strong. Underweight exposure in materials, the index’s poorest performing sector, contributed as well.

In broad geographic terms, Fund holdings in the European region were the primary driver of relative results due to strong stock selection. Overweight exposure and stock selection in the UK was the leading country level contributor. Stock selection in Sweden and Hong Kong contributed as well.

In contrast, the Fund’s high single digit cash position throughout the year detracted from performance as markets rebounded during the year. Stock selection and underweight exposure in telecommunication services and health care also detracted from performance. Not owning several

strong performing names in these sectors hurt relative results.

The Fund’s continued underweight exposure and stock selection in Japan was the largest country level detractor from performance. Weak stock selection in Brazil and the Netherlands hurt as well.

As mentioned above, stock selection in the Fund is driven by the underlying fundamentals of each individual company, not by any top-down macroeconomic views. This focus on bottom-up stock selection is the key driver of the Fund’s overall profile. The Fund ended the year with overweight exposure to consumer discretionary, information technology and energy. The Fund had underweight exposure to consumer staples, materials, industrials, financials, health care, telecommunication services and utilities.

With market volatility likely to continue for some time, our focus remains on ensuring that the Fund is comprised of high quality, reasonably valued companies capable of sustained earnings growth. We believe that this balanced earning, quality and valuation (“EQV”) focused approach may help deliver attractive returns over the long term.

 

 

JNL/Invesco Large Cap Growth Fund

 

Portfolio Composition†:

Information Technology

     29.3   % 

Consumer Discretionary

     23.1   

Health Care

     13.7   

Industrials

     10.8   

Financials

     5.9   

Telecommunication Services

     4.3   

Energy

     4.2   

Consumer Staples

     4.0   

Materials

     0.8   

Short Term Investments

     3.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Invesco Large Cap Growth Fund outperformed its benchmark by posting a return of 39.58% for Class A shares compared to 33.48% for the Russell 1000 Growth Index. The Fund had double digit positive returns and solidly outperformed its benchmark due primarily to positive stock selection.

The Fund outperformed by the widest margins in telecommunication services, consumer discretionary, information technology, health care and

consumer staples. Some of this outperformance was offset by the relative lag of our modest cash position during a period of strong market performance and underperformance within industrials.

Telecommunication services was the strongest performing sector for the Fund during the year. Wireless communications company SprintNextel Corp. was a strong contributor to performance as they entertained several offers of strategic partnership which resulted in a higher stock price before the company finally agreed to a merger.

Strong stock selection also drove the Fund’s outperformance in consumer discretionary. One of the leading contributors was DISH Network Corp., a leading provider of satellite cable television. The stock benefited from significant discussions about strategic corporate partnerships and the increasing market recognition of the value in their broadband spectrum assets. Another contributor to Fund performance was Priceline.com Inc., an online travel company. The company benefited from a merger with online services provider Kayak Software Corp.

Information technology also contributed to performance, driven by strong stock selection. The largest individual stock contributor was social networking company Facebook Inc. The company’s stock appreciated due to an increase in advertising revenue related to progress made in smartphones and tablet penetration. Additional technology contributors included internet search giant Google Inc., and credit card company Visa Inc.

Some of this outperformance was offset by an underweight exposure to industrials. While the Fund’s industrials stocks posted solid positive returns, the Fund underperformed its benchmark because it did not hold several of the strongest performing index names during the year, including 3M Co. and United Parcel Service Inc. Additionally, the Fund’s position in United Continental Holdings Inc. underperformed and was sold.

 

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JNL Invesco Funds (continued)

Invesco Advisers, Inc. (Unaudited)

 

 

 

JNL/Invesco Mid Cap Value Fund (formerly JNL/Lazard Mid Cap Equity Fund)

 

Portfolio Composition†:

Financials

     22.0   % 

Industrials

     15.5   

Consumer Discretionary

     12.7   

Health Care

     8.6   

Energy

     6.5   

Information Technology

     6.5   

Materials

     6.2   

Utilities

     5.2   

Consumer Staples

     4.0   

Telecommunication Services

     2.4   

Short Term Investments

     10.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Invesco Mid Cap Value Fund underperformed its benchmark by posting a return of 30.90% for Class A shares compared to 33.46% for the Russell Midcap Value Index.

For the period January 1, 2013 through September 15, 2013 the Fund was sub-advised by Lazard Asset Management, LLC. During this period, the Fund posted a return of 20.39% compared to 23.55% for the Russell Midcap Index.

During this period, stock selection in financials contributed to performance. Shares of banking services provider Regions Financial Corp. (“Regions”) rose after the company reported strong earnings, helped by an expansion in net interest margin, loan balance stabilization and better than expected expense control. Going forward, we believe Regions will benefit from lower funding costs, capital deployment and a turnaround in loan growth. Stock selection and an overweight position in health care also helped returns. Shares of pharmaceutical maker Vertex Pharmaceuticals Inc. (“Vertex”) rose after the company announced encouraging data for a cystic fibrosis treatment that could address approximately 50% of the patient population. We

view the results positively, and believe they help to further reinforce Vertex’s favorable positioning within the cystic fibrosis treatment space. Also in health care, shares of medical device maker CareFusion Corp. (“CareFusion”) rose as investors were encouraged by the prospect that the company might seek further capital deployment in the form of accretive acquisitions. CareFusion also reported strong quarterly earnings.

In contrast, stock selection in consumer discretionary detracted from performance. Shares of clothing retailer American Eagle Outfitters Inc. fell after the company reported quarterly earnings. While results were largely as expected, same store sales declined, which the company attributed to bad weather and macroeconomic headwinds. The Fund sold the position in August. Stock selection in industrials also hurt returns. Shares of mining equipment maker Joy Global Inc. fell along with peers as slowing economic conditions and depressed commodities prices caused investor concerns. Also in industrials, shares of freight transporter Landstar System Inc. fell after management reduced its guidance, citing a difficult demand environment, specifically in its flatbed business. The Fund sold the position in June.

Effective September 16, 2013, Invesco Advisers, Inc. assumed management responsibility for the Fund. At that time the Fund’s benchmark was changed to the Russell Midcap Value Index. For the period September 16, 2013 through December 31, 2013, the Fund posted a return of 8.73% compared to 9.20% for the Russell Midcap Value Index.

During the period, stock selection and a material underweight in financials added to relative performance. Financials underweight stems from the Fund’s minimal real estate exposure, which helped performance as REITs declined during the period. Stock selection in banks also assisted performance. An overweight and stock

selection in consumer discretionary also was a large driver of performance, with holdings like Advance Auto Parts Inc. and Newell Rubbermaid Inc. being the largest contributors. A material underweight in utilities also helped relative performance. Utilities was the worst performing sector within the index, barely posting a positive return. Stock selection in materials also boosted performance. Strong stock selection and an overweight in industrials aided performance for the period. Capital goods companies Foster Wheeler AG and Ingersoll-Rand PLC and airplane manufacturer Textron Inc. (“Textron”) were top performers within the sector, posting solid double digit returns. Textron, maker of Cessna aircraft and Bell Helicopters, rallied in December, after announcing it was nearing a deal to purchase plane maker Beechcraft Corp.

Stock selection in health care detracted from relative performance. HealthSouth Corp. performed poorly for the period, as investors took profits after benefiting from a huge profit jump in the prior period. Weak stock selection and an underweight in information technology also dampened relative return. Flextronics International Ltd. sold off after reporting that net income fell 21%, even though revenues rose slightly. Stock selection within energy also hampered relative performance. Newfield Exploration Co. (“Newfield Exploration”) and Noble Corp. PLC both posted negative returns for the period. Newfield Exploration announced a loss from continuing operations. Weak stock selection in telecommunications stocks had a negative effect on performance. TW Telecom Inc. posted a low single digit return, underperforming the sector and benchmark. Weak stock selection in consumer staples detracted from relative performance. Avon Products Inc., which is not in the benchmark, sold off sharply after missing earnings estimates and warning that a potential bribery probe settlement could materially affect its business.

 

 

JNL/Invesco Small Cap Growth Fund

 

Portfolio Composition†:

Information Technology

     22.9   % 

Health Care

     16.6   

Industrials

     15.8   

Consumer Discretionary

     14.5   

Financials

     8.8   

Energy

     5.4   

Materials

     3.5   

Consumer Staples

     1.4   

Telecommunication Services

     1.1   

Utilities

     0.7   

Short Term Investments

     9.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Invesco Small Cap Growth Fund underperformed its benchmark

by posting a return of 39.69% for Class A shares compared to 43.30% for the Russell 2000 Growth Index. The Fund had very solid positive returns, generally keeping up with the strong pace of its benchmark with only modest underperformance.

The Fund outperformed significantly in financials, however this was offset by the relative lag of the Fund’s small cash position during a period of strong market performance and the negative effect of stock selection in information technology.

The Fund outperformed by the widest margin in financials due primarily to stock selection. Asset management firm Affiliated Managers Group was a solid contributor during the year as their revenue prospects rose along with equity markets. Investment in regional banks, especially those with niche clientele that are demonstrating

loan growth while simultaneously cutting operating expenses, was beneficial to performance. SVB Financial Group, East West Bancorp Inc. and Prosperity Bancshares Inc. were three banks which contributed to relative performance.

The Fund also outperformed in energy due to stock selection. A top contributor in this sector was Energen Corp. which is an exploration and production company focusing on land based drilling, especially in the Permian Basin, where they are growing by further developing their areas of proven resource production. Oasis Petroleum Inc. was another solid performer for the Fund.

Information technology (“IT”) was an area of underperformance during the year. SolarWinds Inc. is a provider of powerful and affordable IT management software with an innovative web based delivery model. However, the enterprise

 

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JNL Invesco Funds (continued)

Invesco Advisers, Inc. (Unaudited)

 

 

 

JNL/Invesco Small Cap Growth Fund (continued)

 

macro environment for software spending was weak in 2013. Additionally the company had temporary missteps in their marketing spending and also execution issues with their European sales team, which resulted in the replacement of European sales leadership. NetGear Inc. designs

networking products for small business and the home, and was another detractor which was sold during the year.

The Fund also underperformed in materials. This was the poorest performing sector of the index, and the Fund’s underweight allocation was

beneficial to performance. However several of the Fund’s materials stocks had poor performance which offset this, including Allied Nevada Gold Corp. and Intrepid Potash Inc., which were both sold during the year.

 

 

JNL/Invesco Global Real Estate Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     2.76%   

5 Year

     13.92%   

Since Inception

     6.12%   
(Inception date May 2, 2005)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     2.97%   

5 Year

     14.16%   

Since Inception

     6.33%   
(Inception date May 2, 2005)   
 

 

JNL/Invesco International Growth Fund (Class A)

 

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Effective April 29, 2013, the Fund replaced the MSCI EAFE Growth Index with the MSCI All Country World ex USA Growth Index.

Average Annual Total Returns
for Class A Shares		    

1 Year

     18.98 % 

5 Year

     14.56 % 

10 Year

     7.28 % 
Average Annual Total Returns
for Class B Shares		    

1 Year

     19.13 % 

5 Year

     15.22 % 

Since Inception

     7.28 % 
(Inception date March 5, 2004)   
Invesco Advisers, Inc. assumed portfolio management responsibility on December 3, 2007.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

 

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JNL Invesco Funds (continued)

Invesco Advisers, Inc. (Unaudited)

 

 

 

JNL/Invesco Large Cap Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     39.58 % 

5 Year

     16.41 % 

10 Year

     6.98 % 
Average Annual Total Returns
for Class B Shares		    

1 Year

     39.86 % 

5 Year

     16.67 % 

Since Inception

     6.94 % 
(Inception date March 5, 2004)   
 

JNL/Invesco Mid Cap Value Fund (Class A)

 

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Effective September 16, 2013 the Fund replaced the Russell Midcap Index with the Russell Midcap Value Index.

Average Annual Total Returns
for Class A Shares		    

1 Year

     30.90%   

5 Year

     17.99%   

10 Year

     7.77%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     31.14%   

5 Year

     18.09%   

Since Inception

     7.16%   
(Inception date March 5, 2004)   
Invesco Advisers, Inc. assumed portfolio management responsibility on September 16, 2013.     
 

JNL/Invesco Small Cap Growth Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     39.69 % 

5 Year

     22.50 % 

10 Year

     9.40 % 
Average Annual Total Returns*
for Class B Shares		    

1 Year

     39.88 % 

5 Year

     22.73 % 

Since Inception

     9.29 % 
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Ivy Fund

Ivy Investment Management Company (Unaudited)

 

 

 

Market Summary: Equity markets were volatile at midyear before moving steadily higher in the second half. Broad market indices reached record highs by year end. Economic growth remained slow across the globe. Growth in the U.S. economy was largely based on consumer spending and energy, industrials and, to a lesser degree, housing, driven by accommodative monetary policy. There also was some improvement in the employment rate. Markets reacted negatively at midyear when U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke announced plans to begin tapering the bond buying program, based on anticipated steady improvement in the U.S. economy. Equities initially fell sharply and bond yields rose, but both markets quickly stabilized after the Fed indicated the end of the program was not imminent. The Fed did announce later that it would reduce its purchases from $85 billion to $75 billion per month, taking a very small step toward reducing economic

stimulus while keeping its aggressive monetary policy. The Fed added it will not raise interest rates until after unemployment falls well below 6.5%, but emphasized that level is not a trigger for rate hikes. A budget agreement at the end of the year between U.S. House and Senate negotiators helped reduce market uncertainty. Europe’s sovereign debt crisis returned as an issue at midyear. Fears also resurfaced about an economic slowdown in China. Despite the concerns, recession in the Eurozone, which reported declining gross domestic product (“GDP”) for six consecutive quarters, ended in the second quarter of the year. In addition, China’s GDP ultimately grew an estimated 7.6% for the year. China late in the year announced an ambitious economic plan with reforms in 16 major areas. GDP growth in Japan was better than expected, rising roughly 1.7% with support from a government plan to end deflation and boost economic growth.

 

 

JNL/Ivy Asset Strategy Fund

 

Portfolio Composition†:

 

Consumer Discretionary

     34.3   % 

Financials

     16.7   

Information Technology

     12.9   

Precious Metals

     7.2   

Energy

     4.2   

Industrials

     3.3   

Health Care

     2.5   

Consumer Staples

     1.4   

Materials

     1.0   

Telecommunication Services

     0.5   

Purchased Options

     0.1   

Short Term Investments

     15.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Ivy Asset Strategy Fund underperformed its benchmark by posting a return of 23.65% for Class A shares compared to 32.39% for the S&P 500 Index.

The Fund reported strong performance for the year, although it trailed the return of its all equities benchmark. Entering the year, the Fund maintained a dominant allocation to equities, based on our belief that equities were more attractive compared to other asset classes from a valuation

standpoint, particularly historically expensive investment grade fixed income and sovereign debt issues. Changing equity market fundamentals caused us to begin adjusting the Fund’s asset allocation from the beginning of the year while maintaining the focus on equities. We began to revise from the previous highly concentrated portfolio to a broader equities mix, and the cash position increased with that move. The cash position allows us to pursue opportunities we find attractive at the company, sector or country level, and reflects our concerns about the steady increase over time in equities valuations. For the year, the cash position negatively affected performance somewhat relative to the benchmark. We think the adjustment in equities holdings reduced stock specific risk and put a focus on the systemic risk of equity markets. We also think this change reflects the Fund’s flexibility as well as our attention to risk management.

Our investment process led to a substantial overweight during the year in consumer discretionary stocks, compared with the benchmark. We look at the holdings in the sector as allocations to three sub sectors: the gaming industry, especially in Asia, media and autos. The overweight plus positive security selection in the sec-

tor was the major contributor to returns. The Fund also continued to focus on businesses benefiting from consumption by the expanding middle class populations across emerging markets, especially in the Asia Pacific region. Several such companies were key contributors to performance during the year, including those in the gaming industry. In terms of relative performance, information technology overall was a detractor for the year, mainly from security selection.

The Fund maintained a position in gold throughout the year, with a little of that position hedged during the year, and ended the year with the position fully hedged. The price of gold fell about 30% during the year and our hedging was not able to fully manage the decline. The gold position was a detractor from overall performance for the year. We continue to invest in gold as a hedge against aggressive monetary policy, which we think is likely to continue around the world in the coming year, given the slow growth of the global economy.

For most of the year, we used derivatives to increase the equity exposure of the Fund. Equity derivatives usage was a contributor to performance for the year as a whole and remained a portion of the overall Fund at the end of the year.

 

 

JNL/Ivy Asset Strategy Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     23.65%   

Since Inception

     10.56%   
(Inception date September 28, 2009)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     23.82%   

Since Inception

     10.74%   
(Inception date September 28, 2009)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL JPMorgan Funds

J.P. Morgan Investment Management, Inc. (Unaudited)

 

 

 

 

Market Summary: The S&P 500 Index finished 2013 with an increase of 32.39%, posting its best performance since 1997. In 2013, investors were bracing themselves for the “worst case scenario” with every potential crisis. Headlines were dominated by uncertainty over the economic impact of the U.S. fiscal cliff, a fragile Italian government, a potential U.S. military attack on Syria and a 16 day U.S. government shutdown. These and other potential headwinds were favorably resolved. Given the reduced uncertainty, U.S. equity markets rallied throughout the year with only June and August posting negative returns.

During 2013’s first few months, investors were skeptical about the prospects for global growth. U.S. economic data pointed towards moderation as the March employment report and several of the regional manufacturing surveys for April were below expectations. Chatter about when the U.S. Federal Reserve (“Fed”) would taper the pace of its bond buying program intensified in May. Fed Chairman Ben Bernanke, in his address to the Joint Economic Committee of Congress stated that asset purchases could be reduced over the next few meetings if data indicated it would be prudent to do so. The S&P 500 Index saw its largest correction of the year, from May 21 to June 24, as the index declined -5.58%. The fixed income markets were even more volatile as the yield on the U.S. 10 year Treasury rose from 1.94% to 2.57%. While markets got off to a volatile start for the year’s final quarter, they rallied into year end. Congress reached an agreement in October to fund the U.S. government through January 15, 2014, and extend the debt ceiling to February 7, 2014. In December, the Fed announced that it would reduce the pace of asset purchases from $85 billion per month to $75 billion per month, starting in January. Data releases were also supportive of markets giving strong signals that the U.S. and global economy was accelerating going into 2014.

Despite all the market anxiety about tapering, investors reacted favorably to the move, interpreting it as confirmation that the U.S. economy had grown strong enough to justify such a move – a view seemingly justified by the unemployment rate falling to 7.0% in November and third quarter gross domestic product (“GDP”) growth being revised upwards to a seasonally adjusted annualized rate of 4.1%.

Small cap stocks, measured by the Russell 2000 Index, gained 38.82%, outperforming the S&P 500 Index. Growth outperformed value across the large, mid and small cap categories. Small cap growth as measured by the

Russell 2000 Growth Index was the top performing equity style in 2013, returning 43.30%.

In 2013, U.S. developments reemerged as the main driver of global financial markets after years of being subjugated by European crisis concerns. In the first quarter, risk assets benefited from accommodative support from central banks and remained resilient even with a potential fiscal crisis in the U.S. and volatility in Europe. In the second quarter, risk markets continued to be driven by the actions of central banks, as the Fed disappointed investors with hints of a scale back in asset purchases, which led to an aggressive sell off in Treasuries and risk markets. Markets continued to be volatile in the third quarter, as investors reacted positively to dovish comments by the Fed, though sentiment shifted quickly due to the U.S. government shutdown and debt ceiling debate. By the end of the year, improving economic data led risk assets to improve despite the Fed announcing in December that it would start to taper its asset purchase program by $10 billion per month, consisting of $5 billion less in Treasury securities and $5 billion less in agency mortgage-backed securities starting in 2014. The spread between the two- and 10-year Treasuries finished the year at 2.65%, up 114 basis points from the end of 2012.

World equity markets closed the year on a strong note, fuelled by signs that the global economy continued to improve, but at a sufficiently modest pace that allows most major central banks to maintain accommodative policies. With conditions in the periphery having stabilized and Germany continuing to motor along, the Eurozone emerged from recession. However, the recovery’s fragile nature, combined with a lack of inflationary pressures, prompted a surprise rate cut by the European Central Bank. The Bank of England kept interest rates and its asset purchase target unchanged despite the fact that the UK had three straight quarters of GDP growth. Japan appears to be responding, at least partially, to policymakers’ attempts to reflate the economy. Economic growth has slowed in recent months, but remains positive. The Bank of Japan’s asset purchase program continued to pressure the Yen, helping boost the profitability of export oriented corporations even as year over year consumer price index readings rose to their highest levels since 2008. Growth in China stabilized and the ruling committee recently announced plans to allow free markets a greater role in the country’s economic development.

 

 

JNL/JPMorgan International Value Fund

Portfolio Composition†:

Financials

     31.6   % 

Consumer Discretionary

     12.4   

Energy

     9.4   

Industrials

     9.1   

Materials

     7.9   

Telecommunication Services

     7.3   

Health Care

     6.2   

Information Technology

     5.0   

Consumer Staples

     4.3   

Utilities

     3.2   

Rights

     0.0   

Short Term Investments

     3.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/JPMorgan International Value Fund underperformed its benchmark by posting a return of 21.47% for Class A shares compared to 22.95% for the MSCI EAFE Value Index.

Stock selection in basic industries, property and industrial cyclicals added to excess returns,

but was partially offset by stock selection in energy, technology hardware and, to a lesser extent, autos. Regionally, the combination of stock selection and an underweight in the Pacific Rim and stock selection in Europe (both the continent and UK) were the largest contributors. Exposure to emerging markets detracted.

Bayer AG, the German drug and chemical company, was a strong performer. The company’s Healthcare unit is fuelling the company’s earnings growth with new drugs like the blood thinner Xarelto, eye drug Eylea and several new cancer drugs. The CropScience Agriculture unit is also doing well. The MaterialScience unit continues to struggle. The unit, which makes chemicals for a wide range of end products from makeup to car parts, continues to be weighed down by weak demand, especially in Europe, and competition from low cost Asia manufacturers. Management has been working to reduce costs at that division while focusing on new, more innovative products in an effort to turn things around. Meanwhile, there are signs of economic stabilization in Europe.

Nitto Denko Corp. (“Nitto Denko”), the Japanese maker of specialty materials, was a major detractor. The company, a world leader in making of specialty films used in LCDs and touch screens, cut its profit forecast twice during the fourth quarter, citing fiercer competition from new entrants and weaker than expected demand for computer tablets. Despite short term challenges, we continue to like the company. Industry wide shipments of tablets are still expected to grow rapidly and we expect Nitto Denko to remain the dominant touch solution material provider for smartphones and tablets. Meanwhile, the company’s cost cutting efforts should help offset some pricing pressures. Nitto Denko has been through these cycles before and emerged well thanks to strong ties with its customers, which include Samsung Electronics Co. Ltd. and Apple Inc., and heavy research and development spending, which enables it to stay ahead of the competition in developing new materials.

 

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JNL JPMorgan Funds (continued)

J.P. Morgan Investment Management, Inc. (Unaudited)

 

 

 

JNL/JPMorgan MidCap Growth Fund

Portfolio Composition†:

 

Consumer Discretionary

     23.4   % 

Industrials

     20.5   

Information Technology

     18.3   

Health Care

     13.3   

Financials

     11.4   

Energy

     4.5   

Materials

     2.1   

Short Term Investments

     6.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/JPMorgan MidCap Growth Fund outperformed its benchmark by posting a return of 42.03% for Class A

shares compared to 35.74% for the Russell Midcap® Growth Index. The Fund outperformed despite a mixed environment for our approach, as the market rewarded companies with low valuations and high quality (return on equity), and were mixed in terms of company growth rates. Stock selection ultimately drove relative performance, with financial services and technology contributing the most for the fourth quarter. Detracting from performance was stock selection in consumer discretionary and consumer staples.

The year began with some stylistic headwinds for our higher growth, higher valuation approach, which underperformed during the first quarter, and performed in line in the second quarter. Later in the second quarter and particularly during the

third quarter, the environment became much more favorable for our approach which, combined with strong stock selection, resulted in the Fund outperforming during the second half of the year. The Fund outperformed the Russell Midcap Growth Index for the fourth quarter, returning 10.07% versus 8.23% for the index.

The strongest sectors for the year were financial services and health care, while consumer discretionary and energy detracted. Throughout the year, the Fund’s positioning was consistently twofold: true secular growth businesses that have internal drivers and are less dependent upon the macro, and pro-cyclical growth opportunities, particularly in sectors showing accelerating growth off of a depressed base.

 

 

JNL/JPMorgan U.S. Government & Quality Bond Fund

Portfolio Composition†:

U.S. Government Agency MBS

     52.6   % 

Government Securities

     35.3   

Non-U.S. Government Agency ABS

     3.8   

Financials

     2.1   

Information Technology

     0.3   

Utilities

     0.2   

Energy

     0.1   

Industrials

     0.1   

Consumer Staples

     0.1   

Telecommunication Services

     0.1   

Short Term Investments

     5.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/JPMorgan U.S. Government & Quality Bond Fund underperformed its benchmark by posting a return of -3.51% for Class A shares compared to -2.60% for the Barclays Capital U.S. Government Bond Index.

Performance of spread sectors was robust over the 12 months ended December 31, 2013, thanks to accommodative central bank policy and improving economic conditions. The Fund’s light allocation to corporates was a positive for performance, as the sector was the best performer of the year, outpacing comparable duration Treasuries by 286 basis points. In addition to corporates, the Fund’s allocation in commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) added to performance during the year. Security selection drove performance in the agency mortgage-backed securities (“MBS”) portion of the Fund, while the Fund’s allocation in non agency MBS was also a contributor, as the U.S. housing outlook continues to improve, and risk adjusted yield continues to look attractive to comparable investments. The Fund’s longer duration posture and yield curve weighting relative to the index detracted, as U.S. Treasury rates rose, steepening significantly over the year.

The Fund’s overweight in spread sectors contributed to performance over the year, as Treasuries became the worst performing sector. As noted previously, security selection within agency and non agency MBS contributed to returns. The Fund’s longer duration posture and yield curve weighting relative to index detracted, as U.S. Treasury rates rose and steepened significantly over the year. Sector weightings for the Fund remained fairly in line throughout the course of the year with their positioning at the end of 2013.

At year end, a little over half of the Fund was invested in residential mortgages. Approximately 25% of the Fund was invested in Treasury securities, with a small portion of this allocation in Treasury inflation protected securities (“TIPS”). The Fund had approximately 5% in money markets. The remainder of the Fund was invested in ABS, CMBS, agency debt securities and credit.

 

 

JNL/JPMorgan International Value Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     21.47%   

5 Year

     11.67%   

10 Year

     7.54%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     21.66%   

5 Year

     11.89%   

Since Inception

     7.18%   
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL JPMorgan Funds (continued)

J.P. Morgan Investment Management, Inc. (Unaudited)

 

 

 

JNL/JPMorgan MidCap Growth Fund (Class A)

 

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     42.03%   

5 Year

     22.78%   

10 Year

     8.91%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     42.31%   

5 Year

     22.82%   

Since Inception

     8.65%   
(Inception date March 5, 2004)   
J.P. Morgan Investment Management Inc. assumed portfolio management responsibility on December 3, 2007.     
 

 

JNL/JPMorgan U.S. Government & Quality Bond Fund (Class A)

 

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -3.51%   

5 Year

     4.10%   

10 Year

     4.28%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -3.33%   

5 Year

     4.31%   

Since Inception

     4.30%   
(Inception date March 5, 2004)   
J.P. Morgan Investment Management Inc. assumed portfolio management responsibility on April 30, 2007.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Lazard Fund

Lazard Asset Management LLC (Unaudited)

 

 

 

Market Summary: 2013 was a year dominated by speculation over the timing of U.S. Federal Reserve (“Fed”) tapering purchases of U.S. bonds, leading to concerns over the effects of higher U.S. interest rates. The likelihood of this trend strengthening the U.S. Dollar, coupled with weakness in commodity prices and concerns over Chinese credit, resulted in one of the worst periods ever for emerging markets equities when measured against developed markets’ shares. The MSCI Emerging Markets Index declined – 2.60% during the year. During the year, shares in Asia fared best. Eastern European equities finished marginally higher, while those in Latin America fell significantly, weighed down by mining and energy shares.

Equities in Latin American markets underperformed all other regions, mainly due to languishing commodity prices. Returns were poor across all of the resource rich markets of Chile, Colombia, Peru and Brazil. Brazil, with a current account deficit and slowing economy, was a target for currency speculators. Mexican stocks rose modestly as the result of the excitement over newly elected President Peña-Nieto’s reform agenda and its trade ties to the U.S. The strongest performing market was in Argentina, which is not included in the index. Its market was aided by negotiations over an agreement between the Argentine government and the Spanish oil company Repsol SA (“Repsol”), concerning compensation for Argentina’s seizure of Repsol’s controlling interest in Yacimientos Petrolíferos Fiscales SA (“YPF”) in 2012.

As a region, eastern Europe, the Middle East and Africa generated mostly positive returns in 2013. However, the Czech Republic and Hungary, where the economies were weak; South Africa, which was affected by the Fed’s tapering and lower commodity prices; and Turkey, where an apparent

dispute between the ruling AK Party and the Gulen movement resulted in stock market and New Turkish Lira weakness; all declined during the year. This Turkish dispute, which was on top of currency pressures caused by Turkey’s vulnerability to the Fed’s tapering, forced the resignation of several government ministers and company leaders in December. Otherwise, Egyptian shares increased following a military coup and actions towards a constitutional referendum. Equities in Greece, readmitted into the MSCI Emerging Markets Index during the year, rebounded strongly as investors visualized recovery potential following the country’s multiyear economic calamity.

Overall, Asian markets rose modestly during the year. Indonesian and Thai equities were the worst performers in the region. Indonesian shares, having performed very strongly for several years and having a current account deficit at a time of the Fed’s tapering announcement, was an easy place to locate selling. Thai stocks tumbled especially towards year end, after the Prime Minister called an election following attempts in October to pardon previous President Thaksin Shinawatra. Philippine equities also declined in the aftermath of the tragic typhoon. Indian shares demonstrated an impressive recovery following the appointment of a new Reserve Bank of India governor and despite sensitivity in the summer to the Fed’s potential initial tapering of U.S. bond purchases. Equities in Taiwan, South Korea and China were aided by their relatively strong currency reserves positions, an improving global economy, as well as strong performance in technology.

From a sector perspective information technology, health care and consumer discretionary performed well while the materials and energy substantially underperformed the MSCI Emerging Markets Index.

 

 

JNL/Lazard Emerging Markets Fund

 

Portfolio Composition†:

Financials

     27.5   % 

Information Technology

     16.0   

Energy

     10.8   

Telecommunication Services

     9.8   

Consumer Discretionary

     9.3   

Consumer Staples

     8.8   

Industrials

     7.4   

Materials

     4.4   

Health Care

     0.4   

Short Term Investments

     5.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Lazard Emerging Markets Fund outperformed its benchmark by posting a return of -1.10% for Class A shares compared to -2.60% for the MSCI Emerging Markets Index.

Shares of Baidu.com – ADR, a Chinese internet search engine company, increased as the

company’s mobile strategy continues to gain momentum. Shares of Wynn Macau Ltd., a Chinese casino operator, performed well as customer demand remains strong. YPF, an Argentine energy company, bounced back after completing a successful new debt issuance and following an agreement between Argentina and Repsol for compensation for its expropriation. Shares of Cielo SA - ADR, a Brazilian credit card processor, rallied on strong earnings results. Shares of Tata Consultancy Services Ltd., an Indian information technology services company, gained amid a strong operational environment with the market shrugging off more recent concerns over a potentially weak seasonal fourth quarter. Stock selection in information technology and energy and in Brazil, South Korea and Russia added value. Also, an off index exposure to Argentina helped performance.

Shares of Shoprite Holdings Ltd., a South African supermarket operator, declined due to

continued concerns regarding the health of the South African consumer. Turkiye Is Bankasi SA and Akbank T.A.S., both Turkish banks, declined as a result of macroeconomic concerns related to mass street protests, the recent corruption probe of government cabinet ministers and the subsequent decline in the New Turkish Lira. Shares of Vale SA - ADR, a Brazilian mining company, were weak as iron ore prices declined amid concerns over the slowing Chinese economy. Punjab National Bank, an Indian bank, came under pressure along with the financial sector in India due to concerns on asset quality trends and a weakening currency as the expectation of growth was tapered. Stock selection in consumer staples and in South Africa detracted from performance. A higher than index exposure to Indonesia and Turkey hurt returns.

We remain bullish on the outlook for emerging market equities over the short, medium and long term.

 

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JNL Lazard Fund (continued)

Lazard Asset Management LLC (Unaudited)

 

 

 

JNL/Lazard Emerging Markets Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     -1.10%   

5 Year

     15.79%   

Since Inception

     5.49%   
(Inception date May 1, 2006)   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     -0.83%   

5 Year

     16.02%   

Since Inception

     5.70%   
(Inception date May 1, 2006)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL M&G Fund

M&G Investment Management Limited (Unaudited)

 

 

 

Market Summary: Global stock markets, including the U.S., Japan and Europe, had an exceptional 2013. This was despite economic news not really improving significantly until the second half of the year. Emerging markets, by way of contrast, struggled. A reduction in Chinese growth forecasts and a predicted decline in demand for commodities weighed on countries producing raw materials.

In the first quarter, stock markets continued their 2012 fourth quarter rally, led by the U.S. and Japan. However, European and emerging markets were weaker. Japanese shares also rose sharply, spurred by the Bank of Japan’s pledge to buy government bonds in potentially unlimited amounts.

In the three months to June performance was generally less vigorous, with investor sentiment shaken by statements from U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke that a ‘tapering’ in the pace of asset

purchases could begin later in the year. The U.S. and Japan maintained momentum, but emerging markets were especially weak.

There was a marked improvement in economic newsflow in the three months to September, with the Eurozone emerging from an 18 month recession and the UK posting solid quarterly growth of 0.7%. In Asia, Japan’s economy continued to benefit from the government’s ‘pro-growth’ policies, while in China, a number of economic indicators suggest the country’s growth rate had stopped decelerating.

In the final quarter of 2013, the Fed made its much anticipated commitment to begin ‘tapering’ the raft of the economic support measures it had previously introduced. Back in May, talk of tapering originally unnerved investors; this time though they took the news in stride as it and many other central banks indicated that interest rates will remain close to zero for some time.

 

 

JNL/M&G Global Basics Fund

 

Portfolio Composition†:

Consumer Staples

     25.2   % 

Materials

     21.6   

Industrials

     18.7   

Consumer Discretionary

     10.5   

Health Care

     7.0   

Information Technology

     2.9   

Financials

     2.7   

Energy

     0.9   

Short Term Investments

     10.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

† Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/M&G Global Basics Fund underperformed its benchmark by posting a return of 4.47% for Class A shares compared to 24.67% for the FTSE World Index.

Against a generally rising market for equities, the Fund underperformed its index, with its overweight in basic materials and consumer goods a significant headwind. The Fund’s overweight in the poorly performing mining sector, in particular, hurt returns. By the same token, the Fund’s

underweight in two of the best performing sectors in the year, consumer services and industrials, also detracted.

At stock level, holdings in UK listed precious metals miner Hochschild Mining Plc and Australia headquartered copper producer OZ Minerals Ltd. were two of the key detractors. The former was affected by weaker pricing for silver, one of its core products, as well as concerns over rising input and operational costs. The latter lost value after a landslide at its Prominent Hill Mine in South Australia caused it to cut its production outlook and increase forecasts for capital expenditure. In the same sector, Australian mineral sands miner Iluka Resources Ltd. experienced weaker performance on the back of softening demand for some of its core products through the second half of 2013.

In contrast, holdings in the consumer goods and industrials sectors did better, with French advertising house Publicis Groupe SA, U.S. listed lawn and garden products maker Scotts Miracle-Gro Co. and U.S. logistics business United Parcel Service Inc. all adding value.

Fund activity over 2013 was slightly higher than usual. Exits included UK listed oil explorer Tullow Oil Plc, U.S. listed oral hygiene company Colgate-Palmolive Co., U.S. seed producer Monsanto Co. and U.S. engineering and construction group Fluor Corp.

Additions included French drinks and dairy business Danone SA, Australian diversified miner BHP Billiton Ltd., U.S. headquartered global software giant Microsoft Corp. and German premium car manufacturer Bayerische Motoren Werke AG.

As the U.S. and European economies continue their return to sustainable growth, the Fund remains a balanced, diversified, high conviction portfolio of selected companies that are well placed to benefit from the profound demographic and economic changes that are under way in developing countries around the world. Although emerging market and mining equities have materially underperformed over the past year or so, the team believes it is important to look beyond the headlines and retain indirect exposure to these attractive growth areas.

 

 

 

 

JNL/M&G Global Basics Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     4.47%   

5 Year

     12.44%   

Since Inception

     8.23%   
(Inception date October 6, 2008)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     4.74%   

5 Year

     12.67%   

Since Inception

     8.47%   
(Inception date October 6, 2008)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Mellon Capital Funds

Mellon Capital Management Corporation (Unaudited)

 

 

 

Market Summary: U.S. stocks had their best year since 1997, with the S&P 500 Index rising 32.39%. Improving U.S. economic data, strong earnings and the continuation of accommodative central banks all aided stocks. About 460 stocks in the S&P 500 Index rose for the year, the broadest rally in data going back to 1990. Small cap stocks outperformed both mid cap and large cap stocks, with the Russell 2000 Index rising 38.82%. Growth stocks outperformed value at all capitalization levels. All ten S&P 500 Index economic sectors rose, led by a 43.18% gain in consumer discretionary stocks, followed by health care and industrials.

U.S. fixed income markets declined during the year, as the Barclays Capital U.S. Aggregate Bond Index lost -2.02%, its first loss since 1999. The yield on the ten-year Treasury note began the year at 1.78%, falling to 1.66% in early May. It then reversed and closed the year at a high of 3.04%. During

December, the U.S. Federal Reserve (“Fed”) said it will begin in January to cut back its $85 billion a month bond buying program, citing a stronger job market and economic growth. Shorter maturities generally outperformed, while spreads narrowed in anticipation of the Fed’s tapering.

International markets also had strong performance during 2013 as easing of Euro area tensions and central bank stimulus helped the gains. The MSCI EAFE Index gained 26.93% on a local basis and 22.87% in U.S. Dollar terms. Japan (+54.6%) was the best performing market during the year as Prime Minister Shinzo Abe’s aggressive fiscal and monetary stimulus helped drive up equities. The Yen also weakened, helping exporters. Germany rose 25.7% as economic growth surpassed that of other Euro area countries. Low performers included Portugal (+6.2%) and Singapore (+5.1%).

 

 

JNL/Mellon Capital Emerging Markets Index Fund

 

Portfolio Composition†:

Financials

     25.6   % 

Information Technology

     14.8   

Energy

     10.4   

Materials

     9.7   

Consumer Discretionary

     8.6   

Consumer Staples

     8.0   

Telecommunication Services

     7.0   

Industrials

     6.3   

Utilities

     3.2   

Health Care

     1.5   

Investment Companies

     2.0   

Short Term Investments

     2.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

 

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital Emerging Markets Index Fund underperformed its benchmark by posting a return of -4.16% for Class A shares compared to -2.60% for the MSCI Emerging Markets Index. Fund performance tends to differ from that of its benchmark due to the Fund’s operating and management expenses.

The Fund seeks to match the performance and overall characteristics of the MSCI Emerging Markets Index in a risk controlled and cost effective manner. Since the Fund is an index fund, its portfolio manager is not selecting specific securities to own but is trying to match the Fund’s overall weightings to the MSCI Emerging Markets Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: Tencent Holdings Ltd. (+98.6%) and Naspers Ltd.(+63.5%) contributed 0.9% and 0.4%, respectively, to the Fund’s return while Samsung Electronics Co. Ltd. (-8.6%) and Vale SA (-30.5%) detracted -0.4% and -0.3%, respectively, from the Fund’s return. Taiwan (+9.8%) and South Korea (+3.2%) contributed 1.1% and 0.6%, respectively, to the Fund’s return while Brazil (-15.7%) and Indonesia (-22.3%) detracted -2.0% and -0.7%, respectively, from the Fund’s return. Information technology (+14.1%) and consumer discretionary (+5.7%) contributed 2.0% and 0.6%, respectively, to the Fund’s return while materials (-16.9%), financials (-4.0%) and energy (-11.0%) detracted -1.9%, -1.4% and -1.3%, respectively, from the Fund’s return.

 

 

JNL/Mellon Capital European 30 Fund

 

Portfolio Composition†:

Financials

     21.2   % 

Telecommunication Services

     15.2   

Industrials

     13.4   

Consumer Staples

     12.6   

Consumer Discretionary

     10.6   

Utilities

     8.2   

Energy

     6.2   

Health Care

     6.1   

Investment Companies

     2.6   

Short Term Investments

     3.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital European 30 Fund outperformed its benchmark by posting a return of 30.61% for Class A shares compared to 25.23% for the MSCI Europe Index.

The investment objective of the Fund is to provide capital appreciation. The Fund is a buy and hold strategy which seeks to achieve its objective by investing at least 80% of its assets in the common stock of 30 companies selected from the MSCI Europe Index. The 30 companies are selected annually on the stock selection date which was in January 2013.

Largest contributors to and detractors from the Fund’s performance: Thales SA (+85.9%) and 3i

Group Plc (+73.0%) contributed 3.1% and 3.0%, respectively, to the Fund’s return while Portugal Telecom SGPS SA (-14.6%) and Tele2 AB (-15.5%) detracted -0.2% and -0.2%, respectively, from the Fund’s return. United Kingdom (+33.8%), France (+47.1%) and Germany (+48.1%) contributed 10.4%, 6.1% and 4.5%, respectively, to the Fund’s return while Portugal (-6.8%), the only detractor, detracted -0.2% from the Fund’s return. Financials (+50.4%), consumer discretionary (+59.0%) and industrials (+49.2%) contributed 10.4%, 5.0% and 4.6%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

LOGO

 

JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital Pacific Rim 30 Fund

 

Portfolio Composition†:

Utilities

     23.7   % 

Industrials

     18.3   

Financials

     14.5   

Telecommunication Services

     13.5   

Consumer Staples

     5.8   

Consumer Discretionary

     5.1   

Materials

     3.3   

Energy

     2.7   

Investment Companies

     3.6   

Short Term Investments

     9.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital Pacific Rim 30 Fund underperformed its benchmark by posting a return of 12.66% for Class A shares compared to 18.27% for the MSCI Pacific Index. The investment objective of the Fund is to provide capital appreciation.

The Fund is a buy and hold strategy which seeks to achieve its objective by investing under normal circumstances at least 80% of its assets in the common stock of 30 companies selected from the MSCI Pacific Index. The 30 companies are selected annually on the stock selection date which was in January 2013.

Largest contributors to and detractors from the Fund’s performance: KDDI Corp. (+75.1%) and

Central Japan Railway Co. (+44.9%) contributed 2.3% and 1.5%, respectively, to the Fund’s return while AGL Energy Ltd. (-16.5%) and Toho Gas Co. Ltd. (-9.7%) detracted -0.3% and -0.3%, respectively, from the Fund’s return. Japan (+19.7%) and Australia (+13.3%) contributed 9.2% and 4.9%, respectively, to the Fund’s return. There were no countries that detracted from the Fund’s return. Telecommunications services (+37.7%), industrials (+23.2%) and financials (+17.3%) contributed 4.4%, 4.1% and 3.8%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

 

JNL/Mellon Capital S&P 500 Index Fund

 

Portfolio Composition†:

Information Technology

     17.8   % 

Financials

     15.4   

Health Care

     12.4   

Consumer Discretionary

     12.1   

Industrials

     10.5   

Energy

     9.8   

Consumer Staples

     9.3   

Materials

     3.3   

Utilities

     2.8   

Telecommunication Services

     2.2   

Short Term Investments

     4.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital S&P 500 Index Fund underperformed its benchmark by posting a return of 31.64% for Class A shares compared to 32.39% for the S&P 500 Index. Fund performance tends to differ from that of its benchmark due to the Fund’s operating and management expenses.

The Fund is constructed to mirror the S&P 500 Index to provide long term capital growth and its investment objective is to match the performance of the index. Since the Fund is an index fund, its portfolio manager is not selecting specific securities to own but is trying to match the Fund’s

overall weightings to the S&P 500 Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: Google Inc. (+58.4%), Microsoft Corp. (+40.1%) and General Electric Co. (+33.5%) contributed 0.9%, 0.7% and 0.6% respectively, to the Fund’s return while Newmont Mining Corp. (-50.4%) detracted -0.1% from the Fund’s return. Financials (+35.6%), health care (+41.4%) and information technology (+28.5%) contributed 5.7%, 5.1% and 5.0%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

 

JNL/Mellon Capital S&P 400 MidCap Index Fund

 

Portfolio Composition†:

Financials

     20.0   % 

Industrials

     15.7   

Information Technology

     14.3   

Consumer Discretionary

     12.6   

Health Care

     8.1   

Materials

     6.4   

Energy

     5.3   

Utilities

     3.9   

Consumer Staples

     3.6   

Telecommunication Services

     0.4   

Short Term Investments

     9.7   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon

Capital S&P 400 MidCap Index Fund underperformed its benchmark by posting a return of 32.99% for Class A shares compared to 33.50% for the S&P MidCap 400 Index. Fund performance tends to differ from that of its benchmark due to the Fund’s operating and management expenses.

The Fund is constructed to mirror the S&P MidCap 400 Index to provide long term capital growth by investing in equity securities of medium capitalization weighted domestic corporations and its investment objective is to match the performance of the index. Since the Fund is an index fund, its portfolio manager is not selecting specific securities to own but is trying to match the Fund’s overall weightings to the S&P 400

MidCap Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: Vertex Pharmaceuticals Inc. (+82.1%), Alliance Data Systems Corp. (+73.4%) and Tractor Supply Co. (+75.6%) contributed 0.7%, 0.4% and 0.4% respectively, to the Fund’s return while Rackspace Hosting Inc. (-47.3%) and Royal Gold Inc. (-43.4%) detracted -0.3% and -0.2%, respectively, from the Fund’s return. Industrials (+44.0%), financials (+25.1%) and consumer discretionary (+42.1%) contributed 7.0%, 6.2% and 5.3%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

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JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital Small Cap Index Fund

 

Portfolio Composition†:

Financials

     19.8   % 

Information Technology

     15.4   

Industrials

     13.3   

Consumer Discretionary

     12.0   

Health Care

     11.5   

Energy

     4.8   

Materials

     4.3   

Consumer Staples

     3.4   

Utilities

     2.6   

Telecommunication Services

     0.7   

Short Term Investments

     12.2   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital Small Cap Index Fund underperformed its benchmark by posting a return of 38.44% for Class A shares compared to 38.82% for the Russell 2000 Index. Fund performance tends to differ from that of its benchmark due to the Fund’s operating and management expenses.

The Fund is constructed to mirror the Russell 2000 Index to provide long term growth of capital by investing in equity securities of small to mid size domestic companies and its investment objective is to match the performance of the index. Since the Fund is an index fund, its portfolio manager is not selecting specific securities to own but is trying to match the Fund’s overall

weightings to the Russell 2000 Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: Isis Pharmaceuticals Inc. (+281.6%) and CoStar Group Inc. (+106.5%) contributed 0.3% and 0.2% respectively, to the Fund’s return while Coeur Mining Inc. (-55.9%) and Atlantic Power Corp. (-69.6%) detracted -0.1% and -0.1%, respectively, from the Fund’s return. Financials (+30.7%), information technology (+44.2%), consumer discretionary (+45.0%) and health care (+51.3%) contributed 7.4%, 7.4%, 6.2% and 6.2%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

 

JNL/Mellon Capital International Index Fund

 

Portfolio Composition†:

Financials

     24.6   % 

Industrials

     12.3   

Consumer Discretionary

     11.4   

Consumer Staples

     10.3   

Health Care

     9.5   

Materials

     7.9   

Energy

     6.5   

Telecommunication Services

     5.5   

Information Technology

     4.4   

Utilities

     3.3   

Short Term Investments

     4.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon

Capital International Index Fund underperformed its benchmark by posting a return of 21.43% for Class A shares compared to 22.78% for the MSCI EAFE Index. Fund performance tends to differ from that of its benchmark due to the Fund’s operating and management expenses.

The Fund is constructed to mirror the MSCI EAFE Index to provide long term capital growth by investing in international equity securities and attempting to match the characteristics of each country within the index. The Fund’s investment objective is to match the performance of the index. Since the Fund is an index fund, its portfolio manager is not selecting specific securities to own but is trying to match the Fund’s overall weightings to the MSCI EAFE Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: Vodafone Group Plc (+56.4%) and Roche Holding AG (+39.4%) contributed 0.7% and 0.6%, respectively, to the Fund’s return while BHP Billiton Ltd. (-11.8%) and Anglo American Plc (-29.0%) detracted -0.1% and -0.1%, respectively, from the Fund’s return. Japan (+27.4%), United Kingdom (+21.8%) and Germany (+32.3%) contributed 5.9%, 4.2% and 2.6%, respectively, to the Fund’s return. There were no countries that detracted from the Fund’s return. Financials (+24.7%), consumer discretionary (+35.7%) and industrials (+25.8%) contributed 6.4%, 3.9% and 3.2%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

 

JNL/Mellon Capital Bond Index Fund

 

Portfolio Composition†:

Government Securities

     38.6   % 

U.S. Government Agency MBS

     26.9   

Financials

     8.4   

Energy

     2.7   

Non-U.S. Government Agency ABS

     2.2   

Health Care

     1.7   

Consumer Discretionary

     1.6   

Utilities

     1.6   

Consumer Staples

     1.5   

Industrials

     1.2   

Telecommunication Services

     1.2   

Materials

     1.1   

Information Technology

     1.0   

Short Term Investments

     10.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital Bond Index Fund underperformed its benchmark by posting a return of -2.73% for Class A shares compared to -2.02% for the Barclays Capital U.S. Aggregate Bond Index. Fund performance tends to differ from that of its

benchmark due to the Fund’s operating and management expenses.

The Fund is constructed utilizing a combination of stratified sampling, characteristics matching and replication in order to match the key performance driving characteristics of the Barclays Capital U.S. Aggregate Bond Index. The Fund’s investment objective is to match the performance of the Barclays Capital U.S. Aggregate Bond Index.

U.S. fixed income markets declined during the year, as the Barclays Capital U.S. Aggregate Bond Index lost -2.02%, its first loss since 1999, and only its third annual negative total return since 1976. The yield on the ten-year Treasury note began the year at 1.78%, falling to 1.66% in early May on disappointing employment data and reassurances from the Fed that its bond buying program will continue until the outlook for the labor market improves substantially. It then reversed and closed the year at a high of 3.04%, the highest since July of 2011, on stronger economic data, guidance from the Fed suggesting that the quantitative easing (“QE”) program would be tapered and outflows from bond funds. During

December, the Fed said it will begin in January to cut back its $85 billion a month bond buying program, citing a stronger job market and economic growth. The first decrease will be for $10 billion split between $5 billion in Treasuries and $5 billion in mortgage-backed securities. The Fed also gave forward guidance of keeping rates low as long as unemployment is at 6.5% or above and inflation is at a maximum of 2%.

Within the index as the curve steepened, shorter maturities generally outperformed, and spreads narrowed. During 2013, the Treasury sector fell -2.75%, as measured by the Barclays Capital U.S. Treasury Bond Index, with long Treasuries tumbling -12.66%, as measured by the Barclays Capital Long U.S. Treasury Index. The corporate sector outperformed Treasuries, falling -1.53%, as measured by the Barclays Capital U.S. Corporate Investment Grade Index, with long corporates losing -5.68%, as measured by the Barclays Capital U.S. 10+ Year Corporate Index, while intermediate corporates gained 0.08%, as measured by the Barclays Capital Intermediate U.S. Corporate Index.

 

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JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital Global Alpha Fund

 

Portfolio Composition†:

Purchased Options

     0.9   % 

Short Term Investments††

     99.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

 †Total Investments at December 31, 2013

††In general, the Fund uses derivatives as direct sub-stitutes for investment in developed market stock indices, government bonds and currencies. Please refer to the Notes to the Schedules of Investments for the Fund’s derivative investments.

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital Global Alpha Fund underperformed its benchmarks by posting a return of -1.37% for Class A shares compared to 0.03% for the Citigroup 1-month Treasury Bill Index and 3.58% for the HFRX Absolute Return Index.

The investment objective of the Fund is to seek total return. The Fund normally invests in instruments that provide investment exposure to global equity, bond and currency markets, and in fixed income securities. The Fund’s investments will be focused among the major developed capital markets of the world, such as the United States, Canada, Japan, Australia and Western Europe. The Fund ordinarily invests in at least three countries.

The Fund seeks to achieve investment exposure to global equity, bond and currency markets primarily through long and short positions in futures, options and forward contracts, which should enable the Fund’s portfolio managers to implement investment decisions quickly and cost effectively. The Fund uses futures and options as a substitute for long and short investments in conventional securities and currencies. The Fund also invests in fixed income securities, such as bonds, notes (including structured notes) and money market instruments, to provide exposure to bond markets and for liquidity and income. The Fund also may use such derivatives as part of a hedging strategy or for other purposes related to the management of the Fund.

For 2013, the cross country bond allocation component strategy contributed alpha while the currency and cross country equity allocation components detracted. In the cross country bond allocation strategy the Fund’s mostly underweight positions in the UK, Germany and Canada added value while its overweights to the U.S. and Japan detracted value. In the crosscountry equity allocation component, the Fund’s overweight position in Australia and underweight position in Spain detracted from results. We added value with the Fund’s overweight position in

Hong Kong, driven predominately by our valuation signal. The currency strategy was slightly negative, predominately driven by our carry signal. The Fund held a short position in the Euro based on our carry signal, however, in the latter half of the year our macro signal was increasingly bullish, which moderated the position, and helped limit the negative attribution. The Fund’s long position in the Yen also detracted from performance, although this position was held as an insurance policy as it tends to appreciate when global risk spikes. While the carry signal struggled for the year our macro signal added significant value. During the second half of the year we held a long British Pound and short Australian Dollar, which both added value.

For the Fund’s strategy, we employ exchange traded stock and bond futures, which have the full backing of the respective exchange. We also employ over the counter (“OTC”) currency forwards to obtain long/short currency positions. Currency forward contracts are the most liquid and flexible means of obtaining currency exposure because of their customizable contract sizes and maturity dates. We employ derivatives because they have much lower trading costs than investment in physical securities.

 

 

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

 

Portfolio Composition†:

Information Technology

     32.1   % 

Consumer Discretionary

     18.5   

Industrials

     14.0   

Health Care

     11.3   

Energy

     9.6   

Financials

     6.9   

Materials

     2.5   

Consumer Staples

     2.3   

Telecommunication Services

     0.9   

Short Term Investments

     1.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities

Index Fund underperformed its benchmark by posting a return of 39.14% for Class A shares compared to 40.55% for the Dow Jones U.S. Contrarian Opportunities Index. Fund performance tends to differ from that of its benchmark due to the Fund’s operating and management expenses.

The Fund is constructed to mirror the Dow Jones U.S. Contrarian Opportunities Index to systematically measure the performance of stocks that lag behind the broader market in terms of recent performance, but that outrank their peers based on fundamentals and other qualitative criteria. The Fund’s investment objective is to match the performance of the index. Since the Fund is an index fund, its portfolio manager is not selecting specific securities to

own but is trying to match the Fund’s overall weightings to the Dow Jones U.S. Contrarian Opportunities Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: USANA Health Sciences Inc. (+136.1%) and hhgregg Inc. (+99.0%) contributed 1.0% and 1.0%, respectively, to the Fund’s return while VAALCO Energy Inc. (-30.2%) and DFC Global Corp. (-28.3%) detracted -0.3% and -0.3%, respectively, from the Fund’s return. Information technology (+43.8%), consumer discretionary (+36.9%), health care (+41.1%) and industrials (+44.8%) contributed 10.2%, 8.2%, 6.6% and 6.6%, respectively, to the Fund’s return. There were no sectors that detracted from the Fund’s return.

 

 

JNL/Mellon Capital Utilities Sector Fund

 

Portfolio Composition†:

Utilities

     99.1   % 

Short Term Investments

     0.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

 †Total Investments at December 31, 2013

Portfolio Manager Commentary: For the period April 29, 2013 through December 31, 2013, JNL/Mellon Capital Utilities Sector Fund underperformed its benchmark by posting a return of -3.98% for Class A shares compared to -3.53% for the Dow Jones U.S. Utilities Index. Fund performance tends to differ from that

of its benchmark due to the Fund’s operating and management expenses.

The objective of the Fund is total return through capital appreciation and dividend income. The Fund attempts to use a full replication strategy matching the Dow Jones U.S. Utilities Index. The Dow Jones U.S. Utilities Index measures the performance of the utilities sector of the U.S. equity market. Under normal circumstances, the Fund invests at least 80% of its assets in the stocks in the Dow Jones U.S. Utilities Index in proportion to their market capitalization weighting in the index. Since the Fund is an index fund, its portfolio manager is not

selecting specific securities to own but is trying to match the Fund’s overall weightings to the Dow Jones U.S. Utilities Index weightings, while minimizing transactions costs.

Largest contributors to and detractors from the Fund’s performance: Dominion Resources Inc. (+29.8%) and NextEra Energy Inc. (+28.0%) contributed 1.6% and 1.4%, respectively, to the Fund’s return while FirstEnergy Corp. (-16.5%) and Exelon Corp. (-3.5%) detracted -0.5% and -0.1%, respectively, from the Fund’s return. Utilities (+14.7%) and energy (+28.5%) contributed 14.3% and 0.9%, respectively, to the Fund’s return.

 

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JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital Emerging Markets Index Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -4.16%   

Since Inception

     0.98%   
(Inception date August 29, 2011)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -3.89%   

Since Inception

     1.19%   
(Inception date August 29, 2011)   
 

 

JNL/Mellon Capital European 30 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     30.61%   

5 Year

     13.62%   

Since Inception

     9.82%   
(Inception date October 6, 2008)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     30.91%   

5 Year

     13.86%   

Since Inception

     10.05%   
(Inception date October 6, 2008)   
 

JNL/Mellon Capital Pacific Rim 30 Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     12.66%   

5 Year

     11.66%   

Since Inception

     10.24%   
(Inception date October 6, 2008)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     12.87%   

5 Year

     11.90%   

Since Inception

     10.47%   
(Inception date October 6, 2008)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital S&P 500 Index Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     31.64%   

5 Year

     17.31%   

10 Year

     6.75%   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     31.89%   

5 Year

     17.57%   

Since Inception

     6.65%   
(Inception date March 05, 2004)   
Mellon Capital Management Corporation assumed portfolio management responsibility on February 17, 2004.      
 

 

JNL/Mellon Capital S&P 400 MidCap Index Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     32.99%   

5 Year

     21.52%   

10 Year

     9.72%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     33.19%   

5 Year

     21.77%   

Since Inception

     9.36%   
(Inception date March 5, 2004)   
Mellon Capital Management Corporation assumed portfolio management responsibility on February 17, 2004.      
 

JNL/Mellon Capital Small Cap Index Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     38.44%   

5 Year

     19.85%   

10 Year

     8.50%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     38.64%   

5 Year

     20.05%   

Since Inception

     8.05%   
(Inception date March 5, 2004)   
Mellon Capital Management Corporation assumed portfolio management responsibility on February 17, 2004.      
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital International Index Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     21.43%   

5 Year

     11.67%   

10 Year

     6.40%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     21.64%   

5 Year

     11.89%   

Since Inception

     6.19%   
(Inception date March 5, 2004)   
 

 

JNL/Mellon Capital Bond Index Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -2.73%   

5 Year

     3.85%   

10 Year

     3.87%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -2.60%   

5 Year

     4.06%   

Since Inception

     3.88%   
(Inception date March 5, 2004)   
 

 

JNL/Mellon Capital Global Alpha Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -1.37%   

Since Inception

     0.98%   
(Inception date September 28, 2009)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -1.17%   

Since Inception

     1.18%   
(Inception date September 28, 2009)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Mellon Capital Funds (continued)

Mellon Capital Management Corporation (Unaudited)

 

 

 

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     39.14%   

Since Inception

     23.45%   
(Inception date April 30, 2012)   

Average Annual Total Returns

for Class B Shares

  

  

1 Year

     39.48%   

Since Inception

     23.70%   
(Inception date April 30, 2012)   
 

 

JNL/Mellon Capital Utilities Sector Fund (Class A)

 

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Total Returns
for Class A Shares		    

Since Inception

     -3.98%   
(Inception date April 29, 2013)   
 

 

 

 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL Morgan Stanley Fund

Morgan Stanley Investment Management Inc. (Unaudited)

 

 

 

Market Summary: U.S. stocks turned in strong performance in 2013. As in 2012, the expectation that accommodative monetary policy by the U.S. Federal Reserve (“Fed”) would continue for some time helped drive the prices of risky assets including stocks higher in 2013. However, as the U.S. economy began to look stronger, the Fed started signaling its intention to reduce the pace of its asset purchase program, known as quantitative easing (“QE”), if economic data warranted. Uncertainty as to the timing and

magnitude of this tapering led to volatility across the capital markets. When the Fed unexpectedly left its QE program intact after its September meeting, stocks rallied strongly. The market’s advance paused in October, disrupted by a partial government shutdown and political gridlock over whether to raise the debt ceiling, but resumed in the final months of the year on expectations – and later confirmation by the Fed – that QE tapering would begin in 2014.

 

 

JNL/Morgan Stanley Mid Cap Growth Fund

 

Portfolio Composition†:

Information Technology

     28.8   % 

Consumer Discretionary

     17.1   

Health Care

     12.1   

Industrials

     11.7   

Financials

     6.2   

Consumer Staples

     6.1   

Energy

     0.9   

Materials

     0.8   

Short Term Investments

     16.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Morgan Stanley Mid Cap Growth Fund outperformed its benchmark by posting a return of 37.73% for

Class A shares compared to 35.74% for the Russell Midcap Growth Index.

Stock selection in technology provided nearly all of the gains relative to the index. Six of the top ten contributors to the outperformance of the Fund were technology stocks: LinkedIn Corp., Groupon Inc., Yandex NV (“Yandex”), Qihoo 360 Technology Co. Ltd. - ADR (“Qihoo 360”), Gartner Inc. and Twitter Inc. (“Twitter”). Yandex, Qihoo 360 Technology and Twitter are not represented in the index. To a lesser degree, stock selection in health care was favorable to relative results, led by a holding in Illumina Inc. An underweight in materials and processing was also modestly advantageous to relative performance.

Sectors that did not fare so well included producer durables, consumer discretionary and consumer staples. Although most of the Fund’s holdings within these sectors were additive to performance, relative performance was diminished by little to no exposure to some of these sectors’ stronger performing groups such as control and filter scientific instruments (producer durables), specialty retail (consumer discretionary) and drug and grocery store chains (consumer staples). An underweight to consumer discretionary also detracted from performance.

At the end of the year, the Fund’s largest sector weights were technology, consumer discretionary and health care. The smallest sectors in the Fund were utilities, with a zero weight, materials and processing and energy.

 

 

JNL/Morgan Stanley Mid Cap Growth Fund (Class A)

 

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Average Annual Total Returns

for Class A Shares

 

  

1 Year

     37.73%   

Since Inception

     18.09%   
(Inception date April 30, 2012)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     38.04%   

Since Inception

     18.31%   
(Inception date April 30, 2012)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

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JNL Neuberger Berman Fund

Neuberger Berman Fixed Income LLC (Unaudited)

 

 

 

Market Summary: The year ended on a fairly lackluster note, capping off a challenging period in the fixed income market. Economic data was positive overall during the second half of the year and rates ticked up amid uncertainties regarding when the U.S. Federal Reserve (“Fed”) would start tapering its asset purchase program. The Fed’s decision in December 2013 to pare back its monthly purchases from $85 billion to $75 billion was somewhat of a surprise. So too was the central bank’s forward guidance that suggested it would no longer explicitly tie the Fed Funds rate to a 6.5% unemployment rate. Twelve of seventeen Fed officials now expect the Fed Funds rate to be at or below 1% by the end of 2015, and ten of the seventeen think the rate will be at or below 2% at the end of 2016. While the fixed

income market’s initial reaction was fairly muted, rates moved higher at the end of December, with the 10-year Treasury yield surpassing 3.04% for the first time since July 2011.

As was the case for the year as a whole, the yield curve steepened during the fourth quarter. During 2013, the yield on the two-year Treasury rose 13 basis points (“bps”), whereas the 10-year Treasury yield increased 126 bps. Most non-Treasuries spread sectors modestly outperformed equal duration Treasuries for the year. Still, aside from high yield bonds and bank loans, the majority of spread sectors generated negative absolute returns in 2013.

 

 

JNL/Neuberger Berman Strategic Income Fund

 

Portfolio Composition†:

U.S. Government Agency MBS

     23.8   % 

Government Securities

     15.9   

Non-U.S. Government Agency ABS

     13.3   

Financials

     9.9   

Consumer Discretionary

     4.2   

Telecommunication Services

     3.2   

Industrials

     3.2   

Energy

     3.1   

Information Technology

     2.5   

Consumer Staples

     2.3   

Health Care

     1.9   

Materials

     1.4   

Utilities

     1.4   

Investment Companies

     3.4   

Short Term Investments

     10.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Neuberger Berman Strategic Income Fund outperformed its benchmark by posting a return of -0.10% for Class A shares compared to -2.02% for the Barclays Capital U.S. Aggregate Bond Index.

The largest contributor to performance was the Fund’s duration positioning. In particular, having a duration that was shorter than the benchmark was a positive for results as rates moved meaningfully higher during the year.

Sector positioning, overall, was also beneficial for performance in 2013. Adding the most value were the Fund’s allocations to non agency mortgage-backed securities (“MBS”), investment grade corporate bonds and bank loans. The

Fund’s allocations to high yield corporate bonds and global bonds also contributed to performance, albeit to lesser extents. Modestly detracting from results during the year were the Fund’s allocations to emerging market debt, Treasury Inflation Protected Securities (“TIPS”), commercial MBS and agency MBS.

The Fund selectively used both credit default swaps and exchange traded funds (“ETFs”) for high yield exposure. These instruments had a positive effect to the total return of the Fund. U.S. Treasury futures were used to manage duration and yield curve and Euro futures were used to adjust non U.S. Dollar exposures. U.S. Treasury futures had a positive impact while Euro futures did not have a significant impact on performance.

 

 

JNL/Neuberger Berman Strategic Income Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -0.10%   

Since Inception

     3.14%   
(Inception date April 30, 2012)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     0.10%   

Since Inception

     3.32%   
(Inception date April 30, 2012)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

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JNL Oppenheimer Fund

Oppenheimer Funds, Inc. (Unaudited)

 

 

 

Market Summary: Equities in the U.S. and developed markets throughout the world delivered strong performance in 2013. Accommodative monetary policies on the part of central banks in the U.S., Europe and Japan, combined with supportive equity valuations relative to bonds, have been instrumental in this performance. Signs that the U.S. economy was on the mend, demonstrated by rising house prices, also helped sentiment toward stocks. Mid year, comments from the U.S. Federal Reserve (“Fed”) suggesting the aggressive quantitative easing (“QE”) policy would be tapered in the

foreseeable future led to significant sell offs in both stocks and bonds. However, the Fed’s clarification that the timeframe in which this would be executed would be later rather than earlier allowed for a rebound in markets to resume. Emerging markets equities had mixed results, with inflation concerns in a variety of markets, slower than expected growth and policy orientations toward a more redistributive stance hurting performance. A further recognition that these markets have greater structural volatility than the developed world was evidenced in a reduction in price earnings ratios.

 

 

JNL/Oppenheimer Global Growth Fund

 

Portfolio Composition†:

Information Technology

     24.4   % 

Financials

     17.0   

Consumer Discretionary

     16.8   

Health Care

     13.5   

Industrials

     12.6   

Consumer Staples

     6.0   

Energy

     3.0   

Telecommunication Services

     1.6   

Materials

     1.3   

Utilities

     0.2   

Short Term Investments

     3.6   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Oppenheimer Global Growth Fund outperformed its benchmark by posting a return of 26.24% for Class A shares compared to 22.80% for the MSCI All Country World Index.

Top contributors to performance included Airbus Group NV (“Airbus”), Google Inc. (“Google”) and KDDI Corp. (“KDDI”). Airbus

makes Airbus airplanes and is one of the leading defense companies in Europe. Persistently high fuel prices combined with the increase in travel demand from the emerging markets makes for a good environment for growth in new, more fuel efficient, aircraft sales. Shares of search engine giant Google topped $1,000 per share for the first time in October 2013 after the company reported strong earnings. KDDI is a Japanese telecommunications firm that offers fixed line and mobile telephony, and digital TV. The company has been gaining share with a “triple play” offering and the company began to wind down a large scale investment phase, improving business economics.

The most significant detractors from performance during the year included Fusion-io, Inc. (“Fusion-io”), DLF Ltd. (“DLF”) and BM&F Bovespa SA (“BM&F Bovespa”). Fusion-io produces flash enabled server accelerator cards, which allow servers to better process information in real time. The stock experienced volatility due partly to a management transition. DLF is the largest and highest quality real estate developer in the National Capital Region of India. Tightening

monetary policy and the weaker Indian Rupee have served to hurt near term real estate demand. BM&F Bovespa is involved in the operation of the Sao Paulo Stock Exchange. In a volatile environment for emerging markets, BM&F Bovespa experienced declines.

At year end, the Fund had its largest overweight positions in information technology, health care, consumer discretionary and industrials. The Fund was underweight all other sectors of the index. On a country basis, the Fund had its largest overweight positions in Germany and France with its most significant underweight positions in the UK, U.S. and Canada. Regardless of whether we are in a fast or a slow growth world, we believe the companies in the Fund have the potential to grow above the general rate of the economies in which they operate by virtue of the secular currents driving them and their advantages globally. We have a long term investment horizon and build the Fund from the bottom-up, focusing on businesses advantaged by long term trends.

 

 

JNL/Oppenheimer Global Growth Fund (Class A)

 

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Effective April 29, 2013, the Fund replaced the MSCI World Index with the MSCI All Country World Index.

Average Annual Total Returns
for Class A Shares		    

1 Year

     26.24%   

5 Year

     17.57%   

10 Year

     8.28%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     26.52%   

5 Year

     17.79%   

Since Inception

     8.03%   
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL PIMCO Funds

Pacific Investment Management Company LLC (Unaudited)

 

 

 

Market Summary: The beginning of 2013 saw U.S. equity indices reach new highs and Treasuries sell off across the curve as signs of renewed momentum in the world’s largest economy fueled risk appetite. Investors discounted negative fiscal policy developments – including Congress’ failure to reach a deal on sequestration – and instead focused on positive news out of the housing and labor markets.

During the second quarter, conditions in financial markets deteriorated as investors reacted to signals by the U.S. Federal Reserve (“Fed”) that it would begin to slow the pace of asset purchases later in the year. The shift in tone fueled a broad based sell off of fixed income assets, undermining market liquidity, and sending yields higher across the risk spectrum.

While the Fed’s choice to later eschew market consensus and delay tapering in the third quarter left investors in a state of disbelief, headline

indicators of economic growth had been unconvincing. In addition, the Fed was also keeping a wary eye on the uncertain fiscal policy landscape, as the economy was unlikely to escape both a government shutdown and another debt ceiling debate unscathed.

In December, the Fed announced its intention to begin gradually exiting its bond buying program. In January 2014 the Fed will reduce – or taper – its quantitative easing program from $85 billion to $75 billion a month. As expected, the Federal Open Market Committee provided even greater assurances that the policy rate would remain near the zero boundary until signs of sustainable growth were more broadly evident. While the markets had months to prepare for the announcement, equities and other risk assets soared in reaction to the news while bond markets saw yields drift higher.

 

 

JNL/PIMCO Real Return Fund

 

Portfolio Composition†:

Government Securities††

     61.5   % 

Non-U.S. Government Agency ABS

     5.4   

Financials

     3.0   

U.S. Government Agency MBS

     0.4   

Energy

     0.2   

Industrials

     0.1   

Short Term Investments

     29.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

 †Total Investments at December 31, 2013

††The Funds weightings in TIPS was 54.4% of total investments.

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PIMCO Real Return Fund underperformed its benchmark by posting a return of -9.13% for Class A shares compared to -8.60% for the Barclays Capital U.S. TIPS Index.

The investment concentration differences relative to the benchmark included an overweight to U.S. Treasury Inflation Protected Securities (“TIPS”) with out of index exposure to mortgage-backed securities (“MBS”), investment grade corporates, high yield, non U.S. developed and emerging markets (“EM”).

Although TIPS significantly underperformed, the Fund’s net outperformance, before Fund expenses, relative to the benchmark resulted from the following strategies. An underweight to longer maturities contributed to outperformance as yields generally rose. An allocation to non-agency MBS, which were supported by limited supply and an ongoing housing recovery, also added to performance. Exposure to EM local rates, especially in Brazil, detracted from returns as rates rose for the year in this region. European rate exposure, particularly sales of French

inflation swaps, contributed to returns as breakeven inflation levels narrowed. Lastly, a modest allocation to select EM currencies, particularly the Brazilian Real, detracted from returns as they depreciated versus the U.S. Dollar.

Derivatives were used in the Fund and were instrumental in attaining specific exposures targeted to gain from anticipated market developments. The exposure to EM local debt, which was a detractor from relative performance, included an allocation to local debt in Brazil that was implemented using zero coupon interest rate swaps. The Fund’s exposure to U.S. interest rates, which was positive for returns, was partly facilitated through the use of interest rate swaps. Additionally, the exposure to French inflation, which added to returns, was implemented via the use of fixed inflation swaps.

 

 

JNL/PIMCO Total Return Bond Fund

 

Portfolio Composition†:

Government Securities

     47.1   % 

U.S. Government Agency MBS

     31.8   

Financials

     8.0   

Non-U.S. Government Agency ABS

     4.8   

Energy

     1.5   

Industrials

     0.6   

Utilities

     0.4   

Materials

     0.3   

Telecommunication Services

     0.2   

Short Term Investments

     5.3   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PIMCO Total Return Bond Fund slightly underperformed its benchmark by posting a return of -2.08% for Class A shares compared to -2.02% for the Barclays Capital U.S. Aggregate Bond Index.

The investment concentration differences relative to the benchmark included a slight underweight to MBS, flat positioning in EM and an underweight to investment grade credit. The Fund also had out of index exposure to high yield and non-agency MBS.

The net outperformance, before Fund expenses, relative to the benchmark resulted from the following strategies. The Fund’s curve positioning, including a focus on shorter maturities and an underweight to the long end of the curve, was positive for performance as yields rose. In Europe, an allocation to rates in select developed economies, such as Spain, contributed to performance as rates fell for the year. An overall underweight to investment grade corporates detracted from returns as spreads compressed; however this was slightly mitigated via exposure to high yields, which also rallied. An allocation to non-agency MBS, which were sup-

ported by limited supply and an ongoing housing recovery, contributed to performance. Holdings of TIPS, however, detracted from returns as breakeven inflation levels narrowed. Lastly, exposure to Build America Bonds (“BABs”) was positive for performance as they outperformed tax exempt municipals for the year.

Derivatives were used in the Fund and were instrumental in attaining specific exposures targeted to gain from anticipated market developments. The Fund’s exposure to U.S. interest rates, which was positive for returns, was partly facilitated through the use of interest rate swaps. The overweight to EM local debt, which was flat for relative performance, included exposure to local debt in Brazil that was implemented using zero coupon interest rate swaps. Additionally, exposure to external EM debt was positive for performance, and was implemented through use of credit default swaps.

 

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JNL PIMCO Funds (continued)

Pacific Investment Management Company LLC (Unaudited)

 

 

 

JNL/PIMCO Real Return Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -9.13%   

5 Year

     6.81%   

Since Inception

     5.84%   
(Inception date January 16, 2007)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -8.88%   

5 Year

     7.08%   

Since Inception

     6.09%   
(Inception date January 16, 2007)   
 

 

JNL/PIMCO Total Return Bond Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     -2.08%   

5 Year

     6.62%   

10 Year

     5.17%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     -1.92%   

5 Year

     6.82%   

Since Inception

     5.24%   
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL PPM America Funds

PPM America, Inc. (Unaudited)

 

 

 

Market Summary: 2013 was a very strong year for U.S. equity market performance as broad market benchmarks across all market capitalization ranges generated outsized returns. Mid and small cap investing indices outperformed large caps. The S&P 500 Index returned 32.39% for the year, the Russell Midcap Index returned 34.76% and the S&P 600 Value Index returned 41.31% for 2013.

The market was supported as investors began returning to U.S. equities. Macroeconomic news during 2013 included improvement in the labor market and upward revisions to U.S. gross domestic product (“GDP”). Investors also welcomed the U.S. Federal Reserve’s (“Fed”) announcement of their expected tapering plans, a sign that economic improvement was being recognized. Also aiding the market for the year was improving corporate fundamentals. Earnings set an all time high in each of the first three quarters of the year and consensus expectations at year end suggest another all time high in the final quarter. High corporate cash balances were put to work in 2013, as share repurchases and dividend increases added to the attractiveness of equities.

Value investing strategies slightly underperformed growth investing strategies across most market capitalization ranges. During 2013, the S&P 500 Value Index returned 32.00% compared to the S&P 500 Growth Index return of 32.75%. The Russell Midcap Value Index gained 33.46% and the Russell Midcap Growth Index returned 35.74%. For small cap stocks, the S&P 600 Value Index returned 39.98% compared to the S&P 600 Growth SmallCap Index return of 42.69%.

Leading sectors across all market capitalization ranges included consumer discretionary, health care and industrials. Lagging sectors in all market capitalization ranges included utilities. One driver behind the outperformance within value investing strategies during the year was the strong performance of stocks with low price/earnings (“P/E”) and price/book (“P/B”)

ratios. Low P/E and P/B stocks generally outperformed high P/E and P/B stocks across all market capitalizations.

Relative to 2012, U.S. fixed income total return was much weaker, with Treasuries and higher quality segments producing losses and lower quality credits producing mid to high single digit returns. For example, Treasuries lost -2.75% as measured by the Barclays Capital Treasury Bond Index and investment grade corporates lost -1.53%, as measured by Barclays Capital U.S. Corporate Investment Grade Index, whereas high yield bonds and bank loans gained 7.41% and 5.29%, as measured by BofA Merrill Lynch US High Yield Master II Index and S&P LSTA Index, respectively. Rising interest rates drove these differences, with higher quality bonds having less coupon and spread to offset the approximate +100 basis point (“bps”) and +126 bps rise in 5- and 10-year Treasury yields that occurred, year over year.

Higher interest rates reflected the anticipation and eventual execution by the Fed of quantitative easing (“QE”) policy withdrawal. After trading below 2% for much of the year, Fed Chairman Bernanke’s tapering comments during May pushed the 10-year Treasury yield to 2.74% by early August. Treasury yields rose further as the year progressed, particularly during the last quarter, on the back of better economic data and the Fed’s decision in December to reduce its asset purchase program by $10 billion a month.

While higher interest rates contributed negatively to total return, credit performance was broadly positive: high yield and investment grade corporate credit spreads tightened by 27 and 134 bps, respectively, during the year. Contributing trends included a credit supportive level of underlying economic growth, still reasonable corporate credit metrics and the absence of a major spike in mergers and acquisitions and leverage buyouts. Demand also generally held up well, as evidenced by falling new issue concessions and despite predictions for a “great rotation” into equity.

 

 

JNL/PPM America Floating Rate Income Fund

 

Portfolio Composition†:

Consumer Discretionary

     27.5   % 

Industrials

     13.7   

Health Care

     10.8   

Information Technology

     10.4   

Materials

     7.8   

Consumer Staples

     6.2   

Financials

     6.1   

Telecommunication Services

     5.3   

Energy

     4.8   

Utilities

     1.1   

Non-U.S. Government Agency ABS

     0.1   

Short Term Investments

     6.2   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PPM America Floating Rate Income Fund underperformed

its benchmark by posting a return of 4.41% for Class A shares compared to 5.29% for the S&P/LSTA Leveraged Loan Index.

Within the index, lower quality riskier loans outperformed higher quality loans in 2013. For 2013, BB and B loans within the index returned 3.8% and 5.6%, respectively, while lower quality CCC and defaulted loans returned 10.4% and 11.3%, respectively. Despite being underweight CCC and defaulted loans, the Fund outperformed the index due to positive individual loan selection within BB and B loans and from the Fund’s allocation of high yield bonds which was approximately 5% at December 31, 2013 as high yield bonds outperformed bank loans in 2013.

Attribution analysis on an industry basis shows that the Fund’s underweight to radio & television and publishing hurt performance compared to the index. These industries contain

certain distressed loans which rallied during 2013. The Fund’s individual loan selections within a number of other industries were positive contributors and helped offset the negative variance from radio & television and publishing. The Fund continues to utilize an intensive credit selection process and highly diversified portfolio approach. At year end, the Fund maintained an overweight to BB and B loans and an underweight to lower quality CCC and defaulted loans.

Credit fundamentals and technical conditions within the bank loan market remain sound. Demand for loans was strong throughout 2013 and should remain so in 2014. Floating rate bank loans, given their low duration profile and the floating rate nature of the coupon, continue to be one of the few asset classes that provide investors with some price stability when interest rates move up.

 

JNL/PPM America High Yield Bond Fund

 

Portfolio Composition†:

Consumer Discretionary

     21.6   % 

Energy

     15.6   

Financials

     10.1   

Industrials

     9.2   

Materials

     7.6   

Telecommunication Services

     6.3   

Health Care

     5.7   

Information Technology

     3.6   

Consumer Staples

     2.4   

Utilities

     2.1   

Non-U.S. Government Agency ABS

     1.9   

Investment Companies

     0.5   

Short Term Investments

     13.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PPM America High Yield Bond Fund outperformed its benchmark by posting a return of 8.20% for

Class A shares compared to 7.41% for the BofA Merrill Lynch High Yield Master II Constrained Index.

The Fund outperformed its Peer Group (Lipper High Yield Universe) and benchmark index on both measures for the year. Specifically, the Fund outperformed the Peer Group net of fees returns by 116 basis points, placing it in the 24th percentile for the year. Versus the benchmark index , the Fund outperformed by 79 basis points on a net of fees basis (153 basis points,

 

LOGO

 

JNL PPM America Funds (continued)

PPM America, Inc. (Unaudited)

 

 

 

JNL/PPM America High Yield Bond Fund (continued)

 

gross). Security selection within media – cable, energy – exploration & production, and telecommunications – integrated/services was a large contributor relative to index performance.

We believe the macroeconomic environment should continue to create a constructive environment for high yield in 2014. Forecasters

expect U.S. growth to accelerate moderately from its current pace but not to the extent that would drive inflation and sharply higher interest rates. Low default expectations underpin favorable conditions for the asset class as issuers continued their efforts to refinance debt and lower interest costs again in 2013. Default forecasts

continue to drop and should remain well below long term averages for the next several years. We expect the asset class to deliver competitive, albeit moderate returns in 2014 despite rising interest rates, and believe security selection will continue to drive relative performance among high yield asset managers.

 

 

JNL/PPM America Mid Cap Value Fund

 

Portfolio Composition†:

Industrials

     22.0   % 

Financials

     18.1   

Consumer Discretionary

     13.3   

Information Technology

     10.0   

Energy

     9.8   

Materials

     9.7   

Health Care

     8.3   

Utilities

     3.7   

Consumer Staples

     2.4   

Short Term Investments

     2.7   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PPM America Mid Cap Value Fund outperformed its benchmarks by posting a return of 41.08% for Class A shares compared to 33.46% for the Russell Midcap Value Index and 34.76% for the Russell Midcap Index. The Fund’s outperformance relative to the Russell Mid Cap Value Index can be attributed to both sector allocation and security selection.

Positive sector influence on relative performance included an overweight position in industrials and an underweight position in utilities

and financials. Negative sector influences on relative performance included an overweight position in materials. The Fund’s sector weights remain the result of the Fund’s bottom-up security selection process.

Positive security selection influences on relative performance included names in consumer discretionary (Best Buy Co. Inc. (“Best Buy”) +244.2%); industrials (Spirit AeroSystems Holdings Inc. (“Spirit AeroSystems”) +100.8% and Esterline Technologies Corp. +60.3%); and financials (Lincoln National Corp. (“Lincoln National”) +102.2% and Hartford Financial Services Group Inc. (“Hartford Financial”) +64.1%). Negative security selection influences on Fund performance were found in energy (Diamond Offshore Drilling Inc. -11.9%) and information technology (Fairchild Semiconductor International Inc. (“Fairchild Semiconductor”) -7.3% and Teradyne Inc. (“Teradyne”) +4.3%).

Positions added to the Fund during the year included Ashland Inc., Foot Locker Inc. (“Foot Locker”) and FirstMerit Corp. (“FirstMerit”). Positions sold included Comstock Resources Inc. (“Comstock Resources”), Owens & Minor Inc. (“Owens & Minor”) and PPG Industries Inc.

Relative to the index during the year, the Fund’s overweight positions in consumer discretionary, materials and energy increased, while the Fund’s overweight positions in industrials and information technology decreased. The Fund’s underweight positions in utilities and financials increased relative to the index, while the underweight positions in consumer staples and telecommunication services decreased. The Fund’s overweight position to health care decreased during the year to a slight underweight position.

The Fund’s management team’s outlook for the equity market remains positive and some risks have diminished. The Fund’s management team believes the market has become more fairly valued and the Fund is inexpensive relative to the overall market. Within the Fund, the team continues to maintain overweight positions in industrials, consumer discretionary, materials, energy and information technology. The team believes that the Fund’s security positions within these areas are still attractively valued using the team’s normal 2 to 3 year investment time horizon.

 

 

JNL/PPM America Small Cap Value Fund

 

Portfolio Composition†:

Industrials

     23.8   % 

Consumer Discretionary

     14.5   

Financials

     12.3   

Information Technology

     10.6   

Energy

     8.6   

Health Care

     8.5   

Materials

     6.9   

Consumer Staples

     4.5   

Utilities

     1.8   

Short Term Investments

     8.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PPM America Small Cap Value Fund underperformed its benchmarks by posting a return of 37.35% for Class A shares compared to 39.98% for the S&P SmallCap 600 Value Index. The Fund’s underperformance relative to the index was driven primarily by negative security selection. Sector allocation relative to the index positively influenced Fund performance.

Positive sector influences on relative performance included an overweight position in industrials and underweight positions in utilities and financials. Negative sector influences on relative performance included an underweight position in telecommunication services. The Fund’s sector weights remain the result of the Fund’s bottom-up security selection process.

Positive security selection influences on relative performance included names in industrials (Spirit AeroSystems +100.8% and GenCorp Inc. +96.9%); health care (Greatbatch Inc. +90.4%); and financials (FirstMerit +50.6%). Negative security selection influence on Fund performance were found in consumer discretionary (JAKKS Pacific Inc. -45.6% and Superior Industries International Inc. +2.1%); information technology (Teradyne +4.3% and Fairchild Semiconductor -7.3%); and energy (W&T Offshore Inc. +4.9%).

Positions added to the Fund during the year included Foot Locker and FirstMerit. Positions sold included Comstock Resources and Owens & Minor.

Relative to the index during the year, the Fund’s overweight position in industrials, health care and materials decreased, while the overweight positions in energy, consumer discretionary and consumer staples increased. The underweight positions in financials and utilities decreased while the underweight positions in telecommunication services and information technology increased.

The Fund’s management team’s outlook for the equity market remains positive and some risks have diminished. The Fund’s management team believes the market has become more fairly valued and the Fund is inexpensive relative to the overall market. Within the Fund, the team continues to maintain overweight positions in industrials, energy, consumer discretionary, health care, consumer staples and materials. The team believes that the Fund’s security positions within these areas are still attractively valued using the team’s normal 2 to 3 year investment time horizon.

 

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JNL PPM America Funds (continued)

PPM America, Inc. (Unaudited)

 

 

 

JNL/PPM America Value Equity Fund

 

Portfolio Composition†:

Financials

     24.3   % 

Information Technology

     15.8   

Energy

     13.1   

Consumer Discretionary

     12.3   

Health Care

     10.8   

Industrials

     9.8   

Consumer Staples

     5.8   

Materials

     4.2   

Telecommunication Services

     2.0   

Utilities

     1.4   

Short Term Investments

     0.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/PPM America Value Equity Fund outperformed its benchmarks by posting a return of 40.23% for Class A shares compared to 32.00% for the S&P 500 Value Index. The Fund’s outperformance relative to the index was driven primarily by favorable security selection. Sector allocation relative to the

benchmark also positively influenced the Fund performance.

Positive sector influences on relative performance included an underweight position in utilities. Negative sector influences on relative performance included an underweight position in industrials. The Fund’s sector weights remain the result of the Fund’s bottom-up security selection process.

Positive security selection influences on relative performance included names in consumer discretionary (Best Buy +244.2%); financials (Hartford Financial +64.1% and Lincoln National +102.2%); and information technology (Hewlett-Packard Co. +101.1%). Stocks that detracted from performance were found in energy (Diamond Offshore Drilling -11.9% and Apache +10.5%).

Positions added to the Fund during the year included Ashland Inc. and General Motors Co. Positions sold included PPG Industries Inc. and Verizon Communications Inc.

Relative to the index during the year, the Fund’s overweight positions in information technology, consumer discretionary, financials and health care decreased, while the Fund’s overweight position in materials increased. The underweight position to industrials increased to a slight overweight at the end of the year. The underweight positions in the telecommunication services, energy, utilities and consumer staples decreased during the year.

The Fund’s management team’s outlook for the equity market remains positive and some risks have diminished. The Fund’s management team believes the market has become more fairly valued and the Fund is inexpensive relative to the overall market. Within the Fund, the team continues to maintain overweight positions in information technology, consumer discretionary, financials, materials, health care and industrials. The team believes that the Fund’s security positions within these areas are still attractively valued using the team’s normal 2 to 3 year investment time horizon.

 

 

JNL/PPM America Floating Rate Income Fund (Class A)

 

LOGO

 

Average Annual Total Returns
for Class A Shares		    

1 Year

     4.41%   

Since Inception

     4.27%   
(Inception date January 1, 2011)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

LOGO

 

JNL PPM America Funds (continued)

PPM America, Inc. (Unaudited)

 

 

 

JNL/PPM America High Yield Bond Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     8.20%   

5 Year

     17.47%   

10 Year

     6.42%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     8.52%   

5 Year

     17.71%   

Since Inception

     6.59%   
(Inception date March 5, 2004)   
 

 

JNL/PPM America Mid Cap Value Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     41.08%   

5 Year

     23.77%   

Since Inception

     9.16%   
(Inception date March 31, 2008)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     41.31%   

5 Year

     24.01%   

Since Inception

     9.36%   
(Inception date March 31, 2008)   
 

 

JNL/PPM America Small Cap Value Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     37.35%   

5 Year

     20.94%   

Since Inception

     8.91%   
(Inception date March 31, 2008)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     37.56%   

5 Year

     21.17%   

Since Inception

     9.12%   
(Inception date March 31, 2008)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

LOGO

 

JNL PPM America Funds (continued)

PPM America, Inc. (Unaudited)

 

 

 

JNL/PPM America Value Equity Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     40.23%   

5 Year

     21.14%   

10 Year

     5.40%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     40.50%   

5 Year

     21.34%   

Since Inception

     5.23%   
(Inception date March 5, 2004)   
PPM America, Inc. assumed portfolio management responsibility on January 16, 2007.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

LOGO

 

JNL Red Rocks Fund

Red Rocks Capital LLC (Unaudited)

 

 

 

Market Summary: During 2013, private equity continued generating meaningful returns in a favorable capital markets environment. Capital markets in the U.S. and around the globe have remained calm and these conditions have favored both the deal making environment and the ability of companies to realize profits through Initial Public Offerings (“IPOs”) or through strategic sales. The management teams of the companies that the Fund invests in have maintained a disciplined approach to investing and they have also maintained a conservative posture as it relates to debt levels.

Company valuations have been rising at a slow and steady pace. Financing has been available from debt funds and Business Development Companies (“BDCs”) and it appears that banks have begun to lend again. In

addition, cash balances on corporate balance sheets have been growing both here in the U.S. and globally. We expect that an acquisition mindset will take hold as many companies have squeezed out almost all inefficiencies to grow their revenue and their net margins. To date, many companies have been doing much more without raising head count or incurring capital expenditures and may now consider Mergers and Acquisitions (“M&A”). Finally, we suspect that a generational turnover of family held businesses may have finally begun; something that has been talked about for the last 15 years. If this has, in fact, started, it should be beneficial to mid market buyout firms.

 

 

JNL/Red Rocks Listed Private Equity Fund

 

Portfolio Composition†:

Financials

     80.0   % 

Diversified

     19.2   

Short Term Investments

     0.8   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/Red Rocks Listed Private Equity Fund outperformed its benchmark by posting a return of 41.66% for Class A shares compared to 37.19% for the S&P Listed Private Equity Index.

The Fund exited nine holdings and added seven companies during 2013. We continue to employ a low turnover approach which emphasizes the belief that long term investments in private equity require patience.

Additionally, we continue to maintain a broadly diversified portfolio representing diversification by sector, geography, stage of investment and vintage year while providing investors access to some of the most recognized global private equity firms. We continue to focus on equity holdings that can demonstrate operational improvement, alignment of shareholder interests with those of management and those companies that have an historical track record of conservative valuation policies and credible returns when asset sales occur.

Contributors to Fund performance included Blackstone Group LP, Aurelius AG and Apollo Global Management LLC. Low contributors and detractors from Fund performance included HgCapital Trust Plc, Capital Southwest Corp. and Leucadia National Corp.

We believe that the stage is set for continued growth as all of the necessary factors point to private equity having continued success. Low interest rates and the fear that they may rise could act as a catalyst for deal making. This, combined with large cash balances and the lack of organic growth, may spur M&A activity. Second, while we see no obvious crisis on the horizon, we expect that one or more crises will materialize eventually; but for now all appears calm. Third and last, there are signs of confidence in business and consumer spending in the U.S. and abroad. In the past, emerging markets have experienced significant recoveries on the heels of developed countries. If that comes to pass, we believe that the private equity sector will benefit as it has been quietly expanding its reach into the emerging world.

 

 

 

JNL/Red Rocks Listed Private Equity Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     41.66%   

5 Year

     21.82%   

Since Inception

     9.33%   
(Inception date October 6, 2008)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     41.79%   

5 Year

     22.06%   

Since Inception

     9.53%   
(Inception date October 6, 2008)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

LOGO

 

JNL S&P Funds

Standard & Poor’s Investment Advisory Services, LLC  (Unaudited)

 

 

 

 

Market Summary: Currently we see the S&P 500 Index trading at fair value. The S&P 500 Index ended 2013 around 15.3x forward earnings, versus 13x at the beginning of the year, using S&P Capital IQ™ consensus estimates.

In order to forecast where we are going for 2014, we should first review 2013. 2013 was a year of stocks pushed higher by a lack of bad news. Much of the news last year was “better than feared” versus good news; avoiding the fiscal cliff and debt ceiling, postponement of monetary tightening, consumer response to tax hikes, etc. 2013 was a year of overcoming hurdles.

Going into 2014 it seems expectations have been raised; investors may require good news rather than just no bad news. We expect the stock market will require strong economic numbers to see another year of double digit gains. The S&P 500 Index earnings per share (“EPS”) growth expectations are around 10% for the calendar year. This is no small feat even with favorable economics. Fortunately we see minimal economic headwinds as the year begins. Despite higher valuations we still feel there is broad range of potential opportunities in the market.

 

 

JNL/S&P Competitive Advantage Fund

 

Portfolio Composition†:

Consumer Discretionary

     37.5   % 

Information Technology

     23.5   

Industrials

     19.3   

Materials

     9.7   

Consumer Staples

     7.1   

Short Term Investments

     2.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/S&P Competitive Advantage Fund outperformed its benchmark by posting a return of 42.94% for Class A shares compared to 32.39% for the S&P 500 Index.

The Fund strategy had a significant overweight in consumer discretionary versus the S&P 500 Index for 2013. This overweight has been in

the Fund since 2009 and we continue it heading into 2014. The economic recovery since 2008 has been led by the U.S. consumer and hence this strategy has been following that trend. We are still keeping a close eye on U.S. consumer spending, as minimal wage growth and increased health care costs could eventually change spending behavior.

Health care and industrials detracted from the Fund’s overall performance for the year. Companies in consumer discretionary contributed to almost two thirds of the outperformance versus the S&P 500 Index for the year. Information technology and consumer staples contributed positively as well.

Security returns for Netflix Inc. (+292.0%), Seagate Technology (+89.8%), and Kroger Co. (+64.6%) were the three largest contributors to

relative performance, while CH Robinson Worldwide Inc. (-5.4%), Fastenal Co. (+3.6%) and Family Dollar Stores Inc. (+4.1%) were the three largest detractors to relative performance.

The Fund has displayed an average return on invested capital well above that of the S&P 500 Index. Historically, companies with high return on invested capital have shown a tendency to be more resilient to economic recessions and less sensitive to overall corporate earnings growth. Based on since inception performance, this strategy’s returns tend to have a higher correlation with growth than with value stocks.

The turnover in names from the December 2013 annual rebalance was in line with the historical average. There were no significant changes in sector exposures although a small weight in health care was removed and the materials weight was increased.

 

 

JNL/S&P Dividend Income and Growth Fund

 

Portfolio Composition†:

Consumer Staples

     10.3   % 

Industrials

     10.3   

Information Technology

     10.1   

Materials

     10.1   

Telecommunication Services

     9.8   

Consumer Discretionary

     9.8   

Energy

     9.6   

Utilities

     9.6   

Health Care

     9.5   

Financials

     9.4   

Short Term Investments

     1.5   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/S&P Dividend Income and Growth Fund underperformed its benchmark by posting a return of 30.78% for Class A shares compared to 32.39% for the S&P 500 Index.

There were several significant winning and losing sectors that ultimately came close to balancing out the overall relative performance to the benchmarks. There were four sectors that detracted from relative performance versus the S&P 500 Index: telecommunications, financials, utilities and consumer discretionary. On the positive side, information technology, industrials and materials were the three sectors with significant positive contribution to relative performance.

Hewlett-Packard Co.’s return of 96.6% was by far the largest contributor to outperformance. Security returns for CME Group Inc. (+63.0%) and Raytheon Co. (+58.1%) followed as positive contributors to relative performance, while HCP Inc. (-15.8%) and Kimco Realty Corp. (+6.5%), both REITS, were the largest detractors from relative performance. Though both offer exceptional dividend yields, the REIT industry was particularly hard hit in 2013 once the tapering

question was resolved. McDonald’s Corp.’s return of +13.6% was also a significant negative detractor to relative performance.

The Fund is made of companies with higher than average S&P Credit Ratings and S&P Quality Rankings. The Fund tends to hold large companies with a long history of steady earnings and dividend growth. In addition, this strategy tends to generate a portfolio with an average dividend yield well above that of the S&P 500 Index. The Fund strategy continued its more defensive positioning versus the S&P 500 Index. It maintained its attractive Sharpe ratio versus the S&P 500 Index.

No significant changes in sector allocations occurred from the December 2013 annual rebalance due to the equal weighting sector structure of the strategy.

 

LOGO

 

JNL S&P Funds (continued)

Standard & Poor’s Investment Advisory Services, LLC  (Unaudited)

 

 

 

JNL/S&P Intrinsic Value Fund

 

Portfolio Composition†:

Information Technology

     29.6   % 

Consumer Discretionary

     19.6   

Industrials

     19.5   

Health Care

     15.6   

Telecommunication Services

     6.4   

Consumer Staples

     3.3   

Utilities

     3.1   

Short Term Investments

     2.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/S&P Intrinsic Value Fund outperformed its benchmark by posting a return of 49.95% for Class A shares compared to 32.39% for the S&P 500 Index.

2013 was an exceptional year for the Fund strategy as it significantly outpaced the benchmark. It was no surprise that the December 2013

annual rebalance produced a higher turnover than the strategy’s historical average. Many of the prior year’s companies had price appreciations to such high levels that they no longer met the free cash flow yield criteria and were replaced with new names.

Energy and financials were the only sectors that detracted from the Fund’s overall outperformance. The strategy has no allocation to financials and hence non allocation detracted slightly from outperformance. The remaining eight sectors all positively contributed to relative performance with the largest gains from information technology, industrials, health care and consumer staples in order of contribution.

Security returns for Safeway Inc. (“Safeway”) (+97.5%) and Hewlett-Packard Co. (“Hewlett-Packard”) (+101.1%) were almost tied for the largest positive contributor to relative performance, while Peabody Energy Corp. (-29.5%) was

the only stock that was a significant negative detractor to relative performance.

The Fund is made of companies with higher than average free cash flow yield. These companies tend to generate strong cash flow in excess of capital requirements and therefore are more likely to be able to finance growth, provide dividends, withstand earnings contractions and repurchase shares.

Despite the high stock turnover at the December 2013 annual rebalance, the rebalance produced similar sector allocations as the prior year. The only notable changes were energy exposure was removed and positions in the telecommunications and utilities were added.

 

 

JNL/S&P Total Yield Fund

 

Portfolio Composition†:

Financials

     19.5   % 

Consumer Discretionary

     18.6   

Industrials

     16.3   

Information Technology

     16.3   

Consumer Staples

     12.5   

Health Care

     5.5   

Telecommunication Services

     3.2   

Energy

     3.2   

Short Term Investments

     4.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/S&P Total Yield Fund outperformed its benchmark by posting a return of 51.68% for Class A shares compared to 32.39% for the S&P 500 Index.

2013 was an exceptional year for the Fund strategy, yielding the highest performance of the JNL S&P Funds. The December 2013 annual rebalance produced a much higher turnover than

the strategy’s historical average. Many of the prior year’s companies had price appreciations to such high levels that they no longer met the total yield requirements and were replaced with new names.

Companies in information technology, industrials, financials, consumer discretionary and consumer staples all had significant contributions to the overall Fund’s outperformance versus the S&P 500 Index. Healthcare and telecommunication services were the only sectors with significant detraction from the overall out performance versus the S&P 500 Index.

Security returns for Pitney Bowes Inc. (+122.7%), Hewlett-Packard (+101.1%) and Safeway (+85.1%) were the largest contributors to relative performance, while Quest Diagnostics Inc. (-12.8%), CenturyLink Inc. (-13.2%) and Laboratory Corp. of America Holdings (-8.6%) were the largest detractors from relative performance.

The Fund is made of companies with higher than average “total yield”. Total yield is calculated as the sum of the cash dividend, net cash used for stock repurchases and net cash used to retire debt divided by the company’s market capitalization. As such, total yield is a broad measure of cash flow returned to shareholders and bondholders in the form of dividends, share buybacks or elimination of debt. This strategy seeks companies that are significantly reducing their debt and/or increasing their equity distributions. This strategy has displayed higher volatility than the benchmark since inception.

Despite the high stock turnover at the December 2013 annual rebalance, no major sector exposure changes occurred. Only small exposures to health care, materials and consumer staples were added with slight decreases in information technology, industrials and financials.

 

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JNL S&P Funds (continued)

Standard & Poor’s Investment Advisory Services, LLC  (Unaudited)

 

 

 

JNL/S&P Competitive Advantage Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     42.94%   

5 Year

     24.51%   

Since Inception

     12.96%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		        

1 Year

     43.23%   

5 Year

     24.79%   

Since Inception

     13.13%   
(Inception date December 3, 2007)   
 

 

JNL/S&P Dividend Income and Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     30.78%   

5 Year

     19.35%   

Since Inception

     9.68%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		        

1 Year

     31.14%   

5 Year

     19.63%   

Since Inception

     9.92%   
(Inception date December 3, 2007)   
 

 

JNL/S&P Intrinsic Value Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     49.95%   

5 Year

     26.77%   

Since Inception

     12.84%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		        

1 Year

     50.26%   

5 Year

     27.13%   

Since Inception

     13.16%   
(Inception date December 3, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL S&P Funds (continued)

Standard & Poor’s Investment Advisory Services, LLC  (Unaudited)

 

 

 

JNL/S&P Total Yield Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     51.68%   

5 Year

     22.42%   

Since Inception

     9.97%   
(Inception date December 3, 2007)   
Average Annual Total Returns
for Class B Shares		        

1 Year

     52.00%   

5 Year

     22.65%   

Since Inception

     10.18%   
(Inception date December 3, 2007)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL T. Rowe Price Funds

T. Rowe Price Associates, Inc. (Unaudited)

 

 

 

Market Summary: U.S. stocks produced excellent returns in 2013, as corporate fundamentals moderated from a strong level but investors remained optimistic about the economy despite uncertainty about fiscal and monetary policies. As the year began, federal tax increases and automatic spending cuts threatened to derail the economic recovery, but their impact was mitigated by jobs growth and $85 billion in monthly asset purchases by the U.S.Federal Reserve (“Fed”) to suppress long term interest rates. As the federal government’s new fiscal year started on October 1, many agencies were forced to temporarily furlough employees because Congress failed to pass a budget or a continuing resolution to fund the government. Stocks climbed after the government shutdown and debt ceiling showdown ended with a temporary solution that put fiscal policy concerns on hold. As the year ended, investors welcomed the Fed’s mid December announcement that it would reduce its asset purchases by $10 billion in January because the central bank also pledged to keep short term interest rates low if unemployment falls below 6.5%, as long as inflation remains contained. As measured by various Russell indexes, growth stocks outperformed value stocks across

all market capitalizations and small cap stocks outperformed mid and large caps.

U.S. bonds posted mostly negative returns over the last year. Intermediate and long term Treasury yields climbed due to the strengthening economy and expectations that the Fed will begin curtailing its stimulus measures. Throughout the year, the Fed purchased $45 billion in Treasuries and $40 billion in agency mortgage-backed securities (“MBS”) every month to suppress long term interest rates. Starting in January 2014, the Fed will make monthly purchases of $40 billion in Treasuries and $35 billion in agency MBS. High yield bonds significantly outperformed higher quality issues, as the asset class benefited from its lower sensitivity to interest rate changes and strong demand for securities offering a yield advantage. Intermediate and long term Treasuries declined sharply as interest rates rose. Municipal bonds underperformed as well, as rising rates and credit concerns led to strong outflows from the market. Corporate bonds and agency MBS declined but also held up better than Treasuries. Asset-backed securities were mostly flat.

 

 

JNL/T. Rowe Price Established Growth Fund

 

Portfolio Composition†:

Consumer Discretionary

     26.9   % 

Information Technology

     26.0   

Industrials

     12.1   

Health Care

     11.4   

Financials

     5.4   

Energy

     4.6   

Consumer Staples

     4.0   

Materials

     3.4   

Telecommunication Services

     3.1   

Short Term Investments

     3.1   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/T. Rowe Price Established Growth Fund outperformed its benchmarks by posting a return of 38.67% for Class A shares compared to 33.48% for the Russell 1000 Growth Index and 32.39% for the S&P 500 Index.

Stock selection drove relative outperformance, while sector allocation helped to moderately boost returns. Consumer discretionary contributed the most to relative gains,

driven primarily by strong stock selection (Priceline.com Inc., Amazon.com Inc. (“Amazon”) and Netflix Inc. (“Netflix”)). Overweighting the sector was also favorable. Effective stock selection in information technology contributed to relative performance (Google Inc. (“Google”), MasterCard Inc. and LinkedIn Corp.). Within health care, biotechnology positions drove relative sector strength (Gilead Sciences Inc. (“Gilead Sciences”)). Conversely, telecommunication services detracted from relative performance due to the Fund’s wireless tower position in this space, which has suffered due to its exposure to rising interest rates (Crown Castle International Corp.).

The five largest purchases during the year were: Apple Inc. (“Apple”), Google, Gilead Sciences, Netflix and Amazon. The five largest sales during the year were: Apple, Accenture Plc (“Accenture”), QUALCOMM Inc., eBay Inc. and Tesla Motors Inc. (“Tesla”). Netflix and Tesla were new to the Fund while Accenture was eliminated during the year.

At the sector level, the largest increase in weighting during the year was in consumer

discretionary. The most significant decrease was in the Fund’s weighting in information technology. The Fund’s sector weightings are residual of our bottom-up stock selection process and typically reflect where the portfolio manager is finding compelling growth opportunities at the individual company level rather than through a broader thematic approach.

We remain reasonably constructive on U.S. equities and expect the U.S. economy to continue its upward momentum. Company fundamentals are strong as corporations are flush with cash, providing cushion for any potential shocks, and enterprises seem to be gaining confidence with investing capital to grow their businesses. The slow pace of the U.S. recovery suggests a longer timeline for improvement. Therefore, we continue to seek high quality names propelled by strong secular, rather than cyclical, growth drivers that can emerge in more prominent positions as growth improves. As always, we search for companies demonstrating above average earnings growth with solid management teams and strong financial positions that are reinvesting capital wisely.

 

 

JNL/T. Rowe Price Mid-Cap Growth Fund

 

Portfolio Composition†:

Industrials

     20.6   % 

Information Technology

     18.2   

Health Care

     16.6   

Consumer Discretionary

     16.1   

Financials

     7.2   

Energy

     5.5   

Materials

     3.6   

Consumer Staples

     3.2   

Utilities

     0.6   

Short Term Investments

     8.4   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/T. Rowe Price Mid-Cap Growth Fund outperformed its

benchmark by posting a return of 36.50% for Class A shares compared to 35.74% for the Russell Midcap Growth Index.

The leading contributor to relative performance was financials due to stock selection (TD Ameritrade Holdings Corp. (“TD Ameritrade”) and CBOE Holdings Inc.). Information technology also aided relative results due to stock selection (Cree Inc. and Gartner Inc.). In health care, stock selection helped most while an overweight to the sector also aided relative results. Stock selection in materials was a notable detractor for the year (Agnico-Eagle Mines Ltd. and Franco-Nevada Corp.) however, the Fund’s underweight to the sector helped to somewhat mitigate negative relative results.

The five largest purchases during the year were: Fidelity National Financial Inc., VeriSign Inc. (“VeriSign”), DigitalGlobe Inc., Sensata Technologies Holdings NV and Norwegian Cruise Line Holdings Ltd. The five largest sales during the year were: Amdocs Ltd., Catamaran Corp. (“Catamaran”), Gardner Denver Inc., CR Bard Inc. and Southwestern Energy Co. All the securities purchased were new to the Fund while all the holdings sold, with the exception of Catamaran, were eliminated during the year.

At the sector level, the largest increase in weighting during the year was in consumer discretionary. The most significant decrease was in the Fund’s exposure to technology and health care. The Fund’s sector weightings are residual

 

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JNL T. Rowe Price Funds (continued)

T. Rowe Price Associates, Inc. (Unaudited)

 

 

 

JNL/T. Rowe Price Mid-Cap Growth Fund (continued)

 

of our bottom-up stock selection process and typically reflect where the portfolio manager is finding compelling growth opportunities at the individual company level rather than through a broader thematic approach.

The market’s strong advance continued in the fourth quarter, extending a bull market that has already grown somewhat long in the tooth. In recent months, we have become somewhat more defensive in the Funds, and we have harvested

gains in segments where valuations have become especially extended. Our focus on valuation distinguishes us from many mid cap growth investors, who have fueled what has increasingly become a momentum driven market.

 

 

 

JNL/T. Rowe Price Short-Term Bond Fund

 

Portfolio Composition†:

Financials

     21.3   % 

Non-U.S. Government Agency ABS

     19.6   

U.S. Government Agency MBS

     14.1   

Energy

     9.6   

Government Securities

     9.3   

Consumer Discretionary

     4.5   

Utilities

     3.4   

Health Care

     3.3   

Consumer Staples

     2.8   

Industrials

     2.7   

Telecommunication Services

     2.6   

Information Technology

     1.1   

Materials

     0.8   

Short Term Investments

     4.9   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/T. Rowe Price Short-Term Bond Fund underperformed its benchmark by posting a return of 0.10% for Class A shares compared to 0.64% for the Barclays Capital 1-3 Year Government/Credit Index.

The primary driver of relative performance was sector allocation. Specifically, an overweight allocation to short dated, investment grade corporate debt and a corresponding underweight allocation to U.S. Treasuries benefited relative returns.

Additionally, the Fund’s out of benchmark allocation to MBS also helped drive results. Overall, MBS generated positive excess returns during the year. The Fund’s holdings, in particular, benefited further on account of the structures that it holds. The Fund’s positioning in higher coupon/short duration mortgage securities fared well and outperformed the lower end of the coupon stack, which were negatively affected by Fed large scale asset purchase activities and tapering discussions.

Positioning on the yield curve was a meaningful detractor. Beginning in May, intermediate and long term Treasury rates began to increase and generally continued to do so throughout the period amid better U.S. economic data and speculation about and the eventual announcement of Fed tapering. As such, the Fund’s exposure to longer out of benchmark maturities,

via corporates and MBS, weighed on performance. However, the yield advantage from these allocations aided the Fund due to their positive carry profile.

In the most recent quarter, we took steps to increase the Fund’s duration posture given the significant rise in rates over the previous months. As yields rose in the three year part of the curve, we moved some of the Fund’s shorter Treasury and agency positions into three year bonds to extend duration. We will continue to monitor and adjust duration depending on the movement in rates, but our bias is to remain short relative to the benchmark given our expectation for a continued, but more modest, rise in yields.

Over the year, we increased the Fund’s exposure to investment grade corporates. High grade corporate, BBB rated in particular, should benefit from supportive credit fundamentals amid modest, but stable, economic growth.

The Fund’s MBS exposure decreased over the year as we allowed bonds to roll out of the Fund via passive paydowns. Current valuations in the MBS space are not optimal, and we are waiting for a better entry point to redeploy assets.

 

 

JNL/T. Rowe Price Value Fund

 

Portfolio Composition†:

Financials

     22.8   % 

Health Care

     18.4   

Industrials

     10.6   

Energy

     9.6   

Information Technology

     7.6   

Consumer Staples

     7.3   

Utilities

     7.2   

Consumer Discretionary

     6.9   

Materials

     5.4   

Telecommunication Services

     1.0   

Short Term Investments

     3.2   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/T. Rowe Price Value Fund outperformed its benchmark by posting a return of 37.14% for Class A shares compared to 32.53% for the Russell 1000 Value Index.

The leading contributor to relative returns was stock selection in financials (MetLife Inc., TD Ameritrade and Morgan Stanley). Stock selection and an underweight to energy also supported

relative outperformance (Valero Energy Corp., Pioneer Natural Resources Co. and Phillips 66). Stock selection in industrials also added relative value (Boeing Co.). The leading detractor from relative performance was stock selection in consumer discretionary (Carnival Corp.).

The five largest purchases during the year were: General Electric Co. (“GE”), CitiGroup Inc. (“Citi”), Weyerhaeuser Co., US Airways Group Inc. (“US Airways”) and JPMorgan Chase & Co. (“JP Morgan”). The five largest sales during the year were: AT&T Inc., JPMorgan, Bank of America Corp., Cisco Systems Inc. and GE. Citi was new to the Fund while US Airways was eliminated during the year when it merged with American Airlines.

At the sector level, the largest increase in weighting during the year was in consumer staples. The most significant decrease was in telecommunication services and consumer discretionary stocks. The Fund’s sector weightings are residual of our bottom-up stock selection process and typically reflect where the portfolio manager is finding compelling valuation opportunities at the individual company level rather than through a broader thematic approach.

After a year of nearly uninterrupted strength in the U.S. equity market, we are tempering our expectations for continued gains and remain cautiously optimistic. Although balance sheets are healthy, sales growth has been tepid and profit margins appear to be peaking. Since its most recent bottom in October 2011, equity returns have been driven much more by multiple expansion than earnings growth, creating an environment where positive sentiment is outpacing the improvement in fundamentals. We would therefore not be surprised to encounter a cyclical pullback in the near term. Despite our cautious stance in the current environment, we generally remain constructive on the equity market over the long term due to strong corporate fundamentals and supportive economic data. Given current valuations, we are finding opportunities more in specific companies, rather than in larger themes. We remain disciplined in our valuation based approach and will not chase equities higher, so we are taking this opportunity to trim the Fund’s holdings to our best ideas and raise cash where appropriate to utilize should valuations become more attractive.

 

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JNL T. Rowe Price Funds (continued)

T. Rowe Price Associates, Inc. (Unaudited)

 

 

 

JNL/T. Rowe Price Established Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     38.67%   

5 Year

     22.23%   

10 Year

     8.57%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     38.97%   

5 Year

     22.48%   

Since Inception

     8.51%   
(Inception date March 5, 2004)   
 

 

JNL/T. Rowe Price Mid-Cap Growth Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     36.50%   

5 Year

     23.48%   

10 Year

     11.12%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     36.72%   

5 Year

     23.72%   

Since Inception

     10.97%   
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

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JNL T. Rowe Price Funds (continued)

T. Rowe Price Associates, Inc. (Unaudited)

 

 

 

JNL/T. Rowe Price Short-Term Bond Fund (Class A)

 

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Average Annual Total Returns
for Class A Shares		    

1 Year

     0.10%   

5 Year

     2.87%   

Since Inception

     2.07%   
(Inception date May 1, 2006)   
Average Annual Total Returns
for Class B Shares		    

1 Year

     0.28%   

5 Year

     3.06%   

Since Inception

     2.29%   
(Inception date May 1, 2006)   
T. Rowe Price Associates, Inc. assumed portfolio management responsibility on September 28, 2009.     
 

 

JNL/T. Rowe Price Value Fund (Class A)

 

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Average Annual Total Returns*
for Class A Shares		    

1 Year

     37.14%   

5 Year

     20.55%   

10 Year

     8.41%   
Average Annual Total Returns*
for Class B Shares		    

1 Year

     37.42%   

5 Year

     20.81%   

Since Inception

     8.26%   
(Inception date March 5, 2004)   
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but not do not reflect the deduction of insurance charges.

*The Fund’s investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.

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JNL WMC Funds

Wellington Management Company, LLP (Unaudited)

 

 

 

Market Summary: The rally in U.S. equities began on the first trading day of the year after a last minute compromise by the U.S. Congress averted the fiscal cliff. Optimism surrounding the fiscal reprieve was furthered during the first quarter by better than expected corporate earnings, a robust housing market and a steadily improving employment picture. Solid gains in April and the first part of May paused following comments by U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke that suggested the Fed might begin to slow quantitative easing (“QE”) sooner than investors anticipated. Nonetheless, equities resumed their ascent in the third quarter as the surprising no taper decision by the Federal Open Market Committee eased near term concerns about rapidly rising interest rates derailing the recovery. Additionally, accommodative rhetoric from the European Central Bank, along with encouraging data in China and further evidence of a European economic recovery, contributed to a broad based global equity rally that extended through the end of the year. The year ended with an optimistic tone as investors cheered the elimination of two market overhangs: the timing of Fed tapering and the threat of another U.S. government shutdown in January.

Global central banks’ unconventional policy measures continued to be one of the biggest influences on the market during the year. Central bank easing and signs of gradual global economic recovery imparted a positive tone to financial markets early in the year. However, concerns about a possible pull back in Fed stimulus were felt in the second quarter, triggered by Chairman Bernanke’s unexpectedly hawkish tone. Fed officials signaled a readiness to begin tapering the central bank’s asset purchases under QE by September, and to end purchases by mid 2014 if the economy strengthened sufficiently. The Fed’s earlier than expected plan to taper asset purchases sent yields sharply higher and credit spreads gapped out in sympathy. For full year 2013, bond yields in most developed and emerging markets rose due to better growth prospects and anticipation of reduced Fed monetary stimulus, respectively. Signs of economic momentum and speculation over Fed tapering weighed on U.S. Treasury prices during the year; for full year 2013, 5-year, 10-year, and 30-year Treasury yields rose 1.02%, 1.27%, and 1.02%, respectively. Globally, most spread sectors posted negative absolute returns for the year but outpaced duration equivalent government bonds.

 

 

JNL/WMC Balanced Fund

Portfolio Composition†:

 

Financials

     16.7   % 

Government Securities

     12.7   

Health Care

     10.3   

Information Technology

     9.4   

U.S. Government Agency MBS

     8.9   

Industrials

     8.2   

Consumer Discretionary

     7.2   

Energy

     7.0   

Consumer Staples

     5.0   

Telecommunication Services

     2.2   

Utilities

     2.1   

Materials

     1.4   

Non-U.S. Government Agency ABS

     0.9   

Short Term Investments

     8.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/WMC Balanced Fund performed in line with its blended benchmark by posting a return of 19.33% for Class A shares compared to the blended return of 19.33% for the 65% S&P 500 Index and 35% Barclays Capital U.S. Aggregate Bond Index. The Fund underperformed the S&P 500 Index, which returned 32.39%, and outperformed the Barclays Capital U.S. Aggregate Bond Index, which returned -2.02%.

The equity portfolio outperformed the S&P 500 Index during the year. Allocation among

sectors, a fallout of the bottom-up stock selection process, contributed positively to relative performance. Stock selection in financials and industrials were the largest contributors to relative performance. An overweight to health care and an underweight to the lagging information technology sector also aided results. Weak security selection within health care, energy and materials detracted most from relative returns.

The top detractors from relative results within the equity portfolio included Barrick Gold Corp. (“Barrick Gold”) (materials), Rayonier Inc. (financials), as well as not owning strong performing Google Inc. (information technology). Top contributors to relative performance within the equity portfolio included Prudential Financial Inc. (financials), Ameriprise Financial Inc. (“Ameriprise”) (financials) and the portfolio’s underweight position in Apple Inc. (“Apple”). During the year, the Fund eliminated its position in Barrick Gold.

The largest purchases within the equity portfolio during the year were in Verizon Communication Inc. (telecommunication services) and EMC Corp. (“EMC”) (information technology). The largest sells during the year were the elimination of AT&T Inc. (“AT&T”) (telecommunication services) and PepsiCo Inc. (“Pepsi”) (consumer staples).

During the year, we increased the Fund’s overweight exposure to financials and industrials. We also increased the Fund’s exposure to

information technology, but continue to remain underweight to this sector. The Fund’s underweights in consumer staples, consumer discretionary and materials increased during the year.

The fixed income portfolio detracted from absolute returns, but outperformed the Barclays Capital U.S. Aggregate Bond Index during the year. The portfolio benefited, on a relative basis, from duration positioning and positioning within investment grade credit. An overweight to industrials and financials within investment grade credit aided relative performance. Issuer selection was also additive within industrials. An overweight to taxable municipal bonds also benefited relative results during the year. Partially offsetting positive results was an underweight to utilities in investment grade credit as well as yield curve effects.

There were no significant changes to the fixed income portfolio’s credit quality during the year, however the average credit quality of the portfolio moved from Aa1 to Aa2. The portfolio is currently positioned with a short duration bias, an overweight to investment grade credit and a neutral view on mortgage-backed securities (“MBS”). During the year, we increased the Fund’s exposure to credit and MBS, and reduced our holdings in U.S. government securities.

At the end of the year, the Fund was slightly overweight equities and underweight fixed income.

 

 

JNL/WMC Value Fund

 

Portfolio Composition†:

Financials

     26.2   % 

Consumer Discretionary

     12.2   

Health Care

     11.8   

Information Technology

     11.7   

Energy

     11.6   

Industrials

     10.1   

Consumer Staples

     5.1   

Materials

     4.0   

Utilities

     2.6   

Telecommunication Services

     1.7   

Short Term Investments

     3.0   
 

 

 

  

Total Investments

       100.0   % 
 

 

 

  

†Total Investments at December 31, 2013

Portfolio Manager Commentary: For the year ended December 31, 2013, JNL/WMC Value Fund underperformed its benchmark by posting a return of 31.05% for Class A shares compared to 32.53% for the Russell 1000 Value Index.

Stock selection within information technology and health care detracted most from the Fund’s relative performance. Positive stock selection within financials partially offset negative relative results. Sector allocation, a residual of the bottom-up stock selection process, contributed to relative performance, due largely to an underweight allocation in utilities and an overweight position in information technology. An overweight allocation in materials and a fractional cash posi-

 

LOGO

 

JNL WMC Funds (continued)

Wellington Management Company, LLP (Unaudited)

 

 

 

JNL/WMC Value Fund (continued)

 

tion in an upward trending market somewhat offset positive results.

The top detractors from Fund performance included not owning the strong performing stock of Apple (information technology) and our positions in Mosaic Co. (materials) and Baxter International Inc. (health care). Top contributors to Fund performance included positions in Spirit Aerosystems Holdings Inc. (industrials) and Ameriprise (financials), as well as an underweight

position in Exxon Mobil Corp. (energy).The largest purchases during the year included new positions in Verizon (telecommunication services), EMC (information technology) and Symantec Corp. (information technology). The largest sales during the year included the elimination of AT&T (telecommunication services), Stanley Black & Decker Inc. (industrials) and Pepsi (consumer staples).

During the year, the Fund’s overweight exposures increased in consumer discretionary and information technology. The Fund’s overweight exposure in materials declined, and its overweight positions in industrials and health care shifted to underweight exposures. The Fund continued to be underweight utilities, energy, financials and telecommunication services throughout the year.

 

 

 

JNL/WMC Balanced Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     19.33%   

5 Year

     12.49%   

10 Year

     7.36%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     19.62%   

5 Year

     12.72%   

Since Inception

     7.27%   
(Inception date March 5, 2004)   
Wellington Management Company, LLP assumed portfolio management responsibility on October 4, 2004.     
 

 

JNL/WMC Value Fund (Class A)

 

LOGO

Average Annual Total Returns
for Class A Shares		    

1 Year

     31.05%   

5 Year

     16.05%   

10 Year

     8.55%   
Average Annual Total Returns
for Class B Shares		    

1 Year

     31.27%   

5 Year

     16.27%   

Since Inception

     8.36%   
(Inception date March 5, 2004)   
Wellington Management Company, LLP assumed portfolio management responsibility on October 4, 2004.     
 

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/AQR Managed Futures Strategy Fund (b)

  

SHORT TERM INVESTMENTS - 94.0%

  

Investment Companies - 58.6%

  

JNL Money Market Fund, 0.01% (a) (h)

     132,277      $     132,277   

JPMorgan U.S. Treasury Plus Money Market Fund, 0.00% (h)

     150,766        150,766   
   

 

 

  
    283,043   

Treasury Securities - 35.4%

  

U.S. Treasury Bill

    

0.07%, 04/10/14

   $     139,450        139,432   

0.10%, 05/29/14

     15,800        15,796   

0.09%, 06/05/14

     15,800        15,796   
   

 

 

  
    171,024   
   

 

 

  

Total Short Term Investments (cost $454,046)

  

     454,067   
   

 

 

  

Total Investments - 94.0% (cost $454,046)

  

     454,067   

Other Assets and Liabilities, Net - 6.0%

  

     28,746   
   

 

 

  

Total Net Assets - 100.0%

  

   $ 482,813   
   

 

 

  

JNL/BlackRock Commodity Securities Strategy Fund (b) (z) *

   

COMMON STOCKS - 76.1%

  

ENERGY - 71.1%

  

Anadarko Petroleum Corp.

     331      $ 26,262   

Apache Corp.

     281        24,108   

Baker Hughes Inc.

     263        14,537   

Cabot Oil & Gas Corp. - Class A

     920        35,665   

Cameron International Corp. (c)

     453        26,957   

Canadian Natural Resources Ltd.

     501        16,965   

Carrizo Oil & Gas Inc. (c)

     152        6,820   

Cenovus Energy Inc.

     318        9,112   

Chevron Corp.

     363        45,281   

Cimarex Energy Co.

     114        11,984   

Coastal Energy Co. (c) (e)

     462        8,205   

ConocoPhillips

     145        10,259   

Devon Energy Corp.

     470        29,049   

Dresser-Rand Group Inc. (c)

     478        28,531   

Dril-Quip Inc. (c)

     192        21,097   

Ensco Plc - Class A

     365        20,883   

EOG Resources Inc.

     404        67,874   

EQT Corp.

     237        21,286   

Exxon Mobil Corp.

     478        48,337   

FMC Technologies Inc. (c)

     624        32,594   

Halliburton Co.

     461        23,398   

Helmerich & Payne Inc.

     257        21,618   

Hess Corp.

     201        16,643   

Marathon Oil Corp.

     377        13,300   

Marathon Petroleum Corp.

     183        16,828   

Murphy Oil Corp.

     349        22,671   

National Oilwell Varco Inc.

     548        43,569   

Noble Corp plc

     362        13,581   

Noble Energy Inc.

     428        29,163   

Occidental Petroleum Corp.

     362        34,379   

Phillips 66

     118        9,079   

Pioneer Natural Resources Co.

     153        28,074   

Range Resources Corp.

     380        32,062   

Schlumberger Ltd.

     367        33,071   

Southwestern Energy Co. (c)

     198        7,776   

Suncor Energy Inc.

     874        30,654   

Talisman Energy Inc.

     911        10,594   
     Shares/Par (p)     Value  

Technip SA - ADR

     547        13,209   

Total SA - ADR

     235        14,392   

Valero Energy Corp.

     198        9,984   

Whiting Petroleum Corp. (c)

     255        15,770   

Other Securities

  

     88,968   
   

 

 

  
    1,034,589   

MATERIALS - 5.0%

    

E.I. du Pont de Nemours & Co.

     114        7,424   

First Quantum Minerals Ltd.

     624        11,244   

Goldcorp Inc.

     348        7,555   

Southern Copper Corp.

     358        10,269   

Other Securities

       36,847   
   

 

 

  
    73,339   
   

 

 

  

Total Common Stocks (cost $929,000)

  

     1,107,928   
   

 

 

  

COMMODITY INDEXED STRUCTURED
NOTES - 7.3%

   

Bank of America Corp., Dow Jones-UBS Commodity Index 3 Month Forward Total Return commodity linked note, 0.18%, 06/27/14 (i)

   $ 15,500        13,131   

Deutsche Bank AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.24%, 12/30/14 (i)

     7,500        7,857   

JPMorgan Chase, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.25%, 09/15/14 (i)

     7,000        7,232   

JPMorgan Chase, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.24%, 01/06/15 (i)

     10,500        10,986   

JPMorgan Chase, Dow Jones-UBS Commodity Index Forward Total Return commodity linked note, 0.25%, 08/04/14 (i)

     4,000        4,129   

JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.25%, 07/14/14 (i)

     11,500        9,847   

JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.24%, 09/03/14 (i)

     6,000        5,886   

JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.25%, 09/15/14 (i)

     10,500        11,030   

UBS AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.24%, 02/14/14 (i)

     15,000        10,602   

UBS AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.18%, 07/10/14 (i)

     20,500        18,551   

UBS AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.25%, 12/29/14 (i)

     6,000        6,226   
   

 

 

  

Total Commodity Indexed Structured Notes (cost $108,155)

  

     105,477   
   

 

 

  

SHORT TERM INVESTMENTS - 17.5%

  

Investment Companies - 1.1%

  

JNL Money Market Fund, 0.01% (a) (h)

     15,653        15,653   

Securities Lending Collateral - 0.9%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     12,719        12,719   

Treasury Securities - 15.5%

  

U.S. Treasury Bill

  

0.09%, 02/06/14

   $     201,600        201,596   

0.10%, 05/22/14

     10,400        10,397   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

0.08%, 06/12/14

     14,000        13,997   
   

 

 

  
    225,990   
   

 

 

  

Total Short Term Investments (cost $254,361)

  

     254,362   
   

 

 

  

Total Investments - 100.9% (cost $1,291,516)

  

     1,467,767   

Other Assets and Liabilities, Net - (0.9%)

  

     (12,816 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,454,951   
   

 

 

  

JNL/BlackRock Global Allocation Fund (b) (z) *

  

COMMON STOCKS - 64.4%

  

CONSUMER DISCRETIONARY - 6.5%

  

Fuji Heavy Industries Ltd.

     488      $ 14,019   

General Motors Co. (c)

     243        9,944   

Other Securities

  

     153,532   
   

 

 

  
    177,495   

CONSUMER STAPLES - 4.1%

  

Coca-Cola Co.

     326        13,461   

Nestle SA

     193        14,178   

Procter & Gamble Co.

     189        15,407   

Other Securities

  

     69,500   
   

 

 

  
    112,546   

ENERGY - 5.7%

  

Marathon Oil Corp.

     330        11,659   

Marathon Petroleum Corp.

     154        14,149   

Royal Dutch Shell Plc - Class A

     41        1,458   

Royal Dutch Shell Plc - ADR

     128        9,104   

Other Securities

  

     120,683   
   

 

 

  
    157,053   

FINANCIALS - 11.6%

  

Bank of America Corp.

     713        11,105   

BNP Paribas

     149        11,649   

CapitaLand Ltd.

     1,220        2,940   

Citigroup Inc.

     264        13,759   

HSBC Holdings Plc

     973        10,682   

JPMorgan Chase & Co.

     310        18,145   

Lloyds Banking Group Plc (c)

     4,409        5,785   

Wells Fargo & Co.

     366        16,598   

Other Securities

  

     229,122   
   

 

 

  
    319,785   

HEALTH CARE - 9.2%

  

AbbVie Inc.

     212        11,172   

Gilead Sciences Inc. (c)

     87        6,571   

Pfizer Inc.

     654        20,044   

Roche Holding AG

     61        17,007   

Sanofi SA

     124        13,233   

Sanofi SA - ADR

     2        115   

Other Securities

  

     184,140   
   

 

 

  
    252,282   

INDUSTRIALS - 9.7%

  

European Aeronautic Defence & Space Co. NV

     146        11,243   

General Electric Co.

     855        23,977   

Mitsui & Co. Ltd.

     817        11,383   

Safran SA

     248        17,218   

Siemens AG

     114        15,566   

Union Pacific Corp.

     64        10,673   

United Technologies Corp.

     127        14,463   

Other Securities

  

     161,875   
   

 

 

  
    266,398   
     Shares/Par (p)     Value  

INFORMATION TECHNOLOGY - 8.5%

  

Cisco Systems Inc.

     445        9,989   

EMC Corp.

     661        16,617   

Google Inc. - Class A (c)

     24        27,317   

MasterCard Inc. - Class A

     28        23,079   

Oracle Corp.

     483        18,487   

QUALCOMM Inc.

     185        13,727   

Samsung Electronics Co. Ltd.

     10        13,218   

Twitter Inc. Private Placement (c) (f) (q)

     200        12,077   

Visa Inc. - Class A

     85        19,037   

Other Securities

  

     81,118   
   

 

 

  
    234,666   

MATERIALS - 4.7%

  

Rio Tinto Plc

     207        11,694   

Other Securities

  

     118,007   
   

 

 

  
    129,701   

TELECOMMUNICATION SERVICES - 2.4%

  

Verizon Communications Inc.

     177        8,681   

Other Securities

  

     56,791   
   

 

 

  
    65,472   

UTILITIES - 2.0%

    

Other Securities

  

     55,644   
   

 

 

  

Total Common Stocks (cost $1,491,842)

  

     1,771,042   
   

 

 

  

TRUST PREFERREDS - 0.3%

  

FINANCIALS - 0.3%

  

Other Securities

  

     7,065   
   

 

 

  

Total Trust Preferreds (cost $6,697)

  

     7,065   
   

 

 

  

PREFERRED STOCKS - 1.6%

  

CONSUMER DISCRETIONARY - 0.4%

  

Volkswagen AG

     36        10,077   

Other Securities

  

     1,412   
   

 

 

  
    11,489   

CONSUMER STAPLES - 0.1%

  

Other Securities

  

     2,332   

FINANCIALS - 0.5%

  

HSBC Holdings Plc, 8.00%, (callable at 25 beginning 12/15/15) (m)

     60        1,623   

Wells Fargo & Co., 7.50% (m) (v)

     1        1,084   

Other Securities

  

     11,380   
   

 

 

  
    14,087   

INDUSTRIALS - 0.1%

  

United Technologies Corp., 7.50% (e)

     21        1,349   

Other Securities

  

     764   
   

 

 

  
    2,113   

INFORMATION TECHNOLOGY - 0.2%

  

Samsung Electronics Co. Ltd.

     4        4,234   

Other Securities

  

     1,930   
   

 

 

  
    6,164   

MATERIALS - 0.1%

  

Other Securities

  

     1,279   

TELECOMMUNICATION SERVICES - 0.1%

  

Other Securities

  

     2,524   

UTILITIES - 0.1%

  

Other Securities

  

     3,628   
   

 

 

  

Total Preferred Stocks (cost $39,481)

  

     43,616   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

WARRANTS - 0.0%

  

Other Securities

  

     130   
   

 

 

  

Total Warrants (cost $0)

  

     130   
   

 

 

  

PURCHASED OPTIONS - 0.5%

  

Bank of America Corp. Call Option, Strike Price 17, Expiration 01/17/15, CIT

     680,863        797   

Citigroup Inc. Call Option, Strike Price 60, Expiration 01/17/15, BOA

     190,642        450   

Coca-Cola Co. Call Option, Strike Price 45, Expiration 01/16/15, DUB

     553,108        642   

EMC Corp. Call Option, Strike Price 40, Expiration 01/18/14, GSI

     265,885        —   

General Electric Co. Call Option, Strike Price 35, Expiration 01/18/14, GSI

     379,836        —   

Oracle Corp. Call Option, Strike Price 42, Expiration 01/16/15, DUB

     276,554        495   

Qualcomm Inc. Call Option, Strike Price 95, Expiration 01/18/14, GSI

     151,932        —   

S&P 500 Index Put Option, Strike Price 1,744.05, Expiration 02/21/14, BNP

     7,898        83   

Siemens AG Call Option, Strike Price 150, Expiration 01/16/15, DUB

     69,138        346   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,153.54, Expiration 06/13/14, BOA

     4,818        754   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,246.74, Expiration 09/12/14, CIT

     668,644        641   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,271.41, Expiration 03/14/14, BNP

     680,353        381   

United Technologies Corp. Call Option, Strike Price 120, Expiration 01/18/14, GSI

     57,735        4   

Visa Inc. Call Option, Strike Price 190, Expiration 01/18/14, GSI

     31,998        1,051   

Other Securities

  

     7,787   
   

 

 

  

Total Purchased Options (cost $17,489)

  

     13,431   
   

 

 

  

INVESTMENT COMPANIES - 1.1%

  

iShares Gold Trust Fund (a) (c)

     435        5,085   

SPDR Gold Trust (c)

     138        16,016   

Other Securities

  

     10,271   
   

 

 

  

Total Investment Companies (cost $40,416)

  

     31,372   
   

 

 

  

CORPORATE BONDS AND NOTES - 7.6%

  

CONSUMER DISCRETIONARY - 1.0%

  

Other Securities

  

     28,331   

CONSUMER STAPLES - 0.2%

  

Other Securities

  

     4,960   

ENERGY - 0.8%

  

Other Securities

  

     21,265   

FINANCIALS - 2.9%

  

Bank of America Corp.

  

1.35%, 11/21/16

     1,175        1,174   

2.00%, 01/11/18

     1,989        1,985   

1.32%, 03/22/18 (i) (e)

     1,146        1,161   

BNP Paribas SA, 2.40%, 12/12/18

     4,474        4,474   

CapitaLand Ltd.

  

2.10%, 11/15/16 (r) (v), SGD

     3,000        2,376   

2.95%, 06/20/22 (q) (v), SGD

     5,250        4,134   

1.95%, 10/17/23 (e) (q) (v), SGD

     2,500        1,951   

Citigroup Inc., 5.95%, (callable at 100 beginning 01/30/23) (i) (m)

     1,105        1,023   
     Shares/Par (p)     Value  

HSBC USA Inc., 1.63%, 01/16/18

     1,425        1,405   

JPMorgan Chase & Co, 5.15%, (callable at 100 beginning 05/01/23) (i) (m)

     2,771        2,487   

JPMorgan Chase & Co., 6.13%, 06/27/17

     1,138        1,292   

Lloyds Bank Plc

  

13.00% (callable at 100 beginning 01/22/29) (m), GBP

     2,575        6,774   

2.30%, 11/27/18

     554        552   

Merrill Lynch & Co. Inc., 6.88%, 04/25/18

     1,342        1,586   

Other Securities

  

     48,044   
   

 

 

  
    80,418   

HEALTH CARE - 0.8%

  

Gilead Sciences Inc., 1.63%, 05/01/16 (v)

     2,556        8,430   

Other Securities

  

     13,273   
   

 

 

  
    21,703   

INDUSTRIALS - 0.3%

  

Other Securities

  

     7,475   

INFORMATION TECHNOLOGY - 0.4%

  

Other Securities

  

     11,197   

MATERIALS - 0.3%

  

Other Securities

  

     7,029   

TELECOMMUNICATION SERVICES - 0.9%

  

Verizon Communications Inc., 1.99%, 09/14/18 (i)

     11,529        12,123   

Other Securities

  

     12,896   
   

 

 

  
    25,019   

UTILITIES - 0.0%

  

Other Securities

  

     148   
   

 

 

  

Total Corporate Bonds and Notes (cost $198,263)

  

     207,545   
   

 

 

  

GOVERNMENT AND AGENCY
OBLIGATIONS - 11.7%

   

GOVERNMENT SECURITIES - 11.7%

  

Sovereign - 5.1%

  

Australia Government Bond, 5.50%, 04/21/23, AUD

     14,284        14,090   

Brazil Government International Bond, 5.88%, 01/15/19 (e)

     473        530   

Brazil Notas do Tesouro Nacional, 10.00%, 01/01/23, BRL

     30,542        10,934   

Federal Republic of Germany

  

4.25%, 07/04/17, EUR

     16,458        25,557   

3.50%, 07/04/19, EUR

     12,939        20,108   

Mexico Government International Bond, 5.95%, 03/19/19 (e)

     1,246        1,439   

Queensland Treasury Corp.

  

6.00%, 09/14/17, AUD

     11,249        10,978   

6.00%, 06/14/21, AUD

     4,285        4,256   

United Kingdom Treasury Bond, 1.25%, 07/22/18, GBP

     18,843        30,343   

Other Securities

  

     21,033   
   

 

 

  
    139,268   

Treasury Inflation Index Securities - 0.3%

  

Brazil Inflation Indexed Notas do Tesouro Nacional

  

6.00%, 08/15/22 (s), BRL

     6,188        6,180   

6.00%, 08/15/24 (s), BRL

     3,373        3,352   
   

 

 

  
    9,532   

U.S. Treasury Securities - 6.3%

  

U.S. Treasury Note

  

0.25%, 03/31/15

     14,199        14,206   

2.25%, 03/31/16

     18,769        19,518   

0.63%, 09/30/17

     11,301        11,063   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

1.00%, 05/31/18

     21,836        21,352   

1.38%, 07/31/18

     21,239        21,039   

1.38%, 09/30/18

     6,257        6,177   

1.25%, 10/31/18

     34,216        33,524   

1.25%, 11/30/18

     14,338        14,023   

1.50%, 12/31/18

     11,293        11,160   

2.00%, 11/15/21

     3,424        3,263   

1.75%, 05/15/22

     4,030        3,720   

2.50%, 08/15/23

     11,357        10,886   

2.75%, 11/15/23

     2,936        2,867   
   

 

 

  
    172,798   
   

 

 

  

Total Government and Agency Obligations (cost $330,657)

   

     321,598   
   

 

 

  

SHORT TERM INVESTMENTS - 13.8%

  

Securities Lending Collateral - 2.3%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     62,724        62,724   

Treasury Securities - 11.5%

  

Japan Treasury Bill

    

0.00%, 01/15/14, JPY

     250,000        2,374   

0.00%, 01/27/14, JPY

     830,000        7,881   

0.00%, 02/10/14, JPY

     710,000        6,742   

0.00%, 03/17/14, JPY

     560,000        5,317   

Mexico Cetes

    

0.30%, 01/09/14, MXN

     3,365        2,575   

0.30%, 02/06/14, MXN

     4,058        3,097   

0.26%, 03/20/14, MXN

     5,611        4,265   

0.26%, 04/03/14, MXN

     4,204        3,191   

0.27%, 04/30/14, MXN

     5,996        4,540   

0.26%, 05/15/14, MXN

     2,387        1,804   

0.26%, 05/29/14, MXN

     1,411        1,065   

U.S. Treasury Bill

    

0.05%, 01/02/14

   $ 5,000        5,000   

0.04%, 01/16/14

         41,550        41,549   

0.03%, 01/30/14

     12,900        12,900   

0.09%, 02/06/14

     43,100        43,099   

0.03%, 02/13/14

     22,400        22,399   

0.03%, 02/20/14

     10,400        10,400   

0.08%, 04/03/14

     13,200        13,198   

0.07%, 04/10/14

     16,000        15,998   

0.08%, 04/17/14

     7,200        7,199   

0.06%, 05/01/14

     65,800        65,788   

0.07%, 05/08/14

     7,200        7,199   

0.06%, 05/15/14

     20,000        19,996   

0.09%, 06/19/14

     9,300        9,296   
   

 

 

  
    316,872   
   

 

 

  

Total Short Term Investments (cost $380,960)

  

     379,596   
   

 

 

  

Total Investments - 101.0% (cost $2,505,805)

  

     2,775,395   

Other Assets and Liabilities, Net - (1.0%)

 

     (27,343 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,748,052   
   

 

 

  

JNL/BlackRock Large Cap Select Growth Fund

  

COMMON STOCKS - 99.4%

  

CONSUMER DISCRETIONARY - 28.7%

  

Amazon.com Inc. (c)

     94      $ 37,553   

Carmax Inc. (c)

     153        7,195   

Comcast Corp. - Class A

     594        30,856   

Delphi Automotive Plc

     153        9,191   

Expedia Inc.

     207        14,418   

Liberty Global Plc - Class A (c)

     292        26,013   
     Shares/Par (p)     Value  

Lumber Liquidators Holdings Inc. (c)

     52        5,320   

Melco Crown Entertainment Ltd. - ADR (c)

     217        8,507   

Michael Kors Holdings Ltd. (c)

     123        10,011   

Nike Inc. - Class B

     279        21,926   

Priceline.com Inc. (c)

     19        22,589   

Sirius XM Holdings Inc (c)

     5,126        17,890   

Starbucks Corp.

     227        17,821   

Time Warner Inc.

     335        23,322   

Walt Disney Co.

     296        22,626   

Wynn Resorts Ltd.

     79        15,408   
   

 

 

  
    290,646   

CONSUMER STAPLES - 2.2%

  

Estee Lauder Cos. Inc. - Class A

     162        12,229   

Mondelez International Inc. - Class A

     285        10,070   
   

 

 

  
    22,299   

ENERGY - 3.3%

  

Cabot Oil & Gas Corp. - Class A

     193        7,499   

Concho Resources Inc. (c)

     63        6,763   

FMC Technologies Inc. (c)

     196        10,218   

Laredo Petroleum Holdings Inc. (c)

     325        9,005   
   

 

 

  
    33,485   

FINANCIALS - 3.2%

  

Discover Financial Services

     157        8,811   

IntercontinentalExchange Group Inc

     53        11,818   

Moody’s Corp.

     155        12,167   
   

 

 

  
    32,796   

HEALTH CARE - 13.0%

  

AbbVie Inc.

     403        21,258   

Allergan Inc.

     93        10,276   

Gilead Sciences Inc. (c)

     288        21,654   

Intuitive Surgical Inc. (c)

     46        17,648   

Regeneron Pharmaceuticals Inc. (c)

     64        17,527   

United Therapeutics Corp. (c)

     184        20,805   

Valeant Pharmaceuticals International Inc. (c)

     193        22,637   
   

 

 

  
    131,805   

INDUSTRIALS - 13.3%

  

Canadian Pacific Railway Ltd.

     48        7,288   

Eaton Corp. Plc

     346        26,348   

Precision Castparts Corp.

     116        31,337   

Roper Industries Inc.

     71        9,778   

SolarCity Corp. (c) (e)

     148        8,434   

Union Pacific Corp.

     127        21,271   

United Rentals Inc. (c) (e)

     14        1,058   

United Technologies Corp.

     167        19,024   

Verisk Analytics Inc. - Class A (c)

     155        10,208   
   

 

 

  
    134,746   

INFORMATION TECHNOLOGY - 28.9%

  

Alliance Data Systems Corp. (c)

     55        14,428   

AOL Inc. (c)

     135        6,312   

Autodesk Inc. (c)

     495        24,934   

eBay Inc. (c)

     228        12,497   

Facebook Inc. - Class A (c)

     121        6,627   

Google Inc. - Class A (c)

     42        47,044   

LinkedIn Corp. - Class A (c)

     99        21,521   

MasterCard Inc. - Class A

     14        11,875   

Sina Corp. (c)

     202        17,046   

Splunk Inc. (c)

     207        14,240   

Visa Inc. - Class A

     181        40,282   

VMware Inc. - Class A (c) (e)

     122        10,952   

Yahoo! Inc. (c)

     685        27,684   

Yandex NV - Class A (c) (e)

     268        11,581   

Yelp Inc. - Class A (c)

     265        18,245   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Youku Inc. - ADR (c)

     268        8,128   
   

 

 

  
    293,396   

MATERIALS - 2.0%

  

Eastman Chemical Co.

     63        5,102   

Monsanto Co.

     126        14,724   
   

 

 

  
    19,826   

TELECOMMUNICATION SERVICES - 4.8%

  

SoftBank Corp.

     406        35,609   

Vivendi SA

     488        12,870   
   

 

 

  
    48,479   
   

 

 

  

Total Common Stocks (cost $854,501)

  

     1,007,478   
   

 

 

  

SHORT TERM INVESTMENTS - 1.6%

  

Investment Companies - 0.9%

  

JNL Money Market Fund, 0.01% (a) (h)

     8,761        8,761   

Securities Lending Collateral - 0.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     7,429        7,429   
   

 

 

  

Total Short Term Investments (cost $16,190)

  

     16,190   
   

 

 

  

Total Investments - 101.0% (cost $870,691)

  

     1,023,668   

Other Assets and Liabilities, Net - (1.0%)

 

     (9,879 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,013,789   
   

 

 

  

JNL/Brookfield Global Infrastructure Fund

  

COMMON STOCKS - 98.0%

  

AUSTRALIA - 1.0%

  

DUET Group

     1,740      $ 3,108   

Spark Infrastructure Group

     2,682        3,898   
   

 

 

  
    7,006   

BRAZIL - 4.1%

  

CCR SA

     2,571        19,365   

Cia de Saneamento Basico do Estado de Sao Paulo - ADR (e)

     718        8,142   
   

 

 

  
    27,507   

CANADA - 14.1%

  

Canadian National Railway Co. (e)

     256        14,600   

Enbridge Inc.

     718        31,382   

Keyera Corp. (e)

     112        6,710   

Pembina Pipeline Corp. (e)

     274        9,647   

TransCanada Corp. (e)

     581        26,567   

Veresen Inc. (e)

     480        6,454   
   

 

 

  
    95,360   

CHINA - 4.6%

  

Beijing Enterprises Holdings Ltd.

     1,565        15,541   

ENN Energy Holdings Ltd.

     1,420        10,526   

Guangshen Railway Co. Ltd. - Class H

     5,749        2,669   

Zhejiang Expressway Co. Ltd. - Class H

     2,736        2,590   
   

 

 

  
    31,326   

FRANCE - 3.2%

  

Eutelsat Communications Group SA

     370        11,545   

Vinci SA

     151        9,912   
   

 

 

  
    21,457   

HONG KONG - 3.5%

  

Anhui Expressway Co. - Class H

     1,597        885   

COSCO Pacific Ltd.

     5,732        7,889   

Hong Kong & China Gas Co. Ltd.

     485        1,114   

Kunlun Energy Co. Ltd.

     7,441        13,153   
     Shares/Par (p)     Value  

Sichuan Expressway Co. Ltd. - Class H

     3,130        926   
   

 

 

  
    23,967   

ITALY - 4.9%

  

Atlantia SpA (e)

     533        11,932   

Snam Rete Gas SpA

     3,746        20,939   
   

 

 

  
    32,871   

MEXICO - 0.3%

  

Infraestructura Energetica Nova SAB de CV

     570        2,277   

SPAIN - 4.2%

  

Ferrovial SA

     935        18,119   

Red Electrica Corp. SA (e)

     151        10,104   
   

 

 

  
    28,223   

SWITZERLAND - 1.9%

  

Flughafen Zuerich AG

     22        12,625   

UNITED KINGDOM - 7.5%

  

National Grid Plc

     2,408        31,499   

Pennon Group Plc

     852        9,309   

United Utilities Group Plc

     897        9,988   
   

 

 

  
    50,796   

UNITED STATES OF AMERICA - 48.7%

  

Access Midstream Partners LP

     246        13,898   

American Tower Corp.

     495        39,512   

Crestwood Equity Partners LP (e)

     578        7,993   

Crown Castle International Corp. (c)

     336        24,702   

Energy Transfer Equity LP

     172        14,087   

Enterprise Products Partners LP

     280        18,587   

EQT Midstream Partners LP

     150        8,795   

EV Energy Partner LP

     198        6,715   

MarkWest Energy Partners LP

     174        11,476   

MPLX LP

     164        7,287   

NiSource Inc.

     342        11,235   

Northeast Utilities

     219        9,263   

SBA Communications Corp. (c)

     180        16,171   

SemGroup Corp. - Class A

     196        12,811   

Sempra Energy

     245        21,983   

Spectra Energy Corp.

     840        29,938   

Targa Resources Corp.

     89        7,821   

Teekay Corp.

     258        12,377   

Union Pacific Corp.

     120        20,177   

Waste Connections Inc.

     302        13,154   

Williams Cos. Inc.

     533        20,572   
   

 

 

  
    328,554   
   

 

 

  

Total Common Stocks (cost $584,071)

  

     661,969   
   

 

 

  

SHORT TERM INVESTMENTS - 12.5%

  

Investment Companies - 2.4%

  

JNL Money Market Fund, 0.01% (a) (h)

     16,094        16,094   

Securities Lending Collateral - 10.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     68,043        68,043   
   

 

 

  

Total Short Term Investments (cost $84,137)

  

     84,137   
   

 

 

  

Total Investments - 110.5% (cost $668,208)

  

     746,106   

Other Assets and Liabilities, Net - (10.5%)

 

     (71,038 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $        675,068   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Capital Guardian Global Balanced Fund (z) *

  

COMMON STOCKS - 66.5%

  

CONSUMER DISCRETIONARY - 10.7%

  

Daimler AG

     53      $ 4,629   

Hyundai Mobis

     10        2,857   

JUMBO SA (c)

     221        3,519   

Sirius XM Holdings Inc (c)

     851        2,970   

Tiffany & Co.

     29        2,709   

Other Securities

           35,054   
   

 

 

  
    51,738   

CONSUMER STAPLES - 3.2%

  

Nestle SA

     48        3,503   

Pernod-Ricard SA

     29        3,318   

Other Securities

       8,944   
   

 

 

  
    15,765   

ENERGY - 2.5%

  

Other Securities

       12,038   

FINANCIALS - 13.8%

  

ACE Ltd.

     35        3,624   

AIA Group Ltd. (q)

     1,282        6,451   

American Tower Corp.

     39        3,121   

BNP Paribas

     30        2,372   

Goldman Sachs Group Inc.

     17        2,925   

IntercontinentalExchange Group Inc

     12        2,789   

Marsh & McLennan Cos. Inc.

     87        4,198   

PICC Property & Casualty Co. Ltd. - Class H

     2,071        3,080   

Sampo Oyj - Class A

     67        3,303   

Sberbank of Russia - ADR

     239        3,016   

Sberbank of Russia - GDR (c) (q)

     51        628   

Other Securities

       31,564   
   

 

 

  
    67,071   

HEALTH CARE - 8.4%

  

Bayer AG

     34        4,770   

Bristol-Myers Squibb Co.

     114        6,080   

Gilead Sciences Inc. (c)

     151        11,318   

Roche Holding AG

     12        3,293   

Seattle Genetics Inc. (c) (e)

     79        3,159   

Other Securities

       12,035   
   

 

 

  
    40,655   

INDUSTRIALS - 11.0%

  

Assa Abloy AB - Class B

     53        2,805   

Beijing Enterprises Holdings Ltd.

     418        4,152   

Boeing Co.

     28        3,876   

Caterpillar Inc.

     42        3,787   

Danaher Corp.

     40        3,111   

Eaton Corp. Plc

     85        6,478   

Hexcel Corp. (c)

     92        4,111   

Norfolk Southern Corp.

     33        3,036   

Schneider Electric SA

     30        2,609   

Other Securities

       19,288   
   

 

 

  
    53,253   

INFORMATION TECHNOLOGY - 10.0%

  

Apple Inc.

     6        3,423   

ASML Holding NV

     51        4,816   

ASML Holding NV - ADR

     2        197   

Gemalto NV (e)

     24        2,692   

Genpact Ltd. (c)

     170        3,116   

Google Inc. - Class A (c)

     4        4,416   

Keyence Corp.

     6        2,682   

Oracle Corp.

     95        3,650   
     Shares/Par (p)     Value  

Other Securities

       23,584   
   

 

 

  
    48,576   

MATERIALS - 3.0%

  

Other Securities

       14,777   

TELECOMMUNICATION SERVICES - 3.6%

  

SoftBank Corp.

     46        4,028   

Other Securities

       13,236   
   

 

 

  
    17,264   

UTILITIES - 0.3%

  

Other Securities

       1,720   
   

 

 

  

Total Common Stocks (cost $248,929)

  

     322,857   
   

 

 

  

PREFERRED STOCKS - 0.1%

  

INFORMATION TECHNOLOGY - 0.0%

  

Other Securities

       —   

TELECOMMUNICATION SERVICES - 0.1%

  

Other Securities

       278   
   

 

 

  

Total Preferred Stocks (cost $1,045)

  

     278   
   

 

 

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.4%

   

Other Securities

       1,819   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $1,841)

   

     1,819   
   

 

 

  

CORPORATE BONDS AND NOTES - 5.7%

  

CONSUMER DISCRETIONARY - 0.5%

  

Other Securities

       2,370   

CONSUMER STAPLES - 0.4%

  

Other Securities

       1,974   

ENERGY - 0.5%

  

Other Securities

       2,559   

FINANCIALS - 2.2%

  

BNP Paribas SA, 5.00%, 01/15/21

     350        383   

Goldman Sachs Group Inc.

    

5.25%, 07/27/21

     200        219   

3.63%, 01/22/23 (e)

     570        551   

Other Securities

       9,325   
   

 

 

  
    10,478   

HEALTH CARE - 0.6%

  

Other Securities

       2,805   

INDUSTRIALS - 0.2%

  

Norfolk Southern Corp., 3.25%, 12/01/21

     225        218   

Other Securities

       835   
   

 

 

  
    1,053   

INFORMATION TECHNOLOGY - 0.1%

  

Other Securities

       715   

MATERIALS - 0.2%

  

Other Securities

       956   

TELECOMMUNICATION SERVICES - 0.5%

  

Other Securities

       2,338   

UTILITIES - 0.5%

  

Other Securities

       2,544   
   

 

 

  

Total Corporate Bonds and Notes (cost $26,836)

  

     27,792   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

GOVERNMENT AND AGENCY OBLIGATIONS - 22.7%

  

GOVERNMENT SECURITIES - 19.6%

  

Federal Home Loan Bank - 0.2% (w)

  

Other Securities

       1,023   

Federal Home Loan Mortgage Corp. - 0.5% (w)

  

Federal Home Loan Mortgage Corp., 1.75%, 09/10/15

     2,350        2,405   

Federal National Mortgage Association - 0.0% (w)

  

Federal National Mortgage Association, 7.13%, 01/15/30

     50        68   

Municipals - 0.1%

  

Other Securities

       560   

Sovereign - 15.1%

  

Bundesobligation

    

2.25%, 04/11/14, EUR

     80        111   

2.00%, 02/26/16, EUR

     515        735   

Federal Republic of Germany

    

3.75%, 01/04/17, EUR

     240        363   

3.00%, 07/04/20, EUR

     100        152   

2.25%, 09/04/21, EUR

     80        116   

1.50%, 02/15/23, EUR

     195        260   

4.00%, 01/04/37, EUR

     180        300   

3.25%, 07/04/42, EUR

     480        725   

Italy Buoni Poliennali Del Tesoro

    

4.75%, 06/01/17, EUR

     230        343   

3.50%, 06/01/18, EUR

     230        329   

4.50%, 03/01/19, EUR

     800        1,189   

4.50%, 03/01/24, EUR

     550        785   

Japan Government Bond

    

0.10%, 06/15/14, JPY

     121,350        1,153   

1.50%, 09/20/14, JPY

     120,000        1,151   

1.70%, 09/20/16, JPY

     35,000        346   

1.70%, 09/20/17, JPY

     225,000        2,256   

1.00%, 09/20/20, JPY

     30,000        296   

1.20%, 12/20/20, JPY

     46,650        465   

1.20%, 06/20/21, JPY

     184,700        1,841   

2.00%, 12/20/25, JPY

     95,000        1,020   

1.60%, 03/20/32, JPY

     134,200        1,306   

2.30%, 12/20/35, JPY

     85,000        905   

2.00%, 03/20/42, JPY

     35,000        353   

Mexico Bonos

    

8.00%, 12/17/15, MXN

     5,000        413   

7.75%, 12/14/17, MXN

     6,200        521   

8.00%, 06/11/20, MXN

     3,000        257   

6.50%, 06/10/21, MXN

     17,500        1,375   

10.00%, 12/05/24, MXN

     17,500        1,712   

10.00%, 11/20/36, MXN

     5,000        486   

8.50%, 11/18/38, MXN

     930        79   

Mexico Government International Bond

    

5.13%, 01/15/20 (e)

     350        388   

3.63%, 03/15/22

     156        156   

4.00%, 10/02/23

     110        109   

Poland Government Bond

    

5.75%, 04/25/14, PLN

     1,500        502   

5.25%, 10/25/17, PLN

     2,465        867   

5.25%, 10/25/20, PLN

     3,350        1,189   

5.75%, 10/25/21, PLN

     4,725        1,719   

5.75%, 09/23/22, PLN

     3,065        1,119   

Poland Government International Bond

    

5.13%, 04/21/21

     215        234   

5.00%, 03/23/22

     150        160   

Republic of Deutschland, 4.25%, 07/04/18, EUR

     600        951   

Spain Government Bond

    

3.80%, 01/31/17, EUR

     1,320        1,909   

5.50%, 07/30/17, EUR

     677        1,034   

4.50%, 01/31/18, EUR

     290        429   
     Shares/Par (p)     Value  

3.75%, 10/31/18, EUR

     140        201   

5.40%, 01/31/23 (q), EUR

     2,735        4,133   

Sweden Government Bond

    

4.50%, 08/12/15, SEK

     1,535        253   

3.75%, 08/12/17, SEK

     12,270        2,064   

5.00%, 12/01/20, SEK

     2,900        533   

3.50%, 06/01/22, SEK

     7,260        1,229   

United Kingdom Treasury Bond

    

2.25%, 03/07/14, GBP

     130        216   

2.75%, 01/22/15, GBP

     750        1,271   

1.75%, 01/22/17, GBP

     250        421   

3.75%, 09/07/21, GBP

     330        588   

1.75%, 09/07/22, GBP

     400        605   

2.25%, 09/07/23, GBP

     535        828   

5.00%, 03/07/25, GBP

     400        775   

4.50%, 09/07/34, GBP

     320        601   

4.25%, 12/07/40, GBP

     325        594   

3.25%, 01/22/44, GBP

     100        153   

4.25%, 12/07/46, GBP

     320        593   

Other Securities

       25,740   
   

 

 

  
    72,907   

Treasury Inflation Index Securities - 0.4%

  

Mexico Government Inflation Indexed Bond

    

3.50%, 12/14/17 (s), MXN

     492        41   

4.00%, 11/15/40 (s), MXN

     476        37   

U.S. Treasury Inflation Indexed Note

    

1.88%, 07/15/15 (n)

     300        316   

0.38%, 07/15/23 (n)

     713        686   

2.38%, 01/15/25 (n)

     186        213   

0.63%, 02/15/43 (n)

     152        117   

Other Securities

       609   
   

 

 

  
    2,019   

U.S. Treasury Securities - 3.3%

  

U.S. Treasury Bond

    

5.38%, 02/15/31

     50        61   

4.38%, 02/15/38

     1,325        1,437   

3.13%, 02/15/43

     75        64   

2.88%, 05/15/43

     1,025        827   

3.63%, 08/15/43 (e)

     150        141   

U.S. Treasury Note

    

1.25%, 02/15/14

     1,175        1,177   

0.38%, 08/31/15

     210        210   

1.38%, 11/30/15

     2,850        2,905   

1.50%, 07/31/16

     570        583   

1.00%, 09/30/16

     1,175        1,185   

1.00%, 03/31/17

     2,930        2,937   

1.38%, 06/30/18

     600        595   

1.38%, 09/30/18

     230        227   

3.75%, 11/15/18

     600        658   

3.50%, 05/15/20

     1,500        1,617   

2.13%, 08/15/21

     200        194   

1.75%, 05/15/22

     450        415   

1.75%, 05/15/23

     150        135   

2.50%, 08/15/23

     500        479   
   

 

 

  
    15,847   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 3.1%

   

Federal Home Loan Mortgage Corp. - 0.9%

  

Federal Home Loan Mortgage Corp.

    

1.87%, 11/25/19

     40        39   

0.79%, 07/25/20

     185        185   

1.69%, 01/25/22

     24        24   

2.78%, 09/25/22

     43        44   

2.52%, 01/25/23

     70        66   

3.11%, 02/25/23

     50        49   

2.62%, 03/25/23

     50        50   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

3.30%, 04/25/23 (i)

     32        31   

3.53%, 07/25/23

     30        30   

2.58%, 10/01/42 (i)

     663        675   

4.00%, 05/01/43

     49        51   

4.00%, 05/01/43

     19        20   

4.00%, 06/01/43

     53        54   

4.00%, 07/01/43

     103        106   

4.00%, 08/01/43

     74        76   

4.00%, 08/01/43

     212        219   

4.00%, 09/01/43

     1,070        1,105   

4.00%, 09/01/43

     566        583   

4.00%, 09/01/43

     283        292   

4.00%, 11/01/43

     198        204   

REMIC, 1.32%, 12/25/18

     24        24   

REMIC, 1.73%, 07/25/19

     25        24   

REMIC, 0.55%, 04/25/20 (i)

     205        205   

REMIC, 1.58%, 04/25/22

     49        47   

REMIC, 1.88%, 04/25/22

     25        24   

REMIC, 2.36%, 07/25/22

     25        23   

REMIC, 2.78%, 09/25/22

     25        25   

REMIC, 2.68%, 10/25/22

     25        24   
   

 

 

  
    4,299   

Federal National Mortgage Association - 2.0%

  

Federal National Mortgage Association

    

3.00%, 01/01/27

     940        960   

3.00%, 07/01/27

     471        482   

2.50%, 05/01/28

     24        24   

2.50%, 05/01/28

     23        23   

2.50%, 06/01/28

     44        43   

2.50%, 09/01/28

     765        758   

2.00%, 01/15/29, TBA (g)

     100        96   

3.50%, 10/01/42, TBA (g)

     —        —   

3.00%, 12/01/42

     151        143   

2.51%, 01/01/43 (i)

     757        749   

3.00%, 04/01/43

     787        748   

3.00%, 04/01/43

     2,138        2,032   

4.00%, 05/01/43

     96        99   

4.00%, 10/01/43

     304        314   

4.00%, 11/01/43

     709        733   

3.00%, 01/15/44, TBA (g)

     200        190   

3.50%, 01/15/44, TBA (g)

     720        715   

4.00%, 01/15/44, TBA (g)

     100        103   

4.50%, 01/15/44, TBA (g)

     1,300        1,377   

REMIC, 2.61%, 03/25/22 (i)

     25        24   

REMIC, 3.33%, 10/25/23 (i)

     209        204   
   

 

 

  
    9,817   

Government National Mortgage Association - 0.2%

  

Other Securities

       1,033   
   

 

 

  

Total Government and Agency Obligations (cost $112,359)

   

     109,978   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

Other Securities

       160   
   

 

 

  

Total Other Equity Interests (cost $157)

  

     160   
   

 

 

  

SHORT TERM INVESTMENTS - 8.3%

  

Investment Companies - 4.6%

  

JNL Money Market Fund, 0.01% (a) (h)

     22,308        22,308   
     Shares/Par (p)     Value  

Securities Lending Collateral - 3.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     18,057        18,057   
   

 

 

  

Total Short Term Investments (cost $40,365)

  

     40,365   
   

 

 

  

Total Investments - 103.7% (cost $431,532)

  

     503,249   

Other Assets and Liabilities, Net - (3.7%)

 

     (17,920 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     485,329   
   

 

 

  

JNL/Capital Guardian Global Diversified Research Fund (z) *

   

COMMON STOCKS - 96.1%

  

AUSTRALIA - 2.3%

  

Coca-Cola Amatil Ltd. (e)

     338      $ 3,631   

Oil Search Ltd.

     525        3,817   

Other Securities

  

     2,225   
   

 

 

  
    9,673   

BRAZIL - 0.3%

  

Other Securities

  

     1,295   

CANADA - 1.3%

  

Other Securities

  

     5,651   

CHILE - 0.3%

  

Other Securities

  

     1,289   

CHINA - 1.2%

  

Other Securities

  

     4,993   

DENMARK - 1.3%

  

Novo-Nordisk A/S - Class B

     29        5,370   

FINLAND - 1.0%

  

Sampo Oyj - Class A

     89        4,355   

FRANCE - 2.4%

  

BNP Paribas

     49        3,796   

Pernod-Ricard SA

     32        3,642   

Other Securities

  

     2,672   
   

 

 

  
    10,110   

GERMANY - 2.8%

  

Bayer AG

     65        9,104   

Other Securities

  

     2,517   
   

 

 

  
    11,621   

GREECE - 0.6%

  

Other Securities

  

     2,424   

HONG KONG - 3.7%

  

AIA Group Ltd.

     851        4,281   

Cheung Kong Infrastructure Holdings Ltd.

     541        3,420   

HKT Trust (q)

     3,530        3,493   

Other Securities

  

     4,480   
   

 

 

  
    15,674   

INDIA - 0.7%

  

Other Securities

  

     3,169   

IRELAND - 2.5%

  

Eaton Corp. Plc

     65        4,910   

Other Securities

  

     5,478   
   

 

 

  
    10,388   

JAPAN - 8.6%

  

SoftBank Corp.

     56        4,888   

Sumitomo Mitsui Financial Group Inc.

     98        5,096   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Other Securities

       25,973   
   

 

 

  
    35,957   

MACAU - 0.9%

  

Wynn Macau Ltd.

     880        4,002   

MALAYSIA - 0.2%

  

Other Securities

       915   

MEXICO - 0.8%

  

Other Securities

       3,210   

NETHERLANDS - 2.8%

  

ASML Holding NV

     40        3,734   

Other Securities

       7,933   
   

 

 

  
    11,667   

NORWAY - 0.4%

  

Other Securities

       1,671   

SINGAPORE - 1.7%

  

Singapore Telecommunications Ltd.

     1,060        3,083   

Other Securities

       3,952   
   

 

 

  
    7,035   

SOUTH KOREA - 2.4%

  

LG Household & Health Care Ltd.

     6        3,325   

Samsung Electronics Co. Ltd.

     3        3,504   

Samsung Electronics Co. Ltd. - GDR

     2        1,113   

Other Securities

       2,176   
   

 

 

  
    10,118   

SPAIN - 0.2%

  

Other Securities

       1,057   

SWEDEN - 1.3%

  

Assa Abloy AB - Class B

     101        5,342   

SWITZERLAND - 5.9%

  

Nestle SA

     44        3,239   

Partners Group Holding AG

     12        3,140   

Roche Holding AG

     17        4,788   

Syngenta AG

     10        3,928   

Other Securities

       9,567   
   

 

 

  
    24,662   

THAILAND - 0.4%

  

Other Securities

       1,579   

UNITED KINGDOM - 6.8%

  

Aon Plc - Class A

     45        3,767   

Barclays Plc

     1,080        4,883   

Imperial Tobacco Group Plc

     111        4,304   

Meggitt Plc

     376        3,295   

Signet Jewelers Ltd.

     42        3,290   

Other Securities

       9,086   
   

 

 

  
    28,625   

UNITED STATES OF AMERICA - 43.3%

  

Amazon.com Inc. (c)

     9        3,469   

American Tower Corp.

     111        8,892   

Apple Inc.

     11        6,004   

ASML Holding NV - ADR

     19        1,799   

BlackRock Inc.

     12        3,766   

Boeing Co.

     27        3,644   

Bristol-Myers Squibb Co.

     152        8,068   

Chevron Corp.

     39        4,872   

Comcast Corp. - Class A

     67        3,502   

Danaher Corp.

     65        5,003   

Delphi Automotive Plc

     61        3,644   

Express Scripts Holding Co. (c)

     51        3,596   

Gilead Sciences Inc. (c)

     265        19,937   
     Shares/Par (p)     Value  

Goldman Sachs Group Inc.

     18        3,120   

Google Inc. - Class A (c)

     4        4,819   

Hexcel Corp. (c)

     124        5,542   

Home Depot Inc.

     37        3,038   

Mosaic Co.

     63        2,969   

Oracle Corp.

     114        4,346   

Seattle Genetics Inc. (c) (e)

     184        7,340   

Sirius XM Holdings Inc (c)

     1,492        5,206   

Starbucks Corp.

     66        5,189   

VeriSign Inc. (c) (e)

     95        5,685   

Other Securities

  

     58,688   
   

 

 

  
    182,138   
   

 

 

  

Total Common Stocks (cost $288,425)

  

     403,990   
   

 

 

  

SHORT TERM INVESTMENTS - 6.9%

  

Investment Companies - 4.1%

  

JNL Money Market Fund, 0.01% (a) (h)

     17,268        17,268   

Securities Lending Collateral - 2.8%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     11,569        11,569   
   

 

 

  

Total Short Term Investments (cost $28,837)

  

     28,837   
   

 

 

  

Total Investments - 103.0% (cost $317,262)

  

     432,827   

Other Assets and Liabilities, Net - (3.0%)

 

     (12,488 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     420,339   
   

 

 

  

JNL/DFA U.S. Core Equity Fund (z) *

  

COMMON STOCKS - 98.9%

  

CONSUMER DISCRETIONARY - 13.7%

  

Amazon.com Inc. (c)

     6      $ 2,293   

Comcast Corp. - Class A

     50        2,598   

Comcast Corp. - Special Class A

     11        550   

Home Depot Inc.

     23        1,853   

Time Warner Inc.

     21        1,453   

Walt Disney Co.

     26        2,017   

Other Securities

  

     57,667   
   

 

 

  
    68,431   

CONSUMER STAPLES - 6.9%

  

Coca-Cola Co.

     48        1,992   

CVS Caremark Corp.

     24        1,701   

PepsiCo Inc.

     25        2,044   

Philip Morris International Inc.

     21        1,819   

Procter & Gamble Co.

     43        3,504   

Wal-Mart Stores Inc.

     26        2,029   

Other Securities

  

     21,415   
   

 

 

  
    34,504   

ENERGY - 10.0%

  

Chevron Corp.

     43        5,369   

ConocoPhillips

     27        1,925   

Exxon Mobil Corp.

     97        9,843   

Occidental Petroleum Corp.

     18        1,738   

Schlumberger Ltd.

     21        1,909   

Other Securities

  

     29,428   
   

 

 

  
    50,212   

FINANCIALS - 17.5%

  

American Express Co.

     15        1,388   

American International Group Inc.

     33        1,673   

Bank of America Corp.

     249        3,880   

Berkshire Hathaway Inc. - Class B (c)

     29        3,475   

Citigroup Inc.

     71        3,692   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Goldman Sachs Group Inc.

     10        1,768   

JPMorgan Chase & Co.

     87        5,095   

U.S. Bancorp

     41        1,672   

Wells Fargo & Co.

     116        5,246   

Other Securities

       59,780   
   

 

 

  
    87,669   

HEALTH CARE - 11.1%

  

Amgen Inc.

     12        1,375   

Bristol-Myers Squibb Co.

     26        1,371   

Gilead Sciences Inc. (c)

     24        1,811   

Johnson & Johnson

     45        4,148   

Merck & Co. Inc.

     46        2,320   

Pfizer Inc.

     144        4,419   

UnitedHealth Group Inc.

     23        1,735   

Other Securities

       38,415   
   

 

 

  
    55,594   

INDUSTRIALS - 13.5%

  

3M Co.

     10        1,436   

Boeing Co.

     11        1,567   

General Electric Co.

     225        6,314   

Union Pacific Corp.

     10        1,754   

United Technologies Corp.

     14        1,587   

Other Securities

       55,110   
   

 

 

  
    67,768   

INFORMATION TECHNOLOGY - 16.9%

  

Apple Inc.

     14        8,016   

Cisco Systems Inc.

     121        2,723   

Facebook Inc. - Class A (c)

     28        1,514   

Google Inc. - Class A (c)

     4        4,905   

Intel Corp.

     110        2,852   

International Business Machines Corp.

     12        2,328   

MasterCard Inc. - Class A

     2        1,420   

Microsoft Corp.

     126        4,700   

Oracle Corp.

     53        2,028   

QUALCOMM Inc.

     28        2,043   

Visa Inc. - Class A

     8        1,837   

Other Securities

       50,184   
   

 

 

  
    84,550   

MATERIALS - 4.4%

  

Other Securities

       21,828   

TELECOMMUNICATION SERVICES - 2.0%

  

AT&T Inc.

     118        4,134   

Verizon Communications Inc.

     62        3,058   

Other Securities

       2,991   
   

 

 

  
    10,183   

UTILITIES - 2.9%

  

Other Securities

       14,234   
   

 

 

  

Total Common Stocks (cost $389,533)

       494,973   
   

 

 

  

WARRANTS - 0.0%

  

Other Securities

       —   
   

 

 

  

Total Warrants (cost $0)

       —   
   

 

 

  

SHORT TERM INVESTMENTS - 4.5%

  

Investment Companies - 1.0%

  

JNL Money Market Fund, 0.01% (a) (h)

     5,151        5,151   
     Shares/Par (p)     Value  

Securities Lending Collateral - 3.5%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     17,514        17,514   
   

 

 

  

Total Short Term Investments (cost $22,665)

  

     22,665   
   

 

 

  

Total Investments - 103.4% (cost $412,198)

  

     517,638   

Other Assets and Liabilities, Net - (3.4%)

 

     (16,884 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     500,754   
   

 

 

  

JNL/Eagle SmallCap Equity Fund (z) *

  

COMMON STOCKS - 99.9%

  

CONSUMER DISCRETIONARY - 17.5%

  

Bally Technologies Inc. (c)

     447      $ 35,045   

Deckers Outdoor Corp. (c) (e)

     213        17,993   

Genesco Inc. (c)

     692        50,526   

Orient-Express Hotels Ltd. - Class A (c)

     1,233        18,623   

Steven Madden Ltd. (c)

     484        17,725   

Universal Electronics Inc. (c)

     506        19,298   

Vitamin Shoppe Inc. (c)

     719        37,396   

Other Securities

  

     90,777   
   

 

 

  
    287,383   

CONSUMER STAPLES - 5.2%

  

Natural Grocers by Vitamin Cottage Inc. (c) (e)

     697        29,603   

WhiteWave Foods Co. - Class A (c)

     1,182        27,114   

Other Securities

  

     28,961   
   

 

 

  
    85,678   

ENERGY - 4.8%

  

Geospace Technologies Corp. (c)

     385        36,518   

Gulfport Energy Corp. (c)

     379        23,906   

Other Securities

  

     18,827   
   

 

 

  
    79,251   

FINANCIALS - 4.4%

  

Home Loan Servicing Solutions Ltd.

     681        15,645   

UMB Financial Corp.

     241        15,462   

Validus Holdings Ltd.

     491        19,768   

Other Securities

  

     21,882   
   

 

 

  
    72,757   

HEALTH CARE - 23.2%

  

Air Methods Corp. (c) (e)

     437        25,484   

ArthroCare Corp. (c)

     649        26,135   

Centene Corp. (c)

     467        27,515   

Cooper Cos. Inc.

     184        22,737   

Cubist Pharmaceuticals Inc. (c)

     238        16,388   

MedAssets Inc. (c)

     910        18,051   

Salix Pharmaceuticals Ltd. (c)

     189        16,982   

Sirona Dental Systems Inc. (c)

     232        16,274   

Team Health Holdings Inc. (c)

     392        17,865   

Theravance Inc. (c) (e)

     422        15,033   

Thoratec Corp. (c)

     638        23,350   

United Therapeutics Corp. (c)

     393        44,494   

Other Securities

  

     109,194   
   

 

 

  
    379,502   

INDUSTRIALS - 16.5%

  

Colfax Corp. (c)

     304        19,359   

Geo Group Inc.

     795        25,605   

Hexcel Corp. (c)

     659        29,451   

JetBlue Airways Corp. (c)

     1,889        16,148   

Trex Co. Inc. (c)

     211        16,779   

Waste Connections Inc.

     473        20,627   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Other Securities

  

     141,999   
   

 

 

  
    269,968   

INFORMATION TECHNOLOGY - 22.5%

  

Aspen Technology Inc. (c)

     395        16,499   

Cavium Inc. (c)

     527        18,196   

Coherent Inc. (c)

     252        18,758   

Concur Technologies Inc. (c) (e)

     159        16,385   

Cornerstone OnDemand Inc. (c)

     492        26,270   

Demandware Inc. (c)

     264        16,958   

Fortinet Inc. (c)

     916        17,526   

Imperva Inc. (c)

     315        15,137   

InvenSense Inc. (c) (e)

     1,011        21,012   

IPG Photonics Corp. (c) (e)

     292        22,671   

Nice Systems Ltd. - ADR (e)

     398        16,309   

QLIK Technologies Inc. (c)

     631        16,806   

Teradyne Inc. (c)

     886        15,603   

Trulia Inc. (c) (e)

     534        18,834   

Other Securities

  

     111,423   
   

 

 

  
    368,387   

MATERIALS - 5.8%

  

Huntsman Corp.

     851        20,925   

Quaker Chemical Corp.

     347        26,767   

RTI International Metals Inc. (c)

     626        21,401   

Texas Industries Inc. (c)

     365        25,078   
   

 

 

  
    94,171   
   

 

 

  

Total Common Stocks (cost $1,252,898)

  

     1,637,097   
   

 

 

  

SHORT TERM INVESTMENTS - 10.0%

  

Investment Companies - 0.4%

  

JNL Money Market Fund, 0.01% (a) (h)

     6,411        6,411   

Securities Lending Collateral - 9.6%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     157,799        157,799   
   

 

 

  

Total Short Term Investments (cost $164,210)

  

     164,210   
   

 

 

  

Total Investments - 109.9% (cost $1,417,108)

  

     1,801,307   

Other Assets and Liabilities, Net - (9.9%)

 

     (162,169 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,639,138   
   

 

 

  

JNL/Eastspring Investments Asia ex-Japan Fund

  

COMMON STOCKS - 97.8%

  

CHINA - 24.6%

  

Bank of China Ltd. - Class H

     7,064      $ 3,261   

Belle International Holdings Ltd. (e)

     999        1,161   

China Construction Bank Corp. - Class H

     4,488        3,398   

China Merchants Bank Co. Ltd. - Class H

     1,747        3,736   

China Merchants Holdings International Co. Ltd.

     294        1,077   

China Mobile Ltd.

     339        3,526   

China Pacific Insurance Group Co. Ltd. - Class H (e)

     453        1,784   

China Resources Power Holdings Co. Ltd.

     640        1,519   

China Shenhua Energy Co. Ltd. - Class H

     667        2,111   

China Shipping Development Co. Ltd. - Class H (c) (e)

     1,192        929   

CNOOC Ltd.

     794        1,477   

Dongfeng Motor Group Co. Ltd. - Class H

     1,048        1,646   

Huabao International Holdings Ltd. (e)

     2,985        1,655   

Parkson Retail Group Ltd. (e)

     3,061        943   

PetroChina Co. Ltd. - Class H

     2,696        2,959   
     Shares/Par (p)     Value  

Wumart Stores Inc. - Class H

     1,063        1,727   

Xingda International Holdings Ltd.

     791        473   
   

 

 

  
    33,382   

HONG KONG - 14.1%

  

AAC Technologies Holdings Inc. (e)

     233        1,134   

Cheung Kong Holdings Ltd.

     274        4,335   

COSCO Pacific Ltd. (e)

     737        1,014   

Hutchison Whampoa Ltd.

     211        2,875   

Jardine Matheson Holdings Ltd.

     46        2,430   

Li & Fung Ltd. (e)

     788        1,018   

Longfor Properties Co. Ltd.

     919        1,288   

Sino Land Co. (e)

     1,537        2,108   

Standard Chartered Plc

     132        2,967   
   

 

 

  
    19,169   

INDIA - 9.8%

  

Bharat Heavy Electricals Ltd.

     614        1,759   

Bharti Airtel Ltd.

     192        1,028   

Federal Bank Ltd.

     540        735   

ICICI Bank Ltd.

     146        2,606   

Infosys Ltd.

     31        1,737   

LIC Housing Finances Ltd.

     418        1,485   

Oil & Natural Gas Corp. Ltd.

     397        1,854   

Ranbaxy Laboratories Ltd. (c)

     96        707   

Tata Motors Ltd. - Class A

     417        1,302   
   

 

 

  
    13,213   

INDONESIA - 3.4%

  

Bank Negara Indonesia Persero Tbk PT

     4,496        1,464   

Bank Rakyat Indonesia Persero Tbk PT

     3,903        2,333   

Ciputra Development Tbk PT

     4,102        253   

Salim Ivomas Pratama Tbk PT

     8,683        558   
   

 

 

  
    4,608   

MALAYSIA - 2.4%

  

AMMB Holdings Bhd

     692        1,532   

Genting Malaysia Bhd

     1,241        1,662   
   

 

 

  
    3,194   

PHILIPPINES - 1.1%

  

First Gen Corp.

     1,537        453   

LT Group Inc.

     3,068        1,072   
   

 

 

  
    1,525   

SINGAPORE - 7.4%

  

Asian Pay Television Trust (e)

     1,618        950   

CapitaLand Ltd.

     501        1,207   

DBS Group Holdings Ltd.

     294        4,001   

First Resources Ltd.

     532        895   

Noble Group Ltd.

     1,706        1,453   

Singapore Telecommunications Ltd.

     501        1,457   
   

 

 

  
    9,963   

SOUTH KOREA - 21.0%

  

E-Mart Co. Ltd.

     3        862   

Hana Financial Group Inc.

     80        3,327   

Hankook Tire Co. Ltd.

     41        2,335   

Hyundai Engineering & Construction Co. Ltd.

     29        1,680   

Hyundai Motor Co.

     17        3,725   

KB Financial Group Inc.

     16        639   

Korea Electric Power Corp. (c)

     34        1,107   

KT&G Corp.

     17        1,176   

POSCO Inc.

     6        1,895   

Samsung Electronics Co. Ltd.

     8        9,861   

SK Innovation Co. Ltd.

     14        1,892   
   

 

 

  
    28,499   

TAIWAN - 11.3%

  

Advanced Semiconductor Engineering Inc.

     988        923   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CTBC Financial Holding Co. Ltd.

     3,158        2,161   

Formosa Chemicals & Fibre Corp.

     183        518   

Hon Hai Precision Industry Co. Ltd.

     1,331        3,591   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,459        5,150   

Uni-President Enterprises Corp.

     966        1,743   

Wistron Corp.

     1,384        1,166   
   

 

 

  
    15,252   

THAILAND - 2.7%

  

Charoen Pokphand Foods PCL

     895        874   

Kasikornbank PCL

     303        1,473   

PTT Exploration & Production PCL

     258        1,310   
   

 

 

  
    3,657   
   

 

 

  

Total Common Stocks (cost $133,135)

  

     132,462   
   

 

 

  

SHORT TERM INVESTMENTS - 5.6%

  

Investment Companies - 2.1%

  

JNL Money Market Fund, 0.01% (a) (h)

     2,779        2,779   

Securities Lending Collateral - 3.5%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     4,751        4,751   
   

 

 

  

Total Short Term Investments (cost $7,530)

  

     7,530   
   

 

 

  

Total Investments - 103.4% (cost $140,665)

  

     139,992   

Other Assets and Liabilities, Net - (3.4%)

 

     (4,565 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     135,427   
   

 

 

  

JNL/Eastspring Investments China-India Fund

  

COMMON STOCKS - 97.7%

  

CHINA - 48.1%

  

Bank of China Ltd. - Class H

     41,315      $ 19,072   

Belle International Holdings Ltd. (e)

     4,371        5,078   

China Blue Chemical Ltd. - Class H

     4,678        2,931   

China Merchants Bank Co. Ltd.

     2,074        4,435   

China Mobile Ltd.

     988        10,286   

China Pacific Insurance Group Co. Ltd. - Class H (e)

     3,055        12,018   

China Petroleum & Chemical Corp. - Class H

     10,824        8,881   

China Resources Land Ltd. (e)

     1,602        3,986   

China Resources Power Holdings Co. Ltd.

     2,226        5,283   

China Shanshui Cement Group Ltd.

     7,800        3,361   

China Shenhua Energy Co. Ltd. - Class H

     2,154        6,817   

China Unicom Hong Kong Ltd. (e)

     5,087        7,646   

CNOOC Ltd.

     6,469        12,031   

Dongfeng Motor Group Co. Ltd. - Class H

     4,402        6,913   

Fosun International Ltd.

     3,227        3,212   

Franshion Properties China Ltd. (e)

     27,528        9,615   

Huabao International Holdings Ltd. (e)

     9,749        5,405   

Industrial & Commercial Bank of China Ltd. - Class H

     26,122        17,713   

Ping an Insurance Group Co. of China Ltd. - Class H (e)

     299        2,686   

Sinotrans Shipping Ltd.

     6,484        2,369   

Tencent Holdings Ltd.

     53        3,413   

Travelsky Technology Ltd. - Class H

     7,415        7,323   

Wumart Stores Inc. - Class H

     3,979        6,466   

Xingda International Holdings Ltd.

     6,274        3,754   
   

 

 

  
    170,694   

INDIA - 49.6%

  

Axis Bank Ltd.

     31        657   

Bharti Infratel Ltd.

     297        809   
     Shares/Par (p)     Value  

Cairn India Ltd.

     1,311        6,868   

Dr. Reddy’s Laboratories Ltd.

     314        12,863   

HDFC Bank Ltd.

     935        10,088   

Hindalco Industries Ltd.

     2,291        4,551   

ICICI Bank Ltd.

     772        13,798   

Idea Cellular Ltd.

     2,427        6,560   

Infosys Ltd.

     375        21,130   

ITC Ltd.

     1,928        10,041   

Larsen & Toubro Ltd.

     521        9,043   

LIC Housing Finances Ltd.

     2,080        7,390   

Mahindra & Mahindra Financial Services Ltd.

     1,808        9,393   

Mahindra & Mahindra Ltd.

     513        7,836   

Mphasis Ltd.

     725        5,160   

Oil India Ltd.

     478        3,773   

Oracle Financial Services Software Ltd. (c)

     41        2,171   

Ranbaxy Laboratories Ltd. (c)

     677        4,966   

Reliance Industries Ltd.

     1,057        15,322   

Sun TV Network Ltd.

     683        4,208   

Tata Consultancy Services Ltd.

     224        7,858   

Tata Motors Ltd. - Class A

     600        1,871   

Tata Motors Ltd.

     1,606        9,825   
   

 

 

  
    176,181   
   

 

 

  

Total Common Stocks (cost $355,666)

  

     346,875   
   

 

 

  

SHORT TERM INVESTMENTS - 6.9%

  

Investment Companies - 2.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     7,811        7,811   

Securities Lending Collateral - 4.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     16,505        16,505   
   

 

 

  

Total Short Term Investments (cost $24,316)

  

     24,316   
   

 

 

  

Total Investments - 104.6% (cost $379,982)

  

     371,191   

Other Assets and Liabilities, Net - (4.6%)

 

     (16,180 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     355,011   
   

 

 

  

JNL/Franklin Templeton Global Growth Fund (z) *

  

COMMON STOCKS - 97.7%

  

BRAZIL - 1.1%

  

Petroleo Brasileiro SA - ADR (e)

     708      $ 10,395   

Other Securities

  

     959   
   

 

 

  
    11,354   

CANADA - 1.4%

  

Talisman Energy Inc.

     1,226        14,255   

CHINA - 1.6%

  

Other Securities

  

     15,483   

DENMARK - 0.4%

  

Other Securities

  

     4,341   

FRANCE - 10.1%

  

Alstom SA

     275        10,035   

AXA SA

     508        14,144   

BNP Paribas

     196        15,270   

Compagnie Generale des Etablissements Michelin

     120        12,786   

Credit Agricole SA (c)

     846        10,850   

Sanofi SA

     145        15,483   

Total SA

     179        10,967   

Other Securities

  

     10,397   
   

 

 

  
    99,932   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

GERMANY - 6.4%

  

Deutsche Lufthansa AG (c)

     732        15,524   

Merck KGaA

     66        11,846   

Siemens AG

     76        10,457   

Other Securities

       25,399   
   

 

 

  
      63,226   

INDIA - 0.3%

  

Other Securities

       2,642   

IRELAND - 1.3%

  

CRH Plc

     526        13,337   

ISRAEL - 0.5%

  

Other Securities

       5,202   

ITALY - 3.4%

  

ENI SpA

     421        10,163   

Intesa Sanpaolo SpA

     3,795        9,335   

UniCredit SpA

     1,865        13,760   
   

 

 

  
      33,258   

JAPAN - 3.3%

  

Other Securities

       32,297   

NETHERLANDS - 6.9%

  

Akzo Nobel NV

     199        15,412   

ING Groep NV - CVA (c)

     954        13,327   

Koninklijke Philips Electronics NV

     310        11,420   

Other Securities

       27,951   
   

 

 

  
      68,110   

PORTUGAL - 1.2%

  

Galp Energia SGPS SA

     727        11,911   

RUSSIAN FEDERATION - 0.5%

  

Other Securities

       4,885   

SINGAPORE - 1.5%

  

Other Securities

       14,859   

SOUTH KOREA - 4.3%

  

KB Financial Group Inc. - ADR

     269        10,907   

POSCO Inc. - ADR (e)

     161        12,561   

Samsung Electronics Co. Ltd. - GDR (q)

     29        18,786   
   

 

 

  
      42,254   

SPAIN - 1.1%

  

Telefonica SA

     651        10,645   

SWEDEN - 1.5%

  

Other Securities

       15,341   

SWITZERLAND - 5.2%

  

Credit Suisse Group AG

     398        12,275   

Roche Holding AG

     56        15,774   

Swiss Re AG

     119        11,011   

Other Securities

       12,248   
   

 

 

  
      51,308   

TAIWAN - 0.6%

  

Other Securities

       5,912   

TURKEY - 0.7%

  

Other Securities

       6,742   

UNITED KINGDOM - 11.4%

  

Aviva Plc

     1,510        11,299   

GlaxoSmithKline Plc

     434        11,599   

International Consolidated Airlines Group SA (c)

     2,758        18,375   

Kingfisher Plc

     1,913        12,214   

Tesco Plc

     2,065        11,468   
     Shares/Par (p)     Value  

Vodafone Group Plc

     3,870        15,235   

Other Securities

       32,817   
   

 

 

  
      113,007   

UNITED STATES OF AMERICA - 33.0%

  

Amgen Inc.

     124        14,195   

Baker Hughes Inc.

     292        16,131   

Cisco Systems Inc.

     583        13,078   

Citigroup Inc.

     300        15,640   

Comcast Corp. - Special Class A

     341        16,987   

CVS Caremark Corp.

     178        12,730   

Forest Laboratories Inc. (c)

     159        9,553   

Hewlett-Packard Co.

     429        12,001   

JPMorgan Chase & Co.

     164        9,566   

Medtronic Inc.

     248        14,221   

Merck & Co. Inc.

     234        11,696   

Microsoft Corp.

     591        22,105   

Morgan Stanley

     466        14,604   

Navistar International Corp. (c) (e)

     249        9,523   

Pfizer Inc.

     462        14,153   

Twenty-First Century Fox Inc. - Class A

     278        9,781   

Viacom Inc. - Class B

     122        10,635   

Other Securities

       99,279   
   

 

 

  
      325,878   
   

 

 

  

Total Common Stocks (cost $766,389)

  

     966,179   
   

 

 

  

SHORT TERM INVESTMENTS - 5.2%

  

Investment Companies - 2.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     21,661        21,661   

Securities Lending Collateral - 3.0%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     29,960        29,960   
   

 

 

  

Total Short Term Investments (cost $51,621)

  

     51,621   
   

 

 

  

Total Investments - 102.9% (cost $818,010)

  

         1,017,800   

Other Assets and Liabilities, Net - (2.9%)

 

     (29,009 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 988,791   
   

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund (z) *

   

CORPORATE BONDS AND NOTES - 13.0%

  

AUSTRALIA - 0.2%

  

FMG Resources August 2006 Pty Ltd.

    

6.00%, 04/01/17 (e) (r)

   $ 400      $ 425   

6.88%, 02/01/18 (r)

     1,900        2,000   

Other Securities

       1,196   
   

 

 

  
    3,621   

CANADA - 0.7%

  

B2Gold Corp., 3.25%, 10/01/18 (r) (v)

         10,160        9,144   

Inmet Mining Corp.

    

8.75%, 06/01/20 (r)

     1,900        2,061   

7.50%, 06/01/21 (r)

     400        418   

Valeant Pharmaceuticals International Inc.,

    

7.50%, 07/15/21 (r)

     600        659   
   

 

 

  
    12,282   

FRANCE - 0.1%

  

Other Securities

       2,050   

GERMANY - 0.2%

  

Other Securities

       3,074   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDIA - 0.0%

  

Other Securities

       214   

JAMAICA - 0.1%

  

Other Securities

       2,648   

LUXEMBOURG - 0.3%

  

Intelsat Jackson Holdings SA, 5.50%, 08/01/23 (r)

     800        761   

Other Securities

       3,673   
   

 

 

  
      4,434   

MEXICO - 0.3%

  

Cemex SAB de CV, 9.00%, 01/11/18 (e) (r) (v)

     5,600        6,146   

NETHERLANDS - 0.3%

  

Other Securities

       4,970   

RUSSIAN FEDERATION - 0.7%

  

Alfa Bank OJSC Via Alfa Bond Issuance Plc

    

7.88%, 09/25/17 (e) (r)

     4,800        5,328   

7.75%, 04/28/21 (r)

     5,750        6,145   
   

 

 

  
      11,473   

SOUTH AFRICA - 0.7%

  

Edcon Pty Ltd.

    

9.50%, 03/01/18 (e) (r)

     1,650        1,694   

9.50%, 03/01/18 (e) (r), EUR

     7,150        10,082   
   

 

 

  
      11,776   

SOUTH KOREA - 1.2%

  

Korea Monetary Stabilization Bond

    

2.72%, 09/09/14, KRW

     6,948,000        6,586   

2.90%, 12/02/15, KRW

     14,356,500        13,634   

Other Securities

       849   
   

 

 

  
      21,069   

SPAIN - 0.1%

  

Other Securities

       2,338   

UNITED KINGDOM - 0.6%

  

Other Securities

       9,720   

UNITED STATES OF AMERICA - 7.5%

  

Calpine Corp.

    

7.88%, 07/31/20 (r)

     445        487   

6.00%, 01/15/22 (r)

     200        205   

7.88%, 01/15/23 (q)

     90        98   

7.88%, 01/15/23 (e) (r)

     1,104        1,206   

5.88%, 01/15/24 (r)

     900        880   

Chesapeake Energy Corp.

    

6.63%, 08/15/20

     1,000        1,118   

6.13%, 02/15/21 (e)

     1,500        1,609   

Crown Castle International Corp., 5.25%, 01/15/23

     2,700        2,646   

Equinix Inc., 5.38%, 04/01/23 (e)

     2,500        2,444   

First Data Corp.

    

8.25%, 01/15/21 (e) (r)

     600        638   

11.25%, 01/15/21 (r)

     200        221   

12.63%, 01/15/21

     2,200        2,582   

Freescale Semiconductor Inc.

    

8.05%, 02/01/20 (e)

     1,900        2,042   

5.00%, 05/15/21 (e) (r)

     500        486   

6.00%, 01/15/22 (r)

     500        506   

Frontier Communications Corp.

    

8.50%, 04/15/20

     100        112   

8.75%, 04/15/22

     1,400        1,554   

7.13%, 01/15/23

     1,000        988   

7.63%, 04/15/24 (e)

     100        100   

7.88%, 01/15/27

     100        96   

Goodyear Tire & Rubber Co., 6.50%, 03/01/21

     2,500        2,650   
     Shares/Par (p)     Value  

Halcon Resources Corp.

    

9.75%, 07/15/20 (r)

     900        937   

8.88%, 05/15/21

     1,600        1,616   

9.25%, 02/15/22 (e) (r)

     600        611   

HCA Holdings Inc., 7.75%, 05/15/21 (e)

     500        546   

HCA Inc.

    

7.50%, 02/15/22

     700        768   

5.88%, 03/15/22

     1,800        1,858   

Intelsat Jackson Holdings SA, 7.50%, 04/01/21 (e)

     1,800        1,984   

MGM Resorts International

    

7.50%, 06/01/16

     500        560   

7.75%, 03/15/22 (e)

     2,000        2,235   

Reynolds Group Issuer Inc.

    

9.00%, 04/15/19 (e)

     2,300        2,467   

9.88%, 08/15/19

     300        334   

Sabine Pass Liquefaction LLC

    

5.63%, 02/01/21 (r)

     1,700        1,662   

6.25%, 03/15/22 (r)

     900        893   

5.63%, 04/15/23 (e) (r)

     800        748   

SLM Corp.

    

8.45%, 06/15/18

     1,400        1,631   

5.50%, 01/15/19

     900        934   

4.88%, 06/17/19

     800        797   

Sprint Nextel Corp.

    

9.00%, 11/15/18 (r)

     1,300        1,566   

7.00%, 03/01/20 (r)

     100        112   

6.00%, 11/15/22

     900        878   

Univision Communications Inc.

    

6.88%, 05/15/19 (r)

     500        534   

6.75%, 09/15/22 (r)

     1,200        1,314   

5.13%, 05/15/23 (e) (r)

     1,000        999   

Valeant Pharmaceuticals International Inc., 6.38%, 10/15/20 (r)

     1,800        1,897   

Other Securities

       80,892   
   

 

 

  
      131,441   
   

 

 

  

Total Corporate Bonds and Notes (cost $219,693)

  

     227,256   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 64.3%

  

BRAZIL - 3.8%

  

Brazil Inflation Indexed Notas do Tesouro Nacional

    

6.00%, 08/15/18 (s), BRL

     13,460        13,719   

6.00%, 08/15/22 (s), BRL

     12,100        12,084   

Brazil Letras do Tesouro Nacional

    

0.00%, 04/01/14 (j), BRL

     15,490        6,409   

0.00%, 01/01/16 (j), BRL

     21,970        7,455   

0.00%, 01/01/17 (j), BRL

     39,820        11,886   

Brazil Notas do Tesouro Nacional

    

10.00%, 01/01/19, BRL

     15,510        5,935   

10.00%, 01/01/21, BRL

     7,890        2,907   

10.00%, 01/01/23, BRL

     18,660        6,680   
   

 

 

  
      67,075   

CANADA - 1.5%

    

Canada Government Bond

    

1.00%, 02/01/14, CAD

     6,331        5,960   

2.00%, 03/01/14, CAD

     1,398        1,318   

0.75%, 05/01/14, CAD

     1,197        1,126   

2.25%, 08/01/14, CAD

     2,295        2,176   

1.00%, 11/01/14, CAD

     4,310        4,058   

2.00%, 12/01/14, CAD

     3,394        3,224   

1.00%, 02/01/15, CAD

     9,169        8,632   
   

 

 

  
      26,494   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

GHANA - 2.6%

  

Ghana Government Bond

    

14.00%, 10/13/14, GHS

     50        20   

14.99%, 02/23/15, GHS

     5,520        2,222   

24.00%, 05/25/15, GHS

     17,482        7,773   

21.00%, 10/26/15, GHS

     33,913        14,615   

19.24%, 05/30/16, GHS

     4,310        1,808   

26.00%, 06/05/17, GHS

     910        444   

23.00%, 08/21/17, GHS

     4,370        2,002   

19.04%, 09/24/18, GHS

     27,570        11,496   

Republic of Ghana, 7.88%, 08/07/23 (r)

     4,950        4,665   
   

 

 

  
      45,045   

HUNGARY - 7.0%

  

Hungary Government Bond

    

5.50%, 02/12/14, HUF

     16,200        75   

6.75%, 08/22/14, HUF

     2,050,000        9,694   

7.75%, 08/24/15, HUF

     42,700        211   

5.50%, 12/22/16, HUF

     58,560        282   

6.75%, 11/24/17, HUF

     2,200,000        11,028   

5.50%, 12/20/18, HUF

     3,534,630        16,913   

6.50%, 06/24/19, HUF

     54,190        270   

7.50%, 11/12/20, HUF

     2,576,490        13,408   

7.00%, 06/24/22, HUF

     2,420,330        12,220   

Hungary Government International Bond

    

4.38%, 07/04/17 (q), EUR

     5,000        7,199   

5.75%, 06/11/18 (q), EUR

     5,500        8,201   

5.38%, 02/21/23 (e)

     27,100        26,761   

6.00%, 11/24/23, HUF

     3,650,640        17,314   
   

 

 

  
      123,576   

ICELAND - 0.2%

  

Iceland Government International Bond, 5.88%, 05/11/22 (r)

     2,800        2,852   

IRELAND - 5.9%

  

Ireland Government Bond

    

5.50%, 10/18/17, EUR

     1,934        3,023   

5.90%, 10/18/19, EUR

     2,193        3,541   

4.50%, 04/18/20, EUR

     2,496        3,755   

5.00%, 10/18/20, EUR

     11,512        17,801   

5.40%, 03/13/25, EUR

     48,111        75,273   
   

 

 

  
      103,393   

LATVIA - 0.3%

  

Republic of Latvia

    

5.25%, 02/22/17 (e) (r)

     2,000        2,180   

5.25%, 06/16/21 (e) (r)

     2,500        2,700   
   

 

 

  
      4,880   

LITHUANIA - 0.2%

  

Lithuania Government International Bond, 6.13%, 03/09/21 (r)

     4,040        4,576   

MALAYSIA - 5.6%

  

Malaysia Government Bond

    

3.43%, 08/15/14, MYR

     201,240        61,614   

3.74%, 02/27/15, MYR

     53,225        16,330   

3.84%, 08/12/15, MYR

     33,260        10,237   

4.72%, 09/30/15, MYR

     25,658        8,025   

3.20%, 10/15/15, MYR

     9,880        3,010   
   

 

 

  
      99,216   

MEXICO - 3.1%

  

Mexico Bonos

    

7.00%, 06/19/14, MXN

     6,302        490   

9.50%, 12/18/14, MXN

     233,270        18,830   

6.00%, 06/18/15, MXN

     30,448        2,407   

8.00%, 12/17/15, MXN

     152,145        12,565   
     Shares/Par (p)     Value  

6.25%, 06/16/16, MXN

     203,230        16,345   

7.25%, 12/15/16, MXN

     19,370        1,597   

Mexico Government Inflation Indexed Bond

    

4.50%, 12/18/14 (s), MXN

     2,581        205   

5.00%, 06/16/16 (s), MXN

     6,623        560   

3.50%, 12/14/17 (s), MXN

     6,935        573   

4.00%, 06/13/19 (s), MXN

     4,836        410   

2.50%, 12/10/20 (s), MXN

     3,841        299   
   

 

 

  
      54,281   

PHILIPPINES - 0.9%

  

Philippine Government Bond

    

6.25%, 01/27/14, PHP

     679,200        15,365   

7.00%, 01/27/16, PHP

     2,100        52   

9.13%, 09/04/16, PHP

     1,120        30   
   

 

 

  
      15,447   

POLAND - 4.5%

  

Poland Government Bond

    

5.75%, 04/25/14, PLN

     48,000        16,053   

5.50%, 04/25/15, PLN

     3,333        1,142   

0.00%, 07/25/15 (j), PLN

     76,495        24,262   

6.25%, 10/24/15, PLN

     1,664        584   

0.00%, 01/25/16 (j), PLN

     105,644        32,871   

5.00%, 04/25/16, PLN

     13,220        4,560   
   

 

 

  
      79,472   

SERBIA - 2.5%

  

Republic of Serbia

    

10.00%, 04/05/18, RSD

     104,000        1,254   

4.88%, 02/25/20 (r)

     4,280        4,047   

7.25%, 09/28/21 (r)

     10,700        11,262   

Serbia Treasury Bond

    

10.00%, 04/27/15, RSD

     79,230        955   

10.00%, 09/14/15, RSD

     693,100        8,337   

10.00%, 09/28/15, RSD

     9,500        114   

10.00%, 11/08/15, RSD

     585,200        7,012   

10.00%, 12/06/15, RSD

     25,400        304   

10.00%, 06/27/16, RSD

     310,630        3,693   

10.00%, 08/15/16, RSD

     127,900        1,517   

10.00%, 10/17/16, RSD

     71,590        849   

10.00%, 12/19/16, RSD

     132,600        1,572   

10.00%, 11/08/17, RSD

     41,770        486   

10.00%, 04/10/18, RSD

     129,100        1,555   

10.00%, 11/21/18, RSD

     63,920        725   
   

 

 

  
      43,682   

SINGAPORE - 2.1%

  

Singapore Government Bond

    

0.25%, 02/01/14, SGD

     26,000        20,602   

3.63%, 07/01/14, SGD

     19,400        15,627   

1.13%, 04/01/16, SGD

     350        282   
   

 

 

  
      36,511   

SLOVENIA - 1.2%

  

Slovenia Government International Bond

    

5.50%, 10/26/22 (r)

     9,006        8,984   

5.85%, 05/10/23 (e) (r)

     11,615        11,789   
   

 

 

  
      20,773   

SOUTH KOREA - 10.7%

  

Korea Monetary Stabilization Bond

    

2.57%, 06/09/14, KRW

     7,029,000        6,659   

2.82%, 08/02/14, KRW

     2,289,500        2,172   

2.78%, 10/02/14, KRW

     35,131,000        33,314   

2.84%, 12/02/14, KRW

     9,784,180        9,285   

2.74%, 02/02/15, KRW

     22,958,390        21,761   

2.47%, 04/02/15, KRW

     31,819,150        30,059   

2.76%, 06/02/15, KRW

     3,545,700        3,361   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

2.80%, 08/02/15, KRW

     43,504,640        41,256   

Korea Treasury Bond

    

3.25%, 12/10/14, KRW

     4,042,000        3,850   

4.50%, 03/10/15, KRW

     256,400        248   

3.25%, 06/10/15, KRW

     1,946,700        1,858   

4.00%, 09/10/15, KRW

     1,348,300        1,303   

2.75%, 12/10/15, KRW

     23,891,140        22,620   

4.00%, 03/10/16, KRW

     512,800        498   

2.75%, 06/10/16, KRW

     4,851,500        4,589   

3.00%, 12/10/16, KRW

     4,350,500        4,139   
   

 

 

  
      186,972   

SRI LANKA - 0.6%

  

Sri Lanka Government Bond

    

11.00%, 09/01/15, LKR

     30,100        237   

8.00%, 06/01/16, LKR

     473,000        3,531   

5.80%, 01/15/17, LKR

     173,200        1,204   

5.80%, 07/15/17, LKR

     95,100        651   

8.50%, 04/01/18, LKR

     350,450        2,596   

8.50%, 06/01/18, LKR

     2,010        15   

8.50%, 07/15/18, LKR

     7,270        53   

8.00%, 11/15/18, LKR

     49,290        350   

9.00%, 05/01/21, LKR

     296,620        2,107   
   

 

 

  
      10,744   

SWEDEN - 2.7%

  

Kommuninvest I Sverige AB, 2.25%, 05/05/14, SEK

     67,380        10,527   

Sweden Government Bond, 6.75%, 05/05/14, SEK

     235,090        37,265   
   

 

 

  
      47,792   

UKRAINE - 4.1%

  

Ukraine Government International Bond

    

6.25%, 06/17/16 (r)

     580        544   

6.58%, 11/21/16 (r)

     696        653   

9.25%, 07/24/17 (r)

     14,310        14,268   

6.75%, 11/14/17 (e) (r)

     7,360        6,771   

7.75%, 09/23/20 (r)

     1,357        1,252   

7.95%, 02/23/21 (e) (r)

     9,700        8,948   

7.80%, 11/28/22 (e) (r)

     21,300        19,255   

7.50%, 04/17/23 (e) (r)

     22,130        19,818   

Other Securities

       91   
   

 

 

  
      71,600   

URUGUAY - 4.8%

  

Uruguay Government International Inflation Indexed Bond

    

5.00%, 09/14/18 (n), UYU

     28,179        1,408   

4.25%, 04/05/27 (n), UYU

     44,207        2,090   

4.38%, 12/15/28 (n), UYU

     575,878        27,334   

3.70%, 06/26/37 (n), UYU

     8,936        378   

Uruguay Inflation Indexed Notas del Tesoro

    

7.00%, 12/23/14 (s), UYU

     29,667        1,419   

4.00%, 06/14/15 (s), UYU

     26,606        1,246   

4.00%, 06/14/15 (s), UYU

     113,201        5,299   

2.75%, 06/16/16 (s), UYU

     84,442        3,891   

4.25%, 01/05/17 (s), UYU

     5,083        239   

2.25%, 08/23/17 (s), UYU

     27,040        1,199   

3.25%, 01/27/19 (s), UYU

     249        12   

4.00%, 06/10/20 (s), UYU

     98,183        4,596   

2.50%, 09/27/22 (s), UYU

     53,449        2,180   

4.00%, 05/25/25 (s), UYU

     54,018        2,550   

Uruguay Notas del Tesoro

    

9.00%, 01/27/14, UYU

     16,525        765   

9.00%, 01/27/14, UYU

     89,840        4,161   

9.75%, 06/14/14, UYU

     35,153        1,612   

10.50%, 03/21/15, UYU

     152,454        6,842   

10.25%, 08/22/15, UYU

     131,038        5,792   
     Shares/Par (p)     Value  

9.50%, 01/27/16, UYU

         192,343        8,182   

11.00%, 03/21/17, UYU

     19,910        847   

Other Securities

       1,717   
   

 

 

  
      83,759   
   

 

 

  

Total Government and Agency Obligations (cost $1,113,006)

   

     1,128,140   
   

 

 

  

OTHER EQUITY INTERESTS - 0.2%

  

ITALY - 0.2%

  

Wind Acquisition Finance SA (r) (u)

     2,800        2,978   
   

 

 

  

Total Other Equity Interests (cost $2,761)

  

     2,978   
   

 

 

  

COMMON STOCKS - 0.0%

  

UNITED KINGDOM - 0.0%

  

Other Securities

       341   
   

 

 

  

Total Common Stocks (cost $466)

  

     341   
   

 

 

  

PREFERRED STOCKS - 0.0%

  

UNITED KINGDOM - 0.0%

  

Other Securities

       759   
   

 

 

  

Total Preferred Stocks (cost $1,030)

  

     759   
   

 

 

  

SHORT TERM INVESTMENTS - 24.7%

  

Investment Companies - 10.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     178,628        178,628   

Securities Lending Collateral - 6.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     107,052        107,052   

Treasury Securities - 8.4%

  

Bank Negara Malaysia Monetary Note

    

0.85%, 02/06/14, MYR

   $ 31,140        9,480   

0.85%, 02/18/14, MYR

     16,895        5,138   

0.85%, 02/20/14, MYR

     17,540        5,334   

0.85%, 02/25/14, MYR

     13,510        4,106   

0.86%, 03/13/14, MYR

     3,295        1,000   

0.85%, 03/27/14, MYR

     30        9   

0.85%, 04/24/14, MYR

     110        33   

0.85%, 05/20/14, MYR

     60        18   

0.85%, 07/15/14, MYR

     11,530        3,465   

0.85%, 07/24/14, MYR

     16,140        4,847   

0.86%, 10/02/14, MYR

     26,320        7,860   

0.86%, 10/16/14, MYR

     6,350        1,894   

0.88%, 11/06/14, MYR

     5,425        1,616   

Hungary Treasury Bill, 0.02%, 06/25/14, HUF

     109,680        501   

Malaysia Treasury Bill, 0.86%, 05/30/14, MYR

     2,310        697   

Mexico Cetes

    

0.30%, 01/09/14, MXN

     3,431        2,626   

0.28%, 03/20/14, MXN

     2,201        1,673   

0.26%, 04/03/14, MXN

     8,641        6,560   

0.29%, 04/30/14, MXN

     6,633        5,022   

0.27%, 08/21/14, MXN

     1,566        1,172   

0.27%, 10/16/14, MXN

     4,214        3,137   

0.27%, 12/11/14, MXN

     5,364        3,969   

Monetary Authority of Singapore

    

0.24%, 01/03/14, SGD

     7,810        6,189   

0.24%, 02/14/14, SGD

     1,190        943   

Philippine Treasury Bill

    

0.00%, 04/10/14, PHP

     6,265        141   

0.02%, 06/04/14, PHP

     339,510        7,637   

0.02%, 07/02/14, PHP

     17,560        395   

0.02%, 09/03/14, PHP

     136,000        3,052   

0.00%,10/08/14, PHP

     11,180        250   

Serbia Treasury Bill, 0.13%, 03/13/14, RSD

     28,100        331   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Singapore Treasury Bill

    

0.22%, 01/10/14, SGD

     6,251        4,953   

0.18%, 01/24/14, SGD

     1,230        974   

0.17%, 03/21/14, SGD

     12,500        9,900   

0.23%, 04/04/14, SGD

     350        277   

0.23%, 05/30/14, SGD

     17,217        13,624   

Uruguay Treasury Bill

    

0.35%, 03/07/14, UYU

     700        32   

0.41%, 04/11/14, UYU

     36,465        1,628   

0.39%, 05/16/14, UYU

     27,140        1,195   

0.36%, 06/20/14, UYU

     10,100        439   

0.40%, 07/24/14, UYU

     19,360        830   

0.53%, 08/29/14, UYU

     16,221        686   

0.38%, 09/11/14, UYU

     4,980        210   

0.40%, 12/18/14, UYU

     7,590        309   

0.47%, 02/05/15, UYU

     7,260        290   

0.46%, 03/26/15, UYU

     80,404        3,147   

0.38%, 05/14/15, UYU

     55,575        2,136   

0.43%, 07/02/15, UYU

     20,958        796   

0.55%, 08/20/15, UYU

     417,241        15,600   

0.56%, 10/08/15, UYU

     10,400        383   

0.56%, 11/26/15, UYU

     6,520        236   
   

 

 

  
      146,740   
   

 

 

  

Total Short Term Investments (cost $436,915)

  

     432,420   
   

 

 

  

Total Investments - 102.2% (cost $1,773,871)

  

     1,791,894   

Other Assets and Liabilities, Net - (2.2%)

 

     (38,986 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,752,908   
   

 

 

  

JNL/Franklin Templeton Income Fund (z) *

  

COMMON STOCKS - 52.8%

  

CONSUMER DISCRETIONARY - 0.9%

  

Other Securities

     $ 19,039   

CONSUMER STAPLES - 1.8%

  

Coca-Cola Co.

     328        13,529   

PepsiCo Inc.

     187        15,502   

Other Securities

       9,406   
   

 

 

  
      38,437   

ENERGY - 9.1%

  

BP Plc - ADR

     720        34,999   

Chesapeake Energy Corp.

     190        5,157   

Chevron Corp.

     126        15,726   

Exxon Mobil Corp.

     243        24,551   

Royal Dutch Shell Plc - ADR

     668        47,637   

Schlumberger Ltd.

     152        13,706   

Other Securities

       58,735   
   

 

 

  
      200,511   

FINANCIALS - 5.6%

  

Bank of America Corp.

     970        15,103   

JPMorgan Chase & Co.

     511        29,854   

Royal Bank of Canada

     113        7,576   

Wells Fargo & Co.

     955        43,348   

Other Securities

       27,483   
   

 

 

  
      123,364   

HEALTH CARE - 6.0%

  

Johnson & Johnson

     275        25,187   

Merck & Co. Inc.

     757        37,878   

Pfizer Inc.

     739        22,633   

Roche Holding AG

     96        26,752   

Sanofi SA - ADR

     250        13,407   
     Shares/Par (p)     Value  

Other Securities

       6,635   
   

 

 

  
      132,492   

INDUSTRIALS - 4.1%

  

General Electric Co.

     1,219        34,174   

Lockheed Martin Corp.

     91        13,513   

Other Securities

       43,107   
   

 

 

  
      90,794   

INFORMATION TECHNOLOGY - 4.0%

  

Apple Inc.

     31        17,114   

Cisco Systems Inc.

     561        12,599   

Intel Corp.

     1,050        27,256   

Other Securities

       29,777   
   

 

 

  
      86,746   

MATERIALS - 9.0%

  

BHP Billiton Plc

     841        26,093   

Dow Chemical Co.

     775        34,388   

E.I. du Pont de Nemours & Co.

     253        16,444   

Freeport-McMoRan Copper & Gold Inc.

     447        16,862   

LyondellBasell Industries NV - Class A

     270        21,676   

Rio Tinto Plc - ADR (e)

     519        29,298   

Other Securities

       51,512   
   

 

 

  
      196,273   

TELECOMMUNICATION SERVICES - 1.5%

  

AT&T Inc.

     500        17,580   

Other Securities

       16,036   
   

 

 

  
      33,616   

UTILITIES - 10.8%

  

Dominion Resources Inc.

     250        16,185   

Duke Energy Corp.

     421        29,081   

Entergy Corp.

     200        12,654   

Exelon Corp.

     460        12,599   

NextEra Energy Inc.

     233        19,969   

PG&E Corp.

     566        22,811   

Sempra Energy

     175        15,708   

Southern Co.

     609        25,035   

Other Securities

       81,683   
   

 

 

  
      235,725   
   

 

 

  

Total Common Stocks (cost $996,818)

  

     1,156,997   
   

 

 

  

EQUITY LINKED STRUCTURED NOTES - 3.9%

  

ENERGY - 2.3%

  

Bank of America Corp. Equity Linked Note (Peabody Energy Corp.), 10.00% (r)

     313        6,233   

Bank of America Corp. Equity Linked Note (Schlumberger Ltd.), 6.00% (r)

     100        8,926   

Royal Bank of Canada Equity Linked Note (Halliburton Co.), 7.00% (r)

     475        22,408   

Other Securities

       12,766   
   

 

 

  
      50,333   

FINANCIALS - 1.0%

  

JPMorgan Chase & Co. Equity Linked Note (Bank of America Corp.), 6.50% (r)

     1,595        22,179   

INFORMATION TECHNOLOGY - 0.3%

  

Other Securities

       7,317   

MATERIALS - 0.3%

  

Other Securities

       5,577   
   

 

 

  

Total Equity Linked Structured Notes (cost $81,685)

  

     85,406   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

PREFERRED STOCKS - 3.1%

  

ENERGY - 1.0%

  

Chesapeake Energy Corp., 5.75% (m) (r) (v)

     5        5,214   

Sanchez Energy Corp., 4.88% (m) (r) (v)

     50        3,113   

Sanchez Energy Corp., 6.50%, Class B (m) (r) (v)

     80        5,212   

SandRidge Energy Inc., 7.00% (e) (m) (v)

     50        4,956   

Other Securities

       3,969   
   

 

 

  
      22,464   

FINANCIALS - 1.6%

  

Bank of America Corp., 7.25%, Series L (m) (v)

     12        12,594   

Wells Fargo & Co., 7.50%, Series L (m) (v)

     10        11,050   

Other Securities

       10,759   
   

 

 

  
      34,403   

INDUSTRIALS - 0.1%

  

Other Securities

       1,725   

MATERIALS - 0.1%

  

Other Securities

       3,120   

UTILITIES - 0.3%

  

Dominion Resources Inc., 6.13% (v)

     37        1,975   

Dominion Resources Inc., 6.00% (v)

     37        1,979   

NextEra Energy Inc., 5.89% (v)

     48        2,707   
   

 

 

  
      6,661   
   

 

 

  

Total Preferred Stocks (cost $73,068)

  

     68,373   
   

 

 

  

WARRANTS - 0.0%

  

Other Securities

       45   
   

 

 

  

Total Warrants (cost $769)

  

     45   
   

 

 

  

CORPORATE BONDS AND NOTES - 36.2%

  

CONSUMER DISCRETIONARY - 6.9%

  

Chrysler Group LLC

    

8.00%, 06/15/19

   $ 6,000        6,630   

8.25%, 06/15/21

     6,400        7,280   

Clear Channel Communications Inc.

    

9.00%, 12/15/19 (e)

     2,356        2,403   

14.00%, 02/01/21 (e) (r) (y)

     1,100        998   

9.00%, 03/01/21

     16,000        16,160   

Clear Channel Communications Inc. Term Loan, 6.95%, 01/30/19 (i)

     10,000        9,537   

Other Securities

       107,903   
   

 

 

  
      150,911   

CONSUMER STAPLES - 1.8%

  

Other Securities

       38,897   

ENERGY - 8.4%

  

Chesapeake Energy Corp.

    

6.50%, 08/15/17 (e)

     4,000        4,510   

7.25%, 12/15/18

     5,000        5,775   

5.75%, 03/15/23 (e)

     8,500        8,755   

Chesapeake Energy Corp. Term Loan, 5.75%, 12/02/17 (i)

     6,000        6,120   

Sabine Pass Liquefaction LLC

    

5.63%, 02/01/21 (r)

     7,500        7,331   

6.25%, 03/15/22 (r)

     7,500        7,444   

Sabine Pass LNG LP

    

7.50%, 11/30/16 (e)

     2,500        2,825   

6.50%, 11/01/20

     2,500        2,594   

Sanchez Energy Corp, 7.75%, 06/15/21 (r)

     5,500        5,624   

SandRidge Energy Inc.

    

8.75%, 01/15/20

     2,000        2,155   

7.50%, 03/15/21 (e)

     4,400        4,609   
     Shares/Par (p)     Value  

7.50%, 02/15/23

     1,800        1,827   

Other Securities

       125,099   
   

 

 

  
      184,668   

FINANCIALS - 2.1%

  

Bank of America Corp., 8.13%, (callable at 100 beginning 05/15/18) (e) (i) (m)

     1,000        1,119   

JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (i) (m)

     11,500        12,679   

Other Securities

       32,517   
   

 

 

  
      46,315   

HEALTH CARE - 2.5%

  

HCA Inc.

    

6.50%, 02/15/16

     1,200        1,313   

6.50%, 02/15/20

     4,300        4,725   

7.50%, 02/15/22

     4,100        4,500   

5.88%, 05/01/23

     5,000        4,937   

Tenet Healthcare Corp.

    

9.25%, 02/01/15

     4,800        5,172   

8.00%, 08/01/20 (e)

     3,404        3,698   

8.13%, 04/01/22 (e)

     9,800        10,559   

Other Securities

       19,226   
   

 

 

  
      54,130   

INDUSTRIALS - 2.3%

  

Other Securities

       51,477   

INFORMATION TECHNOLOGY - 4.2%

  

First Data Corp.

    

11.25%, 03/31/16

     5,144        5,157   

8.25%, 01/15/21 (e) (r)

     15,914        16,929   

12.63%, 01/15/21

     11,000        12,911   

8.75%, 01/15/22 (r) (y)

     3,198        3,414   

First Data Corp. Extended Term Loan, 4.18%, 03/24/18 (i)

     9,123        9,129   

Freescale Semiconductor Inc.

    

10.13%, 12/15/16 (e)

     1,060        1,081   

8.05%, 02/01/20 (e)

     11,500        12,363   

10.75%, 08/01/20

     7,786        8,837   

Other Securities

       22,450   
   

 

 

  
      92,271   

MATERIALS - 2.9%

  

Cemex SAB de CV

    

3.25%, 03/15/16 (v)

     3,625        4,776   

9.00%, 01/11/18 (e) (r)

     6,000        6,585   

3.75%, 03/15/18 (v)

     2,125        2,882   

5.88%, 03/25/19 (e) (r)

     2,000        2,005   

7.25%, 01/15/21 (r)

     6,000        6,210   

Other Securities

       41,178   
   

 

 

  
      63,636   

TELECOMMUNICATION SERVICES - 3.9%

  

Sprint Corp.

    

7.88%, 09/15/23 (r)

     9,400        10,105   

7.13%, 06/15/24 (r)

     5,500        5,582   

Sprint Nextel Corp.

    

9.13%, 03/01/17

     3,300        3,878   

8.38%, 08/15/17 (e)

     90        104   

9.00%, 11/15/18 (r)

     7,500        9,037   

7.00%, 08/15/20 (e)

     5,000        5,413   

11.50%, 11/15/21

     7,500        9,825   

Other Securities

       41,010   
   

 

 

  
      84,954   

UTILITIES - 1.2%

  

Other Securities

       26,484   
   

 

 

  

Total Corporate Bonds and Notes (cost $740,825)

  

     793,743   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

OTHER EQUITY INTERESTS - 0.0%

  

Other Securities

       1   
   

 

 

  

Total Other Equity Interests (cost $14)

  

     1   
   

 

 

  

SHORT TERM INVESTMENTS - 13.1%

  

Investment Companies - 2.8%

  

JNL Money Market Fund, 0.01% (a) (h)

     61,934        61,934   

Securities Lending Collateral - 10.3%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     225,418        225,418   
   

 

 

  

Total Short Term Investments (cost $287,352)

  

     287,352   
   

 

 

  

Total Investments - 109.1% (cost $2,180,531)

  

     2,391,917   

Other Assets and Liabilities, Net - (9.1%)

 

     (198,890 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,193,027   
   

 

 

  

JNL/Franklin Templeton International Small Cap Growth Fund

   

COMMON STOCKS - 94.9%

  

AUSTRALIA - 0.0%

  

Iluka Resources Ltd. (e)

     28      $ 214   

AUSTRIA - 1.0%

  

Flughafen Wien AG

     47        3,978   

Wienerberger AG

     37        590   
   

 

 

  
      4,568   

BELGIUM - 2.0%

  

Barco NV (e)

     9        669   

RHJ International (c)

     1,643        8,341   
   

 

 

  
      9,010   

BERMUDA - 2.7%

  

Arch Capital Group Ltd. (c) (e)

     184        10,971   

Axis Capital Holdings Ltd.

     23        1,072   
   

 

 

  
      12,043   

BRAZIL - 0.2%

  

Cia de Saneamento de Minas Gerais

     24        383   

Diagnosticos da America SA

     76        471   

Lojas Renner SA

     10        248   
   

 

 

  
      1,102   

CANADA - 4.2%

  

AGF Management Ltd. (e)

     61        764   

ATS Automation Tooling Systems Inc. (c)

     6        78   

Canaccord Genuity Group Inc.

     42        277   

Dorel Industries Inc.

     23        887   

Enerflex Ltd.

     54        767   

Ensign Energy Services Inc.

     6        98   

Fairfax Financial Holdings Ltd.

     31        12,537   

Genworth MI Canada Inc. (e)

     29        1,014   

HudBay Minerals Inc.

     130        1,070   

Mullen Group Ltd.

     36        954   

Trican Well Service Ltd. (e)

     8        98   
   

 

 

  
      18,544   

CHINA - 0.3%

  

China ZhengTong Auto Services Holdings Ltd. (c)

     98        63   

Daphne International Holdings Ltd. (e)

     804        363   

Kingdee International Software Group Co. Ltd. (c)

     1,416        432   
     Shares/Par (p)     Value  

Springland International Holdings Ltd.

     667        343   
   

 

 

  
      1,201   

FINLAND - 3.7%

  

Amer Sports Oyj - Class A

     62        1,288   

Huhtamaki Oyj

     53        1,357   

Uponor Oyj

     707        13,799   
   

 

 

  
      16,444   

FRANCE - 7.3%

  

Beneteau SA (c)

     707        13,203   

Euler Hermes SA

     130        17,966   

IPSOS

     24        1,037   
   

 

 

  
      32,206   

GERMANY - 1.1%

  

Gerresheimer AG

     17        1,173   

Gildemeister AG

     31        992   

Jenoptik AG

     17        287   

Kloeckner & Co. SE (c)

     63        863   

Leoni AG

     10        761   

Rational AG

     3        886   
   

 

 

  
      4,962   

GREECE - 3.4%

  

JUMBO SA (c)

     930        14,836   

HONG KONG - 2.9%

  

AAC Technologies Holdings Inc. (e)

     159        774   

Digital China Holdings Ltd.

     234        276   

Experian Plc

     378        6,986   

Luk Fook Holdings International Ltd.

     16        61   

MIE Holdings Corp.

     1,378        292   

Stella International Holdings Ltd.

     242        617   

Techtronic Industries Co.

     475        1,351   

Value Partners Group Ltd. (e)

     583        453   

VTech Holdings Ltd. (e)

     104        1,345   

Yingde Gases (e)

     779        817   
   

 

 

  
      12,972   

INDIA - 0.1%

  

Jain Irrigation Systems Ltd.

     317        373   

IRELAND - 11.8%

    

C&C Group Plc

     2,256        13,190   

Grafton Group Plc

     1,943        20,823   

Green REIT plc (c)

     4,472        8,871   

Irish Continental Group Plc

     250        9,114   
   

 

 

  
      51,998   

ITALY - 3.7%

  

Amplifon SpA

     44        246   

Azimut Holding SpA

     9        239   

MARR SpA

     32        532   

Prysmian SpA

     571        14,689   

Sorin SpA (c)

     167        477   
   

 

 

  
      16,183   

JAPAN - 8.1%

  

Aderans Holdings Co. Ltd.

     735        8,130   

Asahi Co. Ltd.

     35        491   

Asatsu-DK Inc. (e)

     277        6,526   

Asics Corp.

     78        1,338   

Daibiru Corp.

     310        3,795   

Descente Ltd.

     86        584   

en-japan Inc.

     19        412   

Keihin Corp. (e)

     33        508   

Kobayashi Pharmaceutical Co. Ltd.

     24        1,329   

Meitec Corp.

     39        1,068   

Nissin Kogyo Co. Ltd.

     16        341   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Sankyo Co. Ltd.

     159        7,347   

Seria Co. Ltd.

     8        301   

Shinko Plantech Co. Ltd.

     44        339   

Square Enix Holdings Co. Ltd.

     47        817   

Sumitomo Rubber Industries Inc.

     82        1,166   

Tokai Rika Co. Ltd.

     15        289   

Unipres Corp.

     40        746   
   

 

 

  
      35,527   

NETHERLANDS - 6.7%

  

Aalberts Industries NV

     41        1,301   

Accell Group

     24        440   

Arcadis NV

     38        1,352   

Beter Bed Holding NV

     29        714   

Royal Imtech NV (c) (e)

     79        232   

Sligro Food Group NV

     364        14,117   

TNT NV

     1,165        10,833   

USG People NV

     49        653   
   

 

 

  
      29,642   

NORWAY - 0.3%

  

Schibsted ASA

     13        843   

Tomra Systems ASA (e)

     60        557   
   

 

 

  
      1,400   

PHILIPPINES - 0.2%

  

Metropolitan Bank & Trust Co.

     196        336   

Vista Land & Lifescapes Inc.

     4,376        513   
   

 

 

  
      849   

RUSSIAN FEDERATION - 0.1%

  

X5 Retail Group NV - GDR (c) (q)

     35        587   

SINGAPORE - 1.8%

  

ARA Asset Management Ltd.

     5,312        7,838   

SOUTH KOREA - 1.6%

  

Binggrae Co. Ltd.

     7        647   

BS Financial Group Inc.

     75        1,137   

Daum Communications Corp.

     4        296   

DGB Financial Group Inc.

     72        1,125   

Halla Visteon Climate Control Corp.

     29        1,062   

Hyundai Mipo Dockyard Co. Ltd.

     5        823   

KIWOOM Securities Co. Ltd.

     5        220   

Korea Investment Holdings Co. Ltd.

     8        327   

Mirae Asset Securities Co. Ltd.

     2        78   

Sindoh Co. Ltd.

     11        749   

Youngone Corp.

     11        439   
   

 

 

  
      6,903   

SPAIN - 3.5%

  

Construcciones y Auxiliar de Ferrocarriles SA

     2        943   

Melia Hotels International SA (e)

     30        385   

Tecnicas Reunidas SA (e)

     17        920   

Zardoya Otis SA (e)

     724        13,112   
   

 

 

  
      15,360   

SWEDEN - 0.2%

  

Duni AB

     7        86   

Oriflame Cosmetics SA - SDR (e)

     28        855   
   

 

 

  
      941   

SWITZERLAND - 1.3%

  

Forbo Holding AG

     —        324   

Logitech International SA (e)

     39        537   

Nobel Biocare Holding AG

     48        752   

Panalpina Welttransport Holding AG

     20        3,326   

Vontobel Holding AG

     14        600   
   

 

 

  
      5,539   
     Shares/Par (p)     Value  

TAIWAN - 0.7%

  

D-Link Corp.

     1,037        629   

Giant Manufacturing Co. Ltd.

     137        944   

Simplo Technology Co. Ltd.

     239        1,061   

Tripod Technology Corp.

     299        537   
   

 

 

  
      3,171   

THAILAND - 0.1%

  

Hana Microelectronics PCL

     379        291   

TURKEY - 0.1%

  

Aygaz A/S

     76        291   

UNITED KINGDOM - 22.6%

  

African Minerals Ltd. (c)

     137        451   

Alent Plc

     2,223        13,066   

Bellway Plc

     16        427   

Berendsen Plc

     29        450   

Bodycote Plc

     8        85   

Bovis Homes Group Plc

     27        361   

Carpetright Plc (c)

     1,007        8,387   

Debenhams Plc

     506        613   

Dignity Plc

     4        90   

Direct Line Insurance Group Plc

     41        168   

Greggs Plc

     111        793   

Headlam Group Plc

     1,365        9,164   

HomeServe Plc

     23        104   

Just Retirement Group Plc (c)

     69        241   

Keller Group Plc

     437        8,319   

Laird Plc

     197        903   

Man Group Plc

     503        711   

McBride Plc

     1,540        2,544   

Michael Page International Plc

     1,861        15,062   

Morgan Sindall Group Plc

     443        5,549   

Persimmon Plc

     7        145   

Savills Plc

     1,032        11,039   

SIG Plc

     212        746   

Sthree Plc

     987        5,917   

United Business Media Ltd.

     24        259   

Vectura Group Plc (c)

     160        371   

Vesuvius Plc

     1,606        13,578   
   

 

 

  
      99,543   

UNITED STATES OF AMERICA - 3.2%

  

Flextronics International Ltd. (c)

     69        539   

RenaissanceRe Holdings Ltd.

     134        13,063   

Steiner Leisure Ltd. (c)

     14        705   
   

 

 

  
      14,307   
   

 

 

  

Total Common Stocks (cost $329,358)

  

     418,845   
   

 

 

  

PREFERRED STOCKS - 0.1%

  

GERMANY - 0.1%

  

Draegerwerk AG & Co. KGaA (e)

     4        549   
   

 

 

  

Total Preferred Stocks (cost $524)

  

     549   
   

 

 

  

INVESTMENT COMPANIES - 0.5%

  

iShares MSCI EAFE Small-Cap ETF (e)

     40        2,029   
   

 

 

  

Total Investment Companies (cost $1,977)

  

     2,029   
   

 

 

  

SHORT TERM INVESTMENTS - 7.4%

  

Investment Companies - 4.1%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     18,085        18,085   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Securities Lending Collateral - 3.3%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     14,539        14,539   
   

 

 

  

Total Short Term Investments (cost $32,624)

  

     32,624   
   

 

 

  

Total Investments - 102.9% (cost $364,483)

  

     454,047   

Other Assets and Liabilities, Net - (2.9%)

 

     (12,892 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     441,155   
   

 

 

  

JNL/Franklin Templeton Mutual Shares Fund (z) *

  

COMMON STOCKS - 87.6%

  

CONSUMER DISCRETIONARY - 8.9%

  

CBS Corp. - Class B

     196      $ 12,489   

General Motors Co. (c)

     333        13,606   

Kohl’s Corp.

     160        9,073   

Reed Elsevier Plc

     1,207        18,007   

Time Warner Cable Inc.

     106        14,404   

Twenty-First Century Fox Inc. - Class B

     625        21,630   

Other Securities

       10,262   
   

 

 

  
      99,471   

CONSUMER STAPLES - 12.6%

  

Altria Group Inc.

     296        11,363   

British American Tobacco Plc

     338        18,162   

CVS Caremark Corp. (e)

     257        18,359   

Imperial Tobacco Group Plc

     272        10,538   

Kroger Co.

     400        15,822   

Lorillard Inc.

     235        11,895   

Tesco Plc

     1,962        10,898   

Walgreen Co.

     221        12,687   

Other Securities

       31,669   
   

 

 

  
      141,393   

ENERGY - 11.7%

  

Apache Corp.

     212        18,217   

Baker Hughes Inc.

     236        13,052   

BG Group Plc

     425        9,144   

BP Plc

     1,134        9,190   

CONSOL Energy Inc.

     289        10,996   

Marathon Oil Corp.

     516        18,225   

Royal Dutch Shell Plc - Class A

     508        18,142   

Transocean Ltd.

     226        11,170   

Other Securities

       23,383   
   

 

 

  
      131,519   

FINANCIALS - 18.6%

  

ACE Ltd.

     175        18,068   

Alleghany Corp. (c)

     27        10,814   

American International Group Inc.

     491        25,042   

Citigroup Inc.

     244        12,738   

ING Groep NV - CVA (c)

     713        9,953   

JPMorgan Chase & Co.

     257        15,004   

MetLife Inc.

     214        11,545   

PNC Financial Services Group Inc.

     253        19,620   

SunTrust Banks Inc.

     264        9,734   

White Mountains Insurance Group Ltd.

     17        10,334   

Other Securities

       65,711   
   

 

 

  
      208,563   

HEALTH CARE - 10.7%

  

CIGNA Corp.

     241        21,043   

Medtronic Inc.

     396        22,749   

Merck & Co. Inc.

     662        33,140   
     Shares/Par (p)     Value  

Teva Pharmaceutical Industries Ltd. - ADR

     445        17,839   

Other Securities

       25,299   
   

 

 

  
      120,070   

INDUSTRIALS - 4.2%

  

A P Moller - Maersk A/S - Class B

     1        15,053   

Huntington Ingalls Industries Inc.

     118        10,639   

Other Securities

       20,853   
   

 

 

  
      46,545   

INFORMATION TECHNOLOGY - 11.2%

  

Apple Inc.

     49        27,320   

Cisco Systems Inc.

     585        13,127   

Hewlett-Packard Co.

     380        10,625   

Microsoft Corp.

     802        30,036   

Symantec Corp.

     617        14,551   

Xerox Corp.

     1,337        16,269   

Other Securities

       13,821   
   

 

 

  
      125,749   

MATERIALS - 5.2%

  

Freeport-McMoRan Copper & Gold Inc.

     438        16,513   

International Paper Co.

     316        15,476   

Other Securities

       26,410   
   

 

 

  
      58,399   

TELECOMMUNICATION SERVICES - 2.4%

  

Vodafone Group Plc

     6,753        26,586   

UTILITIES - 2.1%

  

Other Securities

       23,354   
   

 

 

  

Total Common Stocks (cost $756,242)

  

     981,649   
   

 

 

  

PURCHASED OPTIONS - 0.1%

  

Other Securities

       605   
   

 

 

  

Total Purchased Options (cost $697)

  

     605   
   

 

 

  

CORPORATE BONDS AND NOTES - 5.0%

  

CONSUMER DISCRETIONARY - 2.1%

  

Clear Channel Communications Inc., 9.00%, 12/15/19

   $     7,449        7,598   

Clear Channel Communications Inc. Term Loan, 6.94%, 01/30/19 (i)

     4,339        4,139   

Clear Channel Communications Inc. Term Loan B, 3.89%, 01/29/16 (i)

     1,329        1,285   

Clear Channel Communications Inc. Term Loan C, 3.89%, 01/29/16 (i)

     141        135   

Other Securities

       10,640   
   

 

 

  
      23,797   

ENERGY - 0.4%

  

Other Securities

       4,799   

FINANCIALS - 0.0%

  

Other Securities

       —   

INDUSTRIALS - 0.5%

  

Other Securities

       5,040   

TELECOMMUNICATION SERVICES - 1.0%

  

Other Securities

       10,807   

UTILITIES - 1.0%

  

Texas Competitive Electric Holdings Co. LLC

    

10.25%, 11/01/15

     5,763        360   

11.50%, 10/01/20 (r)

     4,182        3,074   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Texas Competitive Electric Holdings Co. LLC Term Loan, 4.68%, 10/10/17 (i)

     11,682        8,068   
   

 

 

  
      11,502   
   

 

 

  

Total Corporate Bonds and Notes (cost $57,550)

  

     55,945   
   

 

 

  

OTHER EQUITY INTERESTS - 1.1%

  

Lehman Brothers Holdings Inc. Bankruptcy Claims (c) (u)

     27,190        12,031   

Other Securities

       149   
   

 

 

  

Total Other Equity Interests (cost $12,165)

  

     12,180   
   

 

 

  

SHORT TERM INVESTMENTS - 7.4%

  

Investment Companies - 6.7%

  

JNL Money Market Fund, 0.01% (a) (h)

     75,343        75,343   

Securities Lending Collateral - 0.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     8,195        8,195   
   

 

 

  

Total Short Term Investments (cost $83,538)

  

     83,538   
   

 

 

  

Total Investments - 101.2% (cost $910,192)

  

     1,133,917   

Other Assets and Liabilities, Net - (1.2%)

 

     (13,641 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,120,276   
   

 

 

  

JNL/Franklin Templeton Small Cap Value Fund (z) *

  

COMMON STOCKS - 89.7%

  

CONSUMER DISCRETIONARY - 21.1%

  

Brown Shoe Co. Inc.

     530      $ 14,914   

Brunswick Corp.

     221        10,193   

Cato Corp. - Class A

     325        10,335   

GameStop Corp. - Class A

     204        10,059   

Genesco Inc. (c)

     140        10,192   

Gentex Corp. (e)

     380        12,526   

Group 1 Automotive Inc.

     230        16,356   

Harman International Industries Inc.

     167        13,628   

Hillenbrand Inc.

     450        13,230   

La-Z-Boy Inc.

     570        17,670   

Men’s Wearhouse Inc.

     357        18,226   

Thor Industries Inc.

     410        22,644   

Other Securities

       48,199   
   

 

 

  
      218,172   

ENERGY - 8.9%

  

Atwood Oceanics Inc. (c)

     235        12,546   

Bristow Group Inc.

     196        14,727   

Helix Energy Solutions Group Inc. (c)

     526        12,193   

Tidewater Inc.

     247        14,640   

Unit Corp. (c)

     305        15,744   

Other Securities

       22,248   
   

 

 

  
      92,098   

FINANCIALS - 10.8%

  

Hanover Insurance Group Inc.

     195        11,643   

Old Republic International Corp.

     623        10,759   

Protective Life Corp.

     340        17,224   

StanCorp Financial Group Inc.

     275        18,205   

Other Securities

       53,875   
   

 

 

  
      111,706   

HEALTH CARE - 3.3%

  

STERIS Corp.

     311        14,940   

Other Securities

       19,066   
   

 

 

  
      34,006   
     Shares/Par (p)     Value  

INDUSTRIALS - 31.6%

  

AAR Corp.

     602        16,868   

Apogee Enterprises Inc.

     330        11,850   

Briggs & Stratton Corp.

     500        10,880   

Carlisle Cos. Inc.

     160        12,720   

EMCOR Group Inc.

     280        11,883   

EnPro Industries Inc. (c) (e)

     225        12,971   

Franklin Electric Co. Inc.

     226        10,067   

Genesee & Wyoming Inc. - Class A (c)

     103        9,845   

Granite Construction Inc.

     471        16,469   

Kennametal Inc.

     230        11,955   

Lincoln Electric Holdings Inc.

     217        15,452   

McGrath RentCorp

     261        10,392   

Mine Safety Appliances Co.

     226        11,573   

Regal-Beloit Corp.

     224        16,521   

Simpson Manufacturing Co. Inc.

     278        10,218   

SkyWest Inc. (e)

     669        9,918   

Trinity Industries Inc.

     341        18,570   

Universal Forest Products Inc.

     295        15,381   

Wabash National Corp. (c)

     892        11,015   

Other Securities

       81,731   
   

 

 

  
      326,279   

INFORMATION TECHNOLOGY - 2.6%

  

Benchmark Electronics Inc. (c)

     417        9,617   

Other Securities

       17,247   
   

 

 

  
      26,864   

MATERIALS - 11.4%

  

A. Schulman Inc.

     366        12,919   

Cabot Corp.

     330        16,962   

Carpenter Technology Corp.

     215        13,342   

HB Fuller Co.

     270        14,046   

Reliance Steel & Aluminum Co.

     151        11,482   

RPM International Inc.

     337        13,997   

Sensient Technologies Corp.

     280        13,561   

Steel Dynamics Inc.

     609        11,906   

Other Securities

       8,926   
   

 

 

  
      117,141   
   

 

 

  

Total Common Stocks (cost $657,114)

  

     926,266   
   

 

 

  

SHORT TERM INVESTMENTS - 11.2%

  

Investment Companies - 10.1%

  

JNL Money Market Fund, 0.01% (a) (h)

     104,539        104,539   

Securities Lending Collateral - 1.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     10,875        10,875   
   

 

 

  

Total Short Term Investments (cost $115,414)

  

     115,414   
   

 

 

  

Total Investments - 100.9% (cost $772,528)

  

     1,041,680   

Other Assets and Liabilities, Net - (0.9%)

  

     (9,259 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,032,421   
   

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 9.1%

   

ACIS CLO Ltd.

    

0.76%, 10/14/22 (f) (r)

   $ 900      $ 872   

1.18%, 10/14/22 (f) (r)

     6,300        6,098   

Adjustable Rate Mortgage Trust REMIC, 2.68%, 04/25/35 (i)

     218        213   

Aire Valley Mortgages Plc

    

0.56%, 09/20/66 (i), EUR

     88        115   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

0.60%, 09/20/66 (i), EUR

     473        624   

0.72%, 09/20/66 (i), EUR

     2,680        3,558   

REMIC, 0.47%, 09/20/66 (i) (r)

     673        646   

Amortizing Residential Collateral Trust REMIC, 1.96%, 08/25/32 (i) (q)

     53        11   

Asset Backed Securities Corp. Home Equity REMIC, 3.02%, 04/15/33 (i)

     33        30   

Banc of America Commercial Mortgage Inc. REMIC, 5.63%, 04/10/49 (i)

     600        667   

Banc of America Funding Corp. REMIC

    

2.90%, 06/20/36 (i) (r)

     1,045        855   

5.79%, 10/25/36 (i)

     59        47   

0.45%, 06/20/47 (i)

     1,700        1,089   

Banc of America Mortgage Securities Inc. REMIC, 2.77%, 09/25/35 (i)

     654        613   

BlueMountain CLO Ltd., 0.49%, 03/17/21 (i) (r)

     4,205        4,110   

Brentwood CLO Corp., 0.51%, 02/01/22 (i) (r)

     2,256        2,209   

Citigroup Mortgage Loan Trust Inc. REMIC, 2.77%, 12/25/35 (i)

     1,059        790   

College Loan Corp. Trust, 0.43%, 04/25/24 (i)

     2,600        2,477   

Conseco Financial Corp. REMIC, 7.07%, 01/15/29

     32        33   

Countrywide Alternative Loan Trust REMIC, 1.63%, 09/25/35 (i)

     213        190   

Countrywide Asset-Backed Certificates REMIC, 2.04%, 06/25/34 (i) (r)

     113        76   

Countrywide Home Loan Mortgage Pass-Through Trust REMIC, 2.54%, 02/19/34 (i)

     281        283   

Deutsche Bank Alternate Loan Trust REMIC, 1.76%, 08/25/35 (i) (r)

     205        156   

Downey Savings & Loan Association Mortgage Loan Trust REMIC, 1.06%, 03/19/46 (i) (r)

     321        242   

Educational Services of America Inc., 1.09%, 07/25/23 (i) (r)

     841        852   

First Union National Bank Commercial Mortgage Trust, Interest Only REMIC, 1.58%, 05/17/32 (i) (q)

     939        21   

FREMF Mortgage Trust REMIC

    

3.88%, 01/25/47 (i) (r)

     650        623   

3.95%, 06/25/47 (i) (r)

     975        909   

GCO Education Loan Funding Trust, 0.37%, 05/25/25 (i)

     2,430        2,370   

GMAC Mortgage Corp. Loan Trust REMIC

    

7.00%, 09/25/37 (i)

     178        176   

7.00%, 09/25/37 (i)

     261        271   

Granite Master Issuer Plc

    

0.25%, 12/20/54 (i)

     8,580        8,487   

0.31%, 12/20/54 (i)

     1,623        1,603   

0.45%, 12/20/54 (i), EUR

     850        1,159   

0.47%, 12/20/54 (i), EUR

     129        176   

0.73%, 12/20/54 (i), GBP

     2,139        3,507   

Granite Mortgages Plc, 0.90%, 01/20/44 (i), GBP

     290        476   

GSMPS Mortgage Loan Trust, 0.62%, 02/25/35 (i) (r)

     58        53   

GSR Mortgage Loan Trust REMIC, 2.79%, 10/25/35 (i) (q)

     343        297   

Harborview Mortgage Loan Trust REMIC, 2.69%, 08/19/36 (i) (r)

     1,282        964   

Impac CMB Trust REMIC, 0.80%, 03/25/35 (i) (r)

     106        88   

IndyMac Index Mortgage Loan Trust REMIC

    

0.78%, 06/25/34 (i)

     201        186   

0.37%, 05/25/46 (i)

     779        652   

Leek Finance Number Eighteen Plc

    

0.51%, 09/21/38 (i)

     1,410        1,446   

0.55%, 09/21/38 (i), EUR

     157        222   
     Shares/Par (p)     Value  

Leek Finance Number Seventeen Plc

    

0.57%, 12/21/37 (i), EUR

     313        447   

0.81%, 12/21/37 (i), GBP

     139        239   

Lehman XS Trust REMIC, 1.01%, 09/25/47 (i)

     1,117        853   

Luminent Mortgage Trust REMIC, 0.35%, 05/25/46 (i)

     490        349   

MASTR Adjustable Rate Mortgages Trust REMIC

    

3.08%, 10/25/34 (i)

     229        215   

3.18%, 12/25/34 (i)

     69        68   

1.34%, 12/25/46 (i) (r)

     2,439        1,504   

MASTR Seasoned Securities Trust REMIC, 3.39%, 10/25/32 (i)

     201        201   

Mid-State Trust, 7.34%, 07/01/35

     160        173   

Morgan Stanley Capital I Trust REMIC

    

5.48%, 02/12/44 (i)

     200        221   

5.93%, 12/15/44 (i)

     150        146   

Morgan Stanley Mortgage Loan Trust REMIC

    

2.78%, 08/25/34 (i)

     115        112   

2.83%, 03/25/36 (i)

     1,266        986   

NCUA Guaranteed Notes Trust REMIC

    

3.00%, 06/12/19

     1,900        1,977   

1.84%, 10/07/20

     260        262   

Panhandle-Plains Higher Education Authority Inc. REMIC, 1.38%, 10/01/35 (i)

     1,782        1,808   

Red River CLO Ltd., 0.51%, 07/27/18 (i) (r)

     4,746        4,670   

Residential Accredit Loans Inc. Trust REMIC, 1.14%, 01/25/46 (i)

     1,010        706   

Residential Funding Mortgage Securities Inc. Trust REMIC

    

2.85%, 08/25/35 (i)

     535        424   

2.94%, 09/25/35 (i)

     572        531   

Structured Asset Mortgage Investments Inc. REMIC, 2.47%, 08/25/35 (i)

     84        83   

Thrones Plc, 2.02%, 07/20/44, GBP

     690        1,151   

Washington Mutual Mortgage Pass-Through Certificates REMIC

    

2.45%, 06/25/34 (i)

     429        431   

2.24%, 09/25/36 (i)

     1,089        909   

Wells Fargo Alternative Loan Trust REMIC, 2.67%, 12/28/37 (i) (r)

     2,113        1,667   

Wells Fargo Mortgage Backed Securities Trust REMIC, 2.63%, 04/25/36 (i) (r)

     128        117   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $73,954)

   

     70,792   
   

 

 

  

CORPORATE BONDS AND NOTES - 27.9%

  

CONSUMER DISCRETIONARY - 2.5%

  

CCO Holdings LLC, 5.25%, 09/30/22 (e)

     1,275        1,191   

D.R. Horton Inc., 4.38%, 09/15/22

     600        560   

Glencore Funding LLC

    

1.70%, 05/27/16 (r)

     1,125        1,126   

2.50%, 01/15/19 (r)

     1,975        1,911   

MDC Holdings Inc.

    

5.63%, 02/01/20

     1,250        1,309   

6.00%, 01/15/43

     975        839   

MGM Resorts International, 6.63%, 12/15/21 (e)

     1,400        1,480   

NBCUniversal Media LLC, 4.38%, 04/01/21

     1,600        1,691   

Nielsen Finance LLC, 4.50%, 10/01/20

     1,000        973   

NIKE Inc, 3.63%, 05/01/43 (e)

     1,650        1,379   

PVH Corp., 4.50%, 12/15/22 (e)

     1,001        948   

Rensselaer Polytechnic Institute, 5.60%, 09/01/20

     2,300        2,454   

Toll Brothers Finance Corp., 4.00%, 12/31/18

     1,025        1,043   

Videotron Ltd., 5.00%, 07/15/22 (e)

     950        929   

WPP Finance Co. Ltd., 8.00%, 09/15/14 (l)

     1,653        1,735   
   

 

 

  
      19,568   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CONSUMER STAPLES - 1.3%

  

Avon Products Inc., 4.60%, 03/15/20

     2,150        2,130   

Constellation Brands Inc.

    

3.75%, 05/01/21

     150        141   

4.25%, 05/01/23

     350        326   

Kimberly-Clark Corp., 3.70%, 06/01/43

     2,175        1,819   

Pernod-Ricard SA

    

5.75%, 04/07/21 (r)

     1,850        2,037   

4.45%, 01/15/22 (r)

     1,900        1,919   

Reynolds Group Issuer Inc., 5.75%, 10/15/20

     1,450        1,479   
   

 

 

  
      9,851   

ENERGY - 3.6%

  

Anadarko Petroleum Corp., 6.45%, 09/15/36 (e)

     475        532   

CNOOC Curtis Funding No. 1 Pty Ltd., 4.50%, 10/03/23 (r)

     400        395   

Continental Resources Inc., 5.00%, 09/15/22 (e)

     1,650        1,714   

Ecopetrol SA, 5.88%, 09/18/23

     670        707   

El Paso LLC, 7.75%, 01/15/32 (e)

     515        521   

Energy Transfer Partners LP, 3.26%, 11/01/66 (i)

     3,693        3,361   

Enterprise Products Operating LLC

    

8.38%, 08/01/66 (e) (i)

     2,450        2,715   

7.03%, 01/15/68 (i)

     1,550        1,713   

Gazprom Neft OAO Via GPN Capital SA, 6.00%, 11/27/23 (r)

     830        842   

Gazprom OAO Via Gaz Capital SA

    

9.25%, 04/23/19

     530        652   

6.00%, 01/23/21

     280        295   

4.95%, 07/19/22

     410        398   

MarkWest Energy Partners LP, 4.50%, 07/15/23 (e)

     1,420        1,331   

Nexen Inc., 6.40%, 05/15/37 (e)

     935        1,061   

Pacific Rubiales Energy Corp., 5.38%, 01/26/19 (e) (r)

     800        806   

Petroleos Mexicanos

    

3.50%, 07/18/18 (e)

     330        339   

4.88%, 01/18/24

     390        390   

PTTEP Canada International Finance Ltd., 5.69%, 04/05/21 (r)

     1,020        1,086   

Rosneft Finance SA, 7.25%, 02/02/20

     817        922   

Rosneft Oil Co. via Rosneft International Finance Ltd., 4.20%, 03/06/22 (r)

     1,240        1,138   

Shell International Finance BV, 4.55%, 08/12/43

     1,225        1,190   

TransCanada PipeLines Ltd., 6.35%, 05/15/67 (i)

     1,375        1,412   

Transocean Inc., 6.50%, 11/15/20 (e)

     2,025        2,310   

Transportadora de Gas Internacional SA ESP, 5.70%, 03/20/22

     600        635   

Weatherford International Ltd., 9.63%, 03/01/19 (e)

     1,475        1,894   
   

 

 

  
      28,359   

FINANCIALS - 13.4%

  

Abbey National Treasury Services Plc

    

2.12%, 02/16/15 (i), GBP

     1,100        1,848   

4.00%, 04/27/16

     2,075        2,203   

Achmea Hypotheekbank NV, 3.20%, 11/03/14 (r)

     459        470   

AIG Life Holdings Inc., 8.50%, 07/01/30

     1,275        1,600   

American Campus Communities Operating Partnership LP, 3.75%, 04/15/23

     2,000        1,853   

American International Group Inc.

    

2.38%, 08/24/15

     850        868   

5.85%, 01/16/18

     950        1,089   
     Shares/Par (p)     Value  

American Tower Corp., 3.40%, 02/15/19 (e)

     1,550        1,577   

Bank of America Corp.

    

5.75%, 12/01/17

     1,250        1,422   

5.65%, 05/01/18

     1,550        1,764   

4.10%, 07/24/23 (e)

     1,200        1,203   

Bank of New York Mellon Corp., 9.63%, 05/02/21 (r)

     276        99   

Bank of Scotland Plc, 5.25%, 02/21/17 (e) (r)

     300        335   

Barclays Bank Plc, 6.05%, 12/04/17 (q)

     1,950        2,179   

BPCE SA, 5.70%, 10/22/23 (e) (r)

     1,150        1,185   

Capital One Financial Corp., 1.00%, 11/06/15

     1,325        1,324   

Citigroup Inc.

    

6.13%, 11/21/17

     1,010        1,164   

3.38%, 03/01/23

     1,500        1,424   

Compass Bank, 5.50%, 04/01/20

     1,200        1,227   

Credit Suisse AG, 6.50%, 08/08/23 (r)

     1,100        1,170   

Credit Suisse Group AG, 7.50%, (callable at 100 beginning 12/11/23) (e) (m) (r)

     1,075        1,135   

Developers Diversified Realty Corp., 7.50%, 04/01/17 (e)

     2,170        2,528   

Discover Bank, 8.70%, 11/18/19

     551        689   

Discover Financial Services, 3.85%, 11/21/22 (e)

     1,499        1,419   

ERP Operating LP, 4.63%, 12/15/21

     2,575        2,711   

First Niagara Financial Group Inc., 6.75%, 03/19/20

     925        1,062   

Ford Motor Credit Co. LLC

    

8.00%, 12/15/16

     1,075        1,271   

5.00%, 05/15/18

     1,200        1,336   

General Electric Capital Corp., 5.88%, 01/14/38

     900        1,022   

Genworth Financial Inc., 7.63%, 09/24/21

     2,750        3,268   

HCP Inc.

    

6.00%, 01/30/17

     1,375        1,540   

2.63%, 02/01/20

     1,150        1,095   

Healthcare Realty Trust Inc., 6.50%, 01/17/17

     1,725        1,934   

HSBC Bank USA Credit Linked Note (Nota Do Tesouro Nacional, 6.00%, 08/15/40, Moody’s rating Baa2) (i), BRL

     4,840        4,637   

ING Bank NV

    

2.00%, 09/25/15 (e) (r)

     1,200        1,220   

4.00%, 03/15/16 (r)

     1,550        1,638   

Inter-American Development Bank, 1.00%, 02/27/18

     1,700        1,657   

Intesa Sanpaolo SpA

    

3.13%, 01/15/16

     1,050        1,070   

3.88%, 01/16/18

     2,750        2,815   

Landwirtschaftliche Rentenbank, 4.88%, 01/10/14

     6,000        6,007   

Liberty Property LP, 4.75%, 10/01/20

     1,500        1,575   

Merrill Lynch & Co. Inc., 6.05%, 05/16/16 (e)

     1,125        1,238   

Mizuho Corporate Bank Ltd., 2.55%, 03/17/17 (r)

     2,125        2,167   

Morgan Stanley

    

6.25%, 08/28/17

     1,600        1,830   

6.63%, 04/01/18

     1,825        2,134   

5.63%, 09/23/19

     750        852   

MUFG Capital Finance 1 Ltd., 6.35%, (callable at 100 beginning 07/25/16) (i) (m)

     1,310        1,419   

Northern Rock Plc, 5.63%, 06/22/17 (r)

     7,100        8,002   

Northwestern Mutual Life Insurance Co., 6.06%, 03/30/40 (r)

     1,375        1,540   

ProLogis LP, 6.13%, 12/01/16

     900        1,014   

QBE Capital Funding III Ltd., 7.25%, 05/24/41 (i) (r)

     1,075        1,112   

Regions Financial Corp., 5.75%, 06/15/15

     1,225        1,305   

Resona Preferred Global Securities Cayman Ltd., 7.19%, (callable at 100 beginning 07/30/15) (e) (i) (m) (r)

     1,525        1,618   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Royal Bank of Scotland Group Plc

    

2.55%, 09/18/15

     2,175        2,224   

9.50%, 03/16/22 (i)

     700        820   

6.00%, 12/19/23

     675        680   

Santander Holdings USA Inc., 4.63%, 04/19/16

     715        762   

Sovereign Bank, 8.75%, 05/30/18

     700        841   

Stadshypotek AB, 1.88%, 10/02/19 (r)

     4,300        4,142   

SunTrust Banks Inc., 2.35%, 11/01/18

     2,775        2,759   

UBS AG-Credit Linked Note (Federative Republic of Brazil, 6.00%, 01/17/17, Moody’s rating Baa2) (f) (q), BRL

     1,620        404   
   

 

 

  
      104,496   

HEALTH CARE - 1.1%

  

AbbVie Inc., 1.75%, 11/06/17

     4,300        4,291   

Express Scripts Holding Co., 2.65%, 02/15/17

     1,300        1,339   

HCA Inc., 7.50%, 02/15/22

     1,475        1,619   

Novartis Capital Corp., 3.70%, 09/21/42 (e)

     1,850        1,576   
   

 

 

  
      8,825   

INDUSTRIALS - 0.8%

  

Caterpillar Inc., 3.80%, 08/15/42

     850        712   

GE Capital Trust I, 6.38%, 11/15/67 (e) (i)

     1,374        1,484   

Penske Truck Leasing Co. LP, 2.88%, 07/17/18 (r)

     2,400        2,413   

Xylem Inc., 3.55%, 09/20/16

     1,900        1,996   
   

 

 

  
      6,605   

INFORMATION TECHNOLOGY - 0.7%

  

Equinix Inc., 7.00%, 07/15/21

     1,000        1,093   

Hewlett-Packard Co.

    

3.00%, 09/15/16

     1,675        1,742   

2.60%, 09/15/17

     1,100        1,117   

NetApp Inc., 2.00%, 12/15/17

     1,575        1,566   
   

 

 

  
      5,518   

MATERIALS - 0.2%

  

Ball Corp., 5.00%, 03/15/22

     725        718   

Crown Americas LLC, 4.50%, 01/15/23

     500        467   
   

 

 

  
      1,185   

TELECOMMUNICATION SERVICES - 3.4%

  

AT&T Inc., 2.95%, 05/15/16

     1,750        1,825   

Crown Castle International Corp., 5.25%, 01/15/23

     1,275        1,250   

Frontier Communications Corp., 8.50%, 04/15/20 (e)

     1,225        1,372   

MetroPCS Wireless Inc.

    

6.25%, 04/01/21 (e) (r)

     700        726   

6.63%, 04/01/23 (e) (r)

     550        568   

SoftBank Corp., 4.50%, 04/15/20 (e) (r)

     1,600        1,560   

Sprint Nextel Corp., 7.00%, 08/15/20 (e)

     1,250        1,353   

Telefonica Emisiones SAU, 5.46%, 02/16/21

     975        1,028   

Verizon Communications Inc.

    

3.65%, 09/14/18

     3,075        3,253   

5.15%, 09/15/23

     8,100        8,683   

6.55%, 09/15/43

     2,000        2,332   

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC

    

6.49%, 02/02/16 (e) (r)

     400        427   

9.13%, 04/30/18

     300        352   

7.75%, 02/02/21 (e) (r)

     730        793   

VimpelCom Holdings BV, 7.50%, 03/01/22 (r)

     650        679   
   

 

 

  
      26,201   

UTILITIES - 0.9%

  

Arizona Public Service Co., 8.75%, 03/01/19

     1,700        2,159   

Consumers Energy Co, 3.95%, 05/15/43

     2,125        1,870   

Florida Power & Light Co., 3.80%, 12/15/42 (e)

     2,325        2,023   
     Shares/Par (p)     Value  

Puget Sound Energy Inc., 6.97%, 06/01/67 (i)

     675        690   
   

 

 

  
      6,742   
   

 

 

  

Total Corporate Bonds and Notes (cost $215,777)

  

     217,350   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 56.0%

  

GOVERNMENT SECURITIES - 32.2%

  

Federal Home Loan Bank - 0.8% (w)

  

Federal Home Loan Bank

    

1.88%, 03/13/20

     1,400        1,349   

3.00%, 09/10/21

     3,200        3,210   

3.25%, 06/09/23

     2,000        1,982   
   

 

 

  
      6,541   

Federal Home Loan Mortgage Corp. - 0.8% (w)

  

Federal Home Loan Mortgage Corp.

    

4.38%, 01/15/14, EUR

     1,900        2,618   

1.25%, 10/02/19

     4,100        3,882   
   

 

 

  
      6,500   

Federal National Mortgage Association - 0.7% (w)

  

Federal National Mortgage Association

    

0.38%, 03/16/15

     800        801   

6.25%, 05/15/29

     2,600        3,252   

6.63%, 11/15/30

     900        1,168   
   

 

 

  
      5,221   

Municipals - 4.3%

  

American Municipal Power Inc. - Series E, 6.27%, 02/15/50

     875        921   

California State University, 5.00%, 11/01/37 - 11/01/42

     1,120        1,165   

City of New York, 5.00%, 08/01/24 - 08/01/25

     1,820        2,040   

Commonwealth of Massachusetts, 5.00%, 08/01/40

     620        644   

Contra Costa Community College District, 5.00%, 08/01/38

     270        279   

County of DeKalb Water & Sewerage, RB, 5.25%, 10/01/41

     270        280   

County of Miami-Dade Transit System, RB, 5.00%, 07/01/42

     445        446   

Dallas/Fort Worth International Airport, 5.00%, 11/01/44

     530        520   

Los Angeles Department of Water & Power, 5.00%, 07/01/43

     565        579   

Massachusetts Development Finance Agency, 5.00%, 07/01/43

     270        283   

Massachusetts School Building Authority, 5.00%, 10/15/41

     355        368   

Metropolitan Pier & Exposition Authority, 5.50%, 06/15/50

     625        624   

Metropolitan St Louis Sewer District, 5.00%, 05/01/42

     420        441   

New Jersey Economic Development Authority, 5.00%, 06/15/46

     275        283   

New Jersey Transportation Trust Fund Authority, 5.00%, 06/15/36 - 06/15/44

     1,010        1,020   

New York City Transitional Finance Authority Future Tax Secured Revenue, 5.00%, 02/01/42

     305        314   

New York City Transitional Finance Authority, RB, 5.00%, 05/01/38

     255        266   

New York City Water & Sewer System, 5.00%, 06/15/44

     275        280   

New York State Dormitory Authority, 5.00%, 02/15/43

     430        443   

North Texas Tollway Authority, 5.50%, 09/01/41

     250        265   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Northstar Education Finance Inc. Student Loan Asset-Backed Note

    

1.81%, 04/01/42 (i)

     2,300        2,110   

2.85%, 04/01/42 (i)

     650        596   

3.75%, 04/01/42 (i)

     700        642   

1.44%, 01/29/46 (i)

     525        481   

1.67%, 01/29/46 - 01/29/46 (i)

     2,875        2,637   

Ohio State Turnpike Commission

    

5.25%, 02/15/39

     250        259   

5.00%, 02/15/48 - 02/15/48

     1,005        996   

Pennsylvania Turnpike Commission, 5.00%, 12/01/43

     255        253   

Private Colleges & Universities Authority, 5.00%, 10/01/43

     1,485        1,550   

Sacramento Municipal Utility District, 5.00%, 08/15/41

     255        261   

State of California

    

5.00%, 09/01/27 - 04/01/43

     4,050        4,221   

7.95%, 03/01/36

     1,290        1,491   

7.63%, 03/01/40

     2,390        3,126   

State of Louisiana, RB, 5.00%, 05/01/45

     330        336   

State of Washington, 5.00%, 08/01/33 - 08/01/35

     1,755        1,860   

Tampa Bay Water, 5.00%, 10/01/38

     535        557   

University of Washington, 5.00%, 07/01/41

     280        291   
   

 

 

  
      33,128   

Sovereign - 7.2%

  

Chile Government International Bond, 3.63%, 10/30/42

     800        628   

Dominican Republic International Bond

    

14.50%, 02/10/23 (q), DOP

     1,200        29   

8.63%, 04/20/27 (e)

     396        429   

Hashemite Kingdom of Jordan Government Bond, 2.50%, 10/30/20

     5,000        4,891   

Hellenic Republic Government Bond

    

1.62%, 05/21/14 (i), EUR

     670        897   

0.97%, 08/10/14, EUR

     1,050        1,378   

Indonesia Government International Bond

    

5.38%, 10/17/23 (r)

     610        607   

8.50%, 10/12/35

     1,210        1,461   

International Finance Corp., 0.88%, 06/15/18

     6,900        6,659   

Israel Government AID Bond

    

5.50%, 09/18/23 - 04/26/24

     5,000        5,765   

5.50%, 12/04/23 (e)

     500        575   

Ivory Coast Government International Bond, 5.75%, 12/31/32

     1,885        1,682   

Kommunalbanken A/S, 1.00%, 09/26/17 (e) (r)

     2,300        2,266   

Mexico Bonos

    

6.50%, 06/10/21, MXN

     6,507        511   

8.00%, 12/07/23, MXN

     6,841        583   

7.50%, 06/03/27, MXN

     6,260        511   

8.50%, 05/31/29 - 11/18/38 , MXN

     8,015        686   

7.75%, 05/29/31 - 11/13/42 , MXN

     42,295        3,356   

10.00%, 11/20/36, MXN

     7,827        761   

Mexico Government International Bond, 4.75%, 03/08/44

     2,670        2,406   

Nigeria Government International Bond, 5.13%, 07/12/18 (r)

     200        205   

Panama Government International Bond, 9.38%, 04/01/29

     90        125   

Perusahaan Penerbit SBSN Indonesia, 6.13%, 03/15/19 (r)

     630        672   

Province of Quebec, Canada, 4.60%, 05/26/15 (e)

     1,475        1,562   

Republic of Honduras, 8.75%, 12/16/20 (r)

     610        615   

Russia Foreign Bond, 4.88%, 09/16/23 (r)

     6,000        6,060   

Tennessee Valley Authority

    

4.38%, 06/15/15

     2,400        2,537   
     Shares/Par (p)     Value  

3.88%, 02/15/21

     3,700        3,902   

5.98%, 04/01/36

     1,250        1,457   

4.63%, 09/15/60

     800        713   

Turkey Government International Bond

    

5.63%, 03/30/21

     590        592   

6.25%, 09/26/22

     1,740        1,807   
   

 

 

  
      56,328   

Treasury Inflation Index Securities - 2.3%

  

U.S. Treasury Inflation Indexed Note

    

2.00%, 01/15/14 (n)

     5,056        5,056   

1.25%, 04/15/14 (n)

     7,063        7,108   

0.13%, 01/15/23 (n)

     3,035        2,863   

0.38%, 07/15/23 (n)

     2,810        2,706   
   

 

 

  
      17,733   

U.S. Treasury Securities - 16.1%

  

U.S. Treasury Bond

    

3.00%, 05/15/42

     7,900        6,597   

3.75%, 11/15/43

     2,600        2,503   

U.S. Treasury Note

    

0.13%, 12/31/14 (o)

     11,850        11,846   

0.25%, 07/31/15

     54,500        54,496   

1.38%, 09/30/18

     7,700        7,601   

1.25%, 10/31/18 (e)

     12,500        12,247   

1.25%, 11/30/18

     15,700        15,355   

1.75%, 10/31/20

     800        767   

2.50%, 08/15/23

     11,200        10,735   

2.75%, 11/15/23

     3,000        2,930   
   

 

 

  
      125,077   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 23.8%

   

Federal Home Loan Mortgage Corp. - 9.0%

  

Federal Home Loan Mortgage Corp.

    

2.52%, 01/25/23

     2,700        2,526   

3.53%, 07/25/23

     1,500        1,498   

5.00%, 03/01/26 - 06/01/41

     8,885        9,596   

5.50%, 04/01/28 - 02/01/39

     5,928        6,467   

3.00%, 03/01/32 - 04/01/43

     9,927        9,428   

4.00%, 08/01/36 - 12/01/36

     968        994   

2.99%, 01/01/37 (i)

     649        687   

6.50%, 01/01/38 - 12/01/38

     1,720        1,943   

7.00%, 02/01/39

     1,627        1,815   

4.50%, 11/01/40 - 03/01/41

     85        90   

5.50%, 01/15/44, TBA (g)

     3,000        3,277   

REMIC, 1,156.50%, 06/15/21 (q)

     —        —   

REMIC, 2.78%, 09/25/22

     1,778        1,809   

REMIC, 2.64%, 01/25/23

     7,500        7,032   

REMIC, 3.25%, 04/25/23 (i)

     12,300        12,116   

REMIC, 6.50%, 02/15/36 - 05/15/41

     9,111        10,254   

REMIC, Interest Only, 5.93%, 11/15/43 (i) (q)

     2,837        340   
   

 

 

  
      69,872   

Federal National Mortgage Association - 14.2%

  

Federal National Mortgage Association

    

2.80%, 03/01/18

     2,460        2,566   

5.00%, 03/01/18 - 10/01/41

     5,366        5,820   

3.74%, 05/01/18

     1,446        1,554   

3.84%, 05/01/18

     1,790        1,931   

4.50%, 05/01/18 - 10/01/41

     6,953        7,394   

6.50%, 02/01/19

     1        1   

4.51%, 06/01/19

     4,400        4,824   

3.42%, 10/01/20

     1,148        1,185   

3.63%, 12/01/20

     862        896   

4.38%, 06/01/21

     3,546        3,849   

3.83%, 07/01/21

     1,600        1,678   

5.50%, 09/01/23 - 12/01/39

     9,327        10,205   

6.00%, 01/01/24 - 05/01/41

     20,998        23,265   

8.00%, 08/01/29 - 01/01/31

     50        55   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

7.00%, 07/01/32 - 03/01/39

     964        1,056   

2.14%, 11/01/35 (i)

     44        46   

2.39%, 05/01/36 (i)

     320        339   

2.55%, 05/01/36 (i)

     307        326   

2.59%, 08/01/36 (i)

     285        304   

4.00%, 08/01/36 - 09/01/39

     539        556   

2.45%, 09/01/36 (i)

     303        319   

3.00%, 08/01/42 - 07/01/43

     27,230        25,892   

2.50%, 01/01/43

     2,964        2,685   

3.00%, 01/15/44, TBA (g)

     4,000        3,797   

4.00%, 01/15/44, TBA (g)

     3,000        3,088   

Interest Only, 3.00%, 08/25/28 (q)

     1,768        231   

REMIC, 10.40%, 04/25/19

     —        —   

REMIC, 5.84%, 05/25/40 (i) (q)

     1,945        269   

REMIC, 5.00%, 06/25/41 - 10/25/41

     3,075        3,294   

REMIC, 7.00%, 07/25/42 - 10/25/42

     2,235        2,470   

REMIC, Interest Only, 6.52%, 10/25/35 (i) (q)

     946        150   

REMIC, Interest Only, 4.83%, 11/25/40 (i) (q)

     3,946        607   

REMIC, Interest Only, 5.84%, 11/25/40 (i) (q)

     1,883        237   

REMIC, Interest Only, 6.00%, 11/25/40 (q)

     650        101   
   

 

 

  
      110,990   

Government National Mortgage Association - 0.6%

  

Government National Mortgage Association

  

  

3.95%, 07/15/25

     854        883   

6.00%, 06/15/34 - 11/15/38

     124        139   

5.00%, 06/15/40

     121        132   

2.50%, 12/20/42

     39        36   

5.00%, 01/15/44, TBA (g)

     3,000        3,252   

REMIC, Interest Only, 6.53%, 08/16/43 (i) (q)

     1,931        289   
   

 

 

  
      4,731   
   

 

 

  

Total Government and Agency Obligations (cost $438,860)

   

     436,121   
   

 

 

  

COMMON STOCKS - 0.0%

  

CONSUMER DISCRETIONARY - 0.0%

  

Home Interior Gift Inc. (c) (f) (q)

     491        —   
   

 

 

  

Total Common Stocks (cost $185)

  

     —   
   

 

 

  

SHORT TERM INVESTMENTS - 12.1%

  

Investment Companies - 5.0%

  

JNL Money Market Fund, 0.01% (a) (h)

     38,620        38,620   

Securities Lending Collateral - 4.3%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     33,847        33,847   

Treasury Securities - 2.8%

  

Mexico Cetes

    

0.26%, 03/06/14, MXN

     9,298        7,081   

0.26%, 06/26/14, MXN

     9,298        6,999   

U.S. Treasury Bill, 0.14%, 04/24/14

   $ 7,900        7,898   
   

 

 

  
      21,978   
   

 

 

  

Total Short Term Investments (cost $94,502)

  

     94,445   
   

 

 

  

Total Investments - 105.1% (cost $823,278)

  

     818,708   

Total Forward Sales Commitments - (2.2%)
(proceeds $17,102)

   

     (17,099 ) 

Other Assets and Liabilities, Net - (2.9%)

 

     (22,639 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     778,970   
   

 

 

  
     Shares/Par (p)     Value  

FORWARD SALES COMMITMENTS - 2.2%

  

GOVERNMENT AND AGENCY OBLIGATIONS - 2.2%

  

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 2.2%

   

Federal Home Loan Mortgage Corp. - 1.2%

  

Federal Home Loan Mortgage Corp.

    

3.00%, 01/15/44, TBA (g)

   $ 9,000      $ 8,530   

5.00%, 01/15/44, TBA (g)

     1,000        1,079   
   

 

 

  
      9,609   

Federal National Mortgage Association - 1.0%

  

Federal National Mortgage Association

    

2.50%, 01/15/44, TBA (g)

     1,000        906   

4.50%, 01/15/44, TBA (g)

     1,000        1,060   

5.00%, 01/15/44, TBA (g)

     1,000        1,086   

6.00%, 01/15/44, TBA (g)

     4,000        4,438   
   

 

 

  
      7,490   
   

 

 

  

Total Forward Sales Commitments - 2.2% (proceeds $17,102)

   

   $       17,099   
   

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund (z) *

  

CORPORATE BONDS AND NOTES - 24.3%

  

ARGENTINA - 0.6%

  

Other Securities

     $ 4,379   

BRAZIL - 1.2%

  

Other Securities

       9,526   

CAYMAN ISLANDS - 0.1%

  

Other Securities

       679   

CHILE - 1.9%

  

AES Gener SA

    

5.25%, 08/15/21

     2,520        2,551   

8.38%, 12/18/73 (e) (i) (r)

     1,130        1,178   

ENTEL Chile SA, 4.88%, 10/30/24 (e) (r)

     3,450        3,364   

Sociedad Quimica y Minera de Chile SA

    

5.50%, 04/21/20 (r)

     230        234   

3.63%, 04/03/23 (r)

     470        407   

3.63%, 04/03/23 (e)

     2,670        2,318   

Other Securities

       5,110   
   

 

 

  
      15,162   

CHINA - 1.2%

  

Other Securities

       9,324   

COLOMBIA - 1.8%

  

Bancolombia SA, 5.95%, 06/03/21

     4,050        4,212   

Ecopetrol SA

    

7.63%, 07/23/19 (e)

     1,150        1,363   

5.88%, 09/18/23

     1,820        1,920   

Transportadora de Gas Internacional SA ESP, 5.70%, 03/20/22 (e)

     2,640        2,795   

Other Securities

       4,250   
   

 

 

  
      14,540   

COSTA RICA - 0.4%

  

Other Securities

       3,052   

GUATEMALA - 0.2%

  

Other Securities

       1,612   

HONG KONG - 1.4%

  

Other Securities

       10,932   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDIA - 0.6%

  

Other Securities

       5,072   

INDONESIA - 0.3%

    

Other Securities

       2,547   

IRELAND - 0.1%

    

Other Securities

       962   

ISRAEL - 0.4%

    

Israel Electric Corp. Ltd.

    

5.63%, 06/21/18 (r)

     830        878   

7.25%, 01/15/19

     1,500        1,666   

7.75%, 12/15/27

     250        269   
   

 

 

  
    2,813   

JAMAICA - 0.5%

    

Digicel Group Ltd.

    

8.25%, 09/30/20 (r)

     580        601   

8.25%, 09/30/20

     3,260        3,378   

Other Securities

       202   
   

 

 

  
    4,181   

LUXEMBOURG - 0.7%

    

Other Securities

       5,174   

MEXICO - 2.3%

    

America Movil SAB de CV

    

6.45%, 12/05/22, MXN

     16,420        1,159   

8.46%, 12/18/36, MXN

     37,600        2,714   

Grupo Televisa SAB, 7.25%, 05/14/43, MXN

     45,770        2,838   

Mexico Generadora de Energia S de rl, 5.50%, 12/06/32 (q)

     830        793   

Petroleos Mexicanos, 7.65%, 11/24/21 (r), MXN

     36,505        2,869   

Other Securities

       8,194   
   

 

 

  
    18,567   

NETHERLANDS - 0.0%

    

Other Securities

       200   

PARAGUAY - 0.1%

    

Other Securities

       1,094   

PERU - 0.9%

    

Other Securities

       7,178   

PHILIPPINES - 0.4%

    

Other Securities

       3,104   

QATAR - 0.3%

    

Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.30%, 03/07/18

     2,400        2,574   

ROMANIA - 0.1%

    

Other Securities

       423   

RUSSIAN FEDERATION - 3.0%

    

Gazprom Neft OAO Via GPN Capital SA

    

4.38%, 09/19/22

     1,740        1,594   

6.00%, 11/27/23 (r)

     5,490        5,572   

Gazprom OAO Via Gaz Capital SA

    

6.00%, 01/23/21

     1,600        1,688   

6.51%, 03/07/22

     880        945   

7.29%, 08/16/37

     470        495   

VimpelCom Holdings BV, 7.50%, 03/01/22

     3,230        3,374   

Other Securities

       10,026   
   

 

 

  
    23,694   

SINGAPORE - 0.3%

    

Other Securities

       2,420   
     Shares/Par (p)     Value  

SOUTH AFRICA - 1.3%

    

Transnet SOC Ltd.

    

10.80%, 03/15/18, ZAR

     7,000        740   

10.50%, 09/17/20, ZAR

     17,000        1,757   

8.90%, 11/14/27, ZAR

     57,000        5,233   

10.00%, 03/30/29, ZAR

     16,500        1,434   

Other Securities

       1,341   
   

 

 

  
    10,505   

SPAIN - 0.4%

    

Other Securities

       3,246   

SRI LANKA - 0.0%

    

Other Securities

       383   

TAIWAN - 0.2%

    

Other Securities

       1,584   

THAILAND - 0.8%

    

Bank of Thailand, 3.22%, 03/01/16, THB

     87,900        2,703   

PTTEP Canada International Finance Ltd., 5.69%, 04/05/21 (e)

     3,192        3,402   
   

 

 

  
    6,105   

TURKEY - 0.7%

    

Turkiye Vakiflar Bankasi Tao, 3.75%, 04/15/18 (r)

     4,520        4,233   

Other Securities

       1,160   
   

 

 

  
    5,393   

UKRAINE - 0.3%

    

Other Securities

       2,499   

UNITED ARAB EMIRATES - 1.8%

  

Dolphin Energy Ltd., 5.50%, 12/15/21

     5,740        6,271   

Ruwais Power Co. PJSC, 6.00%, 08/31/36 (e) (r)

     6,670        6,986   

Other Securities

       1,439   
   

 

 

  
    14,696   
   

 

 

  

Total Corporate Bonds and Notes (cost $205,682)

  

     193,620   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 57.4%

  

BRAZIL - 7.1%

  

Brazil Inflation Indexed Notas do Tesouro Nacional - Series B

    

6.00%, 08/15/16 (s), BRL

     2,730        2,795   

6.00%, 05/15/17 (s), BRL

     6,575        6,640   

6.00%, 08/15/40 (s), BRL

     10,634        10,097   

6.00%, 08/15/50 (s), BRL

     8,607        8,115   

Brazil Letras do Tesouro Nacional

    

0.00%,01/01/15 (j), BRL

     10,580        4,049   

0.00%,07/01/17 (j), BRL

     2,959        8,293   

Brazil Notas do Tesouro Nacional

    

10.00%, 01/01/18, BRL

     10,720        4,190   

10.00%, 01/01/19, BRL

     6,078        2,326   

10.00%, 01/01/21, BRL

     5,190        1,912   

10.00%, 01/01/23, BRL

     19,807        7,091   

Other Securities

       1,039   
   

 

 

  
    56,547   

CHILE - 0.5%

    

Chile Government International Bond, 6.00%, 01/01/18, CLP

     595,000        1,178   

Tesoreria General de la Republica Inflation Indexed Note, 3.00%, 01/01/15 (s), CLP

     950,349        1,828   

Other Securities

       784   
   

 

 

  
    3,790   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

COLOMBIA - 3.9%

  

Colombia Government International Bond

    

9.85%, 06/28/27, COP

     1,695,000        1,100   

4.38%, 05/01/18, COP

     324,000        149   

Colombia TES

    

8.00%, 10/28/15, COP

     8,015,200        4,398   

7.00%, 05/04/22, COP

     39,730,400        20,792   

7.50%, 08/26/26, COP

     3,291,200        1,735   

6.00%, 04/28/28, COP

     6,650,400        3,074   
   

 

 

  
      31,248   

COSTA RICA - 0.4%

  

Costa Rica Government International Bond, 5.63%, 04/30/43 (e) (r)

     520        439   

Republic of Costa Rica

    

11.13%, 03/28/18 (q), CRC

     1,030,300        2,273   

9.20%, 03/27/19 (q), CRC

     30,100        62   
   

 

 

  
      2,774   

IVORY COAST - 0.4%

  

Ivory Coast Government International Bond, 5.75%, 12/31/32

     3,355        2,994   

DOMINICAN REPUBLIC - 1.4%

  

Dominican Republic International Bond

    

16.95%, 02/04/22, DOP

     155,900        4,272   

14.50%, 02/10/23 (q), DOP

     56,000        1,352   

14.50%, 02/10/23 (q), DOP

     16,200        391   

6.60%, 01/28/24 (r)

     1,040        1,043   

18.50%, 02/04/28 (q), DOP

     149,800        4,234   
   

 

 

  
      11,292   

HONDURAS - 0.5%

  

Honduras Government International Bond, 7.50%, 03/15/24 (r)

     370        338   

Republic of Honduras, 8.75%, 12/16/20 (r)

     3,490        3,516   
   

 

 

  
      3,854   

HUNGARY - 0.4%

  

Hungary Government Bond

    

8.00%, 02/12/15, HUF

     275,040        1,340   

7.75%, 08/24/15, HUF

     317,670        1,572   
   

 

 

  
      2,912   

INDONESIA - 1.3%

  

Indonesia Government Bond

    

7.38%, 09/15/16, IDR

     59,070,000        4,781   

15.00%, 07/15/18, IDR

     18,617,000        1,924   

Indonesia Government International Bond, 5.38%, 10/17/23 (e) (r)

     1,270        1,263   

Other Securities

       2,175   
   

 

 

  
      10,143   

MALAYSIA - 0.8%

  

Malaysia Government Bond

    

5.09%, 04/30/14, MYR

     16,630        5,110   

3.43%, 08/15/14, MYR

     4,660        1,427   
   

 

 

  
      6,537   

MEXICO - 6.4%

  

Mexico Bonos

    

6.25%, 06/16/16, MXN

     33,920        2,728   

7.25%, 12/15/16, MXN

     9,005        742   

5.00%, 06/15/17, MXN

     16,407        1,265   

4.75%, 06/14/18, MXN

     136,259        10,187   

6.50%, 06/10/21, MXN

     14,988        1,178   

6.50%, 06/09/22, MXN

     6,661        516   

8.00%, 12/07/23, MXN

     1,312        112   

7.50%, 06/03/27, MXN

     66,308        5,415   
     Shares/Par (p)     Value  

8.50%, 05/31/29, MXN

     22,096        1,922   

7.75%, 05/29/31, MXN

     104,206        8,355   

10.00%, 11/20/36, MXN

     72,138        7,017   

8.50%, 11/18/38, MXN

     34,069        2,882   

Mexico Cetes, 0.26%, 01/23/14, MXN

     10,926        8,350   
   

 

 

  
      50,669   

NIGERIA - 0.4%

  

Nigeria Government Bond, 16.00%, 06/29/19, NGN

     73,000        506   

Nigeria Government International Bond, 6.38%, 07/12/23

     2,950        3,046   
   

 

 

  
      3,552   

PARAGUAY - 0.2%

  

Other Securities

       1,889   

PERU - 0.9%

  

Peru Government International Bond - Series REGS

    

7.84%, 08/12/20, PEN

     12,703        5,171   

8.20%, 08/12/26, PEN

     76        32   

6.95%, 08/12/31, PEN

     4,259        1,522   

6.90%, 08/12/37, PEN

     858        300   

6.85%, 02/12/42, PEN

     493        170   
   

 

 

  
      7,195   

PHILIPPINES - 0.4%

  

Philippine Government Bond, 4.95%, 01/15/21, PHP

     81,000        1,930   

Philippine Government International Bond, 6.25%, 01/14/36, PHP

     52,000        1,242   
   

 

 

  
      3,172   

POLAND - 2.8%

  

Poland Government Bond

    

2.50%, 07/25/18, PLN

     1,970        620   

5.50%, 10/25/19, PLN

     14,480        5,186   

5.75%, 10/25/21, PLN

     35,137        12,782   

Poland Government Treasury Inflation Indexed Bond, 3.00%, 08/24/16 (n), PLN

     11,139        3,871   
   

 

 

  
      22,459   

ROMANIA - 0.5%

  

Romania Government Bond, 5.90%, 07/26/17, RON

     12,310        3,968   

RUSSIAN FEDERATION - 7.2%

  

AHML Finance Ltd., 7.75%, 02/13/18 (r), RUB

     165,700        4,962   

Russia Federal Bond, 7.00%, 08/16/23, RUB

     274,640        7,985   

Russia Foreign Bond, 3.50%, 01/16/19 (r)

     3,200        3,250   

Russia Government Bond

    

7.35%, 01/20/16, RUB

     117,900        3,667   

6.20%, 01/31/18, RUB

     765,370        22,665   

7.50%, 02/27/19, RUB

     178,190        5,523   

7.60%, 07/20/22, RUB

     130,310        3,978   

8.15%, 02/03/27, RUB

     31,670        994   

7.05%, 01/19/28, RUB

     148,570        4,203   
   

 

 

  
      57,227   

SOUTH AFRICA - 1.8%

  

South Africa Government Bond

    

8.00%, 12/21/18, ZAR

     53,680        5,292   

7.25%, 01/15/20, ZAR

     18,400        1,735   

7.75%, 02/28/23, ZAR

     10,160        960   

10.50%, 12/21/26, ZAR

     21,150        2,376   

7.00%, 02/28/31, ZAR

     31,910        2,536   

6.50%, 02/28/41, ZAR

     18,300        1,286   
   

 

 

  
      14,185   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

THAILAND - 6.4%

  

Bank of Thailand, 2.95%, 01/14/16, THB

     71,560        2,189   

Thailand Government Bond

    

5.25%, 05/12/14, THB

     102,800        3,160   

3.63%, 05/22/15, THB

     415,558        12,832   

3.13%, 12/11/15, THB

     200,460        6,155   

3.25%, 06/16/17, THB

     90,800        2,786   

3.58%, 05/02/18, THB

     131,500        3,741   

3.65%, 12/17/21, THB

     397,185        12,000   

3.63%, 06/16/23, THB

     158,890        4,733   

3.78%, 06/25/32, THB

     20,200        572   

Thailand Government Inflation Indexed Bond, 1.20%, 06/15/18 (s), THB

     82,000        2,467   
   

 

 

  
    50,635   

TURKEY - 6.3%

  

Turkey Government Bond

    

6.50%, 01/07/15, TRY

     29,670        13,376   

5.00%, 05/13/15, TRY

     4,255        1,857   

9.00%, 01/27/16, TRY

     9,700        4,432   

9.00%, 03/08/17, TRY

     11,500        5,201   

6.30%, 02/14/18, TRY

     21,920        8,975   

8.30%, 06/20/18, TRY

     9,890        4,326   

9.50%, 01/12/22, TRY

     16,440        7,365   

8.50%, 09/14/22, TRY

     5,890        2,475   

7.10%, 03/08/23, TRY

     5,550        2,115   
   

 

 

  
    50,122   

UNITED STATES OF AMERICA - 7.4%

  

U.S. Treasury Bond

    

3.63%, 08/15/43 (e) (o)

     4,900        4,609   

3.75%, 11/15/43 (e)

     8,000        7,701   

U.S. Treasury Note

    

1.38%, 09/30/18

     2,600        2,567   

1.25%, 10/31/18

     16,300        15,970   

1.25%, 11/30/18

     16,300        15,942   

2.00%, 09/30/20

     3,500        3,417   

1.75%, 10/31/20

     9,400        9,007   
   

 

 

  
    59,213   
   

 

 

  

Total Government and Agency Obligations (cost $493,379)

   

     456,377   
   

 

 

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.2%

   

Brazil - 0.2%

  

  

Brazil Loan Trust 1, 5.48%, 07/24/23 (r)

     2,130        2,125   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $2,205)

   

     2,125   
   

 

 

  

CREDIT LINKED STRUCTURED NOTES - 8.3%

  

COLOMBIA - 2.0%

  

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 10.00%, 07/24/24, Moody’s rating N/A) (r), COP

     1,642,000        1,050   

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 11.00%, 07/24/20, Moody’s rating N/A) (i) (r), COP

     4,514,000        2,860   

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 11.25%, 10/24/18, Moody’s rating N/A) (i) (r), COP

     10,289,000        6,420   

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 11.25%, 10/24/18, Moody’s rating N/A) (r), COP

     9,263,000        5,783   
   

 

 

  
    16,113   
     Shares/Par (p)     Value  

INDONESIA - 5.3%

  

Barclays Bank Plc Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody’s rating Baa3) (q), IDR

     82,000,000        7,165   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 10.75%, 05/15/16, Moody’s rating Baa3) (q), IDR

     20,500,000        1,795   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 7.00%, 05/15/27, Moody’s rating Baa3) (r), IDR

     17,900,000        1,260   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 8.25%, 06/15/32, Moody’s rating Baa3) IDR

     13,600,000        1,044   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 8.25%, 07/15/21, Moody’s rating Baa3) IDR

     84,000,000        6,867   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 10.00%, 07/18/17, Moody’s rating Baa3) (r), IDR

     65,000,000        5,683   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 10.75%, 05/17/16, Moody’s rating Baa3) (r), IDR

     86,000,000        7,523   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 11.00%, 11/15/20, Moody’s rating Baa3) (r), IDR

     20,000,000        1,876   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 6.13%, 05/17/28, Moody’s rating Baa3) (r), IDR

     27,187,000        1,736   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 6.63%, 05/15/33, Moody’s rating Baa3) (r), IDR

     46,000,000        2,964   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 6.63%, 05/15/33, Moody’s rating Baa3) (r), IDR

     2,800,000        181   

Standard Chartered Bank Credit Linked Note (Indonesia Government, 9.00%, 03/15/29, Moody’s rating Baa3) (r), IDR

     24,092,000        1,998   

Standard Chartered Bank Credit Linked Note (Indonesia Government, 9.00%, 03/15/29, Moody’s rating Baa3) (r), IDR

     26,254,000        2,177   
   

 

 

  
    42,269   

NIGERIA - 1.0%

  

Citigroup Funding Inc. Credit Linked Note (Federal Republic of Nigeria, 15.10%, 05/01/17, Moody’s rating N/A) (r), NGN

     105,000        690   

Deutsche Bank AG Credit Linked Note (Federal Republic of Nigeria, 0.00%, 02/06/14, Moody’s rating N/A) (j) (r), NGN

     502,000        3,101   

Deutsche Bank AG Credit Linked Note (Federal Republic of Nigeria, 0.00%, 03/06/14, Moody’s rating N/A) (j) (r), NGN

     90,000        550   

Deutsche Bank AG Credit Linked Note (Federal Republic of Nigeria, 0.00%, 03/20/14, Moody’s rating N/A) (j) (r), NGN

     90,000        547   

Other Securities

       2,608   
   

 

 

  
    7,496   
   

 

 

  

Total Credit Linked Structured Notes (cost $82,657)

  

     65,878   
   

 

 

  

OTHER EQUITY INTERESTS - 0.1%

  

ITALY - 0.1%

  

Other Securities

       489   
   

 

 

  

Total Other Equity Interests (cost $472)

  

     489   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

COMMON STOCKS - 0.0%

  

HONG KONG - 0.0%

  

Other Securities

       25   
   

 

 

  

Total Common Stocks (cost $0)

  

     25   
   

 

 

  

SHORT TERM INVESTMENTS - 12.4%

  

Investment Companies - 5.8%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     45,975        45,975   

Securities Lending Collateral - 4.9%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     39,020        39,020   

Treasury Securities - 1.7%

  

  

Bank Negara Malaysia Monetary Note

    

0.88%, 05/22/14, MYR

     13,560        4,093   

0.88%, 05/27/14, MYR

     12,390        3,739   

0.89%, 07/08/14, MYR

     12,410        3,732   

0.88%, 11/06/14, MYR

     6,640        1,977   
   

 

 

  
      13,541   
   

 

 

  

Total Short Term Investments (cost $98,918)

  

     98,536   
   

 

 

  

Total Investments - 102.7% (cost $883,313)

  

     817,050   

Other Assets and Liabilities, Net - (2.7%)

 

     (21,789 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $        795,261   
   

 

 

  

JNL/Goldman Sachs Mid Cap Value Fund (z) *

  

COMMON STOCKS - 98.2%

  

CONSUMER DISCRETIONARY - 11.7%

  

Delphi Automotive Plc

     218      $ 13,103   

Liberty Interactive Corp. - Interactive Class A (c)

     529        15,527   

Liberty Media Corp. - Class A (c)

     95        13,912   

MGM Resorts International (c)

     577        13,561   

PVH Corp.

     88        12,023   

Starwood Hotels & Resorts Worldwide Inc.

     184        14,624   

Toll Brothers Inc. (c)

     338        12,512   

Other Securities

       41,227   
   

 

 

  
      136,489   

CONSUMER STAPLES - 3.4%

  

Other Securities

       39,797   

ENERGY - 7.9%

  

Cameron International Corp. (c)

     219        13,057   

Chesapeake Energy Corp.

     612        16,603   

Cimarex Energy Co.

     112        11,762   

Tesoro Corp.

     242        14,156   

Other Securities

       35,902   
   

 

 

  
      91,480   

FINANCIALS - 29.3%

  

AvalonBay Communities Inc.

     137        16,223   

Camden Property Trust

     217        12,316   

Everest Re Group Ltd.

     84        13,087   

Genworth Financial Inc. - Class A (c)

     745        11,565   

Huntington Bancshares Inc.

     1,241        11,973   

ING US Inc.

     334        11,736   

Invesco Ltd.

     531        19,321   

Lincoln National Corp.

     387        19,979   

M&T Bank Corp. (e)

     165        19,243   

NASDAQ OMX Group Inc.

     359        14,278   

Principal Financial Group Inc.

     373        18,400   
     Shares/Par (p)     Value  

Raymond James Financial Inc.

     241        12,578   

SLM Corp.

     491        12,890   

Starwood Property Trust Inc. (e)

     437        12,116   

XL Group Plc

     462        14,704   

Other Securities

       119,467   
   

 

 

  
      339,876   

HEALTH CARE - 10.5%

  

Aetna Inc.

     233        15,997   

Agilent Technologies Inc.

     403        23,067   

Cardinal Health Inc.

     280        18,718   

CareFusion Corp. (c)

     302        12,024   

CR Bard Inc.

     105        14,000   

Humana Inc.

     154        15,915   

Tenet Healthcare Corp. (c)

     327        13,781   

Other Securities

       8,226   
   

 

 

  
      121,728   

INDUSTRIALS - 12.5%

  

Carlisle Cos. Inc.

     165        13,066   

Stanley Black & Decker Inc.

     174        14,022   

Terex Corp.

     297        12,479   

Textron Inc.

     497        18,263   

Timken Co.

     242        13,316   

Triumph Group Inc.

     220        16,764   

Tyco International Ltd.

     353        14,470   

Other Securities

       42,431   
   

 

 

  
      144,811   

INFORMATION TECHNOLOGY - 11.2%

  

Altera Corp.

     520        16,918   

Applied Materials Inc.

     631        11,160   

Citrix Systems Inc. (c)

     195        12,306   

Fidelity National Information Services Inc.

     215        11,563   

Juniper Networks Inc. (c)

     515        11,617   

Maxim Integrated Products Inc.

     415        11,594   

Other Securities

       54,531   
   

 

 

  
      129,689   

MATERIALS - 5.1%

  

Other Securities

       59,909   

UTILITIES - 6.6%

  

Edison International

     285        13,219   

FirstEnergy Corp.

     402        13,272   

Sempra Energy

     198        17,806   

Xcel Energy Inc.

     408        11,400   

Other Securities

       21,007   
   

 

 

  
      76,704   
   

 

 

  

Total Common Stocks (cost $972,949)

  

     1,140,483   
   

 

 

  

INVESTMENT COMPANIES - 0.5%

  

Other Securities

       5,323   
   

 

 

  

Total Investment Companies (cost $5,137)

  

     5,323   
   

 

 

  

SHORT TERM INVESTMENTS - 3.4%

  

Investment Companies - 1.0%

  

JNL Money Market Fund, 0.01% (a) (h)

     11,833        11,833   

Securities Lending Collateral - 2.4%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     27,449        27,449   
   

 

 

  

Total Short Term Investments (cost $39,282)

  

     39,282   
   

 

 

  

Total Investments - 102.1% (cost $1,017,368)

  

     1,185,088   

Other Assets and Liabilities, Net - (2.1%)

 

     (24,279 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,160,809   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Goldman Sachs U.S. Equity Flex Fund (z) *

  

COMMON STOCKS - 116.7%

  

CONSUMER DISCRETIONARY - 15.8%

  

CBS Corp. - Class B

     31      $ 1,960   

Comcast Corp. - Class A

     53        2,732   

Expedia Inc.

     31        2,159   

Gap Inc.

     68        2,646   

L Brands Inc. (o)

     39        2,401   

Liberty Global Plc - Class A (c) (o)

     42        3,717   

Starwood Hotels & Resorts Worldwide Inc.

     32        2,536   

Toll Brothers Inc. (c) (o)

     86        3,171   

Viacom Inc. - Class B

     22        1,926   

Yum! Brands Inc.

     35        2,640   

Other Securities

       5,455   
   

 

 

  
            31,343   

CONSUMER STAPLES - 10.3%

  

Anheuser-Busch InBev NV - ADR (o)

     26        2,808   

Constellation Brands Inc. - Class A (c) (o)

     27        1,876   

Estee Lauder Cos. Inc.

     51        3,823   

Green Mountain Coffee Roasters Inc. (c)

     35        2,639   

Lorillard Inc.

     48        2,436   

Monster Beverage Corp. (c) (o)

     28        1,917   

Wal-Mart Stores Inc. (o)

     30        2,376   

Other Securities

       2,528   
   

 

 

  
      20,403   

ENERGY - 11.1%

  

Devon Energy Corp. (o)

     91        5,644   

Exxon Mobil Corp. (o)

     82        8,271   

Halliburton Co. (o)

     67        3,410   

Southwestern Energy Co. (c) (o)

     78        3,055   

Other Securities

       1,694   
   

 

 

  
      22,074   

FINANCIALS - 19.1%

  

American International Group Inc.

     92        4,692   

Bank of America Corp. (o)

     228        3,553   

Citigroup Inc. (o)

     80        4,150   

Hartford Financial Services Group Inc.

     77        2,800   

JPMorgan Chase & Co. (o)

     70        4,113   

Prudential Financial Inc. (o)

     38        3,530   

SLM Corp. (o)

     121        3,170   

Travelers Cos. Inc. (o)

     32        2,867   

Other Securities

       8,990   
   

 

 

  
      37,865   

HEALTH CARE - 14.2%

  

Allergan Inc.

     25        2,796   

Covidien Plc

     51        3,468   

CR Bard Inc. (o)

     17        2,300   

Eli Lilly & Co.

     48        2,432   

Merck & Co. Inc. (o)

     113        5,641   

Pfizer Inc. (o)

     64        1,972   

UnitedHealth Group Inc. (o)

     55        4,161   

Vertex Pharmaceuticals Inc. (c) (o)

     40        2,967   

Other Securities

       2,466   
   

 

 

  
      28,203   

INDUSTRIALS - 11.8%

  

Boeing Co. (o)

     47        6,396   

Caterpillar Inc.

     21        1,874   

General Electric Co. (o)

     298        8,342   

Textron Inc. (o)

     119        4,391   

Waste Management Inc.

     52        2,331   
   

 

 

  
      23,334   
     Shares/Par (p)     Value  

INFORMATION TECHNOLOGY - 27.5%

  

Adobe Systems Inc. (c) (o)

     37        2,202   

Altera Corp. (o)

     91        2,962   

Apple Inc. (o)

     14        7,660   

Citrix Systems Inc. (c)

     47        2,990   

eBay Inc. (c)

     53        2,914   

EMC Corp.

     201        5,054   

Google Inc. - Class A (c)

     4        3,929   

MasterCard Inc.

     3        2,373   

Microsoft Corp. (o)

     233        8,728   

Oracle Corp. (o)

     118        4,528   

QUALCOMM Inc. (o)

     58        4,287   

Other Securities

       6,783   
   

 

 

  
      54,410   

MATERIALS - 5.0%

  

Berry Plastics Group Inc. (c) (o)

     120        2,851   

Eastman Chemical Co. (o)

     30        2,427   

Louisiana-Pacific Corp. (c)

     150        2,774   

Other Securities

       1,836   
   

 

 

  
      9,888   

UTILITIES - 1.9%

  

Other Securities

       3,810   
   

 

 

  

Total Common Stocks (cost $190,891)

  

     231,330   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

Investment Companies - 3.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     5,888        5,888   
   

 

 

  

Total Short Term Investments (cost $5,888)

  

     5,888   
   

 

 

  

Total Investments - 119.7% (cost $196,779)

  

     237,218   

Total Securities Sold Short - (19.7%) (proceeds $31,360)

   

     (39,043 ) 

Other Assets and Liabilities, Net - (0.0%)

  

     (65 )
   

 

 

  

Total Net Assets - 100.0%

     $     198,110   
   

 

 

  

SECURITIES SOLD SHORT - 19.7%

  

COMMON STOCKS - 19.7%

  

CONSUMER DISCRETIONARY - 2.4%

  

Best Buy Co. Inc.

     15      $ 601   

Family Dollar Stores Inc.

     12        805   

Garmin Ltd.

     11        522   

Meredith Corp.

     26        1,368   

New York Times Co. - Class A

     52        823   

Tesla Motors Inc.

     4        583   
   

 

 

  
      4,702   

CONSUMER STAPLES - 0.6%

  

General Mills Inc.

     24        1,206   

ENERGY - 2.0%

  

Chevron Corp.

     11        1,330   

Murphy Oil Corp.

     22        1,419   

Murphy USA Inc.

     5        227   

Valero Energy Corp.

     19        953   
   

 

 

  
      3,929   

FINANCIALS - 2.5%

  

ACE Ltd.

     7        746   

Federated Investors Inc. - Class B

     31        881   

FirstMerit Corp.

     38        837   

People’s United Financial Inc.

     52        779   

Valley National Bancorp

     174        1,758   
   

 

 

  
      5,001   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDUSTRIALS - 2.5%

  

Deere & Co.

     10        936   

Lockheed Martin Corp.

     9        1,272   

Northrop Grumman Systems Corp.

     10        1,171   

Precision Castparts Corp.

     6        1,588   
   

 

 

  
      4,967   

INFORMATION TECHNOLOGY - 4.7%

  

Corning Inc.

     70        1,249   

FactSet Research Systems Inc.

     13        1,432   

Flextronics International Ltd.

     129        1,000   

Intel Corp.

     32        824   

International Business Machines Corp.

     5        872   

Micron Technology Inc.

     47        1,020   

Motorola Solutions Inc.

     14        976   

SanDisk Corp.

     12        813   

Seagate Technology

     19        1,068   
   

 

 

  
      9,254   

MATERIALS - 3.7%

  

Air Products & Chemicals Inc.

     21        2,352   

Alcoa Inc.

     155        1,652   

Aluminum Corp. of China Ltd. - ADR - Class H

     128        1,116   

Dow Chemical Co.

     27        1,187   

Nucor Corp.

     19        992   
   

 

 

  
      7,299   

TELECOMMUNICATION SERVICES - 0.9%

  

CenturyLink Inc.

     21        673   

T-Mobile US Inc.

     34        1,151   
   

 

 

  
      1,824   

UTILITIES - 0.4%

  

Duke Energy Corp.

     12        861   
   

 

 

  

Total Securities Sold Short - 19.7% (proceeds $31,360)

  

   $ 39,043   
   

 

 

  

JNL/Invesco Global Real Estate Fund (z) *

  

COMMON STOCKS - 97.6%

  

AUSTRALIA - 6.5%

  

Dexus Property Group

     15,609      $     14,038   

Federation Centres Ltd.

     5,711        11,971   

Goodman Group

     2,528        10,712   

Stockland

     4,832        15,623   

Westfield Group

     2,181        19,685   

Westfield Retail Trust

     10,454        27,773   
   

 

 

  
      99,802   

AUSTRIA - 0.3%

  

Other Securities

       4,587   

CANADA - 4.2%

  

Allied Properties REIT

     576        17,758   

Canadian Apartment Properties REIT (e)

     780        15,608   

Canadian REIT

     321        13,118   

Other Securities

       18,607   
   

 

 

  
      65,091   

CHINA - 0.4%

  

Other Securities

       5,714   

FINLAND - 0.3%

  

Other Securities

       5,390   

FRANCE - 3.7%

  

Unibail-Rodamco SE

     157        40,331   
     Shares/Par (p)     Value  

Other Securities

       16,702   
   

 

 

  
      57,033   

GERMANY - 1.7%

  

Deutsche Wohnen AG (c)

     515        9,560   

Deutsche Wohnen AG

     362        6,981   

Other Securities

       10,019   
   

 

 

  
      26,560   

HONG KONG - 8.5%

  

Henderson Land Development Co. Ltd.

     4,067        23,249   

Hongkong Land Holdings Ltd.

     3,041        17,968   

Hysan Development Co. Ltd.

     2,767        11,944   

Link REIT (e)

     4,555        22,092   

Shimao Property Holdings Ltd.

     5,039        11,615   

Sun Hung Kai Properties Ltd.

     1,128        14,336   

Wharf Holdings Ltd.

     2,624        20,100   

Other Securities

       9,662   
   

 

 

  
      130,966   

JAPAN - 15.3%

  

Mitsubishi Estate Co. Ltd.

     1,709        51,144   

Mitsui Fudosan Co. Ltd.

     1,908        68,823   

Sumitomo Realty & Development Co. Ltd.

     755        37,620   

Other Securities

       78,232   
   

 

 

  
      235,819   

LUXEMBOURG - 0.4%

  

Other Securities

       6,877   

MALTA - 0.0%

  

Other Securities

       —   

NORWAY - 0.2%

  

Other Securities

       2,968   

SINGAPORE - 3.9%

  

CapitaLand Ltd.

     4,656        11,223   

CapitaMall Trust

     7,505        11,357   

Other Securities

       38,340   
   

 

 

  
      60,920   

SWEDEN - 1.2%

  

Castellum AB

     678        10,564   

Other Securities

       8,447   
   

 

 

  
      19,011   

UNITED KINGDOM - 5.8%

  

British Land Co. Plc

     1,674        17,451   

Great Portland Estates Plc

     1,561        15,515   

Hammerson Plc

     1,406        11,709   

Land Securities Group Plc

     1,392        22,239   

Other Securities

       23,346   
   

 

 

  
      90,260   

UNITED STATES OF AMERICA - 45.2%

  

AvalonBay Communities Inc.

     417        49,246   

Boston Properties Inc.

     374        37,531   

DDR Corp.

     2,395        36,811   

Essex Property Trust Inc.

     174        25,004   

Federal Realty Investment Trust

     121        12,311   

General Growth Properties Inc.

     1,142        22,925   

Health Care REIT Inc.

     786        42,101   

Healthcare Realty Trust Inc.

     506        10,789   

Healthcare Trust of America Inc. - Class A

     1,315        12,943   

Host Hotels & Resorts Inc.

     1,650        32,080   

Hudson Pacific Properties Inc.

     519        11,359   

LaSalle Hotel Properties

     435        13,421   

Macerich Co.

     297        17,487   

Mid-America Apartment Communities Inc.

     348        21,125   

National Retail Properties Inc. (e)

     416        12,626   

Piedmont Office Realty Trust Inc. (e)

     1,073        17,728   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

ProLogis Inc.

     1,269        46,879   

Public Storage

     223        33,506   

RLJ Lodging Trust

     438        10,657   

Simon Property Group Inc.

     549        83,530   

SL Green Realty Corp. (e)

     408        37,695   

UDR Inc.

     887        20,710   

Other Securities

       90,101   
   

 

 

  
      698,565   
   

 

 

  

Total Common Stocks (cost $1,445,943)

  

     1,509,563   
   

 

 

  

SHORT TERM INVESTMENTS - 5.1%

  

Investment Companies - 2.2%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     33,418        33,418   

Securities Lending Collateral - 2.9%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     45,135        45,135   
   

 

 

  

Total Short Term Investments (cost $78,553)

  

     78,553   
   

 

 

  

Total Investments - 102.7% (cost $1,524,496)

  

     1,588,116   

Other Assets and Liabilities, Net - (2.7%)

 

     (42,282 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,545,834   
   

 

 

  

JNL/Invesco International Growth Fund (z) *

  

COMMON STOCKS - 92.5%

  

AUSTRALIA - 3.0%

  

Amcor Ltd.

     1,596      $ 15,072   

Brambles Ltd.

     1,632        13,369   

Other Securities

       8,599   
   

 

 

  
      37,040   

BELGIUM - 1.5%

  

Anheuser-Busch InBev NV

     178        18,930   

BRAZIL - 2.9%

  

Banco Bradesco SA - ADR

     1,229        15,393   

BM&F Bovespa SA

     4,385        20,558   
   

 

 

  
      35,951   

CANADA - 7.1%

  

CGI Group Inc. - Class A (c)

     476        15,918   

Suncor Energy Inc.

     674        23,645   

Other Securities

       48,147   
   

 

 

  
      87,710   

CHINA - 5.6%

  

Baidu.com - ADR - Class A (c)

     128        22,695   

CNOOC Ltd.

     9,135        16,989   

Industrial & Commercial Bank of China Ltd. - Class H

     18,778        12,734   

Other Securities

       16,381   
   

 

 

  
      68,799   

DENMARK - 2.5%

  

Carlsberg A/S - Class B

     172        19,004   

Novo-Nordisk A/S

     64        11,681   
   

 

 

  
      30,685   

FRANCE - 4.5%

  

Publicis Groupe SA

     248        22,738   

Schneider Electric SA

     158        13,827   

Total SA

     303        18,608   
   

 

 

  
      55,173   

GERMANY - 8.4%

  

Adidas AG

     136        17,396   
     Shares/Par (p)     Value  

Allianz SE

     99        17,766   

Deutsche Boerse AG

     172        14,230   

Deutsche Post AG

     345        12,600   

Deutsche Telekom AG

     853        14,692   

SAP AG

     301        26,078   
   

 

 

  
      102,762   

HONG KONG - 3.2%

  

Galaxy Entertainment Group Ltd. (c)

     2,263        20,374   

Hutchison Whampoa Ltd.

     1,372        18,695   
   

 

 

  
      39,069   

ISRAEL - 1.5%

  

Teva Pharmaceutical Industries Ltd. - ADR

     454        18,186   

JAPAN - 4.9%

  

Fanuc Ltd.

     77        14,165   

Keyence Corp.

     28        11,886   

Toyota Motor Corp.

     284        17,335   

Other Securities

       17,064   
   

 

 

  
      60,450   

MEXICO - 1.7%

  

Grupo Televisa SAB - GDR

     512        15,496   

Other Securities

       5,771   
   

 

 

  
      21,267   

NETHERLANDS - 2.7%

  

Royal Dutch Shell Plc - Class B

     493        18,606   

Unilever NV - CVA

     349        14,035   
   

 

 

  
      32,641   

SINGAPORE - 4.1%

  

Avago Technologies Ltd.

     391        20,669   

Keppel Corp. Ltd. (e)

     1,864        16,560   

United Overseas Bank Ltd.

     783        13,222   
   

 

 

  
      50,451   

SOUTH KOREA - 3.2%

  

Hyundai Mobis

     67        18,623   

Samsung Electronics Co. Ltd.

     16        20,553   
   

 

 

  
      39,176   

SPAIN - 1.8%

  

Amadeus IT Holding SA

     512        21,914   

SWEDEN - 3.8%

  

Investor AB - Class B

     437        15,073   

Kinnevik Investment AB - Class B

     254        11,778   

Other Securities

       20,097   
   

 

 

  
      46,948   

SWITZERLAND - 8.8%

  

ABB Ltd.

     691        18,280   

Julius Baer Group Ltd.

     281        13,484   

Nestle SA

     222        16,271   

Novartis AG

     164        13,163   

Roche Holding AG

     88        24,716   

Syngenta AG

     37        14,898   

Other Securities

       7,521   
   

 

 

  
      108,333   

TAIWAN - 1.2%

  

Taiwan Semiconductor Manufacturing Co. Ltd.

     4,159        14,687   

TURKEY - 0.8%

  

Other Securities

       9,346   

UNITED KINGDOM - 19.3%

  

Aberdeen Asset Management Plc

     1,794        14,916   

British American Tobacco Plc

     446        23,938   

British Sky Broadcasting Group Plc

     1,533        21,421   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Compass Group Plc

     1,793        28,785   

Imperial Tobacco Group Plc

     422        16,353   

Reed Elsevier Plc

     2,282        34,036   

Shire Plc

     328        15,469   

Smith & Nephew Plc

     1,040        14,856   

WPP Plc

     1,054        24,133   

Other Securities

       43,810   
   

 

 

  
      237,717   
   

 

 

  

Total Common Stocks (cost $901,317)

  

     1,137,235   
   

 

 

  

PREFERRED STOCKS - 1.2%

  

GERMANY - 1.2%

  

Volkswagen AG

     53        14,867   
   

 

 

  

Total Preferred Stocks (cost $9,315)

  

     14,867   
   

 

 

  

SHORT TERM INVESTMENTS - 7.6%

  

Investment Companies - 6.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     74,016        74,016   

Securities Lending Collateral - 1.6%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     19,878        19,878   
   

 

 

  

Total Short Term Investments (cost $93,894)

  

     93,894   
   

 

 

  

Total Investments - 101.3% (cost $1,004,526)

  

     1,245,996   

Other Assets and Liabilities, Net - (1.3%)

 

     (16,080 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,229,916   
   

 

 

  

JNL/Invesco Large Cap Growth Fund (z) *

  

COMMON STOCKS - 98.5%

  

CONSUMER DISCRETIONARY - 23.7%

  

Amazon.com Inc. (c)

     60      $ 24,101   

CBS Corp. - Class B

     177        11,269   

DISH Network Corp. - Class A (c)

     808        46,796   

Dollar General Corp. (c)

     157        9,444   

General Motors Co. (c)

     409        16,702   

Las Vegas Sands Corp.

     132        10,382   

Lowe’s Cos. Inc.

     521        25,794   

Michael Kors Holdings Ltd. (c)

     130        10,578   

Priceline.com Inc. (c)

     18        21,053   

Time Warner Cable Inc.

     74        9,979   

Whirlpool Corp.

     65        10,234   

Other Securities

       44,554   
   

 

 

  
      240,886   

CONSUMER STAPLES - 4.1%

  

Anheuser-Busch InBev NV - ADR

     105        11,176   

CVS Caremark Corp.

     115        8,266   

Mondelez International Inc. - Class A

     623        22,002   
   

 

 

  
      41,444   

ENERGY - 4.3%

  

Phillips 66

     104        8,054   

Schlumberger Ltd.

     133        12,011   

Weatherford International Ltd. (c)

     761        11,787   

Other Securities

       11,663   
   

 

 

  
      43,515   

FINANCIALS - 6.0%

  

American Tower Corp.

     145        11,579   

Aon Plc - Class A

     167        13,972   

Citigroup Inc.

     367        19,149   

JPMorgan Chase & Co.

     184        10,743   
     Shares/Par (p)     Value  

Other Securities

       5,800   
   

 

 

  
      61,243   

HEALTH CARE - 14.1%

  

Actavis plc (c)

     47        7,946   

Amgen Inc.

     111        12,642   

Celgene Corp. (c)

     163        27,551   

Gilead Sciences Inc. (c)

     610        45,815   

HCA Holdings Inc. (c)

     188        8,986   

Pfizer Inc.

     297        9,092   

Other Securities

       31,386   
   

 

 

  
      143,418   

INDUSTRIALS - 11.1%

  

Flowserve Corp.

     123        9,731   

Fluor Corp.

     107        8,612   

Foster Wheeler AG (c)

     323        10,660   

Honeywell International Inc.

     157        14,346   

Ingersoll-Rand Plc

     133        8,214   

Jacobs Engineering Group Inc. (c)

     156        9,857   

Precision Castparts Corp.

     47        12,775   

Roper Industries Inc.

     67        9,262   

United Technologies Corp.

     85        9,685   

Other Securities

       19,906   
   

 

 

  
      113,048   

INFORMATION TECHNOLOGY - 30.0%

  

Altera Corp.

     320        10,397   

Apple Inc.

     106        59,543   

Applied Materials Inc.

     523        9,252   

Cognizant Technology Solutions Corp. - Class A (c)

     93        9,360   

F5 Networks Inc. (c)

     112        10,198   

Facebook Inc. - Class A (c)

     918        50,152   

Google Inc. - Class A (c)

     48        53,837   

MasterCard Inc.

     15        12,767   

Microsoft Corp.

     383        14,332   

QUALCOMM Inc.

     253        18,749   

Salesforce.com Inc. (c)

     341        18,843   

Visa Inc. - Class A

     56        12,422   

Other Securities

       25,305   
   

 

 

  
      305,157   

MATERIALS - 0.8%

  

Monsanto Co.

     69        8,094   

TELECOMMUNICATION SERVICES - 4.4%

  

Sprint Corp. (c)

     4,214        45,300   
   

 

 

  

Total Common Stocks (cost $771,824)

  

     1,002,105   
   

 

 

  

SHORT TERM INVESTMENTS - 4.0%

  

Investment Companies - 2.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     28,550        28,550   

Securities Lending Collateral - 1.2%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     12,439        12,439   
   

 

 

  

Total Short Term Investments (cost $40,989)

  

     40,989   
   

 

 

  

Total Investments - 102.5% (cost $812,813)

  

     1,043,094   

Other Assets and Liabilities, Net - (2.5%)

 

     (25,567 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,017,527   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Invesco Mid Cap Value Fund

  

COMMON STOCKS - 95.2%

  

CONSUMER DISCRETIONARY - 13.5%

  

Advance Auto Parts Inc.

     68      $     7,525   

Ascena Retail Group Inc. (c)

     349        7,386   

Express Inc. (c)

     395        7,377   

Family Dollar Stores Inc.

     109        7,074   

Johnson Controls Inc.

     221              11,341   

Newell Rubbermaid Inc.

     329        10,675   
   

 

 

  
      51,378   

CONSUMER STAPLES - 4.2%

    

Avon Products Inc.

     168        2,891   

ConAgra Foods Inc.

     394        13,279   
   

 

 

  
      16,170   

ENERGY - 6.9%

    

Newfield Exploration Co. (c)

     290        7,140   

Noble Corp plc

     217        8,121   

Williams Cos. Inc.

     287        11,055   
   

 

 

  
      26,316   

FINANCIALS - 23.3%

    

ACE Ltd.

     115        11,920   

BB&T Corp.

     252        9,418   

Comerica Inc.

     218        10,372   

Forest City Enterprises Inc. (c) (e)

     538        10,284   

Marsh & McLennan Cos. Inc.

     241        11,660   

Northern Trust Corp.

     137        8,460   

Stifel Financial Corp. (c)

     175        8,367   

Texas Capital Bancshares Inc. (c)

     29        1,816   

Willis Group Holdings Plc

     151        6,750   

Wintrust Financial Corp.

     187        8,644   

Zions Bancorp

     41        1,232   
   

 

 

  
      88,923   

HEALTH CARE - 9.2%

    

Brookdale Senior Living Inc. (c)

     245        6,673   

CareFusion Corp. (c)

     167        6,665   

HealthSouth Corp.

     286        9,514   

PerkinElmer Inc.

     142        5,873   

Universal Health Services Inc. - Class B

     75        6,121   
   

 

 

  
      34,846   

INDUSTRIALS - 16.5%

    

Allegion Plc (c)

     50        2,202   

Babcock & Wilcox Co. (e)

     257        8,796   

Better Place (c) (f) (q)

     406        —   

Foster Wheeler AG (c)

     245        8,095   

Ingersoll-Rand Plc

     150        9,267   

Robert Half International Inc.

     203        8,545   

Snap-On Inc.

     100        10,929   

Swift Transporation Co. - Class A (c) (e)

     167        3,710   

Textron Inc.

     173        6,368   

Werner Enterprises Inc. (e)

     195        4,823   
   

 

 

  
      62,735   

INFORMATION TECHNOLOGY - 6.9%

  

Cadence Design Systems Inc. (c)

     602        8,443   

Diebold Inc. (e)

     172        5,681   

Flextronics International Ltd. (c)

     776        6,028   

Teradata Corp. (c)

     135        6,147   
   

 

 

  
      26,299   

MATERIALS - 6.6%

    

Eastman Chemical Co.

     24        1,930   

Sealed Air Corp.

     241        8,208   

Sonoco Products Co.

     153        6,378   

WR Grace & Co. (c)

     87        8,642   
   

 

 

  
      25,158   
     Shares/Par (p)     Value  

TELECOMMUNICATION SERVICES - 2.6%

  

tw telecom inc. (c)

     324        9,865   

UTILITIES - 5.5%

  

CenterPoint Energy Inc.

     379        8,795   

Edison International

     149        6,910   

Oneok Inc.

     82        5,083   
   

 

 

  
      20,788   
   

 

 

  

Total Common Stocks (cost $333,746)

  

     362,478   
   

 

 

  

SHORT TERM INVESTMENTS - 11.0%

  

Investment Companies - 5.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     19,741        19,741   

Securities Lending Collateral - 5.8%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     22,326        22,326   
   

 

 

  

Total Short Term Investments (cost $42,067)

  

     42,067   
   

 

 

  

Total Investments - 106.2% (cost $375,813)

  

     404,545   

Other Assets and Liabilities, Net - (6.2%)

 

     (23,672 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     380,873   
   

 

 

  

JNL/Invesco Small Cap Growth Fund (z) *

  

COMMON STOCKS - 95.7%

  

CONSUMER DISCRETIONARY - 15.3%

  

Domino’s Pizza Inc.

     110      $ 7,634   

DSW Inc. - Class A

     154        6,584   

HomeAway Inc. (c) (e)

     154        6,293   

Jack in the Box Inc. (c)

     149        7,447   

Pool Corp.

     122        7,068   

Sinclair Broadcast Group Inc. - Class A

     176        6,306   

Tenneco Inc. (c)

     137        7,739   

Tractor Supply Co.

     98        7,614   

WABCO Holdings Inc. (c)

     66        6,156   

Other Securities

       48,858   
   

 

 

  
      111,699   

CONSUMER STAPLES - 1.5%

  

Lancaster Colony Corp.

     68        5,998   

Other Securities

       4,756   
   

 

 

  
      10,754   

ENERGY - 5.7%

  

Dril-Quip Inc. (c)

     60        6,597   

Oasis Petroleum Inc. (c)

     142        6,685   

Other Securities

       28,471   
   

 

 

  
      41,753   

FINANCIALS - 9.3%

  

Affiliated Managers Group Inc. (c)

     38        8,208   

American Equity Investment Life Holding Co.

     241        6,355   

East West Bancorp Inc.

     176        6,160   

Gaming and Leisure Properties Inc. (c) (e)

     123        6,260   

SEI Investments Co.

     178        6,197   

Stifel Financial Corp. (c)

     157        7,519   

SVB Financial Group (c)

     67        6,994   

Other Securities

       20,358   
   

 

 

  
      68,051   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

HEALTH CARE - 17.5%

  

Incyte Corp. (c)

     216        10,917   

Jazz Pharmaceuticals Plc (c)

     79        9,968   

Salix Pharmaceuticals Ltd. (c)

     84        7,555   

United Therapeutics Corp. (c)

     79        8,912   

VCA Antech Inc. (c)

     203        6,382   

Other Securities

       84,218   
   

 

 

  
      127,952   

INDUSTRIALS - 16.7%

  

Acuity Brands Inc.

     67        7,285   

AO Smith Corp.

     152        8,217   

ITT Corp.

     172        7,488   

Kirby Corp. (c)

     70        6,915   

Lincoln Electric Holdings Inc.

     105        7,495   

Pitney Bowes Inc.

     286        6,674   

Swift Transporation Co. - Class A (c) (e)

     286        6,344   

Wabtec Corp.

     111        8,256   

WESCO International Inc. (c)

     70        6,358   

Other Securities

       57,400   
   

 

 

  
      122,432   

INFORMATION TECHNOLOGY - 24.2%

  

Alliance Data Systems Corp. (c) (e)

     26        6,896   

Ansys Inc. (c)

     69        5,978   

Arris Group Inc. (c)

     254        6,198   

Aspen Technology Inc. (c)

     252        10,549   

Cognex Corp.

     191        7,283   

CoStar Group Inc. (c)

     57        10,537   

Dealertrack Technologies Inc. (c)

     136        6,540   

Informatica Corp. (c)

     164        6,819   

Interactive Intelligence Group (c)

     99        6,687   

Littelfuse Inc.

     73        6,768   

Manhattan Associates Inc. (c)

     115        13,484   

Mentor Graphics Corp.

     249        6,000   

Power Integrations Inc.

     112        6,238   

SYNNEX Corp. (c)

     106        7,172   

ValueClick Inc. (c)

     267        6,244   

Other Securities

       63,760   
   

 

 

  
      177,153   

MATERIALS - 3.6%

  

PolyOne Corp.

     185        6,536   

Other Securities

       20,112   
   

 

 

  
      26,648   

TELECOMMUNICATION SERVICES - 1.2%

  

SBA Communications Corp. (c)

     97        8,744   

UTILITIES - 0.7%

  

Other Securities

       5,370   
   

 

 

  

Total Common Stocks (cost $525,744)

       700,556   
   

 

 

  

SHORT TERM INVESTMENTS - 9.8%

  

Investment Companies - 4.1%

  

JNL Money Market Fund, 0.01% (a) (h)

     30,008        30,008   

Securities Lending Collateral - 5.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     42,165        42,165   
   

 

 

  

Total Short Term Investments (cost $72,173)

  

     72,173   
   

 

 

  

Total Investments - 105.5% (cost $597,917)

  

     772,729   

Other Assets and Liabilities, Net - (5.5%)

 

     (40,494 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     732,235   
   

 

 

  
     Shares/Par (p)     Value  

JNL/Ivy Asset Strategy Fund (b) (z) *

  

COMMON STOCKS - 74.4%

  

CONSUMER DISCRETIONARY - 31.8%

  

Bayerische Motoren Werke AG

     220      $ 25,847   

CBS Corp. - Class B

     1,175        74,885   

Continental AG

     99        21,771   

Delta Topco Ltd. (c) (f) (q)

     59,271        37,612   

Galaxy Entertainment Group Ltd. (c)

     20,351        183,225   

Hyundai Motor Co.

     172        38,508   

Legend Pictures LLC (c) (f) (q) (x)

     15        31,168   

Media Group Holdings LLC (c) (f) (q) (x)

     31        69,993   

Panasonic Corp.

     3,054        35,602   

Sands China Ltd.

     17,426        142,812   

Sony Corp. (e)

     1,944        33,515   

Starwood Hotels & Resorts Worldwide Inc.

     440        34,950   

Toyota Motor Corp.

     345        21,036   

Twenty-First Century Fox Inc. - Class A

     731        25,724   

Wynn Resorts Ltd. (o)

     510        99,096   

Other Securities

       95,196   
   

 

 

  
      970,940   

CONSUMER STAPLES - 1.5%

  

Philip Morris International Inc.

     405        35,279   

Other Securities

       9,038   
   

 

 

  
      44,317   

ENERGY - 4.2%

  

ConocoPhillips

     454        32,096   

Phillips 66

     553        42,634   

Plains GP Holdings LP - Class A (c)

     1,242        33,238   

Other Securities

       19,486   
   

 

 

  
      127,454   

FINANCIALS - 16.7%

  

AIA Group Ltd.

     17,278        86,968   

American International Group Inc.

     520        26,536   

AXA SA

     726        20,209   

Blackstone Group LP

     1,069        33,680   

Chuo Mitsui Trust Holdings Inc.

     6,136        32,467   

Goldman Sachs Group Inc.

     134        23,717   

KKR & Co. LP

     1,043        25,389   

MetLife Inc.

     512        27,602   

Mitsubishi UFJ Financial Group Inc.

     5,281        35,063   

Mizuho Financial Group Inc.

     17,276        37,507   

Nomura Holdings Inc.

     3,704        28,623   

Sumitomo Mitsui Financial Group Inc.

     673        34,972   

Other Securities

       96,983   
   

 

 

  
          509,716   

HEALTH CARE - 2.5%

  

Pfizer Inc.

     912        27,926   

Other Securities

       47,802   
   

 

 

  
      75,728   

INDUSTRIALS - 3.3%

  

European Aeronautic Defence & Space Co. NV

     265        20,306   

Nielsen Holdings NV

     748        34,335   

Other Securities

       46,915   
   

 

 

  
      101,556   

INFORMATION TECHNOLOGY - 12.9%

  

Apple Inc.

     54        30,216   

ASML Holding NV

     230        21,524   

Canon Inc. (e)

     875        27,933   

Cisco Systems Inc. (o)

     2,450        54,998   

Cognizant Technology Solutions Corp. - Class A (c)

     334        33,715   

Hitachi Ltd.

     4,020        30,480   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Intuit Inc.

     409        31,207   

Tencent Holdings Ltd.

     595        38,083   

Texas Instruments Inc.

     459        20,155   

Other Securities

       105,810   
   

 

 

  
      394,121   

MATERIALS - 1.0%

  

Other Securities

       30,061   

TELECOMMUNICATION SERVICES - 0.5%

  

Other Securities

       16,671   
   

 

 

  

Total Common Stocks (cost $1,724,975)

  

     2,270,564   
   

 

 

  

PURCHASED OPTIONS - 0.1%

  

Apple Inc. Call Option, Strike Price 575, Expiration 01/18/14, GSC

     266        154   

Cisco Systems Inc. Call Option, Strike Price 22, Expiration 01/18/14, DUB

     3,516        176   

Other Securities

       3,631   
   

 

 

  

Total Purchased Options (cost $2,634)

  

     3,961   
   

 

 

  

CORPORATE BONDS AND NOTES - 2.6%

  

CONSUMER DISCRETIONARY - 2.6%

  

Delta Topco Ltd., 10.00%, 11/24/16 (f) (q) (y)

   $ 49,006        49,006   

Legendary Pictures Funding LLC, 8.00%, 03/15/18 (f) (q)

     28,500        28,500   
   

 

 

  

Total Corporate Bonds and Notes (cost $78,075)

  

     77,506   
   

 

 

  

PRECIOUS METALS - 7.2%

  

Gold Bullion

     181,738        218,876   
   

 

 

  

Total Precious Metals (cost $229,982)

       218,876   
   

 

 

  

SHORT TERM INVESTMENTS - 15.9%

  

Certificates of Deposit - 0.3%

  

Other Securities

       10,000   

Commercial Paper - 12.5%

  

Chevron Corp.

    

0.08%, 02/24/14 (r)

     11,000        10,997   

0.11%, 03/11/14 (r)

     12,000        11,996   

Danaher Corp., 0.09%, 01/16/14 (r)

     20,000        19,999   

Illinois Tool Works Inc.

    

0.11%, 01/21/14 (r)

     10,000        9,999   

0.09%, 02/05/14 (r)

     10,000        9,999   

0.07%, 02/10/14 (r)

     9,104        9,103   

John Deere Capital Corp.

    

0.10%, 01/10/14 (r)

     10,000        10,000   

0.09%, 01/16/14 (r)

     25,000        24,999   

Nestle Finance International Ltd.

    

0.07%, 01/13/14

     10,000        10,000   

0.09%, 02/13/14

     20,000        19,998   

Pfizer Inc.

    

0.10%, 03/10/14 (r)

     5,000        4,999   

0.11%, 03/12/14 (r)

     20,000        19,997   

Shell International Finance BV

    

0.06%, 01/15/14 (r)

     12,000        12,000   

0.07%, 01/21/14 (r)

     10,000        10,000   

Other Securities

       197,873   
   

 

 

  
      381,959   

Federal Home Loan Bank - 0.3% (w)

  

Other Securities

       9,999   

Investment Companies - 1.5%

  

JNL Money Market Fund, 0.01% (a) (h)

     31,802        31,802   

Other Securities

       12,277   
   

 

 

  
      44,079   
     Shares/Par (p)     Value  

Securities Lending Collateral - 1.3%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     38,413        38,413   
   

 

 

  

Total Short Term Investments (cost $484,450)

  

     484,450   
   

 

 

  

Total Investments - 100.2% (cost $2,520,116)

  

     3,055,357   

Other Assets and Liabilities, Net - (0.2%)

  

     (4,691 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     3,050,666   
   

 

 

  

JNL/JPMorgan International Value Fund (z) *

  

COMMON STOCKS - 97.0%

  

AUSTRALIA - 2.0%

  

  

Australia & New Zealand Banking Group Ltd.

     361      $ 10,419   

Other Securities

       3,374   
   

 

 

  
      13,793   

BELGIUM - 1.4%

  

Solvay SA

     58        9,199   

BRAZIL - 0.5%

  

Other Securities

       3,442   

CANADA - 0.4%

  

Other Securities

       2,998   

CHINA - 2.5%

  

Other Securities

       16,518   

DENMARK - 1.1%

  

Danske Bank A/S (c)

     314        7,203   

FINLAND - 1.2%

  

UPM-Kymmene Oyj

     469        7,948   

FRANCE - 13.6%

  

AXA SA

     520        14,489   

BNP Paribas

     222        17,322   

Cie de Saint-Gobain

     214        11,790   

Electricite de France SA

     181        6,397   

Lafarge SA

     109        8,188   

Schneider Electric SA

     89        7,739   

Sodexo SA

     81        8,256   

Other Securities

       17,677   
   

 

 

  
      91,858   

GERMANY - 10.0%

  

Allianz SE

     45        8,068   

BASF SE

     109        11,591   

Bayer AG

     111        15,613   

Daimler AG

     142        12,342   

Deutsche Telekom AG

     717        12,357   

Metro AG

     149        7,224   
   

 

 

  
      67,195   

HONG KONG - 2.2%

  

Hutchison Whampoa Ltd.

     719        9,797   

Other Securities

       4,772   
   

 

 

  
      14,569   

INDIA - 0.7%

  

Other Securities

       4,963   

ITALY - 3.2%

  

ENI SpA

     572        13,827   

Other Securities

       7,816   
   

 

 

  
      21,643   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JAPAN - 22.5%

  

Daiwa House Industry Co. Ltd.

     354        6,859   

East Japan Railway Co.

     95        7,599   

Hitachi Ltd.

     1,577        11,957   

Honda Motor Co. Ltd.

     222        9,164   

Japan Tobacco Inc.

     251        8,167   

KDDI Corp.

     105        6,482   

Mitsubishi UFJ Financial Group Inc.

     2,480        16,466   

Nomura Holdings Inc.

     844        6,519   

ORIX Corp.

     688        12,093   

Seven & I Holdings Co. Ltd.

     222        8,847   

Sumitomo Electric Industries Ltd.

     420        7,024   

Sumitomo Mitsui Financial Group Inc.

     242        12,590   

Toyota Motor Corp.

     138        8,433   

Other Securities

       29,629   
   

 

 

  
      151,829   

NETHERLANDS - 5.4%

  

European Aeronautic Defence & Space Co. NV

     100        7,687   

ING Groep NV - CVA (c)

     509        7,109   

Royal Dutch Shell Plc - Class A

     500        17,915   

Other Securities

       3,361   
   

 

 

  
      36,072   

NORWAY - 0.9%

  

Other Securities

       6,106   

SOUTH KOREA - 0.9%

  

Samsung Electronics Co. Ltd.

     5        6,401   

SPAIN - 1.1%

  

Repsol SA (e)

     305        7,692   

SWEDEN - 3.1%

  

Nordea Bank AB

     505        6,807   

Telefonaktiebolaget LM Ericsson - Class B

     647        7,900   

Other Securities

       6,296   
   

 

 

  
      21,003   

SWITZERLAND - 6.2%

  

Novartis AG

     164        13,110   

Roche Holding AG

     24        6,751   

Swiss Re AG

     189        17,383   

Other Securities

       4,510   
   

 

 

  
      41,754   

UNITED KINGDOM - 18.1%

  

AstraZeneca Plc

     116        6,910   

Barclays Plc

     1,725        7,801   

BG Group Plc

     386        8,308   

BP Plc

     995        8,066   

HSBC Holdings Plc

     2,088        22,910   

InterContinental Hotels Group Plc

     278        9,288   

Rio Tinto Plc

     179        10,130   

Vodafone Group Plc

     6,469        25,471   

Other Securities

       23,284   
   

 

 

  
      122,168   
   

 

 

  

Total Common Stocks (cost $542,813)

       654,354   
   

 

 

  

PREFERRED STOCKS - 1.3%

  

GERMANY - 1.3%

  

Volkswagen AG

     32        9,017   
   

 

 

  

Total Preferred Stocks (cost $6,523)

       9,017   
   

 

 

  

RIGHTS - 0.0%

  

SPAIN - 0.0%

  

Repsol SA (c) (e)

     305        208   
   

 

 

  

Total Rights (cost $204)

       208   
   

 

 

  
     Shares/Par (p)     Value  

SHORT TERM INVESTMENTS - 3.8%

  

Investment Companies - 1.6%

  

JNL Money Market Fund, 0.01% (a) (h)

     10,487        10,487   

Securities Lending Collateral - 2.2%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     14,455        14,455   
   

 

 

  

Total Short Term Investments (cost $24,942)

  

     24,942   
   

 

 

  

Total Investments - 102.1% (cost $574,482)

  

     688,521   

Other Assets and Liabilities, Net - (2.1%)

 

     (14,201 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     674,320   
   

 

 

  

JNL/JPMorgan MidCap Growth Fund (z) *

  

COMMON STOCKS - 96.7%

  

CONSUMER DISCRETIONARY - 24.2%

  

Advance Auto Parts Inc.

     118      $ 13,016   

BorgWarner Inc.

     230        12,859   

Discovery Communications Inc. - Class A (c)

     166        14,965   

GameStop Corp. - Class A (e)

     349        17,197   

Harley-Davidson Inc.

     485        33,602   

Lululemon Athletica Inc. (c) (e)

     221        13,040   

Michael Kors Holdings Ltd. (c)

     272        22,116   

Mohawk Industries Inc. (c)

     119        17,764   

Netflix Inc. (c)

     44        16,347   

Norwegian Cruise Line Holdings Ltd. (c)

     346        12,273   

O’Reilly Automotive Inc. (c)

     118        15,226   

Ross Stores Inc.

     210        15,720   

Signet Jewelers Ltd.

     201        15,850   

Williams-Sonoma Inc.

     212        12,344   

Wynn Resorts Ltd.

     70        13,575   

Other Securities

       65,737   
   

 

 

  
      311,631   

ENERGY - 4.7%

  

Cabot Oil & Gas Corp. - Class A

     409        15,864   

Concho Resources Inc. (c)

     133        14,407   

Plains All American Pipeline LP

     234        12,104   

Other Securities

       18,110   
   

 

 

  
      60,485   

FINANCIALS - 11.8%

  

Affiliated Managers Group Inc. (c)

     102        22,187   

Aon Plc - Class A

     193        16,157   

Blackstone Group LP

     445        14,021   

CBRE Group Inc. - Class A (c)

     667        17,539   

East West Bancorp Inc.

     375        13,096   

Moody’s Corp.

     281        22,011   

Signature Bank (c)

     122        13,116   

TD Ameritrade Holding Corp.

     414        12,697   

Other Securities

       20,722   
   

 

 

  
      151,546   

HEALTH CARE - 13.8%

  

Actavis plc (c)

     108        18,161   

Agilent Technologies Inc.

     371        21,217   

Alexion Pharmaceuticals Inc. (c)

     117        15,555   

Humana Inc.

     140        14,451   

Illumina Inc. (c) (e)

     204        22,511   

Sirona Dental Systems Inc. (c)

     188        13,212   

Valeant Pharmaceuticals International Inc. (c)

     113        13,231   

Vertex Pharmaceuticals Inc. (c)

     168        12,445   

Other Securities

       46,824   
   

 

 

  
      177,607   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDUSTRIALS - 21.2%

    

Acuity Brands Inc.

     184        20,104   

Canadian Pacific Railway Ltd.

     88        13,271   

Carlisle Cos. Inc.

     224        17,786   

Delta Air Lines Inc.

     636        17,482   

Flowserve Corp.

     298        23,483   

Fluor Corp.

     159        12,774   

Fortune Brands Home & Security Inc.

     409        18,673   

Generac Holdings Inc.

     264        14,936   

Hertz Global Holdings Inc. (c)

     659        18,849   

Kirby Corp. (c)

     161        15,930   

Pall Corp.

     264        22,541   

Stericycle Inc. (c)

     133        15,481   

Other Securities

       62,310   
   

 

 

  
      273,620   

INFORMATION TECHNOLOGY - 18.9%

  

Alliance Data Systems Corp. (c) (e)

     98        25,872   

Amphenol Corp. - Class A

     226        20,190   

Applied Materials Inc.

     1,099        19,447   

Avago Technologies Ltd.

     346        18,273   

FleetCor Technologies Inc. (c)

     131        15,338   

KLA-Tencor Corp.

     219        14,117   

Workday Inc. - Class A (c) (e)

     162        13,464   

Xilinx Inc.

     341        15,663   

Other Securities

       101,843   
   

 

 

  
      244,207   

MATERIALS - 2.1%

  

PPG Industries Inc.

     68        12,802   

Sherwin-Williams Co.

     79        14,497   
   

 

 

  
      27,299   
   

 

 

  

Total Common Stocks (cost $999,301)

  

     1,246,395   
   

 

 

  

SHORT TERM INVESTMENTS - 6.7%

  

Investment Companies - 2.7%

  

JNL Money Market Fund, 0.01% (a) (h)

     34,575        34,575   

Securities Lending Collateral - 4.0%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     51,646        51,646   
   

 

 

  

Total Short Term Investments (cost $86,221)

  

     86,221   
   

 

 

  

Total Investments - 103.4% (cost $1,085,522)

  

     1,332,616   

Other Assets and Liabilities, Net - (3.4%)

 

     (44,228 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,288,388   
   

 

 

  

JNL/JPMorgan U.S. Government & Quality Bond Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 4.0%

   

ACE Securities Corp. REMIC, 0.42%, 02/25/31 (i)

   $ 112      $ 104   

BB-UBS Trust REMIC, 2.89%, 06/05/30 (r)

     8,000        7,528   

Commercial Mortgage Pass-Through Certificates Interest Only REMIC, 1.94%, 08/15/45 (i)

     17,690        1,951   

CompuCredit Acquired Portfolio Voltage Master Trust, 0.34%, 09/17/18 (i) (q)

     45        45   

Conseco Financial Corp. REMIC, 7.07%, 01/15/29

     30        30   
     Shares/Par (p)     Value  

Countrywide Alternative Loan Trust REMIC

    

0.38%, 07/20/46 (i)

     706        420   

0.36%, 12/20/46 (i)

     1,156        818   

Countrywide Home Equity Loan Trust, 0.46%, 02/15/34 (i)

     385        336   

Credit Suisse First Boston Mortgage Securities Corp. REMIC, 6.00%, 09/25/34

     846        890   

FDIC Structured Sale Guaranteed Notes REMIC, 1.84%, 04/25/31 (i) (r)

     820        824   

IndyMac Seconds Asset Backed Trust REMIC, 0.42%, 06/25/36 (i) (q)

     846        209   

LB-UBS Commercial Mortgage Trust REMIC, 5.35%, 11/15/38

     2,520        2,767   

MASTR Adjustable Rate Mortgages Trust REMIC, 2.24%, 02/25/34 (i)

     576        572   

Morgan Stanley Capital I Trust REMIC, 4.05%, 07/15/49

     1,697        1,797   

Morgan Stanley Mortgage Loan Trust REMIC, 2.46%, 10/25/34 (i)

     460        462   

NCUA Guaranteed Notes Trust REMIC, 1.60%, 10/29/20

     1,470        1,481   

Nomura Asset Acceptance Corp. REMIC, 6.50%, 03/25/34 (r)

     3,752        3,926   

Provident Funding Mortgage Loan Trust REMIC, 2.64%, 10/25/35 (i)

     248        245   

Residential Funding Mortgage Securities Inc. Trust REMIC, 5.50%, 02/25/35

     2,517        2,471   

SACO I Inc. REMIC, 0.42%, 06/25/36 (i) (q)

     220        278   

Springleaf Mortgage Loan Trust REMIC, 4.05%, 01/25/58 (i) (r)

     2,099        2,181   

Structured Asset Mortgage Investments Inc. REMIC, 0.37%, 08/25/36 (i)

     1,086        792   

UBS-BAMLL Trust REMIC, 3.66%, 06/10/30

     4,560        4,326   

Vendee Mortgage Trust REMIC, 6.75%, 02/15/31

     2,013        2,282   

Wells Fargo Mortgage Backed Securities Trust REMIC, 5.50%, 04/25/22

     775        798   

Wells Fargo Re-REMIC Trust REMIC, 1.75%, 08/20/21 (f) (r)

     3,997        3,973   

Wells Fargo-RBS Commercial Mortgage Trust REMIC, 4.38%, 03/15/44 (r)

     4,750        4,992   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $47,775)

   

     46,498   
   

 

 

  

CORPORATE BONDS AND NOTES - 3.0%

  

CONSUMER STAPLES - 0.1%

  

Kimberly-Clark Corp., 2.40%, 03/01/22 (e)

     700        650   

PepsiCo Inc., 3.00%, 08/25/21

     782        770   
   

 

 

  
      1,420   

ENERGY - 0.1%

  

Occidental Petroleum Corp., 3.13%, 02/15/22

     666        648   

Phillips 66, 4.30%, 04/01/22

     912        925   
   

 

 

  
      1,573   

FINANCIALS - 2.1%

  

Bank of America Corp., 5.70%, 01/24/22

     1,490        1,684   

Bank of New York Mellon Corp., 3.55%, 09/23/21 (e)

     3,850        3,934   

Berkshire Hathaway Inc., 3.40%, 01/31/22

     1,619        1,608   

Citigroup Inc., 4.50%, 01/14/22 (e)

     3,028        3,205   

Goldman Sachs Group Inc., 5.75%, 01/24/22

     840        944   

PNC Funding Corp., 2.70%, 09/19/16 (e)

     1,400        1,460   

Toyota Motor Credit Corp., 3.40%, 09/15/21

     5,500        5,576   

U.S. Bancorp, 3.00%, 03/15/22

     1,715        1,656   

Wells Fargo & Co., 1.50%, 07/01/15 (e)

     4,639        4,704   
   

 

 

  
      24,771   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDUSTRIALS - 0.1%

  

ABB Finance USA Inc., 2.88%, 05/08/22

     571        538   

Lockheed Martin Corp., 3.35%, 09/15/21

     984        975   
   

 

 

  
      1,513   

INFORMATION TECHNOLOGY - 0.3%

  

Hewlett-Packard Co., 4.05%, 09/15/22

     1,935        1,899   

Intel Corp., 3.30%, 10/01/21 (e)

     1,279        1,269   
   

 

 

  
      3,168   

TELECOMMUNICATION SERVICES - 0.1%

  

Nippon Telegraph & Telephone Corp., 1.40%, 07/18/17

     1,067        1,054   

UTILITIES - 0.2%

  

Florida Power Corp., 3.10%, 08/15/21

     1,203        1,183   

Virginia Electric and Power Co., 2.95%, 01/15/22 (e)

     870        840   
   

 

 

  
      2,023   
   

 

 

  

Total Corporate Bonds and Notes (cost $35,061)

  

     35,522   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 88.2%

  

GOVERNMENT SECURITIES - 35.5%

  

Federal Farm Credit Bank - 1.4% (w)

  

Federal Farm Credit Bank

    

5.30%, 12/23/24

     6,800        7,601   

5.75%, 12/07/28

     7,000        8,320   
   

 

 

  
      15,921   

Federal Home Loan Bank - 1.4% (w)

  

Federal Home Loan Bank

    

4.88%, 05/17/17

     10,000        11,286   

5.25%, 12/11/20

     4,500        5,206   
   

 

 

  
      16,492   

Federal National Mortgage Association - 2.9% (w)

  

Federal National Mortgage Association, 0.00%, 10/09/19 - 03/23/28 (j)

     42,000        34,110   
   

 

 

  
      34,110   

Sovereign - 4.9%

  

Financing Corp. Fico Principal Strip, 0.00%, 04/05/19 (j)

     5,000        4,435   

Israel Government AID Bond, 0.00%, 09/15/19 - 11/01/21 (j)

     30,000        25,173   

Province of Saskatchewan Canada, 9.38%, 12/15/20 (e)

     1,500        2,050   

Residual Funding Corp. Principal Strip, 0.00%, 10/15/19 - 01/15/30 (j)

     16,210        11,798   

Tennessee Valley Authority Generic Strip, 0.00%, 01/15/21 - 07/15/37 (j)

     20,487        13,182   
   

 

 

  
      56,638   

Treasury Inflation Index Securities - 0.8%

  

U.S. Treasury Inflation Indexed Note

    

2.00%, 01/15/26 (n)

     6,095        6,742   

2.38%, 01/15/27 (n)

     2,328        2,677   
   

 

 

  
      9,419   

U.S. Treasury Securities - 24.1%

  

U.S. Treasury Bond

    

8.13%, 08/15/21

     25,000        20,275   

5.25%, 11/15/28 (e)

     20,000        24,019   

5.25%, 02/15/29

     10,000        12,006   

5.38%, 02/15/31

     33,000        40,332   

U.S. Treasury Note

    

2.00%, 04/30/16 - 11/15/21

     50,000        49,689   

4.63%, 02/15/17

     22,000        24,535   

4.75%, 08/15/17

     17,000        19,200   

3.38%, 11/15/19

     25,000        26,865   

1.00%, 11/30/19 (e)

     10,000        9,385   

2.63%, 08/15/20 - 11/15/20

     55,000        55,954   
   

 

 

  
      282,260   
     Shares/Par (p)     Value  

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 52.7%

   

Federal Home Loan Mortgage Corp. - 23.0%

  

Federal Home Loan Mortgage Corp.

    

8.00%, 07/01/20

     7        8   

6.00%, 11/01/28

     80        90   

7.00%, 04/01/29 - 08/01/32

     114        129   

5.00%, 08/01/33 - 12/01/34

     1,757        1,931   

2.38%, 12/01/35 (i)

     1,393        1,457   

2.98%, 01/01/37 (i)

     155        165   

5.50%, 07/01/38

     8,909        9,709   

4.50%, 10/01/40

     1,764        1,872   

3.00%, 07/15/42

     37,160        36,143   

REMIC, 5.00%, 01/15/18 - 08/15/39

     47,036        50,985   

REMIC, 4.50%, 06/15/18 - 07/15/34

     29,722        31,693   

REMIC, 4.00%, 07/15/23 - 06/15/36

     19,253        20,142   

REMIC, 5.50%, 01/15/26 - 07/15/40

     31,888        34,872   

REMIC, 3.50%, 02/15/26 - 01/15/41

     51,649        51,305   

REMIC, 3.00%, 04/15/31

     17,362        17,560   

REMIC, 2.00%, 03/15/33

     9,534        9,050   

REMIC, 6.00%, 07/15/37

     2,000        2,203   
   

 

 

  
      269,314   

Federal National Mortgage Association - 23.3%

  

Federal National Mortgage Association

    

12.50%, 09/20/15 - 01/15/16

     1        1   

12.00%, 01/01/16 - 01/15/16

     4        4   

5.00%, 02/01/19 - 11/01/40

     31,205        34,236   

11.50%, 09/01/19

     —        —   

10.50%, 08/01/20

     2        2   

3.27%, 01/01/22

     9,702        9,794   

4.00%, 02/01/25 - 09/01/25

     7,738        8,203   

6.50%, 03/01/26 - 03/01/36

     503        565   

7.00%, 05/01/26 - 01/01/30

     17        18   

8.00%, 11/01/29 - 03/01/31

     73        84   

6.00%, 02/01/31 - 12/01/36

     11,846        13,303   

7.50%, 02/01/31

     8        9   

5.50%, 02/01/35 - 10/01/36

     7,140        7,906   

REMIC, 5.00%, 05/25/18 - 09/25/39

     22,783        24,701   

REMIC, 4.00%, 01/25/19 - 05/25/38

     77,089        80,269   

REMIC, 4.50%, 04/25/23 - 12/25/40

     39,588        42,275   

REMIC, 3.50%, 01/25/32 - 07/25/33

     10,615        10,332   

REMIC, 5.50%, 12/25/34 - 11/25/35

     4,647        5,084   

REMIC, 0.00%,04/25/36 (j)

     2,692        2,474   

REMIC, 6.00%, 02/25/37 (i)

     4,455        4,897   

REMIC, 11.22%, 02/25/40 (i)

     32        33   

REMIC, 7.50%, 12/25/41

     6,278        7,163   

REMIC, 3.00%, 04/25/42

     12,956        12,848   

REMIC, 5.75%, 06/25/42

     1,587        1,690   

REMIC, 4.68%, 06/25/43

     4,227        4,566   

REMIC, 6.00%, 12/25/49

     1,562        1,778   

REMIC, Interest Only, 6.39%, 10/25/27 (i)

     5,836        315   
   

 

 

  
      272,550   

Government National Mortgage Association - 6.4%

  

Government National Mortgage Association

    

6.00%, 04/15/29 - 01/15/36

     1,960        2,215   

REMIC, 4.00%, 09/16/24 - 11/20/38

     20,000        20,991   

REMIC, 6.50%, 06/20/28 - 06/16/31

     2,475        2,745   

REMIC, 5.50%, 03/20/33 - 02/16/38

     10,616        11,608   

REMIC, 6.00%, 12/16/33

     2,943        3,252   

REMIC, 3.00%, 04/20/39

     7,192        7,388   

REMIC, 4.50%, 06/20/39

     10,000        10,624   

REMIC, 5.00%, 05/20/40

     11,519        11,848   

REMIC, Interest Only, 6.23%, 05/16/38 (i)

     4,343        749   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

REMIC, Interest Only, 5.96%, 07/20/41 (i)

     18,141        2,799   
   

 

 

  
      74,219   
   

 

 

  

Total Government and Agency Obligations (cost $1,004,651)

       1,030,923   
   

 

 

  

SHORT TERM INVESTMENTS - 5.3%

  

Investment Companies - 4.6%

  

JNL Money Market Fund, 0.01% (a) (h)

     53,668        53,668   

Securities Lending Collateral - 0.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     8,674        8,674   
   

 

 

  

Total Short Term Investments (cost $62,342)

       62,342   
   

 

 

  

Total Investments - 100.5% (cost $1,149,829)

       1,175,285   

Other Assets and Liabilities, Net - (0.5%)

       (6,027 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,169,258   
   

 

 

  

JNL/Lazard Emerging Markets Fund (z) *

  

COMMON STOCKS - 99.1%

  

ARGENTINA - 1.6%

  

YPF SA - ADR - Class D (e)

     720      $ 23,730   

BRAZIL - 13.7%

  

AMBEV SA - ADR

     2,048        15,053   

Banco do Brasil SA

     4,703        48,635   

BB Seguridade Participacoes SA

     1,942        20,171   

CCR SA

     1,654        12,455   

Cielo SA

     1,327        36,931   

Cielo SA - ADR (e)

     273        7,635   

Natura Cosmeticos SA

     743        13,029   

Souza Cruz SA

     1,203        12,299   

Vale SA - ADR (e)

     878        13,387   

Vale SA - ADR Preferred

     261        3,660   

Other Securities

       26,051   
   

 

 

  
      209,306   

CHINA - 12.3%

  

Baidu.com - ADR - Class A (c)

     185        32,885   

China Construction Bank Corp. - Class H

     60,032        45,451   

China Mobile Ltd. - ADR (e)

     585        30,602   

CNOOC Ltd.

     10,446        19,427   

NetEase.com - ADR (e)

     214        16,852   

Other Securities

       41,568   
   

 

 

  
      186,785   

COLOMBIA - 2.6%

  

Pacific Rubiales Energy Corp. (e)

     2,178        37,612   

Other Securities

       2,622   
   

 

 

  
      40,234   

EGYPT - 0.9%

  

Commercial International Bank Egypt SAE - GDR

     3,230        14,539   

HONG KONG - 0.3%

    

Other Securities

       4,102   

HUNGARY - 1.3%

    

OTP Bank Plc (e)

     1,046        19,871   

INDIA - 5.0%

    

Axis Bank Ltd.

     779        16,431   

Punjab National Bank

     1,127        11,449   

Tata Consultancy Services Ltd.

     626        21,992   
     Shares/Par (p)     Value  

Other Securities

       26,769   
   

 

 

  
      76,641   

INDONESIA - 5.3%

  

Bank Mandiri Persero Tbk PT

     34,086        22,061   

Telekomunikasi Indonesia PT - ADR

     725        26,007   

United Tractors Tbk PT

     7,754        12,136   

Other Securities

       21,210   
   

 

 

  
      81,414   

MACAU - 2.1%

  

Wynn Macau Ltd.

     5,851        26,595   

Other Securities

       4,711   
   

 

 

  
      31,306   

MEXICO - 3.2%

  

Grupo Televisa SAB - GDR

     470        14,219   

Kimberly-Clark de Mexico SAB de CV

     5,021        14,259   

Other Securities

       20,709   
   

 

 

  
      49,187   

NETHERLANDS - 1.1%

  

OCI (c)

     368        16,570   

PAKISTAN - 1.4%

  

Pakistan Petroleum Ltd.

     5,541        11,269   

Other Securities

       9,581   
   

 

 

  
      20,850   

PERU - 0.2%

  

Other Securities

       2,429   

PHILIPPINES - 1.4%

  

Philippine Long Distance Telephone Co. - ADR

     346        20,803   

RUSSIAN FEDERATION - 12.0%

  

Gazprom OAO - ADR

     3,234        27,716   

Lukoil OAO - ADR

     204        12,770   

MegaFon OAO - GDR (r)

     529        17,758   

Mobile Telesystems OJSC - ADR

     1,617        34,974   

Sberbank of Russia - ADR

     4,358        54,986   

Other Securities

       34,575   
   

 

 

  
      182,779   

SOUTH AFRICA - 9.0%

  

Bidvest Group Ltd.

     691        17,714   

Nedbank Group Ltd.

     592        11,877   

Shoprite Holdings Ltd.

     1,194        18,700   

Standard Bank Group Ltd.

     1,291        15,948   

Vodacom Group Ltd. (e)

     958        12,149   

Other Securities

       60,582   
   

 

 

  
      136,970   

SOUTH KOREA - 13.6%

  

Hanwha Life Insurance Co. Ltd.

     2,697        19,432   

Hyundai Mobis

     111        31,009   

KB Financial Group Inc.

     557        22,526   

KT&G Corp.

     304        21,485   

Samsung Electronics Co. Ltd.

     41        53,897   

Shinhan Financial Group Co. Ltd.

     864        38,801   

Other Securities

       20,690   
   

 

 

  
      207,840   

SWEDEN - 0.6%

  

Other Securities

       8,643   

TAIWAN - 4.4%

  

Hon Hai Precision Industry Co. Ltd.

     1,416        3,820   

Hon Hai Precision Industry Co. Ltd. - GDR

     2,471        13,144   

Taiwan Semiconductor Manufacturing Co. Ltd.

     2,056        7,260   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (e)

     1,959        34,167   

Other Securities

       9,042   
   

 

 

  
      67,433   

THAILAND - 1.8%

  

Other Securities

       27,537   

TURKEY - 4.4%

  

KOC Holding A/S

     3,901        15,995   

KOC Holding A/S - ADR (e)

     277        5,700   

Turkcell Iletisim Hizmetleri A/S (c)

     2,200        11,660   

Turkcell Iletisim Hizmetleri A/S - ADR (c)

     261        3,481   

Turkiye Is Bankasi SA - Class C

     7,601        16,456   

Other Securities

       13,208   
   

 

 

  
      66,500   

UNITED KINGDOM - 0.6%

  

Other Securities

       8,768   

UNITED STATES OF AMERICA - 0.3%

  

Other Securities

       4,555   
   

 

 

  

Total Common Stocks (cost $1,481,417)

       1,508,792   
   

 

 

  

PREFERRED STOCKS - 0.2%

  

BRAZIL - 0.2%

  

Other Securities

       3,532   
   

 

 

  

Total Preferred Stocks (cost $4,959)

       3,532   
   

 

 

  

SHORT TERM INVESTMENTS - 5.9%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     11,937        11,937   

Securities Lending Collateral - 5.1%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     77,680        77,680   
   

 

 

  

Total Short Term Investments (cost $89,617)

       89,617   
   

 

 

  

Total Investments - 105.2% (cost $1,575,993)

       1,601,941   

Other Assets and Liabilities, Net - (5.2%)

       (78,543 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,523,398   
   

 

 

  

JNL/M&G Global Basics Fund

  

COMMON STOCKS - 94.6%

  

AUSTRALIA - 10.5%

  

African Petroleum Corp. Ltd. (c)

     106      $ 8   

Ansell Ltd. (e)

     456        8,407   

Aquila Resources Ltd. (c) (e)

     723        1,491   

Equatorial Resources Ltd. (c)

     262        154   

Galaxy Resources Ltd. (c)

     751        32   

Iluka Resources Ltd. (e)

     686        5,313   

OZ Minerals Ltd. (e)

     555        1,570   

Panoramic Resources Ltd.

     430        96   

Starpharma Holdings Ltd. (c) (e)

     918        709   
   

 

 

  
      17,780   

AUSTRIA - 4.1%

  

Agrana Beteiligungs AG (e)

     58        6,911   

BELGIUM - 2.0%

  

Umicore (e)

     72        3,384   

CANADA - 0.7%

  

Dominion Diamond Corp. (c)

     86        1,229   
     Shares/Par (p)     Value  

FRANCE - 10.3%

  

Compagnie des Alpes

     72        1,586   

Danone SA

     60        4,294   

Imerys SA

     30        2,581   

Publicis Groupe SA

     100        9,121   
   

 

 

  
      17,582   

GERMANY - 7.7%

  

Bayerische Motoren Werke AG

     29        3,457   

Suedzucker AG

     77        2,077   

Symrise AG

     164        7,570   
   

 

 

  
      13,104   

HONG KONG - 2.8%

  

Hongkong & Shanghai Hotels (e)

     3,444        4,677   

INDIA - 1.0%

  

Marico Kaya Enterprises Ltd. (c) (f) (q)

     10        21   

Marico Ltd.

     462        1,619   
   

 

 

  
      1,640   

IRELAND - 4.3%

  

Kerry Group Plc

     106        7,372   

JAPAN - 4.9%

  

Kirin Holdings Co. Ltd. (e)

     577        8,310   

MALAYSIA - 2.8%

  

AMMB Holdings Bhd

     2,163        4,786   

RUSSIAN FEDERATION - 0.6%

  

MD Medical Group Investments Plc - GDR

     59        672   

Uralkali OJSC - GDR

     16        416   
   

 

 

  
      1,088   

SINGAPORE - 0.8%

  

Petra Foods Ltd.

     528        1,347   

SPAIN - 0.9%

  

Baron de Ley SA (c)

     20        1,602   

UNITED ARAB EMIRATES - 3.3%

  

DP World Ltd.

     319        5,633   

UNITED KINGDOM - 14.7%

  

BHP Billiton Plc

     199        6,184   

G4S Plc

     1,649        7,176   

Genus Plc

     87        1,865   

Hochschild Mining Plc

     528        1,242   

PZ Cussons Plc

     957        5,967   

Unilever Plc

     64        2,624   
   

 

 

  
      25,058   

UNITED STATES OF AMERICA - 23.2%

  

AMCOL International Corp.

     68        2,326   

Elizabeth Arden Inc. (c)

     93        3,313   

GI Dynamics Inc. - CDI (c) (q)

     1,440        964   

Microsoft Corp.

     140        5,248   

Scotts Miracle-Gro Co. - Class A

     112        6,945   

United Parcel Service Inc. - Class B

     99        10,377   

United Technologies Corp.

     90        10,211   
   

 

 

  
      39,384   
   

 

 

  

Total Common Stocks (cost $155,106)

       160,887   
   

 

 

  

PREFERRED STOCKS - 0.2%

  

GERMANY - 0.2%

  

Villeroy & Boch AG

     21        305   
   

 

 

  

Total Preferred Stocks (cost $167)

       305   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SHORT TERM INVESTMENTS - 11.1%

  

Investment Companies - 3.3%

    

JNL Money Market Fund, 0.01% (a) (h)

     5,660        5,660   

Securities Lending Collateral - 7.8%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     13,177        13,177   
   

 

 

  

Total Short Term Investments (cost $18,837)

  

     18,837   
   

 

 

  

Total Investments - 105.9% (cost $174,110)

  

     180,029   

Other Assets and Liabilities, Net - (5.9%)

 

     (9,955 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     170,074   
   

 

 

  

JNL/Mellon Capital Emerging Markets Index Fund (z) *

  

COMMON STOCKS - 91.1%

  

BRAZIL - 6.0%

  

AMBEV SA

     871      $ 6,395   

Banco Bradesco SA

     112        1,511   

BRF SA

     121        2,526   

Petroleo Brasileiro SA

     557        3,777   

Vale SA

     239        3,615   

Other Securities

       25,152   
   

 

 

  
      42,976   

CHILE - 1.5%

  

Other Securities

       10,487   

CHINA - 16.9%

  

Bank of China Ltd. - Class H

     14,016        6,470   

China Construction Bank Corp. - Class H

     13,405        10,149   

China Life Insurance Co. Ltd. - Class H

     1,393        4,392   

China Mobile Ltd.

     1,123        11,697   

China Petroleum & Chemical Corp. - Class H

     4,768        3,912   

CNOOC Ltd.

     3,325        6,184   

Industrial & Commercial Bank of China Ltd. - Class H

     13,709        9,296   

PetroChina Co. Ltd. - Class H

     3,946        4,331   

Ping an Insurance Group Co. of China Ltd. - Class H

     353        3,171   

Tencent Holdings Ltd.

     190        12,152   

Other Securities

       49,800   
   

 

 

  
      121,554   

COLOMBIA - 0.8%

  

Other Securities

       5,793   

CZECH REPUBLIC - 0.2%

  

Other Securities

       1,775   

EGYPT - 0.2%

  

Other Securities

       1,483   

GREECE - 0.4%

  

Other Securities

       3,179   

HONG KONG - 2.5%

  

Other Securities

       17,715   

HUNGARY - 0.2%

  

Other Securities

       1,781   

INDIA - 6.2%

  

HDFC Bank Ltd.

     289        3,119   

Housing Development Finance Corp.

     272        3,502   

Infosys Ltd.

     85        4,806   

Reliance Industries Ltd.

     242        3,504   
     Shares/Par (p)     Value  

Tata Consultancy Services Ltd.

     87        3,055   

Other Securities

       26,477   
   

 

 

  
      44,463   

INDONESIA - 2.1%

  

Other Securities

       15,287   

MALAYSIA - 3.7%

  

Other Securities

       26,591   

MEXICO - 4.5%

  

America Movil SAB de CV - Class L (e)

     6,635        7,735   

Fomento Economico Mexicano SAB de CV

     363        3,517   

Grupo Financiero Banorte SAB de CV

     465        3,255   

Wal-Mart de Mexico SAB de CV - Class V (e)

     964        2,529   

Other Securities

       15,542   
   

 

 

  
      32,578   

PERU - 0.3%

  

Other Securities

       2,105   

PHILIPPINES - 0.8%

  

Other Securities

       6,080   

POLAND - 1.6%

  

Other Securities

       11,815   

RUSSIAN FEDERATION - 5.8%

  

Gazprom OAO

     443        1,884   

Gazprom OAO - ADR

     879        7,533   

Lukoil OAO

     94        5,811   

Magnit OJSC - GDR

     48        3,167   

Sberbank of Russia

     1,999        6,169   

Other Securities

       17,067   
   

 

 

  
      41,631   

SOUTH AFRICA - 7.2%

  

MTN Group Ltd.

     317        6,565   

Naspers Ltd. - Class N

     73        7,691   

Sasol Ltd.

     102        5,040   

Standard Bank Group Ltd.

     225        2,783   

Other Securities

       29,985   
   

 

 

  
      52,064   

SOUTH KOREA - 15.0%

  

Hyundai Mobis

     13        3,535   

Hyundai Motor Co.

     29        6,438   

KB Financial Group Inc.

     73        2,959   

Kia Motors Corp.

     49        2,629   

LG Chem Ltd.

     8        2,379   

NHN Corp.

     5        3,559   

POSCO Inc.

     12        3,847   

Samsung Electronics Co. Ltd.

     20        26,645   

Shinhan Financial Group Co. Ltd.

     81        3,615   

SK Hynix Inc. (c)

     100        3,489   

Other Securities

       48,997   
   

 

 

  
      108,092   

TAIWAN - 11.4%

  

China Life Insurance Co. Ltd.

     369        375   

Hon Hai Precision Industry Co. Ltd.

     2,062        5,561   

MediaTek Inc.

     220        3,286   

Taiwan Semiconductor Manufacturing Co. Ltd.

     4,567        16,128   

Other Securities

       56,608   
   

 

 

  
      81,958   

THAILAND - 2.1%

  

Other Securities

       15,236   

TURKEY - 1.5%

  

Other Securities

       10,499   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UKRAINE - 0.0%

  

Other Securities

       101   

UNITED KINGDOM - 0.1%

  

Other Securities

       474   

UNITED STATES OF AMERICA - 0.1%

  

Other Securities

       873   
   

 

 

  

Total Common Stocks (cost $644,990)

       656,590   
   

 

 

  

PREFERRED STOCKS - 6.4%

  

BRAZIL - 4.4%

  

Banco Bradesco SA

     394        4,858   

Itau Unibanco Holding SA

     469        6,232   

Petroleo Brasileiro SA

     776        5,621   

Vale SA

     353        4,901   

Other Securities

       10,310   
   

 

 

  
      31,922   

CHILE - 0.1%

  

Other Securities

       627   

COLOMBIA - 0.2%

  

Other Securities

       1,535   

MEXICO - 0.8%

  

Grupo Televisa SAB

     480        2,895   

Other Securities

       2,471   
   

 

 

  
      5,366   

RUSSIAN FEDERATION - 0.2%

  

Sberbank of Russia

     209        511   

Other Securities

       974   
   

 

 

  
      1,485   

SOUTH KOREA - 0.7%

  

Hyundai Motor Co.

     7        855   

Hyundai Motor Co.

     4        520   

LG Chem Ltd.

     2        257   

Samsung Electronics Co. Ltd.

     4        3,679   
   

 

 

  
      5,311   
   

 

 

  

Total Preferred Stocks (cost $53,103)

       46,246   
   

 

 

  

RIGHTS - 0.0%

  

MALAYSIA - 0.0%

  

Other Securities

       22   
   

 

 

  

Total Rights (cost $0)

       22   
   

 

 

  

INVESTMENT COMPANIES - 2.0%

  

iShares MSCI Emerging Markets ETF

     344        14,365   
   

 

 

  

Total Investment Companies (cost $14,115)

       14,365   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     5,575        5,575   

Securities Lending Collateral - 2.2%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     15,670        15,670   

Treasury Securities - 0.0%

    

Other Securities

       265   
   

 

 

  

Total Short Term Investments (cost $21,510)

       21,510   
   

 

 

  

Total Investments - 102.5% (cost $733,718)

       738,733   

Other Assets and Liabilities, Net - (2.5%)

       (18,031 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     720,702   
   

 

 

  
     Shares/Par (p)     Value  

JNL/Mellon Capital European 30 Fund

  

COMMON STOCKS - 96.5%

  

AUSTRIA - 3.4%

  

OMV AG

     97      $ 4,661   

BELGIUM - 2.6%

  

Belgacom SA (e)

     124        3,664   

FRANCE - 14.2%

  

SCOR SE

     131        4,774   

Thales SA

     101        6,538   

Total SA

     70        4,308   

Vivendi SA

     156        4,120   
   

 

 

  
      19,740   

GERMANY - 11.0%

  

Axel Springer SE

     82        5,311   

Hannover Rueck SE

     45        3,886   

Metro AG

     127        6,147   
   

 

 

  
      15,344   

ITALY - 2.7%

  

Enel SpA

     849        3,706   

NETHERLANDS - 6.9%

  

Koninklijke Ahold NV

     263        4,724   

Wolters Kluwer NV

     172        4,915   
   

 

 

  
      9,639   

PORTUGAL - 2.2%

  

Portugal Telecom SGPS SA (e)

     706        3,075   

SPAIN - 6.1%

  

Enagas SA

     164        4,285   

Telefonica SA

     260        4,249   
   

 

 

  
      8,534   

SWEDEN - 8.3%

  

Hexagon AB - Class B

     139        4,404   

Nordea Bank AB

     368        4,961   

Tele2 AB - Class B

     196        2,221   
   

 

 

  
      11,586   

SWITZERLAND - 10.2%

  

Baloise Holding AG

     41        5,221   

Novartis AG

     56        4,485   

Swisscom AG

     8        4,431   
   

 

 

  
      14,137   

UNITED KINGDOM - 28.9%

  

3i Group Plc

     994        6,353   

BAE Systems Plc

     641        4,627   

Centrica Plc

     668        3,851   

G4S Plc

     837        3,644   

GlaxoSmithKline Plc

     161        4,298   

ICAP Plc

     704        5,270   

Reed Elsevier Plc

     337        5,019   

Tesco Plc

     664        3,685   

WM Morrison Supermarkets Plc

     817        3,534   
   

 

 

  
      40,281   
   

 

 

  

Total Common Stocks (cost $120,115)

       134,367   
   

 

 

  

INVESTMENT COMPANIES - 2.7%

  

Vanguard European ETF

     63        3,704   
   

 

 

  

Total Investment Companies (cost $3,634)

       3,704   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SHORT TERM INVESTMENTS - 4.0%

  

Investment Companies - 1.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     1,673        1,673   

Securities Lending Collateral - 2.8%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     3,965        3,965   
   

 

 

  

Total Short Term Investments (cost $5,638)

       5,638   
   

 

 

  

Total Investments - 103.2% (cost $129,387)

       143,709   

Other Assets and Liabilities, Net - (3.2%)

       (4,470 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     139,239   
   

 

 

  

JNL/Mellon Capital Pacific Rim 30 Fund

  

COMMON STOCKS - 95.6%

  

AUSTRALIA - 24.9%

  

AGL Energy Ltd.

     287      $ 3,864   

Amcor Ltd.

     526        4,969   

Australia & New Zealand Banking Group Ltd.

     169        4,892   

Bendigo and Adelaide Bank Ltd. (e)

     499        5,250   

Insurance Australia Group Ltd.

     905        4,713   

Orora Ltd. (c)

     526        545   

SP AusNet

     3,963        4,413   

Suncorp Group Ltd.

     417        4,900   

Toll Holdings Ltd. (e)

     931        4,735   
   

 

 

  
      38,281   

HONG KONG - 14.3%

  

Cheung Kong Infrastructure Holdings Ltd.

     719        4,545   

CLP Holdings Ltd. (e)

     546        4,318   

First Pacific Co. Ltd.

     4,148        4,730   

Hongkong Electric Holdings Ltd.

     516        4,108   

Yue Yuen Industrial Holdings Ltd.

     1,319        4,410   
   

 

 

  
      22,111   

JAPAN - 50.1%

  

Central Japan Railway Co.

     54        6,411   

East Japan Railway Co.

     68        5,437   

Electric Power Development Co. Ltd.

     186        5,426   

FamilyMart Co. Ltd. (e)

     107        4,900   

Idemitsu Kosan Co. Ltd.

     204        4,635   

KDDI Corp.

     125        7,714   

Lawson Inc.

     65        4,857   

Nippon Telegraph & Telephone Corp.

     105        5,656   

NTT DoCoMo Inc.

     307        5,060   

Osaka Gas Co. Ltd.

     1,214        4,768   

Shimamura Co. Ltd.

     46        4,265   

Sumitomo Corp.

     346        4,354   

Toho Gas Co. Ltd. (e)

     823        4,006   

Tokyo Gas Co. Ltd.

     965        4,756   

West Japan Railway Co.

     112        4,857   
   

 

 

  
      77,102   

NEW ZEALAND - 2.9%

  

Telecom Corp. of New Zealand Ltd.

     2,348        4,457   

SINGAPORE - 3.4%

  

Yangzijiang Shipbuilding Holdings Ltd. (e)

     5,608        5,278   
   

 

 

  

Total Common Stocks (cost $138,415)

       147,229   
   

 

 

  

INVESTMENT COMPANIES - 4.0%

  

Vanguard MSCI Pacific ETF (e)

     99        6,095   
   

 

 

  

Total Investment Companies (cost $6,076)

       6,095   
   

 

 

  
     Shares/Par (p)     Value  

SHORT TERM INVESTMENTS - 10.4%

  

Investment Companies - 0.5%

  

JNL Money Market Fund, 0.01% (a) (h)

     739        739   

Securities Lending Collateral - 9.9%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     15,295        15,295   
   

 

 

  

Total Short Term Investments (cost $16,034)

       16,034   
   

 

 

  

Total Investments - 110.0% (cost $160,525)

       169,358   

Other Assets and Liabilities, Net - (10.0%)

       (15,410 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     153,948   
   

 

 

  

JNL/Mellon Capital S&P 500 Index Fund (z) *

  

COMMON STOCKS - 97.3%

  

CONSUMER DISCRETIONARY - 12.3%

  

Amazon.com Inc. (c)

     68      $ 26,980   

Comcast Corp. - Class A

     478        24,846   

Home Depot Inc.

     257        21,179   

McDonald’s Corp.

     183        17,731   

Walt Disney Co.

     299        22,811   

Other Securities

       268,089   
   

 

 

  
      381,636   

CONSUMER STAPLES - 9.5%

  

Altria Group Inc.

     366        14,065   

Coca-Cola Co.

     693        28,636   

CVS Caremark Corp.

     218        15,571   

PepsiCo Inc.

     280        23,219   

Philip Morris International Inc.

     293        25,488   

Procter & Gamble Co.

     496        40,400   

Wal-Mart Stores Inc.

     295        23,240   

Other Securities

       123,330   
   

 

 

  
      293,949   

ENERGY - 10.0%

  

Chevron Corp.

     351        43,850   

ConocoPhillips

     224        15,795   

Exxon Mobil Corp.

     798        80,711   

Occidental Petroleum Corp.

     147        14,006   

Schlumberger Ltd.

     242        21,797   

Other Securities

       133,596   
   

 

 

  
      309,755   

FINANCIALS - 15.6%

  

American Express Co.

     170        15,387   

American International Group Inc.

     270        13,776   

Bank of America Corp.

     1,947        30,318   

Bank of New York Mellon Corp. (a)

     208        7,254   

Berkshire Hathaway Inc. - Class B (c)

     329        39,016   

Citigroup Inc.

     556        28,972   

JPMorgan Chase & Co.

     688        40,247   

Wells Fargo & Co.

     875        39,731   

Other Securities

       268,873   
   

 

 

  
      483,574   

HEALTH CARE - 12.6%

  

AbbVie Inc.

     290        15,304   

Amgen Inc.

     138        15,721   

Bristol-Myers Squibb Co.

     301        15,994   

Gilead Sciences Inc. (c)

     280        21,027   

Johnson & Johnson

     515        47,191   

Merck & Co. Inc.

     535        26,777   

Pfizer Inc.

     1,184        36,267   

UnitedHealth Group Inc.

     186        13,993   

Other Securities

       198,152   
   

 

 

  
      390,426   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDUSTRIALS - 10.7%

  

3M Co.

     117        16,383   

Boeing Co.

     127        17,317   

General Electric Co.

     1,847        51,771   

Union Pacific Corp.

     85        14,244   

United Technologies Corp.

     154        17,560   

Other Securities

       212,921   
   

 

 

  
      330,196   

INFORMATION TECHNOLOGY - 18.1%

  

Apple Inc.

     164        92,178   

Cisco Systems Inc.

     980        22,005   

Facebook Inc. - Class A (c)

     300        16,407   

Google Inc. - Class A (c)

     51        57,321   

Intel Corp.

     911        23,644   

International Business Machines Corp.

     186        34,954   

MasterCard Inc. - Class A

     19        15,841   

Microsoft Corp.

     1,386        51,876   

Oracle Corp.

     641        24,522   

QUALCOMM Inc.

     309        22,910   

Visa Inc. - Class A

     93        20,708   

Other Securities

       178,561   
   

 

 

  
      560,927   

MATERIALS - 3.4%

  

Other Securities

       104,154   

TELECOMMUNICATION SERVICES - 2.3%

  

AT&T Inc.

     962        33,816   

Verizon Communications Inc.

     523        25,708   

Other Securities

       9,574   
   

 

 

  
      69,098   

UTILITIES - 2.8%

  

Other Securities

       87,289   
   

 

 

  

Total Common Stocks (cost $2,174,759)

       3,011,004   
   

 

 

  

SHORT TERM INVESTMENTS - 4.5%

  

Investment Companies - 2.5%

    

JNL Money Market Fund, 0.01% (a) (h)

     76,304        76,304   

Securities Lending Collateral - 1.9%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     59,826        59,826   

Treasury Securities - 0.1%

    

Other Securities

       3,769   
   

 

 

  

Total Short Term Investments (cost $139,899)

  

     139,899   
   

 

 

  

Total Investments - 101.8% (cost $2,314,658)

  

     3,150,903   

Other Assets and Liabilities, Net - (1.8%)

 

     (55,811 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     3,095,092   
   

 

 

  

JNL/Mellon Capital S&P 400 MidCap Index Fund (z) *

  

COMMON STOCKS - 96.1%

  

CONSUMER DISCRETIONARY - 13.4%

  

Advance Auto Parts Inc.

     77      $ 8,470   

Foot Locker Inc.

     154        6,383   

HanesBrands Inc.

     102        7,190   

Jarden Corp. (c)

     122        7,492   

LKQ Corp. (c)

     310        10,206   

Polaris Industries Inc.

     66        9,643   
     Shares/Par (p)     Value  

Signet Jewelers Ltd.

     84        6,626   

Tractor Supply Co.

     144        11,167   

Under Armour Inc. - Class A (c)

     83        7,227   

Other Securities

       147,772   
   

 

 

  
      222,176   

CONSUMER STAPLES - 3.9%

  

Church & Dwight Co. Inc.

     143        9,506   

Energizer Holdings Inc.

     64        6,968   

Green Mountain Coffee Roasters Inc. (c) (e)

     135        10,209   

Other Securities

       37,072   
   

 

 

  
      63,755   

ENERGY - 5.6%

  

Cimarex Energy Co.

     90        9,426   

HollyFrontier Corp.

     207        10,304   

Oceaneering International Inc.

     112        8,866   

Other Securities

       64,340   
   

 

 

  
      92,936   

FINANCIALS - 21.3%

  

Affiliated Managers Group Inc. (c)

     55        11,852   

Alleghany Corp. (c)

     18        7,011   

Arthur J Gallagher & Co.

     136        6,367   

Everest Re Group Ltd.

     50        7,746   

Federal Realty Investment Trust

     68        6,848   

Fidelity National Financial Inc. - Class A

     258        8,372   

New York Community Bancorp Inc. (e)

     458        7,716   

Raymond James Financial Inc.

     126        6,601   

Realty Income Corp. (e)

     212        7,922   

SL Green Realty Corp.

     98        9,042   

Other Securities

       272,369   
   

 

 

  
      351,846   

HEALTH CARE - 8.6%

  

Endo Pharmaceuticals Holdings Inc. (c) (e)

     119        8,010   

Henry Schein Inc. (c)

     90        10,248   

Mettler-Toledo International Inc. (c)

     31        7,533   

Omnicare Inc.

     107        6,476   

ResMed Inc. (e)

     147        6,934   

Universal Health Services Inc. - Class B

     93        7,517   

Other Securities

       95,631   
   

 

 

  
      142,349   

INDUSTRIALS - 16.7%

  

B/E Aerospace Inc. (c)

     103        8,934   

Fortune Brands Home & Security Inc.

     171        7,806   

JB Hunt Transport Services Inc.

     94        7,276   

Manpower Inc.

     82        7,007   

Towers Watson & Co. - Class A

     66        8,407   

United Rentals Inc. (c) (e)

     97        7,545   

Wabtec Corp.

     99        7,377   

Other Securities

       221,061   
   

 

 

  
      275,413   

INFORMATION TECHNOLOGY - 15.2%

  

3D Systems Corp. (c) (e)

     98        9,069   

Ansys Inc. (c)

     97        8,424   

Avnet Inc.

     143        6,287   

Cree Inc. (c)

     124        7,763   

Equinix Inc. (c)

     51        9,130   

Gartner Inc. - Class A (c)

     97        6,900   

Synopsys Inc. (c)

     160        6,490   

Trimble Navigation Ltd. (c)

     265        9,211   

Other Securities

       188,727   
   

 

 

  
      252,001   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

MATERIALS - 6.8%

  

Ashland Inc.

     75        7,246   

Packaging Corp. of America

     102        6,463   

Rock-Tenn Co. - Class A

     75        7,838   

Other Securities

       90,391   
   

 

 

  
      111,938   

TELECOMMUNICATION SERVICES - 0.4%

  

Other Securities

       7,241   

UTILITIES - 4.2%

  

OGE Energy Corp.

     205        6,964   

Other Securities

       61,840   
   

 

 

  
      68,804   
   

 

 

  

Total Common Stocks (cost $1,177,086)

  

     1,588,459   
   

 

 

  

SHORT TERM INVESTMENTS - 10.3%

  

Investment Companies - 3.6%

    

JNL Money Market Fund, 0.01% (a) (h)

     59,904        59,904   

Securities Lending Collateral - 6.5%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     106,974        106,974   

Treasury Securities - 0.2%

    

Other Securities

       2,704   
   

 

 

  

Total Short Term Investments (cost $169,583)

  

     169,582   
   

 

 

  

Total Investments - 106.4% (cost $1,346,669)

  

     1,758,041   

Other Assets and Liabilities, Net - (6.4%)

 

     (105,888 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,652,153   
   

 

 

  

JNL/Mellon Capital Small Cap Index Fund (z) *

  

COMMON STOCKS - 97.2%

  

CONSUMER DISCRETIONARY - 13.3%

  

Brunswick Corp.

     98      $ 4,514   

Fifth & Pacific Co. Inc. (c)

     130        4,173   

Sotheby’s - Class A

     74        3,938   

Tenneco Inc. (c)

     66        3,733   

Wolverine World Wide Inc.

     109        3,699   

Other Securities

       226,050   
   

 

 

  
      246,107   

CONSUMER STAPLES - 3.8%

  

Darling International Inc. (c)

     169        3,531   

Hain Celestial Group Inc. (c)

     42        3,782   

Rite Aid Corp. (c)

     791        4,004   

United Natural Foods Inc. (c)

     53        4,031   

Other Securities

       54,112   
   

 

 

  
      69,460   

ENERGY - 5.3%

  

Other Securities

       98,094   

FINANCIALS - 21.9%

  

CNO Financial Group Inc.

     241        4,261   

Financial Engines Inc.

     53        3,690   

FirstMerit Corp.

     180        3,993   

Hancock Holding Co.

     92        3,380   

Highwoods Properties Inc.

     97        3,524   

LaSalle Hotel Properties

     113        3,480   

NorthStar Realty Finance Corp.

     311        4,178   

Prospect Capital Corp.

     302        3,388   

Prosperity Bancshares Inc.

     65        4,141   

Other Securities

       370,885   
   

 

 

  
      404,920   
     Shares/Par (p)     Value  

HEALTH CARE - 12.7%

  

Align Technology Inc. (c)

     79        4,528   

Alnylam Pharmaceuticals Inc. (c)

     63        4,055   

athenahealth Inc. (c) (e)

     40        5,350   

Centene Corp. (c)

     59        3,481   

Cepheid Inc. (c) (e)

     73        3,404   

Isis Pharmaceuticals Inc. (c) (e)

     122        4,850   

Medidata Solutions Inc. (c)

     58        3,496   

Team Health Holdings Inc. (c)

     75        3,395   

ViroPharma Inc. (c)

     71        3,537   

West Pharmaceutical Services Inc.

     75        3,680   

Other Securities

       195,689   
   

 

 

  
      235,465   

INDUSTRIALS - 14.8%

  

Acuity Brands Inc.

     46        5,072   

Belden Inc.

     48        3,366   

CLARCOR Inc.

     54        3,470   

EnerSys Inc.

     52        3,659   

Esterline Technologies Corp. (c)

     34        3,465   

HEICO Corp. (e)

     72        4,168   

Middleby Corp. (c)

     20        4,885   

Moog Inc. - Class A (c)

     49        3,343   

Teledyne Technologies Inc. (c)

     41        3,723   

Woodward Governor Co.

     75        3,405   

Other Securities

       234,119   
   

 

 

  
      272,675   

INFORMATION TECHNOLOGY - 17.0%

  

Aspen Technology Inc. (c)

     102        4,246   

Cognex Corp.

     94        3,603   

CommVault Systems Inc. (c)

     50        3,773   

CoStar Group Inc. (c)

     31        5,702   

FEI Co.

     45        4,043   

PTC Inc. (c)

     130        4,591   

SunEdison Inc. (c)

     290        3,779   

Tyler Technologies Inc. (c)

     34        3,491   

Ultimate Software Group Inc. (c)

     30        4,588   

WEX Inc. (c)

     42        4,165   

Other Securities

       272,535   
   

 

 

  
      314,516   

MATERIALS - 4.8%

  

Axiall Corp.

     76        3,596   

PolyOne Corp.

     108        3,812   

Other Securities

       80,556   
   

 

 

  
      87,964   

TELECOMMUNICATION SERVICES - 0.7%

  

Other Securities

       13,561   

UTILITIES - 2.9%

  

Other Securities

       54,175   
   

 

 

  

Total Common Stocks (cost $1,317,727)

       1,796,937   
   

 

 

  

RIGHTS - 0.0%

  

Other Securities

       23   
   

 

 

  

Total Rights (cost $0)

       23   
   

 

 

  

WARRANTS - 0.0%

  

Other Securities

       —   
   

 

 

  

Total Warrants (cost $0)

       —   
   

 

 

  

INVESTMENT COMPANIES - 0.0%

  

Other Securities

       196   
   

 

 

  

Total Investment Companies (cost $170)

       196   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

OTHER EQUITY INTERESTS - 0.0%

  

Other Securities

       —   
   

 

 

  

Total Other Equity Interests (cost $0)

       —   
   

 

 

  

SHORT TERM INVESTMENTS - 13.5%

  

  

Investment Company - 2.7%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     49,189        49,189   

Securities Lending Collateral - 10.7%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     198,666        198,666   

Treasury Securities - 0.1%

  

  

Other Securities

       2,109   
   

 

 

  

Total Short Term Investments (cost $249,964)

  

     249,964   
   

 

 

  

Total Investments - 110.7% (cost $1,567,861)

  

     2,047,120   

Other Assets and Liabilities, Net - (10.7%)

 

     (197,568 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,849,552   
   

 

 

  

JNL/Mellon Capital International Index Fund (z) *

  

COMMON STOCKS - 96.7%

  

AUSTRALIA - 7.2%

  

Australia & New Zealand Banking Group Ltd.

     472      $ 13,637   

BHP Billiton Ltd.

     553        18,837   

Commonwealth Bank of Australia

     277        19,322   

National Australia Bank Ltd.

     403        12,593   

Westpac Banking Corp.

     534        15,483   

Other Securities

       89,284   
   

 

 

  
      169,156   

AUSTRIA - 0.3%

  

Other Securities

       6,035   

BELGIUM - 1.2%

  

Anheuser-Busch InBev NV

     138        14,713   

Other Securities

       12,313   
   

 

 

  
      27,026   

DENMARK - 1.1%

  

Novo-Nordisk A/S

     69        12,579   

Other Securities

       13,865   
   

 

 

  
      26,444   

FINLAND - 0.9%

  

Other Securities

       20,739   

FRANCE - 9.2%

  

BNP Paribas

     171        13,355   

Sanofi SA

     205        21,891   

Total SA

     368        22,583   

Other Securities

       156,376   
   

 

 

  
      214,205   

GERMANY - 8.6%

  

Allianz SE

     79        14,129   

BASF SE

     158        16,874   

Bayer AG

     142        19,981   

Daimler AG

     166        14,378   

SAP AG

     159        13,764   

Siemens AG

     136        18,711   

Other Securities

       102,929   
   

 

 

  
      200,766   
     Shares/Par (p)     Value  

GUERNSEY - 0.1%

  

Other Securities

       1,446   

HONG KONG - 2.7%

  

AIA Group Ltd.

     2,076        10,450   

Other Securities

       52,848   
   

 

 

  
      63,298   

IRELAND - 0.3%

  

Other Securities

       7,080   

ISRAEL - 0.4%

  

Other Securities

       10,181   

ITALY - 2.1%

  

ENI SpA

     438        10,594   

Other Securities

       37,620   
   

 

 

  
      48,214   

JAPAN - 20.3%

  

Honda Motor Co. Ltd.

     281        11,595   

Mitsubishi UFJ Financial Group Inc.

     2,194        14,569   

Sanrio Co. Ltd. (e)

     7        291   

SoftBank Corp.

     165        14,514   

Sumitomo Mitsui Financial Group Inc.

     219        11,410   

Toyota Motor Corp.

     474        28,913   

Other Securities

       393,288   
   

 

 

  
      474,580   

JERSEY - 0.0%

  

Other Securities

       963   

LUXEMBOURG - 0.3%

  

Other Securities

       7,664   

MACAU - 0.2%

  

Other Securities

       4,674   

MALTA - 0.0%

  

Other Securities

       —   

NETHERLANDS - 4.7%

  

ING Groep NV - CVA (c)

     661        9,234   

Royal Dutch Shell Plc - Class A

     656        23,497   

Royal Dutch Shell Plc - Class B

     431        16,268   

Unilever NV - CVA

     281        11,286   

Other Securities

       50,140   
   

 

 

  
      110,425   

NEW ZEALAND - 0.1%

  

Other Securities

       2,519   

NORWAY - 0.8%

    

Other Securities

       17,855   

PORTUGAL - 0.2%

  

Other Securities

       3,941   

SINGAPORE - 1.4%

  

Other Securities

       33,428   

SPAIN - 3.2%

  

Banco Bilbao Vizcaya Argentaria SA

     992        12,273   

Banco Santander SA

     1,949        17,527   

Telefonica SA

     706        11,537   

Other Securities

       34,142   
   

 

 

  
      75,479   

SWEDEN - 3.1%

  

Other Securities

       72,412   

SWITZERLAND - 9.1%

  

ABB Ltd.

     379        10,026   

Cie Financiere Richemont SA

     90        8,993   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Glencore International Plc

     1,829        9,517   

Nestle SA

     554        40,618   

Novartis AG

     395        31,694   

Roche Holding AG

     121        33,829   

UBS AG

     628        12,026   

Other Securities

  

     64,855   
   

 

 

  
    211,558   

UNITED KINGDOM - 19.2%

    

AstraZeneca Plc

     216        12,800   

Barclays Plc

     2,633        11,907   

BG Group Plc

     586        12,618   

BHP Billiton Plc

     364        11,292   

BP Plc

     3,234        26,207   

British American Tobacco Plc

     326        17,523   

Diageo Plc

     432        14,325   

GlaxoSmithKline Plc

     840        22,452   

HSBC Holdings Plc

     3,201        35,133   

Lloyds Banking Group Plc (c)

     8,536        11,201   

Prudential plc (a)

     441        9,863   

Rio Tinto Plc

     219        12,376   

Standard Chartered Plc

     417        9,426   

Unilever Plc

     221        9,108   

Vodafone Group Plc

     8,311        32,721   

Other Securities

  

     198,768   
   

 

 

  
    447,720   
   

 

 

  

Total Common Stocks (cost $1,862,979)

  

     2,257,808   
   

 

 

  

PREFERRED STOCKS - 0.7%

  

GERMANY - 0.6%

    

Other Securities

  

     14,646   

ITALY - 0.0%

    

Other Securities

  

     810   

SWITZERLAND - 0.1%

    

Other Securities

  

     1,850   
   

 

 

  

Total Preferred Stocks (cost $10,450)

  

     17,306   
   

 

 

  

RIGHTS - 0.0%

    

SPAIN - 0.0%

    

Other Securities

  

     99   
   

 

 

  

Total Rights (cost $97)

  

     99   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

  

AUSTRIA - 0.0%

    

Other Securities

  

     —   
   

 

 

  

Total Other Equity Interests (cost $0)

  

     —   
   

 

 

  

SHORT TERM INVESTMENTS - 4.4%

  

  

Investment Companies - 2.3%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     54,033        54,033   

Securities Lending Collateral - 1.9%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     44,997        44,997   

Treasury Securities - 0.2%

  

  

Other Securities

  

     3,354   
   

 

 

  

Total Short Term Investments (cost $102,384)

  

     102,384   
   

 

 

  

Total Investments - 101.8% (cost $1,975,910)

  

     2,377,597   

Other Assets and Liabilities, Net - (1.8%)

 

     (41,403 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,336,194   
   

 

 

  
     Shares/Par (p)     Value  

JNL/Mellon Capital Bond Index Fund (z) *

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.4%

   

Ally Auto Receivables Trust, 0.59%, 01/17/17

   $ 1,000      $ 1,001   

Banc of America Commercial Mortgage Trust REMIC

    

5.73%, 05/10/45 (i)

     1,500                   1,636   

5.48% - 5.77%, 05/10/45 - 01/15/49 (i)

     900        971   

5.45%, 01/15/49

     1,500        1,623   

Banc of America Merrill Lynch Commercial Mortgage Inc. REMIC, 5.18%, 09/10/47 (i)

     1,000        1,064   

Bank of America Credit Card Trust, 5.17%, 06/15/19

     900        1,007   

Bear Stearns Commercial Mortgage Securities Trust REMIC

    

5.71%, 06/11/40 (i)

     300        336   

5.54%, 10/12/41

     1,250        1,366   

4.87%, 09/11/42

     655        687   

Capital One Multi-Asset Execution Trust, 5.05%, 12/17/18

     1,000        1,089   

Citibank Credit Card Issuance Trust, 5.30%, 03/15/18

     900        988   

Cobalt Commercial Mortage-Backed Securities Trust REMIC, 5.22%, 08/15/48

     1,250        1,349   

Greenwich Capital Commercial Funding Corp. REMIC, 5.22%, 04/10/37 (i)

     1,000        1,054   

GS Mortgage Securities Trust REMIC

    

5.55%, 04/10/38 (i)

     1,000        1,077   

3.48% - 5.56%, 11/10/39 - 01/10/45

     1,150        1,186   

3.00%, 08/10/44

     1,500        1,560   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

4.74% - 5.42%, 07/15/42 - 01/15/49

     1,250        1,318   

4.94% - 5.79%, 08/15/42 - 02/12/51 (i)

     998        1,097   

LB-UBS Commercial Mortgage Trust REMIC

    

5.66%, 03/15/39 (i)

     330        355   

5.42%, 02/15/40

     330        364   

5.87%, 09/15/45 (i)

     1,517        1,682   

Morgan Stanley Bank of America Merrill Lynch Trust REMIC, 2.86%, 11/15/45

     250        235   

Morgan Stanley Capital I Trust REMIC

    

5.33%, 11/12/41

     227        248   

5.60% - 5.67%, 10/15/42 - 04/12/49 (i)

     464        484   

5.60%, 04/12/49 (i)

     2,400        2,634   

Nissan Auto Lease Trust, 0.61%, 04/15/16

     1,000        1,000   

Nissan Auto Receivables Owner Trust, 1.00%, 07/16/18

     1,000        1,007   

UBS Commercial Mortgage Trust REMIC, 3.40%, 05/10/45

     1,500        1,476   

Wachovia Bank Commercial Mortgage Trust REMIC

    

5.12%, 07/15/42 (i)

     386        406   

5.42%, 01/15/45 (i)

     872        930   

5.57%, 10/15/48

     250        274   

Other Securities

       5,504   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $35,439)

   

     37,008   
   

 

 

  

CORPORATE BONDS AND NOTES - 24.5%

  

CONSUMER DISCRETIONARY - 1.8%

  

Other Securities

       27,437   

CONSUMER STAPLES - 1.6%

  

Other Securities

       25,050   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

ENERGY - 3.0%

  

Chevron Corp.

    

1.72%, 06/24/18

     500        498   

3.19%, 06/24/23

     1,000        958   

Other Securities

       44,653   
   

 

 

  
    46,109   

FINANCIALS - 9.4%

    

American Express Co.

    

6.15%, 08/28/17

     750        865   

7.00%, 03/19/18

     480        573   

4.05%, 12/03/42

     135        118   

Bank of America Corp.

    

1.35% - 4.50%, 04/01/15 - 11/21/16

     1,200        1,226   

6.50%, 08/01/16

     800        903   

5.00% - 5.75%, 12/01/17 - 05/13/21

     1,575        1,774   

2.60%, 01/15/19

     1,200        1,205   

5.49%, 03/15/19 (e)

     200        221   

Bank of New York Mellon Corp.

    

2.50%, 01/15/16 (a) (e)

     500        516   

3.55%, 09/23/21 (a)

     600        613   

BNP Paribas SA

    

2.70%, 08/20/18

     1,000        1,018   

5.00%, 01/15/21

     400        438   

Citigroup Inc.

    

4.75% - 6.01%, 01/15/15 - 05/19/15

     538        566   

2.65%, 03/02/15 (e)

     1,000        1,020   

1.70% - 5.85%, 07/25/16 - 08/02/16 (e)

     550        581   

3.50% - 8.50%, 01/10/17 - 05/15/23

     3,500        3,848   

5.88% - 6.00%, 02/22/33 - 10/31/33

     450        466   

European Investment Bank

    

2.75% - 4.88%, 03/23/15 - 02/16/16

     1,250        1,319   

1.38% - 1.63% , 09/01/15 – 10/20/15 (e)

     1,000        1,019   

2.50%, 05/16/16

     1,700        1,775   

2.13%, 07/15/16

     1,000        1,034   

1.75%, 03/15/17

     500        511   

4.00% - 5.13%, 05/30/17 - 02/16/21 (e)

     1,000        1,106   

1.13%, 09/15/17 (e)

     1,000        994   

1.00%, 06/15/18

     700        679   

General Electric Capital Corp.

    

2.15%, 01/09/15 (e)

     1,000        1,018   

3.50% - 5.00%, 06/29/15 - 01/08/16

     800        846   

5.63%, 09/15/17

     1,100        1,251   

4.38% - 5.50%, 01/08/20 - 09/16/20 (e)

     1,250        1,396   

4.63%, 01/07/21

     400        436   

6.75%, 03/15/32

     850        1,050   

5.88%, 01/14/38

     900        1,022   

6.88%, 01/10/39

     600        769   

6.38%, 11/15/67 (e) (i)

     300        326   

Goldman Sachs Group Inc.

    

1.60% - 5.75%, 01/15/15 - 10/01/16

     2,150        2,233   

6.25%, 09/01/17 (e)

     500        572   

5.25% - 7.50%, 01/18/18 - 07/27/21

     2,100        2,406   

5.95%, 01/15/27

     450        477   

6.75%, 10/01/37

     1,000        1,109   

Inter-American Development Bank

    

5.13%, 09/13/16

     650        725   

1.13%, 03/15/17

     1,000        1,006   

2.13% - 3.88%, 02/14/20 - 11/09/20

     1,100        1,146   

International Bank for Reconstruction & Development

    

2.38%, 05/26/15

     200        206   

2.13%, 03/15/16 (e)

     500        517   

1.00%, 09/15/16

     1,000        1,008   

0.88% - 1.13, 04/17/17 – 07/18/17 (e)

     1,000        997   

7.63%, 01/19/23

     300        405   
     Shares/Par (p)     Value  

JPMorgan Chase & Co.

    

4.75%, 03/01/15 (e)

     250        262   

0.80%, 04/23/15

     1,000        1,000   

6.00%, 01/15/18

     1,750        2,014   

3.20% - 6.30%, 04/23/19 - 01/25/23

     2,200        2,341   

5.60%, 07/15/41

     500        541   

JPMorgan Chase Bank NA, 6.00%, 10/01/17

     500        572   

Kreditanstalt fuer Wiederaufbau

    

2.63%, 03/03/15

     1,000        1,027   

4.88%, 01/17/17

     1,200        1,342   

1.25%, 02/15/17

     1,000        1,010   

4.38%, 03/15/18

     800        889   

2.63% - 4.88%, 06/17/19 - 01/25/22

     2,000        2,082   

0.00%, 06/29/37 (j)

     500        183   

Landwirtschaftliche Rentenbank

    

2.50%, 02/15/16

     1,000        1,039   

5.13%, 02/01/17

     500        563   

Merrill Lynch & Co. Inc.

    

5.00%, 01/15/15

     550        573   

6.05%, 05/16/16 (e)

     250        275   

5.70%, 05/02/17

     500        556   

6.88%, 04/25/18

     1,300        1,536   

Morgan Stanley

    

1.75% - 5.38%, 10/15/15 - 02/25/16

     800        842   

5.45%, 01/09/17

     850        942   

4.75%, 03/22/17 (e)

     800        873   

3.75% - 6.63%, 04/01/18 - 02/25/23

     1,700        1,889   

5.50%, 07/24/20 (e)

     500        559   

7.25%, 04/01/32

     387        478   

Westpac Banking Corp.

    

4.20%, 02/27/15 (e)

     500        521   

4.88%, 11/19/19

     800        887   

Other Securities

       75,552   
   

 

 

  
    146,157   

HEALTH CARE - 1.9%

    

Other Securities

       29,854   

INDUSTRIALS - 1.4%

    

Other Securities

       21,078   

INFORMATION TECHNOLOGY - 1.1%

  

Cisco Systems Inc.

    

5.50%, 02/22/16

     750        825   

4.45%, 01/15/20

     650        708   

5.90%, 02/15/39

     250        277   

Other Securities

       14,949   
   

 

 

  
    16,759   

MATERIALS - 1.3%

    

Other Securities

       19,298   

TELECOMMUNICATION SERVICES - 1.3%

  

AT&T Inc.

    

2.50%, 08/15/15

     800        821   

2.40%, 08/15/16

     600        617   

4.45%, 05/15/21

     500        526   

6.50%, 09/01/37

     500        561   

British Telecommunications Plc, 9.63%, 12/15/30 (l)

     550        819   

Verizon Communications Inc.

    

2.50% - 5.55%, 02/15/16 - 09/15/16

     1,000        1,049   

3.50% - 8.75%, 09/14/18 - 09/15/23

     2,128        2,315   

2.45%, 11/01/22 (e)

     500        442   

6.00% - 6.90%, 09/15/33 - 04/01/41

     1,250        1,414   

6.55%, 09/15/43

     1,400        1,632   

Other Securities

       9,586   
   

 

 

  
    19,782   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UTILITIES - 1.7%

  

Other Securities

       26,893   
   

 

 

  

Total Corporate Bonds and Notes (cost $370,565)

  

     378,417   
   

 

 

  

GOVERNMENT AND AGENCY
OBLIGATIONS - 73.6%

   

GOVERNMENT SECURITIES - 42.7%

  

Federal Farm Credit Bank - 0.1% (w)

    

Other Securities

       1,654   

Federal Home Loan Bank - 0.7% (w)

    

Other Securities

       11,491   

Federal Home Loan Mortgage Corp. - 1.5% (w)

  

  

Federal Home Loan Mortgage Corp.

    

0.32% - 5.25%, 02/09/15 - 10/18/16

     8,746        9,108   

1.00% - 5.13%, 03/08/17 - 01/13/22

     11,495        11,405   

5.50%, 08/23/17 (e)

     900        1,035   

3.06% - 6.75%, 06/14/28 - 07/15/32

     900        1,098   
   

 

 

  
      22,646   

Federal National Mortgage Association - 1.6% (w)

  

  

Federal National Mortgage Association

  

  

0.50% - 5.00%, 02/27/15 - 05/27/16

     11,483        11,651   

0.88% - 5.00%, 02/13/17 - 02/22/23

     8,332        8,244   

0.00%, 06/01/17 (j)

     1,085        1,034   

0.88%, 08/28/17 (e)

     1,500        1,480   

6.00% - 7.25%, 05/15/30 - 04/18/36

     1,471        1,886   

Principal Only, 0.00%,10/09/19 (j)

     680        578   
   

 

 

  
      24,873   

Municipals - 1.1%

    

Other Securities

       16,536   

Sovereign - 2.4%

    

Kreditanstalt fuer Wiederaufbau, 0.50%, 09/30/15

     1,000        1,002   

Other Securities

       36,299   
   

 

 

  
      37,301   

U.S. Treasury Securities - 35.3%

  

  

U.S. Treasury Bond

    

7.25% - 11.25%, 02/15/15 - 11/15/16

     3,248        3,742   

6.25% - 9.13%, 05/15/17 - 08/15/23

     6,135        8,132   

2.75% - 6.88%, 08/15/25 - 02/15/43

     51,378        52,323   

2.88% - 6.00%, 02/15/26 - 05/15/43 (g)

     5,790        5,820   

3.63% - 3.75%, 08/15/43 - 11/15/43 (e)

     3,335        3,169   

U.S. Treasury Note

    

0.25% - 9.88%, 01/31/15 - 11/30/16

     95,665        97,902   

0.25%, 02/28/15

     4,000        4,002   

0.38%, 03/15/15

     5,429        5,440   

0.38%, 04/15/15

     5,569        5,582   

0.13%, 04/30/15

     4,250        4,245   

2.50%, 04/30/15

     5,924        6,103   

0.25%, 05/15/15

     5,160        5,163   

0.25%, 05/31/15

     4,000        4,002   

0.38%, 06/30/15

     4,000        4,008   

1.88%, 06/30/15

     4,318        4,423   

0.25%, 07/15/15

     6,170        6,170   

0.25%, 08/15/15

     5,750        5,748   

0.25%, 09/15/15

     5,349        5,344   

1.25%, 10/31/15

     4,400        4,473   

0.25%, 11/30/15 (e)

     2,930        2,924   

1.38%, 11/30/15

     4,231        4,313   

0.25% - 1.50%, 12/31/15 - 12/15/16 (g)

     11,225        11,262   

2.13%, 12/31/15

     5,800        5,999   

0.25%, 05/15/16

     5,000        4,969   

1.50%, 07/31/16

     6,110        6,249   

0.63%, 08/15/16

     5,000        5,000   

3.13%, 10/31/16

     4,228        4,511   

0.50% - 4.63%, 12/31/16 - 05/15/22

     151,797        152,157   

1.50% - 3.13%, 01/31/17 - 12/31/18 (g)

     6,235        6,404   

0.63%, 08/31/17

     4,500        4,415   
     Shares/Par (p)     Value  

0.63%, 11/30/17

     6,000        5,848   

0.88%, 01/31/18

     4,497        4,410   

0.75%, 02/28/18

     5,500        5,353   

1.38%, 06/30/18

     5,131        5,091   

1.50%, 08/31/18

     5,000        4,972   

1.75%, 10/31/18 (g)

     4,000        4,015   

3.75%, 11/15/18 (e)

     3,000        3,291   

1.25%, 11/30/18 (e) (g)

     4,500        4,401   

1.13%, 05/31/19

     4,200        4,029   

3.63%, 08/15/19

     3,900        4,246   

3.38%, 11/15/19

     3,810        4,094   

3.63%, 02/15/20

     4,660        5,067   

2.63%, 11/15/20

     4,308        4,373   

3.63%, 02/15/21

     5,350        5,767   

2.00%, 02/15/22

     5,580        5,287   

1.63%, 08/15/22

     4,438        4,025   

1.63%, 11/15/22

     7,115        6,412   

2.00%, 02/15/23

     5,385        4,986   

1.75%, 05/15/23

     5,840        5,254   

2.50%, 08/15/23

     5,550        5,320   

2.75%, 11/15/23 (e) (g)

     6,500        6,348   
   

 

 

  
      546,583   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 30.9%

   

Federal Home Loan Mortgage Corp. - 8.1%

  

  

Federal Home Loan Mortgage Corp.

  

  

6.00% - 7.00%, 06/01/14 - 12/01/16

     25        26   

4.00% - 6.00%, 09/01/17 - 10/01/23

     4,114        4,378   

2.50% - 7.50%, 01/01/24 - 01/01/44

     89,156        92,623   

2.50%, 01/15/29, TBA (g)

     4,300        4,260   

2.50% - 5.00%, 01/15/29 - 01/15/44, TBA (g)

     5,950        6,132   

2.66% - 6.20%, 01/01/37 - 01/01/42 (i)

     423        441   

3.00%, 01/15/44, TBA (g)

     9,300        8,809   

3.50%, 01/15/44, TBA (g)

     7,900        7,838   
   

 

 

  
      124,507   

Federal National Mortgage Association - 14.1%

  

  

Federal National Mortgage Association

  

  

5.50% - 6.50%, 01/01/14 - 12/01/16

     322        339   

2.50% - 6.00%, 01/01/17 - 12/01/23

     5,272        5,638   

2.50% - 7.50%, 01/01/24 - 09/01/43

     146,702        152,209   

2.50%, 01/15/29, TBA (g)

     10,500        10,392   

3.00%, 01/15/29, TBA (g)

     5,200        5,307   

2.50% - 5.00%, 01/15/29 - 01/15/44, TBA (g)

     1,800        1,743   

1.55% - 5.57%, 05/01/35 - 05/01/43 (i)

     6,317        6,643   

3.00%, 01/15/44, TBA (g)

     15,400        14,619   

3.50%, 01/15/44, TBA (g)

     10,500        10,430   

4.00%, 01/15/44, TBA (g)

     11,270        11,601   
   

 

 

  
      218,921   

Government National Mortgage Association - 8.7%

  

Government National Mortgage Association

  

  

2.50% - 8.50%, 01/15/24 - 10/20/43

     94,910        99,861   

2.00% - 3.50%, 07/20/40 - 06/20/43 (i)

     5,877        6,124   

2.50% - 5.00%, 01/15/44, TBA (g)

     4,300        4,269   

3.00%, 01/15/44, TBA (g)

     11,100        10,724   

3.50%, 01/15/44, TBA (g)

     8,900        8,978   

4.00%, 01/15/44, TBA (g)

     5,000        5,199   
   

 

 

  
      135,155   
   

 

 

  

Total Government and Agency Obligations (cost $1,143,286)

       1,139,667   
   

 

 

  

SHORT TERM INVESTMENTS - 11.4%

  

Investment Companies - 6.5%

    

JNL Money Market Fund, 0.01% (a) (h)

     101,105        101,105   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Securities Lending Collateral - 4.9%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     76,176        76,176   
   

 

 

  

Total Short Term Investments (cost $177,281)

  

     177,281   
   

 

 

  

Total Investments - 111.9% (cost $1,726,571)

  

     1,732,373   

Total Forward Sales Commitments - (1.1%) (proceeds $16,704)

   

     (16,707 ) 

Other Assets and Liabilities, Net - (10.8%)

 

     (167,692 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,547,974   
   

 

 

  

FORWARD SALES COMMITMENTS - 1.1%

  

GOVERNMENT AND AGENCY OBLIGATIONS - 1.1%

  

U.S. Government Agency Mortgage-Backed Securities - 1.1%

  

Federal Home Loan Mortgage Corp. - 0.2%

  

  

Federal Home Loan Mortgage Corp.

  

  

3.50%, 01/15/29, TBA (g)

   $ 200      $ 209   

4.00%, 01/15/29, TBA (g)

     700        739   

4.50%, 01/15/29, TBA (g)

     600        636   

5.00%, 01/15/29, TBA (g)

     300        318   

5.50%, 01/15/44, TBA (g)

     1,600        1,748   
   

 

 

  
      3,650   

Federal National Mortgage Association - 0.2%

  

  

Federal National Mortgage Association

  

  

4.00%, 01/15/29, TBA (g)

     800        848   

4.50%, 01/15/29, TBA (g)

     600        639   

5.00%, 01/15/29, TBA (g)

     700        746   
   

 

 

  
      2,233   

Government National Mortgage Association - 0.7%

  

  

Government National Mortgage Association

  

  

4.50%, 01/15/44, TBA (g)

     3,500        3,737   

5.00%, 01/15/44, TBA (g)

     3,700        4,011   

5.50%, 01/15/44, TBA (g)

     2,800        3,076   
   

 

 

  
      10,824   
   

 

 

  

Total Forward Sales Commitments - 1.1%
(proceeds $16,704)

   

   $ 16,707   
   

 

 

  

JNL/Mellon Capital Global Alpha Fund

  

PURCHASED OPTIONS - 0.9%

  

10-Year U.S. Treasury Note Future Call Option, Strike Price 105, Expiration 02/21/14

     121      $ 2,184   
   

 

 

  

Total Purchased Options (cost $2,486)

       2,184   
   

 

 

  

SHORT TERM INVESTMENTS - 98.9%

  

Federal Home Loan Bank - 18.7% (w)

  

  

Federal Home Loan Bank

    

0.08%, 03/28/14

   $ 24,200        24,197   

0.11%, 05/21/14

     19,000        18,995   
   

 

 

  
      43,192   

Federal Home Loan Mortgage Corp. - 22.9% (w)

  

  

Federal Home Loan Mortgage Corp., 0.11%, 05/12/14 - 07/08/14

     52,900        52,880   

Federal National Mortgage Association - 20.4% (w)

  

  

Federal National Mortgage Association

  

  

0.02%, 01/16/14

     5,000        5,000   

0.10%, 04/30/14

     15,200        15,197   

0.13%, 06/18/14

     6,070        6,068   

0.08%, 07/14/14

     20,850        20,840   
   

 

 

  
      47,105   
     Shares/Par (p)     Value  

Investment Company - 14.6%

    

JNL Money Market Fund, 0.01% (a) (h)

     33,700        33,700   

Treasury Securities - 22.3%

    

U.S. Treasury Bill

    

0.03%, 01/09/14

   $ 22,000        22,000   

0.03%, 01/30/14

     7,425        7,425   

0.07%, 06/26/14 (o)

     22,255        22,246   
   

 

 

  
      51,671   
   

 

 

  

Total Short Term Investments (cost $228,537)

       228,548   
   

 

 

  

Total Investments - 99.8% (cost $231,023)

  

     230,732   

Other Assets and Liabilities, Net - 0.2%

  

     433   
   

 

 

  

Total Net Assets - 100.0%

  

   $        231,165   
   

 

 

  

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund (z) *

   

COMMON STOCKS - 99.8%

    

CONSUMER DISCRETIONARY - 18.8%

  

American Public Education Inc. (c)

     28      $ 1,235   

Capella Education Co.

     20        1,334   

Goodyear Tire & Rubber Co.

     58        1,386   

Grand Canyon Education Inc. (c)

     31        1,362   

Lear Corp.

     15        1,250   

Scripps Networks Interactive Inc. - Class A

     15        1,274   

Standard Motor Products Inc.

     35        1,284   

Universal Electronics Inc. (c)

     36        1,391   

Other Securities

       17,233   
   

 

 

  
      27,749   

CONSUMER STAPLES - 2.4%

    

CVS Caremark Corp.

     18        1,314   

Other Securities

       2,159   
   

 

 

  
      3,473   

ENERGY - 9.8%

    

Helmerich & Payne Inc.

     16        1,356   

Northern Oil and Gas Inc. (c)

     81        1,220   

SM Energy Co.

     16        1,339   

Whiting Petroleum Corp. (c)

     21        1,327   

Other Securities

       9,177   
   

 

 

  
      14,419   

FINANCIALS - 7.0%

    

Investment Technology Group Inc. (c)

     71        1,466   

Prudential Financial Inc.

     14        1,250   

Unum Group

     36        1,251   

Other Securities

       6,410   
   

 

 

  
      10,377   

HEALTH CARE - 11.4%

    

Amsurg Corp. (c)

     28        1,269   

Kindred Healthcare Inc.

     71        1,401   

National Healthcare Corp.

     23        1,221   

PharMerica Corp. (c)

     73        1,563   

United Therapeutics Corp. (c)

     15        1,681   

US Physical Therapy Inc.

     37        1,303   

Other Securities

       8,452   
   

 

 

  
      16,890   

INDUSTRIALS - 14.2%

    

Alliant Techsystems Inc.

     11        1,349   

CIRCOR International Inc.

     19        1,509   

Columbus Mckinnon Corp. (c)

     49        1,326   

Consolidated Graphics Inc. (c)

     19        1,287   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Manpower Inc.

     16        1,374   

Navigant Consulting Inc. (c)

     79        1,513   

Southwest Airlines Co.

     79        1,487   

URS Corp.

     23        1,231   

Other Securities

       9,870   
   

 

 

  
      20,946   

INFORMATION TECHNOLOGY - 32.7%

  

AOL Inc. (c)

     30        1,386   

Avnet Inc.

     28        1,238   

Cognizant Technology Solutions Corp. - Class A (c)

     15        1,508   

Constant Contact Inc. (c)

     60        1,868   

Corning Inc.

     72        1,290   

CSG Systems International Inc.

     43        1,260   

Ebix Inc. (e)

     98        1,442   

First Solar Inc. (c)

     27        1,468   

iGate Corp. (c)

     46        1,861   

Intel Corp.

     49        1,266   

Oracle Corp.

     33        1,254   

SanDisk Corp.

     19        1,321   

ScanSource Inc. (c)

     30        1,281   

Synaptics Inc. (c)

     27        1,387   

Western Digital Corp.

     16        1,370   

Xerox Corp.

     109        1,328   

XO Group Inc. (c)

     86        1,281   

Other Securities

       24,420   
   

 

 

  
      48,229   

MATERIALS - 2.5%

  

CF Industries Holdings Inc.

     6        1,323   

Olin Corp.

     45        1,311   

Other Securities

       1,096   
   

 

 

  
      3,730   

TELECOMMUNICATION SERVICES - 1.0%

  

Shenandoah Telecommunications Co.

     55        1,408   
   

 

 

  

Total Common Stocks (cost $126,679)

       147,221   
   

 

 

  

SHORT TERM INVESTMENTS - 1.9%

  

Investment Companies - 1.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     1,418        1,418   

Securities Lending Collateral - 0.9%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     1,388        1,388   
   

 

 

  

Total Short Term Investments (cost $2,806)

  

     2,806   
   

 

 

  

Total Investments - 101.7% (cost $129,485)

  

     150,027   

Other Assets and Liabilities, Net - (1.7%)

 

     (2,499)   
   

 

 

  

Total Net Assets - 100.0%

  

   $     147,528   
   

 

 

  

JNL/Mellon Capital Utilities Sector Fund

  

COMMON STOCKS - 99.6%

    

UTILITIES - 99.6%

    

AES Corp.

     4      $ 53   

AGL Resources Inc.

     1        31   

Allete Inc.

     —        10   

Alliant Energy Corp.

     1        32   

Ameren Corp.

     1        49   

American Electric Power Co. Inc.

     3        127   

American Water Works Co. Inc.

     1        42   

Aqua America Inc.

     1        23   

Atmos Energy Corp.

     —        23   

Avista Corp.

     —        9   
     Shares/Par (p)     Value  

Black Hills Corp.

     —        13   

Calpine Corp. (c)

     2        38   

CenterPoint Energy Inc.

     2        56   

Cleco Corp.

     —        15   

CMS Energy Corp.

     1        40   

Consolidated Edison Inc.

     2        90   

Dominion Resources Inc.

     3        209   

DTE Energy Co.

     1        65   

Duke Energy Corp.

     4        271   

Dynegy Inc. (c)

     1        12   

Edison International

     2        84   

El Paso Electric Co.

     —        8   

Entergy Corp.

     1        63   

Exelon Corp.

     5        131   

FirstEnergy Corp.

     2        76   

Great Plains Energy Inc.

     1        20   

Hawaiian Electric Industries Inc.

     1        14   

IDACORP Inc.

     —        14   

Integrys Energy Group Inc.

     —        24   

ITC Holdings Corp.

     —        28   

National Fuel Gas Co.

     —        33   

New Jersey Resources Corp.

     —        11   

NextEra Energy Inc.

     2        205   

NiSource Inc.

     2        58   

Northeast Utilities

     2        74   

Northwest Natural Gas Co.

     —        7   

NorthWestern Corp.

     —        9   

NRG Energy Inc.

     2        51   

Oneok Inc.

     1        72   

Pepco Holdings Inc.

     1        26   

PG&E Corp.

     3        101   

Piedmont Natural Gas Co. Inc.

     —        14   

Pinnacle West Capital Corp.

     1        32   

PNM Resources Inc.

     —        11   

Portland General Electric Co.

     —        13   

PPL Corp.

     4        106   

Public Service Enterprise Group Inc.

     3        90   

Questar Corp.

     1        22   

SCANA Corp.

     1        37   

Sempra Energy

     1        114   

South Jersey Industries Inc.

     —        10   

Southern Co.

     5        202   

Southwest Gas Corp.

     —        14   

TECO Energy Inc.

     1        19   

UGI Corp.

     1        26   

UIL Holdings Corp.

     —        12   

UNS Energy Corp.

     —        14   

Vectren Corp.

     —        16   

Westar Energy Inc.

     1        22   

WGL Holdings Inc.

     —        12   

Wisconsin Energy Corp.

     1        51   

Xcel Energy Inc.

     3        78   
   

 

 

  

Total Common Stocks (cost $3,230)

       3,232   
   

 

 

  

SHORT TERM INVESTMENTS - 0.9%

  

Investment Company - 0.9%

    

JNL Money Market Fund, 0.01% (a) (h)

     29        29   
   

 

 

  

Total Short Term Investments (cost $29)

  

     29   
   

 

 

  

Total Investments - 100.5% (cost $3,259)

  

     3,261   

Other Assets and Liabilities, Net - (0.5%)

  

     (15)   
   

 

 

  

Total Net Assets - 100.0%

  

   $         3,246   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Morgan Stanley Mid Cap Growth Fund

  

COMMON STOCKS - 96.1%

  

CONSUMER DISCRETIONARY - 19.7%

  

Aimia Inc.

     116      $         2,123   

ASOS Plc (c)

     11        1,097   

Carter’s Inc.

     67        4,800   

Charter Communications Inc. - Class A (c)

     15        2,054   

Dollar Tree Inc. (c)

     86        4,825   

Dunkin’ Brands Group Inc.

     105        5,049   

Groupon Inc. - Class A (c)

     440        5,175   

Moncler SpA (c)

     94        2,048   

Panera Bread Co. - Class A (c)

     27        4,717   

Sally Beauty Holdings Inc. (c)

     29        888   

Tesla Motors Inc. (c) (e)

     29        4,414   

TripAdvisor Inc. (c)

     13        1,074   

Ulta Salon Cosmetics & Fragrance Inc. (c)

     18        1,739   

zulily Inc. - Class A (c) (e)

     30        1,254   
   

 

 

  
    41,257   

CONSUMER STAPLES - 6.9%

  

Green Mountain Coffee Roasters Inc. (c) (e)

     26        1,961   

McCormick & Co. Inc.

     61        4,177   

Mead Johnson Nutrition Co.

     73        6,078   

Monster Beverage Corp. (c)

     35        2,360   
   

 

 

  
    14,576   

ENERGY - 1.0%

  

Range Resources Corp.

     25        2,079   

FINANCIALS - 7.1%

  

Arch Capital Group Ltd. (c)

     75        4,503   

MSCI Inc. - Class A (c)

     122        5,319   

Progressive Corp.

     183        4,993   
   

 

 

  
    14,815   

HEALTH CARE - 13.9%

  

Alnylam Pharmaceuticals Inc. (c)

     8        523   

athenahealth Inc. (c) (e)

     46        6,196   

Endo Pharmaceuticals Holdings Inc. (c) (e)

     78        5,256   

Illumina Inc. (c)

     92        10,225   

Intuitive Surgical Inc. (c)

     15        5,791   

Ironwood Pharmaceuticals Inc. - Class A (c) (e)

     97        1,124   
   

 

 

  
    29,115   

INDUSTRIALS - 13.5%

    

Colfax Corp. (c)

     35        2,243   

Edenred

     182        6,092   

IHS Inc. - Class A (c)

     42        5,055   

Intertek Group Plc

     98        5,115   

Qualicorp SA (c)

     168        1,602   

Stericycle Inc. (c)

     17        1,950   

TransDigm Group Inc.

     6        1,044   

Verisk Analytics Inc. - Class A (c)

     79        5,198   
   

 

 

  
    28,299   

INFORMATION TECHNOLOGY - 33.1%

  

3D Systems Corp. (c) (e)

     24        2,259   

Akamai Technologies Inc. (c)

     109        5,153   

First Solar Inc. (c)

     32        1,764   

FleetCor Technologies Inc. (c)

     42        4,956   

Flipkart (c) (f) (q)

     11        253   

Gartner Inc. - Class A (c)

     81        5,777   

LinkedIn Corp. - Class A (c)

     23        4,963   

MercadoLibre Inc. (e)

     14        1,461   

Motorola Solutions Inc.

     99        6,652   

NetSuite Inc. (c)

     19        1,916   

Palantir Technologies Inc. (c) (f) (q)

     22        79   

Palantir Technologies Inc. (c) (f) (q)

     22        79   
     Shares/Par (p)     Value  

Qihoo 360 Technology Co. Ltd. - ADR (c) (e)

     42        3,478   

ServiceNow Inc. (c)

     39        2,178   

Sina Corp. (c)

     14        1,170   

Solera Holdings Inc.

     102        7,192   

Splunk Inc. (c)

     32        2,200   

Stratasys Ltd. (c)

     8        1,094   

Twitter Inc (c) (e)

     70        4,442   

Workday Inc. - Class A (c)

     25        2,107   

Yandex NV - Class A (c)

     141        6,090   

Youku Inc. - ADR (c)

     97        2,927   

Zynga Inc. - Class A (c)

     286        1,088   
   

 

 

  
    69,278   

MATERIALS - 0.9%

  

Martin Marietta Materials Inc.

     20        1,968   
   

 

 

  

Total Common Stocks (cost $181,231)

  

     201,387   
   

 

 

  

PREFERRED STOCKS - 0.0%

  

INFORMATION TECHNOLOGY - 0.0%

  

  

Dropbox Inc., Series A-1 (c) (f) (q)

     4        62   

Palantir Technologies Inc. (c) (f) (q)

     5        18   
   

 

 

  

Total Preferred Stocks (cost $57)

  

     80   
   

 

 

  

PURCHASED OPTIONS - 0.1%

  

Chinese Yuan versus USD Put Option, Strike Price CNY 6.50, Expiration 12/12/14, RBS (q)

     2,171,204        4   

Chinese Yuan versus USD Put Option, Strike Price CNY 6.50, Expiration 12/15/14, RBS (q)

     27,086,543        45   

Chinese Yuan versus USD Put Option, Strike Price CNY 6.50, Expiration 12/17/14, RBS (q)

         30,567,679        52   
   

 

 

  

Total Purchased Options (cost $188)

  

     101   
   

 

 

  

SHORT TERM INVESTMENTS - 18.8%

  

Investment Companies - 7.1%

    

JNL Money Market Fund, 0.01% (a) (h)

     14,930        14,930   

Securities Lending Collateral - 11.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     24,455        24,455   
   

 

 

  

Total Short Term Investments (cost $39,385)

  

     39,385   
   

 

 

  

Total Investments - 115.0% (cost $220,861)

  

     240,953   

Other Assets and Liabilities, Net - (15.0%)

 

     (31,402 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     209,551   
   

 

 

  

JNL/Neuberger Berman Strategic Income Fund (z) *

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 19.9%

   

American Airlines Pass-Through Trust, 4.95%, 01/15/23 (r)

   $ 2,220      $ 2,328   

Bear Stearns Asset Backed Securities I Trust REMIC

    

0.60%, 05/25/35 (i)

     595        539   

0.57%, 02/25/36 (i)

     710        628   

Bear Stearns Asset Backed Securities Trust REMIC, 0.58%, 07/25/36 (i)

     3,540        3,324   

Carrington Mortgage Loan Trust REMIC

  

  

0.81%, 05/25/35 (i)

     2,605        2,193   

0.62%, 06/25/35 (i)

     230        204   

0.31%, 05/25/36 (i)

     5,399        4,971   

0.30%, 12/25/36 (i)

     700        406   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Cobalt Commercial Mortage-Backed Securities Trust REMIC

    

5.77%, 05/15/46 (i)

     1,890        2,091   

5.22%, 08/15/48

     500        539   

Commercial Mortgage Pass-Through Certificates REMIC

    

5.76%, 09/15/39 (i)

     545        598   

5.31%, 12/15/39

     1,915        2,074   

5.54%, 01/15/49 (i)

     290        319   

Credit Suisse Mortgage Capital Certificates REMIC

    

5.68%, 06/15/39 (i)

     2,326        2,553   

5.47%, 09/15/39

     281        306   

5.38%, 02/15/40

     136        147   

5.70%, 09/15/40 (i)

     1,650        1,822   

Fieldstone Mortgage Investment Trust REMIC, 1.29%, 03/25/35 (i)

     3,950        3,099   

Greenwich Capital Commercial Funding Corp. REMIC

    

5.44%, 03/10/39

     1,425        1,565   

5.74%, 12/10/49

     500        558   

GS Mortgage Securities Trust REMIC

    

5.56%, 11/10/39

     500        548   

5.80%, 08/10/45 (i)

     2,975        3,266   

Interest Only, 2.17%, 01/10/45 (i) (r)

     973        116   

Interest Only, 2.60%, 05/10/45 (i)

     3,428        442   

HSI Asset Securitization Corp. Trust REMIC, 0.46%, 12/25/35 (i)

     2,640        2,253   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

5.43%, 12/12/43

     500        541   

5.44%, 06/12/47

     2,130        2,341   

5.81%, 06/15/49 (i)

     300        334   

5.88%, 02/15/51 (i)

     500        559   

JPMorgan Mortgage Acquisition Trust REMIC, 0.40%, 05/25/36 (i)

     1,000        831   

JPMorgan Mortgage Trust REMIC, 2.71%, 06/25/35 (i)

     129        125   

Morgan Stanley Bank of America Merrill Lynch Trust REMIC

    

Interest Only, 1.47%, 05/15/46 (i)

     1,987        158   

Interest Only, 1.26%, 11/15/46 (i)

     13,985        1,118   

Morgan Stanley Home Equity Loan Trust REMIC, 0.44%, 02/25/36 (i)

     700        609   

Park Place Securities Inc. Asset-Backed Pass-Through Certificates REMIC

    

1.81%, 12/25/34 (i)

     690        607   

1.20%, 02/25/35 (i)

     1,375        1,256   

0.79%, 06/25/35 (i)

     2,300        1,810   

RAMP Trust REMIC, 0.56%, 03/25/36 (i)

     2,450        2,153   

Residential Asset Securitization Trust REMIC, 0.84%, 03/25/33 (i)

     165        145   

Structured Asset Securities Corp. Mortgage Loan Trust REMIC

    

0.32%, 04/25/36 (i)

     7,032        6,498   

0.33%, 12/25/36 (i)

     940        684   

Wachovia Bank Commercial Mortgage Trust REMIC

    

5.34%, 12/15/43

     1,850        2,034   

5.73%, 06/15/49 (i)

     1,930        2,136   

Other Securities

       32,119   
   

 

 

  

Total Non-U.S. Government Agency
Asset- Backed Securities (cost $92,408)

   

     92,947   
   

 

 

  
     Shares/Par (p)     Value  

CORPORATE BONDS AND NOTES - 26.8%

  

CONSUMER DISCRETIONARY - 1.6%

  

Glencore Funding LLC, 1.70%, 05/27/16 (r)

     3,960        3,963   

Other Securities

       3,491   
   

 

 

  
    7,454   

CONSUMER STAPLES - 0.7%

  

Other Securities

       3,284   

ENERGY - 3.9%

  

Kinder Morgan Energy Partners LP

    

2.65%, 02/01/19

     1,850        1,828   

6.50%, 09/01/39

     1,005        1,098   

Marathon Petroleum Corp., 5.13%, 03/01/21

     2,190        2,369   

Petrobras Global Finance BV

    

3.00%, 01/15/19

     1,330        1,244   

4.38%, 05/20/23 (e)

     1,370        1,219   

Other Securities

       10,652   
   

 

 

  
    18,410   

FINANCIALS - 12.7%

  

Allstate Corp., 5.75%, 08/15/53 (e) (i)

     2,250        2,267   

Bank of America Corp.

    

5.20% (callable at 100 beginning 06/01/23) (i) (m)

     3,605        3,172   

1.50%, 10/09/15

     2,540        2,566   

Barclays Plc, 8.25%, (callable at 100 beginning 12/15/18) (i) (m)

     2,615        2,700   

Corporate Office Properties LP, 3.60%, 05/15/23

     2,365        2,140   

CubeSmart LP, 4.38%, 12/15/23

     2,160        2,107   

Entertainment Properties Trust, 5.75%, 08/15/22

     2,370        2,413   

General Electric Capital Corp.

    

5.25% (callable at 100 beginning 06/15/23) (i) (m)

     1,255        1,180   

6.25% (callable at 100 beginning 12/15/22) (i) (m)

     3,110        3,211   

Goldman Sachs Group Inc.

    

3.30%, 05/03/15

     525        541   

5.75%, 01/24/22

     1,905        2,141   

Health Care REIT Inc., 5.25%, 01/15/22

     2,925        3,113   

ING US Inc., 5.65%, 05/15/53 (i)

     3,325        3,234   

Jefferies Group LLC, 5.13%, 01/20/23 (e)

     2,495        2,520   

JPMorgan Chase & Co., 6.00%, (callable at 100 beginning 08/01/23) (i) (m)

     4,350        4,160   

Morgan Stanley

    

5.63%, 09/23/19

     3,885        4,413   

4.88%, 11/01/22

     1,090        1,114   

Prudential Financial Inc., 5.88%, 09/15/42 (i)

     4,250        4,319   

Other Securities

       11,917   
   

 

 

  
    59,228   

HEALTH CARE - 0.5%

  

Ventas Realty LP, 1.55%, 09/26/16

     2,200        2,216   

INDUSTRIALS - 1.8%

  

Crane Co, 2.75%, 12/15/18

     2,640        2,626   

Xerox Corp., 2.75%, 03/15/19 (e)

     2,265        2,243   

Other Securities

       3,453   
   

 

 

  
    8,322   

INFORMATION TECHNOLOGY - 0.4%

  

Hewlett-Packard Co., 4.65%, 12/09/21

     2,045        2,103   

MATERIALS - 1.1%

  

Samarco Mineracao SA, 5.75%, 10/24/23 (r)

     2,100        2,079   

Other Securities

       3,004   
   

 

 

  
    5,083   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

TELECOMMUNICATION SERVICES - 2.7%

  

Qwest Corp., 6.75%, 12/01/21

     3,530        3,860   

Telecom Italia Capital SA, 7.18%, 06/18/19 (e)

     2,865        3,216   

Verizon Communications Inc.

    

3.65%, 09/14/18

     2,500        2,645   

6.55%, 09/15/43

     2,480        2,892   
   

 

 

  
    12,613   

UTILITIES - 1.4%

  

Comision Federal de Electricidad, 4.88%, 01/15/24 (r)

     3,240        3,216   

Exelon Generation Co. LLC, 4.00%, 10/01/20 (e)

     2,990        2,985   

Other Securities

       527   
   

 

 

  
    6,728   
   

 

 

  

Total Corporate Bonds and Notes (cost $125,565)

  

     125,441   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 52.9%

  

GOVERNMENT SECURITIES - 21.8%

  

Federal Home Loan Bank - 0.0% (w)

    

Other Securities

       167   

Sovereign - 6.8%

    

Australia Government Bond

    

5.25%, 03/15/19, AUD

     2,290        2,217   

5.50%, 04/21/23, AUD

     1,005        991   

New Zealand Government Bond

    

6.00%, 12/15/17, NZD

     3,055        2,698   

5.50%, 04/15/23, NZD

     715        622   

Other Securities

       25,389   
   

 

 

  
    31,917   

Treasury Inflation Index Securities - 9.0%

  

New Zealand Government Inflation Indexed Bond, 2.00%, 09/20/25 (s), NZD

     3,105        2,390   

U.S. Treasury Inflation Indexed Note

    

0.50%, 04/15/15 (n)

     10,868        11,108   

0.13%, 04/15/17 (n)

     11,018        11,324   

2.38%, 01/15/25 (n)

     2,131        2,447   

2.00%, 01/15/26 (n)

     10,626        11,754   

3.88%, 04/15/29 (n)

     2,174        2,973   
   

 

 

  
    41,996   

U.S. Treasury Securities - 6.0%

  

U.S. Treasury Bond

    

6.25%, 08/15/23

     7,130        9,144   

5.50%, 08/15/28

     2,450        3,013   

4.50%, 02/15/36

     3,565        3,954   

U.S. Treasury Note

    

0.88%, 02/28/17

     655        655   

0.63%, 11/30/17

     9,300        9,064   

3.63%, 08/15/19

     1,825        1,987   
   

 

 

  
    27,817   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 31.1%

   

Federal Home Loan Mortgage Corp. - 8.8%

  

Federal Home Loan Mortgage Corp.

    

3.50%, 04/01/42, TBA (g)

     360        358   

3.50%, 12/01/42

     198        197   

3.50%, 08/01/43

     990        984   

3.50%, 01/15/44, TBA (g)

     10,870        10,785   

4.00%, 01/15/44, TBA (g)

     21,825        22,413   

4.50%, 01/15/44, TBA (g)

     5,965        6,312   
   

 

 

  
    41,049   

Federal National Mortgage Association - 22.3%

  

Federal National Mortgage Association

    

3.50%, 01/15/44, TBA (g)

     20,630        20,493   

4.00%, 01/15/44, TBA (g)

     48,300        49,719   
     Shares/Par (p)     Value  

4.50%, 01/15/44, TBA (g)

         30,925        32,767   

5.00%, 01/15/44, TBA (g)

     1,115        1,211   
   

 

 

  
    104,190   
   

 

 

  

Total Government and Agency Obligations (cost $250,034)

       247,136   
   

 

 

  

INVESTMENT COMPANIES - 4.7%

  

iShares iBoxx High Yield Corporate Bond Fund (e)

     111        10,286   

SPDR Barclays High Yield Bond ETF (e)

     291        11,805   
   

 

 

  

Total Investment Companies (cost $21,987)

  

     22,091   
   

 

 

  

VARIABLE RATE SENIOR LOAN
INTERESTS - 18.6% (i)

   

CONSUMER DISCRETIONARY - 4.2%

  

Cumulus Media Inc. Term Loan, 4.25%, 12/31/20

   $ 2,129        2,140   

Other Securities

       17,556   
   

 

 

  
    19,696   

CONSUMER STAPLES - 2.5%

  

Other Securities

       11,474   

ENERGY - 0.3%

  

Other Securities

       1,405   

FINANCIALS - 0.9%

  

Realogy Corp. Term Loan B, 4.50%, 03/01/20

     2,093        2,115   

Other Securities

       2,077   
   

 

 

  
    4,192   

HEALTH CARE - 2.1%

  

Other Securities

       10,000   

INDUSTRIALS - 2.5%

  

American Airlines Inc. Term Loan B, 4.75%, 01/26/16

     1,990        2,000   

Other Securities

       9,939   
   

 

 

  
    11,939   

INFORMATION TECHNOLOGY - 3.0%

  

Other Securities

       14,040   

MATERIALS - 0.9%

  

Other Securities

       4,010   

TELECOMMUNICATION SERVICES - 1.8%

  

Other Securities

       8,243   

UTILITIES - 0.4%

  

Other Securities

       1,990   
   

 

 

  

Total Variable Rate Senior Loan Interests (cost $87,001)

       86,989   
   

 

 

  

SHORT TERM INVESTMENTS - 14.4%

  

Investment Companies - 8.3%

  

JNL Money Market Fund, 0.01% (a) (h)

     38,906        38,906   

Securities Lending Collateral - 6.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     28,347        28,347   
   

 

 

  

Total Short Term Investments (cost $67,253)

  

     67,253   
   

 

 

  

Total Investments - 137.3% (cost $644,248)

  

     641,857   

Other Assets and Liabilities, Net - (37.3%)

 

     (174,402 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     467,455   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Oppenheimer Global Growth Fund (z) *

  

COMMON STOCKS - 96.4%

    

BRAZIL - 3.0%

  

Other Securities

     $          29,229   

DENMARK - 0.4%

  

Other Securities

       4,415   

FINLAND - 0.2%

  

Other Securities

       1,948   

FRANCE - 5.8%

  

LVMH Moet Hennessy Louis Vuitton SA

     99        18,174   

PPR SA

     78        16,505   

Technip SA

     156        15,028   

Other Securities

       7,618   
   

 

 

  
      57,325   

GERMANY - 9.6%

  

Allianz SE

     96        17,317   

Bayer AG

     110        15,382   

Deutsche Bank AG

     314        15,090   

Linde AG

     47        9,748   

SAP AG

     254        21,998   

Siemens AG

     109        14,880   
   

 

 

  
      94,415   

INDIA - 3.1%

  

ICICI Bank Ltd. - ADR

     319        11,863   

Other Securities

       18,403   
   

 

 

  
      30,266   

ITALY - 2.0%

  

Other Securities

       19,867   

JAPAN - 9.3%

  

Dai-Ichi Life Insurance Co. Ltd.

     690        11,553   

KDDI Corp.

     254        15,678   

Keyence Corp.

     35        14,941   

Murata Manufacturing Co. Ltd.

     177        15,714   

Nidec Corp. (e)

     98        9,605   

Sumitomo Mitsui Financial Group Inc.

     199        10,338   

Other Securities

       13,836   
   

 

 

  
      91,665   

MEXICO - 1.9%

  

Fomento Economico Mexicano SAB de CV - ADR

     104        10,163   

Other Securities

       8,325   
   

 

 

  
      18,488   

NETHERLANDS - 2.5%

  

European Aeronautic Defence & Space Co. NV

     327        25,101   

RUSSIAN FEDERATION - 0.8%

  

Other Securities

       7,615   

SPAIN - 4.0%

  

Banco Bilbao Vizcaya Argentaria SA

     1,073        13,278   

Inditex SA

     111        18,273   

Other Securities

       7,946   
   

 

 

  
      39,497   

SWEDEN - 4.5%

  

Assa Abloy AB - Class B

     326        17,255   

Telefonaktiebolaget LM Ericsson - Class B

     2,259        27,575   
   

 

 

  
      44,830   
     Shares/Par (p)     Value  

SWITZERLAND - 5.2%

  

Credit Suisse Group AG

     313        9,653   

Nestle SA

     145        10,654   

Roche Holding AG

     41        11,465   

UBS AG

     1,047        20,055   
   

 

 

  
      51,827   

TAIWAN - 0.9%

  

Other Securities

       8,706   

UNITED KINGDOM - 2.3%

  

Unilever Plc

     366        15,067   

Other Securities

       8,124   
   

 

 

  
      23,191   

UNITED STATES OF AMERICA - 40.9%

  

3M Co.

     99        13,914   

Adobe Systems Inc. (c)

     285        17,087   

Aetna Inc.

     230        15,779   

Altera Corp.

     475        15,448   

Citigroup Inc.

     220        11,470   

Colgate-Palmolive Co.

     275        17,960   

eBay Inc. (c)

     357        19,600   

Emerson Electric Co.

     139        9,771   

Facebook Inc. - Class A (c)

     214        11,707   

Gilead Sciences Inc. (c)

     166        12,510   

Goldman Sachs Group Inc.

     61        10,797   

Google Inc. - Class A (c)

     24        27,379   

Intuit Inc.

     207        15,821   

Maxim Integrated Products Inc.

     458        12,782   

McDonald’s Corp.

     133        12,938   

McGraw-Hill Financial. Inc.

     263        20,533   

Microsoft Corp.

     356        13,340   

Tiffany & Co.

     151        14,029   

United Parcel Service Inc. - Class B

     109        11,458   

Walt Disney Co.

     282        21,530   

WellPoint Inc.

     232        21,435   

Zimmer Holdings Inc.

     108        10,046   

Other Securities

       66,982   
   

 

 

  
      404,316   
   

 

 

  

Total Common Stocks (cost $718,043)

       952,701   
   

 

 

  

PREFERRED STOCKS - 2.0%

  

GERMANY - 2.0%

  

Bayerische Motoren Werke AG

     226        19,306   
   

 

 

  

Total Preferred Stocks (cost $13,235)

       19,306   
   

 

 

  

RIGHTS - 0.0%

  

SPAIN - 0.0%

  

Other Securities

       215   
   

 

 

  

Total Rights (cost $211)

       215   
   

 

 

  

SHORT TERM INVESTMENTS - 3.6%

  

Investment Companies - 1.6%

  

JNL Money Market Fund, 0.01% (a) (h)

     16,102        16,102   

Securities Lending Collateral - 2.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     19,858        19,858   
   

 

 

  

Total Short Term Investments (cost $35,960)

  

     35,960   
   

 

 

  

Total Investments - 102.0% (cost $767,449)

  

         1,008,182   

Other Assets and Liabilities, Net - (2.0%)

 

     (19,780 ) 
   

 

 

  

Total Net Assets - 100.0%

     $ 988,402   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/PIMCO Real Return Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 11.0%

   

American General Mortgage Loan Trust REMIC, 5.15%, 03/25/58 (i) (r)

   $ 684      $ 690   

Aquilae CLO Plc, 0.57%, 01/17/23, EUR

     1,760        2,385   

Ares VIR CLO Ltd., 0.47%, 03/12/18 (i) (r)

     509        506   

Arran Residential Mortgages Funding Plc, 1.67%, 11/19/47 (i) (r), EUR

         15,577            21,705   

Banc of America Commercial Mortgage Trust REMIC

    

5.89%, 07/10/44 (i)

     1,989        2,164   

0.34%, 06/10/49 (i) (r)

     28        28   

5.65%, 06/10/49 (i)

     2,900        3,204   

5.65%, 06/10/49 (i)

     28        28   

5.75%, 02/10/51 (i)

     2,900        3,202   

Banc of America Mortgage Trust REMIC, 2.79%, 06/25/35 (i)

     221        206   

Banc of America Re-REMIC Trust REMIC

    

5.61%, 06/24/50 (i) (r)

     1,099        1,205   

5.63%, 02/17/51 (i) (r)

     600        642   

BCAP LLC REMIC

    

5.22%, 03/26/37 (i) (r)

     1,468        1,344   

5.25%, 08/26/37 (r)

     4,150        4,202   

Bear Stearns Adjustable Rate Mortgage Trust REMIC

    

2.51%, 05/25/33 (i)

     50        49   

2.83%, 02/25/34 (i)

     419        411   

3.08%, 11/25/34 (i)

     387        393   

2.59%, 01/25/35 (i)

     246        237   

2.77%, 03/25/35 (i)

     477        464   

2.79%, 03/25/35 (i)

     47        47   

2.21%, 08/25/35 (i)

     58        59   

Bear Stearns Alt-A Trust REMIC

    

2.33%, 01/25/36 (i)

     669        473   

2.56%, 08/25/36 (i)

     288        196   

Bear Stearns Asset Backed Securities Trust REMIC, 1.16%, 10/25/37 (i)

     799        749   

Bear Stearns Structured Products Inc. Trust REMIC, 2.59%, 12/26/46 (i)

     809        473   

Chase Mortgage Finance Corp. REMIC, 2.72%, 02/25/37 (i)

     106        105   

Citibank Omni Master Trust, 2.92%, 08/15/18 (i) (r)

     16,400        16,648   

Citigroup Mortgage Loan Trust Inc. REMIC

    

2.61%, 08/25/35 (i)

     515        288   

2.20%, 09/25/35 (i)

     71        70   

2.29%, 09/25/35 (i)

     96        94   

0.24%, 01/25/37 (i)

     120        60   

2.85%, 09/25/37 (i)

     1,757        1,438   

0.22%, 07/25/45 (i)

     336        256   

College Loan Corp. Trust, 0.49%, 01/25/24 (i)

     800        739   

Commercial Mortgage Pass-Through Certificates REMIC, 3.16%, 07/10/46 (r)

     5,536        5,701   

Conseco Finance Securitizations Corp., 6.68%, 12/01/33

     19        19   

Countrywide Asset-Backed Certificates REMIC

    

0.41%, 04/25/36 (i)

     107        104   

0.34%, 07/25/36 (i)

     2,250        2,184   

0.34%, 09/25/36 (i)

     332        319   

Countrywide Home Loan Mortgage Pass-Through Trust REMIC

    

2.83%, 08/25/34 (i)

     373        327   

4.82%, 11/20/34 (i)

     315        291   

2.52%, 04/20/35 (i)

     343        348   
     Shares/Par (p)     Value  

Credit Suisse Mortgage Capital Certificates REMIC

    

5.68%, 06/15/39 (e) (i)

     3,356        3,683   

5.47%, 09/18/39 (r)

     1,276        1,389   

5.38%, 02/15/40 (r)

     964        1,033   

Credit Suisse Mortgage Capital Mortgage-Backed Trust REMIC, 5.86%, 02/25/37 (i)

     954        533   

Credit-Based Asset Servicing and Securitization LLC REMIC, 0.28%, 07/25/37 (i) (r)

     189        117   

CS First Boston Mortgage Securities Corp. REMIC, 2.46%, 04/25/34 (i)

     367        367   

DBUBS Mortgage Trust REMIC, 3.39%, 07/10/44 (r)

     16,500        17,207   

First NLC Trust REMIC, 0.23%, 08/25/37 (i) (r)

     387        196   

Granite Mortgages Plc, 0.90%, 09/20/44 (i), GBP

     499        822   

Greenwich Capital Commercial Funding Corp. REMIC, 5.44%, 03/10/39

     4,000        4,393   

GS Mortgage Securities Trust REMIC, 4.59%, 08/10/43 (r)

     4,300        4,647   

GSR Mortgage Loan Trust REMIC, 2.77%, 01/25/35 (i)

     381        379   

Harborview Mortgage Loan Trust REMIC, 2.48%, 04/19/34 (i)

     467        464   

Hillmark Funding, 0.49%, 05/21/21 (i) (r)

     9,000        8,749   

Holmes Master Issuer Plc, 1.58%, 10/15/54 (i) (r), EUR

     5,458        7,543   

HSBC Home Equity Loan Trust REMIC, 0.32%, 03/20/36 (i)

     1,044        1,020   

Indymac Index Mortgage Loan Trust REMIC

    

2.57%, 03/25/35 (i)

     772        764   

2.70%, 11/25/35 (i)

     864        754   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

4.65%, 01/12/37

     330        331   

5.79%, 02/12/51 (i)

     4,000        4,483   

JPMorgan Mortgage Trust REMIC

    

2.77%, 07/25/35 (i)

     308        307   

2.70%, 08/25/35 (i)

     560        533   

2.76%, 08/25/35 (i)

     385        384   

5.15%, 09/25/35 (i)

     119        119   

2.43%, 07/27/37 (i) (r)

     935        861   

LB-UBS Commercial Mortgage Trust REMIC, 5.42%, 02/15/40

     6,200        6,832   

Lehman Brothers Mortgage Loan Trust REMIC, 0.25%, 06/25/37 (i) (r)

     374        212   

Magi Funding Plc, 0.59%, 04/11/21 (r), EUR

     640        868   

MASTR Adjustable Rate Mortgages Trust REMIC, 2.18%, 12/25/33 (i)

     787        773   

Merrill Lynch Mortgage Investors Trust REMIC

    

2.23%, 02/25/33 (i)

     208        198   

2.45%, 02/25/34 (i)

     358        357   

2.38%, 10/25/35 (i)

     528        528   

Morgan Stanley Capital I Trust REMIC

    

0.22%, 05/25/37 (i)

     131        76   

5.91%, 06/11/49 (i)

     3,200        3,569   

Nautique Funding Ltd., 0.49%, 04/15/20 (i) (r)

     395        388   

NCUA Guaranteed Notes Trust REMIC

    

0.62%, 10/07/20 (i)

     2,487        2,500   

0.73%, 12/08/20 (i)

     3,702        3,733   

Nelnet Student Loan Trust, 0.94%, 07/25/18 (i)

     192        192   

NYLIM Flatiron CLO Ltd., 0.46%, 08/08/20 (i) (r)

     440        434   

Penta CLO SA, 0.55%, 06/04/24 (i), EUR

     2,614        3,456   

Permanent Master Issuer Plc, 1.53%, 07/15/42 (i) (r), EUR

     900        1,238   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Provident Funding Mortgage Loan Trust REMIC, 2.50%, 08/25/33 (i)

     239        239   

RBSCF Trust REMIC

    

5.70%, 09/16/40 (i) (r)

     4,000        4,365   

6.21%, 12/16/49 (i) (r)

     1,700        1,855   

Residential Asset Securitization Trust REMIC, 5.50%, 06/25/33

     88        91   

SLM Student Loan Trust

    

0.69%, 01/25/17 (i)

     1,021        1,022   

1.82%, 12/15/17 (i) (r)

     54        54   

1.74%, 04/25/23 (i)

     5,415        5,579   

2.35%, 04/15/39 (i) (q)

     514        515   

REMIC, 0.28%, 04/25/19 (i)

     6,300        6,219   

Structured Adjustable Rate Mortgage Loan Trust REMIC

    

2.91%, 02/25/34 (i)

     718        719   

5.50%, 12/25/34 (i)

     351        339   

Structured Asset Mortgage Investments Inc. REMIC, 0.83%, 10/19/34 (i)

     37        36   

Structured Asset Securities Corp. REMIC, 0.30%, 05/25/47 (i)

     1,900        1,792   

Swan Trust, 3.90%, 04/25/41 (i), AUD

     336        301   

Symphony CLO III Ltd., 0.48%, 05/15/19 (i) (r)

     2,148        2,124   

TBW Mortgage Backed Pass-Through Certificates REMIC, 5.97%, 09/25/36 (i)

     473        99   

Vornado DP LLC Trust, 4.00%, 09/13/28 (r)

     4,600        4,796   

Wachovia Bank Commercial Mortgage Trust REMIC

    

0.25%, 06/15/20 (i) (r)

     255        253   

5.09%, 08/15/41 (i)

     726        737   

Washington Mutual Alternative Mortgage Pass-Through Certificates REMIC, 2.48%, 12/25/35 (i)

     290        266   

Washington Mutual Mortgage Pass-Through Certificates REMIC

    

2.21%, 03/25/33 (i)

     119        118   

2.45%, 06/25/33 (i)

     379        374   

2.44%, 09/25/33 (i)

     395        396   

5.16%, 08/25/35 (i)

     194        187   

1.14%, 08/25/46 (i)

     4,882        4,181   

0.91%, 05/25/47 (i)

     592        510   

Wells Fargo Mortgage Backed Securities Trust REMIC

    

2.62%, 12/25/34 (i)

     390        394   

2.63%, 04/25/36 (i)

     1,333        1,285   

Wood Street CLO BV, 0.59%, 03/29/21 (i) (r), EUR

     336        452   
   

 

 

  

Total Non-U.S. Government Agency Asset-Backed Securities (cost $195,879)

   

     199,783   
   

 

 

  

CORPORATE BONDS AND NOTES - 6.6%

  

CONSUMER DISCRETIONARY - 0.1%

  

Pearson Dollar Finance Plc, 5.70%, 06/01/14 (e) (r)

     1,000        1,019   

ENERGY - 0.3%

  

Kinder Morgan Finance Co. ULC, 5.70%, 01/05/16

     5,000        5,370   

FINANCIALS - 6.1%

  

Achmea Hypotheekbank NV, 3.20%, 11/03/14 (r)

     324        332   

Ally Financial Inc.

    

3.44%, 02/11/14 (i)

     11,800        11,786   

3.65%, 06/20/14 (i)

     700        709   

ANZ National International Ltd., 0.68%, 08/19/14 (i) (r)

     2,000        2,004   
     Shares/Par (p)     Value  

Banco Santander Brazil SA, 2.34%, 03/18/14 (i) (q)

     4,900        4,900   

Commonwealth Bank of Australia

    

0.75%, 06/25/14 (i) (r)

     3,800        3,808   

0.52%, 09/17/14 (i) (r)

     3,800        3,808   

Eksportfinans ASA, 2.38%, 05/25/16

     3,200        3,148   

Ford Motor Credit Co. LLC, 8.00%, 06/01/14

     900        928   

Intesa Sanpaolo SpA, 3.13%, 01/15/16

     2,600        2,649   

Landwirtschaftliche Rentenbank, 4.88%, 01/10/14

     55,682        55,749   

LeasePlan Corp. NV, 3.25%, 05/22/14, EUR

     173        241   

Marsh & McLennan Cos. Inc., 5.75%, 09/15/15

     89        96   

Merrill Lynch & Co. Inc., 0.67%, 07/22/14 (i), EUR

     200        275   

Morgan Stanley, 0.54%, 01/09/14 (i)

     5,300        5,300   

Swedbank AB, 3.38%, 05/27/14, EUR

     5,700        7,937   

Turkiye Garanti Bankasi A/S, 2.74%, 04/20/16 (i) (r)

     1,100        1,064   

Wells Fargo & Co., 7.98%, (callable at 100 beginning 03/15/18) (i) (m)

     1,300        1,450   

Westpac Banking Corp., 3.59%, 08/14/14 (r)

     4,400        4,487   
   

 

 

  
    110,671   

INDUSTRIALS - 0.1%

  

GATX Financial Corp., 5.80%, 03/01/16

     1,000        1,083   

International Lease Finance Corp.

    

6.50%, 09/01/14 (r)

     1,000        1,034   

6.75%, 09/01/16 (r)

     900        1,004   
   

 

 

  
    3,121   
   

 

 

  

Total Corporate Bonds and Notes (cost $118,269)

  

     120,181   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 126.5%

  

GOVERNMENT SECURITIES - 125.6%

  

Federal Home Loan Mortgage Corp. - 0.9% (w)

  

Federal Home Loan Mortgage Corp.

    

5.00%, 01/30/14 (o)

     1,149        1,154   

2.50%, 10/02/19

     16,200        16,312   
   

 

 

  
    17,466   

Federal National Mortgage Association - 0.4% (w)

  

Federal National Mortgage Association, 1.25%, 03/14/14

     7,100        7,116   

Municipals - 0.1%

  

North Carolina State Education Assistance Authority, 0.69%, 10/26/20 (i)

     1,767        1,767   

Tobacco Settlement Authority of West Virgina, 7.47%, 06/01/47

     325        252   
   

 

 

  
    2,019   

Sovereign - 13.1%

  

Instituto de Credito Oficial, 2.04%, 03/25/14 (i), EUR

     12,800        17,586   

Mexico Bonos, 6.50%, 06/09/22, MXN

     48,600        3,763   

Mexico Bonos de Proteccion al Ahorro

    

3.99%, 01/04/18, MXN

     194,700        14,856   

4.01%, 01/30/20, MXN

     219,800        16,749   

Province of Ontario, Canda, 0.10%, 01/23/14

     180,000        179,989   

Slovenia Government International Bond, 4.70%, 11/01/16 (q), EUR

     3,600        5,092   
   

 

 

  
    238,035   

Treasury Inflation Index Securities - 111.1%

  

Italy Buoni Poliennali Del Tesoro Inflation Indexed Note

    

2.10%, 09/15/16 - 09/15/21 (n), EUR

     16,692        23,595   

1.70%, 09/15/18 (n), EUR

     4,336        5,984   

3.10%, 09/15/26 (n), EUR

     423        593   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

New South Wales Treasury Corp. Inflation Indexed Bond

    

2.75%, 11/20/25 (s), AUD

     13,200        14,746   

2.50%, 11/20/35 (s), AUD

     1,900        1,982   

New Zealand Government Inflation Indexed Bond, 2.00%, 09/20/25 (s), NZD

     7,500        5,773   

U.S. Treasury Inflation Indexed Note

    

1.25%, 04/15/14 - 07/15/20 (g) (n)

     110,279        117,363   

1.25%, 04/15/14 (n) (o)

     1,112        1,119   

1.63%, 01/15/15 - 01/15/15 (g) (n)

     84,205        86,744   

0.50%, 04/15/15 (g) (n)

     28,542        29,170   

1.88%, 07/15/15 - 07/15/19 (g) (n)

     29,501        32,152   

2.00%, 01/15/16 - 01/15/26 (g) (n)

     133,344        144,529   

2.00%, 01/15/16 (n) (o)

     88        94   

0.13%, 04/15/16 - 01/15/23 (g) (n)

     684,430        673,507   

0.13%, 04/15/16 - 04/15/17 (n) (o)

     1,496        1,537   

2.63%, 07/15/17 (g) (n)

     7,926        8,915   

2.63%, 07/15/17 (n) (o)

     180        203   

0.13%, 04/15/18 (n)

     38,998        39,766   

1.38%, 01/15/20 - 01/15/20 (g) (n)

     105,358        113,079   

1.13%, 01/15/21 (g) (n)

     37,830        39,721   

0.63%, 07/15/21 (g) (n)

     165,667        168,022   

0.38%, 07/15/23 (g) (n)

     34,908        33,623   

2.38%, 01/15/25 - 01/15/27 (g) (n)

     200,098        229,895   

1.75%, 01/15/28 (g) (n)

     32,118        34,313   

3.63%, 04/15/28 (n)

     28,417        37,524   

2.50%, 01/15/29 (g) (n)

     59,264        69,488   

3.88%, 04/15/29 (g) (n)

     55,245        75,578   

2.13%, 02/15/40 (g) (n)

     31,163        34,920   
   

 

 

  
      2,023,935   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.9%

   

Federal Home Loan Mortgage Corp. - 0.8%

  

Federal Home Loan Mortgage Corp.

    

2.09%, 07/01/36 (i)

     370        391   

2.14%, 09/01/36 (i)

     377        398   

2.25%, 10/01/36 (i)

     219        234   

Interest Only, 0.62%, 09/15/42

     10,068        9,928   

REMIC, 0.62%, 08/15/33 (i)

     2,612        2,626   

REMIC, 1.34%, 10/25/44 - 02/25/45 (i)

     931        942   
   

 

 

  
      14,519   

Federal National Mortgage Association - 0.0%

  

Federal National Mortgage Association

    

2.03%, 11/01/35 (i)

     69        72   

2.55%, 03/01/36 (i)

     118        125   

5.69%, 06/01/36 (i)

     33        33   

REMIC, 0.22%, 07/25/37 (i)

     296        278   
   

 

 

  
      508   

Small Business Administration Participation Certificates - 0.1%

  

Small Business Administration Participation Certificates, 5.29%, 12/01/27

     882        959   
   

 

 

  

Total Government and Agency Obligations
(cost $2,321,396)

   

     2,304,557   
   

 

 

  

PREFERRED STOCKS - 0.0%

  

FINANCIALS - 0.0%

  

Wells Fargo & Co., 7.50%,
Series L (m) (v)

     1        552   
   

 

 

  

Total Preferred Stocks (cost $500)

  

     552   
   

 

 

  

PURCHASED OPTIONS - 0.0%

  

10-Year U.S. Treasury Note Future Put Option, Strike Price 118, Expiration 01/24/14

     97        2   
     Shares/Par (p)     Value  

Put Swaption, 3 month LIBOR versus 3.88% fixed, Expiration 04/14/14, DUB

     165        635   
   

 

 

  

Total Purchased Options (cost $840)

  

     637   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

Lehman Brothers Holdings Inc. Escrow, 7.00%, 09/27/27 (c) (u)

     100        21   
   

 

 

  

Total Other Equity Interests (cost $9)

  

     21   
   

 

 

  

SHORT TERM INVESTMENTS - 60.2%

  

Federal Agricultural Mortgage Corp. - 1.1% (w)

  

Federal Agricultural Mortgage Corp., 0.04%, 01/02/14

   $ 19,810        19,810   

Federal Home Loan Bank - 29.8% (w)

  

Federal Home Loan Bank

    

0.03%, 01/06/14 - 01/24/14

     539,580        539,577   

0.05%, 02/05/14

     2,400        2,400   
   

 

 

  
      541,977   

Federal Home Loan Mortgage Corp. - 11.1% (w)

  

Federal Home Loan Mortgage Corp.

    

0.04%, 01/06/14

     1,800        1,800   

0.05%, 01/13/14 - 01/24/14

     24,192        24,192   

0.03%, 01/23/14

     49,400        49,399   

0.07%, 02/10/14

     25,000        24,998   

0.09%, 04/28/14

     66,300        66,287   

0.12%, 05/14/14

     36,300        36,291   
   

 

 

  
      202,967   

Federal National Mortgage Association - 9.9% (w)

  

Federal National Mortgage Association

    

0.04%, 01/02/14 - 02/03/14

     178,400        178,394   

0.05%, 01/22/14

     2,127        2,127   
   

 

 

  
      180,521   

Securities Lending Collateral - 0.3%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     4,695        4,695   

Treasury Securities - 8.0%

  

Japan Treasury Bill, 0.00%, 02/03/14, JPY

         7,310,000        69,411   

Mexico Cetes

    

0.26%, 01/16/14, MXN

     6,411        4,904   

0.26%, 01/23/14, MXN

     22,835        17,456   

0.26%, 02/13/14, MXN

     2,202        1,679   

0.26%, 03/06/14, MXN

     5,016        3,820   

0.26%, 03/13/14, MXN

     20,591        15,663   

0.27%, 06/12/14, MXN

     37,132        27,990   

U.S. Treasury Bill

    

0.03%, 01/09/14 (o)

   $ 300        300   

0.09%, 02/06/14 (o)

     216        216   

0.10%, 09/18/14 (o)

     307        307   

0.12%, 11/13/14 (o)

     3,295        3,292   
   

 

 

  
      145,038   
   

 

 

  

Total Short Term Investments (cost $1,101,237)

  

     1,095,008   
   

 

 

  

Total Investments - 204.3% (cost $3,738,130)

  

     3,720,739   

Other Assets and Liabilities, Net - (104.3%)

 

     (1,899,291 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,821,448   
   

 

 

  

JNL/PIMCO Total Return Bond Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 5.3%

   

ACA CLO Ltd., 0.49%, 07/25/18 (i) (r)

   $ 943      $ 939   

Access Group Inc., 1.54%, 10/27/25 (i)

     4,553        4,598   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

American Home Mortgage Investment Trust REMIC, 2.35%, 02/25/45 (i)

     253        250   

Ameriquest Mortgage Securities Inc. REMIC, 0.63%, 10/25/35 (i)

     16,700        15,301   

Amortizing Residential Collateral Trust REMIC, 0.74%, 07/25/32 (i)

     15        14   

Argent Securities Inc. REMIC, 0.52%, 10/25/35 (i)

     3,400        3,047   

Arran Residential Mortgages Funding Plc, 1.62%, 05/16/47 (i) (r), EUR

     3,612        5,038   

Asset Backed Securities Corp. Home Equity REMIC, 0.44%, 09/25/34 (i)

     194        193   

Banc of America Commercial Mortgage Trust REMIC

    

5.73%, 05/10/45 (i)

     2,000        2,181   

5.65%, 06/10/49 (i)

     2,830        3,127   

Banc of America Funding Trust REMIC

    

4.99%, 02/20/35 (i)

     2,724        2,706   

2.63%, 05/25/35 (i)

     265        268   

Banc of America Mortgage Trust REMIC, 6.50%, 10/25/31

     23        24   

BCAP LLC REMIC

    

5.25%, 02/26/36 (i) (r)

     2,260        2,041   

5.22%, 03/26/37 (i) (r)

     459        420   

5.25%, 05/26/37 (r)

     9,125        7,504   

5.25%, 08/26/37 (r)

     5,221        5,287   

Bear Stearns Adjustable Rate Mortgage Trust REMIC

    

2.74%, 11/25/30 (i)

     2        2   

2.36%, 02/25/33 (i)

     3        3   

2.84%, 02/25/33 (i)

     9        8   

2.57%, 04/25/33 (i)

     46        47   

2.79%, 01/25/34 (i)

     220        218   

2.83%, 04/25/34 (i)

     529        521   

2.75%, 11/25/34 (i)

     1,009        988   

3.08%, 11/25/34 (i)

     249        252   

2.79%, 03/25/35 (i)

     1,628        1,623   

Bear Stearns Alt-A Trust REMIC

    

2.65%, 05/25/35 (i)

     553        522   

2.71%, 09/25/35 (i)

     344        299   

Bear Stearns Asset Backed Securities I Trust REMIC

    

0.57%, 12/25/35 (i)

     5,700        5,348   

0.41%, 04/25/37 (i)

     5,300        2,976   

Bear Stearns Asset Backed Securities Trust REMIC, 0.42%, 10/25/36 (i)

     9,600        8,294   

Bear Stearns Commercial Mortgage Securities Trust REMIC, 5.33%, 02/11/44

     300        326   

Bear Stearns Structured Products Inc. Trust REMIC

    

2.50%, 01/26/36 (i)

     1,021        775   

2.59%, 12/26/46 (i)

     556        325   

BNC Mortgage Loan Trust REMIC, 0.26%, 05/25/37 (i)

     3,554        3,351   

Chase Mortgage Finance Trust REMIC, 5.01%, 12/25/35 (i)

     3,486        3,445   

Citicorp Mortgage Securities Trust REMIC, 6.00%, 02/25/37

     2,894        2,975   

Citigroup Mortgage Loan Trust Inc. REMIC

    

2.51%, 10/25/35 (i)

     117        115   

0.22%, 07/25/45 (i)

     841        639   

Commercial Mortgage Pass-Through Certificates REMIC, 2.52%, 04/26/38 (i) (r)

     3,700        3,569   

Countrywide Alternative Loan Trust REMIC

    

1.53%, 08/25/35 (i)

     1,193        1,059   

0.34%, 05/25/47 (i)

     669        538   

Countrywide Asset-Backed Certificates REMIC

    

0.91%, 06/25/34 (i)

     400        374   

0.26%, 08/25/37 (i)

     2,615        2,579   
     Shares/Par (p)     Value  

Countrywide Home Loan Mortgage Pass-Through Trust REMIC

    

5.50%, 10/25/34

     4,983        5,077   

2.53%, 11/20/34 (i)

     1,585        1,480   

2.50%, 11/25/34 (i)

     664        611   

2.53%, 02/20/35 (i)

     1,096        1,045   

5.75%, 12/25/35

     6,026        5,448   

2.42%, 02/20/36 (i)

     159        140   

Credit Suisse Commercial Mortgage Trust REMIC, 5.30%, 12/15/39

     3,062        3,292   

Credit Suisse Mortgage Capital Certificates REMIC

    

5.38%, 02/15/40

     682        736   

5.70%, 09/15/40 (i)

     7,800        8,613   

CS First Boston Mortgage Securities Corp. REMIC, 0.80%, 03/25/32 (i) (r)

     15        14   

CVS Pass-Through Trust, 6.94%, 01/10/30

     344        393   

Equity One ABS Inc., 0.72%, 11/25/32 (i)

     95        88   

European Loan Conduit, 0.37%, 05/15/19 (i), EUR

     165        221   

First American Alternative Mortgage Securities REMIC, 2.24%, 09/25/35 (i)

     424        369   

First Franklin Mortgage Loan Trust REMIC

    

0.97%, 04/25/35 (i) (r)

     2,100        1,933   

0.52%, 10/25/35 (i)

     7,100        6,348   

First Horizon Asset Securities Inc. REMIC, 5.07%, 02/25/36 (i)

     2,063        1,983   

First Horizon Mortgage Pass-Through Trust REMIC, 2.58%, 10/25/35 (i)

     2,700        2,341   

GE-WMC Mortgage Securities LLC REMIC, 0.41%, 12/25/35 (i)

     6,910        5,797   

Granite Master Issuer Plc

    

0.34%, 12/17/54 (i)

     1,494        1,478   

0.37%, 12/20/54 (i)

     8,477        8,385   

0.47%, 12/20/54 (i), EUR

     3,118        4,253   

REMIC, 0.31%, 12/20/54 (i) (r)

     683        673   

GreenPoint Mortgage Funding Trust REMIC, 0.24%, 01/25/47 (i)

     —        —   

Greenwich Capital Commercial Funding Corp. REMIC

    

5.44%, 03/10/39

     1,000        1,098   

4.80%, 08/10/42 (i)

     100        103   

GSR Mortgage Loan Trust REMIC

    

2.65%, 09/25/35 (i)

     1,360        1,351   

5.03%, 11/25/35 (i)

     501        492   

Harborview Mortgage Loan Trust REMIC

    

0.39%, 05/19/35 (i)

     139        121   

0.51%, 06/20/35 (i)

     1,845        1,729   

2.75%, 07/19/35 (i)

     642        551   

Home Equity Asset Trust REMIC, 1.21%, 07/25/35 (i)

     3,700        3,366   

HSBC Home Equity Loan Trust REMIC, 0.46%, 01/20/34 (i)

     770        764   

HSI Asset Securitization Corp. Trust REMIC, 0.52%, 12/25/35 (i)

     3,000        2,223   

IndyMac Adjustable-Rate Mortgage Trust REMIC, 1.78%, 01/25/32 (i)

     —        1   

IndyMac Index Mortgage Loan Trust REMIC, 2.33%, 01/25/36 (i)

     744        581   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

5.34%, 05/15/47

     1,900        2,080   

5.44%, 06/12/47

     2,000        2,198   

5.42%, 01/15/49

     6,400        7,020   

JPMorgan Mortgage Acquisition Corp. REMIC, 0.40%, 05/25/36 (i)

     8,500        6,887   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JPMorgan Mortgage Trust REMIC

    

3.55%, 02/25/35 (i)

     99        99   

5.75%, 01/25/36

     196        179   

5.50%, 04/25/36

     1,353        1,345   

Lehman XS Trust REMIC, 0.56%, 10/25/35 (i)

     4,361        4,181   

Long Beach Mortgage Loan Trust REMIC, 0.72%, 10/25/34 (i)

     34        32   

MASTR Asset Backed Securities Trust REMIC, 0.21%, 01/25/37 (i)

     483        160   

Mellon Residential Funding Corp. REMIC

    

2.61%, 10/20/29 (i)

     79        79   

0.65%, 06/15/30 (i)

     230        222   

Merrill Lynch Mortgage Investors Trust REMIC

    

2.19%, 05/25/33 (i)

     492        467   

0.54%, 08/25/35 (i)

     7,800        6,751   

1.60%, 10/25/35 (i)

     11,482        11,102   

0.37%, 02/25/36 (i)

     342        311   

Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC

    

5.89%, 08/12/49 (i)

     6,700        7,471   

5.49%, 03/12/51 (i)

     1,500        1,650   

Mid-State Trust IV REMIC, 8.33%, 04/01/30

     5        5   

MLCC Mortgage Investors Inc. REMIC

    

1.16%, 10/25/35 (i)

     162        159   

0.41%, 11/25/35 (i)

     293        277   

Morgan Stanley Dean Witter Capital I REMIC, 1.06%, 07/25/32 (i)

     2,368        2,159   

Morgan Stanley Re-REMIC Trust REMIC, 5.80%, 08/12/45 (i) (r)

     800        874   

MortgageIT Trust REMIC, 0.42%, 12/25/35 (i)

     7,672        7,028   

New Century Home Equity Loan Trust REMIC, 0.67%, 09/25/35 (i)

     1,900        1,615   

Nomura Asset Acceptance Corp. REMIC, 2.90%, 08/25/35 (i)

     3,206        3,052   

Park Place Securities Inc. Asset-Backed Pass-Through Certificates REMIC

    

0.64%, 08/25/35 (i)

     1,500        1,281   

0.63%, 09/25/35 (i)

     1,700        1,395   

Prime Mortgage Trust REMIC

    

0.56%, 02/25/19 (i)

     1        1   

0.56%, 02/25/34 (i)

     36        34   

RASC Trust REMIC, 0.84%, 02/25/35 (i)

     7,881        7,197   

RBSSP Resecuritization Trust REMIC, 0.41%, 02/26/37 (i) (r)

     3,208        2,898   

Securitized Asset Backed Receivables LLC Trust REMIC

    

1.14%, 03/25/35 (i)

     999        933   

0.22%, 12/25/36 (i)

     309        105   

Sequoia Mortgage Trust REMIC, 0.87%, 10/19/26 (i)

     39        39   

SLM Student Loan Trust

    

2.82%, 12/16/19 (i) (r)

     1,000        1,016   

1.74%, 04/25/23 (i)

     6,440        6,636   

Soundview Home Loan Trust REMIC, 0.29%, 12/25/36 (i)

     2,919        2,764   

Structured Asset Mortgage Investments Inc. REMIC

    

0.83%, 09/19/32 (i)

     42        40   

0.42%, 07/19/35 (i)

     643        629   

0.29%, 03/25/37 (i)

     1,234        938   

Structured Asset Securities Corp. REMIC

    

2.52%, 02/25/32 (i)

     1        1   

0.74%, 01/25/33 (i)

     7        6   

Vendee Mortgage Trust REMIC, 6.50%, 09/15/24

     363        410   

Wachovia Bank Commercial Mortgage Trust REMIC, 0.25%, 06/15/20 (i) (r)

     456        451   
     Shares/Par (p)     Value  

Washington Mutual Mortgage Pass-Through Certificates REMIC

    

2.02%, 02/25/31 (i)

     1        1   

2.42%, 01/25/36 (i)

     1,157        1,136   

1.54%, 08/25/42 (i)

     122        113   

1.34%, 11/25/42 (i)

     74        69   

0.45%, 10/25/45 (i)

     139        129   

Wells Fargo Mortgage Backed Securities Trust REMIC

    

2.62%, 01/25/35 (i)

     522        516   

2.63%, 03/25/36 (i)

     624        623   

2.63%, 03/25/36 (i)

     4,469        4,268   

2.63%, 04/25/36 (i)

     3,392        3,176   

Wood Street CLO BV, 0.54%, 11/22/21 (i), EUR

     2,811        3,801   
   

 

 

  

Total Non-U.S. Government Agency
Asset- Backed Securities (cost $257,492)

   

     275,216   
   

 

 

  

CORPORATE BONDS AND NOTES - 11.4%

  

ENERGY - 1.7%

  

Gazprom OAO Via White Nights Finance BV

    

10.50%, 03/08/14

     900        911   

10.50%, 03/25/14

     200        204   

Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 06/30/21 (e) (r)

     900        922   

Petrobras International Finance Co.

    

5.88%, 03/01/18 (e)

     1,300        1,385   

8.38%, 12/10/18 (e)

     700        821   

7.88%, 03/15/19

     16,800        19,021   

Petroleos Mexicanos, 8.00%, 05/03/19 (e)

     2,700        3,267   

Ras Laffan Liquefied Natural Gas Co. Ltd. II, 5.30%, 09/30/20 (r)

     4,403        4,722   

Rosneft Finance SA

    

7.50%, 07/18/16

     1,600        1,798   

6.63%, 03/20/17

     3,000        3,315   

Shell International Finance BV

    

0.31%, 11/10/15 (i)

     11,200        11,204   

0.45%, 11/15/16 (i)

     9,200        9,208   

Statoil ASA, 0.70%, 11/08/18 (e) (i)

     29,300        29,440   
   

 

 

  
    86,218   

FINANCIALS - 7.9%

  

Ally Financial Inc.

    

3.44%, 02/11/14 (i)

     700        699   

4.50%, 02/11/14 (e)

     100        100   

8.30%, 02/12/15

     5,800        6,235   

4.63%, 06/26/15 (e)

     1,000        1,041   

5.50%, 02/15/17

     5,000        5,413   

7.50%, 09/15/20 (e)

     1,600        1,864   

American International Group Inc.

    

5.05%, 10/01/15 (e)

     200        214   

8.25%, 08/15/18

     10,100        12,628   

6.25%, 03/15/37 (i)

     800        800   

8.18%, 05/15/58 (i)

     21,800        26,378   

Australia & New Zealand Banking Group Ltd., 2.13%, 01/10/14 (r)

     6,400        6,403   

Banco de Credito e Inversiones, 3.00%, 09/13/17 (e) (r)

     3,200        3,206   

Banco Nacional de Desenvolvimento Economico e Social, 3.38%, 09/26/16 (q)

     1,700        1,717   

Banco Santander Brazil SA, 2.34%, 03/18/14 (i) (q)

     4,100        4,100   

Bank of America Corp.

    

4.50%, 04/01/15

     3,400        3,557   

6.50%, 08/01/16

     8,460        9,551   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Bank of America NA

    

0.71%, 11/14/16 (i)

     48,300        48,396   

6.00%, 10/15/36

     3,200        3,661   

Bank of India, 6.25%, 02/16/21

     3,100        3,176   

Bank of Montreal, 2.85%, 06/09/15 (e) (r)

     1,800        1,861   

Bank of Nova Scotia

    

1.65%, 10/29/15 (e) (r)

     1,700        1,733   

1.95%, 01/30/17 (e) (i) (r)

     200        205   

Barclays Bank Plc

    

2.38%, 01/13/14

     1,100        1,101   

5.20%, 07/10/14

     700        717   

BBVA Bancomer SA

    

4.50%, 03/10/16 (e) (r)

     1,200        1,272   

6.50%, 03/10/21 (e) (r)

     2,400        2,532   

Caixa Economica Federal, 2.38%, 11/06/17 (r)

     3,200        2,972   

CIT Group Inc.

    

5.25%, 04/01/14 (e) (r)

     800        808   

4.75%, 02/15/15 (e) (r)

     2,000        2,073   

Citigroup Inc.

    

5.50%, 10/15/14

     10,350        10,734   

4.88%, 05/07/15

     3,500        3,672   

0.51%, 06/09/16 (i)

     2,600        2,558   

3.95%, 06/15/16 (e)

     1,600        1,702   

4.45%, 01/10/17

     900        975   

6.13%, 08/25/36

     1,300        1,382   

Credit Agricole SA

    

8.38% (callable at 100 beginning 10/13/19) (i) (m) (r)

     4,900        5,562   

1.40%, 04/15/16 (i) (q)

     5,000        5,062   

Credit Suisse New York, 2.20%, 01/14/14

     1,900        1,901   

Export-Import Bank of Korea, 5.88%, 01/14/15

     9,700        10,194   

Fifth Third Bancorp, 0.67%, 12/20/16 (i)

     900        891   

Ford Motor Credit Co. LLC

    

8.70%, 10/01/14

     7,400        7,834   

3.88%, 01/15/15

     10,400        10,731   

7.00%, 04/15/15

     2,900        3,121   

2.75%, 05/15/15

     4,800        4,924   

5.63%, 09/15/15 (e)

     3,900        4,197   

4.21%, 04/15/16

     6,794        7,239   

0.99%, 01/17/17 (i)

     19,200        19,275   

General Electric Capital Corp.

    

3.80%, 06/18/19 (q)

     3,700        3,873   

6.38%, 11/15/67 (e) (i)

     5,000        5,425   

HSBC Bank Plc, 2.00%, 01/19/14 (r)

     2,000        2,002   

ICICI Bank Ltd., 4.75%, 11/25/16 (r)

     13,600        14,176   

JPMorgan Chase & Co.

    

1.10%, 10/15/15 (e)

     12,362        12,409   

3.15%, 07/05/16

     1,600        1,677   

JPMorgan Chase Bank NA, 6.00%, 10/01/17

     4,100        4,689   

Korea Development Bank

    

8.00%, 01/23/14

     1,200        1,205   

3.50%, 08/22/17

     1,900        1,980   

LBG Capital No.1 Plc

    

8.50% (callable at 100 beginning 12/17/21) (i) (m) (r)

     200        213   

7.87%, 12/17/19, GBP

     1,900        3,335   

11.04%, 03/19/20, GBP

     3,600        6,811   

LBG Capital No.2 Plc

    

15.00%, 12/21/19, GBP

     1,200        2,868   

8.88%, 02/07/20, EUR

     1,200        1,843   

Macquarie Bank Ltd., 6.63%, 04/07/21 (r)

     26,100        28,830   

Merrill Lynch & Co. Inc., 6.40%, 08/28/17

     1,900        2,190   

National Bank of Canada, 2.20%, 10/19/16 (r)

     400        413   

Nationwide Building Society, 4.65%, 02/25/15 (r)

     3,500        3,646   

Nordea Bank AB, 2.13%, 01/14/14 (e) (r)

     900        901   

Northern Rock Plc, 5.63%, 06/22/17 (q)

     16,000        18,032   

Royal Bank of Scotland Group Plc, 6.99%, (callable at 100 beginning 10/05/17) (i) (m) (r)

     2,100        2,237   
     Shares/Par (p)     Value  

Sberbank of Russia Via SB Capital SA, 4.95%, 02/07/17 (r)

     1,300        1,378   

SLM Corp., 8.45%, 06/15/18

     3,400        3,961   

Springleaf Finance Corp., 6.90%, 12/15/17 (e)

     1,900        2,077   

State Bank of India, 4.50%, 07/27/15 (r)

     2,500        2,573   

Stone Street Trust, 5.90%, 12/15/15 (r)

     7,000        7,502   

Sumitomo Mitsui Banking Corp., 1.95%, 01/14/14 (q)

     6,000        6,003   

UBS Preferred Funding Trust V, 6.24%, (callable at 100 beginning 05/15/16) (i) (m)

     8,700        9,276   

Wells Fargo & Co., 7.98%, (callable at 100 beginning 03/15/18) (i) (m)

     2,100        2,342   
   

 

 

  
      410,234   

INDUSTRIALS - 0.7%

  

Asciano Finance Ltd., 5.00%, 04/07/18 (r)

     3,800        4,027   

Con-way Inc., 7.25%, 01/15/18

     1,400        1,608   

CSN Islands XI Corp., 6.88%, 09/21/19 (e) (r)

     500        519   

CSN Resources SA, 6.50%, 07/21/20 (e) (r)

     3,500        3,539   

International Lease Finance Corp.

    

5.75%, 05/15/16 (e)

     700        750   

6.75%, 09/01/16 (r)

     1,900        2,119   

7.13%, 09/01/18 (r)

     20,858        24,143   
   

 

 

  
      36,705   

MATERIALS - 0.3%

  

Braskem Finance Ltd., 5.75%, 04/15/21 (e) (r)

     4,100        4,018   

Corp. Nacional del Cobre de Chile, 7.50%, 01/15/19 (e) (r)

     1,500        1,786   

Gerdau Holdings Inc.

    

7.00%, 01/20/20 (e) (r)

     4,100        4,469   

5.75%, 01/30/21 (e) (r)

     6,200        6,324   
   

 

 

  
      16,597   

TELECOMMUNICATION SERVICES - 0.3%

  

Qtel International Finance Ltd., 3.38%, 10/14/16 (r)

     300        314   

Verizon Communications Inc.

    

2.50%, 09/15/16

     2,900        2,999   

1.99%, 09/14/18 (i)

     2,300        2,418   

3.65%, 09/14/18

     7,800        8,253   
   

 

 

  
      13,984   

UTILITIES - 0.5%

  

Centrais Eletricas Brasileiras SA, 6.88%, 07/30/19 (r)

     5,000        5,350   

Electricite de France SA, 5.50%, 01/26/14 (q)

     1,600        1,605   

Entergy Corp., 3.63%, 09/15/15 (e) (l)

     5,200        5,364   

Korea Hydro & Nuclear Power Co. Ltd., 6.25%, 06/17/14 (r)

     3,300        3,376   

Majapahit Holding BV

    

8.00%, 08/07/19 (r)

     2,200        2,456   

7.75%, 01/20/20 (r)

     5,000        5,488   

Tokyo Electric Power Co. Inc.

    

1.50%, 05/30/14, JPY

     4,000        38   

1.85%, 07/28/14, JPY

     19,000        179   
   

 

 

  
      23,856   
   

 

 

  

Total Corporate Bonds and Notes (cost $559,133)

  

     587,594   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 88.3%

  

GOVERNMENT SECURITIES - 52.6%

  

Federal Home Loan Mortgage Corp. - 3.5% (w)

  

Federal Home Loan Mortgage Corp.

    

1.00%, 09/29/17

     35,100        34,676   

0.75%, 01/12/18

     111,700        108,671   

0.88%, 03/07/18

     1,900        1,845   

3.75%, 03/27/19

     6,100        6,646   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

1.75%, 05/30/19

     1,200        1,178   

1.25%, 08/01/19 - 10/02/19

     30,700        29,116   

2.38%, 01/13/22

     700        668   
   

 

 

  
      182,800   

Federal National Mortgage Association - 1.5% (w)

  

Federal National Mortgage Association

    

0.88%, 08/28/17 - 05/21/18

     78,800        77,408   

1.88%, 09/18/18

     1,000        1,006   
   

 

 

  
      78,414   

Municipals - 4.6%

  

Bay Area Toll Authority, RB, 7.04%, 04/01/50

     3,400        4,194   

California Infrastructure & Economic Development Bank, 6.49%, 05/15/49

     1,000        1,049   

California State University, 6.43%, 11/01/30

     1,400        1,576   

California Statewide Communities Development Authority, 7.55%, 05/15/40

     5,500        6,602   

Calleguas - Las Virgenes Public Financing Authority, 5.94%, 07/01/40

     1,100        1,155   

Chicago Transit Authority

    

6.30%, 12/01/21 - 12/01/21

     300        325   

6.90%, 12/01/40 - 12/01/40

     4,100        4,582   

City of Los Angeles Wastewater System, RB - Series B, 5.00%, 06/01/30

     7,420        8,033   

City of New York, 6.27%, 12/01/37

     6,560        7,496   

City of North Las Vegas Nevada, 6.57%, 06/01/40

     9,200        7,619   

County of Clark Nevada Airport System, RB, 6.82%, 07/01/45

     1,600        1,950   

Dallas Convention Center Hotel Development Corp., 7.09%, 01/01/42

     13,800        15,606   

Golden State Tobacco Securitization Corp., 5.75%, 06/01/47

     6,900        5,100   

Illinois Municipal Electric Agency, 6.83%, 02/01/35

     1,800        1,907   

Irvine Ranch Water District, 6.62%, 05/01/40

     16,800        19,888   

Kansas Development Finance Authority, 5.00%, 11/15/32

     2,000        2,029   

Los Angeles County Public Works Financing Authority, 7.62%, 08/01/40

     9,000        10,529   

Los Angeles Unified School District, 6.76%, 07/01/34

     3,100        3,810   

Los Angeles Unified School District (insured by Assured Guaranty Municipal Corp.), 4.50%, 07/01/22

     3,600        3,893   

Los Angeles Unified School District (insured by National Public Finance Guarantee Corp.), 4.50%, 01/01/28

     6,300        6,429   

Metropolitan Transportation Authority, 5.00%, 11/15/26

     7,900        8,694   

Mississippi Development Bank, 6.31%, 01/01/33

     1,500        1,608   

New Jersey Economic Development Authority (insured by Assured Guaranty Municipal Corp.) - Series B, 0.00%, 02/15/19 (j)

     5,410        4,506   

New Jersey State Turnpike Authority, 7.41%, 01/01/40

     5,800        7,637   

New Jersey Transportation Trust Fund Authority, 5.25%, 06/15/36

     2,900        3,001   

New York City Transitional Finance Authority Building Aid, RB (insured by State Aid Withholding) - Series S-1, 5.00%, 07/15/29

     3,700        3,960   

New York City Transitional Finance Authority Future Tax Secured Revenue, 5.00%, 02/01/42

     13,000        13,400   

New York City Water & Sewer System, 5.79%, 06/15/41

     4,000        4,173   
     Shares/Par (p)     Value  

New York Liberty Development Corp., GO, 5.00%, 12/15/41

     17,000        17,244   

New York State Dormitory Authority

    

5.05%, 09/15/27

     4,700        4,804   

5.00%, 12/15/28 - 03/15/31

     12,800        13,830   

North Carolina Turnpike Authority, 6.70%, 01/01/39

     2,000        2,150   

Pennsylvania Economic Development Financing Authority, 6.53%, 06/15/39

     1,900        2,010   

Port Authority of New York & New Jersey, GO, 5.65%, 11/01/40

     1,100        1,184   

San Diego Tobacco Settlement Revenue Funding Corp., RB, 7.13%, 06/01/32

     720        660   

State of California

    

7.70%, 11/01/30

     100        116   

7.50%, 04/01/34

     7,600        9,697   

7.95%, 03/01/36

     600        694   

State of Iowa, 6.75%, 06/01/34

     4,100        4,501   

State of Wisconsin (insured by Assured Guaranty Municipal Corp.), 5.05%, 05/01/18

     1,500        1,640   

Tobacco Settlement Authority of Iowa, 6.50%, 06/01/23

     190        184   

Tobacco Settlement Authority of West Virginia, 7.47%, 06/01/47

     1,585        1,229   

University of California, 6.40%, 05/15/31

     5,500        6,196   

University of California, RB, 6.55%, 05/15/48

     1,500        1,750   

Washington State Convention Center Public Facilities District, 6.79%, 07/01/40

     5,600        5,985   
   

 

 

  
      234,625   

Sovereign - 7.0%

  

Autonomous Community of Valencia, Spain, 4.38%, 07/16/15, EUR

     1,100        1,543   

Banco Nacional de Desenvolvimento Economico e Social, 4.13%, 09/15/17 (r), EUR

     1,000        1,423   

Italy Buoni Poliennali Del Tesoro

    

6.00%, 11/15/14, EUR

     200        287   

2.50%, 03/01/15, EUR

     11,400        15,954   

4.50%, 07/15/15, EUR

     5,700        8,231   

3.75%, 08/01/15 - 04/15/16 , EUR

     3,300        4,769   

3.00%, 11/01/15, EUR

     31,800        45,142   

2.75%, 12/01/15, EUR

     33,300        47,087   

Italy Certificati di Credito del Tesoro, 0.00%, 12/31/14 - 06/30/15 (j), EUR

     8,500        11,500   

Korea Development Bank, 4.38%, 08/10/15

     7,200        7,572   

Korea Housing Finance Corp., 4.13%, 12/15/15 (r)

     2,900        3,050   

Province of Ontario, Canada

    

1.00%, 07/22/16 (e)

     1,100        1,104   

1.60%, 09/21/16

     66,200        67,464   

5.50%, 06/02/18, CAD

     700        748   

3.00%, 07/16/18

     500        524   

4.40%, 06/02/19, CAD

     2,400        2,469   

1.65%, 09/27/19 (e)

     2,900        2,780   

4.40%, 04/14/20 (e)

     8,400        9,207   

4.20%, 06/02/20, CAD

     2,300        2,339   

4.00%, 06/02/21, CAD

     6,600        6,582   

3.15%, 06/02/22, CAD

     10,800        10,001   

Province of Quebec, Canada

    

4.25%, 12/01/21, CAD

     9,900        9,950   

3.50%, 12/01/22, CAD

     6,300        5,924   

Spain Government Bond

    

4.75%, 07/30/14, EUR

     25,800        36,257   

3.30%, 10/31/14, EUR

     13,900        19,396   

2.75%, 03/31/15, EUR

     1,200        1,683   

4.00%, 07/30/15, EUR

     11,700        16,698   

3.75%, 10/31/15, EUR

     9,800        14,043   

3.15%, 01/31/16, EUR

     4,100        5,815   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Vnesheconombank Via VEB Finance Plc, 5.45%, 11/22/17 (r)

     1,000        1,071   
   

 

 

  
    360,613   

Treasury Inflation Index Securities - 7.5%

  

U.S. Treasury Inflation Indexed Note

    

0.13%, 04/15/17 (n) (o)

     3,496        3,593   

0.13%, 04/15/18 - 07/15/22 (n)

     59,559        57,067   

1.38%, 01/15/20 (n)

     6,156        6,607   

1.25%, 07/15/20 (n)

     19,704        21,065   

1.13%, 01/15/21 (n)

     8,434        8,856   

0.63%, 07/15/21 (n)

     3,419        3,468   

0.38%, 07/15/23 (n)

     11,240        10,826   

2.38%, 01/15/25 - 01/15/27 (n)

     110,277        126,752   

2.00%, 01/15/26 (n)

     42,832        47,379   

1.75%, 01/15/28 (n)

     77,479        82,775   

3.63%, 04/15/28 (n)

     2,166        2,860   

2.50%, 01/15/29 (n)

     9,790        11,479   

3.88%, 04/15/29 (n)

     1,563        2,138   
   

 

 

  
    384,865   

U.S. Treasury Securities - 28.5%

  

U.S. Treasury Note

    

0.25%, 11/30/15 - 12/31/15

     35,600        35,527   

0.38%, 01/15/16

     15,400        15,394   

1.75%, 05/31/16

     1,900        1,955   

0.63%, 07/15/16 - 08/31/17

     931,500        928,827   

1.50%, 07/31/16 - 12/31/18

     7,200        7,336   

1.00%, 08/31/16 - 03/31/17

     7,000        7,037   

0.88%, 09/15/16 - 04/30/17

     231,500        231,646   

3.13%, 01/31/17

     800        855   

3.00%, 02/28/17

     1,500        1,598   

3.25%, 03/31/17

     4,100        4,406   

0.50%, 07/31/17

     8,000        7,829   

0.75%, 12/31/17 - 02/28/18

     13,059        12,752   

1.50%, 08/31/18 (o)

     64,700        64,336   

1.25%, 10/31/18 - 11/30/18

     154,300        150,975   
   

 

 

  
    1,470,473   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 35.7%

   

Federal Home Loan Mortgage Corp. - 1.2%

  

Federal Home Loan Mortgage Corp.

    

6.00%, 03/01/16 - 05/01/40

     13,455        14,872   

5.50%, 05/01/26 - 03/01/40

     11,552        12,598   

2.48%, 07/01/27 (i)

     1        1   

4.50%, 05/01/39 - 06/01/41

     12,618        13,372   

4.50%, 01/15/44, TBA (g)

     4,000        4,232   

6.00%, 01/15/44, TBA (g)

     1,000        1,105   

REMIC, 0.32%, 07/15/19 (i)

     293        292   

REMIC, 0.33%, 08/15/19

     782        781   

REMIC, 7.00%, 05/15/23

     126        142   

REMIC, 0.62%, 11/15/30 (i)

     2        2   

REMIC, 4.50%, 03/15/34

     9,607        10,095   

REMIC, 0.20%, 12/25/36 (i)

     986        979   

REMIC, 3.50%, 01/15/42

     4,055        3,546   

REMIC, 1.34%, 02/25/45 (i)

     64        65   
   

 

 

  
    62,082   

Federal National Mortgage Association - 33.0%

  

Federal National Mortgage Association

    

4.50%, 01/01/15 - 11/01/43

     295,437        313,547   

4.00%, 07/01/15 - 05/01/42

     89,804        94,806   

6.00%, 05/01/16 - 05/01/41

     138,081        152,942   

5.50%, 06/01/16 - 09/01/41

     338,386        371,882   

3.00%, 04/01/21 - 12/01/28

     56,632        58,114   

3.89%, 07/01/21

     2,800        2,949   

3.33%, 11/01/21

     96        98   

3.50%, 12/01/21 - 06/01/43

     30,210        30,688   

3.16%, 05/01/22

     13,053        13,066   
     Shares/Par (p)     Value  

2.59%, 07/01/22

     5,463        5,243   

2.79%, 07/01/22

     4,688        4,559   

2.31%, 08/01/22

     4,000        3,766   

2.50%, 10/01/22 - 10/01/22

     989        1,010   

5.00%, 05/01/23 - 07/01/41

     44,594        48,510   

2.87%, 09/01/27

     2,800        2,423   

3.00%, 01/15/29, TBA (g)

     5,000        5,103   

3.50%, 01/15/29, TBA (g)

     132,000        138,038   

4.00%, 01/15/29, TBA (g)

     2,000        2,119   

6.50%, 07/01/29

     —        1   

2.24%, 01/01/35 (i)

     1,239        1,310   

1.54%, 09/01/40 (i)

     3        3   

1.34%, 06/01/43 (i)

     335        342   

5.00%, 01/15/44 - 02/15/44 , TBA (g)

     160,000        173,669   

5.50%, 01/15/44, TBA (g)

     10,000        11,000   

4.50%, 02/15/44, TBA (g)

         235,300        248,545   

REMIC, 5.00%, 04/25/33

     210        229   

REMIC, 2.37%, 05/25/35 (i)

     78        80   

REMIC, 0.61%, 09/25/35 (i)

     2,343        2,345   

REMIC, 0.47%, 04/25/37 (i)

     914        913   

REMIC, 0.22%, 07/25/37 (i)

     536        504   

REMIC, 0.66%, 06/25/39 (i)

     11,863        11,878   

REMIC, 6.50%, 12/25/42

     52        58   

REMIC, 0.51%, 03/25/44 (i)

     304        292   
   

 

 

  
    1,700,032   

Government National Mortgage Association - 1.2%

  

Government National Mortgage Association

    

1.63%, 05/20/26 - 02/20/32 (i)

     130        135   

2.00%, 04/20/30 (i)

     5        6   

5.00%, 02/15/38 - 07/15/41

     58,179        63,153   
   

 

 

  
    63,294   

Small Business Administration Participation Certificates - 0.3%

  

Small Business Administration Participation Certificates

    

6.29%, 01/01/21

     8        9   

5.13%, 09/01/23

     22        24   

5.52%, 06/01/24

     456        497   

5.29%, 12/01/27

     529        575   

5.16%, 02/01/28

     6,828        7,399   

5.49%, 03/01/28

     6,360        7,030   
   

 

 

  
    15,534   
   

 

 

  

Total Government and Agency Obligations
(cost $4,581,144)

   

     4,552,732   
   

 

 

  

PREFERRED STOCKS - 0.5%

  

FINANCIALS - 0.5%

  

Wells Fargo & Co., 7.50% (m) (v)

     25        27,625   
   

 

 

  

Total Preferred Stocks (cost $30,281)

       27,625   
   

 

 

  

TRUST PREFERREDS - 0.4%

  

FINANCIALS - 0.4%

  

DG Funding Trust, 0.54%, (callable at 10,000 beginning 09/30/10) (f) (m) (q)

     —        2,959   

GMAC Capital Trust I, 8.13%, (callable at 25 beginning 02/15/16)

     740        19,788   
   

 

 

  

Total Trust Preferreds (cost $22,926)

       22,747   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

General Motors Co. Escrow (c) (f) (u)

     128        —   
   

 

 

  

Total Other Equity Interests (cost $0)

       —   
   

 

 

  

SHORT TERM INVESTMENTS - 5.9%

  

Certificates of Deposit - 0.0%

    

Itau Unibanco, 1.38%, 10/31/14

   $ 2,700        2,670   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Federal Home Loan Bank - 1.6%

  

Federal Home Loan Bank

    

0.06%, 01/02/14

     67,700        67,700   

0.07%, 01/03/14

     13,200        13,200   
   

 

 

  
    80,900   

Securities Lending Collateral - 1.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     55,045        55,045   

Treasury Securities - 3.2%

  

Italy Buoni Ordinari del Tesoro BOT

    

1.49%, 08/14/14, EUR

     4,800        6,570   

1.51%, 09/12/14, EUR

     24,700        33,688   

1.10%, 10/14/14, EUR

     5,700        7,774   

0.99%, 11/14/14, EUR

     1,000        1,365   

Mexico Cetes

    

0.26%, 01/23/14, MXN

     3,280        2,507   

0.30%, 02/06/14, MXN

     9,820        7,495   

Spain Letras del Tesoro

    

1.36%, 06/20/14, EUR

     4,000        5,483   

1.42%, 07/18/14, EUR

     3,100        4,247   

1.80%, 09/19/14, EUR

     7,700        10,524   

1.17%, 10/17/14, EUR

         62,100        84,701   

U.S. Treasury Bill, 0.05%, 01/02/14

   $ 901        901   
   

 

 

  
    165,255   
   

 

 

  

Total Short Term Investments (cost $302,536)

  

     303,870   
   

 

 

  

Total Investments - 111.8% (cost $5,753,512)

  

     5,769,784   

Total Forward Sales Commitments - (0.2%) (proceeds $9,272)

   

     (9,254 ) 

Other Assets and Liabilities, Net - (11.6%)

 

     (601,830 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     5,158,700   
   

 

 

  

FORWARD SALES COMMITMENTS - 0.2%

  

GOVERNMENT AND AGENCY OBLIGATIONS - 0.2%

  

U.S. Government Agency Mortgage-Backed Securities - 0.2%

  

Federal National Mortgage Association - 0.2%

  

Federal National Mortgage Association, 4.00%, 01/15/44 - 02/15/44 (g)

   $ 9,000      $ 9,254   
   

 

 

  

Total Forward Sales Commitments - 0.2% (proceeds $9,272)

   

   $ 9,254   
   

 

 

  

JNL/PPM America Floating Rate Income Fund (t) (z) *

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.2%

   

Other Securities

     $ 2,235   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $2,199)

   

     2,235   
   

 

 

  

CORPORATE BONDS AND NOTES - 5.1%

  

CONSUMER DISCRETIONARY - 1.4%

  

MGM Resorts International

    

6.75%, 10/01/20

     804        860   

6.63%, 12/15/21

     577        610   

Other Securities

       20,101   
   

 

 

  
    21,571   

CONSUMER STAPLES - 0.2%

  

Other Securities

       2,654   
     Shares/Par (p)     Value  

ENERGY - 0.8%

  

Other Securities

       12,754   

FINANCIALS - 0.3%

  

Other Securities

       4,984   

HEALTH CARE - 0.5%

  

Other Securities

       7,998   

INDUSTRIALS - 0.8%

  

ServiceMaster Co., 7.00%, 08/15/20

     1,065        1,056   

Other Securities

       11,914   
   

 

 

  
    12,970   

INFORMATION TECHNOLOGY - 0.2%

  

First Data Corp., 7.38%, 06/15/19 (r)

     483        516   

Other Securities

       2,558   
   

 

 

  
    3,074   

MATERIALS - 0.7%

  

Other Securities

       10,042   

TELECOMMUNICATION SERVICES - 0.1%

  

Other Securities

       961   

UTILITIES - 0.1%

  

Other Securities

       1,996   
   

 

 

  

Total Corporate Bonds and Notes (cost $76,632)

  

         79,004   
   

 

 

  

VARIABLE RATE SENIOR LOAN
INTERESTS - 88.3% (i)

   

CONSUMER DISCRETIONARY - 26.3%

  

Acosta Inc. Term Loan B, 4.25%, 03/02/18

     5,335        5,363   

Advantage Sales and Marketing Inc. 1st Lien New Term Loan

    

4.25%, 12/17/17

     2,000        2,005   

4.25%, 12/17/17

     113        114   

4.25%, 12/17/17

     5,167        5,181   

Allison Transmission Inc. Term Loan, 3.75%, 08/08/19

     7,339        7,374   

Atlantic Broadband Finance LLC Term Loan, 3.25%, 11/30/19

     1,287        1,281   

Bass Pro Group LLC Term Loan B

    

4.00%, 11/30/19

     5,149        5,172   

4.00%, 11/30/19

     133        133   

Catalina Marketing Corp. Term Loan, 5.25%, 10/07/20

     3,000        3,037   

Cequel Communications LLC Term Loan, 3.50%, 02/28/19

     8,902        8,909   

Charter Communications Operating LLC Term Loan E, 3.00%, 04/25/20

     13,937        13,829   

Charter Communications Operating LLC Term Loan F, 3.00%, 12/31/20

     471        466   

Chrysler Group LLC Term Loan B, 4.25%, 05/24/17

     4,957        4,986   

Dunkin’ Brands Inc. Term Loan B-3

    

3.75%, 02/14/20

     4,067        4,077   

3.75%, 02/14/20

     4,287        4,299   

5.00%, 02/14/20

     3        3   

Formula One Holdings Term Loan B-2, 4.50%, 04/30/19

     7,424        7,497   

Garda World Security Corp. Term Loan B, 4.00%, 11/05/20

     1,593        1,594   

Goodyear Engineered Products 1st Lien Term Loan, 5.25%, 09/06/17

     7,947        7,967   

Hilton Worldwide Finance LLC Term Loan B-2, 3.00%, 09/23/20

     2,716        2,736   

Hilton Worldwide Inc. Term Loan B, 3.00%, 09/23/20

     7,468        7,524   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Merlin Entertainments Group Term Loan, 4.02%, 07/01/19

     2,706        2,710   

MGM Resorts International Term Loan B, 3.50%, 12/20/19

     8,232        8,247   

Michaels Stores Inc. Term Loan

  

3.75%, 01/25/20

     6,402        6,422   

3.75%, 01/25/20

     781        784   

3.75%, 01/25/20

     781        784   

Scientific Games Corp. Term Loan

  

3.25%, 06/14/20

     4,109        4,110   

3.25%, 06/14/20

     4,207        4,208   

3.25%, 06/14/20

     685        685   

ServiceMaster Co. Term Loan, 4.46%, 01/31/17

     3,914        3,887   

ServiceMaster Co. Term Loan C, 4.25%, 07/24/14

     3,970        3,929   

Tribune Company Initial Term Loan, 4.00%, 11/26/20

     11,000        10,931   

Univision Communications Inc. Converted Extended Term Loan, 4.75%, 02/28/20

     5,870        5,895   

Univision Communications Inc. Incremental Term Loan, 4.00%, 03/01/20

     1,757        1,763   

Univision Communications Inc. New 1st Lien Term Loan, 4.50%, 02/28/20

     5,466        5,496   

Other Securities

  

     251,893   
   

 

 

  
    405,291   

CONSUMER STAPLES - 6.0%

  

Albertson’s LLC Delayed Draw Term Loan, 4.75%, 03/21/19

     3,000        3,008   

Albertson’s LLC Term Loan B-2, 4.75%, 05/21/19

     2,333        2,344   

ARAMARK Corp. Extended Term Loan

  

3.51%, 01/26/14

     123        124   

3.49%, 07/26/16

     607        608   

3.49%, 07/26/16

     321        321   

3.55%, 07/26/16

     1,030        1,031   

ARAMARK Corp. Term Loan, 3.50%, 07/26/16

     72        72   

ARAMARK Corp. Term Loan D, 4.00%, 09/01/19

     6,000        6,035   

Arysta LifeScience SPC LLC 1st Lien Term Loan, 4.50%, 05/22/20

     6,368        6,398   

Arysta LifeScience SPC LLC 2nd Lien Term Loan, 8.25%, 11/20/20

     500        508   

Del Monte 1st Lien Term Loan, 3.25%, 01/26/21

     2,000        2,010   

Del Monte 2nd Lien Term Loan, 7.25%, 07/26/21

     500        504   

Del Monte Corp. New Term Loan B, 4.00%, 02/16/18

     4,734        4,745   

HJ Heinz Co. Term Loan B-2, 3.50%, 04/05/20

     11,923        12,006   

Other Securities

  

     52,456   
   

 

 

  
    92,170   

ENERGY - 3.9%

  

Sheridan Production Partners I-A LP Term Loan B-2, 5.00%, 10/05/19

     433        433   

Sheridan Production Partners I-M LP Term Loan B-2, 5.00%, 10/05/19

     264        265   

Other Securities

  

     60,338   
   

 

 

  
    61,036   

FINANCIALS - 5.8%

  

Asurion LLC Term Loan, 4.50%, 05/24/19

     7,593        7,587   

Capital Automotive LP 2nd Lien Term Loan, 6.00%, 04/25/20

     1,000        1,030   

Capital Automotive LP Term Loan B, 4.00%, 04/19/19

     6,391        6,422   
     Shares/Par (p)     Value  

Nuveen Investments Inc. 1st Lien Term Loan B, 4.19%, 05/07/17

     7,000        6,966   

Nuveen Investments Inc. 2nd Lien Term Loan, 6.50%, 02/17/19

     2,500        2,470   

Sheridan Investment Partners I LLC Term Loan B-2, 5.00%, 10/05/19

     3,265        3,271   

Sheridan Production Partners II LP Term Loan, 4.25%, 12/16/20

     1,679        1,686   

Sheridan Production Partners II LP Term Loan A, 4.25%, 12/16/20

     234        234   

Sheridan Production Partners II LP Term Loan M, 4.25%, 12/16/20

     87        88   

Other Securities

  

     59,555   
   

 

 

  
    89,309   

HEALTH CARE - 10.3%

  

Axcan Intermediate Holdings Inc. Term Loan B

  

6.00%, 02/11/17

     2,605        2,648   

6.00%, 02/11/17

     2,837        2,884   

Biomet Inc. Incremental Term Loan

  

3.75%, 07/25/17

     2,944        2,961   

3.75%, 07/25/17

     111        112   

3.75%, 07/25/17

     1,967        1,978   

3.75%, 07/25/17

     2,923        2,939   

Emdeon Business Services LLC Term Loan

  

3.75%, 11/17/18

     132        132   

3.75%, 11/17/18

     218        219   

3.75%, 11/17/18

     1,518        1,520   

3.75%, 11/17/18

     959        960   

3.75%, 11/17/18

     4,101        4,107   

Gentiva Health Services Inc. Term Loan B, 6.50%, 10/15/19

     3,500        3,487   

IASIS Healthcare LLC Term Loan B, 4.50%, 02/20/20

     3,923        3,952   

Onex Carestream Finance LP 1st Lien Term Loan, 5.00%, 06/07/19

     5,770        5,838   

Onex Carestream Finance LP Term Loan, 9.50%, 12/05/19

     2,000        2,035   

Sheridan Healthcare Inc. Term Loan

  

8.25%, 06/29/18

     260        260   

8.25%, 12/31/21

     2,000        2,011   

Sheridan Holdings Inc. Incremental Term Loan

  

4.50%, 06/29/18

     316        317   

4.50%, 06/29/18

     2,475        2,480   

Valeant Pharmaceuticals International Inc. Term Loan

    

3.75%, 02/13/19

     5,465        5,495   

3.75%, 12/11/19

     988        994   

Valeant Pharmaceuticals International Inc. Term Loan B, 4.50%, 07/08/20

     3,474        3,495   

Other Securities

  

     107,922   
   

 

 

  
    158,746   

INDUSTRIALS - 12.6%

  

ADS Waste Holdings Inc. Term Loan B, 4.25%, 10/09/19

     5,950        5,976   

AlixPartners LLP Term Loan B-2, 5.00%, 07/01/20

     3,138        3,157   

BakerCorp Replacement Term Loan, 4.25%, 02/20/20

     2,978        2,958   

Berry Plastics Corp. Term Loan D, 3.50%, 02/15/20

     10,932        10,887   

DuPont Performance Coatings Inc. Term Loan, 4.75%, 01/30/20

     9,935        9,997   

Emerald Expositions Holdings Inc. Term Loan, 5.50%, 06/17/20

     1,990        1,995   

FleetPride Inc. 2nd Lien Term Loan, 9.25%, 05/18/20

     2,000        1,902   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Gardner Denver Inc. Dollar Term Loan, 4.25%, 07/31/20

     6,983        6,982   

Hamilton Sundstrand Corp. Term Loan, 4.00%, 12/13/19

     7,818        7,826   

RBS Global Inc. and Rexnord Corp. Term Loan B, 4.00%, 08/23/20

     11,541        11,565   

TransDigm Inc. Term Loan C, 3.75%, 02/28/20

     9,110        9,127   

Other Securities

       121,838   
   

 

 

  
      194,210   

INFORMATION TECHNOLOGY - 10.2%

  

BMC Software Finance Inc. Term Loan, 5.00%, 08/15/20

     11,300        11,353   

CDW LLC Incremental Term Loan, 3.50%, 04/24/20

     1,000        996   

CDW LLC Term Loan, 3.50%, 04/24/20

     8,940        8,903   

Dell Inc. Term Loan B, 4.50%, 09/25/20

     10,000        10,018   

First Data Corp. New Dollar Term Loan, 4.19%, 04/30/17

     3,121        3,124   

First Data Corp. New Term Loan B, 4.19%, 09/24/18

     1,000        1,001   

First Data Corp. Term Loan, 4.21%, 03/24/18

     7,697        7,702   

First Data Corp. Term Loan B-3, 5.20%, 03/24/17

     7        7   

Freescale Semiconductor Inc. Extended Term Loan B, 5.00%, 02/12/20

     5,957        6,014   

Freescale Semiconductor Inc. Term Loan B-5, 5.00%, 01/15/21

     2,993        3,023   

IMS Health Inc. Term Loan B

    

3.75%, 09/01/17

     3,146        3,154   

3.75%, 09/01/17

     3,629        3,639   

3.75%, 09/01/17

     965        967   

Transfirst Holdings Inc. 1st Lien Term Loan B, 6.25%, 12/27/17

     645        645   

Other Securities

       96,844   
   

 

 

  
      157,390   

MATERIALS - 7.1%

  

  

Berry Plastics Corp. Term Loan D, 3.50%, 02/08/20

     5        5   

FMG Resources Pty Ltd. New Term Loan B, 4.25%, 06/30/19

     11,908        12,053   

INEOS US Finance LLC Term Loan B,
4.00%, 05/04/18

     11,398        11,426   

Univar Inc. Term Loan B

    

5.00%, 06/30/17

     333        330   

5.00%, 06/30/17

     —        —   

5.00%, 06/30/17

     7,497        7,429   

5.00%, 06/30/17

     1,881        1,863   

Other Securities

       76,927   
   

 

 

  
      110,033   

TELECOMMUNICATION SERVICES - 5.2%

  

Intelsat Jackson Holdings SA Term Loan B-2, 3.75%, 06/30/19

     9,628        9,693   

Level 3 Communications Inc. Term Loan, 4.00%, 01/14/20

     10,000        10,069   

Telesat Canada US Term Loan B, 4.25%, 03/26/19

     7,919        7,935   

Other Securities

       53,065   
   

 

 

  
      80,762   

UTILITIES - 0.9%

  

  

Calpine Corp. Term Loan, 4.00%, 03/07/18

     5,937        5,971   

Calpine Corp. Term Loan B-1, 3.00%, 05/03/20

     995        985   

Calpine Corp. Term Loan B-2

    

4.50%, 04/01/18

     1,470        1,478   

3.25%, 01/03/22

     995        984   

Calpine Corp. Term Loan B-3, 4.50%, 10/05/19

     494        497   
     Shares/Par (p)     Value  

Other Securities

       4,393   
   

 

 

  
      14,308   
   

 

 

  

Total Variable Rate Senior Loan Interests (cost $1,358,739)

   

     1,363,255   
   

 

 

  

SHORT TERM INVESTMENTS - 6.2%

  

Investment Company - 6.2%

  

  

State Street Institutional Liquid Reserves Fund, 0.06% (h)

     95,049        95,049   
   

 

 

  

Total Short Term Investments (cost $95,049)

  

     95,049   
   

 

 

  

Total Investments - 99.8% (cost $1,532,609)

  

         1,539,543   

Other Assets and Liabilities, Net - 0.2%

  

     3,565   
   

 

 

  

Total Net Assets - 100.0%

     $ 1,543,108   
   

 

 

  

JNL/PPM America High Yield Bond Fund (t) (z) *

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.1%

   

American Airlines Pass-Through Trust, 5.60%, 07/15/20 (r)

   $     14,292      $ 14,524   

Other Securities

       38,890   
   

 

 

  

Total Non-U.S. Government Agency Asset-Backed Securities (cost $51,484)

   

     53,414   
   

 

 

  

CORPORATE BONDS AND NOTES - 83.8%

  

CONSUMER DISCRETIONARY - 22.9%

  

Beazer Homes USA Inc., 7.50%, 09/15/21 (r)

     18,382        19,025   

Caesars Entertainment Operating Co. Inc.

  

  

10.75%, 02/01/16 (e)

     1,000        805   

10.00%, 12/15/18

     2,000        960   

9.00%, 02/15/20

     14,000        13,615   

Delphi Corp.

    

6.13%, 05/15/21 (e)

     9,098        10,087   

5.00%, 02/15/23

     3,756        3,864   

DISH DBS Corp.

    

5.13%, 05/01/20

     9,497        9,521   

5.88%, 07/15/22

     3,909        3,909   

5.00%, 03/15/23

     8,075        7,530   

General Motors Co.

    

3.50%, 10/02/18 (r)

     5,000        5,113   

4.88%, 10/02/23 (e) (r)

     5,000        5,063   

6.25%, 10/02/43 (r)

     4,427        4,599   

KB Home

    

7.00%, 12/15/21 (e)

     10,943        11,408   

7.50%, 09/15/22

     4,421        4,653   

MGM Resorts International

    

11.38%, 03/01/18

     2,000        2,540   

8.63%, 02/01/19 (e)

     5,000        5,862   

6.75%, 10/01/20 (e)

     4,821        5,158   

6.63%, 12/15/21 (e)

     3,342        3,534   

Neiman Marcus Group Ltd. Inc., 8.75%, 10/15/21 (e) (r) (y)

     15,544        16,282   

Shingle Springs Tribal Gaming Authority, 9.75%, 09/01/21 (r)

     12,000        12,960   

Shingle Springs Tribal Gaming Authority Term Loan, 6.25%, 06/11/16 (i)

     3,176        3,188   

Toys R Us Inc., 10.38%, 08/15/17 (e)

     8,286        7,105   

Unitymedia Hessen GmbH & Co. KG

    

7.50%, 03/15/19 (r)

     10,000        10,875   

5.50%, 01/15/23 (r)

     4,000        3,880   

WideOpenWest Finance LLC

    

10.25%, 07/15/19

     7,500        8,325   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

13.38%, 10/15/19

     4,000        4,630   

Other Securities

       408,328   
   

 

 

  
      592,819   

CONSUMER STAPLES - 2.4%

    

Other Securities

       61,518   

ENERGY - 16.2%

    

Alpha Natural Resources Inc.

    

9.75%, 04/15/18 (e)

     10,000        10,600   

6.25%, 06/01/21 (e)

     10,922        9,338   

Arch Coal Inc.

    

8.00%, 01/15/19 (e) (r)

     3,845        3,835   

9.88%, 06/15/19

     6,857        6,103   

7.25%, 06/15/21 (e)

     9,090        6,954   

Caithness Brookhaven LLC, 6.75%, 07/20/26 (f)

     23,570        22,694   

Calumet Specialty Products Partners LP

    

9.63%, 08/01/20 (e)

     1,538        1,726   

7.63%, 01/15/22 (r)

     13,016        13,146   

EP Energy LLC, 9.38%, 05/01/20

     10,967        12,653   

Hercules Offshore Inc.

    

8.75%, 07/15/21 (e) (r)

     6,800        7,582   

7.50%, 10/01/21 (r)

     8,076        8,561   

Penn Virginia Corp.

    

7.25%, 04/15/19 (e)

     2,306        2,364   

8.50%, 05/01/20

     9,254        9,948   

Penn Virginia Resource Partners LP

    

8.25%, 04/15/18 (e)

     9,500        10,070   

8.38%, 06/01/20

     2,929        3,229   

Plains Exploration & Production Co., 6.88%, 02/15/23

     12,000        13,380   

Quicksilver Resources Inc., 11.00%, 07/01/21 (r)

     14,000        15,190   

Rosetta Resources Inc., 5.88%, 06/01/22

     12,341        12,248   

Other Securities

       249,878   
   

 

 

  
      419,499   

FINANCIALS - 7.4%

    

Ally Financial Inc.

    

3.13%, 01/15/16 (e)

     6,667        6,814   

3.50%, 07/18/16

     6,000        6,191   

2.75%, 01/30/17 (e)

     12,000        12,045   

4.75%, 09/10/18

     7,500        7,847   

7.50%, 09/15/20 (e)

     5,000        5,825   

General Electric Capital Corp., 6.25%, (callable at 100 beginning 12/15/22) (i) (m)

     15,001        15,489   

International Lease Finance Corp.

    

8.63%, 09/15/15

     2,988        3,317   

8.25%, 12/15/20 (e)

     3,003        3,514   

8.63%, 01/15/22

     3,000        3,541   

Toys R Us Property Co. I LLC Term Loan, 6.00%, 08/02/16 (i)

     6,538        6,283   

Other Securities

       119,486   
   

 

 

  
      190,352   

HEALTH CARE - 6.0%

    

HCA Holdings Inc., 6.25%, 02/15/21 (e)

     2,678        2,802   

HCA Inc.

    

5.75%, 03/15/14

     3,561        3,593   

6.50%, 02/15/16 (e)

     4,000        4,375   

6.50%, 02/15/20

     6,571        7,220   

7.50%, 02/15/22

     3,000        3,292   

5.88%, 05/01/23 (e)

     6,000        5,925   

Valeant Pharmaceuticals International Inc.

    

6.75%, 08/15/18 (r)

     3,733        4,102   

7.50%, 07/15/21 (r)

     12,586        13,813   

Other Securities

       111,003   
   

 

 

  
      156,125   
     Shares/Par (p)     Value  

INDUSTRIALS - 8.9%

    

Aircastle Ltd.

    

9.75%, 08/01/18

     6,000        6,555   

4.63%, 12/15/18

     5,451        5,492   

6.25%, 12/01/19 (e)

     6,155        6,593   

Algeco Scotsman Global Finance Plc, 10.75%, 10/15/19 (e) (r)

     16,000        16,880   

Algeco Scotsman Global Finance Plc Term Loan, 15.75%, 05/10/18 (i) (y)

     7,648        7,896   

Bombardier Inc.

    

4.25%, 01/15/16 (e) (r)

     3,000        3,135   

7.50%, 03/15/18 (e) (r)

     2,730        3,105   

6.13%, 01/15/23 (r)

     7,604        7,547   

International Lease Finance Corp., 4.63%, 04/15/21

     9,897        9,452   

Meritor Inc., 6.75%, 06/15/21 (e)

     12,718        12,972   

United Continental Holdings Inc.

    

8.00%, 07/15/24 (e)

     3,000        3,009   

6.00%, 07/15/26

     9,222        7,931   

6.00%, 07/15/28

     9,952        8,384   

Other Securities

       130,795   
   

 

 

  
      229,746   

INFORMATION TECHNOLOGY - 3.8%

  

  

Ancestry.com Inc.

    

9.63%, 10/15/18 (q) (y)

     7,456        7,717   

11.00%, 12/15/20

     7,000        8,120   

First Data Corp.

    

11.25%, 03/31/16

     2,511        2,517   

10.63%, 06/15/21 (r)

     2,546        2,759   

11.75%, 08/15/21 (r)

     1,906        2,011   

11.75%, 08/15/21 (r)

     21,462        22,642   

ViaSat Inc., 6.88%, 06/15/20

     19,319        20,430   

Other Securities

       32,422   
   

 

 

  
      98,618   

MATERIALS - 7.9%

    

Boart Longyear Management Pty Ltd., 10.00%, 10/01/18 (r)

     14,312        14,777   

Cemex SAB de CV

    

9.50%, 06/15/18 (r)

     1,552        1,762   

6.50%, 12/10/19 (e) (r)

     9,791        10,114   

7.25%, 01/15/21 (r)

     13,228        13,691   

FMG Resources August 2006 Pty Ltd.

    

8.25%, 11/01/19 (e) (r)

     10,859        12,189   

6.88%, 04/01/22 (e) (r)

     6,500        7,085   

Xstrata Finance Canada Ltd.

    

2.05%, 10/23/15 (r)

     7,447        7,542   

4.25%, 10/25/22 (r)

     5,239        4,988   

Other Securities

       131,769   
   

 

 

  
      203,917   

TELECOMMUNICATION SERVICES - 6.6%

  

Cincinnati Bell Inc.

    

8.75%, 03/15/18 (e)

     4,403        4,623   

8.38%, 10/15/20

     8,000        8,660   

Frontier Communications Corp.

    

8.50%, 04/15/20

     5,718        6,404   

9.25%, 07/01/21

     3,000        3,457   

8.75%, 04/15/22

     1,295        1,437   

7.63%, 04/15/24 (e)

     1,968        1,963   

9.00%, 08/15/31 (e)

     7,429        7,355   

Intelsat Jackson Holdings SA, 6.63%, 12/15/22 (e) (r) (y)

     15,000        15,450   

Sprint Corp., 7.13%, 06/15/24 (r)

     12,000        12,180   

Sprint Nextel Corp.

    

7.00%, 03/01/20 (e) (r)

     2,553        2,847   

11.50%, 11/15/21

     4,000        5,240   

6.00%, 11/15/22 (e)

     6,000        5,850   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

T-Mobile USA Inc.

    

6.54%, 04/28/20 (e)

     3,073        3,273   

6.63%, 04/28/21 (e)

     1,927        2,033   

6.13%, 01/15/22

     4,549        4,629   

6.84%, 04/28/23 (e)

     654        679   

6.50%, 01/15/24

     5,000        5,062   

Verizon Communications Inc.

    

5.15%, 09/15/23

     12,500        13,400   

6.55%, 09/15/43

     10,631        12,397   

Other Securities

       52,502   
   

 

 

  
      169,441   

UTILITIES - 1.7%

    

Other Securities

       43,901   
   

 

 

  

Total Corporate Bonds and Notes (cost $2,105,734)

  

     2,165,936   
   

 

 

  

COMMON STOCKS - 5.3%

  

  

CONSUMER DISCRETIONARY - 0.9%

  

Other Securities

       23,144   

CONSUMER STAPLES - 0.3%

    

Other Securities

       7,460   

ENERGY - 0.6%

    

Other Securities

       15,388   

FINANCIALS - 1.3%

    

Wells Fargo & Co.

     225        10,215   

Other Securities

       22,613   
   

 

 

  
      32,828   

HEALTH CARE - 0.3%

    

Other Securities

       7,081   

INDUSTRIALS - 0.7%

    

Other Securities

       19,678   

INFORMATION TECHNOLOGY - 0.1%

  

Other Securities

       3,671   

MATERIALS - 0.5%

    

Other Securities

       12,838   

TELECOMMUNICATION SERVICES - 0.4%

  

Other Securities

       9,372   

UTILITIES - 0.2%

    

Other Securities

       6,358   
   

 

 

  

Total Common Stocks (cost $109,740)

  

     137,818   
   

 

 

  

PREFERRED STOCKS - 2.8%

    

ENERGY - 0.4%

    

Other Securities

       9,883   

FINANCIALS - 2.4%

    

Ally Financial Inc., 7.00%, (callable at 1,000 beginning 02/10/14) (m) (r)

     1        968   

Wells Fargo & Co., 5.85%, (callable at 25 beginning 09/15/23) (e) (m)

     487        11,479   

Wells Fargo & Co., 6.63%, (callable at 25 beginning 03/15/24) (m)

     867        22,299   

Other Securities

       27,134   
   

 

 

  
      61,880   
   

 

 

  

Total Preferred Stocks (cost $73,762)

  

     71,763   
   

 

 

  
     Shares/Par (p)     Value  

TRUST PREFERREDS - 0.1%

    

FINANCIALS - 0.1%

    

Other Securities

       2,589   
   

 

 

  

Total Trust Preferreds (cost $2,430)

       2,589   
   

 

 

  

INVESTMENT COMPANIES - 0.6%

  

  

Other Securities

       14,900   
   

 

 

  

Total Investment Companies (cost $12,178)

  

     14,900   
   

 

 

  

OTHER EQUITY INTERESTS - 0.8%

  

United Rentals North America Inc., 7.63%, 04/15/22 (u)

     6,372        7,081   

United Rentals North America Inc., 6.13%, 06/15/23 (e) (u)

     5,000        5,075   

Other Securities

       8,746   
   

 

 

  

Total Other Equity Interests (cost $19,612)

  

     20,902   
   

 

 

  

SHORT TERM INVESTMENTS - 14.7%

  

  

Investment Companies - 2.9%

    

JNL Money Market Fund, 0.01% (a) (h)

     76,390        76,390   

Securities Lending Collateral - 11.8%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     305,909        305,909   
   

 

 

  

Total Short Term Investments (cost $382,299)

  

     382,299   
   

 

 

  

Total Investments - 110.2% (cost $2,757,239)

  

         2,849,621   

Other Assets and Liabilities, Net - (10.2%)

 

     (264,286)   
   

 

 

  

Total Net Assets - 100.0%

     $ 2,585,335   
   

 

 

  

JNL/PPM America Mid Cap Value Fund

  

COMMON STOCKS - 99.6%

  

  

CONSUMER DISCRETIONARY - 13.7%

  

  

Bally Technologies Inc. (c)

     38      $ 3,013   

Best Buy Co. Inc.

     112        4,459   

Foot Locker Inc.

     155        6,427   

Macy’s Inc.

     147        7,828   

Meredith Corp.

     119        6,159   

Newell Rubbermaid Inc.

     251        8,122   

Royal Caribbean Cruises Ltd.

     92        4,344   

Viacom Inc. - Class B

     36        3,179   
   

 

 

  
      43,531   

CONSUMER STAPLES - 2.4%

    

Ingredion Inc.

     113        7,757   

ENERGY - 10.0%

    

Diamond Offshore Drilling Inc.

     137        7,781   

Helix Energy Solutions Group Inc. (c)

     246        5,712   

National Oilwell Varco Inc.

     37        2,958   

Patterson-UTI Energy Inc.

     320        8,102   

W&T Offshore Inc. (e)

     467        7,472   
   

 

 

  
      32,025   

FINANCIALS - 18.5%

    

Allstate Corp.

     115        6,245   

American Financial Group Inc.

     134        7,746   

Astoria Financial Corp.

     509        7,041   

FirstMerit Corp.

     277        6,147   

Hartford Financial Services Group Inc.

     213        7,731   

Janus Capital Group Inc.

     699        8,644   

Lincoln National Corp.

     149        7,712   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Reinsurance Group of America Inc.

     102        7,865   
   

 

 

  
      59,131   

HEALTH CARE - 8.5%

    

CIGNA Corp.

     89        7,812   

Hill-Rom Holdings Inc.

     165        6,833   

LifePoint Hospitals Inc. (c)

     118        6,256   

Teleflex Inc.

     65        6,092   
   

 

 

  
      26,993   

INDUSTRIALS - 22.5%

    

Belden Inc.

     52        3,635   

Con-Way Inc.

     156        6,211   

Esterline Technologies Corp. (c)

     87        8,840   

GATX Corp.

     87        4,560   

Kennametal Inc.

     159        8,295   

Lincoln Electric Holdings Inc.

     84        5,957   

SkyWest Inc.

     198        2,930   

Spirit Aerosystems Holdings Inc. - Class A (c)

     235        7,992   

Steelcase Inc. - Class A

     394        6,253   

Terex Corp.

     200        8,415   

Textron Inc.

     233        8,575   
   

 

 

  
      71,663   

INFORMATION TECHNOLOGY - 10.2%

  

  

Applied Materials Inc.

     362        6,407   

Avnet Inc.

     190        8,372   

Fairchild Semiconductor International Inc. (c)

     353        4,717   

Omnivision Technologies Inc. (c)

     299        5,144   

Teradyne Inc. (c)

     451        7,940   
   

 

 

  
      32,580   

MATERIALS - 10.0%

    

Allegheny Technologies Inc.

     100        3,574   

Ashland Inc.

     50        4,842   

Nucor Corp.

     59        3,160   

Olin Corp. (e)

     212        6,122   

Reliance Steel & Aluminum Co.

     103        7,827   

Steel Dynamics Inc.

     321        6,264   
   

 

 

  
      31,789   

UTILITIES - 3.8%

    

Edison International

     126        5,820   

PNM Resources Inc.

     260        6,264   
   

 

 

  
      12,084   
   

 

 

  

Total Common Stocks (cost $248,570)

       317,553   
   

 

 

  

SHORT TERM INVESTMENTS - 2.8%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     2,518        2,518   

Securities Lending Collateral - 2.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     6,311        6,311   
   

 

 

  

Total Short Term Investments (cost $8,829)

  

     8,829   
   

 

 

  

Total Investments - 102.4% (cost $257,399)

  

         326,382   

Other Assets and Liabilities, Net - (2.4%)

 

     (7,576 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 318,806   
   

 

 

  

JNL/PPM America Small Cap Value Fund

  

COMMON STOCKS - 99.7%

    

CONSUMER DISCRETIONARY - 15.8%

  

Bally Technologies Inc. (c)

     58      $ 4,519   

Bob Evans Farms Inc.

     90        4,558   
     Shares/Par (p)     Value  

Columbia Sportswear Co. (e)

     68        5,316   

Foot Locker Inc.

     126        5,209   

Jakks Pacific Inc. (e)

     334        2,244   

Meredith Corp.

     104        5,403   

Skechers U.S.A. Inc. - Class A (c)

     60        1,981   

Superior Industries International Inc.

     242        4,996   
   

 

 

  
      34,226   

CONSUMER STAPLES - 4.9%

    

Cott Corp.

     667        5,372   

Ingredion Inc.

     76        5,203   
   

 

 

  
      10,575   

ENERGY - 9.4%

    

Helix Energy Solutions Group Inc. (c)

     225        5,216   

Hercules Offshore Inc. (c)

     837        5,462   

Patterson-UTI Energy Inc.

     170        4,294   

W&T Offshore Inc.

     329        5,258   
   

 

 

  
      20,230   

FINANCIALS - 13.4%

    

American Financial Group Inc.

     70        4,023   

Astoria Financial Corp.

     386        5,333   

FirstMerit Corp.

     242        5,369   

Independent Bank Corp.

     135        5,271   

Janus Capital Group Inc.

     457        5,654   

Reinsurance Group of America Inc.

     41        3,197   
   

 

 

  
      28,847   

HEALTH CARE - 9.2%

    

Greatbatch Inc. (c)

     126        5,578   

Hill-Rom Holdings Inc.

     120        4,969   

LifePoint Hospitals Inc. (c)

     96        5,057   

Teleflex Inc.

     46        4,299   
   

 

 

  
      19,903   

INDUSTRIALS - 25.9%

    

Apogee Enterprises Inc.

     59        2,133   

Belden Inc.

     76        5,382   

Con-Way Inc.

     135        5,369   

Esterline Technologies Corp. (c)

     54        5,547   

GATX Corp.

     73        3,829   

GenCorp Inc. (c) (e)

     276        4,970   

Kennametal Inc.

     105        5,441   

Lincoln Electric Holdings Inc.

     28        2,019   

SkyWest Inc.

     340        5,035   

Spirit Aerosystems Holdings Inc. - Class A (c)

     157        5,344   

Steelcase Inc. - Class A

     338        5,354   

Terex Corp.

     130        5,459   
   

 

 

  
      55,882   

INFORMATION TECHNOLOGY - 11.6%

  

Benchmark Electronics Inc. (c)

     235        5,419   

Fairchild Semiconductor International Inc. (c)

     246        3,279   

Omnivision Technologies Inc. (c)

     321        5,516   

SYNNEX Corp. (c)

     79        5,352   

Teradyne Inc. (c)

     310        5,464   
   

 

 

  
      25,030   

MATERIALS - 7.5%

    

Allegheny Technologies Inc.

     90        3,196   

Olin Corp. (e)

     186        5,372   

Reliance Steel & Aluminum Co.

     47        3,564   

Steel Dynamics Inc.

     212        4,133   
   

 

 

  
      16,265   

UTILITIES - 2.0%

    

PNM Resources Inc.

     178        4,298   
   

 

 

  

Total Common Stocks (cost $175,847)

       215,256   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SHORT TERM INVESTMENTS - 9.3%

  

Investment Companies - 2.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     6,049        6,049   

Securities Lending Collateral - 6.5%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     14,019        14,019   
   

 

 

  

Total Short Term Investments (cost $20,068)

  

     20,068   
   

 

 

  

Total Investments - 109.0% (cost $195,915)

  

         235,324   

Other Assets and Liabilities, Net - (9.0%)

 

     (19,505)   
   

 

 

  

Total Net Assets - 100.0%

     $ 215,819   
   

 

 

  

JNL/PPM America Value Equity Fund

  

COMMON STOCKS - 100.0%

    

CONSUMER DISCRETIONARY - 12.4%

  

  

Best Buy Co. Inc.

     59      $ 2,353   

Comcast Corp. - Class A

     71        3,679   

General Motors Co. (c)

     64        2,632   

Macy’s Inc.

     84        4,485   

Newell Rubbermaid Inc.

     111        3,604   

Royal Caribbean Cruises Ltd.

     38        1,821   

Viacom Inc. - Class B

     43        3,712   
   

 

 

  
      22,286   

CONSUMER STAPLES - 5.8%

  

Altria Group Inc.

     93        3,559   

Archer-Daniels-Midland Co.

     96        4,171   

CVS Caremark Corp.

     38        2,712   
   

 

 

  
      10,442   

ENERGY - 13.2%

    

Apache Corp.

     50        4,297   

Chevron Corp.

     35        4,410   

Diamond Offshore Drilling Inc.

     71        4,041   

National Oilwell Varco Inc.

     51        4,072   

Occidental Petroleum Corp.

     47        4,460   

Patterson-UTI Energy Inc.

     96        2,438   
   

 

 

  
      23,718   

FINANCIALS - 24.4%

    

Allstate Corp.

     59        3,191   

Bank of America Corp.

     139        2,166   

Goldman Sachs Group Inc.

     26        4,556   

Hartford Financial Services Group Inc.

     122        4,427   

JPMorgan Chase & Co.

     78        4,561   

Lincoln National Corp.

     86        4,413   

Morgan Stanley

     142        4,450   

PNC Financial Services Group Inc.

     50        3,895   

Travelers Cos. Inc.

     45        4,092   

U.S. Bancorp

     90        3,624   

Wells Fargo & Co.

     99        4,495   
   

 

 

  
      43,870   

HEALTH CARE - 10.8%

    

CIGNA Corp.

     51        4,461   

Johnson & Johnson

     19        1,704   

Medtronic Inc.

     77        4,419   

Merck & Co. Inc.

     89        4,474   

Pfizer Inc.

     144        4,411   
   

 

 

  
      19,469   

INDUSTRIALS - 9.8%

    

Caterpillar Inc.

     51        4,586   

Lockheed Martin Corp.

     31        4,668   
     Shares/Par (p)     Value  

Spirit Aerosystems Holdings Inc. - Class A (c)

     70        2,396   

Terex Corp.

     48        2,003   

Textron Inc.

     110        4,036   
   

 

 

  
      17,689   

INFORMATION TECHNOLOGY - 15.9%

  

  

Apple Inc.

     8        4,321   

Applied Materials Inc.

     205        3,623   

Avnet Inc.

     51        2,258   

Hewlett-Packard Co.

     128        3,590   

Intel Corp.

     177        4,582   

International Business Machines Corp.

     15        2,738   

Microsoft Corp.

     118        4,417   

Texas Instruments Inc.

     69        3,008   
   

 

 

  
      28,537   

MATERIALS - 4.2%

    

Allegheny Technologies Inc.

     77        2,740   

Ashland Inc.

     19        1,873   

Nucor Corp.

     57        3,042   
   

 

 

  
      7,655   

TELECOMMUNICATION SERVICES - 2.0%

  

AT&T Inc.

     102        3,590   

UTILITIES - 1.5%

    

Edison International

     57        2,639   
   

 

 

  

Total Common Stocks (cost $132,134)

       179,895   
   

 

 

  

SHORT TERM INVESTMENTS - 0.5%

  

Investment Companies - 0.5%

    

JNL Money Market Fund, 0.01% (a) (h)

     926        926   
   

 

 

  

Total Short Term Investments (cost $926)

  

     926   
   

 

 

  

Total Investments - 100.5% (cost $133,060)

  

         180,821   

Other Assets and Liabilities, Net - (0.5%)

  

     (983)   
   

 

 

  

Total Net Assets - 100.0%

     $ 179,838   
   

 

 

  

JNL/Red Rocks Listed Private Equity Fund

  

COMMON STOCKS - 99.1%

    

DIVERSIFIED - 19.2%

    

Holding Companies - Diversified - 19.2%

  

  

Ackermans & van Haaren NV

     219      $ 25,615   

Aker ASA (e)

     522        19,103   

Compagnie Industriali Riunite SpA

(c)

     7,011        11,034   

Compass Diversified Holdings

     487        9,565   

Danaher Corp.

     218        16,853   

Grand Parade Investments Ltd.

     669        302   

Remgro Ltd.

     575        11,406   

Schouw & Co.

     737        30,118   

Wendel Investissement

     238        34,639   
   

 

 

  
      158,635   

FINANCIALS - 79.9%

    

Closed - End Funds - 25.7%

    

AP Alternative Assets LP

     485        13,710   

Castle Private Equity Ltd.

     686        9,196   

Electra Private Equity Plc (c)

     891        35,102   

HarbourVest Global Private Equity Ltd. - Class A

     3,280        33,620   

HBM Healthcare Investments AG - Class A

     194        14,408   

HgCapital Trust Plc

     1,549        25,911   

Pantheon International LLC (c)

     556        9,484   

Pantheon International LLC - Redeemable Shares (c)

     400        6,703   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Princess Private Equity Holding Ltd.

     641        5,556   

Standard Life European Private Equity Trust Plc

     4,607        15,564   

SVG Capital Plc (c)

     6,034        43,197   
   

 

 

  
      212,451   

Diversified Financial Services - 17.2%

  

Blackstone Group LP

     1,454        45,801   

Intermediate Capital Group Plc

     2,734        19,064   

KKR & Co. LP

     1,688        41,094   

Onex Corp.

     670        36,146   
   

 

 

  
      142,105   

Investment Companies - 8.1%

    

Better Capital PCC Ltd.

     4,261        10,778   

Hosken Consolidated Investments Ltd.

     1,183        15,788   

Investor AB

     928        31,982   

Oaktree Capital Group LLC - Class A

     145        8,519   
   

 

 

  
      67,067   

Real Estate - 0.9%

    

Brookfield Asset Management Inc. - Class A

     200        7,766   

Venture Capital - 28.0%

    

Altamir Amboise

     1,923        27,299   

American Capital Ltd. (c)

     1,135        17,748   

Apollo Global Management LLC - Class A

     1,157        36,571   

Aurelius AG

     1,021        41,484   

Capital Southwest Corp. (e)

     32        1,116   

Carlyle Group LP

     1,042        37,134   

Eurazeo

     560        43,932   

IP Group Plc (c)

     2,553        7,189   

Ratos AB

     2,068        18,702   
   

 

 

  
      231,175   
   

 

 

  

Total Common Stocks (cost $566,112)

  

     819,199   
   

 

 

  

SHORT TERM INVESTMENTS - 0.8%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     6,238        6,238   

Securities Lending Collateral - 0.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     119        119   
   

 

 

  

Total Short Term Investments (cost $6,357)

  

     6,357   
   

 

 

  

Total Investments - 99.9% (cost $572,469)

  

            825,556   

Other Assets and Liabilities, Net - 0.1%

  

     1,141   
   

 

 

  

Total Net Assets - 100.0%

     $ 826,697   
   

 

 

  

JNL/S&P Competitive Advantage Fund

  

COMMON STOCKS - 99.7%

    

CONSUMER DISCRETIONARY - 38.5%

  

Bed Bath & Beyond Inc. (c)

     715      $ 57,416   

Best Buy Co. Inc.

     1,349        53,793   

Chipotle Mexican Grill Inc. - Class A (c)

     106        56,653   

Coach Inc.

     985        55,272   

Delphi Automotive Plc

     965        58,029   

Family Dollar Stores Inc.

     799        51,937   

Fossil Group Inc. (c)

     446        53,459   

Gap Inc.

     1,333        52,084   

Michael Kors Holdings Ltd. (c)

     678        55,026   

PetSmart Inc.

     769        55,950   

Ross Stores Inc.

     742        55,590   

TJX Cos. Inc.

     889        56,680   
   

 

 

  
      661,889   

CONSUMER STAPLES - 7.3%

  

Campbell Soup Co. (e)

     1,444        62,493   
     Shares/Par (p)     Value  

Monster Beverage Corp. (c)

     937        63,503   
   

 

 

  
      125,996   

INDUSTRIALS - 19.8%

    

Boeing Co.

     416        56,740   

CH Robinson Worldwide Inc. (e)

     948        55,280   

Fastenal Co. (e)

     1,184        56,247   

Robert Half International Inc.

     1,442        60,555   

Rockwell Collins Inc.

     768        56,739   

WW Grainger Inc.

     215        54,791   
   

 

 

  
      340,352   

INFORMATION TECHNOLOGY - 24.1%

  

  

Apple Inc.

     101        56,772   

International Business Machines Corp.

     314        58,941   

Intuit Inc.

     751        57,341   

Linear Technology Corp. (e)

     1,313        59,826   

MasterCard Inc. - Class A

     74        61,618   

Paychex Inc.

     1,279        58,252   

Seagate Technology

     1,119        62,836   
   

 

 

  
      415,586   

MATERIALS - 10.0%

    

FMC Corp.

     766        57,800   

LyondellBasell Industries NV - Class A

     716        57,513   

Sherwin-Williams Co.

     308        56,499   
   

 

 

  
      171,812   
   

 

 

  

Total Common Stocks (cost $1,491,853)

  

     1,715,635   
   

 

 

  

SHORT TERM INVESTMENTS - 2.9%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     14,536        14,536   

Securities Lending Collateral - 2.1%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     36,639        36,639   
   

 

 

  

Total Short Term Investments (cost $51,175)

  

     51,175   
   

 

 

  

Total Investments - 102.6% (cost $1,543,028)

  

         1,766,810   

Other Assets and Liabilities, Net - (2.6%)

 

     (45,559)   
   

 

 

  

Total Net Assets - 100.0%

     $ 1,721,251   
   

 

 

  

JNL/S&P Dividend Income & Growth Fund

  

COMMON STOCKS - 99.5%

    

CONSUMER DISCRETIONARY - 9.9%

  

Mattel Inc.

     2,080      $ 98,959   

McDonald’s Corp.

     987        95,771   

Target Corp.

     1,505        95,230   
   

 

 

  
      289,960   

CONSUMER STAPLES - 10.4%

  

  

Campbell Soup Co.

     2,466        106,730   

Clorox Co. (e)

     1,029        95,494   

Sysco Corp.

     2,831        102,206   
   

 

 

  
      304,430   

ENERGY - 9.7%

    

Chevron Corp.

     779        97,258   

ConocoPhillips

     1,310        92,518   

Occidental Petroleum Corp.

     1,003        95,365   
   

 

 

  
      285,141   

FINANCIALS - 9.5%

    

HCP Inc.

     2,621        95,206   

Kimco Realty Corp.

     4,570        90,255   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Public Storage

     618        93,092   
   

 

 

  
      278,553   

HEALTH CARE - 9.6%

    

Baxter International Inc.

     1,397        97,184   

Johnson & Johnson

     1,008        92,291   

Pfizer Inc.

     2,985        91,433   
   

 

 

  
      280,908   

INDUSTRIALS - 10.4%

    

Caterpillar Inc.

     1,130        102,660   

General Electric Co.

     3,573        100,147   

Lockheed Martin Corp.

     680        101,096   
   

 

 

  
      303,903   

INFORMATION TECHNOLOGY - 10.2%

  

Cisco Systems Inc.

     4,516        101,395   

Intel Corp.

     4,019        104,327   

Microsoft Corp.

     2,471        92,488   
   

 

 

  
      298,210   

MATERIALS - 10.2%

    

Air Products & Chemicals Inc.

     882        98,595   

E.I. du Pont de Nemours & Co.

     1,539        99,975   

Praxair Inc.

     763        99,260   
   

 

 

  
      297,830   

TELECOMMUNICATION SERVICES - 9.9%

  

AT&T Inc.

     2,737        96,243   

CenturyLink Inc.

     3,144        100,123   

Verizon Communications Inc.

     1,917        94,186   
   

 

 

  
      290,552   

UTILITIES - 9.7%

    

Consolidated Edison Inc.

     1,729        95,604   

Public Service Enterprise Group Inc.

     2,889        92,567   

Southern Co.

     2,338        96,122   
   

 

 

  
      284,293   
   

 

 

  

Total Common Stocks (cost $2,680,594)

       2,913,780   
   

 

 

  

SHORT TERM INVESTMENTS - 1.5%

  

Investment Companies - 0.4%

    

JNL Money Market Fund, 0.01% (a) (h)

     10,767        10,767   

Securities Lending Collateral - 1.1%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     33,803        33,803   
   

 

 

  

Total Short Term Investments (cost $44,570)

  

     44,570   
   

 

 

  

Total Investments - 101.0% (cost $2,725,164)

  

     2,958,350   

Other Assets and Liabilities, Net - (1.0%)

 

     (28,976)   
   

 

 

  

Total Net Assets - 100.0%

     $     2,929,374   
   

 

 

  

JNL/S&P Intrinsic Value Fund

  

COMMON STOCKS - 99.5%

    

CONSUMER DISCRETIONARY - 20.1%

  

Comcast Corp. - Class A

     1,059      $ 55,021   

International Game Technology

     3,001        54,503   

Kohl’s Corp.

     942        53,474   

Macy’s Inc.

     992        52,966   

Staples Inc. (e)

     3,340        53,075   

Viacom Inc. - Class B

     640        55,875   
   

 

 

  
      324,914   

CONSUMER STAPLES - 3.3%

    

Tyson Foods Inc. - Class A

     1,626        54,411   
     Shares/Par (p)     Value  

HEALTH CARE - 16.0%

    

Express Scripts Holding Co. (c)

     776        54,499   

Humana Inc.

     491        50,711   

Pfizer Inc.

     1,625        49,759   

UnitedHealth Group Inc.

     697        52,502   

WellPoint Inc.

     551        50,867   
   

 

 

  
      258,338   

INDUSTRIALS - 19.9%

    

Boeing Co.

     385        52,602   

Caterpillar Inc.

     614        55,729   

Dun & Bradstreet Corp.

     443        54,434   

L-3 Communications Holdings Inc.

     504        53,859   

Northrop Grumman Systems Corp.

     465        53,308   

Southwest Airlines Co.

     2,795        52,655   
   

 

 

  
      322,587   

INFORMATION TECHNOLOGY - 30.4%

  

Apple Inc.

     94        52,944   

CA Inc.

     1,582        53,246   

EMC Corp.

     2,180        54,823   

Harris Corp.

     812        56,689   

Hewlett-Packard Co.

     1,904        53,266   

Intel Corp.

     2,194        56,963   

NetApp Inc.

     1,261        51,883   

Oracle Corp.

     1,482        56,720   

Xerox Corp.

     4,507        54,846   
   

 

 

  
      491,380   

TELECOMMUNICATION SERVICES - 6.6%

  

AT&T Inc.

     1,486        52,241   

CenturyLink Inc.

     1,706        54,348   
   

 

 

  
      106,589   

UTILITIES - 3.2%

    

AES Corp.

     3,573        51,850   
   

 

 

  

Total Common Stocks (cost $1,434,860)

       1,610,069   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

Investment Companies - 1.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     15,783        15,783   

Securities Lending Collateral - 2.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     32,271        32,271   
   

 

 

  

Total Short Term Investments (cost $48,054)

  

     48,054   
   

 

 

  

Total Investments - 102.5% (cost $1,482,914)

  

     1,658,123   

Other Assets and Liabilities, Net - (2.5%)

 

     (41,129)   
   

 

 

  

Total Net Assets - 100.0%

     $     1,616,994   
   

 

 

  

JNL/S&P Total Yield Fund

  

COMMON STOCKS - 99.8%

    

CONSUMER DISCRETIONARY - 19.5%

  

Best Buy Co. Inc.

     915      $ 36,472   

DIRECTV (c)

     564        38,958   

Gap Inc.

     908        35,481   

Harman International Industries Inc.

     467        38,192   

Newell Rubbermaid Inc.

     1,262        40,898   

Target Corp.

     599        37,893   
   

 

 

  
      227,894   

CONSUMER STAPLES - 13.1%

    

Clorox Co.

     406        37,663   

Coca-Cola Enterprises Inc.

     892        39,351   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Molson Coors Brewing Co.

     718        40,330   

Safeway Inc.

     1,091        35,546   
   

 

 

  
      152,890   

ENERGY - 3.3%

    

Hess Corp.

     467        38,721   

FINANCIALS - 20.5%

    

Capital One Financial Corp.

     524        40,105   

CBRE Group Inc. - Class A (c)

     1,547        40,682   

Goldman Sachs Group Inc.

     221        39,236   

Legg Mason Inc. (e)

     947        41,170   

Torchmark Corp.

     493        38,545   

Unum Group

     1,123        39,384   
   

 

 

  
      239,122   

HEALTH CARE - 5.8%

    

Laboratory Corp. of America Holdings (c)

     377        34,460   

Quest Diagnostics Inc. (e)

     621        33,274   
   

 

 

  
      67,734   

INDUSTRIALS - 17.1%

    

Avery Dennison Corp.

     765        38,381   

General Electric Co.

     1,416        39,684   

Iron Mountain Inc.

     1,347        40,881   

L-3 Communications Holdings Inc.

     364        38,904   

Textron Inc.

     1,140        41,890   
   

 

 

  
      199,740   

INFORMATION TECHNOLOGY - 17.1%

  

Computer Sciences Corp.

     716        39,991   

Harris Corp.

     589        41,143   

Hewlett-Packard Co.

     1,382        38,658   

Nvidia Corp.

     2,385        38,214   

Yahoo! Inc. (c)

     1,020        41,240   
   

 

 

  
      199,246   

TELECOMMUNICATION SERVICES - 3.4%

  

CenturyLink Inc.

     1,246        39,675   
   

 

 

  

Total Common Stocks (cost $1,074,222)

  

     1,165,022   
   

 

 

  

SHORT TERM INVESTMENTS - 5.1%

  

Investment Companies - 0.9%

    

JNL Money Market Fund, 0.01% (a) (h)

     10,090        10,090   

Securities Lending Collateral - 4.2%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     49,493        49,493   
   

 

 

  

Total Short Term Investments (cost $59,583)

  

     59,583   
   

 

 

  

Total Investments - 104.9% (cost $1,133,805)

  

         1,224,605   

Other Assets and Liabilities, Net - (4.9%)

 

     (56,950)   
   

 

 

  

Total Net Assets - 100.0%

  

   $ 1,167,655   
   

 

 

  

JNL/T. Rowe Price Established Growth Fund (z) *

  

COMMON STOCKS - 98.3%

    

CONSUMER DISCRETIONARY - 27.3%

  

Amazon.com Inc. (c)

     573      $ 228,546   

AutoZone Inc. (c)

     75        35,941   

Chipotle Mexican Grill Inc. - Class A (c)

     98        52,266   

Home Depot Inc.

     983        80,957   

Las Vegas Sands Corp.

     672        52,969   

Lowe’s Cos. Inc.

     792        39,219   

Netflix Inc. (c)

     117        43,039   
     Shares/Par (p)     Value  

Priceline.com Inc. (c)

     112        129,975   

Starbucks Corp.

     977        76,603   

Starwood Hotels & Resorts Worldwide Inc.

     379        30,127   

Tractor Supply Co.

     407        31,575   

Twenty-First Century Fox Inc. - Class A

     748        26,297   

Under Armour Inc. - Class A (c) (e)

     305        26,626   

Walt Disney Co.

     356        27,206   

Other Securities

       316,005   
   

 

 

  
      1,197,351   

CONSUMER STAPLES - 4.1%

    

Costco Wholesale Corp.

     242        28,777   

CVS Caremark Corp.

     631        45,175   

Whole Foods Market Inc.

     648        37,488   

Other Securities

       68,303   
   

 

 

  
      179,743   

ENERGY - 4.7%

    

Cabot Oil & Gas Corp. - Class A

     677        26,256   

Pioneer Natural Resources Co.

     251        46,165   

Range Resources Corp.

     405        34,137   

Other Securities

       99,058   
   

 

 

  
      205,616   

FINANCIALS - 5.5%

    

American Express Co.

     511        46,381   

American Tower Corp.

     1,004        80,164   

Other Securities

       113,260   
   

 

 

  
      239,805   

HEALTH CARE - 11.5%

    

Alexion Pharmaceuticals Inc. (c)

     191        25,388   

Biogen Idec Inc. (c)

     276        77,183   

Celgene Corp. (c)

     284        47,968   

Gilead Sciences Inc. (c)

     1,607        120,732   

McKesson Corp.

     463        74,760   

Valeant Pharmaceuticals International Inc. (c)

     331        38,906   

Other Securities

       121,041   
   

 

 

  
      505,978   

INDUSTRIALS - 12.2%

    

Boeing Co.

     506        68,996   

Danaher Corp.

     1,259        97,172   

Fastenal Co.

     913        43,353   

Kansas City Southern

     407        50,374   

Precision Castparts Corp.

     350        94,336   

Roper Industries Inc.

     310        42,935   

United Parcel Service Inc. - Class B

     294        30,915   

Other Securities

       108,124   
   

 

 

  
      536,205   

INFORMATION TECHNOLOGY - 26.4%

  

Apple Inc.

     223        124,958   

Baidu.com - ADR - Class A (c)

     300        53,293   

Cognizant Technology Solutions Corp. - Class A (c)

     386        38,948   

eBay Inc. (c)

     965        52,941   

Google Inc. - Class A (c)

     239        267,738   

LinkedIn Corp. (c)

     137        29,662   

MasterCard Inc. - Class A

     159        132,420   

NHN Corp.

     37        25,813   

QUALCOMM Inc.

     745        55,331   

Salesforce.com Inc. (c)

     883        48,722   

Visa Inc. - Class A

     549        122,185   

Other Securities

       205,156   
   

 

 

  
      1,157,167   

MATERIALS - 3.4%

    

Ecolab Inc.

     430        44,805   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Praxair Inc.

     271        35,199   

Sherwin-Williams Co.

     224        41,067   

Other Securities

       28,172   
   

 

 

  
      149,243   

TELECOMMUNICATION SERVICES - 3.2%

  

Crown Castle International Corp. (c)

     1,348        98,961   

Other Securities

       40,053   
   

 

 

  
      139,014   
   

 

 

  

Total Common Stocks (cost $2,849,773)

  

     4,310,122   
   

 

 

  

PREFERRED STOCKS - 0.0%

    

INFORMATION TECHNOLOGY - 0.0%

  

Other Securities

       97   
   

 

 

  

Total Preferred Stocks (cost $1,185)

  

     97   
   

 

 

  

SHORT TERM INVESTMENTS - 3.2%

  

Investment Companies - 1.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     2,001        2,001   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     76,729        76,729   
   

 

 

  
      78,730   

Securities Lending Collateral - 1.4%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     59,770        59,770   
   

 

 

  

Total Short Term Investments (cost $138,500)

  

     138,500   
   

 

 

  

Total Investments - 101.5% (cost $2,989,458)

  

         4,448,719   

Other Assets and Liabilities, Net - (1.5%)

 

     (66,678)   
   

 

 

  

Total Net Assets - 100.0%

  

   $ 4,382,041   
   

 

 

  

JNL/T. Rowe Price Mid-Cap Growth Fund (z) *

  

COMMON STOCKS - 94.7%

    

CONSUMER DISCRETIONARY - 16.6%

  

AutoZone Inc. (c)

     55      $ 26,287   

Carmax Inc. (c)

     793        37,287   

Charter Communications Inc. - Class A (c)

     192        26,258   

Dollar General Corp. (c)

     492        29,677   

Dollar Tree Inc. (c)

     355        20,029   

Marriott International Inc. - Class A

     437        21,570   

Norwegian Cruise Line Holdings Ltd. (c)

     603        21,388   

O’Reilly Automotive Inc. (c)

     192        24,712   

Other Securities

       219,821   
   

 

 

  
      427,029   

CONSUMER STAPLES - 3.3%

    

Other Securities

       84,777   

ENERGY - 5.7%

    

EQT Corp.

     383        34,386   

Range Resources Corp.

     356        30,014   

SM Energy Co.

     386        32,081   

Other Securities

       49,216   
   

 

 

  
      145,697   

FINANCIALS - 7.5%

    

CBOE Holdings Inc.

     418        21,719   

Fidelity National Financial Inc. - Class A

     1,037        33,651   

HCC Insurance Holdings Inc.

     437        20,163   

TD Ameritrade Holding Corp.

     770        23,593   
     Shares/Par (p)     Value  

Other Securities

       93,391   
   

 

 

  
      192,517   

HEALTH CARE - 17.3%

    

Agilent Technologies Inc.

     463        26,479   

Alkermes Plc (c)

     573        23,298   

CareFusion Corp. (c)

     684        27,237   

Covance Inc. (c)

     329        28,972   

Dentsply International Inc.

     656        31,803   

Henry Schein Inc. (c)

     219        25,023   

Idexx Laboratories Inc. (c)

     232        24,678   

Laboratory Corp. of America Holdings (c)

     277        25,309   

Other Securities

       229,678   
   

 

 

  
      442,477   

INDUSTRIALS - 21.4%

    

AMETEK Inc.

     546        28,758   

Babcock & Wilcox Co. (e)

     901        30,805   

DigitalGlobe Inc. (c)

     536        22,056   

Equifax Inc.

     328        22,662   

Fastenal Co.

     575        27,318   

Hertz Global Holdings Inc. (c)

     824        23,583   

IDEX Corp.

     501        36,999   

IHS Inc. - Class A (c)

     350        41,895   

Kansas City Southern

     164        20,308   

Manpower Inc.

     326        27,990   

Pall Corp.

     421        35,932   

Quanta Services Inc. (c)

     955        30,140   

Roper Industries Inc.

     219        30,371   

Textron Inc.

     1,093        40,179   

Verisk Analytics Inc. - Class A (c)

     314        20,636   

Other Securities

       109,167   
   

 

 

  
      548,799   

INFORMATION TECHNOLOGY - 18.6%

  

Akamai Technologies Inc. (c)

     546        25,760   

Concur Technologies Inc. (c) (e)

     192        19,810   

FactSet Research Systems Inc. (e)

     219        23,779   

Fiserv Inc. (c)

     766        45,232   

Gartner Inc. - Class A (c)

     437        31,049   

JDS Uniphase Corp. (c)

     1,638        21,261   

Motorola Solutions Inc.

     392        26,460   

Red Hat Inc. (c)

     569        31,887   

Vantiv Inc. - Class A (c)

     629        20,512   

VeriSign Inc. (c)

     464        27,738   

Xilinx Inc.

     440        20,205   

Other Securities

       183,928   
   

 

 

  
      477,621   

MATERIALS - 3.7%

    

Rockwood Holdings Inc.

     365        26,251   

Other Securities

       69,059   
   

 

 

  
      95,310   

UTILITIES - 0.6%

    

Other Securities

       15,881   
   

 

 

  

Total Common Stocks (cost $1,657,962)

       2,430,108   
   

 

 

  

PREFERRED STOCKS - 0.3%

    

CONSUMER DISCRETIONARY - 0.0%

  

Other Securities

       431   

INFORMATION TECHNOLOGY - 0.3%

  

Other Securities

       7,900   
   

 

 

  

Total Preferred Stocks (cost $10,310)

  

     8,331   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SHORT TERM INVESTMENTS - 8.8%

  

Investment Companies - 5.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     1,000        1,000   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

         127,000        127,000   
   

 

 

  
      128,000   

Securities Lending Collateral - 3.8%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     95,951        95,951   

Treasury Securities - 0.0%

    

Other Securities

       150   
   

 

 

  

Total Short Term Investments (cost $224,101)

  

     224,101   
   

 

 

  

Total Investments - 103.8% (cost $1,892,373)

  

         2,662,540   

Other Assets and Liabilities, Net - (3.8%)

 

     (97,068)   
   

 

 

  

Total Net Assets - 100.0%

     $ 2,565,472   
   

 

 

  

JNL/T. Rowe Price Short-Term Bond Fund (z) *

  

NON-U.S. GOVERNMENT AGENCY

ASSET-BACKED SECURITIES - 19.7%

  

  

Ally Master Owner Trust

    

0.97%, 02/15/17 (i)

   $ 8,000      $ 8,032   

1.00%, 02/15/18

     580        580   

American Express Credit Account Master Trust

    

0.34%, 04/17/17 (i)

     3,185        3,187   

0.99%, 03/15/18

     2,840        2,849   

1.29%, 03/15/18 (r)

     3,245        3,267   

1.07%, 05/15/18 (r)

     770        772   

Banc of America Commercial Mortgage Trust REMIC

    

5.73%, 05/10/45 (i)

     6,510        7,100   

5.37%, 09/10/45 (i)

     3,260        3,498   

5.63%, 07/10/46

     1,860        2,016   

Banc of America Merill Lynch Commercial Mortgage Inc. REMIC

    

4.63%, 12/10/42

     680        685   

4.62%, 07/10/43

     3,200        3,254   

4.67%, 07/10/43

     7,804        8,163   

Bear Stearns Commercial Mortgage Securities Trust

    

5.20%, 01/12/41

     237        237   

REMIC, 5.20%, 12/11/38

     4,560        4,981   

REMIC, 4.72%, 02/11/41

     36        36   

REMIC, 4.67%, 06/11/41

     1,033        1,074   

REMIC, 5.54%, 09/11/41

     1,280        1,396   

REMIC, 5.54%, 10/12/41

     1,854        2,026   

REMIC, 5.75%, 09/11/42

     2,076        2,155   

REMIC, 5.70%, 06/11/50

     714        737   

Capital Auto Receivables Asset Trust

    

0.79%, 06/20/17

     4,790        4,784   

1.09%, 03/20/18

     6,860        6,834   

CarMax Auto Owner Trust

    

3.75%, 12/15/15

     660        663   

4.88%, 08/15/16

     420        422   

0.89%, 09/15/16

     1,461        1,465   

0.84%, 03/15/17

     3,040        3,051   

0.52%, 07/17/17

     3,095        3,093   

Ford Credit Auto Lease Trust

    

1.01%, 05/15/16

     2,130        2,131   

1.28%, 06/15/16

     1,565        1,566   

1.23%, 11/15/16

     2,010        2,009   

1.51%, 08/15/17

     1,375        1,374   
     Shares/Par (p)     Value  

REMIC, 1.10%, 12/15/15 (r)

     735        737   

REMIC, 1.50%, 03/15/17 (r)

     910        913   

Ford Credit Auto Owner Trust, 4.05%, 10/15/16

     645        658   

Ford Credit Floorplan Master Owner Trust

    

0.74%, 09/15/16

     3,945        3,950   

4.20%, 02/15/17 (r)

     3,120        3,245   

4.99%, 02/15/17 (r)

     2,230        2,316   

GE Dealer Floorplan Master Note Trust

    

0.61%, 10/20/17 (i)

     5,265        5,269   

0.57%, 04/20/18 (i)

     4,635        4,638   

HSBC Home Equity Loan Trust REMIC, 0.32%, 03/20/36 (i)

     940        918   

Hyundai Auto Receivables Trust

    

0.73%, 06/15/18

     4,305        4,291   

0.75%, 09/17/18

     3,900        3,876   

JPMorgan Chase Commercial Mortgage Securities Corp. REMIC

    

4.68%, 07/15/42

     361        367   

5.00%, 08/15/42 (i)

     2,421        2,562   

5.48%, 12/12/44 (i)

     1,700        1,814   

1.03%, 05/15/45

     364        364   

JPMorgan Mortgage Trust REMIC, 2.76%, 07/25/35 (i)

     244        244   

Mercedes-Benz Master Owner Trust, 0.79%, 11/15/17 (r)

     9,925        9,931   

Morgan Stanley Capital I Trust REMIC

    

5.27%, 06/13/41 (i)

     703        712   

4.78%, 12/13/41

     904        925   

4.99%, 08/13/42

     1,565        1,635   

6.28%, 01/11/43 (i)

     1,973        2,017   

5.73%, 07/12/44 (i)

     2,507        2,731   

SBA Tower Trust

    

2.93%, 12/15/17 (r)

     6,310        6,421   

REMIC, 3.60%, 04/15/18 (r)

     2,270        2,218   

REMIC, 2.24%, 04/16/18 (r)

     2,925        2,876   

SMART Trust

    

0.84%, 09/14/16

     785        784   

1.59%, 10/14/16 (r)

     4,240        4,271   

0.97%, 03/14/17

     2,320        2,319   

1.18%, 02/14/19

     1,165        1,150   

Other Securities

       168,808   
   

 

 

  

Total Non-U.S. Government Agency Asset-Backed Securities (cost $328,679)

   

     326,397   
   

 

 

  

CORPORATE BONDS AND NOTES - 52.0%

  

CONSUMER DISCRETIONARY - 4.5%

  

Daimler Finance North America LLC

    

0.86%, 03/28/14 (i) (r)

     4,845        4,852   

1.88%, 09/15/14 (r)

     1,710        1,725   

1.10%, 08/01/18 (i) (r)

     3,745        3,765   

DIRECTV Holdings LLC

    

4.75%, 10/01/14

     7,460        7,682   

3.50%, 03/01/16

     2,635        2,766   

1.75%, 01/15/18 (e)

     3,120        3,059   

Interpublic Group of Cos. Inc.

    

6.25%, 11/15/14

     3,432        3,574   

2.25%, 11/15/17

     5,055        4,981   

Other Securities

       41,790   
   

 

 

  
      74,194   

CONSUMER STAPLES - 2.8%

  

Bunge Ltd. Finance Corp.

    

5.35%, 04/15/14

     1,860        1,884   

5.10%, 07/15/15

     1,650        1,747   

3.20%, 06/15/17

     6,640        6,826   

Other Securities

       36,169   
   

 

 

  
      46,626   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

ENERGY - 9.6%

    

Anadarko Petroleum Corp.

    

5.75%, 06/15/14

     4,275        4,365   

6.38%, 09/15/17

     4,205        4,826   

Energy Transfer Partners LP

    

8.50%, 04/15/14

     4,390        4,482   

5.95%, 02/01/15

     4,110        4,330   

6.70%, 07/01/18

     625        725   

Ensco Plc, 3.25%, 03/15/16

     7,605        7,940   

Pioneer Natural Resources Co., 5.88%, 07/15/16

     7,238        8,028   

Transocean Inc.

    

4.95%, 11/15/15

     3,345        3,583   

5.05%, 12/15/16 (l)

     1,285        1,419   

2.50%, 10/15/17 (l)

     3,095        3,126   

Other Securities

       115,780   
   

 

 

  
      158,604   

FINANCIALS - 21.3%

    

American International Group Inc.

    

4.25%, 09/15/14

     8,350        8,559   

3.00%, 03/20/15

     1,215        1,248   

Bank of America Corp.

    

1.50%, 10/09/15

     6,240        6,303   

1.25%, 01/11/16

     5,045        5,067   

1.07%, 03/22/16 (i)

     2,030        2,044   

Bank of Nova Scotia, 0.75%, 10/09/15 (e)

     8,215        8,242   

Barclays Bank Plc

    

5.20%, 07/10/14

     7,360        7,544   

5.00%, 09/22/16

     2,655        2,923   

Citigroup Inc.

    

1.25%, 01/15/16

     4,270        4,284   

1.04%, 04/01/16 (i)

     7,260        7,307   

1.30%, 11/15/16 (e)

     765        762   

Ford Motor Credit Co. LLC

    

3.88%, 01/15/15

     6,145        6,341   

2.75%, 05/15/15

     3,630        3,724   

3.00%, 06/12/17

     2,090        2,171   

General Electric Capital Corp.

    

2.38%, 06/30/15

     5,820        5,973   

0.96%, 04/02/18 (i)

     8,150        8,215   

Goldman Sachs Group Inc., 1.60%, 11/23/15

     11,285        11,406   

HSBC Bank Plc, 0.88%, 05/15/18 (i) (r)

     4,875        4,886   

HSBC USA Inc., 2.38%, 02/13/15

     3,225        3,291   

JPMorgan Chase & Co.

    

0.86%, 02/26/16 (i)

     3,195        3,208   

2.00%, 08/15/17

     8,560        8,679   

Morgan Stanley

    

1.49%, 02/25/16 (i)

     9,680        9,806   

1.52%, 04/25/18 (i)

     5,755        5,837   

Nordea Bank AB, 0.88%, 05/13/16 (r)

     10,140        10,089   

Principal Life Global Funding II, 0.61%, 05/27/16 (i) (r)

     10,015        10,032   

Sumitomo Mitsui Banking Corp.

    

1.90%, 01/12/15 (r)

     6,225        6,286   

0.90%, 01/18/16

     3,235        3,229   

Swedbank AB, 1.75%, 03/12/18 (e) (r)

     9,235        9,069   

Westpac Banking Corp.

    

1.13%, 09/25/15

     5,595        5,656   

1.05%, 11/25/16

     2,580        2,571   

Other Securities

       177,615   
   

 

 

  
      352,367   

HEALTH CARE - 3.3%

    

AbbVie Inc., 1.20%, 11/06/15

     8,090        8,172   

Express Scripts Holding Co.

    

2.75%, 11/21/14

     4,895        4,989   

2.10%, 02/12/15

     945        959   
     Shares/Par (p)     Value  

Express Scripts Inc., 3.13%, 05/15/16

     2,700        2,818   

Warner Chilcott Co. LLC, 7.75%, 09/15/18

     7,793        8,436   

Other Securities

       29,077   
   

 

 

  
      54,451   

INDUSTRIALS - 2.7%

    

Other Securities

       45,374   

INFORMATION TECHNOLOGY - 1.1%

  

Other Securities

       18,806   

MATERIALS - 0.8%

    

Other Securities

       14,046   

TELECOMMUNICATION SERVICES - 2.5%

  

American Tower Corp., 4.63%, 04/01/15

     9,900        10,355   

CC Holdings GS V LLC, 2.38%, 12/15/17

     8,750        8,663   

Verizon Communications Inc.

    

0.44%, 03/06/15 (i) (r)

     4,960        4,952   

2.50%, 09/15/16

     4,420        4,570   

Other Securities

       12,887   
   

 

 

  
      41,427   

UTILITIES - 3.4%

    

Other Securities

       56,413   
   

 

 

  

Total Corporate Bonds and Notes (cost $856,334)

  

     862,308   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 23.5%

  

GOVERNMENT SECURITIES - 9.3%

  

Federal National Mortgage Association - 1.9% (w)

  

Federal National Mortgage Association

    

0.63%, 08/26/16

     9,780        9,763   

0.88%, 08/28/17

     16,400        16,186   

0.88%, 10/26/17

     5,995        5,891   
   

 

 

  
      31,840   

Municipals - 0.3%

    

Other Securities

       5,306   

Sovereign - 0.7%

    

Mexico Bonos, 9.50%, 12/18/14, MXN

     115,985        9,363   

Other Securities

       1,793   
   

 

 

  
      11,156   

Treasury Inflation Index Securities - 3.3%

  

U.S. Treasury Inflation Indexed Note

    

2.00%, 07/15/14 (n) (o)

     43,589        44,549   

0.50%, 04/15/15 (n)

     10,550        10,783   
   

 

 

  
      55,332   

U.S. Treasury Securities - 3.1%

    

U.S. Treasury Note

    

0.38%, 08/31/15

     25,000        25,037   

0.63%, 11/15/16

     25,445        25,366   
   

 

 

  
      50,403   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 14.2%

   

Federal Home Loan Mortgage Corp. - 2.1%

  

Federal Home Loan Mortgage Corp.

    

4.00%, 02/01/14

     —        —   

4.00%, 03/01/14

     —        —   

4.00%, 03/01/14

     —        —   

4.00%, 03/01/14

     —        —   

4.00%, 03/01/14

     —        —   

4.00%, 03/01/14

     —        —   

4.00%, 03/01/14

     2        2   

4.00%, 03/01/14

     —        —   

4.00%, 03/01/14

     —        —   

4.00%, 04/01/14

     —        —   

4.00%, 04/01/14

     —        —   

4.00%, 04/01/14

     —        1   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.00%, 10/01/17

     93        99   

5.00%, 10/01/17

     86        91   

5.00%, 11/01/17

     215        227   

5.00%, 01/01/18

     336        355   

5.00%, 03/01/18

     77        82   

5.00%, 03/01/18

     735        778   

5.00%, 06/01/18

     117        124   

4.50%, 11/01/18

     112        119   

1.37%, 05/25/19

     7,209        7,210   

5.50%, 10/01/19

     184        196   

5.50%, 01/01/20

     154        167   

5.50%, 01/01/20

     113        123   

5.50%, 05/01/20

     113        122   

5.50%, 07/01/20

     95        103   

4.50%, 08/01/20

     45        48   

5.00%, 12/01/23

     1,834        1,980   

4.50%, 08/01/25

     887        952   

4.00%, 05/01/26

     1,455        1,538   

2.36%, 09/01/33 (i)

     127        136   

2.38%, 09/01/33 (i)

     20        21   

2.23%, 10/01/34 (i)

     60        62   

2.38%, 11/01/34 (i)

     103        110   

2.53%, 11/01/34 (i)

     29        31   

2.53%, 11/01/34 (i)

     34        36   

2.53%, 11/01/34 (i)

     52        56   

2.53%, 01/01/35 (i)

     58        62   

2.31%, 02/01/35 (i)

     52        54   

2.40%, 02/01/35 (i)

     107        114   

2.41%, 02/01/35 (i)

     23        24   

2.49%, 02/01/35 (i)

     56        60   

2.49%, 02/01/35 (i)

     52        55   

2.55%, 02/01/35 (i)

     61        65   

2.77%, 02/01/35 (i)

     66        70   

2.50%, 06/01/35 (i)

     506        539   

2.49%, 09/01/35 (i)

     773        823   

2.43%, 10/01/35 (i)

     348        369   

2.35%, 11/01/35 (i)

     288        306   

2.49%, 03/01/36 (i)

     314        336   

6.00%, 11/01/37

     1,440        1,589   

REMIC, 1.43%, 08/25/17

     5,810        5,828   

REMIC, 5.00%, 10/15/21

     364        381   

REMIC, 0.62%, 05/15/36 (i)

     502        504   

REMIC, 0.67%, 08/15/41 (i)

     2,801        2,815   

REMIC, 0.67%, 07/15/42 (i)

     6,409        6,401   
   

 

 

  
      35,164   

Federal National Mortgage Association - 9.9%

  

Federal National Mortgage Association

    

5.50%, 01/01/17

     16        17   

5.50%, 01/01/17

     12        13   

5.50%, 01/01/17

     7        8   

5.50%, 03/01/18

     17        19   

5.50%, 12/01/18

     94        101   

5.50%, 01/01/19

     185        198   

5.50%, 05/01/19

     98        105   

4.50%, 06/01/19

     234        249   

5.00%, 07/01/19

     1,268        1,350   

5.00%, 12/01/19

     1,520        1,627   

4.50%, 12/01/20

     2,730        2,909   

4.50%, 12/01/20

     3,761        4,004   

4.50%, 04/01/23

     2,335        2,487   

5.00%, 05/01/23

     200        215   

5.00%, 06/01/23

     874        944   

5.50%, 01/01/24

     1,119        1,226   

4.50%, 08/01/24

     4,806        5,235   

4.50%, 09/01/24

     1,581        1,713   

4.50%, 10/01/24

     661        719   

4.50%, 11/01/24

     505        547   

4.50%, 11/01/24

     2,198        2,341   
     Shares/Par (p)     Value  

4.50%, 12/01/24

     684        741   

4.00%, 02/01/25

     92        99   

4.00%, 03/01/25

     1,294        1,385   

4.00%, 05/01/25

     135        143   

4.00%, 07/01/25

     605        641   

5.50%, 07/01/25

     2,952        3,223   

5.00%, 09/01/25

     765        825   

5.00%, 09/01/25

     1,150        1,241   

3.50%, 10/01/25

     1,527        1,598   

4.00%, 11/01/25

     1,761        1,867   

3.50%, 12/01/25

     3,703        3,874   

3.50%, 01/01/26

     2,192        2,294   

3.50%, 01/01/26

     286        299   

3.50%, 01/01/26

     2,600        2,721   

4.00%, 01/01/26

     2,025        2,146   

3.50%, 03/01/26

     109        114   

3.50%, 03/01/26

     1,004        1,051   

4.00%, 04/01/26

     2,631        2,788   

4.50%, 04/01/26

     5,050        5,376   

4.50%, 07/01/26

     996        1,060   

4.00%, 09/01/26

     2,266        2,402   

4.00%, 09/01/26

     838        888   

3.00%, 10/01/26

     289        295   

4.00%, 10/01/26

     1,540        1,633   

3.50%, 11/01/26

     1,594        1,667   

3.50%, 12/01/26

     680        711   

3.50%, 12/01/26

     2,182        2,283   

4.00%, 12/01/26

     2,781        2,949   

3.00%, 01/01/27

     2,729        2,788   

3.50%, 01/01/27

     4,198        4,393   

3.50%, 02/01/27

     333        348   

3.00%, 09/01/27

     7,819        7,988   

2.41%, 03/01/33 (i)

     4        4   

1.79%, 06/01/33 (i)

     45        47   

2.34%, 06/01/33 (i)

     474        501   

2.35%, 07/01/33 (i)

     33        35   

2.63%, 09/01/33 (i)

     3        3   

5.50%, 10/01/33

     71        79   

5.00%, 11/01/33

     501        545   

2.20%, 12/01/33 (i)

     2        2   

2.34%, 12/01/33 (i)

     480        511   

2.44%, 04/01/34 (i)

     10        11   

5.50%, 04/01/34

     50        55   

5.50%, 07/01/34

     154        170   

2.19%, 10/01/34 (i)

     22        23   

2.11%, 11/01/34 (i)

     5        6   

2.42%, 11/01/34 (i)

     121        128   

2.49%, 11/01/34 (i)

     590        631   

2.37%, 12/01/34 (i)

     61        65   

2.40%, 01/01/35 (i)

     24        25   

2.46%, 01/01/35 (i)

     65        69   

2.46%, 01/01/35 (i)

     88        94   

2.49%, 01/01/35 (i)

     66        69   

5.50%, 01/01/35

     1,830        2,013   

2.39%, 02/01/35 (i)

     166        175   

2.50%, 02/01/35 (i)

     41        44   

2.25%, 03/01/35 (i)

     52        55   

1.99%, 04/01/35 (i)

     306        323   

2.69%, 04/01/35 (i)

     130        136   

2.74%, 04/01/35 (i)

     330        346   

2.19%, 05/01/35 (i)

     689        728   

2.26%, 05/01/35 (i)

     249        264   

2.47%, 05/01/35 (i)

     74        79   

2.42%, 06/01/35 (i)

     573        609   

2.44%, 06/01/35 (i)

     470        503   

2.29%, 07/01/35 (i)

     406        423   

2.61%, 07/01/35 (i)

     377        400   

5.00%, 07/01/35

     698        758   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

1.76%, 08/01/35 (i)

     741        765   

2.36%, 08/01/35 (i)

     486        518   

2.13%, 11/01/35 (i)

     791        833   

2.44%, 11/01/35 (i)

     270        288   

5.50%, 11/01/35

     3,009        3,316   

5.50%, 12/01/35

     662        730   

2.19%, 02/01/36 (i)

     951        1,006   

2.48%, 02/01/36 (i)

     372        395   

2.52%, 03/01/36 (i)

     281        300   

2.61%, 03/01/36 (i)

     632        671   

6.00%, 04/01/36

     23        26   

6.00%, 06/01/36

     38        43   

5.50%, 07/01/36

     743        817   

5.50%, 09/01/36

     800        880   

5.50%, 01/01/37

     2,359        2,593   

6.00%, 01/01/37

     54        60   

6.00%, 03/01/37

     121        135   

5.50%, 04/01/37

     519        575   

6.00%, 05/01/37

     136        151   

5.50%, 08/01/37

     379        420   

5.50%, 08/01/37

     1,111        1,222   

5.50%, 08/01/37

     2,006        2,206   

5.50%, 01/01/38

     1,138        1,250   

5.50%, 01/01/38

     1,271        1,395   

5.00%, 05/01/38

     4,034        4,379   

5.50%, 06/01/38

     364        400   

5.50%, 06/01/38

     579        636   

5.50%, 09/01/38

     2,915        3,204   

5.50%, 05/01/39

     438        481   

5.50%, 11/01/39

     415        456   

5.50%, 12/01/39

     7,205        7,909   

6.00%, 04/01/40

     1,811        2,005   

4.00%, 03/01/41

     5,788        5,962   

5.00%, 07/01/41

     1,528        1,686   

4.00%, 10/01/41

     9,478        9,763   

REMIC, 5.00%, 08/25/19

     1,860        1,965   

REMIC, 5.00%, 11/25/21

     558        585   

REMIC, 0.61%, 07/25/42 (i)

     5,264        5,251   
   

 

 

  
      163,064   

Government National Mortgage Association - 2.2%

  

Government National Mortgage Association

  

  

7.00%, 12/15/17

     209        218   

5.50%, 07/15/20

     147        158   

3.00%, 06/20/27

     767        788   

3.00%, 08/20/27

     326        336   

2.50%, 09/20/27

     4,513        4,507   

3.00%, 09/20/27

     6,361        6,539   

6.00%, 07/15/36

     2,581        3,029   

4.50%, 09/20/40

     2,250        2,420   

3.50%, 03/20/43

     5,153        5,207   

3.50%, 04/20/43

     2,087        2,109   

REMIC, 0.62%, 07/16/42 (i)

     11,041        11,107   
   

 

 

  
      36,418   
   

 

 

  

Total Government and Agency Obligations (cost $388,362)

   

     388,683   
   

 

 

  

SHORT TERM INVESTMENTS - 4.8%

  

Investment Companies - 4.4%

    

JNL Money Market Fund, 0.01% (a) (h)

     8,187        8,187   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     65,124        65,124   
   

 

 

  
      73,311   
     Shares/Par (p)     Value  

Securities Lending Collateral - 0.4%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     7,176        7,176   
   

 

 

  

Total Short Term Investments (cost $80,487)

  

     80,487   
   

 

 

  

Total Investments - 100.0% (cost $1,653,862)

  

         1,657,875   

Other Assets and Liabilities, Net - (0.0% )

  

     (364)   
   

 

 

  

Total Net Assets - 100.0%

     $ 1,657,511   
   

 

 

  

JNL/T. Rowe Price Value Fund (z) *

  

COMMON STOCKS - 99.5%

    

CONSUMER DISCRETIONARY - 7.1%

  

Carnival Corp. (e)

     773      $ 31,043   

Comcast Corp. - Class A

     141        7,338   

Comcast Corp. - Special Class A

     322        16,051   

General Motors Co. (c)

     568        23,198   

Kohl’s Corp.

     402        22,808   

Lowe’s Cos. Inc.

     415        20,539   

Other Securities

       52,012   
   

 

 

  
      172,989   

CONSUMER STAPLES - 7.5%

  

Bunge Ltd.

     219        18,007   

Procter & Gamble Co.

     680        55,383   

Other Securities

       108,525   
   

 

 

  
      181,915   

ENERGY - 9.9%

    

Apache Corp.

     357        30,638   

Phillips 66

     731        56,351   

Pioneer Natural Resources Co.

     149        27,344   

Valero Energy Corp.

     842        42,432   

Other Securities

       83,672   
   

 

 

  
      240,437   

FINANCIALS - 23.5%

    

Capital One Financial Corp.

     343        26,270   

Citigroup Inc.

     752        39,187   

JPMorgan Chase & Co.

     1,294        75,656   

Marsh & McLennan Cos. Inc.

     532        25,723   

MetLife Inc.

     888        47,882   

Morgan Stanley

     1,139        35,713   

PNC Financial Services Group Inc.

     341        26,447   

State Street Corp.

     343        25,180   

TD Ameritrade Holding Corp.

     697        21,347   

U.S. Bancorp

     1,106        44,662   

Wells Fargo & Co.

     637        28,920   

Weyerhaeuser Co.

     1,340        42,291   

XL Group Plc

     709        22,566   

Other Securities

       108,150   
   

 

 

  
      569,994   

HEALTH CARE - 18.9%

    

Agilent Technologies Inc.

     628        35,933   

CIGNA Corp.

     237        20,724   

Johnson & Johnson

     570        52,161   

Merck & Co. Inc.

     1,316        65,846   

Pfizer Inc.

     2,853        87,372   

Thermo Fisher Scientific Inc.

     490        54,517   

UnitedHealth Group Inc.

     460        34,653   

WellPoint Inc.

     207        19,088   

Other Securities

       89,482   
   

 

 

  
      459,776   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INDUSTRIALS - 10.9%

  

  

3M Co.

     142        19,930   

American Airlines Group Inc (c) (e)

     1,513        38,203   

Boeing Co.

     319        43,595   

General Electric Co.

     1,797        50,370   

Honeywell International Inc.

     463        42,304   

United Continental Holdings Inc. (c)

     608        22,993   

United Technologies Corp.

     325        36,997   

Other Securities

       10,870   
   

 

 

  
      265,262   

INFORMATION TECHNOLOGY - 7.8%

  

  

Avago Technologies Ltd.

     519        27,461   

Cisco Systems Inc.

     854        19,181   

Micron Technology Inc. (c)

     1,537        33,436   

NXP Semiconductors NV (c)

     466        21,394   

Texas Instruments Inc.

     664        29,161   

Other Securities

       59,333   
   

 

 

  
      189,966   

MATERIALS - 5.5%

  

  

Celanese Corp. - Class A

     637        35,205   

International Paper Co.

     794        38,905   

LyondellBasell Industries NV

     347        27,841   

Other Securities

       31,643   
   

 

 

  
    133,594   

TELECOMMUNICATION SERVICES - 1.0%

  

Other Securities

  

     24,250   

UTILITIES - 7.4%

  

  

AES Corp.

     2,482        36,018   

MDU Resources Group Inc.

     583        17,798   

NRG Energy Inc.

     1,319        37,886   

Other Securities

       87,119   
   

 

 

  
      178,821   
   

 

 

  

Total Common Stocks (cost $1,828,123)

  

     2,417,004   
   

 

 

  

SHORT TERM INVESTMENTS - 3.3%

  

  

Investment Companies - 0.3%

    

JNL Money Market Fund, 0.01% (a) (h)

     4,492        4,492   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     3,849        3,849   
   

 

 

  
    8,341   

Securities Lending Collateral - 3.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     72,498        72,498   

Total Short Term Investments (cost $80,839)

  

     80,839   
   

 

 

  

Total Investments - 102.8% (cost $1,908,962)

  

     2,497,843   

Other Assets and Liabilities, Net - (2.8%)

 

     (68,377 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,429,466   
   

 

 

  

JNL/WMC Balanced Fund (z) *

  

COMMON STOCKS - 66.3%

  

  

CONSUMER DISCRETIONARY - 6.5%

  

  

Comcast Corp. - Class A

     905      $ 47,037   

Ford Motor Co.

     1,746        26,945   

Lowe’s Cos. Inc.

     536        26,567   

Mattel Inc.

     508        24,181   

Omnicom Group Inc.

     328        24,426   

Time Warner Inc.

     461        32,170   
     Shares/Par (p)     Value  

Other Securities

       35,130   
   

 

 

  
      216,456   

CONSUMER STAPLES - 4.5%

  

  

CVS Caremark Corp.

     524        37,496   

Kraft Foods Group Inc.

     403        21,737   

Procter & Gamble Co.

     332        27,055   

Wal-Mart Stores Inc.

     270        21,264   

Other Securities

       41,228   
   

 

 

  
      148,780   

ENERGY - 7.1%

  

  

Anadarko Petroleum Corp.

     326        25,825   

BP Plc - ADR

     596        28,991   

Chevron Corp.

     440        54,964   

Exxon Mobil Corp.

     519        52,512   

Other Securities

       75,594   
   

 

 

  
      237,886   

FINANCIALS - 14.6%

  

  

ACE Ltd.

     389        40,230   

Ameriprise Financial Inc.

     238        27,416   

BlackRock Inc.

     92        29,001   

Citigroup Inc.

     610        31,763   

JPMorgan Chase & Co.

     1,017        59,450   

MetLife Inc.

     400        21,559   

PNC Financial Services Group Inc.

     536        41,613   

Principal Financial Group Inc.

     465        22,905   

Prudential Financial Inc.

     455        41,942   

Wells Fargo & Co.

     2,094        95,045   

Other Securities

       78,670   
   

 

 

  
      489,594   

HEALTH CARE - 10.4%

  

  

Cardinal Health Inc.

     486        32,493   

Eli Lilly & Co.

     640        32,621   

Johnson & Johnson

     605        55,444   

Medtronic Inc.

     616        35,356   

Merck & Co. Inc.

     1,530        76,566   

Pfizer Inc.

     1,450        44,426   

Other Securities

  

     70,901   
   

 

 

  
      347,807   

INDUSTRIALS - 8.6%

  

  

FedEx Corp.

     180        25,836   

General Electric Co.

     1,258        35,261   

Honeywell International Inc.

     291        26,634   

United Continental Holdings Inc. (c)

     660        24,983   

United Parcel Service Inc. - Class B

     262        27,492   

Other Securities

       147,084   
   

 

 

  
    287,290   

INFORMATION TECHNOLOGY - 9.8%

  

  

Accenture Plc - Class A

     354        29,072   

Apple Inc.

     47        26,395   

Cisco Systems Inc.

     1,095        24,573   

eBay Inc. (c)

     422        23,178   

Intel Corp.

     1,228        31,889   

International Business Machines Corp.

     156        29,183   

Microsoft Corp.

     1,567        58,638   

Texas Instruments Inc.

     625        27,450   

Other Securities

       77,499   
   

 

 

  
      327,877   

MATERIALS - 1.4%

    

Dow Chemical Co.

     524        23,270   

Other Securities

       24,615   
   

 

 

  
      47,885   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

TELECOMMUNICATION SERVICES - 1.5%

  

Verizon Communications Inc.

     1,045        51,338   

UTILITIES - 1.9%

    

Dominion Resources Inc.

     516        33,372   

Other Securities

       31,389   
   

 

 

  
    64,761   
   

 

 

  

Total Common Stocks (cost $1,690,412)

  

     2,219,674   
   

 

 

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.9%

   

  

JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 5.48%, 12/12/44 (i)

   $ 225        240   

Other Securities

       30,281   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $29,866)

   

     30,521   
   

 

 

  

CORPORATE BONDS AND NOTES - 8.3%

  

  

CONSUMER DISCRETIONARY - 1.2%

  

  

Comcast Corp.

    

6.50%, 01/15/17

     750        859   

5.65%, 06/15/35

     165        175   

6.50%, 11/15/35

     165        192   

6.55%, 07/01/39

     375        443   

4.65%, 07/15/42

         1,125        1,043   

4.50%, 01/15/43 (e)

     800        720   

Lowe’s Cos. Inc., 6.65%, 09/15/37

     420        511   

Time Warner Inc.

    

4.88%, 03/15/20

     500        547   

4.75%, 03/29/21

     450        479   

6.25%, 03/29/41

     500        553   

Other Securities

       35,133   
   

 

 

  
    40,655   

CONSUMER STAPLES - 0.9%

  

  

CVS Caremark Corp.

    

5.75%, 06/01/17

     120        136   

4.00%, 12/05/23

     2,680        2,670   

Kraft Foods Group Inc.

    

2.25%, 06/05/17 (e)

     375        380   

3.50%, 06/06/22

     1,760        1,713   

5.00%, 06/04/42 (e)

     410        403   

Wal-Mart Stores Inc, 3.63%, 07/08/20 (e)

     2,300        2,407   

Other Securities

       23,103   
   

 

 

  
      30,812   

ENERGY - 0.5%

  

  

Chevron Corp., 3.19%, 06/24/23

     1,895        1,816   

Other Securities

       13,401   
   

 

 

  
      15,217   

FINANCIALS - 3.3%

  

  

Ameriprise Financial Inc., 5.30%, 03/15/20

     170        192   

Citigroup Inc.

    

5.50%, 10/15/14

     229        237   

4.59%, 12/15/15

     535        572   

5.85%, 08/02/16 (e)

     1,300        1,446   

4.45%, 01/10/17

     1,000        1,083   

6.13%, 05/15/18

     245        283   

2.50%, 09/26/18

     1,000        1,004   

8.50%, 05/22/19

     1,400        1,793   

5.38%, 08/09/20

     586        666   

4.50%, 01/14/22

     605        640   

8.13%, 07/15/39

     115        161   

5.88%, 01/30/42 (e)

     165        185   

Ford Motor Credit Co. LLC, 1.50%, 01/17/17

     1,395        1,394   
     Shares/Par (p)     Value  

JPMorgan Chase & Co.

    

3.40%, 06/24/15

     1,800        1,869   

6.30%, 04/23/19

     475        560   

4.50%, 01/24/22

     825        871   

3.25%, 09/23/22

     1,000        957   

3.38%, 05/01/23 (e)

     1,060        986   

6.40%, 05/15/38

     425        506   

5.40%, 01/06/42

     540        579   

MetLife Inc.

    

4.13%, 08/13/42

     265        230   

4.88%, 11/13/43

     1,345        1,315   

Prudential Financial Inc.

    

5.50%, 03/15/16

     425        464   

6.00%, 12/01/17

     450        517   

2.30%, 08/15/18

     1,885        1,873   

Wachovia Corp., 5.75%, 06/15/17 (e)

     1,500        1,710   

Wells Fargo & Co.

    

3.50%, 03/08/22

     2,515        2,512   

4.48%, 01/16/24 (r)

     517        514   

Other Securities

       86,161   
   

 

 

  
      111,280   

HEALTH CARE - 0.7%

  

  

Medtronic Inc., 1.38%, 04/01/18 (e)

     675        662   

Merck & Co. Inc.

    

1.30%, 05/18/18

     550        535   

2.80%, 05/18/23

     940        869   

4.15%, 05/18/43

     630        573   

Pfizer Inc., 6.20%, 03/15/19

     700        829   

Other Securities

       18,946   
   

 

 

  
      22,414   

INDUSTRIALS - 0.2%

  

  

FedEx Corp.

    

2.63%, 08/01/22

     190        171   

2.70%, 04/15/23 (e)

     520        467   

Other Securities

       6,907   
      7,545   

INFORMATION TECHNOLOGY - 0.3%

  

  

Cisco Systems Inc., 4.45%, 01/15/20

     500        545   

eBay Inc., 2.60%, 07/15/22 (e)

     715        656   

International Business Machines Corp., 3.38%, 08/01/23

     2,750        2,675   

Other Securities

       4,689   
   

 

 

  
      8,565   

MATERIALS - 0.1%

    

Other Securities

       3,835   

TELECOMMUNICATION SERVICES - 0.8%

  

  

Verizon Communications Inc.

    

4.50%, 09/15/20

     6,235        6,667   

3.50%, 11/01/21

     735        729   

6.40%, 09/15/33

     4,730        5,425   

4.75%, 11/01/41

     265        247   

6.55%, 09/15/43

     4,455        5,195   

Other Securities

       7,996   
   

 

 

  
      26,259   

UTILITIES - 0.3%

    

Other Securities

       10,998   
   

 

 

  

Total Corporate Bonds and Notes (cost $272,732)

  

     277,580   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 24.7%

  

GOVERNMENT SECURITIES - 13.7%

  

  

Municipals - 0.6%

    

Other Securities

       20,785   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Sovereign - 0.2%

  

Other Securities

       5,151   

U.S. Treasury Securities - 12.9%

  

  

U.S. Treasury Bond

    

5.38%, 02/15/31

     1,700        2,078   

2.88%, 05/15/43

     39,945        32,237   

U.S. Treasury Note

    

0.25%, 10/31/14 (e)

     27,280        27,303   

0.25%, 11/30/14

     24,700        24,722   

0.13%, 12/31/14

     10,500        10,497   

0.25%, 02/28/15

     1,600        1,601   

0.25%, 03/31/15

     3,400        3,402   

0.13%, 04/30/15

     66,950        66,869   

0.25%, 05/31/15

     850        850   

0.38%, 06/30/15

     35,400        35,473   

1.75%, 07/31/15

     15,900        16,271   

0.38%, 08/31/15

     8,500        8,513   

0.25%, 09/30/15

     40,350        40,312   

1.25%, 10/31/15

     5,000        5,083   

0.25%, 11/30/15

     13,500        13,473   

2.00%, 01/31/16

     7,000        7,230   

2.00%, 04/30/16

     10,000        10,344   

1.50%, 06/30/16

     13,600        13,913   

1.00%, 09/30/16

     3,300        3,328   

0.88%, 11/30/16

     12,815        12,855   

0.63%, 05/31/17

     9,320        9,198   

0.75%, 10/31/17 (e)

     18,300        17,963   

1.38%, 07/31/18

     6,000        5,943   

1.38%, 09/30/18

     4,030        3,978   

1.25%, 11/30/18

     31,000        30,319   

3.63%, 02/15/20

     3,915        4,257   

2.63%, 11/15/20

     9,400        9,541   

2.75%, 11/15/23 (e)

     14,050        13,721   
   

 

 

  
    431,274   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 11.0%

   

  

Federal Home Loan Mortgage Corp. - 5.0%

  

  

Federal Home Loan Mortgage Corp.

    

6.00%, 04/01/17

     25        26   

6.50%, 11/01/17

     11        11   

4.50%, 05/01/18

     16        17   

4.50%, 09/01/18

     30        32   

4.50%, 11/01/18

     19        20   

4.50%, 11/01/18

     37        39   

4.50%, 03/01/19

     122        130   

4.50%, 06/01/23

     6        7   

4.50%, 07/01/23

     156        165   

4.00%, 09/01/26

     818        864   

5.50%, 03/01/27

     152        167   

5.00%, 02/01/28

     2        2   

5.00%, 04/01/28

     341        368   

2.50%, 01/15/29, TBA (g)

     5,900        5,845   

3.00%, 01/15/29, TBA (g)

     3,700        3,768   

4.50%, 03/01/29

     779        836   

7.00%, 11/01/30

     49        56   

7.00%, 06/01/31

     15        16   

7.00%, 10/01/32

     28        29   

5.00%, 01/01/33

     47        51   

5.00%, 04/01/33

     77        83   

5.00%, 06/01/33

     46        50   

5.00%, 08/01/33

     35        38   

5.00%, 08/01/33

     22        24   

5.00%, 09/01/33

     87        94   

5.00%, 09/01/33

     4        5   

5.00%, 10/01/33

     3        3   

5.00%, 11/01/33

     13        14   

5.00%, 12/01/33

     34        37   
     Shares/Par (p)     Value  

4.50%, 01/01/34

     5        6   

5.00%, 04/01/34

     97        105   

5.00%, 05/01/34

     37        40   

5.00%, 05/01/34

     233        252   

5.00%, 06/01/34

     1,605        1,738   

5.00%, 10/01/34

     48        52   

5.00%, 11/01/34

     25        26   

5.00%, 02/01/35

     28        30   

5.00%, 07/01/35

     42        45   

5.00%, 07/01/35

     125        136   

5.00%, 07/01/35

     312        337   

5.00%, 07/01/35

     9        10   

4.50%, 08/01/35

     44        46   

4.50%, 08/01/35

     826        876   

4.50%, 08/01/35

     37        40   

5.00%, 08/01/35

     150        163   

5.00%, 08/01/35

     352        380   

4.50%, 09/01/35

     44        47   

4.50%, 09/01/35

     84        89   

5.00%, 09/01/35

     7        7   

5.00%, 09/01/35

     8        9   

5.00%, 10/01/35

     452        488   

4.50%, 12/01/35

     54        57   

5.00%, 01/01/36

     55        60   

5.00%, 03/01/36

     17        18   

4.50%, 05/01/36

     5        6   

5.00%, 05/01/36

     13        14   

5.00%, 10/01/36

     46        49   

5.00%, 11/01/36

     7        8   

5.00%, 02/01/38

     313        338   

4.50%, 05/01/39

     373        394   

4.50%, 10/01/39

     72        77   

4.50%, 10/01/39

     1,145        1,213   

6.00%, 12/01/39

     152        167   

6.00%, 12/01/39

     93        103   

6.00%, 12/01/39

     759        841   

5.00%, 05/01/40

     49        53   

5.00%, 07/01/40

     560        605   

5.00%, 07/01/40

     305        330   

5.00%, 07/01/40

     54        58   

4.50%, 08/01/40

     1,329        1,408   

4.50%, 08/01/40

     9,093        9,636   

4.50%, 08/01/40

     80        85   

4.50%, 09/01/40

     6,988        7,403   

4.50%, 10/01/40

     4,058        4,300   

4.50%, 12/01/40

     2,396        2,541   

4.50%, 01/01/41

     45        48   

4.50%, 01/01/41

     9,522        10,089   

4.50%, 02/01/41

     1,987        2,110   

4.50%, 02/01/41

     962        1,020   

4.50%, 02/01/41

     453        479   

4.50%, 03/01/41

     72        76   

4.50%, 04/01/41

     64        67   

4.50%, 05/01/41

     3,714        3,936   

4.50%, 05/01/41

     459        486   

5.00%, 05/01/41

     169        183   

4.50%, 06/01/41

     1,898        2,012   

4.50%, 06/01/41

     18,390        19,493   

4.00%, 07/01/41

     58        59   

4.50%, 07/01/41

     294        312   

4.50%, 07/01/41

     2,606        2,762   

4.50%, 07/01/41

     943        1,000   

4.50%, 07/01/41

     55        58   

4.50%, 07/01/41

     200        212   

5.00%, 07/01/41

     374        405   

4.50%, 08/01/41

     1,951        2,067   

4.50%, 08/01/41

     1,706        1,808   

5.00%, 08/01/41

     975        1,057   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.00%, 09/01/41

     155        170   

5.00%, 12/01/41

     462        498   

4.50%, 03/01/42

     542        574   

4.50%, 10/01/43

     499        530   

4.50%, 11/01/43

     267        283   

4.50%, 11/01/43

     743        788   

4.50%, 11/01/43

     400        424   

3.00%, 01/15/44, TBA (g)

     20,700        19,607   

3.50%, 01/15/44, TBA (g)

     13,250        13,146   

4.00%, 01/15/44, TBA (g)

     30,900        31,733   

5.50%, 01/15/44, TBA (g)

     2,400        2,621   
   

 

 

  
      167,596   

Federal National Mortgage Association - 3.4%

  

  

Federal National Mortgage Association

    

6.00%, 01/01/18

     16        16   

3.50%, 03/01/26

     18        19   

3.50%, 03/01/26

     276        288   

4.00%, 09/01/26

     1,044        1,107   

4.00%, 09/01/26

     2,481        2,630   

4.00%, 09/01/26

     1,585        1,681   

4.50%, 01/01/27

     2,571        2,737   

3.00%, 05/01/27

     638        652   

3.00%, 06/01/27

     362        370   

3.00%, 08/01/27

     256        261   

2.00%, 01/15/29, TBA (g)

     2,200        2,118   

2.50%, 01/15/29, TBA (g)

     10,900        10,788   

3.00%, 01/15/29, TBA (g)

     10,950        11,175   

3.50%, 01/15/29, TBA (g)

     5,100        5,333   

7.50%, 09/01/29

     15        18   

4.50%, 10/01/31

     3,807        4,076   

7.00%, 10/01/33

     86        97   

5.50%, 03/01/38

     1,134        1,245   

6.50%, 10/01/38

     273        303   

6.50%, 10/01/39

     297        330   

5.00%, 07/01/40

     502        546   

2.50%, 01/15/44, TBA (g)

     950        860   

3.00%, 01/15/44, TBA (g)

     26,375        25,038   

3.50%, 01/15/44, TBA (g)

     21,900        21,755   

4.00%, 01/15/44, TBA (g)

     4,625        4,761   

5.00%, 01/15/44, TBA (g)

     5,700        6,190   

5.50%, 01/15/44, TBA (g)

     8,800        9,680   
   

 

 

  
      114,074   

Government National Mortgage Association - 2.6%

  

  

Government National Mortgage Association

    

6.00%, 02/15/24

     4        5   

6.50%, 04/15/26

     20        23   

5.50%, 11/15/32

     58        64   

6.00%, 01/15/33

     9        10   

7.00%, 01/15/33

     20        24   

6.00%, 02/15/33

     56        64   

6.00%, 03/15/33

     22        24   

5.50%, 05/15/33

     25        28   

7.00%, 05/15/33

     10        12   

5.50%, 05/20/33

     60        67   

5.00%, 06/20/33

     30        33   

5.50%, 07/15/33

     19        21   

5.00%, 08/15/33

     13        14   

6.00%, 10/20/33

     58        67   

6.00%, 11/15/33

     11        12   

6.00%, 12/15/33

     25        29   

5.00%, 05/15/34

     29        32   

6.00%, 09/15/34

     53        59   

6.00%, 01/15/35

     9        9   

5.00%, 04/15/35

     366        402   

5.50%, 02/15/36

     9        10   

6.00%, 02/15/36

     2,621        2,938   

5.00%, 03/15/36

     4        4   
     Shares/Par (p)     Value  

6.00%, 04/15/36

     34        38   

6.00%, 08/15/36

     9        9   

6.00%, 09/15/36

     10        11   

6.00%, 11/15/36

     273        303   

6.00%, 12/15/36

     1,153        1,284   

6.00%, 02/15/37

     879        978   

5.00%, 06/15/37

     5        6   

6.00%, 06/15/37

     7        8   

6.00%, 12/15/37

     9        9   

6.00%, 01/15/38

     756        840   

5.00%, 03/15/38

     42        46   

6.00%, 03/15/38

     332        369   

6.00%, 03/15/38

     96        107   

6.00%, 04/15/38

     27        30   

5.00%, 06/15/38

     265        287   

5.00%, 06/15/38

     461        500   

5.00%, 06/15/38

     104        113   

5.00%, 06/15/38

     88        95   

5.00%, 06/15/38

     97        106   

5.00%, 07/15/38

     13        14   

6.00%, 07/15/38

     728        814   

6.00%, 08/15/38

     840        935   

6.00%, 08/15/38

     1,710        1,909   

6.00%, 08/15/38

     26        29   

5.00%, 09/15/38

     78        85   

6.00%, 09/15/38

     12        13   

5.00%, 10/15/38

     26        28   

6.00%, 10/15/38

     909        1,025   

6.00%, 10/15/38

     268        299   

6.00%, 10/15/38

     13        15   

6.00%, 10/15/38

     11        12   

6.00%, 10/15/38

     641        713   

5.00%, 11/15/38

     1,015        1,102   

5.00%, 11/15/38

     817        887   

5.00%, 11/15/38

     238        258   

5.00%, 11/15/38

     106        115   

6.00%, 11/15/38

     32        36   

5.00%, 12/15/38

     951        1,034   

6.00%, 12/15/38

     18        20   

5.00%, 01/15/39

     18        19   

5.00%, 01/15/39

     22        24   

6.00%, 01/15/39

     20        22   

6.00%, 01/15/39

     881        979   

6.00%, 01/15/39

     185        205   

5.00%, 02/15/39

     3,299        3,602   

5.00%, 02/15/39

     965        1,046   

5.00%, 02/15/39

     332        361   

5.00%, 03/15/39

     867        941   

5.00%, 03/15/39

     640        695   

5.00%, 04/15/39

     25        27   

5.00%, 04/15/39

     879        955   

5.00%, 04/15/39

     79        85   

4.00%, 06/15/39

     2,214        2,304   

5.00%, 06/15/39

     4,746        5,146   

5.00%, 07/15/39

     63        69   

5.00%, 10/15/39

     1,945        2,111   

6.00%, 12/15/39

     309        343   

5.00%, 02/15/40

     839        913   

6.00%, 02/15/40

     5        5   

6.00%, 03/15/40

     2        2   

5.00%, 04/15/40

     198        216   

6.00%, 04/15/40

     7        8   

6.00%, 04/15/40

     152        169   

5.00%, 05/15/40

     439        477   

4.50%, 06/15/40

     3,998        4,278   

4.50%, 07/15/40

     147        157   

5.00%, 07/15/40

     475        517   

5.00%, 08/15/40

     1,009        1,095   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

4.50%, 09/15/40

     1,230        1,315   

5.00%, 10/15/40

     787        859   

4.00%, 01/15/41

     48        50   

4.00%, 05/15/41

     54        56   

5.00%, 05/15/41

     25        27   

4.00%, 06/15/41

     63        66   

4.00%, 08/15/41

     751        782   

5.00%, 11/15/41

     121        131   

4.00%, 12/15/41

     86        89   

4.00%, 01/15/42

     61        64   

4.00%, 02/15/42

     688        716   

4.50%, 05/15/42

     250        267   

3.00%, 01/15/44, TBA (g)

     4,500        4,348   

3.50%, 01/15/44, TBA (g)

     17,900        18,057   

4.00%, 01/15/44, TBA (g)

     6,700        6,962   

4.50%, 01/15/44, TBA (g)

     3,800        4,063   

5.50%, 01/15/44, TBA (g)

     3,000        3,295   

REMIC, 7.50%, 09/16/35

     13        15   
   

 

 

  
      86,366   
   

 

 

  

Total Government and Agency Obligations
(cost $825,987)

   

     825,246   
   

 

 

  

SHORT TERM INVESTMENTS - 8.6%

  

Investment Companies - 6.0%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     200,637        200,637   

Securities Lending Collateral - 2.6%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     88,292        88,292   
   

 

 

  

Total Short Term Investments
(cost $288,929)

   

     288,929   
   

 

 

  

Total Investments - 108.8% (cost $3,107,926)

  

     3,641,950   

Total Forward Sales Commitments - (1.4%)
(proceeds $47,928)

   

     (47,960 ) 

Other Assets and Liabilities, Net - (7.4%)

 

     (247,158 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     3,346,832   
   

 

 

  

FORWARD SALES COMMITMENTS - 1.4%

  

GOVERNMENT AND AGENCY OBLIGATIONS - 1.4%

  

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 1.4%

   

Federal Home Loan Mortgage Corp. - 1.0%

  

  

Federal Home Loan Mortgage Corp.

    

4.50%, 01/15/44, TBA (g)

   $ 30,000      $ 31,761   

5.00%, 01/15/44, TBA (g)

     1,750        1,888   
   

 

 

  
    33,649   

Government National Mortgage Association - 0.4%

  

  

Government National Mortgage Association, 5.00%, 01/15/44 , TBA (g)

     13,200        14,311   
   

 

 

  

Total Forward Sales Commitments - 1.4%
(proceeds $47,928)

   

   $ 47,960   

JNL/WMC Money Market Fund

  

CORPORATE BONDS AND NOTES - 22.7%

  

CONSUMER STAPLES - 3.0%

  

Coca-Cola Co., 0.19%, 03/14/14 (i)

   $ 12,000      $ 12,001   

Procter & Gamble Co., 0.16%, 02/06/14 (i)

     4,000        4,000   

Wal-Mart Stores Inc.

    

1.63%, 04/15/14

         16,500        16,564   

3.20%, 05/15/14

     8,100        8,189   
   

 

 

  
    40,754   
     Shares/Par (p)     Value  

FINANCIALS - 18.8%

  

American Honda Finance Corp.

    

0.69%, 05/08/14 (i)

     5,980        5,991   

0.24%, 05/20/14 (i)

     6,300        6,300   

0.64%, 06/18/14 (i)

     12,000        12,023   

0.26%, 07/17/14 (i)

     10,000        10,000   

0.24%, 12/05/14 (i)

     6,000        6,000   

Australia & New Zealand Banking Group Ltd., 0.98%, 01/10/14 (i)

     3,500        3,501   

Bank of Montreal, 0.71%, 04/29/14 (i)

     4,000        4,007   

Bank of New York Mellon Corp.

    

0.52%, 01/31/14 (i)

     1,480        1,480   

4.30%, 05/15/14

     4,000        4,060   

Barclays Bank Plc, 1.28%, 01/13/14 (i)

     4,145        4,146   

Berkshire Hathaway Finance Corp, 5.10%, 07/15/14

     2,408        2,471   

BNP Paribas SA, 1.14%, 01/10/14 (i)

     8,500        8,501   

Caterpillar Financial Services Corp, 0.39%, 08/27/14 (i)

     14,825        14,843   

General Electric Capital Corp.

    

0.87%, 04/07/14 (i)

     5,000        5,009   

0.50%, 09/15/14 (i)

     20,015        20,054   

John Deere Capital Corp., 0.41%, 06/16/14 (i)

     18,000        18,019   

JPMorgan Chase & Co., 1.04%, 01/24/14 (i)

     30,274        30,289   

MassMutual Global Funding II, 0.62%, 01/14/14 (i)

     5,000        5,001   

Mellon Funding Corp., 0.39%, 05/15/14 (i)

     2,000        2,001   

MetLife Institutional Funding II, 1.14%, 04/04/14 (i)

     4,800        4,811   

National Australia Bank Ltd.

    

0.97%, 04/11/14 (i)

     625        626   

1.19%, 07/25/14 (i)

     2,120        2,132   

National Rural Utilities Cooperative Finance Corp.

    

0.32%, 02/18/14 (i)

     5,800        5,800   

0.49%, 04/04/14 (i)

     2,815        2,817   

New York Life Global Funding

    

0.50%, 04/04/14 (i)

     1,600        1,601   

0.36%, 06/18/14 (i)

     1,750        1,751   

0.24%, 07/30/14 (i)

     7,500        7,503   

Nordea Bank AB, 1.14%, 01/14/14 (i)

     17,100        17,106   

Principal Life Global Funding II, 0.87%, 07/09/14 (i)

     6,828        6,850   

Principal Life Income Funding Trusts, 5.10%, 04/15/14

     3,500        3,548   

State Street Corp., 4.30%, 05/30/14

     7,755        7,883   

Toronto-Dominion Bank

    

0.54%, 07/14/14 (i)

     3,900        3,907   

1.38%, 07/14/14

     2,700        2,716   

Toyota Motor Credit Corp.

    

0.64%, 01/17/14 (i)

     3,250        3,251   

0.40%, 01/27/14 (i)

     2,800        2,800   

0.32%, 08/22/14 (i)

     5,500        5,504   

U.S. Bancorp, 4.20%, 05/15/14

     7,000        7,102   
   

 

 

  
      251,404   

INFORMATION TECHNOLOGY - 0.9%

  

Cisco Systems Inc., 0.49%, 03/14/14 (i)

     5,000        5,003   

International Business Machines Corp., 0.88%, 10/31/14

     5,200        5,226   

Oracle Corp., 3.75%, 07/08/14

     1,495        1,522   
   

 

 

  
      11,751   
   

 

 

  

Total Corporate Bonds and Notes (cost $303,909)

  

     303,909   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

GOVERNMENT AND AGENCY OBLIGATIONS - 18.3%

  

GOVERNMENT SECURITIES - 18.3%

  

  

Federal Farm Credit Bank - 0.3% (w)

  

  

Federal Farm Credit Bank, 0.15%, 02/05/14

     4,000        4,000   

Federal Home Loan Bank - 8.2% (w)

  

  

Federal Home Loan Bank

    

0.33%, 01/17/14

     6,000        6,000   

0.38%, 01/29/14

     6,000        6,001   

0.17%, 04/17/14 - 08/26/14

     20,000        19,999   

0.14%, 05/20/14 - 06/04/14

     24,150        24,146   

0.12%, 06/23/14 (i)

     7,000        7,000   

0.16%, 06/30/14

     5,000        5,000   

0.40%, 07/02/14

     4,250        4,255   

0.18%, 07/15/14

     6,000        6,000   

0.25%, 07/25/14

     15,000        15,000   

0.13%, 10/02/14

     5,500        5,498   

0.22%, 11/03/14

     11,500        11,502   
   

 

 

  
    110,401   

Federal Home Loan Mortgage Corp. - 0.9% (w)

  

  

Federal Home Loan Mortgage Corp.

    

0.75%, 11/25/14

     3,500        3,518   

0.63%, 12/29/14

     8,000        8,035   
   

 

 

  
    11,553   

Federal National Mortgage Association - 1.7% (w)

  

  

Federal National Mortgage Association

    

1.25%, 02/27/14

     6,061        6,071   

0.34%, 08/11/14 (i)

     10,000        10,016   

0.88%, 08/28/14

     7,000        7,032   
   

 

 

  
    23,119   

Sovereign - 3.1%

    

Export Development Canada, 0.13%, 01/12/15 (i)

     10,000        9,999   

KFW, 0.13%, 10/30/14 (i)

     31,000        30,994   
   

 

 

  
      40,993   

Treasury Inflation Index Securities - 4.1%

  

  

U.S. Treasury Inflation Indexed Note, 2.00%, 01/15/14 (n)

     54,666        54,648   
   

 

 

  

Total Government and Agency Obligations (cost $244,714)

   

     244,714   
   

 

 

  

SHORT TERM INVESTMENTS - 58.3%

  

  

Certificates of Deposit - 23.0%

    

Bank of Montreal

    

0.26%, 01/07/14 (i)

     9,000        9,000   

0.24%, 06/18/14 (i)

     12,000        12,000   

0.42%, 07/24/14 (i)

     2,600        2,603   

Bank of Nova Scotia

    

0.24%, 03/21/14 (i)

     6,000        6,000   

0.23%, 09/18/14 (i)

     19,000        19,000   

0.23%, 10/21/14 (i)

     8,000        8,000   

Barclays Bank Plc, 0.19%, 03/31/14 (i)

     11,500        11,500   

BMO Capital Markets, 0.17%, 03/20/14

     13,450        13,450   

BNP Paribas SA, 0.26%, 02/27/14

     11,000        11,000   

Canadian Imperial Bank of Commerce

    

0.23%, 03/26/14 (i)

     10,000        10,000   

0.24%, 05/09/14 (i)

     6,000        6,000   

0.23%, 09/25/14 (i)

     19,000        19,000   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA

    

0.31%, 01/27/14 (i)

     12,000        12,000   

0.28%, 09/12/14 (i)

     16,000        16,000   

Credit Suisse, 0.44%, 11/14/14 (i)

     8,000        8,000   

Deutsche Bank AG

    

0.25%, 04/30/14 (i)

     8,500        8,500   

0.33%, 08/04/14 (i)

     8,500        8,500   
     Shares/Par (p)     Value  

Royal Bank of Canada

    

0.31%, 01/27/14 (i)

     12,500        12,500   

0.23%, 06/09/14

     23,000        23,000   

0.28%, 06/24/14 (i)

     6,000        6,000   

Societe Generale SA

    

0.25%, 02/03/14

     7,700        7,700   

0.36%, 03/10/14 (i)

     12,000        12,000   

Standard Chartered Bank

    

0.24%, 01/23/14 (i)

     12,000        12,000   

0.31%, 04/10/14 (i)

     11,000        11,000   

0.29%, 09/11/14 (i)

     17,000        17,000   

Svenska Handelsbanken AB, 0.25%, 02/18/14

     14,000        14,000   

UBS AG, 0.19%, 03/31/14 (i)

     11,000        11,000   
   

 

 

  
      306,753   

Commercial Paper - 11.3%

    

BPCE SA

    

0.44%, 01/02/14 (r)

     8,450        8,450   

0.41%, 03/03/14 (r)

     12,000        11,992   

Coca-Cola Co., 0.13%, 01/21/14 (r)

     16,150        16,149   

Commonwealth Bank of Australia, 0.20%, 02/24/14 (i) (r)

     8,000        8,000   

Fairway Finance Corp.

    

0.20%, 01/08/14 (r)

     10,500        10,500   

0.18%, 01/27/14 (r)

     10,000        9,999   

General Electric Capital Corp.

    

0.22%, 02/10/14

     13,000        12,997   

0.13%, 03/12/14

     10,000        9,997   

HSBC Bank Plc, 0.22%, 02/07/14 (i)

     6,500        6,500   

HSBC Bank USA

    

0.22%, 01/09/14

     9,000        8,999   

0.22%, 03/24/14

     7,500        7,496   

0.22%, 05/19/14 (r)

     6,500        6,494   

JPMorgan Chase & Co., 0.23%, 02/14/14

     12,000        11,997   

Nordea Bank AB, 0.21%, 03/24/14 (r)

     4,550        4,548   

Societe Generale SA, 0.46%, 01/10/14

     8,550        8,549   

Toyota Motor Credit Corp., 0.21%, 05/28/14

     8,300        8,293   
   

 

 

  
      150,960   

Investment Companies - 0.0%

  

  

JPMorgan U.S. Treasury Plus Money Market Fund, 0.00% (h)

     24        24   

Repurchase Agreements - 23.3%

  

  

Repurchase Agreement with BCL, 0.03%, (Collateralized by $1 Federal Home Loan Mortgage Corp., 2.11%, due 04/01/35, value $1, $120 Federal National Mortgage Association, 4.00-5.00%, due 10/01/18-09/01/43, value $125, $6,413 Government National Mortgage Association, 4.55%, due 11/20/62, value $6,543, and $27,067 U.S. Treasury Note, 0.25%, due 12/31/15, value $26,991) acquired on 12/31/13, due 01/07/14 at $33,000

   $     33,000        33,000   

Repurchase Agreement with BCL, 0.03%, (Collateralized by $26 U.S. Treasury Note, 0.25%, due 12/31/15, value $26, $675 Government National Mortgage Association, due 08/20/62, value $686, $7,910 Federal Home Loan Mortgage Corp., 4.86%, due 07/01/38, value $8,388, and $11,109 Federal National Mortgage Association, 1.80-5.00%, due 10/01/18-09/01/43, value $11,300) acquired on 12/31/13, due 01/06/14 at $20,000

     20,000        20,000   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Repurchase Agreement with BMO, 0.02%, (Collateralized by $15,002 Federal Home Loan Mortgage Corp., 3.00-4.50%, due 02/01/41-11/01/42, value $14,491 and $33,257 Federal National Mortgage Association, 3.00-5.00%, due 02/01/36-10/01/43, value $36,220) acquired on 12/31/13, due 01/02/14 at $50,000

     50,000        50,000   

Repurchase Agreement with BOA, 0.01%, (Collateralized by $24,187 Federal Home Loan Mortgage Corp., due 12/11/25, value $14,994) acquired on 12/31/13, due 01/02/14 at $14,700

     14,700        14,700   

Repurchase Agreement with BOA, 0.03%, (Collateralized by $5,454 Federal Home Loan Mortgage Corp., due 12/17/29, value $2,671, $6,580 Federal National Mortgage Association, 6.25%, due 05/15/29, value $8,319, and $13,925 Federal Home Loan Bank, 2.25%, due 09/08/17, value $14,512) acquired on 12/27/13, due 01/03/14 at $25,000

     25,000        25,000   

Repurchase Agreement with CGM, 0.01%, (Collateralized by $1,323 U.S. Treasury Note, 0.38%, due 06/15/15, value $1,326) acquired on 12/31/13, due 01/02/14 at $1,300

     1,300        1,300   

Repurchase Agreement with DUB, 0.03%, (Collateralized by $10,810 U.S. Treasury Note, 1.75%, due 05/15/23, value $9,792) acquired on 12/31/13, due 01/02/14 at $9,600

     9,600        9,600   

Repurchase Agreement with DUB, 0.04%, (Collateralized by $20,980 U.S. Treasury Note, 1.75-2.13%, due 12/31/15-05/15/23, value $20,400) acquired on 12/31/13, due 01/06/14 at $20,000

     20,000        20,000   

Repurchase Agreement with GSC, 0.04%, (Collateralized by $35,976 Federal National Mortgage Association, 2.50-3.50%, due 03/01/26-08/01/28, value $36,720) acquired on 12/31/13, due 01/07/14 at $36,000

     36,000        36,000   

Repurchase Agreement with GSC, 0.05%, (Collateralized by $24,046 Federal National Mortgage Association, 3.50-4.50%, due 08/01/26-01/01/41, value $25,500) acquired on 12/27/13, due 01/03/14 at $25,000

     25,000        25,000   

Repurchase Agreement with GSC, 0.05%, (Collateralized by $45,825 Federal Home Loan Mortgage Corp., 3.00-4.50%, due 07/01/41-02/01/43, value $45,900) acquired on 12/30/13, due 01/06/14 at $45,000

     45,000        45,000   

Repurchase Agreement with TDS, 0.01%, (Collateralized by $31,282 Federal National Mortgage Association, 3.50%, due 09/01/26, value $32,844) acquired on 12/31/13, due 01/02/14 at $32,200

     32,200        32,200   
   

 

 

  
      311,800   

Treasury Securities - 0.7%

  

  

U.S. Treasury Bill, 0.03%, 01/09/14

     9,000        9,000   
   

 

 

  

Total Short Term Investments (cost $778,537)

  

     778,537   
   

 

 

  

Total Investments - 99.3% (cost $1,327,160)

  

     1,327,160   

Other Assets and Liabilities, Net - 0.7%

  

     9,582   
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,336,742   
   

 

 

  
     Shares/Par (p)     Value  

JNL/WMC Value Fund (z) *

  

COMMON STOCKS - 97.4%

  

  

CONSUMER DISCRETIONARY - 12.2%

  

  

AutoZone Inc. (c)

     45      $ 21,589   

Comcast Corp. - Class A

     457        23,755   

Home Depot Inc.

     210        17,318   

Lowe’s Cos. Inc.

     434        21,491   

Newell Rubbermaid Inc.

     535        17,346   

PVH Corp.

     170        23,092   

Other Securities

       88,359   
   

 

 

  
           212,950   

CONSUMER STAPLES - 5.1%

  

Anheuser-Busch InBev NV - ADR

     193        20,543   

CVS Caremark Corp.

     330        23,616   

Diageo Plc - ADR

     142        18,826   

Other Securities

       26,684   
   

 

 

  
    89,669   

ENERGY - 11.7%

  

Chevron Corp.

     438        54,731   

EOG Resources Inc.

     97        16,250   

Exxon Mobil Corp.

     349        35,355   

Halliburton Co.

     490        24,861   

Marathon Oil Corp.

     544        19,218   

Occidental Petroleum Corp.

     228        21,707   

Southwestern Energy Co. (c)

     415        16,304   

Other Securities

       15,155   
   

 

 

  
    203,581   

FINANCIALS - 26.3%

  

ACE Ltd.

     303        31,388   

American International Group Inc.

     383        19,566   

Ameriprise Financial Inc.

     176        20,241   

BB&T Corp.

     528        19,706   

BlackRock Inc.

     86        27,267   

Citigroup Inc.

     594        30,958   

Goldman Sachs Group Inc.

     140        24,818   

IntercontinentalExchange Group Inc

     108        24,348   

JPMorgan Chase & Co.

     1,065        62,289   

Marsh & McLennan Cos. Inc.

     634        30,670   

PNC Financial Services Group Inc.

     482        37,403   

Wells Fargo & Co.

     1,416        64,282   

Other Securities

       66,609   
   

 

 

  
    459,545   

HEALTH CARE - 11.9%

  

Amgen Inc.

     174        19,827   

Baxter International Inc.

     282        19,647   

Covidien Plc

     344        23,450   

Johnson & Johnson

     220        20,154   

Merck & Co. Inc.

     864        43,246   

Roche Holding AG

     87        24,426   

UnitedHealth Group Inc.

     418        31,439   

Other Securities

       25,085   
   

 

 

  
    207,274   

INDUSTRIALS - 10.1%

  

3M Co.

     128        17,961   

Eaton Corp. Plc

     337        25,675   

General Electric Co.

     1,290        36,170   

Ingersoll-Rand Plc

     273        16,790   

Spirit Aerosystems Holdings Inc. - Class A (c)

     525        17,901   

United Technologies Corp.

     202        22,977   

Other Securities

  

     39,353   
   

 

 

  
    176,827   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INFORMATION TECHNOLOGY - 11.7%

  

Analog Devices Inc.

     330        16,796   

Cisco Systems Inc.

     2,023        45,423   

EMC Corp.

     1,198        30,124   

Intel Corp.

     1,154        29,959   

Microsoft Corp.

     605        22,635   

Symantec Corp.

     1,016        23,953   

Xilinx Inc.

     449        20,606   

Other Securities

       15,279   
   

 

 

  
    204,775   

MATERIALS - 4.1%

    

Dow Chemical Co.

     457        20,309   

Other Securities

  

     50,466   
   

 

 

  
    70,775   

TELECOMMUNICATION SERVICES - 1.7%

  

Verizon Communications Inc.

     591        29,055   

UTILITIES - 2.6%

  

  

Other Securities

  

     44,555   
   

 

 

  

Total Common Stocks (cost $1,216,649)

  

     1,699,006   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

  

Investment Companies - 2.8%

  

  

JNL Money Market Fund, 0.01% (a) (h)

     49,376        49,376   

Securities Lending Collateral - 0.2%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     3,938        3,938   
   

 

 

  

Total Short Term Investments (cost $53,314)

  

     53,314   
   

 

 

  

Total Investments - 100.4% (cost $1,269,963)

  

     1,752,320   

Other Assets and Liabilities, Net - (0.4%)

  

     (7,024 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,745,296   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

 

(a)

Investment in affiliate.

(b)

Consolidated Schedule of Investments.

(c)

Non-income producing security.

(d)

Issuer was in bankruptcy and/or was in default relating to principal and/or interest.

(e)

All or portion of the security was on loan.

(f)

Security fair valued in good faith in accordance with the procedures approved by the Trust’s Board of Trustees (“Board”). Good faith fair valued securities may be classified as Level 2 or Level 3 for Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820 “Fair Value Measurements and Disclosures” based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.

(g)

All or a portion of the security was purchased on a delayed delivery basis. As of December 31, 2013, the total payable for investments purchased on a delayed delivery basis (in thousands) was as follows: JNL/Capital Guardian Global Balanced Fund $7,104; JNL/Goldman Sachs Core Plus Bond Fund $44,476; JNL/Mellon Capital Bond Index Fund $144,448; JNL/Neuberger Berman Strategic Income Fund $147,308; JNL/PIMCO Real Return Fund $1,904,695; JNL/PIMCO Total Return Bond Fund $1,754,388; and JNL/WMC Balanced Fund $222,287.

(h)

Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2013.

(i)

The security or securities in this category have a variable rate. Rate stated was in effect as of December 31, 2013.

(j)

Security issued with a zero coupon. Income is recognized through the accretion of discount.

(k)

Security is a “step-up” bond where the coupon may increase or step up at a future date. Rate stated was the coupon as of December 31, 2013.

(l)

The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.

(m)

Perpetual security.

(n)

Treasury inflation indexed note, par amount is adjusted for inflation.

(o)

All or a portion of the security is pledged or segregated as collateral. See Note 6 in the Notes to Financial Statements.

(p)

Par amounts are listed in USD unless otherwise noted. Options are quoted in unrounded number of contracts. Gold bullion is quoted in unrounded ounces.

(q)

Rule 144A, Section 4(2) of the Securities Act of 1933 or other security which is restricted to resale to institutional investors. The Sub-Adviser has not deemed these Rule 144A or Section 4(2) securities to be liquid based on procedures approved by the Board. Other securities restricted to resale to institutional investors may be liquid. See Restricted Securities in these Notes to the Schedules of Investments.

(r)

Rule 144A or Section 4(2) of the Securities Act of 1933 security which is restricted to resale to institutional investors. The Sub-Adviser has deemed these securities to be liquid based on procedures approved by the Board. As of December 31, 2013, the value of these liquid securities (in thousands) was as follows: JNL/BlackRock Global Allocation Fund, $54,335; JNL/Franklin Templeton Global Multisector Bond Fund, $233,559; JNL/Franklin Templeton Income Fund, $352,488; JNL/Franklin Templeton Mutual Shares Fund, $19,180; JNL/Goldman Sachs Core Plus Bond Fund, $81,392; JNL/Goldman Sachs Emerging Markets Debt Fund, $144,235; JNL/Ivy Asset Strategy Fund, $326,759; JNL/JPMorgan U.S. Government & Quality Bond Fund, $23,424; JNL/Lazard Emerging Markets Fund, $27,310; JNL/Mellon Capital Bond Index Fund, $2,624; JNL/Neuberger Berman Strategic Income Fund, $16,818; JNL/PIMCO Real Return Fund, $130,011; JNL/PIMCO Total Return Bond Fund, $204,270; JNL/PPM America Floating Rate Income Fund, $45,039; JNL/PPM America High Yield Bond Fund, $931,657; JNL/T. Rowe Price Short-Term Bond Fund, $347,943; JNL/WMC Balanced Fund, $57,982; JNL/WMC Money Market Fund, $76,131.

(s)

Treasury inflation indexed note, par amount is not adjusted for inflation.

(t)

The Fund had an unfunded commitment at December 31, 2013. See Unfunded Commitments in the Notes to the Financial Statements.

(u)

Contingent distributions represent the right to receive additional distributions, if any, during the reorganization of the underlying company.

(v)

Convertible security.

(w)

The securities in this category are a direct debt of the agency and not collateralized by mortgages.

(x)

Investment is owned by an entity that is treated as a corporation for U.S. tax purposes, which is owned by the Fund.

(y)

Pay-in-kind security. The interest coupon earned by the security may be paid in cash or additional par.

(z)

For all items listed as “Other Securities” in this Summary Schedule of Investments, this represents issues not identified as top-fifty unaffiliated holdings in terms of value and issues or issuers not exceeding one percent individually or in aggregate, respectively, as of December 31, 2013. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption.

*

A Summary Schedule of Investments is presented for this portfolio. A complete Schedule of Investments is available without charge, upon request, by calling the Annuity Service Center at 1-800-873-5654 or by visiting www.jackson.com or the Commission’s website, www.sec.gov.

Currencies:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNH - Chinese Offshore Yuan

CNY - Chinese Yuan

COP - Colombian Peso

CRC - Costa Rican Colon

CZK - Czech Republic Korunas

DKK - Danish Krone

  

DOP - Dominican Peso

EGP - Egyption Pound

EUR - European Currency Unit (Euro)

GBP - British Pound

GHS - Ghanaian Cedi

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli New Sheqel

IDR - Indonesian Rupiah

INR - Indian Rupee

JPY - Japanese Yen

  

KRW - Korean Won

LKR - Sri Lankan Rupee

MXN - Mexican Peso

MYR - Malaysian Ringgit

NGN - Nigerian Naira

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian New Leu

  

RSD - Serbian Dinar

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - New Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

UYU - Uruguayan Peso

ZAR - South African Rand

Abbreviations:

“-” Amount rounds to less than one thousand

ABS - Asset Backed Security

ADR - American Depositary Receipt

AMBAC - AMBAC Indemnity Corp.

ASX - Australian Stock Exchange

CAC - Cotation Assistee en Continu

CBT - Chicago Board of Trade

CDI - Chess Depository Interest

CDO - Collateralized Debt Obligation

CDX.EM - Credit Derivatives Index - Emerging Markets

  

CDX.NA.HY - Credit Derivatives Index - North American - High Yield

CDX.NA.IG - Credit Derivatives Index - North American - Investment Grade

CLO - Collateralized Loan Obligation

CMBS - Commercialized Mortgage Backed Security

CMBX.NA.AAA - Commercialized Mortgage Backed Securities Index - North American - AAA rated

CME - Chicago Mercantile Exchange

CPI - Consumer Price Index

CPURNSA - CPI Urban Consumers Index Non-Seasonally Adjusted

CNX - CRISIL NSE Index

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

 

Abbreviations: (continued)

CVA - Commanditaire Vennootschap op Aandelen

DJIA - Dow Jones Industrial Average

ETF - Exchange Traded Fund

Euro-Bobl - debt instrument issued by the Federal Republic of Germany with a term of 4.5 to 5.5 years

Euro-Bund - debt instrument issued by the Federal Republic of Germany with a term of 8.5 to 10.5 years

Euro-Buxl - debt instrument issued by the Federal Republic of Germany with a term of 24 to 35 years

Euro-BTP - debt instrument issued by the Republic of Italy with a term of 2 to 11 years

Euro-Schatz - debt instrument issued by the Federal Republic of Germany with a term of 1.75 to 2.25 years

FDR - Fiduciary Depository Receipt

FTSE - Financial Times and the London Stock Exchange

ETF - Exchange Traded Fund

GDR - Global Depository Receipt

GO - General Obligation

IBEX - Iberia Index

ICE - Intercontinental Exchange

   

JSE - Johannesburg Stock Exchange

KCBT - Kansas City Board of Trade

KOSPI - Korea Composite Stock Price Index

LME - London Metal Exchange

MSCI - Morgan Stanley Capital International

NASDAQ - National Association of Securities Dealers Automated Quotations

NVDR - Non-Voting Depository Receipt

NYSE - New York Stock Exchange

PJSC - Public Joint Stock Company

RB - Revenue Bond

RBOB - Reformulated Blendstock for Oxygenate Belnding

REIT - Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

SDR - Swedish Depository Receipt

SGX - Singapore Exchange

SPDR - Standard & Poor’s Depository Receipt

SPI - Schedule Performance Index

TBA - To Be Announced (Securities purchased on a delayed delivery basis)

TES - Peso Denominated Treasury Bonds

ULSD - ultra-low sulfur diesel

Counterparty Abbreviations:

ABN - ABN AMRO Inc.

ANZ - ANZ Banking Group LTD.

BBH - Brown Brothers Harriman & Co.

BBP - Barclays Bank Plc

BCL - Barclays Capital Inc.

BMO - BMO Capital Markets Corp.

BNP - BNP Paribas Securities

BNY - BNY Capital Markets

BOA - Bancamerica Securities/Bank of America NA

CBA - Commonwealth Bank of Australia

CCI - Citicorp Securities, Inc.

CGM - Citigroup Global Markets

CIT - Citibank, Inc.

CSI - Credit Suisse Securities, LLC

DUB - Deutsche Bank Alex Brown Inc.

GSC - Goldman Sachs & Co.

   

GSI - Goldman Sachs International

HSB - HSBC Securities, Inc.

JPM - J.P. Morgan Securities, Inc.

MLP - Merrill Lynch Professional Clearing Corp.

MSC - Morgan Stanley & Co., Incorporated

MSS - Morgan Stanley Capital Services Inc.

RBC - Royal Bank Of Canada

RBS - Royal Bank Of Scotland

RGC - RBS Greenwich Capital

SCB - Standard Chartered Bank

SGB - Societe Generale Bannon LLC

SSB - State Street Brokerage Services, Inc.

TDS - TD Securities Inc.

UBS - UBS Securities LLC

WBC - Westpac Banking Corporation

WFI - Wells Fargo Securities, Inc.

Restricted Securities - Restricted securities are often purchased in private placement transactions and cannot be sold without prior registration unless the sale is pursuant to an exemption under the Securities Exchange Act of 1933, as amended. The following table details restricted securities, including Rule 144A securities that have not been deemed liquid, held by the Funds at December 31, 2013.

 

    

Initial

Acquisition

Date

        Cost       

Ending

Value

       

Percent of

Net Assets

  
  

 

 

  

JNL/BlackRock Commodity Securities Strategy Fund

                  

Uranium Energy Corp.

      11/02/2010         $ 1,244         $ 731           0.1%   
       

 

 

  

JNL/BlackRock Global Allocation Fund

                  

Bio City Development Co. BV, 8.00%, 07/06/18

      08/26/2011         $ 708         $ 510           —%   

CapitaLand Ltd., 1.95%, 10/17/23

      09/20/2013           2,002           1,951           0.1      

CapitaLand Ltd., 2.95%, 06/20/22

      08/26/2011           4,078           4,134           0.2      

Celestial Nutrifoods Ltd., 0.00%, 06/12/11

      08/26/2011           49           3           —      

Chaoda Modern Agriculture Holdings Ltd.

      08/26/2011           200           69           —      

China Milk Products Group Ltd., 0.00%, 01/05/12

      08/26/2011           13           10           —      

Constellium Holdco BV Term Loan B, 6.00%, 02/25/20

      03/11/2013           511           525           —      

Constellium Holdco BV Term Loan B, 6.50%, 02/25/20

      03/11/2013           661           715           —      

Credit Suisse Group Guernsey I Ltd., 7.88%, 02/24/41

      08/26/2011           1,124           1,203           0.1      

Dana Gas Sukuk Ltd., 9.00%, 10/31/17

      05/20/2013           3,920           3,717           0.1      

Delta Debtco Ltd. Term Loan, 9.25%, 10/17/19

      10/18/2012           2,676           2,829           0.1      

Delta Topco Ltd.

      01/23/2012           1,330           1,367           0.1      

Delta Topco Ltd., 10.00%, 02/25/18

      05/03/2012           1,816           1,782           0.1      

GNL Quintero SA Term Loan, 1.28%, 06/20/23

      09/13/2012           890           867           —      

Inversiones Alsacia SA, 8.00%, 08/18/18

      08/26/2011           1,430           1,166           —      

Mobileye NV

      08/15/2013           1,930           1,930           0.1      

Obsidian Natural Gas Trust Term Loan, 7.00%, 11/02/15

      08/26/2011           133           134           —      

Olam International Ltd., 6.00%, 10/15/16

      08/26/2011           2,285           2,173           0.1      

REI Agro Ltd., 5.50%, 11/13/14

      08/26/2011           581           316           —      

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Restricted Securities

 

     Initial
Acquisition
Date		        Cost        Ending
Value		        Percent of
Net Assets		  
  

 

 

  

JNL/BlackRock Global Allocation Fund (continued)

                  

REI Agro Ltd., 5.50%, 11/13/14

      08/26/2011         $ 183         $ 93           —%   

Sun Hung Kai Properties Capital Market Ltd., 4.50%, 02/14/22

      04/04/2012           796           803           —      

Suzlon Energy Ltd., 0.00%, 10/11/12

      08/26/2011           483           295           —      

Suzlon Energy Ltd., 0.00%, 07/25/14

      10/26/2011           1,056           541           —      

TFS Corp. Ltd.

      03/18/2013           —           101           —      

TFS Corp. Ltd., 11.00%, 07/15/18

      08/26/2011           1,258           1,321           0.1      

Twitter Inc. Private Placement

      12/27/2012           3,393           12,077           0.4      

Zeus Cayman II, 0.00%, 08/18/16

      11/30/2011           639           827           —      
       

 

 

  
        $ 34,145         $ 41,459           1.5%   
       

 

 

  

JNL/Capital Guardian Global Balanced Fund

                  

AIA Group Ltd.

      10/25/2010         $ 4,004         $ 6,451           1.3%   

Altegrity Inc., 10.50%, 11/01/15

      07/27/2009           180           178           —      

Austria Government Bond, 3.65%, 04/20/22

      10/05/2012           773           812           0.2      

Austria Government Bond, 4.00%, 09/15/16

      04/01/2013           197           211           —      

Avis Budget Rental Car Funding AESOP LLC, 2.97%, 02/20/20

      09/11/2013           100           102           —      

Bermuda Government International Bond, 4.14%, 01/03/23

      11/19/2012           212           191           —      

Bermuda Government International Bond, 4.85%, 02/06/24

      07/31/2013           200           200           —      

Cemex Espana Luxembourg, 9.25%, 05/12/20

      08/31/2011           80           104           —      

Cemex Finance LLC, 9.38%, 10/12/22

      12/14/2012           222           226           0.1      

CEVA Group Plc, 8.38%, 12/01/17

      06/05/2012           51           55           —      

Clearwire Communications LLC, 14.75%, 12/01/16

      01/31/2011           254           341           0.1      

Croatia Government International Bond, 6.75%, 11/05/19

      10/30/2009           132           135           —      

Enel Finance International NV, 3.88%, 10/07/14

      01/11/2011           300           307           0.1      

Finland Government Bond, 3.50%, 04/15/21

      06/06/2013           751           771           0.2      

Finland Government Bond, 3.88%, 09/15/17

      11/29/2011           771           843           0.2      

First Data Corp., 8.25%, 01/15/21

      12/22/2010           350           372           0.1      

First Data Corp., 8.75%, 01/15/22

      12/22/2010           90           107           —      

FMG Resources August 2006 Pty Ltd., 6.88%, 04/01/22

      10/08/2013           127           136           —      

Glencore Funding LLC, 4.13%, 05/30/23

      05/23/2013           30           28           —      

Hilton USA Trust REMIC, 2.66%, 11/05/30

      11/25/2013           200           198           —      

Hilton Worldwide Finance LLC, 5.63%, 10/15/21

      10/08/2013           126           130           —      

HKT Trust

      11/25/2011           811           1,079           0.2      

Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14

      01/12/2011           249           255           0.1      

Indonesia Government International Bond, 7.75%, 01/17/38

      04/08/2013           216           169           —      

Inmet Mining Corp., 8.75%, 06/01/20

      01/25/2013           192           190           —      

MetroPCS Wireless Inc., 6.63%, 04/01/23

      04/08/2013           128           129           —      

MidAmerican Energy Holdings Co., 3.75%, 11/15/23

      11/06/2013           190           185           —      

NBCUniversal Enterprise Inc., 1.97%, 04/15/19

      03/21/2013           352           342           0.1      

News America Inc., 4.00%, 10/01/23

      09/26/2013           104           104           —      

Peru Government International Bond, 7.84%, 08/12/20

      01/10/2013           266           224           0.1      

Portugal Obrigacoes do Tesouro OT, 3.85%, 04/15/21

      11/07/2013           24           24           —      

Portugal Obrigacoes do Tesouro OT, 4.95%, 10/25/23

      11/06/2013           75           76           —      

Portugal Obrigacoes do Tesouro OT, 5.65%, 02/15/24

      11/06/2013           26           26           —      

Realogy Group LLC, 7.88%, 02/15/19

      01/30/2012           260           302           0.1      

Romania Government International Bond, 6.75%, 02/07/22

      02/29/2012           102           114           —      

Russia Government International Bond, 7.50%, 03/31/30

      10/19/2012           294           271           0.1      

Sberbank of Russia - GDR

      09/20/2012           622           628           0.1      

Slovenia Government International Bond, 5.85%, 05/10/23

      05/03/2013           247           254           0.1      

Spain Government Bond, 5.40%, 01/31/23

      02/21/2013           3,940           4,133           0.9      

Standard Chartered Plc, 3.85%, 04/27/15

      03/17/2011           228           234           0.1      

Standard Chartered Plc, 3.95%, 01/11/23

      01/10/2013           303           278           0.1      

Transportadora de Gas del Peru SA, 4.25%, 04/30/28

      04/24/2013           200           175           —      

Valeant Pharmaceuticals International Inc., 6.38%, 10/15/20

      10/15/2012           312           316           0.1      

Wind Acquisition Finance SA

      04/08/2013           157           160           —      
       

 

 

  
        $ 18,448         $ 21,566           4.4%   
       

 

 

  

JNL/Capital Guardian Global Diversified Research Fund

                  

HKT Trust

      11/25/2011         $ 2,700         $ 3,493           0.8%   
       

 

 

  

JNL/DFA U.S. Core Equity Fund

                  

Magnum Hunter Resources Corp.

      09/12/2013         $ —         $ —           —%   
       

 

 

  

JNL/Franklin Templeton Global Growth Fund

                  

Samsung Electronics Co. Ltd. - GDR

      02/06/2007         $ 12,329         $ 18,786           1.9%   
       

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund

                  

Boparan Finance Plc, 9.75%, 04/30/18

      01/23/2012         $ 481         $ 603           —%   

Calpine Corp., 7.88%, 01/15/23

      11/09/2012           97           98           —      

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Restricted Securities

 

     Initial
Acquisition
Date		        Cost        Ending
Value		        Percent of
Net Assets		  
  

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund (continued)

                  

Hungary Government International Bond, 4.38%, 07/04/17

      12/15/2011         $ 5,671         $ 7,199           0.4%   

Hungary Government International Bond, 5.75%, 06/11/18

      12/15/2011           6,367           8,201           0.5      
       

 

 

  
        $ 12,616         $ 16,101           0.9%   
       

 

 

  

JNL/Franklin Templeton Income Fund

                  

Dynegy Holdings LLC

      10/19/2012         $ —         $ —           —%   

Dynegy Holdings LLC

      10/19/2012           —           —           —      

Dynegy Holdings LLC

      10/19/2012           —           —           —      

SuperMedia Inc. Escrow Litigation Trust

      03/04/2007           14           —           —      
       

 

 

  
        $ 14         $ —           —%   
       

 

 

  

JNL/Franklin Templeton International Small Cap Growth Fund

                  

X5 Retail Group NV - GDR

      11/19/2013         $ 595         $ 587           0.1%   
       

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund

                  

Amortizing Residential Collateral Trust REMIC, 1.96%, 08/25/32

      12/04/2002         $ 51         $ 11           —%   

Barclays Bank Plc, 6.05%, 12/04/17

      10/08/2012           2,082           2,179           0.3      

Dominican Republic International Bond, 14.50%, 02/10/23

      09/06/2013           27           29           —      

Federal Home Loan Mortgage Corp. REMIC, Interest Only, 5.93%, 11/15/43

      11/27/2013           362           340           0.1      

Federal Home Loan Mortgage Corp. REMIC, 1,156.50%, 06/15/21

      02/29/2000           —           —           —      

Federal National Mortgage Association, Interest Only, 3.00%, 08/25/28

      10/30/2013           202           231           —      

Federal National Mortgage Association REMIC, Interest Only, 4.83%, 11/25/40

      09/28/2012           182           607           0.1      

Federal National Mortgage Association REMIC, 5.84%, 05/25/40

      10/18/2013           251           269           —      

Federal National Mortgage Association REMIC, Interest Only, 5.84%, 11/25/40

      09/26/2013           225           237           —      

Federal National Mortgage Association REMIC, Interest Only, 6.00%, 11/25/40

      07/29/2013           93           101           —      

Federal National Mortgage Association REMIC, Interest Only, 6.52%, 10/25/35

      09/30/2013           139           150           —      

First Union National Bank Commercial Mortgage Trust, Interest Only REMIC, 1.58%, 05/17/32

      01/08/2003           47           21           —      

GSR Mortgage Loan Trust REMIC, 2.79%, 10/25/35

      04/05/2006           340           297           0.1      

Government National Mortgage Association REMIC, Interest Only, 6.53%, 08/16/43

      11/14/2013           287           289           —      

Home Interior Gift Inc.

      02/22/2006           185           —           —      

UBS AG-Credit Linked Note (Federative Republic of Brazil, 6.00%, 01/17/17)

      09/27/2011           769           404           0.1      
       

 

 

  
        $ 5,242         $ 5,165           0.7%   
       

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund

                  

Barclays Bank Plc Credit Linked Note (Indonesia Government, 10.00%, 07/15/17)

      06/04/2009         $ 8,859         $ 7,165           0.9%   

Cable Communications Systems NV, 7.50%, 11/01/20

      10/28/2013           418           423           0.1      

Deutsche Bank AG Credit Linked Note (Indonesia Government, 10.75%, 05/15/16)

      01/26/2010           2,300           1,795           0.2      

Dominican Republic International Bond, 14.50%, 02/10/23

      03/07/2013           1,390           1,352           0.2      

Dominican Republic International Bond, 14.50%, 02/10/23

      05/08/2013           433           391           0.1      

Dominican Republic International Bond, 18.50%, 02/04/28

      03/07/2013           4,329           4,234           0.5      

Mexico Generadora de Energia S de rl, 5.50%, 12/06/32

      12/03/2012           830           793           0.1      

Pacnet Ltd., 9.00%, 12/12/18

      12/09/2013           370           377           —      

Peru Enhanced Pass-Through Finance Ltd., 0.00%, 06/02/25

      03/20/2013           697           672           0.1      

Republic of Costa Rica, 9.20%, 03/27/19

      11/20/2012           56           62           —      

Republic of Costa Rica, 11.13%, 03/28/18

      11/20/2012           2,112           2,273           0.3      
       

 

 

  
        $ 21,794         $ 19,537           2.5%   
       

 

 

  

JNL/Invesco Mid Cap Value Fund

                  

Better Place

      04/23/2010         $ 1,015         $ —           —%   
       

 

 

  

JNL/Ivy Asset Strategy Fund

                  

Delta Topco Ltd.

      01/23/2012         $ 40,394         $ 37,612           1.2%   

Delta Topco Ltd., 10.00%, 11/24/16

      05/03/2012           49,575           49,006           1.6      

Legend Pictures LLC

      12/18/2012           27,470           31,168           1.0      

Legendary Pictures Funding LLC, 8.00%, 03/15/18

      03/13/2013           28,500           28,500           1.0      

Media Group Holdings LLC

      06/21/2013           67,611           69,993           2.3      
       

 

 

  
        $ 213,550         $ 216,279           7.1%   
       

 

 

  

JNL/JPMorgan U.S. Government & Quality Bond Fund

                  

CompuCredit Acquired Portfolio Voltage Master Trust, 0.34%, 09/17/18

      09/18/2006         $ 45         $ 45           —%   

IndyMac Seconds Asset Backed Trust REMIC, 0.42%, 06/25/36

      05/22/2006           846           209           —      

SACO I Inc. REMIC, 0.42%, 06/25/36

      05/30/2006           220           278           —      
       

 

 

  
        $ 1,111         $ 532           —%   
       

 

 

  

JNL/M&G Global Basics Fund

                  

GI Dynamics Inc. - CDI

      09/07/2011         $ 1,021         $ 964           0.6%   

Marico Kaya Enterprises Ltd.

      11/01/2013           21           21           —      
       

 

 

  
        $ 1,042         $ 985           0.6%   
       

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Restricted Securities

 

     Initial
Acquisition
Date		        Cost        Ending
Value		        Percent of
Net Assets		  
  

 

 

  

JNL/Morgan Stanley Mid Cap Growth Fund

                  

Chinese Yuan versus USD Put Option, Strike Price CNY 6.50, Expiration 12/12/14

      12/13/2013         $ 5         $ 4           —%   

Chinese Yuan versus USD Put Option, Strike Price CNY 6.50, Expiration 12/15/14

      12/16/2013           71           45           —      

Chinese Yuan versus USD Put Option, Strike Price CNY 6.50, Expiration 12/17/14

      12/18/2013           112           52           —      

Dropbox Inc.- Series A-1

      07/19/2012           41           62           —      

Flipkart

      10/07/2013           245           253           0.1      

Palantir Technologies Inc.

      10/28/2013           79           79           0.1      

Palantir Technologies Inc.

      10/28/2013           79           79           0.1      

Palantir Technologies Inc.

      07/20/2012           16           18           —      
       

 

 

  
        $ 648         $ 592           0.3%   
       

 

 

  

JNL/PIMCO Real Return Fund

                  

Banco Santander Brazil SA, 2.34%, 03/18/14

      03/18/2011         $ 4,900         $ 4,900           0.3%   

SLM Student Loan Trust, 2.35%, 04/15/39

      05/06/2011           520           515           —      

Slovenia Government International Bond, 4.70%, 11/01/16

      11/18/2013           4,838           5,092           0.3      
       

 

 

  
        $ 10,258         $ 10,507           0.6%   
       

 

 

  

JNL/PIMCO Total Return Bond Fund

                  

Banco Nacional de Desenvolvimento Economico e Social, 3.38%, 09/26/16

      09/20/2013         $ 1,696         $ 1,717           —%   

Banco Santander Brazil SA, 2.34%, 03/18/14

      03/18/2011           4,100           4,100           0.1      

Credit Agricole SA, 1.40%, 04/15/16

      11/05/2013           5,063           5,062           0.1      

DG Funding Trust, 0.54%, (callable at 10,000 beginning 09/30/10)

      11/10/2003           4,426           2,959           0.1      

Electricite de France SA, 5.50%, 01/26/14

      01/22/2009           1,600           1,605           —      

General Electric Capital Corp., 3.80%, 06/18/19

      07/09/2013           3,784           3,873           0.1      

Northern Rock Plc, 5.63%, 06/22/17

      06/08/2009           14,839           18,032           0.3      

Sumitomo Mitsui Banking Corp., 1.95%, 01/14/14

      01/07/2011           6,000           6,003           0.1      
       

 

 

  
        $ 41,508         $ 43,351           0.8%   
       

 

 

  

JNL/PPM America High Yield Bond Fund

                  

Ancestry.com Inc., 9.63%, 10/15/18

      09/12/2013         $ 7,385         $ 7,717           0.3%   

Appvion Inc., 9.00%, 06/01/20

      11/14/2013           5,911           6,060           0.2      

Delta Air Lines Inc. Pass-Through Trust, 6.38%, 01/02/16

      02/08/2011           1,000           1,063           —      

Milestone Aviation Group LLC, 8.63%, 12/15/17

      12/13/2012           6,000           6,390           0.3      
       

 

 

  
        $ 20,296         $ 21,230           0.8%   
       

 

 

  

JNL/T. Rowe Price Established Growth Fund

                  

LivingSocial, Series F

      11/18/2011         $ 1,185         $ 97           —%   

Twitter Inc. Private Placement, Series G-2

      07/28/2011           5,241           19,724           0.5      
       

 

 

  
        $ 6,426         $ 19,821           0.5%   
       

 

 

  

JNL/T. Rowe Price Mid-Cap Growth Fund

                  

Coupon.com Inc.

      06/21/2011         $ 3,435         $ 3,626           0.2%   

Dropbox Inc.

      05/02/2012           383           582           —      

Dropbox Inc., Series A

      05/02/2012           476           723           —      

Dropbox Inc., Series A-1

      05/02/2012           2,338           3,551           0.1      

LivingSocial

      04/01/2011           4,061           431           —      
       

 

 

  
        $ 10,693         $ 8,913           0.3%   
       

 

 

  

Investments in Affiliates – See Note 8 in the Notes to the Financial Statements for discussion of investments in affiliates. The fair value and par value of the investment in the Securities Lending Cash Collateral Fund LLC are reported under Securities Lending Collateral in the Schedules of Investments. Income received from the Securities Lending Cash Collateral Fund LLC is aggregated with income from securities lending when received from the custodian. The following table details cash management investments in affiliates held at December 31, 2013. There was no realized gain or loss relating to transactions in these investments during the year ended December 31, 2013.

 

     JNL Money Market Fund  
Fund    Beginning
Amortized Cost		     

Ending

Amortized Cost

      Dividend
Income		  

JNL/AQR Managed Futures Strategy Fund

    $ 380,041       $ 132,277       $ 25   

JNL/BlackRock Commodity Securities Strategy Fund

      72,052         15,653         1   

JNL/BlackRock Large Cap Select Growth Fund

      9,330         8,761         1   

JNL/Brookfield Global Infrastructure Fund

      17,095         16,094         1   

JNL/Capital Guardian Global Balanced Fund

      23,696         22,308         2   

JNL/Capital Guardian Global Diversified Research Fund

      8,282         17,268         1   

JNL/DFA U.S. Core Equity Fund

      1,382         5,151         -   

JNL/Eagle SmallCap Equity Fund

      14,816         6,411         2   

JNL/Eastspring Investments Asia ex-Japan Fund

      3,168         2,779         1   

JNL/Eastspring Investments China-India Fund

      6,535         7,811         1   

JNL/Franklin Templeton Global Growth Fund

      18,281         21,661         3   

JNL/Franklin Templeton Global Multisector Bond Fund

      153,039         178,628         17   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Investments in Affiliates

 

     JNL Money Market Fund  
Fund    Beginning
Amortized Cost		     

Ending

Amortized Cost

      Dividend
Income		  

JNL/Franklin Templeton Income Fund

    $ 59,681       $ 61,934       $ 11   

JNL/Franklin Templeton International Small Cap Growth Fund

      20,784         18,085         2   

JNL/Franklin Templeton Mutual Shares Fund

      86,155         75,343         9   

JNL/Franklin Templeton Small Cap Value Fund

      88,265         104,539         7   

JNL/Goldman Sachs Core Plus Bond Fund

      87,108         38,620         11   

JNL/Goldman Sachs Emerging Markets Debt Fund

      28,084         45,975         4   

JNL/Goldman Sachs Mid Cap Value Fund

      33,150         11,833         3   

JNL/Goldman Sachs U.S. Equity Flex Fund

      1,385         5,888         -   

JNL/Invesco Global Real Estate Fund

      36,995         33,418         4   

JNL/Invesco International Growth Fund

      63,536         74,016         7   

JNL/Invesco Large Cap Growth Fund

      47,547         28,550         3   

JNL/Invesco Mid Cap Value Fund

      2,341         19,741         1   

JNL/Invesco Small Cap Growth Fund

      6,952         30,008         1   

JNL/Ivy Asset Strategy Fund

      22,563         31,802         1   

JNL/JPMorgan International Value Fund

      7,076         10,487         1   

JNL/JPMorgan MidCap Growth Fund

      8,611         34,575         2   

JNL/JPMorgan U.S. Government & Quality Bond Fund

      74,743         53,668         5   

JNL/Lazard Emerging Markets Fund

      21,031         11,937         3   

JNL/M&G Global Basics Fund

      311         5,660         1   

JNL/Mellon Capital Emerging Markets Index Fund

      4,290         5,575         1   

JNL/Mellon Capital European 30 Fund

      86         1,673         -   

JNL/Mellon Capital Pacific Rim 30 Fund

      342         739         -   

JNL/Mellon Capital S&P 500 Index Fund

      -         76,304         4   

JNL/Mellon Capital S&P 400 MidCap Index Fund

      23,180         59,904         3   

JNL/Mellon Capital Small Cap Index Fund

      19,745         49,189         2   

JNL/Mellon Capital International Index Fund

      22,245         54,033         3   

JNL/Mellon Capital Bond Index Fund

      108,894         101,105         14   

JNL/Mellon Capital Global Alpha Fund

      83,516         33,700         7   

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

      373         1,418         -   

JNL/Mellon Capital Utilities Sector Fund

      -         29         -   

JNL/Morgan Stanley Mid Cap Growth Fund

      1,059         14,930         1   

JNL/Neuberger Berman Strategic Income Fund

      10,745         38,906         3   

JNL/Oppenheimer Global Growth Fund

      12,102         16,102         1   

JNL/PPM America High Yield Bond Fund

      85,733         76,390         8   

JNL/PPM America Mid Cap Value Fund

      190         2,518         -   

JNL/PPM America Small Cap Value Fund

      -         6,049         -   

JNL/PPM America Value Equity Fund

      249         926         -   

JNL/Red Rocks Listed Private Equity Fund

      7,953         6,238         1   

JNL/S&P Competitive Advantage Fund

      3,460         14,536         1   

JNL/S&P Dividend Income & Growth Fund

      4,053         10,767         1   

JNL/S&P Intrinsic Value Fund

      828         15,783         1   

JNL/S&P Total Yield Fund

      885         10,090         1   

JNL/T. Rowe Price Established Growth Fund

      2,000         2,001         1   

JNL/T. Rowe Price Mid-Cap Growth Fund

      915         1,000         -   

JNL/T. Rowe Price Short-Term Bond Fund

      9,133         8,187         1   

JNL/T. Rowe Price Value Fund

      1,646         4,492         1   

JNL/WMC Balanced Fund

      81,011         200,637         14   

JNL/WMC Value Fund

      31,328         49,376         3   
     T. Rowe Price Reserves Investment Fund  
Fund   

Beginning

Amortized Cost

     

Ending

Amortized Cost

     

Dividend

Income

  

JNL/T. Rowe Price Established Growth Fund

    $ 37,257       $ 76,729       $ 27   

JNL/T. Rowe Price Mid-Cap Growth Fund

      62,733         127,000         62   

JNL/T. Rowe Price Short-Term Bond Fund

      153,386         65,124         47   

JNL/T. Rowe Price Value Fund

      29,329         3,849         15   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands, except contracts)

December 31, 2013

 

 

Investments in Affiliates

 

The following table details each Fund’s long term investments in affiliates held during the year ended December 31, 2013.

 

Fund    Affiliate    Value
Beginning
of Period		      Purchases      Sales
Proceeds		      Dividend/
Interest
Income		      Realized
Gain		      Value
End of
Period		  

JNL/BlackRock Global Allocation Fund

   

iShares Gold Trust Fund

    $ 7,084       $ -       $ -       $ -       $ -       $ 5,085   

JNL/Mellon Capital S&P 500 Index Fund

   

Bank of New York Mellon Corp.

      3,776         1,835         -         98         -         7,254   

JNL/Mellon Capital International Index Fund

   

Prudential plc

      5,717         710         -         194         -         9,863   

JNL/Mellon Capital Bond Index Fund

   

Bank of New York Mellon Corp., 4.30%, 5/15/14

      525         -         519         9         3         -   

JNL/Mellon Capital Bond Index Fund

   

Bank of New York Mellon Corp., 2.50%, 01/15/16

      524         -         -         12         -         516   

JNL/Mellon Capital Bond Index Fund

   

Bank of New York Mellon Corp., 3.55%, 09/23/21

      654         -         -         21         -         613   

Schedule of Written Options

 

     Expiration
Date		      Exercise
Price		      Contracts/Notional
Contracts		      Value  
  

 

 

  

Exchange-Traded Futures Options

            

JNL/PIMCO Real Return Fund

            

Eurodollar 3-Year Midcurve Future Put Option

      03/14/2014         97.38         1,478       $ (739 ) 
        

 

 

     

 

 

  

JNL/PIMCO Total Return Bond Fund

            

Eurodollar 3-Year Midcurve Future Put Option

      03/14/2014         97.38         442       $ (221 ) 
        

 

 

     

 

 

  

Index Options

            

JNL/BlackRock Global Allocation Fund

            

S&P 500 Index Call Option

      01/18/2014         1,825.00         144       $ (468 ) 

S&P 500 Index Call Option

      01/18/2014         1,800.00         145         (796 ) 

S&P 500 Index Call Option, BNP

      02/21/2014         1,841.93         7,898         (257 ) 

S&P 500 Index Call Option, CSI

      02/21/2014         1,834.98         7,850         (287 ) 

S&P 500 Index Put Option, BNP

      02/21/2014         1,566.08         7,898         (14 ) 

S&P 500 Index Put Option, CSI

      02/21/2014         1,567.75         7,850         (14 ) 

S&P 500 Index Put Option, GSI

      02/21/2014         1,573.08         7,830         (14 ) 

S&P 500 Index Put Option, JPM

      02/21/2014         1,563.12         7,417         (12 ) 
        

 

 

     

 

 

  
           47,032       $ (1,862 ) 
        

 

 

     

 

 

  

JNL/Ivy Asset Strategy Fund

            

FTSE 100 Index Call Option, BCL

      03/21/2014         6,950.00         424       $ (309 ) 

FTSE 100 Index Put Option, BCL

      03/21/2014         6,000.00         424         (154 ) 

FTSE 100 Index Put Option, BCL

      06/20/2014         5,900.00         424         (421 ) 

Nikkei 225 Index Put Option, CIT

      01/10/2014       JPY  13,500.00         129         (4 ) 
        

 

 

     

 

 

  
           1,401       $ (888 ) 
        

 

 

     

 

 

  

JNL/PIMCO Total Return Bond Fund

            

CDX.NA.IG-21 Call Option, JPM

      03/19/2014         0.60         75       $ (7 ) 

CDX.NA.IG-21 Put Option, JPM

      03/19/2014         0.90         75         (3 ) 

CDX.NA.IG-21, Call Option, BNP

      03/19/2014         0.60         130         (12 ) 

CDX.NA.IG-21, Put Option, BNP

      03/19/2014         0.90         130         (6 ) 

iTraxx Europe Main Series 20 Call Option, BNP

      03/19/2014         0.70         77         (20 ) 

iTraxx Europe Main Series 20 Put Option, BNP

      03/19/2014         1.10         77         (4 ) 
        

 

 

     

 

 

  
           564       $ (52 ) 
        

 

 

     

 

 

  

Inflation Floor

            

JNL/PIMCO Real Return Fund

            

Floor - CPURNSA Index Option, BNP

      03/01/2018         0.00         28       $ (2 ) 

Floor - CPURNSA Index Option, CIT

      09/29/2020         217.97         31         (1 ) 

Floor - CPURNSA Index Option, DUB

      01/22/2018         0.00         37         (2 ) 

Floor - CPURNSA Index Option, DUB

      03/10/2020         215.95         29         —   

Floor - CPURNSA Index Option, DUB

      10/13/2020         218.01         298         (8 ) 
        

 

 

     

 

 

  
           423       $ (13 ) 
        

 

 

     

 

 

  

JNL/PIMCO Total Return Bond Fund

            

Floor - CPURNSA Index Option, CIT

      03/12/2020         215.95         18       $ —   

Floor - CPURNSA Index Option, CIT

      09/29/2020         217.97         64         (2 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands, except contracts)

December 31, 2013

 

 

Schedule of Written Options

 

     Expiration
Date		      Exercise
Price		      Contracts/
Notional
Contracts		      Value  
  

 

 

  

Inflation Floor (continued)

            

JNL/PIMCO Total Return Bond Fund (continued)

            

Floor - CPURNSA Index Option, DUB

      03/10/2020         215.95         19       $ —   
        

 

 

     

 

 

  
     101       $ (2 ) 
        

 

 

     

 

 

  

Interest Rate Swaptions

            

JNL/BlackRock Global Allocation Fund

            

Put Swaption, 3-month LIBOR versus 2.25% fixed, GSI

      06/03/2014         N/A         41,654,876       $ (308 ) 

Put Swaption, 3-month LIBOR versus 2.25% fixed, GSI

      06/03/2014         N/A         69,871,407         (517 ) 

Put Swaption, 3-month LIBOR versus 2.30% fixed, DUB

      06/04/2014         N/A         34,961,100         (234 ) 

Put Swaption, 3-month LIBOR versus 5.75% fixed, GSI

      12/17/2015         N/A         67,464,000         (660 ) 
        

 

 

     

 

 

  
           213,951,383       $ (1,719 ) 
        

 

 

     

 

 

  

JNL/PIMCO Real Return Fund

            

Call Swaption, 6-month Euribor versus 0.55% fixed, BOA

      01/15/2014         N/A         1,608       $ (162 ) 

Call Swaption, 6-month Euribor versus 2.00% fixed, BBP

      01/27/2014         N/A         31         (2 ) 

Put Swaption, 3-month LIBOR versus 2.85% fixed, DUB

      04/14/2014         N/A         695         (36 ) 

Put Swaption, 3-month LIBOR versus 2.00% fixed, MSS

      03/31/2014         N/A         8,312         (1,532 ) 

Put Swaption, 6-month Euribor versus 0.75% fixed, BOA

      01/15/2014         N/A         1,608         (1 ) 

Put Swaption, 6-month Euribor versus 2.50% fixed, BBP

      01/27/2014         N/A         31         —   
        

 

 

     

 

 

  
           12,285       $ (1,733 ) 
        

 

 

     

 

 

  

JNL/PIMCO Total Return Bond Fund

            

Call Swaption, 3-month Euribor versus 0.40% fixed, BBP

      03/14/2014         N/A         74       $ (11 ) 

Call Swaption, 3-month Euribor versus 0.40% fixed, BOA

      03/12/2014         N/A         376         (55 ) 

Call Swaption, 3-month LIBOR versus 1.30% fixed, MSS

      01/27/2014         N/A         776         —   

Call Swaption, 3-month LIBOR versus 1.40% fixed, JPM

      03/03/2014         N/A         2,536         (35 ) 

Call Swaption, 3-month LIBOR versus 2.40% fixed, DUB

      03/17/2014         N/A         147         —   

Put Swaption, 3-month Euribor versus 0.40% fixed, BBP

      03/14/2014         N/A         74         (2 ) 

Put Swaption, 3-month Euribor versus 0.40% fixed, BOA

      03/12/2014         N/A         376         (12 ) 

Put Swaption, 3-month LIBOR versus 1.80% fixed, JPM

      03/03/2014         N/A         2,536         (2,243 ) 

Put Swaption, 3-month LIBOR versus 1.80% fixed, MSS

      01/27/2014         N/A         776         (371 ) 

Put Swaption, 3-month LIBOR versus 2.90% fixed, DUB

      03/17/2014         N/A         147         (433 ) 
        

 

 

     

 

 

  
           7,818       $ (3,162 ) 
        

 

 

     

 

 

  

Options on Securities

            

JNL/BlackRock Global Allocation Fund

            

Ace Ltd. Call Option

      02/22/2014         92.50         52       $ (55 ) 

CONSOL Energy Inc. Put Option

      04/19/2014         35.00         542         (75 ) 

Dresser-Rand Group Inc. Put Option

      03/22/2014         60.00         545         (161 ) 

EOG Resources Inc. Put Option

      04/19/2014         165.00         203         (175 ) 

Halliburton Co. Call Option, DUB

      01/17/2014         55.00         48,112         (4 ) 

Marathon Petroleum Corp. Call Option

      01/18/2014         77.50         546         (779 ) 

Marathon Petroleum Corp. Call Option

      04/19/2014         85.00         274         (277 ) 

Marathon Petroleum Corp. Call Option

      04/19/2014         80.00         411         (545 ) 

Marathon Petroleum Corp. Put Option

      04/19/2014         65.00         393         (20 ) 

Marathon Petroleum Corp. Put Option

      04/19/2014         62.50         391         (10 ) 

Phillips 66 Put Option

      05/17/2014         57.50         524         (26 ) 

PulteGroup Inc. Put Option

      01/18/2014         15.00         487         (1 ) 

QEP Resources Inc. Put Option, GSI

      04/17/2014         25.00         138,900         (55 ) 

Travelers Cos. Inc. Call Option

      01/18/2014         82.50         57         (47 ) 

Williams-Sonoma Inc. Call Option

      01/18/2014         52.50         113         (63 ) 

Williams-Sonoma Inc. Call Option

      01/18/2014         55.00         81         (28 ) 

XL Group PLC Call Option

      04/19/2014         32.00         153         (18 ) 
        

 

 

     

 

 

  
           191,784       $ (2,339 ) 
        

 

 

     

 

 

  

JNL/Ivy Asset Strategy Fund

            

Apple Inc. Call Option, GSC

      01/18/2014         600.00         266       $ (41 ) 

Applied Materials Inc. Call Option, BCL

      01/18/2014         21.00         1,528         (3 ) 

Applied Materials Inc. Put Option, BCL

      01/18/2014         13.00         434         (1 ) 

Applied Materials Inc. Put Option, BCL

      01/18/2014         14.00         434         —   

Cisco Systems Inc. Call Option, DUB

      01/18/2014         24.00         5,274         (5 ) 
        

 

 

     

 

 

  
           7,936       $ (50 ) 
        

 

 

     

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands, except contracts)

December 31, 2013

 

 

Summary of Written Options

 

     Contracts/
Notional
Contracts		     Premiums  

JNL/BlackRock Global Allocation Fund

  

Options outstanding at December 31, 2012

      113,012,855      $ 3,758   

Options written during the year

      624,139,634        15,596   

Options closed during the year

      (409,106,201 )      (11,056 ) 

Options exercised during the year

      (31,668 )      (967 ) 

Options expired during the year

      (113,824,421 )      (2,848 ) 
  

 

 

    

 

 

  

Options outstanding at December 31, 2013

      214,190,199      $ 4,483   
  

 

 

    

 

 

  

JNL/Franklin Templeton Mutual Shares Fund

  

Options outstanding at December 31, 2012

      –      $ –   

Options written during the year

      10        10   

Options closed during the year

      (10 )      (10 ) 
  

 

 

    

 

 

  

Options outstanding at December 31, 2013

      –      $ –   
  

 

 

    

 

 

  

JNL/Ivy Asset Strategy Fund

  

Options outstanding at December 31, 2012

      36,342      $ 4,058   

Options written during the year

      382,933        27,934   

Options closed during the year

      (39,299 )      (18,809 ) 

Options exercised during the year

      (309,577 )      (829 ) 

Options expired during the year

      (61,062 )      (10,656 ) 
  

 

 

    

 

 

  

Options outstanding at December 31, 2013

      9,337      $ 1,698   
  

 

 

    

 

 

  

JNL/PIMCO Real Return Fund

  

Options outstanding at December 31, 2012

      5,262      $ 4,647   

Options written during the year

      112,348,003        7,628   

Options closed during the year

      (43,001,021 )      (1,188 ) 

Options expired during the year

      (69,338,058 )      (6,655 ) 
  

 

 

    

 

 

  

Options outstanding at December 31, 2013

      14,186      $ 4,432   
  

 

 

    

 

 

  

JNL/PIMCO Total Return Bond Fund

  

Options outstanding at December 31, 2012

      10,409      $ 3,739   

Options written during the year

      115,263,352        11,191   

Options closed during the year

      (8,461 )      (2,945 ) 

Options expired during the year

      (115,256,375 )      (9,173 ) 
  

 

 

    

 

 

  

Options outstanding at December 31, 2013

      8,925      $ 2,812   
  

 

 

    

 

 

  

Schedule of Exchange Traded Purchased Options

 

     Expiration
Date		      Exercise
Price		      Contracts     

Unrealized

Depreciation

  
  

 

 

  

Exchange Traded Purchased Options on Futures

  

JNL/Mellon Capital Global Alpha Fund

            

Euro-Bund Call Option

      02/21/2014         EUR 110.00         34       $ (75 ) 

Euro-Bund Put Option

      02/21/2014         EUR 147.00         117         (5 ) 
        

 

 

     

 

 

  
           151       $ (80 ) 
        

 

 

     

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands, except contracts)

December 31, 2013

 

 

Schedule of Open Futures Contracts

 

     Expiration   Contracts
Long/
(Short)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/AQR Managed Futures Strategy Fund

  

3-Month Euro Euribor Interest Rate Future

   June 2014     (110 )    $ (20 ) 

3-Month Euro Euribor Interest Rate Future

   September 2014     22        —   

3-Month Euro Euribor Interest Rate Future

   December 2014     89        (8 ) 

3-Month Euro Euribor Interest Rate Future

   March 2015     192        (17 ) 

3-Month Euro Euribor Interest Rate Future

   June 2015     251        (37 ) 

3-Month Euro Euribor Interest Rate Future

   September 2015     256        (57 ) 

3-Month Euro Euribor Interest Rate Future

   December 2015     245        (156 ) 

3-Month Euro Swiss Franc Interest Rate Future

   June 2014     (214 )      (2 ) 

3-Month Euro Swiss Franc Interest Rate Future

   September 2014     (94 )      (1 ) 

3-Month Sterling Interest Rate Future

   June 2014     (287 )      18   

3-Month Sterling Interest Rate Future

   September 2014     (193 )      13   

3-Month Sterling Interest Rate Future

   December 2014     (193 )      20   

3-Month Sterling Interest Rate Future

   March 2015     (222 )      34   

3-Month Sterling Interest Rate Future

   June 2015     (258 )      61   

3-Month Sterling Interest Rate Future

   September 2015     (281 )      76   

3-Month Sterling Interest Rate Future

   December 2015     (329 )      118   

90-Day Eurodollar Future

   June 2014     66        (3 ) 

90-Day Eurodollar Future

   September 2014     63        (6 ) 

90-Day Eurodollar Future

   December 2014     262        2   

90-Day Eurodollar Future

   March 2015     341        4   

90-Day Eurodollar Future

   June 2015     398        (5 ) 

90-Day Eurodollar Future

   September 2015     324        (34 ) 

90-Day Eurodollar Future

   December 2015     225        (124 ) 

Amsterdam Exchanges Index Future

   January 2014     82        482   

ASX SPI 200 Index Future

   March 2014     47        192   

Australia Commonwealth Treasury Bond Future, 10-Year

   March 2014     (298 )      (271 ) 

Australia Commonwealth Treasury Bond Future, 3-Year

   March 2014     (111 )      (20 ) 

Brent Crude Oil Future

   March 2014     58        (79 ) 

CAC40 10 Euro Future

   January 2014     103        277   

Canadian Bank Acceptance Future

   June 2014     57        3   

Canadian Bank Acceptance Future

   September 2014     207        (1 ) 

Canadian Government Bond Future, 10-Year

   March 2014     (163 )      178   

CBT Wheat Future

   March 2014     (125 )      344   

Coffee ‘C’ Future

   March 2014     (97 )      (151 ) 

Copper Future

   March 2014     (37 )      (82 ) 

Corn Future

   March 2014     (870 )      777   

Cotton No.2 Future

   March 2014     (11 )      (38 ) 

DJIA Mini E-CBOT Future

   March 2014     279        1,071   

E-mini S&P 500 Future

   March 2014     226        798   

E-mini S&P MidCap 400 Future

   March 2014     128        675   

Euro STOXX 50 Future

   March 2014     316        602   

Euro-Bund Future

   March 2014     (17 )      14   

Euro-Buxl Future

   March 2014     (113 )      148   
     Expiration   Contracts
Long/
(Short)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/AQR Managed Futures Strategy Fund (continued)

  

Euro-Schatz Future

   March 2014     (867 )    $ (12 ) 

FTSE 100 Index Future

   March 2014     80        272   

FTSE/JSE Top 40 Index Future

   March 2014     77        175   

FTSE/MIB Index Future

   March 2014     35        196   

German Stock Index Future

   March 2014     60        919   

Hang Seng Index Future

   January 2014     11        27   

IBEX 35 Index Future

   January 2014     52        375   

ICE Cocoa Future

   March 2014     122        (58 ) 

Japanese Government Bond Future, 10-Year

   March 2014     41        (271 ) 

KCBT Wheat Future

   March 2014     (2 )      5   

KOSPI 200 Future

   March 2014     (20 )      (62 ) 

Lean Hogs Future

   February 2014     (78 )      29   

LME Copper Future

   March 2014     (42 )      (379 ) 

LME Nickel Future

   March 2014     (24 )      (41 ) 

LME Zinc Future

   March 2014     (27 )      (114 ) 

MSCI Taiwan Stock Index Future

   January 2014     97        61   

NASDAQ 100 E-Mini Future

   March 2014     325        818   

Natural Gas Future

   February 2014     136        (78 ) 

NYSE Liffe Cocoa Future

   March 2014     2        —   

Platinum Future

   April 2014     (42 )      (113 ) 

Russell 2000 Mini Index Future

   March 2014     135        811   

S&P/Toronto Stock Exchange 60 Index Future

   March 2014     156        817   

SGX CNX Nifty Index Future

   January 2014     156        8   

SGX MSCI Singapore Index Future

   January 2014     64        84   

Soybean Future

   March 2014     87        (75 ) 

Soybean Meal Future

   March 2014     94        (18 ) 

Soybean Oil Future

   March 2014     (330 )      314   

Sugar #11 (World Markets) Future

   March 2014     (1,248 )      668   

Tokyo Price Index Future

   March 2014     100        469   

U.K. Long Gilt Future

   March 2014     (185 )      624   

U.S. Treasury Long Bond Future

   March 2014     (167 )      281   

U.S. Treasury Note Future, 10-Year

   March 2014     (230 )      302   

U.S. Treasury Note Future, 5-Year

   March 2014     (164 )      59   
     

 

 

  
  $ 10,888   
 

 

 

  

JNL/BlackRock Global Allocation Fund

  

ASX SPI 200 Index Future

   March 2014     4      $ 21   

CAC40 10 Euro Future

   January 2014     18        47   

E-mini S&P 500 Future

   March 2014     (379 )      (344 ) 

Euro STOXX 50 Future

   March 2014     (922 )      (1,336 ) 

FTSE 100 Index Future

   March 2014     (31 )      (34 ) 

German Stock Index Future

   March 2014     1        14   

mini MSCI Emerging Markets Index Future

   March 2014     (691 )      (955 ) 

S&P/Toronto Stock Exchange 60 Index Future

   March 2014     6        31   

Yen Denominated Nikkei 225 Future

   March 2014     (59 )      (46 ) 
     

 

 

  
  $ (2,602 ) 
 

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund

  

90-Day Eurodollar Future

   December 2015     (588 )    $ 366   

90-Day Eurodollar Future

   March 2016     (294 )      140   

90-Day Eurodollar Future

   June 2016     (294 )      179   

Euro-Bobl Future

   March 2014     90        (169 ) 

Euro-BTP Future

   March 2014     58        66   

Euro-Bund Future

   March 2014     (52 )      52   

U.K. Long Gilt Future

   March 2014     (5 )      20   

U.S. Treasury Long Bond Future

   March 2014     76        (57 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands, except contracts)

December 31, 2013

 

 

Schedule of Open Futures Contracts

 

     Expiration   Contracts
Long/
(Short)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/Goldman Sachs Core Plus Bond Fund (continued)

  

U.S. Treasury Note Future, 10-Year

   March 2014     (118 )    $ 80   

U.S. Treasury Note Future, 2-Year

   March 2014     196        (65 ) 

U.S. Treasury Note Future, 5-Year

   March 2014     (323 )      524   

Ultra Long Term U.S. Treasury Bond Future

   March 2014     293        (736 ) 
     

 

 

  
  $ 400   
 

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund

  

90-Day Eurodollar Future

   December 2015     (570 )    $ 355   

90-Day Eurodollar Future

   March 2016     (285 )      135   

90-Day Eurodollar Future

   June 2016     (285 )      174   

U.S. Treasury Long Bond Future

   March 2014     (194 )      485   

U.S. Treasury Note Future, 10-Year

   March 2014     (753 )      1,698   

U.S. Treasury Note Future, 2-Year

   March 2014     260        (105 ) 

U.S. Treasury Note Future, 5-Year

   March 2014     (956 )      1,102   

Ultra Long Term U.S. Treasury Bond Future

   March 2014     (17 )      20   
     

 

 

  
  $ 3,864   
 

 

 

  

JNL/Ivy Asset Strategy Fund

  

Gold 100 Oz. Future

   February 2014     (1,817 )    $ 7,207   
 

 

 

  

JNL/Mellon Capital Emerging Market Index Fund

  

mini MSCI Emerging Markets Index Future

   March 2014     62      $ 57   
 

 

 

  

JNL/Mellon Capital S&P 500 Index Fund

  

E-mini S&P 500 Future

   March 2014     905      $ 1,955   
 

 

 

  

JNL/Mellon Capital S&P 400 Mid Cap Index Fund

  

E-mini S&P MidCap 400 Future

   March 2014     475      $ 1,628   
 

 

 

  

JNL/Mellon Capital Small Cap Index Fund

  

Russell 2000 Mini Index Future

   March 2014     459      $ 1,941   
 

 

 

  

JNL/Mellon Capital International Index Fund

  

ASX SPI 200 Index Future

   March 2014     66      $ 331   

Euro STOXX 50 Future

   March 2014     441        807   

FTSE 100 Index Future

   March 2014     165        639   

Tokyo Price Index Future

   March 2014     116        504   
     

 

 

  
  $ 2,281   
 

 

 

  

JNL/Mellon Capital Global Alpha Fund

  

Amsterdam Exchanges Index Future

   January 2014     (21 )    $ (128 ) 

ASX SPI 200 Index Future

   March 2014     322        1,998   

Australia Commonwealth Treasury Bond Future, 10-Year

   March 2014     617        581   

CAC40 10 Euro Future

   January 2014     159        440   

Canadian Government Bond Future, 10-Year

   March 2014     15        (13 ) 

E-mini S&P 500 Future

   March 2014     (198 )      (659 ) 

Euro-Bund Future

   March 2014     (263 )      550   

FTSE 100 Index Future

   March 2014     (526 )      (1,788 ) 

FTSE/MIB Index Future

   March 2014     50        284   

German Stock Index Future

   March 2014     137        2,022   

Hang Seng Index Future

   January 2014     210        474   

IBEX 35 Index Future

   January 2014     (81 )      (576 ) 

S&P/Toronto Stock Exchange 60 Index Future

   March 2014     (24 )      (150 ) 
     Expiration   Contracts
Long/
(Short)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/Mellon Capital Global Alpha Fund (continued)

  

SGX Japanese Government Bond Future, 10-Year

   March 2014     (366 )    $ 264   

Tokyo Price Index Future

   March 2014     117        321   

U.K. Long Gilt Future

   March 2014     (306 )      1,142   

U.S. Treasury Note Future, 10-Year

   March 2014     (68 )      4   
     

 

 

  
  $ 4,766   
 

 

 

  

JNL/Neuberger Berman Strategic Income Fund

  

3-Month Euro Euribor Interest Rate Future

   December 2016     111      $ (21 ) 

3-Month Euro-Yen Future

   March 2014     39        —   

3-Month New Zealand Bank Bill Future

   June 2014     30        (17 ) 

3-Month Sterling Interest Rate Future

   December 2016     98        (49 ) 

90-Day Eurodollar Future

   December 2016     86        12   

ASX 90-Day Bank Accepted Bills Future

   March 2015     35        16   

Australian Dollar Future

   March 2014     (37 )      72   

Euro FX Currency Future

   March 2014     (13 )      (32 ) 

Euro-Buxl Future

   March 2014     (29 )      85   

New Zealand Dollar Future

   March 2014     (70 )      1   

SGX Japanese Government Bond Future, 10-Year

   March 2014     (109 )      108   

U.S. Treasury Long Bond Future

   March 2014     (108 )      292   

U.S. Treasury Note Future, 10-Year

   March 2014     (646 )      1,533   

U.S. Treasury Note Future, 2-Year

   March 2014     (196 )      88   

U.S. Treasury Note Future, 5-Year

   March 2014     (398 )      561   

Ultra Long Term U.S. Treasury Bond Future

   March 2014     (69 )      204   
     

 

 

  
  $ 2,853   
 

 

 

  

JNL/PIMCO Real Return Fund

  

90-Day Eurodollar Future

   September 2014     13      $ 5   

90-Day Eurodollar Future

   September 2015     392        3   

90-Day Eurodollar Future

   December 2015     91        (25 ) 

90-Day Eurodollar Future

   March 2016     923        (730 ) 

90-Day Eurodollar Future

   March 2017     140        (97 ) 

U.S. Treasury Note Future, 10-Year

   March 2014     97        (259 ) 

U.S. Treasury Note Future, 5-Year

   March 2014     982        (1,576 ) 
     

 

 

  
  $ (2,679 ) 
 

 

 

  

JNL/PIMCO Total Return Bond Fund

  

3-Month Euro Euribor Interest Rate Future

   December 2014     147      $ (30 ) 

3-Month Euro Euribor Interest Rate Future

   March 2015     147        (45 ) 

3-Month Euro Euribor Interest Rate Future

   June 2015     147        (61 ) 

3-Month Euro Euribor Interest Rate Future

   September 2015     147        (76 ) 

90-Day Eurodollar Future

   December 2014     2,501        (117 ) 

90-Day Eurodollar Future

   March 2015     115        7   

90-Day Eurodollar Future

   June 2015     1,196        (240 ) 

90-Day Eurodollar Future

   September 2015     3,970        582   

90-Day Eurodollar Future

   December 2015     8,399        (3,095 ) 

90-Day Eurodollar Future

   March 2016     2,759        (1,400 ) 

90-Day Eurodollar Future

   June 2016     536        (355 ) 

90-Day Eurodollar Future

   September 2016     502        138   

90-Day Eurodollar Future

   December 2016     303        222   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands, except contracts)

December 31, 2013

 

 

Schedule of Open Futures Contracts

 

     Expiration   Contracts
Long/
(Short)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/PIMCO Total Return Bond Fund (continued)

  

90-Day Eurodollar Future

   March 2017     304      $ 317   

90-Day Eurodollar Future

   June 2017     236        209   

U.S. Treasury Note Future, 10-Year

   March 2014     769        (1,789 ) 

U.S. Treasury Note Future, 5-Year

   March 2014     6,138        (9,746 ) 
     

 

 

  
  $ (15,479 ) 
 

 

 

  

JNL/PPM America Floating Rate Income Fund

  

U.S. Treasury Long Bond Future

   March 2014     (12 )    $ 26   

U.S. Treasury Note Future, 10-Year

   March 2014     (128 )      299   

U.S. Treasury Note Future, 5-Year

   March 2014     (73 )      115   
     

 

 

  
  $ 440   
 

 

 

  

JNL/PPM America High Yield Bond Fund

  

U.S. Treasury Long Bond Future

   March 2014     14      $ (30 ) 

U.S. Treasury Note Future, 10-Year

   March 2014     (297 )      590   

Ultra Long Term U.S. Treasury Bond Future

   March 2014     (112 )      222   
     

 

 

  
  $ 782   
 

 

 

  

JNL/T. Rowe Price Mid-Cap Growth Fund

  

E-mini S&P 500 Future

   March 2014     26      $ 81   
 

 

 

  

JNL/T. Rowe Price Short-Term Bond Fund

  

10-Year USD Deliverable Interest Rate Swap Future

   March 2014     (219 )    $ 305   
 

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/AQR Managed Futures Strategy Fund

  

CHF/USD

   03/19/2014   RBS   CHF     350      $ 393      $ 8   

CHF/USD

   03/19/2014   RBS   CHF     16        18        —   

CHF/USD

   03/19/2014   RBS   CHF     16        18        —   

EUR/USD

   03/19/2014   RBS   EUR     17,563        24,161        305   

EUR/USD

   03/19/2014   RBS   EUR     41,015        56,424        703   

EUR/USD

   03/19/2014   RBS   EUR     1,810        2,490        31   

EUR/USD

   03/19/2014   RBS   EUR     34,888        47,995        443   

EUR/USD

   03/19/2014   RBS   EUR     108,185        148,829        121   

EUR/USD

   03/19/2014   RBS   EUR     27,458        37,774        (51 ) 

EUR/USD

   03/19/2014   RBS   EUR     3,051        4,197        (11 ) 

EUR/USD

   03/19/2014   RBS   EUR     690        949        3   

EUR/USD

   03/19/2014   RBS   EUR     10,620        14,610        24   

EUR/USD

   03/19/2014   RBS   EUR     1,301        1,790        10   

EUR/USD

   03/19/2014   RBS   EUR     1,068        1,469        13   

GBP/USD

   03/19/2014   RBS   GBP     5,670        9,384        93   

GBP/USD

   03/19/2014   RBS   GBP     5,986        9,907        99   

GBP/USD

   03/19/2014   RBS   GBP     5,986        9,907        124   

GBP/USD

   03/19/2014   RBS   GBP     374        619        7   

GBP/USD

   03/19/2014   RBS   GBP     4,808        7,958        107   

GBP/USD

   03/19/2014   RBS   GBP     15,648        25,898        257   

GBP/USD

   03/19/2014   RBS   GBP     2,502        4,141        55   

GBP/USD

   03/19/2014   RBS   GBP     1,563        2,587        32   

HUF/USD

   03/19/2014   RBS   HUF     87,728        404        13   

HUF/USD

   03/19/2014   RBS   HUF     87,728        404        10   

HUF/USD

   03/19/2014   RBS   HUF     334,543        1,542        25   

HUF/USD

   03/19/2014   RBS   HUF     330,000        1,521        17   

HUF/USD

   03/19/2014   RBS   HUF     190,000        876        12   

HUF/USD

   03/19/2014   RBS   HUF     20,000        92        1   

ILS/USD

   03/19/2014   RBS   ILS     6,100        1,755        25   

ILS/USD

   03/19/2014   RBS   ILS     6,726        1,935        30   

ILS/USD

   03/19/2014   RBS   ILS     300        86        1   

ILS/USD

   03/19/2014   RBS   ILS     25,974        7,472        58   

ILS/USD

   03/19/2014   RBS   ILS     7,300        2,100        17   

ILS/USD

   03/19/2014   RBS   ILS     100        29        —   

INR/USD

   03/19/2014   RBS   INR     20,000        318        6   

INR/USD

   03/19/2014   RBS   INR     108,000        1,715        (9 ) 

INR/USD

   03/19/2014   RBS   INR     190,000        3,018        2   

INR/USD

   03/19/2014   RBS   INR     43,000        683        6   

INR/USD

   03/19/2014   RBS   INR     32,000        508        5   

JPY/USD

   03/19/2014   RBS   JPY     169,531        1,610        (41 ) 

JPY/USD

   03/19/2014   RBS   JPY     758,718        7,207        (199 ) 

JPY/USD

   03/19/2014   RBS   JPY     193,062        1,834        (45 ) 

JPY/USD

   03/19/2014   RBS   JPY     149,000        1,415        (12 ) 

JPY/USD

   03/19/2014   RBS   JPY     203,000        1,928        (25 ) 

KRW/USD

   03/19/2014   RBS   KRW     450,000        424        3   

KRW/USD

   03/19/2014   RBS   KRW     5,370,989        5,065        34   

KRW/USD

   03/19/2014   RBS   KRW     25,909,011        24,435        (38 ) 

KRW/USD

   03/19/2014   RBS   KRW     180,000        170        —   

KRW/USD

   03/19/2014   RBS   KRW     60,000        57        —   

KRW/USD

   03/19/2014   RBS   KRW     10,000        9        —   

KRW/USD

   03/19/2014   RBS   KRW     400,000        377        1   

KRW/USD

   03/19/2014   RBS   KRW     400,000        377        3   

MXN/USD

   03/19/2014   RBS   MXN     71,000        5,405        79   

MXN/USD

   03/19/2014   RBS   MXN     42,000        3,198        (29 ) 

MXN/USD

   03/19/2014   RBS   MXN     32,000        2,436        (9 ) 

NOK/USD

   03/19/2014   RBS   NOK     6,352        1,044        9   

NOK/USD

   03/19/2014   RBS   NOK     1,069        176        2   

NOK/USD

   03/19/2014   RBS   NOK     10,929        1,797        21   

NZD/USD

   03/19/2014   RBS   NZD     24,028        19,653        78   

NZD/USD

   03/19/2014   RBS   NZD     60,793        49,723        (295 ) 

PHP/USD

   03/19/2014   RBS   PHP     2,000        45        (1 ) 
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/AQR Managed Futures Strategy Fund (continued)

  

PHP/USD

   03/19/2014   RBS   PHP     1,000      $ 23      $ —   

PLN/USD

   03/19/2014   RBS   PLN     6,400        2,109        54   

PLN/USD

   03/19/2014   RBS   PLN     100        33        1   

PLN/USD

   03/19/2014   RBS   PLN     7,563        2,492        66   

PLN/USD

   03/19/2014   RBS   PLN     6,001        1,977        38   

PLN/USD

   03/19/2014   RBS   PLN     4,400        1,450        9   

PLN/USD

   03/19/2014   RBS   PLN     28,636        9,435        71   

PLN/USD

   03/19/2014   RBS   PLN     6,500        2,142        16   

PLN/USD

   03/19/2014   RBS   PLN     1,900        626        5   

PLN/USD

   03/19/2014   RBS   PLN     3,000        988        5   

PLN/USD

   03/19/2014   RBS   PLN     200        66        —   

RUB/USD

   03/19/2014   RBS   RUB     41,000        1,231        —   

SEK/USD

   03/19/2014   RBS   SEK     42,228        6,557        115   

SEK/USD

   03/19/2014   RBS   SEK     29,893        4,642        60   

SEK/USD

   03/19/2014   RBS   SEK     22,836        3,546        61   

SGD/USD

   03/19/2014   RBS   SGD     12,600        9,985        (101 ) 

SGD/USD

   03/19/2014   RBS   SGD     2,000        1,585        (16 ) 

SGD/USD

   03/19/2014   RBS   SGD     200        158        (1 ) 

TWD/USD

   03/19/2014   RBS   TWD     21,221        714        (8 ) 

TWD/USD

   03/19/2014   RBS   TWD     68,779        2,313        (28 ) 

USD/AUD

   03/19/2014   RBS   AUD     (15,719 )      (13,967 )      269   

USD/AUD

   03/19/2014   RBS   AUD     (42,490 )      (37,754 )      639   

USD/AUD

   03/19/2014   RBS   AUD     (11,745 )      (10,436 )      202   

USD/AUD

   03/19/2014   RBS   AUD     (3,779 )      (3,358 )      (4 ) 

USD/AUD

   03/19/2014   RBS   AUD     (6,371 )      (5,661 )      (1 ) 

USD/AUD

   03/19/2014   RBS   AUD     (6,408 )      (5,694 )      (9 ) 

USD/AUD

   03/19/2014   RBS   AUD     (2,758 )      (2,451 )      (7 ) 

USD/AUD

   03/19/2014   RBS   AUD     (2,149 )      (1,910 )      (17 ) 

USD/AUD

   03/19/2014   RBS   AUD     (200 )      (178 )      (1 ) 

USD/AUD

   03/19/2014   RBS   AUD     (100 )      (89 )      —   

USD/BRL

   03/19/2014   RBS   BRL     (500 )      (208 )      (1 ) 

USD/BRL

   03/19/2014   RBS   BRL     (1,200 )      (499 )      (3 ) 

USD/BRL

   03/19/2014   RBS   BRL     (3,100 )      (1,290 )      (15 ) 

USD/BRL

   03/19/2014   RBS   BRL     (1,000 )      (416 )      1   

USD/BRL

   03/19/2014   RBS   BRL     (3,900 )      (1,623 )      13   

USD/BRL

   03/19/2014   RBS   BRL     (3,300 )      (1,373 )      20   

USD/BRL

   03/19/2014   RBS   BRL     (1,300 )      (541 )      6   

USD/BRL

   03/19/2014   RBS   BRL     (1,000 )      (416 )      4   

USD/BRL

   03/19/2014   RBS   BRL     (2,100 )      (874 )      (1 ) 

USD/BRL

   03/19/2014   RBS   BRL     (3,000 )      (1,249 )      (13 ) 

USD/BRL

   03/19/2014   RBS   BRL     (1,600 )      (666 )      (5 ) 

USD/CAD

   03/19/2014   RBS   CAD     (15,174 )      (14,259 )      (49 ) 

USD/CAD

   03/19/2014   RBS   CAD     (7,674 )      (7,211 )      (26 ) 

USD/CAD

   03/19/2014   RBS   CAD     (4,259 )      (4,002 )      (21 ) 

USD/CAD

   03/19/2014   RBS   CAD     (5,511 )      (5,179 )      (37 ) 

USD/CAD

   03/19/2014   RBS   CAD     (5,511 )      (5,179 )      (25 ) 

USD/CAD

   03/19/2014   RBS   CAD     (16,750 )      (15,740 )      (23 ) 

USD/CAD

   03/19/2014   RBS   CAD     (14,853 )      (13,957 )      20   

USD/CAD

   03/19/2014   RBS   CAD     (1,372 )      (1,289 )      (4 ) 

USD/CAD

   03/19/2014   RBS   CAD     (4,458 )      (4,189 )      14   

USD/CAD

   03/19/2014   RBS   CAD     (2,817 )      (2,647 )      (24 ) 

USD/CHF

   03/19/2014   RBS   CHF     (223 )      (250 )      (3 ) 

USD/CHF

   03/19/2014   RBS   CHF     (134 )      (150 )      —   

USD/CHF

   03/19/2014   RBS   CHF     (26 )      (29 )      —   

USD/CHF

   03/19/2014   RBS   CHF     (20 )      (22 )      —   

USD/CHF

   03/19/2014   RBS   CHF     (49 )      (55 )      —   

USD/CHF

   03/19/2014   RBS   CHF     (35 )      (39 )      —   

USD/CHF

   03/19/2014   RBS   CHF     (85 )      (95 )      1   

USD/CHF

   03/19/2014   RBS   CHF     (451 )      (506 )      —   

USD/CLP

   03/19/2014   RBS   CLP     (590,000 )      (1,113 )      (21 ) 

USD/CLP

   03/19/2014   RBS   CLP     (510,000 )      (963 )      (16 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/AQR Managed Futures Strategy Fund (continued)

  

USD/CLP

   03/19/2014   RBS   CLP     (310,000 )    $ (585 )    $ (11 ) 

USD/CLP

   03/19/2014   RBS   CLP     (600,000 )      (1,132 )      (19 ) 

USD/CLP

   03/19/2014   RBS   CLP     (40,000 )      (76 )      (1 ) 

USD/CLP

   03/19/2014   RBS   CLP     (80,000 )      (151 )      (2 ) 

USD/CLP

   03/19/2014   RBS   CLP     (30,000 )      (57 )      —   

USD/COP

   03/19/2014   RBS   COP     (1,700,000 )      (877 )      (8 ) 

USD/COP

   03/19/2014   RBS   COP     (400,000 )      (206 )      (2 ) 

USD/COP

   03/19/2014   RBS   COP     (700,000 )      (361 )      (4 ) 

USD/COP

   03/19/2014   RBS   COP     (800,000 )      (413 )      (4 ) 

USD/COP

   03/19/2014   RBS   COP     (600,000 )      (310 )      (2 ) 

USD/CZK

   03/19/2014   RBS   CZK     (151,029 )      (7,610 )      (69 ) 

USD/CZK

   03/19/2014   RBS   CZK     (7,000 )      (353 )      (3 ) 

USD/EUR

   03/19/2014   RBS   EUR     (71 )      (98 )      (1 ) 

USD/EUR

   03/19/2014   RBS   EUR     (87 )      (120 )      —   

USD/EUR

   03/19/2014   RBS   EUR     (47 )      (65 )      —   

USD/EUR

   03/19/2014   RBS   EUR     (96 )      (132 )      —   

USD/EUR

   03/19/2014   RBS   EUR     (656 )      (902 )      1   

USD/EUR

   03/19/2014   RBS   EUR     (772 )      (1,062 )      1   

USD/EUR

   03/19/2014   RBS   EUR     (1,631 )      (2,244 )      (12 ) 

USD/GBP

   03/19/2014   RBS   GBP     (6,805 )      (11,263 )      (107 ) 

USD/GBP

   03/19/2014   RBS   GBP     (2,088 )      (3,456 )      (33 ) 

USD/GBP

   03/19/2014   RBS   GBP     (193 )      (319 )      (4 ) 

USD/GBP

   03/19/2014   RBS   GBP     (1,231 )      (2,037 )      (34 ) 

USD/GBP

   03/19/2014   RBS   GBP     (1,872 )      (3,098 )      (47 ) 

USD/HKD

   03/19/2014   RBS   HKD     (71 )      (9 )      —   

USD/HUF

   03/19/2014   RBS   HUF     (200,000 )      (922 )      (32 ) 

USD/HUF

   03/19/2014   RBS   HUF     (120,000 )      (553 )      (18 ) 

USD/HUF

   03/19/2014   RBS   HUF     (60,000 )      (277 )      (5 ) 

USD/HUF

   03/19/2014   RBS   HUF     (150,000 )      (691 )      (15 ) 

USD/HUF

   03/19/2014   RBS   HUF     (240,000 )      (1,106 )      (22 ) 

USD/HUF

   03/19/2014   RBS   HUF     (30,000 )      (138 )      (1 ) 

USD/IDR

   03/19/2014   RBS   IDR     (61,400,000 )      (4,977 )      5   

USD/IDR

   03/19/2014   RBS   IDR     (3,000,000 )      (243 )      (3 ) 

USD/IDR

   03/19/2014   RBS   IDR     (1,000,000 )      (81 )      —   

USD/IDR

   03/19/2014   RBS   IDR     (1,000,000 )      (81 )      (1 ) 

USD/ILS

   03/19/2014   RBS   ILS     (700 )      (201 )      (2 ) 

USD/ILS

   03/19/2014   RBS   ILS     (3,000 )      (863 )      (8 ) 

USD/INR

   03/19/2014   RBS   INR     (432,000 )      (6,861 )      33   

USD/INR

   03/19/2014   RBS   INR     (39,000 )      (619 )      (2 ) 

USD/JPY

   03/19/2014   RBS   JPY     (3,970,642 )      (37,719 )      1,039   

USD/JPY

   03/19/2014   RBS   JPY     (4,451 )      (42 )      1   

USD/JPY

   03/19/2014   RBS   JPY     (22,789,806 )      (216,489 )      4,935   

USD/JPY

   03/19/2014   RBS   JPY     (426,009 )      (4,047 )      68   

USD/JPY

   03/19/2014   RBS   JPY     (906,882 )      (8,615 )      194   

USD/JPY

   03/19/2014   RBS   JPY     (200,175 )      (1,902 )      44   

USD/JPY

   03/19/2014   RBS   JPY     (427,738 )      (4,063 )      52   

USD/JPY

   03/19/2014   RBS   JPY     (1,820,933 )      (17,298 )      420   

USD/KRW

   03/19/2014   RBS   KRW     (230,000 )      (217 )      (2 ) 

USD/KRW

   03/19/2014   RBS   KRW     (110,000 )      (104 )      —   

USD/KRW

   03/19/2014   RBS   KRW     (240,000 )      (226 )      —   

USD/KRW

   03/19/2014   RBS   KRW     (90,000 )      (85 )      —   

USD/MXN

   03/19/2014   RBS   MXN     (2,000 )      (152 )      (2 ) 

USD/MXN

   03/19/2014   RBS   MXN     (19,000 )      (1,447 )      (9 ) 

USD/MXN

   03/19/2014   RBS   MXN     (2,000 )      (152 )      1   

USD/MXN

   03/19/2014   RBS   MXN     (32,000 )      (2,436 )      21   

USD/MXN

   03/19/2014   RBS   MXN     (11,000 )      (837 )      8   

USD/MXN

   03/19/2014   RBS   MXN     (21,000 )      (1,599 )      8   

USD/MXN

   03/19/2014   RBS   MXN     (9,000 )      (685 )      3   

USD/MYR

   03/19/2014   RBS   MYR     (600 )      (182 )      3   

USD/MYR

   03/19/2014   RBS   MYR     (6,800 )      (2,067 )      36   

USD/MYR

   03/19/2014   RBS   MYR     (1,700 )      (517 )      7   
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/AQR Managed Futures Strategy Fund (continued)

  

USD/MYR

   03/19/2014   RBS   MYR     (5,800 )    $ (1,763 )    $ 20   

USD/MYR

   03/19/2014   RBS   MYR     (5,200 )      (1,580 )      11   

USD/MYR

   03/19/2014   RBS   MYR     (2,600 )      (790 )      2   

USD/MYR

   03/19/2014   RBS   MYR     (200 )      (61 )      —   

USD/MYR

   03/19/2014   RBS   MYR     (100 )      (30 )      —   

USD/NOK

   03/19/2014   RBS   NOK     (77,409 )      (12,727 )      (178 ) 

USD/NOK

   03/19/2014   RBS   NOK     (196,075 )      (32,237 )      (394 ) 

USD/NZD

   03/19/2014   RBS   NZD     (18,973 )      (15,518 )      27   

USD/NZD

   03/19/2014   RBS   NZD     (4,749 )      (3,884 )      22   

USD/NZD

   03/19/2014   RBS   NZD     (4,279 )      (3,500 )      4   

USD/NZD

   03/19/2014   RBS   NZD     (6,381 )      (5,219 )      17   

USD/NZD

   03/19/2014   RBS   NZD     (2,427 )      (1,985 )      10   

USD/NZD

   03/19/2014   RBS   NZD     (1,898 )      (1,552 )      5   

USD/NZD

   03/19/2014   RBS   NZD     (1,360 )      (1,112 )      (5 ) 

USD/NZD

   03/19/2014   RBS   NZD     (4,242 )      (3,470 )      (22 ) 

USD/NZD

   03/19/2014   RBS   NZD     (2,399 )      (1,962 )      (7 ) 

USD/PHP

   03/19/2014   RBS   PHP     (50,000 )      (1,128 )      4   

USD/PHP

   03/19/2014   RBS   PHP     (313,000 )      (7,060 )      29   

USD/PHP

   03/19/2014   RBS   PHP     (52,000 )      (1,173 )      1   

USD/PHP

   03/19/2014   RBS   PHP     (51,000 )      (1,150 )      3   

USD/PHP

   03/19/2014   RBS   PHP     (53,000 )      (1,195 )      6   

USD/PHP

   03/19/2014   RBS   PHP     (47,000 )      (1,060 )      6   

USD/PHP

   03/19/2014   RBS   PHP     (31,000 )      (699 )      2   

USD/PHP

   03/19/2014   RBS   PHP     (9,000 )      (203 )      (1 ) 

USD/PHP

   03/19/2014   RBS   PHP     (6,000 )      (135 )      —   

USD/RUB

   03/19/2014   RBS   RUB     (3,000 )      (90 )      (1 ) 

USD/RUB

   03/19/2014   RBS   RUB     (97,000 )      (2,913 )      (48 ) 

USD/RUB

   03/19/2014   RBS   RUB     (181,000 )      (5,436 )      (86 ) 

USD/RUB

   03/19/2014   RBS   RUB     (30,000 )      (901 )      1   

USD/RUB

   03/19/2014   RBS   RUB     (60,000 )      (1,802 )      (4 ) 

USD/RUB

   03/19/2014   RBS   RUB     (54,000 )      (1,622 )      (5 ) 

USD/RUB

   03/19/2014   RBS   RUB     (54,000 )      (1,622 )      (8 ) 

USD/RUB

   03/19/2014   RBS   RUB     (40,000 )      (1,201 )      (6 ) 

USD/RUB

   03/19/2014   RBS   RUB     (15,000 )      (450 )      (1 ) 

USD/SEK

   03/19/2014   RBS   SEK     (46,657 )      (7,245 )      (102 ) 

USD/SEK

   03/19/2014   RBS   SEK     (39,479 )      (6,130 )      (88 ) 

USD/SEK

   03/19/2014   RBS   SEK     (50,809 )      (7,889 )      (92 ) 

USD/SEK

   03/19/2014   RBS   SEK     (113,402 )      (17,609 )      (303 ) 

USD/SEK

   03/19/2014   RBS   SEK     (11,285 )      (1,752 )      (35 ) 

USD/SEK

   03/19/2014   RBS   SEK     (20,645 )      (3,206 )      (74 ) 

USD/SEK

   03/19/2014   RBS   SEK     (18,152 )      (2,819 )      (43 ) 

USD/SEK

   03/19/2014   RBS   SEK     (6,811 )      (1,058 )      (22 ) 

USD/SGD

   03/19/2014   RBS   SGD     (2,800 )      (2,219 )      (10 ) 

USD/SGD

   03/19/2014   RBS   SGD     (600 )      (476 )      2   

USD/SGD

   03/19/2014   RBS   SGD     (2,400 )      (1,902 )      10   

USD/SGD

   03/19/2014   RBS   SGD     (1,800 )      (1,426 )      8   

USD/SGD

   03/19/2014   RBS   SGD     (2,900 )      (2,298 )      8   

USD/SGD

   03/19/2014   RBS   SGD     (1,200 )      (951 )      —   

USD/SGD

   03/19/2014   RBS   SGD     (2,300 )      (1,823 )      (7 ) 

USD/TRY

   03/19/2014   RBS   TRY     (2,100 )      (962 )      25   

USD/TRY

   03/19/2014   RBS   TRY     (1,600 )      (733 )      36   

USD/TRY

   03/19/2014   RBS   TRY     (2,000 )      (916 )      42   

USD/TRY

   03/19/2014   RBS   TRY     (3,100 )      (1,420 )      77   

USD/TRY

   03/19/2014   RBS   TRY     (12,600 )      (5,771 )      315   

USD/TRY

   03/19/2014   RBS   TRY     (3,400 )      (1,557 )      80   

USD/TRY

   03/19/2014   RBS   TRY     (3,800 )      (1,740 )      87   

USD/TRY

   03/19/2014   RBS   TRY     (2,000 )      (916 )      50   

USD/TRY

   03/19/2014   RBS   TRY     (400 )      (183 )      9   

USD/TRY

   03/19/2014   RBS   TRY     (2,500 )      (1,145 )      39   

USD/TRY

   03/19/2014   RBS   TRY     (2,600 )      (1,191 )      32   

USD/TWD

   03/19/2014   RBS   TWD     (60,000 )      (2,018 )      21   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/AQR Managed Futures Strategy Fund (continued)

  

USD/TWD

   03/19/2014   RBS   TWD     (4,000 )    $ (135 )    $ 2   

USD/TWD

   03/19/2014   RBS   TWD     (14,000 )      (471 )      5   

USD/TWD

   03/19/2014   RBS   TWD     (19,000 )      (639 )      7   

USD/TWD

   03/19/2014   RBS   TWD     (25,000 )      (841 )      8   

USD/TWD

   03/19/2014   RBS   TWD     (43,000 )      (1,446 )      13   

USD/TWD

   03/19/2014   RBS   TWD     (39,000 )      (1,311 )      6   

USD/TWD

   03/19/2014   RBS   TWD     (40,000 )      (1,345 )      (2 ) 

USD/TWD

   03/19/2014   RBS   TWD     (32,000 )      (1,076 )      (5 ) 

USD/ZAR

   03/19/2014   RBS   ZAR     (27,000 )      (2,546 )      25   

USD/ZAR

   03/19/2014   RBS   ZAR     (18,400 )      (1,735 )      7   

USD/ZAR

   03/19/2014   RBS   ZAR     (22,411 )      (2,113 )      1   

USD/ZAR

   03/19/2014   RBS   ZAR     (27,300 )      (2,574 )      16   

USD/ZAR

   03/19/2014   RBS   ZAR     (75,889 )      (7,156 )      78   

USD/ZAR

   03/19/2014   RBS   ZAR     (14,000 )      (1,320 )      8   

USD/ZAR

   03/19/2014   RBS   ZAR     (10,100 )      (952 )      4   
         

 

 

  
          $ (126,769 )    $ 9,375   
         

 

 

  

JNL/BlackRock Global Allocation Fund

  

AUD/USD

   01/24/2014   MSC   AUD     5,307      $ 4,731      $ 19   

EUR/JPY

   01/31/2014   BCL   JPY     (643,637 )      (6,113 )      148   

EUR/USD

   01/13/2014   BBH   EUR     3,093        4,254        96   

GBP/USD

   01/13/2014   BBH   GBP     969        1,605        28   

USD/AUD

   01/24/2014   MSC   AUD     (5,307 )      (4,731 )      222   

USD/BRL

   01/30/2014   DUB   BRL     (6,094 )      (2,565 )      45   

USD/BRL

   01/31/2014   MSC   BRL     (6,038 )      (2,541 )      (7 ) 

USD/EUR

   01/09/2014   BNP   EUR     (1,231 )      (1,694 )      (40 ) 

USD/EUR

   01/17/2014   BCL   EUR     (3,682 )      (5,065 )      (69 ) 

USD/EUR

   01/24/2014   DUB   EUR     (1,817 )      (2,500 )      (41 ) 

USD/EUR

   01/30/2014   MSC   EUR     (4,662 )      (6,413 )      1   

USD/EUR

   02/06/2014   CSI   EUR     (2,953 )      (4,062 )      3   

USD/EUR

   02/06/2014   UBS   EUR     (4,828 )      (6,642 )      4   

USD/EUR

   02/06/2014   DUB   EUR     (1,927 )      (2,650 )      2   

USD/GBP

   01/24/2014   DUB   GBP     (6,387 )      (10,576 )      (268 ) 

USD/JPY

   01/09/2014   BOA   JPY     (555,263 )      (5,273 )      304   

USD/JPY

   01/09/2014   GSC   JPY     (601,289 )      (5,710 )      326   

USD/JPY

   01/15/2014   UBS   JPY     (250,000 )      (2,374 )      185   

USD/JPY

   01/16/2014   CSI   JPY     (295,691 )      (2,808 )      80   

USD/JPY

   01/16/2014   BNP   JPY     (541,405 )      (5,141 )      148   

USD/JPY

   01/17/2014   GSC   JPY     (573,609 )      (5,447 )      173   

USD/JPY

   01/17/2014   CSI   JPY     (556,889 )      (5,288 )      160   

USD/JPY

   01/23/2014   BCL   JPY     (461,686 )      (4,384 )      227   

USD/JPY

   01/23/2014   UBS   JPY     (189,203 )      (1,797 )      64   

USD/JPY

   01/27/2014   UBS   JPY     (830,000 )      (7,882 )      532   

USD/JPY

   01/30/2014   UBS   JPY     (398,213 )      (3,782 )      96   

USD/JPY

   01/31/2014   GSC   JPY     (784,843 )      (7,454 )      223   

USD/JPY

   02/06/2014   BOA   JPY     (598,858 )      (5,688 )      148   

USD/JPY

   02/07/2014   MSC   JPY     (1,163,938 )      (11,054 )      224   

USD/JPY

   02/10/2014   DUB   JPY     (710,000 )      (6,743 )      465   

USD/JPY

   03/17/2014   MSC   JPY     (560,000 )      (5,320 )      120   

USD/MXN

   01/09/2014   UBS   MXN     (33,651 )      (2,576 )      46   

USD/MXN

   02/06/2014   UBS   MXN     (40,575 )      (3,099 )      (120 ) 

USD/MXN

   03/20/2014   CSI   MXN     (14,015 )      (1,067 )      14   

USD/MXN

   03/20/2014   CSI   MXN     (42,090 )      (3,204 )      23   

USD/MXN

   04/03/2014   CSI   MXN     (42,040 )      (3,197 )      42   

USD/MXN

   04/30/2014   MSC   MXN     (38,789 )      (2,943 )      15   

USD/MXN

   04/30/2014   CSI   MXN     (21,170 )      (1,606 )      21   

USD/MXN

   05/15/2014   MSC   MXN     (23,865 )      (1,809 )      16   

USD/MXN

   05/29/2014   UBS   MXN     (14,107 )      (1,068 )      8   
         

 

 

  
          $ (151,676 )    $ 3,683   
         

 

 

  
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/BlackRock Large Cap Select Growth Fund

  

USD/JPY

   02/28/2014   CIT   JPY     (1,386,783 )    $ (13,172 )    $ 315   

USD/JPY

   02/28/2014   CIT   JPY     (985,093 )      (9,357 )      184   

USD/JPY

   02/28/2014   JPM   JPY     (299,326 )      (2,843 )      34   
         

 

 

  
  $ (25,372 )    $ 533   
         

 

 

  

JNL/Capital Guardian Global Balanced Fund

  

EUR/JPY

   01/22/2014   JPM   JPY     (36,000 )    $ (342 )    $ 7   

EUR/SEK

   01/03/2014   JPM   SEK     (1,170 )      (182 )      (1 ) 

EUR/SEK

   01/13/2014   JPM   SEK     (600 )      (93 )      (2 ) 

EUR/SEK

   01/22/2014   BOA   SEK     (410 )      (64 )      (1 ) 

EUR/SEK

   02/03/2014   JPM   SEK     (1,170 )      (182 )      —   

EUR/USD

   01/08/2014   JPM   EUR     1,400        1,925        25   

EUR/USD

   01/08/2014   JPM   EUR     258        355        5   

EUR/USD

   01/13/2014   JPM   EUR     1,740        2,394        (6 ) 

EUR/USD

   01/14/2014   BNY   EUR     256        352        2   

EUR/USD

   01/14/2014   UBS   EUR     509        701        1   

EUR/USD

   01/17/2014   BOA   EUR     1,164        1,601        1   

EUR/USD

   01/17/2014   BOA   EUR     564        775        —   

EUR/USD

   01/22/2014   BOA   EUR     183        252        2   

EUR/USD

   01/23/2014   JPM   EUR     247        340        2   

GBP/USD

   01/10/2014   BOA   GBP     299        496        6   

JPY/EUR

   01/22/2014   CSI   EUR     (1,125 )      (1,548 )      (31 ) 

JPY/USD

   01/06/2014   BOA   JPY     235,858        2,240        (60 ) 

JPY/USD

   01/06/2014   BNY   JPY     10,772        102        (1 ) 

JPY/USD

   01/09/2014   JPM   JPY     35,730        339        (11 ) 

JPY/USD

   01/14/2014   JPM   JPY     73,451        697        (25 ) 

JPY/USD

   01/14/2014   JPM   JPY     43,041        409        (8 ) 

MXN/USD

   01/08/2014   BOA   MXN     1,335        102        (1 ) 

MXN/USD

   01/10/2014   BOA   MXN     5,736        439        (7 ) 

NOK/SEK

   01/13/2014   BNY   SEK     (7,450 )      (1,158 )      (5 ) 

USD/AUD

   01/22/2014   CSI   AUD     (1,200 )      (1,070 )      (6 ) 

USD/BRL

   01/06/2014   JPM   BRL     (1,400 )      (593 )      (7 ) 

USD/BRL

   02/03/2014   JPM   BRL     (1,400 )      (589 )      (1 ) 

USD/EUR

   01/03/2014   CSI   EUR     (100 )      (138 )      (2 ) 

USD/EUR

   01/08/2014   BOA   EUR     (370 )      (509 )      (7 ) 

USD/EUR

   01/09/2014   BOA   EUR     (950 )      (1,307 )      (16 ) 

USD/EUR

   01/13/2014   UBS   EUR     (135 )      (186 )      —   

USD/EUR

   01/13/2014   JPM   EUR     (270 )      (371 )      —   

USD/EUR

   01/14/2014   BNY   EUR     (800 )      (1,101 )      (7 ) 

USD/EUR

   01/14/2014   UBS   EUR     (5,274 )      (7,255 )      8   

USD/EUR

   01/14/2014   BNY   EUR     (135 )      (186 )      —   

USD/EUR

   01/21/2014   JPM   EUR     (270 )      (371 )      —   

USD/EUR

   02/03/2014   CSI   EUR     (100 )      (138 )      —   

USD/JPY

   01/07/2014   BOA   JPY     (19,531 )      (185 )      1   

USD/JPY

   01/08/2014   BNY   JPY     (20,480 )      (194 )      6   

USD/JPY

   01/21/2014   CSI   JPY     (457,074 )      (4,341 )      96   

USD/JPY

   01/21/2014   BNY   JPY     (107,390 )      (1,020 )      6   

USD/JPY

   01/22/2014   JPM   JPY     (76,390 )      (725 )      8   

USD/MXN

   01/08/2014   BOA   MXN     (1,335 )      (102 )      (1 ) 

USD/MXN

   01/10/2014   BOA   MXN     (30,710 )      (2,351 )      (39 ) 

USD/MXN

   01/14/2014   BOA   MXN     (5,675 )      (434 )      (1 ) 

USD/MXN

   01/16/2014   UBS   MXN     (2,410 )      (184 )      1   

USD/MXN

   01/16/2014   UBS   MXN     (2,420 )      (185 )      1   

USD/MXN

   01/22/2014   BOA   MXN     (2,370 )      (181 )      1   

USD/SEK

   01/13/2014   JPM   SEK     (1,880 )      (292 )      (4 ) 

USD/ZAR

   01/22/2014   JPM   ZAR     (6,350 )      (604 )      7   
         

 

 

  
  $ (14,662 )    $ (64 ) 
         

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund

  

CLP/USD

   03/17/2014   JPM   CLP     2,796,030      $ 5,278      $ (80 ) 

CLP/USD

   05/06/2014   DUB   CLP     2,285,890        4,292        (352 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Franklin Templeton Global Multisector Bond Fund (continued)

   

CLP/USD

   10/24/2014   DUB   CLP     6,542,795      $ 12,074      $ (552 ) 

CLP/USD

   12/15/2014   DUB   CLP     7,506,474        13,779        236   

GHS/USD

   03/10/2014   BCL   GHS     420        172        (6 ) 

HUF/EUR

   03/19/2014   DUB   EUR     (4,699 )      (6,465 )      374   

HUF/EUR

   03/19/2014   JPM   EUR     (1,410 )      (1,939 )      110   

HUF/EUR

   03/20/2014   JPM   EUR     (2,350 )      (3,232 )      197   

HUF/EUR

   03/21/2014   JPM   EUR     (2,350 )      (3,232 )      178   

HUF/EUR

   09/23/2014   JPM   EUR     (2,409 )      (3,316 )      18   

HUF/EUR

   09/25/2014   JPM   EUR     (1,909 )      (2,628 )      41   

INR/USD

   03/18/2014   JPM   INR     527,153        8,374        59   

KRW/USD

   05/07/2014   JPM   KRW     4,162,521        3,916        170   

KRW/USD

   06/17/2014   JPM   KRW     8,201,200        7,701        (18 ) 

MXN/USD

   01/10/2014   CIT   MXN     42,701        3,269        3   

MXN/USD

   02/18/2014   DUB   MXN     42,108        3,213        4   

MXN/USD

   02/25/2014   DUB   MXN     33,800        2,578        16   

MXN/USD

   02/28/2014   CIT   MXN     147,554        11,250        331   

MXN/USD

   02/28/2014   CIT   MXN     40,990        3,125        27   

MXN/USD

   03/10/2014   HSB   MXN     37,669        2,870        2   

MXN/USD

   03/14/2014   CIT   MXN     10,111        770        2   

MXN/USD

   03/24/2014   CIT   MXN     29,534        2,248        81   

MXN/USD

   04/23/2014   CIT   MXN     7,438        565        (25 ) 

MXN/USD

   06/09/2014   CIT   MXN     30,581        2,313        3   

MXN/USD

   06/10/2014   CIT   MXN     30,546        2,310        6   

MXN/USD

   06/12/2014   CIT   MXN     62,119        4,698        5   

MXN/USD

   06/13/2014   CIT   MXN     38,680        2,925        37   

MXN/USD

   06/20/2014   CIT   MXN     24,028        1,816        11   

MXN/USD

   06/23/2014   CIT   MXN     451,313        34,102        (238 ) 

MXN/USD

   07/10/2014   CIT   MXN     41,307        3,117        5   

MXN/USD

   07/15/2014   CIT   MXN     36,459        2,750        —   

MXN/USD

   10/14/2014   DUB   MXN     91,472        6,850        94   

MXN/USD

   10/21/2014   DUB   MXN     23,533        1,761        (33 ) 

MXN/USD

   10/22/2014   DUB   MXN     21,637        1,619        (25 ) 

MXN/USD

   10/23/2014   CIT   MXN     68,072        5,094        (37 ) 

MXN/USD

   10/23/2014   CIT   MXN     7,580        567        (4 ) 

MXN/USD

   12/05/2014   DUB   MXN     84,719        6,318        95   

MXN/USD

   12/16/2014   CIT   MXN     37,127        2,766        (31 ) 

MXN/USD

   12/18/2014   CIT   MXN     17,800        1,326        (11 ) 

MYR/USD

   01/02/2014   JPM   MYR     26,500        8,090        (200 ) 

MYR/USD

   02/20/2014   HSB   MYR     8,070        2,457        (17 ) 

MYR/USD

   04/02/2014   JPM   MYR     13,250        4,023        (32 ) 

MYR/USD

   05/06/2014   JPM   MYR     32,395        9,817        (597 ) 

MYR/USD

   06/20/2014   HSB   MYR     12,670        3,829        (33 ) 

MYR/USD

   07/01/2014   JPM   MYR     15,270        4,612        (98 ) 

MYR/USD

   07/01/2014   DUB   MYR     21,881        6,609        (141 ) 

MYR/USD

   07/02/2014   JPM   MYR     13,250        4,002        (37 ) 

MYR/USD

   07/02/2014   JPM   MYR     8,528        2,575        (69 ) 

MYR/USD

   07/03/2014   DUB   MYR     1,959        591        (17 ) 

MYR/USD

   07/07/2014   DUB   MYR     9,925        2,997        (84 ) 

MYR/USD

   10/01/2014   HSB   MYR     25,332        7,609        (106 ) 

MYR/USD

   10/24/2014   HSB   MYR     4,831        1,449        (43 ) 

MYR/USD

   10/27/2014   JPM   MYR     4,768        1,430        (58 ) 

PHP/USD

   01/02/2014   JPM   PHP     12,281        277        (7 ) 

PHP/USD

   06/25/2014   JPM   PHP     134,900        3,042        (4 ) 

PHP/USD

   06/26/2014   DUB   PHP     286,261        6,455        (30 ) 

PHP/USD

   06/27/2014   JPM   PHP     54,900        1,238        (21 ) 

PHP/USD

   06/30/2014   DUB   PHP     214,847        4,845        (115 ) 

PHP/USD

   07/01/2014   JPM   PHP     30,714        693        (16 ) 

PLN/EUR

   04/24/2014   DUB   EUR     (23,188 )      (31,901 )      208   

PLN/EUR

   05/07/2014   DUB   EUR     (9,149 )      (12,587 )      146   

PLN/EUR

   06/05/2014   DUB   EUR     (4,755 )      (6,542 )      250   

PLN/EUR

   12/15/2014   DUB   EUR     (8,754 )      (12,051 )      92   
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Franklin Templeton Global Multisector Bond Fund (continued)

   

SEK/EUR

   01/24/2014   DUB   EUR     (3,078 )    $ (4,235 )    $ (34 ) 

SEK/EUR

   05/07/2014   DUB   EUR     (6,808 )      (9,366 )      (276 ) 

SEK/EUR

   06/13/2014   DUB   EUR     (21,877 )      (30,098 )      566   

SEK/EUR

   09/05/2014   DUB   EUR     (15,517 )      (21,353 )      (232 ) 

SGD/USD

   02/28/2014   BCL   SGD     3,552        2,815        44   

SGD/USD

   03/11/2014   CIT   SGD     3,494        2,769        (38 ) 

SGD/USD

   03/14/2014   DUB   SGD     13,262        10,510        (124 ) 

SGD/USD

   05/06/2014   DUB   SGD     5,813        4,607        (103 ) 

SGD/USD

   06/19/2014   JPM   SGD     21,320        16,898        (101 ) 

SGD/USD

   09/24/2014   HSB   SGD     28,648        22,707        (293 ) 

USD/EUR

   01/16/2014   DUB   EUR     (372 )      (512 )      (16 ) 

USD/EUR

   02/26/2014   BCL   EUR     (12,180 )      (16,756 )      (519 ) 

USD/EUR

   02/27/2014   JPM   EUR     (2,296 )      (3,159 )      (92 ) 

USD/EUR

   03/03/2014   DUB   EUR     (65 )      (90 )      (4 ) 

USD/EUR

   03/07/2014   BCL   EUR     (534 )      (735 )      (36 ) 

USD/EUR

   03/10/2014   BCL   EUR     (1,285 )      (1,768 )      (94 ) 

USD/EUR

   03/10/2014   CIT   EUR     (3,541 )      (4,871 )      (245 ) 

USD/EUR

   03/13/2014   JPM   EUR     (11,173 )      (15,371 )      (644 ) 

USD/EUR

   03/17/2014   BCL   EUR     (448 )      (616 )      (33 ) 

USD/EUR

   03/18/2014   CIT   EUR     (317 )      (436 )      (25 ) 

USD/EUR

   03/20/2014   DUB   EUR     (700 )      (963 )      (52 ) 

USD/EUR

   03/20/2014   DUB   EUR     (600 )      (825 )      (51 ) 

USD/EUR

   03/21/2014   BCL   EUR     (281 )      (387 )      (22 ) 

USD/EUR

   03/26/2014   CIT   EUR     (643 )      (884 )      (48 ) 

USD/EUR

   03/31/2014   DUB   EUR     (164 )      (226 )      (14 ) 

USD/EUR

   04/03/2014   DUB   EUR     (522 )      (719 )      (47 ) 

USD/EUR

   04/07/2014   BCL   EUR     (820 )      (1,128 )      (73 ) 

USD/EUR

   04/11/2014   DUB   EUR     (818 )      (1,126 )      (55 ) 

USD/EUR

   04/16/2014   HSB   EUR     (874 )      (1,203 )      (58 ) 

USD/EUR

   04/22/2014   JPM   EUR     (224 )      (308 )      (15 ) 

USD/EUR

   04/22/2014   BCL   EUR     (807 )      (1,110 )      (47 ) 

USD/EUR

   04/22/2014   DUB   EUR     (12,922 )      (17,777 )      (854 ) 

USD/EUR

   04/22/2014   JPM   EUR     (13,510 )      (18,586 )      (879 ) 

USD/EUR

   04/30/2014   DUB   EUR     (786 )      (1,081 )      (38 ) 

USD/EUR

   04/30/2014   BCL   EUR     (2,434 )      (3,349 )      (174 ) 

USD/EUR

   05/05/2014   BCL   EUR     (393 )      (541 )      (20 ) 

USD/EUR

   05/09/2014   DUB   EUR     (1,000 )      (1,376 )      (63 ) 

USD/EUR

   05/20/2014   GSC   EUR     (5,730 )      (7,883 )      (459 ) 

USD/EUR

   06/05/2014   BCL   EUR     (1,689 )      (2,324 )      (122 ) 

USD/EUR

   06/05/2014   DUB   EUR     (6,342 )      (8,725 )      (472 ) 

USD/EUR

   06/06/2014   DUB   EUR     (5,087 )      (6,999 )      (289 ) 

USD/EUR

   06/20/2014   BCL   EUR     (862 )      (1,186 )      (29 ) 

USD/EUR

   07/03/2014   DUB   EUR     (1,985 )      (2,731 )      (138 ) 

USD/EUR

   07/15/2014   DUB   EUR     (7,090 )      (9,755 )      (456 ) 

USD/EUR

   07/23/2014   DUB   EUR     (96 )      (132 )      (6 ) 

USD/EUR

   07/25/2014   GSC   EUR     (2,562 )      (3,525 )      (133 ) 

USD/EUR

   07/25/2014   DUB   EUR     (95 )      (131 )      (5 ) 

USD/EUR

   07/25/2014   DUB   EUR     (2,565 )      (3,529 )      (137 ) 

USD/EUR

   07/31/2014   JPM   EUR     (786 )      (1,082 )      (37 ) 

USD/EUR

   08/01/2014   UBS   EUR     (786 )      (1,082 )      (35 ) 

USD/EUR

   08/01/2014   DUB   EUR     (988 )      (1,359 )      (47 ) 

USD/EUR

   08/01/2014   DUB   EUR     (600 )      (826 )      (31 ) 

USD/EUR

   08/04/2014   HSB   EUR     (786 )      (1,082 )      (40 ) 

USD/EUR

   08/05/2014   BCL   EUR     (393 )      (541 )      (20 ) 

USD/EUR

   08/11/2014   DUB   EUR     (155 )      (213 )      (7 ) 

USD/EUR

   08/11/2014   DUB   EUR     (509 )      (700 )      (22 ) 

USD/EUR

   08/28/2014   DUB   EUR     (201 )      (276 )      (11 ) 

USD/EUR

   08/29/2014   DUB   EUR     (200 )      (276 )      (8 ) 

USD/EUR

   08/29/2014   DUB   EUR     (5,580 )      (7,678 )      (227 ) 

USD/EUR

   09/03/2014   DUB   EUR     (12,268 )      (16,882 )      (635 ) 

USD/EUR

   09/24/2014   GSC   EUR     (27,572 )      (37,944 )      (602 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Franklin Templeton Global Multisector Bond Fund (continued)

   

USD/EUR

   09/26/2014   BCL   EUR     (4,540 )    $ (6,248 )    $ (126 ) 

USD/EUR

   09/26/2014   BCL   EUR     (2,165 )      (2,979 )      (57 ) 

USD/EUR

   09/29/2014   JPM   EUR     (27,742 )      (38,179 )      (692 ) 

USD/EUR

   09/30/2014   CIT   EUR     (8,981 )      (12,360 )      (221 ) 

USD/EUR

   10/15/2014   DUB   EUR     (6,400 )      (8,808 )      (154 ) 

USD/EUR

   10/27/2014   BCL   EUR     (14,200 )      (19,544 )      7   

USD/EUR

   10/31/2014   DUB   EUR     (3,421 )      (4,708 )      3   

USD/EUR

   11/05/2014   DUB   EUR     (1,710 )      (2,354 )      (46 ) 

USD/EUR

   11/10/2014   DUB   EUR     (305 )      (420 )      (7 ) 

USD/EUR

   11/14/2014   DUB   EUR     (800 )      (1,101 )      (24 ) 

USD/EUR

   11/18/2014   DUB   EUR     (4,753 )      (6,542 )      (137 ) 

USD/EUR

   12/15/2014   CIT   EUR     (3,384 )      (4,658 )      13   

USD/EUR

   12/17/2014   DUB   EUR     (815 )      (1,122 )      (1 ) 

USD/EUR

   12/17/2014   DUB   EUR     (45,040 )      (61,999 )      (78 ) 

USD/GBP

   05/09/2014   DUB   GBP     (1,100 )      (1,820 )      (119 ) 

USD/JPY

   01/17/2014   JPM   JPY     (745,120 )      (7,076 )      1,339   

USD/JPY

   01/17/2014   DUB   JPY     (410,300 )      (3,896 )      732   

USD/JPY

   02/12/2014   HSB   JPY     (589,460 )      (5,598 )      739   

USD/JPY

   02/12/2014   JPM   JPY     (589,145 )      (5,595 )      742   

USD/JPY

   02/13/2014   JPM   JPY     (391,010 )      (3,714 )      511   

USD/JPY

   02/13/2014   CIT   JPY     (780,830 )      (7,416 )      1,034   

USD/JPY

   02/18/2014   JPM   JPY     (391,200 )      (3,716 )      509   

USD/JPY

   02/19/2014   CIT   JPY     (389,960 )      (3,704 )      521   

USD/JPY

   02/19/2014   GSC   JPY     (391,640 )      (3,720 )      505   

USD/JPY

   02/25/2014   BCL   JPY     (195,560 )      (1,857 )      255   

USD/JPY

   02/27/2014   DUB   JPY     (130,803 )      (1,242 )      187   

USD/JPY

   02/27/2014   BCL   JPY     (390,740 )      (3,711 )      514   

USD/JPY

   02/27/2014   JPM   JPY     (1,629,138 )      (15,474 )      998   

USD/JPY

   03/07/2014   BCL   JPY     (474,193 )      (4,504 )      279   

USD/JPY

   03/19/2014   CIT   JPY     (816,260 )      (7,754 )      843   

USD/JPY

   03/24/2014   DUB   JPY     (405,843 )      (3,855 )      443   

USD/JPY

   03/24/2014   BCL   JPY     (414,600 )      (3,939 )      444   

USD/JPY

   04/21/2014   BCL   JPY     (455,770 )      (4,330 )      355   

USD/JPY

   04/21/2014   JPM   JPY     (273,840 )      (2,602 )      209   

USD/JPY

   04/22/2014   JPM   JPY     (327,480 )      (3,112 )      234   

USD/JPY

   05/08/2014   BCL   JPY     (1,983,808 )      (18,851 )      1,208   

USD/JPY

   06/03/2014   DUB   JPY     (1,693,272 )      (16,093 )      697   

USD/JPY

   06/04/2014   JPM   JPY     (725,016 )      (6,891 )      299   

USD/JPY

   06/09/2014   JPM   JPY     (381,000 )      (3,621 )      205   

USD/JPY

   06/09/2014   CIT   JPY     (379,500 )      (3,607 )      220   

USD/JPY

   06/09/2014   HSB   JPY     (568,300 )      (5,401 )      338   

USD/JPY

   06/10/2014   JPM   JPY     (438,710 )      (4,170 )      289   

USD/JPY

   06/10/2014   HSB   JPY     (646,940 )      (6,149 )      539   

USD/JPY

   06/10/2014   BCL   JPY     (607,460 )      (5,774 )      468   

USD/JPY

   06/11/2014   DUB   JPY     (214,200 )      (2,036 )      193   

USD/JPY

   06/11/2014   JPM   JPY     (599,390 )      (5,697 )      545   

USD/JPY

   06/17/2014   JPM   JPY     (252,800 )      (2,403 )      273   

USD/JPY

   06/20/2014   DUB   JPY     (810,730 )      (7,706 )      184   

USD/JPY

   07/24/2014   CIT   JPY     (465,783 )      (4,429 )      253   

USD/JPY

   07/24/2014   JPM   JPY     (718,000 )      (6,827 )      380   

USD/JPY

   07/25/2014   JPM   JPY     (249,900 )      (2,376 )      145   

USD/JPY

   08/13/2014   CIT   JPY     (725,210 )      (6,897 )      644   

USD/JPY

   08/29/2014   JPM   JPY     (861,218 )      (8,192 )      672   

USD/JPY

   09/18/2014   BCL   JPY     (906,703 )      (8,626 )      584   

USD/JPY

   09/25/2014   GSC   JPY     (3,676,462 )      (34,980 )      2,120   

USD/JPY

   09/25/2014   HSB   JPY     (3,680,691 )      (35,020 )      2,079   

USD/JPY

   10/20/2014   JPM   JPY     (703,680 )      (6,697 )      472   

USD/JPY

   10/22/2014   BCL   JPY     (312,130 )      (2,971 )      230   

USD/JPY

   11/12/2014   CIT   JPY     (728,533 )      (6,935 )      419   

USD/JPY

   11/12/2014   CIT   JPY     (726,824 )      (6,919 )      454   

USD/JPY

   11/13/2014   JPM   JPY     (611,520 )      (5,821 )      362   
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Franklin Templeton Global Multisector Bond Fund (continued)

  

USD/JPY

   11/14/2014   DUB   JPY     (769,159 )    $ (7,322 )    $ 420   

USD/JPY

   12/22/2014   HSB   JPY     (810,570 )      (7,719 )      171   

USD/JPY

   12/22/2014   DUB   JPY     (809,330 )      (7,708 )      183   

USD/JPY

   12/26/2014   CIT   JPY     (292,920 )      (2,790 )      34   

USD/JPY

   12/26/2014   BCL   JPY     (385,340 )      (3,670 )      46   

USD/JPY

   12/26/2014   CIT   JPY     (308,210 )      (2,935 )      37   

USD/MYR

   01/02/2014   JPM   MYR     (13,250 )      (4,045 )      24   

USD/MYR

   01/02/2014   JPM   MYR     (13,250 )      (4,045 )      24   

UYU/USD

   03/06/2014   CIT   UYU     13,180        600        (40 ) 

UYU/USD

   11/20/2014   CIT   UYU     19,800        841        (2 ) 

UYU/USD

   11/25/2014   CIT   UYU     19,900        844        (2 ) 

UYU/USD

   12/01/2014   CIT   UYU     29,650        1,256        (12 ) 
         

 

 

  
  $ (590,396 )    $ 15,796   
         

 

 

  

JNL/Franklin Templeton Mutual Shares Fund

  

EUR/USD

   01/17/2014   HSB   EUR     34      $ 47      $ 1   

EUR/USD

   01/17/2014   BCL   EUR     99        136        1   

EUR/USD

   01/17/2014   SSB   EUR     41        56        —   

EUR/USD

   01/17/2014   HSB   EUR     82        113        —   

EUR/USD

   01/17/2014   BCL   EUR     367        504        —   

EUR/USD

   01/17/2014   SSB   EUR     53        74        —   

EUR/USD

   01/17/2014   HSB   EUR     139        191        —   

EUR/USD

   01/17/2014   BOA   EUR     154        211        —   

GBP/USD

   02/19/2014   BOA   GBP     226        373        13   

GBP/USD

   02/19/2014   BOA   GBP     141        234        6   

GBP/USD

   02/19/2014   BOA   GBP     213        353        9   

GBP/USD

   02/19/2014   BCL   GBP     259        429        9   

GBP/USD

   02/19/2014   BOA   GBP     95        157        4   

GBP/USD

   02/19/2014   SSB   GBP     509        842        10   

GBP/USD

   02/19/2014   BOA   GBP     301        499        6   

GBP/USD

   02/19/2014   BCL   GBP     56        92        1   

GBP/USD

   02/19/2014   HSB   GBP     111        184        3   

GBP/USD

   02/19/2014   BOA   GBP     196        324        4   

GBP/USD

   02/19/2014   BCL   GBP     94        155        2   

KRW/USD

   02/12/2014   CSI   KRW     54,146        51        1   

KRW/USD

   02/12/2014   HSB   KRW     34,678        33        —   

KRW/USD

   02/12/2014   BOA   KRW     120,827        114        1   

KRW/USD

   02/12/2014   BOA   KRW     197,486        187        1   

KRW/USD

   02/12/2014   HSB   KRW     352,270        333        6   

KRW/USD

   02/12/2014   HSB   KRW     275,480        260        —   

KRW/USD

   02/12/2014   HSB   KRW     130,754        124        3   

USD/EUR

   01/17/2014   CSI   EUR     (123 )      (169 )      (3 ) 

USD/EUR

   01/17/2014   CSI   EUR     (111 )      (152 )      (2 ) 

USD/EUR

   01/17/2014   HSB   EUR     (37 )      (51 )      (1 ) 

USD/EUR

   01/17/2014   HSB   EUR     (142 )      (196 )      (3 ) 

USD/EUR

   01/17/2014   HSB   EUR     (63 )      (87 )      (1 ) 

USD/EUR

   01/17/2014   CSI   EUR     (148 )      (204 )      (3 ) 

USD/EUR

   01/17/2014   HSB   EUR     (296 )      (407 )      (7 ) 

USD/EUR

   01/17/2014   CSI   EUR     (159 )      (218 )      (2 ) 

USD/EUR

   01/17/2014   HSB   EUR     (118 )      (163 )      (2 ) 

USD/EUR

   01/17/2014   SSB   EUR     (67 )      (92 )      (1 ) 

USD/EUR

   01/17/2014   SSB   EUR     (46 )      (64 )      —   

USD/EUR

   01/17/2014   HSB   EUR     (46 )      (64 )      —   

USD/EUR

   01/17/2014   CSI   EUR     (115 )      (158 )      —   

USD/EUR

   01/17/2014   HSB   EUR     (115 )      (158 )      —   

USD/EUR

   01/17/2014   BOA   EUR     (141 )      (193 )      (4 ) 

USD/EUR

   01/17/2014   CSI   EUR     (120 )      (165 )      (3 ) 

USD/EUR

   01/17/2014   CSI   EUR     (505 )      (695 )      (12 ) 

USD/EUR

   01/17/2014   BOA   EUR     (160 )      (220 )      (4 ) 

USD/EUR

   01/17/2014   BOA   EUR     (109 )      (151 )      (2 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Franklin Templeton Mutual Shares Fund (continued)

  

USD/EUR

   01/17/2014   BOA   EUR     (84 )    $ (116 )    $ (3 ) 

USD/EUR

   01/17/2014   BOA   EUR     (95 )      (130 )      —   

USD/EUR

   01/17/2014   HSB   EUR     (21 )      (29 )      —   

USD/EUR

   01/17/2014   BOA   EUR     (248 )      (342 )      (2 ) 

USD/EUR

   01/17/2014   HSB   EUR     (248 )      (342 )      (2 ) 

USD/EUR

   01/17/2014   SSB   EUR     (79 )      (108 )      (1 ) 

USD/EUR

   01/17/2014   CSI   EUR     (275 )      (378 )      (15 ) 

USD/EUR

   01/17/2014   BOA   EUR     (189 )      (260 )      (10 ) 

USD/EUR

   01/17/2014   BOA   EUR     (189 )      (260 )      (9 ) 

USD/EUR

   01/17/2014   DUB   EUR     (378 )      (520 )      (19 ) 

USD/EUR

   01/17/2014   DUB   EUR     (173 )      (238 )      (9 ) 

USD/EUR

   01/17/2014   BOA   EUR     (115 )      (158 )      (6 ) 

USD/EUR

   01/17/2014   BOA   EUR     (219 )      (301 )      (13 ) 

USD/EUR

   01/17/2014   CSI   EUR     (421 )      (579 )      (25 ) 

USD/EUR

   01/17/2014   HSB   EUR     (49 )      (67 )      (2 ) 

USD/EUR

   01/17/2014   BOA   EUR     (469 )      (646 )      (23 ) 

USD/EUR

   01/17/2014   BOA   EUR     (111 )      (153 )      (5 ) 

USD/EUR

   01/17/2014   HSB   EUR     (94 )      (129 )      (4 ) 

USD/EUR

   01/17/2014   CSI   EUR     (47 )      (65 )      (2 ) 

USD/EUR

   01/17/2014   SSB   EUR     (50 )      (69 )      (2 ) 

USD/EUR

   01/17/2014   CSI   EUR     (526 )      (723 )      (15 ) 

USD/EUR

   01/17/2014   HSB   EUR     (200 )      (275 )      (6 ) 

USD/EUR

   01/17/2014   SSB   EUR     (50 )      (69 )      (1 ) 

USD/EUR

   01/17/2014   HSB   EUR     (63 )      (86 )      (1 ) 

USD/EUR

   01/17/2014   CSI   EUR     (58 )      (79 )      (1 ) 

USD/EUR

   01/17/2014   HSB   EUR     (58 )      (79 )      (1 ) 

USD/EUR

   01/17/2014   BCL   EUR     (7,868 )      (10,824 )      (549 ) 

USD/EUR

   01/17/2014   DUB   EUR     (56 )      (77 )      (4 ) 

USD/EUR

   01/17/2014   BOA   EUR     (7,868 )      (10,824 )      (545 ) 

USD/EUR

   01/17/2014   DUB   EUR     (452 )      (622 )      (30 ) 

USD/EUR

   01/17/2014   DUB   EUR     (190 )      (261 )      (10 ) 

USD/EUR

   01/17/2014   BOA   EUR     (63 )      (86 )      (1 ) 

USD/EUR

   05/15/2014   BCL   EUR     (172 )      (237 )      (1 ) 

USD/EUR

   05/15/2014   SSB   EUR     (86 )      (118 )      —   

USD/EUR

   05/15/2014   BOA   EUR     (86 )      (118 )      —   

USD/EUR

   05/15/2014   HSB   EUR     (86 )      (118 )      —   

USD/EUR

   05/15/2014   BOA   EUR     (49 )      (67 )      —   

USD/EUR

   05/15/2014   BOA   EUR     (70 )      (96 )      —   

USD/EUR

   05/15/2014   HSB   EUR     (55 )      (75 )      —   

USD/EUR

   05/15/2014   BOA   EUR     (91 )      (125 )      1   

USD/EUR

   05/15/2014   HSB   EUR     (91 )      (125 )      1   

USD/EUR

   05/15/2014   BOA   EUR     (172 )      (236 )      1   

USD/EUR

   05/15/2014   BCL   EUR     (86 )      (118 )      —   

USD/EUR

   05/15/2014   HSB   EUR     (86 )      (118 )      —   

USD/EUR

   05/15/2014   BOA   EUR     (14,463 )      (19,898 )      (453 ) 

USD/EUR

   05/19/2014   BOA   EUR     (71 )      (97 )      (2 ) 

USD/GBP

   02/19/2014   CSI   GBP     (891 )      (1,474 )      (30 ) 

USD/GBP

   02/19/2014   CSI   GBP     (99 )      (165 )      (5 ) 

USD/GBP

   02/19/2014   HSB   GBP     (301 )      (499 )      (13 ) 

USD/GBP

   02/19/2014   BCL   GBP     (320 )      (530 )      (12 ) 

USD/GBP

   02/19/2014   CSI   GBP     (732 )      (1,211 )      (27 ) 

USD/GBP

   02/19/2014   CSI   GBP     (218 )      (361 )      (11 ) 

USD/GBP

   02/19/2014   BOA   GBP     (169 )      (280 )      (9 ) 

USD/GBP

   02/19/2014   BOA   GBP     (159 )      (263 )      (9 ) 

USD/GBP

   02/19/2014   BOA   GBP     (718 )      (1,189 )      (44 ) 

USD/GBP

   02/19/2014   CSI   GBP     (159 )      (263 )      (10 ) 

USD/GBP

   02/19/2014   BOA   GBP     (202 )      (335 )      (11 ) 

USD/GBP

   02/19/2014   HSB   GBP     (95 )      (158 )      (5 ) 

USD/GBP

   02/19/2014   BOA   GBP     (88 )      (146 )      (4 ) 

USD/GBP

   02/19/2014   CSI   GBP     (232 )      (384 )      (11 ) 

USD/GBP

   02/19/2014   BOA   GBP     (173 )      (287 )      (8 ) 
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Franklin Templeton Mutual Shares Fund (continued)

  

USD/GBP

   02/19/2014   BCL   GBP     (247 )    $ (408 )    $ (12 ) 

USD/GBP

   02/19/2014   CSI   GBP     (342 )      (566 )      (22 ) 

USD/GBP

   02/19/2014   BOA   GBP     (324 )      (536 )      (1 ) 

USD/GBP

   02/19/2014   BCL   GBP     (17,539 )      (29,035 )      (1,768 ) 

USD/GBP

   02/19/2014   BOA   GBP     (35,272 )      (58,391 )      (3,585 ) 

USD/GBP

   02/19/2014   HSB   GBP     (77 )      (127 )      (8 ) 

USD/GBP

   02/19/2014   HSB   GBP     (69 )      (114 )      (7 ) 

USD/GBP

   02/19/2014   HSB   GBP     (139 )      (230 )      (13 ) 

USD/GBP

   02/19/2014   CSI   GBP     (73 )      (121 )      (7 ) 

USD/GBP

   02/19/2014   CSI   GBP     (62 )      (102 )      (5 ) 

USD/GBP

   02/19/2014   BOA   GBP     (62 )      (102 )      (5 ) 

USD/GBP

   02/19/2014   CSI   GBP     (897 )      (1,485 )      (68 ) 

USD/GBP

   02/19/2014   BOA   GBP     (77 )      (128 )      (5 ) 

USD/GBP

   02/19/2014   HSB   GBP     (196 )      (324 )      (11 ) 

USD/GBP

   02/19/2014   CSI   GBP     (98 )      (162 )      (5 ) 

USD/GBP

   02/19/2014   CSI   GBP     (838 )      (1,387 )      (47 ) 

USD/GBP

   02/19/2014   HSB   GBP     (221 )      (366 )      (11 ) 

USD/GBP

   02/19/2014   CSI   GBP     (173 )      (287 )      (9 ) 

USD/GBP

   02/19/2014   CSI   GBP     (111 )      (183 )      (5 ) 

USD/GBP

   02/19/2014   CSI   GBP     (204 )      (337 )      (11 ) 

USD/KRW

   02/12/2014   CSI   KRW     (202,294 )      (191 )      (4 ) 

USD/KRW

   02/12/2014   CSI   KRW     (285,955 )      (270 )      (6 ) 

USD/KRW

   02/12/2014   HSB   KRW     (181,296 )      (171 )      (3 ) 

USD/KRW

   02/12/2014   HSB   KRW     (115,390 )      (109 )      (2 ) 

USD/KRW

   02/12/2014   CSI   KRW     (115,261 )      (109 )      (2 ) 

USD/KRW

   02/12/2014   HSB   KRW     (105,222 )      (99 )      (1 ) 

USD/KRW

   02/12/2014   CSI   KRW     (106,830 )      (101 )      (1 ) 

USD/KRW

   02/12/2014   CSI   KRW     (196,885 )      (186 )      (2 ) 

USD/KRW

   02/12/2014   HSB   KRW     (392,728 )      (371 )      (1 ) 

USD/KRW

   02/12/2014   HSB   KRW     (380,850 )      (360 )      (3 ) 

USD/KRW

   02/12/2014   BOA   KRW     (1,122,832 )      (1,061 )      (59 ) 

USD/KRW

   02/12/2014   CSI   KRW     (2,805,289 )      (2,651 )      (145 ) 

USD/KRW

   02/12/2014   DUB   KRW     (1,798,484 )      (1,700 )      (93 ) 

USD/KRW

   02/12/2014   DUB   KRW     (637,103 )      (602 )      (34 ) 

USD/KRW

   02/12/2014   CSI   KRW     (281,008 )      (266 )      (15 ) 

USD/KRW

   02/12/2014   BOA   KRW     (374,677 )      (354 )      (20 ) 

USD/KRW

   02/12/2014   CSI   KRW     (376,243 )      (356 )      (21 ) 

USD/KRW

   02/12/2014   DUB   KRW     (455,612 )      (431 )      (26 ) 

USD/KRW

   02/12/2014   DUB   KRW     (459,026 )      (434 )      (27 ) 

USD/KRW

   02/12/2014   CSI   KRW     (475,337 )      (449 )      (28 ) 

USD/KRW

   02/12/2014   HSB   KRW     (367,514 )      (347 )      (22 ) 

USD/KRW

   02/12/2014   DUB   KRW     (749,752 )      (708 )      (44 ) 

USD/KRW

   02/12/2014   HSB   KRW     (468,512 )      (443 )      (28 ) 

USD/KRW

   02/12/2014   CSI   KRW     (197,425 )      (187 )      (12 ) 

USD/KRW

   02/12/2014   BOA   KRW     (789,980 )      (747 )      (47 ) 

USD/KRW

   02/12/2014   CSI   KRW     (197,425 )      (187 )      (12 ) 

USD/KRW

   02/12/2014   CSI   KRW     (96,037 )      (91 )      (5 ) 

USD/KRW

   02/12/2014   HSB   KRW     (255,556 )      (241 )      (15 ) 

USD/KRW

   02/12/2014   HSB   KRW     (241,236 )      (228 )      (14 ) 

USD/KRW

   02/12/2014   BOA   KRW     (247,276 )      (234 )      (14 ) 

USD/KRW

   02/12/2014   BOA   KRW     (247,998 )      (234 )      (13 ) 

USD/KRW

   02/12/2014   HSB   KRW     (340,942 )      (322 )      (18 ) 

USD/KRW

   02/12/2014   CSI   KRW     (220,066 )      (208 )      (12 ) 

USD/KRW

   02/12/2014   CSI   KRW     (110,082 )      (104 )      (6 ) 

USD/KRW

   02/12/2014   CSI   KRW     (78,177 )      (74 )      (3 ) 

USD/KRW

   02/12/2014   HSB   KRW     (191,741 )      (181 )      (6 ) 

USD/KRW

   02/12/2014   HSB   KRW     (97,003 )      (92 )      (3 ) 

USD/KRW

   02/12/2014   HSB   KRW     (190,381 )      (180 )      (6 ) 

USD/KRW

   02/12/2014   HSB   KRW     (97,266 )      (92 )      (3 ) 

USD/KRW

   02/12/2014   CSI   KRW     (204,085 )      (193 )      (6 ) 
         

 

 

  
  $ (165,272 )    $ (8,334 ) 
         

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Goldman Sachs Core Plus Bond Fund

  

AUD/EUR

   03/19/2014   WBC   EUR     (1,901 )    $ (2,615 )    $ (56 ) 

AUD/USD

   03/19/2014   BCL   AUD     1,414        1,256        (12 ) 

AUD/USD

   03/19/2014   WBC   AUD     4,393        3,903        12   

BRL/USD

   01/09/2014   RBC   BRL     3,126        1,323        13   

BRL/USD

   01/10/2014   RBC   BRL     1,565        662        6   

BRL/USD

   01/10/2014   UBS   BRL     6,199        2,623        7   

BRL/USD

   01/13/2014   UBS   BRL     1,542        652        (5 ) 

BRL/USD

   01/13/2014   UBS   BRL     1,551        656        (1 ) 

BRL/USD

   01/13/2014   MSC   BRL     3,085        1,304        (4 ) 

BRL/USD

   01/13/2014   MSC   BRL     1,532        648        (6 ) 

BRL/USD

   01/13/2014   CGM   BRL     6,119        2,587        (29 ) 

BRL/USD

   01/13/2014   MSC   BRL     1,547        654        (2 ) 

BRL/USD

   01/13/2014   RBC   BRL     1,534        648        (8 ) 

BRL/USD

   01/21/2014   RBC   BRL     1,527        644        (9 ) 

BRL/USD

   01/21/2014   UBS   BRL     3,062        1,292        (13 ) 

BRL/USD

   01/31/2014   RBC   BRL     1,556        655        (8 ) 

BRL/USD

   01/31/2014   RBC   BRL     1,662        699        (7 ) 

CAD/USD

   03/19/2014   DUB   CAD     697        655        2   

CAD/USD

   03/19/2014   RBC   CAD     699        657        6   

CAD/USD

   03/19/2014   SCB   CAD     698        656        5   

CHF/USD

   03/19/2014   UBS   CHF     583        654        3   

CNH/USD

   01/08/2014   SCB   CNH     16,125        2,662        20   

CNH/USD

   01/08/2014   HSB   CNH     1,697        280        1   

COP/USD

   01/09/2014   CSI   COP     1,273,661        660        5   

CZK/EUR

   03/19/2014   BNP   EUR     (474 )      (652 )      5   

EUR/CHF

   03/19/2014   BOA   CHF     (2,327 )      (2,610 )      12   

EUR/HUF

   03/19/2014   DUB   HUF     (57,298 )      (264 )      (5 ) 

EUR/HUF

   03/19/2014   DUB   HUF     (88,118 )      (406 )      (7 ) 

EUR/HUF

   03/19/2014   BNP   HUF     (143,243 )      (660 )      (4 ) 

EUR/PLN

   03/19/2014   BOA   PLN     (4,087 )      (1,346 )      (4 ) 

EUR/PLN

   03/19/2014   BNP   PLN     (603 )      (199 )      —   

EUR/PLN

   03/19/2014   BNP   PLN     (1,110 )      (366 )      1   

EUR/USD

   03/19/2014   BNP   EUR     476        655        4   

EUR/USD

   03/19/2014   BOA   EUR     955        1,314        12   

GBP/EUR

   03/19/2014   HSB   EUR     (951 )      (1,308 )      18   

GBP/EUR

   03/19/2014   HSB   EUR     (1,898 )      (2,611 )      33   

GBP/EUR

   03/19/2014   MLP   EUR     (953 )      (1,311 )      5   

GBP/USD

   03/19/2014   SCB   GBP     3,350        5,545        69   

IDR/USD

   01/22/2014   JPM   IDR     2,958,658        242        (3 ) 

INR/USD

   01/13/2014   DUB   INR     40,199        648        (6 ) 

INR/USD

   01/16/2014   CGM   INR     40,471        652        (1 ) 

JPY/USD

   03/19/2014   CGM   JPY     134,553        1,278        (29 ) 

JPY/USD

   03/19/2014   JPM   JPY     67,369        640        (14 ) 

JPY/USD

   03/19/2014   BNP   JPY     270,382        2,568        (43 ) 

JPY/USD

   03/19/2014   DUB   JPY     270,560        2,570        (40 ) 

JPY/USD

   03/19/2014   CGM   JPY     67,805        644        (7 ) 

JPY/USD

   03/19/2014   DUB   JPY     67,803        644        (7 ) 

JPY/USD

   03/19/2014   DUB   JPY     67,939        645        (6 ) 

JPY/USD

   03/19/2014   DUB   JPY     40,675        386        (3 ) 

JPY/USD

   03/19/2014   CGM   JPY     68,209        648        (1 ) 

JPY/USD

   03/19/2014   SSB   JPY     136,487        1,297        (1 ) 

JPY/USD

   03/19/2014   CGM   JPY     204,587        1,943        (5 ) 

JPY/USD

   03/19/2014   SSB   JPY     136,707        1,299        1   

KRW/USD

   01/13/2014   BOA   KRW     1,377,881        1,305        (3 ) 

KRW/USD

   01/13/2014   BCL   KRW     689,444        653        (2 ) 

KRW/USD

   01/13/2014   BCL   KRW     689,167        653        (1 ) 

MXN/USD

   03/19/2014   DUB   MXN     130,370        9,925        (154 ) 

MXN/USD

   03/19/2014   CGM   MXN     17,124        1,304        (8 ) 

MXN/USD

   03/19/2014   DUB   MXN     16,897        1,286        (19 ) 

MYR/USD

   01/10/2014   MSC   MYR     2,122        647        (19 ) 

MYR/USD

   01/10/2014   UBS   MYR     2,126        649        (13 ) 
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Goldman Sachs Core Plus Bond Fund (continued)

  

MYR/USD

   01/13/2014   BCL   MYR     4,208      $ 1,284      $ (24 ) 

MYR/USD

   01/23/2014   BCL   MYR     4,270        1,302        —   

MYR/USD

   01/28/2014   WBC   MYR     8,417        2,566        (36 ) 

MYR/USD

   02/07/2014   SCB   MYR     8,448        2,573        (16 ) 

MYR/USD

   02/13/2014   JPM   MYR     2,191        667        (14 ) 

MYR/USD

   02/13/2014   BCL   MYR     4,286        1,305        (24 ) 

NOK/EUR

   03/19/2014   DUB   EUR     (3,615 )      (4,973 )      53   

NZD/USD

   03/19/2014   CSI   NZD     803        657        4   

NZD/USD

   03/19/2014   WBC   NZD     790        646        (3 ) 

NZD/USD

   03/19/2014   CGM   NZD     793        649        1   

PHP/USD

   01/09/2014   SCB   PHP     50,123        1,129        (15 ) 

PHP/USD

   01/27/2014   BCL   PHP     28,711        647        (13 ) 

PHP/USD

   01/28/2014   BNP   PHP     14,296        322        (7 ) 

PHP/USD

   01/28/2014   DUB   PHP     14,296        322        (2 ) 

PHP/USD

   02/07/2014   HSB   PHP     47,866        1,079        (4 ) 

PLN/USD

   03/19/2014   BNP   PLN     4,087        1,346        6   

TRY/USD

   03/19/2014   MSC   TRY     1,351        619        (33 ) 

TRY/USD

   03/19/2014   MSC   TRY     1,358        622        (31 ) 

TRY/USD

   03/19/2014   BCL   TRY     2,751        1,260        (42 ) 

TRY/USD

   03/19/2014   JPM   TRY     1,361        623        (28 ) 

TRY/USD

   03/19/2014   RBS   TRY     1,357        622        (29 ) 

TRY/USD

   03/19/2014   RBS   TRY     1,377        631        (20 ) 

TRY/USD

   03/19/2014   RBS   TRY     1,379        631        (20 ) 

TRY/USD

   03/19/2014   RBC   TRY     1,426        653        4   

TRY/USD

   03/19/2014   DUB   TRY     386        177        —   

TWD/USD

   01/10/2014   CGM   TWD     39,268        1,318        (12 ) 

TWD/USD

   01/21/2014   JPM   TWD     19,633        659        (5 ) 

TWD/USD

   02/06/2014   DUB   TWD     39,230        1,318        (14 ) 

USD/AUD

   03/19/2014   WBC   AUD     (2,929 )      (2,603 )      (4 ) 

USD/BRL

   01/09/2014   UBS   BRL     (1,570 )      (665 )      (10 ) 

USD/BRL

   01/10/2014   RBC   BRL     (3,038 )      (1,285 )      10   

USD/BRL

   01/10/2014   RBC   BRL     (3,105 )      (1,314 )      (19 ) 

USD/BRL

   01/13/2014   MSC   BRL     (1,436 )      (607 )      1   

USD/BRL

   01/13/2014   RBC   BRL     (2,952 )      (1,248 )      27   

USD/BRL

   01/13/2014   UBS   BRL     (1,506 )      (637 )      (3 ) 

USD/BRL

   01/13/2014   UBS   BRL     (1,522 )      (643 )      11   

USD/BRL

   01/13/2014   BCL   BRL     (1,533 )      (648 )      5   

USD/BRL

   01/13/2014   UBS   BRL     (1,521 )      (643 )      10   

USD/BRL

   01/13/2014   UBS   BRL     (7,770 )      (3,285 )      (31 ) 

USD/BRL

   01/17/2014   CGM   BRL     (4,499 )      (1,900 )      94   

USD/BRL

   01/17/2014   RBC   BRL     (4,152 )      (1,754 )      97   

USD/BRL

   01/17/2014   CSI   BRL     (4,094 )      (1,729 )      108   

USD/BRL

   01/31/2014   CGM   BRL     (2,287 )      (962 )      11   

USD/BRL

   01/31/2014   RBC   BRL     (2,154 )      (906 )      20   

USD/CAD

   03/19/2014   RBC   CAD     (1,408 )      (1,323 )      (9 ) 

USD/CAD

   03/19/2014   RBC   CAD     (5,072 )      (4,766 )      (18 ) 

USD/CAD

   03/19/2014   RBC   CAD     (693 )      (652 )      2   

USD/CHF

   03/19/2014   BCL   CHF     (9,828 )      (11,024 )      71   

USD/CLP

   01/31/2014   RBC   CLP     (365,132 )      (693 )      (3 ) 

USD/CNH

   01/08/2014   DUB   CNH     (8,934 )      (1,475 )      (38 ) 

USD/CNH

   01/08/2014   DUB   CNH     (8,888 )      (1,467 )      (39 ) 

USD/CZK

   03/19/2014   HSB   CZK     (37,659 )      (1,897 )      (23 ) 

USD/EUR

   01/29/2014   JPM   EUR     (1,662 )      (2,287 )      1   

USD/EUR

   01/29/2014   JPM   EUR     (7,415 )      (10,201 )      6   

USD/EUR

   03/19/2014   BOA   EUR     (3,814 )      (5,247 )      (17 ) 

USD/EUR

   03/19/2014   CSI   EUR     (1,325 )      (1,822 )      —   

USD/EUR

   03/19/2014   JPM   EUR     (469 )      (645 )      4   

USD/EUR

   03/19/2014   BOA   EUR     (471 )      (648 )      2   

USD/GBP

   01/24/2014   JPM   GBP     (4,373 )      (7,241 )      (103 ) 

USD/IDR

   01/22/2014   DUB   IDR     (14,762,017 )      (1,209 )      53   

USD/JPY

   03/19/2014   SCB   JPY     (134,809 )      (1,281 )      33   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Goldman Sachs Core Plus Bond Fund (continued)

  

USD/JPY

   03/19/2014   SSB   JPY     (266,488 )    $ (2,531 )    $ 88   

USD/JPY

   03/19/2014   CGM   JPY     (536,899 )      (5,100 )      131   

USD/JPY

   03/19/2014   SSB   JPY     (269,843 )      (2,563 )      53   

USD/JPY

   03/19/2014   UBS   JPY     (864,424 )      (8,212 )      171   

USD/JPY

   03/19/2014   HSB   JPY     (269,153 )      (2,557 )      66   

USD/MXN

   01/30/2014   UBS   MXN     (88,113 )      (6,733 )      105   

USD/MXN

   01/30/2014   HSB   MXN     (183,615 )      (14,030 )      59   

USD/NZD

   03/19/2014   WBC   NZD     (790 )      (646 )      3   

USD/NZD

   03/19/2014   WBC   NZD     (4,683 )      (3,830 )      28   

USD/RUB

   01/23/2014   CSI   RUB     (86,416 )      (2,618 )      (14 ) 

USD/RUB

   01/27/2014   DUB   RUB     (65,733 )      (1,990 )      (5 ) 

USD/RUB

   02/07/2014   CSI   RUB     (65,636 )      (1,983 )      (30 ) 

USD/RUB

   02/14/2014   BOA   RUB     (21,929 )      (662 )      —   

USD/RUB

   02/14/2014   UBS   RUB     (40,026 )      (1,208 )      (3 ) 

USD/SEK

   03/19/2014   JPM   SEK     (9,939 )      (1,543 )      (21 ) 

USD/SGD

   03/19/2014   SCB   SGD     (5,077 )      (4,023 )      27   

USD/SGD

   03/19/2014   HSB   SGD     (1,641 )      (1,300 )      5   

USD/SGD

   03/19/2014   HSB   SGD     (1,647 )      (1,305 )      (3 ) 

USD/TRY

   03/19/2014   RBC   TRY     (13,711 )      (6,280 )      313   
         

 

 

  
  $ (71,045 )    $ 573   
         

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund

  

BRL/USD

   01/09/2014   RBC   BRL     8,505      $ 3,599      $ 35   

BRL/USD

   01/10/2014   RBC   BRL     4,266        1,805        17   

BRL/USD

   01/10/2014   UBS   BRL     16,246        6,873        17   

BRL/USD

   01/13/2014   UBS   BRL     4,180        1,767        (14 ) 

BRL/USD

   01/13/2014   UBS   BRL     4,204        1,777        (4 ) 

BRL/USD

   01/13/2014   MSC   BRL     8,436        3,566        (11 ) 

BRL/USD

   01/13/2014   UBS   BRL     4,223        1,785        (18 ) 

BRL/USD

   01/13/2014   BCL   BRL     16,870        7,132        (80 ) 

BRL/USD

   01/13/2014   RBC   BRL     4,264        1,803        (21 ) 

BRL/USD

   01/13/2014   MSC   BRL     4,301        1,818        (6 ) 

BRL/USD

   01/17/2014   CGM   BRL     4,976        2,102        (104 ) 

BRL/USD

   01/17/2014   RBC   BRL     4,580        1,934        (107 ) 

BRL/USD

   01/17/2014   CSI   BRL     4,541        1,918        (120 ) 

BRL/USD

   01/17/2014   RBC   BRL     4,595        1,940        11   

BRL/USD

   01/21/2014   RBC   BRL     4,211        1,777        (24 ) 

BRL/USD

   01/21/2014   UBS   BRL     7,045        2,972        (30 ) 

BRL/USD

   01/31/2014   RBC   BRL     1,682        708        (7 ) 

BRL/USD

   01/31/2014   RBC   BRL     3,521        1,481        (19 ) 

CLP/USD

   01/17/2014   DUB   CLP     345,475        656        (4 ) 

CNH/USD

   01/08/2014   SCB   CNH     45,183        7,459        56   

CNH/USD

   01/08/2014   UBS   CNH     3,214        531        2   

CNH/USD

   01/08/2014   HSB   CNH     167        28        —   

COP/USD

   01/09/2014   CSI   COP     3,465,135        1,795        13   

COP/USD

   01/17/2014   CSI   COP     3,554,189        1,841        (35 ) 

COP/USD

   01/17/2014   CSI   COP     6,625,915        3,432        (66 ) 

COP/USD

   01/17/2014   BCL   COP     1,301,591        674        (12 ) 

COP/USD

   01/17/2014   BCL   COP     739,541        383        (7 ) 

COP/USD

   01/17/2014   HSB   COP     2,316,006        1,200        (13 ) 

COP/USD

   01/17/2014   BOA   COP     2,635,910        1,365        9   

CZK/EUR

   03/19/2014   BNP   EUR     (1,310 )      (1,802 )      14   

EUR/HUF

   03/19/2014   DUB   HUF     (155,740 )      (718 )      (15 ) 

EUR/HUF

   03/19/2014   DUB   HUF     (239,742 )      (1,105 )      (19 ) 

EUR/HUF

   03/19/2014   BNP   HUF     (394,594 )      (1,819 )      (11 ) 

EUR/PLN

   03/19/2014   BOA   PLN     (8,568 )      (2,823 )      (8 ) 

EUR/PLN

   03/19/2014   BNP   PLN     (1,658 )      (546 )      1   

EUR/PLN

   03/19/2014   BNP   PLN     (3,049 )      (1,005 )      2   

EUR/USD

   03/19/2014   JPM   EUR     560        770        (4 ) 

GBP/USD

   01/24/2014   RBC   GBP     329        545        7   

HUF/USD

   03/19/2014   JPM   HUF     7,272,087        33,515        553   
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Goldman Sachs Emerging Markets Debt Fund (continued)

  

IDR/USD

   01/22/2014   DUB   IDR     1,214,911      $ 100      $ (4 ) 

IDR/USD

   01/22/2014   BCL   IDR     20,595,400        1,687        (98 ) 

IDR/USD

   01/22/2014   JPM   IDR     8,035,139        658        (8 ) 

IDR/USD

   01/24/2014   DUB   IDR     12,456,085        1,020        (120 ) 

INR/USD

   01/13/2014   CGM   INR     110,825        1,787        (16 ) 

INR/USD

   01/16/2014   CGM   INR     111,805        1,802        (2 ) 

JPY/USD

   03/19/2014   JPM   JPY     185,970        1,767        (39 ) 

JPY/USD

   03/19/2014   BNP   JPY     186,295        1,770        (29 ) 

JPY/USD

   03/19/2014   DUB   JPY     186,697        1,774        (27 ) 

JPY/USD

   03/19/2014   CGM   JPY     187,271        1,779        (19 ) 

JPY/USD

   03/19/2014   CGM   JPY     187,573        1,782        (4 ) 

JPY/USD

   03/19/2014   SSB   JPY     188,103        1,787        1   

KRW/USD

   01/13/2014   DUB   KRW     3,798,652        3,597        (9 ) 

KRW/USD

   01/13/2014   UBS   KRW     2,544,990        2,410        (6 ) 

KRW/USD

   01/13/2014   BCL   KRW     1,909,436        1,808        (4 ) 

MXN/USD

   03/19/2014   UBS   MXN     493,300        37,556        (557 ) 

MXN/USD

   03/19/2014   CGM   MXN     47,614        3,625        (23 ) 

MXN/USD

   03/19/2014   HSB   MXN     17,081        1,300        (14 ) 

MXN/USD

   03/19/2014   DUB   MXN     66,085        5,031        (73 ) 

MXN/USD

   03/19/2014   RBC   MXN     5,769        439        —   

MXN/USD

   03/19/2014   DUB   MXN     7,600        579        (4 ) 

MYR/USD

   01/10/2014   MSC   MYR     2,513        767        (23 ) 

MYR/USD

   01/10/2014   BCL   MYR     11,522        3,516        (68 ) 

MYR/USD

   01/13/2014   MSC   MYR     5,800        1,770        (33 ) 

MYR/USD

   01/24/2014   SCB   MYR     23,060        7,030        (184 ) 

MYR/USD

   01/24/2014   HSB   MYR     15,432        4,705        (124 ) 

MYR/USD

   01/24/2014   WBC   MYR     34,835        10,620        (313 ) 

MYR/USD

   01/24/2014   JPM   MYR     34,376        10,480        (368 ) 

MYR/USD

   01/24/2014   DUB   MYR     14,008        4,271        (152 ) 

MYR/USD

   01/24/2014   CGM   MYR     56,032        17,083        (494 ) 

MYR/USD

   01/24/2014   DUB   MYR     3,939        1,201        (20 ) 

MYR/USD

   01/24/2014   JPM   MYR     1,904        581        (13 ) 

MYR/USD

   01/24/2014   WBC   MYR     3,870        1,180        (32 ) 

MYR/USD

   01/24/2014   CGM   MYR     2,171        662        (9 ) 

MYR/USD

   01/24/2014   DUB   MYR     5,073        1,547        —   

MYR/USD

   02/07/2014   SCB   MYR     21,308        6,491        (41 ) 

MYR/USD

   02/13/2014   BCL   MYR     8,106        2,468        (52 ) 

MYR/USD

   02/13/2014   BCL   MYR     3,516        1,071        (20 ) 

NGN/USD

   02/13/2014   HSB   NGN     349,137        2,151        (5 ) 

NGN/USD

   02/13/2014   JPM   NGN     476,796        2,937        (19 ) 

NGN/USD

   02/13/2014   SCB   NGN     134,321        828        (4 ) 

PEN/USD

   01/17/2014   CSI   PEN     3,878        1,383        14   

PEN/USD

   01/17/2014   BOA   PEN     2,197        784        2   

PEN/USD

   02/10/2014   CGM   PEN     1,866        663        5   

PEN/USD

   02/10/2014   HSB   PEN     3,370        1,197        3   

PHP/USD

   01/09/2014   SCB   PHP     130,891        2,949        (40 ) 

PHP/USD

   01/09/2014   SCB   PHP     26,806        604        (3 ) 

PHP/USD

   01/24/2014   BCL   PHP     39,441        889        (18 ) 

PHP/USD

   01/27/2014   BCL   PHP     36,319        819        (17 ) 

PHP/USD

   01/28/2014   BNP   PHP     40,486        913        (19 ) 

PHP/USD

   01/28/2014   DUB   PHP     40,486        913        (5 ) 

PHP/USD

   02/07/2014   HSB   PHP     130,597        2,944        (10 ) 

PLN/USD

   03/19/2014   BNP   PLN     126,700        41,746        202   

RON/USD

   03/19/2014   HSB   RON     14,109        4,327        78   

RUB/USD

   01/17/2014   DUB   RUB     209,779        6,362        (43 ) 

RUB/USD

   01/17/2014   CGM   RUB     209,779        6,362        (47 ) 

RUB/USD

   01/17/2014   BCL   RUB     43,096        1,307        (3 ) 

RUB/USD

   01/17/2014   CSI   RUB     6,792        206        —   

RUB/USD

   01/17/2014   HSB   RUB     91,865        2,786        24   

RUB/USD

   02/14/2014   UBS   RUB     93,061        2,809        6   

THB/USD

   01/24/2014   DUB   THB     13,239        403        (7 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Goldman Sachs Emerging Markets Debt Fund (continued)

  

THB/USD

   01/24/2014   DUB   THB     38,507      $ 1,171      $ (18 ) 

THB/USD

   01/24/2014   DUB   THB     27,640        840        (11 ) 

THB/USD

   01/24/2014   DUB   THB     27,138        825        (9 ) 

THB/USD

   02/03/2014   DUB   THB     35,498        1,079        (17 ) 

THB/USD

   02/03/2014   DUB   THB     81,758        2,484        (39 ) 

TRY/USD

   03/19/2014   MSC   TRY     3,743        1,714        (93 ) 

TRY/USD

   03/19/2014   MSC   TRY     3,747        1,716        (85 ) 

TRY/USD

   03/19/2014   RBS   TRY     3,804        1,742        (56 ) 

TRY/USD

   03/19/2014   BCL   TRY     7,600        3,481        (116 ) 

TRY/USD

   03/19/2014   RBS   TRY     3,749        1,717        (81 ) 

TRY/USD

   03/19/2014   JPM   TRY     3,134        1,435        (64 ) 

TRY/USD

   03/19/2014   RBS   TRY     3,793        1,737        (54 ) 

TRY/USD

   03/19/2014   RBS   TRY     3,930        1,800        12   

TRY/USD

   03/19/2014   DUB   TRY     1,061        486        (1 ) 

TWD/USD

   01/10/2014   CGM   TWD     113,306        3,803        (35 ) 

TWD/USD

   01/21/2014   JPM   TWD     57,445        1,928        (13 ) 

TWD/USD

   02/06/2014   DUB   TWD     93,432        3,138        (33 ) 

USD/BRL

   01/09/2014   UBS   BRL     (4,984 )      (2,109 )      (30 ) 

USD/BRL

   01/09/2014   RBC   BRL     (3,521 )      (1,490 )      19   

USD/BRL

   01/10/2014   RBC   BRL     (6,308 )      (2,669 )      22   

USD/BRL

   01/10/2014   RBC   BRL     (6,672 )      (2,823 )      (41 ) 

USD/BRL

   01/13/2014   MSC   BRL     (4,020 )      (1,700 )      3   

USD/BRL

   01/13/2014   RBC   BRL     (8,295 )      (3,507 )      76   

USD/BRL

   01/13/2014   UBS   BRL     (1,682 )      (711 )      (4 ) 

USD/BRL

   01/13/2014   BCL   BRL     (4,216 )      (1,782 )      30   

USD/BRL

   01/13/2014   BCL   BRL     (4,235 )      (1,790 )      14   

USD/BRL

   01/13/2014   UBS   BRL     (4,203 )      (1,777 )      27   

USD/BRL

   01/13/2014   UBS   BRL     (19,955 )      (8,436 )      (79 ) 

USD/BRL

   01/17/2014   JPM   BRL     (3,659 )      (1,545 )      73   

USD/BRL

   01/17/2014   CGM   BRL     (612 )      (259 )      13   

USD/BRL

   01/17/2014   RBC   BRL     (565 )      (239 )      13   

USD/BRL

   01/17/2014   BCL   BRL     (557 )      (235 )      15   

USD/BRL

   01/17/2014   HSB   BRL     (12,281 )      (5,187 )      347   

USD/BRL

   01/17/2014   UBS   BRL     (3,157 )      (1,333 )      34   

USD/BRL

   01/31/2014   CGM   BRL     (4,955 )      (2,085 )      23   

USD/BRL

   01/31/2014   RBC   BRL     (6,108 )      (2,570 )      56   

USD/CLP

   01/17/2014   RBC   CLP     (1,897,324 )      (3,605 )      144   

USD/CLP

   01/31/2014   RBC   CLP     (995,465 )      (1,888 )      (9 ) 

USD/CNH

   01/08/2014   DUB   CNH     (24,366 )      (4,022 )      (103 ) 

USD/CNH

   01/08/2014   DUB   CNH     (24,198 )      (3,995 )      (107 ) 

USD/COP

   01/17/2014   CSI   COP     (12,924,046 )      (6,694 )      99   

USD/COP

   01/17/2014   SCB   COP     (38,441,560 )      (19,912 )      299   

USD/COP

   01/17/2014   CSI   COP     (8,308,758 )      (4,304 )      10   

USD/COP

   01/17/2014   HSB   COP     (1,587,429 )      (822 )      (4 ) 

USD/COP

   01/17/2014   CGM   COP     (1,639,300 )      (849 )      (3 ) 

USD/COP

   01/17/2014   CGM   COP     (2,014,018 )      (1,043 )      2   

USD/COP

   01/17/2014   CSI   COP     (2,918,512 )      (1,512 )      (8 ) 

USD/COP

   01/17/2014   CSI   COP     (3,710,261 )      (1,922 )      (18 ) 

USD/COP

   01/17/2014   CSI   COP     (1,037,936 )      (538 )      1   

USD/CZK

   03/19/2014   BNP   CZK     (104,570 )      (5,269 )      (63 ) 

USD/EUR

   01/29/2014   JPM   EUR     (1,376 )      (1,894 )      1   

USD/EUR

   03/19/2014   BOA   EUR     (2,629 )      (3,617 )      (12 ) 

USD/EUR

   03/19/2014   CSI   EUR     (4,229 )      (5,818 )      1   

USD/GBP

   01/24/2014   JPM   GBP     (386 )      (640 )      (9 ) 

USD/IDR

   01/24/2014   UBS   IDR     (121,843,693 )      (9,976 )      976   

USD/IDR

   01/24/2014   HSB   IDR     (18,897,030 )      (1,547 )      64   

USD/IDR

   01/24/2014   DUB   IDR     (40,208,725 )      (3,292 )      34   

USD/JPY

   03/19/2014   SCB   JPY     (183,233 )      (1,741 )      45   

USD/JPY

   03/19/2014   SSB   JPY     (362,403 )      (3,443 )      120   

USD/JPY

   03/19/2014   CGM   JPY     (550,756 )      (5,232 )      134   

USD/JPY

   03/19/2014   SSB   JPY     (185,981 )      (1,767 )      36   
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Goldman Sachs Emerging Markets Debt Fund (continued)

  

USD/JPY

   03/19/2014   JPM   JPY     (183,708 )    $ (1,745 )    $ 36   

USD/JPY

   03/19/2014   HSB   JPY     (187,166 )      (1,778 )      46   

USD/KRW

   01/24/2014   CGM   KRW     (1,156,928 )      (1,095 )      (13 ) 

USD/KRW

   01/24/2014   UBS   KRW     (1,231,975 )      (1,166 )      (10 ) 

USD/MXN

   01/30/2014   JPM   MXN     (47,251 )      (3,611 )      57   

USD/MXN

   03/19/2014   SSB   MXN     (119,621 )      (9,107 )      39   

USD/MXN

   03/19/2014   RBC   MXN     (24,330 )      (1,852 )      (5 ) 

USD/MYR

   01/24/2014   JPM   MYR     (4,718 )      (1,438 )      38   

USD/MYR

   01/24/2014   JPM   MYR     (6,457 )      (1,968 )      52   

USD/MYR

   01/28/2014   WBC   MYR     (4,815 )      (1,468 )      21   

USD/NGN

   02/13/2014   SCB   NGN     (324,894 )      (2,002 )      (9 ) 

USD/PEN

   01/17/2014   CSI   PEN     (5,492 )      (1,959 )      (8 ) 

USD/PHP

   01/24/2014   DUB   PHP     (5,450 )      (123 )      4   

USD/PLN

   03/19/2014   BOA   PLN     (7,226 )      (2,381 )      2   

USD/RUB

   01/17/2014   CSI   RUB     (133,725 )      (4,056 )      70   

USD/RUB

   01/17/2014   CSI   RUB     (342,698 )      (10,393 )      179   

USD/RUB

   01/17/2014   DUB   RUB     (73,363 )      (2,225 )      —   

USD/RUB

   01/17/2014   CGM   RUB     (45,100 )      (1,368 )      2   

USD/RUB

   01/23/2014   CSI   RUB     (237,743 )      (7,203 )      (39 ) 

USD/RUB

   01/27/2014   JPM   RUB     (218,387 )      (6,612 )      (20 ) 

USD/RUB

   02/07/2014   CSI   RUB     (209,802 )      (6,340 )      (97 ) 

USD/RUB

   02/14/2014   MLP   RUB     (38,004 )      (1,147 )      —   

USD/SGD

   03/19/2014   SCB   SGD     (13,452 )      (10,660 )      72   

USD/SGD

   03/19/2014   HSB   SGD     (4,524 )      (3,585 )      13   

USD/SGD

   03/19/2014   HSB   SGD     (4,549 )      (3,605 )      (8 ) 

USD/THB

   01/24/2014   DUB   THB     (152,773 )      (4,644 )      165   

USD/THB

   01/24/2014   DUB   THB     (120,316 )      (3,658 )      118   

USD/THB

   02/03/2014   DUB   THB     (122,632 )      (3,726 )      72   

USD/THB

   02/18/2014   DUB   THB     (54,875 )      (1,666 )      22   

USD/TRY

   03/19/2014   RBC   TRY     (25,835 )      (11,832 )      591   

USD/TRY

   03/19/2014   DUB   TRY     (2,102 )      (962 )      10   

USD/TRY

   03/19/2014   DUB   TRY     (2,572 )      (1,178 )      2   

ZAR/USD

   03/19/2014   DUB   ZAR     388,433        36,629        (482 ) 
         

 

 

  
  $ 140,499      $ (481 ) 
         

 

 

  

JNL/Ivy Asset Strategy Fund

  

USD/JPY

   01/27/2014   DUB   JPY     (12,848,696 )    $ (122,023 )    $ 5,318   

USD/JPY

   01/27/2014   CIT   JPY     (3,692,683 )      (35,069 )      1,528   

USD/JPY

   01/27/2014   BCL   JPY     (7,964,330 )      (75,636 )      3,249   

USD/JPY

   01/27/2014   GSC   JPY     (2,476,291 )      (23,517 )      1,035   

USD/JPY

   01/27/2014   MSC   JPY     (8,682,738 )      (82,459 )      3,583   
         

 

 

  
  $ (338,704 )    $ 14,713   
         

 

 

  

JNL/JPMorgan International Value Fund

  

AUD/USD

   02/26/2014   BNP   AUD     39,786      $ 35,400      $ (841 ) 

CHF/EUR

   02/26/2014   SSB   EUR     (4,986 )      (6,859 )      16   

EUR/GBP

   02/26/2014   HSB   GBP     (1,200 )      (1,986 )      1   

EUR/USD

   02/26/2014   TDS   EUR     3,039        4,181        74   

EUR/USD

   02/26/2014   CSI   EUR     1,295        1,782        33   

EUR/USD

   02/26/2014   DUB   EUR     1,678        2,308        39   

EUR/USD

   02/26/2014   GSC   EUR     2,777        3,821        43   

EUR/USD

   02/26/2014   GSC   EUR     2,536        3,489        43   

EUR/USD

   02/26/2014   BCL   EUR     1,249        1,718        21   

EUR/USD

   02/26/2014   UBS   EUR     1,486        2,044        23   

EUR/USD

   02/26/2014   GSC   EUR     1,758        2,419        31   

EUR/USD

   02/26/2014   SSB   EUR     1,930        2,655        17   

EUR/USD

   02/26/2014   CBA   EUR     3,015        4,148        (1 ) 

EUR/USD

   02/26/2014   UBS   EUR     1,946        2,678        (3 ) 

GBP/EUR

   02/26/2014   SSB   EUR     (14,665 )      (20,175 )      18   

GBP/USD

   02/26/2014   MLP   GBP     19,019        31,484        701   

GBP/USD

   02/26/2014   SGB   GBP     880        1,456        21   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/JPMorgan International Value Fund (continued)

  

JPY/SEK

   02/26/2014   SSB   SEK     (19,173 )    $ (2,978 )    $ (133 ) 

JPY/USD

   02/26/2014   CBA   JPY     138,782        1,318        (40 ) 

JPY/USD

   02/26/2014   BCL   JPY     171,970        1,633        (44 ) 

NOK/USD

   02/26/2014   MLP   NOK     15,233        2,507        12   

SEK/USD

   02/26/2014   SSB   SEK     8,760        1,361        33   

SGD/USD

   02/26/2014   SSB   SGD     11,433        9,060        (68 ) 

USD/CAD

   02/26/2014   WBC   CAD     (1,779 )      (1,673 )      7   

USD/CHF

   02/26/2014   WBC   CHF     (15,351 )      (17,216 )      (346 ) 

USD/EUR

   02/26/2014   BCL   EUR     (3,927 )      (5,403 )      (125 ) 

USD/EUR

   02/26/2014   WBC   EUR     (16,573 )      (22,800 )      (398 ) 

USD/EUR

   02/26/2014   MLP   EUR     (1,246 )      (1,715 )      (19 ) 

USD/EUR

   02/26/2014   MLP   EUR     (2,038 )      (2,804 )      (32 ) 

USD/EUR

   02/26/2014   ANZ   EUR     (1,015 )      (1,397 )      (21 ) 

USD/EUR

   02/26/2014   RBS   EUR     (1,464 )      (2,014 )      (31 ) 

USD/GBP

   02/26/2014   SGB   GBP     (1,212 )      (2,005 )      (51 ) 

USD/GBP

   02/26/2014   MLP   GBP     (925 )      (1,531 )      (23 ) 

USD/GBP

   02/26/2014   GSC   GBP     (1,951 )      (3,230 )      (28 ) 

USD/GBP

   02/26/2014   BCL   GBP     (1,347 )      (2,229 )      (28 ) 

USD/GBP

   02/26/2014   UBS   GBP     (1,833 )      (3,034 )      (37 ) 

USD/GBP

   02/26/2014   SSB   GBP     (3,246 )      (5,374 )      (66 ) 

USD/HKD

   02/26/2014   CSI   HKD     (14,515 )      (1,872 )      1   

USD/HKD

   02/26/2014   BNP   HKD     (86,374 )      (11,140 )      4   

USD/JPY

   02/26/2014   BCL   JPY     (341,308 )      (3,242 )      143   

USD/JPY

   02/26/2014   BNP   JPY     (1,127,428 )      (10,709 )      439   

USD/JPY

   02/26/2014   MLP   JPY     (421,681 )      (4,005 )      124   

USD/JPY

   02/26/2014   UBS   JPY     (404,608 )      (3,843 )      92   
         

 

 

  
  $ (23,772 )    $ (399 ) 
         

 

 

  

JNL/Mellon Capital International Index Fund

  

AUD/USD

   03/19/2014   SCB   AUD     1,443      $ 1,282      $ (23 ) 

AUD/USD

   03/19/2014   BCL   AUD     129        114        (2 ) 

AUD/USD

   03/19/2014   GSC   AUD     2,703        2,402        (42 ) 

AUD/USD

   03/19/2014   BCL   AUD     128        114        —   

AUD/USD

   03/19/2014   BCL   AUD     253        225        —   

AUD/USD

   03/19/2014   BCL   AUD     253        225        1   

AUD/USD

   03/19/2014   BOA   AUD     851        756        3   

AUD/USD

   03/19/2014   CCI   AUD     127        113        —   

AUD/USD

   03/19/2014   BCL   AUD     253        225        2   

AUD/USD

   03/19/2014   BCL   AUD     259        230        1   

AUD/USD

   03/19/2014   BCL   AUD     1,329        1,181        6   

EUR/USD

   03/19/2014   BCL   EUR     119        163        —   

EUR/USD

   03/19/2014   CCI   EUR     8,481        11,667        (23 ) 

EUR/USD

   03/19/2014   CCI   EUR     147        203        —   

EUR/USD

   03/19/2014   BCL   EUR     263        362        —   

EUR/USD

   03/19/2014   CCI   EUR     234        321        —   

EUR/USD

   03/19/2014   BOA   EUR     1,416        1,949        (1 ) 

EUR/USD

   03/19/2014   BCL   EUR     208        286        —   

EUR/USD

   03/19/2014   BOA   EUR     324        445        —   

EUR/USD

   03/19/2014   BCL   EUR     356        490        3   

EUR/USD

   03/19/2014   BCL   EUR     181        249        2   

EUR/USD

   03/19/2014   BOA   EUR     91        126        1   

EUR/USD

   03/19/2014   BCL   EUR     552        759        (3 ) 

GBP/USD

   03/19/2014   BOA   GBP     1,127        1,866        33   

GBP/USD

   03/19/2014   BCL   GBP     194        321        6   

GBP/USD

   03/19/2014   BCL   GBP     258        426        5   

GBP/USD

   03/19/2014   BCL   GBP     322        533        7   

GBP/USD

   03/19/2014   BCL   GBP     196        324        4   

GBP/USD

   03/19/2014   BCL   GBP     131        216        3   

GBP/USD

   03/19/2014   BCL   GBP     332        550        2   

GBP/USD

   03/19/2014   CCI   GBP     3,390        5,611        62   

GBP/USD

   03/19/2014   BNP   GBP     3,869        6,404        66   
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Mellon Capital International Index Fund (continued)

  

GBP/USD

   03/19/2014   BCL   GBP     130      $ 216      $ 3   

GBP/USD

   03/19/2014   BCL   GBP     258        426        7   

GBP/USD

   03/19/2014   RBC   GBP     256        423        6   

JPY/USD

   03/19/2014   BCL   JPY     12,565        119        (3 ) 

JPY/USD

   03/19/2014   CCI   JPY         209,664        1,992        (53 ) 

JPY/USD

   03/19/2014   GSC   JPY     326,804        3,104        (82 ) 

JPY/USD

   03/19/2014   CCI   JPY     61,966        589        (17 ) 

JPY/USD

   03/19/2014   GSC   JPY     208,815        1,984        (54 ) 

JPY/USD

   03/19/2014   UBS   JPY     41,593        395        (11 ) 

JPY/USD

   03/19/2014   BCL   JPY     24,930        237        (5 ) 

JPY/USD

   03/19/2014   BCL   JPY     37,245        354        (8 ) 

JPY/USD

   03/19/2014   BOA   JPY     126,488        1,201        (32 ) 

JPY/USD

   03/19/2014   BOA   JPY     49,160        467        (11 ) 

JPY/USD

   03/19/2014   BCL   JPY     37,050        352        (8 ) 

JPY/USD

   03/19/2014   BCL   JPY     12,530        119        (1 ) 

JPY/USD

   03/19/2014   BOA   JPY     50,400        479        (6 ) 

JPY/USD

   03/19/2014   BCL   JPY     126,000        1,197        (12 ) 

JPY/USD

   03/19/2014   BCL   JPY     63,250        601        (3 ) 
         

 

 

  
  $ 54,393      $ (177 ) 
         

 

 

  

JNL/Mellon Capital Global Alpha Fund

  

AUD/USD

   03/19/2014   CCI   AUD     5,379      $ 4,779      $ (104 ) 

AUD/USD

   03/19/2014   RBS   AUD     8,532        7,581        (168 ) 

AUD/USD

   03/19/2014   SCB   AUD     5,917        5,257        (95 ) 

AUD/USD

   03/19/2014   GSC   AUD     11,086        9,850        (173 ) 

CAD/USD

   03/19/2014   RBC   CAD     1,883        1,770        (1 ) 

CAD/USD

   03/19/2014   HSB   CAD     3,938        3,700        (3 ) 

CAD/USD

   03/19/2014   BNP   CAD     685        643        (1 ) 

CAD/USD

   03/19/2014   CCI   CAD     2,054        1,930        (2 ) 

CAD/USD

   03/19/2014   HSB   CAD     9,517        8,943        18   

CAD/USD

   03/19/2014   CCI   CAD     595        559        1   

CAD/USD

   03/19/2014   HSB   CAD     2,436        2,289        15   

CAD/USD

   03/19/2014   HSB   CAD     1,218        1,144        8   

CHF/USD

   03/19/2014   RBS   CHF     1,184        1,328        (7 ) 

CHF/USD

   03/19/2014   BCL   CHF     800        898        (5 ) 

CHF/USD

   03/19/2014   CCI   CHF     64        72        —   

CHF/USD

   03/19/2014   BOA   CHF     960        1,077        (6 ) 

CHF/USD

   03/19/2014   DUB   CHF     192        215        (1 ) 

CHF/USD

   03/19/2014   HSB   CHF     800        897        7   

CHF/USD

   03/19/2014   SCB   CHF     565        633        2   

CHF/USD

   03/19/2014   UBS   CHF     855        959        7   

CHF/USD

   03/19/2014   DUB   CHF     1,103        1,237        9   

CHF/USD

   03/19/2014   BOA   CHF     882        990        7   

CHF/USD

   03/19/2014   GSC   CHF     496        557        4   

CHF/USD

   03/19/2014   CCI   CHF     1,379        1,546        11   

CHF/USD

   03/19/2014   RBS   CHF     565        633        2   

CHF/USD

   03/19/2014   BCL   CHF     452        507        2   

CHF/USD

   03/19/2014   CCI   CHF     678        760        2   

EUR/USD

   03/19/2014   CCI   EUR     15,285        21,027        (41 ) 

EUR/USD

   03/19/2014   BNP   EUR     421        579        (2 ) 

EUR/USD

   03/19/2014   RBC   EUR     1,157        1,592        (4 ) 

EUR/USD

   03/19/2014   HSB   EUR     2,419        3,328        (7 ) 

EUR/USD

   03/19/2014   CCI   EUR     1,262        1,736        (5 ) 

EUR/USD

   03/19/2014   HSB   EUR     8,950        12,313        3   

EUR/USD

   03/19/2014   CCI   EUR     559        770        —   

EUR/USD

   03/19/2014   DUB   EUR     1,468        2,019        1   

EUR/USD

   03/19/2014   UBS   EUR     1,694        2,330        —   

EUR/USD

   03/19/2014   CCI   EUR     1,412        1,942        1   

EUR/USD

   03/19/2014   HSB   EUR     1,073        1,476        —   

EUR/USD

   03/19/2014   HSB   EUR     2,963        4,077        (5 ) 

EUR/USD

   03/19/2014   HSB   EUR     5,927        8,153        (22 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Mellon Capital Global Alpha Fund (continued)

  

GBP/USD

   03/19/2014   CCI   GBP     1,087      $ 1,799      $ 19   

GBP/USD

   03/19/2014   BCL   GBP     725        1,199        14   

GBP/USD

   03/19/2014   HSB   GBP     10,018        16,581        176   

GBP/USD

   03/19/2014   CCI   GBP     18,813        31,136        340   

GBP/USD

   03/19/2014   BNP   GBP     21,471        35,537        367   

GBP/USD

   03/19/2014   HSB   GBP     5,981        9,899        138   

GBP/USD

   03/19/2014   CCI   GBP     374        619        8   

GBP/USD

   03/19/2014   CCI   GBP     426        705        11   

GBP/USD

   03/19/2014   DUB   GBP     443        733        11   

GBP/USD

   03/19/2014   HSB   GBP     324        536        8   

GBP/USD

   03/19/2014   UBS   GBP     511        846        13   

GBP/USD

   03/19/2014   BCL   GBP     618        1,022        19   

GBP/USD

   03/19/2014   CCI   GBP     49        82        1   

GBP/USD

   03/19/2014   BOA   GBP     741        1,226        23   

GBP/USD

   03/19/2014   RBS   GBP     914        1,513        27   

GBP/USD

   03/19/2014   DUB   GBP     148        245        4   

GBP/USD

   03/19/2014   HSB   GBP     1,951        3,229        34   

GBP/USD

   03/19/2014   SCB   GBP     906        1,499        17   

GBP/USD

   03/19/2014   RBS   GBP     906        1,499        17   

JPY/USD

   03/19/2014   HSB   JPY     362,736        3,446        (72 ) 

JPY/USD

   03/19/2014   CCI   JPY     308,596        2,931        (74 ) 

JPY/USD

   03/19/2014   CCI   JPY     181,239        1,722        (44 ) 

JPY/USD

   03/19/2014   UBS   JPY     96,008        912        (25 ) 

JPY/USD

   03/19/2014   CCI   JPY     483,957        4,597        (122 ) 

JPY/USD

   03/19/2014   CCI   JPY     143,032        1,359        (38 ) 

JPY/USD

   03/19/2014   GSC   JPY     754,346        7,166        (190 ) 

JPY/USD

   03/19/2014   GSC   JPY     481,997        4,579        (124 ) 

NZD/USD

   03/19/2014   HSB   NZD     1,060        867        4   

NZD/USD

   03/19/2014   CCI   NZD     1,828        1,495        5   

NZD/USD

   03/19/2014   UBS   NZD     1,133        927        3   

NZD/USD

   03/19/2014   DUB   NZD     1,462        1,196        3   

NZD/USD

   03/19/2014   GSC   NZD     658        538        1   

NZD/USD

   03/19/2014   BOA   NZD     1,170        957        2   

NZD/USD

   03/19/2014   RBS   NZD     1,009        825        3   

NZD/USD

   03/19/2014   SCB   NZD     1,009        825        4   

NZD/USD

   03/19/2014   BCL   NZD     807        660        1   

NZD/USD

   03/19/2014   CCI   NZD     1,211        990        2   

SEK/USD

   03/19/2014   UBS   SEK     11,281        1,752        25   

USD/AUD

   03/19/2014   RBC   AUD     (1,034 )      (918 )      12   

USD/AUD

   03/19/2014   CCI   AUD     (1,128 )      (1,002 )      13   

USD/AUD

   03/19/2014   BNP   AUD     (376 )      (334 )      5   

USD/AUD

   03/19/2014   HSB   AUD     (2,161 )      (1,920 )      24   

USD/AUD

   03/19/2014   CCI   AUD     (322 )      (286 )      —   

USD/AUD

   03/19/2014   HSB   AUD     (5,156 )      (4,581 )      (7 ) 

USD/AUD

   03/19/2014   CCI   AUD     (952 )      (846 )      2   

USD/AUD

   03/19/2014   HSB   AUD     (723 )      (643 )      2   

USD/AUD

   03/19/2014   DUB   AUD     (990 )      (879 )      2   

USD/AUD

   03/19/2014   UBS   AUD     (1,142 )      (1,015 )      2   

USD/AUD

   03/19/2014   HSB   AUD     (2,165 )      (1,924 )      (9 ) 

USD/AUD

   03/19/2014   HSB   AUD     (4,330 )      (3,847 )      (14 ) 

USD/CAD

   03/19/2014   DUB   CAD     (14,690 )      (13,804 )      (59 ) 

USD/CAD

   03/19/2014   CCI   CAD     (13,228 )      (12,430 )      13   

USD/CAD

   03/19/2014   BOA   CAD     (20,123 )      (18,909 )      (12 ) 

USD/CAD

   03/19/2014   RBC   CAD     (22,701 )      (21,332 )      17   

USD/CAD

   03/19/2014   DUB   CAD     (859 )      (807 )      3   

USD/CAD

   03/19/2014   UBS   CAD     (992 )      (932 )      3   

USD/CAD

   03/19/2014   HSB   CAD     (628 )      (590 )      2   

USD/CAD

   03/19/2014   CCI   CAD     (826 )      (776 )      3   

USD/CHF

   03/19/2014   HSB   CHF     (2,151 )      (2,413 )      (4 ) 

USD/CHF

   03/19/2014   UBS   CHF     (2,770 )      (3,107 )      (6 ) 

USD/CHF

   03/19/2014   RBS   CHF     (1,575 )      (1,767 )      (4 ) 
Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/Mellon Capital Global Alpha Fund (continued)

  

USD/CHF

   03/19/2014   BOA   CHF     (2,195 )    $ (2,461 )    $ (6 ) 

USD/CHF

   03/19/2014   UBS   CHF     (2,048 )      (2,297 )      2   

USD/CHF

   03/19/2014   CCI   CHF     (410 )      (459 )      —   

USD/CHF

   03/19/2014   HSB   CHF     (819 )      (919 )      1   

USD/CHF

   03/19/2014   BOA   CHF     (16,325 )      (18,311 )      13   

USD/CHF

   03/19/2014   DUB   CHF     (819 )      (919 )      1   

USD/CHF

   03/19/2014   RBS   CHF     (12,937 )      (14,510 )      16   

USD/CHF

   03/19/2014   UBS   CHF     (10,694 )      (11,995 )      68   

USD/CHF

   03/19/2014   BCL   CHF     (15,564 )      (17,457 )      93   

USD/CHF

   03/19/2014   DUB   CHF     (21,484 )      (24,098 )      184   

USD/CHF

   03/19/2014   CCI   CHF     (891 )      (999 )      5   

USD/CHF

   03/19/2014   HSB   CHF     (677 )      (759 )      3   

USD/CHF

   03/19/2014   DUB   CHF     (926 )      (1,039 )      5   

USD/CHF

   03/19/2014   UBS   CHF     (1,069 )      (1,199 )      6   

USD/EUR

   03/19/2014   RBS   EUR     (2,765 )      (3,803 )      (6 ) 

USD/EUR

   03/19/2014   DUB   EUR     (448 )      (617 )      —   

USD/EUR

   03/19/2014   BCL   EUR     (1,868 )      (2,570 )      (3 ) 

USD/EUR

   03/19/2014   CCI   EUR     (149 )      (206 )      —   

USD/EUR

   03/19/2014   BOA   EUR     (2,242 )      (3,084 )      (4 ) 

USD/EUR

   03/19/2014   HSB   EUR     (2,308 )      (3,175 )      2   

USD/EUR

   03/19/2014   GSC   EUR     (1,630 )      (2,242 )      (19 ) 

USD/EUR

   03/19/2014   HSB   EUR     (2,626 )      (3,612 )      (34 ) 

USD/EUR

   03/19/2014   DUB   EUR     (3,622 )      (4,983 )      (42 ) 

USD/EUR

   03/19/2014   UBS   EUR     (2,807 )      (3,862 )      (33 ) 

USD/EUR

   03/19/2014   SCB   EUR     (2,148 )      (2,955 )      (17 ) 

USD/EUR

   03/19/2014   RBS   EUR     (2,148 )      (2,955 )      (16 ) 

USD/EUR

   03/19/2014   BOA   EUR     (2,898 )      (3,986 )      (33 ) 

USD/EUR

   03/19/2014   CCI   EUR     (4,528 )      (6,228 )      (52 ) 

USD/EUR

   03/19/2014   BCL   EUR     (1,718 )      (2,364 )      (14 ) 

USD/EUR

   03/19/2014   CCI   EUR     (2,577 )      (3,546 )      (17 ) 

USD/JPY

   03/19/2014   RBC   JPY     (129,236 )      (1,228 )      33   

USD/JPY

   03/19/2014   HSB   JPY     (270,220 )      (2,567 )      72   

USD/JPY

   03/19/2014   BNP   JPY     (46,995 )      (446 )      13   

USD/JPY

   03/19/2014   CCI   JPY     (140,984 )      (1,339 )      39   

USD/JPY

   03/19/2014   CCI   JPY     (58,717 )      (558 )      12   

USD/JPY

   03/19/2014   HSB   JPY     (939,470 )      (8,924 )      194   

USD/JPY

   03/19/2014   HSB   JPY     (141,164 )      (1,341 )      11   

USD/JPY

   03/19/2014   BOA   JPY     (155,768 )      (1,480 )      14   

USD/JPY

   03/19/2014   GSC   JPY     (87,619 )      (832 )      7   

USD/JPY

   03/19/2014   UBS   JPY     (150,900 )      (1,433 )      12   

USD/JPY

   03/19/2014   DUB   JPY     (194,710 )      (1,850 )      17   

USD/JPY

   03/19/2014   CCI   JPY     (243,387 )      (2,312 )      21   

USD/NOK

   03/19/2014   CCI   NOK     (46,763 )      (7,688 )      (58 ) 

USD/NOK

   03/19/2014   HSB   NOK     (34,863 )      (5,732 )      (114 ) 

USD/NOK

   03/19/2014   CCI   NOK     (2,179 )      (358 )      (9 ) 

USD/NZD

   03/19/2014   DUB   NZD     (1,126 )      (921 )      3   

USD/NZD

   03/19/2014   CCI   NZD     (563 )      (461 )      2   

USD/NZD

   03/19/2014   HSB   NZD     (1,126 )      (921 )      4   

USD/NZD

   03/19/2014   UBS   NZD     (2,816 )      (2,303 )      9   

USD/NZD

   03/19/2014   BNP   NZD     (5,266 )      (4,307 )      51   

USD/NZD

   03/19/2014   HSB   NZD     (2,535 )      (2,074 )      24   

USD/SEK

   03/19/2014   HSB   SEK     (12,188 )      (1,893 )      (49 ) 

USD/SEK

   03/19/2014   CCI   SEK     (762 )      (118 )      (3 ) 
         

 

 

  
  $ (24,013 )    $ 455   
         

 

 

  

JNL/PIMCO Real Return Fund

  

AUD/USD

   01/06/2014   BOA   AUD     26,861      $ 23,979      $ 173   

BRL/USD

   01/03/2014   MSC   BRL     16,911        7,168        (3 ) 

BRL/USD

   02/04/2014   MSC   BRL     16,911        7,109        (74 ) 

EUR/USD

   01/02/2014   CIT   EUR     82,261        113,167        (82 ) 

EUR/USD

   02/04/2014   DUB   EUR     13,081        17,995        (32 ) 
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Open Forward Foreign Currency Contracts

 

Purchased/
Sold		   Settlement
Date		   Counter-
Party		   Notional
Amount		     Value     Unrealized
Gain/
(Loss)		  

JNL/PIMCO Real Return Fund (continued)

  

NZD/USD

   01/06/2014   UBS   NZD     7,028      $ 5,779      $ 42   

USD/AUD

   01/06/2014   CIT   AUD     (26,861 )      (23,979 )      535   

USD/AUD

   02/04/2014   BOA   AUD     (26,861 )      (23,933 )      (172 ) 

USD/BRL

   01/03/2014   MSC   BRL     (16,911 )      (7,168 )      71   

USD/EUR

   01/02/2014   BOA   EUR     (78,750 )      (108,337 )      (1,748 ) 

USD/EUR

   01/02/2014   DUB   EUR     (1,633 )      (2,246 )      (49 ) 

USD/EUR

   01/02/2014   DUB   EUR     (1,878 )      (2,584 )      (57 ) 

USD/EUR

   02/04/2014   CIT   EUR     (82,261 )      (113,165 )      81   

USD/EUR

   02/04/2014   BCL   EUR     (3,250 )      (4,471 )      5   

USD/JPY

   02/03/2014   CIT   JPY     (7,310,000 )      (69,425 )      5,810   

USD/JPY

   02/18/2014   UBS   JPY     (113,055 )      (1,074 )      66   

USD/MXN

   01/16/2014   JPM   MXN     (56,837 )      (4,348 )      32   

USD/MXN

   01/16/2014   BNP   MXN     (40,294 )      (3,083 )      21   

USD/MXN

   01/23/2014   JPM   MXN     (221,193 )      (16,912 )      126   

USD/MXN

   02/13/2014   JPM   MXN     (37,138 )      (2,835 )      42   

USD/MXN

   03/06/2014   MSC   MXN     (349,716 )      (26,652 )      (178 ) 

USD/MXN

   03/06/2014   MSC   MXN     (41,863 )      (3,190 )      27   

USD/MXN

   03/13/2014   BNP   MXN     (93,919 )      (7,154 )      104   

USD/MXN

   03/13/2014   DUB   MXN     (95,037 )      (7,239 )      75   

USD/MXN

   04/30/2014   MSC   MXN     (39,483 )      (2,996 )      24   

USD/MXN

   06/12/2014   CIT   MXN     (206,507 )      (15,617 )      111   

USD/MXN

   06/12/2014   JPM   MXN     (142,087 )      (10,746 )      82   

USD/NZD

   01/06/2014   MSC   NZD     (7,028 )      (5,779 )      (9 ) 

USD/NZD

   02/04/2014   UBS   NZD     (7,028 )      (5,766 )      (42 ) 
         

 

 

  
  $ (293,502 )    $ 4,981   
         

 

 

  

JNL/PIMCO Total Return Bond Fund

  

BRL/USD

   01/03/2014   MSC   BRL     1,031      $ 437      $ —   

EUR/USD

   01/02/2014   BOA   EUR     1,714        2,358        33   

EUR/USD

   01/02/2014   BNP   EUR     155,439        213,838        110   

USD/CAD

   03/20/2014   CIT   CAD     (40,624 )      (38,172 )      105   

USD/EUR

   01/02/2014   JPM   EUR     (151,150 )      (207,938 )      (4,548 ) 

USD/EUR

   01/02/2014   UBS   EUR     (3,850 )      (5,297 )      (60 ) 

USD/EUR

   01/02/2014   CSI   EUR     (1,516 )      (2,086 )      (9 ) 

USD/EUR

   01/02/2014   CSI   EUR     (313 )      (431 )      (2 ) 

USD/EUR

   01/02/2014   UBS   EUR     (324 )      (446 )      —   

USD/EUR

   02/04/2014   CIT   EUR     (58,238 )      (80,117 )      (193 ) 

USD/EUR

   02/04/2014   BCL   EUR     (280 )      (385 )      1   

USD/EUR

   02/04/2014   BNP   EUR     (155,439 )      (213,835 )      (111 ) 

USD/EUR

   02/04/2014   JPM   EUR     (453 )      (623 )      (3 ) 

USD/EUR

   02/28/2014   CSI   EUR     (2,100 )      (2,889 )      (85 ) 

USD/EUR

   03/14/2014   BOA   EUR     (53,585 )      (73,716 )      (3,094 ) 

USD/EUR

   04/01/2014   CIT   EUR     (600 )      (825 )      (65 ) 

USD/EUR

   04/01/2014   BNP   EUR     (100 )      (138 )      (11 ) 

USD/EUR

   06/02/2014   CSI   EUR     (1,000 )      (1,376 )      (108 ) 

USD/EUR

   06/02/2014   BNP   EUR     (200 )      (275 )      (22 ) 

USD/EUR

   06/02/2014   BOA   EUR     (19,400 )      (26,690 )      (778 ) 

USD/EUR

   07/01/2014   BNP   EUR     (100 )      (138 )      (11 ) 

USD/EUR

   08/01/2014   BNP   EUR     (200 )      (275 )      (22 ) 

USD/GBP

   03/12/2014   BCL   GBP     (7,948 )      (13,155 )      (151 ) 

USD/JPY

   02/18/2014   UBS   JPY     (1,497,800 )      (14,226 )      873   

USD/JPY

   02/18/2014   BCL   JPY     (540,100 )      (5,130 )      114   

USD/JPY

   02/18/2014   CSI   JPY     (565,000 )      (5,366 )      132   

USD/JPY

   02/18/2014   BCL   JPY     (272,400 )      (2,587 )      70   

USD/JPY

   02/18/2014   DUB   JPY     (270,400 )      (2,568 )      56   

USD/JPY

   02/18/2014   CSI   JPY     (985,200 )      (9,357 )      78   

USD/JPY

   02/18/2014   BCL   JPY     (352,500 )      (3,348 )      48   

USD/MXN

   01/23/2014   JPM   MXN     (32,513 )      (2,486 )      38   

USD/MXN

   02/06/2014   BNP   MXN     (97,206 )      (7,424 )      114   
         

 

 

  
  $ (504,666 )    $ (7,501 ) 
         

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Interest Rate Swap Agreements

 

Over the Counter Interest Rate Swap Agreements

 

Counterparty   Floating Rate Index   Paying/Receiving
Floating Rate		   Fixed Rate     Expiration
Date		    

Notional

Amount1

     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/BlackRock Global Allocation Fund

  

    

DUB

  

3-Month LIBOR

   Receiving     0.49 %      09/14/2015          1,050      $ —      $ (3 ) 

DUB

  

3-Month LIBOR

   Receiving     0.49 %      09/17/2015          3,700        —        (10 ) 

DUB

  

3-Month LIBOR

   Receiving     0.49 %      09/17/2015          1,400        —        (4 ) 

DUB

  

3-Month LIBOR

   Paying     1.30 %      08/17/2016          856        —        —   

DUB

  

3-Month LIBOR

   Paying     1.01 %      09/27/2016          1,003        —        (3 ) 

DUB

  

3-Month LIBOR

   Paying     1.03 %      09/27/2016          3,000        —        (9 ) 

DUB

  

3-Month LIBOR

   Paying     0.83 %      09/27/2016          3,000        —        (15 ) 

DUB

  

3-Month LIBOR

   Paying     0.96 %      09/28/2016          8,000        —        (29 ) 

DUB

  

3-Month LIBOR

   Paying     1.04 %      09/28/2016          4,250        —        (13 ) 

DUB

  

3-Month LIBOR

   Paying     1.00 %      09/28/2016          5,250        —        (18 ) 

DUB

  

3-Month LIBOR

   Paying     1.16 %      09/14/2018          325        —        (6 ) 

DUB

  

3-Month LIBOR

   Paying     1.07 %      09/17/2018          1,500        —        (36 ) 

DUB

  

3-Month LIBOR

   Paying     1.13 %      09/17/2018          700        —        (15 ) 

GSI

  

3-Month LIBOR

   Paying     1.00 %      09/28/2016          35,186        —        (118 ) 

JPM

  

3-Month LIBOR

   Receiving     0.50 %      09/17/2015          7,565        —        (21 ) 

JPM

  

3-Month LIBOR

   Paying     1.19 %      09/17/2018          3,380        —        (62 ) 
             

 

 

  
  $ —      $ (362 ) 
             

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund

  

    

JPM

  

3-Month LIBOR

   Receiving     3.02 %      08/22/2023          67,670      $ —      $ (603 ) 

JPM

  

3-Month LIBOR

   Receiving     3.85 %      08/22/2043          38,670        —        39   
             

 

 

  
  $ —      $ (564 ) 
             

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund

  

    

BBP

  

6-Month Norwegian Interbank Offered Rate

   Receiving     4.00 %      12/20/2022      NOK     660      $ (1 )    $ 1   

BBP

  

6-Month Norwegian Interbank Offered Rate

   Receiving     4.00 %      12/20/2022      NOK     27,160        (24 )      41   

BBP

  

6-Month Norwegian Interbank Offered Rate

   Paying     4.00 %      12/20/2022      NOK     34,440        3        (25 ) 

BBP

  

6-Month Norwegian Interbank Offered Rate

   Paying     4.00 %      12/20/2022      NOK     8,730        (1 )      (4 ) 

BNP

  

6-Month Norwegian Interbank Offered Rate

   Receiving     4.00 %      12/20/2022      NOK     35,730        (49 )      72   

BNP

  

6-Month Norwegian Interbank Offered Rate

   Receiving     4.00 %      12/20/2022      NOK     13,320        (4 )      12   

BOA

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     2,650        (59 )      (49 ) 

BOA

  

3-Month Canada Bankers Acceptance

   Receiving     3.00 %      12/20/2022      CAD     8,400        302        39   

BOA

  

Brazil Interbank Deposit Rate

   Paying     10.39 %      01/04/2016      BRL     28,910        —        (158 ) 

CIT

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     3,530        (150 )      7   

CIT

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     3,040        (105 )      (18 ) 

CIT

  

6-Month Norwegian Interbank Offered Rate

   Receiving     4.00 %      12/20/2022      NOK     23,400        17        (2 ) 

CIT

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.45 %      08/08/2023      KRW     5,431,490        —        (21 ) 

CIT

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.49 %      08/16/2023      KRW     610,090        —        (4 ) 

CIT

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.47 %      12/23/2023      KRW     1,925,780        —        (6 ) 

CIT

  

Kuala Lumpur Interbank Offered Rate

   Receiving     3.92 %      11/19/2018      MYR     3,800        —        2   

CIT

  

Kuala Lumpur Interbank Offered Rate

   Receiving     4.45 %      11/15/2023      MYR     2,400        —        9   

DUB

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     1,810        (76 )      3   

DUB

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     4,860        (121 )      (77 ) 

DUB

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     1,500        (53 )      (8 ) 

DUB

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     4,160        (154 )      (15 ) 

DUB

  

3-Month LIBOR

   Receiving     2.51 %      10/15/2020          5,500        —        (60 ) 

DUB

  

Kuala Lumpur Interbank Offered Rate

   Receiving     3.88 %      11/14/2018      MYR     3,430        —        4   

DUB

  

Kuala Lumpur Interbank Offered Rate

   Receiving     4.49 %      08/14/2023      MYR     860        —        2   

JPM

  

6-Month Norwegian Interbank Offered Rate

   Receiving     4.00 %      12/20/2022      NOK     19,100        22        (10 ) 

JPM

  

6-Month Norwegian Interbank Offered Rate

   Paying     4.00 %      12/20/2022      NOK     10,260        (3 )      (3 ) 

JPM

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.42 %      08/13/2023      KRW     1,600,360        —        (2 ) 

JPM

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.56 %      08/19/2023      KRW     768,920        —        (10 ) 

JPM

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.47 %      12/23/2023      KRW     919,120        —        (3 ) 

JPM

  

Kuala Lumpur Interbank Offered Rate

   Receiving     3.97 %      12/11/2018      MYR     3,110        —        (2 ) 

JPM

  

Kuala Lumpur Interbank Offered Rate

   Receiving     4.33 %      09/26/2023      MYR     1,500        —        10   

MSC

  

6-Month Norwegian Interbank Offered Rate

   Paying     4.00 %      12/20/2022      NOK     8,940        (2 )      (3 ) 

MSC

  

6-Month Norwegian Interbank Offered Rate

   Paying     4.00 %      12/20/2022      NOK     9,760        (2 )      (4 ) 

MSC

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.49 %      08/16/2023      KRW     596,300        —        (4 ) 

MSC

  

Kuala Lumpur Interbank Offered Rate

   Receiving     3.93 %      11/20/2018      MYR     4,490        —        1   

RBC

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     4,420        (185 )      5   

RBC

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      12/20/2022      CAD     4,070        (121 )      (44 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Interest Rate Swap Agreements

 

Over the Counter Interest Rate Swap Agreements (continued)

 

Counterparty   Floating Rate Index   Paying/Receiving
Floating Rate		   Fixed Rate     Expiration
Date		    

Notional

Amount1

     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/Goldman Sachs Core Plus Bond Fund (continued)

  

    

RBC

  

3-Month Canada Bankers Acceptance

   Receiving     3.00 %      12/20/2022      CAD     6,180      $ 182      $  69   
             

 

 

  
  $ (584 )    $ (255 ) 
             

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund

  

    

BBP

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.25 %      01/15/2020      ZAR     43,900      $ —      $ (271 ) 

BBP

  

3-Month South African Johannesburg Interbank Rate

   Paying     7.15 %      01/04/2016      ZAR     14,460        —        (92 ) 

BBP

  

Brazil Interbank Deposit Rate

   Receiving     10.74 %      09/18/2022      BRL     57,740        —        (50 ) 

BBP

  

Brazil Interbank Deposit Rate

   Paying     10.30 %      11/29/2022      BRL     6,680        —        (42 ) 

BBP

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.30 %      06/19/2023      KRW     11,385,580        —        167   

BBP

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.23 %      06/29/2027      KRW     7,492,420        —        135   

BBP

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.19 %      01/04/2016      KRW     1,754,880        —        30   

BBP

  

Mexican Interbank Rate

   Paying     8.01 %      01/04/2016      MXN     325,250        —        (1,057 ) 

BOA

  

Brazil Interbank Deposit Rate

   Paying     10.01 %      01/02/2017      BRL     34,200        —        (296 ) 

BOA

  

Brazil Interbank Deposit Rate

   Paying     8.01 %      06/07/2023      BRL     6,300        —        (145 ) 

BOA

  

Brazil Interbank Deposit Rate

   Paying     10.69 %      08/13/2022      BRL     15,820        —        (179 ) 

BOA

  

Chilean Interbank Rate

   Receiving     5.36 %      12/13/2023      CLP     563,340        —        3   

BOA

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.12 %      05/31/2023      KRW     21,708,000        —        466   

BOA

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.49 %      04/22/2027      KRW     796,350        —        (4 ) 

BOA

  

Mexican Interbank Rate

   Paying     6.65 %      09/03/2027      MXN     22,070        —        (12 ) 

BOA

  

Mexican Interbank Rate

   Paying     9.30 %      05/31/2018      MXN     199,320        —        (121 ) 

BOA

  

Mexican Interbank Rate

   Paying     8.59 %      05/30/2020      MXN     78,980        —        (169 ) 

CIT

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.50 %      05/29/2023      ZAR     29,580        —        (70 ) 

CIT

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.62 %      01/04/2016      ZAR     31,000        —        (160 ) 

CIT

  

3-Month South African Johannesburg Interbank Rate

   Paying     7.16 %      09/30/2018      ZAR     13,390        —        (84 ) 

CIT

  

Brazil Interbank Deposit Rate

   Paying     11.70 %      09/02/2023      BRL     18,670        —        23   

CIT

  

Chilean Interbank Rate

   Receiving     5.01 %      12/23/2023      CLP     773,210        —        (20 ) 

CIT

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.46 %      11/11/2018      KRW     3,136,040        —        (12 ) 

CIT

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.47 %      11/13/2018      KRW     1,857,320        —        (6 ) 

CIT

  

Tel Aviv Interbank Offered Rate

   Receiving     2.32 %      05/22/2023      ILS     24,670        —        (19 ) 

CIT

  

Tel Aviv Interbank Offered Rate

   Receiving     2.35 %      03/13/2019      ILS     13,370        —        (16 ) 

CSI

  

Mexican Interbank Rate

   Paying     5.98 %      05/31/2018      MXN     18,230        —        (80 ) 

DUB

  

3-Month LIBOR

   Receiving     1.64 %      05/31/2018          2,500        —        16   

DUB

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.52 %      06/07/2018      ZAR     23,000        —        (53 ) 

DUB

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.53 %      06/07/2018      ZAR     29,590        —        (67 ) 

DUB

  

3-Month South African Johannesburg Interbank Rate

   Paying     7.10 %      11/04/2019      ZAR     45,200        —        (10 ) 

DUB

  

3-Month South African Johannesburg Interbank Rate

   Paying     7.11 %      05/29/2023      ZAR     28,175        —        (5 ) 

DUB

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.58 %      01/04/2016      ZAR     70,980        —        (307 ) 

DUB

  

3-Month South African Johannesburg Interbank Rate

   Paying     7.17 %      01/04/2016      ZAR     13,010        —        (81 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     10.16 %      01/04/2016      BRL     14,830        —        (110 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     10.37 %      01/04/2016      BRL     16,960        —        (105 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     10.35 %      01/04/2016      BRL     5,430        —        (35 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     10.34 %      01/04/2016      BRL     16,970        —        (111 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     8.28 %      01/04/2016      BRL     48,440        —        (1,032 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     8.64 %      01/02/2017      BRL     34,710        —        (660 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     11.78 %      10/03/2018      BRL     8,330        —        15   

DUB

  

Brazil Interbank Deposit Rate

   Paying     10.67 %      10/22/2018      BRL     12,060        —        (132 ) 

DUB

  

Chilean Interbank Rate

   Receiving     4.99 %      09/14/2022      CLP     743,000        —        (13 ) 

DUB

  

Chilean Interbank Rate

   Receiving     4.86 %      09/18/2022      CLP     456,390        —        (3 ) 

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.21 %      01/08/2023      KRW     10,012,000        —        182   

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.32 %      01/15/2020      KRW     11,385,580        —        159   

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.39 %      05/29/2023      KRW     18,000,000        —        215   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Interest Rate Swap Agreements

 

Over the Counter Interest Rate Swap Agreements (continued)

 

Counterparty   Floating Rate Index   Paying/Receiving
Floating Rate		   Fixed Rate     Expiration
Date		    

Notional

Amount1

     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/Goldman Sachs Emerging Markets Debt Fund (continued)

  

    

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.00 %      05/30/2023      KRW     517,530      $ —      $ 16   

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.34 %      08/26/2023      KRW     3,423,190        —        15   

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.48 %      12/17/2023      KRW     3,680,190        —        (23 ) 

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.59 %      10/24/2023      KRW     5,236,380        —        (75 ) 

DUB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.46 %      06/01/2023      KRW     1,881,820        —        (4 ) 

DUB

  

Kuala Lumpur Interbank Offered Rate

   Paying     4.09 %      11/02/2023      MYR     3,340        —        (41 ) 

DUB

  

Mexican Interbank Rate

   Paying     6.26 %      06/11/2027      MXN     26,670        —        (76 ) 

DUB

  

Mexican Interbank Rate

   Paying     6.86 %      09/12/2017      MXN     16,430        —        10   

DUB

  

Mexican Interbank Rate

   Paying     6.81 %      11/18/2018      MXN     18,860        —        1   

DUB

  

Mexican Interbank Rate

   Paying     9.29 %      06/19/2023      MXN     73,030        —        (46 ) 

DUB

  

Mexican Interbank Rate

   Paying     8.70 %      02/24/2019      MXN     75,500        —        (141 ) 

DUB

  

Taiwan Secondary Commercial Papers - 90 Days

   Receiving     1.03 %      01/02/2016      TWD     221,580        —        40   

DUB

  

Tel Aviv Interbank Offered Rate

   Receiving     2.23 %      01/02/2017      ILS     9,330        —        5   

HSB

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.18 %      11/29/2022      KRW     3,850,000        —        69   

JPM

  

3-Month South African Johannesburg Interbank Rate

   Paying     7.32 %      12/23/2023      ZAR     90,000        —        (11 ) 

JPM

  

Brazil Interbank Deposit Rate

   Paying     11.81 %      10/02/2017      BRL     33,310        —        64   

JPM

  

Brazil Interbank Deposit Rate

   Receiving     9.04 %      04/27/2023      BRL     9,920        —        269   

JPM

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.22 %      05/12/2023      KRW     8,776,350        —        160   

JPM

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.47 %      07/07/2023      KRW     886,450        —        (3 ) 

JPM

  

Mexican Interbank Rate

   Receiving     5.18 %      07/27/2017      MXN     40,000        —        (17 ) 

JPM

  

Mexican Interbank Rate

   Receiving     5.16 %      01/04/2016      MXN     26,450        —        242   

JPM

  

Mexican Interbank Rate

   Paying     5.63 %      07/11/2023      MXN     17,140        —        (109 ) 

JPM

  

Mexican Interbank Rate

   Receiving     6.43 %      05/30/2023      MXN     47,450        —        86   

JPM

  

Taiwan Secondary Commercial Papers - 90 Days

   Receiving     0.93 %      07/05/2023      TWD     280,600        —        78   

MSC

  

Brazil Interbank Deposit Rate

   Paying     11.76 %      08/05/2023      BRL     18,240        —        29   

MSC

  

Korean Won 3-Month Certificate of Deposit

   Receiving     3.41 %      08/26/2023      KRW     1,718,100        —        (2 ) 
             

 

 

  
  $ —      $ (3,682 ) 
             

 

 

  

JNL/PIMCO Real Return Fund

  

    

BBP

  

France CPI Excluding Tobacco

   Paying     1.95 %      07/25/2021      EUR     29,000      $ 35      $ 802   

BBP

  

US CPURNSA

   Receiving     1.91 %      04/17/2017          15,400        —        (66 ) 

BBP

  

US CPURNSA

   Receiving     2.18 %      08/21/2017          22,600        —        (71 ) 

BBP

  

US CPURNSA

   Receiving     2.18 %      08/21/2017          20,600        (13 )      (52 ) 

BNP

  

France CPI Excluding Tobacco

   Paying     2.15 %      04/01/2021      EUR     4,800        56        234   

BNP

  

France CPI Excluding Tobacco

   Paying     2.10 %      07/25/2021      EUR     6,900        (59 )      523   

BNP

  

France CPI Excluding Tobacco

   Paying     1.95 %      07/25/2021      EUR     3,900        49        64   

BNP

  

US CPURNSA

   Receiving     1.83 %      11/29/2016          3,500        (1 )      1   

BNP

  

US CPURNSA

   Receiving     1.83 %      11/29/2016          2,800        —        —   

BNP

  

US CPURNSA

   Receiving     2.25 %      07/15/2017          10,200        11        (257 ) 

BNP

  

US CPURNSA

   Receiving     2.25 %      07/15/2017          21,500        50        (568 ) 

BNP

  

US CPURNSA

   Receiving     2.50 %      07/15/2022          11,000        68        (294 ) 

BNP

  

US CPURNSA

   Receiving     2.50 %      07/15/2022          7,300        130        (279 ) 

BNP

  

US CPURNSA

   Receiving     2.50 %      07/15/2022          7,300        104        (254 ) 

BOA

  

France CPI Excluding Tobacco

   Paying     2.15 %      04/01/2021      EUR     8,300        218        282   

CIT

  

France CPI Excluding Tobacco

   Paying     2.15 %      04/01/2021      EUR     2,100        33        94   

CIT

  

France CPI Excluding Tobacco

   Paying     1.95 %      07/25/2021      EUR     3,000        4        82   

CIT

  

US CPURNSA

   Receiving     2.25 %      07/15/2017          16,600        4        (404 ) 

CSI

  

France CPI Excluding Tobacco

   Paying     2.15 %      04/01/2021      EUR     1,700        3        100   

CSI

  

France CPI Excluding Tobacco

   Paying     1.95 %      07/25/2021      EUR     29,500        (24 )      876   

CSI

  

France CPI Excluding Tobacco

   Paying     1.95 %      07/25/2023      EUR     600        4        4   

DUB

  

France CPI Excluding Tobacco

   Paying     2.15 %      04/01/2021      EUR     6,000        132        230   

DUB

  

France CPI Excluding Tobacco

   Paying     2.15 %      04/01/2021      EUR     5,000        86        216   

DUB

  

France CPI Excluding Tobacco

   Paying     1.95 %      07/25/2023      EUR     6,800        58        38   

DUB

  

US CPURNSA

   Receiving     1.73 %      12/19/2015          5,700        —        1   

DUB

  

US CPURNSA

   Receiving     1.94 %      10/07/2016          22,000        —        (90 ) 

DUB

  

US CPURNSA

   Receiving     1.83 %      11/29/2016          2,000        (2 )      1   

DUB

  

US CPURNSA

   Receiving     1.83 %      11/29/2016          3,800        (1 )      —   

DUB

  

US CPURNSA

   Receiving     1.83 %      11/29/2016          6,100        —        (1 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Interest Rate Swap Agreements

 

Over the Counter Interest Rate Swap Agreements (continued)

 

Counterparty   Floating Rate Index   Paying/Receiving
Floating Rate		   Fixed Rate     Expiration
Date		    

Notional

Amount1

     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/PIMCO Real Return Fund (continued)

  

    

DUB

  

US CPURNSA

   Receiving     1.85 %      11/29/2016          23,700      $ —      $ (17 ) 

DUB

  

US CPURNSA

   Receiving     2.32 %      11/16/2017          12,300        —        (303 ) 

DUB

  

US CPURNSA

   Receiving     2.50 %      05/08/2023          8,800        200        (380 ) 

DUB

  

US CPURNSA

   Receiving     2.50 %      07/25/2021          2,300        17        (64 ) 

DUB

  

US CPURNSA

   Receiving     2.56 %      01/02/2017          11,800        —        (184 ) 

JPM

  

France CPI Excluding Tobacco

   Paying     2.10 %      01/02/2017      EUR     1,000        (10 )      77   

MSS

  

Brazil Interbank Deposit Rate

   Paying     8.22 %      04/01/2021      BRL     31,900        (6 )      (1,125 ) 

MSS

  

Brazil Interbank Deposit Rate

   Paying     10.91 %      01/02/2017      BRL     20,800        (10 )      (153 ) 

MSS

  

France CPI Excluding Tobacco

   Paying     2.15 %      11/29/2016      EUR     2,300        (8 )      147   

UBS

  

Brazil Interbank Deposit Rate

   Paying     10.41 %      11/16/2017      BRL     8,400        5        1   

UBS

  

Brazil Interbank Deposit Rate

   Paying     8.15 %      07/15/2022      BRL     50,600        (50 )      (1,789 ) 

UBS

  

Brazil Interbank Deposit Rate

   Paying     10.91 %      07/15/2022      BRL     80,500        96        (727 ) 
             

 

 

  
  $ 1,179      $ (3,305 ) 
             

 

 

  

JNL/PIMCO Total Return Bond Fund

  

    

BBP

  

Mexican Interbank Rate

   Paying     5.60 %      09/06/2016      MXN     73,400      $ 35      $ 116   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     8,000        (1 )      13   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     16,000        (3 )      25   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     5,000        —        7   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     65,000        (15 )      107   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     40,000        (38 )      94   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     41,000        (35 )      93   

BBP

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     26,000        (6 )      43   

BBP

  

Mexican Interbank Rate

   Paying     5.75 %      06/05/2023      MXN     100        —        —   

BBP

  

Mexican Interbank Rate

   Paying     6.00 %      06/05/2023      MXN     100        —        —   

BOA

  

Brazil Interbank Deposit Rate

   Paying     8.86 %      01/02/2017      BRL     6,400        5        (168 ) 

BOA

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     30,000        3        39   

BOA

  

Mexican Interbank Rate

   Paying     5.50 %      09/02/2022      MXN     100        —        (1 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     9.13 %      01/02/2017      BRL     5,000        18        (146 ) 

DUB

  

Brazil Interbank Deposit Rate

   Paying     9.13 %      01/02/2017      BRL     3,200        8        (90 ) 

DUB

  

Mexican Interbank Rate

   Paying     5.75 %      06/05/2023      MXN     100        —        —   

JPM

  

Mexican Interbank Rate

   Paying     5.00 %      06/11/2018      MXN     93,000        (140 )      46   

JPM

  

Mexican Interbank Rate

   Paying     6.00 %      06/05/2023      MXN     100        (1 )      —   

JPM

  

Mexican Interbank Rate

   Paying     6.00 %      06/05/2023      MXN     200        (1 )      —   

MSC

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     19,000        (18 )      45   

MSC

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     26,000        (6 )      43   

MSC

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     17,000        (4 )      28   

MSC

  

Mexican Interbank Rate

   Paying     6.35 %      06/02/2021      MXN     11,900        3        (2 ) 

MSS

  

Brazil Interbank Deposit Rate

   Paying     8.64 %      01/02/2017      BRL     3,200        (4 )      (87 ) 

MSS

  

Brazil Interbank Deposit Rate

   Paying     9.14 %      01/02/2017      BRL     4,000        13        (116 ) 

MSS

  

Mexican Interbank Rate

   Paying     5.00 %      06/11/2018      MXN     176,000        (285 )      105   

MSS

  

Mexican Interbank Rate

   Paying     5.50 %      09/02/2022      MXN     200        —        (1 ) 

UBS

  

Brazil Interbank Deposit Rate

   Paying     8.90 %      01/02/2017      BRL     5,600        (10 )      (145 ) 

UBS

  

Brazil Interbank Deposit Rate

   Paying     8.90 %      01/02/2017      BRL     5,000        4        (143 ) 

UBS

  

Mexican Interbank Rate

   Paying     5.50 %      09/13/2017      MXN     13,000        (2 )      21   
             

 

 

  
  $ (480 )    $ (74 ) 
             

 

 

  

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Interest Rate Swap Agreements

 

Centrally Cleared Interest Rate Swap Agreements

 

Counterparty   Floating Rate Index   Paying/Receiving
Floating Rate		   Fixed Rate     Expiration
Date		    

Notional

Amount1

     Unrealized
Appreciation/
(Depreciation)		  

JNL/BlackRock Global Allocation Fund

    

N/A

  

3-Month LIBOR

   Paying     1.78 %      09/27/2016          4,572      $ 19   

N/A

  

3-Month LIBOR

   Paying     1.46 %      09/28/2016          4,500        4   

N/A

  

3-Month LIBOR

   Paying     1.05 %      09/28/2016          1,398        (4 ) 

N/A

  

3-Month LIBOR

   Paying     1.26 %      09/28/2016          1,750        (2 ) 

N/A

  

3-Month LIBOR

   Paying     3.91 %      11/13/2019          28,560        (68 ) 

N/A

  

3-Month LIBOR

   Paying     3.92 %      11/13/2019          28,580        (65 ) 
             

 

 

  
  $ (116 ) 
             

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund

    

N/A

  

3-Month Canada Bankers Acceptance

   Paying     1.94 %      07/24/2016      CAD     4,200      $ 26   

N/A

  

3-Month Canada Bankers Acceptance

   Paying     2.25 %      03/19/2019      CAD     14,620        (134 ) 

N/A

  

3-Month Canada Bankers Acceptance

   Paying     3.00 %      03/19/2024      CAD     4,850        (62 ) 

N/A

  

3-Month Canada Bankers Acceptance

   Receiving     3.25 %      07/24/2024      CAD     800        6   

N/A

  

3-Month LIBOR

   Receiving     0.65 %      09/26/2015          25,170        (27 ) 

N/A

  

3-Month LIBOR

   Paying     0.75 %      03/19/2016          124,500        388   

N/A

  

3-Month LIBOR

   Receiving     0.97 %      07/24/2016          5,000        (17 ) 

N/A

  

3-Month LIBOR

   Receiving     1.68 %      11/25/2017          93,300        626   

N/A

  

3-Month LIBOR

   Receiving     1.69 %      11/25/2017          2,700        23   

N/A

  

3-Month LIBOR

   Paying     2.00 %      03/19/2019          1,730        (5 ) 

N/A

  

3-Month LIBOR

   Paying     3.56 %      08/29/2019          3,600        28   

N/A

  

3-Month LIBOR

   Paying     2.92 %      11/25/2020          111,300        (1,387 ) 

N/A

  

3-Month LIBOR

   Paying     2.94 %      11/25/2020          3,200        (48 ) 

N/A

  

3-Month LIBOR

   Paying     2.75 %      03/19/2021          3,900        (56 ) 

N/A

  

3-Month LIBOR

   Receiving     3.10 %      08/27/2021          1,800        (25 ) 

N/A

  

3-Month LIBOR

   Receiving     3.13 %      08/27/2021          1,800        (29 ) 

N/A

  

3-Month LIBOR

   Paying     4.25 %      10/08/2023          26,480        (387 ) 

N/A

  

3-Month LIBOR

   Receiving     3.51 %      11/25/2023          49,600        749   

N/A

  

3-Month LIBOR

   Receiving     3.53 %      11/25/2023          1,400        25   

N/A

  

3-Month LIBOR

   Receiving     4.50 %      12/19/2023          1,760        15   

N/A

  

3-Month LIBOR

   Receiving     3.25 %      03/19/2024          2,010        28   

N/A

  

3-Month LIBOR

   Paying     3.10 %      07/24/2024          1,100        (12 ) 

N/A

  

3-Month LIBOR

   Receiving     3.50 %      03/19/2029          39,500        802   

N/A

  

3-Month LIBOR

   Receiving     3.75 %      03/19/2044          970        41   

N/A

  

3-Month New Zealand Bank Bill Forward Rate Agreement

   Paying     4.25 %      12/15/2015      NZD     17,300        7   

N/A

  

3-Month New Zealand Bank Bill Forward Rate Agreement

   Paying     4.75 %      03/19/2019      NZD     1,870        (2 ) 

N/A

  

3-Month New Zealand Bank Bill Forward Rate Agreement

   Paying     5.75 %      12/19/2023      NZD     13,170        (28 ) 

N/A

  

3-Month New Zealand Bank Bill Forward Rate Agreement

   Receiving     5.25 %      03/19/2024      NZD     1,290        10   

N/A

  

6-Month Australian Bank Bill Short Term Rate

   Paying     3.20 %      09/05/2015      AUD     41,900        103   

N/A

  

6-Month Australian Bank Bill Short Term Rate

   Receiving     4.00 %      03/19/2019      AUD     1,470        —   

N/A

  

6-Month Australian Bank Bill Short Term Rate

   Paying     5.50 %      12/19/2023      AUD     5,270        (14 ) 

N/A

  

6-Month Australian Bank Bill Short Term Rate

   Paying     4.75 %      03/19/2024      AUD     70        1   

N/A

  

6-Month EURIBOR

   Paying     0.75 %      09/26/2015      EUR     22,720        36   

N/A

  

6-Month EURIBOR

   Paying     1.25 %      03/19/2019      EUR     10,330        (84 ) 

N/A

  

6-Month EURIBOR

   Receiving     3.25 %      12/19/2023      EUR     5,910        36   

N/A

  

6-Month EURIBOR

   Paying     2.25 %      03/19/2024      EUR     2,030        (10 ) 

N/A

  

6-Month Norwegian Interbank Offered Rate

   Receiving     2.00 %      06/30/2015      NOK     46,530        (3 ) 

N/A

  

6-Month Poland Warsaw Interbank Rate

   Receiving     3.84 %      12/10/2018      PLN     2,175        (5 ) 

N/A

  

6-Month Poland Warsaw Interbank Rate

   Receiving     3.82 %      12/10/2018      PLN     2,350        (4 ) 

N/A

  

6-Month Poland Warsaw Interbank Rate

   Receiving     3.82 %      12/10/2018      PLN     2,350        (4 ) 

N/A

  

6-Month Poland Warsaw Interbank Rate

   Receiving     4.16 %      11/28/2023      PLN     3,860        5   

N/A

  

6-Month Poland Warsaw Interbank Rate

   Receiving     4.32 %      12/09/2023      PLN     1,220        (3 ) 

N/A

  

6-Month Poland Warsaw Interbank Rate

   Receiving     4.29 %      12/11/2023      PLN     1,680        (3 ) 

N/A

  

British Bankers’ Association Swiss Franc LIBOR

   Paying     2.50 %      12/19/2023      CHF     3,870        —   

N/A

  

British Bankers’ Association Yen LIBOR

   Paying     0.61 %      04/24/2020      JPY     1,370,290        (8 ) 

N/A

  

British Bankers’ Association Yen LIBOR

   Receiving     1.25 %      12/20/2022      JPY     1,897,665        154   

N/A

  

British Bankers’ Association Yen LIBOR

   Receiving     1.25 %      10/08/2023      JPY     4,038,760        398   

N/A

  

British Bankers’ Association Yen LIBOR

   Paying     0.75 %      03/19/2024      JPY     247,910        (18 ) 

N/A

  

British Bankers’ Association Yen LIBOR

   Receiving     1.03 %      04/24/2025      JPY     2,191,980        273   

N/A

  

British Bankers’ Association Yen LIBOR

   Receiving     1.65 %      05/09/2025      JPY     3,158,000        (193 ) 

N/A

  

British Bankers’ Association Yen LIBOR

   Paying     1.88 %      05/09/2027      JPY     1,937,000        201   

N/A

  

British Bankers’ Association Yen LIBOR

   Paying     1.48 %      04/24/2030      JPY     1,126,210        (183 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Interest Rate Swap Agreements

 

Centrally Cleared Interest Rate Swap Agreements (continued)

 

Counterparty   Floating Rate Index   Paying/Receiving
Floating Rate		   Fixed Rate     Expiration
Date		    

Notional

Amount1

     Unrealized
Appreciation/
(Depreciation)		  

JNL/Goldman Sachs Core Plus Bond Fund (continued)

  

  

N/A

  

London-Interbank Offered Rate

   Paying     1.65 %      06/25/2016      GBP     3,760      $ (25 ) 

N/A

  

London-Interbank Offered Rate

   Receiving     1.32 %      11/25/2016      GBP     15,470        208   

N/A

  

London-Interbank Offered Rate

   Receiving     2.12 %      08/24/2017      GBP     25,590        290   

N/A

  

London-Interbank Offered Rate

   Receiving     2.00 %      03/19/2019      GBP     2,160        44   

N/A

  

London-Interbank Offered Rate

   Paying     2.96 %      08/24/2020      GBP     24,600        (564 ) 

N/A

  

London-Interbank Offered Rate

   Paying     2.70 %      11/25/2021      GBP     21,610        (736 ) 

N/A

  

London-Interbank Offered Rate

   Receiving     2.75 %      03/19/2024      GBP     2,880        65   

N/A

  

London-Interbank Offered Rate

   Receiving     3.08 %      11/25/2024      GBP     13,870        487   

N/A

  

London-Interbank Offered Rate

   Receiving     3.55 %      08/24/2025      GBP     8,680        248   

N/A

  

London-Interbank Offered Rate

   Receiving     3.50 %      03/19/2044      GBP     3,270        16   

N/A

  

Sterling Overnight Index Average Rate

   Receiving     2.55 %      03/07/2025      GBP     8,900        336   

N/A

  

Stockholm Interbank Offered Rate

   Receiving     1.50 %      03/19/2016      SEK     257,270        (15 ) 

N/A

  

Stockholm Interbank Offered Rate

   Receiving     2.00 %      03/19/2019      SEK     64,190        77   

N/A

  

Stockholm Interbank Offered Rate

   Paying     2.75 %      03/19/2024      SEK     680        (2 ) 
             

 

 

  
  $ 1,659   
             

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund

  

  

N/A

  

3-Month LIBOR

   Paying     2.00 %      03/19/2019          77,300      $ (2,917 ) 

N/A

  

3-Month LIBOR

   Receiving     3.25 %      03/19/2024          16,700        (84 ) 

N/A

  

3-Month LIBOR

   Receiving     3.50 %      03/19/2029          14,390        211   

N/A

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.15 %      12/18/2015      ZAR     112,000        5   

N/A

  

3-Month South African Johannesburg Interbank Rate

   Paying     6.11 %      12/19/2015      ZAR     142,010        (7 ) 

N/A

  

3-Month South African Johannesburg Interbank Rate

   Paying     8.51 %      08/20/2023      ZAR     23,910        55   

N/A

  

3-Month South African Johannesburg Interbank Rate

   Paying     8.52 %      08/21/2023      ZAR     10,200        24   
             

 

 

  
  $ (2,713 ) 
             

 

 

  

JNL/PIMCO Real Return Fund

  

  

N/A

  

3-Month LIBOR

   Receiving     2.75 %      06/19/2043          68,100      $ 10,793   

N/A

  

3-Month LIBOR

   Receiving     3.50 %      12/18/2043          56,800        1,791   

N/A

  

British Bankers’ Association Yen LIBOR

   Receiving     1.00 %      09/18/2023      JPY     3,940,000        (109 ) 
             

 

 

  
  $ 12,475   
             

 

 

  

JNL/PIMCO Total Return Bond Fund

  

  

N/A

  

3-Month LIBOR

   Paying     1.50 %      03/18/2016          1,546,900      $ (461 ) 

N/A

  

3-Month LIBOR

   Paying     1.50 %      12/16/2016          326,000        (685 ) 

N/A

  

3-Month LIBOR

   Paying     3.00 %      09/21/2017          518,200        (670 ) 

N/A

  

3-Month LIBOR

   Receiving     2.75 %      06/19/2043          274,200        40,811   

N/A

  

3-Month LIBOR

   Receiving     3.50 %      12/18/2043          14,600        593   

N/A

  

British Bankers’ Association Yen LIBOR

   Receiving     1.00 %      09/18/2023      JPY     14,260,000        (933 ) 

N/A

  

Federal Funds Effective Rate

   Paying     1.00 %      10/15/2017          183,100        (2,311 ) 
             

 

 

  
  $ 36,344   
             

 

 

  

1Notional amount is stated in USD unless otherwise noted.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Credit Default Swap Agreements

 

Over the Counter Credit Default Swap Agreements

 

Counterparty   Reference Obligation  

Implied

Credit

Spread4

   Fixed
Received/
Pay  Rate7		     Expiration
Date		    

Notional

Amount1, 6

     Value5     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/Goldman Sachs Core Plus Bond Fund

  

          

Credit default swap agreements - purchase protection2

  

          

BOA

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2014      $     4,225      $ (19 )    $ (49 )    $ 28   

DUB

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2014          18,900        (87 )      (233 )      140   

JPM

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2014          26,100        (120 )      (338 )      210   

JPM

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2014          24,700        (113 )      (314 )      192   
         

 

  
          $     73,925      $ (339 )    $ (934 )    $ 570   
         

 

  

Credit default swap agreements - sell protection3

  

          

BOA

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2016      $     (13,850 )    $ 267      $ 31      $ 241   

DUB

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2016          (9,800 )      189        40        153   

JPM

  

CDX.NA.IG-16

   N/A     1.00 %      06/20/2016          (16,500 )      319        75        248   

BOA

  

CMBX.NA.AAA.4

   N/A     0.35 %      02/17/2051          (10,000 )      (156 )      (273 )      117   
         

 

  
          $     (50,150 )    $ 619      $ (127 )    $ 759   
         

 

  

JNL/Neuberger Berman Strategic Income Fund

  

          

Credit default swap agreements - sell protection3

  

          

BOA

  

CDX.NA.HY-18

   N/A     5.00 %      06/20/2017      $     (495 )    $ 48      $ (18 )    $ 67   

BOA

  

CDX.NA.HY-18

   N/A     5.00 %      06/20/2017          (495 )      48        (9 )      58   

MSC

  

CDX.NA.HY-18

   N/A     5.00 %      06/20/2017          (1,223 )      118        (35 )      156   

MSC

  

CDX.NA.HY-18

   N/A     5.00 %      06/20/2017          (327 )      32        (16 )      48   

MSC

  

CDX.NA.HY-18

   N/A     5.00 %      06/20/2017          (346 )      34        (23 )      57   

BOA

  

CDX.NA.HY-19

   N/A     5.00 %      12/20/2017          (1,200 )      120        (25 )      146   
         

 

  
          $     (4,086 )    $ 400      $ (126 )    $ 532   
         

 

  

JNL/PIMCO Real Return Fund

  

          

Credit default swap agreements - purchase protection2

  

          

CIT

  

GATX Corp., 5.80%, 03/01/2016

   N/A     1.07 %      03/20/2016      $     1,000      $ (19 )    $ —      $ (20 ) 

DUB

  

Kinder Morgan Inc., 6.50%, 09/01/2012

   N/A     1.00 %      03/20/2016          2,000        (20 )      90        (111 ) 

MSC

  

Kinder Morgan Inc., 6.50%, 09/01/2012

   N/A     1.00 %      03/20/2016          3,000        (30 )      139        (170 ) 

DUB

  

Marsh & McLennan Companies Inc., 5.75%, 09/15/2015

   N/A     0.60 %      09/20/2015          1,000        (9 )      —        (8 ) 

JPM

  

Pearson Plc, 5.70%, 06/01/2014

   N/A     0.83 %      06/20/2014          1,000        (4 )      —        (4 ) 
         

 

  
          $     8,000      $ (82 )    $ 229      $ (313 ) 
         

 

  

JNL/PIMCO Total Return Bond Fund

  

          

Credit default swap agreements - sell protection3

  

          

DUB

  

Berkshire Hathaway Inc., 1.90%, 01/31/2017

   0.36%     1.00 %      09/20/2016      $     (2,000 )    $ 35      $ 32      $ 4   

DUB

  

CDX.EM-12

   N/A     5.00 %      12/20/2014          (1,500 )      32        167        (133 ) 

BBP

  

CDX.EM-13

   N/A     5.00 %      06/20/2015          (3,500 )      102        213        (105 ) 

DUB

  

CDX.EM-13

   N/A     5.00 %      06/20/2015          (12,100 )      354        1,612        (1,238 ) 

MSC

  

CDX.EM-13

   N/A     5.00 %      06/20/2015          (4,100 )      120        486        (360 ) 

GSI

  

CDX.NA.IG-9 30-100%

   N/A     0.55 %      12/20/2017          (1,447 )      24        —        24   

BOA

  

Citigroup Inc., 6.13%, 05/15/2018

   0.39%     1.00 %      09/20/2016          (2,400 )      40        29        12   

MSS

  

CMBX.NA.AAA.4

   N/A     0.35 %      02/17/2051          (6,405 )      (100 )      (168 )      69   

BOA

  

CMBX.NA.AAA.6

   N/A     0.50 %      05/11/2063          (2,700 )      (68 )      (117 )      49   

DUB

  

Export-Import Bank China, 4.88%, 07/21/2015

   0.58%     1.00 %      06/20/2017          (200 )      3        (8 )      11   

CIT

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   1.05%     1.00 %      03/20/2016          (15,500 )      (17 )      (37 )      25   

CIT

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   1.17%     1.00 %      06/20/2016          (4,900 )      (20 )      (2 )      (16 ) 

DUB

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   0.78%     1.00 %      06/20/2015          (2,000 )      7        (21 )      28   

DUB

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   0.78%     1.00 %      06/20/2015          (500 )      2        (4 )      6   

DUB

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   1.05%     1.00 %      03/20/2016          (9,100 )      (10 )      (22 )      15   

DUB

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   1.17%     1.00 %      06/20/2016          (4,000 )      (16 )      (4 )      (10 ) 

JPM

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   0.89%     1.00 %      09/20/2015          (2,000 )      4        (17 )      21   

JPM

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   1.26%     1.00 %      09/20/2016          (1,500 )      (11 )      (7 )      (3 ) 

MLP

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   1.09%     1.95 %      04/20/2016          (100 )      2        —        2   

MSC

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   0.78%     1.00 %      06/20/2015          (600 )      2        (5 )      8   

UBS

  

Federated Republic of Brazil, 12.25%, 03/06/2030

   0.89%     1.00 %      09/20/2015          (1,000 )      2        (7 )      9   

BBP

  

General Electric Capital Corp., 5.63%, 09/15/2017

   0.38%     1.00 %      09/20/2016          (3,900 )      65        43        23   

BOA

  

General Electric Capital Corp., 5.63%, 09/15/2017

   0.30%     1.00 %      12/20/2015          (2,400 )      33        (42 )      76   

BOA

  

General Electric Capital Corp., 5.63%, 09/15/2017

   0.30%     1.00 %      12/20/2015          (2,400 )      33        (43 )      77   

DUB

  

General Electric Capital Corp., 5.63%, 09/15/2017

   0.28%     1.00 %      09/20/2015          (2,300 )      29        29        1   

DUB

  

General Electric Capital Corp., 5.63%, 09/15/2017

   0.31%     1.00 %      03/20/2016          (100 )      1        (6 )      8   

MSC

  

General Electric Capital Corp., 5.63%, 09/15/2017

   0.35%     1.00 %      06/20/2016          (100 )      2        —        2   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Credit Default Swap Agreements

 

Over the Counter Credit Default Swap Agreements (continued)

 

Counterparty   Reference Obligation  

Implied

Credit

Spread4

   Fixed
Received/
Pay  Rate7		     Expiration
Date		          Notional
Amount1, 6		     Value5     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

JNL/PIMCO Total Return Bond Fund (continued)

  

          

Credit default swap agreements - sell protection3 (continued)

  

          

DUB

  

JPMorgan Chase & Co., 4.75%, 03/01/2015

   0.40%     1.00 %      09/20/2016      $     (3,900 )    $ 64      $ 51      $ 15   

BOA

  

People’s Republic of China, 4.75%, 10/29/2013

   0.21%     1.00 %      06/20/2015          (1,000 )      12        18        (6 ) 

BOA

  

People’s Republic of China, 4.75%, 10/29/2013

   0.21%     1.00 %      06/20/2015          (2,800 )      33        49        (15 ) 

BOA

  

Republic of Indonesia, 7.25%, 04/20/2015

   1.33%     1.00 %      09/20/2016          (2,600 )      (23 )      (37 )      14   

DUB

  

Republic of Indonesia, 6.75%, 03/10/2014

   0.93%     1.00 %      09/20/2015          (500 )      1        (11 )      12   

MSC

  

Republic of Indonesia, 7.25%, 04/20/2015

   1.33%     1.00 %      09/20/2016          (11,800 )      (105 )      (761 )      660   

UBS

  

Republic of Indonesia, 7.25%, 04/20/2015

   1.33%     1.00 %      09/20/2016          (1,000 )      (9 )      (15 )      6   

BNP

  

U.S. Treasury Bond, 4.88%, 08/15/2016

   0.30%     0.25 %      03/20/2016          (9,080 )      (9 )      (87 )      79   

UBS

  

U.S. Treasury Bond, 4.88%, 08/15/2016

   0.32%     0.25 %      09/20/2015          (15,270 )      (17 )      (161 )      145   

BBP

  

United Mexican States, 5.95%, 03/19/2019

   0.72%     1.00 %      03/20/2018          (14,000 )      162        34        133   

BNP

  

United Mexican States, 5.95%, 03/19/2019

   0.63%     1.00 %      09/20/2017          (400 )      5        (9 )      14   

BOA

  

United Mexican States, 7.50%, 04/08/2033

   0.32%     1.00 %      09/20/2015          (700 )      8        (1 )      9   

BOA

  

United Mexican States, 5.95%, 03/19/2019

   0.88%     1.00 %      12/20/2018          (1,700 )      10        (3 )      14   

CIT

  

United Mexican States, 7.50%, 04/08/2033

   0.32%     1.00 %      09/20/2015          (700 )      8        (9 )      17   

CIT

  

United Mexican States, 5.95%, 03/19/2019

   0.88%     1.00 %      12/20/2018          (400 )      2        (1 )      3   

DUB

  

United Mexican States, 7.50%, 04/08/2033

   0.24%     1.00 %      03/20/2015          (3,600 )      33        (78 )      113   

DUB

  

United Mexican States, 7.50%, 04/08/2033

   0.36%     1.00 %      03/20/2016          (24,200 )      345        (93 )      446   

DUB

  

United Mexican States, 5.95%, 03/19/2019

   0.63%     1.00 %      09/20/2017          (3,200 )      43        (43 )      87   

JPM

  

United Mexican States, 7.50%, 04/08/2033

   0.36%     0.92 %      03/20/2016          (500 )      6        —        8   

JPM

  

United Mexican States, 7.50%, 04/08/2033

   0.46%     1.00 %      09/20/2016          (900 )      13        5        8   

JPM

  

United Mexican States, 5.95%, 03/19/2019

   0.88%     1.00 %      12/20/2018          (400 )      2        (1 )      3   

MSC

  

United Mexican States, 5.95%, 03/19/2019

   0.63%     1.00 %      09/20/2017          (2,600 )      35        (36 )      71   
         

 

  
          $     (190,002 )    $ 1,269      $ 912      $ 441   
         

 

  

JNL/WMC Balanced Fund

  

          

Credit default swap agreements - sell protection3

  

          

MSC

  

CMBX.NA.AAA.6

   N/A     0.50 %      05/11/2063      $     (1,155 )    $ (29 )    $ (56 )    $ 26   

MSC

  

CMBX.NA.AAA.6

   N/A     0.50 %      05/11/2063          (4,800 )      (122 )      (187 )      66   

MSC

  

CMBX.NA.AAA.6

   N/A     0.50 %      05/11/2063          (665 )      (17 )      (29 )      12   

MSC

  

CMBX.NA.AAA.6

   N/A     0.50 %      05/11/2063          (670 )      (17 )      (29 )      13   
         

 

  
          $     (7,290 )    $ (185 )    $ (301 )    $ 117   
         

 

  

Centrally Cleared Credit Default Swap Agreements

 

Counterparty   Reference Obligation   Implied
Credit
Spread4		   Fixed
Received/
Pay  Rate7		     Expiration
Date		    

Notional

Amount1, 6

    

Value5

     Unrealized
Appreciation/
(Depreciation)		  

JNL/BlackRock Global Allocation Fund

  

          

Credit default swap agreement - purchase protection2

  

          

N/A

  

CDX.NA.HY-21

   N/A     5.00 %      12/20/2018      $     15,475      $          (1,318 )    $ (294 ) 
         

 

  

Credit default swap agreement - sell protection3

  

          

N/A

  

CDX.NA.IG-21

   N/A     1.00 %      12/20/2018      $     (2,898 )    $          52      $ 21   
         

 

  

1Notional amount is stated in USD.

2If the 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 (i) receive from the seller of protection an amount equal to the notional amount of the referenced obligation agreement and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

3If the 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 (i) pay the buyer of protection an amount equal to the notional amount of the referenced obligation and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the reference obligation or underlying securities comprising the referenced index.

4Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate issues and sovereign issues serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the applicable agreement.

5The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

6The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs is limited to the total notional amount which is defined under the terms of each swap agreement.

7If the Fund is a buyer of protection, the Fund pays the fixed rate. If the Fund is a seller of protection, the Fund receives the fixed rate.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

Schedule of Over the Counter Total Return Swap Agreements

 

Counterparty   Reference Entity   Expiration Date  

Notional

Amount1

     Unrealized
Appreciation/
(Depreciation)		  

JNL/AQR Managed Futures Strategy Fund

      

Total return swap agreements – receiving return

      

BCL

  

* Brent Crude Oil Future

   02/13/2014       560      $ (7 ) 

BCL

  

* NYSE Liffe Cocoa Future

   03/17/2014   GBP     1,549        (72 ) 

BCL

  

* Soybean Future

   03/18/2014       11,850        (283 ) 

BCL

  

* Soybean Meal Future

   03/18/2014       1,729        (61 ) 

BOA

  

* Euro-Bobl Future

   03/10/2014   EUR     6,285        (86 ) 

BOA

  

* Japanese Government Bond Future, 10-Year

   03/20/2014   JPY     1,295,279        (51 ) 

BOA

  

* Swiss Market Index Future

   03/21/2014   CHF     3,480        191   

BOA

  

* U.S. Treasury Note Future, 2-Year

   04/03/2014       97,572        (195 ) 

MSC

  

* Hang Seng China Enterprises Index Future

   01/30/2014   HKD     12,276        23   

MSC

  

* MSCI Taiwan Stock Index Future

   01/29/2014       2,125        58   

MSC

  

* SGX CNX Nifty Index Future

   01/30/2014       13        —   
         

 

 

  
  $ (483 ) 
         

 

 

  

Total return swap agreements – paying return

      

BCL

  

* CBT Wheat Future

   03/18/2014       (20,418 )      1,111   

BCL

  

* Copper Future

   03/31/2014       (81 )      (4 ) 

BCL

  

* Corn Future

   03/18/2014       (2,522 )      74   

BCL

  

* Gold 100 Oz. Future

   02/28/2014       (19,484 )      1,089   

BCL

  

* KCBT Wheat Future

   03/31/2014       (4,806 )      163   

BCL

  

* Lean Hogs Future

   02/19/2014       (241 )      2   

BCL

  

* LME Aluminum Future

   03/19/2014       (6,161 )      (165 ) 

BCL

  

* NY Harbor ULSD Future

   02/27/2014       (1,920 )      (11 ) 

BCL

  

* Platinum Future

   04/30/2014       (6,754 )      (252 ) 

BCL

  

* RBOB Gasoline Future

   02/27/2014       (231 )      (3 ) 

BCL

  

* Silver Future

   03/31/2014       (11,179 )      816   

BCL

  

* Soybean Oil Future

   03/25/2014       (1,331 )      16   

BCL

  

* WTI Crude Oil Future

   02/28/2014       (1,953 )      (16 ) 
         

 

 

  
  $ 2,820   
         

 

 

  

JNL/BlackRock Global Allocation Fund

      

Total return swap agreements – receiving return

      

BNP

  

* SGX Nikkei Stock Average Dividend Point Index Future

   03/31/2016   JPY     117,920      $ 36   

BNP

  

* SGX Nikkei Stock Average Dividend Point Index Future

   03/31/2016   JPY     123,845        59   

BNP

  

* SGX Nikkei Stock Average Dividend Point Index Future

   03/31/2017   JPY     119,070        95   

BNP

  

* SGX Nikkei Stock Average Dividend Point Index Future

   03/31/2017   JPY     125,325        124   

CIT

  

* KOSPI 200 Future

   03/13/2014   KRW     10,763,049        121   
         

 

 

  
  $ 435   
         

 

 

  

Schedule of Over the Counter Non-Deliverable Bond Forward Contracts

 

Counterparty   Receiving Return of Reference Obligation   Expiration Date   Notional
Amount1		     Unrealized
Appreciation/
Depreciation		  

JNL/Goldman Sachs Emerging Markets Debt Fund

      

DUB

  

* Republic of Colombia Treasury Bond, 7.00%, 05/04/2022

   01/14/2014   COP     1,722,000      $ 6   

DUB

  

* Republic of Colombia Treasury Bond, 7.25%, 06/15/2016

   01/14/2014   COP     9,463,085        (3 ) 
         

 

 

  
  $ 3   
         

 

 

  

1Notional amount is stated in USD unless otherwise noted.

* Swap agreement fair valued in good faith in accordance with procedures established by the Board. Fair valued securities may be classified as Level 2 or Level 3 for FASB ASC Topic 820 disclosures based on the applicable valuation inputs. See FASB ASC Topic 820 note in the Notes to the Schedules of Investments.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments

December 31, 2013

 

 

Summary of Investments by Country (as a percentage of total long-term investments)* :

 

     JNL/BlackRock
Global
Allocation
Fund		     JNL/Capital
Guardian
Global
Balanced
Fund		     JNL/Franklin
Templeton
Mutual Shares
Fund		     JNL/Ivy Asset
Strategy
Fund		    

JNL/Red Rocks
Listed Private
Equity

Fund

  

Argentina

      0.1 %      0.3 %      – %      – %      – % 

Australia

      2.0        0.9        –        –        –   

Austria

      –        0.2        –        –        –   

Belgium

      0.2        0.4        –        0.3        3.1   

Bermuda

      0.1        0.8        –        –        –   

Brazil

      2.2        1.2        0.4        –        –   

Canada

      2.1        1.6        0.9        –        5.4   

Chile

      0.2        0.2        –        –        –   

China

      0.8        2.4        –        1.5        –   

Colombia

      –        0.3        –        –        –   

Cyprus

      –        –        –        0.2        –   

Denmark

      0.1        0.5        1.4        –        3.7   

Finland

      0.1        1.1        –        –        –   

France

      4.3        2.2        1.3        1.3        12.9   

Germany

      5.1        4.7        1.3        2.4        5.1   

Greece

      –        0.8        –        –        –   

Guernsey

      –        –        –        –        5.8   

Hong Kong

      0.6        3.0        –        11.4        –   

Hungary

      –        0.1        –        –        –   

India

      0.2        0.7        –        –        –   

Indonesia

      0.1        0.1        –        –        –   

Iraq

      –        0.1        –        –        –   

Ireland

      0.5        1.1        –        0.3        –   

Israel

      –        0.2        1.7        –        –   

Italy

      1.4        0.7        0.7        0.5        1.3   

Japan

      9.9        9.2        –        15.1        –   

Kazakhstan

      0.1        –        –        –        –   

Lithuania

      –        0.1        –        –        –   

Luxembourg

      0.1        0.9        0.1        –        –   

Macau

      –        0.1        –        5.5        –   

Malaysia

      0.5        0.2        –        –        –   

Mexico

      0.3        2.0        –        –        –   

Netherlands

      2.2        3.3        3.5        2.6        –   

Norway

      0.3        0.4        –        –        2.3   

Peru

      –        0.1        –        –        –   

Philippines

      –        0.1        –        –        –   

Poland

      –        1.2        –        –        –   

Portugal

      0.1        –        –        –        –   

Russian Federation

      0.2        1.6        –        –        –   

Singapore

      0.8        0.8        –        –        –   

Slovenia

      –        0.1        –        –        –   

South Africa

      0.1        0.4        –        –        3.3   

South Korea

      1.2        2.2        1.4        1.8        –   

Spain

      0.4        2.2        –        –        –   

Sweden

      0.5        1.9        –        –        6.2   

Switzerland

      2.7        4.1        3.0        1.7        2.9   

Taiwan

      0.2        0.1        –        –        –   

Thailand

      0.1        0.2        –        –        –   

Turkey

      0.2        0.1        –        –        –   

United Arab Emirates

      0.4        0.2        –        –        –   

United Kingdom

      7.0        4.8        10.7        4.0        21.8   

United States

      52.6        40.0        73.6        51.4        26.2   

Venezuela

      –        0.1        –        –        –   

Total Long-Term Investments

      100.0 %      100.0 %      100.0 %      100.0 %      100.0 % 

*The Funds presented in the table are those who do not present the Schedules of Investments by country and whose strategies included investment in non-U.S. securities as deemed significant by the Funds’ Adviser.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/AQR
Managed
Futures Strategy
Fund(h)		     JNL/BlackRock
Commodity
Securities
Strategy Fund(h)		     JNL/BlackRock
Global
Allocation
Fund(h)		     JNL/BlackRock
Large Cap
Select Growth
Fund		     JNL/Brookfield
Global
Infrastructure
Fund		    

JNL/Capital
Guardian Global

Balanced Fund

     JNL/Capital
Guardian Global
Diversified
Research Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 321,790      $ 1,439,395      $ 2,707,586      $ 1,007,478      $ 661,969      $ 462,884      $ 403,990   

Investments - affiliated, at value (b)

     132,277        28,372        67,809        16,190        84,137        40,365        28,837   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
             

Total investments, at value (c)

     454,067        1,467,767        2,775,395        1,023,668        746,106        503,249        432,827   

Cash

     –        46        75,879        –        –        7        10   

Foreign currency (e)

     2,121        104        1,319        –        37        4        17   

Receivable for investments sold

     –        –        1,948        10,053        1,147        5,848        231   

Receivable for fund shares sold

     546        932        3,003        1,046        1,121        112        114   

Receivable from adviser

     –        –        –        –        –        –        –   

Receivable for dividends and interest

     1        772        6,454        585        1,577        2,235        524   

Receivable for variation margin on financial derivative instruments

     1,139        –        8        –        –        –        –   

Receivable for deposits with brokers and counterparties

     25,343        –        9,815        –        –        –        –   

Unrealized appreciation on forward foreign currency contracts

     12,654        –        4,241        533        –        204        –   

Unrealized appreciation on OTC swap agreements

     3,543        –        435        –        –        –        –   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     499,414        1,469,621        2,878,497        1,035,885        749,988        511,659        433,723   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     9,515        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     379        755        1,630        513        436        264        251   

Payable for administrative fees

     81        183        341        82        82        61        52   

Payable for 12b-1 fee (Class A)

     29        87        163        60        40        29        25   

Payable for investment securities purchased

     –        –        47,647        13,183        6,057        7,453        1,310   

Payable for fund shares redeemed

     174        883        567        801        257        177        153   

Payable for dividends on securities sold short

     –        –        –        –        –        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     8        40        23        26        4        17        17   

Payable for other expenses

     –        3        13        2        1        4        7   

Payable for variation margin on financial derivative instruments

     1,930        –        517        –        –        –        –   

Payable for deposits from counterparties

     –        –        9,980        –        –        –        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        –        –   

Options written, at value (g)

     –        –        5,920        –        –        –        –   

Unrealized depreciation on forward foreign currency contracts

     3,279        –        558        –        –        268        –   

Unrealized depreciation on OTC swap agreements

     1,206        –        362        –        –        –        –   

OTC swap premiums received

     –        –        –        –        –        –        –   

Payable upon return of securities loaned

     –        12,719        62,724        7,429        68,043        18,057        11,569   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     16,601        14,670        130,445        22,096        74,920        26,330        13,384   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 482,813      $ 1,454,951      $ 2,748,052      $ 1,013,789      $ 675,068      $ 485,329      $ 420,339   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 443,231      $ 1,336,965      $ 2,395,430      $ 776,647      $ 553,046      $ 419,046      $ 340,236   

Undistributed (excess of distributions over) net investment income (loss)

     2,536        (674 )      13,610        (514 )      9,080        3,106        3,286   

Accumulated net realized gain (loss)

     14,426        (57,590 )      70,106        84,146        35,038        (8,504 )      (38,757 ) 

Net unrealized appreciation (depreciation) on investments and foreign currency

     22,620        176,250        268,906        153,510        77,904        71,681        115,574   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 482,813      $ 1,454,951      $ 2,748,052      $ 1,013,789      $ 675,068      $ 485,329      $ 420,339   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 482,706      $ 1,454,041      $ 2,747,805      $ 1,013,437      $ 674,917      $ 484,776      $ 419,923   

Shares outstanding (no par value), unlimited shares authorized

     46,861        130,296        222,570        36,564        45,634        42,902        13,567   

Net asset value per share

   $ 10.30      $ 11.16      $ 12.35      $ 27.72      $ 14.79      $ 11.30      $ 30.95   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 107      $ 910      $ 247      $ 352      $ 151      $ 553      $ 416   

Shares outstanding (no par value), unlimited shares authorized

     10        81        20        12        10        48        13   

Net asset value per share

   $ 10.32      $ 11.25      $ 12.41      $ 28.37      $ 14.84      $ 11.59      $ 31.26   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 321,769      $ 1,263,144      $ 2,436,015      $ 854,501      $ 584,071      $ 391,167      $ 288,425   

(b)    Investments - affiliated, at cost

     132,277        28,372        69,790        16,190        84,137        40,365        28,837   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 454,046      $ 1,291,516      $ 2,505,805      $ 870,691      $ 668,208      $ 431,532      $ 317,262   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ –      $ 12,359      $ 61,322      $ 7,295      $ 65,275      $ 17,318      $ 11,130   

(e)    Foreign currency, at cost

     2,122        104        1,329        –        37        4        17   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        –        –   

(g)    Premiums from options written

     –        –        4,483        –        –        –        –   

(h)    Consolidated Statement of Assets and Liabilities.

              

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/DFA U.S.
Core Equity
Fund		    

JNL/Eagle
SmallCap

Equity
Fund

     JNL/Eastspring
Investments
Asia ex-Japan
Fund		     JNL/Eastspring
Investments
China-India
Fund		     JNL/Franklin
Templeton
Global
Growth
Fund		     JNL/Franklin
Templeton
Global
Multisector
Bond Fund		     JNL/Franklin
Templeton
Income
Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 494,973      $ 1,637,097      $ 132,462      $ 346,875      $ 966,179      $ 1,506,214      $ 2,104,565   

Investments - affiliated, at value (b)

     22,665        164,210        7,530        24,316        51,621        285,680        287,352   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     517,638        1,801,307        139,992        371,191        1,017,800        1,791,894        2,391,917   

Cash

     8        –        –        –        –        4,430        241   

Foreign currency (e)

     –        –        101        688        61        31,581        6,051   

Receivable for investments sold

     3        7,488        392        –        13        –        3,514   

Receivable for fund shares sold

     589        721        199        232        592        980        3,082   

Receivable from adviser

     37        –        –        –        –        21        –   

Receivable for dividends and interest

     507        230        31        –        1,275        21,771        17,325   

Receivable for variation margin on financial derivative instruments

     –        –        –        –        –        –        –   

Receivable for deposits with brokers and counterparties

     –        –        –        –        –        7,349        –   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        –        –        32,640        –   

Unrealized appreciation on OTC swap agreements

     –        –        –        –        –        39        –   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     518,782        1,809,746        140,715        372,111        1,019,741        1,890,705        2,422,130   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     242        899        102        269        536        1,069        1,138   

Payable for administrative fees

     41        134        17        60        122        220        182   

Payable for 12b-1 fee (Class A)

     30        97        8        21        59        105        131   

Payable for investment securities purchased

     –        10,972        307        –        72        –        –   

Payable for fund shares redeemed

     190        674        93        230        170        602        2,178   

Payable for dividends on securities sold short

     –        –        –        –        –        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     10        31        5        11        24        13        50   

Payable for other expenses

     1        2        5        4        7        10        6   

Payable for variation margin on financial derivative instruments

     –        –        –        –        –        –        –   

Payable for deposits from counterparties

     –        –        –        –        –        11,279        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        –        –   

Options written, at value (g)

     –        –        –        –        –        –        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        –        –        16,844        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        –        603        –   

OTC swap premiums received

     –        –        –        –        –        –        –   

Payable upon return of securities loaned

     17,514        157,799        4,751        16,505        29,960        107,052        225,418   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     18,028        170,608        5,288        17,100        30,950        137,797        229,103   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 500,754      $ 1,639,138      $ 135,427      $ 355,011      $ 988,791      $ 1,752,908      $ 2,193,027   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 384,446      $ 1,140,558      $ 141,920      $ 366,395      $ 771,417      $ 1,663,085      $ 1,977,469   

Undistributed (excess of distributions over) net investment income (loss)

     3,464        (1,556 )      1,408        2,962        9,745        55,317        84,234   

Accumulated net realized gain (loss)

     7,404        115,937        (7,226 )      (5,555 )      7,815        1,177        (80,172 ) 

Net unrealized appreciation (depreciation) on investments and foreign currency

     105,440        384,199        (675 )      (8,791 )      199,814        33,329        211,496   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 500,754      $ 1,639,138      $ 135,427      $ 355,011      $ 988,791      $ 1,752,908      $ 2,193,027   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 500,412      $ 1,637,979      $ 135,262      $ 354,740      $ 988,313      $ 1,752,613      $ 2,192,366   

Shares outstanding (no par value), unlimited shares authorized

     47,473        56,316        17,895        49,673        84,685        146,178        186,891   

Net asset value per share

   $ 10.54      $ 29.09      $ 7.56      $ 7.14      $ 11.67      $ 11.99      $ 11.73   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 342      $ 1,159      $ 165      $ 271      $ 478      $ 295      $ 661   

Shares outstanding (no par value), unlimited shares authorized

     31        39        22        38        41        25        58   

Net asset value per share

   $ 11.05      $ 29.78      $ 7.58      $ 7.19      $ 11.71      $ 12.03      $ 11.30   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 389,533      $ 1,252,898      $ 133,135      $ 355,666      $ 766,389      $ 1,488,191      $ 1,893,179   

(b)    Investments - affiliated, at cost

     22,665        164,210        7,530        24,316        51,621        285,680        287,352   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 412,198      $ 1,417,108      $ 140,665      $ 379,982      $ 818,010      $ 1,773,871      $ 2,180,531   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 17,129      $ 157,149      $ 4,392      $ 15,039      $ 29,383      $ 104,748      $ 220,807   

(e)    Foreign currency, at cost

     –        –        101        688        61        31,607        5,973   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        –        –   

(g)    Premiums from options written

     –        –        –        –        –        –        –   

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/Franklin
Templeton
International
Small Cap
Growth Fund		     JNL/Franklin
Templeton
Mutual Shares
Fund		     JNL/Franklin
Templeton Small
Cap Value Fund		     JNL/Goldman
Sachs Core Plus
Bond Fund		     JNL/Goldman
Sachs Emerging
Markets Debt
Fund		     JNL/Goldman
Sachs Mid Cap
Value Fund		     JNL/Goldman
Sachs U.S.
Equity Flex Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 421,423      $ 1,050,379      $ 926,266      $ 746,241      $ 732,055      $ 1,145,806      $ 231,330   

Investments - affiliated, at value (b)

     32,624        83,538        115,414        72,467        84,995        39,282        5,888   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     454,047        1,133,917        1,041,680        818,708        817,050        1,185,088        237,218   

Cash

     –        60        –        270        3,359        66        –   

Foreign currency (e)

     509        356        –        21        3,290        –        –   

Receivable for investments sold

     4,629        326        1,210        48,058        –        6,778        –   

Receivable for fund shares sold

     627        666        1,474        243        674        668        97   

Receivable from adviser

     –        –        –        –        8        13        –   

Receivable for dividends and interest

     579        2,827        807        4,989        12,660        1,820        212   

Receivable for variation margin on financial derivative instruments

     –        –        –        977        596        –        –   

Receivable for deposits with brokers and counterparties

     –        –        –        2,967        5,194        –        –   

Unrealized appreciation on forward foreign currency contracts

     –        84        –        1,964        5,476        –        –   

Unrealized appreciation on OTC swap agreements

     –        –        –        1,606        2,501        –        –   

OTC swap premiums paid

     –        –        –        672        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     460,391        1,138,236        1,045,171        880,475        850,808        1,194,433        237,527   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        –        –        –   

Payable for advisory fees

     341        673        660        387        483        678        130   

Payable for administrative fees

     54        93        85        67        100        96        24   

Payable for 12b-1 fee (Class A)

     26        67        62        47        48        68        12   

Payable for investment securities purchased

     3,193        6        157        44,476        2,189        4,892        –   

Payable for fund shares redeemed

     1,072        476        893        324        574        413        108   

Payable for dividends on securities sold short

     –        –        –        –        –        –        58   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        35   

Payable for trustee fees

     8        28        17        45        23        26        5   

Payable for other expenses

     3        4        1        8        11        2        2   

Payable for variation margin on financial derivative instruments

     –        –        –        965        182        –        –   

Payable for deposits from counterparties

     –        –        –        –        780        –        –   

Investment in forward sales commitments, at value (f)

     –        –        –        17,099        –        –        –   

Investment in securities sold short, at value (g)

     –        –        –        –        –        –        39,043   

Unrealized depreciation on forward foreign currency contracts

     –        8,418        –        1,391        5,957        –        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        532        6,180        –        –   

OTC swap premiums received

     –        –        –        2,317        –        –        –   

Payable upon return of securities loaned

     14,539        8,195        10,875        33,847        39,020        27,449        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     19,236        17,960        12,750        101,505        55,547        33,624        39,417   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 441,155      $ 1,120,276      $ 1,032,421      $ 778,970      $ 795,261      $ 1,160,809      $ 198,110   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 326,811      $ 864,118      $ 664,577      $ 770,475      $ 848,068      $ 967,481      $ 140,112   

Undistributed (excess of distributions over) net investment income

     3,692        17,473        3,371        17,516        8,258        2,067        144   

Accumulated net realized gain (loss)

     21,081        23,277        95,321        (8,171 )      8,473        23,541        25,097   

Net unrealized appreciation (depreciation) on investments and foreign currency

     89,571        215,408        269,152        (850 )      (69,538 )      167,720        32,757   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 441,155      $ 1,120,276      $ 1,032,421      $ 778,970      $ 795,261      $ 1,160,809      $ 198,110   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 440,868      $ 1,119,740      $ 1,031,865      $ 778,592      $ 795,092      $ 1,141,673      $ 197,907   

Shares outstanding (no par value), unlimited shares authorized

     39,448        95,556        62,124        68,067        69,401        94,728        17,240   

Net asset value per share

   $ 11.18      $ 11.72      $ 16.61      $ 11.44      $ 11.46      $ 12.05      $ 11.48   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 287      $ 536      $ 556      $ 378      $ 169      $ 19,136      $ 203   

Shares outstanding (no par value), unlimited shares authorized

     25        45        33        33        15        1,582        18   

Net asset value per share

   $ 11.26      $ 11.81      $ 16.60      $ 11.61      $ 11.55      $ 12.09      $ 11.56   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 331,859      $ 826,654      $ 657,114      $ 750,811      $ 798,318      $ 978,086      $ 190,891   

(b)    Investments - affiliated, at cost

     32,624        83,538        115,414        72,467        84,995        39,282        5,888   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 364,483      $ 910,192      $ 772,528      $ 823,278      $ 883,313      $ 1,017,368      $ 196,779   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 13,817      $ 8,044      $ 10,633      $ 33,057      $ 38,057      $ 26,903      $ –   

(e)    Foreign currency, at cost

     504        353        –        21        3,279        –        –   

(f)    Proceeds from forward sales commitments

     –        –        –        17,102        –        –        –   

(g)    Proceeds from securities sold short

     –        –        –        –        –        –        31,360   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/Invesco
Global Real
Estate Fund		     JNL/Invesco
International
Growth
Fund		     JNL/Invesco
Large Cap
Growth
Fund		     JNL/Invesco Mid
Cap Value Fund		     JNL/Invesco
Small Cap
Growth Fund		     JNL/Ivy Asset
Strategy Fund(h)		     JNL/JPMorgan
International
Value Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 1,509,563      $ 1,152,102      $ 1,002,105      $ 362,478      $ 700,556      $ 2,985,142      $ 663,579   

Investments - affiliated, at value (b)

     78,553        93,894        40,989        42,067        72,173        70,215        24,942   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     1,588,116        1,245,996        1,043,094        404,545        772,729        3,055,357        688,521   

Cash

     25        122        –        –        –        22,304        –   

Foreign currency (e)

     300        2,184        –        –        –        –        510   

Receivable for investments sold

     1,165        3,259        917        341        –        1,046        –   

Receivable for fund shares sold

     1,391        1,048        681        143        2,424        2,715        652   

Receivable from adviser

     –        –        –        –        11        4        –   

Receivable for dividends and interest

     6,378        1,682        509        310        341        7,087        794   

Receivable for variation margin on financial derivative instruments

     –        –        –        –        –        273        –   

Receivable for deposits with brokers and counterparties

     –        –        –        –        –        7,673        –   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        –        –        14,713        2,277   

Unrealized appreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     1,597,375        1,254,291        1,045,201        405,339        775,505        3,111,172        692,754   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     906        633        545        219        490        2,115        361   

Payable for administrative fees

     194        151        83        32        60        375        84   

Payable for 12b-1 fee (Class A)

     92        73        60        23        43        180        40   

Payable for investment securities purchased

     4,461        2,655        13,719        1,566        –        5        –   

Payable for fund shares redeemed

     717        934        786        287        501        1,590        766   

Payable for dividends on securities sold short

     –        –        –        –        –        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     31        31        40        12        9        44        31   

Payable for other expenses

     5        20        2        1        2        43        21   

Payable for variation margin on financial derivative instruments

     –        –        –        –        –        –        –   

Payable for deposits from counterparties

     –        –        –        –        –        16,803        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        –        –   

Options written, at value (g)

     –        –        –        –        –        938        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        –        –        –        2,676   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums received

     –        –        –        –        –        –        –   

Payable upon return of securities loaned

     45,135        19,878        12,439        22,326        42,165        38,413        14,455   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     51,541        24,375        27,674        24,466        43,270        60,506        18,434   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 1,545,834      $ 1,229,916      $ 1,017,527      $ 380,873      $ 732,235      $ 3,050,666      $ 674,320   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 1,414,775      $ 1,062,853      $ 593,572      $ 339,058      $ 526,281      $ 2,327,863      $ 762,412   

Undistributed (excess of distributions over) net investment income (loss)

     14,829        10,907        535        1,197        (7 )      20,606        9,235   

Accumulated net realized gain (loss)

     52,621        (85,319 )      193,139        11,886        31,149        144,275        (210,985 ) 

Net unrealized appreciation (depreciation) on investments and foreign currency

     63,609        241,475        230,281        28,732        174,812        557,922        113,658   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,545,834      $ 1,229,916      $ 1,017,527      $ 380,873      $ 732,235      $ 3,050,666      $ 674,320   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 1,544,958      $ 1,229,170      $ 1,016,287      $ 380,623      $ 731,601      $ 3,049,751      $ 673,512   

Shares outstanding (no par value), unlimited shares authorized

     157,102        95,835        60,878        24,962        37,347        201,820        80,608   

Net asset value per share

   $ 9.83      $ 12.83      $ 16.69      $ 15.25      $ 19.59      $ 15.11      $ 8.36   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 876      $ 746      $ 1,240      $ 250      $ 634      $ 915      $ 808   

Shares outstanding (no par value), unlimited shares authorized

     88        55        73        16        32        60        95   

Net asset value per share

   $ 9.94      $ 13.45      $ 16.88      $ 15.39      $ 20.05      $ 15.16      $ 8.54   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 1,445,943      $ 910,632      $ 771,824      $ 333,746      $ 525,744      $ 2,449,901      $ 549,540   

(b)    Investments - affiliated, at cost

     78,553        93,894        40,989        42,067        72,173        70,215        24,942   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 1,524,496      $ 1,004,526      $ 812,813      $ 375,813      $ 597,917      $ 2,520,116      $ 574,482   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 43,372      $ 18,831      $ 12,310      $ 21,838      $ 41,268      $ 36,715      $ 13,763   

(e)    Foreign currency, at cost

     301        2,227        –        –        –        –        511   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        –        –   

(g)    Premiums from options written

     –        –        –        –        –        1,698        –   

(h)    Consolidated Statement of Assets and Liabilities.

              

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/JPMorgan
MidCap Growth
Fund		     JNL/JPMorgan
U.S.
Government &
Quality Bond
Fund		     JNL/Lazard
Emerging
Markets
Fund		     JNL/M&G Global
Basics Fund		     JNL/Mellon
Capital
Emerging
Markets Index
Fund		     JNL/Mellon
Capital
European 30
Fund		     JNL/Mellon
Capital Pacific
Rim 30 Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 1,246,395      $ 1,112,943      $ 1,512,324      $ 161,192      $ 717,488      $ 138,071      $ 153,324   

Investments - affiliated, at value (b)

     86,221        62,342        89,617        18,837        21,245        5,638        16,034   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     1,332,616        1,175,285        1,601,941        180,029        738,733        143,709        169,358   

Cash

     7,702        19        –        –        –        –        –   

Foreign currency (e)

     –        –        875        3,043        873        25        2   

Receivable for investments sold

     –        50        1,764        41        –        –        481   

Receivable for fund shares sold

     1,711        301        1,074        162        1,212        939        605   

Receivable from adviser

     –        –        8        –        –        –        –   

Receivable for dividends and interest

     313        5,241        325        195        352        306        –   

Receivable for variation margin on financial derivative instruments

     –        –        –        –        25        –        –   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        –        –        –        –   

Unrealized appreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     1,342,342        1,180,896        1,605,987        183,470        741,195        144,979        170,446   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     672        393        1,110        120        231        35        41   

Payable for administrative fees

     104        101        193        22        90        22        26   

Payable for 12b-1 fee (Class A)

     77        71        91        10        43        8        9   

Payable for investment securities purchased

     893        –        2,519        –        3,795        1,657        1,062   

Payable for fund shares redeemed

     541        2,348        943        49        617        52        63   

Payable for dividends on securities sold short

     –        –        –        –        –        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     19        48        45        6        6        1        2   

Payable for other expenses

     2        3        8        12        41        –        –   

Payable for variation margin on financial derivative instruments

     –        –        –        –        –        –        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        –        –   

Options written, at value (g)

     –        –        –        –        –        –        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        –        –        –        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums received

     –        –        –        –        –        –        –   

Payable upon return of securities loaned

     51,646        8,674        77,680        13,177        15,670        3,965        15,295   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     53,954        11,638        82,589        13,396        20,493        5,740        16,498   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 1,288,388      $ 1,169,258      $ 1,523,398      $ 170,074      $ 720,702      $ 139,239      $ 153,948   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 940,090      $ 1,108,898      $ 1,453,458      $ 155,677      $ 719,368      $ 124,936      $ 138,015   

Undistributed (excess of distributions over) net investment income

     330        38,002        24,294        2,232        8,219        2,014        3,391   

Accumulated net realized gain (loss)

     100,874        (3,098 )      19,708        6,274        (11,948 )      (2,040 )      3,709   

Net unrealized appreciation (depreciation) on investments and foreign currency

     247,094        25,456        25,938        5,891        5,063        14,329        8,833   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,288,388      $ 1,169,258      $ 1,523,398      $ 170,074      $ 720,702      $ 139,239      $ 153,948   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 1,288,083      $ 1,168,654      $ 1,522,796      $ 170,021      $ 720,551      $ 139,057      $ 153,713   

Shares outstanding (no par value), unlimited shares authorized

     41,464        89,152        138,782        12,571        70,895        10,563        11,056   

Net asset value per share

   $ 31.06      $ 13.11      $ 10.97      $ 13.52      $ 10.16      $ 13.16      $ 13.90   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 305      $ 604      $ 602      $ 53      $ 151      $ 182      $ 235   

Shares outstanding (no par value), unlimited shares authorized

     10        44        55        4        15        14        17   

Net asset value per share

   $ 31.39      $ 13.71      $ 11.03      $ 13.57      $ 10.20      $ 13.25      $ 14.00   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 999,301      $ 1,087,487      $ 1,486,376      $ 155,273      $ 712,473      $ 123,749      $ 144,491   

(b)    Investments - affiliated, at cost

     86,221        62,342        89,617        18,837        21,245        5,638        16,034   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 1,085,522      $ 1,149,829      $ 1,575,993      $ 174,110      $ 733,718      $ 129,387      $ 160,525   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 50,655      $ 8,470      $ 74,074      $ 12,486      $ 14,552      $ 3,754      $ 14,680   

(e)    Foreign currency, at cost

     –        –        875        3,073        875        25        2   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        –        –   

(g)    Premiums from options written

     –        –        –        –        –        –        –   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/Mellon
Capital S&P 500
Index Fund		     JNL/Mellon
Capital S&P 400
MidCap Index
Fund		     JNL/Mellon
Capital Small
Cap Index Fund		     JNL/Mellon
Capital
International
Index Fund		     JNL/Mellon
Capital Bond
Index Fund		     JNL/Mellon
Capital Global
Alpha Fund		     JNL/Mellon
Capital Dow
Jones U.S.
Contrarian
Opportunities
Index Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 3,007,519      $ 1,591,163      $ 1,799,265      $ 2,268,704      $ 1,553,963      $ 197,032      $ 147,221   

Investments - affiliated, at value (b)

     143,384        166,878        247,855        108,893        178,410        33,700        2,806   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     3,150,903        1,758,041        2,047,120        2,377,597        1,732,373        230,732        150,027   

Cash

     –        –        93        –        1        –        –   

Foreign currency (e)

     –        –        –        1,294        –        5        –   

Receivable for investments sold

     –        –        –        –        43,869        –        –   

Receivable for fund shares sold

     2,978        1,279        964        910        873        99        180   

Receivable from adviser

     26        –        –        –        –        –        –   

Receivable for dividends and interest

     4,071        1,480        2,155        4,105        9,740        –        65   

Receivable for variation margin on financial derivative instruments

     283        163        222        11        –        394        –   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        223        –        2,440        –   

Unrealized appreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     3,158,261        1,760,963        2,050,554        2,384,140        1,786,856        233,670        150,272   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     2        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     610        340        379        488        343        193        39   

Payable for administrative fees

     254        136        153        288        131        29        18   

Payable for 12b-1 fee (Class A)

     183        98        110        137        93        14        9   

Payable for investment securities purchased

     –        –        –        –        144,750        –        1,054   

Payable for fund shares redeemed

     2,059        1,075        1,599        1,418        561        69        214   

Payable for dividends on securities sold short

     –        –        –        –        63        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     82        35        59        54        55        10        1   

Payable for other expenses

     153        152        36        152        3        1        21   

Payable for variation margin on financial derivative instruments

     –        –        –        12        –        204        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        16,707        –        –   

Options written, at value (g)

     –        –        –        –        –        –        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        400        –        1,985        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums received

     –        –        –        –        –        –        –   

Payable upon return of securities loaned

     59,826        106,974        198,666        44,997        76,176        –        1,388   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     63,169        108,810        201,002        47,946        238,882        2,505        2,744   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 3,095,092      $ 1,652,153      $ 1,849,552      $ 2,336,194      $ 1,547,974      $ 231,165      $ 147,528   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 2,333,389      $ 1,227,852      $ 1,500,378      $ 1,958,561      $ 1,540,913      $ 239,881      $ 109,624   

Undistributed (excess of distributions over) net investment income

     247        4,431        (762 )      (1,433 )      11,472        4,198        389   

Accumulated net realized gain (loss)

     (76,744 )      6,870        (131,264 )      (24,829 )      (10,210 )      (17,764 )      16,973   

Net unrealized appreciation (depreciation) on investments and foreign currency

     838,200        413,000        481,200        403,895        5,799        4,850        20,542   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 3,095,092      $ 1,652,153      $ 1,849,552      $ 2,336,194      $ 1,547,974      $ 231,165      $ 147,528   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 3,067,267      $ 1,638,827      $ 1,829,922      $ 2,303,582      $ 1,543,416      $ 231,062      $ 147,338   

Shares outstanding (no par value), unlimited shares authorized

     200,165        88,322        108,583        158,801        132,849        22,979        10,408   

Net asset value per share

   $ 15.32      $ 18.56      $ 16.85      $ 14.51      $ 11.62      $ 10.06      $ 14.16   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 27,825      $ 13,326      $ 19,630      $ 32,612      $ 4,558      $ 103      $ 190   

Shares outstanding (no par value), unlimited shares authorized

     1,780        707        1,150        2,173        380        10        13   

Net asset value per share

   $ 15.63      $ 18.84      $ 17.06      $ 15.01      $ 11.99      $ 10.14      $ 14.20   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 2,172,558      $ 1,179,791      $ 1,320,006      $ 1,871,999      $ 1,548,192      $ 197,323      $ 126,679   

(b)    Investments - affiliated, at cost

     142,100        166,878        247,855        103,911        178,379        33,700        2,806   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 2,314,658      $ 1,346,669      $ 1,567,861      $ 1,975,910      $ 1,726,571      $ 231,023      $ 129,485   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 58,421      $ 104,650      $ 193,194      $ 42,633      $ 74,518      $ –      $ 1,339   

(e)    Foreign currency, at cost

     –        –        –        1,293        –        5        –   

(f)    Proceeds from forward sales commitments

     –        –        –        –        16,704        –        –   

(g)    Premiums from options written

     –        –        –        –        –        –        –   

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/Mellon
Capital Utilities
Sector Fund		     JNL/Morgan
Stanley Mid Cap
Growth Fund		     JNL/Neuberger
Berman
Strategic Income
Fund		     JNL/ Oppenheimer
Global Growth
Fund		     JNL/PIMCO
Real Return
Fund		     JNL/PIMCO
Total Return
Bond Fund		     JNL/PPM
America Floating
Rate Income
Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 3,232      $ 201,568      $ 574,604      $ 972,222      $ 3,716,044      $ 5,714,739      $ 1,539,543   

Investments - affiliated, at value (b)

     29        39,385        67,253        35,960        4,695        55,045        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     3,261        240,953        641,857        1,008,182        3,720,739        5,769,784        1,539,543   

Cash

     –        18        105        –        573        14,025        8,377   

Foreign currency (e)

     –        71        1,184        –        1,722        3,029        –   

Receivable for investments sold

     –        268        9,190        –        5,716        1,172,861        66,834   

Receivable for fund shares sold

     7        438        408        497        796        2,530        3,154   

Receivable from adviser

     –        –        –        –        –        –        –   

Receivable for dividends and interest

     6        84        3,021        1,038        13,088        24,138        7,719   

Receivable for variation margin on financial derivative instruments

     –        –        274        –        1,514        3,347        34   

Receivable for deposits with brokers and counterparties

     –        –        2,558        –        17,609        13,712        313   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        –        7,427        1,772        –   

Unrealized appreciation on OTC swap agreements

     –        –        532        –        3,773        3,152        –   

OTC swap premiums paid

     –        –        –        –        1,592        2,857        –   

Other assets

     –        –        –        –        –        –        6   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     3,274        241,832        659,129        1,009,717        3,774,549        7,011,207        1,625,980   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        4,070        –   

Payable for advisory fees

     1        126        234        512        765        2,210        800   

Payable for administrative fees

     –        25        58        121        157        442        195   

Payable for 12b-1 fee (Class A)

     –        12        28        59        110        310        92   

Payable for investment securities purchased

     23        7,297        162,423        –        17,638        1,749,556        79,369   

Payable for fund shares redeemed

     3        364        394        733        2,107        4,247        2,382   

Payable for treasury roll transactions

     –        –        –        –        1,904,695        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     –        1        2        24        82        156        12   

Payable for other expenses

     1        1        1        8        11        15        22   

Payable for variation margin on financial derivative instruments

     –        –        61        –        191        2,794        –   

Payable for deposits from counterparties

     –        –        –        –        10,144        6,488        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        9,254        –   

Options written, at value (g)

     –        –        –        –        2,485        3,437        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        –        2,446        9,273        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        7,391        2,785        –   

OTC swap premiums received

     –        –        126        –        184        2,425        –   

Payable upon return of securities loaned

     –        24,455        28,347        19,858        4,695        55,045        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     28        32,281        191,674        21,315        1,953,101        1,852,507        82,872   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 3,246      $ 209,551      $ 467,455      $ 988,402      $ 1,821,448      $ 5,158,700      $ 1,543,108   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 3,357      $ 187,507      $ 462,522      $ 723,700      $ 2,101,824      $ 5,148,508      $ 1,494,349   

Undistributed (excess of distributions over) net investment income (loss)

     1        3        4,853        6,982        2,353        39,687        38,890   

Accumulated net realized gain (loss)

     (114 )      1,949        (890 )      16,963        (278,416 )      (58,850 )      2,488   

Net unrealized appreciation (depreciation) on investments and foreign currency

     2        20,092        970        240,757        (4,313 )      29,355        7,381   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 3,246      $ 209,551      $ 467,455      $ 988,402      $ 1,821,448      $ 5,158,700      $ 1,543,108   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 3,246      $ 209,418      $ 467,334      $ 987,372      $ 1,820,680      $ 5,138,711      $ 1,543,108   

Shares outstanding (no par value), unlimited shares authorized

     346        15,952        44,522        69,241        178,446        407,613        141,504   

Net asset value per share

   $ 9.39      $ 13.13      $ 10.50      $ 14.26      $ 10.20      $ 12.61      $ 10.91   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

     n/a      $ 133      $ 121      $ 1,030      $ 768      $ 19,989        n/a   

Shares outstanding (no par value), unlimited shares authorized

     n/a        10        11        71        75        1,485        n/a   

Net asset value per share

     n/a      $ 13.16      $ 10.53      $ 14.45      $ 10.30      $ 13.46        n/a   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 3,230      $ 181,476      $ 576,995      $ 731,489      $ 3,733,435      $ 5,698,467      $ 1,532,609   

(b)    Investments - affiliated, at cost

     29        39,385        67,253        35,960        4,695        55,045        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 3,259      $ 220,861      $ 644,248      $ 767,449      $ 3,738,130      $ 5,753,512      $ 1,532,609   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ –      $ 24,222      $ 27,744      $ 19,154      $ 4,583      $ 53,781      $ –   

(e)    Foreign currency, at cost

     –        71        1,208        –        1,744        3,055        –   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        9,272        –   

(g)    Premiums from options written

     –        –        –        –        4,432        2,812        –   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/PPM
America High
Yield Bond Fund		     JNL/PPM
America Mid
Cap Value Fund		     JNL/PPM
America Small
Cap Value Fund		     JNL/PPM
America Value
Equity Fund		     JNL/Red Rocks
Listed Private
Equity Fund		     JNL/S&P
Competitive
Advantage Fund		     JNL/S&P
Dividend Income
& Growth Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 2,467,322      $ 317,553      $ 215,256      $ 179,895      $ 819,199      $ 1,715,635      $ 2,913,780   

Investments - affiliated, at value (b)

     382,299        8,829        20,068        926        6,357        51,175        44,570   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     2,849,621        326,382        235,324        180,821        825,556        1,766,810        2,958,350   

Cash

     4,997        –        –        –        –        –        –   

Foreign currency (e)

     –        –        –        –        2,240        –        –   

Receivable for investments sold

     8,524        –        –        –        1,102        –        –   

Receivable for fund shares sold

     1,631        484        107        95        535        2,685        3,664   

Receivable from adviser

     –        –        –        –        –        –        –   

Receivable for dividends and interest

     39,181        333        169        295        1,198        533        4,644   

Receivable for variation margin on financial derivative instruments

     142        –        –        –        –        –        –   

Receivable for deposits with brokers and counterparties

     924        –        –        –        –        –        –   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        –        –        –        –   

Unrealized appreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     3        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     2,905,023        327,199        235,600        181,211        830,631        1,770,028        2,966,658   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        –        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     942        196        130        82        553        517        872   

Payable for administrative fees

     218        25        17        15        102        142        243   

Payable for 12b-1 fee (Class A)

     155        19        12        11        49        102        175   

Payable for investment securities purchased

     10,658        1,565        5,450        841        2,376        10,103        –   

Payable for fund shares redeemed

     1,744        272        149        415        669        1,251        2,141   

Payable for dividends on securities sold short

     –        –        –        –        –        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     50        4        3        8        19        20        45   

Payable for other expenses

     5        1        1        1        47        3        5   

Payable for variation margin on financial derivative instruments

     7        –        –        –        –        –        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        –        –   

Options written, at value (g)

     –        –        –        –        –        –        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        –        –        –        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums received

     –        –        –        –        –        –        –   

Payable upon return of securities loaned

     305,909        6,311        14,019        –        119        36,639        33,803   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     319,688        8,393        19,781        1,373        3,934        48,777        37,284   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 2,585,335      $ 318,806      $ 215,819      $ 179,838      $ 826,697      $ 1,721,251      $ 2,929,374   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 2,483,571      $ 234,924      $ 179,177      $ 226,203      $ 565,650      $ 1,257,746      $ 2,484,397   

Undistributed (excess of distributions over) net investment income (loss)

     1,322        1,857        133        2,204        36,291        7,153        51,593   

Accumulated net realized gain (loss)

     7,275        13,042        (2,900 )      (96,330 )      (28,382 )      232,570        160,198   

Net unrealized appreciation (depreciation) on investments and foreign currency

     93,167        68,983        39,409        47,761        253,138        223,782        233,186   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 2,585,335      $ 318,806      $ 215,819      $ 179,838      $ 826,697      $ 1,721,251      $ 2,929,374   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 2,573,016      $ 318,545      $ 198,874      $ 179,288      $ 826,147      $ 1,720,778      $ 2,928,292   

Shares outstanding (no par value), unlimited shares authorized

     358,176        21,343        15,896        9,979        67,911        102,321        205,684   

Net asset value per share

   $ 7.18      $ 14.93      $ 12.51      $ 17.97      $ 12.17      $ 16.82      $ 14.24   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 12,319      $ 261      $ 16,945      $ 550      $ 550      $ 473      $ 1,082   

Shares outstanding (no par value), unlimited shares authorized

     1,520        17        1,351        30        45        28        75   

Net asset value per share

   $ 8.10      $ 14.98      $ 12.54      $ 18.05      $ 12.26      $ 16.87      $ 14.36   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 2,374,940      $ 248,570      $ 175,847      $ 132,134      $ 566,112      $ 1,491,853      $ 2,680,594   

(b)    Investments - affiliated, at cost

     382,299        8,829        20,068        926        6,357        51,175        44,570   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 2,757,239      $ 257,399      $ 195,915      $ 133,060      $ 572,469      $ 1,543,028      $ 2,725,164   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 299,636      $ 6,120      $ 13,670      $ –      $ 115      $ 35,857      $ 32,748   

(e)    Foreign currency, at cost

     –        –        –        –        2,230        –        –   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        –        –   

(g)    Premiums from options written

     –        –        –        –        –        –        –   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/S&P
Intrinsic Value
Fund		     JNL/S&P Total
Yield Fund		     JNL/T. Rowe
Price
Established
Growth Fund		     JNL/T. Rowe
Price Mid-Cap
Growth Fund		    

JNL/T. Rowe
Price Short-

Term Bond Fund

     JNL/T. Rowe
Price Value
Fund		     JNL/WMC
Balanced Fund		  

Assets

              

Investments - unaffiliated, at value (a) (d)

   $ 1,610,069      $ 1,165,022      $ 4,310,219      $ 2,438,589      $ 1,577,388      $ 2,417,004      $ 3,353,021   

Investments - affiliated, at value (b)

     48,054        59,583        138,500        223,951        80,487        80,839        288,929   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investments, at value (c)

     1,658,123        1,224,605        4,448,719        2,662,540        1,657,875        2,497,843        3,641,950   

Cash

     –        –        –        102        –        –        13   

Foreign currency (e)

     –        –        –        –        –        47        –   

Receivable for investments sold

     –        –        1,894        836        17        6,247        60,384   

Receivable for fund shares sold

     1,716        1,552        2,064        1,471        922        1,048        2,307   

Receivable from adviser

     –        –        –        –        –        15        –   

Receivable for dividends and interest

     2,366        1,733        1,281        832        7,843        2,662        7,554   

Receivable for variation margin on financial derivative instruments

     –        –        –        8        75        –        –   

Unrealized appreciation on forward foreign currency contracts

     –        –        –        –        –        –        –   

Unrealized appreciation on OTC swap agreements

     –        –        –        –        –        –        117   

OTC swap premiums paid

     –        –        –        –        –        –        –   

Other assets

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     1,662,205        1,227,890        4,453,958        2,665,789        1,666,732        2,507,862        3,712,325   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Cash overdraft

     –        –        –        –        4        –        –   

Payable for reverse repurchase agreements

     –        –        –        –        –        –        –   

Payable for advisory fees

     485        356        2,015        1,489        570        1,239        1,209   

Payable for administrative fees

     132        96        361        211        141        202        280   

Payable for 12b-1 fee (Class A)

     96        69        258        150        100        145        200   

Payable for investment securities purchased

     11,307        9,604        7,637        1,236        –        3,270        225,351   

Payable for fund shares redeemed

     898        600        1,779        1,211        1,183        977        1,825   

Payable for dividends on securities sold short

     –        –        –        –        –        –        –   

Payable for interest expense and brokerage charges

     –        –        –        –        –        –        –   

Payable for trustee fees

     20        15        86        64        44        58        67   

Payable for other expenses

     2        2        11        5        3        7        8   

Payable for variation margin on financial derivative instruments

     –        –        –        –        –        –        –   

Investment in forward sales commitments, at value (f)

     –        –        –        –        –        –        47,960   

Options written, at value (g)

     –        –        –        –        –        –        –   

Unrealized depreciation on forward foreign currency contracts

     –        –        –        –        –        –        –   

Unrealized depreciation on OTC swap agreements

     –        –        –        –        –        –        –   

OTC swap premiums received

     –        –        –        –        –        –        301   

Payable upon return of securities loaned

     32,271        49,493        59,770        95,951        7,176        72,498        88,292   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     45,211        60,235        71,917        100,317        9,221        78,396        365,493   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets

   $ 1,616,994      $ 1,167,655      $ 4,382,041      $ 2,565,472      $ 1,657,511      $ 2,429,466      $ 3,346,832   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets consist of:

              

Paid-in capital

   $ 1,186,038      $ 831,940      $ 2,917,647      $ 1,773,662      $ 1,666,960      $ 1,647,499      $ 2,643,208   

Undistributed (excess of distributions over) net investment income (loss)

     16,889        14,311        (75 )      (3,787 )      20,150        25,662        48,730   

Accumulated net realized gain (loss)

     238,858        230,604        5,203        25,350        (33,916 )      167,424        120,786   

Net unrealized appreciation (depreciation) on investments and foreign currency

     175,209        90,800        1,459,266        770,247        4,317        588,881        534,108   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,616,994      $ 1,167,655      $ 4,382,041      $ 2,565,472      $ 1,657,511      $ 2,429,466      $ 3,346,832   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class A

              

Net assets

   $ 1,616,263      $ 1,167,108      $ 4,323,901      $ 2,508,258      $ 1,657,217      $ 2,428,256      $ 3,345,428   

Shares outstanding (no par value), unlimited shares authorized

     103,643        77,914        129,714        66,946        166,783        150,520        158,774   

Net asset value per share

   $ 15.59      $ 14.98      $ 33.33      $ 37.47      $ 9.94      $ 16.13      $ 21.07   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

              

Net assets

   $ 731      $ 547      $ 58,140      $ 57,214      $ 294      $ 1,210      $ 1,404   

Shares outstanding (no par value), unlimited shares authorized

     46        36        1,714        1,488        29        73        65   

Net asset value per share

   $ 15.79      $ 15.06      $ 33.91      $ 38.45      $ 10.03      $ 16.61      $ 21.56   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 1,434,860      $ 1,074,222      $ 2,850,958      $ 1,668,422      $ 1,573,375      $ 1,828,123      $ 2,818,997   

(b)    Investments - affiliated, at cost

     48,054        59,583        138,500        223,951        80,487        80,839        288,929   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 1,482,914      $ 1,133,805      $ 2,989,458      $ 1,892,373      $ 1,653,862      $ 1,908,962      $ 3,107,926   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ 31,078      $ 48,187      $ 58,677      $ 94,434      $ 7,016      $ 71,113      $ 86,381   

(e)    Foreign currency, at cost

     –        –        –        –        –        47        –   

(f)    Proceeds from forward sales commitments

     –        –        –        –        –        –        47,928   

(g)    Premiums from options written

     –        –        –        –        –        –        –   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Assets and Liabilities (in thousands, except net asset value per share)

December 31, 2013

 

    JNL/WMC
Money Market
Fund		     JNL/WMC Value
Fund		  

Assets

    

Investments - unaffiliated, at value (a) (d)

   $ 1,015,360      $ 1,699,006   

Investments - affiliated, at value (b)

     –        53,314   

Repurchase Agreements

     311,800        –   
 

 

 

    

 

 

  

Total investments, at value (c)

     1,327,160        1,752,320   

Cash

     –        –   

Foreign currency (e)

     –        –   

Receivable for investments sold

     10,386        4,411   

Receivable for fund shares sold

     2,726        818   

Receivable from adviser

     451        –   

Receivable for dividends and interest

     1,310        2,277   

Receivable for variation margin on financial derivative instruments

     –        –   

Unrealized appreciation on forward foreign currency contracts

     –        –   

Unrealized appreciation on OTC swap agreements

     –        –   

OTC swap premiums paid

     –        –   

Other assets

     1        –   
 

 

 

    

 

 

  

Total assets

     1,342,034        1,759,826   
 

 

 

    

 

 

  

Liabilities

    

Cash overdraft

     –        –   

Payable for reverse repurchase agreements

     –        –   

Payable for advisory fees

     304        683   

Payable for administrative fees

     117        144   

Payable for 12b-1 fee (Class A)

     80        103   

Payable for investment securities purchased

     –        8,730   

Payable for fund shares redeemed

     4,733        878   

Payable for dividends on securities sold short

     –        –   

Payable for interest expense and brokerage charges

     –        –   

Payable for trustee fees

     55        51   

Payable for other expenses

     3        3   

Payable for variation margin on financial derivative instruments

     –        –   

Investment in forward sales commitments, at value (f)

     –        –   

Options written, at value (g)

     –        –   

Unrealized depreciation on forward foreign currency contracts

     –        –   

Unrealized depreciation on OTC swap agreements

     –        –   

OTC swap premiums received

     –        –   

Payable upon return of securities loaned

     –        3,938   
 

 

 

    

 

 

  

Total liabilities

     5,292        14,530   
 

 

 

    

 

 

  

Net assets

   $ 1,336,742      $ 1,745,296   
 

 

 

    

 

 

  

Net assets consist of:

    

Paid-in capital

   $ 1,336,772      $ 1,235,826   

Undistributed (excess of distributions over) net investment income (loss)

     (45 )      16,505   

Accumulated net realized gain (loss)

     15        10,600   

Net unrealized appreciation (depreciation) on investments and foreign currency

     –        482,365   
 

 

 

    

 

 

  
  $ 1,336,742      $ 1,745,296   
 

 

 

    

 

 

  

Class A

    

Net assets

   $ 1,328,987      $ 1,717,996   

Shares outstanding (no par value), unlimited shares authorized

     1,329,013        74,675   

Net asset value per share

   $ 1.00      $ 23.01   
 

 

 

    

 

 

  

Class B

    

Net assets

   $ 7,755      $ 27,300   

Shares outstanding (no par value), unlimited shares authorized

     7,756        1,165   

Net asset value per share

   $ 1.00      $ 23.44   

 

  

 

 

    

 

 

  

(a)    Investments - unaffiliated, at cost

   $ 1,327,160      $ 1,216,649   

(b)    Investments - affiliated, at cost

     –        53,314   
 

 

 

    

 

 

  

(c)    Total investments, at cost

   $ 1,327,160      $ 1,269,963   
 

 

 

    

 

 

  

(d)    Including value of securities on loan

   $ –      $ 3,880   

(e)    Foreign currency, at cost

     –        –   

(f)    Proceeds from forward sales commitments

     –        –   

(g)    Premiums from options written

     –        –   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/AQR
Managed
Futures
Strategy
Fund(c)		     JNL/BlackRock
Commodity
Securities
Strategy
Fund(c)		     JNL/BlackRock
Global
Allocation
Fund(c)		     JNL/BlackRock
Large Cap
Select Growth
Fund		     JNL/Brookfield
Global
Infrastructure
Fund		     JNL/Capital
Guardian
Global
Balanced Fund		     JNL/Capital
Guardian
Global
Diversified
Research Fund		  

Investment income

  

Dividends (a)

   $ 25      $ 15,973      $ 27,971      $ 4,372      $ 13,474      $ 6,102      $ 7,448   

Foreign taxes withheld

     –        (232 )      (779 )      (7 )      (437 )      (290 )      (263 ) 

Interest

     121        384        11,999        –        –        3,903        3   

Securities lending (a)

     –        192        591        101        358        179        191   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     146        16,317        39,782        4,466        13,395        9,894        7,379   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     4,962        9,195        15,584        4,021        3,725        2,917        2,725   

Administrative fees

     1,048        2,224        3,233        620        698        673        568   

12b-1 fees (Class A)

     1,049        2,963        4,309        1,240        931        896        756   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees

     2        21        38        3        2        2        2   

Trustee fees

     8        22        29        8        6        6        5   

Dividends on securities sold short

     –        –        12        –        –        –        –   

Short holdings borrowing fees

     –        –        10        –        –        –        –   

Other net expenses (b)

     5        20        46        (2 )      5        24        7   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     7,074        14,445        23,261        5,890        5,367        4,518        4,063   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     7,074        14,445        23,261        5,890        5,367        4,518        4,063   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     (6,928 )      1,872        16,521        (1,424 )      8,028        5,376        3,316   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     –        (12,482 )      54,717        86,126        35,505        26,022        16,510   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     (6,828 )      –        (2,073 )      –        –        –        –   

Foreign currency related items

     28,924        (44 )      8,155        (1 )      (174 )      334        (18 ) 

Futures contracts

     15,698        –        9,519        –        –        –        –   

Written option contracts

     –        –        5,973        –        –        –        –   

Investment securities sold short

     –        –        (778 )      –        –        –        –   

Brokerage commissions recaptured

     –        –        –        10        111        7        14   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     23        146,846        198,876        133,089        55,999        33,059        59,137   

OTC swap agreements

     2,305        –        (58 )      –        –        –        –   

Foreign currency related items

     (4,907 )      –        3,011        533        14        15        7   

Futures contracts and centrally cleared swap agreements

     8,932        –        (3,519 )      –        –        –        –   

Written option contracts

     –        –        (2,233 )      –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     44,147        134,320        271,590        219,757        91,455        59,437        75,650   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 37,219      $ 136,192      $ 288,111      $ 218,333      $ 99,483      $ 64,813      $ 78,966   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 25      $ 193      $ 591      $ 102      $ 359      $ 181      $ 192   

(b)    Includes professional tax fees. See Note 2 in the Notes to Financial Statements.

     –        –        –        (9 )      –        –        (7 ) 
(c)

Consolidated Statement of Operations.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/DFA U.S.
Core Equity
Fund		     JNL/Eagle
SmallCap
Equity Fund		     JNL/Eastspring
Investments
Asia ex-Japan
Fund		     JNL/Eastspring
Investments
China-India
Fund		     JNL/Franklin
Templeton
Global Growth
Fund		     JNL/Franklin
Templeton
Global
Multisector
Bond Fund		     JNL/Franklin
Templeton
Income Fund		  

Investment income

  

Dividends (a)

   $ 6,070      $ 7,906      $ 3,647      $ 8,864      $ 18,162      $ 17      $ 41,963   

Foreign taxes withheld

     (1 )      (26 )      (343 )      (515 )      (604 )      (821 )      (580 ) 

Interest

     –        –        –        –        –        60,717        60,065   

Securities lending (a)

     111        2,179        43        107        609        243        1,452   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     6,180        10,059        3,347        8,456        18,167        60,156        102,900   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     2,046        9,724        1,260        3,194        5,334        10,029        11,899   

Administrative fees

     337        1,450        210        709        1,196        2,042        1,900   

12b-1 fees (Class A)

     674        2,898        280        709        1,594        2,722        3,799   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees

     2        7        1        2        7        6        8   

Trustee fees

     4        20        2        5        11        18        26   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Short holdings borrowing fees

     –        –        –        –        –        –        –   

Other expenses

     3        15        28        30        16        21        29   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     3,066        14,114        1,781        4,649        8,158        14,838        17,661   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     (361 )      –        –        –        –        (145 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     2,705        14,114        1,781        4,649        8,158        14,693        17,661   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     3,475        (4,055 )      1,566        3,807        10,009        45,463        85,239   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     7,728        119,681        (3,407 )      3,983        25,692        4,586        (4,098 ) 

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        –        –        –        71        –   

Foreign currency related items

     –        –        (162 )      (836 )      (247 )      14,650        182   

Futures contracts

     –        –        –        –        –        –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     –        105        –        –        24        –        23   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     89,241        264,686        (8,039 )      (18,398 )      176,239        (25,351 )      167,586   

OTC swap agreements

     –        –        –        –        –        (564 )      –   

Foreign currency related items

     –        –        (2 )      –        14        7,280        91   

Futures contracts and centrally cleared swap agreements

     –        –        –        –        –        –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     96,969        384,472        (11,610 )      (15,251 )      201,722        672        163,784   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 100,444      $ 380,417      $ (10,044 )    $ (11,444 )    $ 211,731      $ 46,135      $ 249,023   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 112      $ 2,181      $ 44      $ 108      $ 612      $ 260      $ 1,463   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/Franklin

Templeton

International

Small Cap

Growth Fund

     JNL/Franklin
Templeton
Mutual Shares
Fund		     JNL/Franklin
Templeton
Small Cap
Value Fund		     JNL/Goldman
Sachs Core
Plus Bond
Fund		     JNL/Goldman
Sachs
Emerging
Markets Debt
Fund		     JNL/Goldman
Sachs Mid Cap
Value Fund		     JNL/Goldman
Sachs U.S.
Equity Flex
Fund		  

Investment income

  

Dividends (a)

   $ 8,340      $ 19,807      $ 13,094      $ 17      $ 3      $ 16,825      $ 3,374   

Foreign taxes withheld

     (490 )      (654 )      (1 )      –        (72 )      (1 )      (15 ) 

Interest

     –        5,996        –        20,829        47,085        –        –   

Securities lending (a)

     349        77        149        137        114        131        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     8,199        25,226        13,242        20,983        47,130        16,955        3,359   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     3,212        7,097        6,998        4,942        6,382        7,611        1,313   

Administrative fees

     507        979        898        853        1,346        1,080        247   

12b-1 fees (Class A)

     676        1,955        1,796        1,705        1,794        2,129        328   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees (c)

     1        (48 )      4        4        4        5        1   

Trustee fees

     4        14        13        13        13        15        2   

Dividends on securities sold short

     –        –        –        –        –        –        889   

Short holdings borrowing fees

     –        –        –        –        –        –        436   

Other net expenses (b)

     –        33        10        20        23        13        7   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     4,400        10,030        9,719        7,537        9,562        10,853        3,223   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        (64 )      (83 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     4,400        10,030        9,719        7,537        9,498        10,770        3,223   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     3,799        15,196        3,523        13,446        37,632        6,185        136   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     21,820        62,253        96,466        (6,485 )      (7,929 )      220,554        29,932   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        –        9,936        3,188        –        –   

Foreign currency related items

     17        (2,996 )      –        529        (5,784 )      –        –   

Futures contracts

     –        –        –        (6,740 )      3,905        –        –   

Written option contracts

     –        7        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        (3,555 ) 

Brokerage commissions recaptured

     1        –        –        –        –        93        27   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     68,683        167,163        161,932        (22,821 )      (90,061 )      79,906        27,235   

OTC swap agreements

     –        –        –        (900 )      (9,805 )      –        –   

Foreign currency related items

     8        (2,932 )      –        353        (4,589 )      –        –   

Futures contracts and centrally cleared swap agreements

     –        –        –        1,721        1,310        –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        (6,135 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     90,529        223,495        258,398        (24,407 )      (109,765 )      300,553        47,504   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 94,328      $ 238,691      $ 261,921      $ (10,961 )    $ (72,133 )    $ 306,738      $ 47,640   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 351      $ 86      $ 156      $ 148      $ 118      $ 134      $ –   

(b)    Includes professional tax fees. See Note 2 in the Notes to Financial Statements.

     (10 )      –        –        –        –        –        –   
(c)

During the year ended December 31, 2013, an expense adjustment of $55 for legal fees was recorded for JNL/Franklin Templeton Mutual Shares Fund to true up estimates for legal fees.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/Invesco

Global Real

Estate Fund

    

JNL/Invesco

International

Growth Fund

    

JNL/Invesco

Large Cap

Growth Fund

    

JNL/Invesco

Mid Cap

Value Fund

    

JNL/Invesco

Small Cap

Growth Fund

    

JNL/Ivy Asset

Strategy

Fund(b)

    

JNL/JPMorgan

International

Value Fund

  

Investment income

  

Dividends (a)

   $ 40,009      $ 22,752      $ 10,095      $ 3,904      $ 4,170      $ 37,665      $ 17,402   

Foreign taxes withheld

     (1,441 )      (1,078 )      (39 )      –        –        (589 )      (800 ) 

Interest

     –        –        –        –        –        7,299        –   

Securities lending (a)

     580        535        291        118        179        420        840   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     39,148        22,209        10,347        4,022        4,349        44,795        17,442   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     10,686        6,007        6,695        1,968        4,420        21,101        3,792   

Administrative fees

     2,284        1,420        1,018        280        534        3,723        867   

12b-1 fees (Class A)

     3,044        1,893        2,035        560        1,066        4,963        1,154   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees

     7        4        4        1        2        38        2   

Trustee fees

     22        13        15        4        7        34        8   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Short holdings borrowing fees

     –        –        –        –        –        –        –   

Other expenses

     22        24        13        1        5        84        19   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     16,065        9,361        9,780        2,814        6,034        29,943        5,842   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        (73 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     16,065        9,361        9,780        2,814        5,961        29,943        5,842   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     23,083        12,848        567        1,208        (1,612 )      14,852        11,600   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     84,214        16,941        198,374        55,426        34,080        187,501        35,983   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     (243 )      (162 )      –        –        –        3,118        (918 ) 

Futures contracts

     –        –        –        –        –        (11,135 )      981   

Written option contracts

     –        –        –        –        –        16,080        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     233        46        120        24        26        –        13   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     (65,536 )      141,778        138,177        17,774        144,176        313,409        66,533   

OTC swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     11        (46 )      –        –        –        16,780        (954 ) 

Futures contracts and centrally cleared swap agreements

     –        –        –        –        –        7,207        (156 ) 

Written option contracts

     –        –        –        –        –        (55 )      –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     18,679        158,557        336,671        73,224        178,282        532,905        101,482   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 41,762      $ 171,405      $ 337,238      $ 74,432      $ 176,670      $ 547,757      $ 113,082   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 584      $ 542      $ 294      $ 119      $ 180      $ 421      $ 841   

(b)    Consolidated Statement of Operations.

              

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/JPMorgan
MidCap Growth
Fund		    

JNL/JPMorgan
U.S.

Government &
Quality Bond
Fund

     JNL/Lazard
Emerging
Markets Fund		     JNL/M&G
Global Basics
Fund		     JNL/Mellon
Capital
Emerging
Markets Index
Fund		     JNL/Mellon
Capital
European 30
Fund		     JNL/Mellon
Capital Pacific
Rim 30 Fund		  

Investment income

  

Dividends (a)

   $ 8,080      $ 5      $ 46,366      $ 4,783      $ 14,450      $ 2,302      $ 4,739   

Foreign taxes withheld

     (17 )      –        (4,517 )      (188 )      (1,656 )      (112 )      (124 ) 

Interest

     –        43,408        –        –        –        –        –   

Securities lending (a)

     831        33        617        283        106        97        48   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     8,894        43,446        42,466        4,878        12,900        2,287        4,663   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     5,899        5,344        12,795        1,752        2,152        219        440   

Administrative fees

     904        1,391        2,218        309        818        125        271   

12b-1 fees (Class A)

     1,807        2,781        2,956        412        1,091        125        271   

Licensing fees

     –        –        –        –        201        –        –   

Legal fees

     4        6        7        1        2        –        1   

Trustee fees

     11        22        21        3        7        1        2   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Short holdings borrowing fees

     –        –        –        –        –        –        –   

Other expenses

     9        22        128        21        20        1        2   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     8,634        9,566        18,125        2,498        4,291        471        987   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        (100 )      –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     8,634        9,566        18,025        2,498        4,291        471        987   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     260        33,880        24,441        2,380        8,609        1,816        3,676   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     107,210        6,113        29,304        8,059        (7,779 )      833        6,634   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     –        –        (112 )      175        (292 )      16        (130 ) 

Futures contracts

     –        –        –        –        (91 )      –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     65        –        50        –        –        –        –   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     204,646        (89,379 )      (66,736 )      (660 )      (17,760 )      15,002        3,100   

OTC swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     –        –        (9 )      (28 )      (8 )      7        1   

Futures contracts and centrally cleared swap agreements

     –        –        –        –        (69 )      –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     311,921        (83,266 )      (37,503 )      7,546        (25,999 )      15,858        9,605   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 312,181      $ (49,386 )    $ (13,062 )    $ 9,926      $ (17,390 )    $ 17,674      $ 13,281   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 833      $ 38      $ 620      $ 284      $ 107      $ 97      $ 48   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/Mellon
Capital S&P
500 Index Fund		     JNL/Mellon
Capital S&P
400 MidCap
Index Fund		     JNL/Mellon
Capital Small
Cap Index
Fund		     JNL/Mellon
Capital
International
Index Fund		     JNL/Mellon
Capital Bond
Index Fund		     JNL/Mellon
Capital Global
Alpha Fund		     JNL/Mellon
Capital Dow
Jones U.S.
Contrarian
Opportunities
Index Fund		  

Investment income

  

Dividends (a)

   $ 46,083      $ 19,223      $ 18,698      $ 63,283      $ 34      $ 7      $ 1,068   

Foreign taxes withheld

     –        –        –        (2,830 )      –        –        –   

Interest

     1        1        1        25        40,318        178        –   

Securities lending (a)

     141        695        3,542        2,126        202        –        130   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     46,225        19,919        22,241        62,604        40,554        185        1,198   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     5,421        3,374        3,531        5,145        4,700        3,989        376   

Administrative fees

     2,238        1,325        1,393        3,012        1,823        599        173   

12b-1 fees (Class A)

     4,430        2,629        2,754        3,961        3,637        799        231   

Licensing fees

     447        265        48        451        –        –        26   

Legal fees

     22        6        13        9        8        2        1   

Trustee fees

     30        18        19        28        27        6        1   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Short holdings borrowing fees

     –        –        –        –        –        –        –   

Other expenses

     23        15        15        74        25        7        1   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     12,611        7,632        7,773        12,680        10,220        5,402        809   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     (147 )      –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     12,464        7,632        7,773        12,680        10,220        5,402        809   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     33,761        12,287        14,468        49,924        30,334        (5,217 )      389   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     11,699        47,384        77,393        (4,168 )      (4,436 )      (7,902 )      17,131   

Affiliated investments

     –        –        –        –        3        –        –   

Swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     4        –        –        (1,593 )      –        (7,258 )      –   

Futures contracts

     9,727        6,092        7,450        6,970        –        (277 )      –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     –        –        –        –        –        –        –   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     551,391        296,309        349,201        341,516        (82,650 )      (312 )      19,277   

OTC swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     –        –        –        117        –        7,292        –   

Futures contracts and centrally cleared swap agreements

     2,018        1,538        1,503        1,696        –        8,769        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     574,839        351,323        435,547        344,538        (87,083 )      312        36,408   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 608,600      $ 363,610      $ 450,015      $ 394,462      $ (56,749 )    $ (4,905 )    $ 36,797   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 243      $ 698      $ 3,544      $ 2,323      $ 258      $ 7      $ 130   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/Mellon
Capital Utilities
Sector Fund(b)		     JNL/Morgan
Stanley Mid
Cap Growth
Fund		     JNL/Neuberger
Berman
Strategic
Income Fund		     JNL/Oppenheimer
Global Growth
Fund		     JNL/PIMCO
Real Return
Fund		     JNL/PIMCO
Total Return
Bond Fund		     JNL/PPM
America
Floating Rate
Income Fund		  

Investment income

  

Dividends (a)

   $ 85      $ 397      $ 673      $ 14,827      $ 37      $ 2,549      $ –   

Foreign taxes withheld

     –        (12 )      –        (369 )      (6 )      (17 )      –   

Interest

     –        –        6,231        –        36,231        102,199        49,982   

Securities lending (a)

     –        60        61        583        27        253        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     85        445        6,965        15,041        36,289        104,984        49,982   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     7        538        1,308        5,126        12,026        28,293        6,643   

Administrative fees

     3        108        326        1,206        2,479        5,659        1,598   

12b-1 fees (Class A)

     4        143        436        1,607        4,957        11,271        2,131   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees

     –        –        1        4        12        26        8   

Trustee fees

     –        1        3        11        40        84        13   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Interest expense

     –        –        –        –        1,721        62        –   

Other expenses

     1        1        2        24        47        83        60   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     15        791        2,076        7,978        21,282        45,478        10,453   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     15        791        2,076        7,978        21,282        45,478        10,453   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     70        (346 )      4,889        7,063        15,007        59,506        39,529   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     (113 )      2,894        (602 )      22,881        (269,027 )      (48,874 )      4,615   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        207        –        (1,728 )      (9,092 )      –   

Foreign currency related items

     –        (2 )      (25 )      (64 )      17,863        20,882        –   

Futures contracts

     –        –        (410 )      –        1,354        11,809        (163 ) 

Written option contracts

     –        –        –        –        4,969        11,187        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     –        2        –        –        –        –        –   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     2        19,801        (3,660 )      156,775        (19,464 )      (177,846 )      825   

OTC swap agreements

     –        –        354        –        (4,950 )      (5,584 )      –   

Foreign currency related items

     –        –        (24 )      18        1,383        (8,434 )      –   

Futures contracts and centrally cleared swap agreements

     –        –        2,840        –        8,662        16,414        440   

Written option contracts

     –        –        –        –        1,056        (3,959 )      –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     (111 )      22,695        (1,320 )      179,610        (259,882 )      (193,497 )      5,717   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ (41 )    $ 22,349      $ 3,569      $ 186,673      $ (244,875 )    $ (133,991 )    $ 45,246   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ —      $ 61      $ 64      $ 584      $ 27      $ 253      $ —   
(b)

Period from April 29, 2013 (commencement of operations).

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/PPM
America High
Yield Bond
Fund		     JNL/PPM
America Mid
Cap Value
Fund		     JNL/PPM
America Small
Cap Value
Fund		     JNL/PPM
America Value
Equity Fund		     JNL/Red Rocks
Listed Private
Equity Fund		     JNL/S&P
Competitive
Advantage
Fund		     JNL/S&P
Dividend
Income &
Growth Fund		  

Investment income

  

Dividends (a)

   $ 6,087      $ 4,482      $ 2,254      $ 3,501      $ 22,694      $ 15,210      $ 63,972   

Foreign taxes withheld

     –        –        (7 )      –        (1,007 )      –        –   

Interest

     155,744        –        –        –        –        –        –   

Securities lending (a)

     2,134        83        162        8        207        112        216   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     163,965        4,565        2,409        3,509        21,894        15,322        64,188   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     10,285        1,921        1,153        836        5,993        4,490        7,010   

Administrative fees

     2,373        257        153        152        1,105        1,211        1,932   

12b-1 fees (Class A)

     4,721        512        285        303        1,472        2,422        3,862   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees

     10        1        1        1        3        5        19   

Trustee fees

     34        3        2        2        10        16        25   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Short holdings borrowing fees

     –        –        –        –        –        –        –   

Other expenses

     31        12        10        4        54        13        21   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     17,454        2,706        1,604        1,298        8,637        8,157        12,869   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     17,454        2,706        1,604        1,298        8,637        8,157        12,869   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     146,511        1,859        805        2,211        13,257        7,165        51,319   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     56,486        23,254        15,083        10,588        87,329        235,025        266,369   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     –        –        –        –        61        –        –   

Futures contracts

     1,549        –        –        –        –        –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     –        16        18        5        –        –        –   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     (15,916 )      58,231        31,499        37,425        158,329        181,239        179,038   

OTC swap agreements

     –        –        –        –        –        –        –   

Foreign currency related items

     –        –        –        –        28        –        –   

Futures contracts and centrally cleared swap agreements

     782        –        –        –        –        –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     42,901        81,501        46,600        48,018        245,747        416,264        445,407   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 189,412      $ 83,360      $ 47,405      $ 50,229      $ 259,004      $ 423,429      $ 496,726   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 2,142      $ 83      $ 162      $ 8      $ 208      $ 113      $ 217   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/S&P
Intrinsic Value
Fund		     JNL/S&P Total
Yield Fund		     JNL/T. Rowe
Price
Established
Growth Fund		     JNL/T. Rowe
Price Mid-Cap
Growth Fund		     JNL/T. Rowe
Price Short-
Term Bond
Fund		     JNL/T. Rowe
Price Value
Fund		     JNL/WMC
Balanced
Fund		  

Investment income

  

Dividends (a)

   $ 24,193      $ 19,232      $ 23,615      $ 12,518      $ 48      $ 44,050      $ 48,408   

Foreign taxes withheld

     –        –        (245 )      (37 )      –        (44 )      (102 ) 

Interest

     –        –        –        –        26,957        –        16,843   

Securities lending (a)

     244        719        400        814        30        351        218   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     24,437        19,951        23,770        13,295        27,035        44,357        65,367   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

              

Advisory fees

     4,156        3,136        19,070        15,138        7,631        12,646        12,503   

Administrative fees

     1,116        824        3,408        2,152        1,902        2,053        2,880   

12b-1 fees (Class A)

     2,231        1,648        6,716        4,203        3,803        4,105        5,758   

Licensing fees

     –        –        –        –        –        –        –   

Legal fees

     5        3        15        9        9        9        13   

Trustee fees

     14        10        46        30        28        28        40   

Dividends on securities sold short

     –        –        –        –        –        –        –   

Short holdings borrowing fees

     –        –        –        –        –        –        –   

Other net expenses (b)

     14        9        34        26        17        33        42   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     7,536        5,630        29,289        21,558        13,390        18,874        21,236   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Expense waiver

     –        –        –        –        –        (219 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

     7,536        5,630        29,289        21,558        13,390        18,655        21,236   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     16,901        14,321        (5,519 )      (8,263 )      13,645        25,702        44,131   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Realized and unrealized gain (loss)

              

Net realized gain (loss) on:

              

Unaffiliated investments

     242,059        234,565        258,567        191,760        1,786        175,101        131,284   

Affiliated investments

     –        –        –        –        –        –        –   

Swap agreements

     –        –        –        –        –        –        18   

Foreign currency related items

     –        –        (231 )      (5 )      (159 )      (7 )      2   

Futures contracts

     –        –        –        (26 )      272        –        121   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   

Brokerage commissions recaptured

     –        –        36        55        –        50        13   

Net change in unrealized appreciation (depreciation) on:

              

Investments

     167,446        73,095        883,717        478,695        (15,404 )      428,946        323,430   

OTC swap agreements

     –        –        –        –        –        –        117   

Foreign currency related items

     –        –        5        –        (18 )      (2 )      –   

Futures contracts and centrally cleared swap agreements

     –        –        –        81        305        –        –   

Written option contracts

     –        –        –        –        –        –        –   

Investment securities sold short

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     409,505        307,660        1,142,094        670,560        (13,218 )      604,088        454,985   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 426,406      $ 321,981      $ 1,136,575      $ 662,297      $ 427      $ 629,790      $ 499,116   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ 245      $ 720      $ 428      $ 876      $ 78      $ 367      $ 232   

(b)    Includes professional tax fees. See Note 2 in the Notes to Financial Statements.

     –        –        (7 )      –        (9 )      –        –   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Operations (in thousands)

For the Year Ended December 31, 2013

 

    JNL/WMC
Money Market
Fund		     JNL/WMC
Value Fund		  

Investment income

  

Dividends (a)

   $ –      $ 37,681   

Foreign taxes withheld

     –        (170 ) 

Interest

     2,482        –   

Securities lending (a)

     –        114   
 

 

 

    

 

 

  

Total investment income

     2,482        37,625   
 

 

 

    

 

 

  

Expenses

    

Advisory fees

     3,490        7,440   

Administrative fees

     1,336        1,564   

12b-1 fees (Class A)

     2,657        3,080   

Licensing fees

     –        –   

Legal fees

     6        7   

Trustee fees

     19        22   

Dividends on securities sold short

     –        –   

Short holdings borrowing fees

     –        –   

Other expenses

     24        18   
 

 

 

    

 

 

  

Total expenses

     7,532        12,131   
 

 

 

    

 

 

  

Expense waiver

     (5,050 )      –   
 

 

 

    

 

 

  

Net expenses

     2,482        12,131   
 

 

 

    

 

 

  

Net investment income (loss)

     –        25,494   
 

 

 

    

 

 

  

Realized and unrealized gain (loss)

    

Net realized gain (loss) on:

    

Unaffiliated investments

     16        76,094   

Affiliated investments

     –        –   

Swap agreements

     –        –   

Foreign currency related items

     –        (33 ) 

Futures contracts

     –        –   

Written option contracts

     –        –   

Investment securities sold short

     –        –   

Brokerage commissions recaptured

     –        2   

Net change in unrealized appreciation (depreciation) on:

    

Investments

     –        308,865   

OTC swap agreements

     –        –   

Foreign currency related items

     –        8   

Futures contracts and centrally cleared swap agreements

     –        –   

Written option contracts

     –        –   

Investment securities sold short

     –        –   
 

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     16        384,936   
 

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

   $ 16      $ 410,430   

 

  

 

 

    

 

 

  

(a)    Income from affiliated investments

   $ —      $ 117   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Cash Flows (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/Goldman

Sachs U.S.

Equity Flex

Fund

    

JNL/PIMCO

Real Return

Fund

  

Cash flows provided by (used in) operating activities

  

Net increase (decrease) in net assets from operations

   $ 47,640      $ (244,875 ) 

Adjustments to reconcile net increase (decrease) in net assets from operations to net cash flow used in operating activities:

    

Purchase of long-term investments

     (230,325 )      (3,148,280 ) 

Proceeds from sales and maturities of long-term investments

     214,907        4,228,335   

Net (purchases) sales of short-term investments

     (4,503 )      141,029   

Proceeds from securities sold short/forward sales commitments

     52,482        23,281   

Purchases to cover securities sold short/forward sales commitments

     (55,903 )      (26,263 ) 

Proceeds from class action settlements

     34        280   

Decrease in receivable for investments sold

     374        35,221   

Decrease in payable for investments purchased

     (1 )      (16,544 ) 

Decrease (increase) in receivable for dividends and interest

     (68 )      2,138   

Increase in payable for interest expense and brokerage charges

     4        -   

Decrease in other assets

     -        1   

Increase (decrease) in payable for expenses

     60        (659 ) 

Net amortization on investments

     -        31,313   

Net inflation compensation on investments

     -        (23,616 ) 

Net OTC swap agreements payments

     -        1,608   

Net increase in variation margin on financial derivative instruments

     -        6,818   

Proceeds from currency transactions

     -        17,906   

Increase in payable for dividends on securities sold short

     31        -   

Change in unrealized (appreciation) depreciation on investments, futures contracts, written options, swap agreements and currency

     (21,100 )      13,313   

Net realized (gain) loss on investments, written options and currency

     (26,349 )      246,195   
 

 

 

    

 

 

  

Net cash flow provided by (used in) operating activities

     (22,717 )      1,287,201   

Cash flows provided by (used in ) financing activities

    

Net proceeds (redemptions) from capital share transactions

     22,716        (1,015,172 ) 

Net borrowing from secured financing transactions

     -        (2,705 ) 

Net proceeds from secured borrowing transactions

     -        (4,631 ) 

Decrease in payable for treasury roll securities

     -        (253,241 ) 

Increase in receivable for deposits with brokers and counterparties

     -        (16,779 ) 

Decrease in payable for deposits with brokers

     -        (854 ) 

Increase in payable for deposits with counterparties

     -        4,859   
 

 

 

    

 

 

  

Net cash flow provided by (used in) financing activities

     22,716        (1,288,523 ) 
 

 

 

    

 

 

  

Net decrease in cash

     (1 )      (1,322 ) 

Cash at beginning of year

     1        3,617   
 

 

 

    

 

 

  

Cash at end of year

   $ -      $ 2,295   
 

 

 

    

 

 

  

Supplemental disclosure of operating activities:

    

Short holding borrowing fees during the year

   $ 436      $ -   

Interest expense during the year

     -        1,721   

Supplemental disclosure of non-cash financing activities:

    

Reinvestment of distributions during the year

   $ 3,356      $ 238,726   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/AQR
Managed
Futures
Strategy
Fund(a)		     JNL/BlackRock
Commodity
Securities
Strategy
Fund(a)		     JNL/BlackRock
Global
Allocation
Fund(a)		     JNL/BlackRock
Large Cap
Select Growth
Fund		     JNL/Brookfield
Global
Infrastructure
Fund		     JNL/Capital
Guardian
Global
Balanced
Fund		     JNL/Capital
Guardian
Global
Diversified
Research
Fund		  

Operations

              

Net investment income (loss)

   $ (6,928 )    $ 1,872      $ 16,521      $ (1,424 )    $ 8,028      $ 5,376      $ 3,316   

Net realized gain (loss)

     37,794        (12,526 )      75,513        86,135        35,442        26,363        16,506   

Net change in unrealized appreciation (depreciation)

     6,353        146,846        196,077        133,622        56,013        33,074        59,144   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     37,219        136,192        288,111        218,333        99,483        64,813        78,966   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (16,451 )      (5,457 )      (13,571 )      (213 )      (3,583 )      (7,670 )      (4,743 ) 

Class B

     (4 )      (5 )      (1 )      –        (1 )      (9 )      (5 ) 

From net realized gains

              

Class A

     (664 )      –        –        (69,079 )      (12,053 )      –        –   

Class B

     –        –        –        (24 )      (2 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (17,119 )      (5,462 )      (13,572 )      (69,316 )      (15,639 )      (7,679 )      (4,748 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     201,549        455,992        1,181,545        508,078        406,451        89,696        75,651   

Class B

     –        215        132        48        88        72        49   

Reinvestment of distributions

              

Class A

     17,115        5,457        13,571        69,292        15,636        7,670        4,743   

Class B

     4        5        1        24        3        9        5   

Cost of shares redeemed

              

Class A

     (297,651 )      (597,015 )      (314,656 )      (184,541 )      (129,815 )      (85,451 )      (78,452 ) 

Class B

     –        (203 )      (138 )      (68 )      (152 )      (76 )      (79 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     (78,983 )      (135,549 )      880,455        392,833        292,211        11,920        1,917   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     (58,883 )      (4,819 )      1,154,994        541,850        376,055        69,054        76,135   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     541,696        1,459,770        1,593,058        471,939        299,013        416,275        344,204   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 482,813      $ 1,454,951      $ 2,748,052      $ 1,013,789      $ 675,068      $ 485,329      $ 420,339   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 2,536      $ (674 )    $ 13,610      $ (514 )    $ 9,080      $ 3,106      $ 3,286   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     19,705        42,661        101,812        19,257        29,547        8,401        2,671   

Class B

     –        21        12        2        6        7        2   

Reinvestment of distributions

              

Class A

     1,732        498        1,129        2,635        1,111        693        157   

Class B

     –        –        –        1        –        1        –   

Shares redeemed

              

Class A

     (28,777 )      (55,543 )      (27,038 )      (7,249 )      (9,337 )      (8,020 )      (2,791 ) 

Class B

     –        (19 )      (12 )      (3 )      (10 )      (7 )      (3 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     (7,340 )      (12,384 )      75,903        14,643        21,321        1,074        37   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        2        –        –        (4 )      1        (1 ) 

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ –      $ 275,890      $ 1,759,253 (b)    $ 1,095,702      $ 592,928      $ 427,259 (c)    $ 101,091   

Proceeds from sales of securities

     –        379,891        951,233 (b)      769,347        310,467        426,506 (c)      109,600   

 

(a)

Consolidated Statement of Changes in Net Assets.

(b)

Amounts include $239,282 and $154,426 of purchases and sales, respectively, of U.S. Government Securities.

(c)

Amounts include $223,778 and $225,938 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/DFA U.S.
Core Equity
Fund		     JNL/Eagle
SmallCap
Equity Fund		     JNL/Eastspring
Investments
Asia ex-Japan
Fund		     JNL/Eastspring
Investments
China-India
Fund		     JNL/Franklin
Templeton
Global Growth
Fund		     JNL/Franklin
Templeton
Global
Multisector
Bond Fund		     JNL/Franklin
Templeton
Income Fund		  

Operations

              

Net investment income (loss)

   $ 3,475      $ (4,055 )    $ 1,566      $ 3,807      $ 10,009      $ 45,463      $ 85,239   

Net realized gain (loss)

     7,728        119,786        (3,569 )      3,147        25,469        19,307        (3,893 ) 

Net change in unrealized appreciation (depreciation)

     89,241        264,686        (8,041 )      (18,398 )      176,253        (18,635 )      167,677   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     100,444        380,417        (10,044 )      (11,444 )      211,731        46,135        249,023   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (3,547 )      (1,032 )      (1,720 )      (3,281 )      (10,156 )      (37,114 )      (77,436 ) 

Class B

     (3 )      (2 )      (2 )      (3 )      (5 )      (6 )      (25 ) 

From net realized gains

              

Class A

     (16,832 )      (31,502 )      (1,117 )      –        –        (103 )      –   

Class B

     (11 )      (22 )      (1 )      –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (20,393 )      (32,558 )      (2,840 )      (3,284 )      (10,161 )      (37,223 )      (77,461 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     272,771        562,069        74,141        136,315        244,614        1,166,997        711,341   

Class B

     75        242        90        109        64        271        162   

Proceeds in connection with acquisition

              

Class A

     –        –        –        –        56,597        –        –   

Class B

     –        –        –        –        20        –        –   

Reinvestment of distributions

              

Class A

     20,379        32,534        2,837        3,281        10,156        37,217        77,436   

Class B

     14        24        3        3        5        6        25   

Cost of shares redeemed

              

Class A

     (102,750 )      (576,357 )      (80,929 )      (143,760 )      (182,280 )      (438,043 )      (390,223 ) 

Class B

     (53 )      (271 )      (170 )      (208 )      (93 )      (190 )      (132 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     190,436        18,241        (4,028 )      (4,260 )      129,083        766,258        398,609   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     270,487        366,100        (16,912 )      (18,988 )      330,653        775,170        570,171   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     230,267        1,273,038        152,339        373,999        658,138        977,738        1,622,856   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 500,754      $ 1,639,138      $ 135,427      $ 355,011      $ 988,791      $ 1,752,908      $ 2,193,027   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 3,464      $ (1,556 )    $ 1,408      $ 2,962      $ 9,745      $ 55,317      $ 84,234   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     27,882        21,378        9,467        19,301        23,591        96,785        62,335   

Class B

     8        9        12        16        7        23        15   

Shares issued in connection with acquisition

              

Class A

     –        –        –        –        5,225        –        –   

Class B

     –        –        –        –        2        –        –   

Reinvestment of distributions

              

Class A

     2,008        1,164        373        459        904        3,151        6,751   

Class B

     1        1        1        –        –        1        2   

Shares redeemed

              

Class A

     (10,639 )      (22,085 )      (10,455 )      (20,705 )      (17,754 )      (36,320 )      (34,231 ) 

Class B

     (5 )      (10 )      (22 )      (30 )      (9 )      (16 )      (12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     19,251        457        (615 )      (945 )      11,966        63,616        34,855   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     4        –        (9 )      (14 )      –        8        5   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 198,127      $ 1,008,927      $ 93,376      $ 101,187      $ 201,047      $ 872,140      $ 726,184   

Proceeds from sales of securities

     30,014        1,018,298        99,985        107,497        132,091        244,361 (a)      354,487   

 

(a)

Amounts include $24,393 sales of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/Franklin
Templeton
International
Small Cap
Growth Fund		     JNL/Franklin
Templeton
Mutual Shares
Fund		     JNL/Franklin
Templeton
Small Cap
Value Fund		     JNL/Goldman
Sachs Core
Plus Bond
Fund		     JNL/Goldman
Sachs
Emerging
Markets Debt
Fund		     JNL/Goldman
Sachs Mid
Cap Value
Fund		     JNL/Goldman
Sachs U.S.
Equity Flex
Fund		  

Operations

          

Net investment income (loss)

   $ 3,799      $ 15,196      $ 3,523      $ 13,446      $ 37,632      $ 6,185      $ 136   

Net realized gain (loss)

     21,838        59,264        96,466        (2,760 )      (6,620 )      220,647        26,404   

Net change in unrealized appreciation (depreciation)

     68,691        164,231        161,932        (21,647 )      (103,145 )      79,906        21,100   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     94,328        238,691        261,921        (10,961 )      (72,133 )      306,738        47,640   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

          

From net investment income

          

Class A

     (3,675 )      (8,775 )      (7,288 )      (23,343 )      (66,859 )      (3,918 )      (288 ) 

Class B

     (3 )      (5 )      (5 )      (12 )      (14 )      (90 )      (1 ) 

From net realized gains

          

Class A

     (6,152 )      –        (6,025 )      (31,994 )      (27,877 )      (198,035 )      (3,064 ) 

Class B

     (4 )      –        (3 )      (15 )      (6 )      (3,315 )      (3 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (9,834 )      (8,780 )      (13,321 )      (55,364 )      (94,756 )      (205,358 )      (3,356 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     214,630        216,052        439,729        225,701        357,207        330,880        73,093   

Class B

     93        104        143        119        39        7,963        20   

Reinvestment of distributions

              

Class A

     9,827        8,775        13,313        55,337        94,736        201,953        3,352   

Class B

     7        5        8        27        20        3,405        4   

Cost of shares redeemed

              

Class A

     (126,138 )      (163,932 )      (589,249 )      (344,909 )      (442,659 )      (458,646 )      (52,420 ) 

Class B

     (127 )      (137 )      (189 )      (81 )      (114 )      (3,703 )      (147 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     98,292        60,867        (136,245 )      (63,806 )      9,229        81,852        23,902   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     182,786        290,778        112,355        (130,131 )      (157,660 )      183,232        68,186   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     258,369        829,498        920,066        909,101        952,921        977,577        129,924   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 441,155      $ 1,120,276      $ 1,032,421      $ 778,970      $ 795,261      $ 1,160,809      $ 198,110   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 3,692      $ 17,473      $ 3,371      $ 17,516      $ 8,258      $ 2,067      $ 144   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     21,317        20,328        29,911        18,233        25,787        26,022        7,163   

Class B

     8        10        10        10        3        624        3   

Reinvestment of distributions

              

Class A

     917        772        825        4,846        8,303        16,942        303   

Class B

     1        –        –        2        2        285        –   

Shares redeemed

              

Class A

     (12,639 )      (15,515 )      (42,017 )      (28,069 )      (32,182 )      (35,632 )      (5,113 ) 

Class B

     (13 )      (13 )      (14 )      (6 )      (8 )      (281 )      (13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     9,595        5,585        (11,281 )      (4,990 )      1,908        7,332        2,353   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     (4 )      (3 )      (4 )      6        (3 )      628        (10 ) 

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 173,520      $ 307,396      $ 206,432      $ 6,525,653 (a)    $ 1,348,744 (b)    $ 1,276,802      $ 230,325   

Proceeds from sales of securities

     83,806        244,908        370,936        6,682,321 (a)      1,374,315 (b)      1,375,326        214,941   

Securities sold short covers

     –        –        –        –        –        –        55,903   

Securities sold short proceeds

     –        –        –        –        –        –        52,482   

 

(a)

Amounts include $6,192,259 and $6,229,642 of purchases and sales, respectively, of U.S. Government Securities.

(b)

Amounts include $227,274 and $166,134 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/Invesco
Global Real
Estate Fund		     JNL/Invesco
International
Growth Fund		     JNL/Invesco
Large Cap
Growth Fund		     JNL/Invesco
Mid Cap
Value Fund		     JNL/Invesco
Small Cap
Growth Fund		     JNL/Ivy Asset
Strategy
Fund(a)		     JNL/JPMorgan
International
Value Fund		  

Operations

              

Net investment income (loss)

   $ 23,083      $ 12,848      $ 567      $ 1,208      $ (1,612 )    $ 14,852      $ 11,600   

Net realized gain (loss)

     84,204        16,825        198,494        55,450        34,106        195,564        36,059   

Net change in unrealized appreciation (depreciation)

     (65,525 )      141,732        138,177        17,774        144,176        337,341        65,423   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     41,762        171,405        337,238        74,432        176,670        547,757        113,082   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (48,172 )      (11,406 )      (3,304 )      (635 )      (701 )      (34,956 )      (20,608 ) 

Class B

     (28 )      (7 )      (7 )      (1 )      (1 )      (11 )      (25 ) 

From net realized gains

              

Class A

     –        –        (59,818 )      –        (12,584 )      –        –   

Class B

     –        –        (74 )      –        (11 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (48,200 )      (11,413 )      (63,203 )      (636 )      (13,297 )      (34,967 )      (20,633 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     671,384        641,752        303,406        167,535        388,899        878,426        167,038   

Class B

     249        195        125        56        143        439        168   

Reinvestment of distributions

              

Class A

     48,172        11,406        63,122        635        13,285        34,956        20,608   

Class B

     28        7        81        1        12        11        25   

Cost of shares redeemed

              

Class A

     (530,560 )      (313,307 )      (619,128 )      (82,059 )      (228,419 )      (420,526 )      (113,085 ) 

Class B

     (309 )      (129 )      (158 )      (52 )      (147 )      (169 )      (103 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     188,964        339,924        (252,552 )      86,116        173,773        493,137        74,651   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     182,526        499,916        21,483        159,912        337,146        1,005,927        167,100   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     1,363,308        730,000        996,044        220,961        395,089        2,044,739        507,220   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 1,545,834      $ 1,229,916      $ 1,017,527      $ 380,873      $ 732,235      $ 3,050,666      $ 674,320   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over)
net investment income

   $ 14,829      $ 10,907      $ 535      $ 1,197      $ (7 )    $ 20,606      $ 9,235   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     65,250        54,632        20,766        11,992        22,423        65,309        21,347   

Class B

     24        15        8        4        8        31        21   

Reinvestment of distributions

              

Class A

     4,956        927        3,972        43        707        2,426        2,582   

Class B

     3        1        5        –        1        1        3   

Shares redeemed

              

Class A

     (51,024 )      (26,711 )      (41,530 )      (5,993 )      (13,370 )      (31,159 )      (14,572 ) 

Class B

     (30 )      (11 )      (11 )      (4 )      (9 )      (12 )      (13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     19,182        28,848        (16,792 )      6,042        9,760        36,576        9,357   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     (3 )      5        2        –        –        20        11   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 974,871      $ 508,610      $ 872,314      $ 497,598      $ 296,053      $ 1,804,230      $ 359,689   

Proceeds from sales of securities

     801,388        181,049        1,154,805        426,461        158,590        1,720,419        296,425   

 

(a)

Consolidated Statement of Changes in Net Assets.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/JPMorgan
MidCap
Growth Fund		     JNL/JPMorgan
U.S.
Government &
Quality Bond
Fund		     JNL/Lazard
Emerging
Markets Fund		     JNL/M&G
Global Basics
Fund		     JNL/Mellon
Capital
Emerging
Markets
Index Fund		     JNL/Mellon
Capital
European 30
Fund		     JNL/Mellon
Capital Pacific
Rim 30 Fund		  

Operations

              

Net investment income (loss)

   $ 260      $ 33,880      $ 24,441      $ 2,380      $ 8,609      $ 1,816      $ 3,676   

Net realized gain (loss)

     107,275        6,113        29,242        8,234        (8,162 )      849        6,504   

Net change in unrealized appreciation (depreciation)

     204,646        (89,379 )      (66,745 )      (688 )      (17,837 )      15,009        3,101   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     312,181        (49,386 )      (13,062 )      9,926        (17,390 )      17,674        13,281   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (1,745 )      (42,789 )      (22,378 )      (3,823 )      (4,543 )      (982 )      (5,142 ) 

Class B

     (1 )      (22 )      (10 )      (1 )      (1 )      (1 )      (8 ) 

From net realized gains

              

Class A

     –        –        (27,084 )      (4,908 )      –        –        –   

Class B

     –        –        (11 )      (1 )      –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (1,746 )      (42,811 )      (49,483 )      (8,733 )      (4,544 )      (983 )      (5,150 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     787,720        426,617        562,670        34,910        530,052        120,100        105,107   

Class B

     66        662        90        18        151        12        37   

Reinvestment of distributions

              

Class A

     1,745        42,789        49,462        8,731        4,543        982        5,142   

Class B

     1        22        21        2        1        1        8   

Cost of shares redeemed

              

Class A

     (367,724 )      (870,221 )      (436,666 )      (90,358 )      (194,504 )      (28,803 )      (64,891 ) 

Class B

     (79 )      (1,033 )      (240 )      (79 )      (139 )      (8 )      (81 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     421,729        (401,164 )      175,337        (46,776 )      340,104        92,284        45,322   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     732,164        (493,361 )      112,792        (45,583 )      318,170        108,975        53,453   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     556,224        1,662,619        1,410,606        215,657        402,532        30,264        100,495   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 1,288,388      $ 1,169,258      $ 1,523,398      $ 170,074      $ 720,702      $ 139,239      $ 153,948   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 330      $ 38,002      $ 24,294      $ 2,232      $ 8,219      $ 2,014      $ 3,391   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     30,212        30,631        50,699        2,500        52,006        9,927        7,417   

Class B

     3        45        8        2        15        2        3   

Reinvestment of distributions

              

Class A

     59        3,242        4,588        659        451        78        375   

Class B

     –        2        2        –        –        –        1   

Shares redeemed

              

Class A

     (14,193 )      (62,688 )      (39,409 )      (6,365 )      (19,276 )      (2,406 )      (4,581 ) 

Class B

     (3 )      (71 )      (21 )      (6 )      (13 )      (1 )      (6 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     16,078        (28,815 )      15,878        (3,206 )      33,181        7,599        3,211   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        (24 )      (11 )      (4 )      2        1        (2 ) 

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 1,016,224      $ 10,135 (a)    $ 531,495      $ 92,042      $ 719,807      $ 126,938      $ 176,564   

Proceeds from sales of securities

     627,280        390,590 (a)      372,027        151,912        374,827        35,048        133,198   

 

(a)

Amounts include $8,020 and $374,898 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

    JNL/Mellon
Capital S&P
500 Index Fund		     JNL/Mellon
Capital S&P
400 MidCap
Index Fund		     JNL/Mellon
Capital Small
Cap Index
Fund		     JNL/Mellon
Capital
International
Index Fund		     JNL/Mellon
Capital Bond
Index Fund		     JNL/Mellon
Capital Global
Alpha Fund		    

JNL/Mellon
Capital

Dow Jones
U.S. Contrarian
Opportunities
Index

Fund

  

Operations

              

Net investment income (loss)

   $ 33,761      $ 12,287      $ 14,468      $ 49,924      $ 30,334      $ (5,217 )    $ 389   

Net realized gain (loss)

     21,430        53,476        84,843        1,209        (4,433 )      (15,437 )      17,131   

Net change in unrealized appreciation (depreciation)

     553,409        297,847        350,704        343,329        (82,650 )      15,749        19,277   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     608,600        363,610        450,015        394,462        (56,749 )      (4,905 )      36,797   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (33,429 )      (11,028 )      (15,454 )      (49,996 )      (33,326 )      –        (593 ) 

Class B

     (334 )      (109 )      (197 )      (730 )      (105 )      –        (1 ) 

From net realized gains

              

Class A

     (13,049 )      (45,344 )      (76,233 )      –        (1,243 )      –        –   

Class B

     (115 )      (369 )      (835 )      –        (4 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (46,927 )      (56,850 )      (92,719 )      (50,726 )      (34,678 )      –        (594 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     1,256,567        654,590        499,933        561,918        629,473        146,182        98,510   

Class B

     8,416        7,515        8,728        10,205        1,748        36        40   

Proceeds in connection with acquisition

              

Class A

     260,176        -        278,968        -        -        -        -   

Class B

     1,064        -        102        -        -        -        -   

Reinvestment of distributions

              

Class A

     46,478        56,372        91,687        49,996        34,569        –        593   

Class B

     449        478        1,032        730        109        –        1   

Cost of shares redeemed

              

Class A

     (638,783 )      (353,919 )      (457,652 )      (381,653 )      (856,198 )      (398,626 )      (65,928 ) 

Class B

     (5,494 )      (5,155 )      (5,922 )      (6,320 )      (1,629 )      (148 )      (1 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     928,873        359,881        416,876        234,876        (191,928 )      (252,556 )      33,215   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     1,490,546        666,641        774,172        578,612        (283,355 )      (257,461 )      69,418   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     1,604,546        985,512        1,075,380        1,757,582        1,831,329        488,626        78,110   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 3,095,092      $ 1,652,153      $ 1,849,552      $ 2,336,194      $ 1,547,974      $ 231,165      $ 147,528   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 247      $ 4,431      $ (762 )    $ (1,433 )    $ 11,472      $ 4,198      $ 389   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     90,788        38,376        32,262        41,852        52,216        14,360        7,901   

Class B

     612        442        580        740        140        4        3   

Shares issued in connection with acquisition

              

Class A

     18,397        –        17,398        –        –        –        –   

Class B

     74        –        6        –        –        –        –   

Reinvestment of distributions

              

Class A

     3,068        3,070        5,474        3,511        2,967        –        43   

Class B

     29        26        61        50        9        –        –   

Shares redeemed

              

Class A

     (46,330 )      (20,724 )      (29,531 )      (28,448 )      (71,793 )      (39,269 )      (5,170 ) 

Class B

     (398 )      (293 )      (374 )      (461 )      (131 )      (15 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     65,923        20,722        25,603        16,915        (16,610 )      (24,909 )      2,774   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     317        175        273        329        18        (11 )      3   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 636,298      $ 429,614      $ 300,726      $ 232,722      $ 2,819,978 (a)    $ 147,157      $ 192,018   

Proceeds from sales of securities

     44,866        146,953        243,682        24,814        2,999,181 (a)      139,506        159,203   

 

(a)

Amounts include $2,665,309 and $2,817,428 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/Mellon

Capital Utilities

Sector
Fund(a)

    

JNL/Morgan

Stanley Mid

Cap Growth

Fund

    

JNL/
Neuberger

Berman

Strategic

Income Fund

    

JNL/

Oppenheimer

Global Growth

Fund

    

JNL/PIMCO

Real Return

Fund

    

JNL/PIMCO

Total Return

Bond Fund

    

JNL/PPM

America

Floating Rate

Income Fund

  

Operations

              

Net investment income (loss)

   $ 70      $ (346 )    $ 4,889      $ 7,063      $ 15,007      $ 59,506      $ 39,529   

Net realized gain (loss)

     (113 )      2,894        (830 )      22,817        (246,569 )      (14,088 )      4,452   

Net change in unrealized appreciation (depreciation)

     2        19,801        (490 )      156,793        (13,313 )      (179,409 )      1,265   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     (41 )      22,349        3,569        186,673        (244,875 )      (133,991 )      45,246   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (70 )      –        (741 )      (8,197 )      (26,969 )      (64,920 )      (21,743 ) 

Class B

     –        –        –        (10 )      (13 )      (273 )      –   

From net realized gains

              

Class A

     (1 )      (358 )      (542 )      (332 )      (211,658 )      (7,003 )      –   

Class B

     –        –        –        –        (86 )      (26 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (71 )      (358 )      (1,283 )      (8,539 )      (238,726 )      (72,222 )      (21,743 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     5,630        239,315        471,743        312,724        681,413        1,975,714        1,272,242   

Class B

     –        –        1        150        338        4,012        –   

Reinvestment of distributions

              

Class A

     71        358        1,283        8,529        238,627        71,923        21,743   

Class B

     –        –        –        10        99        299        –   

Cost of shares redeemed

              

Class A

     (2,343 )      (69,217 )      (88,894 )      (147,903 )      (1,699,117 )      (2,491,504 )      (433,753 ) 

Class B

     –        –        (2 )      (177 )      (439 )      (8,425 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     3,358        170,456        384,131        173,333        (779,079 )      (447,981 )      860,232   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     3,246        192,447        386,417        351,467        (1,262,680 )      (654,194 )      883,735   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     –        17,104        81,038        636,935        3,084,128        5,812,894        659,373   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 3,246      $ 209,551      $ 467,455      $ 988,402      $ 1,821,448      $ 5,158,700      $ 1,543,108   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 1      $ 3      $ 4,853      $ 6,982      $ 2,353      $ 39,687      $ 38,890   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     582        19,795        45,225        24,421        54,923        152,526        117,172   

Class B

     –        –        –        11        27        291        –   

Reinvestment of distributions

              

Class A

     8        28        123        626        23,258        5,704        2,002   

Class B

     –        –        –        1        10        22        –   

Shares redeemed

              

Class A

     (244 )      (5,652 )      (8,504 )      (11,604 )      (138,944 )      (193,867 )      (39,871 ) 

Class B

     –        –        –        (14 )      (35 )      (612 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     346        14,171        36,844        13,443        (60,763 )      (35,637 )      79,303   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        –        –        (2 )      2        (299 )      –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 5,567      $ 192,146      $ 1,485,293 (b)    $ 285,829      $ 3,169,582 (c)    $ 25,783,890 (d)    $ 1,468,059   

Proceeds from sales of securities

     2,224        29,267        1,011,122 (b)      120,108        4,251,329 (c)      26,146,693 (d)      658,236   

 

(a)

Period from April 29, 2013 (commencement of operations).

(b)

Amounts include $1,002,399 and $822,392 of purchases and sales, respectively, of U.S. Government Securities.

(c)

Amounts include $2,882,075 and $3,545,872 of purchases and sales, respectively, of U.S. Government Securities.

(d)

Amounts include $24,799,914 and $24,690,036 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/PPM

America High

Yield Bond

Fund

    

JNL/PPM

America Mid

Cap Value

Fund

    

JNL/PPM

America Small

Cap Value

Fund

    

JNL/PPM

America Value
Equity Fund

    

JNL/Red Rocks

Listed Private

Equity Fund

    

JNL/S&P

Competitive

Advantage

Fund

    

JNL/S&P

Dividend

Income &

Growth Fund

  

Operations

              

Net investment income (loss)

   $ 146,511      $ 1,859      $ 805      $ 2,211      $ 13,257      $ 7,165      $ 51,319   

Net realized gain (loss)

     58,035        23,270        15,101        10,593        87,390        235,025        266,369   

Net change in unrealized appreciation (depreciation)

     (15,134 )      58,231        31,499        37,425        158,357        181,239        179,038   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     189,412        83,360        47,405        50,229        259,004        423,429        496,726   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (149,300 )      (1,629 )      (608 )      (1,985 )      (62,169 )      (8,391 )      (37,594 ) 

Class B

     (664 )      (2 )      (75 )      (7 )      (42 )      (3 )      (15 ) 

From net realized gains

              

Class A

     (54,653 )      –        (11,687 )      –        –        (92,527 )      (86,787 ) 

Class B

     (235 )      –        (1,034 )      –        –        (25 )      (32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (204,852 )      (1,631 )      (13,404 )      (1,992 )      (62,211 )      (100,946 )      (124,428 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     1,404,514        236,043        151,386        84,740        185,120        839,851        1,178,410   

Class B

     3,779        42        9,877        572        21        186        347   

Proceeds in connection with acquisition

              

Class A

     -        -        -        -        -        -        484,554   

Class B

     -        -        -        -        -        -        280   

Reinvestment of distributions

              

Class A

     203,953        1,629        12,295        1,985        62,169        100,918        124,381   

Class B

     899        2        1,109        7        42        28        47   

Cost of shares redeemed

              

Class A

     (1,213,883 )      (154,560 )      (95,344 )      (73,797 )      (302,044 )      (366,547 )      (498,318 ) 

Class B

     (3,939 )      (18 )      (3,238 )      (561 )      (70 )      (392 )      (176 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     395,323        83,138        76,085        12,946        (54,762 )      574,044        1,289,525   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     379,883        164,867        110,086        61,183        142,031        896,527        1,661,823   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     2,205,452        153,939        105,733        118,655        684,666        824,724        1,267,551   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 2,585,335      $ 318,806      $ 215,819      $ 179,838      $ 826,697      $ 1,721,251      $ 2,929,374   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over)
net investment income

   $ 1,322      $ 1,857      $ 133      $ 2,204      $ 36,291      $ 7,153      $ 51,593   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     187,622        18,978        13,226        5,519        16,461        54,655        87,052   

Class B

     454        3        852        37        1        12        26   

Shares issued in connection with acquisition

              

Class A

     -        -        -        -        -        -        35,535   

Class B

     -        -        -        -        -        -        20   

Reinvestment of distributions

              

Class A

     28,445        114        996        112        5,364        6,165        8,974   

Class B

     111        –        90        –        4        2        3   

Shares redeemed

              

Class A

     (162,289 )      (12,196 )      (8,488 )      (4,780 )      (27,232 )      (24,231 )      (37,164 ) 

Class B

     (470 )      (1 )      (280 )      (35 )      (6 )      (28 )      (13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     53,778        6,896        5,734        851        (5,407 )      36,589        94,397   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     95        2        662        2        (1 )      (14 )      36   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 2,466,777      $ 190,760      $ 136,447      $ 59,745      $ 292,396      $ 1,295,915      $ 1,861,720   

Proceeds from sales of securities

     2,140,803        108,322        73,624        46,449        359,374        817,999        1,108,121   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/S&P

Intrinsic Value

Fund

    

JNL/S&P Total

Yield Fund

    

JNL/T. Rowe

Price

Established

Growth Fund

    

JNL/T. Rowe

Price Mid-Cap

Growth Fund

    

JNL/T. Rowe

Price Short-
Term Bond

Fund

    

JNL/T. Rowe

Price Value

Fund

    

JNL/WMC

Balanced
Fund

  

Operations

              

Net investment income (loss)

   $ 16,901      $ 14,321      $ (5,519 )    $ (8,263 )    $ 13,645      $ 25,702      $ 44,131   

Net realized gain (loss)

     242,059        234,565        258,372        191,784        1,899        175,144        131,438   

Net change in unrealized appreciation (depreciation)

     167,446        73,095        883,722        478,776        (15,117 )      428,944        323,547   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     426,406        321,981        1,136,575        662,297        427        629,790        499,116   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (12,521 )      (9,279 )      (2,641 )      –        (21,288 )      (25,537 )      (42,971 ) 

Class B

     (6 )      (5 )      (96 )      –        (4 )      (14 )      (19 ) 

From net realized gains

              

Class A

     (62,093 )      (42,180 )      (149,035 )      (143,809 )      –        (84,208 )      (45,129 ) 

Class B

     (28 )      (20 )      (1,977 )      (3,181 )      –        (41 )      (18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (74,648 )      (51,484 )      (153,749 )      (146,990 )      (21,292 )      (109,800 )      (88,137 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     900,392        744,468        1,382,038        617,956        1,090,251        890,217        894,598   

Class B

     490        672        5,835        8,492        177        258        266   

Reinvestment of distributions

              

Class A

     74,614        51,459        151,676        143,809        21,288        109,745        88,100   

Class B

     34        25        2,073        3,181        4        55        37   

Cost of shares redeemed

              

Class A

     (409,030 )      (417,842 )      (675,411 )      (486,472 )      (1,452,346 )      (657,008 )      (446,099 ) 

Class B

     (407 )      (419 )      (6,780 )      (8,391 )      (90 )      (418 )      (276 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     566,093        378,363        859,431        278,575        (340,716 )      342,849        536,626   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     917,851        648,860        1,842,257        793,882        (361,581 )      862,839        947,605   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     699,143        518,795        2,539,784        1,771,590        2,019,092        1,566,627        2,399,227   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 1,616,994      $ 1,167,655      $ 4,382,041      $ 2,565,472      $ 1,657,511      $ 2,429,466      $ 3,346,832   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 16,889      $ 14,311      $ (75 )    $ (3,787 )    $ 20,150      $ 25,662      $ 48,730   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     64,214        55,362        48,635        17,922        108,391        61,318        44,598   

Class B

     36        56        209        248        18        17        12   

Reinvestment of distributions

              

Class A

     4,961        3,549        4,585        3,875        2,142        7,058        4,285   

Class B

     2        2        62        84        –        3        2   

Shares redeemed

              

Class A

     (29,450 )      (31,041 )      (23,720 )      (14,214 )      (144,491 )      (44,744 )      (22,250 ) 

Class B

     (30 )      (34 )      (234 )      (240 )      (9 )      (27 )      (13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     39,725        27,870        29,500        7,583        (33,958 )      23,632        26,633   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     8        24        37        92        9        (7 )      1   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 1,666,726      $ 1,326,024      $ 1,778,083      $ 746,962      $ 1,087,606 (a)    $ 1,062,237      $ 8,887,439 (b) 

Proceeds from sales of securities

     1,163,449        985,716        1,112,874        682,179        1,305,782 (a)      784,969        8,403,249 (b) 

 

(a)

Amounts include $413,608 and $576,443 of purchases and sales, respectively, of U.S. Government Securities.

(b)

Amounts include $7,806,190 and $7,604,097 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2013

 

   

JNL/WMC

Money Market

Fund

    

JNL/WMC

Value Fund

  

Operations

  

  

Net investment income (loss)

   $ –      $ 25,494   

Net realized gain (loss)

     16        76,063   

Net change in unrealized appreciation (depreciation)

     –        308,873   
 

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     16        410,430   
 

 

 

    

 

 

  

Distributions to shareholders

  

  

From net investment income

    

Class A

     (8 )      (28,428 ) 

Class B

     –        (494 ) 

From net realized gains

    

Class A

     (6 )      (61,150 ) 

Class B

     –        (956 ) 
 

 

 

    

 

 

  

Total distributions to shareholders

     (14 )      (91,028 ) 
 

 

 

    

 

 

  

Share transactions1

  

  

Proceeds from the sale of shares

    

Class A

     2,232,828        497,449   

Class B

     6,328        3,754   

Reinvestment of distributions

    

Class A

     14        89,578   

Class B

     –        1,450   

Cost of shares redeemed

    

Class A

     (2,147,743 )      (445,976 ) 

Class B

     (6,496 )      (2,554 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     84,931        143,701   
 

 

 

    

 

 

  

Net increase (decrease) net assets

     84,933        463,103   
 

 

 

    

 

 

  

Net assets beginning of year

     1,251,809        1,282,193   
 

 

 

    

 

 

  

Net assets end of year

   $ 1,336,742      $ 1,745,296   
 

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ (45 )    $ 16,505   
 

 

 

    

 

 

  

1 Share transactions

    

Shares sold

    

Class A

     2,232,828        23,162   

Class B

     6,328        178   

Reinvestment of distributions

    

Class A

     14        3,944   

Class B

     –        63   

Shares redeemed

    

Class A

     (2,147,743 )      (20,523 ) 

Class B

     (6,496 )      (118 ) 
 

 

 

    

 

 

  

Net increase/(decrease)

    

Class A

     85,100        6,583   
 

 

 

    

 

 

  

Class B

     (168 )      123   

 

  

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

  

  

Purchase of securities

   $ 764,233 (a)    $ 413,573   

Proceeds from sales of securities

     639,119 (a)      352,344   

 

(a)

Amounts include $300,457 and $376,985 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/AQR

Managed

Futures

Strategy

Fund

    

JNL/BlackRock

Commodity

Securities

Strategy

Fund

    

JNL/
BlackRock

Global

Allocation

Fund(a)

    

JNL/
Brookfield

Global

Infrastructure

Fund

    

JNL/Capital
Guardian Global

Balanced

Fund

    

JNL/Capital

Guardian Global

Diversified
Research

Fund

    

JNL/DFA U.S.

Core Equity

Fund

  

Operations

              

Net investment income (loss)

   $ (6,446 )    $ 3,149      $ 10,994      $ 5,778      $ 6,999      $ 4,787      $ 3,554   

Net realized gain (loss)

     25,042        (23,064 )      209        10,502        6,423        10,400        26,246   

Net change in unrealized appreciation (depreciation)

     9,840        30,061        74,976        17,570        35,030        35,383        5,602   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     28,436        10,146        86,179        33,850        48,452        50,570        35,402   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     –        –        –        (87 )      (8,155 )      (3,956 )      (1,916 ) 

Class B

     –        –        –        –        (10 )      (5 )      (2 ) 

From net realized gains

              

Class A

     –        –        –        –        –        –        –   

Class B

     –        –        –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     –        –        –        (87 )      (8,165 )      (3,961 )      (1,918 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     227,873        766,008        1,187,669        172,694        82,960        62,041        112,633   

Class B

     –        233        251        48        71        87        62   

Reinvestment of distributions

              

Class A

     –        –        –        87        8,155        3,956        1,916   

Class B

     –        –        –        –        10        5        2   

Cost of shares redeemed

              

Class A

     (174,459 )      (369,505 )      (194,323 )      (34,962 )      (86,637 )      (68,040 )      (160,295 ) 

Class B

     –        (277 )      (132 )      (3 )      (89 )      (84 )      (32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     53,414        396,459        993,465        137,864        4,470        (2,035 )      (45,714 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     81,850        406,605        1,079,644        171,627        44,757        44,574        (12,230 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     459,846        1,053,165        513,414        127,386        371,518        299,630        242,497   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 541,696      $ 1,459,770      $ 1,593,058      $ 299,013      $ 416,275      $ 344,204      $ 230,267   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 749      $ 2,668      $ 9,235      $ 5,834      $ 5,783      $ 4,736      $ 3,541   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     24,023        75,182        113,405        15,056        8,678        2,598        14,283   

Class B

     –        23        24        4        7        4        8   

Reinvestment of distributions

              

Class A

     –        –        –        7        832        159        238   

Class B

     –        –        –        –        1        –        –   

Shares redeemed

              

Class A

     (18,410 )      (36,213 )      (18,550 )      (3,034 )      (9,058 )      (2,852 )      (19,802 ) 

Class B

     –        (27 )      (13 )      –        (9 )      (4 )      (4 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     5,613        38,969        94,855        12,029        452        (95 )      (5,281 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     –        (4 )      11        4        (1 )      –        4   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ –      $ 457,620      $ 1,248,928 (b)    $ 295,875      $ 331,379 (c)    $ 99,353      $ 287,692   

Proceeds from sales of securities

     –        104,185        440,100 (b)      155,732        331,413 (c)      104,942        316,390   

 

(a)

Consolidated Statement of Changes in Net Assets.

(b)

Amounts include $135,251 and $82,515 of purchases and sales, respectively, of U.S. Government Securities.

(c)

Amounts include $147,670 and $148,857 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/Eagle

SmallCap

Equity Fund

    

JNL/Eastspring

Investments

Asia ex-Japan

Fund

    

JNL/Eastspring

Investments

China-India

Fund

    

JNL/Franklin

Templeton

Global Growth
Fund

    

JNL/Franklin

Templeton

Global

Multisector

Bond Fund

    

JNL/Franklin

Templeton

Income Fund

    

JNL/Franklin

Templeton

International

Small Cap

Growth Fund

  

Operations

              

Net investment income (loss)

   $ 755      $ 1,730      $ 3,352      $ 10,325      $ 17,468      $ 78,883      $ 3,516   

Net realized gain (loss)

     31,569        (133 )      (3,000 )      7,297        12,603        (10,074 )      6,958   

Net change in unrealized appreciation (depreciation)

     80,750        23,124        67,249        99,980        50,915        94,829        47,138   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     113,074        24,721        67,601        117,602        80,986        163,638        57,612   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     –        (883 )      (2,537 )      (8,953 )      (1,591 )      (68,530 )      (3,220 ) 

Class B

     –        (2 )      (3 )      (6 )      –        (28 )      (3 ) 

From net realized gains

              

Class A

     (9,601 )      (5,971 )      –        –        (29 )      –        –   

Class B

     (7 )      (9 )      –        –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (9,608 )      (6,865 )      (2,540 )      (8,959 )      (1,620 )      (68,558 )      (3,223 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     736,551        107,476        140,879        171,129        819,094        542,247        106,624   

Class B

     478        91        160        83        228        255        120   

Reinvestment of distributions

              

Class A

     9,601        6,854        2,537        8,953        1,620        68,530        3,220   

Class B

     7        11        3        6        –        28        3   

Cost of shares redeemed

              

Class A

     (397,773 )      (88,628 )      (127,370 )      (145,630 )      (162,107 )      (338,200 )      (125,916 ) 

Class B

     (304 )      (21 )      (88 )      (69 )      (155 )      (284 )      (80 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     348,560        25,783        16,121        34,472        658,680        272,576        (16,029 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     452,026        43,639        81,182        143,115        738,046        367,656        38,360   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     821,012        108,700        292,817        515,023        239,692        1,255,200        220,009   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 1,273,038      $ 152,339      $ 373,999      $ 658,138      $ 977,738      $ 1,622,856      $ 258,369   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over)
net investment income

   $ 829      $ 1,718      $ 3,275      $ 10,145      $ 28,844      $ 77,052      $ 3,552   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     32,980        13,480        20,958        20,783        73,040        51,400        13,763   

Class B

     22        12        25        9        21        24        17   

Reinvestment of distributions

              

Class A

     435        870        359        1,017        138        6,520        388   

Class B

     –        1        –        1        –        3        –   

Shares redeemed

              

Class A

     (18,255 )      (11,229 )      (19,263 )      (17,544 )      (14,419 )      (32,148 )      (16,187 ) 

Class B

     (14 )      (3 )      (13 )      (8 )      (14 )      (28 )      (11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     15,160        3,121        2,054        4,256        58,759        25,772        (2,036 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     8        10        12        2        7        (1 )      6   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 844,645      $ 121,901      $ 100,722      $ 121,308      $ 548,351      $ 605,026      $ 71,271   

Proceeds from sales of securities

     510,172        101,810        78,770        81,770        55,811        326,500        90,403   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/Franklin

Templeton

Mutual Shares

Fund

    

JNL/Franklin

Templeton

Small Cap

Value Fund

    

JNL/Goldman

Sachs Core

Plus Bond

Fund

    

JNL/Goldman

Sachs

Emerging

Markets Debt

Fund

    

JNL/Goldman

Sachs Mid Cap
Value Fund

    

JNL/Goldman

Sachs U.S.

Equity Flex

Fund

    

JNL/Invesco

Global Real

Estate Fund

  

Operations

              

Net investment income (loss)

   $ 13,571      $ 7,147      $ 16,909      $ 43,592      $ 9,385      $ 287      $ 19,239   

Net realized gain (loss)

     41,232        6,051        37,777        44,991        34,850        7,284        42,274   

Net change in unrealized appreciation (depreciation)

     42,112        86,481        27,115        67,241        95,589        12,080        165,155   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     96,915        99,679        81,801        155,824        139,824        19,651        226,668   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (11,615 )      (2,016 )      (19,709 )      –        (9,625 )      (457 )      (8,314 ) 

Class B

     (7 )      (1 )      (8 )      –        (124 )      (1 )      (7 ) 

From net realized gains

              

Class A

     –        (1,037 )      (30,686 )      (20,900 )      (9,310 )      –        –   

Class B

     –        (1 )      (11 )      (6 )      (101 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (11,622 )      (3,055 )      (50,414 )      (20,906 )      (19,160 )      (458 )      (8,321 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     148,134        606,580        576,953        366,443        337,582        51,308        749,265   

Class B

     78        81        152        29        19,271        65        223   

Reinvestment of distributions

              

Class A

     11,615        3,053        50,395        20,900        18,935        457        8,314   

Class B

     7        2        19        6        225        1        7   

Cost of shares redeemed

              

Class A

     (106,221 )      (200,254 )      (745,119 )      (352,433 )      (233,676 )      (39,481 )      (336,215 ) 

Class B

     (65 )      (85 )      (87 )      (104 )      (19,566 )      (23 )      (196 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     53,548        409,377        (117,687 )      34,841        122,771        12,327        421,398   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     138,841        506,001        (86,300 )      169,759        243,435        31,520        639,745   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     690,657        414,065        995,401        783,162        734,142        98,404        723,563   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 829,498      $ 920,066      $ 909,101      $ 952,921      $ 977,577      $ 129,924      $ 1,363,308   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 14,156      $ 7,141      $ 22,725      $ 52,832      $ (17 )    $ 284      $ 25,898   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     16,692        51,888        45,660        27,135        32,007        6,199        81,679   

Class B

     8        7        11        3        1,792        8        24   

Reinvestment of distributions

              

Class A

     1,279        253        4,061        1,504        1,707        53        877   

Class B

     1        –        2        –        20        –        1   

Shares redeemed

              

Class A

     (11,983 )      (17,428 )      (58,098 )      (26,205 )      (22,166 )      (4,804 )      (37,885 ) 

Class B

     (7 )      (7 )      (7 )      (8 )      (1,780 )      (3 )      (22 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     5,988        34,713        (8,377 )      2,434        11,548        1,448        44,671   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     2        –        6        (5 )      32        5        3   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 263,738      $ 393,618      $ 12,513,801 (a)    $ 1,216,667      $ 781,637      $ 168,951      $ 947,350   

Proceeds from sales of securities

     232,252        43,338        12,641,439 (a)      1,092,654        673,493        152,736        532,154   

Securities sold short covers

     –        –        –        –        –        23,478        –   

Securities sold short proceeds

     –        –        –        –        –        28,212        –   

 

(a)

Amounts include $12,038,472 and $12,208,269 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/Invesco

International

Growth Fund

    

JNL/Invesco

Large Cap

Growth Fund

    

JNL/Invesco

Small Cap

Growth Fund

    

JNL/Ivy Asset

Strategy

Fund(a)

    

JNL/JPMorgan

International

Value Fund

    

JNL/JPMorgan

MidCap
Growth

Fund

    

JNL/JPMorgan

U.S.

Government &

Quality Bond

Fund

  

Operations

              

Net investment income (loss)

   $ 9,518      $ 3,302      $ 698      $ 36,939      $ 17,825      $ 1,814      $ 39,937   

Net realized gain (loss)

     3,356        57,057        12,020        33,740        (27,506 )      25,987        (170 ) 

Net change in unrealized appreciation (depreciation)

     90,352        62,112        24,366        209,291        99,939        46,437        12,099   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     103,226        122,471        37,084        279,970        90,258        74,238        51,866   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (11,342 )      –        –        (1,924 )      (21,546 )      –        (36,019 ) 

Class B

     (9 )      –        –        (1 )      (27 )      –        (22 ) 

From net realized gains

              

Class A

     –        (28,573 )      (12,493 )      –        –        –        –   

Class B

     –        (26 )      (16 )      –        –        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (11,351 )      (28,599 )      (12,509 )      (1,925 )      (21,573 )      –        (36,041 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     279,597        444,597        315,359        789,857        198,540        485,522        961,760   

Class B

     183        186        155        265        129        100        708   

Reinvestment of distributions

              

Class A

     11,342        28,573        12,493        1,924        21,546        –        36,019   

Class B

     9        26        16        1        27        –        22   

Cost of shares redeemed

              

Class A

     (289,334 )      (526,077 )      (136,121 )      (629,500 )      (368,170 )      (442,742 )      (745,936 ) 

Class B

     (133 )      (114 )      (174 )      (236 )      (110 )      (89 )      (1,078 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     1,664        (52,809 )      191,728        162,311        (148,038 )      42,791        251,495   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     93,539        41,063        216,303        440,356        (79,353 )      117,029        267,320   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     636,461        954,981        178,786        1,604,383        586,573        439,195        1,395,299   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 730,000      $ 996,044      $ 395,089      $ 2,044,739      $ 507,220      $ 556,224      $ 1,662,619   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 9,525      $ 3,279      $ 699      $ 36,843      $ 19,186      $ 2,049      $ 42,775   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     27,162        34,305        22,309        68,168        29,684        22,727        67,701   

Class B

     17        15        11        22        19        4        47   

Reinvestment of distributions

              

Class A

     1,061        2,266        894        161        3,155        –        2,544   

Class B

     1        2        1        –        4        –        2   

Shares redeemed

              

Class A

     (27,744 )      (40,248 )      (9,825 )      (54,922 )      (53,886 )      (20,646 )      (52,576 ) 

Class B

     (13 )      (9 )      (12 )      (20 )      (16 )      (4 )      (72 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     479        (3,677 )      13,378        13,407        (21,047 )      2,081        17,669   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     5        8        –        2        7        –        (23 ) 

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 224,629      $ 1,079,322      $ 278,965      $ 1,258,513      $ 372,413      $ 540,959      $ 403,142 (b) 

Proceeds from sales of securities

     238,814        1,162,943        101,198        1,024,249        519,334        498,429        127,257 (b) 

 

(a)

Consolidated Statement of Changes in Net Assets.

(b)

Amounts include $384,543 and $117,552 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/Lazard

Emerging

Markets Fund

    

JNL/Invesco

Mid Cap Value

Fund

    

JNL/M&G

Global Basics

Fund

    

JNL/Mellon

Capital

Emerging

Markets Index

Fund

    

JNL/Mellon
Capital

European 30

Fund

    

JNL/Mellon

Capital Pacific

Rim 30 Fund

    

JNL/Mellon

Capital S&P

500 Index Fund

  

Operations

              

Net investment income (loss)

   $ 22,561      $ 583      $ 3,907      $ 4,691      $ 986      $ 3,379      $ 24,101   

Net realized gain (loss)

     28,178        9,705        3,836        (2,405 )      (2,002 )      (464 )      16,587   

Net change in unrealized appreciation (depreciation)

     207,212        6,866        13,405        30,025        3,136        7,847        142,347   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     257,951        17,154        21,148        32,311        2,120        10,762        183,035   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (27,461 )      (578 )      (2,295 )      (142 )      (966 )      (1,710 )      (23,626 ) 

Class B

     (16 )      (1 )      (1 )      –        (5 )      (4 )      (280 ) 

From net realized gains

              

Class A

     (33,148 )      –        (5,511 )      –        (427 )      (2,140 )      (12,597 ) 

Class B

     (18 )      –        (3 )      –        (2 )      (5 )      (133 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (60,643 )      (579 )      (7,810 )      (142 )      (1,400 )      (3,859 )      (36,636 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     388,865        83,843        121,228        385,279        20,031        56,414        783,595   

Class B

     66        72        28        44        18        77        9,327   

Reinvestment of distributions

              

Class A

     60,609        578        7,806        142        1,393        3,850        36,223   

Class B

     34        1        4        –        7        9        413   

Cost of shares redeemed

              

Class A

     (407,206 )      (103,672 )      (202,443 )      (113,746 )      (13,321 )      (48,606 )      (496,288 ) 

Class B

     (223 )      (93 )      (34 )      (9 )      (38 )      (24 )      (8,165 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     42,145        (19,271 )      (73,411 )      271,710        8,090        11,720        325,105   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     239,453        (2,696 )      (60,073 )      303,879        8,810        18,623        471,504   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     1,171,153        223,657        275,730        98,653        21,454        81,872        1,133,042   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 1,410,606      $ 220,961      $ 215,657      $ 402,532      $ 30,264      $ 100,495      $ 1,604,546   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 22,353      $ 625      $ 3,501      $ 4,446      $ 983      $ 3,523      $ 391   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     35,214        7,283        8,843        38,472        1,975        4,526        67,428   

Class B

     6        6        2        4        2        6        801   

Reinvestment of distributions

              

Class A

     5,586        51        586        14        142        303        3,045   

Class B

     3        –        –        –        1        1        34   

Shares redeemed

              

Class A

     (36,967 )      (8,983 )      (14,615 )      (11,631 )      (1,318 )      (3,863 )      (42,950 ) 

Class B

     (20 )      (8 )      (2 )      (1 )      (4 )      (2 )      (693 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     3,833        (1,649 )      (5,186 )      26,855        799        966        27,523   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     (11 )      (2 )      –        3        (1 )      5        142   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 386,659      $ 244,656      $ 115,411      $ 539,094      $ 25,677      $ 121,654      $ 416,819   

Proceeds from sales of securities

     386,573        254,983        188,423        268,037        17,876        110,506        67,520   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/Mellon
Capital S&P

400 MidCap

Index Fund

    

JNL/Mellon

Capital Small

Cap Index

Fund

    

JNL/Mellon

Capital

International

Index Fund

    

JNL/Mellon

Capital Bond

Index Fund

    

JNL/Mellon

Capital Global

Alpha Fund

    

JNL/Mellon

Capital Dow

Jones U.S.

Contrarian

Opportunities

Index Fund(a)

    

JNL/Morgan

Stanley Mid

Cap Growth

Fund(a)

  

Operations

              

Net investment income (loss)

   $ 9,433      $ 16,388      $ 41,695      $ 34,141      $ (6,616 )    $ 594      $ 45   

Net realized gain (loss)

     21,667        36,393        (10,252 )      13,962        20,570        (158 )      (241 ) 

Net change in unrealized appreciation
(depreciation)

     92,672        80,751        209,550        12,406        (24,807 )      1,265        291   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     123,772        133,532        240,993        60,509        (10,853 )      1,701        95   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (9,434 )      (16,517 )      (43,274 )      (39,686 )      –        –        (64 ) 

Class B

     (92 )      (201 )      (605 )      (104 )      –        –        –   

From net realized gains

              

Class A

     (26,133 )      (28,961 )      –        (7,747 )      (7,898 )      –        –   

Class B

     (205 )      (306 )      –        (19 )      (4 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (35,864 )      (45,985 )      (43,879 )      (47,556 )      (7,902 )      –        (64 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     433,867        469,208        649,245        696,081        218,569        85,020        20,143   

Class B

     3,409        6,471        6,539        1,910        40        103        100   

Reinvestment of distributions

              

Class A

     35,567        45,478        43,274        47,433        7,898        –        64   

Class B

     297        507        605        123        4        –        –   

Cost of shares redeemed

              

Class A

     (236,876 )      (298,246 )      (296,586 )      (479,160 )      (234,651 )      (8,714 )      (3,234 ) 

Class B

     (3,364 )      (7,507 )      (6,839 )      (1,885 )      (63 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from
share transactions

     232,900        215,911        396,238        264,502        (8,203 )      76,409        17,073   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     320,808        303,458        593,352        277,455        (26,958 )      78,110        17,104   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     664,704        771,922        1,164,230        1,553,874        515,584        –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 985,512      $ 1,075,380      $ 1,757,582      $ 1,831,329      $ 488,626      $ 78,110      $ 17,104   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over)
net investment income

   $ 3,667      $ 4,632      $ 944      $ 9,460      $ 6,830      $ 594      $ –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     30,502        37,109        56,689        56,412        20,720        8,529        2,128   

Class B

     244        515        556        152        4        10        10   

Reinvestment of distributions

              

Class A

     2,453        3,554        3,553        3,891        763        –        7   

Class B

     20        39        48        10        –        –        –   

Shares redeemed

              

Class A

     (16,767 )      (23,564 )      (26,132 )      (38,761 )      (22,332 )      (895 )      (354 ) 

Class B

     (236 )      (585 )      (584 )      (148 )      (6 )      –        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     16,188        17,099        34,110        21,542        (849 )      7,634        1,781   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     28        (31 )      20        14        (2 )      10        10   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 277,414      $ 334,466      $ 404,759      $ 1,783,227 (b)    $ 57,938      $ 116,820      $ 18,717   

Proceeds from sales of securities

     68,269        153,496        22,078        1,522,876 (b)      67,423        39,929        2,771   

 

(a)

Period from April 30, 2012 (commencement of operations).

(b)

Amounts include $1,634,752 and $1,437,005 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/Neuberger

Berman

Strategic

Income

Fund(a)

    

JNL/

Oppenheimer

Global Growth

Fund

    

JNL/PIMCO

Real Return

Fund

    

JNL/PIMCO

Total Return

Bond Fund

    

JNL/PPM

America

Floating Rate

Income Fund

    

JNL/PPM

America High

Yield Bond

Fund

    

JNL/PPM

America Mid

Cap Value

Fund

  

Operations

              

Net investment income (loss)

   $ 594      $ 8,166      $ 30,362      $ 84,366      $ 21,831      $ 115,200      $ 1,630   

Net realized gain (loss)

     593        12,037        209,279        145,389        189        31,567        (5,680 ) 

Net change in unrealized appreciation (depreciation)

     1,460        94,635        7,909        118,232        16,970        105,442        24,482   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     2,647        114,838        247,550        347,987        38,990        252,209        20,432   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     –        (5,970 )      (54,730 )      (106,607 )      (15,175 )      (113,519 )      (625 ) 

Class B

     –        (9 )      (18 )      (472 )      –        (551 )      (1 ) 

From net realized gains

              

Class A

     –        –        (171,433 )      (110,917 )      –        –        (9,170 ) 

Class B

     –        –        (53 )      (451 )      –        –        (9 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     –        (5,979 )      (226,234 )      (218,447 )      (15,175 )      (114,070 )      (9,805 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     91,896        213,219        1,661,451        2,864,576        371,951        1,446,317        147,181   

Class B

     119        153        609        8,571        –        3,758        56   

Reinvestment of distributions

              

Class A

     –        5,970        226,163        217,524        15,175        113,519        9,795   

Class B

     –        9        71        923        –        551        10   

Cost of shares redeemed

              

Class A

     (13,620 )      (238,551 )      (1,540,307 )      (1,266,122 )      (197,284 )      (763,929 )      (131,686 ) 

Class B

     (4 )      (85 )      (229 )      (3,378 )      –        (2,661 )      (66 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     78,391        (19,285 )      347,758        1,822,094        189,842        797,555        25,290   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     81,038        89,574        369,074        1,951,634        213,657        935,694        35,917   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     –        547,361        2,715,054        3,861,260        445,716        1,269,758        118,022   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 81,038      $ 636,935      $ 3,084,128      $ 5,812,894      $ 659,373      $ 2,205,452      $ 153,939   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 723      $ 8,190      $ 12,586      $ 2,389      $ 21,739      $ 4,760      $ 1,629   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     9,009        20,534        123,671        217,019        35,333        202,973        13,767   

Class B

     11        15        45        614        –        484        5   

Reinvestment of distributions

              

Class A

     –        539        17,370        16,694        1,437        15,745        957   

Class B

     –        1        5        66        –        68        1   

Shares redeemed

              

Class A

     (1,331 )      (22,553 )      (113,482 )      (96,330 )      (18,838 )      (108,008 )      (12,332 ) 

Class B

     –        (8 )      (17 )      (240 )      –        (337 )      (6 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     7,678        (1,480 )      27,559        137,383        17,932        110,710        2,392   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     11        8        33        440        –        215        –   

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 216,021 (b)    $ 207,877      $ 3,549,786 (c)    $ 25,741,294 (d)    $ 473,403      $ 1,910,300      $ 133,651   

Proceeds from sales of securities

     125,292 (b)      225,317        3,321,009 (c)      24,267,841 (d)      281,258        1,154,647        166,320   

 

(a)

Period from April 30, 2012 (commencement of operations).

(b)

Amounts include $143,223 and $107,391 of purchases and sales, respectively, of U.S. Government Securities.

(c)

Amounts include $3,147,146 and $2,768,782 of purchases and sales, respectively, of U.S. Government Securities.

(d)

Amounts include $24,710,841 and $23,445,731 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/PPM

America Small

Cap Value
Fund

    

JNL/PPM

America Value

Equity Fund

    

JNL/Red Rocks

Listed Private

Equity Fund

    

JNL/S&P

Competitive

Advantage

Fund

    

JNL/S&P

Dividend

Income &

Growth Fund

    

JNL/S&P

Intrinsic Value

Fund

    

JNL/S&P Total

Yield Fund

  

Operations

              

Net investment income (loss)

   $ 948      $ 1,991      $ 11,606      $ 8,388      $ 37,874      $ 12,522      $ 9,303   

Net realized gain (loss)

     1,091        5,109        (19,932 )      91,539        87,304        59,762        43,643   

Net change in unrealized appreciation (depreciation)

     14,045        9,522        179,701        (1,167 )      3,664        8,908        32,148   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     16,084        16,622        171,375        98,760        128,842        81,192        85,094   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     (969 )      (1,618 )      –        (4,235 )      (18,607 )      (6,541 )      (4,297 ) 

Class B

     (79 )      (6 )      –        (3 )      (7 )      (4 )      (1 ) 

From net realized gains

              

Class A

     (2,437 )      –        (7,950 )      (10,418 )      (52,490 )      (15,790 )      (4,917 ) 

Class B

     (158 )      –        (5 )      (7 )      (18 )      (9 )      (1 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     (3,643 )      (1,624 )      (7,955 )      (14,663 )      (71,122 )      (22,344 )      (9,216 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     107,131        61,660        113,886        448,045        640,731        315,618        223,569   

Class B

     4,238        120        62        449        155        395        84   

Reinvestment of distributions

              

Class A

     3,406        1,618        7,950        14,653        71,097        22,331        9,214   

Class B

     237        6        5        10        25        13        2   

Cost of shares redeemed

              

Class A

     (91,668 )      (62,287 )      (203,252 )      (256,995 )      (422,972 )      (266,744 )      (158,670 ) 

Class B

     (4,664 )      (60 )      (146 )      (43 )      (97 )      (198 )      (104 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     18,680        1,057        (81,495 )      206,119        288,939        71,415        74,095   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     31,121        16,055        81,925        290,216        346,659        130,263        149,973   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     74,612        102,600        602,741        534,508        920,892        568,880        368,822   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 105,733      $ 118,655      $ 684,666      $ 824,724      $ 1,267,551      $ 699,143      $ 518,795   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 11      $ 1,985      $ 15,809      $ 8,382      $ 37,897      $ 12,515      $ 9,274   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     11,577        4,907        13,630        36,626        55,280        29,396        22,783   

Class B

     440        10        8        36        13        36        9   

Reinvestment of distributions

              

Class A

     350        124        887        1,193        6,286        2,071        907   

Class B

     24        –        1        1        2        1        –   

Shares redeemed

              

Class A

     (9,907 )      (4,910 )      (24,282 )      (20,912 )      (36,313 )      (24,977 )      (16,227 ) 

Class B

     (501 )      (5 )      (18 )      (4 )      (8 )      (19 )      (11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     2,020        121        (9,765 )      16,907        25,253        6,490        7,463   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     (37 )      5        (9 )      33        7        18        (2 ) 

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 102,875      $ 48,414      $ 201,532      $ 609,768      $ 886,062      $ 555,034      $ 410,532   

Proceeds from sales of securities

     86,222        46,810        285,840        412,050        628,508        492,420        337,265   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/T. Rowe

Price

Established

Growth Fund

    

JNL/T. Rowe

Price Mid-Cap

Growth Fund

    

JNL/T. Rowe

Price Short-
Term Bond

Fund

    

JNL/T. Rowe
Price Value

Fund

    

JNL/BlackRock

Large Cap

Select Growth

Fund

    

JNL/WMC

Balanced
Fund

    

JNL/WMC

Money
Market

Fund

  

Operations

              

Net investment income (loss)

   $ 2,725      $ (1,988 )    $ 16,288      $ 26,533      $ 210      $ 38,457      $ –   

Net realized gain (loss)

     57,460        75,328        2,425        84,477        70,948        48,023        6   

Net change in unrealized appreciation (depreciation)

     298,200        128,589        14,345        155,504        (24,830 )      109,877        –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from operations

     358,385        201,929        33,058        266,514        46,328        196,357        6   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders

              

From net investment income

              

Class A

     –        (3,323 )      (18,051 )      (18,611 )      (711 )      (28,387 )      (10 ) 

Class B

     –        (155 )      (2 )      (13 )      (1 )      (15 )      –   

From net realized gains

              

Class A

     –        (74,329 )      –        –        (39,382 )      (17,339 )      (4 ) 

Class B

     –        (1,757 )      –        –        (22 )      (9 )      –   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

     –        (79,564 )      (18,053 )      (18,624 )      (40,116 )      (45,750 )      (14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions1

              

Proceeds from the sale of shares

              

Class A

     1,017,581        517,941        1,338,412        625,160        97,802        788,484        1,649,494   

Class B

     5,371        7,217        162        331        64        181        7,699   

Reinvestment of distributions

              

Class A

     –        77,652        18,051        18,611        40,093        45,726        14   

Class B

     –        1,912        2        13        23        24        –   

Cost of shares redeemed

              

Class A

     (674,431 )      (421,800 )      (573,259 )      (631,318 )      (122,582 )      (379,371 )      (1,460,317 ) 

Class B

     (5,727 )      (9,142 )      (247 )      (204 )      (75 )      (345 )      (8,321 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets from share transactions

     342,794        173,780        783,121        12,593        15,325        454,699        188,569   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) net assets

     701,179        296,145        798,126        260,483        21,537        605,306        188,561   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets beginning of year

     1,838,605        1,475,445        1,220,966        1,306,144        450,402        1,793,921        1,063,248   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net assets end of year

   $ 2,539,784      $ 1,771,590      $ 2,019,092      $ 1,566,627      $ 471,939      $ 2,399,227      $ 1,251,809   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 2,650      $ (7,519 )    $ 21,243      $ 25,519      $ 193      $ 42,946      $ (37 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Share transactions

              

Shares sold

              

Class A

     42,133        17,633        132,655        53,830        4,270        44,176        1,649,494   

Class B

     228        244        16        28        2        10        7,699   

Reinvestment of distributions

              

Class A

     –        2,659        1,794        1,541        1,894        2,538        13   

Class B

     –        64        –        1        1        1        –   

Shares redeemed

              

Class A

     (27,885 )      (14,437 )      (56,938 )      (53,172 )      (5,398 )      (21,212 )      (1,460,316 ) 

Class B

     (236 )      (305 )      (24 )      (17 )      (3 )      (19 )      (8,321 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

              

Class A

     14,248        5,855        77,511        2,199        766        25,502        189,191   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Class B

     (8 )      3        (8 )      12        –        (8 )      (622 ) 

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

              

Purchase of securities

   $ 1,006,629      $ 607,212      $ 1,290,645 (a)    $ 925,393      $ 660,963      $ 5,452,249 (b)    $ 485,118 (c) 

Proceeds from sales of securities

     649,019        522,631        619,092 (a)      915,400        676,032        4,967,048 (b)      399,789 (c) 

 

(a)

Amounts include $471,087 and $315,893 of purchases and sales, respectively, of U.S. Government Securities.

(b)

Amounts include $4,689,464 and $4,506,128 of purchases and sales, respectively, of U.S. Government Securities.

(c)

Amounts include $327,425 and $231,740 of purchases and sales, respectively, of U.S. Government Securities.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Statements of Changes in Net Assets (in thousands)

For the Year Ended December 31, 2012

 

   

JNL/WMC

Value Fund

  

Operations

  

Net investment income (loss)

   $ 27,586   

Net realized gain (loss)

     91,370   

Net change in unrealized appreciation (depreciation)

     91,419   
 

 

 

  

Net increase (decrease) in net assets from operations

     210,375   
 

 

 

  

Distributions to shareholders

  

From net investment income

  

Class A

     (27,075 ) 

Class B

     (462 ) 

From net realized gains

  

Class A

     (40,599 ) 

Class B

     (621 ) 
 

 

 

  

Total distributions to shareholders

     (68,757 ) 
 

 

 

  

Share transactions1

  

Proceeds from the sale of shares

  

Class A

     459,648   

Class B

     2,841   

Reinvestment of distributions

  

Class A

     67,674   

Class B

     1,083   

Cost of shares redeemed

  

Class A

     (624,618 ) 

Class B

     (3,236 ) 
 

 

 

  

Net increase (decrease) in net assets from share transactions

     (96,608 ) 
 

 

 

  

Net increase (decrease) net assets

     45,010   
 

 

 

  

Net assets beginning of year

     1,237,183   
 

 

 

  

Net assets end of year

   $ 1,282,193   
 

 

 

  

Undistributed (excess of distributions over) net investment income

   $ 19,971   
 

 

 

  

1 Share transactions

  

Shares sold

  

Class A

     24,876   

Class B

     154   

Reinvestment of distributions

  

Class A

     3,620   

Class B

     57   

Shares redeemed

  

Class A

     (32,900 ) 

Class B

     (171 ) 
 

 

 

  

Net increase/(decrease)

  

Class A

     (4,404 ) 
 

 

 

  

Class B

     40   

 

  

 

 

  

Purchase and sales of investment securities (excluding short-term securities):

  

Purchase of securities

   $ 413,927   

Proceeds from sales of securities

     573,517   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/AQR Managed Futures Strategy Fund

  

                

Class A

                          

12/31/2013(u)

   $ 9.99      $ (0.14 )    $ 0.83      $ 0.69      $ (0.37 )    $ (0.01 )    $ 10.30        7.08 %    $ 482,706        0 %      1.35 %      1.35 %      (1.32 )% 

12/31/2012

     9.46        (0.12 )      0.65        0.53        –        –        9.99        5.60        541,596        0        1.35        1.35        (1.31 ) 

12/31/2011*

     10.00        (0.04 )      (0.50 )      (0.54 )      –        –        9.46        (5.40 )      459,751        0        1.36        1.36        (1.34 ) 

Class B

                          

12/31/2013(u)

     10.02        (0.12 )      0.82        0.70        (0.39 )      (0.01 )      10.32        7.19        107        0        1.15        1.15        (1.12 ) 

12/31/2012

     9.47        (0.12 )      0.67        0.55        –        –        10.02        5.81        100        0        1.15        1.15        (1.26 ) 

12/31/2011*

     10.00        (0.04 )      (0.49 )      (0.53 )      –        –        9.47        (5.30 )      95        0        1.16        1.16        (1.14 ) 

JNL/BlackRock Commodity Securities Strategy Fund

  

                

Class A

                          

12/31/2013(u)

     10.23        0.01        0.96        0.97        (0.04 )      –        11.16        9.51        1,454,041        23        0.97        0.97        0.13   

12/31/2012

     10.15        0.03        0.05        0.08        –        –        10.23        0.79        1,458,953        11        0.98        0.98        0.26   

12/31/2011

     11.02        (0.02 )      (0.79 )      (0.81 )      (0.06 )      –        10.15        (7.37 )      1,052,317        14        0.98        0.98        (0.21 ) 

12/31/2010

     9.41        0.08        1.56        1.64        (0.03 )      –        11.02        17.44        1,000,238        102        1.00        1.00        0.87   

12/31/2009

     6.31        0.07        3.09        3.16        (0.06 )      –        9.41        50.17        641,108        108        1.03        1.03        0.88   

Class B

                          

12/31/2013(u)

     10.30        0.04        0.97        1.01        (0.06 )      –        11.25        9.83        910        23        0.77        0.77        0.34   

12/31/2012

     10.20        0.04        0.06        0.10        –        –        10.30        0.98        817        11        0.78        0.78        0.43   

12/31/2011

     11.06        (0.00 )      (0.79 )      (0.79 )      (0.07 )      –        10.20        (7.13 )      848        14        0.78        0.78        (0.01 ) 

12/31/2010

     9.44        0.11        1.55        1.66        (0.04 )      –        11.06        17.59        694        102        0.80        0.80        1.13   

12/31/2009

     6.33        0.09        3.09        3.18        (0.07 )      –        9.44        50.34        538        108        0.83        0.83        1.22   

JNL/BlackRock Global Allocation Fund(e)

  

                

Class A

                          

12/31/2013

     10.86        0.09        1.46        1.55        (0.06 )      –        12.35        14.31        2,747,805        54        1.08 (j)      1.08 (j)      0.77   

12/31/2012

     9.91        0.11        0.84        0.95        –        –        10.86        9.59        1,592,841        49        1.10        1.10        1.03   

12/31/2011

     10.35        0.01        (0.41 )      (0.40 )      (0.04 )      (0.00 )(f)      9.91        (3.82 )      513,329        33 (g)      0.81        1.19        0.08   

12/31/2010*

     10.00        0.28        0.07        0.35        –        –        10.35        3.50        179,580        5        0.59        1.26        12.50   

Class B

                          

12/31/2013

     10.91        0.12        1.45        1.57        (0.07 )      –        12.41        14.43        247        54        0.88 (j)      0.88 (j)      1.01   

12/31/2012

     9.94        0.13        0.84        0.97        –        –        10.91        9.76        217        49        0.90        0.90        1.24   

12/31/2011

     10.35        0.02        (0.38 )      (0.36 )      (0.05 )      (0.00 )(f)      9.94        (3.53 )      85        33 (g)      0.61        0.99        0.28   

12/31/2010*

     10.00        0.33        0.02        0.35        –        –        10.35        3.50        20        5        0.39        1.06        14.63   

JNL/BlackRock Large Cap Select Growth Fund

  

                

Class A

                          

12/31/2013

     21.52        (0.06 )      8.34        8.28        (0.01 )      (2.07 )      27.72        38.99 (t)      1,013,437        125        0.95        0.95        (0.23 ) 

12/31/2012

     21.28        0.01        2.22        2.23        (0.04 )      (1.95 )      21.52        10.61        471,670        143        0.97        0.97        0.04   

12/31/2011

     21.19        0.03        0.13        0.16        (0.07 )      –        21.28        0.75        450,150        40        0.96        0.96        0.13   

12/31/2010

     18.85        0.04        2.35        2.39        (0.05 )      –        21.19        12.67        894,742        34        0.95        0.95        0.21   

12/31/2009

     13.99        0.09        4.79        4.88        (0.02 )      –        18.85        34.91        554,978        55        0.98        0.98        0.57   

Class B

                          

12/31/2013

     21.96        (0.01 )      8.52        8.51        (0.03 )      (2.07 )      28.37        39.30 (t)      352        125        0.75        0.75        (0.04 ) 

12/31/2012

     21.69        0.06        2.25        2.31        (0.09 )      (1.95 )      21.96        10.81        269        143        0.77        0.77        0.25   

12/31/2011

     21.43        0.07        0.33        0.40        (0.14 )      –        21.69        1.84        252        40        0.76        0.76        0.32   

12/31/2010

     19.03        0.08        2.39        2.47        (0.07 )      –        21.43        12.96        227        34        0.75        0.75        0.40   

12/31/2009

     14.11        0.12        4.84        4.96        (0.04 )      –        19.03        35.16        310        55        0.78        0.78        0.73   

JNL/Brookfield Global Infrastructure Fund

  

                

Class A

                          

12/31/2013

     12.29        0.24        2.62        2.86        (0.08 )      (0.28 )      14.79        23.43        674,917        68        1.15        1.15        1.72   

12/31/2012

     10.36        0.33        1.60        1.93        (0.00 )(f)      –        12.29        18.67        298,842        79        1.15        1.15        2.90   

12/31/2011*

     10.00        0.01        0.35        0.36        –        –        10.36        3.60        127,282        0        1.18        1.18        1.96   

Class B

                          

12/31/2013

     12.32        0.25        2.64        2.89        (0.09 )      (0.28 )      14.84        23.62        151        68        0.95        0.95        1.85   

12/31/2012

     10.36        0.35        1.61        1.96        (0.00 )(f)      –        12.32        18.96        171        79        0.95        0.95        3.05   

12/31/2011*

     10.00        0.01        0.35        0.36        –        –        10.36        3.60        104        0        0.98        0.98        2.16   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Capital Guardian Global Balanced Fund

  

                

Class A

                          

12/31/2013

   $ 9.94      $ 0.13      $ 1.41      $ 1.54      $ (0.18 )    $ –      $ 11.30        15.55 %(t)    $ 484,776        56 %(h)      1.01 %      1.01 %      1.20 % 

12/31/2012

     8.97        0.17        1.00        1.17        (0.20 )      –        9.94        13.04        415,794        37 (h)      1.01        1.01        1.75   

12/31/2011

     9.52        0.15        (0.60 )      (0.45 )      (0.10 )      –        8.97        (4.76 )      371,075        46 (h)      1.01        1.01        1.58   

12/31/2010

     8.82        0.14        0.65        0.79        (0.09 )      –        9.52        9.01        358,593        47 (h)      1.01        1.01        1.62   

12/31/2009

     7.35        0.15        1.50        1.65        (0.18 )      –        8.82        22.48        279,806        78        1.01        1.01        1.88   

Class B

                          

12/31/2013

     10.19        0.15        1.45        1.60        (0.20 )      –        11.59        15.75 (t)      553        56 (h)      0.81        0.81        1.40   

12/31/2012

     9.18        0.19        1.04        1.23        (0.22 )      –        10.19        13.38        481        37 (h)      0.81        0.81        1.95   

12/31/2011

     9.75        0.17        (0.63 )      (0.46 )      (0.11 )      –        9.18        (4.70 )      443        46 (h)      0.81        0.81        1.77   

12/31/2010

     9.01        0.16        0.68        0.84        (0.10 )      –        9.75        9.40        421        47 (h)      0.81        0.81        1.82   

12/31/2009

     7.50        0.17        1.54        1.71        (0.20 )      –        9.01        22.75        411        78        0.81        0.81        2.04   

JNL/Capital Guardian Global Diversified Research Fund

  

                

Class A

                          

12/31/2013

     25.41        0.25        5.64        5.89        (0.35 )      –        30.95        23.23 (t)      419,923        28        1.07        1.07        0.88   

12/31/2012

     21.97        0.35        3.38        3.73        (0.29 )      –        25.41        17.02        343,838        32        1.08        1.08        1.47   

12/31/2011

     23.23        0.27        (1.31 )      (1.04 )      (0.22 )      –        21.97        (4.51 )      299,322        39        1.08        1.08        1.17   

12/31/2010

     20.92        0.21        2.25        2.46        (0.15 )      –        23.23        11.77        436,897        30        1.08        1.08        1.00   

12/31/2009

     15.33        0.17        5.70        5.87        (0.28 )      –        20.92        38.32 (i)      332,577        85        1.09        1.09        0.97   

Class B

                          

12/31/2013

     25.65        0.31        5.70        6.01        (0.40 )      –        31.26        23.48 (t)      416        28        0.87        0.87        1.08   

12/31/2012

     22.17        0.40        3.42        3.82        (0.34 )      –        25.65        17.28        366        32        0.88        0.88        1.68   

12/31/2011

     23.40        0.33        (1.29 )      (0.96 )      (0.27 )      –        22.17        (4.12 )      308        39        0.88        0.88        1.41   

12/31/2010

     21.05        0.25        2.27        2.52        (0.17 )      –        23.40        12.01        311        30        0.88        0.88        1.21   

12/31/2009

     15.41        0.21        5.74        5.95        (0.31 )      –        21.05        38.63 (i)      329        85        0.89        0.89        1.19   

JNL/DFA U.S. Core Equity Fund

  

                

Class A

                          

12/31/2013

     8.15        0.10        2.75        2.85        (0.08 )      (0.38 )      10.54        35.17        500,412        9        0.80        0.91        1.03   

12/31/2012

     7.23        0.11        0.88        0.99        (0.07 )      –        8.15        13.70        230,034        113        0.84        0.92        1.34   

12/31/2011

     7.33        0.06        (0.12 )      (0.06 )      (0.04 )      –        7.23        (0.84 )      242,320        44        0.93        0.93        0.85   

12/31/2010

     6.57        0.05        0.73        0.78        (0.02 )      –        7.33        11.86        203,409        52        0.93        0.93        0.79   

12/31/2009

     4.96        0.05        1.63        1.68        (0.07 )      –        6.57        33.83        84,192        36        0.96        0.96        0.84   

Class B

                          

12/31/2013

     8.52        0.12        2.88        3.00        (0.09 )      (0.38 )      11.05        35.43        342        9        0.60        0.71        1.24   

12/31/2012

     7.56        0.13        0.92        1.05        (0.09 )      –        8.52        13.85        233        113        0.64        0.72        1.61   

12/31/2011

     7.65        0.08        (0.12 )      (0.04 )      (0.05 )      –        7.56        (0.55 )      177        44        0.73        0.73        1.10   

12/31/2010

     6.85        0.06        0.76        0.82        (0.02 )      –        7.65        12.02        119        52        0.73        0.73        0.95   

12/31/2009

     5.16        0.07        1.70        1.77        (0.08 )      –        6.85        34.26        94        36        0.76        0.76        1.11   

JNL/Eagle SmallCap Equity Fund

  

                

Class A

                          

12/31/2013

     22.77        (0.07 )      6.99        6.92        (0.02 )      (0.58 )      29.09        30.47 (t)      1,637,979        71        0.97        0.97        (0.28 ) 

12/31/2012

     20.16        0.02        2.76        2.78        –        (0.17 )      22.77        13.83        1,272,126        51        0.98        0.98        0.07   

12/31/2011

     21.88        (0.11 )      (0.41 )      (0.52 )      –        (1.20 )      20.16        (2.31 )      820,374        39        0.99        0.99        (0.51 ) 

12/31/2010

     16.14        (0.03 )      5.80        5.77        (0.03 )      –        21.88        35.73        589,399        50        1.02        1.02        (0.18 ) 

12/31/2009

     11.91        0.04        4.19        4.23        –        –        16.14        35.52        279,448        67        1.03        1.03        0.34   

Class B

                          

12/31/2013

     23.29        (0.02 )      7.15        7.13        (0.06 )      (0.58 )      29.78        30.69 (t)      1,159        71        0.77        0.77        (0.08 ) 

12/31/2012

     20.57        0.05        2.84        2.89        –        (0.17 )      23.29        14.09        912        51        0.78        0.78        0.23   

12/31/2011

     22.25        (0.07 )      (0.41 )      (0.48 )      –        (1.20 )      20.57        (2.09 )      638        39        0.79        0.79        (0.31 ) 

12/31/2010

     16.40        0.00        5.89        5.89        (0.04 )      –        22.25        35.94        531        50        0.82        0.82        0.02   

12/31/2009

     12.08        0.06        4.26        4.32        –        –        16.40        35.76        248        67        0.83        0.83        0.44   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Eastspring Investments Asia ex-Japan Fund

  

                

Class A

                          

12/31/2013

   $ 8.22      $ 0.09      $ (0.59 )    $ (0.50 )    $ (0.10 )    $ (0.06 )    $ 7.56        (6.04 )%    $ 135,262        68 %      1.27 %      1.27 %      1.12 % 

12/31/2012

     7.05        0.10        1.47        1.57        (0.05 )      (0.35 )      8.22        22.55        152,083        76        1.27        1.27        1.25   

12/31/2011

     9.71        0.08        (2.10 )      (2.02 )      (0.04 )      (0.60 )      7.05        (21.20 )      108,550        72        1.28        1.28        0.88   

12/31/2010

     8.14        0.03        1.55        1.58        (0.01 )      –        9.71        19.40        150,646        75        1.31        1.31        0.40   

12/31/2009

     4.80        0.03        3.31        3.34        (0.00 )(f)      –        8.14        69.59        108,276        39        1.27        1.27        0.46   

Class B

                          

12/31/2013

     8.24        0.11        (0.59 )      (0.48 )      (0.12 )      (0.06 )      7.58        (5.84 )      165        68        1.07        1.07        1.35   

12/31/2012

     7.07        0.11        1.48        1.59        (0.07 )      (0.35 )      8.24        22.72        256        76        1.07        1.07        1.43   

12/31/2011

     9.73        0.10        (2.11 )      (2.01 )      (0.05 )      (0.60 )      7.07        (21.00 )      150        72        1.08        1.08        1.13   

12/31/2010

     8.15        0.06        1.54        1.60        (0.02 )      –        9.73        19.59        187        75        1.11        1.11        0.65   

12/31/2009

     4.80        0.06        3.29        3.35        (0.00 )(f)      –        8.15        69.80        134        39        1.07        1.07        0.94   

JNL/Eastspring Investments China-India Fund

  

                

Class A

                          

12/31/2013

     7.38        0.07        (0.24 )      (0.17 )      (0.07 )      –        7.14        (2.35 )      354,740        29        1.31        1.31        1.07   

12/31/2012

     6.02        0.07        1.34        1.41        (0.05 )      –        7.38        23.48        373,612        24        1.31        1.31        0.99   

12/31/2011

     8.93        0.06        (2.52 )      (2.46 )      (0.03 )      (0.42 )      6.02        (27.89 )      292,573        20        1.31        1.31        0.76   

12/31/2010

     7.71        0.04        1.26        1.30        –        (0.08 )      8.93        16.93        385,002        40        1.33        1.33        0.46   

12/31/2009

     4.23        (0.00 )      3.48        3.48        –        –        7.71        82.27        233,497        73        1.33        1.33        0.05   

Class B

                          

12/31/2013

     7.43        0.10        (0.26 )      (0.16 )      (0.08 )      –        7.19        (2.14 )      271        29        1.11        1.11        1.40   

12/31/2012

     6.07        0.08        1.34        1.42        (0.06 )      –        7.43        23.52        387        24        1.11        1.11        1.23   

12/31/2011

     8.98        0.08        (2.53 )      (2.45 )      (0.04 )      (0.42 )      6.07        (27.61 )      244        20        1.11        1.11        1.01   

12/31/2010

     7.74        0.04        1.28        1.32        –        (0.08 )      8.98        17.12        332        40        1.13        1.13        0.55   

12/31/2009

     4.24        0.03        3.47        3.50        –        –        7.74        82.55        239        73        1.13        1.13        0.40   

JNL/Franklin Templeton Global Growth Fund

  

                

Class A

                          

12/31/2013

     9.05        0.13        2.61        2.74        (0.12 )      –        11.67        30.35        988,313        17        1.02        1.02        1.26   

12/31/2012

     7.52        0.15        1.51        1.66        (0.13 )      –        9.05        22.06        657,764        15        1.05        1.05        1.77   

12/31/2011

     8.08        0.14        (0.63 )      (0.49 )      (0.07 )      –        7.52        (6.08 )      514,730        18        1.06        1.06        1.78   

12/31/2010

     7.64        0.10        0.44        0.54        (0.10 )      –        8.08        7.07        475,458        5        1.08        1.08        1.38   

12/31/2009

     5.92        0.10        1.74        1.84        (0.12 )      –        7.64        31.06        375,505        5        1.10        1.10        1.58   

Class B

                          

12/31/2013

     9.07        0.15        2.63        2.78        (0.14 )      –        11.71        30.66        478        17        0.82        0.82        1.49   

12/31/2012

     7.53        0.16        1.52        1.68        (0.14 )      –        9.07        22.35        374        15        0.85        0.85        1.99   

12/31/2011

     8.10        0.16        (0.65 )      (0.49 )      (0.08 )      –        7.53        (6.04 )      293        18        0.86        0.86        2.00   

12/31/2010

     7.65        0.12        0.44        0.56        (0.11 )      –        8.10        7.32        283        5        0.88        0.88        1.58   

12/31/2009

     5.93        0.12        1.73        1.85        (0.13 )      –        7.65        31.21        219        5        0.90        0.90        1.85   

JNL/Franklin Templeton Global Multisector Bond Fund

  

                

Class A

                          

12/31/2013

     11.84        0.40        0.01        0.41        (0.26 )      (0.00 )(f)      11.99        3.53        1,752,613        26        1.08        1.09        3.34   

12/31/2012

     10.07        0.39        1.40        1.79        (0.02 )      (0.00 )(f)      11.84        17.78        977,534        11        1.10        1.10        3.48   

12/31/2011*

     10.00        0.01        0.06        0.07        –        –        10.07        0.70        239,591        3        1.12        1.12        2.34   

Class B

                          

12/31/2013

     11.86        0.42        0.02        0.44        (0.27 )      (0.00 )(f)      12.03        3.75        295        26        0.88        0.89        3.51   

12/31/2012

     10.07        0.31        1.50        1.81        (0.02 )      (0.00 )(f)      11.86        17.98        204        11        0.90        0.90        2.82   

12/31/2011*

     10.00        0.01        0.06        0.07        –        –        10.07        0.70        101        3        0.92        0.92        2.52   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Franklin Templeton Income Fund

  

                

Class A

                          

12/31/2013

   $ 10.67      $ 0.51      $ 0.98      $ 1.49      $ (0.43 )    $ –      $ 11.73        14.08 %    $ 2,192,366        20 %      0.93 %      0.93 %      4.49 % 

12/31/2012

     9.94        0.58        0.63        1.21        (0.48 )      –        10.67        12.20        1,622,308        24        0.94        0.94        5.47   

12/31/2011

     10.10        0.60        (0.35 )      0.25        (0.41 )      –        9.94        2.53        1,254,686        21        0.95        0.95        5.84   

12/31/2010

     9.29        0.50        0.66        1.16        (0.35 )      –        10.10        12.57        1,061,794        33        0.96        0.96        5.17   

12/31/2009

     7.39        0.55        1.88        2.43        (0.53 )      –        9.29        32.92        728,236        39        1.00        1.00        6.51   

Class B

                          

12/31/2013

     10.29        0.52        0.94        1.46        (0.45 )      –        11.30        14.27        661        20        0.73        0.73        4.69   

12/31/2012

     9.59        0.58        0.61        1.19        (0.49 )      –        10.29        12.51        548        24        0.74        0.74        5.66   

12/31/2011

     9.76        0.60        (0.34 )      0.26        (0.43 )      –        9.59        2.66        514        21        0.75        0.75        6.07   

12/31/2010

     8.98        0.50        0.64        1.14        (0.36 )      –        9.76        12.79        346        33        0.76        0.76        5.37   

12/31/2009

     7.16        0.55        1.81        2.36        (0.54 )      –        8.98        33.07        388        39        0.80        0.80        6.74   

JNL/Franklin Templeton International Small Cap Growth Fund

  

              

Class A

                          

12/31/2013

     8.65        0.11        2.68        2.79        (0.10 )      (0.16 )      11.18        32.41        440,868        26        1.30        1.30        1.12   

12/31/2012

     6.89        0.11        1.76        1.87        (0.11 )      –        8.65        27.26        258,118        32        1.30        1.30        1.46   

12/31/2011

     8.17        0.11        (1.28 )      (1.17 )      (0.11 )      –        6.89        (14.38 )      219,846        21        1.31        1.31        1.39   

12/31/2010

     6.85        0.14        1.27        1.41        (0.09 )      –        8.17        20.55        213,824        162        1.30        1.30        1.96   

12/31/2009

     4.53        0.04        2.36        2.40        (0.08 )      –        6.85        52.93        144,004        46        1.31        1.31        0.65   

Class B

                          

12/31/2013

     8.70        0.14        2.69        2.83        (0.11 )      (0.16 )      11.26        32.73        287        26        1.10        1.10        1.36   

12/31/2012

     6.94        0.12        1.77        1.89        (0.13 )      –        8.70        27.30        251        32        1.10        1.10        1.59   

12/31/2011

     8.21        0.12        (1.27 )      (1.15 )      (0.12 )      –        6.94        (14.05 )      163        21        1.11        1.11        1.54   

12/31/2010

     6.88        0.14        1.28        1.42        (0.09 )      –        8.21        20.70        181        162        1.10        1.10        2.01   

12/31/2009

     4.55        0.05        2.36        2.41        (0.08 )      –        6.88        53.05        218        46        1.11        1.11        0.88   

JNL/Franklin Templeton Mutual Shares Fund

  

                

Class A

                          

12/31/2013

     9.21        0.17        2.43        2.60        (0.09 )      –        11.72        28.29        1,119,740        28        1.03        1.03        1.55   

12/31/2012

     8.22        0.16        0.96        1.12        (0.13 )      –        9.21        13.66        829,053        34        1.04        1.04        1.77   

12/31/2011

     8.48        0.16        (0.22 )      (0.06 )      (0.20 )      –        8.22        (0.66 )      690,280        37        1.06        1.06        1.85   

12/31/2010

     7.61        0.24        0.63        0.87        (0.00 )(f)      –        8.48        11.45        594,707        33        1.06        1.06        3.02   

12/31/2009

     6.20        0.10        1.55        1.65        (0.24 )      –        7.61        26.74        423,572        61        1.11 (j)      1.11 (j)      1.48   

Class B

                          

12/31/2013

     9.28        0.19        2.45        2.64        (0.11 )      –        11.81        28.47        536        28        0.83        0.83        1.75   

12/31/2012

     8.27        0.18        0.98        1.16        (0.15 )      –        9.28        14.01        445        34        0.84        0.84        1.98   

12/31/2011

     8.52        0.18        (0.22 )      (0.04 )      (0.21 )      –        8.27        (0.40 )      377        37        0.86        0.86        2.05   

12/31/2010

     7.64        0.26        0.63        0.89        (0.01 )      –        8.52        11.66        358        33        0.86        0.86        3.26   

12/31/2009

     6.22        0.12        1.56        1.68        (0.26 )      –        7.64        27.00        282        61        0.91 (j)      0.91 (j)      1.79   

JNL/Franklin Templeton Small Cap Value Fund

  

                

Class A

                          

12/31/2013

     12.53        0.06        4.24        4.30        (0.12 )      (0.10 )      16.61        34.38        1,031,865        25        1.08        1.08        0.39   

12/31/2012

     10.69        0.15        1.73        1.88        (0.03 )      (0.01 )      12.53        17.62        919,607        8        1.10        1.10        1.28   

12/31/2011

     11.02        0.06        (0.36 )      (0.30 )      (0.03 )      –        10.69        (2.73 )      413,671        17        1.12        1.12        0.54   

12/31/2010

     8.72        0.05        2.29        2.34        (0.04 )      –        11.02        26.84        294,200        9        1.14        1.14        0.50   

12/31/2009

     6.56        0.07        2.15        2.22        (0.06 )      –        8.72        33.80        167,589        2        1.16        1.16        0.89   

Class B

                          

12/31/2013

     12.51        0.09        4.24        4.33        (0.14 )      (0.10 )      16.60        34.67        556        25        0.88        0.88        0.60   

12/31/2012

     10.66        0.16        1.74        1.90        (0.04 )      (0.01 )      12.51        17.87        459        8        0.90        0.90        1.40   

12/31/2011

     10.98        0.08        (0.36 )      (0.28 )      (0.04 )      –        10.66        (2.54 )      394        17        0.92        0.92        0.72   

12/31/2010

     8.68        0.07        2.28        2.35        (0.05 )      –        10.98        27.07        400        9        0.94        0.94        0.70   

12/31/2009

     6.53        0.08        2.14        2.22        (0.07 )      –        8.68        33.96        237        2        0.96        0.96        1.09   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Goldman Sachs Core Plus Bond Fund

  

Class A

                          

12/31/2013

   $ 12.44      $ 0.19      $ (0.32 )    $ (0.13 )    $ (0.37 )    $ (0.50 )    $ 11.44        (1.05 )%    $ 778,592        571 %(k)      0.88 %      0.88 %      1.58 % 

12/31/2012

     12.22        0.20        0.74        0.94        (0.28 )      (0.44 )      12.44        7.76        908,757        843 (k)      0.88        0.88        1.58   

12/31/2011

     12.14        0.26        0.49        0.75        (0.24 )      (0.43 )      12.22        6.26        995,144        1,078 (k)      0.88        0.88        2.07   

12/31/2010

     11.68        0.28        0.60        0.88        (0.29 )      (0.13 )      12.14        7.63        1,056,413        977 (k)      0.88        0.88        2.33   

12/31/2009

     10.71        0.45        1.07        1.52        (0.50 )      (0.05 )      11.68        14.16        782,744        430 (k)      0.90        0.90        3.90   

Class B

                          

12/31/2013

     12.63        0.22        (0.34 )      (0.12 )      (0.40 )      (0.50 )      11.61        (0.93 )      378        571 (k)      0.68        0.68        1.77   

12/31/2012

     12.40        0.23        0.75        0.98        (0.31 )      (0.44 )      12.63        7.97        344        843 (k)      0.68        0.68        1.82   

12/31/2011

     12.30        0.29        0.50        0.79        (0.26 )      (0.43 )      12.40        6.52        257        1,078 (k)      0.68        0.68        2.28   

12/31/2010

     11.83        0.32        0.59        0.91        (0.31 )      (0.13 )      12.30        7.75        246        977 (k)      0.68        0.68        2.54   

12/31/2009

     10.83        0.48        1.09        1.57        (0.52 )      (0.05 )      11.83        14.47        245        430 (k)      0.70        0.70        4.14   

JNL/Goldman Sachs Emerging Markets Debt Fund

  

Class A

                          

12/31/2013

     14.11        0.57        (1.67 )      (1.10 )      (1.09 )      (0.46 )      11.46        (7.77 )      795,092        160        1.06        1.07        4.19   

12/31/2012

     12.03        0.67        1.73        2.40        –        (0.32 )      14.11        19.96        952,660        138        1.07        1.07        5.05   

12/31/2011

     13.65        0.42        (1.03 )      (0.61 )      (0.68 )      (0.33 )      12.03        (4.67 )      782,878        186        1.07        1.07        3.02   

12/31/2010

     11.89        0.61        1.30        1.91        (0.12 )      (0.03 )      13.65        16.07        762,892        160        1.08        1.08        4.65   

12/31/2009

     9.67        0.44        1.79        2.23        (0.01 )      –        11.89        23.06        193,046        94        1.11        1.11        3.89   

Class B

                          

12/31/2013

     14.22        0.60        (1.69 )      (1.09 )      (1.12 )      (0.46 )      11.55        (7.66 )      169        160        0.86        0.87        4.38   

12/31/2012

     12.09        0.71        1.74        2.45        –        (0.32 )      14.22        20.28        261        138        0.87        0.87        5.34   

12/31/2011

     13.70        0.45        (1.03 )      (0.58 )      (0.70 )      (0.33 )      12.09        (4.46 )      284        186        0.87        0.87        3.23   

12/31/2010

     11.92        0.65        1.28        1.93        (0.12 )      (0.03 )      13.70        16.22        442        160        0.88        0.88        4.95   

12/31/2009

     9.67        0.47        1.79        2.26        (0.01 )      –        11.92        23.38        197        94        0.91        0.91        4.23   

JNL/Goldman Sachs Mid Cap Value Fund

  

Class A

                          

12/31/2013

     11.06        0.07        3.52        3.59        (0.05 )      (2.55 )      12.05        32.73        1,141,673        121        1.00        1.01        0.57   

12/31/2012

     9.56        0.11        1.61        1.72        (0.11 )      (0.11 )      11.06        18.01        967,000        80        1.01        1.01        1.08   

12/31/2011

     10.60        0.07        (0.77 )      (0.70 )      (0.06 )      (0.28 )(l)      9.56        (6.54 )      725,310        74        1.01        1.01        0.69   

12/31/2010

     8.56        0.05        2.04        2.09        (0.05 )      –        10.60        24.40        496,550        85        1.02        1.02        0.58   

12/31/2009

     6.51        0.09        2.04        2.13        (0.08 )      –        8.56        32.65        275,024        113        1.03        1.03        1.29   

Class B

                          

12/31/2013

     11.09        0.10        3.52        3.62        (0.07 )      (2.55 )      12.09        32.90        19,136        121        0.80        0.81        0.80   

12/31/2012

     9.57        0.14        1.62        1.76        (0.13 )      (0.11 )      11.09        18.43        10,577        80        0.81        0.81        1.35   

12/31/2011

     10.61        0.09        (0.77 )      (0.68 )      (0.08 )      (0.28 )(l)      9.57        (6.35 )      8,832        74        0.81        0.81        0.83   

12/31/2010

     8.56        0.07        2.04        2.11        (0.06 )      –        10.61        24.62        9,541        85        0.82        0.82        0.76   

12/31/2009

     6.50        0.11        2.04        2.15        (0.09 )      –        8.56        33.09        5,701        113        0.83        0.83        1.55   

JNL/Goldman Sachs U.S. Equity Flex Fund

  

Class A

                          

12/31/2013

     8.71        0.01        2.96        2.97        (0.02 )      (0.18 )      11.48        34.20        197,907        113        1.96 (j)      1.96 (j)      0.08   

12/31/2012

     7.31        0.02        1.41        1.43        (0.03 )      –        8.71        19.59        129,675        106        2.13 (j)      2.13 (j)      0.24   

12/31/2011

     8.19        0.03        (0.90 )      (0.87 )      (0.01 )      –        7.31        (10.63 )      98,233        204        2.03 (j)      2.03 (j)      0.45   

12/31/2010

     7.58        0.01        0.65        0.66        (0.05 )      –        8.19        8.70        115,234        639        1.88 (j)      1.88 (j)      0.17   

12/31/2009

     6.11        0.06        1.46        1.52        (0.05 )      –        7.58        24.86        90,306        909        1.54 (j)      1.54 (j)      0.98   

Class B

                          

12/31/2013

     8.77        0.03        2.97        3.00        (0.03 )      (0.18 )      11.56        34.36        203        113        1.76 (j)      1.76 (j)      0.26   

12/31/2012

     7.36        0.04        1.42        1.46        (0.05 )      –        8.77        19.80        249        106        1.93 (j)      1.93 (j)      0.44   

12/31/2011

     8.24        0.05        (0.91 )      (0.86 )      (0.02 )      –        7.36        (10.38 )      171        204        1.83 (j)      1.83 (j)      0.68   

12/31/2010

     7.62        0.03        0.65        0.68        (0.06 )      –        8.24        8.92        170        639        1.68 (j)      1.68 (j)      0.38   

12/31/2009

     6.14        0.08        1.46        1.54        (0.06 )      –        7.62        25.07        147        909        1.34 (j)      1.34 (j)      1.19   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Invesco Global Real Estate Fund

  

Class A

                          

12/31/2013

   $ 9.88      $ 0.16      $ 0.11      $ 0.27      $ (0.32 )    $ –      $ 9.83        2.76 %    $ 1,544,958        54 %      1.05 %      1.05 %      1.52 % 

12/31/2012

     7.75        0.18        2.01        2.19        (0.06 )      –        9.88        28.31        1,362,397        57        1.05        1.05        2.03   

12/31/2011

     8.50        0.16        (0.69 )      (0.53 )      (0.22 )      –        7.75        (6.26 )      722,875        59        1.06        1.06        1.87   

12/31/2010

     7.53        0.19        1.09        1.28        (0.31 )      –        8.50        17.15        661,172        70        1.06        1.06        2.33   

12/31/2009

     5.79        0.18        1.70        1.88        (0.14 )      –        7.53        32.53        342,951        65        1.07        1.07        2.78   

Class B

                          

12/31/2013

     9.98        0.18        0.11        0.29        (0.33 )      –        9.94        2.97        876        54        0.85        0.85        1.69   

12/31/2012

     7.82        0.20        2.03        2.23        (0.07 )      –        9.98        28.58        911        57        0.85        0.85        2.23   

12/31/2011

     8.57        0.18        (0.70 )      (0.52 )      (0.23 )      –        7.82        (6.10 )      688        59        0.86        0.86        2.08   

12/31/2010

     7.58        0.20        1.10        1.30        (0.31 )      –        8.57        17.37        616        70        0.86        0.86        2.51   

12/31/2009

     5.82        0.19        1.72        1.91        (0.15 )      –        7.58        32.86        404        65        0.87        0.87        3.09   

JNL/Invesco International Growth Fund

  

Class A

                          

12/31/2013

     10.89        0.16        1.90        2.06        (0.12 )      –        12.83        18.98        1,229,170        21        0.99        0.99        1.36   

12/31/2012

     9.56        0.14        1.36        1.50        (0.17 )      –        10.89        15.76        729,434        35        1.00        1.00        1.33   

12/31/2011

     10.34        0.18        (0.89 )      (0.71 )      (0.07 )      –        9.56        (6.89 )      636,015        24        1.01        1.01        1.80   

12/31/2010

     9.27        0.11        1.03        1.14        (0.07 )      –        10.34        12.31        588,008        32        1.02        1.02        1.19   

12/31/2009

     6.88        0.12        2.42        2.54        (0.15 )      –        9.27        36.99 (m)      431,595        27        1.04        1.04        1.55   

Class B

                          

12/31/2013

     11.41        0.20        1.98        2.18        (0.14 )      –        13.45        19.13        746        21        0.79        0.79        1.60   

12/31/2012

     10.01        0.16        1.43        1.59        (0.19 )      –        11.41        15.95        566        35        0.80        0.80        1.52   

12/31/2011

     10.81        0.22        (0.94 )      (0.72 )      (0.08 )      –        10.01        (6.64 )      446        24        0.81        0.81        2.02   

12/31/2010

     9.68        0.14        1.07        1.21        (0.08 )      –        10.81        12.52        485        32        0.82        0.82        1.43   

12/31/2009

     7.04        0.01        2.80        2.81        (0.17 )      –        9.68        39.94 (m)      386        27        0.84        0.84        0.10   

JNL/Invesco Large Cap Growth Fund

  

Class A

                          

12/31/2013

     12.81        0.01        5.00        5.01        (0.06 )      (1.07 )      16.69        39.58        1,016,287        88        0.96        0.96        0.06   

12/31/2012

     11.73        0.04        1.42        1.46        –        (0.38 )      12.81        12.49        995,127        104        0.96        0.96        0.30   

12/31/2011

     12.59        (0.04 )      (0.80 )      (0.84 )      (0.02 )      –        11.73        (6.68 )      954,232        112        0.96        0.96        (0.30 ) 

12/31/2010

     10.75        0.03        1.84        1.87        (0.03 )      –        12.59        17.41        910,935        169        0.96        0.96        0.23   

12/31/2009

     8.67        0.04        2.07        2.11        (0.03 )      –        10.75        24.29        624,156        57        0.97        0.97        0.45   

Class B

                          

12/31/2013

     12.95        0.04        5.06        5.10        (0.10 )      (1.07 )      16.88        39.86        1,240        88        0.76        0.76        0.25   

12/31/2012

     11.83        0.07        1.43        1.50        –        (0.38 )      12.95        12.73        917        104        0.76        0.76        0.53   

12/31/2011

     12.69        (0.01 )      (0.81 )      (0.82 )      (0.04 )      –        11.83        (6.49 )      749        112        0.76        0.76        (0.10 ) 

12/31/2010

     10.82        0.05        1.86        1.91        (0.04 )      –        12.69        17.69        778        169        0.76        0.76        0.43   

12/31/2009

     8.72        0.06        2.08        2.14        (0.04 )      –        10.82        24.57        587        57        0.77        0.77        0.66   

JNL/Invesco Mid Cap Value Fund

  

Class A

                          

12/31/2013

     11.67        0.06        3.55        3.61        (0.03 )      –        15.25        30.90 (t)      380,623        159        1.01        1.01        0.43   

12/31/2012

     10.86        0.03        0.81        0.84        (0.03 )      –        11.67        7.74        220,777        113        1.01        1.01        0.26   

12/31/2011

     11.59        0.03        (0.69 )      (0.66 )      (0.07 )      –        10.86        (5.67 )      223,465        86        1.02        1.02        0.30   

12/31/2010

     9.46        0.08        2.10        2.18        (0.05 )      –        11.59        23.07        214,053        82        1.02        1.02        0.83   

12/31/2009

     6.82        0.07        2.63        2.70        (0.06 )      –        9.46        39.65        164,730        79        1.03        1.03        0.86   

Class B

                          

12/31/2013

     11.77        0.09        3.57        3.66        (0.04 )      –        15.39        31.14 (t)      250        159        0.81        0.81        0.66   

12/31/2012

     10.96        0.05        0.81        0.86        (0.05 )      –        11.77        7.89        184        113        0.81        0.81        0.46   

12/31/2011

     11.68        0.06        (0.69 )      (0.63 )      (0.09 )      –        10.96        (5.38 )      192        86        0.82        0.82        0.49   

12/31/2010

     9.53        0.10        2.11        2.21        (0.06 )      –        11.68        23.24        176        82        0.82        0.82        1.00   

12/31/2009

     6.90        0.05        2.65        2.70        (0.07 )      –        9.53        39.19        167        79        0.83        0.83        0.61   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Invesco Small Cap Growth Fund

  

Class A

                          

12/31/2013

   $ 14.30      $ (0.05 )    $ 5.71      $ 5.66      $ (0.02 )    $ (0.35 )    $ 19.59        39.69 %    $ 731,601        30 %      1.12 %      1.13 %      (0.30 )% 

12/31/2012

     12.55        0.04        2.17        2.21        –        (0.46 )      14.30        17.68        394,626        39        1.15        1.15        0.26   

12/31/2011

     12.76        (0.07 )      (0.10 )      (0.17 )      –        (0.04 )      12.55        (1.36 )      178,378        56        1.15        1.15        (0.52 ) 

12/31/2010

     10.11        (0.05 )      2.70        2.65        –        –        12.76        26.21        149,999        35        1.15        1.15        (0.50 ) 

12/31/2009

     7.50        (0.02 )      2.63        2.61        –        –        10.11        34.80        92,793        33        1.16        1.16        (0.17 ) 

Class B

                          

12/31/2013

     14.62        (0.02 )      5.83        5.81        (0.03 )      (0.35 )      20.05        39.88        634        30        0.92        0.93        (0.10 ) 

12/31/2012

     12.79        0.05        2.24        2.29        –        (0.46 )      14.62        17.97        463        39        0.95        0.95        0.35   

12/31/2011

     12.98        (0.04 )      (0.11 )      (0.15 )      –        (0.04 )      12.79        (1.18 )      408        56        0.95        0.95        (0.33 ) 

12/31/2010

     10.26        (0.03 )      2.75        2.72        –        –        12.98        26.51        414        35        0.95        0.95        (0.29 ) 

12/31/2009

     7.60        0.00        2.66        2.66        –        –        10.26        35.00        157        33        0.96        0.96        0.01   

JNL/Ivy Asset Strategy Fund

  

Class A

                          

12/31/2013(u)

     12.37        0.08        2.84        2.92        (0.18 )      –        15.11        23.65        3,049,751        82        1.20        1.20        0.60   

12/31/2012

     10.56        0.23        1.59        1.82        (0.01 )      –        12.37        17.26        2,044,238        57        1.21        1.21        1.98   

12/31/2011

     11.43        0.04        (0.90 )      (0.86 )      (0.01 )      –        10.56        (7.49 )      1,603,982        60        1.22        1.22        0.34   

12/31/2010

     10.41        0.09        0.93        1.02        (0.00 )(f)      –        11.43        9.81        975,565        96        1.25        1.25        0.90   

12/31/2009*

     10.00        0.01        0.40        0.41        –        –        10.41        4.10        196,774        16        1.25        1.25        0.52   

Class B

                          

12/31/2013(u)

     12.41        0.10        2.85        2.95        (0.20 )      –        15.16        23.82        915        82        1.00        1.00        0.77   

12/31/2012

     10.60        0.25        1.59        1.84        (0.03 )      –        12.41        17.36        501        57        1.01        1.01        2.16   

12/31/2011

     11.45        0.06        (0.89 )      (0.83 )      (0.02 )      –        10.60        (7.24 )      401        60        1.02        1.02        0.53   

12/31/2010

     10.41        0.10        0.94        1.04        (0.00 )(f)      –        11.45        10.01        280        96        1.05        1.05        0.95   

12/31/2009*

     10.00        0.01        0.40        0.41        –        –        10.41        4.10        203        16        1.05        1.05        0.47   

JNL/JPMorgan International Value Fund

  

Class A

                          

12/31/2013

     7.11        0.16        1.35        1.51        (0.26 )      –        8.36        21.47 (t)      673,512        53        1.01        1.01        2.01   

12/31/2012

     6.35        0.20        0.88        1.08        (0.32 )      –        7.11        17.16        506,613        63        1.01        1.01        2.95   

12/31/2011

     7.52        0.21        (1.17 )      (0.96 )      (0.21 )      –        6.35        (12.87 )      586,075        68        1.01        1.01        2.83   

12/31/2010

     7.17        0.12        0.42        0.54        (0.19 )      –        7.52        7.58        607,358        71        1.02        1.02        1.73   

12/31/2009

     5.72        0.14        1.58        1.72        (0.27 )      –        7.17        30.17        549,144        92        1.03        1.03        2.24   

Class B

                          

12/31/2013

     7.26        0.17        1.39        1.56        (0.28 )      –        8.54        21.66 (t)      808        53        0.81        0.81        2.20   

12/31/2012

     6.48        0.21        0.91        1.12        (0.34 )      –        7.26        17.42        607        63        0.81        0.81        3.11   

12/31/2011

     7.68        0.22        (1.20 )      (0.98 )      (0.22 )      –        6.48        (12.84 )      498        68        0.81        0.81        2.96   

12/31/2010

     7.31        0.13        0.44        0.57        (0.20 )      –        7.68        7.86        587        71        0.82        0.82        1.91   

12/31/2009

     5.82        0.16        1.62        1.78        (0.29 )      –        7.31        30.60        546        92        0.83        0.83        2.51   

JNL/JPMorgan MidCap Growth Fund

  

Class A

                          

12/31/2013

     21.90        0.01        9.19        9.20        (0.04 )      –        31.06        42.03        1,288,083        71        0.96        0.96        0.03   

12/31/2012

     18.84        0.07        2.99        3.06        –        –        21.90        16.24        555,997        89        0.97        0.97        0.31   

12/31/2011

     20.02        (0.03 )      (1.15 )      (1.18 )      –        –        18.84        (5.89 )      439,008        77        0.99        0.99        (0.17 ) 

12/31/2010

     15.94        (0.03 )      4.11        4.08        –        –        20.02        25.60        232,386        84        1.01        1.01        (0.19 ) 

12/31/2009

     11.15        (0.03 )      4.82        4.79        –        –        15.94        42.96        163,690        82        1.01        1.01        (0.25 ) 

Class B

                          

12/31/2013

     22.11        0.06        9.29        9.35        (0.07 )      –        31.39        42.31        305        71        0.76        0.76        0.22   

12/31/2012

     18.98        0.11        3.02        3.13        –        –        22.11        16.49        227        89        0.77        0.77        0.53   

12/31/2011

     20.30        (0.00 )      (1.32 )      (1.32 )      –        –        18.98        (6.50 )      187        77        0.79        0.79        (0.00 ) 

12/31/2010

     16.13        0.00        4.17        4.17        –        –        20.30        25.85        185        84        0.81        0.81        0.02   

12/31/2009

     11.26        (0.01 )      4.88        4.87        –        –        16.13        43.25        114        82        0.81        0.81        (0.05 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/JPMorgan U.S. Government & Quality Bond Fund

  

Class A

                          

12/31/2013

   $ 14.09      $ 0.34      $ (0.83 )    $ (0.49 )    $ (0.49 )    $ –      $ 13.11        (3.51 )%(t)    $ 1,168,654        1 %      0.69 %      0.69 %      2.44 % 

12/31/2012

     13.90        0.37        0.14        0.51        (0.32 )      –        14.09        3.64        1,661,614        9        0.68        0.68        2.63   

12/31/2011

     12.94        0.43        0.84        1.27        (0.31 )      –        13.90        9.83        1,393,976        12        0.70        0.70        3.19   

12/31/2010

     12.39        0.46        0.45        0.91        (0.36 )      –        12.94        7.34        918,334        9        0.71        0.71        3.50   

12/31/2009

     12.25        0.47        (0.01 )      0.46        (0.32 )      –        12.39        3.69        693,017        12        0.73        0.73        3.78   

Class B

                          

12/31/2013

     14.72        0.38        (0.87 )      (0.49 )      (0.52 )      –        13.71        (3.33 )(t)      604        1        0.49        0.49        2.65   

12/31/2012

     14.50        0.42        0.14        0.56        (0.34 )      –        14.72        3.83        1,005        9        0.48        0.48        2.84   

12/31/2011

     13.47        0.48        0.88        1.36        (0.33 )      –        14.50        10.10        1,323        12        0.50        0.50        3.35   

12/31/2010

     12.88        0.51        0.46        0.97        (0.38 )      –        13.47        7.53        523        9        0.51        0.51        3.72   

12/31/2009

     12.71        0.48        0.02        0.50        (0.33 )      –        12.88        3.92        564        12        0.53        0.53        3.71   

JNL/Lazard Emerging Markets Fund

  

Class A

                          

12/31/2013

     11.47        0.18        (0.31 )      (0.13 )      (0.17 )      (0.20 )      10.97        (1.10 )      1,522,796        26        1.22        1.23        1.65   

12/31/2012

     9.83        0.19        1.96        2.15        (0.23 )      (0.28 )      11.47        22.21        1,409,847        31        1.22        1.22        1.76   

12/31/2011

     12.09        0.25        (2.39 )      (2.14 )      (0.12 )      –        9.83        (17.75 )      1,170,395        25        1.22        1.22        2.27   

12/31/2010

     9.96        0.19        1.99        2.18        (0.05 )      –        12.09        21.91        1,386,967        23        1.23        1.23        1.76   

12/31/2009

     5.88        0.16        4.06        4.22        (0.14 )      –        9.96        71.74        735,862        49        1.27        1.27        1.98   

Class B

                          

12/31/2013

     11.52        0.21        (0.31 )      (0.10 )      (0.19 )      (0.20 )      11.03        (0.83 )      602        26        1.02        1.03        1.84   

12/31/2012

     9.87        0.22        1.97        2.19        (0.26 )      (0.28 )      11.52        22.46        759        31        1.02        1.02        2.01   

12/31/2011

     12.14        0.28        (2.41 )      (2.13 )      (0.14 )      –        9.87        (17.63 )      758        25        1.02        1.02        2.46   

12/31/2010

     9.98        0.22        2.00        2.22        (0.06 )      –        12.14        22.24        1,062        23        1.03        1.03        2.04   

12/31/2009

     5.89        0.18        4.06        4.24        (0.15 )      –        9.98        71.96        775        49        1.07        1.07        2.13   

JNL/M&G Global Basics Fund

  

Class A

                          

12/31/2013

     13.66        0.16        0.43        0.59        (0.32 )      (0.41 )      13.52        4.47        170,021        46        1.21        1.21        1.16   

12/31/2012

     13.15        0.19        0.83        1.02        (0.15 )      (0.36 )      13.66        7.90        215,548        41        1.20        1.20        1.36   

12/31/2011

     14.98        0.13        (1.90 )      (1.77 )      (0.03 )      (0.03 )      13.15        (11.89 )      275,623        33        1.21        1.21        0.88   

12/31/2010

     12.27        0.04        2.80        2.84        (0.08 )      (0.05 )      14.98        23.19        195,399        18        1.22        1.22        0.31   

12/31/2009

     8.42        0.05        3.89        3.94        (0.03 )      (0.06 )      12.27        46.88        29,708        43        1.21        1.21        0.47   

Class B

                          

12/31/2013

     13.72        0.14        0.49        0.63        (0.37 )      (0.41 )      13.57        4.74        53        46        1.01        1.01        1.02   

12/31/2012

     13.21        0.20        0.86        1.06        (0.19 )      (0.36 )      13.72        8.14        109        41        1.00        1.00        1.46   

12/31/2011

     15.02        0.16        (1.91 )      (1.75 )      (0.03 )      (0.03 )      13.21        (11.73 )      107        33        1.01        1.01        1.07   

12/31/2010

     12.30        0.06        2.81        2.87        (0.10 )      (0.05 )      15.02        23.37        115        18        1.02        1.02        0.50   

12/31/2009

     8.43        0.08        3.89        3.97        (0.04 )      (0.06 )      12.30        47.19        160        43        1.01        1.01        0.75   

JNL/Mellon Capital Emerging Markets Index Fund

  

Class A

                          

12/31/2013

     10.67        0.16        (0.60 )      (0.44 )      (0.07 )      –        10.16        (4.16 )      720,551        69        0.79        0.79        1.58   

12/31/2012

     9.08        0.17        1.42        1.59        (0.00 )(f)      –        10.67        17.56        402,390        102        0.79        0.79        1.75   

12/31/2011*

     10.00        0.03        (0.95 )      (0.92 )      –        –        9.08        (9.20 )      98,562        38        0.84        0.84        1.01   

Class B

                          

12/31/2013

     10.69        0.17        (0.59 )      (0.42 )      (0.07 )      –        10.20        (3.89 )      151        69        0.59        0.59        1.69   

12/31/2012

     9.08        0.19        1.43        1.62        (0.01 )      –        10.69        17.80        142        102        0.59        0.59        1.95   

12/31/2011*

     10.00        0.04        (0.96 )      (0.92 )      –        –        9.08        (9.20 )      91        38        0.64        0.64        1.15   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Mellon Capital European 30 Fund

  

Class A

                          

12/31/2013

   $ 10.16      $ 0.34      $ 2.76      $ 3.10      $ (0.10 )    $ –      $ 13.16        30.61 %    $ 139,057        55 %      0.75 %      0.75 %      2.90 % 

12/31/2012

     9.84        0.39        0.45        0.84        (0.36 )      (0.16 )      10.16        8.64        30,128        72        0.77        0.77        3.93   

12/31/2011

     11.48        0.49        (1.33 )      (0.84 )      (0.23 )      (0.57 )      9.84        (7.35 )      21,311        99        0.78        0.78        4.24   

12/31/2010

     11.30        0.40        (0.16 )      0.24        (0.01 )      (0.05 )      11.48        2.13        18,217        104        0.78        0.78        3.63   

12/31/2009

     8.59        0.29        3.23        3.52        (0.25 )      (0.56 )      11.30        41.03        13,238        65        0.78        0.78        2.76   

Class B

                          

12/31/2013

     10.21        0.43        2.72        3.15        (0.11 )      –        13.25        30.91        182        55        0.55        0.55        3.71   

12/31/2012

     9.88        0.44        0.42        0.86        (0.37 )      (0.16 )      10.21        8.89        136        72        0.57        0.57        4.35   

12/31/2011

     11.51        0.49        (1.30 )      (0.81 )      (0.25 )      (0.57 )      9.88        (7.12 )      143        99        0.58        0.58        4.24   

12/31/2010

     11.31        0.41        (0.15 )      0.26        (0.01 )      (0.05 )      11.51        2.31        142        104        0.58        0.58        3.72   

12/31/2009

     8.59        0.35        3.19        3.54        (0.26 )      (0.56 )      11.31        41.27        128        65        0.58        0.58        3.65   

JNL/Mellon Capital Pacific Rim 30 Fund

  

Class A

                          

12/31/2013

     12.78        0.38        1.23        1.61        (0.49 )      –        13.90        12.66        153,713        100        0.73        0.73        2.71   

12/31/2012

     11.88        0.45        0.97        1.42        (0.23 )      (0.29 )      12.78        12.02        100,248        118        0.75        0.75        3.61   

12/31/2011

     12.71        0.44        (0.67 )      (0.23 )      (0.18 )      (0.42 )      11.88        (1.87 )      81,702        121        0.77        0.77        3.56   

12/31/2010

     11.26        0.36        1.09        1.45        –        (0.00 )(f)      12.71        12.89        38,944        78        0.78        0.78        3.03   

12/31/2009

     9.60        0.21        2.11        2.32        (0.15 )      (0.51 )      11.26        24.15        16,625        47        0.78        0.78        1.95   

Class B

                          

12/31/2013

     12.85        0.42        1.24        1.66        (0.51 )      –        14.00        12.87        235        100        0.53        0.53        2.98   

12/31/2012

     11.93        0.48        0.98        1.46        (0.25 )      (0.29 )      12.85        12.34        247        118        0.55        0.55        3.82   

12/31/2011

     12.75        0.46        (0.67 )      (0.21 )      (0.19 )      (0.42 )      11.93        (1.71 )      170        121        0.57        0.57        3.70   

12/31/2010

     11.28        0.37        1.10        1.47        –        (0.00 )(f)      12.75        13.05        191        78        0.58        0.58        3.16   

12/31/2009

     9.60        0.26        2.09        2.35        (0.16 )      (0.51 )      11.28        24.49        136        47        0.58        0.58        2.54   

JNL/Mellon Capital S&P 500 Index Fund

  

Class A

                          

12/31/2013

     11.82        0.21        3.53        3.74        (0.17 )      (0.07 )      15.32        31.64        3,067,267        2        0.56        0.57        1.51   

12/31/2012

     10.48        0.20        1.41        1.61        (0.18 )      (0.09 )      11.82        15.37        1,586,913        5        0.58        0.58        1.74   

12/31/2011

     10.59        0.16        0.00        0.16        (0.19 )      (0.08 )      10.48        1.47        1,118,932        16        0.57        0.57        1.49   

12/31/2010

     9.38        0.15        1.20        1.35        (0.13 )      (0.01 )      10.59        14.44        1,328,363        2        0.57        0.57        1.51   

12/31/2009

     7.54        0.14        1.82        1.96        (0.12 )      –        9.38        25.97        900,282        4        0.60        0.60        1.76   

Class B

                          

12/31/2013

     12.05        0.24        3.60        3.84        (0.19 )      (0.07 )      15.63        31.89        27,825        2        0.36        0.37        1.71   

12/31/2012

     10.68        0.23        1.43        1.66        (0.20 )      (0.09 )      12.05        15.56        17,633        5        0.38        0.38        1.92   

12/31/2011

     10.78        0.19        0.00        0.19        (0.21 )      (0.08 )      10.68        1.77        14,110        16        0.37        0.37        1.71   

12/31/2010

     9.54        0.17        1.23        1.40        (0.15 )      (0.01 )      10.78        14.70        12,937        2        0.37        0.37        1.71   

12/31/2009

     7.66        0.16        1.85        2.01        (0.13 )      –        9.54        26.26        10,996        4        0.40        0.40        2.02   

JNL/Mellon Capital S&P 400 MidCap Index Fund

  

Class A

                          

12/31/2013

     14.46        0.16        4.60        4.76        (0.13 )      (0.53 )      18.56        32.99 (t)      1,638,827        11        0.58        0.58        0.93   

12/31/2012

     12.80        0.16        2.05        2.21        (0.15 )      (0.40 )      14.46        17.24        977,712        8        0.59        0.59        1.11   

12/31/2011

     13.86        0.10        (0.43 )      (0.33 )      (0.09 )      (0.64 )      12.80        (2.14 )      658,163        24        0.59        0.59        0.68   

12/31/2010

     11.17        0.08        2.80        2.88        (0.08 )      (0.11 )      13.86        25.83        664,777        12        0.60        0.60        0.64   

12/31/2009

     8.17        0.13        2.98        3.11        (0.11 )      –        11.17        38.03        469,779        14        0.61        0.61        1.35   

Class B

                          

12/31/2013

     14.67        0.19        4.67        4.86        (0.16 )      (0.53 )      18.84        33.19 (t)      13,326        11        0.38        0.38        1.12   

12/31/2012

     12.98        0.18        2.09        2.27        (0.18 )      (0.40 )      14.67        17.50        7,800        8        0.39        0.39        1.27   

12/31/2011

     14.05        0.13        (0.44 )      (0.31 )      (0.12 )      (0.64 )      12.98        (1.99 )      6,541        24        0.39        0.39        0.89   

12/31/2010

     11.30        0.10        2.86        2.96        (0.10 )      (0.11 )      14.05        26.19        6,033        12        0.40        0.40        0.84   

12/31/2009

     8.26        0.14        3.03        3.17        (0.13 )      –        11.30        38.34        4,541        14        0.41        0.41        1.55   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Mellon Capital Small Cap Index Fund

  

Class A

                          

12/31/2013

   $ 12.82      $ 0.16      $ 4.76      $ 4.92      $ (0.15 )(w)    $ (0.74 )    $ 16.85        38.44 %(t)    $ 1,829,922        18 %      0.56 %      0.56 %      1.04 % 

12/31/2012

     11.56        0.22        1.62        1.84        (0.21 )      (0.37 )      12.82        15.89        1,064,003        17        0.58        0.58        1.76   

12/31/2011

     12.61        0.10        (0.65 )      (0.55 )      (0.10 )      (0.40 )      11.56        (4.34 )      761,311        15        0.59        0.59        0.83   

12/31/2010

     10.04        0.10        2.54        2.64        (0.07 )      –        12.61        26.32        709,661        14        0.60        0.60        0.91   

12/31/2009

     7.97        0.09        2.10        2.19        (0.07 )      (0.05 )      10.04        27.54        470,449        17        0.61        0.61        1.08   

Class B

                          

12/31/2013

     12.97        0.19        4.81        5.00        (0.17 )(w)      (0.74 )      17.06        38.64 (t)      19,630        18        0.36        0.36        1.23   

12/31/2012

     11.69        0.24        1.65        1.89        (0.24 )      (0.37 )      12.97        16.15        11,377        17        0.38        0.38        1.87   

12/31/2011

     12.75        0.14        (0.68 )      (0.54 )      (0.12 )      (0.40 )      11.69        (4.20 )      10,611        15        0.39        0.39        1.11   

12/31/2010

     10.14        0.12        2.57        2.69        (0.08 )      –        12.75        26.58        5,158        14        0.40        0.40        1.08   

12/31/2009

     8.05        0.11        2.11        2.22        (0.08 )      (0.05 )      10.14        27.68        3,916        17        0.41        0.41        1.30   

JNL/Mellon Capital International Index Fund

  

Class A

                          

12/31/2013

     12.22        0.33        2.28        2.61        (0.32 )      –        14.51        21.43        2,303,582        1        0.63        0.63        2.48   

12/31/2012

     10.62        0.33        1.58        1.91        (0.31 )      –        12.22        18.02        1,734,284        2        0.65        0.65        2.93   

12/31/2011

     12.48        0.35        (1.89 )      (1.54 )      (0.32 )      –        10.62        (12.26 )      1,144,242        5        0.65        0.65        2.91   

12/31/2010

     11.90        0.26        0.55        0.81        (0.23 )      –        12.48        6.81        1,066,567        2        0.67        0.67        2.23   

12/31/2009

     9.41        0.25        2.50        2.75        (0.26 )      (0.00 )(f)      11.90        29.28        721,755        2        0.69        0.69        2.43   

Class B

                          

12/31/2013

     12.63        0.37        2.36        2.73        (0.35 )      –        15.01        21.64        32,612        1        0.43        0.43        2.69   

12/31/2012

     10.96        0.38        1.62        2.00        (0.33 )      –        12.63        18.28        23,298        2        0.45        0.45        3.21   

12/31/2011

     12.87        0.39        (1.95 )      (1.56 )      (0.35 )      –        10.96        (12.09 )      19,988        5        0.45        0.45        3.14   

12/31/2010

     12.26        0.30        0.56        0.86        (0.25 )      –        12.87        7.01        21,720        2        0.47        0.47        2.48   

12/31/2009

     9.68        0.30        2.56        2.86        (0.28 )      (0.00 )(f)      12.26        29.57        18,284        2        0.49        0.49        2.83   

JNL/Mellon Capital Bond Index Fund

  

Class A

                          

12/31/2013

     12.22        0.20        (0.53 )      (0.33 )      (0.26 )      (0.01 )      11.62        (2.73 )      1,543,416        69 (n)      0.56        0.56        1.66   

12/31/2012

     12.11        0.24        0.19        0.43        (0.27 )      (0.05 )      12.22        3.61        1,826,770        63 (n)      0.56        0.56        1.98   

12/31/2011

     11.73        0.31        0.53        0.84        (0.34 )      (0.12 )      12.11        7.15        1,549,529        94 (n)      0.57        0.57        2.57   

12/31/2010

     11.39        0.34        0.32        0.66        (0.30 )      (0.02 )      11.73        5.87        1,328,699        83 (n)      0.57        0.57        2.86   

12/31/2009

     11.07        0.42        0.21        0.63        (0.30 )      (0.01 )      11.39        5.65        793,123        87 (n)      0.60        0.60        3.67   

Class B

                          

12/31/2013

     12.61        0.23        (0.56 )      (0.33 )      (0.28 )      (0.01 )      11.99        (2.60 )      4,558        69 (n)      0.36        0.36        1.87   

12/31/2012

     12.48        0.28        0.20        0.48        (0.30 )      (0.05 )      12.61        3.85        4,559        63 (n)      0.36        0.36        2.18   

12/31/2011

     12.08        0.34        0.55        0.89        (0.37 )      (0.12 )      12.48        7.31        4,345        94 (n)      0.37        0.37        2.75   

12/31/2010

     11.71        0.38        0.34        0.72        (0.33 )      (0.02 )      12.08        6.14        2,865        83 (n)      0.37        0.37        3.08   

12/31/2009

     11.36        0.46        0.21        0.67        (0.31 )      (0.01 )      11.71        5.90        2,647        87 (n)      0.40        0.40        3.92   

JNL/Mellon Capital Global Alpha Fund

  

Class A

                          

12/31/2013

     10.20        (0.13 )      (0.01 )      (0.14 )      –        –        10.06        (1.37 )      231,062        0        1.35        1.35        (1.31 ) 

12/31/2012

     10.57        (0.14 )      (0.06 )      (0.20 )      –        (0.17 )      10.20        (1.89 )      488,407        0        1.35        1.35        (1.29 ) 

12/31/2011

     10.47        (0.14 )      0.44        0.30        (0.08 )      (0.12 )      10.57        2.88        515,337        0        1.35        1.35        (1.29 ) 

12/31/2010

     9.88        (0.12 )      0.71        0.59        –        (0.00 )(f)      10.47        6.00        200,918        0        1.36        1.36        (1.20 ) 

12/31/2009*

     10.00        (0.03 )      (0.09 )      (0.12 )      –        –        9.88        (1.20 )      62,275        0        1.35        1.35        (1.28 ) 

Class B

                          

12/31/2013

     10.26        (0.11 )      (0.01 )      (0.12 )      –        –        10.14        (1.17 )      103        0        1.15        1.15        (1.11 ) 

12/31/2012

     10.62        (0.12 )      (0.07 )      (0.19 )      –        (0.17 )      10.26        (1.78 )      219        0        1.15        1.15        (1.09 ) 

12/31/2011

     10.49        (0.12 )      0.46        0.34        (0.09 )      (0.12 )      10.62        3.22        247        0        1.15        1.15        (1.09 ) 

12/31/2010

     9.89        (0.10 )      0.70        0.60        –        (0.00 )(f)      10.49        6.09        196        0        1.16        1.16        (1.01 ) 

12/31/2009*

     10.00        (0.03 )      (0.08 )      (0.11 )      –        –        9.89        (1.10 )      109        0        1.15        1.15        (1.09 ) 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

  

Class A

                          

12/31/2013

   $ 10.22      $ 0.04      $ 3.96      $ 4.00      $ (0.06 )    $ –      $ 14.16        39.14 %    $ 147,338        140 %      0.70 %      0.70 %      0.34 % 

12/31/2012*

     10.00        0.09        0.13        0.22        –        –        10.22        2.20        78,005        61        0.70        0.70        1.37   

Class B

                          

12/31/2013

     10.23        0.07        3.97        4.04        (0.07 )      –        14.20        39.48        190        140        0.50        0.50        0.53   

12/31/2012*

     10.00        0.10        0.13        0.23        –        –        10.23        2.30        105        61        0.50        0.50        1.50   

JNL/Mellon Capital Utilities Sector Fund

  

Class A

                          

12/31/2013*

     10.00        0.22        (0.62 )      (0.40 )      (0.21 )      (0.00 )(f)      9.39        (3.98 )      3,246        77        0.73        0.73        3.41   

JNL/Morgan Stanley Mid Cap Growth Fund

  

Class A

                          

12/31/2013

     9.55        (0.06 )      3.66        3.60        –        (0.02 )      13.13        37.73        209,418        41        1.10        1.10        (0.48 ) 

12/31/2012*

     10.00        0.04        (0.45 )      (0.41 )      (0.04 )(v)      –        9.55        (4.13 )      17,008        28        1.11        1.11        0.59   

Class B

                          

12/31/2013

     9.55        (0.01 )      3.64        3.63        –        (0.02 )      13.16        38.04        133        41        0.90        0.90        (0.12 ) 

12/31/2012*

     10.00        0.05        (0.45 )      (0.40 )      (0.05 )(v)      –        9.55        (4.05 )      96        28        0.91        0.91        0.86   

JNL/Neuberger Berman Strategic Income Fund

  

Class A

                          

12/31/2013

     10.54        0.24        (0.25 )      (0.01 )      (0.02 )      (0.01 )      10.50        (0.10 )      467,334        106 (o)      0.95        0.95        2.24   

12/31/2012*

     10.00        0.13        0.41        0.54        –        –        10.54        5.40        80,917        76 (o)      0.95        0.95        1.93   

Class B

                          

12/31/2013

     10.55        0.26        (0.25 )      0.01        (0.02 )      (0.01 )      10.53        0.10        121        106 (o)      0.75        0.75        2.43   

12/31/2012*

     10.00        0.14        0.41        0.55        –        –        10.55        5.50        121        76 (o)      0.75        0.75        2.09   

JNL/Oppenheimer Global Growth Fund

  

Class A

                          

12/31/2013

     11.40        0.11        2.87        2.98        (0.12 )      (0.00 )(f)      14.26        26.24        987,372        15        0.99        0.99        0.88   

12/31/2012

     9.55        0.14        1.82        1.96        (0.11 )      –        11.40        20.54        636,096        34        1.01        1.01        1.33   

12/31/2011

     10.47        0.13        (0.99 )      (0.86 )      (0.06 )      –        9.55        (8.22 )      546,730        19        1.01        1.01        1.25   

12/31/2010

     9.14        0.09        1.31        1.40        (0.07 )      –        10.47        15.38        401,636        25        1.06        1.06        0.97   

12/31/2009

     7.00        0.10        2.65        2.75        (0.12 )      (0.49 )      9.14        39.42        289,972        21        1.06        1.06        1.19   

Class B

                          

12/31/2013

     11.54        0.14        2.91        3.05        (0.14 )      (0.00 )(f)      14.45        26.52        1,030        15        0.79        0.79        1.12   

12/31/2012

     9.66        0.16        1.85        2.01        (0.13 )      –        11.54        20.82        839        34        0.81        0.81        1.49   

12/31/2011

     10.59        0.15        (1.01 )      (0.86 )      (0.07 )      –        9.66        (8.11 )      631        19        0.81        0.81        1.40   

12/31/2010

     9.23        0.11        1.34        1.45        (0.09 )      –        10.59        15.68        616        25        0.86        0.86        1.16   

12/31/2009

     7.07        0.11        2.68        2.79        (0.14 )      (0.49 )      9.23        39.58        507        21        0.86        0.86        1.40   

JNL/PIMCO Real Return Fund

  

Class A

                          

12/31/2013

     12.89        0.07        (1.24 )      (1.17 )      (0.17 )      (1.35 )      10.20        (9.13 )      1,820,680        86        0.86 (j)      0.86 (j)      0.61   

12/31/2012

     12.83        0.13        0.96        1.09        (0.25 )      (0.78 )      12.89        8.43        3,083,176        85        0.85 (j)      0.85 (j)      0.98   

12/31/2011

     12.06        0.21        1.20        1.41        (0.11 )      (0.53 )      12.83        11.71        2,714,541        443        0.81 (j)      0.81 (j)      1.65   

12/31/2010

     11.57        0.17        0.72        0.89        (0.17 )      (0.23 )      12.06        7.72        1,794,823        536        0.82        0.82        1.36   

12/31/2009

     10.10        0.30        1.44        1.74        (0.27 )      –        11.57        17.25        1,189,828        722        0.81        0.81        2.69   

Class B

                          

12/31/2013

     13.01        0.10        (1.25 )      (1.15 )      (0.21 )      (1.35 )      10.30        (8.88 )      768        86        0.66 (j)      0.66 (j)      0.84   

12/31/2012

     12.93        0.16        0.97        1.13        (0.27 )      (0.78 )      13.01        8.67        952        85        0.65 (j)      0.65 (j)      1.20   

12/31/2011

     12.15        0.23        1.20        1.43        (0.12 )      (0.53 )      12.93        11.84        513        443        0.61 (j)      0.61 (j)      1.76   

12/31/2010

     11.64        0.19        0.73        0.92        (0.18 )      (0.23 )      12.15        7.96        263        536        0.62        0.62        1.57   

12/31/2009

     10.13        0.32        1.48        1.80        (0.29 )      –        11.64        17.76        237        722        0.61        0.61        2.97   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

      Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  
Period
Ended		   Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		     Net
Investment
Income		     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		     Net Assets,
End of
Period (in
thousands)		     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/PIMCO Total Return Bond Fund

  

Class A

                          

12/31/2013

   $ 13.06      $ 0.14      $ (0.41 )    $ (0.27 )    $ (0.16 )    $ (0.02 )    $ 12.61        (2.08 )%    $ 5,138,711        421 %      0.80 %(j)      0.80 %(j)      1.05 % 

12/31/2012

     12.57        0.24        0.76        1.00        (0.25 )      (0.26 )      13.06        8.00        5,788,043        448        0.80 (j)      0.80 (j)      1.79   

12/31/2011

     12.35        0.30        0.31        0.61        (0.37 )      (0.02 )      12.57        4.91        3,843,292        500        0.80 (j)      0.80 (j)      2.35   

12/31/2010

     12.19        0.26        0.65        0.91        (0.27 )      (0.48 )      12.35        7.57        3,248,237        489        0.81        0.81        2.05   

12/31/2009

     11.07        0.48        1.24        1.72        (0.29 )      (0.31 )      12.19        15.45        2,348,470        177        0.81        0.81        4.04   

Class B

                          

12/31/2013

     13.93        0.17        (0.43 )      (0.26 )      (0.19 )      (0.02 )      13.46        (1.92 )      19,989        421        0.60 (j)      0.60 (j)      1.26   

12/31/2012

     13.37        0.28        0.81        1.09        (0.27 )      (0.26 )      13.93        8.21        24,851        448        0.60 (j)      0.60 (j)      2.00   

12/31/2011

     13.11        0.34        0.33        0.67        (0.39 )      (0.02 )      13.37        5.12        17,968        500        0.60 (j)      0.60 (j)      2.55   

12/31/2010

     12.89        0.30        0.69        0.99        (0.29 )      (0.48 )      13.11        7.79        15,912        489        0.61        0.61        2.24   

12/31/2009

     11.67        0.53        1.30        1.83        (0.30 )      (0.31 )      12.89        15.66        14,110        177        0.61        0.61        4.21   

JNL/PPM America Floating Rate Income Fund

  

Class A

                          

12/31/2013

     10.60        0.40        0.07        0.47        (0.16 )      –        10.91        4.41        1,543,108        62        0.98        0.98        3.71   

12/31/2012

     10.07        0.44        0.35        0.79        (0.26 )      –        10.60        7.82        659,373        55        1.00        1.00        4.17   

12/31/2011*

     10.00        0.36        (0.29 )      0.07        –        –        10.07        0.70        445,716        57        1.00        1.00        3.64   

JNL/PPM America High Yield Bond Fund

  

Class A

                          

12/31/2013

     7.21        0.46        0.13        0.59        (0.45 )      (0.17 )      7.18        8.20        2,573,016        94        0.74        0.74        6.17   

12/31/2012

     6.51        0.49        0.60        1.09        (0.39 )      –        7.21        16.75        2,193,974        73        0.74        0.74        6.87   

12/31/2011

     6.67        0.50        (0.19 )      0.31        (0.47 )      –        6.51        4.67        1,261,007        46        0.75        0.75        7.21   

12/31/2010

     6.15        0.52        0.44        0.96        (0.44 )      –        6.67        15.63        900,088        66        0.76        0.76        7.81   

12/31/2009

     4.46        0.50        1.56        2.06        (0.37 )      –        6.15        46.30        566,513        50        0.78        0.78        8.87   

Class B

                          

12/31/2013

     8.05        0.53        0.16        0.69        (0.47 )      (0.17 )      8.10        8.52        12,319        94        0.54        0.54        6.39   

12/31/2012

     7.23        0.56        0.66        1.22        (0.40 )      –        8.05        16.90        11,478        73        0.54        0.54        7.10   

12/31/2011

     7.35        0.56        (0.20 )      0.36        (0.48 )      –        7.23        4.96        8,751        46        0.55        0.55        7.41   

12/31/2010

     6.74        0.58        0.48        1.06        (0.45 )      –        7.35        15.76        7,612        66        0.56        0.56        8.03   

12/31/2009

     4.86        0.55        1.71        2.26        (0.38 )      –        6.74        46.58        5,989        50        0.58        0.58        9.22   

JNL/PPM America Mid Cap Value Fund

  

Class A

                          

12/31/2013

     10.64        0.09        4.28        4.37        (0.08 )      –        14.93        41.08        318,545        43        1.06        1.06        0.73   

12/31/2012

     9.78        0.11        1.47        1.58        (0.05 )      (0.67 )      10.64        16.43        153,777        71        1.06        1.06        0.99   

12/31/2011

     10.69        0.05        (0.84 )      (0.79 )      (0.01 )      (0.11 )      9.78        (7.41 )      117,872        68        1.06        1.06        0.48   

12/31/2010

     8.25        0.03        2.41        2.44        (0.00 )(f)      –        10.69        29.58        86,297        73        1.06        1.06        0.29   

12/31/2009

     5.62        0.05        2.61        2.66        (0.03 )      –        8.25        47.38        20,020        89        1.06        1.06        0.77   

Class B

                          

12/31/2013

     10.67        0.12        4.28        4.40        (0.09 )      –        14.98        41.31        261        43        0.86        0.86        0.91   

12/31/2012

     9.80        0.13        1.48        1.61        (0.07 )      (0.67 )      10.67        16.70        162        71        0.86        0.86        1.18   

12/31/2011

     10.70        0.07        (0.84 )      (0.77 )      (0.02 )      (0.11 )      9.80        (7.23 )      150        68        0.86        0.86        0.69   

12/31/2010

     8.25        0.04        2.41        2.45        (0.00 )(f)      –        10.70        29.70        122        73        0.86        0.86        0.43   

12/31/2009

     5.61        0.06        2.62        2.68        (0.04 )      –        8.25        47.82        92        89        0.86        0.86        0.99   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  

Period

Ended

  

Net Asset

Value,

Beginning

of Period

     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		    

Net

Investment
Income

     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		    

Net Assets,

End of

Period (in

thousands)

     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/PPM America Small Cap Value Fund

  

Class A

                

12/31/2013

   $ 9.74      $ 0.06      $ 3.56      $ 3.62      $ (0.04 )    $ (0.81 )    $ 12.51        37.35 %    $ 198,874        48 %      1.06 %      1.06 %      0.51 % 

12/31/2012

     8.41        0.08        1.57        1.65        (0.09 )      (0.23 )      9.74        19.68        99,004        86        1.06        1.06        0.91   

12/31/2011

     10.13        0.03        (0.90 )      (0.87 )      (0.02 )      (0.83 )      8.41        (8.02 )      68,493        75        1.06        1.06        0.26   

12/31/2010

     8.37        0.03        2.28        2.31        (0.01 )      (0.54 )      10.13        27.71        61,362        67        1.06        1.06        0.32   

12/31/2009

     6.27        0.04        2.09        2.13        (0.03 )      –        8.37        33.97        15,861        114        1.06        1.06        0.60   

Class B

                

12/31/2013

     9.76        0.08        3.57        3.65        (0.06 )      (0.81 )      12.54        37.56        16,945        48        0.86        0.86        0.72   

12/31/2012

     8.43        0.10        1.58        1.68        (0.12 )      (0.23 )      9.76        19.93        6,729        86        0.86        0.86        1.10   

12/31/2011

     10.15        0.05        (0.90 )      (0.85 )      (0.04 )      (0.83 )      8.43        (7.84 )      6,119        75        0.86        0.86        0.46   

12/31/2010

     8.38        0.04        2.29        2.33        (0.02 )      (0.54 )      10.15        27.91        6,170        67        0.86        0.86        0.46   

12/31/2009

     6.27        0.05        2.10        2.15        (0.04 )      –        8.38        34.30        3,850        114        0.86        0.86        0.68   

JNL/PPM America Value Equity Fund

  

Class A

                

12/31/2013

     12.96        0.23        4.98        5.21        (0.20 )      –        17.97        40.23 (t)      179,288        31        0.86        0.86        1.45   

12/31/2012

     11.36        0.21        1.57        1.78        (0.18 )      –        12.96        15.66        118,286        39        0.86        0.86        1.63   

12/31/2011

     12.15        0.17        (0.82 )      (0.65 )      (0.14 )      –        11.36        (5.26 )      102,336        50        0.86        0.86        1.39   

12/31/2010

     10.46        0.14        1.68        1.82        (0.13 )      –        12.15        17.46        113,586        36        0.86        0.86        1.29   

12/31/2009

     7.57        0.14        3.23        3.37        (0.48 )      –        10.46        44.58        93,660        63        0.86        0.86        1.65   

Class B

                

12/31/2013

     13.01        0.26        5.01        5.27        (0.23 )      –        18.05        40.50 (t)      550        31        0.66        0.66        1.63   

12/31/2012

     11.40        0.23        1.59        1.82        (0.21 )      –        13.01        15.92        369        39        0.66        0.66        1.83   

12/31/2011

     12.19        0.18        (0.80 )      (0.62 )      (0.17 )      –        11.40        (5.06 )      264        50        0.66        0.66        1.47   

12/31/2010

     10.50        0.15        1.69        1.84        (0.15 )      –        12.19        17.55        372        36        0.66        0.66        1.37   

12/31/2009

     7.62        0.16        3.24        3.40        (0.52 )      –        10.50        44.72        675        63        0.66        0.66        1.61   

JNL/Red Rocks Listed Private Equity Fund

  

Class A

                

12/31/2013

     9.33        0.20        3.64        3.84        (1.00 )      –        12.17        41.66        826,147        40        1.17        1.17        1.80   

12/31/2012

     7.25        0.15        2.04        2.19        –        (0.11 )      9.33        30.26        684,236        31        1.17        1.17        1.79   

12/31/2011

     10.07        0.19        (1.96 )      (1.77 )      (0.85 )      (0.20 )      7.25        (17.97 )      602,339        65        1.17        1.17        1.88   

12/31/2010

     8.03        0.07        2.04        2.11        (0.02 )      (0.05 )      10.07        26.32        643,051        24        1.18        1.18        0.76   

12/31/2009

     5.91        0.07        2.31        2.38        (0.25 )      (0.01 )      8.03        40.33        223,873        34        1.20        1.20        0.92   

Class B

                

12/31/2013

     9.40        0.22        3.66        3.88        (1.02 )      –        12.26        41.79        550        40        0.97        0.97        1.96   

12/31/2012

     7.28        0.17        2.06        2.23        –        (0.11 )      9.40        30.69        430        31        0.97        0.97        2.00   

12/31/2011

     10.10        0.22        (1.98 )      (1.76 )      (0.86 )      (0.20 )      7.28        (17.83 )      402        65        0.97        0.97        2.23   

12/31/2010

     8.04        0.07        2.06        2.13        (0.02 )      (0.05 )      10.10        26.53        234        24        0.98        0.98        0.85   

12/31/2009

     5.91        0.09        2.31        2.40        (0.26 )      (0.01 )      8.04        40.62        156        34        1.00        1.00        1.36   

JNL/S&P Competitive Advantage Fund

  

Class A

                

12/31/2013

     12.54        0.09        5.27        5.36        (0.09 )      (0.99 )      16.82        42.94        1,720,778        68        0.67        0.67        0.59   

12/31/2012

     10.95        0.14        1.68        1.82        (0.07 )      (0.16 )      12.54        16.63        824,193        58        0.69        0.69        1.17   

12/31/2011

     10.70        0.13        0.99        1.12        (0.09 )      (0.78 )      10.95        10.53        534,406        67        0.70        0.70        1.17   

12/31/2010

     9.95        0.14        1.11        1.25        (0.08 )      (0.42 )      10.70        12.63        296,032        77        0.71        0.71        1.35   

12/31/2009

     6.90        0.11        2.94        3.05        (0.00 )(f)      –        9.95        44.22        254,695        101        0.72        0.72        1.28   

Class B

                

12/31/2013

     12.56        0.12        5.28        5.40        (0.10 )      (0.99 )      16.87        43.23        473        68        0.47        0.47        0.79   

12/31/2012

     10.95        0.21        1.64        1.85        (0.08 )      (0.16 )      12.56        16.91        531        58        0.49        0.49        1.70   

12/31/2011

     10.70        0.15        0.98        1.13        (0.10 )      (0.78 )      10.95        10.65        102        67        0.50        0.50        1.38   

12/31/2010

     9.94        0.16        1.12        1.28        (0.10 )      (0.42 )      10.70        12.87        59        77        0.51        0.51        1.55   

12/31/2009

     6.87        0.14        2.93        3.07        (0.00 )(f)      –        9.94        44.70        50        101        0.52        0.52        1.57   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  

Period

Ended

  

Net Asset

Value,

Beginning

of Period

     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		    

Net

Investment
Income

     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		    

Net Assets,

End of

Period (in

thousands)

     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/S&P Dividend Income & Growth Fund

  

Class A

                

12/31/2013

   $ 11.39      $ 0.36      $ 3.13      $ 3.49      $ (0.19 )    $ (0.45 )    $ 14.24        30.78 %    $ 2,928,292        57 %      0.67 %      0.67 %      2.66 % 

12/31/2012

     10.70        0.38        0.99        1.37        (0.18 )      (0.50 )      11.39        12.81        1,267,104        55        0.67        0.67        3.30   

12/31/2011

     9.76        0.32        0.89        1.21        (0.13 )      (0.14 )      10.70        12.42        920,551        62        0.69        0.69        3.10   

12/31/2010

     8.69        0.31        1.26        1.57        (0.11 )      (0.39 )      9.76        18.24        440,926        38        0.70        0.70        3.33   

12/31/2009

     7.04        0.23        1.42        1.65        (0.00 )(f)      –        8.69        23.47        239,392        84        0.72        0.72        3.24   

Class B

                

12/31/2013

     11.46        0.39        3.16        3.55        (0.20 )      (0.45 )      14.36        31.14        1,082        57        0.47        0.47        2.85   

12/31/2012

     10.76        0.41        0.98        1.39        (0.19 )      (0.50 )      11.46        12.93        447        55        0.47        0.47        3.50   

12/31/2011

     9.80        0.35        0.89        1.24        (0.14 )      (0.14 )      10.76        12.66        341        62        0.49        0.49        3.34   

12/31/2010

     8.70        0.33        1.28        1.61        (0.12 )      (0.39 )      9.80        18.65        166        38        0.50        0.50        3.57   

12/31/2009

     7.03        0.25        1.42        1.67        (0.00 )(f)      –        8.70        23.79        158        84        0.52        0.52        3.40   

JNL/S&P Intrinsic Value Fund

  

Class A

                

12/31/2013

     10.93        0.21        5.22        5.43        (0.13 )      (0.64 )      15.59        49.95        1,616,263        105        0.68        0.68        1.51   

12/31/2012

     9.90        0.20        1.20        1.40        (0.11 )      (0.26 )      10.93        14.11        698,722        75        0.69        0.69        1.90   

12/31/2011

     9.97        0.16        0.50        0.66        (0.08 )      (0.65 )      9.90        6.52        568,684        104        0.70        0.70        1.51   

12/31/2010

     9.75        0.15        1.24        1.39        (0.08 )      (1.09 )      9.97        14.39        319,617        103        0.71        0.71        1.52   

12/31/2009

     6.21        0.11        3.43        3.54        (0.00 )(f)      –        9.75        57.04        246,578        151        0.72        0.72        1.40   

Class B

                

12/31/2013

     11.05        0.24        5.28        5.52        (0.14 )      (0.64 )      15.79        50.26        731        105        0.48        0.48        1.69   

12/31/2012

     10.00        0.25        1.18        1.43        (0.12 )      (0.26 )      11.05        14.31        421        75        0.49        0.49        2.28   

12/31/2011

     10.05        0.17        0.52        0.69        (0.09 )      (0.65 )      10.00        6.77        196        104        0.50        0.50        1.62   

12/31/2010

     9.80        0.17        1.26        1.43        (0.09 )      (1.09 )      10.05        14.74        100        103        0.51        0.51        1.68   

12/31/2009

     6.21        0.12        3.47        3.59        (0.00 )(f)      –        9.80        57.84        108        151        0.52        0.52        1.45   

JNL/S&P Total Yield Fund

  

Class A

                

12/31/2013

     10.36        0.23        5.10        5.33        (0.13 )      (0.58 )      14.98        51.68        1,167,108        121        0.68        0.68        1.74   

12/31/2012

     8.66        0.20        1.69        1.89        (0.09 )      (0.10 )      10.36        21.83        518,667        74        0.70        0.70        2.03   

12/31/2011

     9.74        0.14        (0.66 )      (0.52 )      (0.10 )      (0.46 )      8.66        (5.40 )      368,696        76        0.70        0.70        1.47   

12/31/2010

     9.10        0.16        0.75        0.91        (0.07 )      (0.20 )      9.74        10.08        281,137        88        0.71        0.71        1.71   

12/31/2009

     6.37        0.10        2.63        2.73        (0.00 )(f)      –        9.10        42.88        212,981        126        0.72        0.72        1.28   

Class B

                

12/31/2013

     10.40        0.27        5.11        5.38        (0.14 )      (0.58 )      15.06        52.00        547        121        0.48        0.48        2.00   

12/31/2012

     8.68        0.21        1.71        1.92        (0.10 )      (0.10 )      10.40        22.16        128        74        0.50        0.50        2.18   

12/31/2011

     9.76        0.16        (0.67 )      (0.51 )      (0.11 )      (0.46 )      8.68        (5.27 )      126        76        0.50        0.50        1.66   

12/31/2010

     9.11        0.18        0.75        0.93        (0.08 )      (0.20 )      9.76        10.30        65        88        0.51        0.51        1.90   

12/31/2009

     6.37        0.11        2.63        2.74        (0.00 )(f)      –        9.11        43.04        55        126        0.52        0.52        1.50   

JNL/T. Rowe Price Established Growth Fund

  

Class A

                

12/31/2013

     24.92        (0.05 )      9.68        9.63        (0.02 )      (1.20 )      33.33        38.67        4,323,901        33        0.86        0.86        (0.16 ) 

12/31/2012

     20.97        0.03        3.92        3.95        –        –        24.92        18.84        2,497,336        29        0.87        0.87        0.11   

12/31/2011

     21.22        (0.02 )      (0.23 )      (0.25 )      –        –        20.97        (1.18 )      1,802,773        28        0.87        0.87        (0.11 ) 

12/31/2010

     18.18        (0.02 )      3.07        3.05        (0.01 )      –        21.22        16.76        1,475,748        35        0.88        0.88        (0.10 ) 

12/31/2009

     12.70        0.02        5.50        5.52        (0.04 )      –        18.18        43.49        916,445        62        0.91        0.91        0.12   

Class B

                

12/31/2013

     25.31        0.01        9.85        9.86        (0.06 )      (1.20 )      33.91        38.97        58,140        33        0.66        0.66        0.04   

12/31/2012

     21.26        0.07        3.98        4.05        –        –        25.31        19.05        42,448        29        0.67        0.67        0.29   

12/31/2011

     21.47        0.02        (0.23 )      (0.21 )      –        –        21.26        (0.98 )      35,832        28        0.67        0.67        0.08   

12/31/2010

     18.37        0.02        3.11        3.13        (0.03 )      –        21.47        17.02        35,881        35        0.68        0.68        0.09   

12/31/2009

     12.83        0.05        5.57        5.62        (0.08 )      –        18.37        43.79        30,411        62        0.71        0.71        0.33   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  

Period

Ended

  

Net Asset

Value,

Beginning

of Period

     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		    

Net

Investment
Income

     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		    

Net Assets,

End of

Period (in

thousands)

     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/T. Rowe Price Mid-Cap Growth Fund

  

Class A

            

12/31/2013

   $ 29.14      $ (0.13 )    $ 10.74      $ 10.61      $ –      $ (2.28 )    $ 37.47        36.50 %(t)    $ 2,508,258        33 %      1.01 %      1.01 %      (0.39 )% 

12/31/2012

     26.86        (0.04 )      3.69        3.65        (0.06 )      (1.31 )      29.14        13.59        1,729,982        33        1.01        1.01        (0.12 ) 

12/31/2011

     29.78        (0.14 )      (0.32 )      (0.46 )      (0.00 )(f)      (2.46 )      26.86        (1.46 )      1,437,209        38        1.01        1.01        (0.47 ) 

12/31/2010

     23.79        0.00        6.62        6.62        (0.04 )      (0.59 )      29.78        27.86        1,366,836        27        1.01        1.01        0.01   

12/31/2009

     16.20        (0.05 )      7.65        7.60        –        (0.01 )(p)      23.79        46.93        820,894        32        1.02        1.02        (0.26 ) 

Class B

            

12/31/2013

     29.81        (0.07 )      10.99        10.92        –        (2.28 )      38.45        36.72 (t)      57,214        33        0.81        0.81        (0.19 ) 

12/31/2012

     27.44        0.02        3.78        3.80        (0.12 )      (1.31 )      29.81        13.83        41,608        33        0.81        0.81        0.06   

12/31/2011

     30.31        (0.08 )      (0.32 )      (0.40 )      (0.01 )      (2.46 )      27.44        (1.25 )      38,236        38        0.81        0.81        (0.27 ) 

12/31/2010

     24.19        0.05        6.74        6.79        (0.08 )      (0.59 )      30.31        28.10        38,125        27        0.81        0.81        0.17   

12/31/2009

     16.44        (0.01 )      7.77        7.76        –        (0.01 )(p)      24.19        47.22        28,372        32        0.82        0.82        (0.05 ) 

JNL/T. Rowe Price Short-Term Bond Fund

  

Class A

            

12/31/2013

     10.06        0.07        (0.06 )      0.01        (0.13 )      –        9.94        0.10        1,657,217        59        0.70        0.70        0.72   

12/31/2012

     9.91        0.11        0.13        0.24        (0.09 )      –        10.06        2.44        2,018,886        45        0.71        0.71        1.08   

12/31/2011

     9.88        0.14        0.00        0.14        (0.11 )      –        9.91        1.38        1,220,682        50        0.72        0.72        1.41   

12/31/2010

     9.71        0.17        0.11        0.28        (0.11 )      –        9.88        2.94        872,892        54        0.72        0.72        1.67   

12/31/2009

     9.36        0.25        0.47        0.72        (0.28 )      (0.09 )      9.71        7.64        484,832        102        0.74        0.74        2.56   

Class B

            

12/31/2013

     10.15        0.09        (0.06 )      0.03        (0.15 )      –        10.03        0.28        294        59        0.50        0.50        0.91   

12/31/2012

     9.99        0.14        0.12        0.26        (0.10 )      –        10.15        2.64        206        45        0.51        0.51        1.36   

12/31/2011

     9.95        0.16        0.00        0.16        (0.12 )      –        9.99        1.58        284        50        0.52        0.52        1.54   

12/31/2010

     9.76        0.19        0.12        0.31        (0.12 )      –        9.95        3.22        88        54        0.52        0.52        1.87   

12/31/2009

     9.41        0.26        0.47        0.73        (0.29 )      (0.09 )      9.76        7.74        211        102        0.54        0.54        2.57   

JNL/T. Rowe Price Value Fund

  

Class A

            

12/31/2013

     12.34        0.18        4.38        4.56        (0.18 )      (0.59 )      16.13        37.14        2,428,256        39        0.91        0.92        1.25   

12/31/2012

     10.47        0.20        1.82        2.02        (0.15 )      –        12.34        19.33        1,565,619        62        0.92        0.93        1.76   

12/31/2011

     10.84        0.17        (0.39 )      (0.22 )      (0.15 )      –        10.47        (2.07 )      1,305,413        51        0.93        0.93        1.53   

12/31/2010

     9.44        0.19        1.31        1.50        (0.10 )      –        10.84        15.89        1,136,182        27        0.94        0.94        1.97   

12/31/2009

     6.98        0.15        2.44        2.59        (0.13 )      –        9.44        37.09        727,672        21        0.96        0.96        1.89   

Class B

            

12/31/2013

     12.68        0.22        4.50        4.72        (0.20 )      (0.59 )      16.61        37.42        1,210        39        0.71        0.72        1.46   

12/31/2012

     10.75        0.23        1.87        2.10        (0.17 )      –        12.68        19.58        1,008        62        0.72        0.73        1.96   

12/31/2011

     11.11        0.19        (0.39 )      (0.20 )      (0.16 )      –        10.75        (1.80 )      731        51        0.73        0.73        1.75   

12/31/2010

     9.67        0.22        1.33        1.55        (0.11 )      –        11.11        16.04        594        27        0.74        0.74        2.19   

12/31/2009

     7.14        0.17        2.50        2.67        (0.14 )      –        9.67        37.46        549        21        0.76        0.76        2.16   

JNL/WMC Balanced Fund

  

Class A

            

12/31/2013

     18.15        0.31        3.18        3.49        (0.28 )      (0.29 )      21.07        19.33        3,345,428        205 (q)      0.74        0.74        1.53   

12/31/2012

     16.81        0.32        1.37        1.69        (0.22 )      (0.13 )      18.15        10.10        2,398,046        100 (q)      0.74        0.74        1.79   

12/31/2011

     16.45        0.30        0.24        0.54        (0.18 )      –        16.81        3.27        1,792,691        52 (q)      0.74        0.74        1.81   

12/31/2010

     15.01        0.28        1.34        1.62        (0.18 )      –        16.45        10.83        1,290,162        46 (q)      0.76        0.76        1.84   

12/31/2009

     12.81        0.34        2.19        2.53        (0.33 )      –        15.01        19.78        736,864        54 (q)      0.78        0.78        2.53   

Class B

            

12/31/2013

     18.54        0.35        3.27        3.62        (0.31 )      (0.29 )      21.56        19.62        1,404        205 (q)      0.54        0.54        1.73   

12/31/2012

     17.16        0.36        1.39        1.75        (0.24 )      (0.13 )      18.54        10.26        1,181        100 (q)      0.54        0.54        1.99   

12/31/2011

     16.77        0.34        0.25        0.59        (0.20 )      –        17.16        3.50        1,230        52 (q)      0.54        0.54        2.00   

12/31/2010

     15.29        0.32        1.35        1.67        (0.19 )      –        16.77        10.99        1,041        46 (q)      0.56        0.56        2.04   

12/31/2009

     13.03        0.38        2.24        2.62        (0.36 )      –        15.29        20.08        855        54 (q)      0.58        0.58        2.74   

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

          Increase (Decrease) from
Investment Operations(a)		     Distributions from           Supplemental Data     Ratios(b)  

Period

Ended

  

Net Asset

Value,

Beginning

of Period

     Net
Investment
Income
(Loss)		     Net Realized
& Unrealized
Gains
(Losses)		     Total from
Investment
Operations		    

Net

Investment
Income

     Net Realized
Gains on
Investment
Transactions		     Net Asset
Value,
End of
Period		     Total
Return(c)		    

Net Assets,

End of

Period (in

thousands)

     Portfolio
Turnover(d)		     Net
Expenses to
Average
Net Assets		     Total
Expenses to
Average
Net Assets		     Net Investment
Income (Loss)
to Average
Net Assets		  

JNL/WMC Money Market Fund

  

Class A

                          

12/31/2013

   $ 1.00      $ 0.00      $ 0.00      $ 0.00      $ (0.00 )(f)    $ (0.00 )(f)    $ 1.00        0.00 %    $ 1,328,987        N/A        0.19 %      0.57 %      0.00 %(r) 

12/31/2012

     1.00        0.00        0.00        0.00        (0.00 )(f)      (0.00 )(f)      1.00        0.00        1,243,885        N/A        0.25        0.57        0.00 (r) 

12/31/2011

     1.00        0.00        0.00        0.00        (0.00 )(f)      (0.00 )(f)      1.00        0.00        1,054,701        N/A        0.23        0.57        0.00 (r) 

12/31/2010

     1.00        0.00        0.00        0.00        (0.00 )(f)      –        1.00        0.00        706,007        N/A        0.27        0.57        0.00 (r) 

12/31/2009

     1.00        0.00        0.00        0.00        (0.00 )(f)      –        1.00        0.15 (s)      1,140,511        N/A        0.47        0.57        0.16 (r) 

Class B

                          

12/31/2013

     1.00        0.00        0.00        0.00        (0.00 )(f)      (0.00 )(f)      1.00        0.00        7,755        N/A        0.19        0.37        0.00 (r) 

12/31/2012

     1.00        0.00        0.00        0.00        (0.00 )(f)      (0.00 )(f)      1.00        0.00        7,924        N/A        0.25        0.37        0.00 (r) 

12/31/2011

     1.00        0.00        0.00        0.00        (0.00 )(f)      (0.00 )(f)      1.00        0.00        8,547        N/A        0.23        0.37        0.00 (r) 

12/31/2010

     1.00        0.00        0.00        0.00        (0.00 )(f)      –        1.00        0.00        7,245        N/A        0.27        0.37        0.00 (r) 

12/31/2009

     1.00        0.00        0.00        0.00        (0.00 )(f)      –        1.00        0.21 (s)      7,270        N/A        0.37        0.37        0.24 (r) 

JNL/WMC Value Fund

  

Class A

                          

12/31/2013

     18.54        0.35        5.39        5.74        (0.40 )      (0.87 )      23.01        31.05        1,717,996        23 %      0.78        0.78        1.63   

12/31/2012

     16.83        0.37        2.39        2.76        (0.42 )      (0.63 )      18.54        16.35        1,262,528        31        0.78        0.78        2.00   

12/31/2011

     17.37        0.29        (0.66 )      (0.37 )      (0.17 )      –        16.83        (2.06 )      1,220,027        19        0.79        0.79        1.66   

12/31/2010

     15.41        0.21        1.90        2.11        (0.15 )      –        17.37        13.70        1,138,293        25        0.80        0.80        1.34   

12/31/2009

     12.60        0.22        2.80        3.02        (0.21 )      –        15.41        23.98        762,013        42        0.82        0.82        1.64   

Class B

                          

12/31/2013

     18.87        0.41        5.48        5.89        (0.45 )      (0.87 )      23.44        31.27        27,300        23        0.58        0.58        1.84   

12/31/2012

     17.12        0.42        2.43        2.85        (0.47 )      (0.63 )      18.87        16.59        19,665        31        0.58        0.58        2.20   

12/31/2011

     17.66        0.33        (0.68 )      (0.35 )      (0.19 )      –        17.12        (1.87 )      17,156        19        0.59        0.59        1.86   

12/31/2010

     15.65        0.25        1.93        2.18        (0.17 )      –        17.66        13.92        17,032        25        0.60        0.60        1.53   

12/31/2009

     12.79        0.25        2.84        3.09        (0.23 )      –        15.65        24.18        14,220        42        0.62        0.62        1.87   

 

*

Commencement of operations was as follows: JNL/AQR Managed Futures Strategy Fund - August 29, 2011; JNL/BlackRock Global Allocation Fund - October 11, 2010; JNL/Brookfield Global Infrastructure Fund - December 12, 2011; JNL/Franklin Templeton Global Multisector Bond Fund - December 12, 2011; JNL/Ivy Asset Strategy Fund - September 28, 2009; JNL/Mellon Capital Emerging Markets Index Fund - August 29, 2011; JNL/Mellon Capital Global Alpha Fund - September 28, 2009; JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund - April 30, 2012; JNL/Mellon Capital Utilities Sector Fund - April 29, 2013; JNL/Morgan Stanley Mid Cap Growth Fund - April 30, 2012; JNL/Neuberger Berman Strategic Income Fund - April 30, 2012; JNL/PPM America Floating Rate Income Fund - January 1, 2011

(a)

Calculated using the average shares method.

(b)

Annualized for periods less than one year.

(c)

Total return assumes reinvestment of all distributions for the period. Total return does not reflect payment of the expenses that apply to the variable accounts or any annuity charges.

(d)

Portfolio turnover is not annualized for periods of less than one year and excludes dollar roll transactions. Securities sold short are considered long term investments for purposes of calculating portfolio turnover.

(e)

For the years ended 2011 and 2012, Consolidated Financial Statements. Refer to Note 2 in the Notes to the Financial Statements. Prior to August 27, 2011, the JNL/BlackRock Global Allocation Fund had a Master-Feeder structure and invested substantially all its assets in a Master Fund. For periods prior to August 27, 2011 that the Fund had a Master-Feeder structure, the ratios of net investment income and expenses to average net assets do not include the impact of the Master Fund’s expenses.

(f)

Amount represents less than $0.005.

(g)

Portfolio turnover for the JNL/BlackRock Global Allocation Fund excludes the liquidation transactions related to the transition from a Master-Feeder structure to a Sub-Advised Fund.

(h)

Portfolio turnover including dollar roll transactions for JNL/Capital Guardian Global Balanced Fund was 52%, 53%, 86% and 100% in 2010, 2011, 2012 and 2013, respectively.

(i)

Total return for the JNL/Capital Guardian Global Diversified Research Fund includes class action settlement proceeds. The return for Class A and Class B shares without the class action settlement proceeds was 36.07% and 36.40%, respectively.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Financial Highlights

For a Share Outstanding

 

(j)

The net and total ratios of expenses to average net assets without dividend expenses, borrowing fees on securities sold short or interest expense for the following funds were as follows:

 

    

December 31,

2013

    

December 31,

2012

    

December 31,

2011

    

December 31,

2010

    

December 31,

2009

  

JNL/BlackRock Global Allocation Fund

           

Class A

      1.08 %      N/A        N/A        N/A        N/A   

Class B

      0.88        N/A        N/A        N/A        N/A   

JNL/Franklin Templeton Mutual Shares Fund

           

Class A

      N/A        N/A        N/A        N/A        1.06 % 

Class B

      N/A        N/A        N/A        N/A        0.86   

JNL/Goldman Sachs U.S. Equity Flex Fund

           

Class A

      1.15        1.16 %      1.15 %      1.16 %      1.17   

Class B

      0.95        0.96        0.95        0.96        0.97   

JNL/PIMCO Real Return Fund

           

Class A

      0.79        0.79        0.79        N/A        N/A   

Class B

      0.59        0.59        0.59        N/A        N/A   

JNL/PIMCO Total Return Bond Fund

           

Class A

      0.80        0.80        0.80        N/A        N/A   

Class B

      0.60        0.60        0.60        N/A        N/A   

 

(k)

Portfolio turnover including dollar roll transactions for JNL/Goldman Sachs Core Plus Bond Fund was 484%, 1,137%, 1,302%, 1,111% and 748% in 2009, 2010, 2011, 2012 and 2013, respectively.

(l)

Distribution amount for the JNL/Goldman Sachs Mid Cap Value Fund includes a return of capital distribution for Class A and Class B shares of $0.03 and $0.03 per share, respectively, for the year ended December 31, 2011.

(m)

Total return for the JNL/Invesco International Growth Fund includes class action settlement proceeds. The return for Class A and Class B shares without the class action settlement proceeds was 36.63% and 39.63%, respectively.

(n)

Portfolio turnover including dollar roll transactions for JNL/Mellon Capital Bond Index Fund was 90%, 83%, 106%, 89% and 156%, in 2009, 2010, 2011, 2012 and 2013, respectively.

(o)

Portfolio turnover including dollar roll transactions for JNL/Neuberger Berman Strategic Income Fund was 246% and 380% in 2012 and 2013, respectively.

(p)

Distribution amount for the JNL/T. Rowe Price Mid-Cap Growth Fund includes a return of capital distribution for Class A and Class B shares of $0.01 and $0.01 per share, respectively, for the year ended December 31, 2009.

(q)

Portfolio turnover including dollar roll transactions for JNL/WMC Balanced Fund was 81%, 90%, 139%, 223% and 283% in 2009, 2010, 2011, 2012 and 2013, respectively.

(r)

The ratios for net income (loss) to average net assets without expense waivers for JNL/WMC Money Market Fund for 2009, 2010, 2011, 2012 and 2013 was 0.06%, (0.30)%, (0.34)%, (0.32)% and (0.38)%, respectively for Class A and 0.24%, (0.10)%, (0.14)%, (0.12)% and (0.18)%, respectively for Class B shares.

(s)

Total return for the JNL/WMC Money Market Fund includes class action settlement proceeds. The return for Class A and Class B shares without the class action settlement proceeds was 0.14% and 0.20%, respectively.

(t)

Total return for the Fund includes class action settlement proceeds. The return for Class A and Class B, respectively, without the class action settlement proceeds was as follows: JNL/BlackRock Large Cap Select Growth Fund - 38.94% and 39.26%; JNL/Capital Guardian Global Balanced Fund - 15.44% and 15.65%; JNL/Capital Guardian Global Diversified Research Fund - 23.15% and 23.40%; JNL/Eagle SmallCap Equity Fund - 30.43% and 30.65%; JNL/Invesco Mid Cap Value Fund - 30.82% and 31.05%; JNL/JPMorgan International Value Fund - 21.33% and 21.52%; JNL/JPMorgan U.S. Government & Quality Bond Fund - (3.59)% and (3.40)%; JNL/Mellon Capital S&P 400 Mid Cap Index Fund - 32.92% and 33.12%; JNL/Mellon Capital Small Cap Index Fund - 38.35% and 38.56%; JNL/PPM America Value Equity Fund - 40.15% and 40.42%; JNL/T.Rowe Price Mid-Cap Growth Fund - 36.47% and 36.69%.

(u)

For the year ended 2013, Consolidated Financial Statements. Refer to Note 2 in the Notes to the Financial Statements.

(v)

Distribution amount for the JNL/Morgan Stanley Mid Cap Growth Fund includes a return of capital distribution for Class A and Class B shares of $0.01 and $0.01 per share, respectively, for the year ended December 31, 2012.

(w)

Distribution amount for the JNL/Mellon Capital Small Cap Index Fund includes a return of capital distribution for Class A and Class B shares of $0.01 and $0.01 per share, respectively, for the year ended December 31, 2013.

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

NOTE 1. ORGANIZATION

The JNL Series Trust (“Trust”) is an open-end management investment company organized under the laws of the Commonwealth of Massachusetts, by a Declaration of Trust, dated June 1, 1994. The Trust is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended, (“1940 Act”), and its shares are registered under the Securities Act of 1933, as amended, (“1933 Act”). The Trust currently offers shares in eighty-nine (89) separate funds, each with its own investment objective. Information in these financial statements pertains to sixty-five (65) Funds (each a “Fund”, and collectively, “Funds”) offered by the Trust listed in the table below.

Jackson National Asset Management, LLC (“JNAM” or “Adviser”), a wholly-owned subsidiary of Jackson National Life Insurance Company® (“Jackson”), serves as investment adviser to each of the Funds. Jackson is an indirect wholly owned subsidiary of Prudential plc, a publicly traded company incorporated in the United Kingdom. Prudential plc is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is the United States of America. Shares of each Fund are sold to life insurance company separate accounts and other registered investment companies to fund the benefits of variable annuity contracts and variable life insurance policies. Shares may also be sold directly to qualified and non-qualified retirement plans and to other affiliated funds. The Funds and each Fund’s Adviser/Sub-Adviser are:

 

Adviser/Sub-Adviser:   Fund: (Sub-Sub-Advisers are in parenthesis)

AQR Capital Management, LLC

 

  

JNL/AQR Managed Futures Strategy Fund

 

BlackRock Investment Management, LLC

 

  

JNL/BlackRock Commodity Securities Strategy Fund, JNL/BlackRock Global Allocation Fund, JNL/BlackRock Large Cap Select Growth Fund

 

Brookfield Investment Management, Inc.

 

  

JNL/Brookfield Global Infrastructure Fund

 

Capital Guardian Trust Company

 

  

JNL/Capital Guardian Global Balanced Fund and JNL/Capital Guardian Global Diversified Research Fund

 

Dimensional Funds Advisors LP

 

  

JNL/DFA U.S. Core Equity Fund

 

Eagle Asset Management, Inc.

 

  

JNL/Eagle SmallCap Equity Fund

 

Eastspring Investments (Singapore) Limited*

 

  

JNL/Eastspring Investments Asia ex-Japan Fund and JNL/Eastspring Investments China-India Fund

 

Templeton Global Advisors Limited

 

  

JNL/Franklin Templeton Global Growth Fund

 

Franklin Advisers, Inc.

 

  

JNL/Franklin Templeton Global Multisector Bond Fund and JNL/Franklin Templeton Income Fund

 

Franklin Templeton Institutional, LLC

 

  

JNL/Franklin Templeton International Small Cap Growth Fund

 

Franklin Mutual Advisers, LLC

 

  

JNL/Franklin Templeton Mutual Shares Fund

 

Franklin Advisory Services, LLC

 

  

JNL/Franklin Templeton Small Cap Value Fund

 

Goldman Sachs Asset Management, L.P.

Goldman Sachs Asset Management International
(Sub-Sub-Adviser)

 

  

JNL/Goldman Sachs Core Plus Bond Fund (Goldman Sachs Asset Management International), JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/Goldman Sachs Mid Cap Value Fund, JNL/Goldman Sachs U.S. Equity Flex Fund

 

Invesco Advisers, Inc.

Invesco Asset Management Ltd.
(Sub-Sub-Adviser)

 

  

JNL/Invesco Global Real Estate Fund (Invesco Asset Management Ltd.), JNL/Invesco International Growth Fund, JNL/Invesco Large Cap Growth Fund, JNL/Invesco Mid Cap Value Fund, JNL/Invesco Small Cap Growth Fund

 

Ivy Investment Management Company

 

  

JNL/Ivy Asset Strategy Fund

 

J.P. Morgan Investment Management Inc.

 

  

JNL/JPMorgan International Value Fund, JNL/JPMorgan MidCap Growth Fund, JNL/JPMorgan U.S. Government & Quality Bond Fund

 

Lazard Asset Management, LLC

 

  

JNL/Lazard Emerging Markets Fund

 

M&G Investment Management Limited*

 

  

JNL/M&G Global Basics Fund

 

Mellon Capital Management Corporation  

JNL/Mellon Capital Emerging Markets Index Fund, JNL/Mellon Capital European 30 Fund, JNL/Mellon Capital Pacific Rim 30 Fund, JNL/Mellon Capital S&P 500 Index Fund, JNL/Mellon Capital S&P 400 MidCap Index Fund, JNL/Mellon Capital Small Cap Index Fund, JNL/Mellon Capital International Index Fund, JNL/Mellon Capital Bond Index Fund, JNL/Mellon Capital Global Alpha Fund, JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund, JNL/Mellon Capital Utilities Sector Fund

 

Morgan Stanley Investment Management Inc.

 

  

JNL/Morgan Stanley Mid Cap Growth Fund

 

Neuberger Berman Fixed Income LLC

 

  

JNL/Neuberger Berman Strategic Income Fund

 

OppenheimerFunds, Inc.

 

  

JNL/Oppenheimer Global Growth Fund

 

Pacific Investment Management Company LLC

 

  

JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund

 

PPM America, Inc.*

 

  

JNL/PPM America Floating Rate Income Fund, JNL/PPM America High Yield Bond Fund, JNL/PPM America Mid Cap Value Fund, JNL/PPM America Small Cap Value Fund, JNL/PPM America Value Equity Fund

 

Red Rocks Capital LLC

 

  

JNL/Red Rocks Listed Private Equity Fund

 

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Adviser/Sub-Adviser:

   Fund: (Sub-Sub-Advisers are in parenthesis)

Standard & Poor’s Investment Advisory Services LLC

 

  

JNL/S&P Competitive Advantage Fund, JNL/S&P Dividend Income & Growth Fund, JNL/S&P Intrinsic Value Fund, JNL/S&P Total Yield Fund (all Co-Sub-Advised by Mellon Capital Management Corporation)

 

T. Rowe Price Associates, Inc.

 

  

JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund (Co-Sub-Advised by Mellon Capital Management Corporation), JNL/T. Rowe Price Short-Term Bond Fund, JNL/T. Rowe Price Value Fund

 

Wellington Management Company, LLP

 

  

JNL/WMC Balanced Fund, JNL/WMC Money Market Fund, JNL/WMC Value Fund

 

 

*

M&G Investment Management Limited, PPM America, Inc., and Eastspring Investments (Singapore) Limited are affiliates of JNAM.

The Funds are diversified Funds for purposes of the 1940 Act, with the exception of the following non-diversified Funds: JNL/AQR Managed Futures Strategy Fund, JNL/BlackRock Commodity Securities Strategy Fund, JNL/BlackRock Global Allocation Fund, JNL/Brookfield Global Infrastructure Fund, JNL/Eastspring Investments Asia ex-Japan Fund, JNL/Eastspring Investments China-India Fund, JNL/Franklin Templeton Global Multisector Bond Fund, JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/Invesco Mid Cap Value Fund, JNL/M&G Global Basics Fund, JNL/Mellon Capital European 30 Fund, JNL/Mellon Capital Pacific Rim 30 Fund, JNL/Mellon Capital Global Alpha Fund, JNL/Mellon Capital Utilities Sector Fund, JNL/PIMCO Real Return Fund, JNL/PPM America Floating Rate Income Fund, JNL/Red Rocks Listed Private Equity Fund, JNL/S&P Competitive Advantage Fund, JNL/S&P Dividend Income & Growth Fund, JNL/S&P Intrinsic Value Fund and JNL/S&P Total Yield Fund,.

Each Fund, except JNL/Mellon Capital Utilities Sector Fund and JNL/PPM America Floating Rate Income Fund, offers Class A and Class B shares. The two classes differ principally in applicable 12b-1 fees. Shareholders bear the common expenses of each Fund and earn income and realized gains/losses from each Fund pro rata based on the average daily net assets of each class, without discrimination between share classes. Each share class also has different voting rights on matters affecting a single class. No class has preferential dividend rights. Trust level expenses are allocated to the Funds based on the average daily net assets of each Fund.

JNL/Mellon Capital Utilities Sector Fund commenced operations on April 29, 2013.

Effective April 29, 2013, the names of the following Funds changed:

 

Prior Fund Name:    Effective April 29, 2013:
JNL/BlackRock Commodity Securities Fund    JNL/BlackRock Commodity Securities Strategy Fund
JNL/Mellon Capital Management Emerging Markets Index Fund    JNL/Mellon Capital Emerging Markets Index Fund
JNL/Mellon Capital Management European 30 Fund    JNL/Mellon Capital European 30 Fund
JNL/Mellon Capital Management Pacific Rim 30 Fund    JNL/Mellon Capital Pacific Rim 30 Fund
JNL/Mellon Capital Management S&P 500 Index Fund    JNL/Mellon Capital S&P 500 Index Fund
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund    JNL/Mellon Capital S&P 400 Mid Cap Index Fund
JNL/Mellon Capital Management Small Cap Index Fund    JNL/Mellon Capital Small Cap Index Fund
JNL/Mellon Capital Management International Index Fund    JNL/Mellon Capital International Index Fund
JNL/Mellon Capital Management Bond Index Fund    JNL/Mellon Capital Bond Index Fund
JNL/Mellon Capital Management Global Alpha Fund    JNL/Mellon Capital Global Alpha Fund
JNL/Mellon Capital Management Dow Jones U.S. Contrarian Opportunities Index Fund    JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

Effective September 16, 2013, the Sub-Adviser for JNL/Lazard Mid Cap Equity Fund was changed from Lazard Asset Management LLC to Invesco Advisers, Inc. The name of the Fund was changed to JNL/Invesco Mid Cap Value Fund. The Sub-Adviser for JNL/UBS Large Cap Select Growth Fund was changed from UBS Global Asset Management (Americas) Inc. to BlackRock Investment Management, Inc. The name of the Fund was changed to JNL/BlackRock Large Cap Select Growth Fund.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are investment companies and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”):

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

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

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 (“OTC”) market. Investments in mutual funds are valued at the NAV per share determined as of the close of the NYSE on each valuation date. The Securities Lending Cash Collateral Fund LLC, which provides daily liquidity, is valued at the daily reported NAV of the fund, 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 for a long position and ask quotation for a short position or an evaluated price, as applicable, obtained from each Fund’s Sub-Adviser, 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 approved pricing services. Futures contracts traded on an exchange are valued at the exchange’s settlement price which reflects fair value. 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 an 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. Forward foreign currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE. Centrally cleared swap agreements, listed on a multilateral or trade facility platform, such as a registered exchange, are valued by the respective exchange. The exchange determines a daily settlement price via pricing models which use, as appropriate, its members’ actionable levels across complete term structures along with external third party prices for centrally cleared credit default swaps and underlying rates including overnight index swap rates and forward interest rates for centrally cleared interest rate swaps. OTC derivatives, including options and swap agreements, are generally valued by approved pricing services. If the pricing services are unable to provide valuations, OTC 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 derivative instruments 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; broker quotes; and other relevant data.

Market quotations may not be readily available for certain investments or it may be determined that a quotation of an investment does not represent market value. In such instances, the investment is valued as determined in good faith using procedures approved 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 the value of U.S. securities markets. Securities are fair valued based on observable and unobservable inputs, including the Adviser’s or Pricing Committee’s own assumptions in determining fair value of an investment. Under the procedures approved by the Board, the Adviser may rely on pricing services or other sources, including each Fund’s Sub-Adviser, 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 Adviser 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 in an orderly transaction between market participants upon its current sale.

Distributions to Shareholders - The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. The JNL/WMC Money Market Fund declares dividends from net investment income daily and pays dividends monthly. For all other Funds, dividends from net investment income are generally declared and paid annually, but may be paid more frequently to avoid excise tax. Distributions of net realized capital gains, if any, will be distributed at least annually, to the extent they exceed available capital loss carry forwards.

Security Transactions and Investment Income - Security transactions are recorded on the trade date for financial reporting purposes. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date. Corporate actions involving foreign securities, including dividends, are recorded when the information becomes available. Income received in lieu of dividends for securities loaned is included in dividends in the Statements of Operations. Interest income, including level-yield amortization of discounts and premiums, is accrued daily. A Fund may place a debt obligation on non-accrual status and reduce related interest income by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Realized gains and losses are determined on the specific identification basis.

Expenses - Expenses are recorded on an accrual basis. Expenses of the Trust that are directly attributable to a specific Fund are charged to that Fund. Expenses attributable to a specific class of shares are charged to that class. Other Trust level expenses are allocated to the Funds based on the average daily net assets of each Fund.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

During the year ended December 31, 2013, an expense adjustment for professional fees was recorded for certain Funds to true up estimates for India tax services which are billed in arrears. The amount of the expense adjustment is reflected in footnote (b) and included in other net expenses in the Statements of Operations.

Foreign Taxes - The Funds may be subject to foreign taxes on income, gains on investments or foreign currency purchases and repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Foreign Currency Translations - The accounting records of each Fund are maintained in U.S. dollars. Each business day, the market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars based on current exchange rates. Purchases and sales of investment securities, income receipts and expense payments are translated into U.S. dollars based on the respective exchange rates prevailing on the dates of such transactions. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of foreign securities. Such fluctuations are included in net realized and unrealized gain or loss on investments.

Net realized gains and losses on foreign currency related items are considered ordinary income for tax purposes and arise from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar amounts actually received or paid; and the realized gains or losses resulting from portfolio and transaction hedges. Net unrealized gain or loss on foreign currency related items include gains and losses from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in currency exchange rates.

Guarantees and Indemnifications - In the normal course of business, the Trust may enter into contracts with service providers that contain a variety of representations which provide general indemnifications for certain liabilities. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Each Fund’s maximum exposure under these arrangements is unknown. However, since their commencement of operations, the Funds have not had claims or losses pursuant to these contracts and expect the risk of loss to be remote. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined and the Funds have no historical basis for predicting the likelihood of any such claims.

Use of Estimates - The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Basis of Consolidation - The accompanying financial statements and Schedules of Investments for JNL/AQR Managed Futures Strategy Fund, JNL/BlackRock Commodity Securities Strategy Fund, JNL/BlackRock Global Allocation Fund and JNL/Ivy Asset Strategy Fund have each been consolidated to include the respective account of JNL/AQR Managed Futures Strategy Fund Ltd., JNL/BlackRock Commodity Securities Strategy Fund Ltd., JNL/BlackRock Global Allocation Fund Ltd. and JNL/Ivy Asset Strategy Fund Ltd. (each a “Subsidiary”). Each Subsidiary is a wholly owned Cayman Islands domiciled subsidiary of the respective Fund, which primarily invests in commodity-related instruments. The Subsidiary allows each Fund to hold commodity-related instruments and meet regulated investment company (“RIC”) tax requirements in pursuit of its investment objectives as outlined in each Fund’s prospectus and statement of additional information. Each Fund is the sole shareholder of the Subsidiary with the intent that it will retain all rights to the Subsidiary. Each Fund may invest up to 25% of its total assets in the Subsidiary, which may invest without limitation in commodity-related instruments. Intercompany accounts and transactions have been eliminated. Each Subsidiary has the same Sub-Adviser as the Fund and is subject to the same investment policies and restrictions as the Fund.

Statement of Cash Flows - GAAP requires entities providing financial statements that report both a financial position and results of operations to also provide a statement of cash flows for each period for which results of operations are provided, but exempts investment companies meeting certain conditions. One of the conditions is that the enterprise had little or no debt, based on the average debt outstanding during the period, in relation to average total assets. Funds with certain degrees of borrowing activity, typically through the use of securities sold short, transactions characterized as secured borrowing transactions or reverse repurchase agreements, have been determined to be at a level requiring a Statement of Cash Flows.

NOTE 3. 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 or investments in mutual funds and securities lending collateral, which is valued as a practical expedient at its daily reported NAV.

Level 2 includes valuations determined from significant direct or indirect observable inputs. Direct observable inputs include broker quotes, third party prices, 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,

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including term loans, OTC derivatives, centrally cleared swap agreements, 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 or ADRs and GDRs for which quoted prices in active markets are not available.

Level 3 includes valuations determined from significant unobservable inputs 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, maturity or anticipated cash flows; or industry specific inputs such as: trading activity of similar markets or securities, changes in the security’s underlying index or changes in 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, private placements, newly issued or investments for which reliable quotes are otherwise not available.

To assess the continuing appropriateness of security valuation, the Adviser regularly compares prior day prices with current day prices, transaction prices and alternative vendor prices. When the comparison results exceed pre-defined thresholds, the Adviser challenges the prices exceeding tolerance levels with the pricing service or broker. To verify Level 3 unobservable inputs, the Adviser uses a variety of techniques as appropriate to substantiate these valuation approaches including a regular review of key inputs and assumptions, transaction back-testing or disposition analysis and review of related market activity.

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 (in thousands) as of December 31, 2013, by valuation level.

 

     Assets - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/AQR Managed Futures Strategy Fund

                  

Short Term Investments

    $ 283,043         $ 171,024         $ —         $ 454,067   
  

 

 

  

Fund Total

    $ 283,043         $ 171,024         $ —         $ 454,067   

JNL/BlackRock Commodity Securities Strategy Fund

                  

Common Stocks

    $ 1,095,520         $ 12,408         $ —         $ 1,107,928   

Commodity Indexed Structured Notes

      —           105,477           —           105,477   

Short Term Investments

      28,372           225,990           —           254,362   
  

 

 

  

Fund Total

    $ 1,123,892         $ 343,875         $ —         $ 1,467,767   

JNL/BlackRock Global Allocation Fund

                  

Common Stocks

    $ 1,034,714         $ 734,961         $ 1,367         $ 1,771,042   

Trust Preferreds

      7,065           —           —           7,065   

Preferred Stocks

      27,089           14,597           1,930           43,616   

Warrants

      —           130           —           130   

Purchased Options

      758           12,673           —           13,431   

Investment Companies

      31,372           —           —           31,372   

Corporate Bonds and Notes

      —           205,240           2,305           207,545   

Government and Agency Obligations

      —           321,598           —           321,598   

Short Term Investments

      62,724           316,872           —           379,596   
  

 

 

  

Fund Total

    $ 1,163,722         $ 1,606,071         $ 5,602         $ 2,775,395   

JNL/BlackRock Large Cap Select Growth Fund

                  

Common Stocks

    $ 958,999         $ 48,479         $ —         $ 1,007,478   

Short Term Investments

      16,190           —           —           16,190   
  

 

 

  

Fund Total

    $ 975,189         $ 48,479         $ —         $ 1,023,668   

JNL/Brookfield Global Infrastructure Fund

                  

Common Stocks

    $ 454,583         $ 207,386         $ —         $ 661,969   

Short Term Investments

      84,137           —           —           84,137   
  

 

 

  

Fund Total

    $ 538,720         $ 207,386         $ —         $ 746,106   

JNL/Capital Guardian Global Balanced Fund

                  

Common Stocks

    $ 166,457         $ 156,400         $ —         $ 322,857   

Preferred Stocks

      278           —           —           278   

Non-U.S. Government Agency ABS

      —           1,819           —           1,819   

Corporate Bonds and Notes

      —           27,792           —           27,792   

Government and Agency Obligations

      —           109,954           24           109,978   

Other Equity Interests

      —           160           —           160   

Short Term Investments

      40,365           —           —           40,365   
  

 

 

  

Fund Total

    $ 207,100         $ 296,125         $ 24         $ 503,249   

JNL/Capital Guardian Global Diversified Research Fund

                  

Common Stocks

    $ 227,033         $ 176,957         $ —         $ 403,990   

Short Term Investments

      28,837           —           —           28,837   
  

 

 

  

Fund Total

    $ 255,870         $ 176,957         $ —         $ 432,827   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/DFA U.S. Core Equity Fund

  

Common Stocks

    $ 494,972         $ —         $ 1         $ 494,973   

Warrants

      —           —           —           —   

Short Term Investments

      22,665           —           —           22,665   
  

 

 

  

Fund Total

    $ 517,637         $ —         $ 1         $ 517,638   

JNL/Eagle SmallCap Equity Fund

                  

Common Stocks

    $ 1,637,097         $ —         $ —         $ 1,637,097   

Short Term Investments

      164,210           —           —           164,210   
  

 

 

  

Fund Total

    $ 1,801,307         $ —         $ —         $ 1,801,307   

JNL/Eastspring Investments Asia ex-Japan Fund

                  

Common Stocks

    $ 3,846         $ 128,616         $ —         $ 132,462   

Short Term Investments

      7,530           —           —           7,530   
  

 

 

  

Fund Total

    $ 11,376         $ 128,616         $ —         $ 139,992   

JNL/Eastspring Investments China-India Fund

                  

Common Stocks

    $ 18,379         $ 328,496         $ —         $ 346,875   

Short Term Investments

      24,316           —           —           24,316   
  

 

 

  

Fund Total

    $ 42,695         $ 328,496         $ —         $ 371,191   

JNL/Franklin Templeton Global Growth Fund

                  

Common Stocks

    $ 415,791         $ 550,388         $ —         $ 966,179   

Short Term Investments

      51,621           —           —           51,621   
  

 

 

  

Fund Total

    $ 467,412         $ 550,388         $ —         $ 1,017,800   

JNL/Franklin Templeton Global Multisector Bond Fund

                  

Corporate Bonds and Notes

    $ —         $ 227,256         $ —         $ 227,256   

Government and Agency Obligations

      —           1,128,140           —           1,128,140   

Other Equity Interests

      —           2,978           —           2,978   

Common Stocks

      —           —           341           341   

Preferred Stocks

      —           —           759           759   

Short Term Investments

      285,680           146,740           —           432,420   
  

 

 

  

Fund Total

    $ 285,680         $ 1,505,114         $ 1,100         $ 1,791,894   

JNL/Franklin Templeton Income Fund

                  

Common Stocks

    $ 1,068,014         $ 87,232         $ 1,751         $ 1,156,997   

Equity Linked Structured Notes

      —           85,406           —           85,406   

Preferred Stocks

      41,021           25,627           1,725           68,373   

Warrants

      45           —           —           45   

Corporate Bonds and Notes

      —           793,743           —           793,743   

Other Equity Interests

      —           —           1           1   

Short Term Investments

      287,352           —           —           287,352   
  

 

 

  

Fund Total

    $ 1,396,432         $ 992,008         $ 3,477         $ 2,391,917   

JNL/Franklin Templeton International Small Cap Growth Fund

                  

Common Stocks

    $ 210,216         $ 208,629         $ —         $ 418,845   

Preferred Stocks

      —           549           —           549   

Investment Companies

      2,029           —           —           2,029   

Short Term Investments

      32,624           —           —           32,624   
  

 

 

  

Fund Total

    $ 244,869         $ 209,178         $ —         $ 454,047   

JNL/Franklin Templeton Mutual Shares Fund

                  

Common Stocks

    $ 769,098         $ 209,887         $ 2,664         $ 981,649   

Purchased Options

      605           —           —           605   

Corporate Bonds and Notes

      —           55,945           —           55,945   

Other Equity Interests

      —           12,180           —           12,180   

Short Term Investments

      83,538           —           —           83,538   
  

 

 

  

Fund Total

    $ 853,241         $ 278,012         $ 2,664         $ 1,133,917   

JNL/Franklin Templeton Small Cap Value Fund

                  

Common Stocks

    $ 926,266         $ —         $ —         $ 926,266   

Short Term Investments

      115,414           —           —           115,414   
  

 

 

  

Fund Total

    $ 1,041,680         $ —         $ —         $ 1,041,680   

JNL/Goldman Sachs Core Plus Bond Fund

                  

Non-U.S. Government Agency ABS

    $ —         $ 63,822         $ 6,970         $ 70,792   

Corporate Bonds and Notes

      —           216,946           404           217,350   

Government and Agency Obligations

      —           436,121           —           436,121   

Common Stocks

      —           —           —           —   

Short Term Investments

      72,467           21,978           —           94,445   
  

 

 

  

Fund Total

    $ 72,467         $ 738,867         $ 7,374         $ 818,708   

JNL/Goldman Sachs Emerging Markets Debt Fund

                  

Corporate Bonds and Notes

    $ —         $ 192,948         $ 672         $ 193,620   

Government and Agency Obligations

      —           456,377           —           456,377   

Non-U.S. Government Agency ABS

      —           2,125           —           2,125   

Credit Linked Structured Notes

      —           65,878           —           65,878   

Other Equity Interests

      —           489           —           489   

Common Stocks

      —           —           25           25   

Short Term Investments

      84,995           13,541           —           98,536   
  

 

 

  

Fund Total

    $ 84,995         $ 731,358         $ 697         $ 817,050   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/Goldman Sachs Mid Cap Value Fund

  

Common Stocks

    $ 1,140,483         $ —         $ —         $ 1,140,483   

Investment Companies

      5,323           —           —           5,323   

Short Term Investments

      39,282           —           —           39,282   
  

 

 

  

Fund Total

    $ 1,185,088         $ —         $ —         $ 1,185,088   

JNL/Goldman Sachs U.S. Equity Flex Fund

  

Common Stocks

    $ 231,330         $ —         $ —         $ 231,330   

Short Term Investments

      5,888           —           —           5,888   
  

 

 

  

Fund Total

    $ 237,218         $ —         $ —         $ 237,218   

JNL/Invesco Global Real Estate Fund

  

Common Stocks

    $ 795,043         $ 714,520         $ —         $ 1,509,563   

Short Term Investments

      78,553           —           —           78,553   
  

 

 

  

Fund Total

    $ 873,596         $ 714,520         $ —         $ 1,588,116   

JNL/Invesco International Growth Fund

  

Common Stocks

    $ 239,693         $ 897,542         $ —         $ 1,137,235   

Preferred Stocks

      —           14,867           —           14,867   

Short Term Investments

      93,894           —           —           93,894   
  

 

 

  

Fund Total

    $ 333,587         $ 912,409         $ —         $ 1,245,996   

JNL/Invesco Large Cap Growth Fund

  

Common Stocks

    $ 1,002,105         $ —         $ —         $ 1,002,105   

Short Term Investments

      40,989           —           —           40,989   
  

 

 

  

Fund Total

    $ 1,043,094         $ —         $ —         $ 1,043,094   

JNL/Invesco Mid Cap Value Fund

  

Common Stocks

    $ 362,478         $ —         $ —         $ 362,478   

Short Term Investments

      42,067           —           —           42,067   
  

 

 

  

Fund Total

    $ 404,545         $ —         $ —         $ 404,545   

JNL/Invesco Small Cap Growth Fund

  

Common Stocks

    $ 700,556         $ —         $ —         $ 700,556   

Short Term Investments

      72,173           —           —           72,173   
  

 

 

  

Fund Total

    $ 772,729         $ —         $ —         $ 772,729   

JNL/Ivy Asset Strategy Fund

  

Common Stocks

    $ 1,012,322         $ 1,119,469         $ 138,773         $ 2,270,564   

Purchased Options

      —           3,961           —           3,961   

Corporate Bonds and Notes

      —           —           77,506           77,506   

Precious Metals

      218,876           —           —           218,876   

Short Term Investments

      82,492           401,958           —           484,450   
  

 

 

  

Fund Total

    $ 1,313,690         $ 1,525,388         $ 216,279         $ 3,055,357   

JNL/JPMorgan International Value Fund

  

Common Stocks

    $ 11,403         $ 642,951         $ —         $ 654,354   

Preferred Stocks

      —           9,017           —           9,017   

Rights

      208           —           —           208   

Short Term Investments

      24,942           —           —           24,942   
  

 

 

  

Fund Total

    $ 36,553         $ 651,968         $ —         $ 688,521   

JNL/JPMorgan MidCap Growth Fund

  

Common Stocks

    $ 1,246,395         $ —         $ —         $ 1,246,395   

Short Term Investments

      86,221           —           —           86,221   
  

 

 

  

Fund Total

    $ 1,332,616         $ —         $ —         $ 1,332,616   

JNL/JPMorgan U.S. Government & Quality Bond Fund

  

Non-U.S. Government Agency ABS

    $ —         $ 42,525         $ 3,973         $ 46,498   

Corporate Bonds and Notes

      —           35,522           —           35,522   

Government and Agency Obligations

      —           1,030,923           —           1,030,923   

Short Term Investments

      62,342           —           —           62,342   
  

 

 

  

Fund Total

    $ 62,342         $ 1,108,970         $ 3,973         $ 1,175,285   

JNL/Lazard Emerging Markets Fund

  

Common Stocks

    $ 655,337         $ 853,455         $ —         $ 1,508,792   

Preferred Stocks

      3,532           —           —           3,532   

Short Term Investments

      89,617           —           —           89,617   
  

 

 

  

Fund Total

    $ 748,486         $ 853,455         $ —         $ 1,601,941   

JNL/M&G Global Basics Fund

  

Common Stocks

    $ 82,019         $ 78,868         $ —         $ 160,887   

Preferred Stocks

      305           —           —           305   

Short Term Investments

      18,837           —           —           18,837   
  

 

 

  

Fund Total

    $ 101,161         $ 78,868         $ —         $ 180,029   

JNL/Mellon Capital Emerging Markets Index Fund

  

Common Stocks

    $ 113,071         $ 543,519         $ —         $ 656,590   

Preferred Stocks

      39,450           6,796           —           46,246   

Rights

      —           22           —           22   

Investment Companies

      14,365           —           —           14,365   

Short Term Investments

      21,245           265           —           21,510   
  

 

 

  

Fund Total

    $ 188,131         $ 550,602         $ —         $ 738,733   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/Mellon Capital European 30 Fund

  

Common Stocks

    $ 4,661         $ 129,706         $ —         $ 134,367   

Investment Companies

      3,704           —           —           3,704   

Short Term Investments

      5,638           —           —           5,638   
  

 

 

  

Fund Total

    $ 14,003         $ 129,706         $ —         $ 143,709   

JNL/Mellon Capital Pacific Rim 30 Fund

                  

Common Stocks

    $ 545         $ 146,684         $ —         $ 147,229   

Investment Companies

      6,095           —           —           6,095   

Short Term Investments

      16,034           —           —           16,034   
  

 

 

  

Fund Total

    $ 22,674         $ 146,684         $ —         $ 169,358   

JNL/Mellon Capital S&P 500 Index Fund

                  

Common Stocks

    $ 3,011,004         $ —         $ —         $ 3,011,004   

Short Term Investments

      136,130           3,769           —           139,899   
  

 

 

  

Fund Total

    $ 3,147,134         $ 3,769         $ —         $ 3,150,903   

JNL/Mellon Capital S&P 400 MidCap Index Fund

                  

Common Stocks

    $ 1,588,459         $ —         $ —         $ 1,588,459   

Short Term Investments

      166,878           2,704           —           169,582   
  

 

 

  

Fund Total

    $ 1,755,337         $ 2,704         $ —         $ 1,758,041   

JNL/Mellon Capital Small Cap Index Fund

                  

Common Stocks

    $ 1,796,893         $ —         $ 44         $ 1,796,937   

Rights

      23           —           —           23   

Warrants

      —           —           —           —   

Investment Companies

      196           —           —           196   

Other Equity Interests

      —           —           —           —   

Short Term Investments

      247,855           2,109           —           249,964   
  

 

 

  

Fund Total

    $ 2,044,967         $ 2,109         $ 44         $ 2,047,120   

JNL/Mellon Capital International Index Fund

                  

Common Stocks

    $ 44,400         $ 2,213,408         $ —         $ 2,257,808   

Preferred Stocks

      676           16,630           —           17,306   

Rights

      99           —           —           99   

Other Equity Interests

      —           —           —           —   

Short Term Investments

      99,030           3,354           —           102,384   
  

 

 

  

Fund Total

    $ 144,205         $ 2,233,392         $ —         $ 2,377,597   

JNL/Mellon Capital Bond Index Fund

                  

Non-U.S. Government Agency ABS

    $ —         $ 37,008         $ —         $ 37,008   

Corporate Bonds and Notes

      —           378,417           —           378,417   

Government and Agency Obligations

      —           1,139,667           —           1,139,667   

Short Term Investments

      177,281           —           —           177,281   
  

 

 

  

Fund Total

    $ 177,281         $ 1,555,092         $ —         $ 1,732,373   

JNL/Mellon Capital Global Alpha Fund

                  

Purchased Options

    $ 2,184         $ —         $ —         $ 2,184   

Short Term Investments

      33,700           194,848           —           228,548   
  

 

 

  

Fund Total

    $ 35,884         $ 194,848         $ —         $ 230,732   

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

  

               

Common Stocks

    $ 147,221         $ —         $ —         $ 147,221   

Short Term Investments

      2,806           —           —           2,806   
  

 

 

  

Fund Total

    $ 150,027         $ —         $ —         $ 150,027   

JNL/Mellon Capital Utilities Sector Fund

                  

Common Stocks

    $ 3,232         $ —         $ —         $ 3,232   

Short Term Investments

      29           —           —           29   
  

 

 

  

Fund Total

    $ 3,261         $ —         $ —         $ 3,261   

JNL/Morgan Stanley Mid Cap Growth Fund

                  

Common Stocks

    $ 188,672         $ 12,304         $ 411         $ 201,387   

Preferred Stocks

      —           —           80           80   

Purchased Options

      —           101           —           101   

Short Term Investments

      39,385           —           —           39,385   
  

 

 

  

Fund Total

    $ 228,057         $ 12,405         $ 491         $ 240,953   

JNL/Neuberger Berman Strategic Income Fund

                  

Non-U.S. Government Agency ABS

    $ —         $ 92,947         $ —         $ 92,947   

Corporate Bonds and Notes

      —           125,441           —           125,441   

Government and Agency Obligations

      —           247,136           —           247,136   

Investment Companies

      22,091           —           —           22,091   

Variable Rate Senior Loan Interests

      —           86,989           —           86,989   

Short Term Investments

      67,253           —           —           67,253   
  

 

 

  

Fund Total

    $ 89,344         $ 552,513         $ —         $ 641,857   

JNL/Oppenheimer Global Growth Fund

                  

Common Stocks

    $ 482,274         $ 470,427         $ —         $ 952,701   

Preferred Stocks

      —           19,306           —           19,306   

Rights

      215           —           —           215   

Short Term Investments

      35,960           —           —           35,960   
  

 

 

  

Fund Total

    $ 518,449         $ 489,733         $ —         $ 1,008,182   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/PIMCO Real Return Fund

  

Non-U.S. Government Agency ABS

    $ —         $ 199,783         $ —         $ 199,783   

Corporate Bonds and Notes

      —           120,181           —           120,181   

Government and Agency Obligations

      —           2,304,557           —           2,304,557   

Preferred Stocks

      552           —           —           552   

Purchased Options

      2           635           —           637   

Other Equity Interests

      —           21           —           21   

Short Term Investments

      4,695           1,090,313           —           1,095,008   
  

 

 

  

Fund Total

    $ 5,249         $ 3,715,490         $ —         $ 3,720,739   

JNL/PIMCO Total Return Bond Fund

  

Non-U.S. Government Agency ABS

    $ —         $ 275,216         $ —         $ 275,216   

Corporate Bonds and Notes

      —           587,594           —           587,594   

Government and Agency Obligations

      —           4,552,732           —           4,552,732   

Preferred Stocks

      27,625           —           —           27,625   

Trust Preferreds

      19,788           —           2,959           22,747   

Other Equity Interests

      —           —           —           —   

Short Term Investments

      55,045           248,825           —           303,870   
  

 

 

  

Fund Total

    $ 102,458         $ 5,664,367         $ 2,959         $ 5,769,784   

JNL/PPM America Floating Rate Income Fund

  

Non-U.S. Government Agency ABS

    $ —         $ 2,235         $ —         $ 2,235   

Corporate Bonds and Notes

      —           79,004           —           79,004   

Variable Rate Senior Loan Interests1

      —           1,363,261           —           1,363,261   

Short Term Investments

      95,049           —           —           95,049   
  

 

 

  

Fund Total

    $ 95,049         $ 1,444,500         $ —         $ 1,539,549   

JNL/PPM America High Yield Bond Fund

  

Non-U.S. Government Agency ABS

    $ —         $ 53,414         $ —         $ 53,414   

Corporate Bonds and Notes1

      —           2,143,242           22,697           2,165,939   

Common Stocks

      137,130           —           688           137,818   

Preferred Stocks

      70,795           968           —           71,763   

Trust Preferreds

      2,589           —           —           2,589   

Investment Companies

      14,900           —           —           14,900   

Other Equity Interests

      —           20,902           —           20,902   

Short Term Investments

      382,299           —           —           382,299   
  

 

 

  

Fund Total

    $ 607,713         $ 2,218,526         $ 23,385         $ 2,849,624   

JNL/PPM America Mid Cap Value Fund

  

Common Stocks

    $ 317,553         $ —         $ —         $ 317,553   

Short Term Investments

      8,829           —           —           8,829   
  

 

 

  

Fund Total

    $ 326,382         $ —         $ —         $ 326,382   

JNL/PPM America Small Cap Value Fund

  

Common Stocks

    $ 215,256         $ —         $ —         $ 215,256   

Short Term Investments

      20,068           —           —           20,068   
  

 

 

  

Fund Total

    $ 235,324         $ —         $ —         $ 235,324   

JNL/PPM America Value Equity Fund

  

Common Stocks

    $ 179,895         $ —         $ —         $ 179,895   

Short Term Investments

      926           —           —           926   
  

 

 

  

Fund Total

    $ 180,821         $ —         $ —         $ 180,821   

JNL/Red Rocks Listed Private Equity Fund

  

Common Stocks

    $ 464,054         $ 355,145         $ —         $ 819,199   

Short Term Investments

      6,357           —           —           6,357   
  

 

 

  

Fund Total

    $ 470,411         $ 355,145         $ —         $ 825,556   

JNL/S&P Competitive Advantage Fund

  

Common Stocks

    $ 1,715,635         $ —         $ —         $ 1,715,635   

Short Term Investments

      51,175           —           —           51,175   
  

 

 

  

Fund Total

    $ 1,766,810         $ —         $ —         $ 1,766,810   

JNL/S&P Dividend Income & Growth Fund

  

Common Stocks

    $ 2,913,780         $ —         $ —         $ 2,913,780   

Short Term Investments

      44,570           —           —           44,570   
  

 

 

  

Fund Total

    $ 2,958,350         $ —         $ —         $ 2,958,350   

JNL/S&P Intrinsic Value Fund

  

Common Stocks

    $ 1,610,069         $ —         $ —         $ 1,610,069   

Short Term Investments

      48,054           —           —           48,054   
  

 

 

  

Fund Total

    $ 1,658,123         $ —         $ —         $ 1,658,123   

JNL/S&P Total Yield Fund

  

Common Stocks

    $ 1,165,022         $ —         $ —         $ 1,165,022   

Short Term Investments

      59,583           —           —           59,583   
  

 

 

  

Fund Total

    $ 1,224,605         $ —         $ —         $ 1,224,605   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/T. Rowe Price Established Growth Fund

  

Common Stocks

    $ 4,157,268         $ 152,854         $ —         $ 4,310,122   

Preferred Stocks

      —           —           97           97   

Short Term Investments

      138,500           —           —           138,500   
  

 

 

  

Fund Total

    $ 4,295,768         $ 152,854         $ 97         $ 4,448,719   

JNL/T. Rowe Price Mid-Cap Growth Fund

  

Common Stocks

    $ 2,429,526         $ —         $ 582         $ 2,430,108   

Preferred Stocks

      3,626           —           4,705           8,331   

Short Term Investments

      223,951           150           —           224,101   
  

 

 

  

Fund Total

    $ 2,657,103         $ 150         $ 5,287         $ 2,662,540   

JNL/T. Rowe Price Short-Term Bond Fund

  

Non-U.S. Government Agency ABS

    $ —         $ 326,397         $ —         $ 326,397   

Corporate Bonds and Notes

      —           862,308           —           862,308   

Government and Agency Obligations

      —           388,683           —           388,683   

Short Term Investments

      80,487           —           —           80,487   
  

 

 

  

Fund Total

    $ 80,487         $ 1,577,388         $ —         $ 1,657,875   

JNL/T. Rowe Price Value Fund

  

Common Stocks

    $ 2,363,454         $ 53,550         $ —         $ 2,417,004   

Short Term Investments

      80,839           —           —           80,839   
  

 

 

  

Fund Total

    $ 2,444,293         $ 53,550         $ —         $ 2,497,843   

JNL/WMC Balanced Fund

  

Common Stocks

    $ 2,219,674         $ —         $ —         $ 2,219,674   

Non-U.S. Government Agency ABS

      —           28,321           2,200           30,521   

Corporate Bonds and Notes

      —           277,580           —           277,580   

Government and Agency Obligations

      —           825,246           —           825,246   

Short Term Investments

      288,929           —           —           288,929   
  

 

 

  

Fund Total

    $ 2,508,603         $ 1,131,147         $ 2,200         $ 3,641,950   

JNL/WMC Money Market Fund

  

Corporate Bonds and Notes

    $ —         $ 303,909         $ —         $ 303,909   

Government and Agency Obligations

      —           244,714           —           244,714   

Short Term Investments

      24           778,513           —           778,537   
  

 

 

  

Fund Total

    $ 24         $ 1,327,136         $ —         $ 1,327,160   

JNL/WMC Value Fund

  

Common Stocks

    $ 1,674,580         $ 24,426         $ —         $ 1,699,006   

Short Term Investments

      53,314           —           —           53,314   
  

 

 

  

Fund Total

    $ 1,727,894         $ 24,426         $ —         $ 1,752,320   
     Liabilities - Securities  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund

  

Government and Agency Obligations

    $ —         $ (17,099 )       $ —         $ (17,099 ) 
  

 

 

  

Fund Total

    $ —         $ (17,099 )       $ —         $ (17,099 ) 

JNL/Goldman Sachs U.S. Equity Flex Fund

  

Common Stocks

    $ (39,043 )       $ —         $ —         $ (39,043 ) 
  

 

 

  

Fund Total

    $ (39,043 )       $ —         $ —         $ (39,043 ) 

JNL/Mellon Capital Bond Index Fund

  

Government and Agency Obligations

    $ —         $ (16,707 )       $ —         $ (16,707 ) 
  

 

 

  

Fund Total

    $ —         $ (16,707 )       $ —         $ (16,707 ) 

JNL/PIMCO Total Return Bond Fund

  

Government and Agency Obligations

    $ —         $ (9,254 )       $ —         $ (9,254 ) 
  

 

 

  

Fund Total

    $ —         $ (9,254 )       $ —         $ (9,254 ) 

JNL/WMC Balanced Fund

  

Government and Agency Obligations

    $ —         $ (47,960 )       $ —         $ (47,960 ) 
  

 

 

  

Fund Total

    $ —         $ (47,960 )       $ —         $ (47,960 ) 

1Unfunded commitments in JNL/PPM America Floating Rate Income Fund and JNL/PPM America High Yield Bond Fund are not reflected in the Schedules of Investments. Unrealized appreciation is reflected as an asset in the table. See Unfunded Commitments in these Notes to Financial Statements.

 

     Assets - Investments in Other Financial  Instruments1  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/AQR Managed Futures Strategy Fund

             

Open Futures Contracts

    $ 13,221         $ –         $     –         $ 13,221   

Open Forward Foreign Currency Contracts

      –           12,654           –           12,654   

OTC Total Return Swap Agreements

      –           3,543           –           3,543   
  

 

 

  

Fund Total

    $ 13,221         $ 16,197         $ –         $ 29,418   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Investments in Other Financial  Instruments1  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/BlackRock Global Allocation Fund

  

     

Open Futures Contracts

    $ 113         $ –         $         –         $ 113   

Open Forward Foreign Currency Contracts

      –           4,228           –           4,228   

Centrally Cleared Interest Rate Swap Agreements

      –           23           –           23   

Centrally Cleared Credit Default Swap Agreement

      –           21           –           21   

OTC Total Return Swap Agreements

      –           435           –           435   
  

 

 

  

Fund Total

    $ 113         $ 4,707         $ –         $ 4,820   

JNL/BlackRock Large Cap Select Growth Fund

                  

Open Forward Foreign Currency Contracts

    $ –         $ 533         $ –         $ 533   
  

 

 

  

Fund Total

    $ –         $ 533         $ –         $ 533   

JNL/Capital Guardian Global Balanced Fund

                  

Open Forward Foreign Currency Contracts

    $ –         $ 186         $ –         $ 186   
  

 

 

  

Fund Total

    $ –         $ 186         $ –         $ 186   

JNL/Franklin Templeton Global Multisector Bond Fund

                  

Open Forward Foreign Currency Contracts

    $ –         $ 30,038         $ –         $ 30,038   

OTC Interest Rate Swap Agreement

      –           39           –           39   
  

 

 

  

Fund Total

    $ –         $ 30,077         $ –         $ 30,077   

JNL/Franklin Templeton Mutual Shares Fund

                  

Open Forward Foreign Currency Contracts

    $ –         $ 84         $ –         $ 84   
  

 

 

  

Fund Total

    $ –         $ 84         $ –         $ 84   

JNL/Goldman Sachs Core Plus Bond Fund

                  

Open Futures Contracts

    $ 1,427         $ –         $ –         $ 1,427   

Open Forward Foreign Currency Contracts

      –           1,923           –           1,923   

OTC Interest Rate Swap Agreements

      –           277           –           277   

Centrally Cleared Interest Rate Swap Agreements

      –           5,752           –           5,752   

OTC Credit Default Swap Agreements

      –           1,329           –           1,329   
  

 

 

  

Fund Total

    $ 1,427         $ 9,281         $ –         $ 10,708   

JNL/Goldman Sachs Emerging Markets Debt Fund

                  

Open Futures Contracts

    $ 3,969         $ –         $ –         $ 3,969   

Open Forward Foreign Currency Contracts

      –           5,426           –           5,426   

OTC Interest Rate Swap Agreements

      –           2,495           –           2,495   

Centrally Cleared Interest Rate Swap Agreements

      –           295           –           295   

Non-Deliverable Bond Forward Contract

      –           6           –           6   
  

 

 

  

Fund Total

    $ 3,969         $ 8,222         $ –         $ 12,191   

JNL/Ivy Asset Strategy Fund

                  

Open Futures Contract

    $ 7,207         $ –           –         $ 7,207   

Open Forward Foreign Currency Contracts

      –           14,713           –           14,713   
  

 

 

  

Fund Total

    $ 7,207         $ 14,713         $ –         $ 21,920   

JNL/JPMorgan International Value Fund

                  

Open Forward Foreign Currency Contracts

    $ –         $ 1,936         $ –         $ 1,936   
  

 

 

  

Fund Total

    $ –         $ 1,936         $ –         $ 1,936   

JNL/Mellon Capital Emerging Markets Index Fund

                  

Open Futures Contract

    $ 57         $ –         $ –         $ 57   
  

 

 

  

Fund Total

    $ 57         $ –         $ –         $ 57   

JNL/Mellon Capital S&P 500 Index Fund

                  

Open Futures Contract

    $ 1,955         $ –         $ –         $ 1,955   
  

 

 

  

Fund Total

    $ 1,955         $ –         $ –         $ 1,955   

JNL/Mellon Capital S&P 400 MidCap Index Fund

                  

Open Futures Contract

    $ 1,628         $ –         $ –         $ 1,628   
  

 

 

  

Fund Total

    $ 1,628         $ –         $ –         $ 1,628   

JNL/Mellon Capital Small Cap Index Fund

                  

Open Futures Contract

    $ 1,941         $ –         $ –         $ 1,941   
  

 

 

  

Fund Total

    $ 1,941         $ –         $ –         $ 1,941   

JNL/Mellon Capital International Index Fund

                  

Open Futures Contracts

    $ 2,281         $ –         $ –         $ 2,281   

Open Forward Foreign Currency Contracts

      –           223           –           223   
  

 

 

  

Fund Total

    $ 2,281         $ 223         $ –         $ 2,504   

JNL/Mellon Capital Global Alpha Fund

                  

Open Futures Contracts

    $ 8,080         $ –         $ –         $ 8,080   

Open Forward Foreign Currency Contracts

      –           2,440           –           2,440   
  

 

 

  

Fund Total

    $ 8,080         $ 2,440         $ –         $ 10,520   

JNL/Neuberger Berman Strategic Income Fund

                  

Open Futures Contracts

    $ 2,972         $ –         $ –         $ 2,972   

OTC Credit Default Swap Agreements

      –           532           –           532   
  

 

 

  

Fund Total

    $ 2,972         $ 532         $ –         $ 3,504   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Assets - Investments in Other Financial Instruments1  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/PIMCO Real Return Fund

             

Open Futures Contracts

    $ 8         $ –         $         –         $ 8   

Open Forward Foreign Currency Contracts

      –           7,427           –           7,427   

OTC Interest Rate Swap Agreements

      –           3,773           –           3,773   

Centrally Cleared Interest Rate Swap Agreements

      –           12,584           –           12,584   
  

 

 

  

Fund Total

    $ 8         $ 23,784         $ –         $ 23,792   

JNL/PIMCO Total Return Bond Fund

             

Open Futures Contracts

    $ 1,475         $ –         $ –         $ 1,475   

Open Forward Foreign Currency Contracts

      –           1,772           –           1,772   

OTC Interest Rate Swap Agreements

      –           825           –           825   

Centrally Cleared Interest Rate Swap Agreements

      –           41,404           –           41,404   

OTC Credit Default Swap Agreements

      –           2,327           –           2,327   
  

 

 

  

Fund Total

    $ 1,475         $ 46,328         $ –         $ 47,803   

JNL/PPM America Floating Rate Income Fund

             

Open Futures Contracts

    $ 440         $ –         $ –         $ 440   
  

 

 

  

Fund Total

    $ 440         $ –         $ –         $ 440   

JNL/PPM America High Yield Bond Fund

             

Open Futures Contracts

    $ 812         $ –         $ –         $ 812   
  

 

 

  

Fund Total

    $ 812         $ –         $ –         $ 812   

JNL/T. Rowe Price Mid-Cap Growth Fund

             

Open Futures Contract

    $ 81         $ –         $ –         $ 81   
  

 

 

  

Fund Total

    $ 81         $ –         $ –         $ 81   

JNL/T. Rowe Price Short-Term Bond Fund

             

Open Futures Contract

    $ 305         $ –         $ –         $ 305   
  

 

 

  

Fund Total

    $ 305         $ –         $ –         $ 305   

JNL/WMC Balanced Fund

             

OTC Credit Default Swap Agreements

    $ –         $ 117         $ –         $ 117   
  

 

 

  

Fund Total

    $ –         $ 117         $ –         $ 117   

 

     Liabilities - Investments in Other Financial Instruments1  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/AQR Managed Futures Strategy Fund

             

Open Futures Contracts

    $ (2,333 )       $ –         $         –         $ (2,333 ) 

Open Forward Foreign Currency Contracts

      –           (3,279 )         –           (3,279 ) 

OTC Total Return Swap Agreements

      –           (1,206 )         –           (1,206 ) 
  

 

 

  

Fund Total

    $ (2,333 )       $ (4,485 )       $ –         $ (6,818 ) 

JNL/BlackRock Global Allocation Fund

             

Written Options

    $ (3,543 )       $ (2,377 )       $ –         $ (5,920 ) 

Open Futures Contracts

      (2,715 )         –           –           (2,715 ) 

Open Forward Foreign Currency Contracts

      –           (545 )         –           (545 ) 

OTC Interest Rate Swap Agreements

      –           (362 )         –           (362 ) 

Centrally Cleared Interest Rate Swap Agreements

      –           (139 )         –           (139 ) 

Centrally Cleared Credit Default Swap Agreement

      –           (294 )         –           (294 ) 
  

 

 

  

Fund Total

    $ (6,258 )       $ (3,717 )       $ –         $ (9,975 ) 

JNL/Capital Guardian Global Balanced Fund

             

Open Forward Foreign Currency Contracts

    $ –         $ (250 )       $ –         $ (250 ) 
  

 

 

  

Fund Total

    $ –         $ (250 )       $ –         $ (250 ) 

JNL/Franklin Templeton Global Multisector Bond Fund

             

Open Forward Foreign Currency Contracts

    $ –         $ (14,242 )       $ –         $ (14,242 ) 

OTC Interest Rate Swap Agreement

      –           (603 )         –           (603 ) 
  

 

 

  

Fund Total

    $ –         $ (14,845 )       $ –         $ (14,845 ) 

JNL/Franklin Templeton Mutual Shares Fund

             

Open Forward Foreign Currency Contracts

    $ –         $ (8,418 )       $ –         $ (8,418 ) 
  

 

 

  

Fund Total

    $ –         $ (8,418 )       $ –         $ (8,418 ) 

JNL/Goldman Sachs Core Plus Bond Fund

             

Open Futures Contracts

    $ (1,027 )       $ –         $ –         $ (1,027 ) 

Open Forward Foreign Currency Contracts

      –           (1,350 )         –           (1,350 ) 

OTC Interest Rate Swap Agreements

      –           (532 )         –           (532 ) 

Centrally Cleared Interest Rate Swap Agreements

      –           (4,093 )         –           (4,093 ) 
  

 

 

  

Fund Total

    $ (1,027 )       $ (5,975 )       $ –         $ (7,002 ) 

JNL/Goldman Sachs Emerging Markets Debt Fund

             

Open Futures Contract

    $ (105 )       $ –         $ –         $ (105 ) 

Open Forward Foreign Currency Contracts

      –           (5,907 )         –           (5,907 ) 

OTC Interest Rate Swap Agreements

      –           (6,177 )         –           (6,177 ) 

Centrally Cleared Interest Rate Swap Agreements

      –           (3,008 )         –           (3,008 ) 

Non-Deliverable Bond Forward Contract

      –           (3 )         –           (3 ) 
  

 

 

  

Fund Total

    $ (105 )       $ (15,095 )       $ –         $ (15,200 ) 

JNL/Ivy Asset Strategy Fund

             

Written Options

    $ –         $ (938 )       $ –         $ (938 ) 
  

 

 

  

Fund Total

    $ –         $ (938 )       $ –         $ (938 ) 

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Liabilities - Investments in Other Financial Instruments1  
     Level 1        Level 2        Level 3        Total  
  

 

 

  

JNL/JPMorgan International Value Fund

             

Open Forward Foreign Currency Contracts

    $ –         $ (2,335 )       $         –         $ (2,335 ) 
  

 

 

  

Fund Total

    $ –         $ (2,335 )       $ –         $ (2,335 ) 

JNL/Mellon Capital International Index Fund

             

Open Forward Foreign Currency Contracts

    $ –         $ (400 )       $ –         $ (400 ) 
  

 

 

  

Fund Total

    $ –         $ (400 )       $ –         $ (400 ) 

JNL/Mellon Capital Global Alpha Fund

             

Exchange Traded Purchased Options

    $ (80 )       $ –         $ –         $ (80 ) 

Open Futures Contracts

      (3,314 )         –           –           (3,314 ) 

Open Forward Foreign Currency Contracts

      –           (1,985 )         –           (1,985 ) 
  

 

 

  

Fund Total

    $ (3,394 )       $ (1,985 )       $ –         $ (5,379 ) 

JNL/Neuberger Berman Strategic Income Fund

             

Open Futures Contracts

    $ (119 )       $ –         $ –         $ (119 ) 
  

 

 

  

Fund Total

    $ (119 )       $ –         $ –         $ (119 ) 

JNL/PIMCO Real Return Fund

             

Written Options

    $ (739 )       $ (1,746 )       $ –         $ (2,485 ) 

Open Futures Contracts

      (2,687 )         –           –           (2,687 ) 

Open Forward Foreign Currency Contracts

      –           (2,446 )         –           (2,446 ) 

OTC Interest Rate Swap Agreements

      –           (7,078 )         –           (7,078 ) 

Centrally Cleared Interest Rate Swap Agreement

      –           (109 )         –           (109 ) 

OTC Credit Default Swap Agreements

      –           (313 )         –           (313 ) 
  

 

 

  

Fund Total

    $ (3,426 )       $ (11,692 )       $ –         $ (15,118 ) 

JNL/PIMCO Total Return Bond Fund

             

Written Options

    $ (221 )       $ (3,216 )       $ –         $ (3,437 ) 

Open Futures Contracts

      (16,954 )         –           –           (16,954 ) 

Open Forward Foreign Currency Contracts

      –           (9,273 )         –           (9,273 ) 

OTC Interest Rate Swap Agreements

      –           (899 )         –           (899 ) 

Centrally Cleared Interest Rate Swap Agreements

      –           (5,060 )         –           (5,060 ) 

OTC Credit Default Swap Agreements

      –           (1,886 )         –           (1,886 ) 
  

 

 

  

Fund Total

    $ (17,175 )       $ (20,334 )       $ –         $ (37,509 ) 

JNL/PPM America High Yield Bond Fund

             

Open Futures Contracts

    $ (30 )       $ –         $ –         $ (30 ) 
  

 

 

  

Fund Total

    $ (30 )       $ –         $ –         $ (30 ) 

1Investments in other financial instruments are derivative instruments and include forward foreign currency contracts, futures contracts, written options and swap agreements. All derivatives, except for written options, are reflected at the unrealized appreciation/(depreciation) on the instrument. Written options are reflected at value.

The Funds recognize transfers between levels as of the beginning of the period. The following table summarizes significant transfers (in thousands) between Level 1 and Level 2 valuations for the year ended December 31, 2013:

 

     Transfers out of
Level 2 into
Level 1 during
the Period		      Transfers out of
Level 1 into
Level 2 during
the Period		  

 

  

Transfers for valuations using a statistical fair value pricing service

      

JNL/Capital Guardian Global Diversified Research Fund

      

Common Stocks

    $ 5,527       $ -   

JNL/Brookfield Global Infrastructure Fund

      

Common Stocks

    $ -       $ 6,789   

JNL/Eastspring Investments Asia ex-Japan Fund

      

Common Stocks

    $ 3,712       $ 3,672   

JNL/Eastspring Investments China India Fund

      

Common Stocks

    $ 10,424       $ -   

JNL/Franklin Templeton International Small Cap Growth Fund

      

Common Stocks

    $ 44,903       $ 25,946   

JNL/Invesco Global Real Estate Fund

      

Common Stocks

    $ 7,261       $ 2,992   

JNL/Invesco International Growth Fund

      

Common Stocks

    $ 14,826       $ -   

JNL/Lazard Emerging Markets Fund

      

Common Stocks

    $ 28,863       $ 47,950   

JNL/M&G Global Basics Fund

      

Common Stocks

    $ 11,704       $ 8,297   

JNL/Mellon Capital Emerging Markets Index Fund

      

Common Stocks

    $ -       $ 8,727   

JNL/Mellon Capital International Index Fund

      

Common Stocks

    $ 26,351       $ -   

JNL/Oppenheimer Global Growth Fund

      

Common Stocks

    $ 9,874       $ -   

JNL/RedRocks Listed Private Equity Fund

      

Common Stocks

    $ 59,088       $ 47,588   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

The following table is a rollforward of significant Level 3 valuations and transfers by category for which significant unobservable inputs were used to determine fair value during the year ended December 31, 2013:

 

   

Balance

at
Beginning

of Period

    

Transfers

into

Level 3

During

the Period2

    

Transfers

out of

Level 3

During

the

Period2

    

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 Period1

  
 

 

 

  

JNL/Franklin Templeton Mutual Shares Fund

  

          

Other Equity Interests

   $ -      $     -      $ (12,041 )3    $ -      $ 12,041      $     -      $ -      $ -   

JNL/Goldman Sachs Core Plus Bond Fund

  

          

U.S. Government ABS

   $ -      $ -      $ (12,134 )4    $ -      $ 12,134      $ -      $ -      $ -   

JNL/Ivy Asset Strategy Fund

  

          

Common Stock

   $ 27,463      $ -      $ -      $ 3,697      $ 8      $ -      $ 31,168 5    $ 3,697   

Common Stock

     32,278        -        -        5,334        -        -        37,612 7      5,334   

Common Stock

     -        -        -        2,382        67,611        -        69,993 8      2,382   

Corporate Bonds and Notes

     -        -        -        -        28,500        -        28,500 6      -   

Corporate Bonds and Notes

     45,572        -        -        -        3,434 9      -        49,006 7      -   
 

 

 

  

Fund Total

   $ 105,313      $ -      $ -      $ $11,413      $ 99,553      $ -      $ 216,279      $ 11,413   

1Reflects the change in unrealized appreciation/(depreciation) for Level 3 investments held at December 31, 2013.

2There were no significant transfers between Level 3 and Level 2 valuations during the year ended December 31, 2013, other than those noted in the table.

3The other equity interest is a claim against an asset pool which consists of stocks, investment grade bonds, asset backed securities and government debt. During the year, the valuation of the other equity interest in JNL/Franklin Templeton Mutual Shares Fund was transferred from a Level 3 valuation to a Level 2 valuation. The other equity interest is valued by an independent pricing service and considered a Level 2 valuation. Previously it was valued based on a single source broker quote and considered a Level 3 valuation.

4During the year, the valuation of U.S. Government ABS in JNL/Goldman Sachs Core Plus Bond Fund was transferred from a Level 3 valuation to a Level 2 valuation. Such security is currently valued by an independent pricing service and considered a Level 2 valuation. Previously it was valued based on the transaction purchase price and considered a Level 3 valuation.

5The fair value measurements of the common stock in JNL/Ivy Asset Strategy Fund were determined based on a discounted cash flow model, recent transactions and taking into consideration a discount for liquidity. As the company is a privately held company, and is not publicly traded and the company’s quarterly financial statements are not publicly available, this information is considered a significant unobservable input to the fair value. Significant changes to the company’s quarterly earnings before interest, taxes and depreciation/amortization (“EBITDA”), a significant change in the company’s capital structure, a significant change in the assumptions in the cash flow model, significant change in the valuations of comparable public companies or another, similar transaction in the company’s securities could result in a significant decrease or increase to the common stock’s fair value measurements.

 

Valuation Technique          Unobservable Input    Range     

 

   

Income approach

    Discount for lack of marketability    10%   

Discount cash flow

    Cash on cash ratio    1.43   

Recent transaction

    Transaction price    N/A   

6The fair value measurements of the corporate bond in JNL/Ivy Asset Strategy Fund was determined based on the purchase transaction price. As the company is a privately held company, and is not publicly traded and the company’s quarterly financial statements are not publicly available, this information is considered a significant unobservable input to the fair value. Significant changes to the company’s quarterly earnings before interest, taxes and depreciation/amortization (“EBITDA”), a significant change in the company’s capital structure, significant change in the valuations of comparable public companies, significant changes in the interest rate spread of comparable corporate bonds indices, or another, similar transaction in the company’s securities could result in a significant decrease or increase to the corporate bond’s fair value measurements.

 

Valuation Technique          Unobservable Input    Range     

 

   

Transaction

    Transaction price    N/A   

Market approach

    Interest rate spread    214 &142*   

*Represents the spread on the corporate bond versus the JPMorgan U.S. High Yield Index and the JPMorgan High Yield Diversified Media Sub Index, respectively.

7The fair value measurements of the common stock and corporate bond in JNL/Ivy Asset Strategy Fund were determined based on the midpoint of an enterprise valuation model which considered previous transaction levels, current and forecasted financial results, analysis of budget to actual performance and valuations of comparable public companies. As the company’s quarterly financial statements are not publicly available, this information is considered a significant unobservable input to the fair value. Significant changes to the company’s quarterly EBITDA or forecasted financial results, a significant change in the company’s capital structure, a significant change in the valuations of comparable public companies or another, similar transaction in the company’s securities could result in a significant decrease or increase to the common stock’s and corporate bond’s fair value measurements.

 

Valuation Technique          Unobservable Input    Range     

 

   

Income approach

    Pro forma run rate EBITDA multiples    19.00-19.50   

8The fair value measurements of the common stock in JNL/Ivy Asset Strategy Fund were determined based on recent transactions. As the company is a privately held company, and is not publicly traded and the company’s quarterly financial statements are not publicly available, this information is considered a significant unobservable input to the fair value. Significant changes to the company’s quarterly earnings before interest, taxes and depreciation/amortization (“EBITDA”), a significant change in the company’s capital structure, a significant change in the assumptions in the cash flow model, significant change in the valuations of comparable public companies or another, similar transaction in the company’s securities could result in a significant decrease or increase to the common stock’s fair value measurements.

 

Valuation Technique          Unobservable Input    Range     

 

   

Recent transaction

    Transaction price    N/A   

9This amount represents interest earned on the corporate bond in JNL/Ivy Asset Strategy Fund which was paid-in-kind. Significant changes in unobservable valuation inputs to a different amount might result in a significantly higher or lower fair value measurement than the one used in a security’s valuation.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Significant changes in unobservable valuation inputs to a different amount might result in a significantly higher or lower fair value measurement than the one used in a security’s valuation.

NOTE 4. SECURITIES AND OTHER INVESTMENTS

Securities Lending and Securities Lending Collateral - All Funds, except for JNL/PPM America Floating Rate Income Fund and JNL/WMC Money Market 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 per the securities lending agreement 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. Cash collateral received from the borrower is recorded in the Statements of Assets and Liabilities as payable upon return of securities loaned and investments - affiliated, at value and cost. The value of securities on loan is disclosed under footnote (d) on the Statements of Assets and Liabilities. Although a Fund is indemnified by its securities lending agent for insufficient collateral obtained from the borrower, each Fund’s net exposure to the borrower is determined by the amount of any excess or shortfall in cash collateral received compared to the value of securities on loan. 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. Each Fund also bears the risk of any deficiency in the amount of collateral available for return to a borrower due to a decline in value of 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.

In the event of bankruptcy or other default of the borrower, a Fund could experience delays in recovering the loaned securities and incur expenses related to enforcing its rights. However, a Fund is indemnified by its securities lending agent for borrower default.

JPMorgan Chase Bank, N.A. (“JPM Chase” or “Custodian”) serves as securities lending agent to the Trust. JPM Chase also serves as custodian 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, a limited liability company sponsored by the Adviser. 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 has daily liquidity and 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 is only offered to the Funds and JNAM affiliated funds. Short-term securities in the Securities Lending Cash Collateral Fund 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 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.

U.S. Government Agencies or Government Sponsored Enterprises - Certain Funds may invest in U.S. government agencies or government sponsored enterprises. U.S. Government securities are obligations of, and in certain cases, guaranteed by, the U.S. government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (“U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest paying securities of similar maturities.

Government-related guarantors (i.e., guarantors that are not backed by the full faith and credit of the U.S. government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers, which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. government.

FNMA and FHMLC were placed into conservatorship by the Federal Housing Finance Agency (“FHFA”). As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and each enterprise’s assets. In connection with the conservatorship, the U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with FNMA and FHLMC. This agreement contains various covenants that severely limit each enterprise’s operations. In exchange for entering into these agreements, the U.S. Treasury received senior preferred stock in each enterprise and warrants to purchase each enterprise’s common stock. The U.S. Treasury created a new secured lending facility, which is available to FNMA and FHLMC as a liquidity backstop and created a temporary program to purchase mortgage-backed securities issued by FNMA and FHLMC. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations, including its guaranty obligations, associated with its mortgage-backed securities.

Unregistered Securities - A Fund may own certain investment securities, which are unregistered and thus restricted to resale. These securities may also be referred to as “private placements”. Unregistered securities may be “illiquid” because there is no readily available market for sale of the securities.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Where future dispositions of the securities require registration under the 1933 Act, as amended, the Funds have the right to include those securities in such registration generally without cost to the Funds. The Funds have no right to require registration of unregistered securities.

Repurchase Agreements - Certain Funds may invest in repurchase agreements. In a repurchase agreement, the Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed upon price and date. Earnings on collateral and compensation to the seller are based on agreed upon rates between the seller and the Fund. Interest earned on repurchase agreements is recorded as interest income to the Fund. The underlying securities used as collateral for repurchase agreements may be held in safekeeping by the Fund’s Custodian or designated sub custodians under triparty repurchase agreements or delivered to the counterparty. When a repurchase agreement is entered into, the Fund typically receives securities with a value that approximates or exceeds the repurchase price, including any accrued interest earned on the repurchase agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties with a frequency and in amounts prescribed in the repurchase agreement.

Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. The value of repurchase agreements and collateral pledged or received by a counterparty are disclosed in the Schedules of Investments. The Fund’s net exposure to the counterparty is determined by the amount of any excess or shortfall in collateral compared to the value of the repurchase agreement. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of such collateral may decline.

Reverse Repurchase Agreements - Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund delivers to a counterparty a security in exchange for cash with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Fund receives principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. In periods of increased demand of the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made to the counterparty are recorded as a component of interest expense on the Statements of Operations. A reverse repurchase agreement involves the risk that the value of the security delivered by the Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid at the Custodian or otherwise cover its obligations under reverse repurchase agreements. The value of reverse repurchase agreements and collateral pledged or received are disclosed in the table below. The Fund’s net exposure to the counterparty is determined by the amount of any excess or shortfall in collateral compared to the value of the reverse repurchase agreement.

The average daily balance (in thousands) and the weighted average interest rate for reverse repurchase agreements, for the year ended December 31, 2013, were as follows: JNL/PIMCO Real Return Fund, $376,579 and 0.14%, for 285 days outstanding; and JNL/PIMCO Total Return Bond Fund, $71,443 and 0.16%, for 178 days outstanding, respectively. At December 31, 2013, reverse repurchase agreements outstanding were as follows:

 

    

Counter-

party

   

Payable for Reverse

Repurchase Agreement

Including Interest

Payable

      Collateral
Amount		      Interest Rate    

Date of

Agreement

    Maturity Date  
  

 

  

JNL/PIMCO Total Return Bond Fund

    MSC    $         3,269       $         3,192         2.50 %    11/05/13      rolling maturity   
   MSC    $ 801       $ 558         1.00 %    11/26/13      rolling maturity   

Forward Sales Commitments - Certain Funds may purchase or sell forward sales commitments. A forward sales commitment involves a Fund entering into a contract to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. The purchase of a forward sales commitment involves the risk of loss if the value of the security to be purchased declines before the settlement date while the sale of a forward sales commitment involves the risk that the value of the securities to be sold may increase before the settlement date. A Fund may dispose of or renegotiate forward sales commitments after they are entered into, and may close these positions before they are delivered, which may result in realized gain or loss.

Delayed-Delivery Securities - Certain Funds may purchase or sell securities on a delayed-delivery basis, including “To Be Announced” (“TBA”) or “To Be Acquired” securities. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. In TBA transactions, a Fund commits to purchasing or selling securities for which all specific information is not yet known at the time of the trade, particularly the face amount and maturity date of the underlying securities. When delayed-delivery purchases are outstanding, the Fund is required to have sufficient cash and/or liquid securities to cover its commitments on these transactions. When purchasing a security on a delayed-delivery basis, the Fund assumes the rights of ownership of the security, including the risk of price and yield fluctuations, and considers such fluctuations when determining its NAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery securities before they are delivered, which may result in a realized gain or loss. When a Fund has sold a security on a delayed-delivery basis, the Fund does not participate in future gains or losses with respect to the security. Securities purchased on a TBA basis are not settled until they are delivered to the Fund. In connection with TBA transactions, Funds may maintain a short position related to certain securities. In connection with these transactions, the Fund owns an equal amount of the securities or holds securities convertible (or exchangeable) into an equal amount of the securities, of the same issuer, as the position held short.

Mortgage-Backed Dollar and Treasury Roll Transactions - Certain Funds may sell mortgage-backed or treasury securities and simultaneously contract to repurchase securities at a future date at an agreed upon price. A Fund may only enter into covered rolls. A “covered roll” is a type of dollar roll for which a Fund maintains offsetting positions in cash, U.S. Government securities, or other liquid assets which mature on or before the forward repurchase

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

settlement date of the dollar roll transaction. During the period between the sale and repurchase, a Fund forgoes interest and principal paid on the mortgage-backed securities. A Fund is compensated by the interest earned on the cash proceeds of the initial sale and from negotiated fees paid by brokers offered as an inducement to the Fund to “roll over” its purchase commitments. A Fund may dispose of “covered roll” securities after they are entered into and close these positions before their maturity, which may result in a realized gain or loss.

In a mortgage-backed or treasury securities roll transaction, if the repurchased security is determined to be similar, but not substantially the same, the transaction is accounted for as a purchase and sale. Any gains, losses and any income or fees earned are recorded to realized gain or loss. If the repurchased security is determined to be substantially the same, the transaction is accounted for as a secured borrowing, rather than as a purchase and sales transaction. For Funds with significant transactions characterized as secured borrowing transactions, any income or fees earned are recorded to investment income and financing costs associated with the transaction are recorded to interest expense.

Dollar roll transactions involve the risk that the market value of the securities sold by a Fund may decline below the repurchase price of those securities which the Fund is obligated to purchase or that the return earned by the Fund with the proceeds of a dollar roll may not exceed transaction costs.

Inflation-Indexed Bonds - Certain Funds may invest in inflation-indexed bonds which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive principal payments until maturity.

Senior and Junior Loans - Certain Funds may invest in Senior loans or secured and unsecured subordinated loans, second lien loans and subordinated bridge loans (“Junior loans”) which are purchased or sold on a when-issued or delayed-delivery basis and may be settled a month or more after the trade date. Interest income on these loans is accrued based on the terms of the securities. Senior and Junior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan.

Securities Sold Short - Certain Funds 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 lending broker requires assets to be segregated as collateral, which is marked-to-market daily, to the extent necessary to meet margin requirements and cover the short sale obligation. 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.

Credit Linked Notes - A Fund may use credit linked notes to take positions or manage equity price risk in the normal course of pursuing its investment objective. During the year, JNL/Goldman Sachs Core Plus Bond Fund invested in credit linked notes as a means of risk management and to gain exposure to certain foreign markets and JNL/Goldman Sachs Emerging Markets Debt Fund invested in credit linked notes 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 typically 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.

Commodity-Linked Structured Notes - A commodity-linked structured note is a debt instrument that contains a return component based on the movement of a commodity index. These notes typically pay interest on the face value of the instrument and a formula based return tied to a commodity index return. These notes may be issued by U.S. and foreign banks, brokerage firms, insurance companies and other corporations. Performance of the particular commodity index will affect performance of the commodity-linked structured note. Commodity-linked structured notes are often leveraged, increasing the volatility of each note’s value relative to the change in the underlying index. They may be more volatile and less liquid than the underlying linked index and their value may be affected by the performance of commodities as well as other factors including liquidity, quality, maturity and other economic variables. Commodity-linked structured notes may have early redemption features based on advanced notice from the purchaser or automatic redemption triggered by a preset decline in the underlying commodity index. In addition to fluctuating in response to changes in the underlying commodity index, these notes are debt securities of the issuer and will be subject to credit and interest rate risks that typically affect debt instruments.

Master Limited Partnerships - Certain Funds may invest in Master Limited Partnerships (“MLPs”). An MLP is a publicly traded company organized as a limited partnership or limited liability company and treated as a partnership for Federal income tax purposes. The benefit derived from the Fund’s investment in MLPs is largely dependent on the MLPs being treated as partnerships for federal income tax purposes. MLPs may derive income and gains from the exploration, development, mining or production, processing, refining, transportation (including pipelines transporting gas, oil, or products thereof), or the marketing of any mineral or natural resources.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Real Estate Investment Trusts - Certain Funds may invest in Real Estate Investment Trusts (“REITs”). REITs are a traded as a stock on major stock exchanges and invests in real estate directly, either through properties or mortgages. REITs typically concentrate on specific geographic region or property type, receive special tax considerations and are a liquid method of investing in real estate.

Unfunded Commitments - Certain Funds 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 (in thousands) at December 31, 2013:

 

     Unfunded
Commitment		      Appreciation  
  

 

 

  

JNL/PPM America Floating Rate Income Fund

      

Garda World Security Corp. Delayed Draw Term Loan

    $         405       $         2   

Genesys Telecom Holdings US Inc. Delayed Draw Term Loan B

      663         4   

JNL/PPM America High Yield Bond Fund

      

Garda World Security Corp. Delayed Draw Term Loan

    $ 507       $ 3   

Net unrealized appreciation/depreciation on unfunded commitments is reflected in other assets and payable for investment securities purchased in the Statements of Assets and Liabilities and unrealized appreciation (depreciation) on investments in the Statements of Operations.

NOTE 5. MASTER NETTING AGREEMENTS, CUSTOMER ACCOUNT AGREEMENTS AND COLLATERAL

Under various agreements, certain investment transactions require collateral to be exchanged by a Fund and a counterparty or segregated at the custodian. U.S. Treasury Bills and U.S. dollars are generally the preferred forms of collateral, although other forms of high quality or sovereign securities may be used. Securities held by a Fund that are used as collateral are identified as such within the Schedules of Investments. Collateral for OTC financial derivative transactions paid to or received from counterparties is included in receivable from/payable for deposits with/from counterparties in the Statements of Assets and Liabilities.

Master Netting Agreements (“Master Agreements”) - Certain Funds are subject to various Master Agreements, which govern the terms of certain transactions and mitigate the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of financial transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. A Fund may net exposure and collateralize multiple transaction types governed by the same Master Agreement with the same counterparty and may close out and net its total exposure to a counterparty in the event of a default and/or termination event with respect to all the transactions governed under a single agreement with a counterparty. Each Master Agreement defines whether the Fund is contractually able to net settle daily payments. Additionally, certain circumstances, such as laws of a particular jurisdiction or settlement of amounts due in different currencies, may prohibit or restrict the right of offset as defined in the Master Agreements.

Master Agreements also help limit credit and counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Agreement. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds’ Sub-Advisers attempt to limit counterparty risk by only entering into Master Agreements with counterparties which are believed to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For swap agreements executed with a Derivatives Clearing Organization (“DCO”) in a multilateral or other trade facility platform (“centrally cleared swaps”), counterparty risk is reduced by shifting exposure from the counterparty to the DCO. Additionally the DCO has broad powers to provide an orderly liquidation in the event of a default.

Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) - Master Repo Agreements govern repurchase, reverse repurchase and treasury roll transactions between a Fund and select counterparties. The Master Repo Agreements maintain provisions for, among other things, initiation and confirmation, income payments and transfer, events of default, termination, and maintenance of collateral. In the event of default, the total value exposure will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty.

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) - Master Forward Agreements govern the considerations and factors surrounding the settlement of certain forward-settling transactions, such as delayed-delivery transactions, TBA securities and treasury roll transactions between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. Losses may arise due to changes in the value of the underlying securities prior to settlement date, if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors. In the event of default, the unrealized gain or loss will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. In the ordinary course of business, settlements of transactions are not typically subject to net settlement, except for TBA pools.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

International Swaps and Derivatives Association Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) - ISDA Master Agreements govern OTC financial derivative transactions entered into by the Fund’s Sub-Adviser and select counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, events of default, termination and maintenance of collateral. Termination includes 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. In the event of default, the total financial derivative value exposure will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. 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 OTC derivative instrument.

Customer Account Agreements - Customer Account Agreements and related addendums govern cleared derivative transactions such as futures, options on futures and centrally cleared derivatives. If a Fund transacts in centrally cleared derivatives, the Sub-Adviser is a party to agreements with (1) a Futures Commissions Merchant (“FCM”) in which the FCM acts as agent in the execution of the centrally cleared derivative with the DCO and (2) with an executing broker/swap dealer to agree to the terms of the swap and resolution process in the event the centrally cleared swap is not accepted for clearing by the designated DCO. Cleared derivatives transactions require posting an amount of cash or cash equivalents equal to a certain percentage of the contract amount known as the “initial margin” as determined by each relevant clearing agency and is segregated at an FCM which is registered with the Commodity Futures Trading Commission (“CFTC”) or the applicable regulator. 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 are known as the “variation margin”. Variation margin received may not be netted between futures and centrally cleared derivatives. In the event of default, counterparty risk is significantly reduced as creditors to the FCM do not have claim to a Fund’s assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk.

Prime Brokerage Arrangements - Certain Funds may enter into Prime Brokerage Arrangements to facilitate execution and/or clearing of listed equity option transactions or short sales of securities between the Funds and select counterparties. The arrangements provide general guidelines surrounding the rights, obligations and other events, including but not limited to, margin, execution and settlement. These arrangements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and securities delivered as collateral are typically in the possession of the prime broker and offset any obligations due to the prime broker. In the event of default, the value of securities sold short will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty.

NOTE 6. FINANCIAL DERIVATIVE INSTRUMENTS

Options Transactions - A Fund may buy and sell (“write”) call and put options on securities, futures, indices, currencies, swap agreements (“swaptions”) and inflation caps and floors. An option is a contract that gives the purchaser of the option, in return for a premium paid, the right to buy a specified underlying instrument from the writer of the option (in the case of a call option), or to sell a specified underlying instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option. 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 an 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 or selling the underlying security at a price lower than the current market value. There is also the risk a Fund may not be able to enter into a closing transaction if the market is illiquid. Options written by a Fund do not give rise to counterparty credit risk, as they obligate the Fund, not the counterparty, to perform.

Premium is paid/received when purchasing/writing exchange traded futures options, however there is no premium paid/received when purchasing/writing exchange traded options on futures. Exchange traded options on futures are marked-to-market daily and change in value is recorded by the Fund as unrealized gain or loss. Variation margin on exchange traded options on futures is recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Exchange traded options on futures involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund. Swaptions are similar to options on securities except that instead of purchasing the right to buy or sell a security, the writer or purchaser of the swaption is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement at any time before the expiration of the option. Swaptions are illiquid investments. 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. An inflation cap can be used 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. 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.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Futures Contracts - A Fund may buy and sell futures on equities, indices, interest rates, commodities and currencies. A futures contract is a standardized contract obligating two parties to exchange a specified asset at an agreed upon price and date. Variation margin is 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 value of the securities held by a Fund or the change in the 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. With futures, counterparty risk to a Fund is reduced since futures contracts are exchange traded and the exchange’s clearinghouse, acting as counterparty to all exchange traded futures, guarantees the futures contracts against default.

Forward Foreign Currency Contracts - 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 investment securities, but it does establish a fixed 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 offsetting currency.

Swap Agreements - Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the OTC market or may be executed and centrally cleared with a DCO. OTC swaps are typically illiquid investments.

Swap agreements are marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. For OTC swaps, premiums paid or received at the beginning of the measurement period are recorded as an asset or liability by the Fund and represent payments made or received upon entering into the OTC swap to compensate for differences between the stated terms of the OTC swap and prevailing market conditions relating to credit spreads, interest rates, currency exchange rates and other relevant factors as appropriate. These upfront payments are recorded as a realized gain or loss upon termination or maturity of the OTC swap. For centrally cleared swaps, daily changes in valuation are recorded as a receivable or payable, as appropriate, and received from or paid to the DCO on a daily basis until the contracts are terminated at which time a realized gain or loss is recorded. The use of centrally cleared swaps may require a Fund to commit initial and variation margin that may otherwise not be required under an OTC swap. 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 interest, credit, market and documentation risk in excess of the unrealized gain or loss recorded by a Fund. Such risks include that there is no liquid market for OTC swaps, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreement and that there may be unfavorable changes in interest rates or value of underlying securities. Centrally cleared swaps involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund.

Interest Rate Swap Agreements - 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 that the Funds have entered into may include: fixed-for-floating rate swaps, under which a party agrees to pay a fixed rate in exchange for receiving a floating rate tied to a benchmark; floating-for-fixed rate swaps, under which a party agrees to pay a floating rate in exchange for receiving a fixed rate; 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 the counterparty over the contract’s remaining life, to the extent this amount is positive.

Credit Default Swap Agreements - 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. As a seller of protection, a Fund will generally receive from the buyer of protection a premium in return for such protection and/or a fixed rate of income throughout the term of the swap if there is no credit event. A credit event is defined under the terms of each swap agreement and may include, but is not limited to, underlying entity default, bankruptcy, restructuring, write-down, principal shortfall or interest shortfall. As a seller, a 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

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

buyer of protection an amount equal to the notional amount of the credit default 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 credit default 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 credit default swap agreement, the Fund will either receive from the seller of protection an amount equal to the notional amount of the credit default 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 credit default 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.

A Fund may use credit default swap agreements on corporate or sovereign issues to provide a measure of protection against defaults of an issuer (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 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.

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. 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 December 31, 2013, for which the Fund is the seller of protection, are disclosed in the 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 - 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.

Non-Deliverable Bond Forward Contract - A non-deliverable bond forward contract is a short-term forward agreement between two parties to buy or sell a bond denominated in a non-deliverable foreign currency at a specified price and date. Non-deliverable bond forward contracts are marked-to-market daily and change in value is recorded by a Fund as an unrealized gain or loss. A realized gain or loss is recorded at termination of the contract. The use of these instruments involves the risk that the counterparty to the agreements may default on its obligation to perform. These contracts may be illiquid, and changes in their values may not directly correlate with changes in the value of the underlying security. The Funds must set aside liquid assets to cover their obligations under these contracts. The maximum amount of potential loss for a non-deliverable bond forward contract is the value of the contract.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

FASB ASC Topic 815, “Derivatives and Hedging” and Financial Instruments Eligible for Offset - FASB ASC Topic 815 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 quantitative disclosures in the semi-annual and annual financial statements about fair value, 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, commodity, equity price, interest rate and foreign currency exchange rate risk. The following disclosures include: (1) Objectives and strategies for each Fund’s derivative investments during the year. (2) A summary table (in thousands) of the fair valuations of each Fund’s derivative instruments categorized by risk exposure, which references the location on the Statements of Assets and Liabilities and the realized and unrealized gain or loss on the Statements of Operations for each derivative instrument as of December 31, 2013. Funds which held only one type of derivative during the year are not included in the tables as the location on the Statements of Assets and Liabilities and the realized and unrealized gain loss on the Statements of Operations can be referenced directly on each Fund’s respective statements. (3) A summary table (in thousands) of derivative instruments and certain investments of each Fund, which are subject to master netting agreements or a similar agreement and are eligible for offset in the Statements of Assets and Liabilities as of December 31, 2013. For Funds which held only one type of derivative during the year, amounts eligible for offset are presented gross in the Statements of Assets and Liabilities. Net exposure can be referenced in the assets and liabilities on the Statement of Assets and Liabilities and, if collateral exists, the net exposure is offset by collateral identified in the segregated or pledged collateral table. (4) A table reflecting each Fund’s average monthly derivative volume (in thousands) for the year ended December 31, 2013.

JNL/AQR Managed Futures Strategy Fund Derivative Strategies - The Fund entered into futures contracts to manage exposure to or hedge changes in securities prices, commodities and interest rates, to gain exposure to certain markets, to manage cash flows and to replicate treasury bond positions. The Fund entered into forward foreign currency contracts to gain directional exposure to currencies, to create foreign currency exposure on U.S. dollar cash balances, to minimize foreign currency exposure on investment securities denominated in foreign currencies, as a means of risk management/hedging and as part of its overall investment strategy. The Fund entered into total return swap agreements to manage exposure to or hedge against changes in securities prices and interest rates, as a substitute for investment in physical securities and as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy.

 

     Commodity     Equity     Foreign Exchange     Interest Rate     Total  
  

 

 

  

JNL/AQR Managed Futures Strategy Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

           

Variation margin on financial derivative instruments

    $ 285      $ 544      $ -      $ 310      $ 1,139   

Forward foreign currency contracts

      -        -        12,654        -        12,654   

Unrealized appreciation on OTC swap agreements

      3,271        272        -        -        3,543   
  

 

 

  
   $ 3,556      $ 816      $ 12,654      $ 310      $ 17,336   

Liabilities:

           

Variation margin on financial derivative instruments

    $ 1,464      $ 148      $ -      $ 318      $ 1,930   

Forward foreign currency contracts

      -        -        3,279        -        3,279   

Unrealized depreciation on OTC swap agreements

      874        -        -        332        1,206   
  

 

 

  
   $ 2,338      $ 148      $ 3,279      $ 650      $ 6,415   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

           

Swap agreements

    $ (6,705 )    $ 2,165      $ -      $ (2,288 )    $ (6,828 ) 

Foreign currency related items

      -        -        24,810        -        24,810   

Futures contracts

      (1,922 )      28,531        -        (10,911 )      15,698   
  

 

 

  
   $ (8,627 )    $ 30,696      $ 24,810      $ (13,199 )    $ 33,680   

Net change in unrealized appreciation (depreciation) on:

  

    

OTC swap agreements

    $ (2,408 )    $ (491 )    $ -      $ 594      $ (2,305 ) 

Foreign currency related items

      -        -        (4,867 )      -        (4,867 ) 

Futures contracts and centrally cleared swap agreements

      910        6,857        -        1,165        8,932   
  

 

 

  
   $ (1,498 )    $ 6,366      $ (4,867 )    $ 1,759      $ 1,760   

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5     Net Amount6      Total Collateral7  
   Liabilities3             Cash      Security  
  

 

 

     

 

 

  

JNL/AQR Managed Futures Strategy Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

BCL

    $ 3,271       $ (874 )    $ -      $ 2,397       $ -       $     -   

BOA

      191         (191 )      -        -         -         -   

MSC

      81         -        -        81         -         -   

RBS

      12,654         (3,279 )      (8,120 )      1,255         8,120         -   
  

 

 

        

Derivatives eligible for offset

    $ 16,197       $ (4,344 )    $ (8,120 )    $ 3,733         

Derivatives not eligible for offset

      1,139              $ -       $ -   
  

 

 

               
   $ 17,336                

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5     Net Amount6      Total Collateral7  
   Liabilities3             Cash      Security  
  

 

 

     

 

 

  

JNL/AQR Managed Futures Strategy Fund - Derivative and Financial Instruments Eligible for Offset (continued)

  

Derivative Liabilities by Counterparty*

  

BCL

    $ 874       $ (874 )    $ -      $     -       $ 7,770       $     -   

BOA

      332         (191 )      (141 )      -         540         -   

MSC

      -         -        -        -         1,150         -   

RBS

      3,279         (3,279 )      -        -         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 4,485       $ (4,344 )    $ (141 )    $     -         

Derivatives not eligible for offset

      1,930              $ 25,343       $ -   
  

 

 

               
   $ 6,415                

 

    

Cost of Options

Purchased and
Written

     

Notional Value
at Purchase of

Futures
Contracts

      Cost of Forward
Foreign
Currency
Contracts		     

Notional
Amount of
Interest Rate

Swap
Agreements

     

Notional
Amount of

Credit Default
Swap
Agreements

     

Notional
Amount of

Total Return

Swap
Agreements

  
  

 

 

  

JNL/AQR Managed Futures Strategy Fund - Average Derivative Volume1

  

Average monthly volume

    $     -       $ 1,979,874       $ 2,389,187       $     -       $     -       $ 272,315   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/BlackRock Global Allocation Fund Derivative Strategies - The Fund entered into option contracts as a means of risk management, as a directional investment, as a substitute for investment in physical securities and to generate income. The Fund entered into futures contracts as a substitute for investment in physical securities and as a means of risk management and short term cash deployment. The Fund entered into forward foreign currency contracts as a means of risk management and to gain directional exposure to currencies. The Fund entered into interest rate swaps to manage duration and as a substitute for investment in physical securities. The Fund entered into credit default swap agreements to manage duration and credit quality, as a means of hedging and risk management and as a substitute for direct investment. The Fund entered into total return swaps as a substitute for investment in physical securities and for market access.

 

     Credit     Equity     Foreign Exchange     Interest Rate     Total  
  

 

 

  

JNL/BlackRock Global Allocation Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

           

Investments – unaffiliated, at value2

    $ -      $ 12,234      $ -      $ 1,197      $ 13,431   

Variation margin on financial derivative instruments

      2        6        -        -        8   

Forward foreign currency contracts

      -        -        4,241        -        4,241   

Unrealized appreciation on OTC swap agreements

      -        435        -        -        435   
  

 

 

  
   $ 2      $ 12,675      $ 4,241      $ 1,197      $ 18,115   

Liabilities:

           

Variation margin on financial derivative instruments

    $ 42      $ 422      $ -      $ 53      $ 517   

Options written, at value

      -        4,201        -        1,719        5,920   

Forward foreign currency contracts

      -        -        558        -        558   

Unrealized depreciation on OTC swap agreements

      -        -        -        362        362   
  

 

 

  
   $ 42      $ 4,623      $ 558      $ 2,134      $ 7,357   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

  

Net realized gain (loss) on:

           

Unaffiliated investments2

    $ -      $ (19 )    $ (929 )    $ 720      $ (228 ) 

Swap agreements

      (1,483 )      (189 )      -        (401 )      (2,073 ) 

Foreign currency related items

      -        -        10,213        -        10,213   

Futures contracts

      -        9,519        -        -        9,519   

Written option contracts

      -        5,124        124        725        5,973   
  

 

 

  
   $ (1,483 )    $ 14,435      $ 9,408      $ 1,044      $ 23,404   

Net change in unrealized appreciation (depreciation) on:

  

  

Investments2

    $ -      $ 67      $ 351      $ (1,668 )    $ (1,250 ) 

OTC swap agreements

      (10 )      399        -        (447 )      (58 ) 

Foreign currency related items

      -        -        3,053        -        3,053   

Futures contracts and centrally cleared swap agreements

      (273 )      (3,129 )      -        (117 )      (3,519 ) 

Written option contracts

      -        (1,828 )      (85 )      (320 )      (2,233 ) 
  

 

 

  
   $ (283 )    $ (4,491 )    $ 3,319      $ (2,552 )    $ (4,007 ) 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5     Net Amount6      Total Collateral7  
   Liabilities3             Cash      Security  
  

 

 

     

 

 

  

JNL/BlackRock Global Allocation Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

BBH

    $ 124       $ -      $ -      $ 124       $ -       $     -   

BCL

      388         (82 )      -        306         -         -   

BNP

      926         (311 )      (590 )      25         590         -   

BOA

      2,466         -        (2,466 )      -         2,500         -   

CIT

      1,559         -        (1,300 )      259         1,300         -   

CSI

      799         (301 )      -        498         -         -   

DUB

      3,608         (708 )      (2,200 )      700         2,200         -   

GSC

      722         -        -        722         -         -   

GSI

      3,240         (1,672 )      (1,568 )      -         1,900         -   

JPM

      926         (95 )      (831 )      -         890         -   

MSC

      617         (7 )      -        610         -         -   

MSI

      84         -        -        84         -         -   

UBS

      1,890         (120 )      (600 )      1,170         600         -   
  

 

 

        

Derivatives eligible for offset

    $ 17,349       $ (3,296 )    $ (9,555 )    $ 4,498         

Derivatives not eligible for offset

      766              $ -       $ -   
  

 

 

               
   $ 18,115                

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5      Net Amount6      Total Collateral7  
   Liabilities3              Cash      Security  
  

 

 

     

 

 

  

JNL/BlackRock Global Allocation Fund - Derivative and Financial Instruments Eligible for Offset (continued)

  

Derivative Liabilities by Counterparty*

  

BCL

    $ 82       $ (82 )    $     -       $     -       $ -       $     -   

BNP

      311         (311 )      -         -         -         -   

CSI

      301         (301 )      -         -         -         -   

DUB

      708         (708 )      -         -         -         -   

GSI

      1,672         (1,672 )      -         -         -         -   

JPM

      95         (95 )      -         -         -         -   

MSC

      7         (7 )      -         -         -         -   

UBS

      120         (120 )      -         -         71,354         -   
  

 

 

        

Derivatives eligible for offset

    $ 3,296       $ (3,296 )    $ -       $ -         

Derivatives not eligible for offset

      4,061               $ 9,815       $ -   
  

 

 

                
   $ 7,357                 

 

    

Cost of Options

Purchased and
Written

     

Notional Value
at Purchase of

Futures
Contracts

      Cost of Forward
Foreign
Currency
Contracts		     

Notional
Amount of
Interest Rate

Swap
Agreements

     

Notional
Amount of

Credit Default
Swap
Agreements

     

Notional
Amount of

Total Return

Swap
Agreements

  
  

 

 

  

JNL/BlackRock Global Allocation Fund - Average Derivative Volume1

  

Average monthly volume

    $ 16,009       $ 50,480       $ 236,713       $ 164,297       $ 713,775       $ 2,641,211   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Franklin Templeton Global Multisector Bond Fund Derivative Strategies - The Fund entered into forward foreign currency contracts to gain directional exposure to currencies, to create foreign currency exposure in U.S. dollar cash balances, to minimize foreign currency exposure on investment securities denominated in foreign currencies, as a means of risk management and as part of its overall investment strategy. The Fund entered into interest rate swap agreements to manage duration, to express views on a country’s interest rates, to hedge against the risk that the value of fixed rate bond investments will decrease/increase as interest rates rise/fall and to manage interest rate and yield curve exposure.

 

     Credit      Equity      Foreign Exchange      Interest Rate     Total  
  

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

              

Forward foreign currency contracts

    $             -       $             -       $ 32,640       $ -      $ 32,640   

Unrealized appreciation on OTC swap agreements

      -         -         -         39        39   
  

 

 

  
   $ -       $ -       $ 32,640       $             39      $ 32,679   

Liabilities:

              

Forward foreign currency contracts

    $ -       $ -       $ 16,844       $ -      $ 16,844   

Unrealized depreciation on OTC swap agreements

      -         -         -         603        603   
  

 

 

  
   $ -       $ -       $ 16,844       $ 603      $ 17,447   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

  

Net realized gain (loss) on:

              

Swap agreements

    $ -       $ -       $ -       $ 71      $ 71   

Foreign currency related items

      -         -         14,650         -        14,650   
  

 

 

  
   $ -       $ -       $ 14,650       $ 71      $ 14,721   

Net change in unrealized appreciation (depreciation) on:

  

        

OTC swap agreements

    $ -       $ -       $ -       $ (564 )    $ (564 ) 

Foreign currency related items

      -         -         7,474         -        7,474   
  

 

 

  
   $ -       $ -       $ 7,474       $ (564 )    $ 6,910   

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5     Net Amount6      Total Collateral7  
   Liabilities3             Cash      Security  
  

 

 

     

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*80

  

BCL

    $ 4,434       $ (1,378 )    $ (3,056 )    $ -       $     3,930       $ -   

CIT

      4,981         (979 )      (4,002 )      -         -         4,083   

DUB

      7,127         (7,127 )      -        -         -         -   

GSC

      2,625         (1,194 )      -        1,431         -         -   

HSB

      3,870         (590 )      -        3,280         -         -   

JPM

      9,642         (4,897 )      (3,266 )      1,479         -         3,266   
  

 

 

        

Derivatives eligible for offset

    $ 32,679       $ (16,165 )    $ (10,324 )    $ 6,190         

Derivative Liabilities by Counterparty*

  

      

BCL

    $ 1,378       $ (1,378 )    $ -      $ -       $ -       $ -   

CIT

      979         (979 )      -        -         -         -   

DUB

      8,374         (7,127 )      -        1,247         -         -   

GSC

      1,194         (1,194 )      -        -         -         -   

HSB

      590         (590 )      -        -         -         -   

JPM

      4,897         (4,897 )      -        -         -         -   

UBS

      35         -        -        35         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 17,447       $ (16,165 )    $ -      $ 1,282         

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund - Average Derivative Volume1

  

Average monthly volume

    $     -       $     -       $ 1,068,033       $ 40,900       $     -       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Franklin Templeton Mutual Shares Fund Derivative Strategies - The Fund entered into option contracts to manage exposure to or hedge changes in securities prices, to generate income, as an efficient means of adjusting overall exposure to certain markets and as part of its overall investment strategy. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies and as part of its overall investment strategy.

 

     Credit      Equity     Foreign Exchange     Interest Rate      Total  
  

 

 

  

JNL/Franklin Templeton Mutual Shares Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

             

Investments – unaffiliated, at value2

    $             -       $         605      $ -      $     -       $ 605   

Forward foreign currency contracts

      -         -        84        -         84   
  

 

 

  
   $ -       $ 605      $ 84      $ -       $ 689   

Liabilities:

             

Forward foreign currency contracts

    $ -       $ -      $ 8,418      $ -       $ 8,418   
  

 

 

  

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

   

Net realized gain (loss) on:

             

Unaffiliated investments2

    $ -       $ 186      $ -      $ -       $ 186   

Foreign currency related items

      -         -        (3,672 )      -         (3,672 ) 

Written option contracts

      -         7        -        -         7   
  

 

 

  
   $ -       $ 193      $ (3,672 )    $ -       $ (3,479 ) 

Net change in unrealized appreciation (depreciation) on:

             

Investments2

    $ -       $ (92 )    $ -      $ -       $ (92 ) 

Foreign currency related items

      -         -        (2,934 )      -         (2,934 ) 
  

 

 

  
   $ -       $ (92 )    $ (2,934 )    $ -       $ (3,026 ) 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5      Net Amount6      Total Collateral7  
   Liabilities3              Cash      Security  
  

 

 

     

 

 

  

JNL/Franklin Templeton Mutual Shares Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

BCL

    $ 13       $ (13 )    $     -       $ -       $     -       $ -   

BOA

      46         (46 )      -         -         -         -   

CSI

      1         (1 )      -         -         -         -   

HSB

      14         (14 )      -         -         -         -   

SSB

      10         (5 )      -         5         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 84       $ (79 )    $ -       $ 5         

Derivatives not eligible for offset

      605               $ -       $ -   
  

 

 

                
   $ 689                 

Derivative Liabilities by Counterparty*

                 

BCL

    $ 2,342       $ (13 )    $ -       $ 2,329       $ -       $ -   

BOA

      4,916         (46 )      -         4,870         -         -   

CSI

      636         (1 )      -         635         -         -   

DUB

      296         -        -         296         -         -   

HSB

      223         (14 )      -         209         -         -   

SSB

      5         (5 )      -         -         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 8,418       $ (79 )    $ -       $ 8,339         

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/Franklin Templeton Mutual Shares Fund - Average Derivative Volume1

  

Average monthly volume

    $ 119       $ -       $ 138,349       $     -       $     -       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Goldman Sachs Core Plus Bond Fund Derivative Strategies - The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates and as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies and as part of its overall investment strategy. The Fund entered into interest rate swap agreements to manage duration and to hedge against the risk that the value of fixed rate bond investments will decrease/increase as interest rates rise/fall. The Fund entered into credit default swap agreements to provide a measure of protection against defaults of issuers and to manage credit exposure.

 

     Credit     Equity      Foreign Exchange     Interest Rate     Total  
  

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

            

Variation margin on financial derivative instruments

    $ -      $             -       $ -      $ 977      $ 977   

Forward foreign currency contracts

      -        -         1,964        -        1,964   

Unrealized appreciation on OTC swap agreements

      1,330        -         -        276        1,606   

OTC swap premiums paid

      146        -         -        526        672   
  

 

 

  
   $         1,476      $ -       $ 1,964      $ 1,779      $ 5,219   

Liabilities:

            

Variation margin on financial derivative instruments

    $ -      $ -       $ -      $ 965      $ 965   

Forward foreign currency contracts

      -        -         1,391        -        1,391   

Unrealized depreciation on OTC swap agreements

      -        -         -        532        532   

OTC swap premiums received

      1,207        -         -        1,110        2,317   
  

 

 

  
   $ 1,207      $ -       $ 1,391      $ 2,607      $ 5,205   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

  

Net realized gain (loss) on:

            

Swap agreements

      (7,637 )      -         -        17,573        9,936   

Foreign currency related items

      -        -         (849 )      -        (849 ) 

Futures contracts

      -        -         -        (6,740 )      (6,740 ) 
  

 

 

  
   $ (7,637 )    $ -       $ (849 )    $ 10,833      $ 2,347   

Net change in unrealized appreciation (depreciation) on:

            

OTC swap agreements

      636        -         -        (1,536 )      (900 ) 

Foreign currency related items

      -        -         346        -        346   

Futures contracts and centrally cleared swap agreements

      -        -         -        1,721        1,721   
  

 

 

  
   $ 636      $ -       $ 346      $ 185      $ 1,167   

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5      Net Amount6      Total Collateral7  
   Liabilities3              Cash      Security  
  

 

 

     

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

BBP

    $ 42       $ (29 )    $     -       $ 13       $     -       $     -   

BCL

      76         (76 )      -         -         -         -   

BNP

      105         (58 )      -         47         -         -   

BOA

      463         (244 )      -         219         -         -   

CGM

      237         (92 )      -         145         -         -   

CIT

      18         (18 )      -         -         -         -   

CSI

      118         (44 )      -         74         -         -   

DUB

      418         (418 )      -         -         -         -   

HSB

      181         (29 )      -         152         -         -   

JPM

      671         (217 )      -         454         -         -   

MLP

      15         (10 )      -         5         -         -   

MSC

      2         (2 )      -         -         -         -   

RBC

      573         (124 )      -         449         -         -   

SCB

      154         (32 )      -         122         -         -   

SSB

      142         (1 )      -         141         -         -   

UBS

      307         (79 )      -         228         -         -   

WBC

      48         (48 )      -         -         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 3,570       $ (1,521 )    $ -       $ 2,049         

Derivatives not eligible for offset

      1,649               $     -       $ -   
  

 

 

                
   $ 5,219                 

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial
Instruments4		     Collateral5     Net Amount6      Total Collateral7  
   Liabilities3             Cash      Security  
  

 

 

     

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund - Derivative and Financial Instruments Eligible for Offset (continued)

  

Derivative Liabilities by Counterparty*

  

BBP

    $ 29       $ (29 )    $ -      $ -       $ -       $ -   

BCL

      119         (76 )      -        43         -         -   

BNP

      58         (58 )      -        -         -         -   

BOA

      244         (244 )      -        -         -         -   

CGM

      92         (92 )      -        -         -         -   

CIT

      51         (18 )      (33 )      -         300         -   

CSI

      44         (44 )      -        -         -         -   

DUB

      512         (418 )      (94 )      -         250         -   

HSB

      29         (29 )      -        -         -         -   

JPM

      217         (217 )      -        -         -         -   

MLP

      10         (10 )      -        -         -         -   

MSC

      107         (2 )      -        105         -         -   

RBC

      124         (124 )      -        -         150         -   

RBS

      69         -        -        69         -         -   

SCB

      32         (32 )      -        -         -         -   

SSB

      1         (1 )      -        -         -         -   

UBS

      79         (79 )      -        -         -         -   

WBC

      106         (48 )      -        58         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 1,923       $ (1,521 )    $ (127 )    $ 275         

Derivatives not eligible for offset

      3,282              $       2,267       $ 1,917   
  

 

 

               
   $ 5,205                

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest
Rate Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

JNL/Goldman Sachs Core Plus Bond Fund - Average Derivative Volume1

  

Average monthly volume

    $     -       $ 412,933       $ 662,674       $ 1,636,492       $ 166,033       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Goldman Sachs Emerging Markets Debt Fund Derivative Strategies - The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates, to replicate treasury bond positions and as a means of risk management. The Fund entered into forward foreign currency contracts to gain directional exposure to currencies, to minimize foreign currency exposure on investment securities denominated in foreign currencies, as a means of risk management and as part of its overall investment strategy. The Fund entered into interest rate swap agreements to hedge the risk that the value of fixed rate bond investments will decrease/increase as interest rates rise/fall, to execute yield curve, swap spread and sovereign relative value trades, to express views on a country’s interest rates, to manage interest rate and yield curve exposure, to manage duration and as a substitute for investment in physical securities. The Fund entered into credit default swap agreements as a substitute for investment in physical securities.

 

     Credit      Equity      Foreign Exchange     Interest Rate     Total  
  

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

             

Variation margin on financial derivative instruments

    $ -       $         -       $ -      $ 596      $ 596   

Forward foreign currency contracts

      -         -         5,476        -        5,476   

Unrealized appreciation on OTC swap agreements

      -         -         -        2,501        2,501   
  

 

 

  
   $ -       $ -       $ 5,476      $ 3,097      $ 8,573   

Liabilities:

             

Variation margin on financial derivative instruments

    $ -       $ -       $ -      $ 182      $ 182   

Forward foreign currency contracts

      -         -         5,957        -        5,957   

Unrealized depreciation on OTC swap agreements

      -         -         -        6,180        6,180   
  

 

 

  
   $ -       $ -       $ 5,957      $ 6,362      $ 12,319   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

             

Swap agreements

    $ 129       $ -       $ -      $ 3,059      $ 3,188   

Foreign currency related items

      -         -         (6,876 )      -        (6,876 ) 

Futures contracts

      -         -         -        3,905        3,905   
  

 

 

  
   $ 129       $ -       $ (6,876 )    $ 6,964      $ 217   

Net change in unrealized appreciation (depreciation) on:

  

OTC swap agreements

    $ 65       $ -       $ -      $ (9,870 )    $ (9,805 ) 

Foreign currency related items

      -         -         (4,212 )      -        (4,212 ) 

Futures contracts and centrally cleared swap agreements

      -         -         -        1,310        1,310   
  

 

 

  
   $ 65       $ -       $ (4,212 )    $ (8,560 )    $ (12,707 ) 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                     
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund - Derivative and Financial Instruments Eligible for Offset

  

   

Derivative Assets by Counterparty*

  

BBP

    $ 332       $ (332 )    $ -      $ -       $ -       $     -   

BCL

      58         (58 )      -        -         -         -   

BNP

      231         (134 )      -        97         -         -   

BOA

      498         (498 )      -        -         -         -   

CGM

      179         (179 )      -        -         -         -   

CIT

      23         (23 )      -        -         -         -   

CSI

      387         (387 )      -        -         -         -   

DUB

      1,129         (1,129 )      -        -         -         -   

HSB

      644         (176 )      -        468         -         -   

JPM

      1,710         (698 )      (780 )      232         780         -   

MSC

      32         (32 )      -        -         -         -   

RBC

      990         (233 )      -        757         -         -   

RBS

      12         (12 )      -        -         -         -   

SCB

      471         (281 )      -        190         -         -   

SSB

      196         -        -        196         -         -   

UBS

      1,064         (752 )      -        312         -         -   

WBC

      21         (21 )      -        -         -         -   
  

 

 

     

 

 

  

Derivatives eligible for offset

    $ 7,977       $ (4,945 )    $ (780 )    $ 2,252         

Derivatives not eligible for offset

      596              $ -       $ -   
  

 

 

               
   $ 8,573                

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial           Net         
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund - Derivative and Financial Instruments Eligible for Offset (continued)

  

   

Derivative Liabilities by Counterparty*

  

BBP

    $ 1,512       $ (332 )    $ -      $ 1,180       $ -       $ -   

BCL

      495         (58 )      -        437         -         -   

BNP

      134         (134 )      -        -         -         -   

BOA

      962         (498 )      (230 )      234         -         230   

CGM

      770         (179 )      -        591         -         -   

CIT

      387         (23 )      -        364         -         -   

CSI

      470         (387 )      -        83         -         -   

DUB

      4,479         (1,129 )      (2,460 )      890         2,460         -   

HSB

      176         (176 )      -        -         -         -   

JPM

      698         (698 )      -        -         -         -   

MSC

      252         (32 )      -        220         -         -   

RBC

      233         (233 )      -        -         -         -   

RBS

      191         (12 )      -        179         -         -   

SCB

      281         (281 )      -        -         -         -   

UBS

      752         (752 )      -        -         -         -   

WBC

      345         (21 )      -        324         -         -   
  

 

 

     

Derivatives eligible for offset

    $ 12,137       $ (4,945 )    $ (2,690 )    $ 4,502         

Derivatives not eligible for offset

      182              $ 2,734       $ 2,448   
  

 

 

               
   $ 12,319                

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Non-
Deliverable
Bond Forward
Contracts		  
  

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund - Average Derivative Volume1

  

Average monthly volume

    $ -       $ 334,345       $ 1,245,177       $ 566,419       $ 769       $ 3,151   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Ivy Asset Strategy Fund Derivative Strategies - The Fund entered into option contracts to manage its exposure to or hedge changes in securities prices and foreign currencies, to generate income, as a directional investment, as a substitute for investment in physical securities, as an efficient means of adjusting overall exposure to certain markets, as a means of risk management and as part of its overall investment strategy. The Fund entered into futures contracts to manage exposure to or hedge changes in securities prices and interest rates, to gain exposure to certain markets, to replicate treasury bond positions, as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy, as a substitute for investment in physical securities, as a means of short-term cash deployment and as a means of risk management. The Fund entered into forward foreign currency contracts to gain directional exposure to currencies as part of its overall investment strategy, to minimize foreign currency exposure on investment securities denominated in foreign currencies and as a means of risk management.

 

     Commodity      Equity     Foreign Exchange      Interest Rate     Total  
  

 

 

  

JNL/Ivy Asset Strategy Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

             

Investments – unaffiliated, at value2

    $ -       $ 3,961      $ -       $ -      $ 3,961   

Variation margin on financial derivative instruments

      273         -        -         -        273   

Forward foreign currency contracts

      -         -        14,713         -        14,713   
  

 

 

  
   $ 273       $ 3,961      $ 14,713       $ -      $ 18,947   

Liabilities:

             

Options written, at value

    $ -       $ 938      $ -       $ -      $ 938   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

             

Unaffiliated investments2

    $ -       $ 16,101      $ -       $ -      $ 16,101   

Foreign currency related items

      -         -        12,919         -        12,919   

Futures contracts

      329         (10,795 )      -         (669 )      (11,135 ) 

Written option contracts

      -         16,080        -         -        16,080   
  

 

 

  
   $ 329       $ 21,386      $ 12,919       $ (669 )    $ 33,965   

Net change in unrealized appreciation (depreciation) on:

             

Investments2

    $ -       $ (1,323 )    $ -       $ -      $ (1,323 ) 

Foreign currency related items

      -         -        16,789         -        16,789   

Futures contracts and centrally cleared swap agreements

      7,207         -        -         -        7,207   

Written option contracts

      -         (55 )      -         -        (55 ) 
  

 

 

  
   $ 7,207       $ (1,378 )    $ 16,789       $ -      $ 22,618   

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                     
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/Ivy Asset Strategy Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

BCL

    $ 5,894       $ (888 )    $ (5,006 )    $ -       $ -       $ 5,021   

CIT

      2,514         (4 )      (2,293 )      217         -         2,293   

DUB

      5,494         (5 )      (5,040 )      449         5,040         -   

GSC

      1,189         (41 )      (1,129 )      19         770         359   

MSC

      3,583         -        (3,320 )      263         3,320         61,641   
  

 

 

        

Derivatives eligible for offset

    $ 18,674       $ (938 )    $ (16,788 )    $ 948         

Derivatives not eligible for offset

      273              $ -       $ -   
  

 

 

               
   $ 18,947                

Derivative Liabilities by Counterparty*

                

BCL

    $ 888       $ (888 )    $ -      $ -       $ -       $ -   

CIT

      4         (4 )      -        -         -         -   

DUB

      5         (5 )      -        -         -         -   

GSC

      41         (41 )      -        -         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 938       $ (938 )    $ -      $ -         

 

    Cost of Options
Purchased and
Written		     Notional Value
at Purchase of
Futures
Contracts		     Cost of Forward
Foreign
Currency
Contracts		     Notional
Amount of
Interest Rate
Swap
Agreements		     Notional
Amount of
Credit Default
Swap
Agreements		     Notional
Amount of
Total Return
Swap
Agreements		  
 

 

 

  

JNL/Ivy Asset Strategy Fund - Average Derivative Volume1

  

Average monthly volume

   $ 6,724      $ 52,287      $ 152,352      $ -      $ -      $ -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/JPMorgan International Value Fund Derivative Strategies - The Fund entered into futures contracts to gain exposure to certain markets and for efficient management of cash flows. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies, to reduce currency deviations from its benchmark and as a means of risk management.

 

     Credit      Equity     Foreign Exchange     Interest Rate      Total  
  

 

 

  

JNL/JPMorgan International Value Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

             

Forward foreign currency contracts†

    $     -       $ -      $ 2,277      $     -       $ 2,277   

Liabilities:

             

Forward foreign currency contracts†

    $ -       $ -      $ 2,676      $ -       $ 2,676   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

             

Foreign currency related items

    $ -       $ -      $ (2,326 )    $ -       $ (2,326 ) 

Futures contracts

      -         981        -        -         981   
  

 

 

  
   $ -       $ 981      $ (2,326 )    $ -       $ (1,345 ) 

Net change in unrealized appreciation (depreciation) on:

  

       

Foreign currency related items

    $ -       $ -      $ (970 )    $ -       $ (970 ) 

Futures contracts and centrally cleared swap agreements

      -         (156 )      -        -         (156 ) 
  

 

 

  
   $ -       $ (156 )    $ (970 )    $ -       $ (1,126 ) 

†The JNL/JPMorgan International Value Fund’s forward foreign currency contracts are not subject to an enforceable master netting agreement. These amounts are presented gross on the Fund’s Statement of Assets and Liabilities.

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/JPMorgan International Value Fund - Average Derivative Volume1

  

Average monthly volume

    $ -       $ 2,086       $ 200,085       $     -       $     -       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Mellon Capital International Index Fund Derivative Strategies - The Fund entered into futures contracts to hedge accrued dividends and to manage cash flows. The Fund entered into forward foreign currency contracts to create foreign currency exposure on U.S. dollar cash balances.

 

     Credit      Equity      Foreign Exchange     Interest Rate      Total  
  

 

 

  

JNL/Mellon Capital International Index Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

              

Variation margin on financial derivative instruments

    $     -       $ 11       $ -      $     -       $ 11   

Forward foreign currency contracts†

      -         -         223        -         223   
  

 

 

  
   $ -       $ 11       $ 223      $ -       $ 234   

Liabilities:

              

Variation margin on financial derivative instruments

    $ -       $ 12       $ -      $ -       $ 12   

Forward foreign currency contracts†

      -         -         400        -         400   
  

 

 

  
   $ -       $ 12       $ 400      $ -       $ 412   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

              

Foreign currency related items

    $ -       $ -       $ (1,009 )    $ -       $ (1,009 ) 

Futures contracts

      -         6,970         -        -         6,970   
  

 

 

  
   $ -       $ 6,970       $ (1,009 )    $ -       $ 5,961   

Net change in unrealized appreciation (depreciation) on:

  

        

Foreign currency related items

    $ -       $ -       $ (8 )    $ -       $ (8 ) 

Futures contracts and centrally cleared swap agreements

      -         1,696         -        -         1,696   
  

 

 

  
   $ -       $ 1,696       $ (8 )    $ -       $ 1,688   

†The JNL/Mellon Capital International Index Fund’s forward foreign currency contracts are not subject to an enforceable master netting agreement. These amounts are presented gross on the Fund’s Statement of Assets and Liabilities.

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/Mellon Capital International Index Fund - Average Derivative Volume1

  

Average monthly volume

    $     -       $ 44,102       $ 88,877       $     -       $     -       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Mellon Capital Global Alpha Fund Derivative Strategies - The Fund entered into option contracts as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy. The Fund entered into futures contracts as an efficient means of adjusting overall exposure to certain markets as part of its investment strategy. The Fund entered into forward foreign currency contracts to gain directional exposure to currencies, to create foreign currency exposure in U.S. dollar cash balances and as part of its overall investment strategy.

 

     Credit      Equity     Foreign Exchange     Interest Rate     Total  
  

 

 

  

JNL/Mellon Capital Global Alpha Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

            

Investments – unaffiliated, at value2†

    $     -       $ -      $ -      $ 2,184      $ 2,184   

Variation margin on financial derivative instruments

      -         154        -        240        394   

Forward foreign currency contracts†

      -         -        2,440        -        2,440   
  

 

 

  
   $ -       $ 154      $ 2,440      $ 2,424      $ 5,018   

Liabilities:

            

Variation margin on financial derivative instruments

    $ -       $ 174      $ -      $ 30      $ 204   

Forward foreign currency contracts†

      -         -        1,985        -        1,985   
  

 

 

  
   $ -       $ 174      $ 1,985      $ 30      $ 2,189   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

            

Unaffiliated investments2

    $ -       $ -      $ -      $ (9,025 )    $ (9,025 ) 

Foreign currency related items

      -         -        (9,280 )      -        (9,280 ) 

Futures contracts

      -         (9,621 )      -        9,344        (277 ) 
  

 

 

  
   $ -       $ (9,621 )    $ (9,280 )    $ 319      $ (18,582 ) 

Net change in unrealized appreciation (depreciation) on:

  

      

Investments2

    $ -       $ -      $ -      $ (319 )    $ (319 ) 

Foreign currency related items

      -         -        7,291        -        7,291   

Futures contracts and centrally cleared swap agreements

      -         6,388        -        2,381        8,769   
  

 

 

  
   $ -       $ 6,388      $ 7,291      $ 2,062      $ 15,741   

†The JNL/Mellon Capital Global Alpha Fund’s investments and forward foreign currency contracts are not subject to an enforceable master netting agreement. These amounts are presented gross on the Fund’s Statement of Assets and Liabilities.

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/Mellon Capital Global Alpha Fund - Average Derivative Volume1

  

   

Average monthly volume

    $ 16,935       $ 526,238       $ 1,225,858       $     -       $     -       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/Neuberger Berman Strategic Income Fund Derivative Strategies - The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates and foreign currency rates. The Fund entered into credit default swaps to manage credit exposure and as a substitute for investment in physical securities.

 

     Credit      Equity      Foreign Exchange      Interest Rate     Total  
  

 

 

  

JNL/Neuberger Berman Strategic Income Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

              

Variation margin on financial derivative instruments

    $ -       $     -       $ -       $ 274      $ 274   

Unrealized appreciation on OTC swap agreements

      532         -         -         -        532   
  

 

 

  
   $ 532       $ -       $ -       $ 274      $ 806   

Liabilities:

              

Variation margin on financial derivative instruments9

    $ -       $ -       $ -       $ 61      $ 61   

OTC swap premiums received9

      126         -         -         -        126   
  

 

 

  
   $ 126       $ -       $ -       $ 61      $ 187   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

              

Swap agreements

    $ 207       $ -       $ -       $ -      $ 207   

Futures contracts

      -         -         126         (536 )      (410 ) 
  

 

 

  
   $ 207       $ -       $ 126       $ (536 )    $ (203 ) 

Net change in unrealized appreciation (depreciation) on:

              

OTC swap agreements

    $ 354       $ -       $ -       $ -      $ 354   

Futures contracts and centrally cleared swap agreements

      -         -         -         2,840        2,840   
  

 

 

  
   $ 354       $ -       $ -       $ 2,840      $ 3,194   

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                       
               Total Collateral7  
   Liabilities3      Instruments4      Collateral5      Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/Neuberger Berman Strategic Income Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

                  

BOA

    $ 271       $     -       $     -       $ 271       $     -       $ -   

MSC

      261         -         -         261         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 532       $     -       $ -       $ 532         

Derivatives not eligible for offset

      274                $ -       $     -   
  

 

 

                 
   $ 806                  

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/Neuberger Berman Strategic Income Fund - Average Derivative Volume1

  

Average monthly volume

    $     -       $ 131,672       $     -       $     -       $ 4,086       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/PIMCO Real Return Fund Derivative Strategies - The Fund entered into option contracts to manage exposure to or hedge changes in interest rates and inflation. The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies and as part of its overall investment strategy. The Fund entered into interest rate swap agreements to manage duration, to manage interest rate and yield curve exposure and as a substitute for investment in physical securities. The Fund entered into credit default swap agreements to manage credit exposure.

 

     Credit     Equity      Foreign Exchange      Interest Rate     Total  
  

 

 

  

JNL/PIMCO Real Return Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

             

Investments – unaffiliated, at value2

    $ -      $     -       $ -       $ 637      $ 637   

Variation margin on financial derivative instruments

      -        -         -         1,514        1,514   

Forward foreign currency contracts

      -        -         7,427         -        7,427   

Unrealized appreciation on OTC swap agreements

      -        -         -         3,773        3,773   

OTC swap premiums paid

      229        -         -         1,363        1,592   
  

 

 

  
   $ 229      $ -       $ 7,427       $ 7,287      $ 14,943   

Liabilities:

             

Variation margin on financial derivative instruments

    $ -      $ -       $ -       $ 191      $ 191   

Options written, at value

      -        -         -         2,485        2,485   

Forward foreign currency contracts

      -        -         2,446         -        2,446   

Unrealized depreciation on OTC swap agreements

      313        -         -         7,078        7,391   

OTC swap premiums received

      -        -         -         184        184   
  

 

 

  
   $ 313      $ -       $ 2,446       $ 9,938      $ 12,697   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

             

Unaffiliated investments2

    $ -      $ -       $ -       $ (6 )    $ (6 ) 

Swap agreements

      419        -         -         (2,147 )      (1,728 ) 

Foreign currency related items

      -        -         12,214         -        12,214   

Futures contracts

      -        -         -         1,354        1,354   

Written option contracts

        -         399         4,570        4,969   
  

 

 

  
   $ 419      $ -       $ 12,613       $ 3,771      $ 16,803   

Net change in unrealized appreciation (depreciation) on:

             

Investments2

    $ -      $ -       $ -       $ 352      $ 352   

OTC swap agreements

      (1,174 )      -         -         (3,776 )      (4,950 ) 

Foreign currency related items

      -        -         1,524         -        1,524   

Futures contracts and centrally cleared swap agreements

      -        -         -         8,662        8,662   

Written option contracts

      -        -         -         1,056        1,056   
  

 

 

  
   $ (1,174 )    $ -       $ 1,524       $ 6,294      $ 6,644   

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                     
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/PIMCO Real Return Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

                

BBP

    $ 802       $ (191 )    $ (430 )    $ 181       $ 430       $ -   

BCL

      5         -        -        5         -         -   

BNP

      947         (947 )      -        -         -         -   

BOA

      455         (455 )      -        -         -         -   

CIT

      6,713         (507 )      (5,944 )      262         -         5,944   

CSI

      980         -        (820 )      160         820         -   

DUB

      1,196         (1,196 )      -        -         310         -   

JPM

      359         (4 )      (320 )      35         320         -   

MSC

      122         (122 )      -        -         1,415         -   

MSS

      147         (147 )      -        -         890         -   

UBS

      109         (109 )      -        -         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 11,835       $ (3,678 )    $ (7,514 )    $ 643         

Derivatives not eligible for offset

      3,108              $ -       $ -   
  

 

 

               
   $ 14,943                

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                            
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/PIMCO Real Return Fund - Derivative and Financial Instruments Eligible for Offset (continued)

  

Derivative Liabilities by Counterparty*

  

          

BBP

    $ 191       $ (191 )    $ -      $ -       $ -       $ -   

BNP

      1,654         (947 )      (370 )      337         -         370   

BOA

      2,083         (455 )      (1,424 )      204         -         1,424   

CIT

      507         (507 )      -        -         -         -   

DUB

      1,342         (1,196 )      -        146         -         -   

JPM

      4         (4 )      -        -         -         -   

MSC

      434         (122 )      (271 )      41         -         271   

MSS

      2,810         (147 )      (2,663 )      -         -         2,687   

UBS

      2,558         (109 )      (2,367 )      82         -         2,367   
  

 

 

     

Derivatives eligible for offset

    $ 11,583       $ (3,678 )    $ (7,095 )    $ 810         

Derivatives not eligible for offset

      1,114              $ 11,665       $ -   
  

 

 

               
   $ 12,697                

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                      
              Total Collateral7  
   Liabilities8      Instruments4     Collateral5      Net Amount8      Cash      Security  
  

 

 

     

 

 

  

Master Forward Agreement Transaction Assets by Counterparty*

  

           

BCL

    $ 214,317       $ (214,317 )    $     -       $ -       $ -       $ -   

MSC

      1,676,703         (1,676,703 )      -         -         15         -   
  

 

 

     
   $ 1,891,020       $ (1,891,020 )    $ -       $ -         

Master Forward Agreement Transaction Liabilities by Counterparty*

  

           

BCL

    $ 214,753       $ (214,317 )    $ -       $ 436       $ -       $ -   

MSC

      1,689,942         (1,676,703 )      -         13,239         -         -   
  

 

 

     
   $ 1,904,695       $ (1,891,020 )    $ -       $ 13,675         

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/PIMCO Real Return Fund - Average Derivative Volume1

  

Average monthly volume

    $ 4,694       $ 407,895       $ 708,582       $ 415,712       $ 14,908       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/PIMCO Total Return Bond Fund Derivative Strategies - The Fund entered into option contracts to manage exposure to or hedge changes in interest rates and inflation. The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies and as part of its overall investment strategy. The Fund entered into interest rate swap agreements to manage duration, to manage interest rate and yield curve exposure and as a substitute for investment in physical securities. The Fund entered into credit default swap agreements to manage credit exposure.

 

     Credit     Equity      Foreign Exchange     Interest Rate     Total  
  

 

 

  

JNL/PIMCO Total Return Bond Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

            

Variation margin on financial derivative instruments

    $ -      $     -       $ -      $ 3,347      $ 3,347   

Forward foreign currency contracts

      -        -         1,772        -        1,772   

Unrealized appreciation on OTC swap agreements

      2,327        -         -        825        3,152   

OTC swap premiums paid

      2,767        -         -        90        2,857   
  

 

 

  
   $ 5,094      $ -       $ 1,772      $ 4,262      $ 11,128   

Liabilities:

            

Variation margin on financial derivative instruments

    $ -      $ -       $ -      $ 2,794      $ 2,794   

Options written, at value

      52        -         -        3,385        3,437   

Forward foreign currency contracts

      -        -         9,273        -        9,273   

Unrealized depreciation on OTC swap agreements

      1,885        -         -        900        2,785   

OTC swap premiums received

      1,856        -         -        569        2,425   
  

 

 

  
   $ 3,793      $ -       $ 9,273      $ 7,648      $ 20,714   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

            

Swap agreements

    $ 7,592      $ -       $ -      $ (16,684 )    $ (9,092 ) 

Foreign currency related items

      -        -         24,744        -        24,744   

Futures contracts

      -        -         -        11,809        11,809   

Written option contracts

      178        -         789        10,220        11,187   
  

 

 

  
   $ 7,770      $ -       $ 25,533      $ 5,345      $ 38,648   

Net change in unrealized appreciation (depreciation) on:

            

OTC swap agreements

    $ (4,876 )    $ -       $ -      $ (708 )    $ (5,584 ) 

Foreign currency related items

      -        -         (8,333 )      -        (8,333 ) 

Futures contracts and centrally cleared swap agreements

      2        -         -        16,412        16,414   

Written option contracts

      11        3         -        (3,973 )      (3,959 ) 
  

 

 

  
   $ (4,863 )    $ 3       $ (8,333 )    $ 11,731      $ (1,462 ) 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                     
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/PIMCO Total Return Bond Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

                

BBP

    $ 654       $ (118 )    $ (536 )    $ -       $ 1,080       $     -   

BCL

      233         (151 )      -        82         

BNP

      317         (219 )      -        98         

BOA

      323         (323 )      -        -         

CIT

      150         (150 )      -        -         

CSI

      210         (204 )      -        6         

DUB

      802         (802 )      -        -         610      

GSI

      24         -        -        24         

JPM

      124         (124 )      -        -         

MLP

      2         -        -        2         -         -   

MSC

      857         (362 )      (495 )      -         835         -   

MSS

      174         (174 )      -        -         695         -   

UBS

      1,054         (348 )      (370 )      336         370         -   
  

 

 

     

Derivatives eligible for offset

    $ 4,924       $ (2,975 )    $ 1,401      $ 548         

Derivatives not eligible for offset

      6,204              $ -       $ -   
  

 

 

               
   $ 11,128                

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                            
             Total Collateral7  
   Liabilities3      Instruments4     Collateral5     Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/PIMCO Total Return Bond Fund - Derivative and Financial Instruments Eligible for Offset (continued)

  

Derivative Liabilities by Counterparty*

                

BBP

    $ 118       $ (118 )    $ -      $ -       $ -       $ -   

BCL

      151         (151 )      -        -         

BNP

      219         (219 )      -        -         -         -   

BOA

      4,129         (323 )      (3,806 )      -         -         4,075   

CIT

      276         (150 )      (126 )      -         -         354   

CSI

      204         (204 )      -        -         -         52   

DUB

      2,050         (802 )      -        1,248         -         -   

JPM

      6,842         (124 )      (6,718 )      -         -         7,444   

MSC

      362         (362 )      -        -         -         -   

MSS

      575         (174 )      (401 )      -         -         650   

UBS

      348         (348 )      -        -         -         -   
  

 

 

     

Derivatives eligible for offset

    $ 15,274       $ (2,975 )    $ (11,051 )    $ 1,248         

Derivatives not eligible for offset

      5,440              $ 13,554       $ 24,174   
  

 

 

               
   $ 20,714                

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                     
             Total Collateral7  
   Liabilities8      Instruments4     Collateral5     Net Amount8      Cash      Security  
  

 

 

     

 

 

  

Master Forward Agreement Transaction Assets by Counterparty*

  

          

BCL

    $ 129,604       $ (129,501 )    $ -      $ 103       $ -       $ -   

BOA

      91,633         (91,633 )      -        -         -         -   

CGM

      23,404         (23,404 )      -        -         -         158   

CSI

      131,137         (131,137 )      -        -         -         -   

GSC

      56,929         (56,929 )      -        -         -         -   

JPM

      81,334         (81,334 )      -        -         -         -   

MSC

      17,376         (17,351 )      (25 )      -         2,740         -   

RGC

      22,013         (22,013 )      -        -         -         -   

WFI

      21,126         (21,126 )      -        -         -         -   
  

 

 

     
   $ 574,556       $ (574,428 )    $ (25 )    $ 103         

Master Forward Agreement Transaction Liabilities by Counterparty*

  

          

BCL

    $ 129,501       $ (129,501 )    $ -      $ -       $ -       $ -   

BOA

      91,766         (91,633 )      -        133         -         -   

CGM

      23,446         (23,404 )      -        42         -         -   

CSI

      131,530         (131,137 )      -        393         -         -   

GSC

      57,023         (56,929 )      -        94         -         -   

JPM

      81,415         (81,334 )      -        81         -         -   

MSC

      17,351         (17,351 )      -        -         -         -   

RGC

      22,127         (22,013 )      -        114         -         -   

WFI

      21,200         (21,126 )      -        74         -         -   
  

 

 

     
   $ 575,359       $ (574,428 )    $ -      $ 931         

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/PIMCO Total Return Bond Fund - Average Derivative Volume1

  

   

Average monthly volume

    $ 3,651       $ 2,796,907       $ 906,265       $ 2,140,917       $ 254,861       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/T. Rowe Price Short-Term Bond Fund Derivative Strategies - The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies.

 

     Credit      Equity      Foreign Exchange     Interest Rate      Total  
  

 

 

  

JNL/T. Rowe Price Short-Term Bond Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

              

Variation margin on financial derivative instruments9

    $     -       $     -       $ -      $ 75       $ 75   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

  

Net realized gain (loss) on:

              

Foreign currency related items

    $ -       $ -       $ 227      $ -       $ 227   

Futures contracts

      -         -         -        272         272   
  

 

 

  
   $ -       $ -       $ 227      $ 272       $ 499   

Net change in unrealized appreciation (depreciation) on:

              

Foreign currency related items

    $ -       $ -       $ (18 )    $ -       $ (18 ) 

Futures contracts and centrally cleared swap agreements

      -         -         -        305         305   
  

 

 

  
   $ -       $ -       $ (18 )    $ 305       $ 287   

 

     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest Rate
Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

  

JNL/T. Rowe Price Short-Term Bond Fund - Average Derivative Volume1

  

Average monthly volume

    $     -       $ 41,708       $ 7,056       $     -       $     -       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

JNL/WMC Balanced Fund Derivative Strategies - The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates, as an efficient means of adjusting overall exposure to certain markets, as a means of risk management and as part of its overall investment strategy. The Fund entered into credit default swap agreements as a substitute for investment in physical securities.

 

     Credit      Equity      Foreign Exchange      Interest Rate      Total  
  

 

 

  

JNL/WMC Balanced Fund - Derivative Instruments Categorized by Risk Exposure

  

Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2013:

  

Assets:

               

Unrealized appreciation on OTC swap agreements

    $ 117       $     -       $     -       $ -       $ 117   

Liabilities:

               

OTC swap premiums received9

    $ 301       $ -       $ -       $-         $ 301   

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2013:

               

Net realized gain (loss) on:

               

Swap agreements

    $ 18       $ -       $ -       $ -       $ 18   

Futures contracts

      -         -         -         121         121   
  

 

 

  
   $ 18       $         $ -       $ 121       $ 139   

Net change in unrealized appreciation (depreciation) on:

               

OTC swap agreements

    $ 117       $ -       $ -       $ -       $ 117   
     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                    Total Collateral7  
     Liabilities3      Instruments4      Collateral5      Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/WMC Balanced Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

            

MSC

    $ 117       $ -       $     -       $ 117       $ -       $     -   
  

 

 

     

Derivatives eligible for offset

    $ 117       $ -       $ -       $ -         
     Cost of Options
Purchased and
Written		      Notional Value
at Purchase of
Futures
Contracts		      Cost of Forward
Foreign
Currency
Contracts		      Notional
Amount of
Interest
Rate Swap
Agreements		      Notional
Amount of
Credit Default
Swap
Agreements		      Notional
Amount of
Total Return
Swap
Agreements		  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

JNL/WMC Balanced Fund - Average Derivative Volume1

  

Average monthly volume

    $ -       $ 2,115       $ -       $ -       $ 2,407       $     -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

During period, the following Fund held one type of derivative instrument eligible for offset with several counterparties which were deemed significant for purposes of disclosing financial instruments eligible for offset:

 

     Gross Amount
Presented in the
Statements of
Assets and 		     Financial                   Total Collateral7  
   Liabilities3      Instruments4     Collateral5      Net Amount6      Cash      Security  
  

 

 

     

 

 

  

JNL/Capital Guardian Global Balanced Fund - Derivative and Financial Instruments Eligible for Offset

  

Derivative Assets by Counterparty*

  

      

BNY

    $ 28       $ (27 )    $     -       $ 1       $     -       $     -   

BOA

      10         (10 )      -         -         -         -   

CSI

      96         (39 )      -         57         -         -   

JPM

      58         (58 )      -         -         -         -   

UBS

      12         -        -         12         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 204       $ (134 )    $ -       $ 70         

Derivative Liabilities by Counterparty*

  

              

BNY

    $ 27       $ (27 )    $ -       $ -       $ -       $ -   

BOA

      133         (10 )      -         123         -         -   

CSI

      39         (39 )      -         -         -         -   

JPM

      69         (58 )      -         11         -         -   
  

 

 

        

Derivatives eligible for offset

    $ 268       $ (134 )    $ -       $ 134         

1The derivative instruments outstanding as of December 31, 2013, as disclosed in the Notes to Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the year ended December 31, 2013, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds.

2Purchased options market value is reflected in Investments - unaffiliated, at value. Realized gain (loss) and change in unrealized appreciation (depreciation) on purchased options are reflected in realized gain (loss) on unaffiliated investments and change in unrealized appreciation (depreciation) on investments, respectively, in the Statements of Operations.

3Amounts eligible for offset are presented gross in the Statements of Assets and Liabilities.

4Financial instruments eligible for offset but not offset in the Statements of Assets and Liabilities.

5Cash and security collateral not offset in the Statements of Assets and Liabilities. For derivative assets and liabilities, amounts do not reflect over-collateralization.

6For assets, net amount represents the amount payable by the counterparty to the Fund in the event of default. For liabilities, net amount represents the amount payable by the Fund to the counterparty in the event of default.

7Cash and security collateral pledged or segregated for derivative investments. For assets, amount reflects collateral received from or segregated by the counterparty. For liabilities, amount reflects collateral pledged or segregated by the Fund. Collateral for derivatives not eligible for offset includes amounts pledged for margin purposes.

8Investment liabilities and assets include delayed delivery securities and secured borrowings. Liabilities reflect amounts payable to the counterparty for the cost of the investment, assets reflect the market value of the investments and the net amount reflects net unrealized gain or loss. The net unrealized gain or loss constitutes the amount which is subject to margin or collateral requirements as required under the Master Forward Agreement.

9All derivative assets or liabilities for this Fund are not eligible for offset, and a Derivative and Financial Instruments Eligible for Offset table is not presented for the asset or liability, as applicable.

*Counterparties are defined on page 212 in the Notes to Schedules of Investments.

The derivative strategy for Funds which held only one type of derivative during the year is as follows: JNL/BlackRock Large Cap Select Growth Fund entered into forward foreign currency contracts as a means of risk management. JNL/Brookfield Global Infrastructure Fund entered into forward foreign currency contracts to hedge foreign currency exposure between trade date and settlement date on investment security purchases and sales. JNL/Capital Guardian Global Balanced Fund entered into forward foreign currency contracts to gain directional exposure to currencies, to minimize foreign currency exposure on investment securities denominated in foreign currencies, as a means of risk management and as part of its overall investment strategy. JNL/Mellon Capital Emerging Markets Index Fund entered into futures contracts to hedge accrued dividends and to manage cash flows. JNL/Mellon Capital S&P 500 Index Fund entered into futures contracts to hedge accrued dividends and to manage cash flows. JNL/Mellon Capital S&P 400 Mid Cap Index Fund entered into futures contracts to hedge accrued dividends and to manage cash flows. JNL/Mellon Capital Small Cap Index Fund entered into futures contracts to hedge accrued dividends and to manage cash flows. JNL/Morgan Stanley Mid Cap Growth Fund entered into options to manage its exposure to or hedge changes in securities prices. JNL/PPM America Floating Rate Income Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. JNL/PPM America High Yield Bond Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. JNL/T. Rowe Price Mid-Cap Growth Fund entered into futures contracts as a substitute for investment in physical securities and as a means of short-term cash deployment.

The derivative instruments outstanding as of December 31, 2013, as disclosed in the Notes to Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the year ended December 31, 2013, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds. For Funds which held only one type of derivative and which had significant activity in the derivative indicated during the year, the average derivative volume (in thousands) is as follows:

 

     Notional Value at
Purchase of
Futures Contracts		      Cost of Forward
Foreign Currency
Contracts		  
  

 

 

  

JNL/Capital Guardian Global Balance Fund

    $ -       $ 39,105   

JNL/Mellon Capital Emerging Markets Index Fund

      4,263         -   

JNL/Mellon Capital S&P 500 Index Fund

      50,192         -   

JNL/Mellon Capital S&P 400 Mid Cap Index Fund

      33,474         -   

JNL/Mellon Capital Small Cap Index Fund

      30,218         -   

JNL/PPM America High Yield Bond Fund

      28,654         -   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Pledged or Segregated Collateral - The following table summarizes cash and securities collateral pledged (in thousands) for Funds for which collateral exists but was not presented in a Derivative and Financial Instruments Eligible for Offset table:

 

                   Futures Contracts      Securities         
     Prime Broker      Counterparties      Pledged or
Segregated
Cash		      Pledged or
Segregated
Securities		      Sold Short
Segregated
Securities		      Total Pledged or
Segregated Cash
and Securities		  
  

 

 

  

JNL/BlackRock Global Allocation Fund

      UBS         N/A       $ -       $ -       $ 2,028       $ 2,028   

JNL/Goldman Sachs U.S. Equity Flex Fund

      CSI         N/A         -         -         89,532         89,532   

JNL/Mellon Capital Emerging Markets Index Fund

      N/A         GSC         -         265         -         265   

JNL/Mellon Capital S&P 500 Index Fund

      N/A         GSC         -         3,769         -         3,769   

JNL/Mellon Capital S&P 400 Mid Cap Index Fund

      N/A         GSC         -         2,704         -         2,704   

JNL/Mellon Capital Small Cap Index Fund

      N/A         GSC         -         2,109         -         2,109   

JNL/Mellon Capital International Index Fund

      N/A         GSC         -         3,354         -         3,354   

JNL/Mellon Capital Global Alpha Fund

      N/A         GSC         -         22,246         -         22,246   

JNL/Neuberger Berman Strategic Income Fund

      N/A         GSC         2,558         -         -         2,558   

JNL/PPM America Floating Rate Income Fund

      N/A         RBS         313         -         -         313   

JNL/PPM America High Yield Bond Fund

      N/A         RBS         924         -         -         924   

JNL/T. Rowe Price Mid-Cap Growth Fund

      N/A         GSC         -         117         -         117   

JNL/T. Rowe Price Short-Term Bond Fund

      N/A         GSC         -         767         -         767   

NOTE 7. INVESTMENT RISKS AND REGULATORY MATTERS

Emerging Market Securities Risk - Investing in securities of emerging market countries generally involves greater risk than investing in foreign securities in developed markets. Emerging market countries typically have economic and political systems that are less fully developed and are likely to be less stable than those in more advanced countries. These risks include the potential for government intervention, adverse changes in earnings and business prospects, liquidity, credit and currency risks, and price volatility.

Foreign Securities Risk - Investing in securities of foreign companies and foreign governments generally involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include the potential for revaluation of currencies, different accounting policies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices may be more volatile than those of securities of comparable U.S. companies and the U.S. government.

Currency Risk - Investing directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, involves the risk that those currencies will decline in value relative to the base currency of a Fund, or, in the case of hedging positions, that a Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, general economics of a country, actions (or inaction) of U.S. governments or banks, foreign governments, central banks or supranational entities such as the International Monetary Fund, the imposition of currency controls or other political developments in the U.S. or abroad.

Market, Credit and Counterparty Risk - In the normal course of business, the Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (“market risk”) or failure of the other party to a transaction to perform (“credit risk”). Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will default. Financial assets, which potentially expose the Funds to credit risk, consist principally of investments and cash due from counterparties (“counterparty risk”). The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets is incorporated within their carrying value as recorded in the Funds’ Statements of Assets and Liabilities. For certain derivative contracts, the potential loss could exceed the value of the financial assets recorded in the financial statements.

Private Equity Companies Risk - There are inherent risks in investing in private equity companies, which encompass financial institutions or vehicles whose principal business is to invest in and lend capital to privately held companies. Generally, little public information exists for private and thinly traded companies, and there is a risk that investors may not be able to make a fully informed investment decision. In addition, private equity companies are subject to minimal regulation. In addition to the risks associated with a Fund’s direct investments, the Fund is also subject to the underlying risks which affect the private equity companies in which the Fund invests. Private equity companies are subject to various risks depending on their underlying investments, which could include, but are not limited to, additional liquidity, sector, non-U.S. security, currency, credit, managed portfolio and derivatives risks.

Real Estate Investment Risk - The JNL/Invesco Global Real Estate Fund concentrates its assets in the real estate industry and an investment in the Fund will be closely linked to the performance of the real estate markets. Property values may fall due to increasing vacancies or declining rents resulting from economic, legal, cultural or technological developments. Many real estate companies, including REITs, utilize leverage (and some may be highly

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

leveraged), which increases investment risk and could adversely affect a real estate company’s operations and market value in periods of rising interest rates. The value of a Fund’s investment in REITs may be affected by the management skill of the persons managing the REIT. Because REITs have expenses of their own, the Fund will bear a proportional share of those expenses. Due to the fact that the Fund focuses its investments in REITs and other companies related to the real estate industry, the value of shares may rise and fall more than the value of shares of a Fund that invests in a broader range of companies.

Master Limited Partnership Risk - Investment in MLPs involves some risks that differ from an investment in the common stock of a corporation. Holders of MLPs have limited control on matters affecting the partnership. Investing in MLPs involves certain risks related to investing in the underlying assets of the MLPs and risks associated with pooled investment vehicles. MLPs holding credit-related investments are subject to interest rate risk and the risk of default on payment obligations by debt issuers. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region.

Senior and Junior Loan Risk - When a Fund invests in a loan or participation, the Fund is subject to the risk that an intermediate participant between the Fund and the borrower will fail to meet its obligations to the Fund, in addition to the risk that the borrower under the loan may default on its obligations. Senior and Junior loans typically are of below investment grade quality and have below investment grade credit ratings, which ratings are associated with securities having high risk and speculative characteristics. The Fund is also subject to the risk that the agent bank administering the loan may fail to meet its obligations.

NOTE 8. INVESTMENT ADVISORY FEES AND TRANSACTIONS WITH AFFILIATES

Advisory and Administrative Fees - The Trust has an investment advisory and management agreement with JNAM, whereby JNAM provides investment management services. Each Fund pays JNAM an annual fee, accrued daily and paid monthly, based on a specified percentage of the average daily net assets of each Fund. A portion of this fee is paid by JNAM to the Sub-Advisers as compensation for their services.

JNAM also serves as the “Administrator” to the Funds. The Funds pay an administrative fee based on the average daily net assets of each Fund, accrued daily and paid monthly. In return for the administrative fee, JNAM provides or procures all necessary administrative functions and services for the operation of the Funds. In addition, JNAM, at its own expense, arranges for legal (except for litigation expenses incurred by the JNL/Franklin Templeton Mutual Shares Fund), audit, fund accounting, transfer agency, custody, printing and mailing, a portion of the Chief Compliance Officer costs, and all other services necessary for the operation of each Fund. Each Fund is responsible for trading expenses including brokerage commissions, interest and taxes, other non-operating expenses, registration fees, licensing costs, directors and officers insurance, the fees and expenses of the disinterested Trustees and independent legal counsel to the disinterested Trustees, and a portion of the costs associated with the Chief Compliance Officer.

The following schedule indicates the range of the advisory fee at various net assets levels and the administrative fee each Fund is currently obligated to pay JNAM. For the advisory fee ranges presented, refer to the Trust’s Prospectus for the specific percentage of average daily net assets and break points for each Fund.

 

    Advisory Fee (m-millions)   Administrative
    $0m to $100m  

$100m to $500m

  

Over $500m

   Fee
JNL/AQR Managed Futures Strategy Fund   0.95%   0.95%   0.90 - 0.85%   0.20%
JNL/BlackRock Commodity Securities Strategy Fund   0.70   0.70 - 0.60   0.60   0.15
JNL/BlackRock Global Allocation Fund   0.75   0.75   0.75 - 0.70   0.15
JNL/BlackRock Large Cap Select Growth Fund   0.70   0.70 - 0.65   0.60 - 0.55   0.10
JNL/Brookfield Global Infrastructure Fund   0.80   0.80   0.80 - 0.75   0.15
JNL/Capital Guardian Global Balanced Fund   0.65   0.65   0.60   0.15
JNL/Capital Guardian Global Diversified Research Fund   0.75   0.75 - 0.70   0.65 - 0.60   0.15
JNL/DFA U.S. Core Equity Fund   0.65   0.60 - 0.55   0.55   0.10
JNL/Eagle SmallCap Equity Fund   0.75   0.70   0.65   0.10
JNL/Eastspring Investments Asia ex-Japan Fund   0.90   0.90   0.85   0.15
JNL/Eastspring Investments China-India Fund   0.90   0.90   0.85   0.20
JNL/Franklin Templeton Global Growth Fund   0.75   0.75 - 0.65   0.60   0.15
JNL/Franklin Templeton Global Multisector Bond Fund   0.75   0.75   0.75 - 0.70   0.15
JNL/Franklin Templeton Income Fund   0.80   0.75 - 0.65   0.60   0.10
JNL/Franklin Templeton International Small Cap Growth Fund   0.95   0.95   0.90   0.15
JNL/Franklin Templeton Mutual Shares Fund   0.75   0.75   0.70   0.10
JNL/Franklin Templeton Small Cap Value Fund   0.85   0.85 - 0.77   0.75   0.10
JNL/Goldman Sachs Core Plus Bond Fund   0.60   0.60   0.55   0.10
JNL/Goldman Sachs Emerging Markets Debt Fund   0.75   0.75 - 0.70   0.70 - 0.675   0.15
JNL/Goldman Sachs Mid Cap Value Fund   0.75   0.70   0.70   0.10
JNL/Goldman Sacks U.S. Equity Flex Fund   0.80   0.80 - 0.75   0.80 - 0.75   0.15
JNL/Invesco Global Real Estate Fund   0.75 - 0.70   0.70   0.70   0.15
JNL/Invesco International Growth Fund   0.70   0.70 - 0.65   0.60   0.15
JNL/Invesco Large Cap Growth Fund   0.70   0.70 - 0.65   0.65   0.10
JNL/Invesco Mid Cap Value Fund   0.75 - 0.70   0.70 - 0.65   0.65   0.10
JNL/Invesco Small Cap Growth Fund   0.85   0.85 - 0.80   0.80   0.10
JNL/Ivy Asset Strategy Fund   0.90   0.90   0.85 - 0.825   0.15
JNL/JPMorgan International Value Fund   0.70   0.70 - 0.65   0.60   0.15
JNL/JPMorgan MidCap Growth Fund   0.70   0.70 - 0.65   0.65 - 0.55   0.10

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

    Advisory Fee (m-millions)   Administrative
    $0m to $100m  

$100m to $500m

  

Over $500m

   Fee

JNL/JPMorgan U.S. Government & Quality Bond Fund

   0.50%   0.50 - 0.40%   0.35%   0.10%

JNL/Lazard Emerging Markets Fund

   1.00   0.90 - 0.85   0.85   0.15

JNL/M&G Global Basics Fund

   0.85   0.85   0.80   0.15

JNL/Mellon Capital Emerging Markets Index Fund

   0.40   0.40   0.35   0.15

JNL/Mellon Capital European 30 Fund

   0.37 - 0.31   0.28   0.28   0.20

JNL/Mellon Capital Pacific Rim 30 Fund

   0.37 - 0.31   0.28   0.28   0.20

JNL/Mellon Capital S&P 500 Index Fund

   0.28   0.28   0.24 - 0.23   0.10

JNL/Mellon Capital S&P 400 MidCap Index Fund

   0.29   0.29   0.24 - 0.23   0.10

JNL/Mellon Capital Small Cap Index Fund

   0.29   0.29   0.24 - 0.23   0.10

JNL/Mellon Capital International Index Fund

   0.30   0.30   0.25 - 0.24   0.15

JNL/Mellon Capital Bond Index Fund

   0.30   0.30   0.25 - 0.24   0.10

JNL/Mellon Capital Global Alpha Fund

   1.00   1.00   0.90   0.15

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

   0.325   0.325   0.325 -0.30   0.15

JNL/Mellon Capital Utilities Sector Fund

   0.34 - 0.31   0.28   0.28 - 0.27   0.15

JNL/Morgan Stanley Mid Cap Growth Fund

   0.75   0.75   0.75 - 0.70   0.15

JNL/Neuberger Berman Strategic Income Fund

   0.60   0.60   0.60-0.55   0.15

JNL/Oppenheimer Global Growth Fund

   0.70   0.70 - 0.60   0.60   0.15

JNL/PIMCO Real Return Fund

   0.50   0.50   0.50 - 0.475   0.10

JNL/PIMCO Total Return Bond Fund

   0.50   0.50   0.50   0.10

JNL/PPM America Floating Rate Income Fund

   0.65   0.65   0.60   0.15

JNL/PPM America High Yield Bond Fund

   0.50   0.50 - 0.45   0.425   0.10

JNL/PPM America Mid Cap Value Fund

   0.75   0.75   0.70   0.10

JNL/PPM America Small Cap Value Fund

   0.75   0.75   0.70   0.10

JNL/PPM America Value Equity Fund

   0.55   0.55 - 0.50   0.50   0.10

JNL/Red Rocks Listed Private Equity Fund

   0.85   0.85 - 0.80   0.80   0.15

JNL/S&P Competitive Advantage Fund

   0.40   0.40   0.35   0.10

JNL/S&P Dividend Income & Growth Fund

   0.40   0.40   0.35   0.10

JNL/S&P Intrinsic Value Fund

   0.40   0.40   0.35   0.10

JNL/S&P Total Yield Fund

   0.40   0.40   0.35   0.10

JNL/T. Rowe Price Established Growth Fund

   0.65   0.65 - 0.60   0.55   0.10

JNL/T. Rowe Price Mid-Cap Growth Fund

   0.75   0.75 - 0.70   0.70   0.10

JNL/T. Rowe Price Short-Term Bond Fund

   0.45   0.45 - 0.40   0.40 - 0.375   0.10

JNL/T. Rowe Price Value Fund

   0.70   0.70 - 0.65   0.60   0.10

JNL/WMC Balanced Fund

   0.55 - 0.50   0.50 - 0.45   0.425   0.10

JNL/WMC Money Market Fund

   0.28   0.28   0.25   0.10

JNL/WMC Value Fund

   0.55   0.55 - 0.50   0.45   0.10

Fee Waiver and Expense Reimbursements - Pursuant to a contractual expense limitation agreement, JNAM agreed to waive fees and reimburse expenses of the JNL/WMC Money Market Fund to the extent necessary to limit operating expenses of each class of shares of the Fund (excluding brokerage expense, interest, taxes, and extraordinary expenses) to an annual rate as a percentage of average daily net assets equal to or less than the Fund’s net investment income for the period. JNAM may recover previously reimbursed expenses from the Fund for fees waived and reimbursed. During the year ended December 31, 2013, JNAM did not recover any previously reimbursed expenses. At December 31, 2013, the amount of potentially recoverable expenses (in thousands) was $3,122 that expires on December 31, 2014, $3,517 that expires on December 31, 2015 and $5,050 that expires on December 31, 2016.

Pursuant to contractual fee waiver agreements, JNAM agreed to waive a portion of its advisory fees for each of the following Funds:

 

Fund

   

Advisory Fee Waiver as a Percentage of Average Daily Net Assets

JNL/DFA U.S. Core Equity Fund

   

Fees greater than 0.50%

JNL/Franklin Templeton Global Multisector Bond Fund

   

0.025% for net assets between $0 - $1 billion*

JNL/Goldman Sachs Emerging Markets Debt Fund

   

0.025% for net assets between $400 million - $1 billion*

JNL/Goldman Sachs Mid Cap Value Fund

   

0.025% for net assets greater than $500 million*

JNL/Invesco Small Cap Growth Fund

   

0.05% for net assets between $0 - $250 million*

JNL/Mellon Capital S&P 500 Index Fund

   

0.01%*

JNL/Mellon Capital Global Alpha Fund

   

0.10% for net net assets greater than $750 million

JNL/T. Rowe Price Value Fund

    0.05% for net assets between $150 million and $500 million as long as the net assets for the Fund are above $1 billion

*Effective June 3, 2013.

The Adviser agreed to voluntarily waive annual advisory fees of 0.10% on the first $100 million of average daily net assets for the JNL/Lazard Emerging Markets Fund.

T. Rowe Price Associates, Inc., the Sub-Adviser for JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund, JNL/T. Rowe Price Short-Term Bond Fund and JNL/T. Rowe Price Value Fund, agreed to voluntarily waive a portion of its annual sub-advisory fee of these Funds. The Adviser contractually agreed to waive, for each Fund, the portion of its advisory fee equal to the Sub-Adviser fee waiver.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Except for the JNL/WMC Money Market Fund, none of the waived fees can be recaptured by JNAM. The amount of waived expenses for each Fund is recorded as expense waiver in each Fund’s Statement of Operations.

Distribution Fees - The Funds adopted a Distribution Plan under the provisions of Rule 12b-1 under the 1940 Act for the purpose of reimbursement of certain distribution and related service expenses from the sale and distribution of each Fund’s Class A shares (through the sale of variable insurance products funded by the Trust). Jackson National Life Distributors LLC (“JNLD”), a wholly-owned subsidiary of Jackson and an affiliate of JNAM, is the principal underwriter of the Funds, with responsibility for promoting sales of their shares. JNLD also is the principal underwriter of the variable annuity insurance products issued by Jackson and its subsidiaries. The maximum annual Rule 12b-1 fee allowed is 0.20% of the average daily net assets attributable to the Class A shares.

Affiliated Brokerage Commissions - During the year ended December 31, 2013, the following Funds paid brokerage fees to affiliates for the execution of purchases and sales of portfolio investments (in thousands): JNL/Eagle SmallCap Equity Fund $16; JNL/Goldman Sachs Core Plus Bond Fund $2; JNL/Goldman Sachs Mid Cap Value Fund $61; JNL/Goldman Sachs U.S. Equity Flex Fund $4; JNL/JPMorgan International Value Fund $3; JNL/Oppenheimer Global Growth Fund $6.

Deferred Compensation Plan - Effective January 1, 2007, the Funds adopted a Deferred Compensation Plan whereby disinterested Trustees may defer the receipt of all or a portion of their compensation. These deferred amounts, which remain as liabilities of the Funds, are treated as if invested and reinvested in shares of one or more affiliated funds at the discretion of the applicable Trustee. These amounts represent general, unsecured liabilities of the Funds and vary according to the total returns of the selected Funds. Prior to January 1, 2007, Trustees were able to defer the receipt of their compensation under a separate plan. Deferred amounts under this plan are credited at a fixed annual rate of return of five percent (5%). Liabilities related to deferred balances are included in payable for trustee fees in the Statements of Assets and Liabilities. Increases or decreases related to the changes in value of deferred balances are included in trustee fees set forth in the Statements of Operations.

Directed Brokerage Commissions - A Sub-Adviser may allocate a portion of a Fund’s equity security transactions (subject to obtaining best execution of each transaction) through certain designated broker/dealers which will rebate a portion of the brokerage commissions to that Fund. Any amount credited to the Fund is reflected as brokerage commissions recaptured in the Statements of Operations.

Investments in Affiliates - During the year ended December 31, 2013, certain Funds invested in a money market fund which is managed by the Adviser. 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 T. Rowe Price Reserves Investment Fund as a cash management tool. Certain Funds participating in securities lending receive cash collateral, which is invested by the Custodian in the Securities Lending Cash Collateral Fund LLC, which is an affiliate of the Funds’ Adviser. JNAM serves as the Administrator for the Securities Lending Cash Collateral Fund LLC. The Custodian is an affiliate of the Funds for which J.P. Morgan Investment Management Inc. is the Sub-Adviser. JNL/BlackRock Global Allocation Fund invested in the iShares Gold Trust Fund, which is an affiliate of the Sub-Adviser. JNL/Mellon Capital International Index Fund invested in Prudential plc. JNAM is a wholly-owned subsidiary of Jackson and an indirect wholly owned subsidiary of Prudential plc, a publicly traded company incorporated in the United Kingdom. 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. JNL/Mellon Capital S&P 500 Index Fund and JNL/Mellon Capital Bond Index Fund invested in the Bank of New York Mellon Corporation, the parent company of each Fund’s Sub-Adviser. The total value and cost of such affiliated investments is disclosed separately in the Statements of Assets and Liabilities, and the associated income and realized gain (loss) are disclosed separately in the Statements of Operations.

NOTE 9. BORROWING ARRANGEMENTS

Effective June 7, 2013, the Trust entered into a Syndicated Credit Agreement (“SCA”) with a group of lenders. The Funds, with the exception of JNL/PPM America Floating Rate Income Fund, participate in the SCA with other funds managed by JNAM and Curian in a credit facility which is used solely to finance shareholder redemptions or for other temporary or emergency purposes. The Funds may borrow up to the lesser of $300,000,000, the amount available under the facility; the limits set for borrowing by the Funds’ prospectuses and the 1940 Act; or an amount prescribed within the SCA. Interest on borrowings is payable at the Federal Funds Rate plus the amount by which the one month London Interbank Offer Rate (“LIBOR”) exceeds the Federal Funds rate plus 1.00% on an annualized basis. The Funds pay an annual commitment fee of 0.075% of the available commitments and an annual administration fee to JPM Chase. These expenses are allocated to the participating Funds based on each Fund’s net assets as a percentage of the participating Funds’ total net assets. No amounts were borrowed under the facility during the period. The fees are included in other expenses in each Fund’s Statement of Operations.

JNL/PPM America Floating Rate Income Fund participates in a $40 million committed, unsecured revolving line of credit facility with State Street Corp. Borrowings are to be used solely for temporary or emergency purposes. The Fund may borrow up to the lesser of the amount available under the facility or the limits set for borrowing by the Fund’s prospectus and the 1940 Act. Interest on borrowings are payable at the Federal Funds Rate on the borrowing date plus 1.25% on an annualized basis. The Fund pays an annual commitment fee of 0.10% for this facility. No amounts were borrowed under the facility during the year. The commitment fee is included in other expenses in the Fund’s Statement of Operations.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

NOTE 10. FUND ACQUISITIONS

The following tables include information (in thousands) relating to acquisitions that were completed on September 16, 2013 by a tax free exchange of Class A and B shares of Funds in JNL Series Trust and JNL Variable Fund LLC, as applicable, pursuant to a plan of reorganization approved by the Board at a meeting held on May 30 and 31, 2013. The purpose of the acquisitions was to combine Funds managed by the Adviser with comparable investment objectives and strategies. For financial reporting purposes, shares were issued at NAV based on the fair value of the assets received by the acquiring Funds. However, the cost basis of the investments received from the acquired Funds was carried forward to align ongoing reporting of the acquiring Funds’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

 

        Acquired Fund     Acquiring Fund        
Acquired Fund   Acquiring Fund   Net Assets
on
Acquisition
Date		     Shares
Outstanding
on
Acquisition
Date		     Net Assets
on
Acquisition
Date		     Shares
Outstanding
on
Acquisition
Date		     Shares of
Acquiring
Fund
Issued in
Exchange		  

 

    

 

 

  

JNL/M&G Global Leaders Fund

   JNL/Franklin Templeton Global Growth Fund          

Class A

  

Class A

   $ 56,597        4,047      $ 821,131        75,841        5,225   

Class B

  

Class B

     19        1        430        40        2   
JNL/Mellon Capital DowSM Dividend Fund   JNL/S&P Dividend Income & Growth Fund          

Class A

  

Class A

     484,554        57,798        1,890,231        138,711        35,535   

Class B

  

Class B

     280        39        710        52        20   
JNL/Mellon Capital Select Small-Cap Fund   JNL/Mellon Capital Small Cap Index Fund          

Class A

  

Class A

     278,968        18,109        1,378,666        85,984        17,398   

Class B

  

Class B

     103        7        18,080        1,113        6   
JNL/Mellon Capital VIP Fund   JNL/Mellon Capital S&P 500 Index Fund          

Class A

  

Class A

     260,176        30,554        2,220,541        156,900        18,397   

Class B

  

Class B

     1,064        125        23,335        1,615        74   

Immediately prior to the reorganization, the cost, market value and unrealized appreciation/(depreciation) of investments, undistributed net investment loss, accumulated net realized loss and capital loss carryovers (in thousands) for the acquired funds were as follows:

 

Acquired Fund   Cost of
Investments		     Value of
Investments		     Net Unrealized
Appreciation/
(Depreciation)		     Undistributed
Net Investment
Income (Loss)		     Accumulated Net
Realized Loss		     Capital Loss
Carryovers		  
JNL/M&G Global Leaders Fund   $ 52,250      $ 54,384      $ 2,134      $ (1 )    $ (156 )    $ –   
JNL/Mellon Capital Dow Dividend Fund     448,877        454,771        5,894        (14 )      (104,571 )      104,533   
JNL/Mellon Capital Select Small-Cap Fund     257,234        263,073        5,839        (22 )      (146,614 )      146,843   
JNL/Mellon Capital VIP Fund     243,049        255,617        12,568        4        (70,442 )      70,430   

Prior to the reorganization, the acquired Funds made distributions from ordinary income (in thousands) as follows:

 

Acquired Fund    Ordinary Income      Long-Term
Capital Gains		  
JNL/M&G Global Leaders Fund      

Class A

    $ 2,856       $ 6,776   

Class B

      1         2   
JNL/Mellon Capital Dow Dividend Fund      

Class A

      22,458         –   

Class B

      16         –   
JNL/Mellon Capital Select Small-Cap Fund      

Class A

      4,050         –   

Class B

      2         –   
JNL/Mellon Capital VIP Fund      

Class A

      9,127         –   

Class B

      41         –   

Assuming the September 16, 2013 acquisitions had been completed on January 1, 2013, the acquiring Funds’ pro forma results of operations (in thousands) for the year ended December 31, 2013, would have been:

 

Acquiring Fund    Net Investment
Income		      Net Realized Gain
(Loss)		      Net Change in
Unrealized
Appreciation/
(Depreciation)		      Net
Increase/(Decrease)
in Net Assets from
Operations		  
JNL/Franklin Templeton Global Growth Fund    $ 10,426       $ 37,199       $ 173,045       $ 220,670   
JNL/S&P Dividend Income & Growth Fund      61,111         335,178         165,425         561,714   
JNL/Mellon Capital Small Cap Index Fund      15,208         144,978         341,693         501,879   
JNL/Mellon Capital S&P 500 Index Fund      37,194         66,941         551,036         655,171   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is not practicable to separate the amounts of net investment income and gain (loss) of the acquired Funds that have been included in the respective acquiring Funds’ Statements of Operations since September 16, 2013 for the respective acquisitions.

NOTE 11. INCOME TAX MATTERS

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to qualify as a regulated investment company (“RIC”) and to distribute substantially all net investment income and net capital gains, if any, to its shareholders and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Therefore, no federal income tax provision is required. Under current tax law, interest, dividends and capital gains paid by the Funds are not currently taxable to shareholders when left to accumulate within a variable annuity contract or variable life insurance policies.

The following information is presented on an income tax basis (in thousands). Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Permanent differences may include but are not limited to the following: expired capital loss carryforwards, foreign currency reclassifications, premium amortization or paydown reclassifications, reclassifications on the sale of passive foreign investment company (“PFIC”) or REIT securities, net operating losses, accounting treatment of notional principal contracts and partnerships, and distribution adjustments. These reclassifications have no impact on net assets.

 

     Net Increase (Decrease)  
      Undistributed
Net Investment
Income		     Accumulated
Net Realized
Gain (Loss)		     Paid-
in Capital		  
JNL/AQR Managed Futures Strategy Fund    $ 25,170      $ (25,170 )    $ –   
JNL/BlackRock Commodity Securities Strategy Fund      248        (63 )      (185 ) 
JNL/BlackRock Global Allocation Fund      1,426        (1,426 )      –   
JNL/BlackRock Large Cap Select Growth Fund      930        (930 )      –   
JNL/Brookfield Global Infrastructure Fund      (1,198 )      1,205        (7 ) 
JNL/Capital Guardian Global Balanced Fund      (374 )      374        –   
JNL/Capital Guardian Global Diversified Research Fund      (18 )      18        –   
JNL/DFA U.S. Core Equity Fund      (2 )      2        –   
JNL/Eagle SmallCap Equity Fund      2,704        (183 )      (2,521 ) 
JNL/Eastspring Investments Asia ex-Japan Fund      (154 )      154        –   
JNL/Eastspring Investments China-India Fund      (836 )      836        –   
JNL/Franklin Templeton Global Growth Fund      (247 )      247        –   
JNL/Franklin Templeton Global Multisector Bond Fund      18,130        (18,130 )      –   
JNL/Franklin Templeton Income Fund      (596 )      596        –   
JNL/Franklin Templeton International Small Cap Growth Fund      19        (19 )      –   
JNL/Franklin Templeton Mutual Shares Fund      (3,099 )      3,099        –   
JNL/Goldman Sachs Core Plus Bond Fund      4,700        (4,700 )      –   
JNL/Goldman Sachs Emerging Markets Debt Fund      (15,333 )      15,333        –   
JNL/Goldman Sachs Mid Cap Value Fund      (93 )      93        –   
JNL/Goldman Sachs U.S. Equity Flex Fund      13        (13 )      –   
JNL/Invesco Global Real Estate Fund      14,048        (14,048 )      –   
JNL/Invesco International Growth Fund      (53 )      53        –   
JNL/Invesco Small Cap Growth Fund      1,608        (1,608 )      –   
JNL/Ivy Asset Strategy Fund      3,878        (3,875 )      (3 ) 
JNL/JPMorgan International Value Fund      (918 )      918        –   
JNL/JPMorgan MidCap Growth Fund      (233 )      200        33   
JNL/JPMorgan U.S. Government & Quality Bond Fund      4,158        (4,158 )      –   
JNL/Lazard Emerging Markets Fund      (112 )      112        –   
JNL/M&G Global Basics Fund      175        (175 )      –   
JNL/Mellon Capital Emerging Markets Index Fund      (292 )      292        –   
JNL/Mellon Capital European 30 Fund      198        (198 )      –   
JNL/Mellon Capital Pacific Rim 30 Fund      1,342        (1,342 )      –   
JNL/Mellon Capital S&P 500 Index Fund      (146 )      146        –   
JNL/Mellon Capital S&P 400 MidCap Index Fund      (386 )      386        –   
JNL/Mellon Capital Small Cap Index Fund      (4,198 )      4,794        (596 ) 
JNL/Mellon Capital International Index Fund      (1,575 )      1,575        –   
JNL/Mellon Capital Bond Index Fund      5,109        (5,109 )      –   
JNL/Mellon Capital Global Alpha Fund      2,585        (2,585 )      –   
JNL/Mellon Capital Utilities Sector Fund      1        –        (1 ) 
JNL/Morgan Stanley Mid Cap Growth Fund      349        (346 )      (3 ) 
JNL/Neuberger Berman Strategic Income Fund      (18 )      18        –   
JNL/Oppenheimer Global Growth Fund      (64 )      64        –   
JNL/PIMCO Real Return Fund      1,742        (1,742 )      –   
JNL/PIMCO Total Return Bond Fund      42,985        (41,884 )      (1,101 ) 
JNL/PPM America Floating Rate Income Fund      (635 )      635        –   
JNL/PPM America High Yield Bond Fund      15        (15 )      –   
JNL/Red Rocks Listed Private Equity Fund      69,436        (69,434 )      (2 ) 

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

    Net Increase (Decrease)  
     Undistributed
Net Investment
Income		     Accumulated
Net Realized
Gain (Loss)		    

Paid-

in Capital

  
JNL/T. Rowe Price Established Growth Fund   $ 5,531      $ 230      $ (5,761 ) 
JNL/T. Rowe Price Mid-Cap Growth Fund     11,995        (11,995 )      –   
JNL/T. Rowe Price Short-Term Bond Fund     6,554        (6,488 )      (66 ) 
JNL/T. Rowe Price Value Fund     (8 )      8        –   
JNL/WMC Balanced Fund     4,643        (4,643 )      –   
JNL/WMC Value Fund     (38 )      38        –   

At December 31, 2013 the following Funds had net capital loss carryforwards available for U.S. federal income tax purposes to offset future net realized capital gains. Details of the capital loss carryforwards are listed in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates.

 

    Expiring Capital  Loss
Carryforwards		     No Expiration        
     Year(s) of
Expiration		     Amount     Short Term     Long Term     Total  
JNL/BlackRock Commodity Securities Strategy Fund     2017      $ 21,797      $ 33,410      $ –      $ 55,207   
JNL/Capital Guardian Global Balanced Fund     2017-2018        8,344        –        –        8,344   
JNL/Capital Guardian Global Diversified Research Fund     2017        38,757        –        –        38,757   
JNL/Eastspring Investments Asia ex-Japan Fund     –        –        1,332        2,239        3,571   
JNL/Eastspring Investments China-India Fund     –        –        –        3,343        3,343   
JNL/Franklin Templeton Income Fund     2016-2018        68,521        –        11,651        80,172   
JNL/Goldman Sachs Core Plus Bond Fund     –        –        7,463        –        7,463   
JNL/Invesco International Growth Fund     2016-2018        80,060        –        –        80,060   
JNL/JPMorgan International Value Fund     2016-2018        206,498        –        –        206,498   
JNL/JPMorgan U.S. Government & Quality Bond Fund     2014-2017        999        2,098        –        3,097   
JNL/Mellon Capital Emerging Markets Index Fund     –        –        3,661        3,463        7,124   
JNL/Mellon Capital European 30 Fund     –        –        –        1,635        1,635   
JNL/Mellon Capital S&P 500 Index Fund     2014-2016        70,102        –        –        70,102   
JNL/Mellon Capital Small Cap Index Fund     2016        119,003        –        –        119,003   
JNL/Mellon Capital International Index Fund     2017-2018        8,175        –        10,794        18,969   
JNL/Mellon Capital Bond Index Fund     –        –        7,971        –        7,971   
JNL/Mellon Capital Global Alpha Fund     –        –        7,890        11,478        19,368   
JNL/PIMCO Real Return Fund     –        –        52,485        12,790        65,275   
JNL/PIMCO Total Return Bond Fund     –        –        42,663        –        42,663   
JNL/PPM America Value Equity Fund     2016-2017        91,148        –        –        91,148   
JNL/S&P Dividend Income & Growth Fund     2016-2017        26,270        –        –        26,270   
JNL/T. Rowe Price Short-Term Bond Fund     2017-2018        21,370        8,471        3,426        33,267   

At December 31, 2013, the following Funds had capital, currency and PFIC mark-to-market losses (in thousands) realized after October 31, 2013 (“Post-October losses”), which were deferred for tax purposes to the first day of the following fiscal year, January 1, 2014:

 

      Amount  
JNL/Goldman Sachs Mid Cap Value Fund    $ 9   
JNL/Mellon Capital International Index Fund      2,121   
JNL/Mellon Capital Bond Index Fund      1,446   
JNL/Mellon Capital Utilities Sector Fund      5   
JNL/PIMCO Total Return Bond Fund      29,254   
JNL/PPM America Small Cap Value Fund      37   
JNL/T. Rowe Price Established Growth Fund      1,315   
JNL/T. Rowe Price Mid-Cap Growth Fund      1,122   
JNL/WMC Value Fund      2,023   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

As of December 31, 2013, the cost of investments and the components of net unrealized appreciation/(depreciation) (in thousands) were as follows:

 

     Tax Cost of
Investments		     Gross
Unrealized
Appreciation		     Gross
Unrealized
Depreciation		     Net Unrealized
Appreciation/
(Depreciation)		  
JNL/AQR Managed Futures Strategy Fund   $ 454,046      $ 21      $ –      $ 21   
JNL/BlackRock Commodity Securities Strategy Fund     1,292,459        253,614        (78,306 )      175,308   
JNL/BlackRock Global Allocation Fund     2,510,862        327,407        (62,874 )      264,533   
JNL/BlackRock Large Cap Select Growth Fund     871,148        160,380        (7,860 )      152,520   
JNL/Brookfield Global Infrastructure Fund     669,650        80,395        (3,939 )      76,456   
JNL/Capital Guardian Global Balanced Fund     431,666        85,938        (14,355 )      71,583   
JNL/Capital Guardian Global Diversified Research Fund     317,222        123,884        (8,279 )      115,605   
JNL/DFA U.S. Core Equity Fund     412,258        109,496        (4,116 )      105,380   
JNL/Eagle SmallCap Equity Fund     1,422,243        406,929        (27,865 )      379,064   
JNL/Eastspring Investments Asia ex-Japan Fund     144,321        9,187        (13,516 )      (4,329 ) 
JNL/Eastspring Investments China-India Fund     382,194        32,402        (43,405 )      (11,003 ) 
JNL/Franklin Templeton Global Growth Fund     818,437        241,013        (41,650 )      199,363   
JNL/Franklin Templeton Global Multisector Bond Fund     1,774,192        59,026        (41,324 )      17,702   
JNL/Franklin Templeton Income Fund     2,180,537        295,342        (83,962 )      211,380   
JNL/Franklin Templeton International Small Cap Growth Fund     365,315        99,881        (11,149 )      88,732   
JNL/Franklin Templeton Mutual Shares Fund     910,904        248,714        (25,701 )      223,013   
JNL/Franklin Templeton Small Cap Value Fund     774,024        273,008        (5,352 )      267,656   
JNL/Goldman Sachs Core Plus Bond Fund     823,326        12,804        (17,422 )      (4,618 ) 
JNL/Goldman Sachs Emerging Markets Debt Fund     883,370        5,672        (71,992 )      (66,320 ) 
JNL/Goldman Sachs Mid Cap Value Fund     1,018,807        182,379        (16,098 )      166,281   
JNL/Goldman Sachs U.S. Equity Flex Fund     197,268        41,591        (1,641 )      39,950   
JNL/Invesco Global Real Estate Fund     1,539,180        130,849        (81,913 )      48,936   
JNL/Invesco International Growth Fund     1,014,733        255,195        (23,932 )      231,263   
JNL/Invesco Large Cap Growth Fund     814,900        232,920        (4,726 )      228,194   
JNL/Invesco Mid Cap Value Fund     375,817        34,066        (5,338 )      28,728   
JNL/Invesco Small Cap Growth Fund     599,232        178,965        (5,468 )      173,497   
JNL/Ivy Asset Strategy Fund     2,518,473        568,878        (31,994 )      536,884   
JNL/JPMorgan International Value Fund     583,366        118,529        (13,374 )      105,155   
JNL/JPMorgan MidCap Growth Fund     1,087,213        253,551        (8,148 )      245,403   
JNL/JPMorgan U.S. Government & Quality Bond Fund     1,149,829        46,547        (21,091 )      25,456   
JNL/Lazard Emerging Markets Fund     1,588,825        197,230        (184,114 )      13,116   
JNL/M&G Global Basics Fund     176,321        20,012        (16,304 )      3,708   
JNL/Mellon Capital Emerging Markets Index Fund     738,944        66,197        (66,408 )      (211 ) 
JNL/Mellon Capital European 30 Fund     130,827        14,234        (1,352 )      12,882   
JNL/Mellon Capital Pacific Rim 30 Fund     161,422        12,699        (4,763 )      7,936   
JNL/Mellon Capital S&P 500 Index Fund     2,323,913        858,576        (31,586 )      826,990   
JNL/Mellon Capital S&P 400 MidCap Index Fund     1,350,257        450,023        (42,239 )      407,784   
JNL/Mellon Capital Small Cap Index Fund     1,578,891        556,024        (87,795 )      468,229   
JNL/Mellon Capital International Index Fund     1,986,415        554,574        (163,392 )      391,182   
JNL/Mellon Capital Bond Index Fund     1,727,365        32,445        (27,437 )      5,008   
JNL/Mellon Capital Global Alpha Fund     230,720        15        (3 )      12   
JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund     130,251        23,035        (3,259 )      19,776   
JNL/Mellon Capital Utilities Sector Fund     3,368        43        (150 )      (107 ) 
JNL/Morgan Stanley Mid Cap Growth Fund     220,986        23,046        (3,079 )      19,967   
JNL/Neuberger Berman Strategic Income Fund     644,454        3,355        (5,952 )      (2,597 ) 
JNL/Oppenheimer Global Growth Fund     773,282        255,593        (20,693 )      234,900   
JNL/PIMCO Real Return Fund     3,954,018        5,123        (238,402 )      (233,279 ) 
JNL/PIMCO Total Return Bond Fund     5,755,910        87,232        (73,358 )      13,874   
JNL/PPM America Floating Rate Income Fund     1,532,609        10,941        (4,007 )      6,934   
JNL/PPM America High Yield Bond Fund     2,756,068        130,929        (37,376 )      93,553   
JNL/PPM America Mid Cap Value Fund     264,617        64,440        (2,675 )      61,765   
JNL/PPM America Small Cap Value Fund     201,196        38,135        (4,007 )      34,128   
JNL/PPM America Value Equity Fund     138,241        43,870        (1,290 )      42,580   
JNL/Red Rocks Listed Private Equity Fund     675,977        150,565        (986 )      149,579   
JNL/S&P Competitive Advantage Fund     1,543,788        235,340        (12,318 )      223,022   
JNL/S&P Dividend Income & Growth Fund     2,727,406        268,972        (38,028 )      230,944   
JNL/S&P Intrinsic Value Fund     1,485,569        177,087        (4,533 )      172,554   
JNL/S&P Total Yield Fund     1,135,715        104,930        (16,040 )      88,890   
JNL/T. Rowe Price Established Growth Fund     2,996,610        1,464,116        (12,007 )      1,452,109   
JNL/T. Rowe Price Mid-Cap Growth Fund     1,896,375        791,606        (25,441 )      766,165   
JNL/T. Rowe Price Short-Term Bond Fund     1,653,873        11,898        (7,896 )      4,002   
JNL/T. Rowe Price Value Fund     1,914,408        605,435        (22,000 )      583,435   
JNL/WMC Balanced Fund     3,111,526        554,015        (23,591 )      530,424   
JNL/WMC Money Market Fund     1,327,160        –        –        –   
JNL/WMC Value Fund     1,275,091        485,830        (8,601 )      477,229   

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

As of December 31, 2013, the components of distributable taxable earnings for U.S. federal income tax purposes (in thousands) were as follows:

 

     Undistributed
Net Ordinary
Income*		     Undistributed
Net Long-Term
Capital Gain		    

Unrealized
Gains

(Losses)**

     Capital Loss
Carryforward		  
JNL/AQR Managed Futures Strategy Fund   $ 32,786      $ 9,254      $ (2,458 )    $ –   
JNL/BlackRock Commodity Securities Strategy Fund     –        –        173,193        (55,207 ) 
JNL/BlackRock Global Allocation Fund     51,168        44,686        256,768        –   
JNL/BlackRock Large Cap Select Growth Fund     28,199        56,446        152,497        –   
JNL/Brookfield Global Infrastructure Fund     25,407        20,154        76,461        –   
JNL/Capital Guardian Global Balanced Fund     4,336        –        70,291        (8,344 ) 
JNL/Capital Guardian Global Diversified Research Fund     3,260        –        115,600        (38,757 ) 
JNL/DFA U.S. Core Equity Fund     4,989        5,947        105,372        –   
JNL/Eagle SmallCap Equity Fund     –        119,543        379,037        –   
JNL/Eastspring Investments Asia ex-Japan Fund     1,412        –        (4,334 )      (3,571 ) 
JNL/Eastspring Investments China-India Fund     2,973        –        (11,014 )      (3,343 ) 
JNL/Franklin Templeton Global Growth Fund     9,767        8,242        199,365        –   
JNL/Franklin Templeton Global Multisector Bond Fund     74,028        684        15,111        –   
JNL/Franklin Templeton Income Fund     84,363        –        211,366        (80,171 ) 
JNL/Franklin Templeton International Small Cap Growth Fund     5,878        19,740        88,726        –   
JNL/Franklin Templeton Mutual Shares Fund     9,167        23,990        223,001        –   
JNL/Franklin Templeton Small Cap Value Fund     13,938        86,265        267,641        –   
JNL/Goldman Sachs Core Plus Bond Fund     19,547        –        (3,589 )      (7,463 ) 
JNL/Goldman Sachs Emerging Markets Debt Fund     15,462        10,926        (79,195 )      –   
JNL/Goldman Sachs Mid Cap Value Fund     13,600        13,479        166,249        –   
JNL/Goldman Sachs U.S. Equity Flex Fund     14,412        11,460        32,126        –   
JNL/Invesco Global Real Estate Fund     22,877        59,284        48,898        –   
JNL/Invesco International Growth Fund     15,865        –        231,258        (80,060 ) 
JNL/Invesco Large Cap Growth Fund     63,524        132,272        228,159        –   
JNL/Invesco Mid Cap Value Fund     1,208        11,890        28,717        –   
JNL/Invesco Small Cap Growth Fund     5,993        26,471        173,490        –   
JNL/Ivy Asset Strategy Fund     38,389        150,005        534,409        –   
JNL/JPMorgan International Value Fund     13,324        –        105,082        (206,498 ) 
JNL/JPMorgan MidCap Growth Fund     38,261        64,649        245,388        –   
JNL/JPMorgan U.S. Government & Quality Bond Fund     38,046        –        25,411        (3,097 ) 
JNL/Lazard Emerging Markets Fund     26,675        30,203        13,062        –   
JNL/M&G Global Basics Fund     3,144        7,554        3,699        –   
JNL/Mellon Capital Emerging Markets Index Fund     8,681        –        (223 )      (7,124 ) 
JNL/Mellon Capital European 30 Fund     3,049        –        12,889        (1,635 ) 
JNL/Mellon Capital Pacific Rim 30 Fund     5,096        2,903        7,934        –   
JNL/Mellon Capital S&P 500 Index Fund     256        4,632        826,917        (70,102 ) 
JNL/Mellon Capital S&P 400 MidCap Index Fund     6,291        10,257        407,753        –   
JNL/Mellon Capital Small Cap Index Fund     –        –        468,177        (119,003 ) 
JNL/Mellon Capital International Index Fund     5,844        –        390,759        (18,970 ) 
JNL/Mellon Capital Bond Index Fund     11,522        –        3,510        (7,971 ) 
JNL/Mellon Capital Global Alpha Fund     4,662        –        5,990        (19,368 ) 
JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund     12,930        5,198        19,776        –   
JNL/Mellon Capital Utilities Sector Fund     1        –        (112 )      –   
JNL/Morgan Stanley Mid Cap Growth Fund     1,589        484        19,971        –   
JNL/Neuberger Berman Strategic Income Fund     5,693        1,588        (2,348 )      –   
JNL/Oppenheimer Global Growth Fund     7,165        22,634        234,903        –   
JNL/PIMCO Real Return Fund     14,309        –        (229,410 )      (65,275 ) 
JNL/PIMCO Total Return Bond Fund     28,974        –        23,881        (42,663 ) 
JNL/PPM America Floating Rate Income Fund     40,126        1,700        6,933        –   
JNL/PPM America High Yield Bond Fund     1,105        7,146        93,513        –   
JNL/PPM America Mid Cap Value Fund     3,879        18,243        61,760        –   
JNL/PPM America Small Cap Value Fund     136        2,419        34,087        –   
JNL/PPM America Value Equity Fund     2,211        –        42,572        (91,148 ) 
JNL/Red Rocks Listed Private Equity Fund     103,631        7,812        149,604        –   
JNL/S&P Competitive Advantage Fund     184,987        55,512        223,006        –   
JNL/S&P Dividend Income & Growth Fund     130,302        110,038        230,907        (26,270 ) 
JNL/S&P Intrinsic Value Fund     170,751        87,669        172,536        –   
JNL/S&P Total Yield Fund     165,172        81,666        88,877        –   
JNL/T. Rowe Price Established Growth Fund     –        13,669        1,450,725        –   
JNL/T. Rowe Price Mid-Cap Growth Fund     8,490        18,331        764,989        –   
JNL/T. Rowe Price Short-Term Bond Fund     20,191        –        3,626        (33,266 ) 
JNL/T. Rowe Price Value Fund     59,199        139,385        583,383        –   
JNL/WMC Balanced Fund     65,718        107,532        530,374        –   
JNL/WMC Money Market Fund     21        –        (51 )      –   
JNL/WMC Value Fund     16,354        17,949        475,167        –   

 

*

Undistributed net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

**

Unrealized gains (losses) are adjusted for open wash sale loss deferrals; accelerated recognition of unrealized gain/loss on futures, options, and forward contracts; and accelerated recognition of unrealized gain on PFICs. Also adjusted for differences between book and tax realized and unrealized gain/loss on swap contracts.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

The tax character of distributions paid (in thousands) during the Funds’ fiscal period ended December 31, 2013 was as follows:

 

     Net Ordinary
Income*		    

Long-term

Capital Gain**

     Return of
Capital		  
JNL/AQR Managed Futures Strategy Fund   $ 16,864      $ 255      $ –   
JNL/BlackRock Commodity Securities Strategy Fund     5,462        –        –   
JNL/BlackRock Global Allocation Fund     13,572        –        –   
JNL/BlackRock Large Cap Select Growth Fund     26,515        42,801        –   
JNL/Brookfield Global Infrastructure Fund     14,526        1,113        –   
JNL/Capital Guardian Global Balanced Fund     7,679        –        –   
JNL/Capital Guardian Global Diversified Research Fund     4,748        –        –   
JNL/DFA U.S. Core Equity Fund     3,549        16,844        –   
JNL/Eagle SmallCap Equity Fund     9,234        23,324        –   
JNL/Eastspring Investments Asia ex-Japan Fund     1,721        1,119        –   
JNL/Eastspring Investments China-India Fund     3,284        –        –   
JNL/Franklin Templeton Global Growth Fund     10,161        –        –   
JNL/Franklin Templeton Global Multisector Bond Fund     37,223        –        –   
JNL/Franklin Templeton Income Fund     77,461        –        –   
JNL/Franklin Templeton International Small Cap Growth Fund     3,678        6,156        –   
JNL/Franklin Templeton Mutual Shares Fund     8,780        –        –   
JNL/Franklin Templeton Small Cap Value Fund     7,939        5,382        –   
JNL/Goldman Sachs Core Plus Bond Fund     45,596        9,768        –   
JNL/Goldman Sachs Emerging Markets Debt Fund     86,246        8,510        –   
JNL/Goldman Sachs Mid Cap Value Fund     90,209        115,149        –   
JNL/Goldman Sachs U.S. Equity Flex Fund     1,409        1,947        –   
JNL/Invesco Global Real Estate Fund     48,200        –        –   
JNL/Invesco International Growth Fund     11,413        –        –   
JNL/Invesco Large Cap Growth Fund     3,311        59,892        –   
JNL/Invesco Mid Cap Value Fund     636        –        –   
JNL/Invesco Small Cap Growth Fund     1,737        11,560        –   
JNL/Ivy Asset Strategy Fund     34,967        –        –   
JNL/JPMorgan International Value Fund     20,633        –        –   
JNL/JPMorgan MidCap Growth Fund     1,746        –        –   
JNL/JPMorgan U.S. Government & Quality Bond Fund     42,811        –        –   
JNL/Lazard Emerging Markets Fund     22,388        27,095        –   
JNL/M&G Global Basics Fund     3,824        4,909        –   
JNL/Mellon Capital Emerging Markets Index Fund     4,544        –        –   
JNL/Mellon Capital European 30 Fund     983        –        –   
JNL/Mellon Capital Pacific Rim 30 Fund     5,150        –        –   
JNL/Mellon Capital S&P 500 Index Fund     33,912        13,015        –   
JNL/Mellon Capital S&P 400 MidCap Index Fund     18,070        38,780        –   
JNL/Mellon Capital Small Cap Index Fund     21,499        70,624        596   
JNL/Mellon Capital International Index Fund     50,726        –        –   
JNL/Mellon Capital Bond Index Fund     33,431        1,247        –   
JNL/Mellon Capital Global Alpha Fund     –        –        –   
JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund     594        –        –   
JNL/Mellon Capital Utilities Sector Fund     71        –        –   
JNL/Morgan Stanley Mid Cap Growth Fund     24        334        –   
JNL/Neuberger Berman Strategic Income Fund     1,280        3        –   
JNL/Oppenheimer Global Growth Fund     8,207        332        –   
JNL/PIMCO Real Return Fund     226,521        12,205        –   
JNL/PIMCO Total Return Bond Fund     67,377        4,845        –   
JNL/PPM America Floating Rate Income Fund     21,743        –        –   
JNL/PPM America High Yield Bond Fund     168,348        36,504        –   
JNL/PPM America Mid Cap Value Fund     1,631        –        –   
JNL/PPM America Small Cap Value Fund     2,896        10,508        –   
JNL/PPM America Value Equity Fund     1,992        –        –   
JNL/Red Rocks Listed Private Equity Fund     62,211        –        –   
JNL/S&P Competitive Advantage Fund     34,692        66,254        –   
JNL/S&P Dividend Income & Growth Fund     73,993        50,435        –   
JNL/S&P Intrinsic Value Fund     70,401        4,247        –   
JNL/S&P Total Yield Fund     39,703        11,781        –   
JNL/T. Rowe Price Established Growth Fund     2,737        151,012        –   
JNL/T. Rowe Price Mid-Cap Growth Fund     1,677        145,313        –   
JNL/T. Rowe Price Short-Term Bond Fund     21,292        –        –   
JNL/T. Rowe Price Value Fund     42,850        66,950        –   
JNL/WMC Balanced Fund     56,019        32,118        –   
JNL/WMC Money Market Fund     14        –        –   
JNL/WMC Value Fund     31,953        59,075        –   

 

*

Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

**

The Funds designated as a long-term capital gain dividend, pursuant to the Internal Revenue code section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gains to zero for the year ended December 31, 2013.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

The tax character of distributions paid (in thousands) during the Funds’ fiscal year ended December 31, 2012 was as follows:

 

     Net Ordinary
Income*		    

Long-term

Capital Gain

     Return of
Capital		  
JNL/Brookfield Global Infrastructure Fund   $ 87      $ –      $ –   
JNL/Capital Guardian Global Balanced Fund     8,165        –        –   
JNL/Capital Guardian Global Diversified Research Fund     3,961        –        –   
JNL/DFA U.S. Core Equity Fund     1,918        –        –   
JNL/Eagle SmallCap Equity Fund     –        9,608        –   
JNL/Eastspring Investments Asia ex-Japan Fund     1,977        4,888        –   
JNL/Eastspring Investments China-India Fund     2,540        –        –   
JNL/Franklin Templeton Global Growth Fund     8,959        –        –   
JNL/Franklin Templeton Global Multisector Bond Fund     1,620        –        –   
JNL/Franklin Templeton Income Fund     68,558        –        –   
JNL/Franklin Templeton International Small Cap Growth Fund     3,223        –        –   
JNL/Franklin Templeton Mutual Shares Fund     11,622        –        –   
JNL/Franklin Templeton Small Cap Value Fund     2,018        1,037        –   
JNL/Goldman Sachs Core Plus Bond Fund     39,322        11,092        –   
JNL/Goldman Sachs Emerging Markets Debt Fund     14,876        6,030        –   
JNL/Goldman Sachs Mid Cap Value Fund     9,749        9,411        –   
JNL/Goldman Sachs U.S. Equity Flex Fund     458        –        –   
JNL/Invesco Global Real Estate Fund     8,321        –        –   
JNL/Invesco International Growth Fund     11,351        –        –   
JNL/Invesco Large Cap Growth Fund     –        28,599        –   
JNL/Invesco Small Cap Growth Fund     –        12,509        –   
JNL/Ivy Asset Strategy Fund     1,925        –        –   
JNL/JPMorgan International Value Fund     21,573        –        –   
JNL/JPMorgan U.S. Government & Quality Bond Fund     36,041        –        –   
JNL/Lazard Emerging Markets Fund     27,477        33,166        –   
JNL/Lazard Mid Cap Equity Fund     579        –        –   
JNL/M&G Global Basics Fund     2,296        5,514        –   
JNL/M&G Global Leaders Fund     459        78        –   
JNL/Mellon Capital Emerging Markets Index Fund     142        –        –   
JNL/Mellon Capital European 30 Fund     1,079        321        –   
JNL/Mellon Capital Pacific Rim 30 Fund     3,352        507        –   
JNL/Mellon Capital S&P 500 Index Fund     23,906        12,730        –   
JNL/Mellon Capital S&P 400 MidCap Index Fund     12,305        23,559        –   
JNL/Mellon Capital Small Cap Index Fund     19,084        26,901        –   
JNL/Mellon Capital International Index Fund     43,879        –        –   
JNL/Mellon Capital Bond Index Fund     42,916        4,640        –   
JNL/Mellon Capital Global Alpha Fund     –        7,902        –   
JNL/Morgan Stanley Mid Cap Growth Fund     46        –        18   
JNL/Oppenheimer Global Growth Fund     5,979        –        –   
JNL/PIMCO Real Return Fund     215,358        10,876        –   
JNL/PIMCO Total Return Bond Fund     191,538        28,010        –   
JNL/PPM America Floating Rate Income Fund     15,175        –        –   
JNL/PPM America High Yield Bond Fund     114,070        –        –   
JNL/PPM America Mid Cap Value Fund     4,631        5,174        –   
JNL/PPM America Small Cap Value Fund     1,111        2,532        –   
JNL/PPM America Value Equity Fund     1,624        –        –   
JNL/Red Rocks Listed Private Equity Fund     –        7,955        –   
JNL/S&P Competitive Advantage Fund     5,150        9,513        –   
JNL/S&P Dividend Income & Growth Fund     30,471        40,651        –   
JNL/S&P Intrinsic Value Fund     9,135        13,209        –   
JNL/S&P Total Yield Fund     5,684        3,532        –   
JNL/T. Rowe Price Mid-Cap Growth Fund     10,781        68,781        –   
JNL/T. Rowe Price Short-Term Bond Fund     18,053        –        –   
JNL/T. Rowe Price Value Fund     18,624        –        –   
JNL/UBS Large Cap Select Growth Fund     712        39,404        –   
JNL/WMC Balanced Fund     28,402        17,348        –   
JNL/WMC Money Market Fund     14        –        –   
JNL/WMC Value Fund     27,537        41,220        –   

 

*

Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

FASB ASC Topic 740 “Income Taxes” provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FASB ASC Topic 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would result in the Funds recording a tax expense in the current year. FASB ASC Topic 740 requires that management evaluate the tax positions taken in returns for 2010, 2011, 2012 and 2013, which remain subject to examination by the Internal Revenue Service and certain other jurisdictions. Management completed an evaluation of the Funds’ tax positions and based on that evaluation, determined that no provision for federal income tax was required in the Funds’ financial statements during the year ended December 31, 2013.

JNL Series Trust Sub-Advised Funds

Notes to Financial Statements

December 31, 2013

 

 

 

NOTE 12. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Funds through the date the financial statements are issued, and has concluded there are no events that require adjustments to the financial statements or disclosure in the notes except for the following:

At a meeting held December 17, 2013, the Board voted to approve JNL/Oppenheimer Global Growth Fund acquiring JNL/M&G Global Basics Fund effective April 29, 2014. This acquisition is subject to shareholder approval which is expected to be solicited prior to March 25, 2014.

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees

JNL Series Trust:

We have audited the accompanying (consolidated, with respect to JNL/AQR Managed Futures Strategy Fund, JNL/BlackRock Commodity Securities Strategy Fund, JNL/BlackRock Global Allocation Fund and JNL/Ivy Asset Strategy Fund) statements of assets and liabilities, including the schedules of investments or summary schedules of investments where applicable, of each series within JNL Series Trust (the “Funds”) as listed in Note 1 to the financial statements of the JNL Series Trust Sub-Advised Funds as of December 31, 2013, and the related statements of operations for the year or periods then ended, the statements of cash flows for the year then ended with respect to JNL/Goldman Sachs U.S. Equity Flex Fund and JNL/PIMCO Real Return Fund, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the (consolidated, with respect to JNL/AQR Managed Futures Strategy Fund, JNL/BlackRock Commodity Securities Strategy Fund, JNL/BlackRock Global Allocation Fund and JNL/Ivy Asset Strategy Fund) financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2013, the results of their operations, JNL/Goldman Sachs U.S. Equity Flex Fund’s and JNL/PIMCO Real Return Fund’s cash flows, changes in their net assets and the financial highlights for each of the years or periods indicated above, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Chicago, Illinois

February 28, 2014

JNL Series Trust Sub-Advised Funds

Additional Disclosures (Unaudited)

December 31, 2013

 

 

Disclosure of Fund Expenses

Shareholders incur ongoing costs, which include costs for portfolio management, administrative services, Rule 12b-1 fees (Class A shares of certain Funds) and other operating expenses. Operating expenses such as these are deducted from each Fund’s gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The examples do not reflect the expenses of the variable insurance contracts or the separate account. Total expenses would be higher if these expenses were included.

Expenses Using Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.

Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.

 

    Expenses Using Actual Fund Return     Expenses Using Hypothetical 5% Return  
    Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		     Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		  
JNL/AQR Managed Futures Strategy Fund                

Class A

   $ 1,000.00      $ 1,059.20        1.35 %    $ 7.01      $ 1,000.00      $ 1,018.39        1.35 %    $ 6.87   

Class B

     1,000.00        1,059.20        1.15        5.97        1,000.00        1,019.41        1.15        5.85   
JNL/BlackRock Commodity Securities Strategy Fund                

Class A

     1,000.00        1,102.60        0.97        5.14        1,000.00        1,020.29        0.97        4.94   

Class B

     1,000.00        1,104.70        0.77        4.08        1,000.00        1,021.34        0.77        3.92   
JNL/BlackRock Global Allocation Fund                

Class A

     1,000.00        1,097.60        1.07        5.66        1,000.00        1,019.79        1.07        5.45   

Class B

     1,000.00        1,097.00        0.87        4.60        1,000.00        1,020.79        0.87        4.43   
JNL/BlackRock Large Cap Select Growth Fund                

Class A

     1,000.00        1,266.30        0.94        5.37        1,000.00        1,020.48        0.94        4.79   

Class B

     1,000.00        1,267.80        0.74        4.23        1,000.00        1,021.45        0.74        3.77   
JNL/Brookfield Global Infrastructure Fund                

Class A

     1,000.00        1,134.60        1.15        6.19        1,000.00        1,019.40        1.15        5.85   

Class B

     1,000.00        1,135.70        0.95        5.11        1,000.00        1,020.40        0.95        4.84   
JNL/Capital Guardian Global Balanced Fund                

Class A

     1,000.00        1,117.20        1.00        5.34        1,000.00        1,020.15        1.00        5.09   

Class B

     1,000.00        1,118.00        0.80        4.27        1,000.00        1,021.18        0.80        4.08   
JNL/Capital Guardian Global Diversified Research Fund                

Class A

     1,000.00        1,165.40        1.06        5.79        1,000.00        1,019.86        1.06        5.40   

Class B

     1,000.00        1,166.60        0.86        4.70        1,000.00        1,020.88        0.86        4.38   
JNL/DFA U.S. Core Equity Fund                

Class A

     1,000.00        1,178.20        0.80        4.39        1,000.00        1,021.16        0.80        4.08   

Class B

     1,000.00        1,178.60        0.60        3.29        1,000.00        1,022.17        0.60        3.06   
JNL/Eagle SmallCap Equity Fund                

Class A

     1,000.00        1,152.90        0.97        5.26        1,000.00        1,020.30        0.97        4.94   

Class B

     1,000.00        1,153.80        0.77        4.18        1,000.00        1,021.31        0.77        3.92   
JNL/Eastspring Investments Asia ex-Japan Fund                

Class A

     1,000.00        1,074.20        1.28        6.69        1,000.00        1,018.74        1.28        6.51   

Class B

     1,000.00        1,076.10        1.08        5.65        1,000.00        1,019.76        1.08        5.50   
JNL/Eastspring Investments China-India Fund                

Class A

     1,000.00        1,107.10        1.31        6.96        1,000.00        1,018.59        1.31        6.67   

Class B

     1,000.00        1,108.30        1.11        5.90        1,000.00        1,019.60        1.11        5.65   
JNL/Franklin Templeton Global Growth Fund                

Class A

     1,000.00        1,197.60        1.02        5.65        1,000.00        1,020.08        1.02        5.19   

Class B

     1,000.00        1,199.50        0.82        4.55        1,000.00        1,021.09        0.82        4.18   
JNL/Franklin Templeton Global Multisector Bond Fund                

Class A

     1,000.00        1,037.90        1.07        5.50        1,000.00        1,019.81        1.07        5.45   

Class B

     1,000.00        1,039.20        0.87        4.47        1,000.00        1,020.83        0.87        4.43   
JNL/Franklin Templeton Income Fund                

Class A

     1,000.00        1,094.70        0.93        4.91        1,000.00        1,020.53        0.93        4.74   

Class B

     1,000.00        1,094.80        0.73        3.85        1,000.00        1,021.53        0.73        3.72   

JNL Series Trust Sub-Advised Funds

Additional Disclosures (Unaudited)

December 31, 2013

 

 

 

    Expenses Using Actual Fund Return     Expenses Using Hypothetical 5% Return  
    Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		     Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		  
JNL/Franklin Templeton International Small Cap Growth Fund                

Class A

   $ 1,000.00      $ 1,225.00        1.30 %    $ 7.29      $ 1,000.00      $ 1,018.65        1.30 %    $ 6.61   

Class B

     1,000.00        1,225.80        1.10        6.17        1,000.00        1,019.65        1.10        5.60   
JNL/Franklin Templeton Mutual Shares Fund                

Class A

     1,000.00        1,138.30        1.03        5.55        1,000.00        1,020.03        1.03        5.24   

Class B

     1,000.00        1,138.70        0.83        4.47        1,000.00        1,021.04        0.83        4.23   
JNL/Franklin Templeton Small Cap Value Fund                

Class A

     1,000.00        1,214.00        1.08        6.03        1,000.00        1,019.75        1.08        5.50   

Class B

     1,000.00        1,215.50        0.88        4.91        1,000.00        1,020.76        0.88        4.48   
JNL/Goldman Sachs Core Plus Bond Fund                

Class A

     1,000.00        1,011.40        0.89        4.51        1,000.00        1,020.74        0.89        4.53   

Class B

     1,000.00        1,011.50        0.69        3.50        1,000.00        1,021.76        0.69        3.52   
JNL/Goldman Sachs Emerging Markets Debt Fund                

Class A

     1,000.00        992.60        1.05        5.27        1,000.00        1,019.90        1.05        5.35   

Class B

     1,000.00        993.30        0.85        4.27        1,000.00        1,020.91        0.85        4.33   
JNL/Goldman Sachs Mid Cap Value Fund                

Class A

     1,000.00        1,151.40        0.99        5.37        1,000.00        1,020.20        0.99        5.04   

Class B

     1,000.00        1,152.40        0.79        4.29        1,000.00        1,021.20        0.79        4.02   
JNL/Goldman Sachs U.S. Equity Flex Fund                

Class A

     1,000.00        1,181.90        1.98        10.89        1,000.00        1,015.25        1.98        10.06   

Class B

     1,000.00        1,181.90        1.78        9.79        1,000.00        1,016.28        1.78        9.05   
JNL/Invesco Global Real Estate Fund                

Class A

     1,000.00        1,017.30        1.05        5.34        1,000.00        1,019.89        1.05        5.35   

Class B

     1,000.00        1,017.40        0.85        4.32        1,000.00        1,020.90        0.85        4.33   
JNL/Invesco International Growth Fund                

Class A

     1,000.00        1,170.40        0.98        5.36        1,000.00        1,020.25        0.98        4.99   

Class B

     1,000.00        1,170.80        0.78        4.27        1,000.00        1,021.27        0.78        3.97   
JNL/Invesco Large Cap Growth Fund                

Class A

     1,000.00        1,282.60        0.96        5.52        1,000.00        1,020.36        0.96        4.89   

Class B

     1,000.00        1,284.50        0.76        4.38        1,000.00        1,021.37        0.76        3.87   
JNL/Invesco Mid Cap Value Fund                

Class A

     1,000.00        1,143.40        1.00        5.40        1,000.00        1,020.17        1.00        5.09   

Class B

     1,000.00        1,144.20        0.80        4.32        1,000.00        1,021.17        0.80        4.08   
JNL/Invesco Small Cap Growth Fund                

Class A

     1,000.00        1,213.60        1.11        6.19        1,000.00        1,019.63        1.11        5.65   

Class B

     1,000.00        1,215.10        0.91        5.08        1,000.00        1,020.64        0.91        4.63   
JNL/Ivy Asset Strategy Fund                

Class A

     1,000.00        1,203.40        1.20        6.65        1,000.00        1,019.17        1.20        6.10   

Class B

     1,000.00        1,203.30        1.00        5.53        1,000.00        1,020.19        1.00        5.07   
JNL/JPMorgan International Value Fund                

Class A

     1,000.00        1,188.00        0.99        5.46        1,000.00        1,020.19        0.99        5.04   

Class B

     1,000.00        1,187.20        0.79        4.36        1,000.00        1,021.20        0.79        4.02   
JNL/JPMorgan MidCap Growth Fund                

Class A

     1,000.00        1,228.50        0.95        5.34        1,000.00        1,020.43        0.95        4.84   

Class B

     1,000.00        1,230.10        0.75        4.22        1,000.00        1,021.44        0.75        3.82   
JNL/JPMorgan U.S. Government & Quality Bond Fund                

Class A

     1,000.00        991.60        0.69        3.46        1,000.00        1,021.72        0.69        3.52   

Class B

     1,000.00        992.30        0.49        2.46        1,000.00        1,022.73        0.49        2.50   
JNL/Lazard Emerging Markets Fund                

Class A

     1,000.00        1,089.80        1.21        6.37        1,000.00        1,019.09        1.21        6.16   

Class B

     1,000.00        1,091.10        1.01        5.32        1,000.00        1,020.11        1.01        5.14   
JNL/M&G Global Basics Fund                

Class A

     1,000.00        1,070.60        1.22        6.37        1,000.00        1,019.07        1.22        6.21   

Class B

     1,000.00        1,072.40        1.02        5.33        1,000.00        1,020.16        1.02        5.19   
JNL/Mellon Capital Emerging Markets Index Fund                

Class A

     1,000.00        1,078.70        0.77        4.03        1,000.00        1,021.34        0.77        3.92   

Class B

     1,000.00        1,080.40        0.57        2.99        1,000.00        1,022.37        0.57        2.91   
JNL/Mellon Capital European 30 Fund                

Class A

     1,000.00        1,233.30        0.74        4.17        1,000.00        1,021.45        0.74        3.77   

Class B

     1,000.00        1,235.30        0.54        3.04        1,000.00        1,022.43        0.54        2.75   
JNL/Mellon Capital Pacific Rim 30 Fund                

Class A

     1,000.00        1,051.70        0.72        3.72        1,000.00        1,021.56        0.72        3.67   

Class B

     1,000.00        1,052.60        0.52        2.69        1,000.00        1,022.57        0.52        2.65   

JNL Series Trust Sub-Advised Funds

Additional Disclosures (Unaudited)

December 31, 2013

 

 

 

    Expenses Using Actual Fund Return     Expenses Using Hypothetical 5% Return  
    Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		     Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		  
JNL/Mellon Capital S&P 500 Index Fund                

Class A

   $ 1,000.00      $ 1,159.40        0.55 %    $ 2.99      $ 1,000.00      $ 1,022.41        0.55 %    $ 2.80   

Class B

     1,000.00        1,160.90        0.35        1.91        1,000.00        1,023.42        0.35        1.79   
JNL/Mellon Capital S&P 400 MidCap Index Fund                

Class A

     1,000.00        1,162.70        0.57        3.11        1,000.00        1,022.31        0.57        2.91   

Class B

     1,000.00        1,163.00        0.37        2.02        1,000.00        1,023.32        0.37        1.89   
JNL/Mellon Capital Small Cap Index Fund                

Class A

     1,000.00        1,195.90        0.56        3.10        1,000.00        1,022.40        0.56        2.85   

Class B

     1,000.00        1,196.40        0.36        1.99        1,000.00        1,023.40        0.36        1.84   
JNL/Mellon Capital International Index Fund                

Class A

     1,000.00        1,176.70        0.62        3.40        1,000.00        1,022.06        0.62        3.16   

Class B

     1,000.00        1,177.30        0.42        2.31        1,000.00        1,023.07        0.42        2.14   
JNL/Mellon Capital Bond Index Fund                

Class A

     1,000.00        1,000.50        0.56        2.82        1,000.00        1,022.37        0.56        2.85   

Class B

     1,000.00        1,001.00        0.36        1.82        1,000.00        1,023.38        0.36        1.84   
JNL/Mellon Capital Global Alpha Fund                

Class A

     1,000.00        989.20        1.35        6.77        1,000.00        1,018.38        1.35        6.87   

Class B

     1,000.00        990.20        1.15        5.77        1,000.00        1,019.39        1.15        5.85   
JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund                

Class A

     1,000.00        1,184.00        0.70        3.85        1,000.00        1,021.68        0.70        3.57   

Class B

     1,000.00        1,185.10        0.50        2.75        1,000.00        1,022.69        0.50        2.55   
JNL/Mellon Capital Utilities Sector Fund                

Class A

     1,000.00        1,029.10        0.71        3.63        1,000.00        1,021.60        0.71        3.62   
JNL/Morgan Stanley Mid Cap Growth Fund                

Class A

     1,000.00        1,200.10        1.10        6.10        1,000.00        1,019.66        1.10        5.60   

Class B

     1,000.00        1,200.60        0.90        4.99        1,000.00        1,020.70        0.90        4.58   
JNL/Neuberger Berman Strategic Income Fund                

Class A

     1,000.00        1,019.30        0.95        4.84        1,000.00        1,020.40        0.95        4.84   

Class B

     1,000.00        1,020.40        0.75        3.82        1,000.00        1,021.41        0.75        3.82   
JNL/Oppenheimer Global Growth Fund                

Class A

     1,000.00        1,171.90        0.99        5.42        1,000.00        1,020.22        0.99        5.04   

Class B

     1,000.00        1,173.70        0.79        4.33        1,000.00        1,021.25        0.79        4.02   
JNL/PIMCO Real Return Fund                

Class A

     1,000.00        989.30        0.88        4.41        1,000.00        1,020.79        0.88        4.48   

Class B

     1,000.00        991.20        0.68        3.41        1,000.00        1,021.77        0.68        3.47   
JNL/PIMCO Total Return Bond Fund                

Class A

     1,000.00        1,010.20        0.80        4.05        1,000.00        1,021.16        0.80        4.08   

Class B

     1,000.00        1,010.60        0.60        3.04        1,000.00        1,022.17        0.60        3.06   
JNL/PPM America Floating Rate Income Fund                

Class A

     1,000.00        1,028.60        0.97        4.96        1,000.00        1,020.29        0.97        4.94   
JNL/PPM America High Yield Bond Fund                

Class A

     1,000.00        1,064.30        0.74        3.85        1,000.00        1,021.49        0.74        3.77   

Class B

     1,000.00        1,065.40        0.54        2.81        1,000.00        1,022.50        0.54        2.75   
JNL/PPM America Mid Cap Value Fund                

Class A

     1,000.00        1,212.50        1.06        5.91        1,000.00        1,019.88        1.06        5.40   

Class B

     1,000.00        1,213.00        0.86        4.80        1,000.00        1,020.88        0.86        4.38   
JNL/PPM America Small Cap Value Fund                

Class A

     1,000.00        1,192.40        1.06        5.86        1,000.00        1,019.88        1.06        5.40   

Class B

     1,000.00        1,193.40        0.86        4.75        1,000.00        1,020.89        0.86        4.38   
JNL/PPM America Value Equity Fund                

Class A

     1,000.00        1,187.80        0.86        4.74        1,000.00        1,020.89        0.86        4.38   

Class B

     1,000.00        1,189.20        0.66        3.64        1,000.00        1,021.89        0.66        3.36   
JNL/Red Rocks Listed Private Equity Fund                

Class A

     1,000.00        1,254.00        1.17        6.65        1,000.00        1,019.30        1.17        5.96   

Class B

     1,000.00        1,255.10        0.97        5.51        1,000.00        1,020.30        0.97        4.94   
JNL/S&P Competitive Advantage Fund                

Class A

     1,000.00        1,234.50        0.67        3.77        1,000.00        1,021.83        0.67        3.41   

Class B

     1,000.00        1,235.60        0.47        2.65        1,000.00        1,022.84        0.47        2.40   
JNL/S&P Dividend Income & Growth Fund                

Class A

     1,000.00        1,105.90        0.66        3.50        1,000.00        1,021.86        0.66        3.36   

Class B

     1,000.00        1,107.50        0.46        2.44        1,000.00        1,022.87        0.46        2.35   
JNL/S&P Intrinsic Value Fund                

Class A

     1,000.00        1,203.30        0.67        3.72        1,000.00        1,021.82        0.67        3.41   

Class B

     1,000.00        1,204.90        0.47        2.61        1,000.00        1,022.83        0.47        2.40   

JNL Series Trust Sub-Advised Funds

Additional Disclosures (Unaudited)

December 31, 2013

 

 

 

    Expenses Using Actual Fund Return     Expenses Using Hypothetical 5% Return  
    Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		     Beginning
Account
Value
7/1/2013		     Ending
Account
Value
12/31/2013		     Annualized
Expense
Ratios		     Expenses
Paid
During Period		  
JNL/S&P Total Yield Fund                

Class A

   $ 1,000.00      $ 1,215.30        0.68 %    $ 3.80      $ 1,000.00      $ 1,021.79        0.68 %    $ 3.47   

Class B

     1,000.00        1,216.90        0.48        2.68        1,000.00        1,022.79        0.48        2.45   
JNL/T. Rowe Price Established Growth Fund                

Class A

     1,000.00        1,248.40        0.86        4.87        1,000.00        1,020.87        0.86        4.38   

Class B

     1,000.00        1,249.50        0.66        3.74        1,000.00        1,021.87        0.66        3.36   
JNL/T. Rowe Price Mid-Cap Growth Fund                

Class A

     1,000.00        1,186.30        1.01        5.57        1,000.00        1,020.13        1.01        5.14   

Class B

     1,000.00        1,187.20        0.81        4.47        1,000.00        1,021.14        0.81        4.13   
JNL/T. Rowe Price Short-Term Bond Fund                

Class A

     1,000.00        1,007.00        0.71        3.59        1,000.00        1,021.65        0.71        3.62   

Class B

     1,000.00        1,006.70        0.51        2.58        1,000.00        1,022.65        0.51        2.60   
JNL/T. Rowe Price Value Fund                

Class A

     1,000.00        1,166.30        0.91        4.97        1,000.00        1,020.64        0.91        4.63   

Class B

     1,000.00        1,167.90        0.71        3.88        1,000.00        1,021.65        0.71        3.62   
JNL/WMC Balanced Fund                

Class A

     1,000.00        1,091.60        0.74        3.90        1,000.00        1,021.49        0.74        3.77   

Class B

     1,000.00        1,093.00        0.54        2.85        1,000.00        1,022.50        0.54        2.75   
JNL/WMC Money Market Fund                

Class A

     1,000.00        1,000.00        0.17        0.86        1,000.00        1,024.34        0.17        0.87   

Class B

     1,000.00        1,000.00        0.17        0.86        1,000.00        1,024.34        0.17        0.87   
JNL/WMC Value Fund                

Class A

     1,000.00        1,131.60        0.78        4.19        1,000.00        1,021.29        0.78        3.97   

Class B

     1,000.00        1,132.10        0.58        3.12        1,000.00        1,022.30        0.58        2.96   

Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 184/365 (to reflect the most recent 6-month period).

Quarterly Portfolio Holdings

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. It is also available upon request from the registrant by calling the Funds toll-free at 1-866-255-1935.

Proxy Voting Policies and Procedures

A description of the Policy of the Funds’ Adviser (and sub-advisers) used to vote proxies relating to the portfolio securities and information on how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2013, are available (1) without charge, upon request by calling 1-800-873-5654 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or 1-800-777-7779 (for contracts purchased through a bank or financial institution) or 1-888-464-7779 (for NY contracts purchased through a bank or financial institution), (2) by writing JNL Series Trust, P.O. Box 30314, Lansing, Michigan 48909-7814 (3) on Jackson National Life Insurance Company’s or Jackson National Life Insurance Company of New York’s website at www.jackson.com, and (4) on the SEC’s website at www.sec.gov.

TRUSTEES AND OFFICERS OF JNL SERIES TRUST (“TRUST”)

 

NAME, ADDRESS AND (AGE)   

POSITION(S) HELD
WITH TRUST

(LENGTH OF TIME SERVED)

    NUMBER  OF PORTFOLIOS IN FUND COMPLEX TO BE
OVERSEEN BY TRUSTEE
Interested Trustee

Mark D. Nerud (47) 1

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(01/2007 to present)

 

President and

Chief Executive Officer

(12/2006 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Chief Executive Officer of the Adviser (01/2010 to present); President of the Adviser (01/2007 to present); Managing Board Member of Curian Capital, LLC (01/2011 to present) and Curian Clearing LLC (1/2011 to present); Managing Board Member of the Adviser (11/2000 to 11/2003) (01/2007 to 12/2010); President and CEO of other Investment Companies advised by the Adviser (12/2006 to present); Vice President – Fund Accounting & Administration of Jackson National Life Insurance Company (01/2000 to 12/2009)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

Disinterested Trustees          

Michael Bouchard (57)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(12/2003 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Sheriff, Oakland County, Michigan (01/1999 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

Ellen Carnahan (58)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(12/2013 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Principal, Machrie Enterprises LLC (07/07 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS:

Director, Integrys Energy Group (05/2003 to present); Governance Committee Member and Chair, Integrys Energy Group (05/2010 to 05/2013); Finance Committee Member, Integrys Energy Group (05/2003 to 2012); Audit Committee Member, Integrys Energy Group (12/2003 to present); Environmental Committee Member, Integrys Energy Group (05/2013 to present)

 

William J. Crowley, Jr. (68)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2, 5

(01/2007 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Board Member of various corporate boards (see below) (2002 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS:

Director of Alpha Natural Resources (07/2009 to present); Director of Foundation Coal Holdings, Inc. (from 12/2004 until 07/2009 when the company was acquired); Director of Provident Bankshares Corporation (from 05/2003 until 05/2009 when the company was acquired)

 

TRUSTEES AND OFFICERS OF JNL SERIES TRUST (“TRUST”)

 

NAME, ADDRESS AND (AGE)   

POSITION(S) HELD

WITH TRUST

(LENGTH OF TIME SERVED)

    NUMBER  OF PORTFOLIOS IN FUND COMPLEX TO BE
OVERSEEN BY TRUSTEE
Disinterested Trustees

Dominic D’Annunzio (75)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(02/2002 to 12/2013)4

 

Chairman of the Board

(2/2004 to 12/2010)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Acting Commissioner of Insurance for the State of Michigan (01/1990 to 05/1990) and (08/1997 to 05/1998)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

Michelle Engler (55)

1 Corporate Way

Lansing, MI 48951

   

Chair of the Board 3

(01/2011 to 12/2013)5

 

Trustee 2

(12/2003 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Attorney (1983 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS:

Director of Federal Home Loan Mortgage Corporation (2001 to 9/2008)

 

John Gillespie (60)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(12/2013 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Investor, Business Writer and Advisor (2006 to present); Entrepreneur-in-Residence, UCLA Office of Intellectual Property (2013 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

James Henry, Ph.D. (75)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(01/2007 to 12/2013)4

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Dean Emeritus and Professor of Finance, Eli Broad College of Business and Graduate School of Management at Michigan State University (2001 to 07/2009)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

Richard McLellan (71)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(12/1994 to 12/2013)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Attorney (2010 to present); Adjunct Associate Professor, Michigan State University (2008 to present); Senior Counsel, Dykema Gossett PLLC (2007 to 2009)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS:

Member of the Board of Directors of ITC Holdings Corp. (11/2007 to 08/2012)

 

TRUSTEES AND OFFICERS OF JNL SERIES TRUST (“TRUST”)

 

NAME, ADDRESS AND (AGE)   

POSITION(S) HELD

WITH TRUST

(LENGTH OF TIME SERVED)

    NUMBER  OF PORTFOLIOS IN FUND COMPLEX TO BE
OVERSEEN BY TRUSTEE
Disinterested Trustees

William R. Rybak (62)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(01/2007 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Board Member of various corporate boards (see below) (2002 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS:

Member of the Board of Directors of Christian Brothers Investments, Inc. (2010 to present); Member of the Board of Trustees of Lewis University (10/2012 to present), Chairman of the Board of Trustees of Lewis University (1982 – 2009) and Chair Emeritus (2009 to present); Member of the Board of Directors of Howe Barnes Hoefer Arnett (2001 to 03/2011); Member of the Boards of each of the Calamos Mutual Funds (2002 to present); Member of the Board of Directors of The PrivateBancorp (2003 to present)

 

Edward Wood (57)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(12/2013 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Chief Operating Officer, McDonnell Investment Management, LLC (08/2010 to present); Managing Director, Morgan Stanley Investment Management (06/2010 to 01/2011); President & Principal Executive Officer of the Van Kampen Funds, Van Kampen/Morgan Stanley (12/2008 to 05/2010; Chief Administrative Officer, Van Kampen Investments (01/2008 to 05/2010); Chief Operating Officer, Van Kampen Funds Inc. (01/2008 to 05/2010)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

Patricia A. Woodworth (58)

1 Corporate Way

Lansing, MI 48951

   

Trustee 2

(01/2007 to present)

    108

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Vice President, Chief Financial Officer and Chief Operating Officer, The J. Paul Getty Trust (12/2007 to present)

 

OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: None

 

Officers          

Danielle A. Bergandine (33)

1 Corporate Way

Lansing, MI 48951

   

Anti-Money Laundering Officer

(12/2007 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Senior Compliance Analyst of the Adviser (6/2009 to present); Anti-Money Laundering Officer of other Investment Companies advised by Curian Capital, LLC (10/2011 to present)

 

TRUSTEES AND OFFICERS OF JNL SERIES TRUST (“TRUST”)

 

NAME, ADDRESS AND (AGE)   

POSITION(S) HELD
WITH TRUST

 (LENGTH OF TIME SERVED) 

    NUMBER  OF PORTFOLIOS IN FUND COMPLEX TO BE
OVERSEEN BY TRUSTEE
Officers

Karen J. Buiter (48)

1 Corporate Way

Lansing, MI 48951

   

Assistant Treasurer

(12/2008 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Vice President – Financial Reporting of the Adviser (07/2011 to present); Assistant Vice President – Financial Reporting of the Adviser (04/2008 to 06/2011); Assistant Treasurer of other Investment Companies advised by the Adviser (12/2008 to present); Assistant Treasurer of other Investment Companies advised by Curian Capital, LLC (11/2010 to present)

 

Kelly L. Crosser (41)

1 Corporate Way

Lansing, MI 48951

   

Assistant Secretary

(09/2007 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Assistant Secretary of other Investment Companies advised by the Adviser (09/2007 to present); Assistant Secretary of other Investment Companies advised by Curian Capital, LLC (11/2010 to present); Senior Compliance Analyst of Jackson National Life Insurance Company (04/2007 to 12/2013); Manager, Jackson National Life Insurance Company (12/2013 to present)

 

Steven J. Fredricks (43)

1 Corporate Way

Lansing, MI 48951

   

Chief Compliance Officer

(01/2005 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Chief Compliance Officer of the Adviser and other Investment Companies advised by the Adviser (01/2005 to present); Chief Compliance Officer of other Investment Companies advised by Curian Capital, LLC (10/2011 to 05/2012)

 

William Harding (39)

1 Corporate Way

Lansing, MI 48951

   

Vice President

(11/2012 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Vice President of the Adviser (10/2012 to present); Vice President of other Investment Companies advised by the Adviser (11/2012 to present); Head of Manager Research, Morningstar Associates (08/2011 to 10/2012); Director of Research, Morningstar Investment Services (01/2007 to 08/2011)

 

Daniel W. Koors (43)

1 Corporate Way

Lansing, MI 48951

   

Vice President

(12/2006 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Senior Vice President of the Adviser (01/2009 to present) and Chief Operating Officer of the Adviser (04/2011 to present); Chief Financial Officer of the Adviser (01/2007 to 04/2011); Treasurer and Chief Financial Officer of the Trust (12/2006 to 11/2011); Treasurer and Chief Financial Officer (Principal Financial Officer) of other Investment Companies advised by Curian Capital, LLC (11/2010 to present); Vice President of the Adviser (01/2007 to 12/2008); Vice President of other Investment Companies advised by the Adviser (12/2006 to present); Treasurer and Chief Financial Officer of other Investment Companies advised by the Adviser (12/2006 to 11/2011)

 

TRUSTEES AND OFFICERS OF JNL SERIES TRUST (“TRUST”)

 

NAME, ADDRESS AND (AGE)   

POSITION(S) HELD
WITH TRUST

(LENGTH OF TIME SERVED)

    NUMBER  OF PORTFOLIOS IN FUND COMPLEX TO BE
OVERSEEN BY TRUSTEE
Officers

Kristen K. Leeman (38)

1 Corporate Way

Lansing, MI 48951

   

Assistant Secretary

(08/2012 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Assistant Secretary of other Investment Companies advised by the Adviser (06/2012 to present); Senior Paralegal of Jackson National Life Insurance Company (03/2006 to present)

 

Gerard A. M. Oprins (54)

1 Corporate Way

Lansing, MI 48951

   

Vice President (06/2012 to present)

Treasurer and Chief Financial Officer

(11/2011 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Senior Vice President and Chief Financial Officer of the Adviser (04/2011 to present); Vice President of other funds sponsored by Curian Capital, LLC that are in the same group of other investment companies advised by JNAM (03/2012 to present); Business Consultant (2009 to 03/2011)

 

Michael Piszczek (56)

1 Corporate Way

Lansing, MI 48951

   

Vice President

(11/2007 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Vice President – Tax of the Adviser (07/2011 to present); Assistant Vice President – Tax of the Adviser (11/2007 to 06/2011); Vice President of other Investment Companies advised by the Adviser (11/2007 to present); Vice President of other Investment Companies advised by Curian Capital, LLC (11/2010 to present)

 

Susan S. Rhee (42)

1 Corporate Way

Lansing, MI 48951

   

Vice President, Counsel and Secretary

(02/2004 to present)

    Not Applicable

 

PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS:

Senior Vice President and General Counsel of the Adviser (01/2010 to present); Chief Legal Officer (07/2004 to 12/2009) and Secretary (11/2000 to present) of the Adviser; Vice President, Counsel (Chief Legal Officer) and Secretary of other Investment Companies advised by Curian Capital, LLC (11/2010 to present); Vice President, Counsel, and Secretary of other Investment Companies advised by the Adviser (02/2004 to present)

 

 

  1 

Mr. Nerud is an “interested person” of the Trust due to his position with Jackson National Asset Management, LLC, the Adviser.

  2 

The interested and disinterested Trustees are elected to serve for an indefinite term.

  3 

Beginning January 1, 2011, the Chairperson shall serve as Chairperson for no more than three consecutive years and may not be re-elected as Chairperson until at least one year has elapsed since the end of the Chairperson’s term.

  4 

Trustees D’Annunzio and Henry retired from service on the Board as of December 31, 2013.

  5 

Trustee Engler’s tenure as Chairperson ended as of December 31, 2013. Trustee Crowley was elected as Chairperson effective January 1, 2014.

The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling 1-800-873-5654 (Annuity and Life Service Center), 1-800-599-5651 (NY Annuity and Life Service Center), 1-800-777-7779 (for contracts purchased through a bank or financial institution) or 1-888-464-7779 (for NY contracts purchased through a bank or financial institution), by writing JNL Series Trust, P.O. Box 30314, Lansing, Michigan 48951 or by visiting www.jackson.com.

TRUSTEES AND OFFICERS OF JNL SERIES TRUST (“TRUST”)

The interested Trustee and the Officers of the Trust (other than the Chief Compliance Officer, as described below) or the Adviser do not receive any compensation from the Trust for their services as Trustees or Officers. The following persons, who are disinterested Trustees of the Trust, and the Trust’s Chief Compliance Officer, received from the Trust the compensation amounts indicated for the services as such for the twelve-month period ended December 31, 2013:

 

TRUSTEE      AGGREGATE
COMPENSATION
FROM  THE TRUST1		          

PENSION OR

RETIREMENT

BENEFITS

ACCRUED AS
PART OF  TRUST
EXPENSES

          

ESTIMATED

ANNUAL

BENEFITS

UPON

RETIREMENT

          

TOTAL

COMPENSATION

FROM THE TRUST

AND FUND

COMPLEX

     
Michael Bouchard        $ 165,698              $    0              $    0              $ 190,000 4    
Ellen Carnahan11        $ 19,006              $ 0              $ 0              $ 21,793 5    
William J. Crowley, Jr.        $ 183,140              $ 0              $ 0              $ 210,000 6    
Dominic D’Annunzio12        $ 165,698              $ 0              $ 0              $ 190,000 7    
Michelle Engler 3        $ 209,304              $ 0              $ 0              $ 240,000      
John Gillespie11        $ 19,006              $ 0              $ 0              $ 21,793      
James Henry12        $ 170,059              $ 0              $ 0              $ 195,000 8    
Richard McLellan        $ 163,518              $ 0              $ 0              $ 187,500      
William R. Rybak        $ 178,781              $ 0              $ 0              $ 205,000      
Edward Wood11        $ 19,006              $ 0              $ 0              $ 21,793 9    
Patricia Woodworth        $ 165,698              $ 0              $ 0              $ 190,000 10    
Steven J. Fredricks 2        $ 315,524              $ 0              $ 0              $ 361,800      

 

  1 

The fees paid to the independent Trustees are paid for combined service on the Boards of the Trust, JNL Investors Series Trust, JNL Variable Fund LLC, and JNL Strategic Income Fund LLC (the “Fund Complex”). The fees are allocated to the Funds and affiliated investment companies on a pro-rata basis based on net assets. The total fees to all the independent Trustees are $1,672,880.

  2

Mr. Fredricks’ compensation is paid by the Funds for his duties as the Chief Compliance Officer of the Fund Complex. The expense is allocated to the Funds and affiliated investment companies on a pro-rata basis based on net assets.

  3 

Ms. Engler was an ex officio member of the Governance Committee until December 31, 2013. Therefore, she did not receive any compensation as a member of the Governance Committee.

  4 

Amount includes $2,375 deferred by Mr. Bouchard.

  5 

Amount includes $10,897 deferred by Ms. Carnahan.

  6 

Amount includes $177,488 deferred by Mr. Crowley.

  7 

Amount includes $95,000 deferred by Mr. D’Annunzio.

  8 

Amount includes $175,500 deferred by Mr. Henry.

  9 

Amount includes $21,793 deferred by Mr. Wood.

  10

Amount includes $95,000 deferred by Ms. Woodworth.

  11

Ms. Carnahan, Mr. Gillespie and Mr. Wood were elected as independent Trustees of the Board effective December 1, 2013.

  12

Messrs. D’Annunzio and Henry retired from service from the Board of the Fund Complex effective December 31, 2013.

JNL SERIES TRUST

(“TRUST”)

 

 

 

APPROVAL OF THE TRUST’S

INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trust (“Board”) oversees the management of the Trust and its separate Funds (each a “Fund” and collectively the “Funds”) and, as required by law, determines whether to approve the Trust’s advisory agreement (“Advisory Agreement”) with Jackson National Asset Management, LLC (“JNAM”) and each Fund’s Sub-Adviser(s) (“Sub-Advisory Agreements” and, collectively with the Advisory Agreement, the “Agreements”).

At meetings on December 16-17, 2013, the Board, including all of the independent trustees, who are not considered interested persons of the Funds (as defined in the Investment Company Act of 1940, as amended) (the “Independent Trustees”) considered information relating to the addition of ten new funds to the Advisory Agreement and approval of three new Sub-Advisory Agreements and amendment of two Sub-Advisory Agreements. In advance of the meetings, independent legal counsel for the Independent Trustees requested that certain information be provided to the Board relating to the Agreements. The Board received, and had the opportunity to review, this and other materials, ask questions and request further information in connection with its consideration. At the conclusion of the Board’s discussions, the Board approved the Agreements through June 30, 2015.

In reviewing the Agreements and considering the information, the Board was advised by outside independent legal counsel. The Board considered the factors it deemed relevant, including: (1) the nature, quality and extent of the services to be provided, (2) the investment performance of each Fund, (3) cost of services of each Fund, (4) profitability data, (5) whether economies of scale may be realized and shared, in some measure, with investors as each Fund grows, and (6) other benefits that may accrue to JNAM or each Sub-Adviser through its relationship with the Trust. In its deliberations, the Board, in exercising its business judgment did not identify any single factor that alone was responsible for the Board’s decision to approve the Agreements.

Before approving the Agreements, the Independent Trustees met in executive session with their independent legal counsel to consider the materials provided by JNAM and the terms of the Agreements. Based on its evaluation of those materials, the Board, including the interested and Independent Trustees, concluded that the Agreements are in the best interests of the shareholders of the applicable Fund. In reaching its conclusions, the Board considered numerous factors, including the following:

Nature, Quality and Extent of Services

The Board examined the nature, quality and extent of the services to be provided by JNAM and the Sub-Advisers.

For each Fund, the Board considered the services to be provided by JNAM, including but not limited to the oversight of the Sub-Advisers pursuant to the “Manager of Managers” exemption, as well as the provision of recordkeeping and compliance services to the Funds. The Board also took into account that JNAM would monitor the performance of the various organizations that would provide services to the Funds, including the Funds’ distributor, transfer agent, and custodian. With respect to JNAM’s oversight of the Sub-Advisers, the Board noted that JNAM would be responsible for screening and recommending new sub-advisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the existing Sub-Advisers. The Board also considered the investment sub-advisory services to be provided by each Sub-Adviser. The Board noted JNAM’s evaluation of the Sub-Advisers, as well as JNAM’s recommendations, based on its review of the Sub-Advisers, to approve the Sub-Advisory Agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of JNAM’s senior management that would be responsible for oversight of the Funds and each Sub-Adviser, and also reviewed the qualifications, backgrounds and responsibilities of the Sub-Advisers’ portfolio managers who would be responsible for the day-to-day management of each Fund. The Board reviewed information pertaining to JNAM’s and each Sub-Adviser’s organizational structure, senior management, financial stability, investment operations, and other relevant information pertaining to both JNAM and each Sub-Adviser. The Board considered compliance reports about JNAM and the Sub-Advisers from the Funds’ Chief Compliance Officer.

Based on the foregoing, the Board concluded that (i) each Fund is likely to benefit from the nature, extent and quality of the services to be provided by JNAM under the Agreement and (ii) each Fund is likely to benefit from the nature, extent and quality of the services to be provided by each Sub-Adviser under the applicable Sub-Advisory Agreement.

Investment Performance of the Funds

The Board considered that each Fund had not yet commenced operations and as a result there was no performance data to review.

New Funds – JNL Series Trust:

JNL/Scout Unconstrained Bond Fund. The Board took into account that the Fund had not commenced operations and there was no performance data to review. The Board did review the performance of certain of Reams Asset Management’s, a division of Scout Investments, investment mandates with a similar investment strategy. The Board concluded that it would be in the best interest of the Fund and its potential shareholders to approve the Agreements.

JNL/MMRS Growth Fund, JNL/MMRS Moderate Fund and JNL/MMRS Conservative Fund. The Board noted that the Funds had not yet commenced operations, and as a result the Sub-Adviser’s performance could not be reviewed. The Board, however, considered the performance of Milliman Financial Risk Management’s similarly managed live strategies, as well as simulated performance of proposed strategies. The Board concluded that it would be in the best interest of the Funds and each Fund’s potential shareholders to approve the Agreements.

JNL/AllianceBernstein Dynamic Asset Allocation Fund. The Board took into account that the Fund had not commenced operations and there was no performance data to review. The Board did review the performance of certain of AllianceBernstein L.P.’s investment mandates with a similar investment strategy. The Board concluded that it would be in the best interest of the Fund and its potential shareholders to approve the Agreements.

JNL/S&P Mid 3 Fund. The Board took into account that the Fund had not commenced operations and there was no performance data to review. The Board also considered back-tested performance data and experience of S&P in managing similar mandates. The Board concluded that it would be in the best interest of the Fund and its potential shareholders to approve the Agreements.

JNL Strategic Moderate Fund, JNL Strategic Moderately Aggressive Fund, JNL Strategic Moderate with Alternatives Fund and JNL Strategic Moderately Aggressive with Alternatives Fund. The Board noted that it could not consider the Funds’ performances as the Funds had not yet commenced operations. The Board did consider the performance of JNAM in managing other Funds with similar strategies. The Board concluded that it would be in the best interest of the Funds and each Fund’s potential shareholders to approve the Agreements.

Costs of Services

The Board reviewed the fees to be paid to JNAM and each Fund’s Sub-Adviser(s). For each Fund, the Board reviewed fee and expense information as compared to that of comparable funds managed by other advisers, as well as fees charged by each Sub-Adviser to similar clients, if any. The Board also noted that JNAM does not manage any institutional accounts with which Funds’ fees could be compared. Using information provided by an independent data service, the Board evaluated each Fund’s advisory fees compared to the average advisory fees for other funds similar in size, character and investment strategy (the “peer group”). While the Board also considered each Fund’s sub-advisory fee and compared that to the average sub-advisory fee of the peer group, the Board noted that each Fund’s sub-advisory fee would be paid by JNAM (not the Fund) and, therefore, would be neither a direct shareholder expense nor a direct influence on a Fund’s total expense ratio.

Further detail considered by the Board regarding the advisory and sub-advisory fees of each Fund is set forth below:

New Funds – JNL Series Trust:

JNL/Scout Unconstrained Bond Fund The Board considered that the advisory fees are higher than the peer group average, but the sub-advisory fees are lower than the peer group average. The Board also noted that the total expense ratio was below that of the peer group average. The Board concluded that the advisory fees and sub-advisory fees are in the best interests of the Fund and its potential shareholders in light of the services to be provided.

JNL/MMRS Conservative Fund, JNL/MMRS Moderate Fund and JNL/MMRS Growth Fund. The Board took into account that each Fund’s advisory fee was higher than the respective peer group average, and that the independent data provider did not identify a peer group for the Funds’ sub-advisory fees. The Board also considered that each Fund’s total expense ratio (excluding underlying Fund expenses) was below that of the respective peer group average, but each Fund’s total expense ratio (including underlying Fund expenses) was higher than the respective peer group average. The Board concluded that the advisory fees and sub-advisory fees are in the best interests of each Fund and its respective potential shareholders in light of the services to be provided.

JNL/AllianceBernstein Dynamic Asset Allocation Fund The Board considered that the advisory and sub-advisory fees are higher than the respective peer group averages, but noted that the total expense ratio was equal to that of the peer group average. The Board concluded that the advisory fees and sub-advisory fees are in the best interests of the Fund and its potential shareholders in light of the services to be provided.

JNL/S&P MID 3 Fund The Board took into account that the advisory fees and sub-advisory fees are lower than the respective peer group averages. The Board also considered that the total expense ratio was below that of the peer group average. The Board concluded that the advisory fees and sub-advisory fees are in the best interests of the Fund and its potential shareholders in light of the services to be provided.

JNL Strategic Moderate Fund, JNL Strategic Moderately Aggressive Fund, JNL Strategic Moderate with Alternatives Fund and JNL Strategic Moderately Aggressive with Alternatives Fund. The Board took under consideration that each Fund’s advisory fees are equal to the respective peer group average. The Board noted that each Fund’s total expense ratio (excluding underlying Fund expenses) was lower than the respective peer group average, but each Fund’s total expense ratio (including underlying Fund expenses) was higher than the respective peer group average. The Board concluded that the advisory fees and sub-advisory fees are in the best interests of each Fund and its respective potential shareholders in light of the services to be provided.

Economies of Scale

The Board considered whether each Fund’s proposed advisory fee reflects the potential for economies of scale for the benefit of Fund shareholders. Based on information provided by JNAM, the Board noted that the fee arrangement for each Fund, contains breakpoints that decrease the fee rate as assets increase. The Board concluded that the advisory fees in some measure share economies of scale with shareholders.

Other Benefits to JNAM and the Sub-Advisers

In evaluating the benefits that may accrue to JNAM through its relationship with the Funds, the Board noted that JNAM and certain of its affiliates would serve the Funds in various capacities, including as adviser, administrator, transfer agent and distributor, and receive compensation from the Funds in connection with providing services to the Funds. The Board noted that each service to be provided to the Funds by JNAM or one of its affiliates would be pursuant to a written agreement, which the Board would evaluate periodically as required by law. The Board also noted that certain Sub-Advisers may pay for portions of meetings organized by the Funds’ distributor to educate wholesalers about the Fund(s) that each of those Sub-Advisers manage. The Board considered JNAM’s assertion that those meetings would not yield a profit to the Funds’ distributor, Sub-Advisers would not be required to participate in the meetings and recommendations to hire or fire Sub-Advisers would not be influenced by a Sub-Adviser’s willingness to participate in the meetings. In addition, certain affiliates of the Sub-Advisers may participate in the sale of funds or insurance contracts and are compensated by the Funds’ distributor for its activities, in addition to payments for marketing and conferences. Lastly, certain affiliates of JNAM may receive benefits under the federal income tax laws with respect to tax deductions and credits.

In evaluating the benefits that may accrue to the Sub-Advisers through their relationship with the Fund(s), the Board noted that each Sub-Adviser may receive indirect benefits in the form of soft dollar arrangements for portfolio securities trades placed with the Funds’ assets and may also develop additional investment advisory business with JNAM, the Funds or other clients of the sub-adviser as a result of its relationship with the Fund(s).

SUPPLEMENT DATED SEPTEMBER 16, 2013

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that the changes apply to your variable annuity and/or variable life product(s).

In the summary prospectus for the JNL/Franklin Templeton International Small Cap Growth Fund, please delete the section entitled “Principal Investment Strategies,” in its entirety and replace it with the following:

Principal Investment Strategies. Under normal market conditions, the Fund invests at least 80% of its net assets in a diversified portfolio of marketable equity and equity-related securities of smaller international companies, including those of emerging or developing markets. Smaller international companies are companies with market capitalizations not exceeding (i) $5 billion or the equivalent in local currencies or (ii) the highest market capitalization in the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Small Cap Index or the All Country World exUS (ACWIxUS) Small Cap Index, whichever is greater, at the time of purchase.

The Fund invests predominantly in securities listed or traded on recognized international markets in developed countries, such as those included in the MSCI EAFE Small Cap Index and ACWIxUS Small Cap Index. The Fund, from time to time, may have significant investments in a particular sector or country.

In choosing individual equity investments, the Fund’s Sub-Advisers utilize a fundamental “bottom-up” approach involving in-depth proprietary analysis of individual equity securities. In narrowing down the universe of eligible investments, the Sub-Advisers employ a quantitative and qualitative approach to identify smaller international companies that the Sub-Advisers believe have the potential to generate attractive returns. Overall, the Sub-Advisers seek to invest in companies with attractive valuations.

In the summary prospectus for the JNL/Franklin Templeton International Small Cap Growth Fund, in the section entitled “Principal Risks of Investing in the Fund,” please add the following risks:

 

  •  

Emerging markets risk – Investments in emerging markets involve greater risk from economic and political systems that typically are less developed, and likely to be less stable, than those of more advanced countries. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions or from problems in security registration or settlement and custody. The Fund will also be subject to the risk of negative foreign currency rate fluctuations.

 

 

  •  

Investment style risk – Value stocks may not increase in price if other investors fail to recognize a security’s potential worth, or the factors that are expected to increase the price of a security do not occur. In the past, over the long-term, the growth and value stock categories have had similar returns; however, each category sometimes outperforms the other for long periods of time.

 

In the summary prospectus for the JNL/Franklin Templeton International Small Cap Growth Fund, in the section entitled “Portfolio Management,” please delete the sub-section entitled “Sub-Adviser” and “Portfolio Managers” and replace with the following:

Sub-Adviser:

Franklin Templeton Institutional, LLC (“FTI”)

Co-Sub-Adviser:

Templeton Investment Counsel, LLC (“TIC”)

Portfolio Managers:

Name:  

Joined

Fund Management

Team In:

   Title:
Edwin Lugo, CFA (FTI)   2010   Senior Vice President and Portfolio Manager
Harlan Hodes (TIC)   2013   Executive Vice President/Portfolio Manager-Research Analyst

This supplement is dated September 16, 2013.

SUPPLEMENT DATED OCTOBER 3, 2013

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that all changes are effective October 1, 2013, unless otherwise noted, and apply to your variable annuity product(s).

Effective August 31, 2013, for the JNL/American Funds Global Small Capitalization Fund, please remove all references to Kristian Stromsoe.

In the summary prospectus for the JNL Institutional Alt 20 Fund, JNL Institutional Alt 35 Fund, JNL Institutional Alt 50 Fund, and JNL Institutional Alt 65 Fund, in the section entitled “Portfolio Management,” please delete the sub-section entitled “Portfolio Managers” and replace with the following:

Portfolio Managers:

Name:  

Joined

Fund Management

Team In:

   Title:
Steven B. Young   2009   Vice President and Portfolio Manager
James W. Gilmore   2013   Vice President and Portfolio Manager
William Harding   2013   Vice President and Portfolio Manager

 

 

 

 

This supplement is dated October 3, 2013.

SUPPLEMENT DATED OCTOBER 21, 2013

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that all changes apply to your variable annuity and/or variable life product(s).

Effective September 13, 2013, for the JNL/PPM America Mid Cap Value Fund, JNL/PPM America Small Cap Value Fund, and JNL/PPM America Value Equity Fund, please remove all references to Samuel Yee.

 

 

 

 

 

 

This supplement is dated October 21, 2013.

SUPPLEMENT DATED NOVEMBER 8, 2013

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that all changes apply to your variable annuity and/or variable life product(s).

Effective November 8, 2013, for the summary prospectus for JNL/American Funds Global Bond Fund, please delete the table entitled “Portfolio Managers” and replace it with the following:

Portfolio Manager:

Name:  

Joined

Fund Management

Team In:

   Title:
Mark H. Dalzell   May 2010   Senior Vice President –Fixed Income, CRMC
Thomas H. Hogh   May 2010   Senior Vice President – Fixed Income, Capital Research Company (“CRC”)
Marcus B. Linden   November 2013   Senior Vice President – Fixed Income, CRC
Robert H. Neithart   November 2013   Senior Vice President – Fixed Income, CRMC

Effective October 25, 2013, for the summary prospectus for JNL/Eastspring Investments Asia ex-Japan Fund, please delete the table entitled “Portfolio Managers” and replace it with the following:

Portfolio Manager:

Name:  

Joined

Fund Management

Team In:

   Title:
Hugh Maxwell-Davis   October 2013   Portfolio Manager

 

 

 

This supplement is dated November 8, 2013.

SUPPLEMENT DATED DECEMBER 18, 2013

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that the changes apply to your variable annuity and/or variable life product(s).

In the summary prospectus for the JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund, please add the following bullets to the section entitled “Principal Risks of Investing in the Fund”:

 

  •  

Micro-cap company risk – Micro-cap stocks involve substantially greater risks of loss and price fluctuations because their earnings and revenues tend to be less predictable (and some companies may be experiencing significant losses), and their share prices tend to be more volatile and their markets less liquid than companies with larger market capitalizations.

 

 

  •  

Mid-capitalization investing risk – The prices of securities of mid-capitalization companies tend to fluctuate more widely and erratically than those of larger, more established companies.

 

 

  •  

Small cap investing risk – Investing in smaller, newer companies generally involves greater risks than investing in larger, more established ones.

 

 

 

 

 

 

This supplement is dated December 18, 2013.

SUPPLEMENT DATED JANUARY 2, 2014

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that all changes apply to your variable annuity product(s).

Effective December 31, 2013, please remove all references to Steven B. Young for the following funds:

 

  •  

JNL Institutional Alt 20 Fund

 

 

  •  

JNL Institutional Alt 35 Fund

 

 

  •  

JNL Institutional Alt 50 Fund

 

 

  •  

JNL Institutional Alt 65 Fund

 

 

 

 

This supplement is dated January 2, 2014.

SUPPLEMENT DATED JANUARY 23, 2014

TO THE SUMMARY PROSPECTUS DATED APRIL 29, 2013

JNL® SERIES TRUST

Please note that all changes apply to your variable annuity and/or variable life product(s).

Effective November 19, 2013, in the summary prospectus for the JNL/M&G Global Basics Fund, please delete the table entitled “Portfolio Managers” in its entirety and replace it with the following:

Portfolio Managers:

Name:  

Joined

Fund Management

Team In:

   Title:
Sandeep Somel   November 2013   Portfolio Manager

Effective January 10, 2014, in the summary prospectuses for the JNL/PPM America Mid Cap Value Fund, JNL/PPM America Small Cap Value Fund, and JNL/PPM America Value Equity Fund, please delete the table entitled “Portfolio Managers” in its entirety and replace it with the following:

Portfolio Managers:

Name:  

Joined

Fund Management

Team In:

   Title:
Richard S. Brody, CFA   2008   Executive Vice President
Jeffrey J. Moran, CFA, CPA   2008   Senior Managing Director
Kevin R. McCloskey, CFA   2008   Senior Managing Director
Michael P. MacKinnon, CFA, CPA   2009   Managing Director
Naveen Bobba   2014   Senior Managing Director

Effective January 16, 2014, in the summary prospectuses for the JNL/T. Rowe Price Established Growth Fund, please delete the table entitled “Portfolio Managers” in its entirety and replace it with the following:

Portfolio Manager:

Name:  

Joined

Fund Management

Team In:

   Title:
Joseph B. Fath   January 2014   Vice President

Effective January 21, 2014, in the summary prospectus for the JNL Institutional Alt 20 Fund, JNL Institutional Alt 35 Fund, JNL Institutional Alt 50 Fund, and JNL Institutional Alt 65 Fund, in the section entitled “Principal Investment Strategies” please delete the table entitled “Non-Traditional Asset Classes and Strategies” in its entirety and replace it with the following:

Non-Traditional Asset Classes and Strategies

 

  

Global Real Estate

Listed Private Equity

Long/Short

Market Neutral

Commodities Broad Basket

Absolute Return

Managed Futures

Infrastructure

Natural Resources

Convertible Arbitrage

Merger Arbitrage

Currency

Precious Metals

Global Long/Short Credit

Global Macro

Risk Parity

Covered Call Writing

   

This supplement is dated January 23, 2014.

JNL Series Trust

JNL Variable Fund LLC

 

One Corporate Way

Lansing, MI 48951

  

PRSRT STD

U.S. POSTAGE

PAID

JACKSON NATIONAL

ASSET MANAGEMENT

L.L.C.

 

 

 

 

 

VADV7338 01/14

Item 2. Code of Ethics.

As of the end of the period covered by this report, the registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no substantive amendments or any waivers to this code of ethics during the period covered by this report. A copy of this code of ethics is filed as Exhibit 12(a)(1) to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant has named William J. Crowley, Jr. as an Audit Committee financial expert serving on its Audit Committee. William J. Crowley, Jr. is not an “interested person” of the Trust, as that term is defined by Section 2(a)(19) of the Investment Company Act of 1940, as amended, and is considered “independent” for purposes of this Item.

An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.

Item 4. Principal Accountant Fees and Services.

(a)-(d)

The administrator of the registrant is responsible for payment of all expenses associated with the annual audit and other required services of the independent registered accounting firm, and all expenses associated with the preparation and filing of the tax returns.

KPMG LLP (“KPMG”) was appointed by the Board of Trustees as the independent registered public accounting firm of the registrant for the fiscal years ended December 31, 2012 and December 31, 2013. The following table sets forth aggregate fees billed by KPMG for the respective period for professional services rendered to the registrant.

Fees for Services Rendered to the Registrant by KPMG

 

Fiscal Year   Audit Fees   Audit-Related Fees   Tax Fees   All Other Fees
2012   $824,000   $19,950   $197,338   $0
2013   $911,524   $22,050   $252,046   $115,873

The above Audit-Related Fees for 2012 and 2013 are the aggregate fees billed for professional services rendered by KPMG to the registrant for the services provided in connection with the registrant’s Rule 17f-2 security counts.

The above Tax Fees for 2012 and 2013 are the aggregate fees billed for professional services by KPMG to the registrant for tax compliance, tax advice, and tax return review.

The above All Other Fees for 2013 are the aggregate fees billed for professional services by KPMG to the registrant related to European withholding reclaims.

Fees for Services Rendered to Adviser Entities by KPMG

The following table sets forth the amount of fees that were billed by KPMG for the respective period to any entity controlling, controlled by, or under common control with the investment adviser that provided ongoing services to the registrant (“Adviser Entities”) that were directly related to the registrant’s operations and financial reporting.

 

Fiscal Year   Audit-Related  Fees   Tax Fees   All Other Fees
2012   $124,084   $14,500   $0
2013   $128,954   $10,000   $0

The above Audit-Related Fees are the aggregate fees billed to Adviser Entities for the performance of an internal control review pursuant to Statement on Standards for Attestation Engagements No. 16 of the registrant’s adviser and administrator and an audit of a non-registered affiliated investment company.

The above Tax Fees for 2012 and 2013 are the aggregate fees billed for professional services by KPMG to Adviser Entities for tax compliance, tax advice, and tax return review.

(e)(1) The Audit Committee is authorized to pre-approve non-audit services provided by the registrant’s auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditor’s independence. The Chairman of the Audit Committee is authorized to approve audit and non-audit services for newly established funds of the registrant on the same terms as the full Audit Committee previously had approved for the then existing Funds.

(e)(2) 0%

(f) Not applicable.

(g) As detailed in the tables above, the aggregate fees billed for all non-audit fees to the registrant and Adviser Entities for the fiscal year ended December 31, 2012 was $355,872. As detailed in the tables above, the aggregate fees billed for all non-audit fees to the registrant and Adviser Entities for the fiscal year ended December 31, 2013 was $528,923.

(h) For the fiscal years ended December 31, 2012 and December 31, 2013, the Audit Committee of the registrant’s Board of Trustees considered the provision of non-audit services that were rendered to the Adviser Entities that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X and concluded that such services were compatible with maintaining KPMG’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments

(a) Below is a Schedule I – Investments in securities of unaffiliated issuers for the JNL/BlackRock Commodity Securities Strategy Fund, the JNL/BlackRock Global Allocation Fund, the JNL/Capital Guardian Global Balanced Fund, the JNL/Capital Guardian Global Diversified Research Fund, the JNL/DFA U.S. Core Equity Fund, the JNL/Eagle SmallCap Equity Fund, the JNL/Franklin Templeton Global Growth Fund, the JNL/Franklin Templeton Income Fund, the JNL/Franklin Templeton Global Multisector Bond Fund, the JNL/Franklin Templeton Mutual Shares Fund, the JNL/Franklin Templeton Small Cap Value Fund, the JNL/Goldman Sachs Emerging Markets Debt Fund, the JNL/Goldman Sachs Mid Cap Value Fund, the JNL/Goldman Sachs U.S. Equity Flex Fund, the JNL/Invesco Global Real Estate Fund, the JNL/Invesco International Growth Fund, the JNL/Invesco Large Cap Growth Fund, the JNL/Invesco Small Cap Growth Fund, the JNL/Ivy Asset Strategy Fund, the JNL/JPMorgan International Value Fund, the JNL/JPMorgan MidCap Growth Fund, the JNL/Lazard Emerging Markets Fund, the JNL/Mellon Capital Bond Index Fund, the JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund, the JNL/Mellon Capital Emerging Markets Index Fund, the JNL/Mellon Capital International Index Fund, the JNL/Mellon Capital S&P 400 MidCap Index Fund, the JNL/Mellon Capital S&P 500 Index Fund, the JNL/Mellon Capital Small Cap Index Fund, the JNL/Neuberger Berman Strategic Income Fund, the JNL/Oppenheimer Global Growth Fund, the JNL/PPM America Floating Rate Income Fund, the JNL/PPM America High Yield Bond Fund, the JNL/T.Rowe Price Established Growth Fund, the JNL/T. Rowe Price Mid-Cap Growth Fund, the JNL/T.Rowe Price Short-Term Bond Fund, the JNL/T. Rowe Price Value Fund, the JNL/WMC Balanced Fund, and the JNL/WMC Value Fund, for which a summary schedule of investments was provided in the Annual Report dated December 31, 2013 , pursuant to §210.1212 of Regulation S-X.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/BlackRock Commodity Securities Strategy Fund (b)

   

COMMON STOCKS - 76.1%

    

ENERGY - 71.1%

    

Anadarko Petroleum Corp.

     331      $ 26,262   

Antero Resources Corp. (c)

     53        3,350   

Apache Corp.

     281        24,108   

Baker Hughes Inc.

     263        14,537   

Cabot Oil & Gas Corp. - Class A

     920        35,665   

Cameron International Corp. (c)

     453        26,957   

Canadian Natural Resources Ltd.

     501        16,965   

Carrizo Oil & Gas Inc. (c)

     152        6,820   

Cenovus Energy Inc.

     318        9,112   

Chevron Corp.

     363        45,281   

Cimarex Energy Co.

     114        11,984   

CNOOC Ltd. - ADR (e)

     31        5,876   

Coastal Energy Co. (c) (e)

     462        8,205   

ConocoPhillips

     145        10,259   

CONSOL Energy Inc.

     152        5,789   

Crew Energy Inc. (c)

     580        3,486   

Devon Energy Corp.

     470        29,049   

Dresser-Rand Group Inc. (c)

     478        28,531   

Dril-Quip Inc. (c)

     192        21,097   

EnCana Corp.

     163        2,947   

Ensco Plc - Class A

     365        20,883   

EOG Resources Inc.

     404        67,874   

EQT Corp.

     237        21,286   

Exxon Mobil Corp.

     478        48,337   

FMC Technologies Inc. (c)

     624        32,594   

Forum Energy Technologies Inc. (c)

     82        2,320   

Frank’s International NV (e)

     244        6,580   

Halliburton Co.

     461        23,398   

Helmerich & Payne Inc.

     257        21,618   

Hess Corp.

     201        16,643   

Husky Energy Inc.

     169        5,355   

Kosmos Energy Ltd. (c)

     427        4,773   

Legacy Oil + Gas Inc. (c)

     224        1,291   

LinnCo LLC

     160        4,924   

Marathon Oil Corp.

     377        13,300   

Marathon Petroleum Corp.

     183        16,828   

MEG Energy Corp. (c)

     100        2,874   

Murphy Oil Corp.

     349            22,671   

Murphy USA Inc. (c)

     87        3,632   

National Oilwell Varco Inc.

     548        43,569   

Newfield Exploration Co. (c)

     157        3,873   

Noble Corp plc

     362        13,581   

Noble Energy Inc.

     428        29,163   

Occidental Petroleum Corp.

     362        34,379   

Paramount Resources Ltd. - Class A (c)

     38        1,403   

Peabody Energy Corp.

     317        6,187   

Phillips 66

     118        9,079   

Pioneer Natural Resources Co.

     153        28,074   

Range Resources Corp.

     380        32,062   

Rowan Cos. Plc - Class A (c)

     129        4,553   

Saipem SpA

     196        4,203   

Schlumberger Ltd.

     367        33,071   

Southwestern Energy Co. (c)

     198        7,776   

Suncor Energy Inc.

     874        30,654   

Talisman Energy Inc.

     911        10,594   

Technip SA - ADR

     547        13,209   

Total SA - ADR

     235        14,392   

Transocean Ltd.

     98        4,854   

Trican Well Service Ltd. (e)

     180        2,203   

Uranium Energy Corp. (c) (q)

     366        731   

Valero Energy Corp.

     198        9,984   

Weatherford International Ltd. (c)

     192        2,969   
     Shares/Par (p)     Value  

Whiting Petroleum Corp. (c)

     255        15,770   

Williams Cos. Inc.

     124        4,795   
   

 

 

  
      1,034,589   

MATERIALS - 5.0%

    

BHP Billiton Ltd.

     161        5,497   

E.I. du Pont de Nemours & Co.

     114        7,424   

Eldorado Gold Corp.

     1,042        5,913   

First Quantum Minerals Ltd.

     624        11,244   

Franco-Nevada Corp.

     159        6,481   

Goldcorp Inc.

     348        7,555   

HudBay Minerals Inc.

     338        2,778   

Newcrest Mining Ltd.

     386        2,708   

Newmont Mining Corp.

     75        1,728   

Praxair Inc.

     47        6,048   

Southern Copper Corp.

     358        10,269   

Vale SA - ADR (e)

     373        5,694   
   

 

 

  
      73,339   
   

 

 

  

Total Common Stocks (cost $929,000)

  

     1,107,928   
   

 

 

  

COMMODITY INDEXED STRUCTURED NOTES - 7.3%

  

Bank of America Corp., Dow Jones-UBS Commodity Index 3 Month Forward Total Return commodity linked note, 0.18%, 06/27/14 (i)

   $     15,500        13,131   

Deutsche Bank AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.24%, 12/30/14 (i)

     7,500        7,857   

JPMorgan Chase, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.25%, 09/15/14 (i)

     7,000        7,232   

JPMorgan Chase, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.24%, 01/06/15 (i)

     10,500        10,986   

JPMorgan Chase, Dow Jones-UBS Commodity Index Forward Total Return commodity linked note, 0.25%, 08/04/14 (i)

     4,000        4,129   

JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.25%, 07/14/14 (i)

     11,500        9,847   

JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.24%, 09/03/14 (i)

     6,000        5,886   

JPMorgan Chase, Dow Jones-UBS Commodity Index Total Return commodity linked note, 0.25%, 09/15/14 (i)

     10,500        11,030   

UBS AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.24%, 02/14/14 (i)

     15,000        10,602   

UBS AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.18%, 07/10/14 (i)

     20,500        18,551   

UBS AG, Dow Jones-UBS Commodity Index 2 Month Forward Total Return commodity linked note, 0.25%, 12/29/14 (i)

     6,000        6,226   
   

 

 

  

Total Commodity Indexed Structured Notes (cost $108,155)

   

     105,477   
   

 

 

  

SHORT TERM INVESTMENTS - 17.5%

  

Investment Companies - 1.1%

    

JNL Money Market Fund, 0.01% (a) (h)

     15,653        15,653   

Securities Lending Collateral - 0.9%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     12,719        12,719   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Treasury Securities - 15.5%

    

U.S. Treasury Bill

    

0.09%, 02/06/14

   $     201,600        201,596   

0.10%, 05/22/14

     10,400        10,397   

0.08%, 06/12/14

     14,000        13,997   
   

 

 

  
      225,990   
   

 

 

  

Total Short Term Investments (cost $254,361)

  

     254,362   
   

 

 

  

Total Investments - 100.9% (cost $1,291,516)

  

     1,467,767   

Other Assets and Liabilities, Net - (0.9%)

       (12,816 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,454,951   
   

 

 

  

JNL/BlackRock Global Allocation Fund (b)

  

COMMON STOCKS - 64.4%

  

CONSUMER DISCRETIONARY - 6.5%

  

Aisin Seiki Co. Ltd.

     80      $ 3,248   

Amazon.com Inc. (c)

     9        3,546   

American Eagle Outfitters Inc.

     49        707   

Barratt Developments Plc

     529        3,059   

Bayerische Motoren Werke AG

     34        4,048   

Benesse Corp.

     37        1,474   

BorgWarner Inc.

     44        2,458   

Bridgestone Corp.

     149        5,634   

Charter Communications Inc. - Class A (c)

     20        2,715   

Cheng Shin Rubber Industry Co. Ltd.

     521        1,364   

Coach Inc.

     103        5,803   

Comcast Corp. - Class A

     181        9,386   

Compagnie Generale des Etablissements Michelin

     14        1,450   

Daihatsu Motor Co. Ltd.

     39        663   

Delphi Automotive Plc

     38        2,289   

Delta Topco Ltd. (c) (f) (q)

     2,155        1,367   

Denso Corp.

     105        5,536   

DISH Network Corp. - Class A (c)

     12        675   

Dongfeng Motor Group Co. Ltd. - Class H

     397        624   

Electrolux AB

     24        638   

Extended Stay America Inc. (c)

     35        916   

Ford Motor Co.

     475        7,327   

Fuji Heavy Industries Ltd.

     488        14,019   

Futaba Industrial Co. Ltd. (c) (e)

     68        260   

General Motors Co. (c)

     243        9,944   

Guinness Peat Group Plc (c)

     214        104   

Hilton Worldwide Holdings Inc. (c)

     134        2,977   

Honda Motor Co. Ltd.

     167        6,902   

Hyundai Motor Co.

     14        3,116   

Hyundai Wia Corp.

     3        527   

International Game Technology

     34        619   

Johnson Controls Inc.

     69        3,539   

Lear Corp.

     3        227   

Liberty Media Corp. - Class A (c)

     35        5,094   

LVMH Moet Hennessy Louis Vuitton SA

     13        2,440   

Macy’s Inc.

     3        139   

Manchester United Plc - Class A (c) (e)

     80        1,237   

Mattel Inc.

     66        3,143   

McDonald’s Corp.

     69        6,717   

Mediaset SpA (c)

     475        2,254   

MRV Engenharia e Participacoes SA

     347        1,239   

Nitori Co. Ltd.

     30        2,873   

Renault SA

     18        1,424   

Rinnai Corp. (e)

     20        1,582   

Ross Stores Inc.

     2        119   

RTL Group SA (c)

     27        3,455   

Ryohin Keikaku Co. Ltd.

     20        2,142   

Shaw Communications Inc. - Class B (e)

     131        3,192   
     Shares/Par (p)     Value  

Suzuki Motor Corp.

     302        8,146   

Taylor Wimpey Plc

     1,593        2,950   

Time Warner Cable Inc.

     4        551   

Toyota Industries Corp.

     125        5,646   

Toyota Motor Corp.

     74        4,482   

TRW Automotive Holdings Corp. (c)

     33        2,464   

Viacom Inc. - Class B

     6        480   

Williams-Sonoma Inc.

     19        1,134   

Wyndham Worldwide Corp.

     7        515   

Yamada Denki Co. Ltd. (e)

     951        3,110   

Yulon Motor Co. Ltd.

     614        1,114   

Zhongsheng Group Holdings Ltd.

     824        1,139   

Zon Optimus SGPS SA

     209        1,553   
   

 

 

  
        177,495   

CONSUMER STAPLES - 4.1%

    

Ajinomoto Co. Inc.

     205        2,968   

Anheuser-Busch InBev NV

     44        4,692   

Beam Inc.

     12        812   

Beiersdorf AG

     17        1,760   

Casino Guichard Perrachon SA

     23        2,640   

Chaoda Modern Agriculture Holdings Ltd. (c) (f) (q)

     604        69   

Church & Dwight Co. Inc.

     20        1,357   

Coca-Cola Co.

     326        13,461   

Colgate-Palmolive Co.

     55        3,594   

Constellation Brands Inc. - Class A (c)

     5        350   

Cosan Ltd. - Class A

     161        2,209   

CVS Caremark Corp.

     27        1,945   

Danone SA

     22        1,604   

Diageo Plc

     24        801   

Diageo Plc - ADR

     31        4,099   

Energizer Holdings Inc.

     3        333   

Fomento Economico Mexicano SAB de CV - ADR

     13        1,242   

General Mills Inc.

     40        1,980   

Hillshire Brands Co.

     95        3,167   

Hypermarcas SA

     211        1,579   

Kao Corp.

     38        1,193   

Kimberly-Clark Corp.

     32        3,298   

Kroger Co.

     4        160   

Mead Johnson Nutrition Co.

     34        2,837   

Nestle SA

     193        14,178   

Procter & Gamble Co.

     189        15,407   

SABMiller Plc

     65        3,326   

SLC Agricola SA

     103        887   

Suntory Beverage & Food Ltd. (e)

     69        2,185   

Tesco Plc

     300        1,667   

The Fresh Market Inc. (c)

     9        381   

Unilever NV - ADR

     17        695   

Unilever NV - CVA

     167        6,726   

Unilever Plc

     64        2,617   

Unilever Plc - ADR (e)

     19        787   

Wal-Mart Stores Inc.

     70        5,540   
   

 

 

  
    112,546   

ENERGY - 5.7%

    

Anadarko Petroleum Corp.

     28        2,185   

Athabasca Oil Corp. (c)

     327        1,997   

BG Group Plc

     356        7,663   

BP Plc

     242        1,963   

BP Plc - ADR

     67        3,248   

Cameco Corp. (e)

     141        2,930   

Canadian Natural Resources Ltd.

     97        3,266   

Chevron Corp.

     33        4,104   

Cobalt International Energy Inc. (c)

     118        1,934   

Devon Energy Corp.

     38        2,376   

Diamond Offshore Drilling Inc.

     2        107   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Dresser-Rand Group Inc. (c)

     75        4,471   

ENI SpA

     396        9,574   

EOG Resources Inc.

     22        3,718   

Helmerich & Payne Inc.

     2        192   

INPEX Corp.

     403        5,172   

KazMunaiGas Exploration Production JSC - GDR

     146        2,290   

Kunlun Energy Co. Ltd.

     1,316        2,326   

Lundin Petroleum AB (c)

     167        3,249   

Marathon Oil Corp.

     330        11,659   

Marathon Petroleum Corp.

     154        14,149   

Murphy Oil Corp.

     4        287   

National Oilwell Varco Inc.

     70        5,590   

Occidental Petroleum Corp.

     61        5,772   

Petroleo Brasileiro SA - Petrobras - ADR

     194        2,667   

Phillips 66

     100        7,724   

Royal Dutch Shell Plc - Class A

     41        1,458   

Royal Dutch Shell Plc - ADR

     128        9,104   

Schlumberger Ltd.

     97        8,755   

StatoilHydro ASA

     297        7,220   

Suncor Energy Inc.

     58        2,045   

Suncor Energy Inc.

     5        192   

Technip SA

     57        5,446   

Total SA

     64        3,943   

Total SA - ADR

     80        4,893   

Valero Energy Corp.

     5        231   

Vallares Plc (c)

     78        1,395   

Whiting Petroleum Corp. (c)

     28        1,758   
   

 

 

  
        157,053   

FINANCIALS - 11.6%

    

ACE Ltd.

     79        8,182   

AFLAC Inc.

     56        3,722   

Allianz SE

     29        5,168   

Allstate Corp.

     44        2,420   

American Capital Agency Corp.

     66        1,265   

American Express Co.

     84        7,591   

American International Group Inc.

     60        3,071   

American Tower Corp.

     47        3,736   

Ameriprise Financial Inc.

     2        180   

Arch Capital Group Ltd. (c)

     20        1,219   

Aviva Plc

     201        1,500   

AXA SA

     220        6,116   

Axis Capital Holdings Ltd.

     7        313   

Banco Bilbao Vizcaya Argentaria SA

     305        3,773   

Banco Santander Brasil SA - ADR

     205        1,250   

Banco Santander Chile - ADR

     72        1,694   

Bank of America Corp.

     713        11,105   

Bank of New York Mellon Corp.

     86        2,995   

Bank of Nova Scotia

     37        2,327   

BB&T Corp.

     117        4,353   

Berkshire Hathaway Inc. - Class B (c)

     45        5,336   

BNP Paribas

     149        11,649   

BR Malls Participacoes SA

     189        1,367   

Brookfield Asset Management Inc. - Class A

     45        1,734   

Capital One Financial Corp.

     62        4,720   

CapitaLand Ltd.

     1,220        2,940   

Chubb Corp.

     23        2,234   

Citigroup Inc.

     264        13,759   

CNA Financial Corp.

     4        187   

Commonwealth Bank of Australia

     38        2,658   

Credit Suisse Group AG

     64        1,984   

Cyrela Brazil Realty SA

     203        1,236   

Daito Trust Construction Co. Ltd.

     26        2,431   

Deutsche Bank AG

     121        5,835   

Deutsche Boerse AG

     35        2,919   

Discover Financial Services

     92        5,158   

Equity Residential

     95        4,933   
     Shares/Par (p)     Value  

Fibra Uno Administracion SA de CV

     451        1,445   

Goldman Sachs Group Inc.

     30        5,332   

Hana Financial Group Inc.

     56        2,344   

HSBC Holdings Plc

     973        10,682   

ING Groep NV - CVA (c)

     417        5,831   

Intesa Sanpaolo SpA

     1,636        4,025   

JPMorgan Chase & Co.

     310        18,145   

KB Financial Group Inc.

     20        789   

Lincoln National Corp.

     6        287   

Link REIT

     560        2,715   

Lloyds Banking Group Plc (c)

     4,409        5,785   

Marsh & McLennan Cos. Inc.

     6        271   

MetLife Inc.

     115        6,182   

Mitsubishi UFJ Financial Group Inc.

     430        2,856   

Morgan Stanley

     67        2,110   

MS&AD Insurance Group Holdings

     51        1,376   

National Australia Bank Ltd.

     90        2,807   

NKSJ Holdings Inc.

     47        1,294   

Oversea-Chinese Banking Corp. Ltd.

     259        2,099   

Progressive Corp.

     70        1,896   

Prudential Financial Inc.

     55        5,051   

QBE Insurance Group Ltd.

     141        1,453   

Reinsurance Group of America Inc.

     6        481   

RenaissanceRe Holdings Ltd.

     13        1,250   

RHJ International (c)

     26        131   

RHJ International - ADR (c)

     5        27   

Sberbank of Russia

     870        2,686   

Simon Property Group Inc.

     20        3,025   

Societe Generale

     70        4,069   

Sony Financial Holdings Inc.

     138        2,517   

St. Joe Co. (c) (e)

     266        5,095   

State Street Corp.

     51        3,718   

Sumitomo Mitsui Financial Group Inc.

     163        8,487   

Sun Hung Kai Properties Ltd.

     452        5,745   

Svenska Handelsbanken AB - Class A

     85        4,196   

TF Administradora Industrial S de RL de CV (e)

     793        1,427   

Tokio Marine Holdings Inc.

     293        9,790   

Torchmark Corp.

     2        165   

Travelers Cos. Inc.

     40        3,655   

U.S. Bancorp

     104        4,215   

UBS AG

     213        4,071   

UniCredit SpA

     519        3,829   

Unum Group

     8        286   

Wells Fargo & Co.

     366        16,598   

Westpac Banking Corp.

     41        1,189   

XL Group Plc

     166        5,298   
   

 

 

  
        319,785   

HEALTH CARE - 9.2%

    

AbbVie Inc.

     212        11,172   

Aetna Inc.

     92        6,285   

Agilent Technologies Inc.

     91        5,189   

Al Noor Hospitals Group Plc (c)

     131        1,953   

Allergan Inc.

     30        3,318   

AmerisourceBergen Corp.

     7        465   

Amgen Inc.

     38        4,369   

Astellas Pharma Inc.

     43        2,532   

AstraZeneca Plc

     107        6,322   

Bangkok Dusit Medical Services PCL

     600        2,156   

Baxter International Inc.

     81        5,619   

Becton Dickinson & Co.

     3        381   

Biogen Idec Inc. (c)

     16        4,398   

Boston Scientific Corp. (c)

     87        1,049   

Bristol-Myers Squibb Co.

     82        4,372   

Bumrungrad Hospital PCL

     309        827   

Cardinal Health Inc.

     139        9,292   

Celgene Corp. (c)

     36        6,065   

Covidien Plc

     83        5,670   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Cubist Pharmaceuticals Inc. (c)

     28        1,931   

DaVita HealthCare Partners Inc. (c)

     40        2,557   

Envision Healthcare Holdings Inc. (c)

     52        1,839   

Express Scripts Holding Co. (c)

     89        6,248   

Fresenius SE

     27        4,157   

Getinge AB - Class B

     29        981   

Gilead Sciences Inc. (c)

     87        6,571   

HCA Holdings Inc. (c)

     119        5,700   

HealthSouth Corp.

     53        1,762   

Humana Inc.

     56        5,742   

IHH Healthcare Bhd (c)

     3,725        4,393   

Intuitive Surgical Inc. (c)

     2        949   

Life Healthcare Group Holdings Ltd.

     389        1,555   

McKesson Corp.

     38        6,063   

Medtronic Inc.

     63        3,621   

Mesoblast Ltd. (c) (e)

     229        1,201   

Mettler-Toledo International Inc. (c)

     8        1,890   

Mindray Medical International Ltd. - ADR (e)

     50        1,810   

NMC Health Plc

     223        1,616   

Novartis AG

     93        7,483   

Omnicare Inc.

     25        1,501   

Otsuka Holdings Co. Ltd.

     100        2,873   

PerkinElmer Inc.

     51        2,120   

Perrigo Co. Plc (e)

     17        2,566   

Pfizer Inc.

     654        20,044   

Raffles Medical Group Ltd.

     377        929   

Roche Holding AG

     61        17,007   

Sanofi SA

     124        13,233   

Sanofi SA - ADR

     2        115   

Ship Healthcare Holdings Inc.

     33        1,289   

Shire Plc

     115        5,396   

Siloam International Hospitals Tbk PT (c)

     1,240        968   

Sino Biopharmaceutical

     1,052        836   

Sinopharm Group Co. Ltd. - Class H (e)

     544        1,564   

Stryker Corp.

     5        362   

Tenet Healthcare Corp. (c)

     47        1,972   

Thermo Fisher Scientific Inc.

     56        6,258   

UnitedHealth Group Inc.

     129        9,701   

Universal Health Services Inc. - Class B

     85        6,891   

Veeva Systems Inc. - Class A (e) (c)

     60        1,939   

Vertex Pharmaceuticals Inc. (c)

     26        1,940   

Waters Corp. (c)

     28        2,814   

WellPoint Inc.

     5        461   
   

 

 

  
        252,282   

INDUSTRIALS - 9.7%

    

3M Co.

     35        4,924   

Andritz AG

     16        986   

Asciano Group

     415        2,140   

Avery Dennison Corp.

     31        1,536   

Beijing Enterprises Holdings Ltd.

     671        6,669   

Canadian National Railway Co.

     50        2,839   

Cie de Saint-Gobain

     133        7,307   

CNH Industrial NV (c)

     745        8,488   

Cummins Inc.

     26        3,628   

Cummins India Ltd.

     280        2,173   

Daikin Industries Ltd.

     43        2,702   

Danaher Corp.

     42        3,207   

Dover Corp.

     5        491   

East Japan Railway Co.

     88        7,026   

Eaton Corp. Plc

     70        5,358   

Ei Towers SpA

     10        438   

European Aeronautic Defence & Space Co. NV

     146        11,243   

Fanuc Ltd.

     9        1,723   

Fastenal Co.

     105        5,005   

FedEx Corp.

     26        3,796   

General Dynamics Corp.

     3        280   

General Electric Co.

     855        23,977   
     Shares/Par (p)     Value  

Haitian International Holdings Ltd.

     419        947   

Hino Motors Ltd.

     95        1,497   

IHI Corp.

     315        1,362   

Invensys Plc

     259        2,192   

Japan Airlines Co. Ltd.

     85        4,188   

JB Hunt Transport Services Inc.

     36        2,779   

JGC Corp.

     142        5,573   

KBR Inc.

     22        686   

Kubota Corp.

     250        4,145   

L-3 Communications Holdings Inc.

     2        191   

Metso Oyj

     28        1,215   

Mitsubishi Corp.

     289        5,548   

Mitsubishi Electric Corp.

     245        3,081   

Mitsubishi Heavy Industries Ltd.

     253        1,567   

Mitsui & Co. Ltd.

     817        11,383   

Northrop Grumman Systems Corp.

     6        632   

Novorossiysk Commercial Sea Port PJSC - GDR (e)

     78        487   

Okumura Corp.

     285        1,318   

PACCAR Inc.

     42        2,506   

Parker Hannifin Corp.

     1        188   

Precision Castparts Corp.

     21        5,688   

Qualicorp SA (c)

     157        1,501   

Raytheon Co.

     7        623   

Rexel SA

     26        682   

Rockwell Automation Inc.

     64        7,562   

Safran SA

     248        17,218   

Samsung Heavy Industries Co. Ltd.

     44        1,608   

Siemens AG

     114        15,566   

SMC Corp.

     3        833   

Stanley Black & Decker Inc.

     53        4,282   

Sumitomo Corp.

     236        2,966   

Sumitomo Electric Industries Ltd.

     171        2,855   

Textron Inc.

     46        1,685   

Toda Corp.

     363        1,259   

Ubisoft Entertainment SA (c)

     158        2,233   

Union Pacific Corp.

     64        10,673   

United Continental Holdings Inc. (c)

     251        9,477   

United Parcel Service Inc. - Class B

     42        4,368   

United Technologies Corp.

     127        14,463   

Valmont Industries Inc.

     2        370   

West Japan Railway Co.

     60        2,578   

Yuanda China Holdings Ltd.

     5,534        487   
   

 

 

  
        266,398   

INFORMATION TECHNOLOGY - 8.5%

  

Accenture Plc - Class A

     2        156   

Adobe Systems Inc. (c)

     8        489   

Alliance Data Systems Corp. (c) (e)

     3        860   

Amdocs Ltd.

     4        170   

Apple Inc.

     1        366   

Atos Origin SA

     78        7,053   

Avnet Inc.

     11        500   

CA Inc.

     8        262   

Cap Gemini SA

     6        419   

Check Point Software Technologies Ltd. (c)

     7        480   

Cielo SA

     100        2,773   

Cisco Systems Inc.

     445        9,989   

Citrix Systems Inc. (c)

     94        5,917   

Computer Sciences Corp.

     11        590   

eBay Inc. (c)

     100        5,479   

Electronic Arts Inc. (c)

     206        4,737   

EMC Corp.

     661        16,617   

Fidelity National Information Services Inc.

     4        227   

Freescale Semiconductor Ltd. (c)

     169        2,710   

Google Inc. - Class A (c)

     24        27,317   

Harris Corp.

     7        480   

Hitachi Ltd.

     745        5,646   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Hoya Corp.

     152        4,225   

Intuit Inc.

     6        475   

Keyence Corp.

     1        599   

KLA-Tencor Corp.

     2        130   

Kyocera Corp.

     32        1,585   

MasterCard Inc. - Class A

     28        23,079   

Microsoft Corp.

     50        1,882   

Motorola Solutions Inc.

     6        401   

Murata Manufacturing Co. Ltd.

     37        3,282   

Nintendo Co. Ltd.

     20        2,637   

Omron Corp.

     14        601   

Oracle Corp.

     483        18,487   

QUALCOMM Inc.

     185        13,727   

Red Hat Inc. (c)

     69        3,858   

Rohm Co. Ltd.

     55        2,692   

Samsung Electronics Co. Ltd.

     10        13,218   

Sina Corp. (c)

     37        3,143   

Symantec Corp.

     17        395   

TE Connectivity Ltd.

     4        205   

TIBCO Software Inc. (c)

     179        4,032   

Twitter Inc (c) (e)

     125        7,932   

Twitter Inc. Private Placement (c) (f) (q)

     200        12,077   

Visa Inc. - Class A

     85        19,037   

VMware Inc. - Class A (c)

     39        3,458   

Western Digital Corp.

     3        272   
   

 

 

  
        234,666   

MATERIALS - 4.7%

    

Agrium Inc. (e)

     45        4,093   

Akzo Nobel NV

     57        4,401   

Antofagasta Plc

     453        6,215   

Arkema SA

     30        3,551   

Asahi Kasei Corp.

     290        2,276   

BHP Billiton Ltd.

     22        747   

BHP Billiton Plc

     314        9,737   

Boliden AB

     81        1,235   

CF Industries Holdings Inc.

     2        376   

Cheil Industries Inc.

     14        1,177   

China Blue Chemical Ltd. - Class H

     934        585   

Crown Holdings Inc. (c)

     60        2,686   

Eastman Chemical Co.

     2        188   

Eldorado Gold Corp.

     403        2,290   

First Quantum Minerals Ltd.

     175        3,150   

FMC Corp.

     65        4,937   

Fortescue Metals Group Ltd.

     863        4,508   

Freeport-McMoRan Copper & Gold Inc.

     194        7,316   

Goldcorp Inc.

     308        6,670   

HeidelbergCement AG

     19        1,419   

Hitachi Chemical Co. Ltd.

     148        2,359   

International Paper Co.

     5        269   

Jiangxi Copper Co. Ltd. - Class H

     652        1,180   

JSR Corp.

     161        3,126   

Koninklijke Philips NV

     52        4,081   

Kuraray Co. Ltd.

     253        3,021   

Lanxess AG

     21        1,428   

Linde AG

     18        3,740   

Nitto Denko Corp.

     68        2,884   

Platinum Group Metals Ltd. (c)

     1,292        1,544   

Polyus Gold International Ltd.

     153        504   

PPG Industries Inc.

     4        717   

PTT Global Chemical PCL

     214        518   

Rio Tinto Plc

     207        11,694   

Sealed Air Corp.

     98        3,343   

Shin-Etsu Chemical Co. Ltd.

     90        5,276   

Sigma-Aldrich Corp.

     5        501   

Silver Wheaton Corp.

     99        1,999   

Southern Copper Corp.

     53        1,507   

Syngenta AG

     21        8,207   
     Shares/Par (p)     Value  

Teck Resources Ltd. - Class B

     111        2,876   

Ube Industries Ltd.

     640        1,370   
   

 

 

  
    129,701   

TELECOMMUNICATION SERVICES - 2.4%

  

America Movil SAB de CV - ADR - Class L (e)

     63        1,477   

Axiata Group Bhd

     1,460        3,078   

BT Group Plc

     670        4,226   

Crown Castle International Corp. (c)

     40        2,958   

Deutsche Telekom AG

     343        5,906   

Far EasTone Telecommunications Co. Ltd.

     565        1,242   

KDDI Corp.

     113        6,981   

Koninklijke KPN NV (c)

     557        1,800   

KT Corp. - ADR (e)

     45        667   

Nippon Telegraph & Telephone Corp.

     36        1,939   

Rogers Communications Inc. - Class B

     30        1,367   

Singapore Telecommunications Ltd.

     1,228        3,572   

Swisscom AG

     4        2,015   

Taiwan Mobile Co. Ltd.

     401        1,296   

TDC A/S

     169        1,636   

Telecom Italia SpA

     2,222        2,215   

Telefonica Deutschland Holding AG

     184        1,524   

Telefonica SA

     139        2,273   

Telefonica SA - ADR (e)

     43        707   

Telekom Malaysia Bhd

     842        1,427   

Verizon Communications Inc.

     177        8,681   

Vodafone Group Plc

     943        3,713   

Vodafone Group Plc - ADR

     121        4,772   
   

 

 

  
    65,472   

UTILITIES - 2.0%

    

AES Corp.

     351        5,096   

American Electric Power Co. Inc.

     69        3,207   

American Water Works Co. Inc.

     63        2,656   

Calpine Corp. (c)

     165        3,225   

CenterPoint Energy Inc.

     86        1,995   

Chubu Electric Power Co. Inc.

     72        933   

CMS Energy Corp.

     66        1,767   

Dominion Resources Inc.

     83        5,342   

Duke Energy Corp.

     45        3,106   

National Grid Plc

     408        5,342   

NextEra Energy Inc.

     85        7,265   

PPL Corp.

     121        3,645   

Scottish & Southern Energy Plc

     157        3,564   

Sempra Energy

     27        2,444   

Tokyo Gas Co. Ltd.

     1,229        6,057   
   

 

 

  
    55,644   
   

 

 

  

Total Common Stocks (cost $1,491,842)

  

     1,771,042   
   

 

 

  

TRUST PREFERREDS - 0.3%

    

FINANCIALS - 0.3%

    

Citigroup Capital XIII, 7.88%, (callable at 25 beginning 10/30/15)

     98        2,671   

GMAC Capital Trust I, 8.13%, (callable at 25 beginning 02/15/16)

     120        3,199   

RBS Capital Funding Trust VII, 6.08%, (callable at 25 beginning 02/10/14), Series G (m)

     57        1,195   
   

 

 

  

Total Trust Preferreds (cost $6,697)

  

     7,065   
   

 

 

  

PREFERRED STOCKS - 1.6%

  

  

CONSUMER DISCRETIONARY - 0.4%

  

  

Grupo Televisa SAB

     234        1,412   

Volkswagen AG

     36        10,077   
   

 

 

  
    11,489   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CONSUMER STAPLES - 0.1%

  

Cia Brasileira de Distribuicao Grupo Pao de Acucar

     52        2,332   

FINANCIALS - 0.5%

  

Continental Airlines Finance Trust II, 6.00% (v)

     3        159   

Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)

     145        1,271   

Forestar Group Inc., 6.00%

     63        1,755   

Health Care REIT Inc., 6.50%, (callable at 100 beginning 04/20/18) (m) (v)

     30        1,518   

HSBC Holdings Plc, 8.00%, (callable at 25 beginning 12/15/15) (m)

     60        1,623   

Itau Unibanco Holding SA

     137        1,818   

Royal Bank of Scotland Group Plc - ADR, 6.40%, (callable at 25 beginning 02/10/14), Series M (m)

     39        808   

Royal Bank of Scotland Group Plc - ADR, 6.75%, (callable at 25 beginning 02/10/14), Series Q (m)

     14        311   

Royal Bank of Scotland Group Plc - ADR, 7.25%, (callable at 25 beginning 02/10/14), Series T (m)

     58        1,385   

U.S. Bancorp, 6.00%, (callable at 25 beginning 04/15/17), Series G (e) (m)

     32        876   

U.S. Bancorp, 6.50%, (callable at 25 beginning 01/15/22) (m)

     56        1,479   

Wells Fargo & Co., 7.50% (m) (v)

     1        1,084   
   

 

 

  
      14,087   

INDUSTRIALS - 0.1%

  

Stanley Black & Decker Inc., 6.25%

     7        764   

United Technologies Corp., 7.50% (e)

     21        1,349   
   

 

 

  
      2,113   

INFORMATION TECHNOLOGY - 0.2%

  

Mobileye NV (f) (q)

     55        1,930   

Samsung Electronics Co. Ltd.

     4        4,234   
   

 

 

  
      6,164   

MATERIALS - 0.1%

  

Cliffs Natural Resources Inc., 7.00%, Class A (e)

     56        1,279   

TELECOMMUNICATION SERVICES - 0.1%

  

Crown Castle International Corp., 4.50% (v)

     24        2,397   

Telecom Italia SpA

     162        127   
   

 

 

  
      2,524   

UTILITIES - 0.1%

  

NextEra Energy Inc., 5.60%

     36        2,057   

PPL Corp., 8.75%

     30        1,571   
   

 

 

  
      3,628   
   

 

 

  

Total Preferred Stocks (cost $39,481)

       43,616   
   

 

 

  

WARRANTS - 0.0%

  

TFS Corp. Ltd. (c) (f) (q)

     370        101   

TFS Corp. Ltd. (c) (f)

     105        29   
   

 

 

  

Total Warrants (cost $0)

       130   
   

 

 

  

PURCHASED OPTIONS - 0.5%

  

Activison Blizzard Inc. Call Option, Strike Price 20, Expiration 01/18/14, GSI

     94,199        2   

Agnico-Eagle Mines Ltd. Call Option, Strike Price 85, Expiration 01/17/14, DUB

     73,451        —   

Alcoa Inc. Call Option, Strike Price 15, Expiration 01/18/14, GSI

     170,163        2   
     Shares/Par (p)     Value  

Anadarko Petroleum Corp. Call Option, Strike Price 82.50, Expiration 05/16/14, DUB

     138,091        608   

Anadarko Petroleum Corp. Call Option, Strike Price 85, Expiration 07/19/14, CSI

     83,388        373   

Anadarko Petroleum Corp. Call Option, Strike Price 97.50, Expiration 02/22/14

     394        4   

AngloGold Ashanti Ltd. Call Option, Strike Price 65, Expiration 01/17/14, DUB

     87,103        —   

AutoZone Inc. Call Option, Strike Price 550, Expiration 01/18/14, GSI

     7,141        1   

Bank of America Corp. Call Option, Strike Price 17, Expiration 01/17/15, CIT

     680,863        797   

Barrick Gold Corp. Call Option, Strike Price 80, Expiration 01/18/14

     5,168        5   

Broadcom Corp. Call Option, Strike Price 55, Expiration 01/18/14, GSI

     91,159        —   

Call Swaption, 3-Month LIBOR versus 1.60% fixed, Expiration 06/03/14, GSI

     139,740,359        224   

Call Swaption, 3-Month LIBOR versus 1.60% fixed, Expiration 06/03/14, GSI

     139,742,791        224   

Call Swaption, 3-Month LIBOR versus 1.65% fixed, Expiration 06/04/14, DUB

     34,961,100        72   

Call Swaption, 3-Month LIBOR versus 3.50% fixed, Expiration 12/17/15, GSI

     67,464,000        472   

Caterpillar Inc. Call Option, Strike Price 135, Expiration 01/18/14, GSI

     98,757        —   

Citigroup Inc. Call Option, Strike Price 60, Expiration 01/17/15, BOA

     190,642        450   

Coca-Cola Co. Call Option, Strike Price 45, Expiration 01/16/15, DUB

     553,108        642   

Coeur d’Alene Mines Corp. Call Option, Strike Price 40, Expiration 01/17/14, DUB

     34,849        —   

Corning Inc. Call Option, Strike Price 20, Expiration 01/18/14, GSI

     169,787        5   

Cubist Pharmaceuticals Inc. Put Option, Strike Price 55, Expiration 01/18/14

     268        4   

Eldorado Gold Corp. Call Option, Strike Price 25, Expiration 01/17/14, DUB

     103,416        —   

EMC Corp. Call Option, Strike Price 40, Expiration 01/18/14, GSI

     265,885        —   

Endeavour Silver Corp. Call Option, Strike Price 20, Expiration 01/17/14, DUB

     27,690        —   

First Majestic Silver Corp. Call Option, Strike Price 35, Expiration 01/17/14, DUB

     17,496        —   

Freeport-McMoRan Copper & Gold Inc. Call Option, Strike Price 34, Expiration 02/24/14

     800        309   

Freeport-McMoRan Copper & Gold Inc. Call Option, Strike Price 64, Expiration 01/17/14, GSI

     205,108        —   

General Electric Co. Call Option, Strike Price 35, Expiration 01/18/14, GSI

     379,836        —   

Gold Fields Ltd. Call Option, Strike Price 22, Expiration 01/17/14, DUB

     213,797        —   

Goldcorp Inc. Call Option, Strike Price 80, Expiration 01/18/14

     3,232        3   

Halliburton Co. Call Option, Strike Price 55, Expiration 01/18/14, GSI

     48,112        6   

Harmony Gold Mining Co. Ltd. Call Option, Strike Price 15, Expiration 01/17/14, DUB

     54,529        —   

Hewlett-Packard Co. Call Option, Strike Price 30, Expiration 01/18/14, GSI

     379,836        54   

Humana Inc. Call Option, Strike Price 130, Expiration 01/16/15, GSI

     55,301        177   

IAMGOLD Corp. Call Option, Strike Price 30, Expiration 01/17/14, DUB

     91,972        —   

Intel Corp. Call Option, Strike Price 40, Expiration 01/18/14, GSI

     379,836        —   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

International Business Machines Corp. Call Option, Strike Price 295, Expiration 01/18/14, GSI

     39,503        —   

J.C. Penney Co. Inc. Call Option, Strike Price 55, Expiration 01/18/14, GSI

     106,352        —   

JPMorgan Chase & Co. Call Option, Strike Price 65, Expiration 01/17/15, BOA

     340,431        810   

Kinross Gold Corp. Call Option, Strike Price 20, Expiration 01/17/14, DUB

     395,921        —   

Marvell Technology Group Ltd. Call Option, Strike Price 20, Expiration 01/18/14, GSI

     220,305        —   

McDonald’s Corp. Call Option, Strike Price 135, Expiration 01/18/14, GSI

     68,370        —   

Merck & Co. Inc. Call Option, Strike Price 55, Expiration 01/16/15, DUB

     553,108        830   

MetLife Inc. Call Option, Strike Price 50, Expiration 01/17/15

     226        163   

Monster Beverage Corp. Call Option, Strike Price 105, Expiration 01/18/14, GSI

     53,177        —   

NetApp Inc. Call Option, Strike Price 60, Expiration 01/18/14, GSI

     124,586        —   

New Gold Inc. Call Option, Strike Price 22, Expiration 01/17/14, DUB

     58,659        —   

Newmont Mining Corp. Call Option, Strike Price 90, Expiration 01/18/14

     4,135        4   

NovaGold Resources Inc. Call Option, Strike Price 12, Expiration 01/17/14, DUB

     54,207        —   

Oracle Corp. Call Option, Strike Price 42, Expiration 01/16/15, DUB

     276,554        495   

Pan American Silver Corp. Call Option, Strike Price 50, Expiration 01/17/14, DUB

     98,904        —   

Prudential Financial Inc. Call Option, Strike Price 82.50, Expiration 01/17/15

     148        209   

Put Swaption, 6 month Japanese Yen LIBOR versus 1.07% fixed, Expiration 04/04/18, DUB

     489,328,000        103   

Put Swaption, 6-Month Japanese Yen LIBOR versus 1.60% fixed, Expiration 12/17/18, GSI

     561,210,000        101   

QEP Resources, Inc. Call Option, Strike Price 35, Expiration 04/17/14, GSI

     138,900        110   

Qualcomm Inc. Call Option, Strike Price 95, Expiration 01/18/14, GSI

     151,932        —   

Randgold Resources Ltd. Call Option, Strike Price 165, Expiration 01/17/14, DUB

     13,351        —   

Royal Gold Inc. Call Option, Strike Price 125, Expiration 01/17/14, DUB

     13,156        —   

S&P 500 Index Put Option, Strike Price 1,720, Expiration 01/18/14

     217        40   

S&P 500 Index Put Option, Strike Price 1,740, Expiration 01/18/14

     72        17   

S&P 500 Index Put Option, Strike Price 1,740.74, Expiration 02/21/14, JPM

     7,417        75   

S&P 500 Index Put Option, Strike Price 1,744.05, Expiration 02/21/14, BNP

     7,898        83   

S&P 500 Index Put Option, Strike Price 1,745.90, Expiration 02/21/14, CSI

     7,850        83   

S&P 500 Index Put Option, Strike Price 1,751.84, Expiration 02/21/14, GSI

     7,830        87   

Seabridge Gold Inc. Call Option, Strike Price 30, Expiration 01/17/14, DUB

     8,663        —   

Siemens AG Call Option, Strike Price 150, Expiration 01/16/15, DUB

     69,138        346   

Silver Standard Resources Inc. Call Option, Strike Price 30, Expiration 01/17/14, DUB

     24,214        —   

Silver Wheaton Corp. Call Option, Strike Price 55, Expiration 01/17/14, DUB

     99,325        —   

Silvercorp Metals Inc. Call Option, Strike Price 15, Expiration 01/17/14, DUB

     56,485        —   
     Shares/Par (p)     Value  

Staples Inc. Call Option, Strike Price 20, Expiration 01/18/14, GSI

     334,256        —   

Starwood Hotels & Resorts Call Option, Strike Price 85, Expiration 01/18/14, GSI

     22,790        4   

Stillwater Mining Co. Call Option, Strike Price 25, Expiration 01/17/14, DUB

     63,347        —   

Takeda Pharmaceutical Co. Call Option, Strike Price JPY 4,906.34, Expiration 10/09/14, GSI

     30,993        77   

Takeda Pharmaceutical Co. Call Option, Strike Price JPY 5,108.80, Expiration 01/29/15, MSI

     33,700        84   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,153.54, Expiration 06/13/14, BOA

     4,818        754   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,157.50, Expiration 04/11/14, UBS

     709,104        955   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,164.04, Expiration 05/09/14, JPM

     5,962        851   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,246.74, Expiration 09/12/14, CIT

     668,644        641   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,271.41, Expiration 03/14/14, BNP

     680,353        381   

Tokyo Stock Exchange Price Index Call Option, Strike Price JPY 1,291.10, Expiration 07/11/14, GSI

     984,969        635   

United Technologies Corp. Call Option, Strike Price 120, Expiration 01/18/14, GSI

     57,735        4   

UnitedHealth Group Inc. Call Option, Strike Price 85, Expiration 01/18/14, GSI

     75,966        4   

Visa Inc. Call Option, Strike Price 190, Expiration 01/18/14, GSI

     31,998        1,051   

Western Union Co. Call Option, Strike Price 25, Expiration 01/18/14, GSI

     53,177        —   

Yamana Gold Inc. Call Option, Strike Price 30, Expiration 01/17/14, DUB

     237,746        —   

Yum! Brands Inc. Call Option, Strike Price 100, Expiration 01/18/14, GSI

     53,177        —   
   

 

 

  

Total Purchased Options (cost $17,489)

  

     13,431   
   

 

 

  

INVESTMENT COMPANIES - 1.1%

  

  

ETFS Gold Trust (c)

     16        1,853   

ETFS Physical Palladium Trust (c)

     20        1,380   

ETFS Platinum Trust (c)

     17        2,234   

iShares Gold Trust Fund (a) (c)

     435        5,085   

Market Vectors Gold Miners ETF

     227        4,804   

SPDR Gold Trust (c)

     138        16,016   
   

 

 

  

Total Investment Companies (cost $40,416)

  

     31,372   
   

 

 

  

CORPORATE BONDS AND NOTES - 7.6%

  

CONSUMER DISCRETIONARY - 1.0%

  

Autobahn Tank & Rast GmbH 1st Lien Term Loan A, 3.50%, 12/04/18 (i), EUR

     1,304        1,793   

Autobahn Tank & Rast GmbH 1st Lien Term Loan B, 3.75%, 12/04/19 (i), EUR

     526        728   

Cablevision Systems Corp., 5.88%, 09/15/22 (e)

   $ 903        865   

Daimler Finance North America LLC

    

0.84%, 01/09/15 (i) (r)

     1,662        1,668   

1.30%, 07/31/15 (r)

     251        252   

Delta Debtco Ltd. Term Loan, 9.25%, 10/17/19 (i) (q)

     2,717        2,829   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Delta Topco Ltd., 10.00%, 02/25/18 (f) (q) (y)

     1,782        1,782   

Hilton Worldwide Inc. Term Loan B, 3.00%, 09/01/17 (i)

     6,373        6,420   

Nara Cable Funding Ltd.

    

8.88%, 12/01/18 (r), EUR

     1,389        2,072   

8.88%, 12/01/18 (e) (r)

     248        267   

8.88%, 12/01/18 (r)

     854        909   

NBCUniversal Enterprise Inc., 5.25%, (callable at 100 beginning
03/19/21) (m) (r)

     1,000        990   

Unitymedia Hessen GmbH & Co. KG, 5.50%, 01/15/23 (r)

     500        485   

Univision Communications Inc. New 1st Lien Term Loans, 4.50%, 03/01/20 (i)

     1,985        1,996   

Volkswagen International Finance NV, 5.50%, 11/09/15 (r) (v), EUR

     3,100        5,275   
   

 

 

  
    28,331   

CONSUMER STAPLES - 0.2%

  

Anheuser-Busch InBev Worldwide Inc., 1.38%, 07/15/17

     1,029        1,026   

BAT International Finance Plc, 2.13%, 06/07/17 (r)

     1,325        1,339   

Celestial Nutrifoods Ltd., 0.00%,
06/12/11 (c) (d) (f) (q) (v), SGD

     400        3   

China Milk Products Group Ltd., 0.00%, 01/05/12 (c) (d) (f) (q) (v)

     100        10   

Olam International Ltd., 6.00%,
10/15/16 (q) (v)

     2,200        2,173   

REI Agro Ltd.

    

5.50%, 11/13/14 (q) (v)

     628        316   

5.50%, 11/13/14 (q) (v)

     185        93   
   

 

 

  
    4,960   

ENERGY - 0.8%

  

Bumi Investment Pte Ltd., 10.75%,
10/06/17 (e) (r)

     801        545   

Cobalt International Energy Inc., 2.63%, 12/01/19 (e) (v)

     3,402        3,009   

Consol Energy Inc., 8.00%, 04/01/17

     2,315        2,439   

Drillships Financing Holding Inc. Term Loan B-1, 6.00%, 10/26/17 (i)

     1,178        1,201   

Drillships Financing Holding Inc. Term Loan B-2, 5.50%, 03/10/14 (i)

     589        597   

Essar Energy Investment Ltd., 4.25%, 12/17/17 (r) (v)

     1,500        1,080   

Fieldwood Energy LLC 2nd Lien Term Loan, 7.13%, 10/01/17 (i)

     1,760        1,795   

Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 06/30/21 (e) (r)

     998        1,023   

OGX Austria GmbH, 8.50%,
06/01/18 (c) (d) (e) (r)

     6,249        500   

Petrobras Global Finance BV

    

2.00%, 05/20/16

     752        751   

2.38%, 01/15/19 (e) (i)

     3,999        3,919   

Reliance Holdings USA Inc.

    

4.50%, 10/19/20 (r)

     1,025        1,012   

5.40%, 02/14/22 (r)

     250        252   

Sabine Pass Liquefaction LLC, 5.63%, 04/15/23 (e) (r)

     1,091        1,020   

YPF SA, 8.88%, 12/19/18 (e) (r)

     2,045        2,122   
   

 

 

  
    21,265   

FINANCIALS - 2.9%

  

Ally Financial Inc.

    

4.50%, 02/11/14

     1,105        1,108   

3.50%, 07/18/16

     1,450        1,496   

2.75%, 01/30/17

     2,255        2,263   

Banco Bradesco SA, 4.50%, 01/12/17 (e) (r)

     1,534        1,622   

Banco Del Estado De Chile, 2.03%, 04/02/15

     1,350        1,371   
     Shares/Par (p)     Value  

Banco Santander Chile, 2.12%, 06/07/18 (i) (r)

     1,850        1,856   

Bank of America Corp.

    

1.35%, 11/21/16

     1,175        1,174   

2.00%, 01/11/18

     1,989        1,985   

1.32%, 03/22/18 (i) (e)

     1,146        1,161   

BNP Paribas SA, 2.40%, 12/12/18

     4,474        4,474   

Capital One Bank USA NA, 2.15%, 11/21/18

     1,620        1,611   

CapitaLand Ltd.

    

2.10%, 11/15/16 (r) (v), SGD

     3,000        2,376   

2.95%, 06/20/22 (q) (v), SGD

     5,250        4,134   

1.95%, 10/17/23 (e) (q) (v), SGD

     2,500        1,951   

CIT Group Inc., 4.75%, 02/15/15 (e) (r)

     1,529        1,584   

Citigroup Inc., 5.95%, (callable at 100 beginning 01/30/23) (i) (m)

     1,105        1,023   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.95%, 11/09/22

     623        603   

Credit Suisse Group Guernsey I Ltd., 7.88%, 02/24/41 (q) (v)

     1,106        1,203   

Dana Gas Sukuk Ltd.

    

7.00%, 10/31/17 (r) (v)

     4,697        5,209   

9.00%, 10/31/17 (r)

     400        388   

9.00%, 10/31/17 (e) (q)

     3,892        3,717   

Deutsche Bank Capital Funding Trust VII, 5.63%, (callable at 100 beginning 01/19/16) (m) (r)

     89        92   

Export-Import Bank of Korea, 1.25%, 11/20/15

     640        642   

Ford Motor Credit Co. LLC

    

1.49%, 05/09/16 (i)

     207        210   

2.38%, 01/16/18

     1,613        1,628   

Forest City Enterprises Inc., 4.25%,
08/15/18 (e) (v)

     1,505        1,674   

General Electric Capital Corp. - Series B 6.25% (callable at 100 beginning
12/15/22) (i) (m)

     2,100        2,168   

5.55%, 05/04/20

     1,000        1,149   

6.38%, 11/15/67 (e) (i)

     462        501   

GNL Quintero SA Term Loan, 1.28%,
06/20/23 (i) (q)

     1,037        867   

HSBC USA Inc., 1.63%, 01/16/18

     1,425        1,405   

Hyundai Capital America, 2.13%, 10/02/17 (r)

     830        824   

Intesa Sanpaolo SpA

    

3.13%, 01/15/16

     2,171        2,212   

3.88%, 01/16/18

     941        963   

JPMorgan Chase & Co, 5.15%, (callable at 100 beginning 05/01/23) (i) (m)

     2,771        2,487   

JPMorgan Chase & Co., 6.13%, 06/27/17

     1,138        1,292   

Lloyds Bank Plc 13.00% (callable at 100 beginning 01/22/29) (m), GBP

     2,575        6,774   

2.30%, 11/27/18

     554        552   

Merrill Lynch & Co. Inc., 6.88%, 04/25/18

     1,342        1,586   

Morgan Stanley, 7.30%, 05/13/19

     901        1,094   

Nordea Bank AB, 3.13%, 03/20/17 (r)

     1,352        1,414   

Numericable Finance & Co. SCA, 12.38%, 02/15/19 (r), EUR

     65        109   

Sheridan Production Partners II LP Term Loan, 4.25, 12/02/20 (i)

     2,887        2,898   

Sheridan Production Partners II LP Term Loan A, 4.25%, 12/02/20 (i)

     402        403   

Sheridan Production Partners II LP Term Loan M, 4.25%, 12/02/20 (i)

     150        150   

Sun Hung Kai Properties Capital Market Ltd., 4.50%, 02/14/22 (q)

     800        803   

UBS AG, 5.88%, 12/20/17

     624        716   

USB Capital IX, 3.50%, (callable at 100 beginning 02/10/14) (i) (m)

     2,109        1,635   

Wharf Finance Ltd., 2.30%, 06/07/14 (v), HKD

     8,000        1,034   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Zeus Cayman II, 0.00%, 08/18/16 (q) (v), JPY

     50,000        827   
   

 

 

  
    80,418   

HEALTH CARE - 0.8%

  

Bio City Development Co. BV, 8.00%,
07/06/18 (c) (d) (f) (q) (v)

     600        510   

BioMarin Pharmaceutical Inc.

    

0.75%, 10/15/18 (v)

     510        540   

1.50%, 10/15/20 (v)

     510        545   

Brookdale Senior Living Inc., 2.75%,
06/15/18 (v)

     205        243   

Capsugel FinanceCo SCA, 9.88%, 08/01/19 (r), EUR

     150        231   

Cubist Pharmaceuticals Inc., 2.50%,
11/01/17 (v)

     927        2,255   

DaVita Inc., 6.38%, 11/01/18 (e)

     354        372   

Gilead Sciences Inc., 1.63%, 05/01/16 (v)

     2,556        8,430   

Mylan Inc.

    

3.75%, 09/15/15 (v)

     1,708        5,600   

2.55%, 03/28/19

     1,233        1,220   

Phibro Animal Health Corp., 9.25%,
07/01/18 (r)

     15        16   

Valeant Pharmaceuticals International Inc. Term Loan B, 3.75%, 06/20/20 (i)

     1,730        1,741   
   

 

 

  
    21,703   

INDUSTRIALS - 0.3%

  

Hutchison Whampoa International 11 Ltd., 3.50%, 01/13/17 (r)

     1,259        1,314   

Inversiones Alsacia SA, 8.00%, 08/18/18 (q)

     1,608        1,166   

Odebrecht Finance Ltd., 5.13%, 06/26/22 (r)

     654        640   

Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (r)

     1,954        2,000   

SanDisk Corp., 0.50%, 10/15/20 (e) (r) (v)

     424        420   

Sina Corp., 1.00%, 12/01/18 (e) (r) (v)

     912        926   

Suzlon Energy Ltd.

    

0.00%,10/11/12 (c) (d) (j) (q) (v)

     483        295   

0.00%,07/25/14 (j) (q) (v)

     933        541   

Viterra Inc., 5.95%, 08/01/20 (r)

     163        173   
   

 

 

  
    7,475   

INFORMATION TECHNOLOGY - 0.4%

  

Apple Inc., 1.00%, 05/03/18

     3,415        3,300   

Salesforce.com Inc., 0.25%,
04/01/18 (e) (r) (v)

     2,912        3,165   

SunGard Data Systems Inc., 7.38%,
11/15/18 (e)

     1,120        1,186   

Take-Two Interactive Software Inc., 1.75%,
12/01/16 (v)

     2,171        2,505   

Xerox Corp., 6.35%, 05/15/18

     911        1,041   
   

 

 

  
    11,197   

MATERIALS - 0.3%

  

Building Materials Corp. of America, 6.88%, 08/15/18 (r)

     267        284   

Constellium Holdco BV Term Loan B

    

6.00%, 02/25/20 (i) (q)

     513        525   

6.50%, 02/25/20 (i) (q), EUR

     513        715   

Crown Cork & Seal Co. Inc., 7.50%, 12/15/96

     68        63   

Essar Steel Algoma Inc. Term Loan, 8.75%, 09/18/14 (i)

     566        569   

FMG Resources August 2006 Pty Ltd.

    

6.00%, 04/01/17 (e) (r)

     451        479   

8.25%, 11/01/19 (e) (r)

     538        604   

6.88%, 04/01/22 (e) (r)

     419        457   

International Paper Co., 7.95%, 06/15/18 (l)

     1,047        1,271   

Texas Industries Inc., 9.25%, 08/15/20 (e)

     665        741   

TFS Corp. Ltd., 11.00%, 07/15/18 (e) (q)

     1,284        1,321   
   

 

 

  
    7,029   
     Shares/Par (p)     Value  

TELECOMMUNICATION SERVICES - 0.9%

  

AT&T Inc., 2.38%, 11/27/18

     3,752        3,753   

Colombia Telecomunicaciones SA ESP, 5.38%, 09/27/22 (e) (r)

     682        638   

Cricket Communications Inc., 7.75%, 10/15/20

     1,498        1,708   

Cricket Communications Inc. Term Loan, 4.75%, 02/22/20 (i)

     1,264        1,268   

Hughes Satellite Systems Corp., 7.63%, 06/15/21

     149        166   

Intelsat Jackson Holdings SA, 7.50%, 04/01/21 (e)

     1,750        1,929   

Telecom Italia Finance SA, 6.13%, 11/15/16 (r) (v), EUR

     2,000        2,870   

Verizon Communications Inc., 1.99%, 09/14/18 (i)

     11,529        12,123   

Ziggo NV, 3.63%, 03/27/20 (r), EUR

     410        564   
   

 

 

  
    25,019   

UTILITIES - 0.0%

  

Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (r)

     20        14   

Obsidian Natural Gas Trust Term Loan, 7.00%, 11/02/15 (i) (q)

     133        134   
   

 

 

  
    148   
   

 

 

  

Total Corporate Bonds and Notes (cost $198,263)

  

     207,545   
   

 

 

  

GOVERNMENT AND AGENCY
OBLIGATIONS - 11.7%

   

GOVERNMENT SECURITIES - 11.7%

  

Sovereign - 5.1%

    

Australia Government Bond, 5.50%, 04/21/23, AUD

     14,284        14,090   

Brazil Government International Bond, 5.88%, 01/15/19 (e)

     473        530   

Brazil Notas do Tesouro Nacional, 10.00%, 01/01/23, BRL

     30,542        10,934   

Canada Government Bond

    

4.00%, 06/01/16, CAD

     2,376        2,388   

1.50%, 03/01/17, CAD

     4,003        3,783   

3.50%, 06/01/20, CAD

     3,043        3,080   

Federal Republic of Germany

    

4.25%, 07/04/17, EUR

     16,458        25,557   

3.50%, 07/04/19, EUR

     12,939        20,108   

Malaysia Government Bond, 5.09%, 04/30/14, MYR

     13,823        4,248   

Mexico Government International Bond, 5.95%, 03/19/19 (e)

     1,246        1,439   

Netherlands Government Bond, 1.00%, 02/24/17 (r)

     2,746        2,747   

Queensland Treasury Corp., 6.00%, 09/14/17 - 06/14/21, AUD

     15,534        15,234   

Turkey Government International Bond, 6.75%, 04/03/18

     3,938        4,277   

United Kingdom Treasury Bond, 1.25%, 07/22/18, GBP

     18,843        30,343   

Vnesheconombank Via VEB Finance Plc, 6.03%, 07/05/22 (r)

     500        510   
   

 

 

  
    139,268   

Treasury Inflation Index Securities - 0.3%

  

Brazil Inflation Indexed Notas do Tesouro Nacional, 6.00%, 08/15/22 - 08/15/24 (s), BRL

     9,561        9,532   
   

 

 

  
    9,532   

U.S. Treasury Securities - 6.3%

    

U.S. Treasury Note

    

0.25%, 03/31/15

     14,199        14,206   

2.25%, 03/31/16

     18,769        19,518   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

0.63%, 09/30/17

     11,301        11,063   

1.00%, 05/31/18

     21,836        21,352   

1.38%, 07/31/18 - 09/30/18

     27,496        27,216   

1.25%, 10/31/18 - 11/30/18

     48,554        47,547   

1.50%, 12/31/18

     11,293        11,160   

2.00%, 11/15/21

     3,424        3,263   

1.75%, 05/15/22

     4,030        3,720   

2.50%, 08/15/23

     11,357        10,886   

2.75%, 11/15/23

     2,936        2,867   
   

 

 

  
    172,798   
   

 

 

  

Total Government and Agency Obligations (cost $330,657)

       321,598   
   

 

 

  

SHORT TERM INVESTMENTS - 13.8%

  

Securities Lending Collateral - 2.3%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     62,724        62,724   

Treasury Securities - 11.5%

    

Japan Treasury Bill

    

0.00%, 01/15/14, JPY

     250,000        2,374   

0.00%, 01/27/14, JPY

     830,000        7,881   

0.00%, 02/10/14, JPY

     710,000        6,742   

0.00%, 03/17/14, JPY

     560,000        5,317   

Mexico Cetes

    

0.30%, 01/09/14, MXN

     3,365        2,575   

0.30%, 02/06/14, MXN

     4,058        3,097   

0.26%, 03/20/14, MXN

     5,611        4,265   

0.26%, 04/03/14, MXN

     4,204        3,191   

0.27%, 04/30/14, MXN

     5,996        4,540   

0.26%, 05/15/14, MXN

     2,387        1,804   

0.26%, 05/29/14, MXN

     1,411        1,065   

U.S. Treasury Bill

    

0.05%, 01/02/14

   $ 5,000        5,000   

0.04%, 01/16/14

         41,550        41,549   

0.03%, 01/30/14

     12,900        12,900   

0.09%, 02/06/14

     43,100        43,099   

0.03%, 02/13/14

     22,400        22,399   

0.03%, 02/20/14

     10,400        10,400   

0.08%, 04/03/14

     13,200        13,198   

0.07%, 04/10/14

     16,000        15,998   

0.08%, 04/17/14

     7,200        7,199   

0.06%, 05/01/14

     65,800        65,788   

0.07%, 05/08/14

     7,200        7,199   

0.06%, 05/15/14

     20,000        19,996   

0.09%, 06/19/14

     9,300        9,296   
   

 

 

  
    316,872   
   

 

 

  

Total Short Term Investments (cost $380,960)

  

     379,596   
   

 

 

  

Total Investments - 101.0% (cost $2,505,805)

  

     2,775,395   
   

 

 

  

Other Assets and Liabilities, Net - (1.0%)

  

     (27,343 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 2,748,052   
   

 

 

  

JNL/Capital Guardian Global Balanced Fund

  

COMMON STOCKS - 66.5%

  

CONSUMER DISCRETIONARY - 10.7%

  

Amazon.com Inc. (c)

     1      $ 558   

Arcos Dorados Holdings Inc. - Class A (e)

     113        1,367   

Bayerische Motoren Werke AG

     17        1,960   

Carnival Corp.

     18        715   

Cie Financiere Richemont SA

     14        1,364   

Coach Inc.

     14        786   
     Shares/Par (p)     Value  

Comcast Corp. - Class A

     10        535   

Daimler AG

     53        4,629   

Darden Restaurants Inc. (e)

     12        669   

Delphi Automotive Plc

     32        1,912   

Denso Corp.

     26        1,384   

Discovery Communications Inc. - Class A (c)

     5        434   

DreamWorks Animation SKG Inc. - Class A (c)

     14        511   

Electrolux AB

     44        1,155   

Exedy Corp.

     17        495   

Fast Retailing Co. Ltd.

     1        496   

Gannett Co. Inc.

     31        908   

GKN Plc

     20        124   

Grupo Sanborns SA de CV - Class B-1

     949        2,011   

Home Depot Inc.

     19        1,589   

Hyundai Mobis

     10        2,857   

Inchcape Plc

     136        1,385   

Inditex SA

     1        166   

JUMBO SA (c)

     221        3,519   

Lennar Corp. - Class A

     36        1,416   

Li & Fung Ltd. (e)

     578        747   

Lululemon Athletica Inc. (c) (e)

     11        626   

Marks & Spencer Group Plc

     97        696   

Nike Inc. - Class B

     5        417   

Rinnai Corp.

     15        1,145   

Ross Stores Inc.

     8        570   

SES SA - FDR - Class A

     72        2,317   

Shimano Inc.

     12        1,039   

Signet Jewelers Ltd.

     26        2,030   

Sirius XM Holdings Inc (c)

     851        2,970   

Starbucks Corp.

     29        2,250   

Stella International Holdings Ltd.

     92        233   

Swatch Group AG

     1        57   

Swatch Group AG - Class B

     1        345   

Tiffany & Co.

     29        2,709   

Wynn Macau Ltd.

     141        642   
   

 

 

  
    51,738   

CONSUMER STAPLES - 3.2%

  

Ajinomoto Co. Inc.

     24        350   

China Mengniu Dairy Co. Ltd.

     96        457   

Coca-Cola Amatil Ltd.

     53        568   

Glanbia Plc

     111        1,725   

Hypermarcas SA

     38        282   

Imperial Tobacco Group Plc

     8        328   

Japan Tobacco Inc.

     12        384   

LG Household & Health Care Ltd.

     2        1,007   

Nestle SA

     48        3,503   

Pernod-Ricard SA

     29        3,318   

Shoprite Holdings Ltd.

     35        541   

Unicharm Corp.

     13        765   

Unilever NV - CVA

     35        1,392   

Unilever Plc

     9        379   

Woolworths Ltd.

     12        357   

Wumart Stores Inc. - Class H

     252        409   
   

 

 

  
    15,765   

ENERGY - 2.5%

  

Cameco Corp. (e)

     58        1,197   

Cenovus Energy Inc.

     22        627   

Chevron Corp.

     11        1,412   

Cobalt International Energy Inc. (c)

     54        888   

Enbridge Inc.

     19        813   

Ensco Plc - Class A

     5        292   

Halliburton Co.

     12        609   

Lukoil OAO - ADR

     24        1,496   

Noble Energy Inc.

     28        1,893   

Oil Search Ltd.

     126        916   

Schlumberger Ltd.

     9        834   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SeaDrill Ltd.

     11        434   

Tullow Oil Plc

     44        627   
   

 

 

  
    12,038   

FINANCIALS - 13.8%

  

ACE Ltd.

     35        3,624   

AFLAC Inc.

     7        494   

AIA Group Ltd. (q)

     1,282        6,451   

American Tower Corp.

     39        3,121   

Aon Plc - Class A

     23        1,921   

Banco Bradesco SA - ADR

     115        1,443   

Bangkok Bank PCL - NVDR

     124        675   

Bank of China Ltd. - Class H

     634        293   

Barclays Plc

     312        1,412   

BB&T Corp.

     30        1,105   

BlackRock Inc.

     2        570   

BNP Paribas

     30        2,372   

CaixaBank SA

     370        1,929   

China Pacific Insurance Group Co. Ltd. (e)

     547        2,151   

China Resources Land Ltd. (e)

     342        851   

CME Group Inc. - Class A

     20        1,553   

DBS Group Holdings Ltd.

     32        434   

Deutsche Wohnen AG

     80        1,542   

Fairfax Financial Holdings Ltd.

     4        1,637   

Goldman Sachs Group Inc.

     17        2,925   

Grupo BTG Pactual

     135        1,567   

Grupo Financiero Inbursa SAB de CV

     219        619   

HSBC Holdings Plc

     23        253   

HSBC Holdings Plc

     30        325   

Industrial & Commercial Bank of China Ltd. - Class H

     1,588        1,077   

IntercontinentalExchange Group Inc

     12        2,789   

JPMorgan Chase & Co.

     12        713   

Kotak Mahindra Bank Ltd.

     23        274   

Lloyds Banking Group Plc (c)

     789        1,035   

Marsh & McLennan Cos. Inc.

     87        4,198   

ORIX Corp.

     39        691   

Partners Group Holding AG

     8        2,096   

PICC Property & Casualty Co. Ltd. - Class H

     2,071        3,080   

Ping an Insurance Group Co. of China Ltd. - Class H

     113        1,011   

Sampo Oyj - Class A

     67        3,303   

Sberbank of Russia - ADR

     239        3,016   

Sberbank of Russia - GDR (c) (q)

     51        628   

Standard Chartered Plc

     39        870   

Sumitomo Mitsui Financial Group Inc.

     27        1,399   

Svenska Handelsbanken AB - Class A

     14        705   

Wharf Holdings Ltd.

     120        919   
   

 

 

  
    67,071   

HEALTH CARE - 8.4%

  

AbbVie Inc.

     9        480   

Allergan Inc.

     4        389   

Baxter International Inc.

     7        459   

Bayer AG

     34        4,770   

Bristol-Myers Squibb Co.

     114        6,080   

Cerner Corp. (c)

     23        1,260   

Express Scripts Holding Co. (c)

     37        2,578   

Gilead Sciences Inc. (c)

     151        11,318   

Humana Inc.

     5        464   

Novo-Nordisk A/S - Class B

     13        2,468   

Quest Diagnostics Inc. (e)

     35        1,879   

Roche Holding AG

     12        3,293   

Seattle Genetics Inc. (c) (e)

     79        3,159   

Shandong Weigao Group Medical Polymer Co. Ltd. - Class H

     500        677   

Ship Healthcare Holdings Inc.

     21        812   
     Shares/Par (p)     Value  

Sino Biopharmaceutical

     248        197   

Sysmex Corp.

     6        372   
   

 

 

  
    40,655   

INDUSTRIALS - 11.0%

  

Assa Abloy AB - Class B

     53        2,805   

Beijing Enterprises Holdings Ltd.

     418        4,152   

Bilfinger SE

     18        1,975   

Boeing Co.

     28        3,876   

Caterpillar Inc.

     42        3,787   

CCR SA

     32        239   

Danaher Corp.

     40        3,111   

Eaton Corp. Plc

     85        6,478   

Fanuc Ltd.

     8        1,411   

Fujitec Co. Ltd.

     45        585   

Hexcel Corp. (c)

     92        4,111   

IDEX Corp.

     14        1,063   

IJM Corp. Bhd

     197        355   

Impulsora del Desarrollo y El Empleo en America Latina SAB de CV -
Class B-1 (c) (e)

     252        578   

Iron Mountain Inc.

     25        750   

Jardine Matheson Holdings Ltd.

     7        356   

Kawasaki Heavy Industries Ltd.

     467        1,961   

Kubota Corp.

     88        1,460   

Larsen & Toubro Ltd.

     49        845   

Marubeni Corp.

     214        1,541   

Meggitt Plc

     218        1,912   

Nielsen Holdings NV

     50        2,276   

Norfolk Southern Corp.

     33        3,036   

Schneider Electric SA

     30        2,609   

SMC Corp.

     4        1,060   

Waste Connections Inc.

     21        921   
   

 

 

  
    53,253   

INFORMATION TECHNOLOGY - 10.0%

  

Accenture Plc - Class A

     18        1,439   

Apple Inc.

     6        3,423   

ASML Holding NV

     51        4,816   

ASML Holding NV - ADR

     2        197   

Avago Technologies Ltd.

     30        1,566   

Broadcom Corp. - Class A

     73        2,158   

Daum Communications Corp.

     13        1,012   

Delta Electronics Inc.

     96        550   

Freescale Semiconductor Ltd. (c)

     29        469   

Gemalto NV (e)

     24        2,692   

Genpact Ltd. (c)

     170        3,116   

Google Inc. - Class A (c)

     4        4,416   

Hamamatsu Photonics KK

     27        1,076   

Infosys Technologies Ltd. - ADR

     2        130   

International Business Machines Corp.

     3        525   

Jabil Circuit Inc.

     65        1,141   

Keyence Corp.

     6        2,682   

Murata Manufacturing Co. Ltd.

     12        1,040   

Oracle Corp.

     95        3,650   

Oracle Corp. Japan

     27        983   

QUALCOMM Inc.

     9        639   

Samsung Electronics Co. Ltd.

     1        1,766   

Samsung Electronics Co. Ltd. - GDR

     —        196   

Texas Instruments Inc.

     38        1,686   

Trend Micro Inc. (e)

     14        501   

VeriSign Inc. (c)

     36        2,146   

Visa Inc. - Class A

     2        356   

Yahoo! Japan Corp.

     287        1,599   

Yandex NV - Class A (c)

     60        2,606   
   

 

 

  
    48,576   

MATERIALS - 3.0%

  

Air Products & Chemicals Inc.

     7        749   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Alacer Gold Corp.

     7        15   

Allegheny Technologies Inc.

     12        438   

Cliffs Natural Resources Inc. (e)

     14        359   

First Quantum Minerals Ltd.

     71        1,288   

Glencore International Plc

     119        617   

Holcim Ltd.

     21        1,595   

Iluka Resources Ltd. (e)

     27        209   

Koninklijke Philips NV

     31        2,411   

Monsanto Co.

     13        1,480   

Mosaic Co.

     40        1,877   

Rio Tinto Plc

     6        328   

Syngenta AG

     6        2,337   

Wacker Chemie AG

     10        1,074   
   

 

 

  
      14,777   

TELECOMMUNICATION SERVICES - 3.6%

  

Bharti Airtel Ltd.

     363        1,939   

Deutsche Telekom AG

     124        2,143   

HKT Trust (q)

     1,091        1,079   

KDDI Corp.

     33        2,033   

Oi SA

     59        90   

Oi SA - ADR

     19        31   

Oi SA - ADR (e)

     267        424   

Rostelecom OJSC - ADR

     38        789   

Singapore Telecommunications Ltd.

     496        1,442   

SK Telecom Co. Ltd.

     11        2,512   

SoftBank Corp.

     46        4,028   

Vodafone Group Plc

     121        478   

Ziggo NV

     6        276   
   

 

 

  
      17,264   

UTILITIES - 0.3%

  

Cheung Kong Infrastructure Holdings Ltd.

     127        803   

Enersis SA - ADR

     61        917   
   

 

 

  
      1,720   
   

 

 

  

Total Common Stocks (cost $248,929)

  

     322,857   
   

 

 

  

PREFERRED STOCKS - 0.1%

  

INFORMATION TECHNOLOGY - 0.0%

  

ASAT Holdings Ltd. (f)

     7        —   

TELECOMMUNICATION SERVICES - 0.1%

  

Oi SA

     183        278   
   

 

 

  

Total Preferred Stocks (cost $1,045)

  

     278   
   

 

 

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.4%

   

Appalachian Consumer Rate Relief Funding LLC, 3.77%, 08/01/31

   $ 100        97   

Avis Budget Rental Car Funding AESOP LLC, 2.97%, 02/20/20 (q)

     100        102   

Banc of America Commercial Mortgage Trust REMIC

    

5.89%, 07/10/44 (i)

     35        38   

6.21%, 02/10/51 (i)

     70        80   

Bear Stearns Commercial Mortgage Securities Trust REMIC, 5.71%, 09/11/42 (i)

     20        23   

Citigroup Commercial Mortgage Trust REMIC, 4.37%, 09/10/46 (i)

     65        67   

COMM Mortgage Trust REMIC, 5.29%, 12/10/46

     25        27   

Commercial Mortgage Pass-Through Certificates REMIC

    

4.21%, 08/10/46

     88        90   

5.61%, 01/15/49 (i)

     45        48   

Commercial Mortgage Trust REMIC, 5.87%, 12/10/49 (i)

     25        27   
     Shares/Par (p)     Value  

Credit Suisse Commercial Mortgage Trust REMIC, 5.68%, 06/15/39 (i)

     45        49   

Credit Suisse Mortgage Capital Certificates REMIC, 5.70%, 09/15/40 (i)

     50        55   

Greenwich Capital Commercial Funding Corp. REMIC, 5.44%, 03/10/39

     50        55   

Hilton USA Trust REMIC, 2.66%, 11/05/30 (q)

     200        198   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

5.81%, 06/12/43 (i)

     28        30   

5.55%, 05/12/45

     202        222   

5.72%, 02/15/51

     25        27   

LB Commercial Mortgage Trust REMIC, 5.84%, 07/15/44 (i)

     20        22   

LB-UBS Commercial Mortgage Trust REMIC

    

5.64%, 03/15/39 (i)

     66        72   

5.43%, 02/15/40

     58        64   

6.16%, 09/15/45 (i)

     25        29   

Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC, 5.89%, 08/12/49 (i)

     25        28   

Morgan Stanley Capital I Trust REMIC

    

5.82%, 06/11/42 (i)

     22        25   

5.32%, 12/15/43

     167        182   

Wachovia Bank Commercial Mortgage Trust REMIC

    

5.75%, 07/15/45 (i)

     52        57   

5.50%, 04/15/47

     25        28   

5.59%, 04/15/47 (i)

     20        22   

5.73%, 06/15/49 (i)

     50        55   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $1,841)

   

     1,819   
   

 

 

  

CORPORATE BONDS AND NOTES - 5.7%

  

CONSUMER DISCRETIONARY - 0.5%

  

Altegrity Inc., 10.50%, 11/01/15 (q)

     200        178   

Carnival Corp., 3.95%, 10/15/20

     55        55   

Comcast Corp., 5.88%, 02/15/18

     250        287   

DISH DBS Corp., 4.25%, 04/01/18

     75        77   

Dollar General Corp.

    

1.88%, 04/15/18

     50        48   

3.25%, 04/15/23

     220        202   

Glencore Funding LLC, 4.13%, 05/30/23 (q)

     30        28   

Hilton Worldwide Finance LLC, 5.63%, 10/15/21 (e) (q)

     125        130   

MGM Resorts International, 5.88%, 02/27/14

     350        352   

Michaels Stores Inc., 7.75%, 11/01/18

     275        298   

NBCUniversal Enterprise Inc., 1.97%,
04/15/19 (q)

     350        342   

News America Inc., 4.00%, 10/01/23 (q)

     105        104   

Thomson Reuters Corp.

    

1.30%, 02/23/17

     35        35   

4.30%, 11/23/23

     110        110   

Time Warner Inc., 4.05%, 12/15/23

     125        124   
   

 

 

  
      2,370   

CONSUMER STAPLES - 0.4%

  

Anheuser-Busch InBev NV, 8.63%, 01/30/17, EUR

     250        421   

Coca-Cola Co., 3.20%, 11/01/23

     75        72   

ConAgra Foods Inc.

    

1.30%, 01/25/16

     30        30   

3.20%, 01/25/23

     30        28   

CVS Caremark Corp., 4.00%, 12/05/23

     100        100   

Imperial Tobacco Finance Plc, 8.38%, 02/17/16, EUR

     250        396   

Reynolds American Inc. 4.85%, 09/15/23 (e)

     35        36   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

6.15%, 09/15/43

     15        16   

Reynolds Group Issuer Inc., 7.88%, 08/15/19

     325        359   

Tesco Plc, 5.50%, 01/13/33, GBP

     300        516   
   

 

 

  
      1,974   

ENERGY - 0.5%

  

CenterPoint Energy Resources Corp., 4.50%, 01/15/21

     60        64   

Chevron Corp., 2.36%, 12/05/22

     70        64   

Devon Energy Corp., 3.25%, 05/15/22

     35        33   

Enbridge Energy Partners LP, 5.20%, 03/15/20

     120        129   

Kinder Morgan Energy Partners LP

    

6.00%, 02/01/17

     200        224   

3.50%, 09/01/23

     50        46   

4.15%, 02/01/24

     40        39   

PDC Energy Inc., 7.75%, 10/15/22

     100        108   

Petroleos Mexicanos

    

3.50%, 07/18/18 (e)

     35        36   

8.00%, 05/03/19

     100        121   

6.50%, 06/02/41

     55        57   

Schlumberger Investment SA, 3.65%, 12/01/23

     35        35   

Spectra Energy Partners LP

    

2.95%, 09/25/18

     35        35   

4.75%, 03/15/24

     30        31   

Statoil ASA

    

1.20%, 01/17/18

     35        34   

5.25%, 04/15/19

     30        34   

3.70%, 03/01/24

     75        74   

Total Capital Canada Ltd., 2.75%, 07/15/23 (e)

     20        18   

Total Capital International SA, 1.55%, 06/28/17

     40        40   

TransCanada Pipelines Ltd., 6.50%, 08/15/18 (e)

     475        559   

Transocean Inc., 5.05%, 12/15/16 (l)

     200        221   

Transportadora de Gas del Peru SA,
4.25%, 04/30/28 (e) (q)

     200        175   

Williams Partners LP, 5.25%, 03/15/20

     350        382   
   

 

 

  
      2,559   

FINANCIALS - 2.2%

  

Allstate Corp., 3.15%, 06/15/23

     120        114   

American Campus Communities Operating Partnership LP, 3.75%, 04/15/23

     50        46   

American International Group Inc.,
4.13%, 02/15/24

     110        109   

AvalonBay Communities Inc., 2.85%, 03/15/23

     35        31   

Bank of America Corp., 2.60%, 01/15/19

     330        331   

Bank of New York Mellon Corp.,
3.95%, 11/18/25

     125        124   

Barclays Bank Plc, 6.00%, 01/14/21, EUR

     300        467   

Berkshire Hathaway Finance Corp.

    

2.00%, 08/15/18

     25        25   

3.00%, 05/15/22

     275        263   

BNP Paribas SA, 5.00%, 01/15/21

     350        383   

CIT Group Inc., 4.25%, 08/15/17 (e)

     275        286   

Citigroup Inc., 3.88%, 10/25/23

     70        69   

CME Group Inc., 5.30%, 09/15/43

     15        16   

Corporate Office Properties LP,
3.60%, 05/15/23

     50        45   

Developers Diversified Realty Corp.,
4.75%, 04/15/18

     40        43   

ERP Operating LP

    

4.75%, 07/15/20

     275        296   

4.63%, 12/15/21

     40        42   

European Investment Bank, 4.63%,
04/15/20, EUR

     1,050        1,705   

Ford Motor Credit Co. LLC, 2.38%, 01/16/18

     400        404   

General Electric Capital Corp.

    

1.63%, 04/02/18 (e)

     200        198   
     Shares/Par (p)     Value  

3.10%, 01/09/23

     40        38   

General Electric Capital European Funding,
5.38%, 01/23/20, EUR

     500        807   

Genworth Holdings Inc., 4.90%, 08/15/23

     30        30   

Goldman Sachs Group Inc.

    

5.25%, 07/27/21

     200        219   

3.63%, 01/22/23 (e)

     570        551   

Hospitality Properties Trust, 4.50%, 06/15/23

     30        29   

IntercontinentalExchange Group Inc.,
4.00%, 10/15/23 (e)

     40        40   

JPMorgan Chase & Co.

    

1.63%, 05/15/18

     40        39   

3.25%, 09/23/22

     180        172   

3.20%, 01/25/23

     180        170   

Lloyds Bank Plc, 6.50%, 03/24/20, EUR

     350        558   

Merrill Lynch & Co. Inc., 4.63%, 09/14/18, EUR

     250        372   

PNC Financial Services Group Inc., 2.85%, 11/09/22 (k)

     80        74   

ProLogis LP

    

2.75%, 02/15/19

     335        333   

3.35%, 02/01/21

     145        141   

Realogy Group LLC, 7.88%,
02/15/19 (q)

     275        302   

Royal Bank of Canada, 1.50%,
01/16/18 (e)

     50        49   

Royal Bank of Scotland Plc

    

4.38%, 07/13/16, EUR

     250        376   

5.50%, 03/23/20, EUR

     125        200   

RSA Insurance Group Plc, 8.50%, (callable at 100 beginning 12/08/14) (m), GBP

     100        171   

Standard Chartered Plc

    

3.85%, 04/27/15 (q)

     225        234   

3.95%, 01/11/23 (q)

     300        278   

Toys R Us Property Co. II LLC,
8.50%, 12/01/17 (e)

     200        206   

Westfield Europe Finance Plc.,
5.50%, 06/27/17, GBP

     50        92   
   

 

 

  
      10,478   

HEALTH CARE - 0.6%

  

AbbVie Inc.

    

2.90%, 11/06/22

     50        47   

4.40%, 11/06/42

     30        28   

Baxter International Inc.

    

1.85%, 06/15/18

     140        138   

3.20%, 06/15/23

     175        167   

HCA Inc., 6.38%, 01/15/15

     500        525   

Kinetic Concepts Inc., 12.50%,
11/01/19 (e)

     250        281   

Merck & Co. Inc.

    

5.38%, 10/01/14, EUR

     350        499   

6.00%, 09/15/17

     250        289   

2.80%, 05/18/23

     100        92   

Patheon Inc. Term Loan B, 7.25%, 12/14/18 (i)

     322        324   

Teva Pharmaceutical Finance IV LLC,
2.25%, 03/18/20

     65        62   

UnitedHealth Group Inc., 2.88%, 03/15/23

     40        37   

Valeant Pharmaceuticals International Inc., 6.38%, 10/15/20 (q)

     300        316   
   

 

 

  
      2,805   

INDUSTRIALS - 0.2%

  

Burlington Northern Santa Fe LLC,
3.45%, 09/15/21

     130        128   

CEVA Group Plc, 8.38%, 12/01/17 (q)

     52        55   

Norfolk Southern Corp., 3.25%, 12/01/21

     225        218   

TransDigm Inc., 7.75%, 12/15/18

     200        214   

Union Pacific Corp., 2.75%, 04/15/23

     150        137   

United Technologies Corp., 1.80%, 06/01/17

     70        71   

Volvo AB, 5.00%, 05/31/17, EUR

     150        230   
   

 

 

  
      1,053   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

INFORMATION TECHNOLOGY - 0.1%

  

First Data Corp.

    

8.25%, 01/15/21 (e) (q)

     350        372   

12.63%, 01/15/21

     201        236   

8.75%, 01/15/22 (q) (y)

     100        107   
   

 

 

  
      715   

MATERIALS - 0.2%

  

ArcelorMittal, 6.75%, 02/25/22 (e) (l)

     150        163   

BHP Billiton Finance USA Ltd.

    

3.85%, 09/30/23

     70        70   

5.00%, 09/30/43

     20        20   

Cemex Espana Luxembourg, 9.25%, 05/12/20 (q)

     95        104   

Cemex Finance LLC, 9.38%,
10/12/22 (q)

     200        226   

FMG Resources August 2006 Pty Ltd., 6.88%, 04/01/22 (e) (q)

     125        136   

Inmet Mining Corp., 8.75%,
06/01/20 (q)

     175        190   

Rio Tinto Finance USA Plc, 2.88%, 08/21/22

     50        47   
   

 

 

  
      956   

TELECOMMUNICATION SERVICES - 0.5%

  

AT&T Inc., 2.95%, 05/15/16

     300        313   

Clearwire Communications LLC, 14.75%, 12/01/16 (q)

     250        341   

Cricket Communications Inc.,
7.75%, 10/15/20

     125        142   

Frontier Communications Corp.,
9.25%, 07/01/21

     375        432   

MetroPCS Wireless Inc., 6.63%,
04/01/23 (e) (q)

     125        129   

NII Capital Corp., 7.63%,
04/01/21 (e)

     175        72   

Sprint Nextel Corp., 7.00%,
08/15/20 (e)

     100        108   

Telecom Italia SpA, 8.25%,
03/21/16, EUR

     150        232   

Verizon Communications Inc.

    

5.15%, 09/15/23

     395        423   

6.55%, 09/15/43

     125        146   
   

 

 

  
      2,338   

UTILITIES - 0.5%

  

Abu Dhabi National Energy Co., 6.17%, 10/25/17

     650        741   

AES Corp.

    

7.75%, 10/15/15 (e)

     125        138   

8.00%, 10/15/17 (e)

     200        235   

American Electric Power Co. Inc., 1.65%, 12/15/17

     80        78   

CMS Energy Corp., 5.05%, 03/15/22 (e)

     60        65   

Enel Finance International NV, 3.88%, 10/07/14 (q)

     300        307   

Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14 (q)

     250        255   

Jersey Central Power & Light Co.,
5.63%, 05/01/16

     95        103   

MidAmerican Energy Holdings Co., 3.75%, 11/15/23 (q)

     190        185   

National Grid Plc, 6.30%, 08/01/16

     100        112   

Pacific Gas & Electric Co., 3.85%, 11/15/23

     50        50   

Pennsylvania Electric Co., 6.05%, 09/01/17

     25        28   

Progress Energy Inc.

    

7.05%, 03/15/19

     50        60   

7.75%, 03/01/31

     20        26   

Southaven Combined Cycle Generation LLC, 3.85%, 08/15/33

     50        48   

Veolia Environnement, 6.00%,
06/01/18 (e)

     100        113   
   

 

 

  
      2,544   
   

 

 

  

Total Corporate Bonds and Notes (cost $26,836)

  

     27,792   
   

 

 

  
     Shares/Par (p)     Value  

GOVERNMENT AND AGENCY
OBLIGATIONS - 22.7%

   

GOVERNMENT SECURITIES - 19.6%

  

Federal Home Loan Bank - 0.2% (w)

    

Federal Home Loan Bank

    

0.63%, 12/28/16

     800        796   

3.38%, 09/08/23

     230        227   
   

 

 

  
      1,023   

Federal Home Loan Mortgage Corp. - 0.5% (w)

  

Federal Home Loan Mortgage Corp., 1.75%, 09/10/15

     2,350        2,405   

Federal National Mortgage Association - 0.0% (w)

  

Federal National Mortgage Association, 7.13%, 01/15/30

     50        68   

Municipals - 0.1%

    

Massachusetts Housing Finance Agency, 4.00%, 12/01/43

     25        27   

Minnesota Housing Finance Agency,
2.35%, 03/01/43

     48        43   

Nebraska Investment Finance Authority

    

3.00%, 03/01/43

     45        46   

4.50%, 09/01/43

     50        53   

State of California

    

7.55%, 04/01/39

     100        129   

7.60%, 11/01/40

     65        86   

5.00%, 11/01/43

     50        50   

Tennessee Housing Development Agency, 4.00%, 07/01/43

     25        27   

Utility Debt Securitization Authority,
2.04%, 06/15/21

     100        99   
   

 

 

  
      560   

Sovereign - 15.1%

    

Australia Government Bond

    

5.25%, 03/15/19, AUD

     250        242   

5.50%, 04/21/23, AUD

     350        345   

Austria Government Bond

    

4.00%, 09/15/16 (q), EUR

     140        211   

3.65%, 04/20/22 (q), EUR

     525        812   

Belgium Government Bond

    

3.00%, 09/28/19, EUR

     100        148   

2.25%, 06/22/23, EUR

     875        1,173   

Bermuda Government International Bond

    

4.14%, 01/03/23 (q)

     200        191   

4.85%, 02/06/24 (q)

     200        200   

Brazil Government International Bond

    

11.00%, 08/17/40

     250        284   

5.63%, 01/07/41 (e)

     175        170   

Brazil Letras do Tesouro Nacional,
10.00%, 01/01/18, BRL

     1,720        672   

Bundesobligation

    

2.25%, 04/11/14, EUR

     80        111   

2.00%, 02/26/16, EUR

     515        735   

Canada Government Bond

    

1.25%, 03/01/18, CAD

     446        410   

4.25%, 06/01/18, CAD

     550        570   

3.25%, 06/01/21, CAD

     300        298   

Chile Government International Bond,
3.88%, 08/05/20

     150        156   

Colombia Government International Bond

    

12.00%, 10/22/15, COP

     231,000        135   

4.38%, 07/12/21

     200        207   

9.85%, 06/28/27, COP

     120,000        78   

Colombia TES

    

5.00%, 11/21/18, COP

     940,700        467   

7.00%, 05/04/22, COP

     488,100        255   

6.00%, 04/28/28, COP

     585,900        271   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Croatia Government International Bond, 6.75%, 11/05/19 (q)

     125        135   

Federal Republic of Germany

    

3.75%, 01/04/17, EUR

     240        363   

3.00%, 07/04/20, EUR

     100        152   

2.25%, 09/04/21, EUR

     80        116   

1.50%, 02/15/23, EUR

     195        260   

4.00%, 01/04/37, EUR

     180        300   

3.25%, 07/04/42, EUR

     480        725   

Finland Government Bond

    

3.88%, 09/15/17 (q), EUR

     550        843   

3.50%, 04/15/21 (q), EUR

     500        771   

France Government Bond

    

0.25%, 11/25/15, EUR

     520        715   

3.25%, 05/25/45, EUR

     370        489   

Hashemite Kingdom of Jordan Government Bond, 2.50%, 10/30/20

     200        196   

Hellenic Republic Government Bond, 2.00%, 02/24/23 - 02/24/42 (k), EUR

     400        307   

Hungary Government International Bond

    

6.25%, 01/29/20

     270        291   

7.63%, 03/29/41

     128        140   

Indonesia Government International Bond

    

7.75%, 01/17/38

     100        113   

7.75%, 01/17/38 (q)

     150        169   

Ireland Government Bond

    

5.50%, 10/18/17, EUR

     70        109   

4.50%, 10/18/18 - 04/18/20, EUR

     835        1,261   

3.90%, 03/20/23, EUR

     200        284   

5.40%, 03/13/25, EUR

     150        235   

Israel Government Bond

    

5.50%, 02/28/17, ILS

     1,260        422   

4.25%, 03/31/23, ILS

     1,760        546   

Israel Government International Bond, 3.15%, 06/30/23

     200        191   

Italy Buoni Poliennali Del Tesoro

    

4.75%, 06/01/17, EUR

     230        343   

3.50%, 06/01/18, EUR

     230        329   

4.50%, 03/01/19 - 03/01/24, EUR

     1,350        1,974   

Japan Government Bond

    

0.10%, 06/15/14, JPY

     121,350        1,153   

1.50%, 09/20/14, JPY

     120,000        1,151   

1.70%, 09/20/16 - 09/20/17, JPY

     260,000        2,602   

1.00%, 09/20/20, JPY

     30,000        296   

1.20%, 12/20/20 - 06/20/21, JPY

     231,350        2,306   

2.00%, 12/20/25 - 03/20/42, JPY

     130,000        1,373   

1.60%, 03/20/32, JPY

     134,200        1,306   

2.30%, 12/20/35, JPY

     85,000        905   

Korea Treasury Bond

    

3.75%, 06/10/22, KRW

     456,650        439   

3.00%, 03/10/23, KRW

     661,250        599   

Lithuania Government International Bond, 6.63%, 02/01/22

     200        234   

Malaysia Government Bond

    

4.24%, 02/07/18, MYR

     750        233   

3.26%, 03/01/18, MYR

     1,000        300   

3.48%, 03/15/23, MYR

     700        203   

Mexico Bonos

    

8.00%, 12/17/15 - 06/11/20, MXN

     8,000        670   

7.75%, 12/14/17, MXN

     6,200        521   

6.50%, 06/10/21, MXN

     17,500        1,375   

10.00%, 12/05/24 - 11/20/36, MXN

     22,500        2,198   

8.50%, 11/18/38, MXN

     930        79   

Mexico Government International Bond

    

5.13%, 01/15/20 (e)

     350        388   

3.63%, 03/15/22

     156        156   

4.00%, 10/02/23

     110        109   
     Shares/Par (p)     Value  

Morocco Government International Bond, 4.25%, 12/11/22

     250        231   

Netherlands Government Bond, 4.00%, 07/15/19, EUR

     600        944   

Norway Government Bond

    

4.25%, 05/19/17, NOK

     6,400        1,137   

4.50%, 05/22/19, NOK

     1,630        297   

Overseas Private Investment Corp.

    

0.00%,11/18/15 (j)

     33        33   

3.49%, 12/20/29 (f)

     25        24   

Panama Government International Bond, 8.88%, 09/30/27

     75        100   

Peru Government International Bond

    

7.84%, 08/12/20 (q), PEN

     550        224   

8.75%, 11/21/33 (e)

     50        71   

Philippine Government International Bond, 9.88%, 01/15/19

     200        264   

Poland Government Bond

    

5.75%, 04/25/14 - 09/23/22, PLN

     9,290        3,340   

5.25%, 10/25/17 - 10/25/20, PLN

     5,815        2,056   

Poland Government International Bond

    

5.13%, 04/21/21

     215        234   

5.00%, 03/23/22

     150        160   

Portugal Obrigacoes do Tesouro OT

    

3.85%, 04/15/21 (q), EUR

     20        24   

4.95%, 10/25/23 (q), EUR

     60        76   

5.65%, 02/15/24 (q), EUR

     20        26   

Queensland Treasury Corp.

    

6.00%, 10/14/15, AUD

     325        306   

5.75%, 07/22/24, AUD

     885        844   

Republic of Belarus, 8.95%, 01/26/18

     150        150   

Republic of Deutschland, 4.25%, 07/04/18, EUR

     600        951   

Republic of Iraq, 5.80%, 01/15/28

     350        298   

Romania Government International Bond, 6.75%, 02/07/22 (q)

     100        114   

Russia Government Bond

    

6.20%, 01/31/18, RUB

     26,650        789   

7.50%, 03/15/18, RUB

     2,900        90   

Russia Government International Bond

    

5.00%, 04/29/20

     200        214   

7.50%, 03/31/30 (k) (q)

     232        271   

Singapore Government Bond, 2.25%, 06/01/21, SGD

     450        355   

Slovenia Government International Bond, 5.85%, 05/10/23 (e) (q)

     250        254   

South Africa Government Bond

    

7.75%, 02/28/23, ZAR

     7,975        753   

6.50%, 02/28/41, ZAR

     4,975        350   

Spain Government Bond

    

3.80%, 01/31/17, EUR

     1,320        1,909   

5.50%, 07/30/17, EUR

     677        1,034   

4.50%, 01/31/18, EUR

     290        429   

3.75%, 10/31/18, EUR

     140        201   

5.40%, 01/31/23 (q), EUR

     2,735        4,133   

Sweden Government Bond

    

4.50%, 08/12/15, SEK

     1,535        253   

3.75%, 08/12/17, SEK

     12,270        2,064   

5.00%, 12/01/20, SEK

     2,900        533   

3.50%, 06/01/22, SEK

     7,260        1,229   

Tennessee Valley Authority

    

3.88%, 02/15/21

     100        105   

3.50%, 12/15/42

     62        49   

Thailand Government Bond, 3.63%, 06/16/23, THB

     5,800        173   

Turkey Government International Bond

    

7.50%, 11/07/19

     150        168   

6.75%, 05/30/40

     150        145   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

United Kingdom Treasury Bond

    

2.25%, 03/07/14 - 09/07/23, GBP

     665        1,044   

2.75%, 01/22/15, GBP

     750        1,271   

1.75%, 01/22/17 - 09/07/22, GBP

     650        1,026   

3.75%, 09/07/21, GBP

     330        588   

5.00%, 03/07/25, GBP

     400        775   

4.50%, 09/07/34, GBP

     320        601   

4.25%, 12/07/40 - 12/07/46, GBP

     645        1,187   

3.25%, 01/22/44, GBP

     100        153   

Venezuela Government International Bond

    

9.25%, 09/15/27 (e)

     250        193   

9.38%, 01/13/34

     200        148   
   

 

 

  
      72,907   

Treasury Inflation Index Securities - 0.4%

  

Brazil Inflation Indexed Notas do Tesouro Nacional, 6.00%, 05/15/17 (s), BRL

     380        385   

Mexico Government Inflation Indexed Bond

    

3.50%, 12/14/17 (s), MXN

     492        41   

4.00%, 11/15/40 (s), MXN

     476        37   

Turkey Government Inflation Indexed Bond, 3.00%, 02/23/22 (n), TRY

     340        153   

U.S. Treasury Inflation Indexed Note

    

1.88%, 07/15/15 (n)

     300        316   

0.38%, 07/15/23 (n)

     713        686   

2.38%, 01/15/25 (n)

     186        213   

0.63%, 02/15/43 (n)

     152        117   

Uruguay Government International Inflation Indexed Bond, 3.70%, 06/26/37 (n), UYU

     1,668        71   
   

 

 

  
      2,019   

U.S. Treasury Securities - 3.3%

  

U.S. Treasury Bond

    

5.38%, 02/15/31

     50        61   

4.38%, 02/15/38

     1,325        1,437   

3.13%, 02/15/43

     75        64   

2.88%, 05/15/43

     1,025        827   

3.63%, 08/15/43 (e)

     150        141   

U.S. Treasury Note

    

1.25%, 02/15/14

     1,175        1,177   

0.38%, 08/31/15

     210        210   

1.38%, 11/30/15 - 09/30/18

     3,680        3,727   

1.50%, 07/31/16

     570        583   

1.00%, 09/30/16 - 03/31/17

     4,105        4,122   

3.75%, 11/15/18

     600        658   

3.50%, 05/15/20

     1,500        1,617   

2.13%, 08/15/21

     200        194   

1.75%, 05/15/22 - 05/15/23

     600        550   

2.50%, 08/15/23

     500        479   
   

 

 

  
      15,847   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED

    SECURITIES - 3.1%

  

  

Federal Home Loan Mortgage Corp. - 0.9%

  

Federal Home Loan Mortgage Corp.

    

1.87%, 11/25/19

     40        39   

0.79%, 07/25/20

     185        185   

1.69%, 01/25/22

     24        24   

2.78%, 09/25/22

     43        44   

2.52%, 01/25/23

     70        66   

3.11%, 02/25/23

     50        49   

2.62%, 03/25/23

     50        50   

3.30%, 04/25/23 (i)

     32        31   

3.53%, 07/25/23

     30        30   

2.58%, 10/01/42 (i)

     663        675   

4.00%, 05/01/43 - 11/01/43

     2,627        2,710   

REMIC, 1.32%, 12/25/18

     24        24   

REMIC, 1.73%, 07/25/19

     25        24   

REMIC, 0.55%, 04/25/20 (i)

     205        205   
     Shares/Par (p)     Value  

REMIC, 1.58%, 04/25/22

     49        47   

REMIC, 1.88%, 04/25/22

     25        24   

REMIC, 2.36%, 07/25/22

     25        23   

REMIC, 2.78%, 09/25/22

     25        25   

REMIC, 2.68%, 10/25/22

     25        24   
   

 

 

  
      4,299   

Federal National Mortgage Association - 2.0%

  

Federal National Mortgage Association

    

3.00%, 01/01/27 - 04/01/43

     4,487        4,365   

2.50%, 05/01/28 - 09/01/28

     856        848   

2.00%, 01/15/29, TBA (g)

     100        96   

3.50%, 10/01/42 - 01/15/44, TBA (g)

     720        715   

2.51%, 01/01/43 (i)

     757        749   

4.00%, 05/01/43 - 11/01/43

     1,109        1,146   

3.00%, 01/15/44, TBA (g)

     200        190   

4.00%, 01/15/44, TBA (g)

     100        103   

4.50%, 01/15/44, TBA (g)

     1,300        1,377   

REMIC, 2.61%, 03/25/22 (i)

     25        24   

REMIC, 3.33%, 10/25/23 (i)

     209        204   
   

 

 

  
      9,817   

Government National Mortgage Association - 0.2%

  

Government National Mortgage Association

    

2.50%, 04/20/28

     183        183   

3.50%, 05/20/43

     169        171   

4.50%, 09/20/43

     320        342   

4.00%, 10/20/43

     323        337   
   

 

 

  
      1,033   
   

 

 

  

Total Government and Agency Obligations (cost $112,359)

       109,978   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

Wind Acquisition Finance SA (q) (u)

     150        160   
   

 

 

  

Total Other Equity Interests (cost $157)

       160   
   

 

 

  

SHORT TERM INVESTMENTS - 8.3%

  

Investment Companies - 4.6%

    

JNL Money Market Fund, 0.01% (a) (h)

     22,308        22,308   

Securities Lending Collateral - 3.7%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     18,057        18,057   
   

 

 

  

Total Short Term Investments (cost $40,365)

  

     40,365   
   

 

 

  

Total Investments - 103.7% (cost $431,532)

  

     503,249   

Other Assets and Liabilities, Net - (3.7%)

 

     (17,920 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 485,329   
   

 

 

  

JNL/Capital Guardian Global Diversified Research Fund

   

COMMON STOCKS - 96.1%

    

AUSTRALIA - 2.3%

    

Coca-Cola Amatil Ltd. (e)

     338      $ 3,631   

Oil Search Ltd.

     525        3,817   

Woolworths Ltd.

     74        2,225   
   

 

 

  
      9,673   

BRAZIL - 0.3%

    

CCR SA

     172        1,295   

CANADA - 1.3%

    

Cameco Corp. (e)

     44        909   

Cenovus Energy Inc.

     87        2,498   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

First Quantum Minerals Ltd.

     125        2,244   
   

 

 

  
      5,651   

CHILE - 0.3%

    

Enersis SA - ADR

     86        1,289   

CHINA - 1.2%

    

Bank of China Ltd. - Class H

     4,025        1,858   

China Pacific Insurance Group Co. Ltd.

     346        1,362   

Industrial & Commercial Bank of China Ltd. - Class H

     2,615        1,773   
   

 

 

  
      4,993   

DENMARK - 1.3%

    

Novo-Nordisk A/S - Class B

     29        5,370   

FINLAND - 1.0%

    

Sampo Oyj - Class A

     89        4,355   

FRANCE - 2.4%

    

BNP Paribas

     49        3,796   

Pernod-Ricard SA

     32        3,642   

Schneider Electric SA

     31        2,672   
   

 

 

  
      10,110   

GERMANY - 2.8%

    

Bayer AG

     65        9,104   

Daimler AG

     29        2,517   
   

 

 

  
      11,621   

GREECE - 0.6%

    

JUMBO SA (c)

     152        2,424   

HONG KONG - 3.7%

    

AIA Group Ltd.

     851        4,281   

Cheung Kong Infrastructure Holdings Ltd.

     541        3,420   

HKT Trust (q)

     3,530        3,493   

Jardine Matheson Holdings Ltd. (e)

     39        2,054   

Li & Fung Ltd. (e)

     668        863   

Wharf Holdings Ltd.

     204        1,563   
   

 

 

  
      15,674   

INDIA - 0.7%

    

Bharti Airtel Ltd.

     436        2,329   

Infosys Technologies Ltd. - ADR

     15        840   
   

 

 

  
      3,169   

IRELAND - 2.5%

    

Accenture Plc - Class A

     35        2,853   

Eaton Corp. Plc

     65        4,910   

Glanbia Plc

     154        2,431   

Glanbia Plc

     12        194   
   

 

 

  
      10,388   

JAPAN - 8.6%

    

Denso Corp.

     19        977   

Exedy Corp.

     48        1,412   

Fujitec Co. Ltd.

     96        1,248   

Hamamatsu Photonics KK

     44        1,757   

Japan Tobacco Inc.

     40        1,295   

Kawasaki Heavy Industries Ltd.

     410        1,722   

KDDI Corp.

     38        2,317   

Keyence Corp.

     7        2,942   

Kubota Corp.

     170        2,820   

Marubeni Corp.

     179        1,289   

Murata Manufacturing Co. Ltd.

     16        1,378   

Rinnai Corp.

     16        1,270   

Ship Healthcare Holdings Inc.

     29        1,111   

SoftBank Corp.

     56        4,888   

Sumitomo Mitsui Financial Group Inc.

     98        5,096   

Sysmex Corp.

     22        1,311   
     Shares/Par (p)     Value  

Trend Micro Inc. (e)

     36        1,258   

Unicharm Corp.

     33        1,866   
   

 

 

  
      35,957   

MACAU - 0.9%

    

Wynn Macau Ltd.

     880        4,002   

MALAYSIA - 0.2%

  

Bumiputra-Commerce Holdings Bhd

     393        915   

MEXICO - 0.8%

    

Grupo Financiero Inbursa SAB de CV

     379        1,071   

Grupo Sanborns SA de CV - Class B-1

     1,010        2,139   
   

 

 

  
      3,210   

NETHERLANDS - 2.8%

    

ASML Holding NV

     40        3,734   

Fugro NV - CVA

     30        1,801   

Gemalto NV (e)

     20        2,223   

Koninklijke Philips NV

     30        2,377   

Unilever NV - CVA

     38        1,532   
   

 

 

  
      11,667   

NORWAY - 0.4%

    

SeaDrill Ltd.

     41        1,671   

SINGAPORE - 1.7%

    

Avago Technologies Ltd.

     41        2,147   

DBS Group Holdings Ltd.

     133        1,805   

Singapore Telecommunications Ltd.

     1,060        3,083   
   

 

 

  
      7,035   

SOUTH KOREA - 2.4%

    

Daum Communications Corp.

     10        784   

Hyundai Mobis

     5        1,392   

LG Household & Health Care Ltd.

     6        3,325   

Samsung Electronics Co. Ltd.

     3        3,504   

Samsung Electronics Co. Ltd. - GDR

     2        1,113   
   

 

 

  
      10,018   

SPAIN - 0.2%

    

Inditex SA

     6        1,057   

SWEDEN - 1.3%

    

Assa Abloy AB - Class B

     101        5,342   

SWITZERLAND - 5.9%

    

ACE Ltd.

     22        2,278   

Cie Financiere Richemont SA

     23        2,293   

Holcim Ltd.

     39        2,927   

Nestle SA

     44        3,239   

Partners Group Holding AG

     12        3,140   

Roche Holding AG

     17        4,788   

Swatch Group AG - Class B

     3        1,693   

Swatch Group AG

     3        376   

Syngenta AG

     10        3,928   
   

 

 

  
      24,662   

THAILAND - 0.4%

    

Bangkok Bank PCL - NVDR

     290        1,579   

UNITED KINGDOM - 6.8%

    

Aon Plc - Class A

     45        3,767   

Barclays Plc

     1,080        4,883   

HSBC Holdings Plc

     219        2,402   

Imperial Tobacco Group Plc

     111        4,304   

Marks & Spencer Group Plc

     158        1,134   

Meggitt Plc

     376        3,295   

Rio Tinto Plc

     37        2,118   

Signet Jewelers Ltd.

     42        3,290   

Standard Chartered Plc

     68        1,540   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Tullow Oil Plc

     133        1,892   
   

 

 

  
    28,625   

UNITED STATES OF AMERICA - 43.3%

  

Air Products & Chemicals Inc.

     18        2,057   

Alacer Gold Corp.

     20        40   

Allegheny Technologies Inc.

     32        1,151   

Amazon.com Inc. (c)

     9        3,469   

American Tower Corp.

     111        8,892   

Apple Inc.

     11        6,004   

ASML Holding NV - ADR

     19        1,799   

BlackRock Inc.

     12        3,766   

Boeing Co.

     27        3,644   

Bristol-Myers Squibb Co.

     152        8,068   

Broadcom Corp. - Class A

     100        2,968   

Carnival Corp.

     51        2,041   

Caterpillar Inc.

     28        2,579   

Cerner Corp. (c)

     52        2,887   

Chevron Corp.

     39        4,872   

Cliffs Natural Resources Inc. (e)

     33        860   

CME Group Inc. - Class A

     33        2,605   

Coach Inc.

     27        1,510   

Cobalt International Energy Inc. (c)

     59        966   

Comcast Corp. - Class A

     67        3,502   

Danaher Corp.

     65        5,003   

Delphi Automotive Plc

     61        3,644   

Discovery Communications Inc. -
Class A (c)

     23        2,080   

DreamWorks Animation SKG Inc. -
Class A (c)

     48        1,718   

Express Scripts Holding Co. (c)

     51        3,596   

Freescale Semiconductor Ltd. (c)

     88        1,411   

Gannett Co. Inc.

     57        1,698   

Gilead Sciences Inc. (c)

     265        19,937   

Goldman Sachs Group Inc.

     18        3,120   

Google Inc. - Class A (c)

     4        4,819   

Halliburton Co.

     41        2,066   

Hexcel Corp. (c)

     124        5,542   

Home Depot Inc.

     37        3,038   

Humana Inc.

     16        1,683   

IDEX Corp.

     37        2,732   

IntercontinentalExchange Group Inc

     8        1,833   

Jabil Circuit Inc.

     82        1,427   

Lululemon Athletica Inc. (c) (e)

     29        1,735   

Marsh & McLennan Cos. Inc.

     58        2,790   

Monsanto Co.

     11        1,305   

Mosaic Co.

     63        2,969   

Nielsen Holdings NV

     46        2,120   

Nike Inc. - Class B

     32        2,548   

Norfolk Southern Corp.

     23        2,172   

Oracle Corp.

     114        4,346   

Quest Diagnostics Inc. (e)

     25        1,339   

Ross Stores Inc.

     27        2,046   

Schlumberger Ltd.

     22        2,000   

Seattle Genetics Inc. (c) (e)

     184        7,340   

Sirius XM Holdings Inc (c)

     1,492        5,206   

Starbucks Corp.

     66        5,189   

VeriSign Inc. (c) (e)

     95        5,685   

Visa Inc. - Class A

     10        2,249   

Waste Connections Inc.

     48        2,072   
   

 

 

  
    182,138   
   

 

 

  

Total Common Stocks (cost $288,425)

       403,990   
   

 

 

  

SHORT TERM INVESTMENTS - 6.9%

  

Investment Companies - 4.1%

    

JNL Money Market Fund, 0.01% (a) (h)

     17,268        17,268   
     Shares/Par (p)     Value  

Securities Lending Collateral - 2.8%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     11,569        11,569   
   

 

 

  

Total Short Term Investments (cost $28,837)

  

     28,837   
   

 

 

  

Total Investments - 103.0% (cost $317,262)

  

     432,827   

Other Assets and Liabilities, Net - (3.0%)

 

     (12,488 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     420,339   
   

 

 

  

JNL/DFA U.S. Core Equity Fund

  

COMMON STOCKS - 98.9%

  

CONSUMER DISCRETIONARY - 13.7%

  

1-800-Flowers.com Inc. - Class A (c)

     2      $ 8   

Aaron’s Inc.

     3        101   

Abercrombie & Fitch Co. - Class A (e)

     3        109   

Advance Auto Parts Inc.

     2        173   

Aeropostale Inc. (c) (e)

     3        27   

AFC Enterprises Inc. (c)

     1        19   

AH Belo Corp.

     3        21   

Allison Transmission Holdings Inc.

     8        227   

Amazon.com Inc. (c)

     6        2,293   

AMC Networks Inc. - Class A (c)

     3        210   

American Axle & Manufacturing Holdings Inc. (c)

     4        77   

American Eagle Outfitters Inc.

     8        111   

American Public Education Inc. (c)

     1        35   

Ann Inc. (c)

     2        88   

Apollo Education Group Inc. -
Class A (c)

     6        161   

Arctic Cat Inc.

     1        51   

Asbury Automotive Group Inc. (c)

     1        68   

Ascena Retail Group Inc. (c)

     10        208   

Ascent Capital Group Inc. - Class A (c)

     1        51   

Autoliv Inc.

     5        420   

AutoNation Inc. (c)

     2        84   

AutoZone Inc. (c)

     1        382   

Bally Technologies Inc. (c)

     1        95   

Barnes & Noble Inc. (c)

     3        43   

Bassett Furniture Industries Inc.

     1        8   

Bebe Stores Inc.

     9        46   

Bed Bath & Beyond Inc. (c)

     3        263   

Best Buy Co. Inc.

     13        510   

Big 5 Sporting Goods Corp.

     2        48   

Big Lots Inc. (c)

     2        74   

Biglari Holdings Inc. (c)

     —        41   

BJ’s Restaurants Inc. (c) (e)

     2        74   

Blue Nile Inc. (c)

     1        28   

Bob Evans Farms Inc.

     2        97   

BorgWarner Inc.

     5        257   

Boyd Gaming Corp. (c)

     2        18   

Bridgepoint Education Inc. (c) (e)

     2        32   

Brinker International Inc.

     2        93   

Brown Shoe Co. Inc.

     3        79   

Brunswick Corp.

     3        138   

Buckle Inc. (e)

     1        71   

Buffalo Wild Wings Inc. (c)

     1        191   

Cabela’s Inc. - Class A (c)

     3        223   

Cablevision Systems Corp. -
Class A (e)

     10        185   

Caesars Acquisition Co. - Class A (c)

     5        63   

Caesars Entertainment Corp. (c)

     5        112   

Callaway Golf Co.

     4        30   

Capella Education Co. (e)

     1        70   

Carmax Inc. (c)

     6        300   

Carmike Cinemas Inc. (c)

     2        56   

Carnival Corp.

     8        318   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Carrol’s Restaurant Group Inc. (c)

     3        17   

Carter’s Inc.

     3        197   

Cato Corp. - Class A

     2        73   

Cavco Industries Inc. (c)

     —        21   

CBS Corp. - Class A

     —        13   

CBS Corp. - Class B

     9        580   

CEC Entertainment Inc.

     1        41   

Charles & Colvard Ltd. (c)

     2        10   

Charter Communications Inc. - Class A (c)

     2        299   

Cheesecake Factory Inc.

     3        154   

Chico’s FAS Inc. (e)

     8        145   

Childrens Place Retail Stores Inc. (c)

     1        63   

Chipotle Mexican Grill Inc. - Class A (c)

     1        320   

Choice Hotels International Inc. (e)

     3        167   

Churchill Downs Inc.

     1        101   

Cinemark Holdings Inc.

     6        204   

Citi Trends Inc. (c)

     1        22   

Clear Channel Outdoor Holdings Inc.

     2        18   

Coach Inc.

     4        213   

Cobra Electronics Corp. (c)

     —        —   

Columbia Sportswear Co. (e)

     1        71   

Comcast Corp. - Class A

     50        2,598   

Comcast Corp. - Special Class A

     11        550   

Conn’s Inc. (c) (e)

     2        189   

Cooper Tire & Rubber Co.

     3        79   

Core-Mark Holding Co. Inc.

     1        61   

Corinthian Colleges Inc. (c) (e)

     5        8   

Cracker Barrel Old Country Store Inc.

     1        143   

Crocs Inc. (c)

     4        56   

CSS Industries Inc.

     —        11   

CST Brands Inc.

     1        44   

CTC Media Inc.

     6        83   

Culp Inc.

     1        12   

Cumulus Media Inc. - Class A (c)

     14        109   

D.R. Horton Inc.

     13        281   

Dana Holding Corp.

     9        170   

Darden Restaurants Inc. (e)

     4        218   

Deckers Outdoor Corp. (c) (e)

     2        171   

Delphi Automotive Plc

     5        273   

Destination Maternity Corp.

     1        15   

Destination XL Group Inc. (c)

     2        14   

DeVry Education Group Inc. (e)

     4        133   

Dick’s Sporting Goods Inc.

     2        104   

Digital Generation Inc. (c)

     3        40   

Dillard’s Inc. - Class A

     3        243   

DineEquity Inc.

     1        85   

DIRECTV (c)

     8        566   

Discovery Communications Inc. - Class A (c)

     2        217   

Discovery Communications Inc. - Class C (c)

     1        109   

DISH Network Corp. (c)

     4        208   

Dollar General Corp. (c)

     5        295   

Dollar Tree Inc. (c)

     5        285   

Domino’s Pizza Inc.

     3        196   

Dorman Products Inc. (c)

     2        84   

DreamWorks Animation SKG Inc. - Class A (c)

     6        225   

Drew Industries Inc.

     2        90   

DSW Inc. - Class A

     4        154   

Dunkin’ Brands Group Inc.

     3        155   

Einstein Noah Restaurant Group Inc.

     1        9   

Entercom Communications Corp. - Class A (c)

     3        28   

Entravision Communications Corp.

     3        18   

Ethan Allen Interiors Inc.

     1        30   

EW Scripps Co. - Class A (c)

     3        70   

Expedia Inc.

     3        178   

Express Inc. (c)

     6        105   

FAB Universal Corp. (c) (e) (f)

     —        1   

Family Dollar Stores Inc.

     3        162   

Famous Dave’s Of America Inc. (c)

     —        2   
     Shares/Par (p)     Value  

Federal-Mogul Corp. (c)

     4        82   

Fiesta Restaurant Group Inc. (c)

     1        48   

Fifth & Pacific Co. Inc. (c)

     7        212   

Finish Line Inc. - Class A

     4        116   

Foot Locker Inc.

     9        377   

Ford Motor Co.

     58        901   

Fossil Group Inc. (c)

     1        144   

Fred’s Inc. - Class A

     1        17   

FTD Cos. Inc. (c) (e)

     2        70   

Fuel Systems Solutions Inc. (c)

     1        13   

Full House Resorts Inc. (c)

     —        1   

G-III Apparel Group Ltd. (c)

     1        102   

Gaiam Inc. - Class A (c)

     —        1   

GameStop Corp. - Class A

     6        286   

Gannett Co. Inc.

     10        287   

Gap Inc.

     5        180   

Garmin Ltd. (e)

     6        264   

General Motors Co. (c)

     21        840   

Genesco Inc. (c)

     2        146   

Gentex Corp.

     7        237   

Gentherm Inc. (c)

     3        80   

Genuine Parts Co.

     3        241   

GNC Holdings Inc. - Class A

     3        171   

Goodyear Tire & Rubber Co.

     8        181   

Graham Holdings Co

     1        332   

Grand Canyon Education Inc. (c)

     2        78   

Gray Television Inc. (c)

     6        86   

Group 1 Automotive Inc.

     2        143   

Groupon Inc. - Class A (c)

     14        169   

Guess? Inc.

     4        135   

H&R Block Inc.

     6        179   

HanesBrands Inc.

     2        158   

Harley-Davidson Inc.

     5        346   

Harman International Industries Inc.

     3        279   

Harte-Hanks Inc.

     2        17   

Hasbro Inc.

     2        125   

Haverty Furniture Cos. Inc.

     2        49   

Helen of Troy Ltd. (c)

     2        96   

hhgregg Inc. (c)

     1        13   

Hibbett Sports Inc. (c) (e)

     1        35   

Hillenbrand Inc.

     3        82   

Home Depot Inc.

     23        1,853   

HomeAway Inc. (c) (e)

     2        99   

HSN Inc.

     2        106   

Hyatt Hotels Corp. (c)

     2        102   

Iconix Brand Group Inc. (c)

     2        90   

International Game Technology

     13        239   

International Speedway Corp. - Class A

     1        46   

Interpublic Group of Cos. Inc.

     12        216   

Interval Leisure Group Inc.

     3        102   

iRobot Corp. (c)

     2        62   

Isle of Capri Casinos Inc. (c)

     1        10   

Jack in the Box Inc. (c)

     3        130   

John Wiley & Sons Inc. - Class A

     3        138   

John Wiley & Sons Inc. - Class B

     —        6   

Johnson Controls Inc.

     11        559   

Jos. A. Bank Clothiers Inc. (c)

     2        99   

Journal Communications Inc. - Class A (c)

     3        24   

K12 Inc. (c)

     1        13   

KB Home

     4        64   

Kirkland’s Inc. (c)

     2        36   

Kohl’s Corp.

     10        584   

Kona Grill Inc. (c)

     1        17   

Krispy Kreme Doughnuts Inc. (c)

     3        60   

L Brands Inc.

     4        247   

La-Z-Boy Inc.

     3        78   

Lakeland Industries Inc. (c)

     —        1   

Lamar Advertising Co. - Class A (c)

     4        209   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Las Vegas Sands Corp.

     6        469   

Lear Corp.

     4        307   

Leggett & Platt Inc.

     5        154   

Lennar Corp. - Class A

     6        233   

Libbey Inc. (c)

     1        15   

Liberty Global Plc - Class A (c)

     5        435   

Liberty Global Plc - Class C (c)

     3        284   

Liberty Interactive Corp. - Class A (c)

     22        645   

Liberty Media Corp. - Class A (c)

     2        340   

Liberty Ventures - Class A (c)

     2        255   

Life Time Fitness Inc. (c)

     3        146   

Lifetime Brands Inc.

     1        17   

LIN Media LLC - Class A (c)

     2        44   

Lions Gate Entertainment Corp. (e)

     4        138   

Lithia Motors Inc. - Class A

     1        76   

Live Nation Inc. (c)

     12        237   

LKQ Corp. (c)

     7        243   

Lowe’s Cos. Inc.

     17        846   

Luby’s Inc. (c)

     1        10   

Lululemon Athletica Inc. (c) (e)

     2        130   

Lumber Liquidators Holdings Inc. (c)

     1        103   

M/I Homes Inc. (c)

     1        25   

Macy’s Inc.

     5        288   

Madison Square Garden Inc. - Class A (c)

     3        184   

Marcus Corp.

     1        12   

Marine Products Corp.

     1        12   

MarineMax Inc. (c)

     —        6   

Marriott International Inc. - Class A

     7        332   

Marriott Vacations Worldwide Corp. (c)

     2        112   

Mattel Inc.

     7        350   

Matthews International Corp.

     2        96   

McClatchy Co. - Class A (c) (e)

     —        —   

McDonald’s Corp.

     12        1,203   

McGraw-Hill Financial. Inc.

     4        324   

MDC Holdings Inc.

     2        74   

Media General Inc. - Class A (c) (e)

     —        8   

Men’s Wearhouse Inc.

     4        215   

Meredith Corp.

     1        57   

Meritage Homes Corp. (c)

     1        67   

MGM Resorts International (c)

     23        540   

Michael Kors Holdings Ltd. (c)

     4        354   

Modine Manufacturing Co. (c)

     4        47   

Mohawk Industries Inc. (c)

     3        513   

Monarch Casino & Resort Inc. (c)

     1        14   

Monro Muffler Brake Inc. (e)

     2        90   

Morningstar Inc.

     2        187   

Motorcar Parts of America Inc. (c)

     1        12   

Movado Group Inc.

     1        35   

National CineMedia Inc.

     4        71   

Nautilus Inc. (c)

     3        28   

Netflix Inc. (c)

     1        331   

New York & Co. Inc. (c)

     5        21   

New York Times Co. - Class A (e)

     10        157   

Newell Rubbermaid Inc.

     5        178   

News Corp. - Class A (c)

     13        242   

News Corp. - Class B (c)

     2        35   

Nexstar Broadcasting Group Inc. - Class A

     1        68   

Nike Inc. - Class B

     10        821   

Nordstrom Inc.

     4        271   

NutriSystem Inc.

     1        17   

NVR Inc. (c)

     —        103   

O’Reilly Automotive Inc. (c)

     2        306   

Office Depot Inc. (c)

     25        132   

Omnicom Group Inc.

     3        200   

Orbitz Worldwide Inc. (c)

     2        11   

Orient-Express Hotels Ltd. - Class A (c)

     —        2   

Outerwall Inc. (c) (e)

     1        87   

Overstock.com Inc. (c) (e)

     1        15   
     Shares/Par (p)     Value  

Oxford Industries Inc. (e)

     1        73   

Pandora Media Inc. (c)

     6        160   

Panera Bread Co. - Class A (c)

     1        124   

Papa John’s International Inc.

     1        45   

Penn National Gaming Inc. (c)

     4        64   

Penske Auto Group Inc.

     5        255   

Pep Boys-Manny Moe & Jack (c)

     2        27   

PetSmart Inc.

     2        160   

Pier 1 Imports Inc.

     6        145   

Polaris Industries Inc.

     2        236   

Pool Corp.

     1        72   

Priceline.com Inc. (c)

     1        1,046   

Pulte Homes Inc.

     8        165   

PVH Corp.

     4        510   

Quicksilver Inc. (c)

     7        62   

Ralph Lauren Corp. - Class A

     1        108   

Red Lion Hotels Corp. (c)

     1        4   

Red Robin Gourmet Burgers Inc. (c)

     1        59   

Regal Entertainment Group - Class A (e)

     7        131   

Regis Corp.

     2        32   

Rent-A-Center Inc.

     4        146   

RG Barry Corp.

     —        2   

Rick’s Cabaret International Inc. (c)

     1        9   

Rocky Brands Inc.

     1        9   

Ross Stores Inc.

     5        348   

Royal Caribbean Cruises Ltd.

     11        507   

Ruby Tuesday Inc. (c)

     3        18   

Ruth’s Hospitality Group Inc.

     2        33   

Ryland Group Inc.

     2        87   

Sally Beauty Holdings Inc. (c)

     3        100   

Scientific Games Corp. (c)

     6        97   

Scripps Networks Interactive Inc. - Class A

     2        207   

Sears Holdings Corp. (c) (e)

     2        111   

Select Comfort Corp. (c)

     1        15   

Service Corp. International

     13        239   

Shiloh Industries Inc. (c)

     1        16   

Shoe Carnival Inc.

     1        38   

Shutterfly Inc. (c) (e)

     3        133   

Signet Jewelers Ltd.

     2        184   

Sinclair Broadcast Group Inc. - Class A

     3        123   

Sirius XM Holdings Inc (c)

     49        170   

Six Flags Entertainment Corp.

     3        96   

Skechers U.S.A. Inc. - Class A (c)

     2        61   

Skullcandy Inc. (c)

     2        11   

Smith & Wesson Holding Corp. (c) (e)

     3        39   

Sonic Automotive Inc.

     2        42   

Sonic Corp. (c)

     2        44   

Sotheby’s

     4        191   

Speedway Motorsports Inc.

     2        30   

Stage Stores Inc. (e)

     2        36   

Standard Motor Products Inc.

     2        81   

Standard-Pacific Corp. (c) (e)

     9        77   

Staples Inc.

     31        491   

Starbucks Corp.

     12        925   

Starwood Hotels & Resorts Worldwide Inc.

     3        261   

Starz - Class A (c)

     4        123   

Stein Mart Inc.

     2        27   

Steiner Leisure Ltd. (c)

     1        43   

Steven Madden Ltd. (c)

     4        132   

Stoneridge Inc. (c)

     3        39   

Sturm Ruger & Co. Inc. (e)

     —        29   

Systemax Inc. (c)

     2        19   

Target Corp.

     8        506   

Tempur Sealy International Inc. (c)

     1        61   

Tenneco Inc. (c)

     2        104   

Tesla Motors Inc. (c) (e)

     3        419   

Texas Roadhouse Inc.

     4        108   

The Jones Group Inc.

     3        47   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Thor Industries Inc.

     3        148   

Tiffany & Co.

     2        228   

Tile Shop Holdings Inc. (c) (e)

     —        4   

Time Warner Cable Inc.

     6        867   

Time Warner Inc.

     21        1,453   

TJX Cos. Inc.

     10        663   

Toll Brothers Inc. (c)

     8        281   

Tower International Inc. (c)

     1        12   

Town Sports International Holdings Inc.

     2        24   

Tractor Supply Co.

     3        244   

TripAdvisor Inc. (c)

     3        240   

TRW Automotive Holdings Corp. (c)

     5        406   

Tupperware Brands Corp.

     2        161   

Twenty-First Century Fox Inc. - Class A

     24        852   

Twenty-First Century Fox Inc. - Class B

     7        249   

Ulta Salon Cosmetics & Fragrance Inc. (c)

     2        145   

Under Armour Inc. - Class A (c)

     2        168   

Unifi Inc. (c)

     —        11   

Universal Electronics Inc. (c)

     2        65   

Universal Technical Institute Inc.

     1        13   

Urban Outfitters Inc. (c)

     3        104   

Vail Resorts Inc.

     2        135   

Valassis Communications Inc. (e)

     2        65   

ValueVision Media Inc. (c)

     4        31   

VF Corp.

     5        319   

Viacom Inc. - Class A

     —        9   

Viacom Inc. - Class B

     7        592   

Visteon Corp. (c)

     2        204   

Vitamin Shoppe Inc. (c)

     1        68   

VOXX International Corp. - Class A (c)

     —        2   

WABCO Holdings Inc. (c)

     1        123   

Walt Disney Co.

     26        2,017   

Weight Watchers International Inc. (e)

     1        33   

Wendy’s Co.

     24        206   

West Marine Inc. (c)

     1        14   

Wet Seal Inc. - Class A (c)

     7        19   

Whirlpool Corp.

     3        520   

Williams-Sonoma Inc.

     3        189   

Winmark Corp.

     —        9   

Winnebago Industries Inc. (c)

     1        27   

Wolverine World Wide Inc.

     5        177   

World Wrestling Entertainment Inc. - Class A

     1        17   

Wyndham Worldwide Corp.

     4        280   

Wynn Resorts Ltd.

     2        330   

Yum! Brands Inc.

     7        533   

Zale Corp. (c)

     2        29   

Zumiez Inc. (c)

     2        51   
   

 

 

  
      68,431   

CONSUMER STAPLES - 6.9%

  

Alico Inc.

     —        12   

Alliance One International Inc. (c)

     5        15   

Altria Group Inc.

     28        1,076   

Andersons Inc.

     1        128   

Annie’s Inc. (c) (e)

     1        27   

Archer-Daniels-Midland Co.

     15        660   

Avon Products Inc.

     8        140   

B&G Foods Inc.

     3        117   

Beam Inc.

     8        531   

Boston Beer Co. Inc. (c) (e)

     —        48   

Boulder Brands Inc. (c)

     4        65   

Brown-Forman Corp. - Class A

     —        33   

Brown-Forman Corp. - Class B

     3        219   

Bunge Ltd.

     7        571   

Cal-Maine Foods Inc.

     2        96   

Calavo Growers Inc.

     1        18   

Campbell Soup Co.

     5        226   

Casey’s General Stores Inc.

     2        136   
     Shares/Par (p)     Value  

Central Garden & Pet Co. (c)

     1        3   

Chefs’ Warehouse Inc. (c)

     1        26   

Chiquita Brands International Inc. (c)

     2        24   

Church & Dwight Co. Inc.

     3        229   

Clorox Co.

     3        270   

Coca-Cola Bottling Co.

     —        28   

Coca-Cola Co.

     48        1,992   

Coca-Cola Enterprises Inc.

     8        372   

Colgate-Palmolive Co.

     15        951   

ConAgra Foods Inc.

     13        428   

Constellation Brands Inc. - Class A (c)

     7        462   

Constellation Brands Inc. - Class B (c)

     —        1   

Costco Wholesale Corp.

     7        837   

Craft Brewers Alliance Inc. (c)

     1        13   

CVS Caremark Corp.

     24        1,701   

Darling International Inc. (c)

     9        194   

Dean Foods Co. (c)

     4        76   

Dr. Pepper Snapple Group Inc.

     5        221   

Elizabeth Arden Inc. (c)

     1        39   

Energizer Holdings Inc.

     2        229   

Estee Lauder Cos. Inc.

     4        279   

Farmer Bros. Co. (c)

     1        16   

Flowers Foods Inc.

     10        222   

Fresh Del Monte Produce Inc.

     4        102   

General Mills Inc.

     10        509   

Green Mountain Coffee Roasters Inc. (c) (e)

     4        338   

Hain Celestial Group Inc. (c)

     3        231   

Harris Teeter Supermarkets Inc.

     2        90   

Herbalife Ltd. (e)

     2        182   

Hershey Co.

     2        233   

Hillshire Brands Co.

     3        96   

Hormel Foods Corp.

     5        232   

Ingles Markets Inc. - Class A

     1        17   

Ingredion Inc.

     5        323   

Inter Parfums Inc.

     2        61   

Inventure Foods Inc. (c)

     —        3   

J&J Snack Foods Corp.

     1        80   

JM Smucker Co.

     5        518   

John B. Sanfilippo & Son Inc.

     —        10   

Kellogg Co.

     3        195   

Kimberly-Clark Corp.

     5        533   

Kraft Foods Group Inc.

     9        499   

Kroger Co.

     8        314   

Lancaster Colony Corp.

     1        106   

Limoneira Co.

     1        29   

Lorillard Inc.

     6        286   

Mannatech Inc. (c)

     —        5   

McCormick & Co. Inc.

     2        159   

Mead Johnson Nutrition Co.

     3        260   

Medifast Inc. (c)

     1        31   

Molson Coors Brewing Co. - Class B

     8        427   

Mondelez International Inc. - Class A

     38        1,357   

Monster Beverage Corp. (c)

     3        236   

National Beverage Corp. (c)

     1        11   

Nu Skin Enterprises Inc.

     1        169   

Nutraceutical International Corp. (c)

     1        29   

Oil-Dri Corp. of America

     —        4   

Omega Protein Corp. (c)

     1        7   

Orchids Paper Products Co.

     —        8   

PepsiCo Inc.

     25        2,044   

Philip Morris International Inc.

     21        1,819   

Pilgrim’s Pride Corp. (c)

     8        124   

Post Holdings Inc. (c)

     3        129   

Prestige Brands Holdings Inc. (c)

     3        113   

PriceSmart Inc. (e)

     1        104   

Procter & Gamble Co.

     43        3,504   

Revlon Inc. - Class A (c)

     2        60   

Reynolds American Inc.

     5        251   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Rite Aid Corp. (c)

     47        238   

Safeway Inc.

     12        378   

Sanderson Farms Inc.

     2        113   

Snyders-Lance Inc. (e)

     5        151   

Spartan Stores Inc.

     2        39   

Spectrum Brands Holdings Inc.

     3        233   

Susser Holdings Corp. (c) (e)

     1        77   

Sysco Corp.

     8        285   

The Fresh Market Inc. (c)

     2        61   

Tootsie Roll Industries Inc. (e)

     2        54   

TreeHouse Foods Inc. (c)

     2        160   

Tyson Foods Inc.

     13        445   

United Natural Foods Inc. (c)

     3        188   

Universal Corp. (e)

     1        44   

USANA Health Sciences Inc. (c) (e)

     1        38   

Vector Group Ltd. (e)

     2        37   

Village Super Market Inc. - Class A

     —        10   

Wal-Mart Stores Inc.

     26        2,029   

Walgreen Co.

     14        827   

WD-40 Co.

     1        64   

Weis Markets Inc.

     2        79   

WhiteWave Foods Co. - Class A (c)

     3        68   

Whole Foods Market Inc.

     5        317   
   

 

 

  
      34,504   

ENERGY - 10.0%

  

Adams Resources & Energy Inc.

     —        17   

Alon USA Energy Inc.

     2        33   

Alpha Natural Resources Inc. (c)

     11        77   

Anadarko Petroleum Corp.

     12        929   

Apache Corp.

     9        792   

Atwood Oceanics Inc. (c)

     4        220   

Baker Hughes Inc.

     10        580   

Basic Energy Services Inc. (c)

     2        37   

Bill Barrett Corp. (c) (e)

     2        61   

Bolt Technology Corp.

     1        33   

Bonanza Creek Energy Inc. (c)

     2        87   

BPZ Resources Inc. (c) (e)

     4        7   

Bristow Group Inc.

     2        113   

C&J Energy Services Inc. (c) (e)

     2        38   

Cabot Oil & Gas Corp. - Class A

     10        368   

Callon Petroleum Co. (c)

     2        15   

Cameron International Corp. (c)

     3        170   

CARBO Ceramics Inc. (e)

     1        141   

Carrizo Oil & Gas Inc. (c)

     3        152   

Cheniere Energy Inc. (c)

     5        226   

Chesapeake Energy Corp.

     24        640   

Chevron Corp.

     43        5,369   

Cimarex Energy Co.

     4        435   

Clayton Williams Energy Inc. (c)

     1        57   

Cloud Peak Energy Inc. (c)

     3        54   

Cobalt International Energy Inc. (c)

     7        114   

Comstock Resources Inc.

     2        42   

Concho Resources Inc. (c)

     5        529   

ConocoPhillips

     27        1,925   

CONSOL Energy Inc.

     11        406   

Contango Oil & Gas Co. (c)

     1        40   

Continental Resources Inc. (c) (e)

     1        90   

Core Laboratories NV

     1        191   

Crosstex Energy Inc.

     3        112   

Delek US Holdings Inc. (e)

     3        96   

Denbury Resources Inc. (c)

     13        211   

Devon Energy Corp.

     9        560   

Diamond Offshore Drilling Inc.

     4        222   

Dresser-Rand Group Inc. (c)

     4        233   

Dril-Quip Inc. (c)

     2        220   

Endeavour International Corp. (c) (e)

     1        5   

Energen Corp.

     4        266   
     Shares/Par (p)     Value  

Energy XXI Bermuda Ltd.

     4        112   

EOG Resources Inc.

     6        1,066   

EPL Oil & Gas Inc. (c)

     3        95   

EQT Corp.

     3        305   

Era Group Inc. (c)

     2        49   

Exterran Holdings Inc. (c)

     4        127   

Exxon Mobil Corp.

     97        9,843   

FMC Technologies Inc. (c)

     5        259   

Gastar Exploration Ltd. (c) (e)

     5        32   

Geospace Technologies Corp. (c) (e)

     1        47   

Goodrich Petroleum Corp. (c) (e)

     2        32   

Green Plains Renewable Energy Inc.

     1        25   

Gulf Island Fabrication Inc.

     1        14   

Gulfmark Offshore Inc. - Class A

     2        100   

Gulfport Energy Corp. (c)

     4        275   

Halliburton Co.

     14        710   

Helix Energy Solutions Group Inc. (c)

     7        158   

Helmerich & Payne Inc.

     5        431   

Hercules Offshore Inc. (c)

     6        37   

Hess Corp.

     7        597   

HKN Inc. (c)

     —        2   

HollyFrontier Corp.

     9        427   

Hornbeck Offshore Services Inc. (c)

     1        61   

ION Geophysical Corp. (c)

     1        3   

James River Coal Co. (c) (e)

     —        —   

Key Energy Services Inc. (c)

     7        58   

Kinder Morgan Inc.

     13        454   

Knightsbridge Tankers Ltd.

     3        25   

Kodiak Oil & Gas Corp. (c)

     14        160   

Kosmos Energy Ltd. (c)

     11        121   

Laredo Petroleum Holdings Inc. (c)

     7        197   

Magnum Hunter Resources Corp. (c)

     7        51   

Marathon Oil Corp.

     17        583   

Marathon Petroleum Corp.

     6        569   

Matador Resources Co. (c)

     4        72   

Matrix Service Co. (c)

     2        37   

McDermott International Inc. (c)

     4        37   

Miller Energy Resources Inc. (c) (e)

     —        1   

Mitcham Industries Inc. (c)

     1        10   

Murphy Oil Corp.

     4        284   

Murphy USA Inc. (c)

     1        45   

Nabors Industries Ltd.

     18        313   

National Oilwell Varco Inc.

     10        801   

Natural Gas Services Group Inc. (c)

     1        20   

Newfield Exploration Co. (c)

     9        210   

Newpark Resources Inc. (c)

     7        89   

Noble Corp plc

     12        431   

Noble Energy Inc.

     8        549   

Northern Oil and Gas Inc. (c) (e)

     3        41   

Oasis Petroleum Inc. (c)

     5        232   

Occidental Petroleum Corp.

     18        1,738   

Oceaneering International Inc.

     2        193   

Oil States International Inc. (c)

     3        264   

Panhandle Oil and Gas Inc. - Class A

     —        12   

Parker Drilling Co. (c)

     10        82   

Patterson-UTI Energy Inc.

     9        232   

PDC Energy Inc. (c)

     2        128   

Peabody Energy Corp.

     15        302   

Penn Virginia Corp. (c)

     7        69   

PetroQuest Energy Inc. (c)

     1        6   

PHI Inc. (c)

     —        4   

PHI Inc. (c)

     1        35   

Phillips 66

     11        851   

Pioneer Energy Services Corp. (c)

     2        18   

Pioneer Natural Resources Co.

     5        845   

QEP Resources Inc.

     8        243   

Range Resources Corp.

     4        308   

Renewable Energy Group Inc. (c)

     2        18   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Rentech Inc. (c)

     2        4   

Rex Energy Corp. (c)

     4        76   

RigNet Inc. (c) (e)

     1        38   

Rosetta Resources Inc. (c)

     4        190   

Rowan Cos. Plc - Class A (c)

     8        274   

RPC Inc. (e)

     8        139   

SandRidge Energy Inc. (c) (e)

     31        188   

Schlumberger Ltd.

     21        1,909   

Scorpio Tankers Inc.

     8        88   

SEACOR Holdings Inc. (c)

     2        144   

SemGroup Corp. - Class A

     3        169   

Ship Finance International Ltd. (e)

     4        64   

SM Energy Co.

     3        271   

Southwestern Energy Co. (c)

     9        337   

Spectra Energy Corp.

     11        385   

Stone Energy Corp. (c)

     4        152   

Superior Energy Services Inc. (c)

     7        195   

Synergy Resources Corp. (c) (e)

     4        33   

Targa Resources Corp.

     1        116   

Teekay Corp.

     4        173   

Tesco Corp. (c)

     1        12   

Tesoro Corp.

     6        322   

Tetra Technologies Inc. (c)

     6        72   

TGC Industries Inc.

     1        5   

Tidewater Inc.

     3        185   

Transocean Ltd.

     8        377   

Triangle Petroleum Corp. (c) (e)

     6        52   

Ultra Petroleum Corp. (c) (e)

     8        168   

Unit Corp. (c)

     3        136   

Valero Energy Corp.

     10        519   

W&T Offshore Inc. (e)

     4        61   

Warren Resources Inc. (c)

     3        8   

Weatherford International Ltd. (c)

     37        567   

Western Refining Inc. (e)

     5        212   

Whiting Petroleum Corp. (c)

     6        349   

Willbros Group Inc. (c)

     6        55   

Williams Cos. Inc.

     11        413   

World Fuel Services Corp. (e)

     1        36   

WPX Energy Inc. (c)

     13        260   
   

 

 

  
        50,212   

FINANCIALS - 17.5%

    

1st Source Corp.

     2        48   

1st United Bancorp Inc.

     1        10   

ACE Ltd.

     8        828   

Affiliated Managers Group Inc. (c)

     1        260   

AFLAC Inc.

     10        695   

Alexander & Baldwin Inc.

     3        146   

Alleghany Corp. (c)

     1        268   

Allied World Assurance Co. Holdings Ltd.

     2        254   

Allstate Corp.

     10        570   

Altisource Asset Management Corp. (c)

     —        47   

Altisource Portfolio Solutions SA (c)

     1        111   

American Capital Ltd. (c)

     18        285   

American Equity Investment Life Holding Co.

     3        82   

American Express Co.

     15        1,388   

American Financial Group Inc.

     6        328   

American International Group Inc.

     33        1,673   

American National Insurance Co.

     1        139   

Ameriprise Financial Inc.

     4        484   

Ameris Bancorp (c)

     1        23   

Amerisafe Inc.

     1        34   

AmTrust Financial Services Inc. (e)

     5        153   

Aon Plc - Class A

     4        352   

Arch Capital Group Ltd. (c)

     6        383   

Argo Group International Holdings Ltd.

     1        31   

Arrow Financial Corp.

     —        1   

Arthur J Gallagher & Co.

     4        206   
     Shares/Par (p)     Value  

Aspen Insurance Holdings Ltd.

     4        169   

Associated Bancorp

     11        195   

Assurant Inc.

     5        305   

Assured Guaranty Ltd.

     9        213   

Astoria Financial Corp.

     6        80   

Atlanticus Holdings Corp. (c) (e)

     1        2   

AV Homes Inc. (c)

     1        11   

Axis Capital Holdings Ltd.

     6        283   

Baldwin & Lyons Inc. - Class B

     1        14   

BancFirst Corp.

     1        62   

Bancorp Inc. (c)

     2        38   

BancorpSouth Inc. (e)

     8        210   

Bank Mutual Corp.

     2        15   

Bank of America Corp.

     249        3,880   

Bank of Hawaii Corp.

     3        154   

Bank of New York Mellon Corp.

     26        913   

Bank of the Ozarks Inc.

     2        124   

BankUnited Inc.

     6        204   

Banner Corp.

     1        58   

BB&T Corp.

     16        605   

BBCN Bancorp Inc.

     7        113   

Beneficial Mutual Bancorp Inc. (c)

     4        43   

Berkshire Hathaway Inc. - Class B (c)

     29            3,475   

Berkshire Hills Bancorp Inc.

     1        32   

BGC Partners Inc.

     8        46   

BlackRock Inc.

     3        991   

BofI Holding Inc. (c)

     1        55   

BOK Financial Corp.

     4        240   

Boston Private Financial Holdings Inc.

     7        84   

Brookline Bancorp Inc.

     7        62   

Brown & Brown Inc.

     9        277   

Bryn Mawr Bank Corp.

     1        45   

C&F Financial Corp.

     —        2   

Calamos Asset Management Inc. - Class A

     1        7   

Camco Financial Corp. (c)

     1        3   

Camden National Corp.

     —        13   

Capital City Bank Group Inc. (c)

     1        8   

Capital One Financial Corp.

     14        1,038   

Capital Southwest Corp.

     1        17   

CapitalSource Inc.

     9        134   

Capitol Federal Financial Inc.

     11        137   

Cardinal Financial Corp.

     2        34   

Cash America International Inc. (e)

     2        58   

Cathay General Bancorp

     6        160   

CBOE Holdings Inc.

     3        140   

CBRE Group Inc. - Class A (c)

     5        135   

Center Bancorp Inc.

     1        13   

CenterState Banks of Florida Inc.

     1        13   

Central Pacific Financial Corp.

     3        50   

Charles Schwab Corp.

     19        487   

Chemical Financial Corp.

     2        60   

Chubb Corp.

     6        560   

Cincinnati Financial Corp.

     8        412   

CIT Group Inc.

     10        502   

Citigroup Inc.

     71        3,692   

Citizens Inc. - Class A (c)

     2        19   

City Holdings Co.

     1        35   

City National Corp.

     4        279   

Clifton Savings Bancorp Inc.

     1        17   

CME Group Inc.

     7        577   

CNA Financial Corp.

     2        82   

CNB Financial Corp.

     1        10   

CNO Financial Group Inc.

     12        203   

CoBiz Financial Inc.

     3        34   

Cohen & Steers Inc. (e)

     1        33   

Columbia Banking System Inc.

     4        112   

Comerica Inc.

     8        403   

Commerce Bancshares Inc.

     6        266   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Community Bank System Inc.

     3        119   

Community Trust Bancorp Inc.

     1        45   

Consolidated-Tomoka Land Co.

     —        7   

Cowen Group Inc. - Class A (c)

     9        35   

Crawford & Co.

     1        13   

Credit Acceptance Corp. (c)

     1        147   

Cullen/Frost Bankers Inc.

     4        278   

CVB Financial Corp.

     9        150   

DFC Global Corp. (c)

     2        24   

Diamond Hill Investment Group Inc.

     —        12   

Dime Community Bancshares Inc.

     2        36   

Discover Financial Services

     7        386   

Donegal Group Inc. - Class A

     1        14   

Doral Financial Corp. (c)

     1        9   

E*TRADE Financial Corp. (c)

     18        355   

East West Bancorp Inc.

     9            297   

Eaton Vance Corp.

     3        143   

eHealth Inc. (c) (e)

     1        33   

EMC Insurance Group Inc.

     1        18   

Employer Holdings Inc.

     3        84   

Endurance Specialty Holdings Ltd.

     4        205   

Enstar Group Ltd. (c)

     1        168   

Enterprise Financial Services Corp.

     1        29   

Erie Indemnity Co. - Class A

     2        120   

ESSA BanCorp Inc.

     1        11   

Evercore Partners Inc.

     1        72   

Everest Re Group Ltd.

     2        359   

FBL Financial Group Inc. - Class A

     1        63   

Federal Agricultural Mortgage Corp. - Class C

     1        31   

Federated Investors Inc. - Class B (e)

     6        158   

Federated National Holding Co.

     1        10   

Fidelity National Financial Inc. - Class A

     11        367   

Fifth Third Bancorp

     21        435   

Financial Engines Inc.

     1        101   

Financial Institutions Inc.

     1        15   

First American Financial Corp.

     6        169   

First Bancorp Inc.

     1        8   

First Bancorp Inc. (c)

     15        91   

First Busey Corp.

     6        33   

First Cash Financial Services Inc. (c)

     2        111   

First Citizens BancShares Inc. - Class A

     —        21   

First Commonwealth Financial Corp.

     5        41   

First Community Bancshares Inc.

     1        13   

First Financial Bancorp

     3        52   

First Financial Bankshares Inc. (e)

     1        80   

First Financial Corp.

     1        33   

First Financial Holdings Inc.

     1        45   

First Financial Northwest Inc.

     1        8   

First Horizon National Corp.

     15        172   

First Interstate BancSystem Inc. - Class A

     2        44   

First Merchants Corp.

     1        30   

First Midwest Bancorp Inc.

     7        114   

First Niagara Financial Group Inc.

     22        236   

First Republic Bank

     6        323   

FirstMerit Corp.

     10        230   

Flagstar Bancorp Inc. (c)

     2        45   

Flushing Financial Corp.

     2        32   

FNB Corp.

     12        145   

Forest City Enterprises Inc. (c)

     11        219   

Forestar Group Inc. (c)

     2        36   

Fox Chase Bancorp Inc.

     1        10   

Franklin Resources Inc.

     6        364   

Fulton Financial Corp.

     15        199   

FXCM Inc. - Class A

     2        38   

Gain Capital Holdings Inc.

     4        28   

GAMCO Investors Inc.

     —        17   

Gaming and Leisure Properties Inc. (c) (e)

     4        227   

Genworth Financial Inc. (c)

     23        358   
     Shares/Par (p)     Value  

German American Bancorp Inc.

     1        17   

GFI Group Inc.

     8        33   

Glacier Bancorp Inc.

     6        182   

Global Indemnity Plc (c)

     1        18   

Goldman Sachs Group Inc.

     10        1,768   

Great Southern Bancorp Inc.

     1        18   

Green Dot Corp. (c) (e)

     2        54   

Greenhill & Co. Inc.

     1        56   

Greenlight Capital Re Ltd. - Class A (c)

     2        68   

Hallmark Financial Services Inc. (c)

     2        19   

Hancock Holding Co.

     6        203   

Hanmi Financial Corp.

     2        53   

Hanover Insurance Group Inc.

     3        179   

Hartford Financial Services Group Inc.

     21        757   

HCC Insurance Holdings Inc.

     7        300   

HCI Group Inc. (e)

     1        64   

Heartland Financial USA Inc.

     1        40   

Heritage Commerce Corp.

     1        9   

Heritage Financial Corp.

     1        12   

HFF Inc. - Class A (c)

     1        27   

Hilltop Holdings Inc. (c)

     7        169   

Home Bancshares Inc.

     4        143   

Home Federal Bancorp Inc.

     1        10   

Horace Mann Educators Corp.

     1        35   

Howard Hughes Corp. (c)

     2        298   

Hudson City Bancorp Inc.

     25        236   

Hudson Valley Holding Corp.

     1        28   

Huntington Bancshares Inc.

     39        374   

IberiaBank Corp.

     2        132   

ICG Group Inc. (c)

     2        42   

Imperial Holdings Inc. (c)

     2        10   

Independent Bank Corp.

     1        38   

Interactive Brokers Group Inc.

     5        110   

IntercontinentalExchange Group Inc

     2        370   

International Bancshares Corp.

     5        119   

INTL FCStone Inc. (c)

     1        26   

Invesco Ltd.

     21        748   

Investment Technology Group Inc. (c)

     2        37   

Investors Bancorp Inc.

     6        149   

Janus Capital Group Inc.

     7        88   

Jones Lang LaSalle Inc.

     2        239   

JPMorgan Chase & Co.

     87            5,095   

KCG Holdings Inc. - Class A (c)

     —        3   

Kearny Financial Corp. (c)

     2        26   

Kemper Corp.

     4        160   

Kennedy-Wilson Holdings Inc.

     5        112   

KeyCorp

     41        557   

Ladenburg Thalmann Financial Services Inc. (c)

     7        22   

Lakeland Bancorp Inc.

     2        24   

Lakeland Financial Corp.

     1        36   

Legg Mason Inc. (e)

     8        337   

Leucadia National Corp.

     15        428   

Lincoln National Corp.

     13        651   

Loews Corp.

     8        366   

LPL Financial Holdings Inc.

     5        247   

M&T Bank Corp. (e)

     6        712   

Macatawa Bank Corp. (c) (e)

     1        3   

Maiden Holdings Ltd.

     4        41   

MainSource Financial Group Inc.

     1        16   

Markel Corp. (c)

     1        364   

MarketAxess Holdings Inc.

     1        88   

Marlin Business Services Inc.

     1        25   

Marsh & McLennan Cos. Inc.

     9        426   

MB Financial Inc.

     4        129   

MBIA Inc. (c)

     11        130   

Medallion Financial Corp.

     2        22   

Mercantile Bank Corp. (e)

     1        11   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Merchants Bancshares Inc.

     —        4   

Mercury General Corp.

     3        168   

Meridian Interstate BanCorp Inc. (c)

     1        23   

MetLife Inc.

     22            1,179   

Metro Bancorp Inc. (c)

     —        6   

MGIC Investment Corp. (c)

     10        84   

Montpelier Re Holdings Ltd.

     3        84   

Moody’s Corp.

     3        243   

Morgan Stanley

     34        1,052   

MSCI Inc. (c)

     6        273   

NASDAQ OMX Group Inc.

     7        295   

National Interstate Corp.

     —        9   

National Penn Bancshares Inc.

     8        87   

Navigators Group Inc. (c)

     1        38   

NBT Bancorp Inc.

     2        56   

Nelnet Inc. - Class A

     2        100   

New York Community Bancorp Inc. (e)

     20        343   

NewBridge Bancorp (c)

     1        11   

NewStar Financial Inc. (c)

     2        41   

Northern Trust Corp.

     11        691   

Northfield Bancorp Inc.

     4        52   

Northwest Bancshares Inc.

     8        117   

OceanFirst Financial Corp.

     1        14   

Ocwen Financial Corp. (c)

     4        197   

OFG Bancorp

     4        71   

Old National Bancorp

     7        112   

Old Republic International Corp.

     16        280   

OmniAmerican Bancorp Inc. (c)

     1        11   

OneBeacon Insurance Group Ltd. - Class A

     2        33   

Oritani Financial Corp.

     2        40   

Pacific Continental Corp.

     1        13   

PacWest Bancorp (e)

     2        74   

Park National Corp. (e)

     1        43   

Park Sterling Corp.

     4        29   

Parkway Properties Inc.

     1        16   

PartnerRe Ltd.

     3        349   

People’s United Financial Inc.

     19        295   

Peoples Bancorp Inc.

     1        11   

PHH Corp. (c)

     3        79   

Pico Holdings Inc. (c)

     2        35   

Pinnacle Financial Partners Inc.

     3        88   

Piper Jaffray Cos. (c)

     1        36   

Platinum Underwriters Holdings Ltd.

     2        116   

PNC Financial Services Group Inc.

     12        952   

Popular Inc. (c)

     7        191   

Portfolio Recovery Associates Inc. (c)

     3        137   

Preferred Bank (c)

     1        12   

Primerica Inc.

     5        193   

Principal Financial Group Inc.

     14        681   

PrivateBancorp Inc.

     7        192   

ProAssurance Corp.

     3        145   

Progressive Corp.

     19        530   

Prosperity Bancshares Inc.

     4        251   

Protective Life Corp.

     5        243   

Provident Financial Holdings Inc.

     —        3   

Provident Financial Services Inc.

     3        56   

Prudential Financial Inc.

     11        979   

Radian Group Inc. (e)

     6        82   

Raymond James Financial Inc.

     6        308   

Regions Financial Corp.

     64        631   

Reinsurance Group of America Inc.

     4        341   

RenaissanceRe Holdings Ltd.

     3        273   

Renasant Corp.

     2        48   

Republic Bancorp Inc. - Class A

     1        20   

Resource America Inc. - Class A

     1        8   

RLI Corp. (e)

     1        117   

Rockville Financial Inc.

     2        31   

S&T Bancorp Inc.

     1        37   
     Shares/Par (p)     Value  

Safeguard Scientifics Inc. (c)

     1        26   

Safety Insurance Group Inc.

     1        39   

Sandy Spring Bancorp Inc.

     2        45   

Seacoast Banking Corp of Florida (c)

     —        1   

SEI Investments Co.

     4        135   

Selective Insurance Group Inc.

     5        130   

Sierra Bancorp

     1        10   

Signature Bank (c)

     2        262   

Simmons First National Corp. - Class A

     1        30   

Simplicity Bancorp Inc.

     —        6   

SLM Corp.

     21            550   

Southside Bancshares Inc. (e)

     1        39   

Southwest Bancorp Inc. (c)

     1        14   

St. Joe Co. (c) (e)

     3        58   

StanCorp Financial Group Inc.

     3        217   

State Auto Financial Corp.

     3        53   

State Street Corp.

     10        726   

StellarOne Corp.

     1        26   

Sterling Bancorp

     2        22   

Stewart Information Services Corp.

     1        45   

Stifel Financial Corp. (c)

     4        194   

Suffolk Bancorp (c)

     1        29   

Sun Bancorp Inc. (c)

     4        16   

SunTrust Banks Inc.

     13        466   

Susquehanna Bancshares Inc.

     14        186   

SVB Financial Group (c)

     3        310   

SY Bancorp Inc.

     1        26   

Symetra Financial Corp.

     5        93   

Synovus Financial Corp.

     59        214   

T. Rowe Price Group Inc.

     4        334   

Taylor Capital Group Inc. (c)

     1        35   

TCF Financial Corp.

     13        208   

TD Ameritrade Holding Corp.

     11        336   

Tejon Ranch Co. (c)

     1        33   

Territorial Bancorp Inc.

     1        12   

Texas Capital Bancshares Inc. (c)

     2        150   

TFS Financial Corp. (c)

     12        151   

Tompkins Financial Corp.

     1        45   

Torchmark Corp.

     4        339   

Tower Group International Ltd. (e)

     1        3   

TowneBank (e)

     1        21   

Travelers Cos. Inc.

     9        779   

Tree.com Inc. (c)

     1        32   

Trico Bancshares

     1        37   

TrustCo Bank Corp.

     7        54   

Trustmark Corp.

     5        147   

U.S. Bancorp

     41        1,672   

UMB Financial Corp.

     3        215   

Umpqua Holdings Corp. (e)

     5        104   

Union First Market Bankshares Corp.

     1        27   

United Bankshares Inc. (e)

     2        50   

United Community Banks Inc. (c)

     4        70   

United Financial Bancorp Inc.

     1        13   

United Fire Group Inc.

     1        34   

Universal Insurance Holdings Inc.

     4        54   

Univest Corp. of Pennsylvania

     1        27   

Unum Group

     12        433   

Validus Holdings Ltd.

     6        258   

Valley National Bancorp (e)

     6        59   

ViewPoint Financial Group Inc

     2        49   

Virginia Commerce Bancorp Inc. (c)

     2        26   

Waddell & Reed Financial Inc.

     3        186   

Washington Banking Co.

     1        11   

Washington Federal Inc.

     9        210   

Washington Trust Bancorp Inc.

     1        37   

Webster Financial Corp.

     6        194   

Wells Fargo & Co.

     116        5,246   

WesBanco Inc.

     2        53   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

West Bancorp Inc.

     1        13   

Westamerica Bancorp (e)

     2        90   

Western Alliance Bancorp (c)

     6        138   

Westwood Holdings Group Inc.

     —        19   

Willis Group Holdings Plc

     4        184   

Wilshire Bancorp Inc.

     8        87   

Wintrust Financial Corp.

     3        151   

WisdomTree Investments Inc. (c)

     4        73   

World Acceptance Corp. (c) (e)

     1        44   

WR Berkley Corp.

     7        283   

WSFS Financial Corp.

     —        31   

XL Group Plc

     12        374   

Zions Bancorp

     11        339   
   

 

 

  
        87,669   

HEALTH CARE - 11.1%

    

Abbott Laboratories

     24        907   

AbbVie Inc.

     24        1,283   

Acadia HealthCare Co. Inc. (c) (e)

     2        114   

Accuray Inc. (c) (e)

     1        9   

Acorda Therapeutics Inc. (c)

     1        32   

Actavis plc (c)

     4        752   

Addus HomeCare Corp. (c)

     —        9   

Aetna Inc.

     8        567   

Affymetrix Inc. (c) (e)

     8        67   

Agilent Technologies Inc.

     5        293   

Air Methods Corp. (c)

     2        105   

Akorn Inc. (c) (e)

     2        50   

Albany Molecular Research Inc. (c)

     3        25   

Alere Inc. (c)

     5        197   

Alexion Pharmaceuticals Inc. (c)

     3        399   

Align Technology Inc. (c)

     3        160   

Alkermes Plc (c)

     7        274   

Allergan Inc.

     4        433   

Allscripts-Misys Healthcare Solutions Inc. (c)

     11        171   

Alnylam Pharmaceuticals Inc. (c)

     2        125   

Amedisys Inc. (c)

     4        53   

AmerisourceBergen Corp.

     5        350   

Amgen Inc.

     12        1,375   

AMN Healthcare Services Inc. (c)

     3        39   

Amsurg Corp. (c)

     2        82   

Analogic Corp.

     1        57   

AngioDynamics Inc. (c)

     2        27   

Anika Therapeutics Inc. (c)

     1        46   

Ariad Pharmaceuticals Inc. (c) (e)

     4        29   

ArthroCare Corp. (c)

     1        48   

athenahealth Inc. (c) (e)

     1        161   

Atrion Corp.

     —        19   

Baxano Surgical Inc. (c) (e)

     1        1   

Baxter International Inc.

     7        494   

Becton Dickinson & Co.

     3        354   

Bio-Rad Laboratories Inc. - Class A (c)

     1        159   

Bio-Reference Labs Inc. (c) (e)

     2        41   

Biogen Idec Inc. (c)

     4        1,007   

BioMarin Pharmaceutical Inc. (c)

     3        224   

BioScrip Inc. (c)

     4        27   

BioTelemetry Inc. (c)

     —        3   

Boston Scientific Corp. (c)

     62        742   

Bristol-Myers Squibb Co.

     26        1,371   

Brookdale Senior Living Inc. (c)

     6        160   

Bruker Corp. (c)

     9        176   

Cambrex Corp. (c)

     3        50   

Cantel Medical Corp.

     3        88   

Capital Senior Living Corp. (c)

     1        29   

Cardinal Health Inc.

     5        366   

CareFusion Corp. (c)

     10        402   

Celgene Corp. (c)

     6        1,065   

Celldex Therapeutics Inc. (c)

     2        51   
     Shares/Par (p)     Value  

Centene Corp. (c)

     3        171   

Cepheid Inc. (c) (e)

     2        96   

Cerner Corp. (c)

     5        260   

Charles River Laboratories International Inc. (c)

     3        146   

Chemed Corp. (e)

     1        54   

Chindex International Inc. (c)

     1        12   

CIGNA Corp.

     6        546   

Community Health Systems Inc. (c)

     4        167   

Computer Programs & Systems Inc.

     —        27   

Conmed Corp.

     1        47   

Cooper Cos. Inc.

     2        203   

Corvel Corp. (c)

     1        47   

Covance Inc. (c)

     3        260   

Covidien Plc

     7        502   

CR Bard Inc.

     2        214   

Cross Country Healthcare Inc. (c)

     2        17   

CryoLife Inc.

     1        13   

Cubist Pharmaceuticals Inc. (c)

     4        265   

Cumberland Pharmaceuticals Inc. (c) (e)

     1        5   

Cyberonics Inc. (c)

     1        72   

DaVita HealthCare Partners Inc. (c)

     5        292   

Dentsply International Inc.

     5        224   

Edwards Lifesciences Corp. (c)

     2        131   

Eli Lilly & Co.

     13        673   

Emergent BioSolutions Inc. (c)

     2        46   

Emeritus Corp. (c)

     2        39   

Endo Pharmaceuticals Holdings Inc. (c) (e)

     6        387   

Ensign Group Inc.

     2        66   

ExacTech Inc. (c)

     1        12   

ExamWorks Group Inc. (c)

     2        48   

Express Scripts Holding Co. (c)

     18            1,279   

Five Star Quality Care Inc. (c)

     2        12   

Forest Laboratories Inc. (c)

     13        752   

Gentiva Health Services Inc. (c)

     1        14   

Gilead Sciences Inc. (c)

     24        1,811   

Greatbatch Inc. (c)

     1        49   

Haemonetics Corp. (c)

     2        101   

Hanger Orthopedic Group Inc. (c)

     2        90   

Harvard Apparatus Regenerative Technology Inc. (c)

     —        —   

Harvard Bioscience Inc. (c)

     —        —   

HCA Holdings Inc. (c)

     5        239   

Health Management Associates Inc. -
Class A (c)

     8        105   

Health Net Inc. (c)

     4        117   

HealthSouth Corp.

     3        89   

Healthways Inc. (c) (e)

     2        29   

Henry Schein Inc. (c)

     2        240   

Hi-Tech Pharmacal Co. Inc. (c)

     —        4   

Hill-Rom Holdings Inc.

     4        147   

HMS Holdings Corp. (c)

     1        21   

Hologic Inc. (c)

     13        294   

Hospira Inc. (c)

     8        331   

Humana Inc.

     7        757   

ICU Medical Inc. (c)

     1        70   

Idexx Laboratories Inc. (c)

     2        172   

Illumina Inc. (c) (e)

     3        301   

Impax Laboratories Inc. (c)

     6        146   

Incyte Corp. (c)

     5        254   

Insys Therapeutics Inc. (c)

     —        10   

Integra LifeSciences Holdings Corp. (c)

     1        57   

Intuitive Surgical Inc. (c)

     —        115   

Invacare Corp.

     2        48   

IPC The Hospitalist Co. Inc. (c) (e)

     1        48   

Isis Pharmaceuticals Inc. (c) (e)

     4        147   

Jazz Pharmaceuticals Plc (c)

     3        372   

Johnson & Johnson

     45        4,148   

Kindred Healthcare Inc.

     5        106   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Laboratory Corp. of America Holdings (c)

     3        247   

Lannett Co. Inc. (c)

     1        40   

LHC Group Inc. (c)

     1        31   

Life Technologies Corp. (c)

     5        385   

LifePoint Hospitals Inc. (c)

     3        147   

Ligand Pharmaceuticals Inc. (c) (e)

     1        26   

Luminex Corp. (c)

     1        27   

Magellan Health Services Inc. (c)

     2        102   

Mallinckrodt Plc (c)

     1        44   

Masimo Corp. (c)

     2        71   

McKesson Corp.

     4        597   

MedAssets Inc. (c)

     4        83   

Medicines Co. (c)

     2        93   

Medidata Solutions Inc. (c)

     2        103   

Medivation Inc. (c)

     2        147   

MEDNAX Inc. (c)

     5        278   

Medtronic Inc.

     16        921   

Merck & Co. Inc.

     46        2,320   

Meridian Bioscience Inc. (e)

     1        36   

Merit Medical Systems Inc. (c)

     3        44   

Mettler-Toledo International Inc. (c)

     1        170   

Molina Healthcare Inc. (c)

     2        76   

Momenta Pharmaceuticals Inc. (c)

     3        52   

MWI Veterinary Supply Inc. (c)

     —        68   

Mylan Inc. (c)

     9        373   

Myriad Genetics Inc. (c) (e)

     5        98   

National Healthcare Corp.

     1        32   

National Research Corp. - Class A (c)

     1        11   

National Research Corp. - Class B (e)

     —        3   

Natus Medical Inc. (c)

     2        50   

NPS Pharmaceuticals Inc. (c)

     3        96   

NuVasive Inc. (c)

     4        114   

Omnicare Inc.

     5        327   

Omnicell Inc. (c)

     2        61   

Opko Health Inc. (c) (e)

     21        175   

OraSure Technologies Inc. (c)

     2        14   

Owens & Minor Inc. (e)

     4        163   

Pacific Biosciences of California Inc. (c)

     2        8   

PAREXEL International Corp. (c)

     3        140   

Patterson Cos. Inc.

     5        226   

PDI Inc. (c)

     1        3   

PDL BioPharma Inc. (e)

     6        49   

PerkinElmer Inc.

     7        285   

Perrigo Co. Plc

     2        310   

Pfizer Inc.

     144        4,419   

PharMerica Corp. (c)

     1        24   

Providence Services Corp. (c)

     1        28   

Quality Systems Inc. (e)

     4        74   

Quest Diagnostics Inc. (e)

     6        348   

Questcor Pharmaceuticals Inc. (e)

     2        100   

Quidel Corp. (c) (e)

     2        47   

Regeneron Pharmaceuticals Inc. (c)

     2        413   

Repligen Corp. (c)

     3        38   

ResMed Inc. (e)

     3        140   

Sagent Pharmaceuticals Inc. (c)

     1        13   

Salix Pharmaceuticals Ltd. (c)

     2        183   

Santarus Inc. (c)

     3        85   

Sciclone Pharmaceuticals Inc. (c)

     6        29   

Seattle Genetics Inc. (c) (e)

     4        156   

Select Medical Holdings Corp. (e)

     7        75   

Sirona Dental Systems Inc. (c)

     2        120   

St. Jude Medical Inc.

     5        288   

STERIS Corp.

     3        144   

Stryker Corp.

     5        369   

SurModics Inc. (c)

     1        20   

Symmetry Medical Inc. (c)

     —        2   

Taro Pharmaceutical Industries Ltd. (c)

     —        13   

Team Health Holdings Inc. (c)

     2        105   
     Shares/Par (p)     Value  

Techne Corp.

     2        183   

Teleflex Inc.

     2        223   

Tenet Healthcare Corp. (c)

     3        125   

Theravance Inc. (c) (e)

     4        127   

Thermo Fisher Scientific Inc.

     8        902   

Thoratec Corp. (c)

     4        144   

Tornier BV (c) (e)

     3        48   

Triple-S Management Corp. - Class B (c)

     2        29   

United Therapeutics Corp. (c)

     3        294   

UnitedHealth Group Inc.

     23        1,735   

Universal American Corp.

     4        30   

Universal Health Services Inc. - Class B

     3        231   

US Physical Therapy Inc.

     —        15   

Utah Medical Products Inc.

     —        11   

Varian Medical Systems Inc. (c)

     2        177   

Vascular Solutions Inc. (c)

     1        12   

VCA Antech Inc. (c)

     6        178   

Vertex Pharmaceuticals Inc. (c)

     4        275   

Vical Inc. (c) (e)

     —        —   

ViroPharma Inc. (c)

     3        169   

Waters Corp. (c)

     2        190   

WellCare Health Plans Inc. (c)

     3        191   

WellPoint Inc.

     7        635   

West Pharmaceutical Services Inc.

     4        177   

Wright Medical Group Inc. (c)

     4        122   

Zimmer Holdings Inc.

     6        513   

Zoetis Inc. - Class A

     12        394   
   

 

 

  
    55,594   

INDUSTRIALS - 13.5%

  

3M Co.

     10        1,436   

AAON Inc.

     2        52   

AAR Corp.

     2        43   

ABM Industries Inc.

     5        130   

Acacia Research Corp. (e)

     2        26   

ACCO Brands Corp. (c)

     —        1   

Aceto Corp.

     3        77   

Actuant Corp. - Class A

     5        176   

Acuity Brands Inc.

     2        240   

ADT Corp. (e)

     5        211   

Advisory Board Co. (c)

     1        64   

AECOM Technology Corp. (c)

     6        188   

Aegion Corp. (c) (e)

     2        41   

AeroVironment Inc. (c)

     2        57   

AGCO Corp.

     5        271   

Air Transport Services Group Inc. (c)

     1        12   

Alamo Group Inc.

     1        62   

Alaska Air Group Inc. (e)

     4        320   

Albany International Corp.

     2        77   

Allegiant Travel Co.

     1        105   

Allegion Plc (c)

     1        65   

Alliant Techsystems Inc.

     2        256   

Altra Holdings Inc.

     1        33   

Amerco Inc. (c)

     1        251   

Ameresco Inc. - Class A (c)

     1        5   

American Airlines Group Inc (c) (e)

     4        111   

American Railcar Industries Inc. (e)

     1        43   

American Science & Engineering Inc.

     —        22   

American Woodmark Corp. (c)

     1        24   

AMETEK Inc.

     7        382   

AO Smith Corp.

     4        216   

Apogee Enterprises Inc.

     1        47   

Applied Industrial Technologies Inc.

     3        133   

ARC Document Solutions Inc. (c)

     4        35   

Arkansas Best Corp.

     1        47   

Armstrong World Industries Inc. (c)

     3        151   

Astec Industries Inc.

     1        26   

Astronics Corp. (c)

     —        20   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Astronics Corp. - Class B (c)

     —        4   

Atlas Air Worldwide Holdings Inc. (c)

     2        89   

Avery Dennison Corp.

     5        245   

Avis Budget Group Inc. (c)

     7        284   

AZZ Inc.

     1        49   

B/E Aerospace Inc. (c)

     3        276   

Babcock & Wilcox Co.

     6        195   

Baltic Trading Ltd.

     3        19   

Barnes Group Inc.

     4        151   

Barrett Business Services Inc.

     —        37   

Beacon Roofing Supply Inc. (c)

     2        76   

Belden Inc.

     2        155   

Blount International Inc. (c)

     2        25   

Boeing Co.

     11        1,567   

Brady Corp.

     2        58   

Breeze-Eastern Corp. (c)

     —        3   

Briggs & Stratton Corp.

     2        40   

Brink’s Co.

     1        43   

Builders FirstSource Inc. (c)

     4        26   

Carlisle Cos. Inc.

     3        265   

Casella Waste Systems Inc. - Class A (c)

     1        6   

Caterpillar Inc.

     9        788   

CBIZ Inc. (c)

     4        32   

CDI Corp.

     1        17   

CH Robinson Worldwide Inc.

     3        200   

Chart Industries Inc. (c)

     2        143   

Chicago Bridge & Iron Co. NV

     3        261   

Cintas Corp.

     4        218   

CIRCOR International Inc.

     1        97   

CLARCOR Inc.

     3        170   

Clean Harbors Inc. (c)

     3        177   

CNH Industrial NV (c) (e)

     6        65   

Coleman Cable Inc.

     1        16   

Colfax Corp. (c)

     3        204   

Columbus Mckinnon Corp. (c)

     1        30   

Comfort Systems USA Inc.

     3        64   

Con-Way Inc.

     4        155   

Consolidated Graphics Inc. (c)

     1        61   

Copa Holdings SA - Class A

     1        112   

Copart Inc. (c)

     3        101   

Corporate Executive Board Co.

     1        108   

Costa Inc. - Class A (c)

     1        11   

Courier Corp.

     1        9   

Covanta Holding Corp.

     8        148   

Crane Co.

     3        199   

CSX Corp.

     24        684   

Cubic Corp.

     2        82   

Cummins Inc.

     3        395   

Curtiss-Wright Corp.

     3        204   

Danaher Corp.

     13        989   

Deere & Co.

     5        448   

Delta Air Lines Inc.

     16        442   

Deluxe Corp.

     3        157   

DigitalGlobe Inc. (c)

     5        197   

Donaldson Co. Inc.

     3        137   

Douglas Dynamics Inc.

     2        26   

Dover Corp.

     5        505   

Ducommun Inc. (c)

     —        14   

Dun & Bradstreet Corp.

     2        258   

DXP Enterprises Inc. (c)

     1        58   

Dycom Industries Inc. (c)

     3        78   

Dynamic Materials Corp.

     1        13   

Eaton Corp. Plc

     11        808   

Echo Global Logistics Inc. (c)

     1        21   

EMCOR Group Inc.

     3        132   

Emerson Electric Co.

     11        806   

Encore Capital Group Inc. (c)

     2        98   

Encore Wire Corp.

     2        87   
     Shares/Par (p)     Value  

Energy Recovery Inc. (c)

     1        7   

EnerSys Inc.

     3        195   

Engility Holdings Inc. (c)

     1        45   

Ennis Inc.

     1        19   

EnPro Industries Inc. (c)

     1        82   

Equifax Inc.

     4        265   

ESCO Technologies Inc.

     2        52   

Esterline Technologies Corp. (c)

     2        215   

Exelis Inc.

     9        175   

Expeditors International of Washington Inc.

     4        197   

Exponent Inc.

     1        50   

Fastenal Co.

     6        309   

Federal Signal Corp. (c)

     3        41   

FedEx Corp.

     7        972   

Flow International Corp. (c)

     5        20   

Flowserve Corp.

     3        233   

Fluor Corp.

     5        422   

Fortune Brands Home & Security Inc.

     5        238   

Forward Air Corp.

     2        69   

Franklin Covey Co. (c)

     1        12   

Franklin Electric Co. Inc.

     3        143   

FreightCar America Inc.

     —        12   

FTI Consulting Inc. (c) (e)

     2        96   

Fuel Tech Inc. (c)

     1        10   

Furmanite Corp. (c)

     2        16   

G&K Services Inc. - Class A

     1        50   

GATX Corp.

     2        111   

Generac Holdings Inc.

     2        125   

General Cable Corp.

     2        58   

General Dynamics Corp.

     5        461   

General Electric Co.

     225        6,314   

Genesee & Wyoming Inc. - Class A (c)

     3        316   

Geo Group Inc.

     4        115   

Gibraltar Industries Inc. (c)

     1        26   

Global Power Equipment Group Inc.

     —        8   

Gorman-Rupp Co.

     1        33   

GP Strategies Corp. (c)

     1        42   

Graco Inc.

     2        136   

GrafTech International Ltd. (c) (e)

     7        78   

Graham Corp.

     —        15   

Granite Construction Inc.

     2        62   

Great Lakes Dredge & Dock Corp. (c)

     3        26   

Greenbrier Cos. Inc. (c)

     3        100   

Griffon Corp.

     3        37   

H&E Equipment Services Inc. (c)

     1        34   

Hardinge Inc.

     1        21   

Harsco Corp.

     4        111   

Hawaiian Holdings Inc. (c) (e)

     5        47   

Healthcare Services Group Inc.

     2        52   

Heartland Express Inc.

     4        84   

HEICO Corp.

     1        85   

HEICO Corp. - Class A

     2        74   

Heidrick & Struggles International Inc.

     —        6   

Herman Miller Inc.

     3        88   

Hertz Global Holdings Inc. (c)

     16        453   

Hexcel Corp. (c)

     5        228   

Hill International Inc. (c)

     2        6   

HNI Corp.

     3        109   

Honeywell International Inc.

     12        1,087   

HUB Group Inc. (c)

     1        58   

Hubbell Inc. - Class A

     —        10   

Hubbell Inc. - Class B

     1        145   

Hudson Global Inc. (c)

     1        2   

Huntington Ingalls Industries Inc.

     3        227   

Huron Consulting Group Inc. (c)

     1        55   

Hyster-Yale Materials Handling Inc. - Class A

     1        56   

ICF International Inc. (c)

     1        31   

IDEX Corp.

     2        180   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

IHS Inc. - Class A (c)

     2        251   

II-VI Inc. (c)

     4        64   

Illinois Tool Works Inc.

     7        574   

Ingersoll-Rand Plc

     12        716   

Insperity Inc.

     1        52   

Insteel Industries Inc.

     2        41   

Integrated Electrical Services Inc. (c)

     —        —   

Interface Inc.

     3        72   

Intersections Inc.

     1        5   

Iron Mountain Inc.

     4        122   

ITT Corp.

     4        186   

Jacobs Engineering Group Inc. (c)

     6        390   

JB Hunt Transport Services Inc.

     3        203   

JetBlue Airways Corp. (c)

     14        119   

John Bean Technologies Corp.

     1        26   

Joy Global Inc. (e)

     3        163   

Kaman Corp. (e)

     2        82   

Kansas City Southern

     4        446   

KAR Auction Services Inc.

     9        260   

KBR Inc.

     9        290   

Kelly Services Inc. - Class A

     3        75   

Kennametal Inc.

     5        255   

Kforce Inc.

     2        39   

Kimball International Inc. - Class B

     2        36   

Kirby Corp. (c)

     4        347   

Knight Transportation Inc.

     7        123   

Knoll Inc.

     1        25   

Korn/Ferry International (c)

     2        57   

Kratos Defense & Security Solutions Inc. (c)

     6        44   

L-3 Communications Holdings Inc.

     4        460   

Landstar System Inc.

     1        79   

LB Foster Co.

     —        19   

Lennox International Inc.

     2        128   

Lincoln Electric Holdings Inc.

     2        118   

Lindsay Corp. (e)

     —        33   

Lockheed Martin Corp.

     4        639   

LSI Industries Inc.

     1        6   

Manitowoc Co. Inc. (e)

     7        161   

Manpower Inc.

     4        301   

Marten Transport Ltd.

     1        30   

Masco Corp.

     8        178   

MasTec Inc. (c)

     6        187   

Matson Inc.

     4        94   

McGrath RentCorp

     1        44   

Meritor Inc. (c)

     5        48   

Metalico Inc. (c)

     1        1   

Middleby Corp. (c)

     1        168   

Miller Industries Inc.

     1        11   

Mine Safety Appliances Co.

     2        103   

Mobile Mini Inc. (c)

     3        103   

Moog Inc. (c)

     3        182   

Moog Inc. - Class B (c)

     —        13   

MRC Global Inc. (c)

     5        145   

MSC Industrial Direct Co.

     1        50   

Mueller Industries Inc.

     1        94   

Mueller Water Products Inc. - Class A

     8        77   

Multi-Color Corp.

     1        26   

MYR Group Inc. (c)

     1        24   

NACCO Industries Inc. - Class A

     1        31   

National Presto Industries Inc. (e)

     —        24   

Navigant Consulting Inc. (c)

     4        68   

Navistar International Corp. (c) (e)

     4        167   

Nielsen Holdings NV

     17        768   

NL Industries Inc.

     1        10   

NN Inc.

     —        10   

Nordson Corp.

     2        145   

Norfolk Southern Corp.

     7        685   

Nortek Inc. (c)

     1        62   
     Shares/Par (p)     Value  

Northrop Grumman Systems Corp.

     5        516   

Northwest Pipe Co. (c)

     1        38   

Old Dominion Freight Line Inc. (c)

     4        234   

On Assignment Inc. (c)

     4        129   

Orbital Sciences Corp. (c)

     5        117   

Orion Marine Group Inc. (c)

     1        14   

Oshkosh Corp.

     6        284   

Owens Corning Inc. (c)

     6        233   

PACCAR Inc.

     6        326   

Pacer International Inc. (c)

     3        26   

Pall Corp.

     2        213   

Park-Ohio Holdings Corp. (c)

     1        52   

Parker Hannifin Corp.

     2        308   

Patrick Industries Inc. (c)

     —        14   

Pentair Ltd.

     9        719   

PGT Inc. (c)

     2        18   

Pitney Bowes Inc.

     6        141   

Polypore International Inc. (c) (e)

     1        43   

Powell Industries Inc.

     1        33   

PowerSecure International Inc. (c)

     1        21   

Precision Castparts Corp.

     2        592   

Preformed Line Products Co.

     —        14   

Primoris Services Corp.

     3        81   

Proto Labs Inc. (c) (e)

     1        46   

Quad/Graphics Inc. - Class A (e)

     2        41   

Quality Distribution Inc. (c)

     2        20   

Quanex Building Products Corp.

     2        40   

Quanta Services Inc. (c)

     10        316   

Raven Industries Inc.

     1        46   

Raytheon Co.

     5        464   

RBC Bearings Inc. (c)

     1        73   

Regal-Beloit Corp.

     3        213   

Republic Airways Holdings Inc. (c)

     2        19   

Republic Services Inc. - Class A

     17        555   

Resources Connection Inc.

     1        10   

Rexnord Corp. (c)

     —        12   

Roadrunner Transportation Systems Inc. (c)

     3        86   

Robert Half International Inc.

     3        131   

Rockwell Automation Inc.

     3        365   

Rockwell Collins Inc.

     3        224   

Rollins Inc.

     4        121   

Roper Industries Inc.

     3        432   

RPX Corp. (c)

     4        61   

RR Donnelley & Sons Co. (e)

     9        185   

Rush Enterprises Inc. - Class A (c)

     2        62   

Ryder System Inc.

     3        236   

Saia Inc. (c)

     1        34   

Schawk Inc. - Class A

     1        16   

Sensata Technologies Holding NV (c)

     4        151   

SIFCO Industries Inc.

     —        4   

Simpson Manufacturing Co. Inc.

     4        149   

SkyWest Inc.

     2        24   

Snap-On Inc.

     2        190   

Southwest Airlines Co.

     33        626   

SP Plus Corp. (c) (e)

     1        13   

Spirit Aerosystems Holdings Inc. - Class A (c)

     7        253   

Spirit Airlines Inc. (c)

     5        221   

SPX Corp.

     3        286   

Standex International Corp.

     —        25   

Stanley Black & Decker Inc.

     7        587   

Steelcase Inc. - Class A

     4        68   

Stericycle Inc. (c)

     2        232   

Sun Hydraulics Corp.

     1        33   

Supreme Industries Inc. - Class A (c)

     2        10   

Swift Transporation Co. - Class A (c) (e)

     5        104   

TAL International Group Inc. (e)

     2        97   

Taser International Inc. (c)

     2        37   

Team Inc. (c)

     1        25   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Teledyne Technologies Inc. (c)

     2        188   

Tennant Co.

     1        74   

Terex Corp.

     7        286   

Tetra Tech Inc. (c)

     4        98   

Textainer Group Holdings Ltd. (e)

     3        106   

Textron Inc.

     9        317   

Timken Co.

     6        328   

Titan International Inc.

     2        29   

Toro Co.

     2        114   

Towers Watson & Co.

     2        259   

TransDigm Group Inc.

     1        193   

Travelzoo Inc. (c)

     —        4   

TRC Cos. Inc. (c)

     1        7   

Trex Co. Inc. (c)

     —        36   

TriMas Corp. (c)

     3        107   

Trinity Industries Inc.

     5        272   

Triumph Group Inc.

     3        207   

TrueBlue Inc. (c)

     3        72   

Tutor Perini Corp. (c)

     4        105   

Twin Disc Inc.

     1        31   

Tyco International Ltd.

     7        304   

Ultralife Corp. (c)

     —        1   

UniFirst Corp.

     1        139   

Union Pacific Corp.

     10        1,754   

United Continental Holdings Inc. (c)

     7        247   

United Parcel Service Inc. - Class B

     11        1,193   

United Rentals Inc. (c)

     5        375   

United Stationers Inc. (e)

     3        156   

United Technologies Corp.

     14        1,587   

Universal Forest Products Inc.

     1        63   

URS Corp.

     5        239   

US Ecology Inc.

     1        32   

USG Corp. (c)

     3        98   

UTi Worldwide Inc.

     5        87   

Valmont Industries Inc.

     1        179   

Verisk Analytics Inc. (c)

     4        250   

Viad Corp.

     1        25   

Vicor Corp. (c)

     1        19   

VSE Corp.

     —        14   

Wabash National Corp. (c)

     3        32   

Wabtec Corp.

     2        146   

Waste Connections Inc.

     8        341   

Waste Management Inc.

     7        307   

Watsco Inc.

     2        155   

Watts Water Technologies Inc. - Class A

     2        149   

Werner Enterprises Inc. (e)

     5        129   

WESCO International Inc. (c)

     3        243   

Woodward Governor Co.

     4        199   

WW Grainger Inc.

     1        230   

Xerium Technologies Inc. (c)

     —        5   

XPO Logistics Inc. (c) (e)

     1        15   

Xylem Inc.

     6        207   
   

 

 

  
    67,768   

INFORMATION TECHNOLOGY - 16.9%

  

3D Systems Corp. (c) (e)

     3        252   

Accelrys Inc. (c)

     3        27   

Accenture Plc - Class A

     8        669   

ACI Worldwide Inc. (c)

     2        102   

Activision Blizzard Inc.

     31        547   

Actuate Corp. (c)

     1        11   

Acxiom Corp. (c)

     5        185   

Adobe Systems Inc. (c)

     8        453   

ADTRAN Inc.

     4        107   

Advanced Energy Industries Inc. (c)

     2        46   

Advanced Micro Devices Inc. (c) (e)

     5        21   

Advent Software Inc.

     4        126   

Akamai Technologies Inc. (c)

     6        270   
     Shares/Par (p)     Value  

Alliance Data Systems Corp. (c) (e)

     1        289   

Alpha & Omega Semiconductor Ltd. (c)

     1        8   

Altera Corp.

     10        318   

Amdocs Ltd.

     7        309   

Amphenol Corp. - Class A

     3        307   

Analog Devices Inc.

     10        507   

Anaren Inc. (c)

     1        20   

Anixter International Inc.

     2        156   

Ansys Inc. (c)

     2        187   

AOL Inc. (c)

     5        238   

Apple Inc.

     14        8,016   

Applied Materials Inc.

     19        341   

Applied Micro Circuits Corp. (c) (e)

     1        14   

Arris Group Inc. (c)

     7        176   

Arrow Electronics Inc. (c)

     6        348   

Aspen Technology Inc. (c)

     3        118   

Atmel Corp. (c)

     22        172   

ATMI Inc. (c)

     3        80   

Autodesk Inc. (c)

     5        252   

Automatic Data Processing Inc.

     8        624   

Avago Technologies Ltd.

     6        297   

AVG Technologies NV (c)

     2        35   

Avid Technology Inc. (c)

     1        11   

Avnet Inc.

     7        327   

AVX Corp.

     8        114   

Axcelis Technologies Inc. (c)

     3        7   

Badger Meter Inc.

     1        32   

Bankrate Inc. (c) (e)

     6        107   

Bel Fuse Inc. - Class B

     —        9   

Benchmark Electronics Inc. (c)

     2        42   

Black Box Corp.

     —        6   

Blackbaud Inc.

     1        46   

Blucora Inc. (c)

     4        102   

Booz Allen Hamilton Holding Corp. - Class A

     3        67   

Bottomline Technologies Inc. (c)

     2        61   

Broadcom Corp. - Class A

     4        130   

Broadridge Financial Solutions Inc.

     6        244   

Brocade Communications Systems Inc. (c)

     27        236   

Brooks Automation Inc.

     4        37   

CA Inc.

     14        485   

Cabot Microelectronics Corp. (c)

     2        71   

CACI International Inc. - Class A (c)

     1        64   

Cadence Design Systems Inc. (c)

     14        197   

CalAmp Corp. (c) (e)

     2        49   

Calix Inc. (c)

     4        42   

Cardtronics Inc. (c)

     2        78   

Cass Information Systems Inc.

     —        20   

Ceva Inc. (c)

     1        14   

Checkpoint Systems Inc. (c)

     4        57   

Ciena Corp. (c) (e)

     5        119   

Cirrus Logic Inc. (c) (e)

     1        24   

Cisco Systems Inc.

     121        2,723   

Citrix Systems Inc. (c)

     4        221   

Cognex Corp.

     5        177   

Cognizant Technology Solutions
Corp. - Class A (c)

     5        485   

Coherent Inc. (c)

     1        89   

Communications Systems Inc.

     1        14   

CommVault Systems Inc. (c)

     2        113   

Computer Sciences Corp.

     7        395   

Computer Task Group Inc.

     1        13   

Compuware Corp.

     9        102   

Comverse Inc. (c)

     1        47   

Concur Technologies Inc. (c) (e)

     2        227   

Constant Contact Inc. (c)

     2        70   

Convergys Corp.

     6        135   

CoreLogic Inc. (c)

     6        203   

Corning Inc.

     33        595   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CoStar Group Inc. (c)

     1        203   

Cray Inc. (c)

     2        64   

Cree Inc. (c)

     4        235   

CSG Systems International Inc.

     2        68   

CTS Corp.

     2        30   

Daktronics Inc.

     2        30   

Dealertrack Technologies Inc. (c)

     3        154   

Demand Media Inc. (c)

     4        24   

Diebold Inc. (e)

     5        151   

Digi International Inc. (c)

     1        15   

Digimarc Corp.

     —        4   

Digital River Inc. (c)

     4        70   

Diodes Inc. (c)

     4        92   

Dolby Laboratories Inc. - Class A (c) (e)

     2        89   

Dot Hill Systems Corp. (c)

     5        17   

DSP Group Inc. (c)

     1        10   

DST Systems Inc.

     2        201   

DTS Inc. (c)

     1        22   

Earthlink Inc.

     5        25   

eBay Inc. (c)

     17        915   

EchoStar Corp. - Class A (c)

     3        132   

Electro Rent Corp.

     1        20   

Electronic Arts Inc. (c)

     10        224   

Electronics for Imaging Inc. (c)

     4        151   

Ellie Mae Inc. (c) (e)

     2        46   

EMC Corp.

     47        1,171   

Emulex Corp. (c)

     7        50   

Entegris Inc. (c)

     7        80   

Entropic Communications Inc. (c)

     4        21   

EPAM Systems Inc. (c)

     2        66   

EPIQ Systems Inc.

     2        28   

ePlus Inc. (c)

     —        25   

Equinix Inc. (c)

     1        160   

Euronet Worldwide Inc. (c)

     3        153   

Exar Corp. (c)

     3        40   

ExlService Holdings Inc. (c)

     1        37   

Extreme Networks (c)

     3        20   

F5 Networks Inc. (c)

     2        154   

Fabrinet (c)

     1        22   

Facebook Inc. - Class A (c)

     28        1,514   

FactSet Research Systems Inc. (e)

     1        140   

Fair Isaac Corp.

     2        118   

Fairchild Semiconductor International Inc. (c)

     5        60   

FEI Co.

     2        198   

Fidelity National Information Services Inc.

     14        754   

Finisar Corp. (c)

     6        154   

First Solar Inc. (c)

     5        292   

Fiserv Inc. (c)

     8        496   

FleetCor Technologies Inc. (c)

     2        222   

FLIR Systems Inc.

     7        222   

FormFactor Inc. (c)

     3        16   

Forrester Research Inc.

     1        44   

Fortinet Inc. (c)

     5        98   

Freescale Semiconductor Ltd. (c)

     7        108   

Frequency Electronics Inc. (c)

     1        12   

Gartner Inc. - Class A (c)

     2        128   

Genpact Ltd. (c)

     11        206   

Global Cash Access Holdings Inc. (c)

     5        52   

Global Payments Inc.

     4        243   

Globalscape Inc.

     1        1   

Google Inc. - Class A (c)

     4        4,905   

GSI Group Inc. (c)

     2        24   

GSI Technology Inc. (c)

     1        9   

GT Advanced Technologies Inc. (c) (e)

     —        2   

Guidewire Software Inc. (c)

     2        100   

Hackett Group Inc.

     3        16   

Harmonic Inc. (c)

     8        56   

Harris Corp.

     2        161   
     Shares/Par (p)     Value  

Heartland Payment Systems Inc.

     1        73   

Hewlett-Packard Co.

     42        1,166   

Hittite Microwave Corp. (c)

     2        120   

IAC/InterActiveCorp.

     5        335   

IEC Electronics Corp. (c)

     —        2   

iGate Corp. (c)

     2        92   

Imation Corp. (c)

     2        8   

Infinera Corp. (c) (e)

     8        79   

Informatica Corp. (c)

     6        237   

Ingram Micro Inc. - Class A (c)

     10        227   

Inphi Corp. (c)

     —        4   

Insight Enterprises Inc. (c)

     2        36   

Integrated Device Technology Inc. (c)

     12        127   

Integrated Silicon Solutions Inc. (c)

     1        12   

Intel Corp.

     110        2,852   

InterDigital Inc. (e)

     1        36   

International Business Machines Corp.

     12        2,328   

International Rectifier Corp. (c)

     5        136   

Intersil Corp. - Class A

     6        66   

Intevac Inc. (c)

     1        7   

IntraLinks Holdings Inc. (c)

     6        73   

Intuit Inc.

     4        309   

InvenSense Inc. (c) (e)

     —        10   

IPG Photonics Corp. (c) (e)

     2        192   

Itron Inc. (c)

     1        50   

Ixia (c)

     3        37   

IXYS Corp.

     3        39   

j2 Global Inc. (e)

     3        151   

Jabil Circuit Inc.

     13        222   

Jack Henry & Associates Inc.

     4        254   

JDS Uniphase Corp. (c)

     9        113   

Juniper Networks Inc. (c)

     23        508   

Key Tronic Corp. (c)

     —        4   

KLA-Tencor Corp.

     5        343   

Kulicke & Soffa Industries Inc. (c)

     5        69   

KVH Industries Inc. (c)

     1        8   

Lam Research Corp. (c)

     8        413   

Lattice Semiconductor Corp. (c)

     3        19   

Leidos Holdings Inc.

     6        257   

Lender Processing Services Inc.

     4        131   

Lexmark International Inc.

     5        165   

Limelight Networks Inc. (c)

     —        —   

Linear Technology Corp.

     5        224   

LinkedIn Corp. - Class A (c)

     2        356   

Lionbridge Technologies Inc. (c)

     2        14   

Littelfuse Inc.

     1        107   

LoJack Corp. (c)

     1        2   

Loral Space & Communications Inc. (c)

     1        49   

LSI Corp.

     29        315   

LTX-Credence Corp. (c)

     2        16   

M/A-COM Technology Solutions Holdings
Inc. (c)

     1        19   

Magnachip Semiconductor Corp. (c)

     2        47   

Manhattan Associates Inc. (c)

     1        59   

Mantech International Corp. - Class A

     1        37   

Marvell Technology Group Ltd.

     23        324   

MasterCard Inc. - Class A

     2        1,420   

Mattson Technology Inc. (c)

     —        —   

Maxim Integrated Products Inc.

     9        259   

MAXIMUS Inc.

     2        101   

MaxLinear Inc. (c)

     1        13   

Maxwell Technologies Inc. (c)

     3        25   

Measurement Specialties Inc. (c)

     1        46   

Mentor Graphics Corp.

     6        137   

Methode Electronics Inc.

     3        85   

Micrel Inc.

     2        15   

Microchip Technology Inc. (e)

     6        252   

Micron Technology Inc. (c)

     37        811   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

MICROS Systems Inc. (c)

     4        224   

Microsemi Corp. (c)

     6        162   

Microsoft Corp.

     126        4,700   

MKS Instruments Inc.

     3        82   

MoneyGram International Inc. (c)

     2        37   

Monolithic Power Systems Inc. (c)

     1        46   

Monotype Imaging Holdings Inc.

     2        57   

Motorola Solutions Inc.

     4        254   

Move Inc. (c)

     1        12   

MTS Systems Corp.

     1        56   

National Instruments Corp. (e)

     6        205   

NCR Corp. (c)

     4        128   

NeoPhotonics Corp. (c)

     1        10   

NetApp Inc.

     11        446   

NetGear Inc. (c)

     1        41   

NetScout Systems Inc. (c)

     2        71   

NetSuite Inc. (c)

     1        132   

NeuStar Inc. - Class A (c)

     3        157   

Newport Corp. (c)

     2        28   

NIC Inc.

     2        50   

Novatel Wireless Inc. (c)

     3        6   

Nuance Communications Inc. (c)

     12        189   

Nvidia Corp.

     27        431   

Omnivision Technologies Inc. (c)

     5        83   

ON Semiconductor Corp. (c)

     17        136   

OpenTable Inc. (c)

     1        56   

Oplink Communications Inc. (c)

     2        39   

Oracle Corp.

     53        2,028   

OSI Systems Inc. (c)

     1        58   

Park Electrochemical Corp.

     1        37   

Paychex Inc.

     8        360   

PDF Solutions Inc. (c)

     —        9   

Pegasystems Inc.

     1        69   

Perceptron Inc.

     1        15   

Perficient Inc. (c)

     3        59   

Pericom Semiconductor Corp. (c)

     1        7   

Photronics Inc. (c)

     2        18   

Plantronics Inc.

     3        116   

Plexus Corp. (c)

     3        124   

PLX Technology Inc. (c)

     2        11   

PMC - Sierra Inc. (c)

     10        64   

Polycom Inc. (c)

     2        26   

Power Integrations Inc.

     2        84   

PRG-Schultz International Inc. (c)

     1        6   

Progress Software Corp. (c)

     3        88   

PTC Inc. (c)

     6        214   

QAD Inc. - Class A

     1        12   

QLogic Corp. (c)

     5        56   

QUALCOMM Inc.

     28        2,043   

QuinStreet Inc. (c)

     2        14   

Rackspace Hosting Inc. (c)

     3        106   

Rambus Inc. (c)

     7        71   

RealPage Inc. (c) (e)

     2        49   

Red Hat Inc. (c)

     4        207   

Responsys Inc. (c)

     2        44   

RF Micro Devices Inc. (c)

     13        65   

Richardson Electronics Ltd.

     1        7   

Riverbed Technology Inc. (c) (e)

     8        147   

Rofin-Sinar Technologies Inc. (c)

     1        35   

Rogers Corp. (c)

     1        43   

Rosetta Stone Inc. (c)

     2        20   

Rovi Corp. (c)

     5        95   

Salesforce.com Inc. (c)

     9        496   

SanDisk Corp.

     10        730   

Sanmina Corp. (c)

     7        122   

Sapient Corp. (c)

     9        159   

ScanSource Inc. (c)

     2        83   

Science Applications International Corp.

     2        77   
     Shares/Par (p)     Value  

SeaChange International Inc. (c)

     1        16   

Seagate Technology

     7        414   

Semtech Corp. (c)

     3        71   

ShoreTel Inc. (c)

     6        59   

Silicon Image Inc. (c)

     7        42   

Silicon Laboratories Inc. (c)

     2        100   

Skyworks Solutions Inc. (c)

     12        341   

SolarWinds Inc. (c)

     2        64   

Solera Holdings Inc.

     2        146   

Sonus Networks Inc. (c) (e)

     18        57   

Spansion Inc. (c)

     3        38   

SS&C Technologies Holdings Inc. (c)

     4        195   

Stamps.com Inc. (c)

     1        31   

Stratasys Ltd. (c)

     2        245   

SunEdison Inc. (c)

     8        110   

SunPower Corp. (c) (e)

     5        152   

Super Micro Computer Inc. (c)

     3        58   

Supertex Inc. (c)

     —        12   

support.com Inc. (c)

     4        16   

Sykes Enterprises Inc. (c)

     2        52   

Symantec Corp.

     22        513   

Synaptics Inc. (c)

     2        91   

Synchronoss Technologies Inc. (c)

     2        58   

SYNNEX Corp. (c)

     3        211   

Synopsys Inc. (c)

     7        296   

Syntel Inc.

     1        96   

Take-Two Interactive Software Inc. (c)

     5        86   

Tangoe Inc. (c) (e)

     2        29   

TE Connectivity Ltd.

     7        367   

Tech Data Corp. (c)

     2        107   

TeleCommunication Systems Inc. - Class A (c)

     —        —   

TeleTech Holdings Inc. (c)

     3        78   

Teradata Corp. (c)

     3        147   

Teradyne Inc. (c)

     12        212   

Tessco Technologies Inc.

     1        26   

Tessera Technologies Inc.

     4        82   

Texas Instruments Inc.

     18        782   

TIBCO Software Inc. (c)

     9        193   

Total System Services Inc.

     5        183   

Transact Technologies Inc.

     —        1   

Trimble Navigation Ltd. (c)

     6        202   

TriQuint Semiconductor Inc. (c)

     14        113   

Trulia Inc. (c)

     —        —   

TTM Technologies Inc. (c)

     5        44   

Tyler Technologies Inc. (c)

     1        103   

Ubiquiti Networks Inc. (c) (e)

     1        60   

Ultimate Software Group Inc. (c)

     1        119   

Ultra Clean Holdings Inc. (c)

     2        18   

Ultratech Inc. (c)

     1        29   

Unisys Corp. (c) (e)

     2        67   

United Online Inc

     2        21   

ValueClick Inc. (c)

     3        76   

Vantiv Inc. - Class A (c)

     4        143   

Veeco Instruments Inc. (c)

     2        66   

VeriFone Systems Inc. (c)

     —        —   

Verint Systems Inc. (c)

     3        108   

VeriSign Inc. (c)

     3        191   

ViaSat Inc. (c)

     2        128   

Viasystems Group Inc. (c)

     1        19   

Virtusa Corp. (c)

     1        36   

Visa Inc. - Class A

     8        1,837   

Vishay Intertechnology Inc. (c)

     5        71   

Vishay Precision Group Inc. (c)

     1        10   

VistaPrint NV (c) (e)

     1        68   

VMware Inc. - Class A (c)

     1        117   

Vocus Inc. (c)

     1        12   

Web.com Group Inc. (c)

     1        44   

WebMD Health Corp. (c) (e)

     2        68   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Westell Technologies Inc. (c)

     3        13   

Western Digital Corp.

     11        909   

Western Union Co.

     11        198   

WEX Inc. (c)

     2        197   

Xerox Corp.

     57        699   

Xilinx Inc.

     6        279   

XO Group Inc. (c)

     2        27   

Xyratex Ltd.

     2        22   

Yahoo! Inc. (c)

     22        878   

Yelp Inc. - Class A (c)

     1        55   

Zebra Technologies Corp. - Class A (c)

     2        109   

Zillow Inc. - Class A (c) (e)

     1        85   

Zixit Corp. (c)

     3        15   

Zygo Corp. (c)

     1        9   

Zynga Inc. - Class A (c)

     39        148   
   

 

 

  
    84,550   

MATERIALS - 4.4%

    

A. Schulman Inc.

     1        49   

AEP Industries Inc. (c)

     1        26   

Air Products & Chemicals Inc.

     3        369   

Airgas Inc.

     2        258   

Albemarle Corp.

     2        114   

Alcoa Inc.

     48        508   

Allegheny Technologies Inc.

     6        217   

AMCOL International Corp.

     1        31   

American Pacific Corp. (c)

     —        15   

American Vanguard Corp.

     1        30   

AptarGroup Inc.

     3        220   

Arabian American Development Co. (c)

     1        14   

Ashland Inc.

     4        349   

Axiall Corp.

     3        132   

Balchem Corp.

     1        53   

Ball Corp.

     3        168   

Bemis Co. Inc.

     6        247   

Cabot Corp.

     4        210   

Calgon Carbon Corp. (c)

     3        58   

Carpenter Technology Corp.

     3        202   

Celanese Corp.

     3        187   

Century Aluminum Co. (c)

     3        36   

CF Industries Holdings Inc.

     3        606   

Chemtura Corp. (c)

     7        204   

Clearwater Paper Corp. (c)

     1        52   

Cliffs Natural Resources Inc. (e)

     9        248   

Coeur d’Alene Mines Corp. (c)

     4        43   

Commercial Metals Co.

     9        181   

Compass Minerals International Inc. (e)

     1        112   

Crown Holdings Inc. (c)

     3        143   

Cytec Industries Inc.

     2        149   

Deltic Timber Corp.

     —        27   

Domtar Corp.

     2        181   

Dow Chemical Co.

     27        1,206   

E.I. du Pont de Nemours & Co.

     15        972   

Eagle Materials Inc.

     3        201   

Eastman Chemical Co.

     5        395   

Ecolab Inc.

     4        453   

Ferro Corp. (c)

     4        53   

Flotek Industries Inc. (c)

     3        56   

FMC Corp.

     3        225   

Freeport-McMoRan Copper & Gold Inc.

     24        898   

FutureFuel Corp.

     3        48   

Globe Specialty Metals Inc.

     3        57   

Graphic Packaging Holding Co. (c)

     17        162   

Greif Inc. - Class A

     1        78   

Greif Inc. - Class B

     1        32   

Hawkins Inc.

     —        12   

HB Fuller Co.

     2        114   

Hecla Mining Co. (e)

     14        44   
     Shares/Par (p)     Value  

Horsehead Holding Corp. (c) (e)

     2        37   

Huntsman Corp.

     8        190   

Innophos Holdings Inc.

     1        37   

Innospec Inc.

     1        36   

International Flavors & Fragrances Inc.

     2        150   

International Paper Co.

     8        409   

Intrepid Potash Inc. (c) (e)

     2        25   

Kaiser Aluminum Corp.

     1        63   

KapStone Paper and Packaging Corp. (c)

     3        179   

Koppers Holdings Inc.

     —        12   

Kraton Performance Polymers Inc. (c)

     2        44   

Kronos Worldwide Inc. (e)

     2        40   

Landec Corp. (c)

     2        24   

Louisiana-Pacific Corp. (c)

     8        139   

LyondellBasell Industries NV - Class A

     7        537   

Martin Marietta Materials Inc.

     2        190   

Materion Corp.

     2        49   

MeadWestvaco Corp.

     8        292   

Mercer International Inc. (c)

     2        16   

Minerals Technologies Inc.

     3        174   

Monsanto Co.

     9        992   

Mosaic Co.

     4        190   

Myers Industries Inc.

     3        63   

Neenah Paper Inc.

     1        43   

NewMarket Corp. (e)

     —        97   

Nucor Corp.

     8        409   

Olin Corp. (e)

     4        118   

Olympic Steel Inc.

     1        16   

OM Group Inc. (c)

     2        55   

Omnova Solutions Inc. (c)

     2        17   

Owens-Illinois Inc. (c)

     8        298   

P.H. Glatfelter Co.

     1        39   

Packaging Corp. of America

     3        169   

Penford Corp. (c)

     1        16   

PolyOne Corp.

     5        170   

PPG Industries Inc.

     2        439   

Praxair Inc.

     5        626   

Quaker Chemical Corp.

     1        55   

Reliance Steel & Aluminum Co.

     4        276   

Resolute Forest Products (c)

     5        79   

Rock-Tenn Co. - Class A

     3        337   

Rockwood Holdings Inc.

     4        276   

Royal Gold Inc.

     1        64   

RPM International Inc.

     7        289   

RTI International Metals Inc. (c)

     1        41   

Schnitzer Steel Industries Inc. - Class A

     1        48   

Schweitzer-Mauduit International Inc.

     2        107   

Scotts Miracle-Gro Co. - Class A

     3        200   

Sealed Air Corp.

     6        196   

Sensient Technologies Corp.

     3        146   

Sherwin-Williams Co.

     1        259   

Sigma-Aldrich Corp.

     3        235   

Silgan Holdings Inc.

     3        147   

Sonoco Products Co.

     5        219   

Southern Copper Corp.

     1        23   

Steel Dynamics Inc.

     14        267   

Stepan Co.

     1        53   

Stillwater Mining Co. (c) (e)

     5        62   

SunCoke Energy Inc. (c)

     3        78   

Texas Industries Inc. (c)

     1        89   

Tronox Ltd. - Class A

     3        59   

United States Steel Corp. (e)

     9        271   

Universal Stainless & Alloy Products Inc. (c)

     —        11   

Valspar Corp.

     2        135   

Vulcan Materials Co.

     6        363   

Wausau Paper Corp.

     4        53   

Westlake Chemical Corp.

     1        154   

Worthington Industries Inc.

     4        177   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

WR Grace & Co. (c)

     2        180   

Zep Inc.

     1        13   

Zoltek Cos. Inc. (c)

     1        21   
   

 

 

  
    21,828   

TELECOMMUNICATION SERVICES - 2.0%

  

8x8 Inc. (c)

     1        7   

Alaska Communications Systems Group Inc. (c)

     3        6   

AT&T Inc.

     118        4,134   

Atlantic Tele-Network Inc.

     1        40   

Cbeyond Inc. (c)

     1        7   

CenturyLink Inc.

     12        380   

Cincinnati Bell Inc. (c)

     8        28   

Cogent Communications Group Inc.

     1        57   

Consolidated Communications Holdings Inc.

     3        53   

Crown Castle International Corp. (c)

     6        404   

Frontier Communications Corp. (e)

     58        269   

General Communication Inc. - Class A (c)

     3        38   

Hawaiian Telcom Holdco Inc. (c) (e)

     —        12   

IDT Corp. - Class B

     1        14   

Inteliquent Inc.

     2        20   

Level 3 Communications Inc. (c)

     5        164   

Lumos Networks Corp.

     1        27   

NTELOS Holdings Corp.

     1        30   

ORBCOMM Inc. (c)

     —        —   

Premiere Global Services Inc. (c)

     2        27   

PTGi Holding Inc.

     1        2   

SBA Communications Corp. (c)

     3        243   

Shenandoah Telecommunications Co.

     1        26   

Sprint Corp. (c)

     23        246   

T-Mobile US Inc.

     6        192   

Telephone & Data Systems Inc.

     6        162   

tw telecom inc. (c)

     4        122   

US Cellular Corp.

     2        81   

USA Mobility Inc.

     1        16   

Verizon Communications Inc.

     62        3,058   

Vonage Holdings Corp. (c)

     9        29   

Windstream Holdings Inc. (e)

     36        289   
   

 

 

  
    10,183   

UTILITIES - 2.9%

  

AES Corp.

     17        247   

AGL Resources Inc.

     5        258   

Allete Inc.

     2        106   

Alliant Energy Corp.

     3        136   

Ameren Corp.

     5        198   

American Electric Power Co. Inc.

     8        364   

American States Water Co.

     2        60   

American Water Works Co. Inc.

     4        176   

Aqua America Inc.

     9        207   

Artesian Resources Corp. - Class A

     —        1   

Atmos Energy Corp.

     5        217   

Avista Corp.

     3        93   

Black Hills Corp.

     2        129   

California Water Service Group

     2        55   

Calpine Corp. (c)

     12        233   

CenterPoint Energy Inc.

     10        228   

Chesapeake Utilities Corp.

     1        42   

Cleco Corp.

     3        152   

CMS Energy Corp.

     5        141   

Connecticut Water Services Inc.

     1        25   

Consolidated Edison Inc.

     4        221   

Consolidated Water Co. Ltd.

     2        26   

Delta Natural Gas Co. Inc.

     —        2   

Dominion Resources Inc.

     9        602   

DTE Energy Co.

     4        263   

Duke Energy Corp.

     11        779   
     Shares/Par (p)     Value  

Dynegy Inc. (c) (e)

     2        45   

Edison International

     7        316   

El Paso Electric Co.

     2        60   

Empire District Electric Co.

     3        65   

Entergy Corp.

     4        228   

Exelon Corp.

     12        318   

FirstEnergy Corp.

     6        188   

Genie Energy Ltd. - Class B (c)

     2        20   

Great Plains Energy Inc.

     8        196   

Hawaiian Electric Industries Inc. (e)

     4        109   

IDACORP Inc.

     3        145   

Integrys Energy Group Inc.

     3        162   

ITC Holdings Corp.

     3        262   

Laclede Group Inc.

     2        82   

MDU Resources Group Inc.

     8        255   

MGE Energy Inc.

     1        57   

Middlesex Water Co.

     1        11   

National Fuel Gas Co.

     2        136   

New Jersey Resources Corp.

     2        87   

NextEra Energy Inc.

     7        599   

NiSource Inc.

     7        238   

Northeast Utilities

     5        220   

NorthWestern Corp.

     2        95   

NRG Energy Inc.

     16        449   

OGE Energy Corp.

     5        157   

Oneok Inc.

     7        408   

Ormat Technologies Inc. (e)

     3        68   

Otter Tail Corp. (e)

     2        50   

Pepco Holdings Inc.

     4        82   

PG&E Corp.

     6        240   

Piedmont Natural Gas Co. Inc.

     3        106   

Pinnacle West Capital Corp.

     2        106   

PNM Resources Inc.

     4        99   

Portland General Electric Co. (e)

     4        106   

PPL Corp.

     10        314   

Public Service Enterprise Group Inc.

     8        264   

Questar Corp.

     8        179   

SCANA Corp.

     3        117   

Sempra Energy

     4        341   

SJW Corp.

     1        21   

South Jersey Industries Inc.

     2        114   

Southern Co.

     12        481   

Southwest Gas Corp.

     3        144   

TECO Energy Inc. (e)

     8        137   

UGI Corp.

     7        299   

UIL Holdings Corp.

     2        89   

Unitil Corp.

     —        14   

UNS Energy Corp.

     2        126   

Vectren Corp.

     5        160   

Westar Energy Inc.

     6        197   

WGL Holdings Inc.

     2        86   

Wisconsin Energy Corp.

     4        182   

Xcel Energy Inc.

     8        232   

York Water Co.

     1        11   
   

 

 

  
    14,234   
   

 

 

  

Total Common Stocks (cost $389,533)

  

     494,973   
   

 

 

  

WARRANTS - 0.0%

  

Magnum Hunter Resources
Corp. (c) (e) (f) (q)

     1        —   
   

 

 

  

Total Warrants (cost $0)

  

     —   
   

 

 

  

SHORT TERM INVESTMENTS - 4.5%

  

Investment Companies - 1.0%

  

JNL Money Market Fund, 0.01% (a) (h)

     5,151        5,151   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Securities Lending Collateral - 3.5%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     17,514        17,514   
   

 

 

  

Total Short Term Investments (cost $22,665)

  

     22,665   
   

 

 

  

Total Investments - 103.4% (cost $412,198)

  

         517,638   

Other Assets and Liabilities, Net - (3.4%)

 

     (16,884 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 500,754   
   

 

 

  

JNL/Eagle SmallCap Equity Fund

  

COMMON STOCKS - 99.9%

  

CONSUMER DISCRETIONARY - 17.5%

  

Bally Technologies Inc. (c)

     447      $ 35,045   

Chico’s FAS Inc. (e)

     434        8,180   

Chuy’s Holdings Inc. (c)

     234        8,422   

Container Store Group Inc. (c)

     43        2,016   

Deckers Outdoor Corp. (c) (e)

     213        17,993   

Genesco Inc. (c)

     692        50,526   

Grand Canyon Education Inc. (c)

     162        7,068   

Orient-Express Hotels Ltd. - Class A (c)

     1,233        18,623   

Outerwall Inc. (c) (e)

     153        10,310   

Pinnacle Entertainment Inc. (c)

     348        9,055   

Sotheby’s - Class A

     121        6,461   

Steven Madden Ltd. (c)

     484        17,725   

Tenneco Inc. (c)

     259        14,647   

TravelCenters of America LLC (c)

     519        5,052   

Universal Electronics Inc. (c)

     506        19,298   

Vince Holding Corp. (c)

     298        9,141   

Vitamin Shoppe Inc. (c)

     719        37,396   

WABCO Holdings Inc. (c)

     112        10,425   
   

 

 

  
    287,383   

CONSUMER STAPLES - 5.2%

    

Natural Grocers by Vitamin Cottage
Inc. (c) (e)

     697        29,603   

Pinnacle Foods Inc.

     143        3,915   

The Fresh Market Inc. (c)

     368        14,897   

United Natural Foods Inc. (c)

     135        10,149   

WhiteWave Foods Co. - Class A (c)

     1,182        27,114   
   

 

 

  
    85,678   

ENERGY - 4.8%

    

Diamondback Energy Inc. (c)

     108        5,699   

Geospace Technologies Corp. (c)

     385        36,518   

Gulfport Energy Corp. (c)

     379        23,906   

Oasis Petroleum Inc. (c)

     171        8,031   

Western Refining Inc. (e)

     120        5,097   
   

 

 

  
    79,251   

FINANCIALS - 4.4%

    

Home Loan Servicing Solutions Ltd.

     681        15,645   

Stifel Financial Corp. (c)

     268        12,839   

Two Harbors Investment Corp.

     974        9,043   

UMB Financial Corp.

     241        15,462   

Validus Holdings Ltd.

     491        19,768   
   

 

 

  
    72,757   

HEALTH CARE - 23.2%

    

Acorda Therapeutics Inc. (c)

     417        12,190   

Aegerion Pharmaceuticals Inc. (c)

     152        10,771   

Air Methods Corp. (c) (e)

     437        25,484   

Align Technology Inc. (c)

     214        12,216   

ArthroCare Corp. (c)

     649        26,135   

athenahealth Inc. (c) (e)

     59        7,897   

Centene Corp. (c)

     467        27,515   

Cooper Cos. Inc.

     184        22,737   
     Shares/Par (p)     Value  

Cubist Pharmaceuticals Inc. (c)

     238        16,388   

Cyberonics Inc. (c)

     66        4,291   

Endologix Inc. (c)

     240        4,182   

Furiex Pharmaceuticals Inc. (c)

     118        4,941   

Isis Pharmaceuticals Inc. (c)

     209        8,318   

MedAssets Inc. (c)

     910        18,051   

Medidata Solutions Inc. (c)

     83        5,003   

MWI Veterinary Supply Inc. (c)

     23        3,945   

Natus Medical Inc. (c)

     179        4,017   

Ophthotech Corp. (c) (e)

     267        8,635   

PAREXEL International Corp. (c)

     180        8,122   

Salix Pharmaceuticals Ltd. (c)

     189        16,982   

Seattle Genetics Inc. (c) (e)

     368        14,666   

Sirona Dental Systems Inc. (c)

     232        16,274   

Team Health Holdings Inc. (c)

     392        17,865   

Theravance Inc. (c) (e)

     422        15,033   

Thoratec Corp. (c)

     638        23,350   

United Therapeutics Corp. (c)

     393        44,494   
   

 

 

  
    379,502   

INDUSTRIALS - 16.5%

    

American Airlines Group Inc (c) (e)

     338        8,544   

Chart Industries Inc. (c)

     142        13,548   

Colfax Corp. (c)

     304        19,359   

Foster Wheeler AG (c)

     454        15,001   

Geo Group Inc.

     795        25,605   

Hexcel Corp. (c)

     659        29,451   

JetBlue Airways Corp. (c)

     1,889        16,148   

Landstar System Inc.

     218        12,548   

Manitowoc Co. Inc. (e)

     565        13,182   

Northwest Pipe Co. (c)

     390        14,741   

PGT Inc. (c)

     963        9,747   

Quality Distribution Inc. (c)

     728        9,345   

Rocket Fuel Inc. (c) (e)

     81        5,007   

Thermon Group Holdings Inc. (c)

     412        11,268   

Trex Co. Inc. (c)

     211        16,779   

TriMas Corp. (c)

     239        9,540   

USG Corp. (c)

     278        7,891   

Waste Connections Inc.

     473        20,627   

Woodward Governor Co.

     255        11,637   
   

 

 

  
    269,968   

INFORMATION TECHNOLOGY - 22.5%

  

Angie’s List Inc. (c) (e)

     656        9,945   

Aruba Networks Inc. (c)

     587        10,503   

Aspen Technology Inc. (c)

     395        16,499   

Cavium Inc. (c)

     527        18,196   

Coherent Inc. (c)

     252        18,758   

Concur Technologies Inc. (c) (e)

     159        16,385   

Cornerstone OnDemand Inc. (c)

     492        26,270   

Demandware Inc. (c)

     264        16,958   

EZchip Semiconductor Ltd. (c) (e)

     267        6,577   

Fortinet Inc. (c)

     916        17,526   

Guidewire Software Inc. (c)

     215        10,573   

Imperva Inc. (c)

     315        15,137   

InvenSense Inc. (c) (e)

     1,011        21,012   

IPG Photonics Corp. (c) (e)

     292        22,671   

Ixia (c)

     249        3,309   

Kulicke & Soffa Industries Inc. (c)

     371        4,934   

Marin Software Inc. (c) (e)

     479        4,905   

Nice Systems Ltd. - ADR (e)

     398        16,309   

Palo Alto Networks Inc. (c)

     172        9,872   

PTC Inc. (c)

     259        9,181   

QLIK Technologies Inc. (c)

     631        16,806   

SunEdison Inc. (c)

     752        9,819   

Teradyne Inc. (c)

     886        15,603   

TIBCO Software Inc. (c)

     326        7,326   

Trulia Inc. (c) (e)

     534        18,834   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Ultimate Software Group Inc. (c)

     80        12,182   

Veeco Instruments Inc. (c)

     374        12,297   
   

 

 

  
      368,387   

MATERIALS - 5.8%

    

Huntsman Corp.

     851        20,925   

Quaker Chemical Corp.

     347        26,767   

RTI International Metals Inc. (c)

     626        21,401   

Texas Industries Inc. (c)

     365        25,078   
   

 

 

  
      94,171   
   

 

 

  

Total Common Stocks (cost $1,252,898)

  

     1,637,097   
   

 

 

  

SHORT TERM INVESTMENTS - 10.0%

  

Investment Companies - 0.4%

  

JNL Money Market Fund, 0.01% (a) (h)

     6,411        6,411   

Securities Lending Collateral - 9.6%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     157,799        157,799   
   

 

 

  

Total Short Term Investments (cost $164,210)

  

     164,210   
   

 

 

  

Total Investments - 109.9% (cost $1,417,108)

  

         1,801,307   

Other Assets and Liabilities, Net - (9.9%)

 

     (162,169)   
   

 

 

  

Total Net Assets - 100.0%

  

   $ 1,639,138   
   

 

 

  

JNL/Franklin Templeton Global Growth Fund

  

COMMON STOCKS - 97.7%

  

BRAZIL - 1.1%

  

Petroleo Brasileiro SA - ADR (e)

     708      $ 10,395   

Vale SA - ADR Preferred (e)

     68        959   
   

 

 

  
    11,354   

CANADA - 1.4%

  

Talisman Energy Inc.

     1,226        14,255   

CHINA - 1.6%

  

China Mobile Ltd. (e)

     342        3,557   

China Shenhua Energy Co. Ltd. - Class H

     1,604        5,075   

China Telecom Corp. Ltd. - ADR - Class H (e)

     112        5,653   

Dongfang Electric Corp. Ltd. - Class H

     681        1,198   
   

 

 

  
    15,483   

DENMARK - 0.4%

  

FLSmidth & Co. A/S

     79        4,341   

FRANCE - 10.1%

  

Alstom SA

     275        10,035   

AXA SA

     508        14,144   

BNP Paribas

     196        15,270   

Compagnie Generale des Etablissements Michelin

     120        12,786   

Credit Agricole SA (c)

     846        10,850   

Orange SA

     282        3,498   

Sanofi SA

     145        15,483   

Total SA

     179        10,967   

Vivendi SA

     262        6,899   
   

 

 

  
    99,932   

GERMANY - 6.4%

  

Commerzbank AG (c)

     377        6,092   

Deutsche Lufthansa AG (c)

     732        15,524   

Merck KGaA

     66        11,846   

Metro AG

     60        2,897   

Muenchener Rueckversicherungs AG

     37        8,084   

OSRAM Licht AG (c)

     7        368   

SAP AG

     92        7,958   
     Shares/Par (p)     Value  

Siemens AG

     76        10,457   
   

 

 

  
    63,226   

INDIA - 0.3%

    

ICICI Bank Ltd. - ADR

     71        2,642   

IRELAND - 1.3%

    

CRH Plc

     526        13,337   

ISRAEL - 0.5%

    

Teva Pharmaceutical Industries Ltd. - ADR

     130        5,202   

ITALY - 3.4%

    

ENI SpA

     421        10,163   

Intesa Sanpaolo SpA

     3,795        9,335   

UniCredit SpA

     1,865        13,760   
   

 

 

  
    33,258   

JAPAN - 3.3%

    

Konica Minolta Holdings Inc.

     571        5,701   

Mazda Motor Corp. (c)

     1,085        5,623   

Nintendo Co. Ltd.

     24        3,253   

Nissan Motor Co. Ltd.

     1,066        8,934   

Toyota Motor Corp.

     144        8,786   
   

 

 

  
    32,297   

NETHERLANDS - 6.9%

    

Akzo Nobel NV

     199        15,412   

Fugro NV - CVA

     105        6,259   

ING Groep NV - CVA (c)

     954        13,327   

Koninklijke Philips Electronics NV

     310        11,420   

Randstad Holding NV

     120        7,792   

Royal Dutch Shell Plc - Class B

     183        6,888   

TNT NV

     754        7,012   
   

 

 

  
    68,110   

PORTUGAL - 1.2%

    

Galp Energia SGPS SA

     727        11,911   

RUSSIAN FEDERATION - 0.5%

    

Lukoil OAO - ADR

     38        2,393   

MMC Norilsk Nickel - ADR

     150        2,492   
   

 

 

  
    4,885   

SINGAPORE - 1.5%

    

DBS Group Holdings Ltd.

     423        5,748   

Noble Group Ltd.

     714        608   

Singapore Telecommunications Ltd.

     2,924        8,503   
   

 

 

  
    14,859   

SOUTH KOREA - 4.3%

    

KB Financial Group Inc. - ADR

     269        10,907   

POSCO Inc. - ADR (e)

     161        12,561   

Samsung Electronics Co. Ltd. - GDR (q)

     29        18,786   
   

 

 

  
    42,254   

SPAIN - 1.1%

    

Telefonica SA

     651        10,645   

SWEDEN - 1.5%

    

Getinge AB - Class B

     184        6,314   

Telefonaktiebolaget LM Ericsson - Class B

     739        9,027   
   

 

 

  
    15,341   

SWITZERLAND - 5.2%

    

Credit Suisse Group AG

     398        12,275   

Lonza Group AG

     27        2,598   

Roche Holding AG

     56        15,774   

Swiss Re AG

     119        11,011   

TE Connectivity Ltd.

     95        5,249   

UBS AG

     230        4,401   
   

 

 

  
    51,308   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

TAIWAN - 0.6%

    

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (e)

     339        5,912   

TURKEY - 0.7%

    

Turkcell Iletisim Hizmetleri A/S - ADR (c) (e)

     505        6,742   

UNITED KINGDOM - 11.4%

    

Aviva Plc

     1,510        11,299   

BAE Systems Plc

     446        3,221   

BP Plc

     1,002        8,117   

Carillion Plc

     127        696   

GlaxoSmithKline Plc

     434        11,599   

HSBC Holdings Plc

     688        7,497   

International Consolidated Airlines Group SA (c)

     2,758        18,375   

Kingfisher Plc

     1,913        12,214   

Marks & Spencer Group Plc

     587        4,218   

Noble Corp plc

     182        6,820   

Serco Group Plc

     272        2,248   

Tesco Plc

     2,065        11,468   

Vodafone Group Plc

     3,870        15,235   
   

 

 

  
    113,007   

UNITED STATES OF AMERICA - 33.0%

  

American International Group Inc.

     152        7,768   

Amgen Inc.

     124        14,195   

Baker Hughes Inc.

     292        16,131   

Brocade Communications Systems Inc. (c)

     976        8,660   

Chevron Corp.

     54        6,805   

Cisco Systems Inc.

     583        13,078   

Citigroup Inc.

     300        15,640   

Comcast Corp. - Special Class A

     341        16,987   

CVS Caremark Corp.

     178        12,730   

FedEx Corp.

     57        8,185   

Flextronics International Ltd. (c)

     278        2,160   

Forest Laboratories Inc. (c)

     159        9,553   

Halliburton Co.

     174        8,835   

Hewlett-Packard Co.

     429        12,001   

JPMorgan Chase & Co.

     164        9,566   

Medtronic Inc.

     248        14,221   

Merck & Co. Inc.

     234        11,696   

Microsoft Corp.

     591        22,105   

Morgan Stanley

     466        14,604   

Navistar International Corp. (c) (e)

     249        9,523   

News Corp. - Class A (c)

     267        4,804   

Oracle Corp.

     114        4,372   

Pfizer Inc.

     462        14,153   

Sprint Corp. (c)

     362        3,891   

SunTrust Banks Inc.

     210        7,741   

Target Corp.

     95        6,023   

Time Warner Cable Inc.

     60        8,070   

Twenty-First Century Fox Inc. - Class A

     278        9,781   

United Parcel Service Inc. - Class B

     85        8,970   

Viacom Inc. - Class B

     122        10,635   

Walgreen Co.

     85        4,863   

Walt Disney Co.

     106        8,132   
   

 

 

  
    325,878   
   

 

 

  

Total Common Stocks (cost $766,389)

  

     966,179   
   

 

 

  

SHORT TERM INVESTMENTS - 5.2%

  

Investment Companies - 2.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     21,661        21,661   

Securities Lending Collateral - 3.0%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     29,960        29,960   
   

 

 

  
     Shares/Par (p)     Value  

Total Short Term Investments (cost $51,621)

  

     51,621   
   

 

 

  

Total Investments - 102.9% (cost $818,010)

  

         1,017,800   

Other Assets and Liabilities, Net - (2.9%)

  

     (29,009)   
   

 

 

  

Total Net Assets - 100.0%

  

   $ 988,791   
   

 

 

  

JNL/Franklin Templeton Global Multisector Bond Fund

  

CORPORATE BONDS AND NOTES - 13.0%

  

AUSTRALIA - 0.2%

  

Barminco Finance Pty Ltd., 9.00%, 06/01/18 (e) (r)

   $ 1,300      $ 1,196   

FMG Resources August 2006 Pty Ltd.

    

6.00%, 04/01/17 (e) (r)

     400        425   

6.88%, 02/01/18 (r)

     1,900        2,000   
   

 

 

  
    3,621   

CANADA - 0.7%

  

B2Gold Corp., 3.25%, 10/01/18 (r) (v)

     10,160        9,144   

Inmet Mining Corp.

    

8.75%, 06/01/20 (r)

     1,900        2,061   

7.50%, 06/01/21 (r)

     400        418   

Valeant Pharmaceuticals International Inc., 7.50%, 07/15/21 (r)

     600        659   
   

 

 

  
    12,282   

FRANCE - 0.1%

  

Cie Generale de Geophysique - Veritas, 6.50%, 06/01/21 (e)

     1,900        1,947   

Compagnie Generale de Geophysique SA, 7.75%, 05/15/17

     100        103   
   

 

 

  
    2,050   

GERMANY - 0.2%

  

Faenza GmbH, 8.25%, 08/15/21 (r), EUR

     600        895   

Orion Engineered Carbons Finance & Co. SCA, 9.25%, 08/01/19 (r) (y)

     1,000        1,045   

Unitymedia Hessen GmbH & Co. KG, 5.75%, 01/15/23 (r), EUR

     800        1,134   
   

 

 

  
    3,074   

INDIA - 0.0%

  

Novelis Inc., 8.38%, 12/15/17 (e)

     200        214   

JAMAICA - 0.1%

  

Digicel Group Ltd., 8.25%, 09/30/20 (e) (r)

     600        622   

Digicel Ltd., 6.00%, 04/15/21 (r)

     2,100        2,026   
   

 

 

  
    2,648   

LUXEMBOURG - 0.3%

  

CHC Helicopter SA, 9.25%, 10/15/20 (e)

     2,100        2,263   

INEOS Group Holdings SA, 6.50%, 08/15/18 (e) (r), EUR

     1,000        1,410   

Intelsat Jackson Holdings SA, 5.50%, 08/01/23 (r)

     800        761   
   

 

 

  
    4,434   

MEXICO - 0.3%

  

Cemex SAB de CV Convertible Bond, 9.00%, 01/11/18 (e) (r)

     5,600        6,146   

NETHERLANDS - 0.3%

  

InterGen NV, 7.00%, 06/30/23 (r)

     1,300        1,345   

Nokia Siemens Networks Finance BV, 7.13%, 04/15/20 (e) (r), EUR

     600        940   

UPC Holding BV, 6.75%, 03/15/23 (r), EUR

     700        985   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UPCB Finance VI Ltd., 6.88%, 01/15/22 (r)

     1,600        1,700   
   

 

 

  
    4,970   

RUSSIAN FEDERATION - 0.7%

  

Alfa Bank OJSC Via Alfa Bond Issuance Plc

    

7.88%, 09/25/17 (e) (r)

     4,800        5,328   

7.75%, 04/28/21 (r)

     5,750        6,145   
   

 

 

  
    11,473   

SOUTH AFRICA - 0.7%

  

Edcon Pty Ltd.

    

9.50%, 03/01/18 (e) (r)

     1,650        1,694   

9.50%, 03/01/18 (e) (r), EUR

     7,150        10,082   
   

 

 

  
    11,776   

SOUTH KOREA - 1.2%

  

Export-Import Bank of Korea, 1.45%, 05/19/14 (r), SEK

     5,450        849   

Korea Monetary Stabilization Bond

    

2.72%, 09/09/14, KRW

     6,948,000        6,586   

2.90%, 12/02/15, KRW

     14,356,500        13,634   
   

 

 

  
    21,069   

SPAIN - 0.1%

  

Abengoa Finance SAU

    

8.88%, 11/01/17 (e) (r)

     1,600        1,720   

7.75%, 02/01/20 (r)

     600        618   
   

 

 

  
    2,338   

UNITED KINGDOM - 0.6%

  

Algeco Scotsman Global Finance Plc, 8.50%, 10/15/18 (e) (r)

     1,300        1,407   

Boparan Finance Plc, 9.75%, 04/30/18 (q), EUR

     400        603   

CEVA Group Plc, 4.00%, 05/01/18 (r)

     600        525   

Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (r)

     2,000        2,085   

Lynx II Corp., 6.38%,
04/15/23 (e) (r)

     1,600        1,628   

New Look Bondco I Plc, 8.75%, 05/14/18 (r), GBP

     1,100        1,923   

Royal Bank of Scotland Group Plc

    

6.93%, 04/09/18, EUR

     600        937   

6.13%, 12/15/22 (e)

     600        612   
   

 

 

  
    9,720   

UNITED STATES OF AMERICA - 7.5%

  

Ally Financial Inc.

    

8.00%, 12/31/18

     500        590   

7.50%, 09/15/20

     900        1,049   

Antero Resources Finance Corp., 7.25%, 08/01/19

     454        488   

ArcelorMittal, 6.00%, 03/01/21 (e) (l)

     800        848   

Ashland Inc., 4.75%, 08/15/22

     300        285   

BMC Software Finance Inc., 8.13%, 07/15/21 (r)

     1,600        1,648   

Caesars Entertainment Operating Co. Inc.

    

11.25%, 06/01/17

     600        611   

9.00%, 02/15/20

     1,100        1,070   

Calpine Corp.

    

7.88%, 07/31/20 (r)

     445        487   

6.00%, 01/15/22 (r)

     200        205   

7.88%, 01/15/23 (q)

     90        98   

7.88%, 01/15/23 (e) (r)

     1,104        1,206   

5.88%, 01/15/24 (r)

     900        880   

CCO Holdings LLC

    

8.13%, 04/30/20 (e)

     600        651   

5.25%, 09/30/22 (e)

     1,400        1,307   

Chaparral Energy Inc.

    

8.25%, 09/01/21

     1,500        1,627   
     Shares/Par (p)     Value  

7.63%, 11/15/22

     600        642   

Chesapeake Energy Corp.

    

6.63%, 08/15/20

     1,000        1,118   

6.13%, 02/15/21 (e)

     1,500        1,609   

CIT Group Inc.

    

6.63%, 04/01/18 (e) (r)

     500        562   

5.38%, 05/15/20 (e)

     100        106   

5.00%, 08/15/22 (e)

     1,000        975   

Clayton Williams Energy Inc.,
7.75%, 04/01/19 (e)

     1,800        1,849   

Clear Channel Communications Inc.,
9.00%, 03/01/21 (e)

     1,600        1,616   

Clear Channel Worldwide Holdings Inc.

    

7.63%, 03/15/20 (e)

     300        315   

6.50%, 11/15/22

     1,000        1,021   

CommScope Inc., 8.25%, 01/15/19 (e) (r)

     1,412        1,548   

Community Health Systems Inc.

    

8.00%, 11/15/19

     500        543   

7.13%, 07/15/20 (e)

     1,300        1,349   

Consol Energy Inc., 6.38%, 03/01/21

     700        723   

Cricket Communications Inc., 7.75%, 10/15/20

     1,400        1,596   

Crosstex Energy LP, 8.88%, 02/15/18 (e)

     1,300        1,367   

Crown Castle International Corp.,
5.25%, 01/15/23

     2,700        2,646   

DaVita HealthCare Partners Inc., 5.75%, 08/15/22

     1,800        1,822   

Del Monte Corp., 7.63%, 02/15/19 (e)

     1,500        1,558   

DISH DBS Corp.

    

5.88%, 07/15/22

     900        900   

5.00%, 03/15/23

     700        653   

E*TRADE Financial Corp., 6.38%, 11/15/19

     2,200        2,362   

Echostar DBS Corp., 7.13%, 02/01/16

     400        443   

El Paso LLC, 7.00%, 06/15/17

     400        452   

Energy Transfer Partners LP, 7.50%, 10/15/20

     400        449   

Energy XXI Gulf Coast Inc.

    

9.25%, 12/15/17 (e)

     600        668   

7.75%, 06/15/19

     1,200        1,287   

Equinix Inc., 5.38%, 04/01/23 (e)

     2,500        2,444   

Exopack Holding Corp., 10.00%, 06/01/18 (r)

     1,100        1,193   

First Data Corp.

    

8.25%, 01/15/21 (e) (r)

     600        638   

11.25%, 01/15/21 (r)

     200        221   

12.63%, 01/15/21

     2,200        2,582   

Ford Motor Credit Co. LLC, 5.88%, 08/02/21

     400        453   

Freescale Semiconductor Inc.

    

8.05%, 02/01/20 (e)

     1,900        2,042   

5.00%, 05/15/21 (e) (r)

     500        486   

6.00%, 01/15/22 (r)

     500        506   

Frontier Communications Corp.

    

8.50%, 04/15/20

     100        112   

8.75%, 04/15/22

     1,400        1,554   

7.13%, 01/15/23

     1,000        988   

7.63%, 04/15/24 (e)

     100        100   

7.88%, 01/15/27

     100        96   

Gannett Co. Inc., 5.13%, 07/15/20 (e) (r)

     1,600        1,620   

General Motors Financial Co. Inc., 3.25%, 05/15/18 (r)

     700        700   

Goodyear Tire & Rubber Co., 6.50%, 03/01/21

     2,500        2,650   

Halcon Resources Corp.

    

9.75%, 07/15/20 (r)

     900        937   

8.88%, 05/15/21

     1,600        1,616   

9.25%, 02/15/22 (e) (r)

     600        611   

HCA Holdings Inc., 7.75%, 05/15/21 (e)

     500        546   

HCA Inc.

    

7.50%, 02/15/22

     700        768   

5.88%, 03/15/22

     1,800        1,858   

Hologic Inc.

    

6.25%, 08/01/20

     200        211   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

6.25%, 08/01/20 (e)

     1,100        1,160   

Intelsat Jackson Holdings SA, 7.50%, 04/01/21 (e)

     1,800        1,984   

International Lease Finance Corp., 8.25%, 12/15/20

     400        468   

inVentiv Health Inc., 9.00%, 01/15/18 (r)

     700        728   

Jaguar Holding Co. I, 9.38%, 10/15/17 (e) (r) (y)

     1,000        1,058   

Jarden Corp., 6.13%, 11/15/22 (e)

     400        428   

JBS USA LLC

    

8.25%, 02/01/20 (r)

     1,100        1,193   

7.25%, 06/01/21 (r)

     700        728   

JPMorgan Chase & Co., 6.00%, (callable at 100 beginning 08/01/23) (i) (m)

     1,900        1,817   

Kinder Morgan Inc., 5.00%, 02/15/21 (r)

     1,000        984   

Linn Energy LLC

    

7.00%, 11/01/19 (e) (r)

     500        505   

7.75%, 02/01/21 (e)

     1,200        1,269   

Manitowoc Co. Inc., 8.50%, 11/01/20 (e)

     400        454   

MGM Resorts International

    

7.50%, 06/01/16

     500        560   

7.75%, 03/15/22 (e)

     2,000        2,235   

Michaels Stores Inc., 7.75%, 11/01/18

     1,000        1,085   

Midstates Petroleum Co. Inc., 9.25%, 06/01/21

     1,200        1,254   

Navistar International Corp., 8.25%, 11/01/21 (e)

     1,000        1,035   

Novelis Inc., 8.75%, 12/15/20

     1,300        1,446   

Nuveen Investments Inc., 9.50%, 10/15/20 (e) (r)

     2,300        2,306   

Offshore Group Investment Ltd.

    

7.50%, 11/01/19

     2,100        2,284   

7.13%, 04/01/23

     100        102   

PBF Holding Co. LLC, 8.25%, 02/15/20 (e)

     1,300        1,410   

Penn Virginia Corp., 8.50%, 05/01/20

     800        860   

Penn Virginia Resource Partners LP, 6.50%, 05/15/21 (r)

     1,500        1,552   

Pinnacle Entertainment Inc.

    

8.75%, 05/15/20

     400        441   

7.75%, 04/01/22

     1,600        1,744   

Plains Exploration & Production Co.

    

6.13%, 06/15/19

     100        109   

6.63%, 05/01/21 (e)

     1,600        1,754   

PNK Finance Corp., 6.38%, 08/01/21 (r)

     100        102   

Quicksilver Resources Inc., 9.13%, 08/15/19

     1,600        1,624   

Reynolds Group Issuer Inc.

    

9.00%, 04/15/19 (e)

     2,300        2,467   

9.88%, 08/15/19

     300        334   

Sabine Pass Liquefaction LLC

    

5.63%, 02/01/21 (r)

     1,700        1,662   

6.25%, 03/15/22 (r)

     900        893   

5.63%, 04/15/23 (e) (r)

     800        748   

Samson Investment Co., 10.25%, 02/15/20 (e) (r)

     2,000        2,180   

SLM Corp.

    

8.45%, 06/15/18

     1,400        1,631   

5.50%, 01/15/19

     900        934   

4.88%, 06/17/19

     800        797   

Sprint Corp., 7.13%, 06/15/24 (r)

     600        609   

Sprint Nextel Corp.

    

9.00%, 11/15/18 (r)

     1,300        1,566   

7.00%, 03/01/20 (r)

     100        112   

6.00%, 11/15/22

     900        878   

Sun Merger Sub Inc., 5.88%, 08/01/21 (r)

     500        513   

T-Mobile USA Inc.

    

6.54%, 04/28/20

     1,600        1,704   

6.13%, 01/15/22

     200        204   

6.50%, 01/15/24

     400        405   

Tenet Healthcare Corp., 8.13%, 04/01/22

     1,400        1,508   
     Shares/Par (p)     Value  

Terex Corp., 6.00%, 05/15/21

     2,100        2,171   

Texas Competitive Electric Holdings Co. LLC, 11.50%, 10/01/20 (r)

     1,600        1,176   

Univision Communications Inc.

    

6.88%, 05/15/19 (r)

     500        534   

6.75%, 09/15/22 (r)

     1,200        1,314   

5.13%, 05/15/23 (e) (r)

     1,000        999   

Valeant Pharmaceuticals International Inc.

    

6.38%, 10/15/20 (r)

     1,800        1,897   

5.63%, 12/01/21 (r)

     200        201   

Visant Corp., 10.00%, 10/01/17

     1,200        1,164   
   

 

 

  
    131,441   
   

 

 

  

Total Corporate Bonds and Notes
(cost $219,693)

   

     227,256   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 64.3%

  

BRAZIL - 3.8%

    

Brazil Inflation Indexed Notas do Tesouro Nacional, 6.00%, 08/15/18 - 08/15/22 (s), BRL

     25,560        25,803   

Brazil Letras do Tesouro Nacional, 0.00%, 04/01/14 - 01/01/17 (j), BRL

     77,280        25,750   

Brazil Notas do Tesouro Nacional, 10.00%, 01/01/19 - 01/01/23, BRL

     42,060        15,522   
   

 

 

  
    67,075   

CANADA - 1.5%

    

Canada Government Bond

    

1.00%, 02/01/14 - 02/01/15, CAD

     19,810        18,650   

2.00%, 03/01/14 - 12/01/14, CAD

     4,792        4,542   

0.75%, 05/01/14, CAD

     1,197        1,126   

2.25%, 08/01/14, CAD

     2,295        2,176   
   

 

 

  
    26,494   

GHANA - 2.6%

    

Ghana Government Bond

    

14.00%, 10/13/14, GHS

     50        20   

14.99%, 02/23/15, GHS

     5,520        2,222   

24.00%, 05/25/15, GHS

     17,482        7,773   

21.00%, 10/26/15, GHS

     33,913        14,615   

19.24%, 05/30/16, GHS

     4,310        1,808   

26.00%, 06/05/17, GHS

     910        444   

23.00%, 08/21/17, GHS

     4,370        2,002   

19.04%, 09/24/18, GHS

     27,570        11,496   

Republic of Ghana, 7.88%, 08/07/23 (r)

     4,950        4,665   
   

 

 

  
    45,045   

HUNGARY - 7.0%

    

Hungary Government Bond

    

5.50%, 02/12/14 - 12/20/18, HUF

     3,609,390        17,270   

6.75%, 08/22/14 - 11/24/17, HUF

     4,250,000        20,722   

7.75%, 08/24/15, HUF

     42,700        211   

6.50%, 06/24/19, HUF

     54,190        270   

7.50%, 11/12/20, HUF

     2,576,490        13,408   

7.00%, 06/24/22, HUF

     2,420,330        12,220   

Hungary Government International Bond

    

4.38%, 07/04/17 (q), EUR

     5,000        7,199   

5.75%, 06/11/18 (q), EUR

     5,500        8,201   

5.38%, 02/21/23 (e)

     27,100        26,761   

6.00%, 11/24/23, HUF

     3,650,640        17,314   
   

 

 

  
    123,576   

ICELAND - 0.2%

    

Iceland Government International Bond, 5.88%, 05/11/22 (r)

     2,800        2,852   

IRELAND - 5.9%

    

Ireland Government Bond

    

5.50%, 10/18/17, EUR

     1,934        3,023   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.90%, 10/18/19, EUR

     2,193        3,541   

4.50%, 04/18/20, EUR

     2,496        3,755   

5.00%, 10/18/20, EUR

     11,512        17,801   

5.40%, 03/13/25, EUR

     48,111        75,273   
   

 

 

  
    103,393   

LATVIA - 0.3%

    

Republic of Latvia, 5.25%,
02/22/17 - 06/16/21 (e) (r)

     4,500        4,880   

LITHUANIA - 0.2%

    

Lithuania Government International Bond, 6.13%, 03/09/21 (r)

     4,040        4,576   

MALAYSIA - 5.6%

    

Malaysia Government Bond

    

3.43%, 08/15/14, MYR

     201,240        61,614   

3.74%, 02/27/15, MYR

     53,225        16,330   

3.84%, 08/12/15, MYR

     33,260        10,237   

4.72%, 09/30/15, MYR

     25,658        8,025   

3.20%, 10/15/15, MYR

     9,880        3,010   
   

 

 

  
    99,216   

MEXICO - 3.1%

    

Mexico Bonos

    

7.00%, 06/19/14, MXN

     6,302        490   

9.50%, 12/18/14, MXN

     233,270        18,830   

6.00%, 06/18/15, MXN

     30,448        2,407   

8.00%, 12/17/15, MXN

     152,145        12,565   

6.25%, 06/16/16, MXN

     203,230        16,345   

7.25%, 12/15/16, MXN

     19,370        1,597   

Mexico Government Inflation Indexed Bond

    

4.50%, 12/18/14 (s), MXN

     2,581        205   

5.00%, 06/16/16 (s), MXN

     6,623        560   

3.50%, 12/14/17 (s), MXN

     6,935        573   

4.00%, 06/13/19 (s), MXN

     4,836        410   

2.50%, 12/10/20 (s), MXN

     3,841        299   
   

 

 

  
    54,281   

PHILIPPINES - 0.9%

    

Philippine Government Bond

    

6.25%, 01/27/14, PHP

     679,200        15,365   

7.00%, 01/27/16, PHP

     2,100        52   

9.13%, 09/04/16, PHP

     1,120        30   
   

 

 

  
    15,447   

POLAND - 4.5%

    

Poland Government Bond

    

5.75%, 04/25/14, PLN

     48,000        16,053   

5.50%, 04/25/15, PLN

     3,333        1,142   

0.00%, 07/25/15 - 01/25/16 (j), PLN

     182,139        57,133   

6.25%, 10/24/15, PLN

     1,664        584   

5.00%, 04/25/16, PLN

     13,220        4,560   
   

 

 

  
    79,472   

SERBIA - 2.5%

    

Republic of Serbia

    

10.00%, 04/05/18, RSD

     104,000        1,254   

4.88%, 02/25/20 (r)

     4,280        4,047   

7.25%, 09/28/21 (r)

     10,700        11,262   

Serbia Treasury Bond, 10.00%,
04/27/15 - 11/21/18, RSD

     2,269,940        27,119   
   

 

 

  
    43,682   

SINGAPORE - 2.1%

    

Singapore Government Bond

    

0.25%, 02/01/14, SGD

     26,000        20,602   

3.63%, 07/01/14, SGD

     19,400        15,627   

1.13%, 04/01/16, SGD

     350        282   
   

 

 

  
    36,511   
     Shares/Par (p)     Value  

SLOVENIA - 1.2%

    

Slovenia Government International Bond

    

5.50%, 10/26/22 (r)

     9,006        8,984   

5.85%, 05/10/23 (e) (r)

     11,615        11,789   
   

 

 

  
    20,773   

SOUTH KOREA - 10.7%

    

Korea Monetary Stabilization Bond

    

2.57%, 06/09/14, KRW

     7,029,000        6,659   

2.82%, 08/02/14, KRW

     2,289,500        2,172   

2.78%, 10/02/14, KRW

     35,131,000        33,314   

2.84%, 12/02/14, KRW

     9,784,180        9,285   

2.74%, 02/02/15, KRW

     22,958,390        21,761   

2.47%, 04/02/15, KRW

     31,819,150        30,059   

2.76%, 06/02/15, KRW

     3,545,700        3,361   

2.80%, 08/02/15, KRW

     43,504,640        41,256   

Korea Treasury Bond

    

3.25%, 12/10/14 - 06/10/15, KRW

     5,988,700        5,708   

4.50%, 03/10/15, KRW

     256,400        248   

4.00%, 09/10/15 - 03/10/16, KRW

     1,861,100        1,801   

2.75%, 12/10/15 - 06/10/16, KRW

     28,742,640        27,209   

3.00%, 12/10/16, KRW

     4,350,500        4,139   
   

 

 

  
    186,972   

SRI LANKA - 0.6%

    

Sri Lanka Government Bond

    

11.00%, 09/01/15, LKR

     30,100        237   

8.00%, 06/01/16 - 11/15/18, LKR

     522,290        3,881   

5.80%, 01/15/17 - 07/15/17, LKR

     268,300        1,855   

8.50%, 04/01/18 - 07/15/18, LKR

     359,730        2,664   

9.00%, 05/01/21, LKR

     296,620        2,107   
   

 

 

  
    10,744   

SWEDEN - 2.7%

    

Kommuninvest I Sverige AB, 2.25%, 05/05/14, SEK

     67,380        10,527   

Sweden Government Bond,
6.75%, 05/05/14, SEK

     235,090        37,265   
   

 

 

  
    47,792   

UKRAINE - 4.1%

    

Financing of Infrastructural Projects State Enterprise, 8.38%, 11/03/17 (r)

     100        91   

Ukraine Government International Bond

    

6.25%, 06/17/16 (r)

     580        544   

6.58%, 11/21/16 (r)

     696        653   

9.25%, 07/24/17 (r)

     14,310        14,268   

6.75%, 11/14/17 (e) (r)

     7,360        6,771   

7.75%, 09/23/20 (r)

     1,357        1,252   

7.95%, 02/23/21 (e) (r)

     9,700        8,948   

7.80%, 11/28/22 (e) (r)

     21,300        19,255   

7.50%, 04/17/23 (e) (r)

     22,130        19,818   
   

 

 

  
    71,600   

URUGUAY - 4.8%

    

Uruguay Government International Inflation Indexed Bond

    

5.00%, 09/14/18 (n), UYU

     28,179        1,408   

4.25%, 04/05/27 (n), UYU

     44,207        2,090   

4.38%, 12/15/28 (n), UYU

     575,878        27,334   

3.70%, 06/26/37 (n), UYU

     8,936        378   

Uruguay Inflation Indexed Letras De Regulacion Monetaria En UI, 0.00%, 04/11/14 - 03/26/15 (j) (s), UYU

     37,710        1,717   

Uruguay Inflation Indexed Notas del Tesoro

    

7.00%, 12/23/14 (s), UYU

     29,667        1,419   

4.00%, 06/14/15 - 05/25/25 (s), UYU

     292,008        13,691   

2.75%, 06/16/16 (s), UYU

     84,442        3,891   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

4.25%, 01/05/17 (s), UYU

     5,083        239   

2.25%, 08/23/17 (s), UYU

     27,040        1,199   

3.25%, 01/27/19 (s), UYU

     249        12   

2.50%, 09/27/22 (s), UYU

     53,449        2,180   

Uruguay Notas del Tesoro

    

9.00%, 01/27/14 - 01/27/14, UYU

     106,365        4,926   

9.75%, 06/14/14, UYU

     35,153        1,612   

10.25%, 08/22/15, UYU

     131,038        5,792   

10.50%, 03/21/15, UYU

     152,454        6,842   

9.50%, 01/27/16, UYU

     192,343        8,182   

11.00%, 03/21/17, UYU

     19,910        847   
   

 

 

  
    83,759   
   

 

 

  

Total Government and Agency Obligations
(cost $1,113,006)

   

     1,128,140   
   

 

 

  

OTHER EQUITY INTERESTS - 0.2%

  

ITALY - 0.2%

  

Wind Acquisition Finance SA (r) (u)

     2,800        2,978   
   

 

 

  

Total Other Equity Interests (cost $2,761)

  

     2,978   
   

 

 

  

COMMON STOCKS - 0.0%

  

UNITED KINGDOM - 0.0%

  

CEVA Holdings LLC (c) (f)

     —        341   
   

 

 

  

Total Common Stocks (cost $466)

  

     341   
   

 

 

  

PREFERRED STOCKS - 0.0%

  

UNITED KINGDOM - 0.0%

  

CEVA Holdings LLC (f)

     —        21   

CEVA Holdings LLC (f)

     1        738   
   

 

 

  

Total Preferred Stocks (cost $1,030)

  

     759   
   

 

 

  

SHORT TERM INVESTMENTS - 24.7%

  

Investment Companies - 10.2%

  

JNL Money Market Fund, 0.01% (a) (h)

     178,628        178,628   

Securities Lending Collateral - 6.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     107,052        107,052   

Treasury Securities - 8.4%

  

Bank Negara Malaysia Monetary Note

    

0.85%, 02/06/14, MYR

     31,140        9,480   

0.85%, 02/18/14, MYR

     16,895        5,138   

0.85%, 02/20/14, MYR

     17,540        5,334   

0.85%, 02/25/14, MYR

     13,510        4,106   

0.86%, 03/13/14, MYR

     3,295        1,000   

0.85%, 03/27/14, MYR

     30        9   

0.85%, 04/24/14, MYR

     110        33   

0.85%, 05/20/14, MYR

     60        18   

0.85%, 07/15/14, MYR

     11,530        3,465   

0.85%, 07/24/14, MYR

     16,140        4,847   

0.86%, 10/02/14, MYR

     26,320        7,860   

0.86%, 10/16/14, MYR

     6,350        1,894   

0.88%, 11/06/14, MYR

     5,425        1,616   

Hungary Treasury Bill, 0.02%, 06/25/14, HUF

     109,680        501   

Malaysia Treasury Bill, 0.86%, 05/30/14, MYR

     2,310        697   

Mexico Cetes

    

0.30%, 01/09/14, MXN

     3,431        2,626   

0.28%, 03/20/14, MXN

     2,201        1,673   

0.26%, 04/03/14, MXN

     8,641        6,560   

0.29%, 04/30/14, MXN

     6,633        5,022   

0.27%, 08/21/14, MXN

     1,566        1,172   

0.27%, 10/16/14, MXN

     4,214        3,137   

0.27%, 12/11/14, MXN

     5,364        3,969   
     Shares/Par (p)     Value  

Monetary Authority of Singapore

    

0.24%, 01/03/14, SGD

     7,810        6,189   

0.24%, 02/14/14, SGD

     1,190        943   

Philippine Treasury Bill

    

0.00%, 04/10/14, PHP

     6,265        141   

0.02%, 06/04/14, PHP

     339,510        7,637   

0.02%, 07/02/14, PHP

     17,560        395   

0.02%, 09/03/14, PHP

     136,000        3,052   

0.00%,10/08/14, PHP

     11,180        250   

Serbia Treasury Bill, 0.13%, 03/13/14, RSD

     28,100        331   

Singapore Treasury Bill

    

0.22%, 01/10/14, SGD

     6,251        4,953   

0.18%, 01/24/14, SGD

     1,230        974   

0.17%, 03/21/14, SGD

     12,500        9,900   

0.23%, 04/04/14, SGD

     350        277   

0.23%, 05/30/14, SGD

     17,217        13,624   

Uruguay Treasury Bill

    

0.35%, 03/07/14, UYU

     700        32   

0.41%, 04/11/14, UYU

     36,465        1,628   

0.39%, 05/16/14, UYU

     27,140        1,195   

0.36%, 06/20/14, UYU

     10,100        439   

0.40%, 07/24/14, UYU

     19,360        830   

0.53%, 08/29/14, UYU

     16,221        686   

0.38%, 09/11/14, UYU

     4,980        210   

0.40%, 12/18/14, UYU

     7,590        309   

0.47%, 02/05/15, UYU

     7,260        290   

0.46%, 03/26/15, UYU

     80,404        3,147   

0.38%, 05/14/15, UYU

     55,575        2,136   

0.43%, 07/02/15, UYU

     20,958        796   

0.55%, 08/20/15, UYU

     417,241        15,600   

0.56%, 10/08/15, UYU

     10,400        383   

0.56%, 11/26/15, UYU

     6,520        236   
   

 

 

  
    146,740   
   

 

 

  

Total Short Term Investments (cost $436,915)

  

     432,420   
   

 

 

  

Total Investments - 102.2% (cost $1,773,871)

  

         1,791,894   

Other Assets and Liabilities, Net - (2.2%)

 

     (38,986 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 1,752,908   
   

 

 

  

JNL/Franklin Templeton Income Fund

  

COMMON STOCKS - 52.8%

  

CONSUMER DISCRETIONARY - 0.9%

  

Dex Media Inc. (c) (e)

     21      $ 144   

Ford Motor Co.

     400        6,172   

General Motors Co. (c)

     76        3,088   

McDonald’s Corp.

     34        3,289   

Target Corp.

     100        6,346   
   

 

 

  
    19,039   

CONSUMER STAPLES - 1.8%

  

Coca-Cola Co.

     328        13,529   

PepsiCo Inc.

     187        15,502   

Safeway Inc.

     289        9,406   
   

 

 

  
    38,437   

ENERGY - 9.1%

  

Anadarko Petroleum Corp.

     80        6,346   

Baker Hughes Inc.

     139        7,653   

BP Plc - ADR

     720        34,999   

Callon Petroleum Co. (c)

     75        490   

Canadian Oil Sands Ltd.

     563        10,597   

Chesapeake Energy Corp.

     190        5,157   

Chevron Corp.

     126        15,726   

Exxon Mobil Corp.

     243        24,551   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Halcon Resources Corp. (c) (e)

     17        66   

Royal Dutch Shell Plc - ADR

     668        47,637   

Schlumberger Ltd.

     152        13,706   

Spectra Energy Corp.

     300        10,700   

Total SA - ADR

     162        9,920   

Transocean Ltd.

     150        7,413   

Williams Cos. Inc.

     144        5,550   
   

 

 

  
    200,511   

FINANCIALS - 5.6%

    

Bank of America Corp.

     970        15,103   

Barclays Plc

     500        2,261   

Commonwealth Bank of Australia

     82        5,700   

HSBC Holdings Plc

     750        8,231   

JPMorgan Chase & Co.

     511        29,854   

MetLife Inc.

     127        6,833   

Royal Bank of Canada

     113        7,576   

Toronto-Dominion Bank NY

     24        2,299   

Wells Fargo & Co.

     955        43,348   

Westfield Retail Trust

     813        2,159   
   

 

 

  
    123,364   

HEALTH CARE - 6.0%

    

Eli Lilly & Co.

     130        6,635   

Johnson & Johnson

     275        25,187   

Merck & Co. Inc.

     757        37,878   

Pfizer Inc.

     739        22,633   

Roche Holding AG

     96        26,752   

Sanofi SA - ADR

     250        13,407   
   

 

 

  
    132,492   

INDUSTRIALS - 4.1%

    

Caterpillar Inc.

     60        5,422   

CEVA Holdings LLC (c) (f)

     2        1,751   

Deere & Co.

     104        9,498   

General Electric Co.

     1,219        34,174   

Lockheed Martin Corp.

     91        13,513   

Raytheon Co.

     62        5,660   

Republic Services Inc. - Class A

     294        9,774   

Waste Management Inc.

     245        11,002   
   

 

 

  
    90,794   

INFORMATION TECHNOLOGY - 4.0%

  

Apple Inc.

     31        17,114   

Cisco Systems Inc.

     561        12,599   

Intel Corp.

     1,050        27,256   

Maxim Integrated Products Inc.

     305        8,518   

Microsoft Corp.

     221        8,265   

Oracle Corp.

     51        1,951   

Texas Instruments Inc.

     252        11,043   
   

 

 

  
    86,746   

MATERIALS - 9.0%

    

Agrium Inc. (e)

     135        12,350   

AngloGold Ashanti Ltd. - ADR (e)

     123        1,444   

Barrick Gold Corp.

     337        5,938   

BHP Billiton Plc

     841        26,093   

Dow Chemical Co.

     775        34,388   

E.I. du Pont de Nemours & Co.

     253        16,444   

Freeport-McMoRan Copper & Gold Inc.

     447        16,862   

Goldcorp Inc.

     345        7,474   

LyondellBasell Industries NV - Class A

     270        21,676   

Mosaic Co.

     136        6,438   

Newmont Mining Corp.

     423        9,735   

Nucor Corp.

     92        4,919   

Potash Corp. of Saskatchewan Inc.

     98        3,214   

Rio Tinto Plc - ADR (e)

     519        29,298   
   

 

 

  
    196,273   
     Shares/Par (p)     Value  

TELECOMMUNICATION SERVICES - 1.5%

  

AT&T Inc.

     500        17,580   

Telstra Corp. Ltd.

     900        4,224   

Vodafone Group Plc

     3,000        11,812   
   

 

 

  
    33,616   

UTILITIES - 10.8%

    

AGL Resources Inc.

     100        4,723   

American Electric Power Co. Inc.

     250        11,685   

Dominion Resources Inc.

     250        16,185   

Duke Energy Corp.

     421        29,081   

Dynegy Inc. (c) (e)

     473        10,169   

Entergy Corp.

     200        12,654   

Exelon Corp.

     460        12,599   

FirstEnergy Corp.

     250        8,245   

NextEra Energy Inc.

     233        19,969   

Pepco Holdings Inc.

     344        6,583   

PG&E Corp.

     566        22,811   

Pinnacle West Capital Corp.

     100        5,292   

PPL Corp.

     404        12,147   

Public Service Enterprise Group Inc.

     300        9,612   

Sempra Energy

     175        15,708   

Southern Co.

     609        25,035   

TECO Energy Inc. (e)

     200        3,448   

Xcel Energy Inc.

     350        9,779   
   

 

 

  
    235,725   
   

 

 

  

Total Common Stocks (cost $996,818)

  

     1,156,997   
   

 

 

  

EQUITY LINKED STRUCTURED NOTES - 3.9%

  

ENERGY - 2.3%

    

Bank of America Corp. Equity Linked Note (Peabody Energy Corp.), 10.00% (r)

     313        6,233   

Bank of America Corp. Equity Linked Note (Schlumberger Ltd.), 6.00% (r)

     100        8,926   

Barclays Bank Plc Equity Linked Note (Alpha Natural Resources Inc.), 12.50% (r)

     300        2,232   

Barclays Bank Plc Equity Linked Note (Devon Energy Corp.), 6.00% (r)

     115        7,226   

Barclays Bank Plc Equity Linked Note (Weatherford International Ltd.), 7.50% (r)

     210        3,308   

Royal Bank of Canada Equity Linked Note (Halliburton Co.), 7.00% (r)

     475        22,408   
   

 

 

  
    50,333   

FINANCIALS - 1.0%

    

JPMorgan Chase & Co. Equity Linked Note (Bank of America Corp.), 6.50 (r)

     1,595        22,179   

INFORMATION TECHNOLOGY - 0.3%

  

Wells Fargo & Co. Equity Linked Note (Broadcom Corp.), 7.00% (r)

     260        7,317   

MATERIALS - 0.3%

    

Goldman Sachs Group Inc. Equity Linked Note (Freeport-McMoRan Copper & Gold Inc.), 9.00% (r)

     145        5,577   
   

 

 

  

Total Equity Linked Structured Notes (cost $81,685)

  

     85,406   
   

 

 

  

PREFERRED STOCKS - 3.1%

  

ENERGY - 1.0%

    

Chesapeake Energy Corp., 5.75% (m) (r) (v)

     5        5,214   

Halcon Resources Corp., 5.75% (m) (v)

     5        3,969   

Sanchez Energy Corp., 4.88% (m) (r) (v)

     50        3,113   

Sanchez Energy Corp., 6.50%,
Class B (m) (r) (v)

     80        5,212   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SandRidge Energy Inc., 7.00% (e) (m) (v)

     50        4,956   
   

 

 

  
    22,464   

FINANCIALS - 1.6%

    

Ally Financial Inc., 7.00%, (callable at 1,000 beginning 02/10/14), Series G-7 (m) (r)

     2        1,763   

Bank of America Corp., 7.25%,
Series L (m) (v)

     12        12,594   

Federal Home Loan Mortgage Corp., 8.38%, (callable at 25 beginning 12/31/17), Series Z (c) (d) (m)

     186        1,664   

Federal National Mortgage Association, 5.38%, (callable at 105,000 beginning 12/31/15) (c) (d) (m) (v)

     —        1,400   

Federal National Mortgage Association, 6.75%, (callable at 25 beginning 02/12/14), Series Q (c) (d) (m)

     100        700   

Federal National Mortgage Association, 7.63%, (callable at 25 beginning 02/12/14), Series R (c) (d) (m)

     143        1,127   

Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)

     65        568   

FelCor Lodging Trust Inc., 1.95%,
Series A (m) (v)

     60        1,455   

MetLife Inc., 5.00%

     66        2,082   

Wells Fargo & Co., 7.50%, Series L (m) (v)

     10        11,050   
   

 

 

  
    34,403   

INDUSTRIALS - 0.1%

    

CEVA Holdings LLC (f)

     —        65   

CEVA Holdings LLC (f)

     2        1,660   
   

 

 

  
    1,725   

MATERIALS - 0.1%

    

ArcelorMittal, 6.00% (v)

     120        3,120   

UTILITIES - 0.3%

    

Dominion Resources Inc., 6.13% (v)

     37        1,975   

Dominion Resources Inc., 6.00% (v)

     37        1,979   

NextEra Energy Inc., 5.89% (v)

     48        2,707   
   

 

 

  
    6,661   
   

 

 

  

Total Preferred Stocks (cost $73,068)

  

     68,373   
   

 

 

  

WARRANTS - 0.0%

    

Dynegy Inc. (c)

     33        45   
   

 

 

  

Total Warrants (cost $769)

  

     45   
   

 

 

  

CORPORATE BONDS AND NOTES - 36.2%

  

CONSUMER DISCRETIONARY - 6.9%

  

Academy Ltd., 9.25%, 08/01/19 (r)

   $ 1,800        1,989   

Cablevision Systems Corp.

    

8.63%, 09/15/17 (e)

     1,000        1,165   

7.75%, 04/15/18

     3,000        3,349   

Caesars Entertainment Operating Co. Inc.

    

11.25%, 06/01/17

     750        763   

8.50%, 02/15/20 (e)

     3,000        2,888   

9.00%, 02/15/20

     4,600        4,473   

9.00%, 02/15/20

     3,000        2,917   

CCO Holdings LLC

    

7.38%, 06/01/20

     3,500        3,789   

6.50%, 04/30/21

     3,000        3,082   

5.75%, 01/15/24 (e)

     5,000        4,725   

Chrysler Group LLC

    

8.00%, 06/15/19

     6,000        6,630   

8.25%, 06/15/21

     6,400        7,280   

Clear Channel Communications Inc.

    

9.00%, 12/15/19 (e)

     2,356        2,403   
     Shares/Par (p)     Value  

14.00%, 02/01/21 (e) (r) (y)

     1,100        998   

9.00%, 03/01/21

     16,000        16,160   

Clear Channel Communications Inc. Term Loan, 6.95%, 01/30/19 (i)

     10,000        9,537   

Clear Channel Worldwide Holdings Inc., 7.63%, 03/15/20 (e)

     4,375        4,599   

ClubCorp Club Operations Inc.,
10.00%, 12/01/18 (e)

     3,272        3,624   

CSC Holdings LLC, 6.75%, 11/15/21

     5,400        5,818   

Cumulus Media Holdings Inc.,
7.75%, 05/01/19 (e)

     2,500        2,638   

DISH DBS Corp., 5.00%, 03/15/23

     4,000        3,730   

Goodyear Tire & Rubber Co.

    

8.25%, 08/15/20 (e)

     1,100        1,229   

6.50%, 03/01/21

     6,300        6,678   

KB Home

    

6.25%, 06/15/15

     1,000        1,058   

7.00%, 12/15/21

     5,300        5,525   

7.50%, 09/15/22

     2,000        2,105   

Landry’s Inc., 9.38%, 05/01/20 (r)

     4,000        4,360   

MGM Resorts International

    

10.00%, 11/01/16

     3,000        3,600   

8.63%, 02/01/19 (e)

     2,200        2,580   

5.25%, 03/31/20

     2,500        2,481   

6.75%, 10/01/20 (e)

     800        856   

Shea Homes LP, 8.63%, 05/15/19 (e)

     3,900        4,319   

SuperMedia Inc. Term Loan,
11.60%, 03/31/19 (i)

     211        157   

Univision Communications Inc.

    

6.88%, 05/15/19 (r)

     5,000        5,344   

5.13%, 05/15/23 (e) (r)

     5,000        4,994   

Visant Corp., 10.00%, 10/01/17

     4,700        4,559   

Volkswagen International Finance NV, 5.50%, 11/09/15 (r) (v), EUR

     5,000        8,509   
   

 

 

  
    150,911   

CONSUMER STAPLES - 1.8%

  

Alliance One International Inc.,
9.88%, 07/15/21 (e)

     5,000        4,687   

Innovation Ventures LLC,
9.50%, 08/15/19 (e) (r)

     3,000        2,895   

JBS USA LLC

    

8.25%, 02/01/20 (e) (r)

     1,700        1,845   

7.25%, 06/01/21 (e) (r)

     3,500        3,649   

7.25%, 06/01/21 (r)

     3,700        3,848   

Reynolds Group Issuer Inc.

    

7.88%, 08/15/19

     1,400        1,547   

9.88%, 08/15/19

     4,100        4,561   

5.75%, 10/15/20

     1,900        1,938   

8.25%, 02/15/21 (e)

     600        641   

SUPERVALU Inc., 8.00%, 05/01/16

     5,000        5,531   

U.S. Foods Inc., 8.50%, 06/30/19

     2,500        2,738   

U.S. Foods Inc. Term Loan,
6.50%, 03/31/19 (i)

     4,975        5,017   
   

 

 

  
    38,897   

ENERGY - 8.4%

    

Alpha Natural Resources Inc.,
6.25%, 06/01/21 (e)

     3,200        2,736   

Antero Resources Finance Corp.

    

7.25%, 08/01/19

     844        907   

5.38%, 11/01/21 (r)

     1,800        1,818   

Arch Coal Inc.

    

7.00%, 06/15/19 (e)

     2,500        1,988   

7.25%, 06/15/21 (e)

     7,800        5,967   

Bill Barrett Corp., 7.00%, 10/15/22 (e)

     2,500        2,594   

Chesapeake Energy Corp.

    

6.50%, 08/15/17 (e)

     4,000        4,510   

7.25%, 12/15/18

     5,000        5,775   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.75%, 03/15/23 (e)

     8,500        8,755   

Chesapeake Energy Corp. Term Loan, 5.75%, 12/02/17 (i)

     6,000        6,120   

Cie Generale de Geophysique - Veritas, 6.50%, 06/01/21 (e)

     4,000        4,100   

Consol Energy Inc., 8.25%, 04/01/20

     1,600        1,732   

Drillships Financing Holding Inc. Term Loan B-2, 5.50%, 03/10/14 (i)

     7,481        7,578   

El Paso LLC, 7.75%, 01/15/32 (e)

     1,000        1,013   

Energy XXI Gulf Coast Inc., 9.25%, 12/15/17 (e)

     3,500        3,894   

EP Energy LLC, 9.38%, 05/01/20

     5,000        5,769   

EXCO Resources Inc., 7.50%, 09/15/18

     3,500        3,325   

Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (r)

     2,144        2,235   

Fieldwood Energy LLC 2nd Lien Term Loan, 7.13%, 10/01/17 (i)

     7,500        7,650   

Gibson Energy Inc, 6.75%, 07/15/21 (r)

     4,000        4,230   

Halcon Resources Corp.

    

9.75%, 07/15/20 (e)

     4,000        4,170   

9.25%, 02/15/22 (e) (r)

     2,900        2,951   

Kinder Morgan Inc.

    

5.00%, 02/15/21 (r)

     1,600        1,574   

5.63%, 11/15/23 (r)

     3,300        3,190   

Linn Energy LLC, 8.63%, 04/15/20 (e)

     3,300        3,564   

Magnum Hunter Resources Corp.,
9.75%, 05/15/20

     2,500        2,700   

Midstates Petroleum Co. Inc.,
10.75%, 10/01/20 (e)

     2,000        2,175   

Offshore Group Investment Ltd.,
7.50%, 11/01/19

     9,000        9,787   

Peabody Energy Corp., 6.25%, 11/15/21 (e)

     3,000        3,030   

Penn Virginia Corp., 8.50%, 05/01/20

     2,500        2,687   

PetroQuest Energy Inc., 10.00%, 09/01/17

     5,000        5,187   

Plains Exploration & Production Co.,
6.50%, 11/15/20

     5,000        5,520   

Quicksilver Resources Inc. 2nd Lien Term Loan, 7.00%, 06/12/19 (i)

     10,000        9,887   

Sabine Pass Liquefaction LLC

    

5.63%, 02/01/21 (r)

     7,500        7,331   

6.25%, 03/15/22 (r)

     7,500        7,444   

Sabine Pass LNG LP

    

7.50%, 11/30/16 (e)

     2,500        2,825   

6.50%, 11/01/20

     2,500        2,594   

Samson Investment Co.,
10.25%, 02/15/20 (e) (r)

     4,400        4,796   

Sanchez Energy Corp, 7.75%, 06/15/21 (r)

     5,500        5,624   

SandRidge Energy Inc.

    

8.75%, 01/15/20

     2,000        2,155   

7.50%, 03/15/21 (e)

     4,400        4,609   

7.50%, 02/15/23

     1,800        1,827   

W&T Offshore Inc., 8.50%, 06/15/19 (e)

     6,000        6,345   
   

 

 

  
      184,668   

FINANCIALS - 2.1%

  

Abengoa Finance SAU,
8.88%, 11/01/17 (e) (r)

     3,200        3,440   

Ally Financial Inc., 6.25%, 12/01/17

     1,500        1,673   

Bank of America Corp., 8.13%, (callable at 100 beginning 05/15/18) (e) (i) (m)

     1,000        1,119   

Boparan Finance Plc,
9.75%, 04/30/18 (r), EUR

     1,000        1,506   

Boparan Holdings Ltd.,
9.88%, 04/30/18 (r), GBP

     1,500        2,720   

CIT Group Inc., 5.00%, 08/01/23 (e)

     2,000        1,925   

E*TRADE Financial Corp.,
6.00%, 11/15/17 (e)

     3,000        3,187   

International Lease Finance Corp.

    

8.75%, 03/15/17

     2,000        2,355   

8.88%, 09/01/17 (e)

     4,700        5,593   
     Shares/Par (p)     Value  

JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (i) (m)

     11,500        12,679   

Morgan Stanley, 5.50%, 01/26/20 (e)

     5,000        5,607   

Nuveen Investments Inc.,
9.50%, 10/15/20 (e) (r)

     4,500        4,511   
   

 

 

  
      46,315   

HEALTH CARE - 2.5%

  

Alere Inc.

    

7.25%, 07/01/18

     3,800        4,175   

6.50%, 06/15/20

     3,300        3,374   

Grifols Inc., 8.25%, 02/01/18

     1,400        1,493   

HCA Inc.

    

6.50%, 02/15/16

     1,200        1,313   

6.50%, 02/15/20

     4,300        4,725   

7.50%, 02/15/22

     4,100        4,500   

5.88%, 05/01/23

     5,000        4,937   

Tenet Healthcare Corp.

    

9.25%, 02/01/15

     4,800        5,172   

8.00%, 08/01/20 (e)

     3,404        3,698   

8.13%, 04/01/22 (e)

     9,800        10,559   

Valeant Pharmaceuticals International Inc.

    

6.38%, 10/15/20 (r)

     3,600        3,793   

7.50%, 07/15/21 (r)

     3,900        4,280   

5.63%, 12/01/21 (r)

     2,100        2,111   
   

 

 

  
      54,130   

INDUSTRIALS - 2.3%

  

Algeco Scotsman Global Finance Plc, 8.50%, 10/15/18 (e) (r)

     2,500        2,706   

Belden Inc., 5.50%, 09/01/22 (e) (r)

     5,000        4,900   

Bombardier Inc., 6.13%, 01/15/23 (r)

     5,600        5,558   

Ceridian Corp., 11.25%, 11/15/15

     3,000        3,023   

CEVA Group Plc, 4.00%, 05/01/18 (r)

     5,000        4,375   

CHC Helicopter SA, 9.25%, 10/15/20 (e)

     3,500        3,771   

Dynacast International LLC, 9.25%, 07/15/19

     3,500        3,859   

Hertz Corp., 6.75%, 04/15/19 (e)

     1,100        1,185   

Jaguar Holding Co. I, 9.38%, 10/15/17 (r) (y)

     3,100        3,278   

Laureate Education Inc., 9.25%, 09/01/19 (r)

     2,500        2,719   

Navistar International Corp.,
8.25%, 11/01/21 (e)

     3,500        3,623   

Navistar International Corp. Term Loan B, 5.75%, 08/15/17 (i)

     2,488        2,521   

Niska Gas Storage US LLC, 8.88%, 03/15/18

     2,500        2,600   

United Rentals North America Inc.,
8.38%, 09/15/20 (e)

     6,600        7,359   
   

 

 

  
      51,477   

INFORMATION TECHNOLOGY - 4.2%

  

BMC Software Finance Inc.,
8.13%, 07/15/21 (r)

     3,800        3,914   

CDW LLC

    

12.54%, 10/12/17

     255        266   

8.50%, 04/01/19 (e)

     7,000        7,735   

First Data Corp.

    

11.25%, 03/31/16

     5,144        5,157   

8.25%, 01/15/21 (e) (r)

     15,914        16,929   

12.63%, 01/15/21

     11,000        12,911   

8.75%, 01/15/22 (r) (y)

     3,198        3,414   

First Data Corp. Extended Term Loan, 4.18%, 03/24/18 (i)

     9,123        9,129   

Freescale Semiconductor Inc.

    

10.13%, 12/15/16 (e)

     1,060        1,081   

8.05%, 02/01/20 (e)

     11,500        12,363   

10.75%, 08/01/20

     7,786        8,837   

Infor US Inc., 9.38%, 04/01/19 (e)

     1,600        1,800   

Sanmina Corp., 7.00%, 05/15/19 (r)

     3,500        3,723   

SRA International Inc., 11.00%, 10/01/19 (e)

     900        936   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SRA International Inc. Term Loan, 6.59%, 07/07/18 (i)

     4,086        4,076   
   

 

 

  
    92,271   

MATERIALS - 2.9%

  

AngloGold Ashanti Holdings Plc, 8.50%, 07/30/20

     2,000        2,065   

Cemex Finance LLC, 9.38%, 10/12/22 (r)

     1,800        2,030   

Cemex SAB de CV

    

3.25%, 03/15/16 (v)

     3,625        4,776   

9.00%, 01/11/18 (e) (r)

     6,000        6,585   

3.75%, 03/15/18 (v)

     2,125        2,882   

5.88%, 03/25/19 (e) (r)

     2,000        2,005   

7.25%, 01/15/21 (r)

     6,000        6,210   

FMG Resources August 2006 Pty Ltd.

    

7.00%, 11/01/15 (e) (r)

     1,080        1,121   

6.88%, 02/01/18 (r)

     2,500        2,631   

8.25%, 11/01/19 (e) (r)

     2,750        3,087   

HudBay Minerals Inc., 9.50%, 10/01/20

     3,000        3,082   

Ineos Finance Plc, 8.38%, 02/15/19 (e) (r)

     1,700        1,891   

Ineos Group Holdings SA, 7.88%, 02/15/16 (r), EUR

     3,250        3,035   

Inmet Mining Corp., 8.75%, 06/01/20 (r)

     3,600        3,906   

Kerling Plc, 10.63%, 02/01/17 (e) (r), EUR

     3,600        5,250   

Molycorp Inc., 10.00%, 06/01/20 (e)

     5,000        4,962   

Orion Engineered Carbons Bondco GmbH, 10.00%, 06/15/18 (e) (r), EUR

     3,500        4,788   

Walter Energy Inc., 9.88%, 12/15/20 (e)

     3,850        3,330   
   

 

 

  
    63,636   

TELECOMMUNICATION SERVICES - 3.9%

  

CenturyLink Inc., 6.75%, 12/01/23

     800        810   

CommScope Holding Co. Inc., 6.63%, 06/01/20 (r) (y)

     2,200        2,288   

Cricket Communications Inc., 7.75%, 10/15/20

     6,500        7,410   

Frontier Communications Corp.

    

8.50%, 04/15/20

     900        1,008   

9.25%, 07/01/21

     3,000        3,458   

7.13%, 01/15/23

     2,200        2,173   

MetroPCS Wireless Inc., 6.63%, 04/01/23 (e) (r)

     7,500        7,744   

NII Capital Corp., 7.63%, 04/01/21 (e)

     2,500        1,025   

Sprint Corp.

    

7.88%, 09/15/23 (r)

     9,400        10,105   

7.13%, 06/15/24 (r)

     5,500        5,582   

Sprint Nextel Corp.

    

9.13%, 03/01/17

     3,300        3,878   

8.38%, 08/15/17 (e)

     90        104   

9.00%, 11/15/18 (r)

     7,500        9,037   

7.00%, 08/15/20 (e)

     5,000        5,413   

11.50%, 11/15/21

     7,500        9,825   

T-Mobile USA Inc., 6.54%, 04/28/20

     6,700        7,135   

Verizon Communications Inc.

    

5.15%, 09/15/23

     3,400        3,645   

6.55%, 09/15/43

     3,700        4,314   
   

 

 

  
    84,954   

UTILITIES - 1.2%

  

Calpine Corp.

    

7.88%, 07/31/20 (r)

     710        777   

7.50%, 02/15/21 (r)

     4,378        4,778   

6.00%, 01/15/22 (r)

     2,400        2,460   

7.88%, 01/15/23 (r)

     2,398        2,620   

GenOn Energy Inc., 7.88%, 06/15/17 (e)

     5,000        5,500   

InterGen NV, 7.00%, 06/30/23 (r)

     10,000        10,349   
   

 

 

  
    26,484   
   

 

 

  

Total Corporate Bonds and Notes (cost $740,825)

  

     793,743   
   

 

 

  
     Shares/Par (p)     Value  

OTHER EQUITY INTERESTS - 0.0%

  

Dynegy Holdings LLC (c) (f) (q) (u)

     11,000        —   

Dynegy Holdings LLC (c) (f) (q) (u)

     4,750        —   

Dynegy Holdings LLC (c) (f) (q) (u)

     3,500        —   

General Motors Co. (c) (f) (u)

     100        1   

SuperMedia Inc. Escrow Litigation Trust (c) (f) (q) (u)

     868        —   
   

 

 

  

Total Other Equity Interests (cost $14)

  

     1   
   

 

 

  

SHORT TERM INVESTMENTS - 13.1%

  

Investment Companies - 2.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     61,934        61,934   

Securities Lending Collateral - 10.3%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     225,418        225,418   
   

 

 

  

Total Short Term Investments (cost $287,352)

  

     287,352   
   

 

 

  

Total Investments - 109.1% (cost $2,180,531)

  

         2,391,917   

Other Assets and Liabilities, Net - (9.1%)

 

     (198,890 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 2,193,027   
   

 

 

  

JNL/Franklin Templeton Mutual Shares Fund

  

COMMON STOCKS - 87.6%

  

CONSUMER DISCRETIONARY - 8.9%

  

British Sky Broadcasting Group Plc

     78      $ 1,095   

CBS Corp. - Class B

     196        12,489   

Comcast Corp. - Special Class A

     55        2,753   

General Motors Co. (c)

     333        13,606   

Kohl’s Corp.

     160        9,073   

Reed Elsevier Plc

     1,207        18,007   

Time Warner Cable Inc.

     106        14,404   

Tribune Co. - Class A (c)

     60        4,673   

Tribune Co. - Class B (c)

     23        1,741   

Twenty-First Century Fox Inc. - Class B

     625        21,630   
   

 

 

  
    99,471   

CONSUMER STAPLES - 12.6%

  

Altria Group Inc.

     296        11,363   

Avon Products Inc.

     442        7,610   

British American Tobacco Plc

     338        18,162   

Coca-Cola Enterprises Inc.

     193        8,523   

CVS Caremark Corp. (e)

     257        18,359   

Dr. Pepper Snapple Group Inc.

     129        6,269   

Imperial Tobacco Group Plc

     272        10,538   

Kroger Co.

     400        15,822   

Lorillard Inc.

     235        11,895   

Pernod-Ricard SA

     29        3,285   

Philip Morris International Inc.

     69        5,982   

Tesco Plc

     1,962        10,898   

Walgreen Co.

     221        12,687   
   

 

 

  
    141,393   

ENERGY - 11.7%

  

Apache Corp.

     212        18,217   

Baker Hughes Inc.

     236        13,052   

BG Group Plc

     425        9,144   

BP Plc

     1,134        9,190   

CONSOL Energy Inc.

     289        10,996   

Ensco Plc - Class A

     81        4,604   

Marathon Oil Corp.

     516        18,225   

Murphy Oil Corp.

     111        7,180   

Petroleo Brasileiro SA - Petrobras - ADR

     316        4,348   

Prime AET&D Holdings No. 1 Pty Ltd. (c) (f)

     402        —   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Royal Dutch Shell Plc - Class A

     508        18,142   

Talisman Energy Inc.

     41        480   

Talisman Energy Inc.

     470        5,476   

Transocean Ltd.

     226        11,170   

WPX Energy Inc. (c)

     64        1,295   
   

 

 

  
    131,519   

FINANCIALS - 18.6%

  

ACE Ltd.

     175        18,068   

Aegon NV

     901        8,538   

Alexander’s Inc.

     8        2,639   

Alleghany Corp. (c)

     27        10,814   

American International Group Inc.

     491        25,042   

Bond Street Holding LLC - Class A (c) (f) (r)

     41        569   

Brookfield Properties Corp.

     137        2,631   

Canary Wharf Group Plc (c) (f)

     405        2,095   

China Cinda Asset Management Co. Ltd. - Class H (c)

     500        312   

CIT Group Inc.

     150        7,807   

Citigroup Inc.

     244        12,738   

Columbia Banking System Inc.

     63        1,741   

Deutsche Boerse AG

     79        6,511   

Forestar Group Inc. (c)

     60        1,270   

Guaranty Bancorp

     10        136   

ING Groep NV - CVA (c)

     713        9,953   

JPMorgan Chase & Co.

     257        15,004   

KB Financial Group Inc.

     159        6,440   

MetLife Inc.

     214        11,545   

Morgan Stanley

     200        6,275   

PNC Financial Services Group Inc.

     253        19,620   

Societe Generale - Class A

     80        4,659   

SunTrust Banks Inc.

     264        9,734   

Wells Fargo & Co.

     150        6,816   

White Mountains Insurance Group Ltd.

     17        10,334   

Zurich Financial Services AG

     25        7,272   
   

 

 

  
    208,563   

HEALTH CARE - 10.7%

  

CIGNA Corp.

     241        21,043   

Eli Lilly & Co.

     137        6,984   

Hospira Inc. (c)

     117        4,823   

Medtronic Inc.

     396        22,749   

Merck & Co. Inc.

     662        33,140   

Stryker Corp.

     60        4,503   

Teva Pharmaceutical Industries Ltd. - ADR

     445        17,839   

UnitedHealth Group Inc.

     10        789   

WellPoint Inc.

     89        8,200   
   

 

 

  
    120,070   

INDUSTRIALS - 4.2%

  

A P Moller - Maersk A/S - Class B

     1        15,053   

Caterpillar Inc. (e)

     75        6,792   

CNH Industrial NV (c)

     622        7,094   

Federal Signal Corp. (c)

     96        1,400   

Huntington Ingalls Industries Inc.

     118        10,639   

Stanley Black & Decker Inc.

     69        5,567   
   

 

 

  
    46,545   

INFORMATION TECHNOLOGY - 11.2%

  

Apple Inc.

     49        27,320   

Cisco Systems Inc.

     585        13,127   

Hewlett-Packard Co.

     380        10,625   

Microsoft Corp.

     802        30,036   

Samsung Electronics Co. Ltd.

     6        8,160   

Symantec Corp.

     617        14,551   

TE Connectivity Ltd.

     103        5,661   

Xerox Corp.

     1,337        16,269   
   

 

 

  
    125,749   
     Shares/Par (p)     Value  

MATERIALS - 5.2%

  

Anglo American Plc

     291        6,363   

Domtar Corp.

     40        3,757   

Freeport-McMoRan Copper & Gold Inc.

     438        16,513   

International Paper Co.

     316        15,476   

MeadWestvaco Corp. (e)

     234        8,660   

ThyssenKrupp AG (c)

     313        7,630   
   

 

 

  
    58,399   

TELECOMMUNICATION SERVICES - 2.4%

  

Vodafone Group Plc

     6,753        26,586   

UTILITIES - 2.1%

  

Entergy Corp. (e)

     57        3,619   

Exelon Corp.

     197        5,402   

GDF Suez

     228        5,356   

NRG Energy Inc.

     313        8,977   
   

 

 

  
    23,354   
   

 

 

  

Total Common Stocks (cost $756,242)

  

     981,649   
   

 

 

  

PURCHASED OPTIONS - 0.1%

  

Verizon Communications Inc. Put Option, Strike Price 55, Expiration 02/22/14

     945        605   
   

 

 

  

Total Purchased Options (cost $697)

  

     605   
   

 

 

  

CORPORATE BONDS AND NOTES - 5.0%

  

CONSUMER DISCRETIONARY - 2.1%

  

Caesars Entertainment Operating Co. 1st Lien Term Loan B, 5.44%, 01/28/18 (i)

   $ 3,118        2,973   

Cengage Learning Inc. Term Loan, 2.70%, 07/03/14 (c) (d)

     3,502        2,707   

Clear Channel Communications Inc., 9.00%, 12/15/19

         7,449        7,598   

Clear Channel Communications Inc. Term Loan, 6.94%, 01/30/19 (i)

     4,339        4,139   

Clear Channel Communications Inc. Term Loan B, 3.89%, 01/29/16 (i)

     1,329        1,285   

Clear Channel Communications Inc. Term Loan C, 3.89%, 01/29/16 (i)

     141        135   

Harrahs Operating Co. Inc. Extended Term Loan B, 4.44%, 01/28/18 (i)

     654        617   

JC Penney Corp. Inc. Term Loan, 6.00%, 05/22/18 (i)

     4,445        4,343   
   

 

 

  
    23,797   

ENERGY - 0.4%

  

NGPL PipeCo LLC

    

7.12%, 12/15/17 (r)

     1,969        1,782   

9.63%, 06/01/19 (r)

     2,922        2,856   

NGPL PipeCo LLC Term Loan, 6.75%, 09/15/17 (i)

     173        161   
   

 

 

  
    4,799   

FINANCIALS - 0.0%

  

Tropicana Entertainment LLC, 9.63%, 12/15/14 (c) (d) (f)

     1,130        —   

INDUSTRIALS - 0.5%

  

American Airlines Inc., 7.50%, 03/15/16 (c) (d) (r)

     4,858        5,040   

TELECOMMUNICATION SERVICES - 1.0%

  

Avaya Inc.

    

7.00%, 04/01/19 (r)

     2,435        2,386   

10.50%, 03/01/21 (r)

     3,444        3,324   

Avaya Inc. Term Loan B-3, 6.95%, 10/26/17 (i)

     3,676        3,591   

Avaya Inc. Term Loan B-5, 8.00%, 03/31/18 (i)

     896        908   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Wind Acquisition Finance SA, 11.75%, 07/15/17, EUR

     409        598   
   

 

 

  
    10,807   

UTILITIES - 1.0%

  

Texas Competitive Electric Holdings Co. LLC

    

10.25%, 11/01/15

     5,763        360   

11.50%, 10/01/20 (r)

     4,182        3,074   

Texas Competitive Electric Holdings Co. LLC Term Loan, 4.68%, 10/10/17 (i)

     11,682        8,068   
   

 

 

  
    11,502   
   

 

 

  

Total Corporate Bonds and Notes (cost $57,550)

  

     55,945   
   

 

 

  

OTHER EQUITY INTERESTS - 1.1%

  

Lehman Brothers Holdings Inc. Bankruptcy Claims (c) (u)

     27,190        12,031   

Tribune Co. Litigation Interests (f) (u)

     67        —   

Wind Acquisition Finance SA (r) (u)

     140        149   
   

 

 

  

Total Other Equity Interests (cost $12,165)

  

     12,180   
   

 

 

  

SHORT TERM INVESTMENTS - 7.4%

  

Investment Companies - 6.7%

  

JNL Money Market Fund, 0.01% (a) (h)

     75,343        75,343   

Securities Lending Collateral - 0.7%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     8,195        8,195   
   

 

 

  

Total Short Term Investments (cost $83,538)

  

     83,538   
   

 

 

  

Total Investments - 101.2% (cost $910,192)

  

         1,133,917   

Other Assets and Liabilities, Net - (1.2%)

 

     (13,641 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 1,120,276   
   

 

 

  

JNL/Franklin Templeton Small Cap Value Fund

  

COMMON STOCKS - 89.7%

  

CONSUMER DISCRETIONARY - 21.1%

  

Autoliv Inc. (e)

     55      $ 5,049   

Brown Shoe Co. Inc.

     530        14,914   

Brunswick Corp.

     221        10,193   

Cato Corp. - Class A

     325        10,335   

Drew Industries Inc.

     110        5,642   

GameStop Corp. - Class A

     204        10,059   

Genesco Inc. (c)

     140        10,192   

Gentex Corp. (e)

     380        12,526   

Group 1 Automotive Inc.

     230        16,356   

Harman International Industries Inc.

     167        13,628   

Hillenbrand Inc.

     450        13,230   

Hooker Furniture Corp.

     40        662   

Jos. A. Bank Clothiers Inc. (c)

     110        6,020   

La-Z-Boy Inc.

     570        17,670   

M/I Homes Inc. (c)

     201        5,123   

MDC Holdings Inc. (e)

     98        3,144   

Men’s Wearhouse Inc.

     357        18,226   

Pep Boys-Manny Moe & Jack (c)

     609        7,391   

Regis Corp.

     312        4,533   

Thor Industries Inc.

     410        22,644   

West Marine Inc. (c)

     406        5,779   

Winnebago Industries Inc. (c)

     177        4,856   
   

 

 

  
    218,172   

ENERGY - 8.9%

  

Atwood Oceanics Inc. (c)

     235        12,546   

Bristow Group Inc.

     196        14,727   
     Shares/Par (p)     Value  

Energen Corp.

     133        9,431   

Helix Energy Solutions Group Inc. (c)

     526        12,193   

Oil States International Inc. (c)

     77        7,863   

Rowan Cos. Plc - Class A (c)

     140        4,954   

Tidewater Inc.

     247        14,640   

Unit Corp. (c)

     305        15,744   
   

 

 

  
    92,098   

FINANCIALS - 10.8%

  

Arthur J Gallagher & Co.

     86        4,013   

Aspen Insurance Holdings Ltd.

     230        9,501   

Assurant Inc.

     41        2,695   

Chemical Financial Corp.

     130        4,117   

Hanover Insurance Group Inc.

     195        11,643   

HCC Insurance Holdings Inc.

     117        5,412   

Montpelier Re Holdings Ltd.

     265        7,697   

OFG Bancorp

     164        2,835   

Old Republic International Corp.

     623        10,759   

Peoples Bancorp Inc.

     50        1,126   

Protective Life Corp.

     340        17,224   

StanCorp Financial Group Inc.

     275        18,205   

TrustCo Bank Corp.

     1,223        8,782   

Validus Holdings Ltd.

     191        7,697   
   

 

 

  
    111,706   

HEALTH CARE - 3.3%

  

Hill-Rom Holdings Inc.

     229        9,455   

STERIS Corp.

     311        14,940   

Teleflex Inc.

     102        9,611   
   

 

 

  
    34,006   

INDUSTRIALS - 31.6%

  

AAR Corp.

     602        16,868   

Apogee Enterprises Inc.

     330        11,850   

Applied Industrial Technologies Inc.

     161        7,899   

Astec Industries Inc.

     215        8,305   

Brady Corp. - Class A

     201        6,217   

Briggs & Stratton Corp.

     500        10,880   

Carlisle Cos. Inc.

     160        12,720   

EMCOR Group Inc.

     280        11,883   

EnerSys Inc.

     103        7,233   

EnPro Industries Inc. (c) (e)

     225        12,971   

Franklin Electric Co. Inc.

     226        10,067   

General Cable Corp.

     91        2,662   

Genesee & Wyoming Inc. - Class A (c)

     103        9,845   

Gibraltar Industries Inc. (c)

     365        6,785   

Granite Construction Inc.

     471        16,469   

Insperity Inc.

     175        6,337   

Kennametal Inc.

     230        11,955   

Lincoln Electric Holdings Inc.

     217        15,452   

Lindsay Corp. (e)

     61        5,064   

McGrath RentCorp

     261        10,392   

Mine Safety Appliances Co.

     226        11,573   

Mueller Industries Inc.

     110        6,925   

Nordson Corp.

     17        1,256   

Pentair Ltd.

     87        6,750   

Powell Industries Inc.

     113        7,563   

Regal-Beloit Corp.

     224        16,521   

Schawk Inc. - Class A

     323        4,800   

Simpson Manufacturing Co. Inc.

     278        10,218   

SkyWest Inc. (e)

     669        9,918   

Trinity Industries Inc.

     341        18,570   

Universal Forest Products Inc.

     295        15,381   

Wabash National Corp. (c)

     892        11,015   

Watts Water Technologies Inc. - Class A

     64        3,935   
   

 

 

  
    326,279   

INFORMATION TECHNOLOGY - 2.6%

  

Benchmark Electronics Inc. (c)

     417        9,617   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Cohu Inc.

     210        2,205   

Ingram Micro Inc. - Class A (c)

     232        5,433   

Multi-Fineline Electronix Inc. (c)

     118        1,638   

Rofin-Sinar Technologies Inc. (c)

     295        7,971   
   

 

 

  
    26,864   

MATERIALS - 11.4%

  

A. Schulman Inc.

     366        12,919   

AMCOL International Corp.

     11        374   

AptarGroup Inc.

     51        3,479   

Cabot Corp.

     330        16,962   

Carpenter Technology Corp.

     215        13,342   

HB Fuller Co.

     270        14,046   

Reliance Steel & Aluminum Co.

     151        11,482   

RPM International Inc.

     337        13,997   

Sensient Technologies Corp.

     280        13,561   

Steel Dynamics Inc.

     609        11,906   

Stepan Co.

     77        5,073   
   

 

 

  
    117,141   
   

 

 

  

Total Common Stocks (cost $657,114)

  

     926,266   
   

 

 

  

SHORT TERM INVESTMENTS - 11.2%

  

Investment Companies - 10.1%

  

JNL Money Market Fund, 0.01% (a) (h)

         104,539        104,539   

Securities Lending Collateral - 1.1%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     10,875        10,875   
   

 

 

  

Total Short Term Investments (cost $115,414)

  

     115,414   
   

 

 

  

Total Investments - 100.9% (cost $772,528)

  

         1,041,680   

Other Assets and Liabilities, Net - (0.9%)

  

     (9,259 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 1,032,421   
   

 

 

  

JNL/Goldman Sachs Emerging Markets Debt Fund

  

CORPORATE BONDS AND NOTES - 24.3%

  

ARGENTINA - 0.6%

  

Arcos Dorados Holdings Inc., 6.63%, 09/27/23 (r)

   $ 2,435      $ 2,447   

Transportadora de Gas del Sur SA, 7.88%, 05/14/17

     390        376   

YPF SA, 8.88%, 12/19/18 (e) (r)

     1,500        1,556   
   

 

 

  
    4,379   

BRAZIL - 1.2%

  

Banco do Estado do Rio Grande do Sul SA

    

7.38%, 02/02/22

     360        356   

7.38%, 02/02/22 (r)

     2,130        2,103   

Banco Santander Brasil SA, 8.00%, 03/18/16 (r), BRL

     4,750        1,868   

Marfrig Holding Europe BV

    

9.88%, 07/24/17

     220        217   

11.25%, 09/20/21 (r)

     600        573   

Raizen Fuels Finance Ltd., 9.50%, 08/15/14

     2,250        2,349   

Schahin II Finance Co SPV Ltd., 5.88%, 09/25/22 (e)

     719        686   

Telemar Norte Leste SA, 5.50%, 10/23/20

     710        671   

USJ Acucar e Alcool SA, 9.88%, 11/09/19 (e) (r)

     750        703   
   

 

 

  
    9,526   

CAYMAN ISLANDS - 0.1%

  

Cementos Progreso Trust, 7.13%, 11/06/23 (r)

     670        679   
     Shares/Par (p)     Value  

CHILE - 1.9%

  

AES Gener SA

    

5.25%, 08/15/21

     2,520        2,551   

8.38%, 12/18/73 (e) (i) (r)

     1,130        1,178   

Automotores Gildemeister SA

    

8.25%, 05/24/21

     670        459   

6.75%, 01/15/23 (e)

     1,360        904   

CFR International SpA

    

5.13%, 12/06/22

     380        349   

5.13%, 12/06/22 (r)

     270        248   

E.CL SA, 5.63%, 01/15/21

     1,980        2,088   

Embotelladora Andina SA, 5.00%, 10/01/23 (r)

     1,060        1,062   

ENTEL Chile SA, 4.88%, 10/30/24 (e) (r)

     3,450        3,364   

Sociedad Quimica y Minera de Chile SA

    

5.50%, 04/21/20 (r)

     230        234   

3.63%, 04/03/23 (r)

     470        407   

3.63%, 04/03/23 (e)

     2,670        2,318   
   

 

 

  
    15,162   

CHINA - 1.2%

  

China Merchants Finance Co. Ltd., 5.00%, 05/04/22

     710        707   

China Resources Gas Group Ltd., 4.50%, 04/05/22 (e)

     700        686   

Country Garden Holdings Co. Ltd., 11.13%, 02/23/18 (e)

     790        877   

Evergrande Real Estate Group Ltd, 8.75%, 10/30/18 (e) (r)

     510        514   

Franshion Development Ltd., 6.75%, 04/15/21

     882        913   

Golden Eagle Retail Group Ltd.

    

4.63%, 05/21/23

     482        411   

4.63%, 05/21/23 (r)

     400        341   

Hero Asia Investment Ltd., 5.25%, (callable at 100 beginning 12/07/15) (m)

     1,977        2,017   

Soho China Ltd., 7.13%, 03/11/18 (e)

     600        570   

Sparkle Assets Ltd., 6.88%, 01/30/20 (e)

     671        643   

Studio City Finance Ltd., 8.50%, 12/01/20 (r)

     890        986   

Talent Yield Investments Ltd., 4.50%, 04/25/22

     670        659   
   

 

 

  
    9,324   

COLOMBIA - 1.8%

  

Banco de Bogota SA, 5.00%, 01/15/17

     330        349   

Bancolombia SA, 5.95%, 06/03/21

     4,050        4,212   

Ecopetrol SA

    

7.63%, 07/23/19 (e)

     1,150        1,363   

5.88%, 09/18/23

     1,820        1,920   

Empresas Publicas de Medellin ESP, 7.63%, 07/29/19

     930        1,097   

Pacific Rubiales Energy Corp.

    

5.38%, 01/26/19 (r)

     1,490        1,501   

5.13%, 03/28/23 (e) (r)

     1,420        1,303   

Transportadora de Gas Internacional SA ESP, 5.70%, 03/20/22 (e)

     2,640        2,795   
   

 

 

  
    14,540   

COSTA RICA - 0.4%

  

Banco de Costa Rica, 5.25%, 08/12/18 (r)

     570        567   

Banco Nacional de Costa Rica

    

4.88%, 11/01/18 (r)

     620        608   

6.25%, 11/01/23 (r)

     1,940        1,877   
   

 

 

  
    3,052   

GUATEMALA - 0.2%

  

Central American Bottling Corp.

    

6.75%, 02/09/22 (e)

     1,510        1,540   

6.75%, 02/09/22 (r)

     70        72   
   

 

 

  
    1,612   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

HONG KONG - 1.4%

  

Bright Food Hong Kong Ltd., 3.00%, 05/21/18

     500        474   

Champion MTN Ltd., 3.75%, 01/17/23

     2,530        2,155   

Cheung Kong Infrastructure Holdings Ltd., 7.00%, (callable at 100 beginning 02/27/14) (m)

     925        927   

Hainan Airlines Hong Kong Co. Ltd., 3.63%, 02/07/20 (e)

     1,178        1,126   

LS Finance Ltd., 4.25%, 10/16/22 (e)

     790        719   

Metropolitan Light International Ltd., 5.25%, 01/17/18

     1,260        1,263   

New Cotai LLC, 10.63%, 05/01/19 (r) (y)

     264        271   

Pacnet Ltd., 9.00%, 12/12/18 (e) (q)

     370        377   

PCCW Capital No 4 Ltd., 5.75%, 04/17/22

     750        752   

Sun Hung Kai Properties Capital Market Ltd., 4.50%, 02/14/22

     1,290        1,295   

Wharf Finance Ltd., 4.63%, 02/08/17 (e)

     960        1,011   

Yingde Gases Investment Ltd., 8.13%, 04/22/18 (e) (r)

     540        562   
   

 

 

  
    10,932   

INDIA - 0.6%

  

Bharti Airtel International Netherlands BV, 5.13%, 03/11/23 (r)

     542        498   

Reliance Holdings USA Inc., 5.40%, 02/14/22

     1,626        1,644   

Rolta LLC, 10.75%, 05/16/18 (r)

     625        594   

Vedanta Resources Plc, 7.13%, 05/31/23 (e) (r)

     2,550        2,336   
   

 

 

  
    5,072   

INDONESIA - 0.3%

  

Indo Energy Finance BV, 7.00%, 05/07/18

     250        253   

Ottawa Holdings Pte Ltd., 5.88%, 05/16/18 (r)

     725        558   

Star Energy Geothermal Wayang Windu Ltd., 6.13%, 03/27/20

     571        530   

TBG Global Pte Ltd., 4.63%, 04/03/18 (e) (r)

     325        314   

Theta Capital Pte Ltd., 7.00%, 05/16/19

     895        892   
   

 

 

  
    2,547   

IRELAND - 0.1%

  

Phosagro OAO via Phosagro Bond Funding Ltd., 4.20%, 02/13/18

     970        962   

ISRAEL - 0.4%

  

Israel Electric Corp. Ltd.

    

5.63%, 06/21/18 (r)

     830        878   

7.25%, 01/15/19

     1,500        1,666   

7.75%, 12/15/27

     250        269   
   

 

 

  
    2,813   

JAMAICA - 0.5%

  

Digicel Group Ltd.

    

8.25%, 09/30/20 (r)

     580        601   

8.25%, 09/30/20

     3,260        3,378   

Digicel Ltd., 7.00%, 02/15/20 (r)

     200        202   
   

 

 

  
    4,181   

LUXEMBOURG - 0.7%

  

Altice Financing SA

    

7.88%, 12/15/19

     960        1,044   

6.50%, 01/15/22 (e) (r)

     880        887   

Altice Finco SA, 9.88%, 12/15/20

     430        484   

Millicom International Cellular SA, 4.75%, 05/22/20 (e) (r)

     1,110        1,066   

Rosneft Finance SA, 7.88%, 03/13/18

     370        427   

Telefonica Celular del Paraguay SA, 6.75%, 12/13/22

     800        832   

Wind Acquisition Holdings Finance SA, 12.25%, 07/15/17 (y), EUR

     310        434   
   

 

 

  
    5,174   
     Shares/Par (p)     Value  

MEXICO - 2.3%

  

America Movil SAB de CV

    

6.45%, 12/05/22, MXN

     16,420        1,159   

8.46%, 12/18/36, MXN

     37,600        2,714   

Cemex Finance LLC, 9.38%, 10/12/22 (r)

     1,700        1,916   

Cemex SAB de CV

    

6.50%, 12/10/19 (r)

     680        702   

7.25%, 01/15/21 (r)

     450        466   

Grupo Cementos de Chihuahua SAB de CV, 8.13%, 02/08/20 (r)

     250        262   

Grupo KUO SAB De CV, 6.25%, 12/04/22 (r)

     660        660   

Grupo Televisa SAB, 7.25%, 05/14/43, MXN

     45,770        2,838   

Metalsa SA de CV, 4.90%, 04/24/23 (r)

     1,840        1,670   

Mexico Generadora de Energia S de rl, 5.50%, 12/06/32 (q)

     830        793   

Offshore Drilling Holding SA, 8.38%, 09/20/20 (r)

     1,840        1,959   

Petroleos Mexicanos, 7.65%, 11/24/21 (r), MXN

     36,505        2,869   

Tenedora Nemak SA de CV, 5.50%, 02/28/23 (e) (r)

     570        559   
   

 

 

  
    18,567   

NETHERLANDS - 0.0%

  

Indosat Palapa Co. BV, 7.38%, 07/29/20

     184        200   

PARAGUAY - 0.1%

  

Banco Continental SAECA, 8.88%, 10/15/17 (e)

     1,030        1,094   

PERU - 0.9%

  

Banco de Credito del Peru

    

4.25%, 04/01/23 (e) (r)

     1,042        963   

6.13%, 04/24/27 (i) (r)

     1,130        1,127   

Corp. Financiera de Desarrollo SA, 4.75%, 02/08/22

     1,520        1,501   

Corp. Lindley SA, 6.75%, 11/23/21

     1,885        1,989   

Peru Enhanced Pass-Through Finance Ltd.

    

0.00%, 05/31/18 (j)

     494        456   

0.00%, 06/02/25 (f) (j) (q)

     1,007        672   

SAN Miguel Industrias Pet SA, 7.75%, 11/06/20 (r)

     460        470   
   

 

 

  
    7,178   

PHILIPPINES - 0.4%

  

Alliance Global Group Inc., 6.50%, 08/18/17

     240        253   

Energy Development Corp., 6.50%, 01/20/21

     2,130        2,220   

San Miguel Corp., 4.88%, 04/26/23

     769        631   
   

 

 

  
    3,104   

QATAR - 0.3%

  

Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.30%, 03/07/18

     2,400        2,574   

ROMANIA - 0.1%

  

Cable Communications Systems NV, 7.50%, 11/01/20 (q), EUR

     300        423   

RUSSIAN FEDERATION - 3.0%

  

EDC Finance Ltd., 4.88%, 04/17/20 (e) (r)

     1,490        1,447   

Gazprom Neft OAO Via GPN Capital SA

    

4.38%, 09/19/22

     1,740        1,594   

6.00%, 11/27/23 (r)

     5,490        5,572   

Gazprom OAO Via Gaz Capital SA

    

6.00%, 01/23/21

     1,600        1,688   

6.51%, 03/07/22

     880        945   

7.29%, 08/16/37

     470        495   

Lukoil International Finance BV

    

7.25%, 11/05/19

     900        1,040   

6.13%, 11/09/20

     200        217   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

4.56%, 04/24/23 (r)

     360        338   

4.56%, 04/24/23

     590        554   

MTS International Funding Ltd., 8.63%, 06/22/20 (e)

     1,790        2,112   

Phosagro OAO via Phosagro Bond Funding Ltd., 4.20%, 02/13/18 (r)

     230        228   

Rosneft Finance SA, 6.63%, 03/20/17

     260        287   

Rosneft Oil Co. via Rosneft International Finance Ltd., 4.20%, 03/06/22 (r)

     1,170        1,074   

Sibur Securities Ltd., 3.91%, 01/31/18 (r)

     1,680        1,640   

Uralkali OJSC, 3.72%, 04/30/18 (e) (r)

     1,130        1,089   

VimpelCom Holdings BV, 7.50%, 03/01/22

     3,230        3,374   
   

 

 

  
    23,694   

SINGAPORE - 0.3%

  

Berau Capital Resources Pte Ltd., 12.50%, 07/08/15

     765        807   

Global A&T Electronics Ltd., 10.00%, 02/01/19 (e) (r)

     497        428   

SPI Australia Assets Pty Ltd., 3.55%, 04/09/23

     1,060        952   

TBG Global Pte Ltd., 4.63%, 04/03/18

     241        233   
   

 

 

  
    2,420   

SOUTH AFRICA - 1.3%

  

Peermont Global Pty Ltd., 7.75%, 04/30/14, EUR

     970        1,341   

Transnet SOC Ltd.

    

10.80%, 03/15/18, ZAR

     7,000        740   

10.50%, 09/17/20, ZAR

     17,000        1,757   

8.90%, 11/14/27, ZAR

     57,000        5,233   

10.00%, 03/30/29, ZAR

     16,500        1,434   
   

 

 

  
    10,505   

SPAIN - 0.4%

  

Ajecorp BV

    

6.50%, 05/14/22 (e)

     1,100        1,092   

6.50%, 05/14/22 (r)

     1,080        1,072   

BC Luxco 1 SA, 7.38%, 01/29/20

     1,170        1,082   
   

 

 

  
    3,246   

SRI LANKA - 0.0%

  

National Savings Bank, 8.88%, 09/18/18 (r)

     360        383   

TAIWAN - 0.2%

  

CTBC Bank Co. Ltd., 5.63%, (callable at 100 beginning 03/17/15) (i) (m)

     1,580        1,584   

THAILAND - 0.8%

  

Bank of Thailand, 3.22%, 03/01/16, THB

     87,900        2,703   

PTTEP Canada International Finance Ltd., 5.69%, 04/05/21 (e)

     3,192        3,402   
   

 

 

  
    6,105   

TURKEY - 0.7%

  

Anadolu Efes Biracilik Ve Malt Sanayii A/S, 3.38%, 11/01/22 (r)

     230        183   

Coca-Cola Icecek A/S, 4.75%, 10/01/18 (r)

     960        977   

Turkiye Vakiflar Bankasi Tao, 3.75%, 04/15/18 (r)

     4,520        4,233   
   

 

 

  
    5,393   

UKRAINE - 0.3%

  

Ferrexpo Finance Plc, 7.88%, 04/07/16

     1,180        1,145   

Metinvest BV, 8.75%, 02/14/18 (e)

     940        884   

MHP SA, 8.25%, 04/02/20 (r)

     530        470   
   

 

 

  
    2,499   

UNITED ARAB EMIRATES - 1.8%

  

ADCB Finance Cayman Ltd., 4.50%, 03/06/23 (e)

     1,480        1,439   
     Shares/Par (p)     Value  

Dolphin Energy Ltd., 5.50%, 12/15/21

     5,740        6,271   

Ruwais Power Co. PJSC, 6.00%, 08/31/36 (e) (r)

     6,670        6,986   
   

 

 

  
    14,696   
   

 

 

  

Total Corporate Bonds and Notes (cost $205,682)

  

     193,620   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 57.4%

  

BRAZIL - 7.1%

  

Brazil Inflation Indexed Notas do Tesouro Nacional, 6.00%, 08/15/16 - 08/15/50 (s), BRL

     28,546        27,647   

Brazil Letras do Tesouro Nacional, 0.00%, 01/01/15 - 07/01/17 (j), BRL

     13,539        12,342   

Brazil Minas SPE via State of Minas Gerais, 5.33%, 02/15/28 (e) (r)

     1,120        1,039   

Brazil Notas do Tesouro Nacional, 10.00%, 01/01/18 - 01/01/23, BRL

     41,795        15,519   
   

 

 

  
    56,547   

CHILE - 0.5%

  

Chile Government International Bond, 6.00%, 01/01/18, CLP

     595,000        1,178   

Inflation Indexed Bonos del Banco Central de Chile en UF, 3.00%, 03/01/22 (s), CLP

     387,728        784   

Tesoreria General de la Republica Inflation Indexed Note, 3.00%, 01/01/15 (s), CLP

     950,349        1,828   
   

 

 

  
    3,790   

COLOMBIA - 3.9%

  

Colombia Government International Bond

    

4.38%, 05/01/18, COP

     324,000        149   

9.85%, 06/28/27, COP

     1,695,000        1,100   

Colombia TES

    

8.00%, 10/28/15, COP

     8,015,200        4,398   

7.00%, 05/04/22, COP

     39,730,400        20,792   

7.50%, 08/26/26, COP

     3,291,200        1,735   

6.00%, 04/28/28, COP

     6,650,400        3,074   
   

 

 

  
    31,248   

COSTA RICA - 0.4%

  

Costa Rica Government International Bond, 5.63%, 04/30/43 (e) (r)

     520        439   

Republic of Costa Rica

    

11.13%, 03/28/18 (q), CRC

     1,030,300        2,273   

9.20%, 03/27/19 (q), CRC

     30,100        62   
   

 

 

  
    2,774   

IVORY COAST - 0.4%

  

Ivory Coast Government International Bond, 5.75%, 12/31/32

     3,355        2,994   

DOMINICAN REPUBLIC - 1.4%

  

Dominican Republic International Bond

    

16.95%, 02/04/22, DOP

     155,900        4,272   

14.50%, 02/10/23 (q), DOP

     56,000        1,352   

14.50%, 02/10/23 (q), DOP

     16,200        391   

6.60%, 01/28/24 (r)

     1,040        1,043   

18.50%, 02/04/28 (q), DOP

     149,800        4,234   
   

 

 

  
    11,292   

HONDURAS - 0.5%

  

Honduras Government International Bond, 7.50%, 03/15/24 (r)

     370        338   

Republic of Honduras, 8.75%, 12/16/20 (r)

     3,490        3,516   
   

 

 

  
    3,854   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

HUNGARY - 0.4%

  

Hungary Government Bond

    

8.00%, 02/12/15, HUF

     275,040        1,340   

7.75%, 08/24/15, HUF

     317,670        1,572   
   

 

 

  
    2,912   

INDONESIA - 1.3%

  

Indonesia Government Bond

    

7.38%, 09/15/16, IDR

     59,070,000        4,781   

15.00%, 07/15/18, IDR

     18,617,000        1,924   

Indonesia Government International Bond, 5.38%, 10/17/23 (e) (r)

     1,270        1,263   

Perusahaan Penerbit SBSN Indonesia, 6.13%, 03/15/19 (r)

     2,040        2,175   
   

 

 

  
    10,143   

MALAYSIA - 0.8%

  

Malaysia Government Bond

    

5.09%, 04/30/14, MYR

     16,630        5,110   

3.43%, 08/15/14, MYR

     4,660        1,427   
   

 

 

  
    6,537   

MEXICO - 6.4%

  

Mexico Bonos

    

6.25%, 06/16/16, MXN

     33,920        2,728   

7.25%, 12/15/16, MXN

     9,005        742   

5.00%, 06/15/17, MXN

     16,407        1,265   

4.75%, 06/14/18, MXN

     136,259        10,187   

6.50%, 06/10/21 - 06/09/22, MXN

     21,649        1,694   

8.00%, 12/07/23, MXN

     1,312        112   

7.50%, 06/03/27, MXN

     66,308        5,415   

8.50%, 05/31/29 - 11/18/38, MXN

     56,165        4,804   

7.75%, 05/29/31, MXN

     104,206        8,355   

10.00%, 11/20/36, MXN

     72,138        7,017   

Mexico Cetes, 0.26%, 01/23/14, MXN

     10,926        8,350   
   

 

 

  
    50,669   

NIGERIA - 0.4%

  

Nigeria Government Bond, 16.00%, 06/29/19, NGN

     73,000        506   

Nigeria Government International Bond, 6.38%, 07/12/23

     2,950        3,046   
   

 

 

  
    3,552   

PARAGUAY - 0.2%

  

Republic of Paraguay, 4.63%, 01/25/23 (r)

     2,010        1,889   

PERU - 0.9%

  

Peru Government International Bond - Series REGS

    

7.84%, 08/12/20, PEN

     12,703        5,171   

8.20%, 08/12/26, PEN

     76        32   

6.95%, 08/12/31, PEN

     4,259        1,522   

6.90%, 08/12/37, PEN

     858        300   

6.85%, 02/12/42, PEN

     493        170   
   

 

 

  
    7,195   

PHILIPPINES - 0.4%

  

Philippine Government Bond, 4.95%, 01/15/21, PHP

     81,000        1,930   

Philippine Government International Bond, 6.25%, 01/14/36, PHP

     52,000        1,242   
   

 

 

  
    3,172   

POLAND - 2.8%

  

Poland Government Bond

    

2.50%, 07/25/18, PLN

     1,970        620   

5.50%, 10/25/19, PLN

     14,480        5,186   

5.75%, 10/25/21, PLN

     35,137        12,782   
     Shares/Par (p)     Value  

Poland Government Treasury Inflation Indexed Bond, 3.00%, 08/24/16 (n), PLN

     11,139        3,871   
   

 

 

  
    22,459   

ROMANIA – 0.5%

  

Romania Government Bond, 5.90%, 07/26/17, RON

     12,310        3,968   

RUSSIAN FEDERATION - 7.2%

  

AHML Finance Ltd., 7.75%, 02/13/18 (r), RUB

     165,700        4,962   

Russia Federal Bond, 7.00%, 08/16/23, RUB

     274,640        7,985   

Russia Foreign Bond, 3.50%, 01/16/19 (r)

     3,200        3,250   

Russia Government Bond

    

7.35%, 01/20/16, RUB

     117,900        3,667   

6.20%, 01/31/18, RUB

     765,370        22,665   

7.50%, 02/27/19, RUB

     178,190        5,523   

7.60%, 07/20/22, RUB

     130,310        3,978   

8.15%, 02/03/27, RUB

     31,670        994   

7.05%, 01/19/28, RUB

     148,570        4,203   
   

 

 

  
    57,227   

SOUTH AFRICA - 1.8%

  

South Africa Government Bond

    

8.00%, 12/21/18, ZAR

     53,680        5,292   

7.25%, 01/15/20, ZAR

     18,400        1,735   

7.75%, 02/28/23, ZAR

     10,160        960   

10.50%, 12/21/26, ZAR

     21,150        2,376   

7.00%, 02/28/31, ZAR

     31,910        2,536   

6.50%, 02/28/41, ZAR

     18,300        1,286   
   

 

 

  
    14,185   

THAILAND - 6.4%

  

Bank of Thailand, 2.95%, 01/14/16, THB

     71,560        2,189   

Thailand Government Bond

    

5.25%, 05/12/14, THB

     102,800        3,160   

3.63%, 05/22/15 - 06/16/23, THB

     574,448        17,565   

3.13%, 12/11/15, THB

     200,460        6,155   

3.25%, 06/16/17, THB

     90,800        2,786   

3.58%, 05/02/18, THB

     131,500        3,741   

3.65%, 12/17/21, THB

     397,185        12,000   

3.78%, 06/25/32, THB

     20,200        572   

Thailand Government Inflation Indexed Bond, 1.20%, 06/15/18 (s), THB

     82,000        2,467   
   

 

 

  
    50,635   

TURKEY - 6.3%

  

Turkey Government Bond

    

6.50%, 01/07/15, TRY

     29,670        13,376   

5.00%, 05/13/15, TRY

     4,255        1,857   

9.00%, 01/27/16 - 03/08/17, TRY

     21,200        9,633   

6.30%, 02/14/18, TRY

     21,920        8,975   

8.30%, 06/20/18, TRY

     9,890        4,326   

9.50%, 01/12/22, TRY

     16,440        7,365   

8.50%, 09/14/22, TRY

     5,890        2,475   

7.10%, 03/08/23, TRY

     5,550        2,115   
   

 

 

  
    50,122   

UNITED STATES OF AMERICA - 7.4%

  

U.S. Treasury Bond

    

3.63%, 08/15/43 (e) (o)

     4,900        4,609   

3.75%, 11/15/43 (e)

     8,000        7,701   

U.S. Treasury Note

    

1.38%, 09/30/18

     2,600        2,567   

1.25%, 10/31/18 - 11/30/18

     32,600        31,912   

2.00%, 09/30/20

     3,500        3,417   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

1.75%, 10/31/20

     9,400        9,007   
   

 

 

  
    59,213   
   

 

 

  

Total Government and Agency Obligations
(cost $43,379)

   

     456,377   
   

 

 

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.2%

   

BRAZIL - 0.2%

  

Brazil Loan Trust 1, 5.48%, 07/24/23 (r)

     2,130        2,125   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $2,205)

   

     2,125   
   

 

 

  

CREDIT LINKED STRUCTURED NOTES - 8.3%

  

COLOMBIA - 2.0%

  

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 10.00%, 07/24/24, Moody’s rating N/A) (r), COP

     1,642,000        1,050   

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 11.00%, 07/24/20, Moody’s rating N/A) (i) (r), COP

     4,514,000        2,860   

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 11.25%, 10/24/18, Moody’s rating N/A) (i) (r), COP

     10,289,000        6,420   

Citigroup Funding Inc. Credit Linked Note (Colombian Government Bond, 11.25%, 10/24/18, Moody’s rating N/A) (r), COP

     9,263,000        5,783   
   

 

 

  
    16,113   

INDONESIA - 5.3%

  

Barclays Bank Plc Credit Linked Note (Indonesia Government, 10.00%, 07/15/17, Moody’s rating Baa3) (q), IDR

     82,000,000        7,165   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 10.75%, 05/15/16, Moody’s rating Baa3) (q), IDR

     20,500,000        1,795   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 7.00%, 05/15/27, Moody’s rating Baa3) (r), IDR

     17,900,000        1,260   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 8.25%, 06/15/32, Moody’s rating Baa3), IDR

     13,600,000        1,044   

Deutsche Bank AG Credit Linked Note (Indonesia Government, 8.25%, 07/15/21, Moody’s rating Baa3), IDR

     84,000,000        6,867   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 10.00%, 07/18/17, Moody’s rating Baa3) (r), IDR

     65,000,000        5,683   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 10.75%, 05/17/16, Moody’s rating Baa3) (r), IDR

     86,000,000        7,523   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 11.00%, 11/15/20, Moody’s rating Baa3) (r), IDR

     20,000,000        1,876   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 6.13%, 05/17/28, Moody’s rating Baa3) (r), IDR

     27,187,000        1,736   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 6.63%, 05/15/33, Moody’s rating Baa3) (r), IDR

     46,000,000        2,964   

JPMorgan Chase & Co. Credit Linked Note (Indonesia Government, 6.63%, 05/15/33, Moody’s rating Baa3) (r), IDR

     2,800,000        181   

Standard Chartered Bank Credit Linked Note (Indonesia Government, 9.00%, 03/15/29, Moody’s rating Baa3) (r), IDR

     24,092,000        1,998   
     Shares/Par (p)     Value  

Standard Chartered Bank Credit Linked Note (Indonesia Government, 9.00%, 03/15/29, Moody’s rating Baa3) (r), IDR

     26,254,000        2,177   
   

 

 

  
    42,269   

NIGERIA - 1.0%

  

Citigroup Funding Inc. Credit Linked Note (Federal Republic of Nigeria, 10.00%, 07/23/30, Moody’s rating N/A) (r), NGN

     276,000        1,350   

Citigroup Funding Inc. Credit Linked Note (Federal Republic of Nigeria, 15.10%, 05/01/17, Moody’s rating N/A) (r), NGN

     105,000        690   

Citigroup Funding Inc. Credit Linked Note (Federal Republic of Nigeria, 16.00%, 07/03/19, Moody’s rating N/A) (r), NGN

     115,000        798   

Deutsche Bank AG Credit Linked Note (Federal Republic of Nigeria, 0.00%, 02/06/14, Moody’s rating N/A) (j) (r), NGN

     502,000        3,101   

Deutsche Bank AG Credit Linked Note (Federal Republic of Nigeria, 0.00%, 03/06/14, Moody’s rating N/A) (j) (r), NGN

     90,000        550   

Deutsche Bank AG Credit Linked Note (Federal Republic of Nigeria, 0.00%, 03/20/14, Moody’s rating N/A) (j) (r), NGN

     90,000        547   

HSBC Credit Linked Note (Federal Republic of Nigeria, 7.00%, 10/23/19, Moody’s rating N/A) (r), NGN

     97,580        460   
   

 

 

  
    7,496   
   

 

 

  

Total Credit Linked Structured Notes (cost $82,657)

  

     65,878   
   

 

 

  

OTHER EQUITY INTERESTS - 0.1%

  

ITALY - 0.1%

  

Wind Acquisition Finance SA (r) (u)

     460        489   
   

 

 

  

Total Other Equity Interests (cost $472)

  

     489   
   

 

 

  

COMMON STOCKS - 0.0%

  

HONG KONG - 0.0%

  

New Cotai LLC (c) (f)

     —        25   
   

 

 

  

Total Common Stocks (cost $0)

  

     25   
   

 

 

  

SHORT TERM INVESTMENTS - 12.4%

  

Investment Companies - 5.8%

  

JNL Money Market Fund, 0.01% (a) (h)

     45,975        45,975   

Securities Lending Collateral - 4.9%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     39,020        39,020   

Treasury Securities - 1.7%

  

Bank Negara Malaysia Monetary Note

    

0.88%, 05/22/14, MYR

     13,560        4,093   

0.88%, 05/27/14, MYR

     12,390        3,739   

0.89%, 07/08/14, MYR

     12,410        3,732   

0.88%, 11/06/14, MYR

     6,640        1,977   
   

 

 

  
    13,541   
   

 

 

  

Total Short Term Investments (cost $98,918)

  

     98,536   
   

 

 

  

Total Investments - 102.7% (cost $883,313)

  

         817,050   

Other Assets and Liabilities, Net - (2.7%)

 

     (21,789 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 795,261   
   

 

 

  
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Goldman Sachs Mid Cap Value Fund

  

COMMON STOCKS - 98.2%

  

CONSUMER DISCRETIONARY - 11.7%

  

Burlington Stores Inc. (c) (e)

     12      $ 386   

Cinemark Holdings Inc.

     8        257   

Delphi Automotive Plc

     218            13,103   

Expedia Inc.

     23        1,596   

Gannett Co. Inc.

     16        483   

GNC Holdings Inc. - Class A

     5        279   

HanesBrands Inc.

     5        370   

Jack in the Box Inc. (c)

     8        383   

Jarden Corp. (c)

     8        508   

Jos. A. Bank Clothiers Inc. (c)

     5        260   

Lear Corp.

     9        736   

Lennar Corp. - Class A

     19        740   

Liberty Interactive Corp. - Interactive Class A (c)

     529        15,527   

Liberty Media Corp. - Class A (c)

     95        13,912   

Macy’s Inc.

     143        7,610   

Madison Square Garden Inc. - Class A (c)

     4        242   

Meritage Homes Corp. (c)

     6        310   

MGM Resorts International (c)

     577        13,561   

Mohawk Industries Inc. (c)

     6        880   

PVH Corp.

     88        12,023   

Scripps Networks Interactive Inc.

     120        10,340   

Signet Jewelers Ltd.

     1        69   

Starwood Hotels & Resorts Worldwide Inc.

     184        14,624   

Toll Brothers Inc. (c)

     338        12,512   

TRW Automotive Holdings Corp. (c)

     72        5,348   

Visteon Corp. (c)

     6        455   

Whirlpool Corp.

     64        9,975   
   

 

 

  
    136,489   

CONSUMER STAPLES - 3.4%

  

Constellation Brands Inc. - Class A (c)

     123        8,689   

Green Mountain Coffee Roasters Inc. (c) (e)

     70        5,262   

Hain Celestial Group Inc. (c)

     4        346   

Ingredion Inc.

     133        9,126   

Monster Beverage Corp. (c)

     108        7,327   

Spectrum Brands Holdings Inc.

     9        606   

Tyson Foods Inc. - Class A

     252        8,441   
   

 

 

  
    39,797   

ENERGY - 7.9%

  

Cameron International Corp. (c)

     219        13,057   

Chesapeake Energy Corp.

     612        16,603   

Cimarex Energy Co.

     112        11,762   

Dresser-Rand Group Inc. (c)

     6        349   

Dril-Quip Inc. (c)

     2        272   

EQT Corp.

     88        7,945   

Forum Energy Technologies Inc. (c)

     18        499   

Kodiak Oil & Gas Corp. (c)

     38        429   

Laredo Petroleum Holdings Inc. (c)

     18        502   

Oil States International Inc. (c)

     80        8,142   

Pioneer Natural Resources Co.

     30        5,504   

Range Resources Corp.

     127        10,704   

Rex Energy Corp. (c)

     28        548   

SM Energy Co.

     6        491   

Tesoro Corp.

     242        14,156   

Western Refining Inc. (e)

     12        517   
   

 

 

  
    91,480   

FINANCIALS - 29.3%

  

Allied World Assurance Co. Holdings Ltd.

     6        730   

American Campus Communities Inc.

     18        569   

American Equity Investment Life Holding Co.

     30        793   

Ares Capital Corp.

     19        331   
     Shares/Par (p)     Value  

Arthur J Gallagher & Co.

     116        5,466   

AvalonBay Communities Inc.

     137        16,223   

BancorpSouth Inc.

     17        434   

Bank of the Ozarks Inc.

     11        621   

BankUnited Inc. (e)

     13        412   

BOK Financial Corp.

     5        351   

Brown & Brown Inc.

     14        454   

Camden Property Trust

     217        12,316   

CBL & Associates Properties Inc.

     17        308   

CIT Group Inc.

     205        10,710   

CNO Financial Group Inc.

     39        692   

Cullen/Frost Bankers Inc.

     5        405   

DDR Corp. (e)

     577        8,869   

Digital Realty Trust Inc. (e)

     90        4,409   

DuPont Fabros Technology Inc.

     11        284   

E*TRADE Financial Corp. (c)

     21        411   

East West Bancorp Inc.

     17        595   

Eaton Vance Corp.

     7        320   

Empire State Realty Trust Inc. - Class A

     25        383   

Endurance Specialty Holdings Ltd.

     10        561   

Everest Re Group Ltd.

     84        13,087   

Extra Space Storage Inc.

     8        345   

First Cash Financial Services Inc. (c) (e)

     3        202   

First Financial Bankshares Inc. (e)

     3        196   

First Republic Bank

     163        8,554   

Genworth Financial Inc. - Class A (c)

     745        11,565   

Glacier Bancorp Inc.

     16        470   

Highwoods Properties Inc.

     15        527   

Home Loan Servicing Solutions Ltd.

     13        306   

Huntington Bancshares Inc.

     1,241        11,973   

ING US Inc.

     334        11,736   

Invesco Ltd.

     531        19,321   

Kennedy-Wilson Holdings Inc.

     18        397   

Lincoln National Corp.

     387        19,979   

M&T Bank Corp. (e)

     165        19,243   

Maiden Holdings Ltd.

     10        106   

Markel Corp. (c)

     1        519   

MarketAxess Holdings Inc.

     3        196   

MFA Financial Inc. (e)

     749        5,285   

NASDAQ OMX Group Inc.

     359        14,278   

National Health Investors Inc.

     6        324   

National Retail Properties Inc. (e)

     8        241   

Ocwen Financial Corp. (c)

     11        604   

PacWest Bancorp (e)

     10        443   

Pebblebrook Hotel Trust

     18        568   

Post Properties Inc.

     8        367   

Principal Financial Group Inc.

     373        18,400   

PrivateBancorp Inc.

     18        532   

ProAssurance Corp.

     11        511   

Prosperity Bancshares Inc.

     11        687   

Protective Life Corp.

     10        510   

PS Business Parks Inc.

     4        278   

Radian Group Inc. (e)

     26        371   

Raymond James Financial Inc.

     241        12,578   

Signature Bank (c)

     70        7,563   

SLM Corp.

     491        12,890   

Solar Capital Ltd.

     7        168   

Starwood Property Trust Inc. (e)

     437        12,116   

Stifel Financial Corp. (c)

     9        421   

Strategic Hotels & Resorts Inc. (c)

     39        364   

Tanger Factory Outlet Centers Inc.

     223        7,130   

Taubman Centers Inc.

     153        9,802   

Texas Capital Bancshares Inc. (c)

     10        647   

Two Harbors Investment Corp.

     718        6,663   

UMB Financial Corp.

     7        419   

Validus Holdings Ltd.

     206        8,288   

Walter Investment Management Corp. (c)

     4        155   

Webster Financial Corp. (e)

     15        467   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Weingarten Realty Investors

     14        375   

Willis Group Holdings Plc

     125        5,612   

WR Berkley Corp.

     75        3,263   

XL Group Plc

     462        14,704   

Zions Bancorp

     250        7,483   
   

 

 

  
    339,876   

HEALTH CARE - 10.5%

    

Aetna Inc.

     233        15,997   

Agilent Technologies Inc.

     403        23,067   

Alere Inc. (c)

     9        323   

Allscripts-Misys Healthcare Solutions Inc. (c)

     30        463   

Cardinal Health Inc.

     280        18,718   

CareFusion Corp. (c)

     302        12,024   

CR Bard Inc.

     105        14,000   

Hill-Rom Holdings Inc.

     5        222   

Humana Inc.

     154        15,915   

Infinity Pharmaceuticals Inc. (c)

     25        345   

Laboratory Corp. of America Holdings (c)

     59        5,421   

PerkinElmer Inc.

     10        417   

Surgical Care Affiliates Inc. (c)

     8        290   

Teleflex Inc.

     3        283   

Tenet Healthcare Corp. (c)

     327        13,781   

WellCare Health Plans Inc. (c)

     7        462   
   

 

 

  
    121,728   

INDUSTRIALS - 12.5%

    

Actuant Corp. - Class A

     10        359   

Armstrong World Industries Inc. (c)

     145        8,364   

Belden Inc. (e)

     4        279   

Carlisle Cos. Inc.

     165        13,066   

CommScope Holding Co. Inc. (c)

     18        343   

Crane Co.

     88        5,898   

Esterline Technologies Corp. (c)

     7        713   

Foster Wheeler AG (c)

     7        233   

Graco Inc.

     6        464   

KBR Inc.

     285        9,088   

Kennametal Inc.

     10        515   

Pall Corp.

     5        441   

Quanta Services Inc. (c)

     13        409   

Robert Half International Inc.

     10        410   

Sensata Technologies Holding NV (c)

     13        488   

SPX Corp.

     4        432   

Stanley Black & Decker Inc.

     174        14,022   

Terex Corp.

     297        12,479   

Textron Inc.

     497        18,263   

Timken Co.

     242        13,316   

Triumph Group Inc.

     220        16,764   

Tyco International Ltd.

     353        14,470   

United Continental Holdings Inc. (c)

     203        7,680   

Waste Connections Inc.

     124        5,412   

Watsco Inc.

     2        234   

WESCO International Inc. (c)

     7        669   
   

 

 

  
    144,811   

INFORMATION TECHNOLOGY - 11.2%

  

Altera Corp.

     520        16,918   

Anixter International Inc.

     7        624   

Applied Materials Inc.

     631        11,160   

Cadence Design Systems Inc. (c)

     25        351   

Citrix Systems Inc. (c)

     195        12,306   

F5 Networks Inc. (c)

     67        6,062   

Fairchild Semiconductor International Inc. (c)

     23        309   

Fidelity National Information Services Inc.

     215        11,563   

Global Payments Inc.

     91        5,893   

IAC/InterActiveCorp.

     6        406   

Ingram Micro Inc. - Class A (c)

     11        258   

Juniper Networks Inc. (c)

     515        11,617   
     Shares/Par (p)     Value  

Lam Research Corp. (c)

     169        9,217   

Maxim Integrated Products Inc.

     415        11,594   

NetApp Inc.

     133        5,489   

Nvidia Corp.

     449        7,200   

Polycom Inc. (c)

     504        5,662   

PTC Inc. (c)

     223        7,894   

Semtech Corp. (c)

     11        268   

SS&C Technologies Holdings Inc. (c)

     10        461   

Synopsys Inc. (c)

     13        543   

Teradyne Inc. (c) (e)

     21        376   

TIBCO Software Inc. (c)

     126        2,823   

Verint Systems Inc. (c)

     9        390   

Vishay Intertechnology Inc. (c)

     23        305   
   

 

 

  
    129,689   

MATERIALS - 5.1%

    

Ashland Inc.

     70        6,798   

Berry Plastics Group Inc. (c)

     6        141   

Carpenter Technology Corp.

     3        208   

Celanese Corp. - Class A

     135        7,457   

Cytec Industries Inc.

     4        408   

Huntsman Corp.

     17        422   

International Paper Co.

     116        5,677   

KapStone Paper and Packaging
Corp. (c)

     8        430   

Louisiana-Pacific Corp. (c)

     358        6,632   

Methanex Corp.

     6        346   

Packaging Corp. of America

     142        8,973   

PolyOne Corp.

     21        735   

Reliance Steel & Aluminum Co.

     119        8,992   

Steel Dynamics Inc.

     20        399   

Taminco Corp. (c) (e)

     22        452   

United States Steel Corp. (e)

     12        367   

Valspar Corp.

     148        10,525   

Westlake Chemical Corp.

     4        454   

WR Grace & Co. (c)

     5        493   
   

 

 

  
    59,909   

UTILITIES - 6.6%

    

Allete Inc.

     7        333   

Calpine Corp. (c)

     443        8,643   

Cleco Corp.

     11        518   

Edison International

     285        13,219   

El Paso Electric Co.

     8        266   

FirstEnergy Corp.

     402        13,272   

IDACORP Inc.

     8        410   

NorthWestern Corp.

     6        250   

NRG Energy Inc.

     18        503   

OGE Energy Corp.

     13        441   

Portland General Electric Co.

     11        336   

Questar Corp.

     23        518   

SCANA Corp.

     157        7,363   

Sempra Energy

     198        17,806   

Southwest Gas Corp.

     11        595   

Vectren Corp.

     10        361   

Westar Energy Inc.

     15        470   

Xcel Energy Inc.

     408        11,400   
   

 

 

  
    76,704   
   

 

 

  

Total Common Stocks (cost $972,949)

  

     1,140,483   
   

 

 

  

INVESTMENT COMPANIES - 0.5%

  

  

iShares Russell Midcap Value Index Fund (e)

     81        5,323   
   

 

 

  

Total Investment Companies (cost $5,137)

  

     5,323   
   

 

 

  

SHORT TERM INVESTMENTS - 3.4%

  

Investment Companies - 1.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     11,833        11,833   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Securities Lending Collateral - 2.4%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     27,449        27,449   
   

 

 

  

Total Short Term Investments (cost $39,282)

  

     39,282   
   

 

 

  

Total Investments - 102.1% (cost $1,017,368)

  

     1,185,088   

Other Assets and Liabilities, Net - (2.1%)

 

     (24,279 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,160,809   
   

 

 

  

JNL/Goldman Sachs U.S. Equity Flex Fund

  

COMMON STOCKS - 116.7%

  

CONSUMER DISCRETIONARY - 15.8%

  

CBS Corp. - Class B

     31      $ 1,960   

Comcast Corp. - Class A

     53        2,732   

Expedia Inc.

     31        2,159   

Gap Inc.

     68        2,646   

L Brands Inc. (o)

     39        2,401   

Liberty Global Plc - Class A (c) (o)

     42        3,717   

MGM Resorts International (c) (o)

     75        1,763   

PVH Corp. (o)

     11        1,440   

Starwood Hotels & Resorts Worldwide Inc.

     32        2,536   

Time Warner Cable Inc. (o)

     3        366   

Toll Brothers Inc. (c) (o)

     86        3,171   

Urban Outfitters Inc. (c)

     51        1,886   

Viacom Inc. - Class B

     22        1,926   

Yum! Brands Inc.

     35        2,640   
   

 

 

  
    31,343   

CONSUMER STAPLES - 10.3%

    

Anheuser-Busch InBev NV - ADR (o)

     26        2,808   

ConAgra Foods Inc.

     46        1,558   

Constellation Brands Inc. -
Class A (c) (o)

     27        1,876   

Estee Lauder Cos. Inc.

     51        3,823   

Green Mountain Coffee Roasters
Inc. (c)

     35        2,639   

Ingredion Inc.

     14        970   

Lorillard Inc.

     48        2,436   

Monster Beverage Corp. (c) (o)

     28        1,917   

Wal-Mart Stores Inc. (o)

     30        2,376   
   

 

 

  
    20,403   

ENERGY - 11.1%

    

Apache Corp.

     20        1,694   

Devon Energy Corp. (o)

     91        5,644   

Exxon Mobil Corp. (o)

     82        8,271   

Halliburton Co. (o)

     67        3,410   

Southwestern Energy Co. (c) (o)

     78        3,055   
   

 

 

  
    22,074   

FINANCIALS - 19.1%

    

American International Group Inc.

     92        4,692   

American Tower Corp.

     13        1,065   

AvalonBay Communities Inc. (o)

     12        1,374   

Bank of America Corp. (o)

     228        3,553   

Capital One Financial Corp. (o)

     20        1,559   

Citigroup Inc. (o)

     80        4,150   

Comerica Inc.

     31        1,487   

Hartford Financial Services Group Inc.

     77        2,800   

JPMorgan Chase & Co. (o)

     70        4,113   

MetLife Inc.

     11        591   

Morgan Stanley

     46        1,445   

Prudential Financial Inc. (o)

     38        3,530   

SLM Corp. (o)

     121        3,170   

SunTrust Banks Inc. (o)

     40        1,469   
     Shares/Par (p)     Value  

Travelers Cos. Inc. (o)

     32        2,867   
   

 

 

  
    37,865   

HEALTH CARE - 14.2%

    

Allergan Inc.

     25        2,796   

Covidien Plc

     51        3,468   

CR Bard Inc. (o)

     17        2,300   

Eli Lilly & Co.

     48        2,432   

Gilead Sciences Inc. (c)

     20        1,498   

Mallinckrodt Plc (c)

     19        968   

Merck & Co. Inc. (o)

     113        5,641   

Pfizer Inc. (o)

     64        1,972   

UnitedHealth Group Inc. (o)

     55        4,161   

Vertex Pharmaceuticals Inc. (c) (o)

     40        2,967   
   

 

 

  
    28,203   

INDUSTRIALS - 11.8%

    

Boeing Co. (o)

     47        6,396   

Caterpillar Inc.

     21        1,874   

General Electric Co. (o)

     298        8,342   

Textron Inc. (o)

     119        4,391   

Waste Management Inc.

     52        2,331   
   

 

 

  
    23,334   

INFORMATION TECHNOLOGY - 27.5%

  

Adobe Systems Inc. (c) (o)

     37        2,202   

Altera Corp. (o)

     91        2,962   

Apple Inc. (o)

     14        7,660   

Applied Materials Inc.

     99        1,756   

Citrix Systems Inc. (c)

     47        2,990   

eBay Inc. (c)

     53        2,914   

EMC Corp.

     201        5,054   

Google Inc. - Class A (c)

     4        3,929   

MasterCard Inc.

     3        2,373   

Microsoft Corp. (o)

     233        8,728   

NetApp Inc.

     46        1,887   

Nvidia Corp.

     113        1,811   

Oracle Corp. (o)

     118        4,528   

PTC Inc. (c) (o)

     38        1,329   

QUALCOMM Inc. (o)

     58        4,287   
   

 

 

  
    54,410   

MATERIALS - 5.0%

    

Berry Plastics Group Inc. (c) (o)

     120        2,851   

Celanese Corp. - Class A (o)

     33        1,836   

Eastman Chemical Co. (o)

     30        2,427   

Louisiana-Pacific Corp. (c)

     150        2,774   
   

 

 

  
    9,888   

UTILITIES - 1.9%

    

FirstEnergy Corp.

     21        693   

NextEra Energy Inc.

     15        1,283   

PG&E Corp.

     46        1,834   
   

 

 

  
    3,810   
   

 

 

  

Total Common Stocks (cost $190,891)

  

     231,330   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

Investment Companies - 3.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     5,888        5,888   
   

 

 

  

Total Short Term Investments (cost $5,888)

  

     5,888   
   

 

 

  

Total Investments - 119.7% (cost $196,779)

  

     237,218   

Total Securities Sold Short - (19.7%) (proceeds $31,360)

   

     (39,043 ) 

Other Assets and Liabilities, Net - (0.0% )

  

     (65 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     198,110   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SECURITIES SOLD SHORT - 19.7%

  

COMMON STOCKS - 19.7%

    

CONSUMER DISCRETIONARY - 2.4%

  

Best Buy Co. Inc.

     15      $ 601   

Family Dollar Stores Inc.

     12        805   

Garmin Ltd.

     11        522   

Meredith Corp.

     26        1,368   

New York Times Co. - Class A

     52        823   

Tesla Motors Inc.

     4        583   
   

 

 

  
      4,702   

CONSUMER STAPLES - 0.6%

    

General Mills Inc.

     24        1,206   

ENERGY - 2.0%

    

Chevron Corp.

     11        1,330   

Murphy Oil Corp.

     22        1,419   

Murphy USA Inc.

     5        227   

Valero Energy Corp.

     19        953   
   

 

 

  
      3,929   

FINANCIALS - 2.5%

    

ACE Ltd.

     7        746   

Federated Investors Inc. - Class B

     31        881   

FirstMerit Corp.

     38        837   

People’s United Financial Inc.

     52        779   

Valley National Bancorp

     174        1,758   
   

 

 

  
      5,001   

INDUSTRIALS - 2.5%

    

Deere & Co.

     10        936   

Lockheed Martin Corp.

     9        1,272   

Northrop Grumman Systems Corp.

     10        1,171   

Precision Castparts Corp.

     6        1,588   
   

 

 

  
      4,967   

INFORMATION TECHNOLOGY - 4.7%

  

Corning Inc.

     70        1,249   

FactSet Research Systems Inc.

     13        1,432   

Flextronics International Ltd.

     129        1,000   

Intel Corp.

     32        824   

International Business Machines Corp.

     5        872   

Micron Technology Inc.

     47        1,020   

Motorola Solutions Inc.

     14        976   

SanDisk Corp.

     12        813   

Seagate Technology

     19        1,068   
   

 

 

  
      9,254   

MATERIALS - 3.7%

    

Air Products & Chemicals Inc.

     21        2,352   

Alcoa Inc.

     155        1,652   

Aluminum Corp. of China Ltd. - ADR - Class H

     128        1,116   

Dow Chemical Co.

     27        1,187   

Nucor Corp.

     19        992   
   

 

 

  
      7,299   

TELECOMMUNICATION SERVICES - 0.9%

  

CenturyLink Inc.

     21        673   

T-Mobile US Inc.

     34        1,151   
   

 

 

  
      1,824   

UTILITIES - 0.4%

    

Duke Energy Corp.

     12        861   
   

 

 

  

Total Securities Sold Short - 19.7%
(proceeds $31,360)

   

   $     39,043   
   

 

 

  
     Shares/Par (p)     Value  

JNL/Invesco Global Real Estate Fund

  

COMMON STOCKS - 97.6%

  

AUSTRALIA - 6.5%

  

Dexus Property Group

     15,609      $ 14,038   

Federation Centres Ltd.

     5,711        11,971   

Goodman Group

     2,528        10,712   

Stockland

     4,832        15,623   

Westfield Group

     2,181        19,685   

Westfield Retail Trust

     10,454        27,773   
   

 

 

  
    99,802   

AUSTRIA - 0.3%

    

Conwert Immobilien Invest SE (e)

     357        4,587   

CANADA - 4.2%

    

Allied Properties REIT

     576        17,758   

Brookfield Properties Corp.

     239        4,597   

Calloway REIT

     226        5,355   

Canadian Apartment Properties REIT (e)

     780        15,608   

Canadian REIT

     321        13,118   

Chartwell Retirement Residences (e)

     512        4,817   

H&R REIT

     191        3,838   
   

 

 

  
    65,091   

CHINA - 0.4%

    

China Overseas Land & Investment Ltd.

     1,540        4,347   

Guangzhou R&F Properties Co. Ltd.

     932        1,367   
   

 

 

  
    5,714   

FINLAND - 0.3%

    

Sponda Oyj

     1,146        5,390   

FRANCE - 3.7%

    

Gecina SA

     54        7,165   

Klepierre

     124        5,749   

Mercialys SA

     181        3,788   

Unibail-Rodamco SE

     157        40,331   
   

 

 

  
    57,033   

GERMANY - 1.7%

    

Deutsche Wohnen AG (c)

     515        9,560   

Deutsche Wohnen AG

     362        6,981   

LEG Immobilien AG

     170        10,019   
   

 

 

  
    26,560   

HONG KONG - 8.5%

    

Henderson Land Development Co. Ltd.

     4,067        23,249   

Hongkong Land Holdings Ltd.

     3,041        17,968   

Hysan Development Co. Ltd.

     2,767        11,944   

Link REIT (e)

     4,555        22,092   

New World Development Ltd.

     7,630        9,662   

Shimao Property Holdings Ltd.

     5,039        11,615   

Sun Hung Kai Properties Ltd.

     1,128        14,336   

Wharf Holdings Ltd.

     2,624        20,100   
   

 

 

  
        130,966   

JAPAN - 15.3%

    

Activia Properties Inc.

     1        8,637   

AEON REIT Investment Corp. (c)

     —        465   

Frontier Real Estate Investment Corp.

     1        5,560   

Hulic Co. Ltd. (e)

     611        9,041   

Industrial & Infrastructure Fund Investment Corp.

     1        7,658   

Japan Prime Realty Investment Corp. (e)

     3        9,649   

Japan Real Estate Investment Corp.

     1        7,319   

Japan Retail Fund Investment Corp.

     2        3,953   

Kenedix Realty Investment Corp. (e)

     2        9,340   

Mitsubishi Estate Co. Ltd.

     1,709        51,144   

Mitsui Fudosan Co. Ltd.

     1,908        68,823   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Mori Hills REIT Investment Corp.

     1        5,513   

Nippon Prologis REIT Inc. (e)

     1        6,705   

Sumitomo Realty & Development Co. Ltd.

     755        37,620   

United Urban Investment Corp.

     3        4,392   
   

 

 

  
    235,819   

LUXEMBOURG - 0.4%

    

Gagfah Sa (c)

     466        6,877   

MALTA - 0.0%

    

BGP Holdings Plc (c) (f)

     5,552        —   

NORWAY - 0.2%

    

Norwegian Property ASA

     2,476        2,968   

SINGAPORE - 3.9%

    

Ascendas REIT

     3,555        6,222   

CapitaLand Ltd.

     4,656        11,223   

CapitaMall Trust

     7,505        11,357   

CapitaMalls Asia Ltd.

     6,694        10,433   

CDL Hospitality Trusts

     1,826        2,374   

Global Logistic Properties Ltd.

     4,466        10,245   

Keppel Land Ltd. (e)

     2,098        5,569   

Suntec REIT

     2,859        3,497   
   

 

 

  
    60,920   

SWEDEN - 1.2%

    

Castellum AB

     678        10,564   

Fabege AB

     294        3,507   

Wihlborgs Fastigheter AB

     275        4,940   
   

 

 

  
    19,011   

UNITED KINGDOM - 5.8%

    

Big Yellow Group Plc

     578        4,586   

British Land Co. Plc

     1,674        17,451   

Derwent London Plc

     151        6,231   

Great Portland Estates Plc

     1,561        15,515   

Hammerson Plc

     1,406        11,709   

Land Securities Group Plc

     1,392        22,239   

Shaftesbury Plc

     609        6,346   

Unite Group Plc

     926        6,183   
   

 

 

  
    90,260   

UNITED STATES OF AMERICA - 45.2%

  

Acadia Realty Trust

     200        4,973   

AvalonBay Communities Inc.

     417        49,246   

Boston Properties Inc.

     374        37,531   

Brixmor Property Group Inc.

     325        6,616   

Brookdale Senior Living Inc. (c)

     338        9,185   

Cousins Properties Inc.

     661        6,813   

CubeSmart

     601        9,583   

DDR Corp.

     2,395        36,811   

EastGroup Properties Inc.

     114        6,616   

Empire State Realty Trust Inc. - Class A (e)

     466        7,128   

Essex Property Trust Inc.

     174        25,004   

Federal Realty Investment Trust

     121        12,311   

General Growth Properties Inc.

     1,142        22,925   

Health Care REIT Inc.

     786        42,101   

Healthcare Realty Trust Inc.

     506        10,789   

Healthcare Trust of America Inc. - Class A

     1,315        12,943   

Host Hotels & Resorts Inc.

     1,650        32,080   

Hudson Pacific Properties Inc.

     519        11,359   

LaSalle Hotel Properties

     435        13,421   

Liberty Property Trust

     211        7,130   

Macerich Co.

     297        17,487   

Mid-America Apartment Communities Inc.

     348        21,125   

National Health Investors Inc. (e)

     108        6,036   

National Retail Properties Inc. (e)

     416        12,626   

Pebblebrook Hotel Trust

     143        4,409   

Piedmont Office Realty Trust Inc. (e)

     1,073        17,728   

ProLogis Inc.

     1,269        46,879   
     Shares/Par (p)     Value  

Public Storage

     223        33,506   

Retail Opportunity Investments Corp.

     692        10,187   

RLJ Lodging Trust

     438        10,657   

Senior Housing Properties Trust

     236        5,241   

Simon Property Group Inc.

     549        83,530   

SL Green Realty Corp. (e)

     408        37,695   

UDR Inc.

     887        20,710   

Ventas Inc.

     108        6,184   
   

 

 

  
    698,565   
   

 

 

  

Total Common Stocks (cost $1,445,943)

  

     1,509,563   
   

 

 

  

SHORT TERM INVESTMENTS - 5.1%

  

Investment Companies - 2.2%

    

JNL Money Market Fund, 0.01% (a) (h)

     33,418        33,418   

Securities Lending Collateral - 2.9%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     45,135        45,135   
   

 

 

  

Total Short Term Investments (cost $78,553)

  

     78,553   
   

 

 

  

Total Investments - 102.7% (cost $1,524,496)

  

     1,588,116   

Other Assets and Liabilities, Net - (2.7%)

 

     (42,282 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,545,834   
   

 

 

  

JNL/Invesco International Growth Fund

  

COMMON STOCKS - 92.5%

  

AUSTRALIA - 3.0%

  

Amcor Ltd.

     1,596      $ 15,072   

Brambles Ltd.

     1,632        13,369   

CSL Ltd.

     138        8,486   

Orora Ltd. (c)

     109        113   

Recall Holdings Ltd. (c)

     —        —   
   

 

 

  
    37,040   

BELGIUM - 1.5%

    

Anheuser-Busch InBev NV

     178        18,930   

BRAZIL - 2.9%

    

Banco Bradesco SA - ADR

     1,229        15,393   

BM&F Bovespa SA

     4,385        20,558   
   

 

 

  
    35,951   

CANADA - 7.1%

    

Agrium Inc. (e)

     89        8,171   

Canadian National Railway Co.

     181        10,344   

Cenovus Energy Inc.

     359        10,260   

CGI Group Inc. - Class A (c)

     476        15,918   

EnCana Corp. (e)

     477        8,617   

Fairfax Financial Holdings Ltd.

     27        10,755   

Suncor Energy Inc.

     674        23,645   
   

 

 

  
    87,710   

CHINA - 5.6%

    

Baidu.com - ADR - Class A (c)

     128        22,695   

Belle International Holdings Ltd. (e)

     7,259        8,433   

China Mobile Ltd. (e)

     763        7,948   

CNOOC Ltd.

     9,135        16,989   

Industrial & Commercial Bank of China Ltd. - Class H

     18,778        12,734   
   

 

 

  
    68,799   

DENMARK - 2.5%

    

Carlsberg A/S - Class B

     172        19,004   

Novo-Nordisk A/S

     64        11,681   
   

 

 

  
    30,685   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

FRANCE - 4.5%

  

Publicis Groupe SA

     248        22,738   

Schneider Electric SA

     158        13,827   

Total SA

     303        18,608   
   

 

 

  
    55,173   

GERMANY - 8.4%

    

Adidas AG

     136        17,396   

Allianz SE

     99        17,766   

Deutsche Boerse AG

     172        14,230   

Deutsche Post AG

     345        12,600   

Deutsche Telekom AG

     853        14,692   

SAP AG

     301        26,078   
   

 

 

  
    102,762   

HONG KONG - 3.2%

    

Galaxy Entertainment Group Ltd. (c)

     2,263        20,374   

Hutchison Whampoa Ltd.

     1,372        18,695   
   

 

 

  
    39,069   

ISRAEL - 1.5%

    

Teva Pharmaceutical Industries Ltd. - ADR

     454        18,186   

JAPAN - 4.9%

    

Denso Corp.

     191        10,090   

Fanuc Ltd.

     77        14,165   

Keyence Corp.

     28        11,886   

Komatsu Ltd.

     340        6,974   

Toyota Motor Corp.

     284        17,335   
   

 

 

  
    60,450   

MEXICO - 1.7%

    

Fomento Economico Mexicano SAB de CV - ADR

     59        5,771   

Grupo Televisa SAB - GDR

     512        15,496   
   

 

 

  
    21,267   

NETHERLANDS - 2.7%

    

Royal Dutch Shell Plc - Class B

     493        18,606   

Unilever NV - CVA

     349        14,035   
   

 

 

  
    32,641   

SINGAPORE - 4.1%

    

Avago Technologies Ltd.

     391        20,669   

Keppel Corp. Ltd. (e)

     1,864        16,560   

United Overseas Bank Ltd.

     783        13,222   
   

 

 

  
    50,451   

SOUTH KOREA - 3.2%

    

Hyundai Mobis

     67        18,623   

Samsung Electronics Co. Ltd.

     16        20,553   
   

 

 

  
    39,176   

SPAIN - 1.8%

    

Amadeus IT Holding SA

     512        21,914   

SWEDEN - 3.8%

    

Investor AB - Class B

     437        15,073   

Kinnevik Investment AB - Class B

     254        11,778   

Swedbank AB - Class A

     405        11,404   

Telefonaktiebolaget LM Ericsson - Class B

     712        8,693   
   

 

 

  
    46,948   

SWITZERLAND - 8.8%

    

ABB Ltd.

     691        18,280   

Julius Baer Group Ltd.

     281        13,484   

Nestle SA

     222        16,271   

Novartis AG

     164        13,163   

Roche Holding AG

     88        24,716   

Syngenta AG

     37        14,898   
     Shares/Par (p)     Value  

UBS AG

     393        7,521   
   

 

 

  
    108,333   

TAIWAN - 1.2%

    

Taiwan Semiconductor Manufacturing Co. Ltd.

     4,159        14,687   

TURKEY - 0.8%

    

Akbank T.A.S.

     2,995        9,346   

UNITED KINGDOM - 19.3%

    

Aberdeen Asset Management Plc

     1,794        14,916   

British American Tobacco Plc

     446        23,938   

British Sky Broadcasting Group Plc

     1,533        21,421   

Centrica Plc

     2,011        11,596   

Compass Group Plc

     1,793        28,785   

Imperial Tobacco Group Plc

     422        16,353   

Informa Plc

     1,160        11,040   

Kingfisher Plc

     1,803        11,510   

Next Plc

     107        9,664   

Reed Elsevier Plc

     2,282        34,036   

Shire Plc

     328        15,469   

Smith & Nephew Plc

     1,040        14,856   

WPP Plc

     1,054        24,133   
   

 

 

  
    237,717   
   

 

 

  

Total Common Stocks (cost $901,317)

  

     1,137,235   
   

 

 

  

PREFERRED STOCKS - 1.2%

    

GERMANY - 1.2%

    

Volkswagen AG

     53        14,867   
   

 

 

  

Total Preferred Stocks (cost $9,315)

  

     14,867   
   

 

 

  

SHORT TERM INVESTMENTS - 7.6%

  

Investment Companies - 6.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     74,016        74,016   

Securities Lending Collateral - 1.6%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     19,878        19,878   
   

 

 

  

Total Short Term Investments (cost $93,894)

  

     93,894   
   

 

 

  

Total Investments - 101.3% (cost $1,004,526)

  

     1,245,996   

Other Assets and Liabilities, Net - (1.3%)

 

     (16,080 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,229,916   
   

 

 

  

JNL/Invesco Large Cap Growth Fund

  

COMMON STOCKS - 98.5%

  

CONSUMER DISCRETIONARY - 23.7%

  

Amazon.com Inc. (c)

     60      $ 24,101   

CBS Corp. - Class B

     177        11,269   

Comcast Corp. - Class A

     146        7,580   

DIRECTV (c)

     104        7,177   

DISH Network Corp. - Class A (c)

     808        46,796   

Dollar General Corp. (c)

     157        9,444   

Gap Inc.

     173        6,775   

General Motors Co. (c)

     409        16,702   

Las Vegas Sands Corp.

     132        10,382   

Lowe’s Cos. Inc.

     521        25,794   

Michael Kors Holdings Ltd. (c)

     130        10,578   

Priceline.com Inc. (c)

     18        21,053   

PVH Corp.

     48        6,590   

Sirius XM Holdings Inc (c)

     1,906        6,652   

Time Warner Cable Inc.

     74        9,979   

TripAdvisor Inc. (c)

     50        4,138   

Walt Disney Co.

     74        5,642   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Whirlpool Corp.

     65        10,234   
   

 

 

  
    240,886   

CONSUMER STAPLES - 4.1%

    

Anheuser-Busch InBev NV - ADR

     105        11,176   

CVS Caremark Corp.

     115        8,266   

Mondelez International Inc. - Class A

     623        22,002   
   

 

 

  
    41,444   

ENERGY - 4.3%

    

Anadarko Petroleum Corp.

     92        7,290   

Phillips 66

     104        8,054   

Pioneer Natural Resources Co.

     24        4,373   

Schlumberger Ltd.

     133        12,011   

Weatherford International Ltd. (c)

     761        11,787   
   

 

 

  
    43,515   

FINANCIALS - 6.0%

    

American Tower Corp.

     145        11,579   

Aon Plc - Class A

     167        13,972   

Citigroup Inc.

     367        19,149   

CME Group Inc.

     74        5,800   

JPMorgan Chase & Co.

     184        10,743   
   

 

 

  
    61,243   

HEALTH CARE - 14.1%

    

Actavis plc (c)

     47        7,946   

Alkermes Plc (c)

     122        4,962   

Amgen Inc.

     111        12,642   

Biogen Idec Inc. (c)

     28        7,741   

Bristol-Myers Squibb Co.

     142        7,549   

Celgene Corp. (c)

     163        27,551   

Gilead Sciences Inc. (c)

     610        45,815   

HCA Holdings Inc. (c)

     188        8,986   

Johnson & Johnson

     46        4,176   

Pfizer Inc.

     297        9,092   

Thermo Fisher Scientific Inc.

     62        6,958   
   

 

 

  
    143,418   

INDUSTRIALS - 11.1%

    

B/E Aerospace Inc. (c)

     90        7,872   

Fastenal Co. (e)

     102        4,853   

Flowserve Corp.

     123        9,731   

Fluor Corp.

     107        8,612   

Foster Wheeler AG (c)

     323        10,660   

Honeywell International Inc.

     157        14,346   

Ingersoll-Rand Plc

     133        8,214   

Jacobs Engineering Group Inc. (c)

     156        9,857   

JB Hunt Transport Services Inc.

     93        7,181   

Precision Castparts Corp.

     47        12,775   

Roper Industries Inc.

     67        9,262   

United Technologies Corp.

     85        9,685   
   

 

 

  
    113,048   

INFORMATION TECHNOLOGY - 30.0%

  

3D Systems Corp. (c) (e)

     30        2,779   

Altera Corp.

     320        10,397   

Apple Inc.

     106        59,543   

Applied Materials Inc.

     523        9,252   

Baidu.com - ADR (c)

     23        4,125   

Cognizant Technology Solutions Corp. -
Class A (c)

     93        9,360   

eBay Inc. (c)

     56        3,065   

Electronic Arts Inc. (c)

     131        3,010   

F5 Networks Inc. (c)

     112        10,198   

Facebook Inc. - Class A (c)

     918        50,152   

Google Inc. - Class A (c)

     48        53,837   

LinkedIn Corp. - Class A (c)

     29        6,312   

MasterCard Inc.

     15        12,767   
     Shares/Par (p)     Value  

Microsoft Corp.

     383        14,332   

QUALCOMM Inc.

     253        18,749   

Salesforce.com Inc. (c)

     341        18,843   

Twitter Inc (c) (e)

     32        2,040   

Visa Inc. - Class A

     56        12,422   

VMware Inc. - Class A (c) (e)

     44        3,974   
   

 

 

  
    305,157   

MATERIALS - 0.8%

    

Monsanto Co.

     69        8,094   

TELECOMMUNICATION SERVICES - 4.4%

  

Sprint Corp. (c)

     4,214        45,300   
   

 

 

  

Total Common Stocks (cost $771,824)

  

     1,002,105   
   

 

 

  

SHORT TERM INVESTMENTS - 4.0%

  

Investment Companies - 2.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     28,550        28,550   

Securities Lending Collateral - 1.2%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     12,439        12,439   
   

 

 

  

Total Short Term Investments (cost $40,989)

  

     40,989   
   

 

 

  

Total Investments - 102.5% (cost $812,813)

  

     1,043,094   

Other Assets and Liabilities, Net - (2.5%)

 

     (25,567 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,017,527   
   

 

 

  

JNL/Invesco Small Cap Growth Fund

  

COMMON STOCKS - 98.5%

  

CONSUMER DISCRETIONARY - 15.3%

  

Brunswick Corp.

     113      $ 5,204   

Cheesecake Factory Inc.

     108        5,232   

Choice Hotels International Inc. (e)

     83        4,077   

Domino’s Pizza Inc.

     110        7,634   

DSW Inc. - Class A

     154        6,584   

Ethan Allen Interiors Inc.

     134        4,064   

Group 1 Automotive Inc.

     73        5,169   

HomeAway Inc. (c) (e)

     154        6,293   

Jack in the Box Inc. (c)

     149        7,447   

Life Time Fitness Inc. (c)

     99        4,668   

Monro Muffler Brake Inc. (e)

     96        5,408   

Penn National Gaming Inc. (c)

     123        1,764   

Pool Corp.

     122        7,068   

Sinclair Broadcast Group Inc. - Class A

     176        6,306   

Steven Madden Ltd. (c)

     120        4,379   

Tenneco Inc. (c)

     137        7,739   

Tractor Supply Co.

     98        7,614   

TRW Automotive Holdings Corp. (c)

     71        5,274   

Vitamin Shoppe Inc. (c)

     70        3,619   

WABCO Holdings Inc. (c)

     66        6,156   
   

 

 

  
    111,699   

CONSUMER STAPLES - 1.5%

    

B&G Foods Inc.

     140        4,756   

Lancaster Colony Corp.

     68        5,998   
   

 

 

  
    10,754   

ENERGY - 5.7%

    

Atwood Oceanics Inc. (c)

     83        4,448   

Dresser-Rand Group Inc. (c)

     82        4,864   

Dril-Quip Inc. (c)

     60        6,597   

Energen Corp.

     80        5,683   

Oasis Petroleum Inc. (c)

     142        6,685   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Patterson-UTI Energy Inc.

     217        5,491   

Resolute Energy Corp. (c) (e)

     280        2,532   

Ultra Petroleum Corp. (c) (e)

     252        5,453   
   

 

 

  
    41,753   

FINANCIALS - 9.3%

    

Affiliated Managers Group Inc. (c)

     38        8,208   

American Equity Investment Life Holding Co.

     241        6,355   

Brown & Brown Inc.

     135        4,241   

East West Bancorp Inc.

     176        6,160   

Gaming and Leisure Properties Inc. (c) (e)

     123        6,260   

Greenhill & Co. Inc.

     73        4,241   

Prosperity Bancshares Inc.

     93        5,904   

SEI Investments Co.

     178        6,197   

Stifel Financial Corp. (c)

     157        7,519   

SVB Financial Group (c)

     67        6,994   

UMB Financial Corp.

     93        5,972   
   

 

 

  
    68,051   

HEALTH CARE - 17.5%

    

Acorda Therapeutics Inc. (c)

     100        2,931   

BioMarin Pharmaceutical Inc. (c)

     74        5,231   

Chemed Corp. (e)

     71        5,465   

Health Management Associates Inc. - Class A (c)

     357        4,672   

HealthSouth Corp.

     167        5,568   

HMS Holdings Corp. (c)

     112        2,537   

Incyte Corp. (c)

     216        10,917   

Insulet Corp. (c)

     134        4,957   

Jazz Pharmaceuticals Plc (c)

     79        9,968   

Masimo Corp. (c)

     149        4,353   

MEDNAX Inc. (c)

     103        5,522   

Meridian Bioscience Inc. (e)

     118        3,135   

NuVasive Inc. (c)

     154        4,986   

PAREXEL International Corp. (c)

     112        5,055   

PerkinElmer Inc.

     116        4,780   

Salix Pharmaceuticals Ltd. (c)

     84        7,555   

Seattle Genetics Inc. (c) (e)

     125        4,974   

Sirona Dental Systems Inc. (c)

     59        4,154   

STERIS Corp.

     121        5,817   

Techne Corp.

     62        5,872   

Thoratec Corp. (c)

     115        4,209   

United Therapeutics Corp. (c)

     79        8,912   

VCA Antech Inc. (c)

     203        6,382   
   

 

 

  
    127,952   

INDUSTRIALS - 16.7%

    

Acuity Brands Inc.

     67        7,285   

AO Smith Corp.

     152        8,217   

Corrections Corp. of America

     178        5,694   

Crane Co.

     84        5,635   

Forward Air Corp.

     108        4,744   

Hexcel Corp. (c)

     124        5,539   

HUB Group Inc. - Class A (c)

     127        5,072   

ITT Corp.

     172        7,488   

Kirby Corp. (c)

     70        6,915   

Lincoln Electric Holdings Inc.

     105        7,495   

Lindsay Corp. (e)

     60        4,974   

MasTec Inc. (c)

     158        5,178   

Pitney Bowes Inc.

     286        6,674   

Steelcase Inc. - Class A

     333        5,274   

Swift Transporation Co. - Class A (c) (e)

     286        6,344   

Tetra Tech Inc. (c)

     176        4,934   

TransDigm Group Inc.

     29        4,722   

Wabtec Corp.

     111        8,256   

Watsco Inc.

     59        5,634   

WESCO International Inc. (c)

     70        6,358   
   

 

 

  
    122,432   
     Shares/Par (p)     Value  

INFORMATION TECHNOLOGY - 24.2%

  

Alliance Data Systems Corp. (c) (e)

     26        6,896   

Ansys Inc. (c)

     69        5,978   

Arris Group Inc. (c)

     254        6,198   

Aspen Technology Inc. (c)

     252        10,549   

Cadence Design Systems Inc. (c)

     322        4,509   

Cognex Corp.

     191        7,283   

CommVault Systems Inc. (c)

     67        4,989   

CoStar Group Inc. (c)

     57        10,537   

Cray Inc. (c)

     208        5,718   

Dealertrack Technologies Inc. (c)

     136        6,540   

EPAM Systems Inc. (c)

     20        707   

FireEye Inc. (c) (e)

     13        558   

Informatica Corp. (c)

     164        6,819   

Interactive Intelligence Group (c)

     99        6,687   

IPG Photonics Corp. (c) (e)

     59        4,572   

Littelfuse Inc.

     73        6,768   

Manhattan Associates Inc. (c)

     115        13,484   

Mentor Graphics Corp.

     249        6,000   

MICROS Systems Inc. (c)

     94        5,406   

MicroStrategy Inc. (c)

     30        3,726   

MKS Instruments Inc.

     126        3,783   

National Instruments Corp.

     148        4,746   

OpenTable Inc. (c) (e)

     67        5,345   

Power Integrations Inc.

     112        6,238   

QLIK Technologies Inc. (c)

     145        3,850   

Semtech Corp. (c)

     146        3,686   

Silicon Laboratories Inc. (c)

     97        4,207   

SolarWinds Inc. (c)

     95        3,601   

SYNNEX Corp. (c)

     106        7,172   

Teradyne Inc. (c)

     247        4,357   

ValueClick Inc. (c)

     267        6,244   
   

 

 

  
    177,153   

MATERIALS - 3.6%

    

Berry Plastics Group Inc. (c)

     228        5,430   

Carpenter Technology Corp.

     81        5,017   

Martin Marietta Materials Inc.

     45        4,504   

PolyOne Corp.

     185        6,536   

Rockwood Holdings Inc.

     72        5,161   
   

 

 

  
    26,648   

TELECOMMUNICATION SERVICES - 1.2%

  

SBA Communications Corp. (c)

     97        8,744   

UTILITIES - 0.7%

    

ITC Holdings Corp.

     56        5,370   
   

 

 

  

Total Common Stocks (cost $525,744)

  

     700,556   
   

 

 

  

SHORT TERM INVESTMENTS - 9.8%

  

Investment Companies - 4.1%

    

JNL Money Market Fund,
0.01% (a) (h)

     30,008        30,008   

Securities Lending Collateral - 5.7%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     42,165        42,165   
   

 

 

  

Total Short Term Investments (cost $72,173)

  

     72,173   
   

 

 

  

Total Investments - 105.5% (cost $597,917)

  

     772,729   

Other Assets and Liabilities, Net - (5.5%)

 

     (40,494 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     732,235   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/Ivy Asset Strategy Fund (b)

  

COMMON STOCKS - 74.4%

  

CONSUMER DISCRETIONARY - 31.8%

  

Amazon.com Inc. (c)

     22      $ 8,734   

Bayerische Motoren Werke AG

     220        25,847   

British Sky Broadcasting Group Plc

     462        6,451   

CBS Corp. - Class B

     1,175        74,885   

Comcast Corp. - Class A

     309        16,062   

Continental AG

     99        21,771   

Daimler AG

     129        11,187   

Delta Topco Ltd. (c) (f) (q)

     59,271        37,612   

Dynam Japan Holdings Co. Ltd.

     2,110        7,401   

Fuji Heavy Industries Ltd.

     608        17,465   

Galaxy Entertainment Group Ltd. (c)

     20,351        183,225   

Hyundai Motor Co.

     172        38,508   

Legend Pictures LLC (c) (f) (q) (x)

     15        31,168   

Media Group Holdings LLC (c) (f) (q) (x)

     31        69,993   

Omnicom Group Inc.

     22        1,636   

Panasonic Corp.

     3,054        35,602   

Prada SpA (e)

     1,310        11,706   

Renault SA

     104        8,362   

Sands China Ltd.

     17,426        142,812   

Sony Corp. (e)

     1,944        33,515   

Starwood Hotels & Resorts Worldwide Inc.

     440        34,950   

Time Warner Cable Inc.

     46        6,192   

Toyota Motor Corp.

     345        21,036   

Twenty-First Century Fox Inc. - Class A

     731        25,724   

Wynn Resorts Ltd. (o)

     510        99,096   
   

 

 

  
        970,940   

CONSUMER STAPLES - 1.5%

    

Anheuser-Busch InBev NV - ADR

     85        9,038   

Philip Morris International Inc.

     405        35,279   
   

 

 

  
    44,317   

ENERGY - 4.2%

    

ConocoPhillips

     454        32,096   

Occidental Petroleum Corp.

     205        19,486   

Phillips 66

     553        42,634   

Plains GP Holdings LP - Class A (c)

     1,242        33,238   
   

 

 

  
    127,454   

FINANCIALS - 16.7%

    

ACE Ltd.

     28        2,930   

AIA Group Ltd.

     17,278        86,968   

Allstate Corp.

     26        1,424   

American International Group Inc.

     520        26,536   

Apollo Global Management LLC - Class A

     441        13,943   

AXA SA

     726        20,209   

Blackstone Group LP

     1,069        33,680   

BNP Paribas

     62        4,797   

Chuo Mitsui Trust Holdings Inc.

     6,136        32,467   

Citigroup Inc.

     145        7,540   

Goldman Sachs Group Inc.

     134        23,717   

ING Groep NV - CVA (c)

     844        11,787   

KKR & Co. LP

     1,043        25,389   

MetLife Inc.

     512        27,602   

Mitsubishi UFJ Financial Group Inc.

     5,281        35,063   

Mizuho Financial Group Inc.

     17,276        37,507   

Nomura Holdings Inc.

     3,704        28,623   

Sumitomo Mitsui Financial Group Inc.

     673        34,972   

Swiss Re AG

     194        17,875   

TCS Group Holding Plc - GDR (c) (e) (r)

     424        6,334   

Wells Fargo & Co.

     318        14,428   

Zurich Financial Services AG

     55        15,925   
   

 

 

  
    509,716   
     Shares/Par (p)     Value  

HEALTH CARE - 2.5%

    

Abbott Laboratories

     112        4,308   

Amgen Inc.

     107        12,215   

AstraZeneca Plc

     111        6,585   

Biogen Idec Inc. (c)

     23        6,434   

Gilead Sciences Inc. (c)

     144        10,837   

Pfizer Inc.

     912        27,926   

Roche Holding AG

     27        7,423   
   

 

 

  
    75,728   

INDUSTRIALS - 3.3%

    

Boeing Co.

     68        9,281   

Central Japan Railway Co.

     94        11,078   

European Aeronautic Defence & Space Co. NV

     265        20,306   

Hutchison Whampoa Ltd.

     1,052        14,334   

Japan Airlines Co. Ltd.

     203        10,004   

KION Group AG (c)

     52        2,218   

Nielsen Holdings NV

     748        34,335   
   

 

 

  
    101,556   

INFORMATION TECHNOLOGY - 12.9%

  

Accenture Plc - Class A

     94        7,729   

Activision Blizzard Inc.

     589        10,495   

Adobe Systems Inc. (c)

     80        4,796   

Apple Inc.

     54        30,216   

Applied Materials Inc.

     1,099        19,448   

ASML Holding NV

     230        21,524   

Canon Inc. (e)

     875        27,933   

Cisco Systems Inc. (o)

     2,450        54,998   

Cognizant Technology Solutions Corp. - Class A (c)

     334        33,715   

FUJIFILM Holdings Corp.

     334        9,469   

Hitachi Ltd.

     4,020        30,480   

International Business Machines Corp. (e)

     45        8,422   

Intuit Inc.

     409        31,207   

Microsoft Corp.

     478        17,873   

Oracle Corp.

     397        15,181   

Ricoh Co. Ltd.

     455        4,839   

Samsung Electronics Co. Ltd.

     6        7,558   

Tencent Holdings Ltd.

     595        38,083   

Texas Instruments Inc.

     459        20,155   
   

 

 

  
    394,121   

MATERIALS - 1.0%

    

Dow Chemical Co.

     402        17,826   

LyondellBasell Industries NV - Class A

     152        12,235   
   

 

 

  
    30,061   

TELECOMMUNICATION SERVICES - 0.5%

  

NTT DoCoMo Inc.

     1,012        16,671   
   

 

 

  

Total Common Stocks (cost $1,724,975)

  

     2,270,564   
   

 

 

  

PURCHASED OPTIONS - 0.1%

    

Apple Inc. Call Option, Strike Price 575, Expiration 01/18/14, GSC

     266        154   

Applied Materials Inc. Call Option, Strike Price 19, Expiration 01/18/14, BCL

     1,528        5   

Cisco Systems Inc. Call Option, Strike Price 22, Expiration 01/18/14, DUB

     3,516        176   

FTSE 100 Index Call Option, Strike Price GBP 6,650, Expiration 03/21/14, BCL

     424        1,225   

FTSE 100 Index Call Option, Strike Price GBP 6,700, Expiration 06/20/14, BCL

     424        1,408   

iShares FTSE China 25 Index Call Option, Strike Price 42, Expiration 01/18/14, BCL

     3,512        7   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Nikkei 225 Index Call Option, Strike Price JPY 15,500, Expiration 01/10/14, CIT

     129        986   
   

 

 

  

Total Purchased Options (cost $2,634)

  

     3,961   
   

 

 

  

CORPORATE BONDS AND NOTES - 2.6%

  

CONSUMER DISCRETIONARY - 2.6%

  

Delta Topco Ltd., 10.00%,
11/24/16 (f) (q) (y)

   $ 49,006        49,006   

Legendary Pictures Funding LLC, 8.00%, 03/15/18 (f) (q)

     28,500        28,500   
   

 

 

  

Total Corporate Bonds and Notes (cost $78,075)

  

     77,506   
   

 

 

  

PRECIOUS METALS - 7.2%

    

Gold Bullion

     181,738        218,876   
   

 

 

  

Total Precious Metals (cost $229,982)

  

     218,876   
   

 

 

  

SHORT TERM INVESTMENTS - 15.9%

  

Certificates of Deposit - 0.3%

    

Banco del Estado de Chile, 0.20%, 03/03/14

   $ 10,000        10,000   

Commercial Paper - 12.5%

    

Air Liquide US LLC, 0.10%, 01/24/14 (r)

     10,000        9,999   

Air Products & Chemicals Inc., 0.11%, 02/19/14 (r)

     5,000        4,999   

American Honda Finance Corp., 0.12%, 03/04/14

     10,000        9,998   

Anheuser-Busch InBev Worldwide Inc., 0.19%, 02/14/14 (r)

     13,000        12,997   

Bank of Nova Scotia, 0.19%, 03/26/14

     7,000        6,997   

Chevron Corp.

    

0.08%, 02/24/14 (r)

     11,000        10,997   

0.11%, 03/11/14 (r)

     12,000        11,996   

Coca-Cola Co., 0.10%, 03/11/14 (r)

     10,000        9,998   

Corp. Andina de Fomento, 0.12%, 01/22/14 (r)

     10,000        9,999   

Danaher Corp., 0.09%, 01/16/14 (r)

     20,000        19,999   

Diageo Capital Plc, 0.20%, 01/02/14 (r)

     5,353        5,353   

Emerson Electric Co., 0.11%,
02/24/14 (r)

     10,000        9,998   

Enbridge US Inc.

    

0.28%, 01/16/14 (r)

     10,000        9,999   

0.28%, 01/21/14 (r)

     10,000        9,998   

Exxon Mobil Corp.

    

0.01%, 01/02/14

     1,000        1,000   

0.02%, 01/03/14

     3,542        3,542   

GlaxoSmithKline Plc, 0.11%,
01/10/14 (r)

     10,000        10,000   

Google Inc., 0.09%, 03/04/14 (r)

     10,000        9,999   

Harley-Davidson Financial Services Inc., 0.15%, 01/08/14 (r)

     5,000        5,000   

IBM Corp., 0.05%, 01/16/14 (r)

     10,000        10,000   

Illinois Tool Works Inc.

    

0.11%, 01/21/14 (r)

     10,000        9,999   

0.09%, 02/05/14 (r)

     10,000        9,999   

0.07%, 02/10/14 (r)

     9,104        9,103   

John Deere Capital Corp.

    

0.10%, 01/10/14 (r)

     10,000        10,000   

0.09%, 01/16/14 (r)

     25,000        24,999   

Medtronic Inc., 0.10%, 03/04/14 (r)

     7,000        6,999   

Merck & Co. Inc., 0.05%, 01/15/14 (r)

     10,000        10,000   

Nestle Finance International Ltd.

    

0.07%, 01/13/14

     10,000        10,000   

0.09%, 02/13/14

     20,000        19,998   

PACCAR Financial Corp., 0.07%, 01/16/14

     10,000        10,000   

Pfizer Inc.

    

0.10%, 03/10/14 (r)

     5,000        4,999   

0.11%, 03/12/14 (r)

     20,000        19,997   

Shell International Finance BV

    

0.06%, 01/15/14 (r)

     12,000        12,000   

0.07%, 01/21/14 (r)

     10,000        10,000   
     Shares/Par (p)     Value  

Sysco Corp., 0.17%, 01/10/14 (r)

     10,000        10,000   

Toronto Dominion Holdings Inc., 0.12%, 02/04/14 (r)

     14,000        13,998   

Wal-Mart Stores Inc., 0.06%, 01/06/14 (r)

     7,000        7,000   
   

 

 

  
    381,959   

Federal Home Loan Bank - 0.3% (w)

    

Federal Home Loan Bank, 0.11%, 03/21/14

     10,000        9,999   

Investment Companies - 1.5%

    

JNL Money Market Fund,
0.01% (a) (h)

     31,802        31,802   

JPMorgan U.S. Treasury Plus Money Market Fund, 0.00% (h)

     12,277        12,277   
   

 

 

  
    44,079   

Securities Lending Collateral - 1.3%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     38,413        38,413   
   

 

 

  

Total Short Term Investments (cost $484,450)

  

     484,450   
   

 

 

  

Total Investments - 100.2% (cost $2,520,116)

  

     3,055,357   

Other Assets and Liabilities, Net - (0.2%)

  

     (4,691 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     3,050,666   
   

 

 

  

JNL/JPMorgan International Value Fund

  

COMMON STOCKS - 97.0%

  

AUSTRALIA - 2.0%

  

Australia & New Zealand Banking Group Ltd.

     361      $ 10,419   

Goodman Group

     796        3,374   
   

 

 

  
    13,793   

BELGIUM - 1.4%

    

Solvay SA

     58        9,199   

BRAZIL - 0.5%

    

Companhia Energetica de Minas Gerais - ADR (e)

     442        3,442   

CANADA - 0.4%

    

First Quantum Minerals Ltd.

     166        2,998   

CHINA - 2.5%

    

China Construction Bank Corp. - Class H

     7,654        5,795   

China Overseas Land & Investment Ltd. (e)

     1,778        5,019   

China Shenhua Energy Co. Ltd. - Class H

     1,803        5,704   
   

 

 

  
    16,518   

DENMARK - 1.1%

    

Danske Bank A/S (c)

     314        7,203   

FINLAND - 1.2%

    

UPM-Kymmene Oyj

     469        7,948   

FRANCE - 13.6%

    

AXA SA

     520        14,489   

BNP Paribas

     222        17,322   

Cie de Saint-Gobain

     214        11,790   

Electricite de France SA

     181        6,397   

GDF Suez

     220        5,183   

Lafarge SA

     109        8,188   

Publicis Groupe SA

     60        5,500   

Schneider Electric SA

     89        7,739   

Societe Generale

     58        3,373   

Sodexo SA

     81        8,256   

Suez Environnement SA

     202        3,621   
   

 

 

  
    91,858   

GERMANY - 10.0%

    

Allianz SE

     45        8,068   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

BASF SE

     109        11,591   

Bayer AG

     111        15,613   

Daimler AG

     142        12,342   

Deutsche Telekom AG

     717        12,357   

Metro AG

     149        7,224   
   

 

 

  
    67,195   

HONG KONG - 2.2%

    

Hutchison Whampoa Ltd.

     719        9,797   

Wharf Holdings Ltd.

     623        4,772   
   

 

 

  
    14,569   

INDIA - 0.7%

    

ICICI Bank Ltd. - ADR

     134        4,963   

ITALY - 3.2%

    

Assicurazioni Generali SpA

     142        3,343   

ENI SpA

     572        13,827   

UniCredit SpA

     606        4,473   
   

 

 

  
    21,643   

JAPAN - 22.5%

    

Bridgestone Corp.

     154        5,850   

Daiwa House Industry Co. Ltd.

     354        6,859   

East Japan Railway Co.

     95        7,599   

Hitachi Ltd.

     1,577        11,957   

Honda Motor Co. Ltd.

     222        9,164   

Japan Tobacco Inc.

     251        8,167   

Kawasaki Heavy Industries Ltd.

     1,413        5,934   

KDDI Corp.

     105        6,482   

Mitsubishi UFJ Financial Group Inc.

     2,480        16,466   

Mitsui Fudosan Co. Ltd.

     116        4,184   

Nitto Denko Corp.

     96        4,072   

Nomura Holdings Inc.

     844        6,519   

ORIX Corp.

     688        12,093   

Ricoh Co. Ltd.

     416        4,424   

Seven & I Holdings Co. Ltd.

     222        8,847   

Sumitomo Electric Industries Ltd.

     420        7,024   

Sumitomo Mitsui Financial Group Inc.

     242        12,590   

Toyota Motor Corp.

     138        8,433   

Yamato Holdings Co. Ltd.

     255        5,165   
   

 

 

  
    151,829   

NETHERLANDS - 5.4%

    

ASML Holding NV

     36        3,361   

European Aeronautic Defence & Space Co. NV

     100        7,687   

ING Groep NV - CVA (c)

     509        7,109   

Royal Dutch Shell Plc - Class A

     500        17,915   
   

 

 

  
    36,072   

NORWAY - 0.9%

    

Telenor ASA

     256        6,106   

SOUTH KOREA - 0.9%

    

Samsung Electronics Co. Ltd.

     5        6,401   

SPAIN - 1.1%

    

Repsol SA (e)

     305        7,692   

SWEDEN - 3.1%

    

Electrolux AB

     241        6,296   

Nordea Bank AB

     505        6,807   

Telefonaktiebolaget LM Ericsson - Class B

     647        7,900   
   

 

 

  
    21,003   

SWITZERLAND - 6.2%

    

Novartis AG

     164        13,110   

Roche Holding AG

     24        6,751   

Swiss Re AG

     189        17,383   

UBS AG

     236        4,510   
   

 

 

  
    41,754   
     Shares/Par (p)     Value  

UNITED KINGDOM - 18.1%

    

AstraZeneca Plc

     116        6,910   

Barclays Plc

     1,725        7,801   

BG Group Plc

     386        8,308   

BP Plc

     995        8,066   

Centrica Plc

     603        3,477   

HSBC Holdings Plc

     2,088        22,910   

InterContinental Hotels Group Plc

     278        9,288   

Kingfisher Plc

     847        5,406   

Pearson Plc

     256        5,701   

Rio Tinto Plc

     179        10,130   

SABMiller Plc

     102        5,225   

Tullow Oil Plc

     245        3,475   

Vodafone Group Plc

     6,469        25,471   
   

 

 

  
    122,168   
   

 

 

  

Total Common Stocks (cost $542,813)

  

     654,354   
   

 

 

  

PREFERRED STOCKS - 1.3%

    

GERMANY - 1.3%

    

Volkswagen AG

     32        9,017   
   

 

 

  

Total Preferred Stocks (cost $6,523)

  

     9,017   
   

 

 

  

RIGHTS - 0.0%

    

SPAIN - 0.0%

    

Repsol SA (c) (e)

     305        208   
   

 

 

  

Total Rights (cost $204)

  

     208   
   

 

 

  

SHORT TERM INVESTMENTS - 3.8%

  

Investment Companies - 1.6%

    

JNL Money Market Fund, 0.01% (a) (h)

     10,487        10,487   

Securities Lending Collateral - 2.2%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     14,455        14,455   
   

 

 

  

Total Short Term Investments (cost $24,942)

  

     24,942   
   

 

 

  

Total Investments - 102.1% (cost $574,482)

  

     688,521   

Other Assets and Liabilities, Net - (2.1%)

 

     (14,201 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     674,320   
   

 

 

  

JNL/JPMorgan MidCap Growth Fund

  

COMMON STOCKS - 96.7%

  

CONSUMER DISCRETIONARY - 24.2%

  

Advance Auto Parts Inc.

     118      $ 13,016   

BorgWarner Inc.

     230        12,859   

Chipotle Mexican Grill Inc. - Class A (c)

     13        7,086   

Discovery Communications Inc. -
Class A (c)

     166        14,965   

GameStop Corp. - Class A (e)

     349        17,197   

Harley-Davidson Inc.

     485        33,602   

Hilton Worldwide Holdings Inc. (c)

     460        10,237   

Lululemon Athletica Inc. (c) (e)

     221        13,040   

Michael Kors Holdings Ltd. (c)

     272        22,116   

Mohawk Industries Inc. (c)

     119        17,764   

Netflix Inc. (c)

     44        16,347   

Norwegian Cruise Line Holdings Ltd. (c)

     346        12,273   

O’Reilly Automotive Inc. (c)

     118        15,226   

Panera Bread Co. - Class A (c)

     53        9,329   

Ross Stores Inc.

     210        15,720   

Signet Jewelers Ltd.

     201        15,850   

Tesla Motors Inc. (c) (e)

     69        10,436   

Under Armour Inc. - Class A (c) (e)

     100        8,730   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Urban Outfitters Inc. (c)

     254        9,438   

WABCO Holdings Inc. (c)

     112        10,481   

Williams-Sonoma Inc.

     212        12,344   

Wynn Resorts Ltd.

     70        13,575   
   

 

 

  
    311,631   

ENERGY - 4.7%

    

Antero Resources Corp. (c)

     129        8,190   

Cabot Oil & Gas Corp. - Class A

     409        15,864   

Concho Resources Inc. (c)

     133        14,407   

Frank’s International NV

     367        9,920   

Plains All American Pipeline LP

     234        12,104   
   

 

 

  
    60,485   

FINANCIALS - 11.8%

    

Affiliated Managers Group Inc. (c)

     102        22,187   

Aon Plc - Class A

     193        16,157   

Axis Capital Holdings Ltd.

     200        9,500   

Blackstone Group LP

     445        14,021   

CBRE Group Inc. - Class A (c)

     667        17,539   

East West Bancorp Inc.

     375        13,096   

Lazard Ltd. - Class A

     248        11,222   

Moody’s Corp.

     281        22,011   

Signature Bank (c)

     122        13,116   

TD Ameritrade Holding Corp.

     414        12,697   
   

 

 

  
    151,546   

HEALTH CARE - 13.8%

    

Actavis plc (c)

     108        18,161   

Agilent Technologies Inc.

     371        21,217   

Alexion Pharmaceuticals Inc. (c)

     117        15,555   

Brookdale Senior Living Inc. (c)

     417        11,326   

Bruker Corp. (c)

     425        8,396   

Envision Healthcare Holdings Inc. (c)

     316        11,239   

Humana Inc.

     140        14,451   

Illumina Inc. (c) (e)

     204        22,511   

Jazz Pharmaceuticals Plc (c)

     52        6,530   

Premier Inc. - Class A (c)

     254        9,333   

Sirona Dental Systems Inc. (c)

     188        13,212   

Valeant Pharmaceuticals International Inc. (c)

     113        13,231   

Vertex Pharmaceuticals Inc. (c)

     168        12,445   
   

 

 

  
    177,607   

INDUSTRIALS - 21.2%

    

Acuity Brands Inc.

     184        20,104   

Air Lease Corp. - Class A

     395        12,283   

Canadian Pacific Railway Ltd.

     88        13,271   

Carlisle Cos. Inc.

     224        17,786   

Delta Air Lines Inc.

     636        17,482   

DigitalGlobe Inc. (c)

     145        5,952   

Flowserve Corp.

     298        23,483   

Fluor Corp.

     159        12,774   

Fortune Brands Home & Security Inc.

     409        18,673   

Generac Holdings Inc.

     264        14,936   

HD Supply Holdings Inc (c)

     486        11,657   

Hertz Global Holdings Inc. (c)

     659        18,849   

JB Hunt Transport Services Inc.

     136        10,490   

Kirby Corp. (c)

     161        15,930   

MSC Industrial Direct Co. - Class A

     145        11,758   

Pall Corp.

     264        22,541   

Stericycle Inc. (c)

     133        15,481   

Towers Watson & Co.

     80        10,170   
   

 

 

  
    273,620   

INFORMATION TECHNOLOGY - 18.9%

  

3D Systems Corp. (c) (e)

     78        7,258   

Alliance Data Systems Corp. (c) (e)

     98        25,872   

Amphenol Corp. - Class A

     226        20,190   

Applied Materials Inc.

     1,099        19,447   
     Shares/Par (p)     Value  

Aruba Networks Inc. (c)

     332        5,943   

Avago Technologies Ltd.

     346        18,273   

Ciena Corp. (c) (e)

     422        10,098   

CommVault Systems Inc. (c)

     28        2,082   

CoreLogic Inc. (c)

     315        11,185   

FleetCor Technologies Inc. (c)

     131        15,338   

Guidewire Software Inc. (c)

     134        6,566   

KLA-Tencor Corp.

     219        14,117   

LinkedIn Corp. - Class A (c)

     54        11,774   

Palo Alto Networks Inc. (c)

     179        10,270   

Red Hat Inc. (c)

     218        12,211   

ServiceNow Inc. (c)

     168        9,421   

Splunk Inc. (c)

     125        8,556   

Tableau Software Inc. - Class A (c)

     94        6,479   

Workday Inc. - Class A (c) (e)

     162        13,464   

Xilinx Inc.

     341        15,663   
   

 

 

  
    244,207   

MATERIALS - 2.1%

    

PPG Industries Inc.

     68        12,802   

Sherwin-Williams Co.

     79        14,497   
   

 

 

  
    27,299   
   

 

 

  

Total Common Stocks (cost $999,301)

  

     1,246,395   
   

 

 

  

SHORT TERM INVESTMENTS - 6.7%

  

Investment Companies - 2.7%

    

JNL Money Market Fund,
0.01% (a) (h)

     34,575        34,575   

Securities Lending Collateral - 4.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     51,646        51,646   
   

 

 

  

Total Short Term Investments (cost $86,221)

  

     86,221   
   

 

 

  

Total Investments - 103.4% (cost $1,085,522)

  

     1,332,616   

Other Assets and Liabilities, Net - (3.4%)

 

     (44,228 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,288,388   
   

 

 

  

JNL/Lazard Emerging Markets Fund

  

COMMON STOCKS - 99.1%

  

ARGENTINA - 1.6%

  

YPF SA - ADR - Class D (e)

     720      $ 23,730   

BRAZIL - 13.7%

    

AMBEV SA - ADR

     2,048        15,053   

Banco Bradesco SA - ADR

     221        2,771   

Banco do Brasil SA

     4,703        48,635   

BB Seguridade Participacoes SA

     1,942        20,171   

CCR SA

     1,654        12,455   

Cielo SA

     1,327        36,931   

Cielo SA - ADR (e)

     273        7,635   

Cyrela Brazil Realty SA

     494        3,015   

Estacio Participacoes SA

     676        5,844   

Natura Cosmeticos SA

     743        13,029   

Petroleo Brasileiro SA - ADR

     234        3,439   

Souza Cruz SA

     1,203        12,299   

Vale SA - ADR (e)

     878        13,387   

Vale SA - ADR Preferred

     261        3,660   

Via Varejo SA (c)

     1,030        10,982   
   

 

 

  
    209,306   

CHINA - 12.3%

    

AAC Technologies Holdings Inc. (e)

     455        2,211   

Agricultural Bank of China - Class H

     11,564        5,704   

Baidu.com - ADR - Class A (c)

     185        32,885   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Changsha Zoomlion Heavy Industry Science and Technology Development Co. Ltd. - Class H (e)

     2,783        2,608   

China Construction Bank Corp. - Class H

     60,032        45,451   

China Mobile Ltd. - ADR (e)

     585        30,602   

China State Construction International Holdings Ltd. (e)

     3,286        5,906   

CNOOC Ltd.

     10,446        19,427   

Huabao International Holdings Ltd. (e)

     14,887        8,253   

NetEase.com - ADR (e)

     214        16,852   

Ping an Insurance Group Co. of China Ltd. - Class H (e)

     727        6,532   

Weichai Power Co. Ltd. - Class H (e)

     2,039        8,247   

Zhuzhou CSR Times Electric Co. Ltd. -
Class H

     584        2,107   
   

 

 

  
    186,785   

COLOMBIA - 2.6%

    

BanColombia SA - ADR

     54        2,622   

Pacific Rubiales Energy Corp. (e)

     2,178        37,612   
   

 

 

  
    40,234   

EGYPT - 0.9%

    

Commercial International Bank Egypt SAE - GDR

     3,230        14,539   

HONG KONG - 0.3%

    

Techtronic Industries Co.

     1,440        4,102   

HUNGARY - 1.3%

    

OTP Bank Plc (e)

     1,046        19,871   

INDIA - 5.0%

    

Axis Bank Ltd.

     779        16,431   

Bank of India

     1,188        4,583   

Bharat Heavy Electricals Ltd.

     2,443        7,005   

ICICI Bank Ltd. - ADR

     152        5,631   

Jindal Steel & Power Ltd.

     1,360        5,752   

Punjab National Bank

     1,127        11,449   

Tata Consultancy Services Ltd.

     626        21,992   

Tata Motors Ltd. - ADR

     123        3,798   
   

 

 

  
    76,641   

INDONESIA - 5.3%

    

Astra International Tbk PT

     17,079        9,565   

Bank Mandiri Persero Tbk PT

     34,086        22,061   

Bank Rakyat Indonesia Persero Tbk PT

     5,946        3,554   

PT Semen Indonesia

     6,456        7,528   

Tambang Batubara Bukit Asam Tbk PT

     671        563   

Telekomunikasi Indonesia PT - ADR

     725        26,007   

United Tractors Tbk PT

     7,754        12,136   
   

 

 

  
    81,414   

MACAU - 2.1%

    

Sands China Ltd.

     575        4,711   

Wynn Macau Ltd.

     5,851        26,595   
   

 

 

  
    31,306   

MEXICO - 3.2%

    

Genomma Lab Internacional SAB de CV - Class B (c) (e)

     2,238        6,276   

Grupo Financiero Banorte SAB de CV

     474        3,316   

Grupo Mexico SAB de CV

     3,358        11,117   

Grupo Televisa SAB - GDR

     470        14,219   

Kimberly-Clark de Mexico SAB de CV

     5,021        14,259   
   

 

 

  
    49,187   

NETHERLANDS - 1.1%

    

OCI (c)

     368        16,570   

PAKISTAN - 1.4%

    

Oil & Gas Development Co. Ltd.

     3,647        9,581   
     Shares/Par (p)     Value  

Pakistan Petroleum Ltd.

     5,541        11,269   
   

 

 

  
    20,850   

PERU - 0.2%

    

Credicorp Ltd.

     18        2,429   

PHILIPPINES - 1.4%

    

Philippine Long Distance Telephone Co. - ADR

     346        20,803   

RUSSIAN FEDERATION - 12.0%

    

Eurasia Drilling Co. Ltd. - GDR

     100        4,512   

Gazprom OAO - ADR

     3,234        27,716   

Globaltrans Investment Plc - GDR

     338        5,376   

Lukoil OAO - ADR

     204        12,770   

Magnit OJSC - GDR (r)

     144        9,552   

MegaFon OAO - GDR (r)

     529        17,758   

Mobile Telesystems OJSC - ADR

     1,617        34,974   

NovaTek OAO - GDR

     51        6,993   

Sberbank of Russia - ADR

     4,358        54,986   

TMK OAO - GDR

     239        2,821   

Yandex NV - Class A (c)

     123        5,321   
   

 

 

  
    182,779   

SOUTH AFRICA - 9.0%

    

Bidvest Group Ltd.

     691        17,714   

Exxaro Resources Ltd. (e)

     225        3,148   

Imperial Holdings Ltd.

     549        10,625   

Nedbank Group Ltd.

     592        11,877   

PPC Ltd. (e)

     2,228        6,676   

Sanlam Ltd.

     2,155        10,954   

Shoprite Holdings Ltd.

     1,194        18,700   

Standard Bank Group Ltd.

     1,291        15,948   

Tiger Brands Ltd.

     436        11,101   

Truworths International Ltd. (e)

     1,315        9,635   

Vodacom Group Ltd. (e)

     958        12,149   

Woolworths Holdings Ltd.

     1,185        8,443   
   

 

 

  
    136,970   

SOUTH KOREA - 13.6%

    

Hanwha Life Insurance Co. Ltd.

     2,697        19,432   

Hyundai Mobis

     111        31,009   

KB Financial Group Inc.

     557        22,526   

KT&G Corp.

     304        21,485   

NHN Entertainment Corp. (c)

     —        —   

Samsung Electronics Co. Ltd.

     41        53,897   

Shinhan Financial Group Co. Ltd.

     864        38,801   

SK Hynix Inc. (c)

     307        10,743   

Woongjin Coway Co. Ltd.

     158        9,947   
   

 

 

  
    207,840   

SWEDEN - 0.6%

    

Oriflame Cosmetics SA - SDR (e)

     281        8,643   

TAIWAN - 4.4%

    

Catcher Technology Co. Ltd.

     599        3,900   

Hon Hai Precision Industry Co. Ltd.

     1,416        3,820   

Hon Hai Precision Industry Co. Ltd. - GDR

     2,471        13,144   

MediaTek Inc.

     345        5,142   

Taiwan Semiconductor Manufacturing Co. Ltd.

     2,056        7,260   

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (e)

     1,959        34,167   
   

 

 

  
    67,433   

THAILAND - 1.8%

    

CP ALL PCL

     6,410        8,218   

PTT Exploration & Production PCL

     1,919        9,745   

Siam Cement PCL

     772        9,574   
   

 

 

  
    27,537   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

TURKEY - 4.4%

  

Akbank T.A.S.

     2,912        9,087   

Aselsan Elektronik Sanayi Ve Ticaret A/S

     546        2,196   

Emlak Konut Gayrimenkul Yatirim Ortakligi A/S

     1,976        1,925   

KOC Holding A/S

     3,901        15,995   

KOC Holding A/S - ADR (e)

     277        5,700   

Turkcell Iletisim Hizmetleri A/S (c)

     2,200        11,660   

Turkcell Iletisim Hizmetleri A/S - ADR (c)

     261        3,481   

Turkiye Is Bankasi SA - Class C

     7,601        16,456   
   

 

 

  
    66,500   

UNITED KINGDOM - 0.6%

    

British American Tobacco Plc

     448        8,768   

UNITED STATES OF AMERICA - 0.3%

  

Freeport-McMoRan Copper & Gold Inc.

     121        4,555   
   

 

 

  

Total Common Stocks (cost $1,481,417)

  

     1,508,792   
   

 

 

  

PREFERRED STOCKS - 0.2%

  

BRAZIL - 0.2%

    

Marcopolo SA

     1,634        3,532   
   

 

 

  

Total Preferred Stocks (cost $4,959)

  

     3,532   
   

 

 

  

SHORT TERM INVESTMENTS - 5.9%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     11,937        11,937   

Securities Lending Collateral - 5.1%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     77,680        77,680   
   

 

 

  

Total Short Term Investments (cost $89,617)

  

     89,617   
   

 

 

  

Total Investments - 105.2% (cost $1,575,993)

  

     1,601,941   

Other Assets and Liabilities, Net - (5.2%)

 

     (78,543 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,523,398   
   

 

 

  

JNL/Mellon Capital Emerging Markets Index Fund

  

COMMON STOCKS - 91.1%

  

BRAZIL - 6.0%

  

All America Latina Logistica SA

     85      $ 237   

AMBEV SA

     871        6,395   

Anhanguera Educacional Participacoes SA

     70        441   

Banco Bradesco SA

     112        1,511   

Banco do Brasil SA

     104        1,070   

Banco Santander Brasil SA

     176        1,044   

BB Seguridade Participacoes SA

     110        1,143   

BM&F Bovespa SA

     345        1,619   

BR Malls Participacoes SA

     75        545   

BR Properties SA

     38        300   

BRF SA

     121        2,526   

CCR SA

     158        1,186   

Centrais Eletricas Brasileiras SA

     61        152   

CETIP SA - Mercados Organizados

     39        401   

Cia de Saneamento Basico do Estado de Sao Paulo

     63        707   

Cia de Saneamento de Minas Gerais

     9        147   

Cia Hering

     27        336   

Cia Siderurgica Nacional SA

     135        821   

Cielo SA

     64        1,783   

Cosan SA Industria e Comercio

     21        349   

CPFL Energia SA

     40        321   

Cyrela Brazil Realty SA

     55        335   
     Shares/Par (p)     Value  

Duratex SA

     56        311   

EcoRodovias Infraestrutura e Logistica SA

     34        211   

EDP - Energias do Brasil SA

     47        227   

Empresa Brasileira de Aeronautica SA

     105        837   

Estacio Participacoes SA

     51        445   

Fibria Celulose SA (c)

     43        506   

Hypermarcas SA

     60        450   

JBS SA

     142        526   

Kroton Educacional SA

     33        546   

Localiza Rent a Car SA

     23        326   

Lojas Americanas SA

     24        140   

Lojas Renner SA

     25        633   

M Dias Branco SA

     6        242   

MRV Engenharia e Participacoes SA

     64        230   

Multiplan Empreendimentos Imobiliarios SA

     13        281   

Natura Cosmeticos SA

     30        519   

Odontoprev SA

     47        195   

Petroleo Brasileiro SA

     557        3,777   

Porto Seguro SA

     21        269   

Qualicorp SA (c)

     39        369   

Raia Drogasil SA

     40        247   

Souza Cruz SA

     73        744   

Sul America SA

     27        168   

Tim Participacoes SA

     148        775   

Totvs SA

     25        398   

Tractebel Energia SA

     30        463   

Transmissora Alianca de Energia Eletrica SA

     16        123   

Ultrapar Participacoes SA

     62        1,474   

Vale SA

     239        3,615   

WEG SA

     42        560   
   

 

 

  
    42,976   

CHILE - 1.5%

    

AES Gener SA

     386        213   

Aguas Andinas SA - Class A

     479        310   

Banco de Chile

     3,421        497   

Banco de Credito e Inversiones

     7        403   

Banco Santander Chile

     11,794        684   

CAP SA

     13        249   

Cencosud SA

     218        786   

Cia Cervecerias Unidas SA

     29        344   

Colbun SA

     1,312        299   

Corpbanca

     22,620        312   

E-CL SA

     132        170   

Empresa Nacional de Electricidad SA

     614        914   

Empresas CMPC SA

     233        571   

Empresas COPEC SA

     87        1,166   

Enersis SA

     3,766        1,129   

ENTEL Chile SA

     20        267   

Latam Airlines Group SA

     56        878   

S.A.C.I. Falabella

     131        1,179   

Vina Concha y Toro SA

     62        116   
   

 

 

  
    10,487   

CHINA - 16.9%

    

Agile Property Holdings Ltd. (e)

     270        290   

Air China Ltd. - Class H

     332        249   

Aluminum Corp. of China Ltd. - Class H (c) (e)

     648        226   

Anhui Conch Cement Co. Ltd. - Class H (e)

     232        863   

AviChina Industry & Technology Co. Ltd. - Class H

     444        259   

Bank of China Ltd. - Class H

     14,016        6,470   

Bank of Communications Co. Ltd. - Class H (e)

     1,718        1,216   

Beijing Capital International Airport Co. Ltd. - Class H

     422        331   

Beijing Enterprises Holdings Ltd.

     92        914   

Beijing Enterprises Water Group Ltd.

     648        408   

Belle International Holdings Ltd.

     877        1,019   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Brilliance China Automotive Holdings Ltd.

     548        895   

BYD Co. Ltd. - Class H (c) (e)

     95        465   

Changsha Zoomlion Heavy Industry Science and Technology Development Co. Ltd. - Class H (e)

     207        194   

China Agri-Industries Holdings Ltd.

     318        159   

China Blue Chemical Ltd. - Class H

     261        163   

China Citic Bank - Class H (e)

     1,491        812   

China Coal Energy Co. - Class H (e)

     737        415   

China Communication Services Corp. Ltd. - Class H

     410        254   

China Communications Constructions Co. Ltd. - Class H

     819        663   

China Construction Bank Corp. - Class H

     13,405        10,149   

China COSCO Holdings Co. Ltd. -
Class H (c) (e)

     566        277   

China Everbright International Ltd.

     367        493   

China Everbright Ltd.

     174        276   

China Gas Holdings Ltd.

     419        617   

China International Marine Containers Group Co. Ltd. - Class H

     89        191   

China Life Insurance Co. Ltd. - Class H

     1,393        4,392   

China Longyuan Power Group Corp. - Class H

     470        606   

China Mengniu Dairy Co. Ltd.

     247        1,175   

China Merchants Bank Co. Ltd. - Class H

     831        1,778   

China Merchants Holdings International Co. Ltd.

     199        727   

China Minsheng Banking Corp. Ltd. -
Class H (e)

     917        1,022   

China Mobile Ltd.

     1,123        11,697   

China National Building Material Co. Ltd. - Class H (e)

     530        572   

China Oilfield Services Ltd. - Class H

     296        922   

China Overseas Grand Oceans Group Ltd.

     156        149   

China Overseas Land & Investment Ltd.

     760        2,146   

China Pacific Insurance Group Co. Ltd. -
Class H

     492        1,934   

China Petroleum & Chemical Corp. - Class H

     4,768        3,912   

China Railway Construction Corp. Ltd. -
Class H (e)

     368        367   

China Railway Group Ltd. - Class H

     724        375   

China Resources Cement Holdings Ltd. (e)

     354        238   

China Resources Enterprise Ltd.

     232        772   

China Resources Gas Group Ltd.

     170        593   

China Resources Land Ltd.

     389        968   

China Resources Power Holdings Co. Ltd.

     357        848   

China Shenhua Energy Co. Ltd. - Class H

     629        1,989   

China Shipping Container Lines Co. Ltd. - Class H (c) (e)

     713        186   

China State Construction International Holdings Ltd.

     310        558   

China Taiping Insurance Holdings Co. Ltd. (c)

     137        280   

China Telecom Corp. Ltd. - Class H

     2,558        1,292   

China Unicom Hong Kong Ltd. (e)

     874        1,314   

China Vanke Co. Ltd. - Class B

     215        335   

Chongqing Changan Automobile Co. Ltd. - Class B (f)

     124        245   

Chongqing Rural Commercial Bank -
Class H (e)

     516        251   

CITIC Securities Co. Ltd. - Class H (e)

     192        526   

CNOOC Ltd.

     3,325        6,184   

Country Garden Holdings Co.

     757        459   

CSR Corp. Ltd. - Class H

     327        269   

Datang International Power Generation Co. Ltd. - Class H

     466        216   

Dongfeng Motor Group Co. Ltd. - Class H

     512        804   

ENN Energy Holdings Ltd.

     132        981   

Far East Horizon Ltd.

     263        225   
     Shares/Par (p)     Value  

Fosun International Ltd. (e)

     271        270   

Franshion Properties China Ltd. (e)

     818        286   

Golden Eagle Retail Group Ltd. (e)

     130        172   

Great Wall Motor Co. Ltd. - Class H (e)

     193        1,067   

Greentown China Holdings Ltd. (e)

     110        169   

Guangzhou Automobile Group Co. Ltd. -
Class H

     398        437   

Guangzhou R&F Properties Co. Ltd. -
Class H

     187        274   

Haitian International Holdings Ltd.

     71        160   

Huaneng Power International Inc. - Class H

     594        539   

Industrial & Commercial Bank of China Ltd. - Class H

     13,709        9,296   

Inner Mongolia Yitai Coal Co. Ltd. - Class B

     212        376   

Jiangsu Expressway Co. Ltd. - Class H

     205        252   

Jiangxi Copper Co. Ltd. - Class H

     255        462   

PetroChina Co. Ltd. - Class H

     3,946        4,331   

Ping an Insurance Group Co. of China Ltd. - Class H

     353        3,171   

Shandong Weigao Group Medical Polymer Co. Ltd.

     290        393   

Shanghai Electric Group Co. Ltd. - Class H

     398        145   

Shanghai Industrial Holdings Ltd.

     101        370   

Shanghai Pharmaceuticals Holding Co. Ltd. - Class H

     118        289   

Shenzhou International Group
Holdings Ltd. (e)

     93        350   

Sihuan Pharmaceutical Holdings Group Ltd.

     433        396   

Sinopec Shanghai Petrochemical Co. Ltd. - Class H

     480        138   

Sinopharm Group Co. Ltd. - Class H (e)

     196        563   

Soho China Ltd.

     330        284   

Sun Art Retail Group Ltd. (e)

     408        575   

Tencent Holdings Ltd.

     190        12,152   

Tingyi Cayman Islands Holding Corp.

     357        1,032   

Tsingtao Brewery Co. Ltd. - Class H

     70        593   

Want Want China Holdings Ltd.

     1,102        1,595   

Wumart Stores Inc. - Class H

     101        164   

Yantai Changyu Pioneer Wine Co. Ltd. - Class B

     27        88   

Yanzhou Coal Mining Co. Ltd. - Class H (e)

     402        370   

Zhejiang Expressway Co. Ltd. - Class H

     222        210   

Zhongsheng Group Holdings Ltd.

     109        150   

Zhuzhou CSR Times Electric Co. Ltd. -
Class H

     113        408   

Zijin Mining Group Co. Ltd. (e)

     1,058        228   

ZTE Corp. - Class H (c) (e)

     112        224   
   

 

 

  
    121,554   

COLOMBIA - 0.8%

    

Almacenes Exito SA

     39        612   

BanColombia SA

     39        475   

Cementos Argos SA

     68        344   

Cemex Latam Holdings SA (c)

     29        224   

Corp. Financiera Colombiana SA

     17        355   

Ecopetrol SA

     948        1,818   

Grupo Argos SA

     62        614   

Grupo de Inversiones Suramericana SA

     44        762   

Interconexion Electrica SA

     63        296   

Isagen SA ESP

     177        293   
   

 

 

  
    5,793   

CZECH REPUBLIC - 0.2%

    

CEZ A/S

     30        793   

Komercni Banka A/S

     3        693   

Telefonica O2 Czech Republic A/S

     19        289   
   

 

 

  
    1,775   

EGYPT - 0.2%

    

Commercial International Bank

     170        804   

Global Telecom Holding SAE (c)

     505        345   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Talaat Moustafa Group (c)

     209        188   

Telecom Egypt Co.

     68        146   
   

 

 

  
    1,483   

GREECE - 0.4%

    

Alpha Bank AE (c)

     270        235   

Folli Follie SA (c)

     5        170   

Hellenic Petroleum SA

     13        132   

Hellenic Telecommunications Organization
SA (c)

     44        587   

JUMBO SA (c)

     17        278   

National Bank of Greece SA (c)

     59        318   

OPAP SA

     40        530   

Piraeus Bank SA (c)

     181        382   

Public Power Corp. SA

     21        309   

Titan Cement Co. SA (c)

     9        238   
   

 

 

  
    3,179   

HONG KONG - 2.5%

    

AAC Technologies Holdings Inc. (e)

     144        698   

Agricultural Bank of China - Class H

     3,986        1,966   

Anta Sports Products Ltd. (e)

     136        169   

BBMG Corp. - Class H

     182        158   

Biostime International Holdings Ltd

     29        254   

Citic Pacific Ltd. (e)

     308        472   

COSCO Pacific Ltd.

     320        440   

Evergrande Real Estate Group Ltd. (e)

     1,113        426   

Fushan International Energy Group Ltd.

     466        164   

GCL-Poly Energy Holdings Ltd. (c) (e)

     1,547        481   

Geely Automobile Holdings Ltd. (e)

     1,045        507   

GOME Electrical Appliances Holdings Ltd. (e)

     1,700        314   

Guangdong Investment Ltd. (e)

     410        401   

Haier Electronics Group Co. Ltd.

     139        404   

Haitong Securities Co. Ltd. - Class H

     219        382   

Hanergy Solar Group Ltd. (c) (e) (f)

     1,858        204   

Hengan International Group Co. Ltd.

     136        1,603   

Intime Retail Group Co. Ltd.

     223        233   

Kingboard Chemical Holdings Ltd.

     116        304   

Kunlun Energy Co. Ltd.

     568        1,003   

Lee & Man Paper Manufacturing Ltd.

     343        227   

Lenovo Group Ltd. (e)

     1,130        1,378   

Longfor Properties Co. Ltd.

     243        340   

New China Life Insurance Co. Ltd. -
Class H (c)

     115        388   

New World China Land Ltd.

     308        149   

Nine Dragons Paper Holdings Ltd. (e)

     286        250   

People’s Insurance Co. Group of China Ltd. - Class H

     812        394   

PICC Property & Casualty Co. Ltd. - Class H

     607        903   

Poly Property Group Co. Ltd.

     307        165   

Shimao Property Holdings Ltd.

     267        615   

Shui On Land Ltd.

     608        187   

Sino Biopharmaceutical

     516        410   

Sino-Ocean Land Holdings Ltd. (e)

     674        444   

Sinopec Engineering Group Co. Ltd. - Class H

     190        284   

Uni-President China Holdings Ltd. (e)

     202        206   

Weichai Power Co. Ltd. - Class H

     93        378   

Yingde Gases

     171        179   

Yuexiu Property Co. Ltd.

     950        235   
   

 

 

  
    17,715   

HUNGARY - 0.2%

    

MOL Hungarian Oil and Gas Plc

     7        497   

OTP Bank Plc

     37        701   

Richter Gedeon Nyrt

     29        583   
   

 

 

  
    1,781   

INDIA - 6.2%

    

ACC Ltd.

     5        93   

Adani Enterprises Ltd.

     26        111   
     Shares/Par (p)     Value  

Aditya Birla Nuvo Ltd.

     10        203   

Ambuja Cements Ltd.

     112        332   

Apollo Hospitals Enterprise Ltd.

     12        188   

Asian Paints Ltd.

     47        372   

Bajaj Auto Ltd.

     14        445   

Bank of Baroda

     12        129   

Bharat Heavy Electricals Ltd.

     98        280   

Bharat Petroleum Corp. Ltd.

     32        181   

Bharti Airtel Ltd.

     111        594   

Cairn India Ltd.

     99        521   

Cipla Ltd.

     59        385   

Coal India Ltd.

     99        463   

Dabur India Ltd.

     50        138   

Divi’s Laboratories Ltd.

     5        96   

DLF Ltd.

     87        236   

Dr. Reddy’s Laboratories Ltd.

     19        778   

GAIL India Ltd.

     65        362   

GlaxoSmithKline Consumer Healthcare Ltd.

     2        115   

Godrej Consumer Products Ltd.

     18        245   

HCL Technologies Ltd.

     39        789   

HDFC Bank Ltd.

     289        3,119   

Hero Honda Motors Ltd.

     14        456   

Hindalco Industries Ltd.

     226        448   

Hindustan Unilever Ltd.

     121        1,114   

Housing Development Finance Corp.

     272        3,502   

ICICI Bank Ltd.

     39        697   

Idea Cellular Ltd.

     107        289   

Infosys Ltd.

     85        4,806   

ITC Ltd.

     414        2,155   

Jaiprakash Associates Ltd.

     223        197   

Jindal Steel & Power Ltd.

     81        342   

JSW Steel Ltd.

     14        234   

Kotak Mahindra Bank Ltd.

     62        730   

Larsen & Toubro Ltd.

     61        1,060   

LIC Housing Finances Ltd.

     41        146   

Lupin Ltd.

     12        177   

Mahindra & Mahindra Financial Services Ltd.

     47        242   

Mahindra & Mahindra Ltd.

     54        831   

Mundra Port and Special Economic Zone Ltd.

     73        184   

Nestle India Ltd.

     2        199   

NTPC Ltd.

     198        440   

Oil & Natural Gas Corp. Ltd.

     149        695   

Oil India Ltd.

     20        159   

Piramal Healthcare Ltd.

     14        124   

Power Finance Corp. Ltd.

     28        76   

Power Grid Corp. of India Ltd.

     176        285   

Ranbaxy Laboratories Ltd. (c)

     19        141   

Reliance Capital Ltd.

     17        101   

Reliance Communications Ltd.

     88        186   

Reliance Industries Ltd.

     242        3,504   

Reliance Infrastructure Ltd.

     26        180   

Reliance Power Ltd. (c)

     103        122   

Rural Electrification Corp. Ltd.

     44        158   

Sesa Sterlite Ltd.

     178        584   

Shriram Transport Finance Co. Ltd.

     21        224   

Siemens Ltd.

     22        232   

State Bank of India

     27        778   

Sun Pharmaceutical Industries Ltd.

     117        1,076   

Tata Consultancy Services Ltd.

     87        3,055   

Tata Motors Ltd.

     141        865   

Tata Power Co. Ltd.

     205        303   

Tata Steel Ltd.

     54        374   

Tech Mahindra Ltd.

     17        502   

Ultratech Cement Ltd.

     7        214   

United Breweries Ltd.

     10        127   

United Spirits Ltd.

     15        638   

Wipro Ltd.

     112        1,010   

Yes Bank Ltd.

     24        144   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Zee Entertainment Enterprises Ltd.

     41        182   
   

 

 

  
    44,463   

INDONESIA - 2.1%

    

Adaro Energy Tbk PT

     2,729        245   

Astra Agro Lestari Tbk PT

     70        145   

Astra International Tbk PT

     3,678        2,060   

Bank Central Asia Tbk PT

     2,252        1,781   

Bank Danamon Indonesia Tbk PT - Class A

     651        202   

Bank Mandiri Persero Tbk PT

     1,787        1,156   

Bank Negara Indonesia Persero Tbk PT

     1,360        443   

Bank Rakyat Indonesia Persero Tbk PT

     2,047        1,223   

Bumi Serpong Damai PT

     1,416        150   

Charoen Pokphand Indonesia Tbk PT

     1,167        325   

Global Mediacom Tbk PT

     1,395        218   

Gudang Garam Tbk PT

     94        323   

Indo Tambangraya Megah Tbk PT

     83        196   

Indocement Tunggal Prakarsa Tbk PT

     318        524   

Indofood CBP Sukses Makmur Tbk PT

     224        188   

Indofood Sukses Makmur Tbk PT

     776        422   

Jasa Marga Persero Tbk PT

     314        122   

Kalbe Farma Tbk PT

     3,895        401   

Lippo Karawaci Tbk PT

     3,760        282   

Matahari Department Store Tbk PT (c)

     254        229   

Media Nusantara Citra Tbk PT

     612        132   

Perusahaan Gas Negara PT

     2,018        744   

PT Semen Indonesia

     559        652   

Surya Citra Media Tbk PT

     1,056        228   

Tambang Batubara Bukit Asam Tbk PT

     120        100   

Telekomunikasi Indonesia Persero Tbk PT - Class B

     8,171        1,446   

Tower Bersama Infrastructure Tbk PT (c)

     232        111   

Unilever Indonesia Tbk PT

     269        576   

United Tractors Tbk PT

     303        473   

XL Axiata Tbk PT

     445        190   
   

 

 

  
    15,287   

MALAYSIA - 3.7%

    

AirAsia Bhd

     199        134   

Alliance Financial Group Bhd

     173        251   

AMMB Holdings Bhd

     316        699   

Astro Malaysia Holdings Bhd

     265        243   

Axiata Group Bhd

     467        985   

Berjaya Sports Toto Bhd

     106        131   

Bumi Armada Bhd

     189        232   

Bumiputra-Commerce Holdings Bhd

     854        1,990   

Dialog Group BHD

     385        421   

DiGi.Com Bhd

     660        1,001   

Felda Global Ventures Holdings Bhd

     253        347   

Gamuda Bhd

     307        451   

Genting Bhd

     387        1,213   

Genting Malaysia Bhd

     531        711   

Genting Plantations Bhd

     46        156   

Hong Leong Bank Bhd

     106        467   

Hong Leong Financial Group Bhd

     37        173   

IHH Healthcare Bhd (c)

     491        579   

IJM Corp. Bhd

     237        427   

IOI Corp. Bhd

     570        821   

IOI Properties Group Sdn Bhd (c) (f)

     190        146   

Kuala Lumpur Kepong Bhd

     84        640   

Lafarge Malaysia Bhd

     74        194   

Malayan Banking Bhd

     798        2,425   

Malaysia Airports Holdings Bhd

     107        294   

Maxis Bhd

     411        912   

MISC Bhd (c)

     180        313   

MMC Corp. Bhd

     247        217   

Parkson Holdings Bhd

     144        121   

Petronas Chemicals Group Bhd

     516        1,090   
     Shares/Par (p)     Value  

Petronas Dagangan Bhd

     42        406   

Petronas Gas Bhd

     109        812   

PPB Group Bhd

     98        482   

Public Bank Bhd

     188        1,123   

RHB Capital Bhd

     124        298   

Sapurakencana Petroleum Bhd (c)

     626        937   

Sime Darby Bhd

     502        1,460   

Telekom Malaysia Bhd

     171        290   

Tenaga Nasional Bhd

     519        1,805   

UEM Sunrise Bhd

     223        161   

UMW Holdings Bhd

     88        325   

YTL Corp. Bhd

     936        463   

YTL Power International Bhd

     424        245   
   

 

 

  
    26,591   

MEXICO - 4.5%

    

Alfa SAB de CV - Class A

     523        1,466   

America Movil SAB de CV - Class L (e)

     6,635        7,735   

Arca Continental SAB de CV (e)

     53        328   

Coca-Cola Femsa SAB de CV - Class L

     80        971   

Compartamos SAB de CV (e)

     211        395   

Controladora Comercial Mexicana SAB de CV - Class C (e)

     68        292   

El Puerto de Liverpool SAB de CV -
Class C (e)

     34        393   

Fibra Uno Administracion SA de CV

     256        819   

Fomento Economico Mexicano SAB de CV

     363        3,517   

Genomma Lab Internacional SAB de CV - Class B (c) (e)

     131        367   

Grupo Aeroportuario del PacifiCo SAB de CV - Class B

     52        279   

Grupo Aeroportuario del Sureste SAB de CV - Class B

     34        424   

Grupo Bimbo SAB de CV - Class A (e)

     300        922   

Grupo Carso SAB de CV

     100        533   

Grupo Comercial Chedraui SA de CV -
Class B (e)

     60        213   

Grupo Financiero Banorte SAB de CV

     465        3,255   

Grupo Financiero Inbursa SAB de CV

     444        1,256   

Grupo Financiero Santander Mexico SAB de CV - Class B (e)

     315        856   

Grupo Mexico SAB de CV (e)

     703        2,328   

Industrias CH SAB de CV - Class B (c) (e)

     26        177   

Industrias Penoles SAB de CV

     26        654   

Kimberly-Clark de Mexico SAB de CV

     277        787   

Mexichem SAB de CV (e)

     199        821   

Minera Frisco SAB de CV - Class A-1 (c) (e)

     130        268   

OHL Mexico SAB de CV (c) (e)

     142        364   

Promotora y Operadora de Infraestructura SAB de CV (c) (e)

     53        629   

Wal-Mart de Mexico SAB de CV - Class V (e)

     964        2,529   
   

 

 

  
    32,578   

PERU - 0.3%

    

Cia de Minas Buenaventura SA - ADR

     34        379   

Credicorp Ltd.

     13        1,726   
   

 

 

  
    2,105   

PHILIPPINES - 0.8%

    

Aboitiz Equity Ventures Inc.

     351        432   

Aboitiz Power Corp.

     406        311   

Alliance Global Group Inc.

     366        213   

Ayala Corp.

     31        363   

Ayala Land Inc.

     1,020        571   

Bank of the Philippine Islands

     116        223   

BDO Unibank Inc.

     279        433   

DMCI Holdings Inc.

     133        168   

Energy Development Corp.

     1,613        194   

Globe Telecom Inc.

     7        258   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

International Container Terminal Services Inc.

     134        308   

JG Summit Holdings Inc.

     420        365   

Jollibee Foods Corp.

     74        288   

Metro Pacific Investments Corp.

     1,516        148   

Metropolitan Bank & Trust Co.

     43        74   

Philippine Long Distance Telephone Co.

     8        488   

SM Investments Corp.

     25        397   

SM Prime Holdings Inc.

     1,209        402   

Universal Robina Corp.

     174        444   
   

 

 

  
    6,080   

POLAND - 1.6%

    

Alior Bank SA (c)

     7        181   

Bank Handlowy w Warszawie SA

     7        250   

Bank Millennium SA (c)

     80        190   

Bank Pekao SA

     24        1,420   

Bank Zachodni WBK SA

     5        676   

Cyfrowy Polsat SA (c)

     29        192   

Enea SA

     23        104   

Eurocash SA

     12        192   

Grupa Lotos SA - Class A (c)

     9        106   

Jastrzebska Spolka Weglowa SA

     8        149   

KGHM Polska Miedz SA

     28        1,096   

Mbank

     3        465   

PGE SA

     140        751   

Polski Koncern Naftowy Orlen SA

     58        789   

Polskie Gornictwo Naftowe i Gazownictwo SA

     339        576   

Powszechna Kasa Oszczednosci Bank Polski SA

     161        2,095   

Powszechny Zaklad Ubezpieczen SA

     11        1,595   

Synthos SA

     89        161   

Tauron Polska Energia SA

     183        266   

Telekomunikacja Polska SA

     122        397   

Zaklady Azotowe w Tarnowie-Moscicach SA

     8        164   
   

 

 

  
    11,815   

RUSSIAN FEDERATION - 5.8%

    

Federal Grid Co. Unified Energy System
JSC (c)

     58,771        162   

Gazprom OAO

     443        1,884   

Gazprom OAO - ADR

     879        7,533   

Lukoil OAO

     94        5,811   

Magnit OJSC - GDR

     48        3,167   

MegaFon OAO - GDR

     15        492   

MMC Norilsk Nickel OJSC

     11        1,747   

Mobile Telesystems OJSC - ADR

     94        2,027   

Moscow Exchange MICEX-RTS OAO

     88        174   

NovaTek OAO - GDR

     16        2,245   

Rosneft OAO

     30        227   

Rosneft OAO - GDR

     185        1,413   

Rostelecom OJSC

     215        725   

RusHydro Management Co. - ADR

     193        329   

Sberbank of Russia

     1,999        6,169   

Severstal OAO

     41        401   

Sistema JSFC - GDR

     23        750   

Surgutneftegas OAO

     143        123   

Surgutneftegas OAO - ADR

     205        1,779   

Tatneft OAO

     267        1,695   

Uralkali OJSC

     245        1,282   

VTB Bank OJSC

     988,225        1,496   
   

 

 

  
    41,631   

SOUTH AFRICA - 7.2%

    

African Bank Investments Ltd. (e)

     281        323   

African Rainbow Minerals Ltd.

     19        336   

Anglo Platinum Ltd. (c)

     12        446   

AngloGold Ashanti Ltd.

     72        842   

Aspen Pharmacare Holdings Ltd.

     64        1,651   
     Shares/Par (p)     Value  

Assore Ltd.

     6        201   

Barclays Africa Group Ltd.

     59        746   

Barloworld Ltd.

     38        365   

Bidvest Group Ltd.

     56        1,424   

Discover Ltd.

     59        472   

Exxaro Resources Ltd. (e)

     24        331   

FirstRand Ltd.

     559        1,915   

Foschini Ltd.

     36        332   

Gold Fields Ltd.

     142        453   

Growthpoint Properties Ltd.

     335        776   

Harmony Gold Mining Co. Ltd.

     59        150   

Impala Platinum Holdings Ltd.

     102        1,204   

Imperial Holdings Ltd.

     33        636   

Investec Ltd.

     55        392   

Kumba Iron Ore Ltd.

     14        603   

Liberty Holdings Ltd.

     19        225   

Life Healthcare Group Holdings Ltd.

     168        672   

Massmart Holdings Ltd.

     21        261   

Mediclinic International Ltd.

     65        474   

MMI Holdings Ltd.

     224        542   

Mr Price Group Ltd.

     44        690   

MTN Group Ltd.

     317        6,565   

Nampak Ltd.

     98        384   

Naspers Ltd. - Class N

     73        7,691   

Nedbank Group Ltd.

     35        695   

Netcare Ltd.

     192        476   

Northam Platinum Ltd. (c)

     51        206   

Pick n Pay Stores Ltd.

     49        243   

PPC Ltd.

     99        296   

Redefine Properties Ltd.

     556        517   

Remgro Ltd.

     88        1,745   

Reunert Ltd.

     30        195   

RMB Holdings Ltd.

     122        565   

RMI Holdings

     126        330   

Sanlam Ltd.

     327        1,661   

Sappi Ltd. (c)

     91        285   

Sasol Ltd.

     102        5,040   

Shoprite Holdings Ltd.

     80        1,245   

Spar Group Ltd.

     30        373   

Standard Bank Group Ltd.

     225        2,783   

Steinhoff International Holdings Ltd.

     247        1,063   

Tiger Brands Ltd.

     31        782   

Truworths International Ltd.

     83        610   

Vodacom Group Ltd.

     65        819   

Woolworths Holdings Ltd.

     145        1,033   
   

 

 

  
    52,064   

SOUTH KOREA - 15.0%

    

Amorepacific Corp.

     1        605   

AMOREPACIFIC Group

     —        215   

BS Financial Group Inc.

     31        476   

Celltrion Inc.

     10        356   

Cheil Industries Inc.

     9        762   

Cheil Worldwide Inc. (c)

     19        486   

CJ CheilJedang Corp.

     1        353   

CJ Corp.

     3        305   

Daelim Industrial Co. Ltd.

     6        495   

Daewoo Engineering & Construction Co.
Ltd. (c)

     24        168   

Daewoo International Corp.

     8        302   

Daewoo Securities Co. Ltd.

     28        234   

Daewoo Shipbuilding & Marine Engineering Co. Ltd.

     16        543   

DGB Financial Group Inc.

     26        412   

Dongbu Insurance Co. Ltd.

     8        434   

Doosan Corp.

     2        203   

Doosan Heavy Industries and Construction Co. Ltd.

     8        270   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Doosan Infracore Co. Ltd. (c)

     21        255   

E-Mart Co. Ltd.

     4        946   

GS Engineering & Construction Corp.

     7        208   

GS Holdings Corp.

     9        473   

Halla Visteon Climate Control Corp.

     6        225   

Hana Financial Group Inc.

     51        2,107   

Hankook Tire Co. Ltd.

     14        807   

Hanwha Chem Corp.

     15        303   

Hanwha Corp.

     7        276   

Hanwha Life Insurance Co. Ltd.

     40        291   

Hite Jinro Co. Ltd.

     6        136   

Hyosung Corp.

     4        274   

Hyundai Department Store Co. Ltd.

     3        439   

Hyundai Development Co.

     9        196   

Hyundai Engineering & Construction Co. Ltd.

     13        745   

Hyundai Glovis Co. Ltd.

     2        521   

Hyundai Heavy Industries Co. Ltd.

     8        1,884   

Hyundai Hysco Co. Ltd. (f)

     5        212   

Hyundai Marine & Fire Insurance Co. Ltd.

     12        365   

Hyundai Merchant Marine Co. Ltd. (c)

     12        127   

Hyundai Mipo Dockyard Co. Ltd.

     2        345   

Hyundai Mobis

     13        3,535   

Hyundai Motor Co.

     29        6,438   

Hyundai Securities Co. Ltd.

     28        153   

Hyundai Steel Co.

     10        853   

Hyundai Wia Corp.

     3        461   

Industrial Bank of Korea

     27        315   

Kangwon Land Inc.

     17        503   

KB Financial Group Inc.

     73        2,959   

KCC Corp.

     1        369   

Kia Motors Corp.

     49        2,629   

Korea Aerospace Industries Ltd.

     5        149   

Korea Electric Power Corp. (c)

     47        1,539   

Korea Gas Corp.

     5        291   

Korea Investment Holdings Co. Ltd.

     7        254   

Korea Kumho Petrochemical

     3        262   

Korea Zinc Co. Ltd.

     1        427   

Korean Air Lines Co. Ltd. (c)

     4        126   

KT Corp. - ADR

     10        155   

KT&G Corp.

     20        1,419   

LG Chem Ltd.

     8        2,379   

LG Corp.

     18        1,094   

LG Display Co. Ltd. (c)

     44        1,066   

LG Electronics Inc.

     19        1,236   

LG Household & Health Care Ltd.

     2        920   

LG Innotek Co. Ltd. (c)

     2        134   

LG Telecom Ltd. (c)

     41        415   

Lotte Chemical

     3        741   

Lotte Confectionery Co. Ltd.

     —        230   

Lotte Shopping Co. Ltd.

     2        770   

LS Corp.

     3        261   

LS Industrial Systems Co. Ltd.

     3        209   

Mirae Asset Securities Co. Ltd.

     6        218   

NCSoft Corp.

     3        619   

NHN Corp.

     5        3,559   

NHN Entertainment Corp. (c)

     2        175   

OCI Co. Ltd.

     3        595   

Orion Corp.

     1        614   

POSCO Inc.

     12        3,847   

S-Oil Corp.

     9        608   

S1 Corp.

     4        266   

Samsung C&T Corp.

     24        1,388   

Samsung Card Co. Ltd.

     7        233   

Samsung Electro-Mechanics Co. Ltd.

     10        726   

Samsung Electronics Co. Ltd.

     20        26,645   

Samsung Engineering Co. Ltd.

     5        309   

Samsung Fire & Marine Insurance Co. Ltd.

     6        1,595   

Samsung Heavy Industries Co. Ltd.

     29        1,059   
     Shares/Par (p)     Value  

Samsung Life Insurance Co. Ltd.

     11        1,066   

Samsung SDI Co.

     6        971   

Samsung Securities Co. Ltd.

     12        495   

Samsung Techwin Co. Ltd.

     7        341   

Shinhan Financial Group Co. Ltd.

     81        3,615   

Shinsegae Co. Ltd.

     1        250   

SK C&C Co. Ltd.

     5        586   

SK Holdings Co. Ltd.

     5        839   

SK Hynix Inc. (c)

     100        3,489   

SK Innovation Co. Ltd.

     11        1,446   

SK Networks Co. Ltd.

     22        160   

SK Telecom Co. Ltd.

     1        325   

SK Telecom Co. Ltd. - ADR (e)

     1        23   

Woongjin Coway Co. Ltd.

     11        665   

Woori Finance Holdings Co. Ltd.

     73        917   

Woori Investment & Securities Co. Ltd.

     20        186   

Yuhan Corp.

     1        216   
   

 

 

  
    108,092   

TAIWAN - 11.4%

    

Acer Inc. (c)

     412        254   

Advanced Semiconductor Engineering Inc.

     1,086        1,015   

Advantech Co. Ltd.

     50        347   

Asia Cement Corp.

     374        485   

Asia Pacific Telecom Co. Ltd.

     384        199   

Asustek Computer Inc.

     120        1,081   

AU Optronics Corp. (c)

     1,761        562   

Catcher Technology Co. Ltd.

     119        772   

Cathay Financial Holding Co. Ltd.

     1,424        2,312   

Chailease Holding Co. Ltd.

     148        391   

Chang Hwa Commercial Bank

     825        509   

Cheng Shin Rubber Industry Co. Ltd.

     310        813   

Cheng Uei Precision Industry Co. Ltd.

     100        202   

Chicony Electronics Co. Ltd.

     82        206   

China Airlines Ltd. (c)

     499        183   

China Development Financial Holding Corp.

     2,388        723   

China Life Insurance Co. Ltd.

     369        375   

China Motor Corp.

     161        156   

China Petrochemical Development Corp.

     252        115   

China Steel Corp.

     2,097        1,902   

Chunghwa Telecom Co. Ltd.

     697        2,176   

Clevo Co.

     81        175   

Compal Electronics Inc.

     761        584   

CTBC Financial Holding Co. Ltd.

     2,448        1,675   

CTCI Corp.

     87        141   

Delta Electronics Inc.

     332        1,901   

E. Sun Financial Holding Co. Ltd.

     925        616   

Eclat Textile Co. Ltd.

     29        327   

Epistar Corp.

     162        313   

Eva Airways Corp. (c)

     268        149   

Evergreen Marine Corp. Taiwan Ltd. (c)

     363        222   

Far Eastern Department Stores Co. Ltd.

     164        162   

Far Eastern New Century Corp.

     607        702   

Far EasTone Telecommunications Co. Ltd.

     272        598   

Farglory Land Development Co. Ltd.

     78        132   

Feng Hsin Iron & Steel Co.

     113        207   

First Financial Holding Co. Ltd.

     1,201        748   

Formosa Chemicals & Fibre Corp.

     599        1,690   

Formosa International Hotels Corp.

     6        65   

Formosa Petrochemical Corp.

     219        601   

Formosa Plastics Corp.

     748        2,023   

Formosa Taffeta Co. Ltd.

     142        172   

Foxconn Technology Co. Ltd.

     169        396   

Fubon Financial Holding Co. Ltd.

     1,259        1,847   

Giant Manufacturing Co. Ltd.

     56        386   

Hermes Microvision Inc.

     8        260   

Highwealth Construction Corp.

     78        165   

Hiwin Technologies Corp.

     32        272   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Hon Hai Precision Industry Co. Ltd.

     2,062        5,561   

Hotai Motor Co. Ltd.

     46        568   

HTC Corp.

     138        654   

Hua Nan Financial Holdings Co. Ltd.

     1,022        598   

Innolux Corp. (c)

     1,370        523   

Inventec Corp.

     395        350   

Kinsus Interconnect Technology Corp.

     36        120   

Largan Precision Co. Ltd.

     19        777   

LCY Chemical Corp.

     88        115   

Lite-On Technology Corp.

     377        607   

MediaTek Inc.

     220        3,286   

Mega Financial Holdings Co. Ltd.

     1,748        1,474   

Merida Industry Co. Ltd.

     37        269   

MStar Semiconductor Inc.

     37        431   

Nan Kang Rubber Tire Co. Ltd. (c)

     120        149   

Nan Ya Plastics Corp.

     903        2,092   

Novatek Microelectronics Corp.

     95        390   

Pegatron Corp.

     325        420   

Phison Electronics Corp.

     20        128   

Pou Chen Corp.

     408        611   

Powertech Technology Inc.

     105        161   

President Chain Store Corp.

     99        687   

Quanta Computer Inc.

     446        1,043   

Radiant Opto-Electronics Corp.

     92        337   

Realtek Semiconductor Corp.

     95        255   

Ruentex Development Co. Ltd.

     99        192   

Ruentex Industries Ltd.

     88        227   

ScinoPharm Taiwan Ltd.

     44        129   

Shin Kong Financial Holding Co. Ltd.

     1,103        382   

Siliconware Precision Industries Co.

     518        619   

Simplo Technology Co. Ltd.

     58        256   

SinoPac Financial Holdings Co. Ltd.

     1,176        587   

Standard Foods Corp.

     50        157   

Synnex Technology International Corp.

     217        345   

Taishin Financial Holding Co. Ltd.

     1,195        589   

Taiwan Business Bank (c)

     581        177   

Taiwan Cement Corp.

     651        1,012   

Taiwan Cooperative Financial Holding

     1,000        548   

Taiwan Fertilizer Co. Ltd.

     136        308   

Taiwan Glass Industrial Corp.

     206        230   

Taiwan Mobile Co. Ltd.

     311        1,004   

Taiwan Semiconductor Manufacturing Co. Ltd.

     4,567        16,128   

Teco Electric and Machinery Co. Ltd.

     297        341   

TPK Holding Co. Ltd.

     42        248   

Transcend Information Inc.

     49        141   

TSRC Corp.

     87        129   

U-Ming Marine Transport Corp.

     88        158   

Uni-President Enterprises Corp.

     820        1,480   

Unimicron Technology Corp.

     195        148   

United Microelectronics Corp.

     2,274        950   

Vanguard International Semiconductor Corp.

     158        188   

Walsin Lihwa Corp. (c)

     601        193   

Wan Hai Lines Ltd.

     132        69   

Wistron Corp.

     380        320   

WPG Holdings Co. Ltd.

     225        259   

Yang Ming Marine Transport Corp. (c)

     200        93   

Yuanta Financial Holding Co. Ltd.

     1,686        1,009   

Yulon Motor Co. Ltd.

     164        297   

Zhen Ding Technology Holding Ltd.

     55        132   
   

 

 

  
    81,958   

THAILAND - 2.1%

    

Advanced Info Service PCL

     64        391   

Advanced Info Service PCL - NVDR

     132        807   

Airports of Thailand PCL - NVDR

     84        405   

Bangkok Bank PCL

     32        174   

Bangkok Bank PCL - NVDR

     228        1,241   

Bangkok Dusit Medical Services PCL - NVDR

     64        231   
     Shares/Par (p)     Value  

Banpu PCL

     78        71   

Banpu PCL - NVDR

     79        72   

BEC World PCL

     73        113   

BEC World PCL - NVDR

     95        146   

BTS Group Holdings PCL - NVDR

     1,160        308   

Central Pattana PCL - NVDR

     257        322   

Charoen Pokphand Foods PCL

     227        222   

Charoen Pokphand Foods PCL - NVDR

     280        274   

CP ALL PCL

     360        462   

CP ALL PCL - NVDR

     470        603   

Glow Energy PCL

     42        91   

Glow Energy PCL - NVDR

     66        141   

Home Product Center PCL - NVDR

     638        182   

Indorama Ventures PCL

     100        61   

Indorama Ventures PCL - NVDR

     147        90   

IRPC PCL

     813        81   

IRPC PCL - NVDR

     1,302        130   

Kasikornbank PCL

     44        214   

Kasikornbank PCL - NVDR

     314        1,499   

Krung Thai Bank PCL - Class F

     61        31   

Krung Thai Bank PCL

     244        123   

Krung Thai Bank PCL - NVDR

     373        188   

Minor International PCL - NVDR

     285        180   

PTT Exploration & Production PCL

     143        729   

PTT Exploration & Production PCL - NVDR

     97        491   

PTT Global Chemical PCL

     119        288   

PTT Global Chemical PCL - NVDR

     200        482   

PTT PCL

     67        587   

PTT PCL - NVDR

     92        802   

Siam Cement PCL

     8        97   

Siam Cement PCL - NVDR

     71        872   

Siam Commercial Bank PCL

     114        502   

Siam Commercial Bank PCL - NVDR

     221        972   

Thai Oil PCL

     78        134   

Thai Oil PCL - NVDR

     79        135   

TMB Bank PCL - NVDR

     1,558        98   

True Corp PCL - NVDR (c)

     844        194   
   

 

 

  
    15,236   

TURKEY - 1.5%

    

Akbank T.A.S.

     323        1,008   

Anadolu Efes Biracilik Ve Malt Sanayii A/S

     38        415   

Arcelik A/S

     49        278   

BIM Birlesik Magazalar A/S

     40        811   

Coca-Cola Icecek A/S

     13        316   

Emlak Konut Gayrimenkul Yatirim Ortakligi A/S

     356        347   

Enka Insaat ve Sanayi A/S

     79        221   

Eregli Demir ve Celik Fabrikalari TAS

     222        267   

Ford Otomotiv Sanayi A/S

     11        120   

Haci Omer Sabanci Holding A/S

     139        559   

KOC Holding A/S

     122        498   

Koza Altin Isletmeleri A/S

     5        55   

TAV Havalimanlari Holding A/S

     26        187   

Tofas Turk Otomobil Fabrikasi A/S

     33        207   

Tupras Turkiye Petrol Rafinerileri A/S

     25        496   

Turk Hava Yollari

     110        330   

Turk Telekomunikasyon A/S

     81        226   

Turkcell Iletisim Hizmetleri A/S (c)

     138        730   

Turkiye Garanti Bankasi A/S

     408        1,323   

Turkiye Halk Bankasi A/S

     118        667   

Turkiye Is Bankasi SA - Class C

     269        583   

Turkiye Sise ve Cam Fabrikalari A/S

     55        70   

Turkiye Vakiflar Bankasi Tao

     160        285   

Ulker Biskuvi Sanayi A/S

     32        230   

Yapi ve Kredi Bankasi A/S

     156        270   
   

 

 

  
    10,499   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UKRAINE - 0.0%

  

Kernel Holding SA (c)

     8        101   

UNITED KINGDOM - 0.1%

    

British American Tobacco Plc

     24        474   

UNITED STATES OF AMERICA - 0.1%

  

Southern Copper Corp.

     30        873   
   

 

 

  

Total Common Stocks (cost $644,990)

  

     656,590   
   

 

 

  

PREFERRED STOCKS - 6.4%

    

BRAZIL - 4.4%

    

AES Tiete SA

     12        98   

Banco Bradesco SA

     394        4,858   

Banco do Estado do Rio Grande do Sul

     37        195   

Bradespar SA

     42        446   

Braskem SA

     30        265   

Centrais Eletricas Brasileiras SA

     33        137   

Cia Brasileira de Distribuicao Grupo Pao de Acucar

     27        1,201   

Cia Energetica de Minas Gerais

     134        794   

Cia Energetica de Sao Paulo

     29        274   

Cia Paranaense de Energia

     21        265   

Gerdau SA

     159        1,234   

Itau Unibanco Holding SA

     469        6,232   

Itausa - Investimentos Itau SA

     523        1,972   

Klabin SA

     82        425   

Lojas Americanas SA

     80        536   

Marcopolo SA

     105        227   

Metalurgica Gerdau SA

     47        464   

Oi SA

     98        149   

Petroleo Brasileiro SA

     776        5,621   

Suzano Papel e Celulose SA

     54        212   

Telefonica Brasil SA

     53        1,005   

Usinas Siderurgicas de Minas Gerais SA - Class A

     68        411   

Vale SA

     353        4,901   
   

 

 

  
    31,922   

CHILE - 0.1%

    

Embotelladora Andina SA - Class B

     43        197   

Sociedad Quimica y Minera de Chile SA

     17        430   
   

 

 

  
    627   

COLOMBIA - 0.2%

    

Banco Davivienda SA

     18        219   

BanColombia SA

     58        713   

Grupo Argos SA

     17        167   

Grupo Aval Acciones y Valores

     249        165   

Grupo de Inversiones Suramericana SA

     15        271   
   

 

 

  
    1,535   

MEXICO - 0.8%

    

Cemex SAB de CV

     2,104        2,471   

Grupo Televisa SAB

     480        2,895   
   

 

 

  
    5,366   

RUSSIAN FEDERATION - 0.2%

    

AK Transneft OAO

     —        767   

Sberbank of Russia

     209        511   

Surgutneftegas OAO

     263        207   
   

 

 

  
    1,485   

SOUTH KOREA - 0.7%

    

Hyundai Motor Co.

     7        855   

Hyundai Motor Co.

     4        520   

LG Chem Ltd.

     2        257   
     Shares/Par (p)     Value  

Samsung Electronics Co. Ltd.

     4        3,679   
   

 

 

  
    5,311   
   

 

 

  

Total Preferred Stocks (cost $53,103)

  

     46,246   
   

 

 

  

RIGHTS - 0.0%

    

MALAYSIA - 0.0%

    

IOI Properties Group Sdn Bhd (c) (f)

     95        22   
   

 

 

  

Total Rights (cost $0)

  

     22   
   

 

 

  

INVESTMENT COMPANIES - 2.0%

  

  

iShares MSCI Emerging Markets ETF

     344        14,365   
   

 

 

  

Total Investment Companies (cost $14,115)

  

     14,365   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

Investment Companies - 0.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     5,575        5,575   

Securities Lending Collateral - 2.2%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     15,670        15,670   

Treasury Securities - 0.0%

    

U.S. Treasury Bill, 0.07%, 06/26/14 (o)

   $ 265        265   
   

 

 

  

Total Short Term Investments (cost $21,510)

  

     21,510   
   

 

 

  

Total Investments - 102.5% (cost $733,718)

  

     738,733   

Other Assets and Liabilities, Net - (2.5%)

 

     (18,031 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     720,702   
   

 

 

  

JNL/Mellon Capital S&P 500 Index Fund

  

COMMON STOCKS - 97.3%

  

CONSUMER DISCRETIONARY - 12.3%

  

Amazon.com Inc. (c)

     68      $ 26,980   

AutoNation Inc. (c)

     12        594   

AutoZone Inc. (c)

     6        2,976   

Bed Bath & Beyond Inc. (c)

     39        3,163   

Best Buy Co. Inc.

     49        1,945   

BorgWarner Inc.

     42        2,341   

Cablevision Systems Corp. - Class A (e)

     39        700   

Carmax Inc. (c)

     41        1,914   

Carnival Corp. (e)

     80        3,213   

CBS Corp. - Class B

     102        6,511   

Chipotle Mexican Grill Inc. - Class A (c)

     6        2,978   

Coach Inc.

     51        2,845   

Comcast Corp. - Class A

     478        24,846   

D.R. Horton Inc. (e)

     50        1,115   

Darden Restaurants Inc. (e)

     23        1,246   

Delphi Automotive Plc

     52        3,148   

DIRECTV (c)

     89        6,177   

Discovery Communications Inc. -
Class A (c)

     43        3,859   

Dollar General Corp. (c)

     54        3,272   

Dollar Tree Inc. (c)

     41        2,286   

Expedia Inc.

     20        1,383   

Family Dollar Stores Inc.

     17        1,090   

Ford Motor Co.

     720        11,111   

Fossil Group Inc. (c)

     9        1,122   

GameStop Corp. - Class A (e)

     21        1,040   

Gannett Co. Inc.

     41        1,203   

Gap Inc.

     49        1,897   

Garmin Ltd. (e)

     23        1,051   

General Motors Co. (c)

     207        8,465   

Genuine Parts Co.

     28        2,334   

Goodyear Tire & Rubber Co.

     44        1,042   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Graham Holdings Co (e)

     1        549   

H&R Block Inc.

     48        1,384   

Harley-Davidson Inc.

     40        2,802   

Harman International Industries Inc.

     12        995   

Hasbro Inc.

     20        1,124   

Home Depot Inc.

     257        21,179   

International Game Technology

     46        842   

Interpublic Group of Cos. Inc.

     75        1,331   

Johnson Controls Inc.

     125        6,411   

Kohl’s Corp.

     36        2,033   

L Brands Inc.

     43        2,684   

Leggett & Platt Inc. (e)

     26        792   

Lennar Corp. - Class A

     29        1,163   

Lowe’s Cos. Inc.

     191        9,487   

Macy’s Inc.

     69        3,688   

Marriott International Inc. - Class A (e)

     42        2,076   

Mattel Inc.

     62        2,967   

McDonald’s Corp.

     183        17,731   

McGraw-Hill Financial. Inc.

     49        3,860   

Michael Kors Holdings Ltd. (c)

     33        2,643   

Mohawk Industries Inc. (c)

     11        1,624   

Netflix Inc. (c)

     11        3,960   

Newell Rubbermaid Inc.

     50        1,637   

News Corp. - Class A (c)

     87        1,566   

Nike Inc. - Class B

     137        10,749   

Nordstrom Inc.

     26        1,619   

O’Reilly Automotive Inc. (c)

     20        2,568   

Omnicom Group Inc.

     47        3,464   

PetSmart Inc.

     18        1,329   

Priceline.com Inc. (c)

     9        10,942   

Pulte Homes Inc.

     61        1,236   

PVH Corp.

     15        2,023   

Ralph Lauren Corp. - Class A

     11        1,954   

Ross Stores Inc.

     40        2,969   

Scripps Networks Interactive Inc. - Class A

     20        1,741   

Staples Inc. (e)

     120        1,913   

Starbucks Corp.

     137        10,765   

Starwood Hotels & Resorts Worldwide Inc.

     35        2,795   

Target Corp.

     115        7,256   

Tiffany & Co.

     20        1,889   

Time Warner Cable Inc.

     52        7,055   

Time Warner Inc.

     165        11,521   

TJX Cos. Inc.

     131        8,329   

TripAdvisor Inc. (c)

     20        1,683   

Twenty-First Century Fox Inc. - Class A

     358        12,606   

Urban Outfitters Inc. (c)

     20        731   

VF Corp.

     63        3,936   

Viacom Inc. - Class B

     74        6,463   

Walt Disney Co.

     299        22,811   

Whirlpool Corp.

     14        2,252   

Wyndham Worldwide Corp.

     24        1,765   

Wynn Resorts Ltd.

     14        2,808   

Yum! Brands Inc.

     81        6,089   
   

 

 

  
    381,636   

CONSUMER STAPLES - 9.5%

    

Altria Group Inc.

     366        14,065   

Archer-Daniels-Midland Co.

     118        5,133   

Avon Products Inc.

     79        1,361   

Beam Inc.

     29        1,988   

Brown-Forman Corp. - Class B

     30        2,240   

Campbell Soup Co. (e)

     33        1,407   

Clorox Co. (e)

     24        2,215   

Coca-Cola Co.

     693        28,636   

Coca-Cola Enterprises Inc.

     47        2,062   

Colgate-Palmolive Co.

     161        10,503   

ConAgra Foods Inc. (e)

     75        2,541   

Constellation Brands Inc. - Class A (c)

     30        2,128   
     Shares/Par (p)     Value  

Costco Wholesale Corp.

     80        9,498   

CVS Caremark Corp.

     218        15,571   

Dr. Pepper Snapple Group Inc.

     36        1,751   

Estee Lauder Cos. Inc. - Class A

     47        3,516   

General Mills Inc.

     117        5,852   

Hershey Co. (e)

     27        2,633   

Hormel Foods Corp.

     24        1,084   

JM Smucker Co.

     19        2,013   

Kellogg Co.

     46        2,797   

Kimberly-Clark Corp.

     70        7,311   

Kraft Foods Group Inc.

     109        5,867   

Kroger Co.

     95        3,741   

Lorillard Inc.

     68        3,448   

McCormick & Co. Inc.

     24        1,674   

Mead Johnson Nutrition Co.

     37        3,058   

Molson Coors Brewing Co. - Class B

     29        1,632   

Mondelez International Inc. - Class A

     320        11,306   

Monster Beverage Corp. (c)

     25        1,724   

PepsiCo Inc.

     280        23,219   

Philip Morris International Inc.

     293        25,488   

Procter & Gamble Co.

     496        40,400   

Reynolds American Inc.

     57        2,870   

Safeway Inc.

     42        1,384   

Sysco Corp.

     107        3,878   

Tyson Foods Inc. - Class A

     49        1,655   

Wal-Mart Stores Inc.

     295        23,240   

Walgreen Co.

     159        9,126   

Whole Foods Market Inc.

     68        3,934   
   

 

 

  
    293,949   

ENERGY - 10.0%

    

Anadarko Petroleum Corp.

     92        7,287   

Apache Corp.

     74        6,341   

Baker Hughes Inc.

     81        4,471   

Cabot Oil & Gas Corp. - Class A

     76        2,945   

Cameron International Corp. (c)

     45        2,665   

Chesapeake Energy Corp.

     94        2,542   

Chevron Corp.

     351        43,850   

ConocoPhillips

     224        15,795   

CONSOL Energy Inc.

     40        1,523   

Denbury Resources Inc. (c)

     66        1,086   

Devon Energy Corp.

     70        4,312   

Diamond Offshore Drilling Inc.

     12        708   

Ensco Plc - Class A

     42        2,409   

EOG Resources Inc.

     50        8,355   

EQT Corp.

     27        2,441   

Exxon Mobil Corp.

     798        80,711   

FMC Technologies Inc. (c)

     43        2,239   

Halliburton Co.

     154        7,834   

Helmerich & Payne Inc. (e)

     19        1,572   

Hess Corp.

     54        4,446   

Kinder Morgan Inc.

     123        4,427   

Marathon Oil Corp.

     130        4,576   

Marathon Petroleum Corp.

     57        5,194   

Murphy Oil Corp.

     33        2,133   

Nabors Industries Ltd.

     52        891   

National Oilwell Varco Inc.

     78        6,212   

Newfield Exploration Co. (c)

     24        603   

Noble Corp plc

     46        1,731   

Noble Energy Inc.

     64        4,391   

Occidental Petroleum Corp.

     147        14,006   

Peabody Energy Corp.

     48        940   

Phillips 66

     111        8,545   

Pioneer Natural Resources Co.

     26        4,789   

QEP Resources Inc.

     32        978   

Range Resources Corp.

     30        2,487   

Rowan Cos. Plc - Class A (c)

     22        787   

Schlumberger Ltd.

     242        21,797   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Southwestern Energy Co. (c)

     64        2,500   

Spectra Energy Corp.

     122        4,354   

Tesoro Corp.

     24        1,409   

Transocean Ltd.

     61        3,024   

Valero Energy Corp.

     99        4,989   

Williams Cos. Inc.

     123        4,726   

WPX Energy Inc. (c)

     36        734   
   

 

 

  
    309,755   

FINANCIALS - 15.6%

    

ACE Ltd.

     62        6,431   

AFLAC Inc.

     85        5,675   

Allstate Corp.

     84        4,586   

American Express Co.

     170        15,387   

American International Group Inc.

     270        13,776   

American Tower Corp.

     72        5,759   

Ameriprise Financial Inc.

     36        4,170   

Aon Plc - Class A

     56        4,710   

Apartment Investment & Management Co. - Class A

     26        678   

Assurant Inc.

     14        955   

AvalonBay Communities Inc.

     22        2,593   

Bank of America Corp.

     1,947        30,318   

Bank of New York Mellon Corp. (a)

     208        7,254   

BB&T Corp.

     129        4,798   

Berkshire Hathaway Inc. - Class B (c)

     329        39,016   

BlackRock Inc.

     23        7,282   

Boston Properties Inc.

     27        2,747   

Capital One Financial Corp.

     107        8,194   

CBRE Group Inc. - Class A (c)

     54        1,409   

Charles Schwab Corp.

     211        5,491   

Chubb Corp.

     47        4,495   

Cincinnati Financial Corp.

     27        1,423   

Citigroup Inc.

     556        28,972   

CME Group Inc.

     57        4,502   

Comerica Inc. (e)

     33        1,552   

Discover Financial Services

     88        4,920   

E*TRADE Financial Corp. (c)

     39        758   

Equity Residential

     61        3,174   

Fifth Third Bancorp

     158        3,317   

Franklin Resources Inc.

     74        4,286   

General Growth Properties Inc.

     101        2,026   

Genworth Financial Inc. - Class A (c)

     87        1,352   

Goldman Sachs Group Inc.

     76        13,532   

Hartford Financial Services Group Inc.

     82        2,981   

HCP Inc.

     83        3,018   

Health Care REIT Inc.

     51        2,744   

Host Hotels & Resorts Inc.

     135        2,617   

Hudson City Bancorp Inc.

     89        838   

Huntington Bancshares Inc.

     148        1,431   

IntercontinentalExchange Group Inc

     21        4,660   

Invesco Ltd.

     80        2,923   

JPMorgan Chase & Co.

     688        40,247   

KeyCorp

     167        2,240   

Kimco Realty Corp.

     75        1,490   

Legg Mason Inc. (e)

     18        804   

Leucadia National Corp.

     57        1,619   

Lincoln National Corp.

     47        2,431   

Loews Corp.

     55        2,676   

M&T Bank Corp. (e)

     24        2,763   

Macerich Co.

     26        1,524   

Marsh & McLennan Cos. Inc.

     99        4,779   

MetLife Inc.

     205        11,035   

Moody’s Corp.

     35        2,750   

Morgan Stanley

     254        7,968   

NASDAQ OMX Group Inc.

     21        854   

Northern Trust Corp.

     41        2,549   

People’s United Financial Inc. (e)

     59        899   
     Shares/Par (p)     Value  

Plum Creek Timber Co. Inc.

     32        1,498   

PNC Financial Services Group Inc.

     97        7,534   

Principal Financial Group Inc.

     50        2,462   

Progressive Corp.

     100        2,729   

ProLogis Inc.

     91        3,364   

Prudential Financial Inc.

     85        7,835   

Public Storage

     26        3,972   

Regions Financial Corp.

     255        2,525   

Simon Property Group Inc.

     57        8,629   

SLM Corp.

     78        2,050   

State Street Corp.

     82        5,991   

SunTrust Banks Inc.

     97        3,571   

T. Rowe Price Group Inc. (e)

     47        3,978   

Torchmark Corp.

     16        1,280   

Travelers Cos. Inc.

     67        6,102   

U.S. Bancorp

     336        13,582   

Unum Group

     47        1,634   

Ventas Inc.

     53        3,022   

Vornado Realty Trust

     32        2,818   

Wells Fargo & Co.

     875        39,731   

Weyerhaeuser Co.

     104        3,283   

XL Group Plc

     51        1,625   

Zions Bancorp

     33        981   
   

 

 

  
    483,574   

HEALTH CARE - 12.6%

    

Abbott Laboratories

     284        10,887   

AbbVie Inc.

     290        15,304   

Actavis plc (c)

     32        5,307   

Aetna Inc.

     68        4,652   

Agilent Technologies Inc.

     62        3,546   

Alexion Pharmaceuticals Inc. (c)

     36        4,752   

Allergan Inc.

     54        6,022   

AmerisourceBergen Corp.

     42        2,963   

Amgen Inc.

     138        15,721   

Baxter International Inc.

     99        6,898   

Becton Dickinson & Co.

     35        3,918   

Biogen Idec Inc. (c)

     43        12,152   

Boston Scientific Corp. (c)

     245        2,946   

Bristol-Myers Squibb Co.

     301        15,994   

Cardinal Health Inc.

     62        4,110   

CareFusion Corp. (c)

     38        1,528   

Celgene Corp. (c)

     75        12,700   

Cerner Corp. (c)

     53        2,942   

CIGNA Corp.

     51        4,479   

Covidien Plc

     84        5,738   

CR Bard Inc.

     14        1,932   

DaVita HealthCare Partners Inc. (c)

     32        2,039   

Dentsply International Inc.

     25        1,226   

Edwards Lifesciences Corp. (c)

     20        1,297   

Eli Lilly & Co.

     181        9,241   

Express Scripts Holding Co. (c)

     149        10,451   

Forest Laboratories Inc. (c)

     43        2,559   

Gilead Sciences Inc. (c)

     280        21,027   

Hospira Inc. (c)

     29        1,211   

Humana Inc.

     28        2,931   

Intuitive Surgical Inc. (c)

     7        2,783   

Johnson & Johnson

     515        47,191   

Laboratory Corp. of America Holdings (c) (e)

     16        1,445   

Life Technologies Corp. (c)

     31        2,363   

McKesson Corp.

     42        6,741   

Medtronic Inc.

     182        10,462   

Merck & Co. Inc.

     535        26,777   

Mylan Inc. (c)

     69        2,986   

Patterson Cos. Inc. (e)

     15        623   

PerkinElmer Inc.

     20        828   

Perrigo Co. Plc (e)

     24        3,721   

Pfizer Inc.

     1,184        36,267   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Quest Diagnostics Inc. (e)

     27        1,438   

Regeneron Pharmaceuticals Inc. (c)

     14        3,921   

St. Jude Medical Inc.

     53        3,296   

Stryker Corp.

     54        4,047   

Tenet Healthcare Corp. (c)

     19        782   

Thermo Fisher Scientific Inc.

     66        7,334   

UnitedHealth Group Inc.

     186        13,993   

Varian Medical Systems Inc. (c)

     19        1,486   

Vertex Pharmaceuticals Inc. (c)

     43        3,158   

Waters Corp. (c)

     16        1,553   

WellPoint Inc.

     54        4,976   

Zimmer Holdings Inc.

     30        2,835   

Zoetis Inc. - Class A

     90        2,947   
   

 

 

  
    390,426   

INDUSTRIALS - 10.7%

    

3M Co.

     117        16,383   

ADT Corp. (e)

     38        1,557   

Allegion Plc (c)

     17        736   

AMETEK Inc.

     45        2,346   

Avery Dennison Corp.

     19        933   

Boeing Co.

     127        17,317   

Caterpillar Inc.

     116        10,559   

CH Robinson Worldwide Inc. (e)

     29        1,695   

Cintas Corp.

     19        1,106   

CSX Corp.

     183        5,272   

Cummins Inc.

     32        4,465   

Danaher Corp.

     109        8,438   

Deere & Co.

     69        6,343   

Delta Air Lines Inc.

     157        4,303   

Dover Corp.

     31        2,980   

Dun & Bradstreet Corp.

     7        873   

Eaton Corp. Plc

     87        6,590   

Emerson Electric Co.

     131        9,164   

Equifax Inc.

     21        1,461   

Expeditors International of Washington Inc.

     36        1,610   

Fastenal Co. (e)

     49        2,319   

FedEx Corp.

     54        7,805   

Flowserve Corp.

     25        1,986   

Fluor Corp.

     30        2,372   

General Dynamics Corp.

     61        5,801   

General Electric Co.

     1,847        51,771   

Honeywell International Inc.

     143        13,107   

Illinois Tool Works Inc.

     74        6,240   

Ingersoll-Rand Plc

     50        3,077   

Iron Mountain Inc.

     30        912   

Jacobs Engineering Group Inc. (c)

     23        1,441   

Joy Global Inc. (e)

     19        1,105   

Kansas City Southern

     20        2,470   

L-3 Communications Holdings Inc.

     16        1,696   

Lockheed Martin Corp.

     49        7,322   

Masco Corp.

     63        1,427   

Nielsen Holdings NV

     46        2,111   

Norfolk Southern Corp.

     57        5,248   

Northrop Grumman Systems Corp.

     41        4,652   

PACCAR Inc.

     65        3,824   

Pall Corp.

     21        1,758   

Parker Hannifin Corp.

     27        3,463   

Pentair Ltd.

     37        2,867   

Pitney Bowes Inc. (e)

     38        887   

Precision Castparts Corp.

     27        7,160   

Quanta Services Inc. (c)

     38        1,191   

Raytheon Co.

     58        5,280   

Republic Services Inc. - Class A

     50        1,672   

Robert Half International Inc.

     25        1,044   

Rockwell Automation Inc.

     25        2,978   

Rockwell Collins Inc.

     24        1,764   

Roper Industries Inc.

     18        2,484   
     Shares/Par (p)     Value  

Ryder System Inc.

     10        707   

Snap-On Inc.

     10        1,131   

Southwest Airlines Co.

     127        2,392   

Stanley Black & Decker Inc.

     29        2,358   

Stericycle Inc. (c)

     16        1,819   

Textron Inc.

     52        1,899   

Tyco International Ltd.

     84        3,432   

Union Pacific Corp.

     85        14,244   

United Parcel Service Inc. - Class B

     131        13,715   

United Technologies Corp.

     154        17,560   

Waste Management Inc.

     79        3,545   

WW Grainger Inc.

     11        2,884   

Xylem Inc.

     33        1,145   
   

 

 

  
    330,196   

INFORMATION TECHNOLOGY - 18.1%

  

Accenture Plc - Class A

     118        9,689   

Adobe Systems Inc. (c)

     87        5,232   

Akamai Technologies Inc. (c)

     31        1,462   

Alliance Data Systems Corp. (c) (e)

     9        2,290   

Altera Corp.

     58        1,886   

Amphenol Corp. - Class A (e)

     29        2,579   

Analog Devices Inc.

     56        2,833   

Apple Inc.

     164        92,178   

Applied Materials Inc.

     220        3,885   

Autodesk Inc. (c)

     39        1,973   

Automatic Data Processing Inc. (e)

     88        7,129   

Broadcom Corp. - Class A

     100        2,976   

CA Inc.

     60        2,025   

Cisco Systems Inc.

     980        22,005   

Citrix Systems Inc. (c)

     34        2,139   

Cognizant Technology Solutions Corp. - Class A (c)

     54        5,466   

Computer Sciences Corp.

     26        1,468   

Corning Inc.

     267        4,752   

eBay Inc. (c)

     213        11,689   

Electronic Arts Inc. (c)

     53        1,226   

EMC Corp.

     380        9,565   

F5 Networks Inc. (c)

     14        1,258   

Facebook Inc. - Class A (c)

     300        16,407   

Fidelity National Information Services Inc.

     53        2,843   

First Solar Inc. (c) (e)

     13        708   

Fiserv Inc. (c)

     48        2,841   

FLIR Systems Inc.

     25        765   

Google Inc. - Class A (c)

     51        57,321   

Harris Corp.

     19        1,346   

Hewlett-Packard Co.

     351        9,826   

Intel Corp.

     911        23,644   

International Business Machines Corp.

     186        34,954   

Intuit Inc.

     52        3,976   

Jabil Circuit Inc.

     33        576   

Juniper Networks Inc. (c) (e)

     89        2,008   

KLA-Tencor Corp.

     30        1,943   

Lam Research Corp. (c)

     30        1,636   

Linear Technology Corp.

     43        1,936   

LSI Corp.

     99        1,088   

MasterCard Inc. - Class A

     19        15,841   

Microchip Technology Inc. (e)

     34        1,542   

Micron Technology Inc. (c)

     192        4,174   

Microsoft Corp.

     1,386        51,876   

Motorola Solutions Inc.

     42        2,849   

NetApp Inc.

     61        2,513   

Nvidia Corp.

     102        1,631   

Oracle Corp.

     641        24,522   

Paychex Inc. (e)

     59        2,667   

QUALCOMM Inc.

     309        22,910   

Red Hat Inc. (c)

     35        1,934   

Salesforce.com Inc. (c)

     100        5,528   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SanDisk Corp.

     41        2,917   

Seagate Technology

     58        3,238   

Symantec Corp.

     125        2,958   

TE Connectivity Ltd.

     76        4,164   

Teradata Corp. (c)

     30        1,353   

Texas Instruments Inc.

     201        8,836   

Total System Services Inc.

     29        958   

VeriSign Inc. (c) (e)

     24        1,414   

Visa Inc. - Class A

     93        20,708   

Western Digital Corp.

     38        3,224   

Western Union Co. (e)

     101        1,745   

Xerox Corp.

     222        2,699   

Xilinx Inc.

     48        2,193   

Yahoo! Inc. (c)

     173        7,010   
   

 

 

  
    560,927   

MATERIALS - 3.4%

    

Air Products & Chemicals Inc.

     38        4,280   

Airgas Inc.

     12        1,305   

Alcoa Inc.

     187        1,983   

Allegheny Technologies Inc. (e)

     20        698   

Ball Corp.

     26        1,361   

Bemis Co. Inc.

     18        757   

CF Industries Holdings Inc.

     11        2,500   

Cliffs Natural Resources Inc. (e)

     28        734   

Dow Chemical Co.

     221        9,820   

E.I. du Pont de Nemours & Co.

     169        10,965   

Eastman Chemical Co.

     28        2,266   

Ecolab Inc.

     50        5,166   

FMC Corp.

     24        1,808   

Freeport-McMoRan Copper & Gold Inc.

     190        7,156   

International Flavors & Fragrances Inc.

     14        1,241   

International Paper Co.

     81        3,993   

LyondellBasell Industries NV - Class A

     80        6,408   

MeadWestvaco Corp.

     31        1,150   

Monsanto Co.

     96        11,192   

Mosaic Co.

     62        2,939   

Newmont Mining Corp.

     90        2,068   

Nucor Corp.

     57        3,059   

Owens-Illinois Inc. (c)

     29        1,050   

PPG Industries Inc.

     26        4,950   

Praxair Inc.

     54        7,005   

Sealed Air Corp.

     35        1,180   

Sherwin-Williams Co.

     16        2,923   

Sigma-Aldrich Corp.

     22        2,055   

United States Steel Corp. (e)

     26        775   

Vulcan Materials Co.

     23        1,367   
   

 

 

  
    104,154   

TELECOMMUNICATION SERVICES - 2.3%

  

AT&T Inc.

     962        33,816   

CenturyLink Inc.

     110        3,493   

Crown Castle International Corp. (c)

     60        4,406   

Frontier Communications Corp. (e)

     179        831   

Verizon Communications Inc.

     523        25,708   

Windstream Holdings Inc. (e)

     106        844   
   

 

 

  
    69,098   

UTILITIES - 2.8%

    

AES Corp.

     120        1,736   

AGL Resources Inc.

     21        995   

Ameren Corp.

     42        1,532   

American Electric Power Co. Inc.

     89        4,155   

CenterPoint Energy Inc.

     78        1,805   

CMS Energy Corp.

     47        1,249   

Consolidated Edison Inc.

     53        2,919   

Dominion Resources Inc.

     106        6,844   

DTE Energy Co.

     32        2,094   
     Shares/Par (p)     Value  

Duke Energy Corp.

     129        8,902   

Edison International

     59        2,723   

Entergy Corp.

     32        2,044   

Exelon Corp.

     156        4,285   

FirstEnergy Corp.

     75        2,487   

Integrys Energy Group Inc.

     14        773   

NextEra Energy Inc.

     78        6,643   

NiSource Inc.

     57        1,874   

Northeast Utilities

     57        2,413   

NRG Energy Inc.

     59        1,707   

Oneok Inc.

     37        2,326   

Pepco Holdings Inc. (e)

     44        851   

PG&E Corp.

     80        3,207   

Pinnacle West Capital Corp. (e)

     19        1,029   

PPL Corp.

     115        3,470   

Public Service Enterprise Group Inc.

     91        2,922   

SCANA Corp. (e)

     25        1,152   

Sempra Energy

     41        3,723   

Southern Co.

     160        6,564   

TECO Energy Inc. (e)

     37        638   

Wisconsin Energy Corp. (e)

     41        1,716   

Xcel Energy Inc.

     90        2,511   
   

 

 

  
    87,289   
   

 

 

  

Total Common Stocks (cost $2,174,759)

  

     3,011,004   
   

 

 

  

SHORT TERM INVESTMENTS - 4.5%

  

Investment Companies - 2.5%

    

JNL Money Market Fund,
0.01% (a) (h)

     76,304        76,304   

Securities Lending Collateral - 1.9%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     59,826        59,826   

Treasury Securities - 0.1%

    

U.S. Treasury Bill

    

0.07%, 03/13/14 (o)

   $ 1,570        1,570   

0.07%, 03/27/14 (o)

     800        800   

0.07%, 06/26/14 (o)

     1,400        1,399   
   

 

 

  
    3,769   
   

 

 

  

Total Short Term Investments (cost $139,899)

  

     139,899   
   

 

 

  

Total Investments - 101.8% (cost $2,314,658)

  

     3,150,903   

Other Assets and Liabilities, Net - (1.8%)

 

     (55,811 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     3,095,092   
   

 

 

  

JNL/Mellon Capital S&P 400 MidCap Index Fund

  

COMMON STOCKS - 96.1%

  

CONSUMER DISCRETIONARY - 13.4%

  

Aaron’s Inc.

     78      $ 2,293   

Abercrombie & Fitch Co. - Class A (e)

     79        2,603   

Advance Auto Parts Inc.

     77        8,470   

AMC Networks Inc. - Class A (c)

     60        4,110   

American Eagle Outfitters Inc.

     177        2,545   

Ann Inc. (c)

     48        1,748   

Apollo Education Group Inc. - Class A (c)

     104        2,834   

Ascena Retail Group Inc. (c)

     132        2,801   

Bally Technologies Inc. (c)

     40        3,164   

Big Lots Inc. (c)

     60        1,951   

Bob Evans Farms Inc.

     29        1,452   

Brinker International Inc.

     69        3,181   

Brunswick Corp.

     91        4,182   

Cabela’s Inc. - Class A (c)

     48        3,212   

Carter’s Inc.

     56        4,052   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Cheesecake Factory Inc.

     51        2,468   

Chico’s FAS Inc. (e)

     167        3,148   

Cinemark Holdings Inc.

     107        3,554   

CST Brands Inc.

     78        2,873   

Deckers Outdoor Corp. (c)

     35        2,986   

DeVry Education Group Inc. (e)

     59        2,109   

Dick’s Sporting Goods Inc.

     105        6,098   

Domino’s Pizza Inc.

     59        4,090   

DreamWorks Animation SKG Inc. -
Class A (c)

     76        2,683   

Foot Locker Inc.

     154        6,383   

Gentex Corp.

     149        4,915   

Guess? Inc.

     64        1,988   

HanesBrands Inc.

     102        7,190   

HSN Inc.

     35        2,185   

International Speedway Corp. - Class A

     26        922   

J.C. Penney Co. Inc. (c) (e)

     315        2,880   

Jarden Corp. (c)

     122        7,492   

John Wiley & Sons Inc. - Class A

     47        2,610   

KB Home (e)

     86        1,565   

Lamar Advertising Co. - Class A (c)

     66        3,472   

Life Time Fitness Inc. (c)

     40        1,898   

LKQ Corp. (c)

     310        10,206   

Matthews International Corp. - Class A

     29        1,252   

MDC Holdings Inc.

     41        1,314   

Meredith Corp. (e)

     37        1,902   

New York Times Co. - Class A (e)

     129        2,049   

NVR Inc. (c)

     4        4,463   

Office Depot Inc. (c)

     492        2,605   

Panera Bread Co. - Class A (c)

     28        4,921   

Polaris Industries Inc.

     66        9,643   

Rent-A-Center Inc.

     55        1,845   

Scientific Games Corp. - Class A (c)

     54        918   

Service Corp. International

     220        3,986   

Signet Jewelers Ltd.

     84        6,626   

Sotheby’s - Class A

     71        3,752   

Tempur Sealy International Inc. (c)

     62        3,366   

Thor Industries Inc.

     44        2,457   

Toll Brothers Inc. (c)

     164        6,059   

Tractor Supply Co.

     144        11,167   

Tupperware Brands Corp.

     54        5,085   

Under Armour Inc. - Class A (c)

     83        7,227   

Valassis Communications Inc. (e)

     40        1,359   

Wendy’s Co. (e)

     288        2,509   

Williams-Sonoma Inc.

     92        5,358   
   

 

 

  
    222,176   

CONSUMER STAPLES - 3.9%

    

Church & Dwight Co. Inc.

     143        9,506   

Dean Foods Co. (c)

     93        1,594   

Energizer Holdings Inc.

     64        6,968   

Flowers Foods Inc.

     179        3,851   

Green Mountain Coffee Roasters Inc. (c) (e)

     135        10,209   

Hain Celestial Group Inc. (c)

     50        4,496   

Harris Teeter Supermarkets Inc.

     52        2,547   

Hillshire Brands Co.

     128        4,278   

Ingredion Inc.

     80        5,503   

Lancaster Colony Corp.

     19        1,707   

Post Holdings Inc. (c)

     34        1,699   

SUPERVALU Inc. (c)

     199        1,452   

Tootsie Roll Industries Inc. (e)

     21        696   

United Natural Foods Inc. (c)

     51        3,873   

Universal Corp. (e)

     23        1,264   

WhiteWave Foods Co. - Class A (c)

     179        4,112   
   

 

 

  
    63,755   

ENERGY - 5.6%

    

Alpha Natural Resources Inc. (c)

     233        1,662   

Atwood Oceanics Inc. (c)

     60        3,178   
     Shares/Par (p)     Value  

Bill Barrett Corp. (c) (e)

     51        1,370   

CARBO Ceramics Inc. (e)

     21        2,422   

Cimarex Energy Co.

     90        9,426   

Dresser-Rand Group Inc. (c)

     79        4,709   

Dril-Quip Inc. (c)

     42        4,577   

Energen Corp.

     75        5,319   

Gulfport Energy Corp. (c)

     87        5,493   

Helix Energy Solutions Group Inc. (c)

     103        2,381   

HollyFrontier Corp.

     207        10,304   

Murphy USA Inc. (c)

     47        1,950   

Oceaneering International Inc.

     112        8,866   

Oil States International Inc. (c)

     57        5,806   

Patterson-UTI Energy Inc.

     152        3,851   

Rosetta Resources Inc. (c)

     62        2,991   

SM Energy Co.

     69        5,729   

Superior Energy Services Inc. (c)

     166        4,415   

Tidewater Inc.

     50        2,977   

Unit Corp. (c)

     44        2,261   

World Fuel Services Corp.

     75        3,249   
   

 

 

  
    92,936   

FINANCIALS - 21.3%

    

Affiliated Managers Group Inc. (c)

     55        11,852   

Alexander & Baldwin Inc.

     45        1,892   

Alexandria Real Estate Equities Inc.

     73        4,658   

Alleghany Corp. (c)

     18        7,011   

American Campus Communities Inc.

     109        3,508   

American Financial Group Inc.

     74        4,277   

Apollo Investment Corp.

     222        1,884   

Arthur J Gallagher & Co.

     136        6,367   

Aspen Insurance Holdings Ltd.

     70        2,900   

Associated Bancorp

     171        2,969   

Astoria Financial Corp.

     86        1,188   

BancorpSouth Inc.

     87        2,215   

Bank of Hawaii Corp.

     46        2,697   

BioMed Realty Trust Inc.

     198        3,593   

BRE Properties Inc. - Class A

     80        4,382   

Brown & Brown Inc.

     123        3,858   

Camden Property Trust

     88        4,999   

Cathay General Bancorp

     77        2,067   

CBOE Holdings Inc.

     91        4,723   

City National Corp.

     49        3,913   

Commerce Bancshares Inc.

     83        3,711   

Corporate Office Properties Trust

     89        2,117   

Cullen/Frost Bankers Inc.

     55        4,108   

Duke Realty Corp.

     335        5,033   

East West Bancorp Inc.

     142        4,953   

Eaton Vance Corp.

     125        5,364   

Equity One Inc.

     65        1,452   

Essex Property Trust Inc.

     39        5,657   

Everest Re Group Ltd.

     50        7,746   

Extra Space Storage Inc.

     113        4,778   

Federal Realty Investment Trust

     68        6,848   

Federated Investors Inc. - Class B (e)

     98        2,823   

Fidelity National Financial Inc. - Class A

     258        8,372   

First American Financial Corp.

     112        3,161   

First Horizon National Corp.

     248        2,889   

First Niagara Financial Group Inc.

     367        3,900   

FirstMerit Corp.

     172        3,825   

Fulton Financial Corp.

     207        2,704   

Greenhill & Co. Inc.

     26        1,516   

Hancock Holding Co.

     85        3,133   

Hanover Insurance Group Inc.

     47        2,778   

HCC Insurance Holdings Inc.

     105        4,829   

Highwoods Properties Inc.

     92        3,344   

Home Properties Inc.

     58        3,118   

Hospitality Properties Trust

     153        4,148   

International Bancshares Corp.

     58        1,526   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Janus Capital Group Inc.

     159        1,971   

Jones Lang LaSalle Inc.

     46        4,696   

Kemper Corp.

     53        2,183   

Kilroy Realty Corp.

     84        4,205   

Liberty Property Trust

     151        5,122   

Mack-Cali Realty Corp.

     87        1,876   

Mercury General Corp.

     38        1,884   

Mid-America Apartment Communities Inc.

     77        4,683   

MSCI Inc. - Class A (c)

     125        5,473   

National Retail Properties Inc. (e)

     125        3,792   

New York Community Bancorp Inc. (e)

     458        7,716   

Old Republic International Corp.

     251        4,341   

Omega Healthcare Investors Inc. (e)

     126        3,762   

Potlatch Corp.

     42        1,761   

Primerica Inc.

     56        2,389   

Prosperity Bancshares Inc.

     57        3,629   

Protective Life Corp.

     81        4,126   

Raymond James Financial Inc.

     126        6,601   

Rayonier Inc.

     130        5,460   

Realty Income Corp. (e)

     212        7,922   

Regency Centers Corp.

     94        4,359   

Reinsurance Group of America Inc.

     74        5,715   

SEI Investments Co.

     149        5,175   

Senior Housing Properties Trust

     196        4,348   

Signature Bank (c)

     48        5,173   

SL Green Realty Corp.

     98        9,042   

StanCorp Financial Group Inc.

     46        3,073   

SVB Financial Group (c)

     47        4,893   

Synovus Financial Corp.

     1,013        3,647   

Taubman Centers Inc.

     66        4,213   

TCF Financial Corp.

     170        2,765   

Trustmark Corp.

     70        1,881   

UDR Inc.

     260        6,074   

Valley National Bancorp (e)

     208        2,105   

Waddell & Reed Financial Inc. - Class A

     89        5,803   

Washington Federal Inc.

     110        2,557   

Webster Financial Corp.

     94        2,927   

Weingarten Realty Investors

     116        3,192   

Westamerica Bancorp (e)

     28        1,553   

WR Berkley Corp.

     115        4,973   
   

 

 

  
    351,846   

HEALTH CARE - 8.6%

    

Allscripts-Misys Healthcare Solutions
Inc. (c)

     166        2,560   

Bio-Rad Laboratories Inc. - Class A (c)

     20        2,509   

Charles River Laboratories International
Inc. (c)

     49        2,611   

Community Health Systems Inc. (c)

     96        3,774   

Cooper Cos. Inc.

     50        6,227   

Covance Inc. (c)

     57        5,056   

Cubist Pharmaceuticals Inc. (c)

     77        5,278   

Endo Pharmaceuticals Holdings Inc. (c) (e)

     119        8,010   

Health Management Associates Inc. - Class A (c)

     268        3,515   

Health Net Inc. (c)

     82        2,424   

Henry Schein Inc. (c)

     90        10,248   

Hill-Rom Holdings Inc.

     61        2,522   

HMS Holdings Corp. (c)

     91        2,058   

Hologic Inc. (c)

     279        6,226   

Idexx Laboratories Inc. (c)

     55        5,811   

LifePoint Hospitals Inc. (c)

     48        2,537   

Mallinckrodt Plc (c)

     61        3,175   

Masimo Corp. (c)

     55        1,617   

MEDNAX Inc. (c)

     104        5,559   

Mettler-Toledo International Inc. (c)

     31        7,533   

Omnicare Inc.

     107        6,476   

Owens & Minor Inc. (e)

     66        2,415   

ResMed Inc. (e)

     147        6,934   

Salix Pharmaceuticals Ltd. (c)

     65        5,837   
     Shares/Par (p)     Value  

STERIS Corp.

     61        2,931   

Techne Corp.

     35        3,302   

Teleflex Inc.

     43        4,007   

Thoratec Corp. (c)

     58        2,117   

United Therapeutics Corp. (c)

     49        5,493   

Universal Health Services Inc. - Class B

     93        7,517   

VCA Antech Inc. (c)

     92        2,893   

WellCare Health Plans Inc. (c)

     45        3,177   
   

 

 

  
    142,349   

INDUSTRIALS - 16.7%

    

Acuity Brands Inc.

     45        4,874   

AECOM Technology Corp. (c)

     105        3,085   

AGCO Corp.

     94        5,589   

Alaska Air Group Inc. (e)

     73        5,370   

Alliant Techsystems Inc.

     33        4,017   

AO Smith Corp.

     80        4,328   

B/E Aerospace Inc. (c)

     103        8,934   

Brink’s Co.

     51        1,726   

Carlisle Cos. Inc.

     66        5,246   

CLARCOR Inc.

     52        3,329   

Clean Harbors Inc. (c)

     57        3,413   

Con-Way Inc.

     58        2,322   

Copart Inc. (c)

     115        4,219   

Corporate Executive Board Co.

     34        2,627   

Corrections Corp. of America

     119        3,812   

Crane Co.

     50        3,379   

Deluxe Corp.

     53        2,767   

Donaldson Co. Inc.

     140        6,100   

Esterline Technologies Corp. (c)

     32        3,298   

Exelis Inc.

     197        3,745   

Fortune Brands Home & Security Inc.

     171        7,806   

FTI Consulting Inc. (c)

     42        1,709   

GATX Corp.

     49        2,550   

General Cable Corp.

     52        1,528   

Genesee & Wyoming Inc. - Class A (c)

     52        5,042   

Graco Inc.

     63        4,951   

Granite Construction Inc.

     38        1,323   

Harsco Corp.

     82        2,287   

Herman Miller Inc.

     62        1,816   

HNI Corp. (e)

     47        1,840   

Hubbell Inc. - Class B

     56        6,047   

Huntington Ingalls Industries Inc.

     52        4,656   

IDEX Corp.

     84        6,216   

ITT Corp.

     96        4,170   

JB Hunt Transport Services Inc.

     94        7,276   

JetBlue Airways Corp. (c)

     235        2,008   

KBR Inc.

     154        4,897   

Kennametal Inc.

     81        4,193   

Kirby Corp. (c)

     59        5,858   

Landstar System Inc.

     47        2,702   

Lennox International Inc.

     48        4,055   

Lincoln Electric Holdings Inc.

     86        6,153   

Manpower Inc.

     82        7,007   

Matson Inc.

     42        1,095   

Mine Safety Appliances Co.

     33        1,667   

MSC Industrial Direct Co. - Class A

     50        4,025   

Nordson Corp.

     62        4,620   

Old Dominion Freight Line Inc. (c)

     69        3,675   

Oshkosh Corp.

     91        4,584   

Regal-Beloit Corp.

     47        3,455   

Rollins Inc.

     67        2,016   

RR Donnelley & Sons Co. (e)

     188        3,817   

SPX Corp.

     47        4,694   

Terex Corp.

     115        4,841   

Timken Co.

     83        4,563   

Towers Watson & Co. - Class A

     66        8,407   

Trinity Industries Inc.

     82        4,491   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Triumph Group Inc.

     54        4,085   

United Rentals Inc. (c) (e)

     97        7,545   

URS Corp.

     78        4,121   

UTi Worldwide Inc.

     95        1,675   

Valmont Industries Inc.

     27        4,087   

Wabtec Corp.

     99        7,377   

Waste Connections Inc.

     128        5,598   

Watsco Inc.

     28        2,707   

Werner Enterprises Inc. (e)

     45        1,122   

Woodward Governor Co.

     63        2,876   
   

 

 

  
    275,413   

INFORMATION TECHNOLOGY - 15.2%

  

3D Systems Corp. (c) (e)

     98        9,069   

ACI Worldwide Inc. (c)

     39        2,554   

Acxiom Corp. (c)

     78        2,879   

ADTRAN Inc.

     62        1,678   

Advanced Micro Devices Inc. (c) (e)

     612        2,368   

Advent Software Inc.

     42        1,456   

Ansys Inc. (c)

     97        8,424   

AOL Inc. (c)

     80        3,747   

Arrow Electronics Inc. (c)

     104        5,662   

Atmel Corp. (c)

     444        3,477   

Avnet Inc.

     143        6,287   

Broadridge Financial Solutions Inc.

     124        4,886   

Cadence Design Systems Inc. (c)

     293        4,112   

Ciena Corp. (c)

     106        2,544   

CommVault Systems Inc. (c)

     45        3,354   

Compuware Corp.

     217        2,436   

Concur Technologies Inc. (c) (e)

     49        5,016   

Convergys Corp.

     107        2,245   

CoreLogic Inc. (c)

     98        3,465   

Cree Inc. (c)

     124        7,763   

Cypress Semiconductor Corp.

     141        1,484   

Diebold Inc.

     66        2,181   

DST Systems Inc.

     31        2,851   

Equinix Inc. (c)

     51        9,130   

FactSet Research Systems Inc. (e)

     42        4,593   

Fair Isaac Corp.

     37        2,331   

Fairchild Semiconductor International
Inc. (c)

     133        1,772   

Gartner Inc. - Class A (c)

     97        6,900   

Global Payments Inc.

     76        4,925   

Informatica Corp. (c)

     112        4,660   

Ingram Micro Inc. - Class A (c)

     157        3,684   

Integrated Device Technology Inc. (c)

     147        1,493   

InterDigital Inc.

     42        1,225   

International Rectifier Corp. (c)

     73        1,904   

Intersil Corp. - Class A

     127        1,452   

Itron Inc. (c)

     41        1,702   

Jack Henry & Associates Inc.

     90        5,308   

JDS Uniphase Corp. (c)

     241        3,129   

Leidos Holdings Inc. (e)

     74        3,443   

Lender Processing Services Inc.

     89        3,311   

Lexmark International Inc. - Class A (e)

     65        2,292   

Mantech International Corp. - Class A

     26        765   

Mentor Graphics Corp.

     99        2,387   

MICROS Systems Inc. (c)

     78        4,486   

National Instruments Corp.

     99        3,176   

NCR Corp. (c)

     170        5,803   

NeuStar Inc. - Class A (c)

     67        3,334   

Plantronics Inc.

     45        2,070   

Polycom Inc. (c)

     147        1,653   

PTC Inc. (c)

     125        4,409   

Rackspace Hosting Inc. (c)

     118        4,604   

RF Micro Devices Inc. (c)

     295        1,522   

Riverbed Technology Inc. (c)

     170        3,081   

Rovi Corp. (c)

     108        2,132   

Science Applications International Corp.

     42        1,399   
     Shares/Par (p)     Value  

Semtech Corp. (c)

     70        1,772   

Silicon Laboratories Inc. (c)

     40        1,750   

Skyworks Solutions Inc. (c)

     195        5,566   

SolarWinds Inc. (c)

     68        2,556   

Solera Holdings Inc.

     72        5,074   

SunEdison Inc. (c)

     252        3,284   

Synopsys Inc. (c)

     160        6,490   

Tech Data Corp. (c)

     38        1,972   

Teradyne Inc. (c)

     198        3,495   

TIBCO Software Inc. (c)

     162        3,638   

Trimble Navigation Ltd. (c)

     265        9,211   

ValueClick Inc. (c)

     65        1,518   

VeriFone Systems Inc. (c)

     113        3,022   

Vishay Intertechnology Inc. (c)

     138        1,827   

WEX Inc. (c)

     40        3,995   

Zebra Technologies Corp. - Class A (c)

     52        2,818   
   

 

 

  
    252,001   

MATERIALS - 6.8%

    

Albemarle Corp.

     84        5,347   

AptarGroup Inc.

     69        4,675   

Ashland Inc.

     75        7,246   

Cabot Corp.

     63        3,213   

Carpenter Technology Corp.

     54        3,355   

Commercial Metals Co.

     122        2,475   

Compass Minerals International Inc.

     35        2,776   

Cytec Industries Inc.

     38        3,520   

Domtar Corp.

     34        3,203   

Eagle Materials Inc.

     51        3,956   

Greif Inc. - Class A

     32        1,679   

Intrepid Potash Inc. (c) (e)

     53        834   

Louisiana-Pacific Corp. (c)

     145        2,689   

Martin Marietta Materials Inc.

     48        4,772   

Minerals Technologies Inc.

     35        2,112   

NewMarket Corp. (e)

     12        3,940   

Olin Corp. (e)

     81        2,336   

Packaging Corp. of America

     102        6,463   

Reliance Steel & Aluminum Co.

     79        6,019   

Rock-Tenn Co. - Class A

     75        7,838   

Royal Gold Inc.

     68        3,121   

RPM International Inc.

     138        5,718   

Scotts Miracle-Gro Co. - Class A

     45        2,801   

Sensient Technologies Corp.

     50        2,450   

Silgan Holdings Inc.

     47        2,263   

Sonoco Products Co.

     105        4,387   

Steel Dynamics Inc.

     229        4,482   

Valspar Corp.

     85        6,050   

Worthington Industries Inc.

     53        2,218   
   

 

 

  
    111,938   

TELECOMMUNICATION SERVICES - 0.4%

  

Telephone & Data Systems Inc.

     102        2,624   

tw telecom inc. (c)

     152        4,617   
   

 

 

  
    7,241   

UTILITIES - 4.2%

    

Alliant Energy Corp.

     115        5,956   

Aqua America Inc.

     183        4,307   

Atmos Energy Corp.

     94        4,277   

Black Hills Corp.

     46        2,425   

Cleco Corp.

     63        2,956   

Great Plains Energy Inc.

     160        3,876   

Hawaiian Electric Industries Inc. (e)

     102        2,667   

IDACORP Inc.

     52        2,711   

MDU Resources Group Inc.

     196        6,001   

National Fuel Gas Co.

     87        6,201   

OGE Energy Corp.

     205        6,964   

PNM Resources Inc.

     81        1,944   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Questar Corp.

     182        4,189   

UGI Corp.

     118        4,884   

Vectren Corp.

     86        3,041   

Westar Energy Inc.

     132        4,245   

WGL Holdings Inc.

     54        2,160   
   

 

 

  
    68,804   
   

 

 

  

Total Common Stocks (cost $1,177,086)

  

     1,588,459   
   

 

 

  

SHORT TERM INVESTMENTS - 10.3%

  

Investment Companies - 3.6%

    

JNL Money Market Fund, 0.01% (a) (h)

     59,904        59,904   

Securities Lending Collateral - 6.5%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     106,974        106,974   

Treasury Securities - 0.2%

    

U.S. Treasury Bill

    

0.07%, 03/13/14 (o)

   $ 710        710   

0.07%, 03/27/14 (o)

     705        705   

0.07%, 06/26/14 (o)

     1,290        1,289   
   

 

 

  
    2,704   
   

 

 

  

Total Short Term Investments (cost $169,583)

  

     169,582   
   

 

 

  

Total Investments - 106.4% (cost $1,346,669)

  

     1,758,041   

Other Assets and Liabilities, Net - (6.4%)

 

     (105,888 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,652,153   
   

 

 

  

JNL/Mellon Capital Small Cap Index Fund

  

COMMON STOCKS - 97.2%

  

CONSUMER DISCRETIONARY - 13.3%

  

1-800-Flowers.com Inc. - Class A (c)

     26      $ 138   

Aeropostale Inc. (c) (e)

     82        746   

AFC Enterprises Inc. (c)

     25        963   

AH Belo Corp. - Class A

     22        165   

America’s Car-Mart Inc. (c)

     9        385   

American Apparel Inc. (c) (e)

     51        63   

American Axle & Manufacturing Holdings Inc. (c)

     72        1,464   

American Public Education Inc. (c)

     19        837   

Ann Inc. (c)

     50        1,838   

Arctic Cat Inc.

     14        785   

Asbury Automotive Group Inc. (c)

     33        1,785   

Ascent Capital Group Inc. (c)

     15        1,325   

Barnes & Noble Inc. (c)

     44        662   

Bassett Furniture Industries Inc.

     10        149   

Beasley Broadcasting Group Inc. - Class A

     3        24   

Beazer Homes USA Inc. (c) (e)

     26        636   

Bebe Stores Inc.

     41        218   

Big 5 Sporting Goods Corp.

     16        326   

Biglari Holdings Inc. (c)

     2        779   

BJ’s Restaurants Inc. (c)

     26        801   

Black Diamond Inc. (c) (e)

     26        344   

Bloomin’ Brands Inc. (c)

     59        1,414   

Blue Nile Inc. (c)

     13        606   

Blyth Inc. (e)

     8        92   

Bob Evans Farms Inc.

     30        1,503   

Body Central Corp. (c)

     15        58   

Bon-Ton Stores Inc. (e)

     13        216   

Boyd Gaming Corp. (c)

     73        819   

Bravo Brio Restaurant Group Inc. (c)

     22        363   

Bridgepoint Education Inc. (c) (e)

     17        295   

Bright Horizons Family Solutions Inc. (c)

     13        490   

Brown Shoe Co. Inc.

     45        1,275   

Brunswick Corp.

     98        4,514   
     Shares/Par (p)     Value  

Buckle Inc. (e)

     30        1,564   

Buffalo Wild Wings Inc. (c)

     20        2,998   

Burlington Stores Inc. (c)

     16        513   

Caesars Entertainment Corp. (c)

     45        962   

Callaway Golf Co.

     74        623   

Capella Education Co.

     12        804   

Career Education Corp. (c)

     55        312   

Carmike Cinemas Inc. (c)

     24        667   

Carriage Services Inc.

     16        311   

Carrol’s Restaurant Group Inc. (c)

     21        138   

Cato Corp. - Class A

     29        915   

Cavco Industries Inc. (c)

     8        539   

CEC Entertainment Inc.

     19        823   

Central European Media Entertainment Ltd. - Class A (c)

     84        323   

Cheesecake Factory Inc.

     57        2,745   

Childrens Place Retail Stores Inc. (c)

     25        1,402   

Christopher & Banks Corp. (c)

     45        382   

Churchill Downs Inc.

     15        1,351   

Chuy’s Holdings Inc. (c)

     18        640   

Citi Trends Inc. (c)

     19        316   

ClubCorp Holdings Inc.

     22        384   

Columbia Sportswear Co. (e)

     14        1,063   

Conn’s Inc. (c) (e)

     25        1,934   

Container Store Group Inc. (c)

     15        700   

Cooper Tire & Rubber Co.

     69        1,661   

Core-Mark Holding Co. Inc.

     13        961   

Corinthian Colleges Inc. (c) (e)

     76        134   

Cracker Barrel Old Country Store Inc.

     21        2,352   

Crocs Inc. (c)

     92        1,471   

Crown Media Holdings Inc. - Class A (c)

     31        108   

CSS Industries Inc.

     10        299   

Culp Inc.

     8        168   

Cumulus Media Inc. - Class A (c) (e)

     89        686   

Daily Journal Corp. (c)

     1        144   

Dana Holding Corp.

     159        3,127   

Del Frisco’s Restaurant Group Inc. (c)

     13        298   

Denny’s Corp. (c)

     96        687   

Destination Maternity Corp.

     14        419   

Destination XL Group Inc. (c)

     48        318   

Dex Media Inc. (c) (e)

     22        147   

Diamond Resorts International Inc. (c)

     18        337   

Digital Generation Inc. (c)

     28        351   

DineEquity Inc.

     18        1,511   

Diversified Restaurant Holdings Inc. (c)

     9        45   

Dorman Products Inc. (c)

     27        1,506   

Drew Industries Inc.

     25        1,286   

Education Management Corp. (c) (e)

     27        276   

Einstein Noah Restaurant Group Inc.

     7        101   

Entercom Communications Corp. - Class A (c)

     28        295   

Entravision Communications Corp. - Class A

     62        381   

Ethan Allen Interiors Inc.

     27        827   

EveryWare Global Inc. (c) (e)

     9        71   

EW Scripps Co. - Class A (c)

     34        745   

Express Inc. (c)

     93        1,735   

Federal-Mogul Corp. (c)

     22        438   

Fiesta Restaurant Group Inc. (c)

     24        1,258   

Fifth & Pacific Co. Inc. (c)

     130        4,173   

Finish Line Inc. - Class A

     54        1,519   

Five Below Inc. (c) (e)

     35        1,509   

Flexsteel Industries Inc.

     5        158   

Fox Factory Holding Corp. (c)

     10        178   

Francesca’s Holdings Corp. (c) (e)

     46        848   

Fred’s Inc. - Class A

     40        745   

FTD Cos. Inc. (c)

     19        615   

Fuel Systems Solutions Inc. (c)

     14        197   

G-III Apparel Group Ltd. (c)

     18        1,296   

Genesco Inc. (c)

     26        1,869   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Gentherm Inc. (c)

     37        982   

Global Sources Ltd. (c)

     22        176   

Gordman’s Stores Inc.

     12        90   

Grand Canyon Education Inc. (c)

     49        2,154   

Gray Television Inc. (c)

     57        843   

Group 1 Automotive Inc.

     23        1,646   

Harte-Hanks Inc.

     48        378   

Haverty Furniture Cos. Inc.

     22        690   

Helen of Troy Ltd. (c)

     34        1,682   

Hemisphere Media Group Inc. - Class A (c) (e)

     8        90   

hhgregg Inc. (c)

     12        164   

Hibbett Sports Inc. (c) (e)

     28        1,860   

Hillenbrand Inc.

     59        1,722   

Hooker Furniture Corp.

     12        202   

Houghton Mifflin Harcourt Co. (c)

     22        372   

Hovnanian Enterprises Inc. - Class A (c) (e)

     124        821   

HSN Inc.

     37        2,296   

Iconix Brand Group Inc. (c)

     56        2,209   

Ignite Restaurant Group Inc. (c) (e)

     9        113   

International Speedway Corp. - Class A

     31        1,088   

Interval Leisure Group Inc.

     43        1,338   

iRobot Corp. (c)

     30        1,030   

Isle of Capri Casinos Inc. (c)

     19        172   

ITT Educational Services Inc. (c) (e)

     26        863   

Jack in the Box Inc. (c)

     48        2,424   

Jakks Pacific Inc. (e)

     21        143   

Jamba Inc. (c)

     16        196   

Johnson Outdoors Inc. - Class A

     4        121   

Jos. A. Bank Clothiers Inc. (c)

     31        1,674   

Journal Communications Inc. - Class A (c)

     50        466   

JTH Holding Inc. - Class A (c) (e)

     4        98   

K12 Inc. (c)

     28        619   

KB Home (e)

     89        1,627   

Kirkland’s Inc. (c)

     16        377   

Krispy Kreme Doughnuts Inc. (c)

     70        1,345   

La-Z-Boy Inc.

     57        1,778   

Leapfrog Enterprises Inc. - Class A (c) (e)

     66        527   

LGI Homes Inc. (c)

     9        167   

Libbey Inc. (c)

     22        459   

Life Time Fitness Inc. (c)

     47        2,203   

LifeLock Inc. (c)

     63        1,042   

Lifetime Brands Inc.

     11        173   

Lincoln Educational Services Corp.

     28        140   

Lithia Motors Inc. - Class A

     24        1,642   

Live Nation Inc. (c)

     153        3,020   

Luby’s Inc. (c)

     22        170   

Lumber Liquidators Holdings Inc. (c)

     30        3,066   

M/I Homes Inc. (c)

     25        639   

Mac-Gray Corp.

     13        279   

Marcus Corp.

     19        257   

Marine Products Corp.

     6        57   

MarineMax Inc. (c)

     27        428   

Marriott Vacations Worldwide Corp. (c)

     31        1,638   

Martha Stewart Living Omnimedia Inc. - Class A (c)

     27        113   

Matthews International Corp. - Class A

     29        1,235   

Mattress Firm Holding Corp. (c) (e)

     15        633   

McClatchy Co. - Class A (c)

     59        199   

MDC Holdings Inc.

     43        1,381   

MDC Partners Inc.

     40        1,012   

Media General Inc. - Class A (c) (e)

     23        509   

Men’s Wearhouse Inc.

     51        2,613   

Meredith Corp.

     38        1,971   

Meritage Homes Corp. (c)

     39        1,848   

Modine Manufacturing Co. (c)

     52        663   

Monarch Casino & Resort Inc. (c)

     9        176   

Monro Muffler Brake Inc. (e)

     33        1,877   

Morgans Hotel Group Co. (c)

     30        246   
     Shares/Par (p)     Value  

Movado Group Inc.

     19        858   

Multimedia Games Inc. (c)

     30        949   

Nathan’s Famous Inc. (c)

     3        176   

National CineMedia Inc.

     65        1,293   

Nautilus Inc. (c)

     38        323   

New York & Co. Inc. (c)

     25        110   

New York Times Co. - Class A (e)

     141        2,231   

Nexstar Broadcasting Group Inc. - Class A

     32        1,790   

Noodles & Co. - Class A (c) (e)

     6        227   

NutriSystem Inc.

     32        525   

Office Depot Inc. (c)

     525        2,778   

Orbitz Worldwide Inc. (c)

     24        175   

Orient-Express Hotels Ltd. - Class A (c)

     105        1,584   

Outerwall Inc. (c) (e)

     30        2,016   

Overstock.com Inc. (c)

     12        379   

Oxford Industries Inc.

     14        1,136   

Pacific Sunwear of California Inc. (c)

     41        136   

Papa John’s International Inc.

     35        1,593   

Penske Auto Group Inc.

     46        2,173   

Pep Boys-Manny Moe & Jack (c)

     58        707   

Perry Ellis International Inc. (c)

     15        230   

PetMed Express Inc. (e)

     20        333   

Pier 1 Imports Inc.

     103        2,382   

Pinnacle Entertainment Inc. (c)

     62        1,616   

Pool Corp.

     51        2,943   

Potbelly Corp. (c) (e)

     9        219   

Quicksilver Inc. (c)

     145        1,275   

RadioShack Corp. (c) (e)

     116        302   

ReachLocal Inc. (c)

     9        109   

Reading International Inc. - Class A (c)

     15        111   

Red Robin Gourmet Burgers Inc. (c)

     16        1,143   

Regis Corp.

     52        754   

Remy International Inc.

     16        374   

Rent-A-Center Inc.

     58        1,939   

Rentrak Corp. (c)

     11        408   

Restoration Hardware Holdings Inc. (c)

     19        1,303   

RetailMeNot Inc. (c)

     10        277   

RG Barry Corp.

     10        193   

Ruby Tuesday Inc. (c)

     63        439   

Ruth’s Hospitality Group Inc.

     37        528   

Ryland Group Inc.

     50        2,181   

Saga Communications Inc. - Class A

     6        294   

Salem Communications Corp. - Class A

     8        71   

Scholastic Corp.

     28        940   

Scientific Games Corp. - Class A (c)

     53        891   

Sears Hometown and Outlet Stores Inc. (c)

     10        257   

Select Comfort Corp. (c)

     59        1,250   

SFX Entertainment Inc. (c)

     21        251   

Shiloh Industries Inc. (c)

     8        156   

Shoe Carnival Inc.

     17        489   

Shutterfly Inc. (c)

     41        2,107   

Shutterstock Inc. (c) (e)

     8        681   

Sinclair Broadcast Group Inc. - Class A

     74        2,659   

Skechers U.S.A. Inc. - Class A (c)

     42        1,405   

Skullcandy Inc. (c)

     25        181   

Smith & Wesson Holding Corp. (c) (e)

     60        805   

Sonic Automotive Inc. - Class A

     41        998   

Sonic Corp. (c)

     62        1,244   

Sotheby’s - Class A

     74        3,938   

Spartan Motors Inc.

     33        219   

Speedway Motorsports Inc.

     11        224   

Stage Stores Inc. (e)

     36        796   

Standard Motor Products Inc.

     22        799   

Standard-Pacific Corp. (c)

     162        1,470   

Stein Mart Inc.

     31        420   

Steiner Leisure Ltd. (c)

     15        755   

Steven Madden Ltd. (c)

     65        2,394   

Stoneridge Inc. (c)

     29        370   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Strayer Education Inc. (c) (e)

     12        417   

Sturm Ruger & Co. Inc. (e)

     21        1,546   

Superior Industries International Inc.

     26        538   

Systemax Inc. (c)

     13        150   

Tenneco Inc. (c)

     66        3,733   

Texas Roadhouse Inc. - Class A

     67        1,849   

The Jones Group Inc.

     88        1,312   

Tile Shop Holdings Inc. (c) (e)

     20        366   

Tilly’s Inc. - Class A (c)

     10        115   

Tower International Inc. (c)

     8        161   

Town Sports International Holdings Inc.

     27        394   

Trans World Entertainment (c)

     9        41   

TRI Pointe Homes Inc. (c) (e)

     17        343   

Tuesday Morning Corp. (c)

     45        712   

Tumi Holdings Inc. (c)

     50        1,131   

UCP Inc - Class A (c)

     8        120   

Unifi Inc. (c)

     17        458   

Universal Electronics Inc. (c)

     16        594   

Universal Technical Institute Inc.

     24        333   

Vail Resorts Inc.

     38        2,881   

Valassis Communications Inc. (e)

     41        1,394   

ValueVision Media Inc. (c)

     49        339   

Vera Bradley Inc. (c) (e)

     24        571   

Vince Holding Corp. (c)

     12        369   

Vitacost.com Inc. (c)

     21        124   

Vitamin Shoppe Inc. (c)

     33        1,725   

VOXX International Corp. - Class A (c)

     21        358   

WCI Communities Inc (c)

     7        133   

West Marine Inc. (c)

     17        239   

Wet Seal Inc. - Class A (c)

     101        275   

Weyco Group Inc.

     7        193   

William Lyon Homes - Class A (c)

     15        335   

Winmark Corp.

     3        250   

Winnebago Industries Inc. (c)

     31        850   

Wolverine World Wide Inc.

     109        3,699   

World Wrestling Entertainment Inc. - Class A

     33        540   

Zagg Inc. (c) (e)

     31        135   

Zale Corp. (c)

     34        532   

Zumiez Inc. (c)

     23        601   
   

 

 

  
    246,107   

CONSUMER STAPLES - 3.8%

    

Alico Inc.

     3        124   

Alliance One International Inc. (c)

     98        298   

Andersons Inc.

     20        1,776   

Annie’s Inc. (c)

     15        645   

Arden Group Inc. - Class A

     1        144   

B&G Foods Inc.

     58        1,953   

Boston Beer Co. Inc. - Class A (c) (e)

     9        2,171   

Boulder Brands Inc. (c)

     62        988   

Cal-Maine Foods Inc.

     16        988   

Calavo Growers Inc.

     13        382   

Casey’s General Stores Inc.

     42        2,924   

Central Garden & Pet Co. - Class A (c)

     50        340   

Chefs’ Warehouse Inc. (c)

     17        506   

Chiquita Brands International Inc. (c)

     51        595   

Coca-Cola Bottling Co.

     5        386   

Craft Brewers Alliance Inc. (c)

     12        205   

Darling International Inc. (c)

     169        3,531   

Diamond Foods Inc. (c) (e)

     23        598   

Elizabeth Arden Inc. (c)

     27        951   

Fairway Group Holdings Corp. -
Class A (c) (e)

     17        313   

Farmer Bros. Co. (c)

     7        170   

Female Health Co.

     21        182   

Fresh Del Monte Produce Inc.

     40        1,125   

Griffin Land & Nurseries Inc. - Class A

     2        72   

Hain Celestial Group Inc. (c)

     42        3,782   

Harbinger Group Inc. (c) (e)

     36        430   
     Shares/Par (p)     Value  

Harris Teeter Supermarkets Inc.

     53        2,604   

Ingles Markets Inc. - Class A

     14        367   

Inter Parfums Inc.

     18        644   

Inventure Foods Inc. (c)

     18        235   

J&J Snack Foods Corp.

     16        1,449   

John B. Sanfilippo & Son Inc.

     8        202   

Lancaster Colony Corp.

     20        1,738   

Lifevantage Corp. (c)

     133        220   

Lifeway Foods Inc. (e)

     5        85   

Limoneira Co.

     10        258   

Medifast Inc. (c)

     16        408   

National Beverage Corp. (c)

     11        214   

Natural Grocers by Vitamin Cottage
Inc. (c) (e)

     10        427   

Nature’s Sunshine Products Inc.

     10        176   

Nutraceutical International Corp. (c)

     11        283   

Oil-Dri Corp. of America

     6        222   

Omega Protein Corp. (c)

     20        243   

Orchids Paper Products Co.

     6        197   

Pantry Inc. (c)

     28        474   

Pilgrim’s Pride Corp. (c)

     64        1,032   

Post Holdings Inc. (c)

     35        1,714   

Prestige Brands Holdings Inc. (c)

     55        1,951   

PriceSmart Inc.

     21        2,372   

Revlon Inc. - Class A (c)

     11        274   

Rite Aid Corp. (c)

     791        4,004   

Roundy’s Inc.

     29        289   

Sanderson Farms Inc.

     25        1,774   

Seneca Foods Corp. - Class A (c)

     8        263   

Snyders-Lance Inc.

     52        1,492   

Spartan Stores Inc.

     39        959   

Spectrum Brands Holdings Inc.

     23        1,616   

Star Scientific Inc. (c) (e)

     191        221   

SUPERVALU Inc. (c)

     216        1,577   

Susser Holdings Corp. (c) (e)

     19        1,237   

Synutra International Inc. (c)

     14        121   

Tootsie Roll Industries Inc.

     20        659   

TreeHouse Foods Inc. (c)

     39        2,713   

United Natural Foods Inc. (c)

     53        4,031   

Universal Corp. (e)

     26        1,395   

USANA Health Sciences Inc. (c) (e)

     7        497   

Vector Group Ltd. (e)

     70        1,147   

Village Super Market Inc. - Class A

     7        229   

WD-40 Co.

     17        1,267   

Weis Markets Inc.

     11        601   
   

 

 

  
    69,460   

ENERGY - 5.3%

    

Abraxas Petroleum Corp. (c)

     81        265   

Adams Resources & Energy Inc.

     3        190   

Alon USA Energy Inc. (e)

     26        424   

Alpha Natural Resources Inc. (c)

     235        1,679   

Amyris Inc. (c) (e)

     24        129   

Apco Oil And Gas International Inc. (c)

     11        178   

Approach Resources Inc. (c) (e)

     36        704   

Arch Coal Inc. (e)

     222        990   

Athlon Energy Inc. (c)

     19        563   

Basic Energy Services Inc. (c)

     34        531   

Bill Barrett Corp. (c) (e)

     53        1,428   

Bolt Technology Corp.

     11        234   

Bonanza Creek Energy Inc. (c)

     31        1,363   

BPZ Resources Inc. (c) (e)

     134        244   

Bristow Group Inc.

     39        2,945   

C&J Energy Services Inc. (c) (e)

     47        1,090   

Cal Dive International Inc. (c) (e)

     96        193   

Callon Petroleum Co. (c)

     50        325   

CARBO Ceramics Inc. (e)

     21        2,459   

Carrizo Oil & Gas Inc. (c)

     49        2,183   

Clayton Williams Energy Inc. (c)

     7        542   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Clean Energy Fuels Corp. (c) (e)

     71        918   

Cloud Peak Energy Inc. (c)

     64        1,147   

Comstock Resources Inc.

     50        923   

Contango Oil & Gas Co. (c)

     16        754   

Crosstex Energy Inc.

     52        1,880   

Dawson Geophysical Co. (c)

     10        321   

Delek US Holdings Inc.

     39        1,336   

Diamondback Energy Inc. (c)

     20        1,080   

Emerald Oil Inc. (c)

     63        486   

Endeavour International Corp. (c) (e)

     47        246   

Energy XXI Bermuda Ltd.

     85        2,290   

EPL Oil & Gas Inc. (c)

     31        893   

Equal Energy Ltd.

     38        206   

Era Group Inc. (c)

     21        646   

Evolution Petroleum Corp.

     20        244   

EXCO Resources Inc. (e)

     142        755   

Exterran Holdings Inc. (c)

     61        2,098   

Forest Oil Corp. (c) (e)

     125        450   

Forum Energy Technologies Inc. (c)

     43        1,219   

Frontline Ltd. (c) (e)

     51        190   

FX Energy Inc. (c) (e)

     67        244   

GasLog Ltd.

     28        479   

Gastar Exploration Ltd. (c)

     69        475   

Geospace Technologies Corp. (c)

     14        1,340   

Global Geophysical Services Inc. (c)

     15        25   

Goodrich Petroleum Corp. (c) (e)

     35        590   

Green Plains Renewable Energy Inc. (e)

     28        549   

Gulf Island Fabrication Inc.

     16        381   

Gulfmark Offshore Inc. - Class A

     28        1,340   

Halcon Resources Corp. (c) (e)

     254        979   

Hallador Energy Co.

     6        52   

Helix Energy Solutions Group Inc. (c)

     115        2,668   

Hercules Offshore Inc. (c)

     167        1,093   

Hornbeck Offshore Services Inc. (c)

     39        1,918   

ION Geophysical Corp. (c)

     146        481   

Isramco Inc. (c)

     1        123   

Jones Energy Inc. - Class A (c)

     12        170   

Key Energy Services Inc. (c)

     167        1,318   

KiOR Inc. - Class A (c) (e)

     39        65   

Knightsbridge Tankers Ltd.

     30        275   

Kodiak Oil & Gas Corp. (c)

     288        3,226   

L&L Energy Inc. (c) (e) (f)

     26        44   

Magnum Hunter Resources Corp. (c) (e)

     188        1,376   

Matador Resources Co. (c)

     61        1,141   

Matrix Service Co. (c)

     27        662   

Midstates Petroleum Co. Inc. (c) (e)

     39        261   

Miller Energy Resources Inc. (c) (e)

     33        234   

Mitcham Industries Inc. (c)

     16        278   

Natural Gas Services Group Inc. (c)

     14        386   

Newpark Resources Inc. (c)

     95        1,162   

Nordic American Tankers Ltd. (e)

     81        783   

Northern Oil and Gas Inc. (c) (e)

     70        1,055   

Nuverra Environmental Solutions Inc. (c) (e)

     16        263   

Panhandle Oil and Gas Inc. - Class A

     7        246   

Parker Drilling Co. (c)

     131        1,067   

PDC Energy Inc. (c)

     38        2,020   

Penn Virginia Corp. (c)

     62        584   

PetroQuest Energy Inc. (c)

     66        286   

PHI Inc. (c)

     14        611   

Pioneer Energy Services Corp. (c)

     65        517   

Quicksilver Resources Inc. (c) (e)

     144        443   

Renewable Energy Group Inc. (c)

     24        274   

Rentech Inc. (c)

     235        411   

Resolute Energy Corp. (c)

     74        670   

Rex Energy Corp. (c)

     47        933   

Rex Stores Corp. (c)

     6        263   

RigNet Inc. (c)

     13        623   

Rosetta Resources Inc. (c)

     66        3,181   
     Shares/Par (p)     Value  

Sanchez Energy Corp. (c) (e)

     40        979   

Scorpio Tankers Inc.

     201        2,369   

SEACOR Holdings Inc. (c)

     22        1,997   

SemGroup Corp. - Class A

     45        2,925   

Ship Finance International Ltd. (e)

     59        959   

Solazyme Inc. (c) (e)

     52        571   

Stone Energy Corp. (c)

     53        1,841   

Swift Energy Co. (c) (e)

     45        609   

Synergy Resources Corp. (c)

     56        515   

Targa Resources Corp.

     36        3,152   

Teekay Tankers Ltd. - Class A

     75        295   

Tesco Corp. (c)

     33        655   

Tetra Technologies Inc. (c)

     82        1,013   

TGC Industries Inc.

     17        124   

Triangle Petroleum Corp. (c)

     72        595   

Ur-Energy Inc. (c) (e)

     107        147   

Uranium Energy Corp. (c) (e)

     103        206   

VAALCO Energy Inc. (c)

     66        453   

Vantage Drilling Co. (c) (e)

     226        417   

W&T Offshore Inc.

     38        610   

Warren Resources Inc. (c)

     73        228   

Western Refining Inc. (e)

     58        2,447   

Westmoreland Coal Co. (c)

     12        238   

Willbros Group Inc. (c)

     45        424   

ZaZa Energy Corp. (c) (e)

     20        19   
   

 

 

  
    98,094   

FINANCIALS - 21.9%

    

1st Source Corp.

     17        540   

1st United Bancorp Inc.

     31        235   

Acadia Realty Trust

     59        1,456   

Access National Corp.

     6        88   

AG Mortgage Investment Trust Inc.

     31        488   

Agree Realty Corp.

     15        433   

Alexander & Baldwin Inc.

     47        1,960   

Alexander’s Inc.

     2        760   

Altisource Residential Corp. - Class B

     46        1,396   

Ambac Financial Group Inc. (c)

     47        1,157   

American Assets Trust Inc.

     37        1,158   

American Capital Mortgage Investment Corp.

     57        997   

American Equity Investment Life Holding Co.

     68        1,798   

American National Bankshares Inc.

     9        229   

American Realty Capital Properties Inc. (e)

     164        2,112   

American Residential Properties Inc. (c)

     16        274   

Ameris Bancorp (c)

     27        564   

Amerisafe Inc.

     20        851   

Ames National Corp. (e)

     9        199   

AmREIT Inc. - Class B

     22        374   

AmTrust Financial Services Inc. (e)

     34        1,115   

Anworth Mortgage Asset Corp.

     159        668   

Apollo Commercial Real Estate Finance Inc.

     38        624   

Apollo Investment Corp.

     245        2,076   

Apollo Residential Mortgage Inc.

     33        492   

Ares Commercial Real Estate Corp.

     20        268   

Argo Group International Holdings Ltd.

     29        1,333   

Arlington Asset Investment Corp. - Class A

     17        438   

Armada Hoffler Properties Inc.

     21        199   

ARMOUR Residential REIT Inc.

     399        1,598   

Arrow Financial Corp.

     11        291   

Ashford Hospitality Prime Inc.

     14        247   

Ashford Hospitality Trust Inc.

     68        562   

Associated Estates Realty Corp. (e)

     60        966   

Astoria Financial Corp.

     97        1,338   

AV Homes Inc. (c)

     9        165   

Aviv REIT Inc.

     13        313   

Baldwin & Lyons Inc. - Class B

     10        287   

Banc of California Inc.

     20        268   

BancFirst Corp.

     8        436   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Banco Latinoamericano de Comercio Exterior SA - Class E

     32        906   

Bancorp Inc. (c)

     36        645   

BancorpSouth Inc.

     104        2,633   

Bank Mutual Corp.

     55        388   

Bank of Kentucky Financial Corp.

     6        213   

Bank of Marin Bancorp

     5        235   

Bank of the Ozarks Inc.

     34        1,921   

BankFinancial Corp.

     19        178   

Banner Corp.

     22        965   

Bar Harbor Bankshares

     5        195   

BBCN Bancorp Inc.

     87        1,436   

BBX Capital Corp. - Class A (c) (e)

     6        99   

Beneficial Mutual Bancorp Inc. (c)

     33        356   

Berkshire Hills Bancorp Inc.

     27        749   

BGC Partners Inc. - Class A

     139        843   

BlackRock Kelso Capital Corp.

     81        756   

Blue Capital Reinsurance Holdings Ltd. (c) (e)

     7        120   

BNC Bancorp

     21        362   

BofI Holding Inc. (c)

     13        992   

Boston Private Financial Holdings Inc.

     88        1,107   

Bridge Bancorp Inc.

     13        340   

Bridge Capital Holdings (c)

     12        249   

Brookline Bancorp Inc.

     78        745   

Bryn Mawr Bank Corp.

     15        462   

C&F Financial Corp.

     3        148   

Calamos Asset Management Inc. - Class A

     19        219   

California First National Bancorp

     1        14   

Camden National Corp.

     9        368   

Campus Crest Communities Inc.

     71        665   

Capital Bank Financial Corp. - Class A (c)

     27        618   

Capital City Bank Group Inc. (c)

     10        118   

Capital Southwest Corp.

     14        487   

Capitol Federal Financial Inc.

     162        1,965   

Capstead Mortgage Corp.

     105        1,266   

Cardinal Financial Corp.

     34        610   

Cascade Bancorp (c) (e)

     4        20   

Cash America International Inc. (e)

     30        1,164   

Cathay General Bancorp

     86        2,295   

Cedar Shopping Centers Inc.

     82        511   

Center Bancorp Inc.

     11        211   

CenterState Banks of Florida Inc.

     30        305   

Central Pacific Financial Corp.

     24        481   

Century Bancorp Inc. - Class A

     3        98   

Chambers Street Properties (e)

     257        1,968   

Charter Financial Corp.

     22        242   

Chatham Lodging Trust

     27        551   

Chemical Financial Corp.

     32        1,029   

Chemung Financial Corp.

     3        108   

Chesapeake Lodging Trust

     53        1,347   

CIFC Corp.

     8        59   

Citizens & Northern Corp.

     15        299   

Citizens Inc. - Class A (c)

     49        431   

City Holdings Co.

     17        794   

Clifton Savings Bancorp Inc.

     8        102   

CNB Financial Corp.

     17        317   

CNO Financial Group Inc.

     241        4,261   

CoBiz Financial Inc.

     36        430   

Cohen & Steers Inc. (e)

     21        826   

Colony Financial Inc.

     82        1,664   

Columbia Banking System Inc.

     56        1,536   

Community Bank System Inc.

     44        1,734   

Community Trust Bancorp Inc.

     16        704   

CommunityOne Bancorp (c)

     8        102   

ConnectOne Bancorp Inc. (c)

     1        56   

Consolidated-Tomoka Land Co.

     6        215   

Consumer Portfolio Services Inc. (c)

     23        217   

Coresite Realty Corp.

     23        740   
     Shares/Par (p)     Value  

Cousins Properties Inc.

     183        1,886   

Cowen Group Inc. - Class A (c)

     111        433   

Crawford & Co. - Class B

     26        243   

Credit Acceptance Corp. (c)

     7        966   

CU Bancorp (c)

     9        153   

CubeSmart

     145        2,308   

Customers Bancorp Inc. (c)

     20        408   

CVB Financial Corp.

     97        1,655   

CyrusOne Inc.

     22        485   

CYS Investments Inc.

     186        1,378   

DCT Industrial Trust Inc.

     316        2,254   

DFC Global Corp. (c)

     42        482   

Diamond Hill Investment Group Inc.

     3        382   

DiamondRock Hospitality Co.

     213        2,455   

Dime Community Bancshares Inc.

     33        553   

Donegal Group Inc. - Class A

     7        114   

Doral Financial Corp. (c)

     8        130   

DuPont Fabros Technology Inc. (e)

     66        1,643   

Dynex Capital Inc.

     57        457   

Eagle Bancorp Inc. (c)

     24        748   

Eastern Insurance Holdings Inc.

     8        204   

EastGroup Properties Inc.

     33        1,909   

Education Realty Trust Inc.

     119        1,054   

eHealth Inc. (c)

     19        891   

Ellington Residential Mortgage REIT

     6        87   

EMC Insurance Group Inc.

     5        140   

Empire State Realty Trust Inc. - Class A

     86        1,317   

Employer Holdings Inc.

     32        1,025   

Enstar Group Ltd. (c)

     10        1,409   

Enterprise Bancorp Inc.

     7        148   

Enterprise Financial Services Corp.

     18        365   

EPR Properties

     56        2,758   

Equity One Inc.

     64        1,439   

ESB Financial Corp.

     15        207   

ESSA BanCorp Inc.

     9        100   

Essent Group Ltd. (c) (e)

     24        570   

EverBank Financial Corp.

     88        1,617   

Evercore Partners Inc. - Class A

     34        2,014   

Excel Trust Inc.

     52        597   

EZCorp Inc. - Class A (c)

     53        625   

Farmers Capital Bank Corp. (c)

     9        201   

FBL Financial Group Inc. - Class A

     10        449   

FBR & Co. (c)

     10        269   

Federal Agricultural Mortgage Corp. - Class C

     12        400   

FelCor Lodging Trust Inc. (c) (e)

     137        1,117   

Fidelity Southern Corp.

     17        281   

Fidus Investment Corp. (e)

     16        358   

Fifth Street Finance Corp.

     149        1,383   

Financial Engines Inc.

     53        3,690   

Financial Institutions Inc.

     16        389   

First American Financial Corp.

     117        3,312   

First Bancorp Inc. (c)

     79        489   

First Bancorp Inc.

     11        185   

First Bancorp Inc.

     23        379   

First Busey Corp.

     82        476   

First Cash Financial Services Inc. (c)

     31        1,923   

First Commonwealth Financial Corp.

     104        913   

First Community Bancshares Inc.

     21        343   

First Connecticut Bancorp Inc.

     17        281   

First Defiance Financial Corp.

     12        307   

First Federal Bancshares of Arkansas Inc. (c)

     3        25   

First Financial Bancorp

     64        1,110   

First Financial Bankshares Inc. (e)

     34        2,277   

First Financial Corp.

     13        464   

First Financial Holdings Inc.

     25        1,688   

First Financial Northwest Inc.

     15        152   

First Industrial Realty Trust Inc.

     117        2,042   

First Interstate BancSystem Inc. - Class A

     20        558   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

First Marblehead Corp. (c) (e)

     8        60   

First Merchants Corp.

     37        851   

First Midwest Bancorp Inc.

     79        1,389   

First NBC Bank Holding Co. (c)

     4        118   

First of Long Island Corp.

     9        386   

First Potomac Realty Trust

     65        756   

First Security Group Inc. (c)

     55        126   

FirstMerit Corp.

     180        3,993   

Flagstar Bancorp Inc. (c)

     22        429   

Flushing Financial Corp.

     34        699   

FNB Corp.

     164        2,065   

Forestar Group Inc. (c)

     36        770   

Fortegra Financial Corp. (c)

     4        32   

Fox Chase Bancorp Inc.

     11        199   

Franklin Financial Corp. (c)

     10        204   

Franklin Street Properties Corp.

     99        1,178   

FXCM Inc. - Class A (e)

     41        726   

Gain Capital Holdings Inc.

     12        90   

GAMCO Investors Inc.

     6        544   

Garrison Capital Inc.

     5        73   

German American Bancorp Inc.

     14        411   

Getty Realty Corp.

     28        516   

GFI Group Inc.

     67        262   

Glacier Bancorp Inc.

     78        2,336   

Gladstone Capital Corp.

     25        243   

Gladstone Commercial Corp.

     14        257   

Gladstone Investment Corp.

     26        213   

Glimcher Realty Trust

     154        1,441   

Global Indemnity Plc (c)

     10        250   

Golub Capital BDC Inc. (e)

     41        791   

Government Properties Income Trust (e)

     58        1,446   

Gramercy Property Trust Inc. (c) (e)

     66        382   

Great Southern Bancorp Inc.

     10        311   

Green Dot Corp. - Class A (c) (e)

     28        710   

Greenhill & Co. Inc.

     30        1,740   

Greenlight Capital Re Ltd. - Class A (c)

     29        992   

GSV Capital Corp. (c) (e)

     19        228   

Guaranty Bancorp

     13        189   

Hallmark Financial Services Inc. (c)

     12        109   

Hampton Roads Bankshares Inc. (c)

     30        52   

Hancock Holding Co.

     92        3,380   

Hanmi Financial Corp.

     35        771   

Hannon Armstrong Sustainable Infrastructure Capital Inc.

     19        259   

HCI Group Inc. (e)

     10        561   

Health Insurance Innovations Inc. - Class A (c)

     4        36   

Healthcare Realty Trust Inc.

     104        2,221   

Heartland Financial USA Inc.

     17        479   

Hercules Technology Growth Capital Inc. (e)

     64        1,057   

Heritage Commerce Corp.

     19        159   

Heritage Financial Corp.

     18        305   

Heritage Oaks BanCorp (c)

     20        154   

Hersha Hospitality Trust

     214        1,191   

HFF Inc. - Class A (c)

     35        929   

Highwoods Properties Inc.

     97        3,524   

Hilltop Holdings Inc. (c)

     65        1,505   

Hingham Institution for Savings

     1        81   

Home Bancorp Inc. (c)

     5        103   

Home Bancshares Inc.

     49        1,844   

Home Federal Bancorp Inc.

     14        214   

Home Loan Servicing Solutions Ltd.

     76        1,738   

HomeStreet Inc.

     15        297   

HomeTrust Bancshares Inc. (c)

     21        340   

Horace Mann Educators Corp.

     44        1,373   

Horizon BanCorp

     9        216   

Horizon Technology Finance Corp.

     8        108   

Hudson Pacific Properties Inc.

     45        992   

Hudson Valley Holding Corp.

     19        383   
     Shares/Par (p)     Value  

IberiaBank Corp.

     32        2,034   

ICG Group Inc. (c)

     40        749   

Imperial Holdings Inc. (c)

     15        99   

Independence Holding Co.

     6        76   

Independent Bank Corp.

     25        989   

Independent Bank Group Inc.

     3        166   

Infinity Property & Casualty Corp.

     13        913   

Inland Real Estate Corp.

     89        939   

International Bancshares Corp.

     58        1,543   

Intervest Bancshares Corp. (c)

     16        118   

INTL FCStone Inc. (c)

     16        300   

Invesco Mortgage Capital Inc.

     147        2,160   

Investment Technology Group Inc. (c)

     41        838   

Investors Bancorp Inc.

     55        1,410   

Investors Real Estate Trust (e)

     105        905   

Investors Title Co.

     2        149   

iStar Financial Inc. (c)

     93        1,332   

Janus Capital Group Inc.

     159        1,966   

JAVELIN Mortgage Investment Corp. (e)

     12        171   

JGWPT Holdings Inc. - Class A (c) (e)

     10        177   

JMP Group Inc.

     13        100   

Kansas City Life Insurance Co.

     5        224   

KCAP Financial Inc. (e)

     33        262   

KCG Holdings Inc. - Class A (c)

     78        930   

Kearny Financial Corp. (c)

     17        202   

Kennedy-Wilson Holdings Inc.

     60        1,329   

Kite Realty Group Trust

     139        916   

Ladenburg Thalmann Financial Services
Inc. (c)

     101        316   

Lakeland Bancorp Inc.

     38        464   

Lakeland Financial Corp.

     17        663   

LaSalle Hotel Properties

     113        3,480   

LCNB Corp.

     5        95   

Lexington Realty Trust

     196        1,996   

LTC Properties Inc.

     37        1,309   

Macatawa Bank Corp. (c) (e)

     21        104   

Maiden Holdings Ltd.

     55        596   

Main Street Capital Corp. (e)

     43        1,398   

MainSource Financial Group Inc.

     23        419   

Manning & Napier Inc. - Class A

     13        234   

Marcus & Millichap Inc. (c)

     7        107   

MarketAxess Holdings Inc.

     40        2,674   

Marlin Business Services Inc.

     10        243   

MB Financial Inc.

     60        1,918   

MCG Capital Corp.

     74        328   

Meadowbrook Insurance Group Inc.

     57        395   

Medallion Financial Corp.

     21        308   

Medical Properties Trust Inc.

     176        2,148   

Medley Capital Corp.

     45        620   

Mercantile Bank Corp.

     10        226   

Merchants Bancshares Inc.

     6        187   

Meridian Interstate BanCorp Inc. (c)

     10        222   

Meta Financial Group Inc.

     7        298   

Metro Bancorp Inc. (c)

     14        308   

MetroCorp Bancshares Inc.

     17        254   

MGIC Investment Corp. (c)

     346        2,919   

Middleburg Financial Corp.

     4        78   

Midsouth Bancorp Inc.

     10        187   

MidWestOne Financial Group Inc.

     7        188   

Monmouth Real Estate Investment Corp. - Class A (e)

     48        435   

Montpelier Re Holdings Ltd.

     48        1,401   

MVC Capital Inc.

     23        311   

NASB Financial Inc. (e)

     3        102   

National Bank Holdings Corp. - Class A

     49        1,049   

National Bankshares Inc.

     8        286   

National Health Investors Inc.

     31        1,754   

National Interstate Corp.

     6        144   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

National Penn Bancshares Inc.

     124        1,400   

National Western Life Insurance Co. - Class A

     2        501   

Navigators Group Inc. (c)

     11        717   

NBT Bancorp Inc.

     48        1,245   

Nelnet Inc. - Class A

     25        1,060   

New Mountain Finance Corp.

     47        705   

New Residential Investment Corp

     270        1,801   

New York Mortgage Trust Inc. (e)

     66        462   

NewBridge Bancorp (c)

     24        180   

NewStar Financial Inc. (c)

     27        486   

NGP Capital Resources Co.

     20        148   

Nicholas Financial Inc.

     13        198   

Northfield Bancorp Inc.

     64        849   

Northrim BanCorp Inc.

     8        212   

NorthStar Realty Finance Corp.

     311        4,178   

Northwest Bancshares Inc.

     100        1,475   

OceanFirst Financial Corp.

     14        242   

OFG Bancorp

     51        877   

Old National Bancorp

     111        1,702   

OmniAmerican Bancorp Inc. (c)

     13        268   

One Liberty Properties Inc.

     12        237   

OneBeacon Insurance Group Ltd. - Class A

     24        382   

Oppenheimer Holdings Inc. - Class A

     9        234   

Oritani Financial Corp.

     48        763   

Pacific Continental Corp.

     19        296   

Pacific Premier Bancorp Inc. (c)

     20        309   

PacWest Bancorp (e)

     40        1,690   

Palmetto Bancshares Inc (c)

     4        51   

Park National Corp. (e)

     13        1,078   

Park Sterling Corp.

     45        322   

Parkway Properties Inc.

     60        1,154   

Peapack Gladstone Financial Corp.

     11        208   

Pebblebrook Hotel Trust

     65        2,013   

PennantPark Floating Rate Capital Ltd.

     18        250   

PennantPark Investment Corp.

     69        806   

Penns Woods Bancorp Inc.

     6        300   

Pennsylvania REIT

     72        1,374   

PennyMac Financial Services Inc. - Class A (c)

     15        259   

Pennymac Mortgage Investment Trust

     75        1,723   

Peoples Bancorp Inc.

     11        245   

PHH Corp. (c)

     61        1,480   

Phoenix Cos. Inc. (c)

     7        435   

Physicians Realty Trust (e)

     21        273   

Pico Holdings Inc. (c)

     23        538   

Pinnacle Financial Partners Inc.

     37        1,203   

Piper Jaffray Cos. (c)

     17        665   

Platinum Underwriters Holdings Ltd.

     31        1,912   

Portfolio Recovery Associates Inc. (c)

     55        2,908   

Potlatch Corp.

     43        1,801   

Preferred Bank (c)

     12        232   

Primerica Inc.

     62        2,657   

PrivateBancorp Inc.

     71        2,049   

Prospect Capital Corp.

     302        3,388   

Prosperity Bancshares Inc.

     65        4,141   

Provident Financial Holdings Inc.

     12        174   

Provident Financial Services Inc.

     65        1,264   

PS Business Parks Inc.

     21        1,596   

Pzena Investment Management Inc. -
Class A (e)

     10        114   

QTS Realty Trust Inc. - Class A

     15        365   

Radian Group Inc. (e)

     184        2,603   

RAIT Financial Trust (e)

     73        652   

Ramco-Gershenson Properties Trust

     71        1,124   

RCS Capital Corp. - Class A (e)

     4        64   

RE/MAX Holdings Inc. - Class A (c)

     12        389   

Redwood Trust Inc. (e)

     88        1,695   

Regional Management Corp. (c)

     5        179   

Renasant Corp.

     32        1,010   
     Shares/Par (p)     Value  

Republic Bancorp Inc. - Class A

     11        278   

Resource America Inc. - Class A

     10        90   

Resource Capital Corp.

     133        787   

Retail Opportunity Investments Corp.

     79        1,161   

Rexford Industrial Realty Inc.

     17        229   

RLI Corp. (e)

     23        2,256   

RLJ Lodging Trust

     134        3,263   

Rockville Financial Inc.

     27        388   

Rouse Properties Inc. (e)

     25        546   

Ryman Hospitality Properties Inc. (e)

     47        1,964   

S&T Bancorp Inc.

     33        832   

Sabra Healthcare REIT Inc.

     39        1,021   

Safeguard Scientifics Inc. (c)

     22        437   

Safety Insurance Group Inc.

     14        794   

Sandy Spring Bancorp Inc.

     26        728   

Saul Centers Inc.

     9        425   

Seacoast Banking Corp of Florida (c)

     14        171   

Select Income REIT

     24        641   

Selective Insurance Group Inc.

     61        1,642   

Sierra Bancorp

     14        232   

Silver Bay Realty Trust Corp. (e)

     18        284   

Silvercrest Asset Management Group Inc. - Class A

     6        99   

Simmons First National Corp. - Class A

     18        685   

Solar Capital Ltd.

     47        1,063   

Solar Senior Capital Ltd.

     12        212   

Southside Bancshares Inc.

     20        547   

Southwest Bancorp Inc. (c)

     23        358   

Sovran Self Storage Inc.

     33        2,183   

Springleaf Holdings Inc. (c)

     25        640   

STAG Industrial Inc.

     44        893   

State Auto Financial Corp.

     17        365   

State Bank Financial Corp.

     36        648   

StellarOne Corp.

     25        611   

Stellus Capital Investment Corp. (e)

     15        225   

Sterling Bancorp

     92        1,226   

Sterling Financial Corp.

     37        1,273   

Stewart Information Services Corp.

     23        753   

Stifel Financial Corp. (c)

     69        3,309   

Stonegate Mortgage Corp. (c) (e)

     9        141   

Strategic Hotels & Resorts Inc. (c)

     193        1,825   

Suffolk Bancorp (c)

     12        248   

Summit Hotel Properties Inc.

     84        756   

Sun Bancorp Inc. (c)

     38        133   

Sun Communities Inc.

     39        1,668   

Sunstone Hotel Investors Inc.

     196        2,632   

Susquehanna Bancshares Inc.

     200        2,562   

SWS Group Inc. (c)

     27        165   

SY Bancorp Inc.

     16        503   

Symetra Financial Corp.

     87        1,646   

Taylor Capital Group Inc. (c)

     20        519   

TCP Capital Corp.

     34        572   

Tejon Ranch Co. (c)

     14        515   

Terreno Realty Corp.

     28        495   

Territorial Bancorp Inc.

     12        271   

Texas Capital Bancshares Inc. (c)

     44        2,760   

Third Point Reinsurance Ltd. (c)

     26        482   

THL Credit Inc.

     35        582   

TICC Capital Corp. (e)

     55        565   

Tompkins Financial Corp.

     16        813   

Tower Group International Ltd. (e)

     60        203   

TowneBank (e)

     30        458   

Tree.com Inc. (c)

     6        198   

Triangle Capital Corp. (e)

     29        798   

Trico Bancshares

     18        515   

Tristate Capital Holdings Inc. (c)

     6        68   

TrustCo Bank Corp.

     105        751   

Trustmark Corp.

     73        1,964   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UMB Financial Corp.

     39        2,495   

UMH Properties Inc.

     15        143   

Umpqua Holdings Corp. (e)

     122        2,335   

Union First Market Bankshares Corp.

     22        550   

United Bankshares Inc. (e)

     55        1,729   

United Community Banks Inc. (c)

     47        837   

United Community Financial Corp. (c)

     51        183   

United Financial Bancorp Inc.

     20        374   

United Fire Group Inc.

     23        646   

Universal Health Realty Income Trust

     12        495   

Universal Insurance Holdings Inc.

     26        376   

Univest Corp. of Pennsylvania

     17        349   

Urstadt Biddle Properties Inc. - Class A

     26        473   

VantageSouth Bancshares Inc. (c)

     11        56   

ViewPoint Financial Group Inc

     44        1,208   

Virginia Commerce Bancorp Inc. (c)

     30        514   

Virtus Investment Partners Inc. (c)

     7        1,477   

Walker & Dunlop Inc. (c)

     19        304   

Walter Investment Management Corp. (c)

     39        1,389   

Washington Banking Co.

     18        321   

Washington REIT

     71        1,655   

Washington Trust Bancorp Inc.

     16        604   

Waterstone Financial Inc. (c)

     4        49   

Webster Financial Corp.

     97        3,011   

WesBanco Inc.

     29        916   

West Bancorp Inc.

     15        239   

Westamerica Bancorp (e)

     29        1,665   

Western Alliance Bancorp (c)

     81        1,929   

Western Asset Mortgage Capital Corp. (e)

     27        408   

Westfield Financial Inc.

     21        154   

Westwood Holdings Group Inc.

     8        489   

WhiteHorse Finance Inc. (e)

     9        136   

Whitestone REIT (e)

     24        328   

Wilshire Bancorp Inc.

     68        742   

Winthrop Realty Trust

     33        364   

Wintrust Financial Corp.

     40        1,864   

WisdomTree Investments Inc. (c)

     110        1,945   

World Acceptance Corp. (c) (e)

     10        851   

WSFS Financial Corp.

     8        632   

Yadkin Financial Corp (c)

     16        272   

ZAIS Financial Corp.

     5        74   
   

 

 

  
    404,920   

HEALTH CARE - 12.7%

    

Abaxis Inc. (c)

     23        926   

Abiomed Inc. (c) (e)

     41        1,084   

Acadia HealthCare Co. Inc. (c)

     38        1,785   

ACADIA Pharmaceuticals Inc. (c) (e)

     76        1,911   

Accelerate Diagnostics Inc. (c) (e)

     10        119   

Acceleron Pharma Inc. (c) (e)

     7        266   

Accretive Health Inc. (c) (e)

     64        590   

Accuray Inc. (c) (e)

     77        671   

AcelRx Pharmaceuticals Inc (c) (e)

     22        253   

Achillion Pharmaceuticals Inc. (c) (e)

     106        351   

Acorda Therapeutics Inc. (c)

     43        1,262   

Addus HomeCare Corp. (c)

     5        108   

Aegerion Pharmaceuticals Inc. (c)

     31        2,223   

Aerie Pharmaceuticals Inc. (c)

     8        145   

Affymetrix Inc. (c) (e)

     80        682   

Agios Pharmaceuticals Inc. (c) (e)

     7        168   

Air Methods Corp. (c)

     41        2,417   

Akorn Inc. (c) (e)

     64        1,571   

Albany Molecular Research Inc. (c)

     27        268   

Align Technology Inc. (c)

     79        4,528   

Alimera Sciences Inc. (c) (e)

     15        70   

Alliance HealthCare Services Inc. (c)

     4        108   

Almost Family Inc. (c)

     9        288   

Alnylam Pharmaceuticals Inc. (c)

     63        4,055   
     Shares/Par (p)     Value  

Alphatec Holdings Inc. (c)

     49        99   

AMAG Pharmaceuticals Inc. (c)

     22        545   

Amedisys Inc. (c)

     33        479   

Amicus Therapeutics Inc. (c) (e)

     24        57   

AMN Healthcare Services Inc. (c)

     50        741   

Ampio Pharmaceuticals Inc. (c) (e)

     36        256   

Amsurg Corp. (c)

     35        1,606   

Anacor Pharmaceuticals Inc. (c) (e)

     29        484   

Analogic Corp.

     13        1,189   

AngioDynamics Inc. (c)

     28        484   

Anika Therapeutics Inc. (c)

     14        523   

Antares Pharma Inc. (c) (e)

     124        554   

Aratana Therapeutics Inc. (c)

     7        129   

Arena Pharmaceuticals Inc. (c) (e)

     232        1,357   

ArQule Inc. (c)

     77        166   

Array BioPharma Inc. (c)

     130        651   

ArthroCare Corp. (c)

     30        1,189   

athenahealth Inc. (c) (e)

     40        5,350   

AtriCure Inc. (c)

     23        422   

Atrion Corp.

     2        523   

Auxilium Pharmaceuticals Inc. (c)

     52        1,070   

AVANIR Pharmaceuticals - Class A (c)

     159        533   

AVEO Pharmaceuticals Inc. (c) (e)

     43        80   

Bio-Reference Labs Inc. (c) (e)

     27        690   

BioDelivery Sciences International Inc. (c) (e)

     30        177   

Biolase Technology Inc. (c) (e)

     28        80   

BioScrip Inc. (c)

     64        472   

Biotime Inc. (c) (e)

     33        118   

Bluebird Bio Inc. (c) (e)

     7        147   

Cadence Pharmaceuticals Inc. (c)

     70        631   

Cambrex Corp. (c)

     34        603   

Cantel Medical Corp.

     36        1,218   

Capital Senior Living Corp. (c)

     31        753   

Cardiovascular Systems Inc. (c)

     26        904   

Cell Therapeutics Inc. (c) (e)

     135        259   

Celldex Therapeutics Inc. (c)

     96        2,320   

Cellular Dynamics International Inc. (c) (e)

     4        65   

Cempra Inc. (c)

     23        286   

Centene Corp. (c)

     59        3,481   

Cepheid Inc. (c) (e)

     73        3,404   

Cerus Corp. (c) (e)

     70        453   

Chelsea Therapeutics International Inc. (c) (e)

     82        365   

Chemed Corp. (e)

     19        1,457   

ChemoCentryx Inc. (c) (e)

     22        125   

Chimerix Inc. (c)

     7        113   

Chindex International Inc. (c)

     14        236   

Clovis Oncology Inc. (c)

     19        1,160   

Computer Programs & Systems Inc.

     12        750   

Conatus Pharmaceuticals Inc. (c) (e)

     6        41   

Conmed Corp.

     29        1,234   

Corcept Therapeutics Inc. (c)

     47        151   

Cornerstone Therapeutics Inc. (c)

     7        65   

Coronado Biosciences Inc. (c) (e)

     31        81   

Corvel Corp. (c)

     13        585   

Cross Country Healthcare Inc. (c)

     35        345   

CryoLife Inc.

     32        358   

Curis Inc. (c)

     91        257   

Cutera Inc. (c)

     13        131   

Cyberonics Inc. (c)

     29        1,928   

Cynosure Inc. - Class A (c)

     21        572   

Cytokinetics Inc (c) (e)

     33        212   

Cytori Therapeutics Inc. (c) (e)

     64        165   

Dendreon Corp. (c) (e)

     164        490   

DepoMed Inc. (c)

     59        620   

Derma Sciences Inc. (c) (e)

     14        154   

DexCom Inc. (c)

     77        2,725   

Durata Therapeutics Inc. (c) (e)

     17        215   

Dyax Corp. (c)

     133        1,001   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Dynavax Technologies Inc. (c) (e)

     280        548   

Emergent BioSolutions Inc. (c)

     30        691   

Emeritus Corp. (c)

     42        911   

Enanta Pharmaceuticals Inc. (c)

     3        87   

Endocyte Inc. (c) (e)

     32        338   

Endologix Inc. (c)

     69        1,201   

Ensign Group Inc.

     20        900   

Enzon Pharmaceuticals Inc.

     34        40   

Epizyme Inc. (c) (e)

     7        144   

Esperion Therapeutics Inc. (c) (e)

     5        66   

Exact Sciences Corp. (c)

     74        862   

ExacTech Inc. (c)

     9        220   

ExamWorks Group Inc. (c)

     33        998   

Exelixis Inc. (c) (e)

     193        1,180   

Fibrocell Science Inc. (c)

     31        124   

Five Prime Therapeutics Inc. (c) (e)

     6        99   

Five Star Quality Care Inc. (c)

     42        229   

Fluidigm Corp. (c)

     26        1,015   

Foundation Medicine Inc. (c) (e)

     7        171   

Furiex Pharmaceuticals Inc. (c)

     8        320   

Galena Biopharma Inc. (c) (e)

     103        513   

GenMark Diagnostics Inc. (c)

     36        479   

Genomic Health Inc. (c)

     18        536   

Gentiva Health Services Inc. (c)

     35        439   

Geron Corp. (c)

     140        666   

Globus Medical Inc. - Class A (c) (e)

     60        1,210   

Greatbatch Inc. (c)

     25        1,106   

GTx Inc. (c) (e)

     27        44   

Haemonetics Corp. (c)

     56        2,342   

Halozyme Therapeutics Inc. (c) (e)

     98        1,462   

Hanger Orthopedic Group Inc. (c)

     38        1,493   

Harvard Apparatus Regenerative Technology Inc. (c)

     6        29   

Harvard Bioscience Inc. (c)

     24        114   

HealthSouth Corp.

     95        3,153   

HealthStream Inc. (c)

     22        730   

Healthways Inc. (c) (e)

     37        575   

HeartWare International Inc. (c)

     17        1,635   

Hi-Tech Pharmacal Co. Inc. (c)

     12        529   

HMS Holdings Corp. (c)

     96        2,172   

Horizon Pharma Inc. (c) (e)

     53        405   

Hyperion Therapeutics Inc. (c)

     7        150   

ICU Medical Inc. (c)

     14        864   

Idenix Pharmaceuticals Inc. (c) (e)

     109        654   

Immunogen Inc. (c) (e)

     90        1,321   

Immunomedics Inc. (c) (e)

     74        340   

Impax Laboratories Inc. (c)

     73        1,834   

Infinity Pharmaceuticals Inc. (c)

     50        693   

Insmed Inc. (c)

     38        645   

Insulet Corp. (c)

     58        2,157   

Insys Therapeutics Inc. (c)

     6        231   

Integra LifeSciences Holdings Corp. (c)

     25        1,171   

Intercept Pharmaceuticals Inc. (c)

     8        538   

InterMune Inc. (c)

     96        1,415   

Intrexon Corp. (c) (e)

     12        281   

Invacare Corp.

     33        771   

IPC The Hospitalist Co. Inc. (c) (e)

     18        1,042   

Ironwood Pharmaceuticals Inc. -
Class A (c) (e)

     99        1,150   

Isis Pharmaceuticals Inc. (c) (e)

     122        4,850   

KaloBios Pharmaceuticals Inc. (c)

     7        31   

Karyopharm Therapeutics Inc. (c)

     8        187   

Keryx Biopharmaceuticals Inc. (c) (e)

     85        1,107   

Kindred Healthcare Inc.

     60        1,179   

KYTHERA Biopharmaceuticals Inc. (c) (e)

     13        490   

Landauer Inc.

     10        520   

Lannett Co. Inc. (c)

     21        696   

LDR Holding Corp. (c)

     6        142   

Lexicon Pharmaceuticals Inc. (c)

     249        448   
     Shares/Par (p)     Value  

LHC Group Inc. (c)

     14        331   

Ligand Pharmaceuticals Inc. (c)

     19        980   

Luminex Corp. (c)

     41        802   

MacroGenics Inc. (c)

     6        165   

Magellan Health Services Inc. (c)

     29        1,728   

MannKind Corp. (c) (e)

     156        811   

Masimo Corp. (c)

     52        1,516   

MedAssets Inc. (c)

     65        1,287   

Medical Action Industries Inc. (c)

     13        110   

Medicines Co. (c)

     69        2,658   

Medidata Solutions Inc. (c)

     58        3,496   

MEI Pharma Inc. (c) (e)

     8        68   

Merge Healthcare Inc. (c)

     63        145   

Meridian Bioscience Inc.

     43        1,152   

Merit Medical Systems Inc. (c)

     47        734   

Merrimack Pharmaceuticals Inc. (c) (e)

     96        514   

MiMedx Group Inc (c)

     95        827   

Molina Healthcare Inc. (c)

     30        1,032   

Momenta Pharmaceuticals Inc. (c)

     52        922   

MWI Veterinary Supply Inc. (c)

     14        2,377   

Nanosphere Inc. (c)

     58        132   

National Healthcare Corp.

     12        648   

National Research Corp. - Class A (c)

     9        171   

National Research Corp. - Class B (e)

     1        39   

Natus Medical Inc. (c)

     32        727   

Navidea Biopharmaceuticals Inc. (c) (e)

     124        257   

Nektar Therapeutics (c)

     123        1,397   

Neogen Corp. (c)

     38        1,747   

NeoGenomics Inc. (c) (e)

     29        105   

Neurocrine Biosciences Inc. (c)

     74        692   

NewLink Genetics Corp. (c) (e)

     19        428   

Novavax Inc. (c) (e)

     191        976   

NPS Pharmaceuticals Inc. (c)

     109        3,306   

NuVasive Inc. (c)

     48        1,563   

NxStage Medical Inc. (c)

     66        660   

Omeros Corp. (c) (e)

     31        349   

Omnicell Inc. (c)

     36        917   

OncoGenex Pharmaceutical Inc. (c)

     15        122   

OncoMed Pharmaceuticals Inc. (c) (e)

     5        142   

Onconova Therapeutics Inc. (c) (e)

     6        70   

Ophthotech Corp. (c)

     9        300   

Opko Health Inc. (c) (e)

     206        1,736   

OraSure Technologies Inc. (c)

     58        368   

Orexigen Therapeutics Inc. (c)

     104        583   

Orthofix International NV (c)

     22        497   

Osiris Therapeutics Inc. (c)

     18        293   

OvaScience Inc. (c)

     8        72   

Owens & Minor Inc.

     69        2,517   

Oxford Immunotec Global Plc (c)

     6        125   

Pacific Biosciences of California Inc. (c)

     52        274   

Pacira Pharmaceuticals Inc. (c)

     30        1,732   

PAREXEL International Corp. (c)

     62        2,790   

PDL BioPharma Inc. (e)

     153        1,295   

Peregrine Pharmaceuticals Inc. (c) (e)

     149        207   

Pernix Therapeutics Holdings (c)

     21        53   

PharMerica Corp. (c)

     33        718   

PhotoMedex Inc. (c) (e)

     14        176   

Portola Pharmaceuticals Inc. (c)

     13        327   

Pozen Inc.

     33        264   

Progenics Pharmaceuticals Inc. (c)

     67        359   

Prothena Corp. Plc (c)

     16        429   

Providence Services Corp. (c)

     12        310   

PTC Therapeutics Inc. (c) (e)

     10        167   

Puma Biotechnology Inc. (c)

     23        2,406   

Quality Systems Inc.

     42        879   

Questcor Pharmaceuticals Inc. (e)

     56        3,065   

Quidel Corp. (c) (e)

     29        907   

Raptor Pharmaceutical Corp. (c) (e)

     62        813   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Receptos Inc. (c)

     5        147   

Regulus Therapeutics Inc. (c)

     11        80   

Relypsa Inc. (c)

     6        159   

Repligen Corp. (c)

     32        430   

Repros Therapeutics Inc. (c) (e)

     24        437   

Rigel Pharmaceuticals Inc. (c)

     92        262   

Rockwell Medical Technologies Inc. (c) (e)

     44        460   

RTI Surgical Inc. (c)

     54        191   

Sagent Pharmaceuticals Inc. (c)

     21        539   

Sangamo Biosciences Inc. (c) (e)

     68        944   

Santarus Inc. (c)

     61        1,938   

Sarepta Therapeutics Inc. (c) (e)

     40        822   

Sciclone Pharmaceuticals Inc. (c)

     55        277   

Select Medical Holdings Corp. (e)

     53        620   

Sequenom Inc. (c) (e)

     130        305   

SIGA Technologies Inc. (c) (e)

     35        115   

Skilled Healthcare Group Inc. - Class A (c)

     19        91   

Solta Medical Inc. (c)

     90        264   

Spectranetics Corp. (c)

     44        1,112   

Spectrum Pharmaceuticals Inc. (c) (e)

     66        583   

Staar Surgical Co. (c)

     38        618   

Stemline Therapeutics Inc. (c)

     10        203   

STERIS Corp.

     64        3,076   

Sucampo Pharmaceuticals Inc. - Class A (c)

     15        141   

Sunesis Pharmaceuticals Inc. (c) (e)

     41        195   

Supernus Pharmaceuticals Inc. (c) (e)

     13        99   

Surgical Care Affiliates Inc. (c)

     12        409   

SurModics Inc. (c)

     17        403   

Symmetry Medical Inc. (c)

     43        431   

Synageva BioPharma Corp. (c) (e)

     21        1,367   

Synergy Pharmaceuticals Inc. (c) (e)

     91        512   

Synta Pharmaceuticals Corp. (c) (e)

     46        242   

Tandem Diabetes Care Inc. (c)

     10        248   

Targacept Inc. (c)

     26        108   

Team Health Holdings Inc. (c)

     75        3,395   

TearLab Corp. (c) (e)

     33        305   

TESARO Inc. (c)

     15        414   

Tetraphase Pharmaceuticals Inc (c)

     10        137   

TG Therapeutics Inc. (c) (e)

     22        85   

TherapeuticsMD Inc. (c)

     88        460   

Thoratec Corp. (c)

     62        2,280   

Threshold Pharmaceuticals Inc. (c) (e)

     45        212   

Tornier BV (c)

     29        536   

Triple-S Management Corp. - Class B (c)

     25        478   

Unilife Corp. (c) (e)

     112        491   

Universal American Corp.

     44        323   

US Physical Therapy Inc.

     14        481   

USMD Holdings Inc. (c)

     1        19   

Utah Medical Products Inc.

     4        239   

Vanda Pharmaceuticals Inc. (c)

     37        464   

Vascular Solutions Inc. (c)

     16        379   

Verastem Inc. (c) (e)

     17        189   

Vical Inc. (c) (e)

     70        82   

ViroPharma Inc. (c)

     71        3,537   

Vivus Inc. (c) (e)

     105        958   

Vocera Communications Inc. (c)

     22        341   

Volcano Corp. (c)

     58        1,269   

WellCare Health Plans Inc. (c)

     47        3,322   

West Pharmaceutical Services Inc.

     75        3,680   

Wright Medical Group Inc. (c)

     44        1,361   

XenoPort Inc. (c)

     53        305   

XOMA Corp. (c) (e)

     78        527   

Zeltiq Aesthetics Inc. (c) (e)

     21        390   

ZIOPHARM Oncology Inc. (c) (e)

     63        275   

Zogenix Inc. (c) (e)

     94        322   
   

 

 

  
    235,465   
     Shares/Par (p)     Value  

INDUSTRIALS - 14.8%

    

AAON Inc.

     31        991   

AAR Corp.

     44        1,220   

ABM Industries Inc.

     58        1,664   

Acacia Research Corp. (e)

     52        761   

ACCO Brands Corp. (c)

     119        798   

Accuride Corp. (c)

     49        183   

Aceto Corp.

     31        768   

Acorn Energy Inc.

     30        123   

Actuant Corp. - Class A

     79        2,912   

Acuity Brands Inc.

     46        5,072   

Advisory Board Co. (c)

     39        2,456   

Aegion Corp. (c)

     41        897   

AeroVironment Inc. (c)

     21        605   

Air Transport Services Group Inc. (c)

     57        460   

Aircastle Ltd.

     75        1,435   

Alamo Group Inc.

     8        472   

Albany International Corp. - Class A

     29        1,052   

Allegiant Travel Co.

     16        1,684   

Altra Holdings Inc.

     30        1,019   

Ameresco Inc. - Class A (c)

     19        181   

American Railcar Industries Inc. (e)

     10        475   

American Science & Engineering Inc.

     9        655   

American Superconductor Corp. (c) (e)

     49        80   

American Woodmark Corp. (c)

     11        442   

Ampco-Pittsburgh Corp.

     9        171   

API Technologies Corp. (c)

     26        89   

Apogee Enterprises Inc.

     30        1,080   

Applied Industrial Technologies Inc.

     46        2,252   

ARC Document Solutions Inc. (c)

     36        300   

Argan Inc.

     14        378   

Arkansas Best Corp.

     28        948   

Astec Industries Inc.

     23        872   

Astronics Corp. (c)

     16        801   

Atlas Air Worldwide Holdings Inc. (c)

     27        1,115   

AZZ Inc.

     28        1,364   

Barnes Group Inc.

     59        2,242   

Barracuda Networks Inc. (c)

     4        173   

Barrett Business Services Inc.

     7        679   

Beacon Roofing Supply Inc. (c)

     52        2,090   

Belden Inc.

     48        3,366   

Benefitfocus Inc. (c) (e)

     5        307   

Blount International Inc. (c)

     52        758   

BlueLinx Holdings Inc. (c)

     26        51   

Brady Corp. - Class A

     49        1,522   

Briggs & Stratton Corp.

     50        1,098   

Brink’s Co.

     51        1,743   

Builders FirstSource Inc. (c)

     51        364   

CAI International Inc. (c)

     19        455   

Capstone Turbine Corp. (c) (e)

     345        446   

Casella Waste Systems Inc. - Class A (c)

     47        275   

CBIZ Inc. (c)

     44        397   

CDI Corp.

     13        247   

Ceco Environmental Corp.

     21        346   

Celadon Group Inc.

     23        442   

Cenveo Inc. (c)

     69        237   

Chart Industries Inc. (c)

     33        3,145   

Chase Corp.

     6        228   

Chegg Inc (c)

     16        133   

CIRCOR International Inc.

     19        1,552   

CLARCOR Inc.

     54        3,470   

Coleman Cable Inc.

     9        230   

Columbus Mckinnon Corp. (c)

     20        550   

Comfort Systems USA Inc.

     41        790   

Commercial Vehicle Group Inc. (c)

     22        162   

Consolidated Graphics Inc. (c)

     8        547   

Control4 Corp. (c) (e)

     5        83   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Corporate Executive Board Co.

     36        2,776   

Costa Inc. - Class A (c)

     9        203   

Courier Corp.

     14        249   

Covisint Corp. (c) (e)

     8        97   

CRA International Inc. (c)

     12        230   

Cubic Corp.

     21        1,095   

Curtiss-Wright Corp.

     51        3,168   

Cvent Inc. (c)

     7        240   

Deluxe Corp.

     55        2,885   

DigitalGlobe Inc. (c)

     79        3,269   

Douglas Dynamics Inc.

     23        381   

Ducommun Inc. (c)

     12        361   

DXP Enterprises Inc. (c)

     10        1,203   

Dycom Industries Inc. (c)

     35        962   

Dynamic Materials Corp.

     14        295   

Echo Global Logistics Inc. (c)

     20        430   

EMCOR Group Inc.

     73        3,095   

Encore Capital Group Inc. (c)

     27        1,376   

Encore Wire Corp.

     23        1,230   

Endurance International Group Holdings
Inc. (c) (e)

     23        323   

Energy Recovery Inc. (c) (e)

     46        258   

EnerNOC Inc. (c)

     30        508   

EnerSys Inc.

     52        3,659   

Engility Holdings Inc. (c)

     19        628   

Ennis Inc.

     29        520   

Enphase Energy Inc. (c) (e)

     14        89   

EnPro Industries Inc. (c)

     23        1,318   

Erickson Air-Crane Inc. (c) (e)

     3        69   

ESCO Technologies Inc.

     29        996   

Esterline Technologies Corp. (c)

     34        3,465   

ExOne Co. (c) (e)

     7        404   

Exponent Inc.

     14        1,076   

Federal Signal Corp. (c)

     65        957   

Flow International Corp. (c)

     49        199   

Forward Air Corp.

     33        1,451   

Franklin Covey Co. (c)

     8        164   

Franklin Electric Co. Inc.

     52        2,307   

FreightCar America Inc.

     14        374   

FTI Consulting Inc. (c)

     43        1,766   

FuelCell Energy Inc. (c) (e)

     157        222   

Furmanite Corp. (c)

     39        414   

G&K Services Inc. - Class A

     21        1,333   

GenCorp Inc. (c) (e)

     63        1,142   

Generac Holdings Inc.

     56        3,172   

General Cable Corp.

     53        1,559   

Geo Group Inc.

     76        2,460   

Gibraltar Industries Inc. (c)

     32        591   

Gigamon Inc. (c)

     8        224   

Global Brass & Copper Holdings Inc.

     7        117   

Global Power Equipment Group Inc.

     19        378   

Gogo Inc. (c)

     11        280   

Gorman-Rupp Co.

     21        690   

GP Strategies Corp. (c)

     16        491   

GrafTech International Ltd. (c) (e)

     122        1,375   

Graham Corp.

     11        411   

Granite Construction Inc.

     42        1,486   

Great Lakes Dredge & Dock Corp. (c)

     62        567   

Greenbrier Cos. Inc. (c)

     27        879   

Griffon Corp.

     47        620   

H&E Equipment Services Inc. (c)

     31        920   

Hardinge Inc.

     14        197   

Hawaiian Holdings Inc. (c) (e)

     59        564   

Healthcare Services Group Inc.

     75        2,115   

Heartland Express Inc.

     50        987   

HEICO Corp. (e)

     72        4,168   

Heidrick & Struggles International Inc.

     18        368   

Heritage-Crystal Clean Inc. (c) (e)

     11        219   
     Shares/Par (p)     Value  

Herman Miller Inc.

     62        1,844   

HNI Corp. (e)

     50        1,924   

Houston Wire & Cable Co.

     17        234   

HUB Group Inc. - Class A (c)

     39        1,571   

Hurco Cos. Inc.

     7        183   

Huron Consulting Group Inc. (c)

     25        1,596   

Hyster-Yale Materials Handling Inc. - Class A

     11        1,027   

ICF International Inc. (c)

     22        749   

II-VI Inc. (c)

     53        941   

InnerWorkings Inc. (c)

     49        379   

Innovative Solutions & Support Inc. (c)

     11        81   

Insperity Inc.

     23        849   

Insteel Industries Inc.

     21        466   

Interface Inc.

     65        1,427   

International Shipholding Corp.

     7        215   

Intersections Inc.

     9        72   

JetBlue Airways Corp. (c)

     248        2,118   

John Bean Technologies Corp.

     32        937   

Kadant Inc.

     13        513   

Kaman Corp. - Class A

     28        1,125   

Kelly Services Inc. - Class A

     30        736   

Keyw Holding Corp. (c) (e)

     36        481   

Kforce Inc.

     30        608   

Kimball International Inc. - Class B

     37        553   

Knight Transportation Inc.

     63        1,152   

Knoll Inc.

     50        922   

Korn/Ferry International (c)

     53        1,394   

Kratos Defense & Security Solutions Inc. (c)

     49        380   

Layne Christensen Co. (c) (e)

     22        382   

LB Foster Co.

     11        499   

Lindsay Corp. (e)

     13        1,115   

LMI Aerospace Inc. (c)

     14        201   

LSI Industries Inc.

     20        176   

Lydall Inc. (c)

     20        359   

Manitex International Inc. (c)

     17        265   

Marten Transport Ltd.

     26        533   

MasTec Inc. (c)

     63        2,072   

Matson Inc.

     47        1,221   

McGrath RentCorp

     28        1,104   

Meritor Inc. (c)

     102        1,063   

Middleby Corp. (c)

     20        4,885   

Miller Industries Inc.

     11        213   

Mine Safety Appliances Co.

     30        1,544   

Mistras Group Inc. (c)

     18        377   

Mobile Mini Inc. (c)

     41        1,683   

Moog Inc. - Class A (c)

     49        3,343   

Mueller Industries Inc.

     30        1,888   

Mueller Water Products Inc. - Class A

     173        1,618   

Multi-Color Corp.

     14        519   

MYR Group Inc. (c)

     22        547   

NACCO Industries Inc. - Class A

     5        299   

National Presto Industries Inc. (e)

     5        438   

Navigant Consulting Inc. (c)

     53        1,012   

NCI Building Systems Inc. (c)

     24        416   

NL Industries Inc.

     7        75   

NN Inc.

     21        417   

Norcraft Cos. Inc. (c)

     8        151   

Nortek Inc. (c)

     10        736   

Northwest Pipe Co. (c)

     9        353   

Odyssey Marine Exploration Inc. (c) (e)

     76        154   

Omega Flex Inc.

     1        20   

On Assignment Inc. (c)

     49        1,701   

Orbital Sciences Corp. (c)

     66        1,528   

Orion Marine Group Inc. (c)

     28        333   

Pacer International Inc. (c)

     43        357   

Park-Ohio Holdings Corp. (c)

     9        451   

Patrick Industries Inc. (c)

     8        227   

Patriot Transportation Holding Inc. (c)

     6        265   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Pendrell Corp. (c)

     184        370   

Performant Financial Corp. (c)

     26        263   

PGT Inc. (c)

     37        378   

Pike Corp. (c)

     30        313   

Ply Gem Holdings Inc. (c)

     18        332   

PMFG Inc. (c)

     22        203   

Polypore International Inc. (c) (e)

     51        1,974   

Powell Industries Inc.

     10        676   

Power Solutions International Inc. (c)

     3        201   

PowerSecure International Inc. (c)

     25        421   

Preformed Line Products Co.

     3        221   

Primoris Services Corp.

     37        1,149   

Proto Labs Inc. (c) (e)

     19        1,327   

Quad/Graphics Inc. - Class A (e)

     26        711   

Quality Distribution Inc. (c)

     21        267   

Quanex Building Products Corp.

     41        808   

Raven Industries Inc.

     40        1,638   

RBC Bearings Inc. (c)

     24        1,733   

Republic Airways Holdings Inc. (c)

     54        575   

Resources Connection Inc.

     42        609   

Revolution Lighting Technologies Inc (c) (e)

     26        89   

Rexnord Corp. (c)

     33        896   

Roadrunner Transportation Systems Inc. (c)

     20        550   

Rocket Fuel Inc. (c) (e)

     5        317   

RPX Corp. (c)

     36        600   

Rush Enterprises Inc. - Class A (c)

     36        1,077   

Saia Inc. (c)

     25        814   

Schawk Inc. - Class A

     14        209   

Seaboard Corp.

     —        855   

Simpson Manufacturing Co. Inc.

     43        1,585   

SkyWest Inc.

     54        804   

SP Plus Corp. (c)

     15        402   

Sparton Corp. (c) (e)

     13        351   

Spirit Airlines Inc. (c)

     65        2,974   

Standex International Corp.

     14        882   

Steelcase Inc. - Class A

     92        1,462   

Sterling Construction Co. Inc. (c)

     16        191   

Stock Building Supply Holdings Inc. (c)

     8        150   

Sun Hydraulics Corp.

     22        916   

Swift Transporation Co. - Class A (c) (e)

     89        1,984   

Swisher Hygiene Inc. (c) (e)

     91        47   

TAL International Group Inc. (e)

     36        2,068   

Taser International Inc. (c)

     56        895   

Team Inc. (c)

     22        911   

Tecumseh Products Co. - Class A (c)

     23        210   

Teledyne Technologies Inc. (c)

     41        3,723   

Tennant Co.

     20        1,368   

Tetra Tech Inc. (c)

     69        1,936   

Textainer Group Holdings Ltd. (e)

     22        896   

Textura Corp. (c) (e)

     5        161   

Thermon Group Holdings Inc. (c)

     30        811   

Titan International Inc.

     56        1,007   

Titan Machinery Inc. (c) (e)

     20        349   

Travelzoo Inc. (c)

     8        163   

TRC Cos. Inc. (c)

     17        122   

Tremor Video Inc. (c) (e)

     8        45   

Trex Co. Inc. (c)

     19        1,497   

TriMas Corp. (c)

     49        1,954   

TrueBlue Inc. (c)

     43        1,099   

Tutor Perini Corp. (c)

     41        1,075   

Twin Disc Inc.

     9        245   

Ultrapetrol Ltd. (c)

     19        70   

UniFirst Corp.

     16        1,669   

United Rentals Inc. (c)

     —        —   

United Stationers Inc.

     43        1,983   

Universal Forest Products Inc.

     22        1,137   

Universal Truckload Services Inc.

     5        166   

US Ecology Inc.

     23        858   
     Shares/Par (p)     Value  

USG Corp. (c)

     83        2,368   

UTi Worldwide Inc.

     97        1,697   

Viad Corp.

     21        587   

Vicor Corp. (c)

     23        308   

VSE Corp.

     5        247   

Wabash National Corp. (c)

     72        884   

WageWorks Inc. (c)

     27        1,623   

Watsco Inc.

     28        2,681   

Watts Water Technologies Inc. - Class A

     31        1,925   

Werner Enterprises Inc. (e)

     48        1,185   

WESCO Aircraft Holdings Inc. (c)

     43        944   

West Corp.

     23        601   

Wix.com Ltd. (c) (e)

     9        233   

Woodward Governor Co.

     75        3,405   

Xerium Technologies Inc. (c)

     10        158   

XPO Logistics Inc. (c) (e)

     32        845   

YRC Worldwide Inc. (c) (e)

     13        233   

YuMe Inc. (c) (e)

     9        64   
   

 

 

  
      272,675   

INFORMATION TECHNOLOGY - 17.0%

  

Accelrys Inc. (c)

     58        554   

ACI Worldwide Inc. (c)

     43        2,817   

Actuate Corp. (c)

     47        365   

Acxiom Corp. (c)

     80        2,970   

ADTRAN Inc.

     63        1,706   

Advanced Energy Industries Inc. (c)

     43        990   

Advent Software Inc.

     36        1,253   

Aeroflex Holding Corp. (c)

     24        155   

Agilysys Inc. (c)

     15        211   

Alliance Fiber Optic Products Inc. (e)

     14        203   

Alpha & Omega Semiconductor Ltd. (c)

     16        124   

Ambarella Inc. (c) (e)

     18        624   

American Software Inc. - Class A

     26        260   

Amkor Technology Inc. (c)

     79        487   

Anadigics Inc. (c)

     85        157   

Anaren Inc. (c)

     12        331   

Angie’s List Inc. (c) (e)

     44        670   

Anixter International Inc.

     29        2,647   

Applied Micro Circuits Corp. (c) (e)

     77        1,024   

Arris Group Inc. (c)

     124        3,026   

Aruba Networks Inc. (c)

     124        2,219   

Aspen Technology Inc. (c)

     102        4,246   

ATMI Inc. (c)

     33        1,010   

Audience Inc. (c)

     9        99   

AVG Technologies NV (c) (e)

     26        451   

Aviat Networks Inc. (c)

     62        140   

Avid Technology Inc. (c)

     37        299   

Axcelis Technologies Inc. (c)

     132        323   

Badger Meter Inc.

     16        857   

Bankrate Inc. (c) (e)

     48        868   

Bazaarvoice Inc. (c) (e)

     53        417   

Bel Fuse Inc. - Class B

     10        221   

Benchmark Electronics Inc. (c)

     58        1,336   

Black Box Corp.

     18        543   

Blackbaud Inc.

     50        1,875   

Blackhawk Network Holdings Inc. -
Class A (c)

     13        331   

Blucora Inc. (c)

     43        1,251   

Bottomline Technologies Inc. (c)

     41        1,498   

Brightcove Inc. (c)

     32        448   

BroadSoft Inc. (c)

     29        803   

Brooks Automation Inc.

     69        720   

Cabot Microelectronics Corp. (c)

     24        1,113   

CACI International Inc. - Class A (c)

     25        1,800   

CalAmp Corp. (c)

     39        1,082   

Calix Inc. (c)

     44        423   

Callidus Software Inc. (c)

     43        586   

Carbonite Inc. (c)

     12        141   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Cardtronics Inc. (c)

     48        2,077   

Cass Information Systems Inc.

     11        760   

Cavium Inc. (c)

     56        1,928   

Ceva Inc. (c)

     25        380   

ChannelAdvisor Corp. (c)

     7        294   

Checkpoint Systems Inc. (c)

     45        717   

Ciber Inc. (c)

     73        302   

Ciena Corp. (c)

     110        2,641   

Cirrus Logic Inc. (c) (e)

     68        1,379   

Cognex Corp.

     94        3,603   

Coherent Inc. (c)

     26        1,929   

Cohu Inc.

     29        306   

CommVault Systems Inc. (c)

     50        3,773   

Computer Task Group Inc.

     18        334   

comScore Inc. (c)

     37        1,070   

Comtech Telecommunications Corp.

     19        593   

Comverse Inc. (c)

     25        954   

Constant Contact Inc. (c)

     34        1,053   

Convergys Corp.

     114        2,407   

Cornerstone OnDemand Inc. (c)

     44        2,345   

CoStar Group Inc. (c)

     31        5,702   

Cray Inc. (c) (e)

     42        1,140   

CSG Systems International Inc.

     35        1,042   

CTS Corp.

     36        709   

Cyan Inc. (c) (e)

     7        37   

Cypress Semiconductor Corp.

     157        1,645   

Daktronics Inc.

     41        645   

Datalink Corp. (c)

     22        239   

Dealertrack Technologies Inc. (c)

     46        2,229   

Demand Media Inc. (c)

     40        231   

Demandware Inc. (c)

     20        1,270   

Dice Holdings Inc. (c)

     46        332   

Digi International Inc. (c)

     31        379   

Digimarc Corp.

     6        123   

Digital River Inc. (c)

     39        715   

Diodes Inc. (c)

     38        885   

DSP Group Inc. (c)

     21        203   

DTS Inc. (c)

     21        495   

E2open Inc. (c) (e)

     16        388   

Earthlink Inc.

     107        544   

Ebix Inc. (e)

     35        515   

eGain Corp. (c)

     16        166   

Electro Rent Corp.

     21        396   

Electro Scientific Industries Inc.

     24        256   

Electronics for Imaging Inc. (c)

     49        1,915   

Ellie Mae Inc. (c) (e)

     28        739   

Emulex Corp. (c)

     87        622   

Entegris Inc. (c)

     148        1,721   

Entropic Communications Inc. (c)

     101        476   

Envestnet Inc. (c)

     25        1,004   

EPAM Systems Inc. (c)

     24        843   

EPIQ Systems Inc.

     35        573   

ePlus Inc. (c)

     4        217   

Euronet Worldwide Inc. (c)

     54        2,595   

EVERTEC Inc.

     32        796   

Exar Corp. (c)

     39        465   

ExlService Holdings Inc. (c)

     36        991   

Extreme Networks (c)

     96        675   

Fabrinet (c)

     32        654   

Fair Isaac Corp.

     39        2,453   

FARO Technologies Inc. (c)

     19        1,091   

FEI Co.

     45        4,043   

Finisar Corp. (c)

     102        2,431   

FleetMatics Group Plc (c) (e)

     17        739   

FormFactor Inc. (c)

     61        367   

Forrester Research Inc.

     14        527   

Fusion-io Inc. (c)

     80        710   

Global Cash Access Holdings Inc. (c)

     69        688   
     Shares/Par (p)     Value  

Global Eagle Entertainment Inc. (c)

     25        374   

Glu Mobile Inc. (c) (e)

     66        258   

GSI Group Inc. (c)

     29        331   

GSI Technology Inc. (c)

     20        132   

GT Advanced Technologies Inc. (c) (e)

     144        1,256   

Guidance Software Inc. (c)

     17        173   

Guidewire Software Inc. (c)

     53        2,601   

Hackett Group Inc.

     26        161   

Harmonic Inc. (c)

     106        782   

Heartland Payment Systems Inc.

     39        1,929   

Higher One Holdings Inc. (c)

     30        291   

Hittite Microwave Corp. (c)

     34        2,118   

Hutchinson Technology Inc. (c)

     21        66   

iGate Corp. (c)

     38        1,534   

Imation Corp. (c)

     37        173   

Immersion Corp. (c)

     32        327   

Imperva Inc. (c)

     21        1,018   

Infinera Corp. (c) (e)

     123        1,207   

Infoblox Inc. (c)

     54        1,798   

Inphi Corp. (c)

     29        381   

Insight Enterprises Inc. (c)

     46        1,034   

Integrated Device Technology Inc. (c)

     144        1,468   

Integrated Silicon Solutions Inc. (c)

     32        390   

Interactive Intelligence Group (c)

     16        1,092   

InterDigital Inc.

     44        1,293   

Intermolecular Inc. (c)

     18        89   

Internap Network Services Corp. (c)

     60        454   

International Rectifier Corp. (c)

     74        1,930   

Intersil Corp. - Class A

     135        1,554   

IntraLinks Holdings Inc. (c)

     42        504   

InvenSense Inc. (c) (e)

     59        1,236   

Itron Inc. (c)

     42        1,745   

Ixia (c)

     59        786   

IXYS Corp.

     28        362   

j2 Global Inc. (e)

     49        2,450   

Jive Software Inc. (c) (e)

     43        488   

Kemet Corp. (c)

     45        253   

Kopin Corp. (c)

     79        332   

KVH Industries Inc. (c)

     18        236   

Lattice Semiconductor Corp. (c)

     127        698   

Limelight Networks Inc. (c)

     54        108   

Lionbridge Technologies Inc. (c)

     68        407   

Liquidity Services Inc. (c) (e)

     26        589   

Littelfuse Inc.

     24        2,189   

LivePerson Inc. (c)

     57        849   

LogMeIn Inc. (c)

     27        901   

Loral Space & Communications Inc. (c)

     14        1,104   

LTX-Credence Corp. (c)

     55        441   

Luxoft Holding Inc. - Class A (c)

     6        229   

M/A-COM Technology Solutions
Holdings Inc. (c)

     13        214   

Manhattan Associates Inc. (c)

     21        2,488   

Mantech International Corp. - Class A

     26        781   

Marchex Inc. - Class B

     29        248   

Marin Software Inc. (c) (e)

     8        83   

Marketo Inc. (c)

     8        301   

MAXIMUS Inc.

     74        3,259   

MaxLinear Inc. - Class A (c)

     23        239   

Maxwell Technologies Inc. (c)

     35        272   

Measurement Specialties Inc. (c)

     16        987   

Mentor Graphics Corp.

     104        2,498   

Mercury Systems Inc. (c)

     37        406   

Mesa Laboratories Inc.

     3        262   

Methode Electronics Inc.

     39        1,327   

Micrel Inc.

     51        504   

Microsemi Corp. (c)

     99        2,473   

MicroStrategy Inc. - Class A (c)

     10        1,234   

Millennial Media Inc. (c) (e)

     40        294   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Mitek Systems Inc. (c) (e)

     33        195   

MKS Instruments Inc.

     56        1,690   

MODEL N Inc. (c)

     7        84   

ModusLink Global Solutions Inc. (c)

     34        194   

MoneyGram International Inc. (c)

     23        488   

Monolithic Power Systems Inc. (c)

     40        1,397   

Monotype Imaging Holdings Inc.

     42        1,336   

Monster Worldwide Inc. (c)

     121        864   

MoSys Inc. (c)

     59        325   

Move Inc. (c)

     44        707   

MTS Systems Corp.

     17        1,180   

Multi-Fineline Electronix Inc. (c)

     8        104   

Nanometrics Inc. (c)

     26        499   

Neonode Inc. (c) (e)

     32        200   

NeoPhotonics Corp. (c)

     23        166   

NetGear Inc. (c)

     42        1,392   

NetScout Systems Inc. (c)

     38        1,122   

Newport Corp. (c)

     43        773   

NIC Inc.

     69        1,718   

Numerex Corp. - Class A (c) (e)

     17        221   

NVE Corp. (c)

     6        339   

Omnivision Technologies Inc. (c)

     56        971   

OpenTable Inc. (c)

     24        1,927   

Oplink Communications Inc. (c)

     21        400   

OSI Systems Inc. (c)

     21        1,128   

Park Electrochemical Corp.

     23        666   

ParkerVision Inc. (c) (e)

     101        458   

PC Connection Inc.

     11        275   

PC-Tel Inc.

     19        177   

PDF Solutions Inc. (c)

     28        706   

Pegasystems Inc.

     19        936   

Peregrine Semiconductor Corp. (c) (e)

     30        223   

Perficient Inc. (c)

     35        817   

Pericom Semiconductor Corp. (c)

     23        207   

Photronics Inc. (c)

     63        565   

Planet Payment Inc. (c)

     37        104   

Plantronics Inc.

     47        2,190   

Plexus Corp. (c)

     37        1,615   

PLX Technology Inc. (c)

     45        294   

PMC - Sierra Inc. (c)

     217        1,397   

Power Integrations Inc.

     31        1,724   

PRG-Schultz International Inc. (c)

     28        188   

Procera Networks Inc. (c) (e)

     21        309   

Progress Software Corp. (c)

     58        1,486   

Proofpoint Inc. (c)

     24        792   

PROS Holdings Inc. (c)

     23        938   

PTC Inc. (c)

     130        4,591   

QAD Inc. - Class A (e)

     6        106   

QLIK Technologies Inc. (c)

     95        2,520   

QLogic Corp. (c)

     98        1,155   

Qualys Inc. (c)

     16        379   

Quantum Corp. (c)

     241        289   

QuinStreet Inc. (c)

     36        311   

Radisys Corp. (c)

     18        42   

Rally Software Development Corp. (c)

     8        160   

Rambus Inc. (c)

     117        1,107   

RealD Inc. (c)

     46        393   

RealNetworks Inc. (c)

     28        213   

RealPage Inc. (c) (e)

     51        1,193   

Reis Inc. (c)

     10        198   

Responsys Inc. (c)

     40        1,105   

RF Micro Devices Inc. (c)

     300        1,546   

Richardson Electronics Ltd.

     11        129   

Rofin-Sinar Technologies Inc. (c)

     31        845   

Rogers Corp. (c)

     18        1,100   

Rosetta Stone Inc. (c)

     12        145   

Rubicon Technology Inc. (c) (e)

     22        215   

Ruckus Wireless Inc. (c)

     48        687   
     Shares/Par (p)     Value  

Rudolph Technologies Inc. (c)

     37        434   

Sanmina Corp. (c)

     88        1,473   

Sapiens International Corp. NV

     22        169   

Sapient Corp. (c)

     118        2,042   

ScanSource Inc. (c)

     31        1,298   

SciQuest Inc. (c) (e)

     24        674   

SeaChange International Inc. (c)

     34        412   

Semtech Corp. (c)

     73        1,853   

ServiceSource International Inc. (c)

     64        535   

ShoreTel Inc. (c)

     66        613   

Sigma Designs Inc. (c)

     30        142   

Silicon Graphics International Corp. (c)

     35        472   

Silicon Image Inc. (c)

     86        531   

Silver Spring Networks Inc. (c)

     5        109   

Sonus Networks Inc. (c)

     226        711   

Spansion Inc. (c)

     52        720   

Spark Networks Inc. (c) (e)

     16        96   

Speed Commerce Inc. (c)

     55        257   

SPS Commerce Inc. (c)

     17        1,124   

SS&C Technologies Holdings Inc. (c)

     63        2,803   

Stamps.com Inc. (c)

     14        602   

SunEdison Inc. (c)

     290        3,779   

SunPower Corp. (c) (e)

     45        1,345   

Super Micro Computer Inc. (c)

     35        600   

Supertex Inc. (c)

     12        299   

support.com Inc. (c)

     58        221   

Sykes Enterprises Inc. (c)

     43        937   

Synaptics Inc. (c)

     35        1,792   

Synchronoss Technologies Inc. (c)

     31        949   

SYNNEX Corp. (c)

     28        1,896   

Syntel Inc.

     17        1,536   

Take-Two Interactive Software Inc. (c)

     86        1,498   

Tangoe Inc. (c)

     34        621   

TechTarget Inc. (c)

     14        93   

TeleCommunication Systems Inc. - Class A (c)

     42        97   

TeleNav Inc. (c)

     17        110   

TeleTech Holdings Inc. (c)

     22        523   

Tessco Technologies Inc.

     7        277   

Tessera Technologies Inc.

     55        1,090   

TiVo Inc. (c)

     135        1,770   

TriQuint Semiconductor Inc. (c)

     174        1,450   

Trulia Inc. (c) (e)

     29        1,040   

TTM Technologies Inc. (c)

     58        498   

Tyler Technologies Inc. (c)

     34        3,491   

Ubiquiti Networks Inc. (c) (e)

     14        649   

Ultimate Software Group Inc. (c)

     30        4,588   

Ultra Clean Holdings Inc. (c)

     28        284   

Ultratech Inc. (c)

     29        841   

Uni-Pixel Inc. (c) (e)

     12        125   

Unisys Corp. (c) (e)

     48        1,624   

United Online Inc

     15        201   

Universal Display Corp. (c) (e)

     43        1,472   

Unwired Planet Inc. (c)

     97        134   

ValueClick Inc. (c)

     72        1,683   

VASCO Data Security International Inc. (c)

     30        231   

Veeco Instruments Inc. (c)

     42        1,373   

Verint Systems Inc. (c)

     57        2,464   

ViaSat Inc. (c)

     43        2,692   

Viasystems Group Inc. (c)

     2        33   

VirnetX Holding Corp. (c) (e)

     44        857   

Virtusa Corp. (c)

     22        853   

Vishay Precision Group Inc. (c)

     13        193   

VistaPrint NV (c) (e)

     36        2,023   

Vocus Inc. (c)

     19        219   

Vringo Inc. (c) (e)

     82        244   

Web.com Group Inc. (c)

     45        1,419   

WebMD Health Corp. - Class A (c)

     31        1,211   

Westell Technologies Inc. - Class A (c)

     53        214   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

WEX Inc. (c)

     42        4,165   

XO Group Inc. (c)

     30        451   

Xoom Corp. (c)

     9        234   

Yelp Inc. - Class A (c)

     35        2,406   

Zillow Inc. - Class A (c) (e)

     25        2,075   

Zixit Corp. (c)

     63        286   

Zygo Corp. (c)

     16        243   
   

 

 

  
    314,516   

MATERIALS - 4.8%

    

A. Schulman Inc.

     31        1,085   

Advanced Emissions Solutions Inc. (c)

     10        566   

AEP Industries Inc. (c)

     5        260   

AK Steel Holding Corp. (c) (e)

     142        1,164   

Allied Nevada Gold Corp. (c) (e)

     108        383   

AM Castle & Co. (c)

     20        295   

AMCOL International Corp.

     31        1,042   

American Pacific Corp. (c)

     7        250   

American Vanguard Corp.

     30        727   

Arabian American Development Co. (c)

     22        273   

Axiall Corp.

     76        3,596   

Balchem Corp.

     32        1,856   

Berry Plastics Group Inc. (c)

     59        1,403   

Boise Cascade Co. (c)

     14        415   

Calgon Carbon Corp. (c)

     59        1,221   

Century Aluminum Co. (c)

     56        590   

Chemtura Corp. (c)

     105        2,927   

Clearwater Paper Corp. (c)

     23        1,192   

Coeur d’Alene Mines Corp. (c)

     108        1,173   

Commercial Metals Co.

     127        2,585   

Deltic Timber Corp.

     12        838   

Ferro Corp. (c)

     80        1,023   

Flotek Industries Inc. (c)

     50        1,004   

FutureFuel Corp.

     24        377   

General Moly Inc. (c)

     54        72   

Globe Specialty Metals Inc.

     71        1,273   

Gold Resource Corp. (e)

     38        170   

Graphic Packaging Holding Co. (c)

     211        2,030   

GSE Holding Inc. (c)

     6        13   

Handy & Harman Ltd. (c)

     6        139   

Hawkins Inc.

     11        399   

Haynes International Inc.

     13        709   

HB Fuller Co.

     55        2,846   

Headwaters Inc. (c)

     80        783   

Hecla Mining Co. (e)

     349        1,075   

Horsehead Holding Corp. (c)

     48        783   

Innophos Holdings Inc.

     24        1,171   

Innospec Inc.

     25        1,139   

Intrepid Potash Inc. (c) (e)

     57        907   

Kaiser Aluminum Corp.

     20        1,414   

KapStone Paper and Packaging Corp. (c)

     44        2,482   

KMG Chemicals Inc.

     8        140   

Koppers Holdings Inc.

     22        992   

Kraton Performance Polymers Inc. (c)

     36        821   

Landec Corp. (c)

     29        356   

Louisiana-Pacific Corp. (c)

     151        2,804   

LSB Industries Inc. (c)

     21        859   

Marrone Bio Innovations Inc. (c)

     6        100   

Materion Corp.

     23        704   

Midway Gold Corp. (c)

     120        97   

Minerals Technologies Inc.

     37        2,231   

Molycorp Inc. (c) (e)

     165        924   

Myers Industries Inc.

     31        652   

Neenah Paper Inc.

     18        748   

Noranda Aluminium Holding Corp.

     27        89   

Olin Corp. (e)

     87        2,524   

Olympic Steel Inc.

     9        256   

OM Group Inc. (c)

     35        1,277   
     Shares/Par (p)     Value  

Omnova Solutions Inc. (c)

     48        437   

P.H. Glatfelter Co.

     47        1,301   

Paramount Gold and Silver Corp. (c) (e)

     148        138   

Penford Corp. (c)

     8        109   

PolyOne Corp.

     108        3,812   

Quaker Chemical Corp.

     14        1,060   

Resolute Forest Products (c) (e)

     77        1,227   

RTI International Metals Inc. (c)

     33        1,123   

Schnitzer Steel Industries Inc. - Class A

     28        930   

Schweitzer-Mauduit International Inc.

     34        1,758   

Sensient Technologies Corp.

     54        2,637   

Stepan Co.

     21        1,357   

Stillwater Mining Co. (c)

     126        1,552   

SunCoke Energy Inc. (c)

     76        1,745   

Taminco Corp. (c)

     16        325   

Texas Industries Inc. (c)

     23        1,594   

Tredegar Corp.

     27        777   

UFP Technologies Inc. (c)

     5        124   

United States Lime & Minerals Inc. (c)

     2        94   

Universal Stainless & Alloy Products Inc. (c)

     8        295   

US Concrete Inc. (c)

     16        365   

US Silica Holdings Inc.

     24        802   

Walter Industries Inc. (e)

     65        1,089   

Wausau Paper Corp.

     54        686   

Worthington Industries Inc.

     58        2,420   

Zep Inc.

     26        466   

Zoltek Cos. Inc. (c)

     31        517   
   

 

 

  
    87,964   

TELECOMMUNICATION SERVICES - 0.7%

  

8x8 Inc. (c)

     94        954   

Atlantic Tele-Network Inc.

     10        570   

Boingo Wireless Inc. (c)

     19        121   

Cbeyond Inc. (c)

     25        171   

Cincinnati Bell Inc. (c)

     228        810   

Cogent Communications Group Inc.

     50        2,032   

Consolidated Communications Holdings Inc.

     44        871   

Fairpoint Communications Inc. (c) (e)

     19        219   

General Communication Inc. - Class A (c)

     32        353   

Hawaiian Telcom Holdco Inc. (c) (e)

     10        307   

HickoryTech Corp.

     16        211   

IDT Corp. - Class B

     18        315   

inContact Inc. (c)

     58        452   

Inteliquent Inc.

     37        419   

Iridium Communications Inc. (c) (e)

     72        450   

Leap Wireless International Inc. (c)

     56        983   

Lumos Networks Corp.

     16        345   

magicJack VocalTec Ltd. (c) (e)

     22        266   

NII Holdings Inc. - Class B (c) (e)

     183        504   

NTELOS Holdings Corp.

     18        355   

ORBCOMM Inc. (c)

     43        273   

Premiere Global Services Inc. (c)

     50        579   

RingCentral Inc. - Class A (c)

     9        166   

Shenandoah Telecommunications Co.

     25        638   

Straight Path Communications Inc. -
Class B (c)

     7        54   

Towerstream Corp. (c) (e)

     85        250   

USA Mobility Inc.

     23        326   

Vonage Holdings Corp. (c)

     170        567   
   

 

 

  
    13,561   

UTILITIES - 2.9%

    

Allete Inc.

     43        2,168   

American States Water Co.

     42        1,216   

Artesian Resources Corp. - Class A

     8        188   

Atlantic Power Corp. (e)

     130        451   

Avista Corp.

     64        1,800   

Black Hills Corp.

     48        2,538   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

California Water Service Group

     50        1,153   

Chesapeake Utilities Corp.

     10        614   

Cleco Corp.

     66        3,059   

Connecticut Water Services Inc.

     12        437   

Consolidated Water Co. Ltd.

     15        212   

Delta Natural Gas Co. Inc.

     7        160   

Dynegy Inc. (c) (e)

     109        2,343   

El Paso Electric Co.

     43        1,503   

Empire District Electric Co.

     45        1,013   

Genie Energy Ltd. - Class B (c)

     13        137   

IDACORP Inc.

     54        2,777   

Laclede Group Inc.

     35        1,584   

MGE Energy Inc.

     24        1,411   

Middlesex Water Co.

     18        378   

New Jersey Resources Corp.

     45        2,104   

Northwest Natural Gas Co.

     30        1,265   

NorthWestern Corp.

     40        1,749   

NRG Yield Inc. - Class A

     25        994   

Ormat Technologies Inc. (e)

     19        527   

Otter Tail Corp.

     40        1,165   

Pattern Energy Group Inc. - Class A

     19        583   

Piedmont Natural Gas Co. Inc.

     82        2,720   

PNM Resources Inc.

     87        2,092   

Portland General Electric Co.

     82        2,486   

Pure Cycle Corp. (c) (e)

     15        96   

SJW Corp.

     17        519   

South Jersey Industries Inc.

     35        1,948   

Southwest Gas Corp.

     49        2,762   

UIL Holdings Corp.

     61        2,380   

Unitil Corp.

     14        423   

UNS Energy Corp.

     45        2,700   

WGL Holdings Inc.

     56        2,252   

York Water Co.

     13        268   
   

 

 

  
    54,175   
   

 

 

  

Total Common Stocks (cost $1,317,727)

  

     1,796,937   
   

 

 

  

RIGHTS - 0.0%

    

EXCO Resources Inc. (c) (e)

     142        23   

Trius Therapeutics Inc. (c) (f)

     8        —   
   

 

 

  

Total Rights (cost $0)

  

     23   
   

 

 

  

WARRANTS - 0.0%

    

Magnum Hunter Resources
Corp. (c) (e) (f)

     19        —   
   

 

 

  

Total Warrants (cost $0)

  

     —   
   

 

 

  

INVESTMENT COMPANIES - 0.0%

  

  

Firsthand Technology Value Fund Inc.

     8        196   
   

 

 

  

Total Investment Companies (cost $170)

  

     196   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

  

Gerber Scientific Inc. (c) (e) (f) (u)

     19        —   
   

 

 

  

Total Other Equity Interests (cost $0)

  

     —   
   

 

 

  

SHORT TERM INVESTMENTS - 13.5%

  

  

Investment Company - 2.7%

    

JNL Money Market Fund,
0.01% (a) (h)

     49,189        49,189   

Securities Lending Collateral - 10.7%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     198,666        198,666   

Treasury Securities - 0.1%

    

U.S. Treasury Bill

    

0.07%, 03/13/14 (o)

   $ 400        400   

0.07%, 03/27/14 (o)

     490        490   
     Shares/Par (p)     Value  

0.07%, 06/26/14 (o)

     1,220        1,219   
   

 

 

  
    2,109   
   

 

 

  

Total Short Term Investments (cost $249,964)

  

     249,964   
   

 

 

  

Total Investments - 110.7% (cost $1,567,861)

  

     2,047,120   

Other Assets and Liabilities, Net - (10.7%)

 

     (197,568 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     1,849,552   
   

 

 

  

JNL/Mellon Capital International Index Fund

  

COMMON STOCKS - 96.7%

  

AUSTRALIA - 7.2%

  

AGL Energy Ltd.

     98      $ 1,318   

ALS Ltd. (e)

     67        532   

Alumina Ltd. (c) (e)

     442        439   

Amcor Ltd.

     203        1,914   

AMP Ltd.

     505        1,983   

APA Group

     152        814   

Asciano Group

     161        832   

ASX Ltd.

     33        1,086   

Aurizon Holdings Ltd.

     344        1,501   

Australia & New Zealand Banking Group Ltd.

     472        13,637   

Bank of Queensland Ltd.

     52        567   

Bendigo and Adelaide Bank
Ltd. (e)

     66        692   

BHP Billiton Ltd.

     553        18,837   

Boral Ltd. (e)

     127        543   

Brambles Ltd.

     272        2,229   

Caltex Australia Ltd.

     26        464   

CFS Retail Property Trust

     379        660   

Coca-Cola Amatil Ltd.

     100        1,075   

Cochlear Ltd. (e)

     9        494   

Commonwealth Bank of Australia

     277        19,322   

Computershare Ltd.

     84        856   

Crown Resorts Ltd.

     67        1,016   

CSL Ltd.

     85        5,245   

Dexus Property Group

     876        788   

Echo Entertainment Group Ltd.

     125        274   

Federation Centres Ltd.

     265        555   

Flight Centre Travel Group Ltd. (e)

     10        444   

Fortescue Metals Group Ltd. (e)

     269        1,403   

Goodman Group

     303        1,283   

GPT Group

     315        959   

Harvey Norman Holdings Ltd. (e)

     87        246   

Iluka Resources Ltd. (e)

     72        554   

Incitec Pivot Ltd.

     260        623   

Insurance Australia Group Ltd.

     350        1,820   

Leighton Holdings Ltd.

     30        435   

Lend Lease Corp. Ltd.

     88        882   

Macquarie Group Ltd. (c)

     49        2,423   

Metcash Ltd. (e)

     144        407   

Mirvac Group

     627        943   

National Australia Bank Ltd.

     403        12,593   

Newcrest Mining Ltd.

     126        884   

Orica Ltd.

     64        1,367   

Origin Energy Ltd.

     188        2,364   

Orora Ltd. (c)

     203        210   

Qantas Airways Ltd. (c)

     165        161   

QBE Insurance Group Ltd.

     205        2,112   

Ramsay Health Care Ltd.

     22        836   

REA Group Ltd.

     9        290   

Rio Tinto Ltd.

     75        4,621   

Santos Ltd.

     169        2,213   

Seek Ltd.

     58        697   

Sonic Health Care Ltd.

     63        939   

SP AusNet

     245        273   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Stockland (e)

     399        1,290   

Suncorp Group Ltd.

     220        2,578   

Sydney Airport

     194        658   

Tabcorp Holdings Ltd.

     142        460   

Tatts Group Ltd.

     225        623   

Telstra Corp. Ltd.

     741        3,477   

Toll Holdings Ltd. (e)

     117        595   

Transurban Group

     238        1,453   

Treasury Wine Estates Ltd.

     113        487   

Wesfarmers Ltd.

     172        6,760   

Westfield Group

     362        3,267   

Westfield Retail Trust

     516        1,370   

Westpac Banking Corp.

     534        15,483   

Woodside Petroleum Ltd.

     114        3,980   

Woolworths Ltd.

     215        6,514   

WorleyParsons Ltd.

     34        506   
   

 

 

  
    169,156   

AUSTRIA - 0.3%

    

Andritz AG (e)

     12        739   

Erste Group Bank AG

     45        1,555   

IMMOFINANZ AG

     170        785   

OMV AG

     24        1,162   

Raiffeisen International Bank Holding AG

     7        254   

Telekom Austria AG (e)

     40        304   

Vienna Insurance Group AG Wiener Versicherung Gruppe

     7        369   

Voestalpine AG

     18        867   
   

 

 

  
    6,035   

BELGIUM - 1.2%

    

Ageas

     41        1,733   

Anheuser-Busch InBev NV

     138        14,713   

Belgacom SA (e)

     27        803   

Colruyt SA

     13        754   

Delhaize Group

     17        998   

Groupe Bruxelles Lambert SA

     13        1,219   

Groupe Bruxelles Lambert SA VVPR
Strip (c) (f)

     —        —   

KBC Groep NV

     43        2,429   

Solvay SA

     10        1,654   

Telenet Group Holding NV

     8        495   

UCB SA

     18        1,349   

Umicore

     19        879   
   

 

 

  
    27,026   

DENMARK - 1.1%

    

A P Moller - Maersk A/S - Class A

     —        948   

A P Moller - Maersk A/S - Class B

     —        2,413   

Carlsberg A/S - Class B

     18        1,993   

Coloplast A/S

     18        1,207   

Danske Bank A/S (c)

     114        2,628   

DSV A/S

     32        1,064   

Novo-Nordisk A/S

     69        12,579   

Novozymes A/S - Class B

     39        1,649   

TDC A/S

     127        1,228   

TrygVesta A/S

     4        362   

William Demant Holding A/S (c)

     4        373   
   

 

 

  
    26,444   

FINLAND - 0.9%

    

Elisa Oyj

     24        626   

Fortum Oyj

     76        1,750   

Kone Oyj - Class B (e)

     52        2,356   

Metso Oyj

     23        984   

Neste Oil Oyj

     19        385   

Nokia Oyj (c)

     648        5,238   

Nokian Renkaat Oyj

     20        967   

Orion Oyj - Class B

     17        479   
     Shares/Par (p)     Value  

Pohjola Bank Plc

     21        423   

Sampo Oyj - Class A

     71        3,509   

Stora Enso Oyj

     96        961   

UPM-Kymmene Oyj

     93        1,580   

Wartsila Oyj Abp

     30        1,481   
   

 

 

  
    20,739   

FRANCE - 9.2%

    

Accor SA

     27        1,286   

Aeroports de Paris

     5        624   

Air Liquide

     54        7,618   

Alcatel-Lucent (c)

     419        1,860   

Alstom SA

     36        1,303   

Arkema SA

     11        1,303   

Atos Origin SA

     12        1,077   

AXA SA

     310        8,623   

BNP Paribas

     171        13,355   

Bouygues SA

     33        1,260   

Bureau Veritas SA

     36        1,059   

Cap Gemini SA

     25        1,719   

Carrefour SA

     102        4,068   

Casino Guichard Perrachon SA

     10        1,140   

Christian Dior SA

     9        1,775   

Cie de Saint-Gobain

     71        3,907   

Cie Generale d’Optique Essilor International SA

     35        3,770   

Cie Generale de Geophysique -
Veritas (c) (e)

     26        459   

CNP Assurances SA

     28        565   

Compagnie Generale des Etablissements Michelin

     32        3,378   

Credit Agricole SA (c)

     172        2,200   

Danone SA

     99        7,123   

Dassault Systemes SA

     10        1,273   

Edenred

     35        1,187   

Electricite de France SA

     41        1,433   

Eurazeo

     5        407   

Eutelsat Communications Group SA

     26        807   

Fonciere Des Regions

     5        461   

GDF Suez

     230        5,398   

Gecina SA

     4        508   

Groupe Eurotunnel SA

     95        997   

Icade SA

     6        531   

Iliad SA

     4        909   

Imerys SA

     5        452   

JC Decaux SA

     12        509   

Klepierre

     18        822   

L’Oreal SA

     42        7,335   

Lafarge SA

     31        2,353   

Lagardere SCA

     20        730   

Legrand SA

     46        2,547   

LVMH Moet Hennessy Louis Vuitton SA

     44        8,004   

Natixis

     164        967   

Orange SA

     315        3,909   

Pernod-Ricard SA

     37        4,192   

PPR SA

     13        2,727   

Publicis Groupe SA

     31        2,853   

Remy Cointreau SA (e)

     4        335   

Renault SA

     34        2,697   

Rexel SA

     34        902   

Safran SA

     46        3,222   

Sanofi SA

     205        21,891   

Schneider Electric SA

     91        7,947   

SCOR SE

     27        971   

Societe BIC SA

     5        575   

Societe Generale

     121        7,055   

Sodexo SA

     16        1,652   

Suez Environnement SA

     47        846   

Technip SA

     18        1,720   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Thales SA

     16        1,014   

Total SA

     368        22,583   

Unibail-Rodamco SE

     16        4,203   

Valeo SA

     11        1,191   

Vallourec SA

     19        1,033   

Veolia Environnement

     55        903   

Vinci SA

     82        5,395   

Vivendi SA

     206        5,444   

Wendel SA

     6        850   

Zodiac Aerospace

     6        993   
   

 

 

  
    214,205   

GERMANY - 8.6%

    

Adidas AG

     36        4,532   

Allianz SE

     79        14,129   

Axel Springer SE

     6        374   

BASF SE

     158        16,874   

Bayer AG

     142        19,981   

Bayerische Motoren Werke AG

     57        6,720   

Beiersdorf AG

     17        1,765   

Brenntag AG

     9        1,653   

Celesio AG (e)

     16        506   

Commerzbank AG (c)

     164        2,640   

Continental AG

     19        4,180   

Daimler AG

     166        14,378   

Deutsche Bank AG

     176        8,452   

Deutsche Boerse AG

     32        2,682   

Deutsche Lufthansa AG (c)

     39        827   

Deutsche Post AG

     157        5,732   

Deutsche Telekom AG

     496        8,538   

Deutsche Wohnen AG

     51        986   

E.ON SE

     311        5,758   

Fraport AG Frankfurt Airport Services Worldwide

     7        516   

Fresenius Medical Care AG & Co. KGaA

     37        2,626   

Fresenius SE

     21        3,278   

GEA Group AG

     31        1,483   

Hannover Rueck SE

     10        862   

HeidelbergCement AG

     24        1,800   

Henkel AG & Co. KGaA

     22        2,279   

Hochtief AG

     6        486   

Hugo Boss AG (e)

     6        821   

Infineon Technologies AG

     186        1,984   

K+S AG (e)

     31        957   

Kabel Deutschland Holding AG

     4        473   

Lanxess AG

     15        994   

Linde AG

     32        6,704   

Man SE

     6        701   

Merck KGaA

     11        1,952   

Metro AG

     22        1,051   

Muenchener Rueckversicherungs AG

     31        6,835   

OSRAM Licht AG (c)

     15        857   

ProSiebenSat.1 Media AG

     31        1,545   

RTL Group SA (c)

     6        816   

RWE AG

     83        3,058   

SAP AG

     159        13,764   

Siemens AG

     136        18,711   

Sky Deutschland AG (c)

     71        790   

Suedzucker AG

     14        371   

Telefonica Deutschland Holding AG

     41        335   

ThyssenKrupp AG (c)

     78        1,893   

United Internet AG

     19        800   

Volkswagen AG

     5        1,317   
   

 

 

  
    200,766   

GUERNSEY - 0.1%

    

Resolution Ltd.

     246        1,446   
     Shares/Par (p)     Value  

HONG KONG - 2.7%

    

AIA Group Ltd.

     2,076        10,450   

ASM Pacific Technology Ltd. (e)

     44        364   

Bank of East Asia Ltd.

     217        919   

BOC Hong Kong Holdings Ltd.

     621        1,996   

Cathay Pacific Airways Ltd.

     174        369   

Cheung Kong Holdings Ltd.

     236        3,734   

Cheung Kong Infrastructure Holdings Ltd.

     108        683   

CLP Holdings Ltd.

     309        2,443   

Experian Plc

     172        3,174   

First Pacific Co. Ltd.

     410        467   

Galaxy Entertainment Group Ltd. (c)

     359        3,232   

Hang Lung Properties Ltd. (e)

     389        1,233   

Hang Seng Bank Ltd.

     129        2,087   

Henderson Land Development Co. Ltd.

     174        994   

HKT Trust

     334        330   

Hong Kong & China Gas Co. Ltd. (e)

     1,003        2,303   

Hong Kong Exchanges & Clearing Ltd. (e)

     191        3,189   

Hongkong Electric Holdings Ltd.

     244        1,938   

Hopewell Holdings Ltd. (e)

     87        293   

Hutchison Whampoa Ltd.

     369        5,028   

Hysan Development Co. Ltd.

     110        475   

Kerry Properties Ltd.

     109        378   

Li & Fung Ltd. (e)

     1,012        1,308   

Link REIT

     401        1,945   

MGM China Holdings Ltd.

     175        750   

MTR Corp.

     239        904   

New World Development Ltd.

     680        861   

NWS Holdings Ltd.

     217        331   

PCCW Ltd.

     576        258   

Shangri-La Asia Ltd.

     256        500   

Sino Land Co.

     499        684   

SJM Holdings Ltd.

     328        1,103   

Sun Hung Kai Properties Ltd.

     278        3,533   

Swire Pacific Ltd.

     118        1,381   

Swire Properties Ltd.

     199        504   

Wharf Holdings Ltd.

     265        2,033   

Wheelock & Co. Ltd.

     154        709   

Yue Yuen Industrial Holdings Ltd.

     124        415   
   

 

 

  
    63,298   

IRELAND - 0.3%

    

Anglo Irish Bank Corp. Plc (c) (f)

     34        —   

CRH Plc

     124        3,150   

James Hardie Industries SE - CDI

     72        836   

Kerry Group Plc

     26        1,791   

Ryanair Holdings Plc (c)

     2        16   

The Governor & Co. of the Bank of Ireland (c)

     3,691        1,287   
   

 

 

  
    7,080   

ISRAEL - 0.4%

    

Bank Hapoalim BM

     178        998   

Bank Leumi Le-Israel BM (c)

     205        839   

Bezeq Israeli Telecommunication Corp. Ltd.

     343        582   

Delek Group Ltd.

     1        346   

Israel Chemicals Ltd.

     75        624   

Israel Corp. Ltd. (c)

     1        291   

Mizrahi Tefahot Bank Ltd.

     19        251   

NICE Systems Ltd.

     9        369   

Teva Pharmaceutical Industries Ltd.

     147        5,881   
   

 

 

  
    10,181   

ITALY - 2.1%

    

Assicurazioni Generali SpA

     198        4,658   

Atlantia SpA (e)

     55        1,222   

Banca Monte dei Paschi di Siena SpA (c) (e)

     1,230        296   

CNH Industrial NV (c)

     162        1,845   

Enel Green Power SpA

     300        754   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Enel SpA

     1,140        4,974   

ENI SpA

     438        10,594   

Exor SpA

     16        626   

Fiat SpA (c)

     156        1,275   

Finmeccanica SpA (c)

     76        575   

Intesa Sanpaolo SpA

     2,013        4,952   

Luxottica Group SpA

     29        1,576   

Mediobanca SpA (c)

     93        810   

Pirelli & C. SpA

     43        746   

Prysmian SpA

     34        866   

Saipem SpA

     47        1,011   

Snam Rete Gas SpA

     342        1,913   

Telecom Italia SpA

     1,707        1,703   

Terna Rete Elettrica Nazionale SpA

     262        1,311   

UniCredit SpA

     751        5,541   

Unione di Banche Italiane SCPA

     142        966   
   

 

 

  
    48,214   

JAPAN - 20.3%

    

ABC-Mart Inc.

     4        179   

Acom Co. Ltd. (c)

     59        202   

Advantest Corp.

     22        273   

AEON Co. Ltd.

     106        1,440   

AEON Credit Service Co. Ltd.

     10        280   

AEON Mall Co. Ltd.

     20        565   

Air Water Inc.

     23        312   

Aisin Seiki Co. Ltd.

     32        1,281   

Ajinomoto Co. Inc.

     102        1,477   

Alfresa Holdings Corp.

     6        308   

Amada Co. Ltd.

     65        574   

ANA Holdings Inc.

     214        428   

Aozora Bank Ltd. (e)

     168        475   

Asahi Breweries Ltd.

     65        1,840   

Asahi Glass Co. Ltd. (e)

     166        1,034   

Asahi Kasei Corp.

     218        1,710   

Asics Corp.

     29        499   

Astellas Pharma Inc.

     74        4,373   

Bank of Kyoto Ltd.

     61        510   

Bank of Yokohama Ltd.

     200        1,116   

Benesse Corp.

     13        522   

Bridgestone Corp.

     111        4,186   

Brother Industries Ltd.

     43        581   

Calbee Inc.

     14        330   

Canon Inc. (e)

     196        6,254   

Casio Computer Co. Ltd. (e)

     33        403   

Central Japan Railway Co.

     25        2,899   

China Bank Ltd.

     124        837   

Chiyoda Corp.

     23        334   

Chubu Electric Power Co. Inc.

     109        1,405   

Chugai Pharmaceutical Co. Ltd.

     37        830   

Chugoku Bank Ltd.

     26        330   

Chugoku Electric Power Co. Inc.

     51        796   

Chuo Mitsui Trust Holdings Inc.

     578        3,058   

Citizen Holdings Co. Ltd.

     39        328   

Coca-Cola West Co. Ltd.

     10        201   

Credit Saison Co. Ltd.

     28        738   

Dai Nippon Printing Co. Ltd.

     92        977   

Dai-Ichi Life Insurance Co. Ltd.

     143        2,388   

Daicel Chemical Industries Ltd.

     44        359   

Daido Steel Co. Ltd.

     42        209   

Daihatsu Motor Co. Ltd.

     34        577   

Daiichi Sankyo Co. Ltd.

     113        2,069   

Daikin Industries Ltd.

     41        2,559   

Dainippon Sumitomo Pharma Co. Ltd.

     28        434   

Daito Trust Construction Co. Ltd.

     12        1,113   

Daiwa House Industry Co. Ltd.

     103        1,996   

Daiwa Securities Group Inc.

     290        2,905   

Dena Co. Ltd. (e)

     17        365   
     Shares/Par (p)     Value  

Denso Corp.

     83        4,364   

Dentsu Inc.

     38        1,554   

Don Quijote Holdings Co. Ltd.

     10        594   

East Japan Railway Co.

     58        4,643   

Eisai Co. Ltd.

     42        1,643   

Electric Power Development Co. Ltd.

     19        560   

FamilyMart Co. Ltd. (e)

     9        407   

Fanuc Ltd.

     33        6,084   

Fast Retailing Co. Ltd.

     9        3,717   

Fuji Electric Holdings Co. Ltd.

     86        403   

Fuji Heavy Industries Ltd.

     100        2,874   

FUJIFILM Holdings Corp.

     78        2,214   

Fujitsu Ltd. (c)

     324        1,679   

Fukuoka Financial Group Inc.

     129        566   

Gree Inc. (e)

     14        136   

GungHo Online Entertainment Inc. (c) (e)

     60        435   

Gunma Bank Ltd.

     67        374   

Hachijuni Bank Ltd.

     71        416   

Hakuhodo DY Holdings Inc.

     36        276   

Hamamatsu Photonics KK

     13        504   

Hankyu Hanshin Holdings Inc.

     189        1,021   

Hino Motors Ltd.

     44        693   

Hirose Electric Co. Ltd.

     5        727   

Hiroshima Bank Ltd.

     74        307   

Hisamitsu Pharmaceutical Co. Inc.

     10        514   

Hitachi Chemical Co. Ltd.

     15        242   

Hitachi Construction Machinery Co. Ltd.

     16        351   

Hitachi High-Technologies Corp.

     9        232   

Hitachi Ltd.

     836        6,339   

Hitachi Metals Ltd.

     30        424   

Hokkaido Electric Power Co. Inc. (c) (e)

     34        388   

Hokuhoku Financial Group Inc.

     172        344   

Hokuriku Electric Power Co.

     26        348   

Honda Motor Co. Ltd.

     281        11,595   

Hoya Corp.

     73        2,041   

Hulic Co. Ltd.

     44        654   

Ibiden Co. Ltd.

     18        331   

Idemitsu Kosan Co. Ltd.

     16        375   

IHI Corp.

     222        960   

Iida Group Holdings Co. Ltd. (c)

     22        445   

INPEX Corp.

     148        1,898   

Isetan Mitsukoshi Holdings Ltd.

     58        828   

Isuzu Motors Ltd.

     195        1,216   

ITOCHU Corp.

     256        3,170   

Itochu Techno-Solutions Corp. (e)

     3        138   

Iyo Bank Ltd.

     49        481   

J. Front Retailing Co. Ltd.

     85        646   

Japan Airlines Co. Ltd.

     11        528   

Japan Exchange Group Inc.

     43        1,222   

Japan Petroleum Exploration Co.

     6        209   

Japan Prime Realty Investment Corp. (e)

     —        477   

Japan Real Estate Investment Corp.

     —        1,038   

Japan Retail Fund Investment Corp.

     —        832   

Japan Steel Works Ltd.

     47        263   

Japan Tobacco Inc.

     190        6,182   

JFE Holdings Inc.

     86        2,056   

JGC Corp.

     36        1,413   

Joyo Bank Ltd.

     108        552   

JSR Corp.

     30        576   

JTEKT Corp.

     34        578   

JX Holdings Inc.

     377        1,944   

Kajima Corp.

     156        587   

Kakaku.com Inc

     24        422   

Kamigumi Co. Ltd.

     34        312   

Kaneka Corp.

     42        276   

Kansai Electric Power Co. Inc. (c)

     118        1,356   

Kansai Paint Co. Ltd.

     42        621   

Kao Corp.

     90        2,827   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Kawasaki Heavy Industries Ltd.

     239        1,004   

KDDI Corp.

     93        5,743   

Keihin Electric Express Railway Co. Ltd.

     79        651   

Keio Corp.

     94        626   

Keisei Electric Railway Co. Ltd.

     50        460   

Keyence Corp.

     8        3,320   

Kikkoman Corp.

     26        492   

Kinden Corp.

     26        272   

Kintetsu Corp. (e)

     312        1,095   

Kirin Holdings Co. Ltd.

     152        2,189   

Kobe Steel Ltd. (c)

     442        758   

Koito Manufacturing Co. Ltd.

     15        287   

Komatsu Ltd.

     162        3,332   

Konami Corp. (e)

     15        351   

Konica Minolta Holdings Inc.

     83        829   

Kubota Corp.

     186        3,085   

Kuraray Co. Ltd.

     56        672   

Kurita Water Industries Ltd. (e)

     17        355   

Kyocera Corp.

     57        2,835   

Kyowa Hakko Kirin Co. Ltd.

     40        438   

Kyushu Electric Power Co. Inc. (c)

     70        894   

Lawson Inc.

     11        838   

LIXIL Group Corp.

     44        1,208   

M3 Inc.

     —        343   

Mabuchi Motor Co. Ltd.

     4        226   

Makita Corp.

     18        957   

Marubeni Corp.

     277        1,994   

Marui Group Co. Ltd.

     33        331   

Maruichi Steel Tube Ltd.

     7        184   

Mazda Motor Corp. (c)

     451        2,337   

McDonald’s Holdings Co. Japan Ltd. (e)

     10        258   

Medipal Holdings Corp.

     21        283   

MEIJI Holdings Co. Ltd. (e)

     11        707   

Miraca Holdings Inc.

     8        396   

Mitsubishi Chemical Holdings Corp.

     219        1,015   

Mitsubishi Corp.

     243        4,671   

Mitsubishi Electric Corp.

     329        4,137   

Mitsubishi Estate Co. Ltd.

     216        6,461   

Mitsubishi Gas Chemical Co. Inc.

     72        531   

Mitsubishi Heavy Industries Ltd.

     517        3,202   

Mitsubishi Logistics Corp.

     20        317   

Mitsubishi Materials Corp.

     198        732   

Mitsubishi Motors Corp. (c) (e)

     78        839   

Mitsubishi Tanabe Pharma Corp.

     42        580   

Mitsubishi UFJ Financial Group Inc.

     2,194        14,569   

Mitsubishi UFJ Lease & Finance Co. Ltd.

     104        641   

Mitsui & Co. Ltd.

     301        4,202   

Mitsui Chemicals Inc.

     128        310   

Mitsui Fudosan Co. Ltd.

     145        5,230   

Mitsui OSK Lines Ltd.

     188        848   

Mizuho Financial Group Inc.

     3,963        8,603   

MS&AD Insurance Group Holdings

     85        2,282   

Murata Manufacturing Co. Ltd.

     35        3,077   

Nabtesco Corp.

     20        462   

Namco Bandai Holdings Inc.

     33        733   

NEC Corp.

     424        957   

Nexon Co. Ltd.

     17        152   

NGK Insulators Ltd.

     45        856   

NGK Spark Plug Co. Ltd.

     32        758   

NHK Spring Co. Ltd.

     31        350   

Nidec Corp. (e)

     17        1,704   

Nikon Corp.

     61        1,164   

Nintendo Co. Ltd.

     18        2,383   

Nippon Building Fund Inc.

     —        1,418   

Nippon Electric Glass Co. Ltd.

     57        299   

Nippon Express Co. Ltd.

     142        687   

Nippon Meat Packers Inc.

     29        498   

Nippon Paint Co. Ltd.

     28        466   
     Shares/Par (p)     Value  

Nippon Prologis REIT Inc.

     —        383   

Nippon Steel Corp.

     1,289        4,324   

Nippon Telegraph & Telephone Corp.

     65        3,489   

Nippon Yusen KK

     268        857   

Nishi-Nippon City Bank Ltd.

     126        339   

Nissan Motor Co. Ltd.

     432        3,617   

Nisshin Seifun Group Inc.

     38        391   

Nissin Foods Holdings Co. Ltd.

     11        473   

Nitori Co. Ltd.

     6        582   

Nitto Denko Corp.

     28        1,176   

NKSJ Holdings Inc.

     59        1,635   

NOK Corp.

     16        256   

Nomura Holdings Inc.

     616        4,756   

Nomura Real Estate Holdings Inc.

     21        482   

Nomura Real Estate Office Fund Inc.

     —        311   

Nomura Research Institute Ltd.

     19        591   

NSK Ltd.

     75        935   

NTT Data Corp.

     22        805   

NTT DoCoMo Inc.

     265        4,362   

NTT Urban Development Corp.

     19        219   

Obayashi Corp.

     109        622   

Odakyu Electric Railway Co. Ltd.

     112        1,013   

Oji Holdings Corp.

     136        698   

Olympus Corp. (c)

     40        1,256   

Omron Corp.

     34        1,507   

Ono Pharmaceutical Co. Ltd.

     14        1,218   

Oracle Corp. Japan

     6        205   

Oriental Land Co. Ltd.

     9        1,283   

ORIX Corp.

     213        3,734   

Osaka Gas Co. Ltd.

     325        1,276   

Otsuka Corp.

     3        396   

Otsuka Holdings Co. Ltd.

     64        1,842   

Panasonic Corp.

     375        4,374   

Park24 Co. Ltd. (e)

     15        273   

Rakuten Inc.

     125        1,864   

Resona Holdings Inc.

     325        1,659   

Ricoh Co. Ltd.

     113        1,202   

Rinnai Corp.

     6        499   

Rohm Co. Ltd.

     17        839   

Sankyo Co. Ltd.

     9        415   

Sanrio Co. Ltd. (e)

     7        291   

Santen Pharmaceutical Co. Ltd.

     13        620   

SBI Holdings Inc.

     34        522   

Secom Co. Ltd.

     35        2,130   

Sega Sammy Holdings Inc.

     33        832   

Sekisui Chemical Co. Ltd.

     70        859   

Sekisui House Ltd.

     89        1,245   

Seven & I Holdings Co. Ltd.

     130        5,194   

Seven Bank Ltd.

     97        377   

Sharp Corp. (c)

     263        837   

Shikoku Electric Power Co. Inc. (c)

     32        478   

Shimadzu Corp.

     44        383   

Shimamura Co. Ltd.

     4        375   

Shimano Inc.

     13        1,150   

Shimizu Corp. (e)

     111        561   

Shin-Etsu Chemical Co. Ltd.

     71        4,164   

Shinsei Bank Ltd.

     288        705   

Shionogi & Co. Ltd.

     53        1,153   

Shiseido Co. Ltd.

     60        971   

Shizuoka Bank Ltd.

     99        1,057   

Showa Denko KK (e)

     290        411   

Showa Shell Sekiyu KK (e)

     29        297   

SMC Corp.

     9        2,171   

SoftBank Corp.

     165        14,514   

Sojitz Corp.

     191        340   

Sony Corp. (e)

     172        2,965   

Sony Financial Holdings Inc.

     32        587   

Stanley Electric Co. Ltd.

     26        591   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Sumco Corp. (e)

     18        160   

Sumitomo Chemical Co. Ltd.

     253        993   

Sumitomo Corp.

     197        2,470   

Sumitomo Electric Industries Ltd.

     130        2,166   

Sumitomo Heavy Industries Ltd.

     84        387   

Sumitomo Metal Mining Co. Ltd.

     86        1,127   

Sumitomo Mitsui Financial Group Inc.

     219        11,410   

Sumitomo Realty & Development Co. Ltd.

     61        3,015   

Sumitomo Rubber Industries Inc.

     31        436   

Suntory Beverage & Food Ltd. (e)

     20        651   

Suruga Bank Ltd.

     34        611   

Suzuken Co. Ltd.

     13        413   

Suzuki Motor Corp.

     63        1,698   

Sysmex Corp.

     12        718   

T&D Holdings Inc.

     95        1,330   

Taiheiyo Cement Corp.

     199        765   

Taisei Corp.

     172        783   

Taisho Pharmaceutical Holdings Co. Ltd.

     6        406   

Taiyo Nippon Sanso Corp.

     36        256   

Takashimaya Co. Ltd. (e)

     40        399   

Takeda Pharmaceutical Co. Ltd.

     136        6,256   

TDK Corp.

     20        959   

Teijin Ltd.

     142        316   

Terumo Corp.

     25        1,207   

THK Co. Ltd.

     18        457   

Tobu Railway Co. Ltd.

     171        829   

Toho Co. Ltd.

     17        378   

Toho Gas Co. Ltd.

     60        292   

Tohoku Electric Power Co. Inc. (c)

     74        832   

Tokio Marine Holdings Inc.

     118        3,937   

Tokyo Electric Power Co. Inc. (c)

     242        1,192   

Tokyo Electron Ltd.

     30        1,631   

Tokyo Gas Co. Ltd.

     410        2,021   

Tokyo Tatemono Co. Ltd.

     73        812   

Tokyu Corp.

     187        1,212   

Tokyu Fudosan Holdings Corp

     92        867   

TonenGeneral Sekiyu KK (e)

     43        395   

Toppan Printing Co. Ltd.

     97        776   

Toray Industries Inc.

     248        1,718   

Toshiba Corp.

     686        2,888   

TOTO Ltd.

     53        841   

Toyo Seikan Group Holdings Ltd.

     30        644   

Toyo Suisan Kaisha Ltd.

     16        481   

Toyoda Gosei Co. Ltd.

     9        212   

Toyota Boshoku Corp.

     10        128   

Toyota Industries Corp.

     29        1,306   

Toyota Motor Corp.

     474        28,913   

Toyota Tsusho Corp.

     36        885   

Trend Micro Inc. (e)

     19        659   

Tsumura & Co.

     9        244   

Ube Industries Ltd.

     186        398   

Unicharm Corp.

     19        1,067   

United Urban Investment Corp.

     —        591   

USS Co. Ltd.

     40        545   

West Japan Railway Co.

     30        1,296   

Yahoo! Japan Corp.

     240        1,337   

Yakult Honsha Co. Ltd.

     15        738   

Yamada Denki Co. Ltd. (e)

     142        465   

Yamaguchi Financial Group Inc.

     31        287   

Yamaha Corp.

     24        380   

Yamaha Motor Co. Ltd. (e)

     50        750   

Yamato Holdings Co. Ltd.

     62        1,247   

Yamato Kogyo Co. Ltd.

     6        192   

Yamazaki Baking Co. Ltd.

     15        154   

Yaskawa Electric Corp.

     41        650   

Yokogawa Electric Corp.

     39        603   

Yokohama Rubber Co Ltd.

     30        295   
   

 

 

  
    474,580   
     Shares/Par (p)     Value  

JERSEY - 0.0%

    

Randgold Resources Ltd.

     15        963   

LUXEMBOURG - 0.3%

    

ArcelorMittal

     171        3,053   

Millicom International Cellular SA - SDR

     12        1,176   

SES SA - FDR

     53        1,701   

Tenaris SA (e)

     80        1,734   
   

 

 

  
    7,664   

MACAU - 0.2%

    

Sands China Ltd.

     421        3,450   

Wynn Macau Ltd.

     269        1,224   
   

 

 

  
    4,674   

MALTA - 0.0%

    

BGP Holdings Plc (c) (f)

     479        —   

NETHERLANDS - 4.7%

    

Aegon NV

     311        2,945   

Akzo Nobel NV

     41        3,173   

ASML Holding NV

     62        5,790   

Corio NV

     11        488   

Delta Lloyd NV

     33        813   

European Aeronautic Defence & Space Co. NV

     100        7,715   

Fugro NV - CVA

     12        740   

Gemalto NV (e)

     14        1,539   

Heineken Holding NV

     18        1,138   

Heineken NV

     39        2,657   

ING Groep NV - CVA (c)

     661        9,234   

Koninklijke Ahold NV

     172        3,087   

Koninklijke Boskalis Westminster NV

     13        680   

Koninklijke KPN NV (c)

     548        1,770   

Koninklijke Philips Electronics NV

     166        6,094   

Koninklijke Philips NV

     26        2,043   

Koninklijke Vopak NV

     12        713   

OCI (c)

     15        674   

Qiagen NV (c)

     40        931   

Randstad Holding NV

     20        1,323   

Reed Elsevier NV

     121        2,571   

Royal Dutch Shell Plc - Class A

     656        23,497   

Royal Dutch Shell Plc - Class B

     431        16,268   

TNT NV

     66        615   

Unilever NV - CVA

     281        11,286   

Wolters Kluwer NV

     50        1,420   

Ziggo NV

     27        1,221   
   

 

 

  
    110,425   

NEW ZEALAND - 0.1%

    

Auckland International Airport Ltd.

     193        561   

Contact Energy Ltd.

     56        235   

Fletcher Building Ltd.

     112        788   

Ryman Healthcare Ltd.

     61        393   

Telecom Corp. of New Zealand Ltd.

     285        542   
   

 

 

  
    2,519   

NORWAY - 0.8%

    

Aker Solutions ASA (e)

     25        445   

DNB ASA

     170        3,054   

Gjensidige Forsikring ASA

     37        700   

Norsk Hydro ASA (e)

     227        1,013   

Orkla ASA

     127        991   

SeaDrill Ltd.

     65        2,679   

StatoilHydro ASA

     193        4,702   

Telenor ASA

     120        2,862   

Yara International ASA

     33        1,409   
   

 

 

  
    17,855   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

PORTUGAL - 0.2%

  

Banco Espirito Santo SA (c)

     295        421   

Energias de Portugal SA

     349        1,281   

Galp Energia SGPS SA

     56        924   

Jeronimo Martins SGPS SA

     43        844   

Portugal Telecom SGPS SA

     108        471   
   

 

 

  
    3,941   

SINGAPORE - 1.4%

    

Ascendas REIT

     366        641   

CapitaCommercial Trust (e)

     383        441   

CapitaLand Ltd.

     419        1,010   

CapitaMall Trust

     381        577   

CapitaMalls Asia Ltd.

     260        405   

City Developments Ltd. (e)

     66        504   

ComfortDelGro Corp. Ltd.

     333        532   

DBS Group Holdings Ltd.

     297        4,029   

Genting International Plc

     1,083        1,288   

Global Logistic Properties Ltd.

     537        1,232   

Golden Agri-Resources Ltd. (e)

     1,187        514   

Hutchison Port Holdings Trust

     849        574   

Jardine Cycle & Carriage Ltd.

     18        510   

Keppel Corp. Ltd.

     253        2,248   

Keppel Land Ltd. (e)

     132        350   

Noble Group Ltd.

     737        628   

Olam International Ltd. (e)

     235        287   

Oversea-Chinese Banking Corp. Ltd.

     439        3,555   

SembCorp Industries Ltd.

     158        689   

SembCorp Marine Ltd. (e)

     152        539   

Singapore Airlines Ltd.

     86        713   

Singapore Exchange Ltd.

     138        796   

Singapore Press Holdings Ltd. (e)

     267        873   

Singapore Technologies Engineering Ltd.

     279        878   

Singapore Telecommunications Ltd.

     1,383        4,021   

StarHub Ltd. (e)

     90        306   

United Overseas Bank Ltd.

     221        3,732   

UOL Group Ltd.

     70        343   

Wilmar International Ltd. (e)

     345        937   

Yangzijiang Shipbuilding Holdings Ltd. (e)

     293        276   
   

 

 

  
    33,428   

SPAIN - 3.2%

    

Abertis Infraestructuras SA - Class A

     70        1,554   

ACS Actividades de Construccion y Servicios SA

     26        886   

Amadeus IT Holding SA

     64        2,734   

Banco Bilbao Vizcaya Argentaria SA

     992        12,273   

Banco de Sabadell SA

     588        1,534   

Banco Popular Espanol SA (c)

     219        1,322   

Banco Santander SA

     1,949        17,527   

Bankia SA (c)

     709        1,203   

CaixaBank SA

     293        1,524   

Distribuidora Internacional de Alimentacion SA

     102        910   

Enagas SA

     34        883   

Ferrovial SA

     66        1,286   

Gas Natural SDG SA

     61        1,566   

Grifols SA

     25        1,197   

Iberdrola SA

     803        5,128   

Inditex SA

     38        6,227   

Mapfre SA

     183        784   

Red Electrica Corp. SA (e)

     18        1,191   

Repsol SA (e)

     145        3,669   

Telefonica SA

     706        11,537   

Zardoya Otis SA

     30        544   
   

 

 

  
    75,479   

SWEDEN - 3.1%

    

Alfa Laval AB

     55        1,411   
     Shares/Par (p)     Value  

Assa Abloy AB - Class B

     58        3,082   

Atlas Copco AB - Class A

     114        3,172   

Atlas Copco AB - Class B

     67        1,706   

Boliden AB

     44        680   

Electrolux AB - Class B

     40        1,035   

Elekta AB - Class B (e)

     61        931   

Getinge AB - Class B

     33        1,130   

Hennes & Mauritz AB - Class B

     164        7,553   

Hexagon AB - Class B

     42        1,329   

Husqvarna AB - Class B

     61        369   

Industrivarden AB - Class C

     23        437   

Investor AB - Class B

     76        2,633   

Kinnevik Investment AB - Class B

     39        1,798   

Lundin Petroleum AB (c)

     37        729   

Nordea Bank AB

     519        7,002   

Sandvik AB

     179        2,522   

Scania AB - Class B

     53        1,029   

Securitas AB - Class B (e)

     55        588   

Skandinaviska Enskilda Banken AB - Class A

     264        3,491   

Skanska AB - Class B

     62        1,276   

SKF AB - Class B

     66        1,734   

Svenska Cellulosa AB - Class B

     100        3,072   

Svenska Handelsbanken AB - Class A

     87        4,256   

Swedbank AB - Class A

     157        4,425   

Swedish Match AB

     36        1,157   

Tele2 AB - Class B

     53        607   

Telefonaktiebolaget LM Ericsson - Class B

     526        6,422   

TeliaSonera AB

     414        3,453   

Volvo AB - Class B

     257        3,383   
   

 

 

  
    72,412   

SWITZERLAND - 9.1%

    

ABB Ltd.

     379        10,026   

Actelion Ltd.

     18        1,556   

Adecco SA

     23        1,851   

Aryzta AG

     14        1,090   

Baloise Holding AG

     8        1,000   

Barry Callebaut AG

     —        501   

Cie Financiere Richemont SA

     90        8,993   

Credit Suisse Group AG

     259        7,984   

EMS-Chemie Holding AG

     2        542   

Geberit AG

     7        1,985   

Givaudan SA

     1        1,999   

Glencore International Plc

     1,829        9,517   

Holcim Ltd.

     39        2,918   

Julius Baer Group Ltd.

     38        1,816   

Kuehne & Nagel International AG

     9        1,169   

Lindt & Spruengli AG

     —        971   

Lonza Group AG

     9        845   

Nestle SA

     554        40,618   

Novartis AG

     395        31,694   

Pargesa Holding SA

     4        320   

Partners Group Holding AG

     3        775   

Roche Holding AG

     121        33,829   

Schindler Holding AG

     4        549   

SGS SA

     1        2,206   

Sika AG

     —        1,269   

Sonova Holding AG

     9        1,201   

STMicroelectronics NV

     104        838   

Sulzer AG

     4        635   

Swatch Group AG

     5        3,478   

Swatch Group AG

     8        865   

Swiss Life Holding AG

     6        1,189   

Swiss Prime Site AG

     9        696   

Swiss Re AG

     61        5,618   

Swisscom AG

     4        2,074   

Syngenta AG

     16        6,415   

Transocean Ltd.

     63        3,070   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UBS AG

     628        12,026   

Zurich Financial Services AG

     26        7,430   
   

 

 

  
    211,558   

UNITED KINGDOM - 19.2%

    

3i Group Plc

     161        1,029   

Aberdeen Asset Management Plc

     164        1,363   

Admiral Group Plc

     35        757   

Aggreko Plc

     47        1,330   

AMEC Plc

     48        873   

Anglo American Plc

     241        5,274   

Antofagasta Plc

     71        968   

ARM Holdings Plc

     237        4,317   

Associated British Foods Plc

     60        2,436   

AstraZeneca Plc

     216        12,800   

Aviva Plc

     502        3,752   

Babcock International Group Plc

     59        1,336   

BAE Systems Plc

     550        3,967   

Barclays Plc

     2,633        11,907   

BG Group Plc

     586        12,618   

BHP Billiton Plc

     364        11,292   

BP Plc

     3,234        26,207   

British American Tobacco Plc

     326        17,523   

British Land Co. Plc

     166        1,732   

British Sky Broadcasting Group Plc

     181        2,526   

BT Group Plc

     1,360        8,575   

Bunzl Plc

     55        1,312   

Burberry Group Plc

     75        1,880   

Capita Group Plc

     110        1,900   

Capital Shopping Centres Group

     114        588   

Carnival Plc

     32        1,329   

Centrica Plc

     896        5,166   

Cobham Plc

     186        848   

Coca-Cola HBC AG

     33        952   

Compass Group Plc

     315        5,063   

Croda International Plc

     22        913   

Diageo Plc

     432        14,325   

Direct Line Insurance Group Plc

     191        789   

easyJet Plc

     28        710   

Fresnillo Plc

     28        353   

G4S Plc

     271        1,179   

GKN Plc

     288        1,785   

GlaxoSmithKline Plc

     840        22,452   

Hammerson Plc

     118        981   

Hargreaves Lansdown Plc

     35        791   

HSBC Holdings Plc

     3,201        35,133   

ICAP Plc

     102        763   

IMI Plc

     53        1,344   

Imperial Tobacco Group Plc

     168        6,526   

Inmarsat Plc

     76        959   

InterContinental Hotels Group Plc

     47        1,575   

International Consolidated Airlines Group SA (c)

     159        1,058   

Intertek Group Plc

     28        1,455   

Invensys Plc

     109        917   

Investec Plc

     105        766   

ITV Plc

     642        2,067   

J Sainsbury Plc

     219        1,323   

Johnson Matthey Plc

     35        1,924   

Kingfisher Plc

     398        2,540   

Land Securities Group Plc

     131        2,100   

Legal & General Group Plc

     1,007        3,722   

Lloyds Banking Group Plc (c)

     8,536        11,201   

London Stock Exchange Group Plc

     30        854   

Marks & Spencer Group Plc

     271        1,948   

Meggitt Plc

     137        1,202   

Melrose Industries Plc

     218        1,105   

National Grid Plc

     633        8,278   
     Shares/Par (p)     Value  

Next Plc

     28        2,522   

Old Mutual Plc

     829        2,601   

Pearson Plc

     139        3,109   

Persimmon Plc

     52        1,067   

Petrofac Ltd.

     43        866   

Prudential plc (a)

     441        9,863   

Reckitt Benckiser Group Plc

     112        8,864   

Reed Elsevier Plc

     203        3,022   

Rexam Plc

     130        1,145   

Rio Tinto Plc

     219        12,376   

Rolls-Royce Holdings Plc

     325        6,876   

Rolls-Royce Holdings Plc (c) (f)

     35,813        59   

Royal Bank of Scotland Group Plc (c)

     376        2,116   

RSA Insurance Group Plc

     636        963   

SABMiller Plc

     166        8,538   

Sage Group Plc

     193        1,291   

Schroders Plc

     16        710   

Scottish & Southern Energy Plc

     164        3,722   

Segro Plc

     131        725   

Serco Group Plc

     85        705   

Severn Trent Plc

     42        1,200   

Shire Plc

     96        4,526   

Smith & Nephew Plc

     152        2,176   

Smiths Group Plc

     68        1,670   

Standard Chartered Plc

     417        9,426   

Standard Life Plc

     395        2,361   

Subsea 7 SA

     46        885   

Tate & Lyle Plc

     77        1,032   

Tesco Plc

     1,394        7,743   

Travis Perkins Plc

     42        1,302   

TUI Travel Plc

     80        547   

Tullow Oil Plc

     155        2,201   

Unilever Plc

     221        9,108   

United Utilities Group Plc

     118        1,317   

Vodafone Group Plc

     8,311        32,721   

Weir Group Plc

     38        1,338   

Whitbread Plc

     31        1,929   

William Hill Plc

     147        982   

WM Morrison Supermarkets Plc

     370        1,600   

Wolseley Plc

     46        2,634   

WPP Plc

     228        5,224   
   

 

 

  
    447,720   
   

 

 

  

Total Common Stocks (cost $1,862,979)

  

     2,257,808   
   

 

 

  

PREFERRED STOCKS - 0.7%

    

GERMANY - 0.6%

    

Bayerische Motoren Werke AG

     9        776   

Fuchs Petrolub AG

     6        626   

Henkel AG & Co. KGaA

     30        3,528   

Porsche Automobil Holding SE

     26        2,683   

Volkswagen AG

     25        7,033   
   

 

 

  
    14,646   

ITALY - 0.0%

    

Telecom Italia SpA

     1,032        810   

SWITZERLAND - 0.1%

    

Lindt & Spruengli AG

     —        676   

Schindler Holding AG

     8        1,174   
   

 

 

  
    1,850   
   

 

 

  

Total Preferred Stocks (cost $10,450)

  

     17,306   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

RIGHTS - 0.0%

  

SPAIN - 0.0%

  

Repsol SA (c) (e)

     145        99   
   

 

 

  

Total Rights (cost $97)

  

     99   
   

 

 

  

OTHER EQUITY INTERESTS - 0.0%

  

AUSTRIA - 0.0%

    

IMMOEAST AG (c) (f) (u)

     37        —   

IMMOFINANZ AG (c) (f) (u)

     27        —   
   

 

 

  

Total Other Equity Interests (cost $0)

  

     —   
   

 

 

  

SHORT TERM INVESTMENTS - 4.4%

  

  

Investment Companies - 2.3%

    

JNL Money Market Fund,
0.01% (a) (h)

     54,033        54,033   

Securities Lending Collateral - 1.9%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     44,997        44,997   

Treasury Securities - 0.2%

    

U.S. Treasury Bill

    

0.07%, 03/13/14 (o)

   $ 1,450        1,450   

0.07%, 03/27/14 (o)

     730        730   

0.07%, 06/26/14 (o)

     1,175        1,174   
   

 

 

  
    3,354   
   

 

 

  

Total Short Term Investments (cost $102,384)

  

     102,384   
   

 

 

  

Total Investments - 101.8% (cost $1,975,910)

  

     2,377,597   

Other Assets and Liabilities, Net - (1.8%)

 

     (41,403 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,336,194   
   

 

 

  

JNL/Mellon Capital Bond Index Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.4%

   

Ally Auto Receivables Trust, 0.59%, 01/17/17

   $ 1,000      $ 1,001   

American Airlines Pass-Through Trust, 5.25%, 01/31/21

     428        454   

Banc of America Commercial Mortgage Trust REMIC

    

5.73%, 05/10/45 (i)

     1,500        1,636   

5.77%, 05/10/45 (i)

     550        606   

5.45%, 01/15/49

     1,500        1,623   

5.48%, 01/15/49 (i)

     350        365   

Banc of America Merrill Lynch Commercial Mortgage Inc. REMIC, 5.18%, 09/10/47 (i)

     1,000        1,064   

Bank of America Credit Card Trust, 5.17%, 06/15/19

     900        1,007   

Bear Stearns Commercial Mortgage Securities Trust REMIC

    

5.71%, 06/11/40 (i)

     300        336   

5.54%, 10/12/41

     1,250        1,366   

4.87%, 09/11/42

     655        687   

Capital One Multi-Asset Execution Trust, 5.05%, 12/17/18

     1,000        1,089   

Centerpoint Energy Transition Co. LLC Secured Transition Bond, 5.17%, 08/01/19

     741        805   

Citibank Credit Card Issuance Trust, 5.30%, 03/15/18

     900        988   

Citigroup/Deutsche Bank Commercial Mortgage Trust REMIC

    

5.62%, 10/15/48

     250        272   

5.65%, 10/15/48

     500        547   
     Shares/Par (p)     Value  

Cobalt Commercial Mortage-Backed Securities Trust REMIC, 5.22%, 08/15/48

     1,250        1,349   

Continental Airlines Inc. Pass-Through Trust, 4.75%, 01/12/21

     268        284   

Credit Suisse Mortgage Capital Certificates REMIC, 5.38%, 02/15/40

     244        263   

Delta Air Lines Pass-Through Trust, 6.82%, 08/10/22 (i)

     336        379   

GE Capital Commercial Mortgage Corp. REMIC, 5.31%, 11/10/45 (i)

     200        213   

Greenwich Capital Commercial Funding Corp. REMIC, 5.22%, 04/10/37 (i)

     1,000        1,054   

GS Mortgage Securities Trust REMIC

    

5.55%, 04/10/38 (i)

     1,000        1,077   

5.56%, 11/10/39

     400        438   

3.00%, 08/10/44

     1,500        1,560   

3.48%, 01/10/45

     750        748   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

4.74%, 07/15/42

     500        521   

4.78%, 07/15/42

     500        523   

4.94%, 08/15/42 (i)

     277        291   

5.42%, 01/15/49

     250        274   

5.71%, 02/12/49 (i)

     200        222   

5.79%, 02/12/51 (i)

     521        584   

LB-UBS Commercial Mortgage Trust REMIC

    

5.66%, 03/15/39 (i)

     330        355   

5.42%, 02/15/40

     330        364   

5.87%, 09/15/45 (i)

     1,517        1,682   

Merrill Lynch Mortgage Trust REMIC, 5.74%, 08/12/43 (i)

     243        265   

Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC

    

5.41%, 07/12/46 (i)

     200        216   

5.17%, 12/12/49

     200        217   

5.74%, 06/12/50 (i)

     369        380   

Morgan Stanley Bank of America Merrill Lynch Trust REMIC, 2.86%, 11/15/45

     250        235   

Morgan Stanley Capital I Trust REMIC

    

5.33%, 11/12/41

     227        248   

5.67%, 10/15/42 (i)

     235        252   

5.60%, 04/12/49 (i)

     229        232   

5.60%, 04/12/49 (i)

     2,400        2,634   

Nissan Auto Lease Trust, 0.61%, 04/15/16

     1,000        1,000   

Nissan Auto Receivables Owner Trust, 1.00%, 07/16/18

     1,000        1,007   

UBS Commercial Mortgage Trust REMIC, 3.40%, 05/10/45

     1,500        1,476   

UBS-Barclays Commercial Mortgage Trust REMIC, 2.85%, 12/10/45

     500        465   

United Air Lines Inc. Pass-Through Trust, 4.30%, 08/15/25 (e)

     250        255   

US Airways Pass-Through Trust, 3.95%, 11/15/25 (e)

     500        489   

Wachovia Bank Commercial Mortgage Trust REMIC

    

5.12%, 07/15/42 (i)

     386        406   

5.42%, 01/15/45 (i)

     872        930   

5.57%, 10/15/48

     250        274   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $35,439)

   

     37,008   
   

 

 

  

CORPORATE BONDS AND NOTES - 24.5%

  

CONSUMER DISCRETIONARY - 1.8%

  

  

Amazon.com Inc., 2.50%, 11/29/22 (e)

     200        180   

AutoZone Inc., 5.50%, 11/15/15

     400        433   

Carnival Corp., 3.95%, 10/15/20

     200        200   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CBS Corp.

    

1.95%, 07/01/17

     450        451   

5.63%, 09/15/19 (e)

     500        568   

4.85%, 07/01/42

     500        449   

Comcast Cable Communications Holdings Inc., 9.46%, 11/15/22 (e)

     500        692   

Comcast Corp.

    

6.50%, 01/15/15

     50        53   

5.90%, 03/15/16

     500        552   

5.70%, 05/15/18

     600        689   

6.50%, 11/15/35

     100        116   

6.95%, 08/15/37 (e)

     500        613   

COX Communications Inc., 5.45%, 12/15/14

     144        150   

Delphi Corp., 5.00%, 02/15/23

     500        514   

DIRECTV Holdings LLC

    

3.55%, 03/15/15

     200        207   

3.50%, 03/01/16

     400        420   

2.40%, 03/15/17

     500        509   

4.60%, 02/15/21

     600        619   

6.35%, 03/15/40 (e)

     600        622   

Discovery Communications LLC

    

3.70%, 06/01/15

     100        104   

5.63%, 08/15/19

     100        112   

5.05%, 06/01/20

     200        218   

6.35%, 06/01/40

     100        110   

Dollar General Corp., 3.25%, 04/15/23 (e)

     500        459   

Ford Motor Co.

    

7.45%, 07/16/31

     300        367   

4.75%, 01/15/43

     300        270   

Grupo Televisa SAB, 6.63%, 03/18/25 (e)

     100        112   

Hasbro Inc., 6.35%, 03/15/40

     300        315   

Home Depot Inc.

    

5.40%, 03/01/16

     500        548   

5.88%, 12/16/36

     250        288   

Johnson Controls Inc.

    

5.50%, 01/15/16

     250        272   

3.75%, 12/01/21

     500        496   

Kohl’s Corp., 4.00%, 11/01/21 (e)

     500        499   

Lowe’s Cos. Inc.

    

4.63%, 04/15/20

     100        110   

5.50%, 10/15/35

     150        159   

5.80%, 04/15/40

     600        672   

Macy’s Retail Holdings Inc.

    

6.65%, 07/15/24

     200        231   

6.90%, 04/01/29

     250        283   

McDonald’s Corp.

    

5.35%, 03/01/18

     300        341   

6.30%, 03/01/38

     500        606   

NBCUniversal Media LLC

    

5.15%, 04/30/20

     200        223   

6.40%, 04/30/40

     500        573   

News America Inc.

    

5.30%, 12/15/14

     175        183   

4.50%, 02/15/21

     400        428   

6.20%, 12/15/34

     50        55   

6.40%, 12/15/35 (e)

     500        567   

6.65%, 11/15/37

     300        349   

6.15%, 02/15/41

     300        333   

NIKE Inc, 2.25%, 05/01/23

     400        357   

Nordstrom Inc., 4.00%, 10/15/21

     225        233   

Omnicom Group Inc., 5.90%, 04/15/16

     250        276   

Starbucks Corp., 0.88%, 12/05/16

     400        397   

Target Corp.

    

5.88%, 07/15/16

     250        281   

6.50%, 10/15/37

     300        354   

Thomson Reuters Corp., 6.50%, 07/15/18

     500        579   

Time Warner Cable Inc.

    

5.85%, 05/01/17

     150        164   
     Shares/Par (p)     Value  

6.75%, 07/01/18

     600        673   

8.75%, 02/14/19

     169        201   

6.55%, 05/01/37

     250        231   

7.30%, 07/01/38

     300        298   

6.75%, 06/15/39

     300        282   

Time Warner Entertainment Co. LP, 8.38%, 03/15/23

     600        689   

Time Warner Inc.

    

5.88%, 11/15/16

     650        733   

4.70%, 01/15/21 (e)

     200        212   

3.40%, 06/15/22 (e)

     500        487   

7.63%, 04/15/31

     500        631   

6.10%, 07/15/40

     200        218   

Viacom Inc.

    

2.50%, 12/15/16

     500        517   

7.88%, 07/30/30

     125        155   

4.38%, 03/15/43

     300        252   

Walt Disney Co.

    

1.10%, 12/01/17 (e)

     350        345   

2.75%, 08/16/21

     300        289   

7.00%, 03/01/32

     50        64   

3.70%, 12/01/42

     300        250   

Whirlpool Corp., 4.85%, 06/15/21

     400        420   

Wyndham Worldwide Corp., 3.90%, 03/01/23

     500        470   

Yum! Brands Inc., 6.88%, 11/15/37

     52        59   
   

 

 

  
    27,437   

CONSUMER STAPLES - 1.6%

    

Altria Group Inc.

    

9.70%, 11/10/18 (l)

     328        431   

2.85%, 08/09/22

     500        460   

9.95%, 11/10/38 (l)

     33        50   

10.20%, 02/06/39 (l)

     65        101   

Anheuser-Busch Cos. Inc.

    

5.05%, 10/15/16

     100        111   

6.45%, 09/01/37

     300        364   

Anheuser-Busch InBev Finance Inc., 1.25%, 01/17/18

     300        293   

Anheuser-Busch InBev Worldwide Inc.

    

0.80%, 07/15/15 (e)

     500        503   

6.88%, 11/15/19 (l)

     400        490   

5.38%, 01/15/20 (l)

     400        459   

4.38%, 02/15/21

     500        534   

2.50%, 07/15/22

     300        277   

3.75%, 07/15/42

     300        253   

Archer-Daniels-Midland Co.

    

5.45%, 03/15/18

     350        395   

5.38%, 09/15/35

     200        212   

Beam Inc., 5.38%, 01/15/16

     45        49   

Campbell Soup Co., 4.25%, 04/15/21

     300        305   

Clorox Co., 3.80%, 11/15/21

     500        503   

Coca-Cola Co.

    

0.75%, 03/13/15

     500        502   

3.15%, 11/15/20

     300        304   

Coca-Cola Femsa SAB de CV, 3.88%, 11/26/23

     400        394   

ConAgra Foods Inc.

    

7.00%, 04/15/19

     300        355   

3.25%, 09/15/22

     300        281   

4.65%, 01/25/43

     300        275   

Costco Wholesale Corp., 0.65%, 12/07/15

     400        401   

CVS Caremark Corp.

    

5.75%, 06/01/17

     244        277   

4.13%, 05/15/21

     400        414   

4.00%, 12/05/23

     500        498   

Diageo Capital Plc

    

4.83%, 07/15/20

     395        437   

5.88%, 09/30/36

     600        687   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Diageo Investment Corp., 8.00%, 09/15/22

     100        130   

General Mills Inc., 5.70%, 02/15/17

     300        336   

Kellogg Co.

    

4.45%, 05/30/16

     350        378   

4.00%, 12/15/20

     200        207   

Kimberly-Clark Corp., 7.50%, 11/01/18

     500        620   

Kraft Foods Group Inc.

    

1.63%, 06/04/15

     400        405   

6.13%, 08/23/18

     221        258   

5.38%, 02/10/20 (e)

     314        354   

5.00%, 06/04/42

     200        196   

Kroger Co.

    

6.40%, 08/15/17

     200        229   

6.15%, 01/15/20

     200        228   

7.50%, 04/01/31

     150        182   

Lorillard Tobacco Co., 8.13%, 06/23/19 (l)

     500        609   

Mondelez International Inc.

    

4.13%, 02/09/16

     100        106   

6.50%, 02/09/40

     350        417   

Pepsi Bottling Group Inc., 7.00%, 03/01/29

     375        471   

PepsiCo Inc.

    

0.70%, 08/13/15

     500        501   

7.90%, 11/01/18

     555        693   

3.13%, 11/01/20

     300        300   

Philip Morris International Inc.

    

1.13%, 08/21/17 (e)

     500        490   

5.65%, 05/16/18

     250        287   

2.90%, 11/15/21

     300        286   

4.38%, 11/15/41

     300        272   

Procter & Gamble Co.

    

4.70%, 02/15/19

     500        558   

2.30%, 02/06/22 (e)

     500        468   

5.55%, 03/05/37

     100        114   

Safeway Inc., 6.35%, 08/15/17

     500        559   

Unilever Capital Corp.

    

2.75%, 02/10/16

     400        416   

5.90%, 11/15/32

     300        367   

Wal-Mart Stores Inc.

    

2.25%, 07/08/15 (e)

     300        308   

2.80%, 04/15/16

     400        419   

4.13%, 02/01/19

     300        325   

4.25%, 04/15/21 (e)

     400        430   

7.55%, 02/15/30

     500        671   

6.20%, 04/15/38

     300        359   

4.88%, 07/08/40 (e)

     300        305   

5.63%, 04/15/41

     600        679   

Walgreen Co., 1.00%, 03/13/15

     500        502   
   

 

 

  
    25,050   

ENERGY - 3.0%

    

Anadarko Petroleum Corp.

    

5.95%, 09/15/16

     100        111   

8.70%, 03/15/19

     250        316   

6.45%, 09/15/36

     250        280   

Apache Corp.

    

3.63%, 02/01/21 (e)

     400        411   

4.75%, 04/15/43

     500        483   

Baker Hughes Inc., 5.13%, 09/15/40

     400        422   

Boardwalk Pipelines LP, 3.38%, 02/01/23

     200        180   

BP Capital Markets Plc

    

3.13%, 10/01/15 (e)

     500        522   

1.85%, 05/05/17

     400        404   

4.50%, 10/01/20

     500        540   

3.25%, 05/06/22

     400        387   

2.75%, 05/10/23

     500        456   

Burlington Resources Finance Co., 7.20%, 08/15/31

     100        127   

Cameron International Corp., 5.13%, 12/15/43

     175        173   
     Shares/Par (p)     Value  

Canadian Natural Resources Ltd.

    

5.85%, 02/01/35

     150        159   

6.25%, 03/15/38

     300        335   

Cenovus Energy Inc.

    

5.70%, 10/15/19

     200        228   

4.45%, 09/15/42

     500        449   

CenterPoint Energy Resources Corp.

    

4.50%, 01/15/21

     43        46   

6.63%, 11/01/37

     200        243   

Chevron Corp.

    

1.72%, 06/24/18

     500        498   

3.19%, 06/24/23

     1,000        958   

CNOOC Finance 2013 Ltd.

    

1.13%, 05/09/16

     300        299   

1.75%, 05/09/18

     300        293   

3.00%, 05/09/23

     300        268   

4.25%, 05/09/43

     300        252   

Conoco Funding Co., 7.25%, 10/15/31

     75        97   

ConocoPhillips

    

6.65%, 07/15/18

     75        89   

5.75%, 02/01/19

     300        346   

6.00%, 01/15/20

     300        352   

6.50%, 02/01/39 (e)

     500        625   

ConocoPhillips Holding Co., 6.95%, 04/15/29

     200        252   

Continental Resources Inc., 4.50%,
04/15/23 (e)

     500        507   

Devon Energy Corp.

    

2.40%, 07/15/16 (e)

     500        514   

1.88%, 05/15/17

     300        302   

7.95%, 04/15/32

     100        130   

Devon Financing Corp. ULC, 7.88%, 09/30/31

     100        128   

El Paso Pipeline Partners Operating Co. LLC, 4.70%, 11/01/42

     200        171   

Enbridge Energy Partners LP

    

9.88%, 03/01/19

     500        647   

7.50%, 04/15/38

     200        234   

Encana Corp.

    

3.90%, 11/15/21

     400        397   

6.50%, 08/15/34

     100        109   

6.50%, 02/01/38

     300        328   

Energy Transfer Partners LP

    

5.95%, 02/01/15 (e)

     250        263   

9.70%, 03/15/19 (e)

     222        287   

5.20%, 02/01/22 (e)

     500        526   

7.50%, 07/01/38

     200        234   

6.50%, 02/01/42 (e)

     250        268   

Enterprise Products Operating LLC

    

3.70%, 06/01/15

     100        104   

5.25%, 01/31/20 (e)

     300        334   

6.88%, 03/01/33

     25        30   

6.45%, 09/01/40

     100        115   

5.95%, 02/01/41

     300        326   

4.45%, 02/15/43

     300        264   

EOG Resources Inc.

    

2.50%, 02/01/16

     200        206   

4.40%, 06/01/20

     200        215   

2.63%, 03/15/23

     500        454   

Halliburton Co., 7.45%, 09/15/39

     250        335   

Hess Corp.

    

7.30%, 08/15/31

     35        43   

5.60%, 02/15/41 (e)

     400        415   

Kerr-McGee Corp., 6.95%, 07/01/24

     230        267   

Kinder Morgan Energy Partners LP

    

6.00%, 02/01/17

     150        168   

9.00%, 02/01/19

     500        635   

3.95%, 09/01/22

     500        487   

3.50%, 09/01/23

     300        275   

6.50%, 09/01/39

     200        219   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.00%, 03/01/43 (e)

     300        276   

Magellan Midstream Partners LP, 4.25%, 02/01/21

     300        310   

Marathon Oil Corp., 5.90%, 03/15/18

     528        601   

Marathon Petroleum Corp., 6.50%, 03/01/41

     300        341   

Nabors Industries Inc.

    

2.35%, 09/15/16 (r)

     200        202   

6.15%, 02/15/18 (e)

     300        337   

Nexen Inc.

    

5.88%, 03/10/35

     50        53   

6.40%, 05/15/37

     100        113   

Noble Energy Inc., 8.25%, 03/01/19

     300        373   

Noble Holding International Ltd.

    

3.45%, 08/01/15

     200        207   

2.50%, 03/15/17 (e)

     400        401   

6.20%, 08/01/40

     200        208   

Occidental Petroleum Corp.

    

2.50%, 02/01/16

     400        415   

4.10%, 02/01/21

     250        262   

ONEOK Partners LP

    

3.38%, 10/01/22

     500        467   

6.65%, 10/01/36

     150        165   

Pemex Project Funding Master Trust

    

5.75%, 03/01/18 (e)

     500        557   

6.63%, 06/15/35

     150        158   

Petro-Canada

    

7.88%, 06/15/26

     200        256   

7.00%, 11/15/28

     75        91   

Petrobras Global Finance BV, 4.38%, 05/20/23 (e)

     500        445   

Petrobras International Finance Co.

    

2.88%, 02/06/15

     500        507   

3.88%, 01/27/16

     500        515   

6.13%, 10/06/16

     100        108   

5.88%, 03/01/18

     150        160   

7.88%, 03/15/19

     500        566   

5.38%, 01/27/21

     700        694   

6.88%, 01/20/40

     400        377   

Petroleos Mexicanos

    

4.88%, 03/15/15

     500        523   

6.00%, 03/05/20

     500        555   

5.50%, 01/21/21

     700        752   

5.50%, 06/27/44

     250        228   

Phillips 66, 1.95%, 03/05/15

     500        507   

Pioneer Natural Resources Co., 3.95%, 07/15/22

     400        401   

Plains All American Pipeline LP

    

3.95%, 09/15/15

     300        315   

6.50%, 05/01/18

     100        116   

6.70%, 05/15/36

     100        117   

4.30%, 01/31/43

     200        173   

Plains Exploration & Production Co., 6.75%, 02/01/22

     400        440   

Pride International Inc., 6.88%, 08/15/20

     400        478   

Rowan Cos. Inc., 4.88%, 06/01/22

     400        405   

Shell International Finance BV

    

5.20%, 03/22/17 (e)

     250        279   

2.00%, 11/15/18 (e)

     400        400   

4.38%, 03/25/20

     300        329   

6.38%, 12/15/38

     200        248   

5.50%, 03/25/40

     300        332   

Southern Natural Gas Co., 5.90%, 04/01/17 (e) (r)

     250        280   

Spectra Energy Capital LLC, 8.00%, 10/01/19

     250        298   

Statoil ASA

    

3.15%, 01/23/22

     500        488   

2.65%, 01/15/24

     500        450   

3.70%, 03/01/24

     400        396   
     Shares/Par (p)     Value  

3.95%, 05/15/43

     300        261   

Suncor Energy Inc.

    

5.95%, 12/01/34

     100        109   

6.50%, 06/15/38

     300        348   

Sunoco Logistics Partners Operations LP, 3.45%, 01/15/23

     300        275   

Talisman Energy Inc., 6.25%, 02/01/38

     300        304   

Total Capital Canada Ltd., 2.75%, 07/15/23 (e)

     300        277   

Total Capital International SA

    

0.75%, 01/25/16

     300        299   

2.88%, 02/17/22 (e)

     500        475   

Total Capital SA

    

3.00%, 06/24/15 (e)

     400        414   

2.30%, 03/15/16

     250        258   

TransCanada Pipelines Ltd.

    

6.50%, 08/15/18

     200        235   

3.80%, 10/01/20

     400        414   

6.20%, 10/15/37

     300        341   

5.00%, 10/16/43

     500        491   

Transocean Inc.

    

4.95%, 11/15/15

     500        536   

6.80%, 03/15/38

     150        166   

Valero Energy Corp.

    

9.38%, 03/15/19

     500        644   

7.50%, 04/15/32

     100        121   

Weatherford International Inc., 6.35%, 06/15/17

     250        283   

Weatherford International Ltd., 5.95%, 04/15/42

     400        400   

Western Gas Partners LP, 2.60%, 08/15/18

     250        247   

Williams Cos. Inc., 8.75%, 03/15/32

     116        135   

Williams Partners LP

    

3.80%, 02/15/15

     100        103   

5.25%, 03/15/20

     500        546   

6.30%, 04/15/40 (e)

     200        214   
   

 

 

  
    46,109   

FINANCIALS - 9.4%

    

Abbey National Treasury Services Plc, 3.05%, 08/23/18

     750        770   

AFLAC Inc., 8.50%, 05/15/19 (e)

     500        638   

American Express Centurion Bank, 0.88%, 11/13/15

     300        301   

American Express Co.

    

6.15%, 08/28/17

     750        865   

7.00%, 03/19/18

     480        573   

4.05%, 12/03/42

     135        118   

American Express Credit Corp., 2.75%, 09/15/15

     500        517   

American Honda Finance Corp., 1.13%, 10/07/16

     300        301   

American International Group Inc.

    

3.00%, 03/20/15 (e)

     500        514   

5.85%, 01/16/18

     600        688   

6.40%, 12/15/20

     500        590   

4.88%, 06/01/22

     500        537   

8.18%, 05/15/58 (i)

     500        605   

Ameriprise Financial Inc., 7.52%, 06/01/66 (i)

     250        277   

Aon Plc, 4.45%, 05/24/43

     300        266   

Arch Capital Group U.S. Inc., 5.14%, 11/01/43

     150        149   

Asian Development Bank

    

2.50%, 03/15/16 (e)

     500        520   

5.59%, 07/16/18

     400        464   

6.38%, 10/01/28

     210        258   

Assurant Inc., 6.75%, 02/15/34

     100        107   

AvalonBay Communities Inc., 2.85%, 03/15/23

     500        450   

AXA SA, 8.60%, 12/15/30

     100        123   

Bank of America Corp.

    

4.50%, 04/01/15

     500        523   

1.50%, 10/09/15

     300        303   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

6.50%, 08/01/16

     800        903   

1.35%, 11/21/16

     400        400   

5.75%, 12/01/17

     675        768   

5.65%, 05/01/18

     500        569   

2.60%, 01/15/19

     1,200        1,205   

5.49%, 03/15/19 (e)

     200        221   

5.00%, 05/13/21

     400        437   

Bank of America NA, 6.00%, 10/15/36

     250        286   

Bank of Montreal

    

1.30%, 07/15/16

     300        303   

2.50%, 01/11/17

     500        515   

Bank of New York Mellon Corp.

    

2.50%, 01/15/16 (a) (e)

     500        516   

3.55%, 09/23/21 (a)

     600        613   

Bank of Nova Scotia

    

2.05%, 10/07/15

     500        513   

2.90%, 03/29/16 (e)

     500        520   

1.45%, 04/25/18

     250        243   

Bank One Corp., 7.63%, 10/15/26

     500        617   

Barclays Bank Plc

    

2.75%, 02/23/15

     500        511   

5.13%, 01/08/20 (e)

     500        554   

BB&T Corp.

    

5.20%, 12/23/15

     500        540   

1.60%, 08/15/17 (e)

     500        495   

BBVA US Senior SAU, 4.66%, 10/09/15

     400        421   

Berkshire Hathaway Finance Corp.

    

4.85%, 01/15/15

     100        105   

1.60%, 05/15/17

     500        505   

4.25%, 01/15/21 (e)

     300        318   

4.30%, 05/15/43 (e)

     400        359   

Berkshire Hathaway Inc., 3.20%, 02/11/15

     500        515   

BlackRock Inc.

    

3.50%, 12/10/14

     200        206   

3.38%, 06/01/22

     500        494   

BNP Paribas SA

    

2.70%, 08/20/18

     1,000        1,018   

5.00%, 01/15/21

     400        438   

Boston Properties LP

    

5.63%, 11/15/20

     200        225   

3.80%, 02/01/24 (e)

     500        479   

Brandywine Operating Partnership LP, 3.95%, 02/15/23

     500        468   

Camden Property Trust, 5.00%, 06/15/15

     100        106   

Canadian Imperial Bank of Commerce, 2.35%, 12/11/15 (e)

     500        516   

Capital One Bank USA NA, 3.38%, 02/15/23

     500        464   

Capital One Financial Corp.

    

6.15%, 09/01/16

     250        280   

3.50%, 06/15/23

     550        515   

Caterpillar Financial Services Corp.

    

4.75%, 02/17/15

     100        105   

2.75%, 06/24/15

     200        206   

1.63%, 06/01/17

     400        402   

Charles Schwab Corp., 2.20%, 07/25/18

     500        502   

Cincinnati Financial Corp., 6.13%, 11/01/34

     100        106   

Citigroup Inc.

    

6.01%, 01/15/15

     301        317   

2.65%, 03/02/15 (e)

     1,000        1,020   

4.75%, 05/19/15

     237        249   

1.70%, 07/25/16 (e)

     300        303   

5.85%, 08/02/16 (e)

     250        278   

4.45%, 01/10/17

     700        758   

6.00%, 08/15/17

     250        285   

6.13%, 05/15/18

     400        463   

8.50%, 05/22/19

     550        705   

5.38%, 08/09/20

     300        341   

4.50%, 01/14/22

     500        529   
     Shares/Par (p)     Value  

4.05%, 07/30/22

     400        395   

3.50%, 05/15/23

     400        372   

5.88%, 02/22/33

     300        308   

6.00%, 10/31/33

     150        158   

CNA Financial Corp., 5.75%, 08/15/21

     400        448   

Commonwealth Bank of Australia, 1.25%, 09/18/15

     200        202   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA

    

2.13%, 10/13/15

     500        513   

3.38%, 01/19/17

     500        526   

3.88%, 02/08/22

     500        502   

Corp. Andina de Fomento, 3.75%, 01/15/16 (e)

     200        208   

Council Of Europe Development Bank, 1.50%, 02/22/17 (e)

     500        506   

Credit Suisse New York, 4.38%, 08/05/20 (e)

     500        534   

Credit Suisse USA Inc.

    

5.13%, 08/15/15

     200        214   

5.38%, 03/02/16 (e)

     500        547   

7.13%, 07/15/32

     100        130   

CubeSmart LP, 4.38%, 12/15/23

     400        390   

DDR Corp., 4.63%, 07/15/22

     300        306   

Deutsche Bank AG London

    

3.45%, 03/30/15

     500        516   

6.00%, 09/01/17 (e)

     500        571   

Deutsche Bank Financial LLC, 5.38%, 03/02/15

     250        262   

Discover Bank, 7.00%, 04/15/20

     300        349   

Duke Realty LP

    

7.38%, 02/15/15

     150        160   

3.88%, 10/15/22

     200        190   

ERP Operating LP, 5.75%, 06/15/17

     150        168   

European Bank for Reconstruction & Development

    

2.75%, 04/20/15

     500        515   

2.50%, 03/15/16

     200        208   

1.00%, 02/16/17 (e)

     500        501   

European Investment Bank

    

2.75%, 03/23/15

     700        721   

1.63%, 09/01/15 (e)

     600        612   

1.38%, 10/20/15 (e)

     400        407   

4.88%, 02/16/16

     550        598   

2.50%, 05/16/16

     1,700        1,775   

2.13%, 07/15/16

     1,000        1,034   

1.75%, 03/15/17

     500        511   

5.13%, 05/30/17 (e)

     500        566   

1.13%, 09/15/17 (e)

     1,000        994   

1.00%, 06/15/18

     700        679   

4.00%, 02/16/21 (e)

     500        540   

Export-Import Bank of Korea

    

5.13%, 03/16/15

     200        210   

4.00%, 01/11/17

     500        530   

5.00%, 04/11/22 (e)

     600        650   

Fidelity National Financial Inc., 6.60%, 05/15/17 (e)

     400        446   

Fifth Third Bancorp, 8.25%, 03/01/38

     600        797   

FMS Wertmanagement AoeR, 0.63%, 04/18/16

     250        247   

Ford Motor Credit Co. LLC

    

2.75%, 05/15/15

     600        616   

3.98%, 06/15/16

     500        532   

4.25%, 02/03/17 (e)

     300        323   

3.00%, 06/12/17

     300        312   

5.00%, 05/15/18

     300        334   

4.25%, 09/20/22

     300        301   

4.38%, 08/06/23 (e)

     250        251   

Franklin Resources Inc., 3.13%, 05/20/15

     300        309   

General Electric Capital Corp.

    

2.15%, 01/09/15 (e)

     1,000        1,018   

3.50%, 06/29/15

     500        522   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.00%, 01/08/16

     300        324   

5.63%, 09/15/17

     1,100        1,251   

5.50%, 01/08/20 (e)

     700        801   

4.38%, 09/16/20 (e)

     550        595   

4.63%, 01/07/21

     400        436   

6.75%, 03/15/32

     850        1,050   

5.88%, 01/14/38

     900        1,022   

6.88%, 01/10/39

     600        769   

6.38%, 11/15/67 (e) (i)

     300        326   

Genworth Financial Inc., 7.70%, 06/15/20 (e)

     350        417   

Goldman Sachs Group Inc.

    

5.13%, 01/15/15

     700        731   

3.30%, 05/03/15

     500        515   

1.60%, 11/23/15

     700        708   

5.75%, 10/01/16

     250        279   

6.25%, 09/01/17 (e)

     500        572   

5.95%, 01/18/18

     300        341   

6.15%, 04/01/18

     300        344   

7.50%, 02/15/19

     600        730   

5.38%, 03/15/20

     400        444   

5.25%, 07/27/21

     500        547   

5.95%, 01/15/27

     450        477   

6.75%, 10/01/37

     1,000        1,109   

Hartford Financial Services Group Inc.

    

5.38%, 03/15/17

     500        551   

6.10%, 10/01/41

     75        85   

HCP Inc.

    

6.00%, 01/30/17

     150        168   

5.38%, 02/01/21

     300        326   

Health Care REIT Inc.

    

6.13%, 04/15/20

     400        450   

4.50%, 01/15/24 (e)

     300        296   

Hospitality Properties Trust, 5.63%, 03/15/17

     500        543   

Host Hotels & Resorts LP, 6.00%, 10/01/21

     400        435   

HSBC Bank USA NA, 4.88%, 08/24/20

     300        323   

HSBC Finance Capital Trust IX, 5.91%, 11/30/35 (i)

     250        258   

HSBC Holdings Plc

    

5.10%, 04/05/21

     500        555   

4.00%, 03/30/22

     500        513   

7.63%, 05/17/32

     150        187   

6.10%, 01/14/42

     600        712   

HSBC USA Inc., 2.38%, 02/13/15

     500        510   

ING US Inc., 5.70%, 07/15/43 (l)

     300        312   

Inter-American Development Bank

    

5.13%, 09/13/16

     650        725   

1.13%, 03/15/17

     1,000        1,006   

3.88%, 02/14/20

     700        758   

2.13%, 11/09/20

     400        388   

IntercontinentalExchange Group Inc., 4.00%, 10/15/23

     300        301   

International Bank for Reconstruction & Development

    

2.38%, 05/26/15

     200        206   

2.13%, 03/15/16 (e)

     500        517   

1.00%, 09/15/16

     1,000        1,008   

0.88%, 04/17/17 (e)

     1,000        997   

1.13%, 07/18/17 (e)

     500        500   

7.63%, 01/19/23

     300        405   

International Finance Corp.

    

2.75%, 04/20/15

     200        206   

2.13%, 11/17/17

     500        513   

Intesa Sanpaolo SpA, 3.13%, 01/15/16

     400        408   

Jefferies Group Inc.

    

5.13%, 04/13/18

     500        541   

6.45%, 06/08/27

     100        104   

John Deere Capital Corp.

    

2.25%, 06/07/16

     400        413   
     Shares/Par (p)     Value  

1.40%, 03/15/17

     500        498   

1.20%, 10/10/17 (e)

     500        487   

2.75%, 03/15/22

     500        473   

JPMorgan Chase & Co.

    

4.75%, 03/01/15 (e)

     250        262   

0.80%, 04/23/15

     1,000        1,000   

6.00%, 01/15/18

     1,750        2,014   

6.30%, 04/23/19

     500        590   

4.40%, 07/22/20

     600        644   

4.50%, 01/24/22

     600        634   

3.20%, 01/25/23

     500        473   

5.60%, 07/15/41

     500        541   

JPMorgan Chase Bank NA, 6.00%, 10/01/17

     500        572   

KeyCorp, 2.30%, 12/13/18

     400        397   

Korea Development Bank, 3.25%, 03/09/16

     500        519   

Korea Finance Corp., 2.88%, 08/22/18 (e)

     500        503   

Kreditanstalt fuer Wiederaufbau

    

2.63%, 03/03/15

     1,000        1,027   

4.88%, 01/17/17

     1,200        1,342   

1.25%, 02/15/17

     1,000        1,010   

4.38%, 03/15/18

     800        889   

4.88%, 06/17/19

     500        570   

4.00%, 01/27/20

     300        326   

2.75%, 09/08/20

     500        504   

2.63%, 01/25/22

     700        682   

0.00%, 06/29/37 (j)

     500        183   

Landwirtschaftliche Rentenbank

    

2.50%, 02/15/16

     1,000        1,039   

5.13%, 02/01/17

     500        563   

Leucadia National Corp., 6.63%, 10/23/43

     300        293   

Liberty Property LP, 3.38%, 06/15/23

     500        454   

Lloyds Bank Plc, 6.38%, 01/21/21

     500        589   

Markel Corp., 5.00%, 03/30/43

     400        373   

Merrill Lynch & Co. Inc.

    

5.00%, 01/15/15

     550        573   

6.05%, 05/16/16 (e)

     250        275   

5.70%, 05/02/17

     500        556   

6.88%, 04/25/18

     1,300        1,536   

MetLife Inc.

    

6.75%, 06/01/16

     500        568   

7.72%, 02/15/19

     500        619   

5.70%, 06/15/35

     100        109   

6.40%, 12/15/36 (i)

     100        103   

Mid-America Apartments LP, 4.30%, 10/15/23

     200        194   

Morgan Stanley

    

5.38%, 10/15/15

     500        538   

1.75%, 02/25/16

     300        304   

5.45%, 01/09/17

     850        942   

4.75%, 03/22/17 (e)

     800        873   

6.63%, 04/01/18

     500        585   

5.50%, 01/26/20

     500        561   

5.50%, 07/24/20 (e)

     500        559   

5.75%, 01/25/21

     400        452   

3.75%, 02/25/23

     300        291   

7.25%, 04/01/32

     387        478   

Murray Street Investment Trust I, 4.65%, 03/09/17 (e) (k)

     500        538   

National Australia Bank Ltd., 1.60%, 08/07/15

     600        610   

National Rural Utilities Cooperative Finance Corp., 10.38%, 11/01/18

     200        270   

Nomura Holdings Inc, 6.70%, 03/04/20

     400        458   

Northern Trust Corp., 3.45%, 11/04/20

     300        308   

Perrigo Co. Plc, 5.30%, 11/15/43 (r)

     400        391   

PNC Bank NA, 4.20%, 11/01/25

     300        294   

PNC Funding Corp.

    

5.25%, 11/15/15

     250        268   

5.63%, 02/01/17

     600        666   

6.70%, 06/10/19

     500        600   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Prudential Financial Inc.

    

4.75%, 09/17/15

     500        533   

5.38%, 06/21/20

     200        226   

4.50%, 11/16/21 (e)

     500        531   

5.75%, 07/15/33 (e)

     400        428   

6.63%, 06/21/40

     200        242   

Realty Income Corp.

    

6.75%, 08/15/19

     150        176   

5.88%, 03/15/35

     300        311   

Royal Bank of Canada

    

2.88%, 04/19/16 (e)

     500        521   

2.30%, 07/20/16

     500        517   

Royal Bank of Scotland Group Plc, 2.55%, 09/18/15

     500        511   

Royal Bank of Scotland Plc

    

6.40%, 10/21/19

     200        230   

6.13%, 01/11/21 (e)

     300        339   

Simon Property Group LP

    

5.75%, 12/01/15

     400        433   

5.25%, 12/01/16

     250        277   

3.38%, 03/15/22

     400        389   

6.75%, 02/01/40

     100        125   

State Street Corp., 3.10%, 05/15/23

     500        464   

Sumitomo Mitsui Banking Corp.

    

1.35%, 07/18/15

     600        605   

3.20%, 07/18/22

     400        380   

SunTrust Banks Inc., 3.60%, 04/15/16

     500        527   

Toyota Motor Credit Corp.

    

3.20%, 06/17/15

     500        520   

1.25%, 10/05/17

     600        589   

4.25%, 01/11/21

     400        428   

2.63%, 01/10/23

     300        278   

Transatlantic Holdings Inc., 5.75%, 12/14/15

     200        217   

Travelers Cos. Inc., 6.25%, 06/15/37

     150        179   

Travelers Property Casualty Corp., 6.38%, 03/15/33

     400        480   

Trinity Acquisition Plc, 4.63%, 08/15/23 (e)

     350        343   

U.S. Bancorp

    

2.45%, 07/27/15

     400        411   

1.65%, 05/15/17

     400        401   

4.13%, 05/24/21

     400        425   

2.95%, 07/15/22

     400        371   

UBS AG

    

3.88%, 01/15/15

     500        517   

5.88%, 07/15/16

     250        278   

5.88%, 12/20/17

     146        167   

5.75%, 04/25/18

     220        252   

4.88%, 08/04/20

     391        435   

Union Bank NA, 5.95%, 05/11/16

     500        554   

Validus Holding Ltd., 8.88%, 01/26/40

     500        658   

Ventas Realty LP, 4.00%, 04/30/19

     500        525   

Wachovia Bank NA

    

6.00%, 11/15/17

     250        288   

5.85%, 02/01/37

     250        285   

Wells Fargo & Co.

    

3.68%, 06/15/16 (k)

     600        639   

1.25%, 07/20/16

     690        695   

1.50%, 01/16/18 (e)

     500        497   

4.60%, 04/01/21

     500        547   

3.50%, 03/08/22

     500        499   

3.45%, 02/13/23

     300        283   

4.48%, 01/16/24 (r)

     775        770   

5.38%, 11/02/43

     500        510   

Westpac Banking Corp.

    

4.20%, 02/27/15 (e)

     500        521   

4.88%, 11/19/19

     800        887   

Weyerhaeuser Co., 7.38%, 03/15/32

     200        244   
   

 

 

  
    146,157   
     Shares/Par (p)     Value  

HEALTH CARE - 1.9%

    

AbbVie Inc.

    

1.20%, 11/06/15

     400        404   

1.75%, 11/06/17

     400        399   

2.00%, 11/06/18

     400        395   

2.90%, 11/06/22

     400        373   

Aetna Inc.

    

1.50%, 11/15/17 (e)

     200        197   

4.13%, 06/01/21

     500        524   

6.63%, 06/15/36

     150        179   

4.13%, 11/15/42

     200        174   

Agilent Technologies Inc., 5.00%, 07/15/20

     200        215   

Amgen Inc.

    

5.85%, 06/01/17

     600        681   

4.10%, 06/15/21

     600        624   

6.38%, 06/01/37 (e)

     400        457   

5.15%, 11/15/41

     400        397   

AstraZeneca Plc

    

5.90%, 09/15/17

     250        286   

6.45%, 09/15/37

     550        655   

Baxter International Inc.

    

4.63%, 03/15/15

     75        79   

4.25%, 03/15/20

     200        215   

4.50%, 06/15/43 (e)

     250        241   

Becton Dickinson and Co., 3.25%, 11/12/20

     300        299   

Boston Scientific Corp.

    

6.25%, 11/15/15 (l)

     300        328   

7.38%, 01/15/40

     300        372   

Bristol-Myers Squibb Co.

    

5.45%, 05/01/18

     150        172   

5.88%, 11/15/36

     67        76   

3.25%, 08/01/42 (e)

     200        155   

Cardinal Health Inc.

    

1.70%, 03/15/18 (e)

     400        391   

4.60%, 03/15/43

     300        279   

Celgene Corp., 3.95%, 10/15/20 (e)

     300        310   

Cigna Corp., 4.00%, 02/15/22

     500        508   

Covidien International Finance SA, 6.00%, 10/15/17 (e)

     300        344   

Eli Lilly & Co.

    

5.20%, 03/15/17

     400        447   

5.55%, 03/15/37

     100        109   

Express Scripts Holding Co., 3.90%, 02/15/22

     500        500   

Express Scripts Inc., 3.13%, 05/15/16

     300        313   

Genentech Inc., 5.25%, 07/15/35

     250        263   

Gilead Sciences Inc., 4.40%, 12/01/21 (e)

     500        533   

GlaxoSmithKline Capital Inc.

    

5.65%, 05/15/18

     500        575   

2.80%, 03/18/23 (e)

     200        185   

5.38%, 04/15/34

     150        163   

GlaxoSmithKline Capital Plc, 0.75%, 05/08/15

     400        402   

Howard Hughes Medical Institute, 3.50%, 09/01/23

     250        245   

Humana Inc., 7.20%, 06/15/18 (l)

     500        591   

Johnson & Johnson

    

3.55%, 05/15/21 (e)

     350        364   

5.95%, 08/15/37

     500        589   

4.50%, 12/05/43

     400        396   

McKesson Corp.

    

5.70%, 03/01/17

     100        111   

2.85%, 03/15/23

     500        452   

Medco Health Solutions Inc., 7.13%,
03/15/18 (e) (l)

     500        594   

Medtronic Inc.

    

3.00%, 03/15/15 (e)

     600        619   

4.45%, 03/15/20

     400        438   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Merck & Co. Inc.

    

4.75%, 03/01/15 (e)

     250        262   

6.00%, 09/15/17

     250        289   

2.40%, 09/15/22 (e)

     400        365   

6.50%, 12/01/33 (l)

     350        435   

6.55%, 09/15/37

     300        373   

3.60%, 09/15/42

     200        165   

Mylan Inc., 4.20%, 11/29/23

     400        393   

Novartis Securities Investment Ltd., 5.13%, 02/10/19

     500        566   

Pfizer Inc.

    

5.35%, 03/15/15

     700        740   

6.20%, 03/15/19

     500        592   

7.20%, 03/15/39

     500        670   

Pharmacia Corp., 6.60%, 12/01/28

     50        61   

Quest Diagnostic Inc., 4.70%, 04/01/21

     500        512   

Sanofi SA, 2.63%, 03/29/16

     500        520   

St. Jude Medical Inc., 4.75%, 04/15/43

     750        708   

Stryker Corp., 4.10%, 04/01/43 (e)

     400        353   

Teva Pharmaceutical Finance II BV, 3.00%, 06/15/15

     500        516   

Teva Pharmaceutical Finance LLC, 6.15%, 02/01/36 (e)

     150        164   

Thermo Fisher Scientific Inc.

    

5.00%, 06/01/15

     200        212   

3.20%, 03/01/16

     300        314   

5.30%, 02/01/44

     400        403   

UnitedHealth Group Inc.

    

5.38%, 03/15/16 (e)

     250        274   

6.00%, 02/15/18

     150        173   

1.63%, 03/15/19

     500        481   

4.70%, 02/15/21

     400        436   

5.80%, 03/15/36

     150        165   

5.95%, 02/15/41

     450        508   

WellPoint Inc.

    

5.25%, 01/15/16

     300        324   

4.35%, 08/15/20

     200        211   

3.30%, 01/15/23

     300        280   

4.65%, 01/15/43

     200        185   

Wyeth LLC, 5.95%, 04/01/37

     250        289   

Zoetis Inc., 1.88%, 02/01/18

     300        297   
   

 

 

  
      29,854   

INDUSTRIALS - 1.4%

    

3M Co.

    

2.00%, 06/26/22

     500        456   

5.70%, 03/15/37

     150        172   

Air Lease Corp, 3.38%, 01/15/19

     400        400   

Boeing Co., 4.88%, 02/15/20

     500        557   

Burlington Northern Santa Fe LLC

    

4.10%, 06/01/21

     300        308   

3.05%, 09/01/22

     500        468   

6.15%, 05/01/37

     100        114   

5.75%, 05/01/40

     400        438   

Canadian National Railway Co.

    

1.45%, 12/15/16

     400        403   

5.55%, 03/01/19

     400        459   

Caterpillar Inc.

    

3.90%, 05/27/21

     650        674   

3.80%, 08/15/42

     128        107   

CSX Corp.

    

6.25%, 04/01/15

     30        32   

7.38%, 02/01/19

     300        364   

3.70%, 11/01/23

     200        193   

6.00%, 10/01/36

     200        218   

Dover Corp., 5.38%, 03/01/41

     500        534   

Eaton Corp.

    

0.95%, 11/02/15

     600        602   
     Shares/Par (p)     Value  

1.50%, 11/02/17

     300        294   

2.75%, 11/02/22

     100        93   

4.15%, 11/02/42

     100        89   

Emerson Electric Co.

    

5.00%, 12/15/14

     100        104   

2.63%, 02/15/23

     360        336   

FedEx Corp.

    

2.63%, 08/01/22

     300        271   

3.88%, 08/01/42

     300        245   

GATX Corp., 4.75%, 06/15/22

     350        355   

General Electric Co.

    

5.25%, 12/06/17

     600        679   

2.70%, 10/09/22

     500        467   

Honeywell International Inc.

    

5.00%, 02/15/19

     500        562   

5.38%, 03/01/41

     300        329   

Ingersoll-Rand Global Holding Co. Ltd., 6.88%, 08/15/18

     200        235   

Koninklijke Philips Electronics NV, 5.75%, 03/11/18 (e)

     350        400   

L-3 Communications Corp., 4.95%,
02/15/21 (e)

     500        522   

Lockheed Martin Corp.

    

3.35%, 09/15/21

     600        595   

4.07%, 12/15/42

     493        429   

Norfolk Southern Corp.

    

5.90%, 06/15/19

     300        347   

2.90%, 02/15/23

     79        73   

4.84%, 10/01/41

     624        594   

Northrop Grumman Systems Corp., 5.05%, 08/01/19

     210        232   

Owens Corning, 6.50%, 12/01/16

     500        555   

Pitney Bowes Inc., 5.75%, 09/15/17

     500        551   

Precision Castparts Corp., 2.50%, 01/15/23

     300        271   

Raytheon Co., 3.13%, 10/15/20

     500        500   

Republic Services Inc.

    

5.00%, 03/01/20 (e)

     300        329   

6.20%, 03/01/40

     430        486   

Roper Industries Inc., 1.85%, 11/15/17

     300        297   

Ryder System Inc., 2.35%, 02/26/19 (e)

     400        391   

Union Pacific Corp.

    

4.75%, 12/15/43

     180        175   

4.82%, 02/01/44 (r)

     332        320   

United Parcel Service Inc.

    

3.13%, 01/15/21

     500        500   

6.20%, 01/15/38

     350        424   

United Technologies Corp.

    

4.88%, 05/01/15

     300        317   

1.80%, 06/01/17

     300        305   

6.13%, 02/01/19

     250        295   

3.10%, 06/01/22 (e)

     300        293   

6.70%, 08/01/28

     50        61   

5.70%, 04/15/40

     500        566   

Waste Management Inc.

    

6.10%, 03/15/18

     200        230   

2.90%, 09/15/22 (e)

     500        462   
   

 

 

  
      21,078   

INFORMATION TECHNOLOGY - 1.1%

  

  

Adobe Systems Inc., 4.75%, 02/01/20

     300        324   

Apple Inc.

    

1.00%, 05/03/18 (e)

     650        628   

2.40%, 05/03/23

     650        584   

Arrow Electronics Inc., 4.50%, 03/01/23

     400        384   

CA Inc., 4.50%, 08/15/23

     400        395   

Cisco Systems Inc.

    

5.50%, 02/22/16

     750        825   

4.45%, 01/15/20

     650        708   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.90%, 02/15/39

     250        277   

Computer Sciences Corp., 4.45%, 09/15/22 (e)

     300        289   

Corning Inc., 4.75%, 03/15/42

     400        384   

eBay Inc.

    

0.70%, 07/15/15

     200        201   

1.35%, 07/15/17

     200        199   

2.60%, 07/15/22 (e)

     200        184   

4.00%, 07/15/42 (e)

     200        169   

Harris Corp., 4.40%, 12/15/20

     500        518   

Hewlett-Packard Co.

    

2.13%, 09/13/15 (e)

     300        306   

3.00%, 09/15/16

     500        520   

4.30%, 06/01/21

     600        607   

4.05%, 09/15/22

     300        294   

Intel Corp.

    

2.70%, 12/15/22

     500        460   

4.25%, 12/15/42

     400        352   

International Business Machines Corp.

    

0.45%, 05/06/16

     600        595   

5.70%, 09/14/17

     600        689   

1.63%, 05/15/20 (e)

     600        562   

6.50%, 01/15/28

     200        243   

Jabil Circuit Inc., 4.70%, 09/15/22 (e)

     300        288   

Microsoft Corp.

    

1.63%, 09/25/15

     200        204   

0.88%, 11/15/17 (e)

     500        492   

3.00%, 10/01/20

     300        305   

5.30%, 02/08/41

     550        587   

Oracle Corp.

    

5.75%, 04/15/18

     350        404   

2.38%, 01/15/19

     400        403   

3.88%, 07/15/20

     300        316   

2.50%, 10/15/22

     500        457   

3.63%, 07/15/23

     400        396   

5.38%, 07/15/40

     500        532   

Seagate HDD Cayman, 4.75%, 06/01/23 (r)

     500        468   

Seagate Technology HDD Holdings, 6.80%, 10/01/16

     95        107   

Western Union Co., 5.25%, 04/01/20 (e)

     500        532   

Xerox Corp., 6.35%, 05/15/18 (e)

     500        571   
   

 

 

  
    16,759   

MATERIALS - 1.3%

    

Agrium Inc., 7.13%, 05/23/36 (e)

     300        353   

Airgas Inc.

    

2.95%, 06/15/16

     500        518   

2.38%, 02/15/20

     500        472   

Alcoa Inc.

    

5.55%, 02/01/17

     200        215   

6.75%, 07/15/18 (e)

     300        338   

5.40%, 04/15/21 (e)

     400        408   

Barrick Gold Corp.

    

6.95%, 04/01/19

     350        404   

5.95%, 10/15/39

     300        259   

BHP Billiton Finance USA Ltd.

    

5.25%, 12/15/15

     90        98   

1.63%, 02/24/17 (e)

     500        501   

5.40%, 03/29/17

     200        224   

3.25%, 11/21/21 (e)

     430        427   

4.13%, 02/24/42 (e)

     500        443   

CF Industries Inc

    

3.45%, 06/01/23

     250        228   

4.95%, 06/01/43

     250        227   

CRH America Inc., 6.00%, 09/30/16

     250        279   

Dow Chemical Co.

    

8.55%, 05/15/19 (e) (l)

     197        254   

4.13%, 11/15/21 (e)

     400        413   

7.38%, 11/01/29

     200        256   
     Shares/Par (p)     Value  

5.25%, 11/15/41

     400        397   

E.I. du Pont de Nemours & Co.

    

4.25%, 04/01/21

     300        317   

2.80%, 02/15/23

     400        366   

4.90%, 01/15/41 (e)

     300        295   

Ecolab Inc., 5.50%, 12/08/41

     500        534   

Freeport-McMoRan Copper & Gold Inc.

    

1.40%, 02/13/15 (e)

     350        352   

3.55%, 03/01/22

     500        475   

5.45%, 03/15/43

     300        286   

International Paper Co.

    

7.95%, 06/15/18 (l)

     550        668   

8.70%, 06/15/38 (l)

     300        412   

LyondellBasell Industries NV, 5.00%, 04/15/19

     500        555   

MeadWestvaco Corp., 7.38%, 09/01/19

     500        593   

Newmont Mining Corp.

    

3.50%, 03/15/22

     500        425   

5.88%, 04/01/35 (e)

     50        42   

6.25%, 10/01/39

     400        353   

Packaging Corp. of America, 4.50%, 11/01/23

     200        200   

Plum Creek Timberlands LP, 4.70%, 03/15/21

     400        414   

PPG Industries Inc., 3.60%, 11/15/20

     400        405   

Praxair Inc.

    

5.38%, 11/01/16

     500        558   

2.20%, 08/15/22

     300        266   

Rio Tinto Finance USA Ltd.

    

1.88%, 11/02/15

     250        255   

3.75%, 09/20/21 (e)

     600        605   

Rio Tinto Finance USA Plc

    

2.00%, 03/22/17

     600        603   

3.50%, 03/22/22

     500        490   

RPM International Inc., 6.13%, 10/15/19

     200        224   

Southern Copper Corp., 7.50%, 07/27/35

     150        156   

Teck Resources Ltd.

    

4.50%, 01/15/21

     500        503   

5.20%, 03/01/42

     400        352   

Vale Overseas Ltd.

    

6.25%, 01/11/16

     100        109   

6.25%, 01/23/17 (e)

     150        166   

4.63%, 09/15/20

     500        511   

8.25%, 01/17/34

     200        230   

6.88%, 11/21/36

     400        412   

Vale SA, 5.63%, 09/11/42 (e)

     500        452   
   

 

 

  
    19,298   

TELECOMMUNICATION SERVICES - 1.3%

  

America Movil SAB de CV

    

3.63%, 03/30/15

     200        206   

2.38%, 09/08/16

     500        515   

6.38%, 03/01/35

     200        216   

6.13%, 03/30/40 (e)

     300        316   

4.38%, 07/16/42 (e)

     200        166   

AT&T Inc.

    

2.50%, 08/15/15

     800        821   

2.40%, 08/15/16

     600        617   

4.45%, 05/15/21

     500        526   

6.50%, 09/01/37

     500        561   

British Telecommunications Plc, 9.63%, 12/15/30 (l)

     550        819   

Deutsche Telekom International Finance BV

    

5.75%, 03/23/16

     250        274   

8.75%, 06/15/30 (l)

     300        422   

Embarq Corp.

    

7.08%, 06/01/16

     300        335   

8.00%, 06/01/36

     500        505   

France Telecom SA, 8.75%, 03/01/31 (l)

     250        344   

GTE Corp.

    

6.84%, 04/15/18

     250        291   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

6.94%, 04/15/28

     50        57   

Pacific Bell Telephone Co., 7.13%, 03/15/26

     500        597   

Qwest Corp., 7.25%, 09/15/25

     110        117   

Rogers Communications Inc., 6.80%, 08/15/18

     500        596   

Southwestern Bell Telephone LP, 7.00%, 07/01/15

     100        109   

Telefonica Emisiones SAU

    

3.73%, 04/27/15

     100        103   

3.99%, 02/16/16

     400        420   

5.13%, 04/27/20

     350        371   

7.05%, 06/20/36

     500        550   

Telefonica Europe BV, 8.25%, 09/15/30

     200        238   

Verizon Communications Inc.

    

5.55%, 02/15/16

     200        219   

3.00%, 04/01/16

     300        313   

2.50%, 09/15/16

     500        517   

3.65%, 09/14/18

     400        423   

8.75%, 11/01/18

     428        547   

4.50%, 09/15/20

     100        107   

3.50%, 11/01/21

     600        595   

2.45%, 11/01/22 (e)

     500        442   

5.15%, 09/15/23

     600        643   

6.40%, 09/15/33

     350        401   

6.90%, 04/15/38

     300        356   

6.00%, 04/01/41

     600        657   

6.55%, 09/15/43

     1,400        1,632   

Verizon Florida LLC, 6.86%, 02/01/28

     200        210   

Verizon Wireless Capital LLC, 8.50%, 11/15/18

     300        380   

Vodafone Group Plc

    

5.38%, 01/30/15 (e)

     500        525   

5.63%, 02/27/17

     400        447   

1.50%, 02/19/18

     400        390   

7.88%, 02/15/30

     450        562   

6.15%, 02/27/37

     300        324   
   

 

 

  
    19,782   

UTILITIES - 1.7%

    

Alabama Power Co., 6.00%, 03/01/39

     250        291   

Appalachian Power Co., 6.70%, 08/15/37

     200        231   

Arizona Public Service Co., 4.50%,
04/01/42 (e)

     400        382   

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

     250        254   

Commonwealth Edison Co., 5.90%,
03/15/36 (e)

     700        797   

Commonwealth Edison Co. (insured by AMBAC Assurance Corp.), 5.88%, 02/01/33

     300        339   

Connecticut Light & Power Co., 5.50%, 02/01/19

     360        412   

Consolidated Edison Co. of New York Inc.

    

5.30%, 03/01/35

     250        268   

5.85%, 03/15/36

     300        342   

5.70%, 06/15/40

     100        113   

Consumers Energy Co., 5.50%, 08/15/16

     25        28   

Detroit Edison Co., 5.60%, 06/15/18

     250        284   

Dominion Gas Holdings LLC, 3.55%,
11/01/23 (r)

     200        192   

Dominion Resources Inc.

    

8.88%, 01/15/19

     350        445   

4.45%, 03/15/21

     400        424   

7.00%, 06/15/38

     200        251   

Duke Energy Carolinas LLC

    

5.30%, 10/01/15

     200        216   

7.00%, 11/15/18

     100        122   

5.30%, 02/15/40

     300        325   

Duke Energy Corp., 3.95%, 10/15/23 (e)

     500        499   

Duke Energy Indiana Inc., 6.12%, 10/15/35

     250        274   

Edison International, 3.75%, 09/15/17

     300        314   
     Shares/Par (p)     Value  

Enersis SA, 7.40%, 12/01/16 (e)

     150        171   

Entergy Arkansas Inc., 3.75%, 02/15/21

     400        408   

Entergy Corp.

    

3.63%, 09/15/15 (l)

     300        310   

5.13%, 09/15/20 (l)

     500        527   

Exelon Corp., 4.90%, 06/15/15

     200        211   

Exelon Generation Co. LLC

    

6.20%, 10/01/17

     200        226   

5.20%, 10/01/19

     200        215   

4.25%, 06/15/22 (e)

     60        57   

5.60%, 06/15/42

     121        113   

First Energy Solutions Corp., 6.80%, 08/15/39

     200        202   

Florida Power & Light Co.

    

5.63%, 04/01/34

     100        113   

4.95%, 06/01/35

     300        313   

5.13%, 06/01/41

     400        428   

Florida Power Corp.

    

0.65%, 11/15/15 (e)

     200        200   

5.65%, 06/15/18

     350        401   

4.55%, 04/01/20

     300        326   

Georgia Power Co.

    

3.00%, 04/15/16

     500        521   

4.25%, 12/01/19

     300        326   

Great Plains Energy Inc., 4.85%, 06/01/21

     250        263   

Hydro Quebec

    

7.50%, 04/01/16

     100        114   

9.40%, 02/01/21

     250        334   

Iberdrola International BV, 6.75%, 07/15/36 (e)

     150        163   

Kentucky Utilities Co., 5.13%, 11/01/40 (e)

     300        316   

LG&E and KU Energy LLC, 3.75%, 11/15/20

     300        303   

MidAmerican Energy Co., 6.75%, 12/30/31

     50        61   

Mississippi Power Co., 4.25%, 03/15/42

     500        432   

National Grid Plc, 6.30%, 08/01/16

     150        169   

Nevada Power Co., 7.13%, 03/15/19 (e)

     250        304   

NextEra Energy Capital Holdings Inc.

    

1.20%, 06/01/15 (e)

     600        603   

6.00%, 03/01/19

     100        113   

NiSource Finance Corp.

    

6.80%, 01/15/19

     300        349   

4.45%, 12/01/21

     400        405   

5.95%, 06/15/41

     250        260   

Northern States Power Co., 5.25%, 03/01/18

     350        395   

Ohio Power Co., 6.00%, 06/01/16

     500        554   

Oncor Electric Delivery Co. LLC

    

6.38%, 01/15/15

     150        158   

7.00%, 09/01/22

     150        179   

5.25%, 09/30/40

     200        205   

Oneok Inc., 5.20%, 06/15/15

     500        528   

Pacific Gas & Electric Co.

    

6.05%, 03/01/34

     500        571   

4.45%, 04/15/42

     400        374   

PacifiCorp

    

2.95%, 06/01/23

     300        281   

5.75%, 04/01/37

     150        171   

6.25%, 10/15/37

     500        594   

Panhandle Eastern Pipeline Co. LP, 6.20%, 11/01/17

     500        570   

PPL Energy Supply LLC, 5.70%, 10/15/15

     440        464   

Progress Energy Inc., 7.75%, 03/01/31

     300        385   

PSEG Power LLC

    

2.75%, 09/15/16

     500        518   

8.63%, 04/15/31

     75        102   

Public Service Electric & Gas Co., 5.50%, 03/01/40

     200        223   

Puget Sound Energy Inc.

    

5.76%, 10/01/39 (e)

     200        226   

4.43%, 11/15/41

     250        237   

San Diego Gas & Electric Co., 5.35%, 05/15/40

     200        221   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Scottish Power Ltd., 5.38%, 03/15/15

     50        52   

Sempra Energy

    

9.80%, 02/15/19

     300        396   

2.88%, 10/01/22

     500        460   

South Carolina Electric & Gas Co., 6.05%, 01/15/38

     400        467   

Southern California Edison Co.

    

6.00%, 01/15/34

     75        88   

4.05%, 03/15/42

     500        451   

Southwestern Electric Power Co.

    

6.45%, 01/15/19

     300        344   

6.20%, 03/15/40

     200        217   

Teco Finance Inc., 5.15%, 03/15/20

     200        219   

TransAlta Corp., 6.50%, 03/15/40

     300        292   

Union Electric Co., 6.40%, 06/15/17

     100        115   

Virginia Electric & Power Co., 5.95%, 09/15/17 (e)

     250        288   

Westar Energy Inc., 4.63%, 09/01/43

     250        245   

Xcel Energy Inc., 4.80%, 09/15/41

     250        243   
   

 

 

  
      26,893   
   

 

 

  

Total Corporate Bonds and Notes (cost $370,565)

  

     378,417   
   

 

 

  

GOVERNMENT AND AGENCY
OBLIGATIONS - 73.6%

   

GOVERNMENT SECURITIES - 42.7%

  

  

Federal Farm Credit Bank - 0.1% (w)

    

Federal Farm Credit Bank

    

0.50%, 06/23/15

     1,000        1,002   

0.73%, 08/15/16

     205        205   

0.54%, 11/07/16

     450        447   
   

 

 

  
    1,654   

Federal Home Loan Bank - 0.7% (w)

    

Federal Home Loan Bank

    

2.75%, 03/13/15

     950        978   

2.88%, 06/12/15

     900        933   

0.50%, 11/20/15 (e)

     1,500        1,502   

5.00%, 12/21/15

     500        545   

0.45%, 12/28/15

     400        400   

5.38%, 05/18/16

     500        557   

4.75%, 12/16/16

     300        335   

4.88%, 05/17/17

     900        1,016   

1.00%, 06/21/17

     1,000        997   

5.00%, 11/17/17 (e)

     855        975   

1.25%, 02/28/18

     515        504   

1.63%, 06/14/19

     1,000        973   

4.13%, 03/13/20

     1,200        1,315   

5.50%, 07/15/36

     400        461   
   

 

 

  
    11,491   

Federal Home Loan Mortgage Corp. - 1.5% (w)

  

  

Federal Home Loan Mortgage Corp.

    

2.88%, 02/09/15

     1,000        1,029   

0.50%, 04/17/15 - 01/28/16

     1,300        1,303   

0.32%, 04/29/15

     1,000        1,000   

4.38%, 07/17/15

     300        319   

1.75%, 09/10/15

     1,000        1,023   

0.40%, 11/27/15

     820        819   

4.75%, 01/19/16

     1,206        1,312   

5.25%, 04/18/16

     1,000        1,108   

0.75%, 10/05/16

     500        500   

5.13%, 10/18/16 - 11/17/17

     1,420        1,607   

1.00%, 03/08/17

     2,000        2,003   

1.25%, 05/12/17 - 10/02/19

     3,000        2,905   

5.50%, 08/23/17 (e)

     900        1,035   

1.03%, 11/28/17

     500        492   

1.20%, 06/12/18

     350        344   

3.75%, 03/27/19

     980        1,068   

1.40%, 08/22/19

     500        468   
     Shares/Par (p)     Value  

2.25%, 03/13/20

     665        653   

1.38%, 05/01/20

     1,000        937   

2.38%, 01/13/22

     1,700        1,623   

3.06%, 06/14/28

     120        104   

6.75%, 09/15/29 - 03/15/31

     180        237   

6.25%, 07/15/32

     600        757   
   

 

 

  
    22,646   

Federal National Mortgage Association - 1.6% (w)

  

Federal National Mortgage Association

    

0.55%, 02/27/15

     800        800   

0.50%, 07/02/15 - 04/29/16

     4,885        4,886   

2.38%, 07/28/15 - 04/11/16

     2,000        2,074   

4.38%, 10/15/15

     390        417   

1.63%, 10/26/15

     1,383        1,413   

5.00%, 03/15/16 - 02/13/17

     1,402        1,567   

0.57%, 04/18/16

     1,025        1,023   

0.52%, 05/27/16

     600        598   

0.00%, 06/01/17 (j)

     1,085        1,034   

0.95%, 08/23/17

     1,000        988   

0.88%, 08/28/17 (e)

     1,500        1,480   

1.07%, 09/27/17

     750        741   

1.00%, 12/28/17 - 04/30/18

     2,335        2,276   

0.88%, 02/08/18 - 05/21/18

     2,000        1,941   

1.13%, 03/28/18

     415        405   

1.55%, 10/29/19

     250        237   

2.50%, 02/22/23

     580        529   

7.25%, 05/15/30

     540        739   

6.63%, 11/15/30

     631        819   

6.00%, 04/18/36

     300        328   

Principal Only, 0.00%,10/09/19 (j)

     680        578   
   

 

 

  
    24,873   

Municipals - 1.1%

    

American Municipal Power-Ohio Inc., 7.50%, 02/15/50

     400        488   

Bay Area Toll Authority, 6.26%, 04/01/49

     200        240   

Chicago Transit Authority, 6.90%, 12/01/40

     500        557   

City of New York

    

5.97%, 03/01/36

     430        478   

5.52%, 10/01/37

     100        105   

City of San Francisco Public Utilities Commission, RB, 6.00%, 11/01/40

     200        228   

Commonwealth of Massachusetts, Ad Valorem Property Tax, GO, 4.91%, 05/01/29

     300        313   

Cook County, Illinois, 6.23%, 11/15/34

     500        501   

Dallas Area Rapid Transit, 5.02%, 12/01/48

     400        406   

Dallas Convention Center Hotel Development Corp., 7.09%, 01/01/42

     200        226   

Dallas County Hospital District, 5.62%, 08/15/44

     300        329   

Dallas Independent School District, 6.45%, 02/15/35

     300        334   

Florida Hurricane Catastrophe Fund Finance Corp., 2.11%, 07/01/18

     400        390   

Government Development Bank for Puerto Rico, 4.70%, 05/01/16

     500        410   

Indianapolis Local Public Improvement Bond Bank, 6.12%, 01/15/40

     295        340   

Los Angeles Department of Water & Power, 5.72%, 07/01/39

     245        267   

Los Angeles Unified School District, 5.75%, 07/01/34

     300        332   

Los Angeles Unified School District, Ad Valorem Property Tax, GO, 5.76%, 07/01/29

     200        222   

Metropolitan Transportation Authority, RB

    

6.55%, 11/15/31

     200        229   

6.65%, 11/15/39

     490        572   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Municipal Electric Authority of Georgia, 7.06%, 04/01/57

     400        400   

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        637   

New Jersey State Turnpike Authority (insured by AMBAC Assurance Corp.), 4.25%, 01/01/16

     60        61   

New York City Municipal Water Finance Authority, 6.01%, 06/15/42

     435        503   

New York Dormitory Authority, RB, 5.60%, 03/15/40

     200        220   

Ohio State University, College & University Revenue, 4.91%, 06/01/40

     400        401   

Oregon State Department of Transportation, 5.83%, 11/15/34

     300        339   

Port Authority of New York & New Jersey, GO

    

6.04%, 12/01/29

     200        227   

4.46%, 10/01/62

     300        256   

Southern California Public Power Authority (insured by Assured Guaranty Municipal Corp.), 6.93%, 05/15/17

     350        407   

State of California

    

5.75%, 03/01/17

     500        564   

7.60%, 11/01/40

     800        1,054   

State of Connecticut, GO

    

5.09%, 10/01/30

     250        255   

5.85%, 03/15/32

     200        223   

State of Georgia, GO, 4.50%, 11/01/25

     300        318   

State of Illinois

    

4.96%, 03/01/16

     500        532   

5.10%, 06/01/33

     700        650   

State of Illinois, Transit Improvements, GO, 7.35%, 07/01/35

     400        440   

State of Texas, 5.52%, 04/01/39

     465        520   

State of Utah, 3.54%, 07/01/25

     500        490   

University of California, RB

    

1.80%, 07/01/19

     500        481   

6.55%, 05/15/48

     300        350   
   

 

 

  
    16,536   

Sovereign - 2.4%

    

African Development Bank

    

1.25%, 09/02/16 (e)

     1,000        1,011   

0.75%, 10/18/16

     130        130   

Asian Development Bank

    

2.63%, 02/09/15

     300        308   

1.13%, 03/15/17

     500        502   

1.38%, 03/23/20

     500        471   

Brazil Government International Bond

    

7.88%, 03/07/15 (e)

     565        609   

6.00%, 01/17/17

     500        554   

5.88%, 01/15/19

     700        784   

4.88%, 01/22/21

     500        528   

10.13%, 05/15/27

     535        789   

Chile Government International Bond, 3.88%, 08/05/20 (e)

     500        520   

Colombia Government International Bond

    

11.75%, 02/25/20

     300        431   

8.13%, 05/21/24 (e)

     400        514   

Export Development Canada, 2.25%, 05/28/15

     200        205   

Federal Republic of Brazil, 12.25%, 03/06/30

     220        375   

International Finance Corp., 0.50%, 05/16/16

     1,000        998   

Israel Government AID Bond, 5.50%, 04/26/24

     142        164   

Israel Government International Bond, 4.00%, 06/30/22 (e)

     500        519   
     Shares/Par (p)     Value  

Italy Government International Bond

    

4.50%, 01/21/15 (e)

     1,000        1,038   

6.88%, 09/27/23

     450        533   

5.38%, 06/15/33 (e)

     500        519   

Japan Bank for International Cooperation, 1.13%, 07/19/17 (e)

     500        497   

Japan Finance Corp.

    

2.88%, 02/02/15 (e)

     500        513   

2.50%, 05/18/16

     500        520   

Japan Finance Organization for Municipalities, 4.00%, 01/13/21

     500        533   

Kreditanstalt fuer Wiederaufbau, 0.50%, 09/30/15

     1,000        1,002   

Mexico Government International Bond

    

6.63%, 03/03/15 (e)

     93        99   

5.63%, 01/15/17

     750        838   

5.13%, 01/15/20

     600        665   

8.30%, 08/15/31

     300        405   

4.75%, 03/08/44 (e)

     1,306        1,177   

Nordic Investment Bank, 5.00%, 02/01/17

     300        337   

Oesterreichische Kontrollbank AG, 4.88%, 02/16/16

     1,000        1,088   

Panama Government International Bond

    

5.20%, 01/30/20

     500        544   

6.70%, 01/26/36

     400        447   

Peru Government International Bond

    

8.38%, 05/03/16 (e)

     500        578   

7.13%, 03/30/19 (e)

     200        242   

6.55%, 03/14/37 (e)

     250        288   

Philippine Government International Bond

    

8.88%, 03/17/15

     400        436   

9.38%, 01/18/17

     400        489   

6.50%, 01/20/20 (e)

     400        470   

9.50%, 02/02/30

     800        1,197   

Poland Government International Bond

    

5.00%, 10/19/15

     250        268   

5.13%, 04/21/21

     400        435   

5.00%, 03/23/22 (e)

     500        534   

Province of British Columbia, Canada

    

2.85%, 06/15/15

     200        207   

1.20%, 04/25/17

     300        301   

6.50%, 01/15/26

     70        87   

Province of Manitoba, Canada, 2.63%,
07/15/15 (e)

     500        517   

Province of New Brunswick, Canada, 5.20%, 02/21/17

     250        282   

Province of Nova Scotia, Canada, 8.75%, 04/01/22

     250        338   

Province of Ontario, Canada

    

5.45%, 04/27/16

     750        830   

4.95%, 11/28/16 (e)

     300        334   

3.15%, 12/15/17 (e)

     500        532   

1.20%, 02/14/18 (e)

     500        490   

4.40%, 04/14/20

     200        219   

Province of Quebec, Canada

    

4.60%, 05/26/15

     500        529   

7.50%, 07/15/23

     100        127   

7.13%, 02/09/24 (e)

     250        312   

Republic of Colombia,, 7.38%, 01/27/17 (e)

     500        578   

Republic of Korea

    

5.13%, 12/07/16 (e)

     150        166   

5.63%, 11/03/25

     250        284   

South Africa Government International Bond, 5.50%, 03/09/20 (e)

     200        213   

Svensk Exportkredit AB, 5.13%, 03/01/17

     200        225   

Tennessee Valley Authority

    

5.50%, 07/18/17

     250        286   

5.38%, 04/01/56

     1,000        1,022   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Turkey Government International Bond

    

7.25%, 03/15/15

     500        529   

7.00%, 09/26/16 (e)

     300        329   

3.25%, 03/23/23

     1,200        987   

8.00%, 02/14/34 (e)

     500        556   

4.88%, 04/16/43

     1,500        1,148   

Uruguay Government International Bond

    

8.00%, 11/18/22 (e)

     496        615   

4.13%, 11/20/45 (e)

     200        154   
   

 

 

  
      37,301   

U.S. Treasury Securities - 35.3%

    

U.S. Treasury Bond

    

11.25%, 02/15/15

     1,347        1,513   

9.25%, 02/15/16

     367        435   

7.25%, 05/15/16

     1,014        1,174   

7.50%, 11/15/16

     520        620   

8.75%, 05/15/17

     634        797   

8.88%, 08/15/17

     300        383   

9.13%, 05/15/18

     315        418   

9.00%, 11/15/18

     800        1,076   

8.50%, 02/15/20

     926        1,269   

7.88%, 02/15/21

     806        1,095   

8.13%, 05/15/21 - 08/15/21

     408        566   

8.00%, 11/15/21

     310        430   

6.25%, 08/15/23

     1,636        2,098   

6.88%, 08/15/25

     450        611   

6.00%, 02/15/26 (g)

     1,390        1,771   

6.50%, 11/15/26

     660        880   

6.63%, 02/15/27

     545        735   

6.38%, 08/15/27

     1,114        1,476   

6.13%, 11/15/27 - 08/15/29

     1,645        2,143   

5.50%, 08/15/28

     2,117        2,603   

5.25%, 11/15/28 - 02/15/29

     2,014        2,418   

4.50%, 02/15/36 (g)

     1,650        1,830   

3.50%, 02/15/39

     1,152        1,081   

4.25%, 05/15/39 - 11/15/40

     4,915        5,213   

4.50%, 08/15/39

     1,154        1,274   

4.38%, 11/15/39 - 05/15/41

     7,853        8,498   

4.63%, 02/15/40

     2,740        3,082   

3.88%, 08/15/40

     3,049        3,038   

4.75%, 02/15/41

     1,785        2,046   

3.75%, 08/15/41

     2,728        2,649   

3.13%, 11/15/41 - 02/15/43

     9,964        8,543   

3.00%, 05/15/42

     2,675        2,234   

2.75%, 08/15/42 - 11/15/42

     4,818        3,799   

2.88%, 05/15/43 (g)

     2,750        2,219   

3.63%, 08/15/43 (e)

     1,870        1,759   

3.75%, 11/15/43 (e)

     1,465        1,410   

U.S. Treasury Note

    

2.25%, 01/31/15 - 07/31/18

     7,510        7,726   

0.25%, 02/15/15 - 05/15/16

     49,215        49,182   

4.00%, 02/15/15

     1,607        1,675   

2.38%, 02/28/15 - 06/30/18

     6,121        6,354   

0.38%, 03/15/15 - 03/15/16

     29,088        29,126   

2.50%, 03/31/15 - 08/15/23

     14,299        14,328   

0.13%, 04/30/15

     4,250        4,245   

4.13%, 05/15/15

     2,583        2,720   

2.13%, 05/31/15 - 08/15/21

     14,867        15,036   

1.88%, 06/30/15 - 10/31/17

     11,731        12,024   

1.75%, 07/31/15 - 05/15/23

     11,720        10,967   

4.25%, 08/15/15 - 11/15/17

     3,613        3,915   

1.25%, 08/31/15 - 02/29/20

     17,880        17,750   

4.50%, 11/15/15 - 05/15/17

     3,454        3,782   

9.88%, 11/15/15

     447        526   

0.25%, 11/30/15 (e)

     2,930        2,924   

1.38%, 11/30/15 - 05/31/20

     25,512        25,177   

0.25%, 12/31/15 - 04/15/16 (g)

     5,455        5,434   

2.00%, 01/31/16 - 02/15/23

     26,150        25,213   
     Shares/Par (p)     Value  

5.13%, 05/15/16

     239        265   

0.50%, 06/15/16 - 07/31/17

     5,500        5,423   

1.50%, 06/30/16 - 12/31/18 (g)

     6,235        6,266   

3.25%, 06/30/16 - 03/31/17

     7,781        8,331   

1.50%, 07/31/16 - 03/31/19

     13,160        13,236   

0.63%, 08/15/16 - 04/30/18

     29,920        29,458   

4.88%, 08/15/16

     217        241   

1.00%, 08/31/16 - 09/30/19

     20,741        20,497   

3.00%, 08/31/16 - 02/28/17

     5,930        6,307   

0.88%, 09/15/16 - 01/31/18

     22,904        22,837   

3.13%, 10/31/16 - 05/15/21

     8,051        8,568   

4.63%, 11/15/16 - 02/15/17

     4,211        4,686   

2.75%, 11/30/16 - 02/15/19

     12,902        13,607   

0.63%, 12/15/16 (g)

     2,770        2,759   

3.13%, 01/31/17 (g)

     3,000        3,207   

0.75%, 06/30/17 - 03/31/18

     17,477        17,083   

2.63%, 01/31/18 - 11/15/20

     8,493        8,727   

3.50%, 02/15/18 - 05/15/20

     3,644        3,945   

2.88%, 03/31/18

     1,624        1,721   

3.88%, 05/15/18

     1,600        1,763   

1.75%, 10/31/18 (g)

     4,000        4,015   

3.75%, 11/15/18 (e)

     3,000        3,291   

1.25%, 11/30/18 (e) (g)

     4,500        4,401   

1.13%, 05/31/19 - 04/30/20

     9,200        8,700   

3.63%, 08/15/19 - 02/15/21

     13,910        15,080   

3.38%, 11/15/19

     3,810        4,094   

1.63%, 08/15/22 - 11/15/22

     11,553        10,437   

2.75%, 11/15/23 (e) (g)

     6,500        6,348   
   

 

 

  
      546,583   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 30.9%

   

Federal Home Loan Mortgage Corp. - 8.1%

  

  

Federal Home Loan Mortgage Corp.

    

6.50%, 06/01/14 - 03/01/39

     1,576        1,758   

7.00%, 08/01/15 - 08/01/37

     158        175   

6.00%, 12/01/16 - 05/01/40

     5,204        5,760   

5.00%, 09/01/17 - 04/01/40

     10,787        11,626   

4.50%, 01/01/18 - 06/01/41

     17,351        18,439   

5.50%, 01/01/18 - 02/01/40

     8,610        9,418   

4.00%, 04/01/19 - 03/01/42

     15,645        16,191   

3.50%, 10/01/25 - 01/01/44

     13,352        13,461   

3.00%, 01/01/27 - 08/01/43

     14,336        13,954   

2.50%, 08/01/27 - 01/01/29

     6,165        6,118   

2.50%, 01/15/29 - 01/15/44,
TBA (g)

     4,500        4,440   

3.00%, 01/15/29 - 01/15/44,
TBA (g)

     10,850        10,388   

7.50%, 11/01/31 - 04/01/32

     111        127   

5.71%, 01/01/37 (i)

     10        10   

6.20%, 01/01/37 (i)

     18        18   

5.67%, 02/01/37 (i)

     120        126   

2.66%, 01/01/42 (i)

     275        287   

3.50%, 01/15/44, TBA (g)

     7,900        7,838   

4.00%, 01/15/44, TBA (g)

     2,900        2,978   

4.50%, 01/15/44, TBA (g)

     300        317   

5.00%, 01/15/44, TBA (g)

     1,000        1,078   
   

 

 

  
      124,507   

Federal National Mortgage Association - 14.1%

  

Federal National Mortgage Association

    

5.50%, 01/01/14 - 06/01/40

     11,697        12,856   

6.00%, 01/01/16 - 07/01/40

     8,810        9,769   

6.50%, 09/01/16 - 03/01/40

     3,208        3,574   

5.00%, 10/01/17 - 05/01/41

     16,494        17,935   

4.50%, 02/01/18 - 11/01/41

     26,313        27,942   

4.00%, 07/01/18 - 12/01/41

     26,077        27,058   

2.50%, 12/01/21 - 07/01/33

     5,121        5,052   

3.50%, 09/01/25 - 06/01/43

     29,818        30,009   

3.00%, 11/01/26 - 09/01/43

     24,354        23,546   

2.50%, 01/15/29 - 01/15/44,
TBA (g)

     11,600        11,387   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

3.00%, 01/15/29 - 01/15/44, TBA (g)

     20,600        19,926   

3.50%, 01/15/29 - 01/15/44, TBA (g)

     10,800        10,744   

7.00%, 02/01/31 - 04/01/39

     392        432   

2.44%, 05/01/35 (i)

     77        81   

2.71%, 05/01/35 (i)

     43        46   

2.39%, 10/01/35 (i)

     170        179   

2.66%, 02/01/37 (i)

     228        242   

2.70%, 02/01/37 (i)

     19        20   

5.57%, 02/01/37 (i)

     35        37   

2.60%, 04/01/37 (i)

     43        46   

7.50%, 11/01/37

     12        13   

2.50%, 01/01/38 (i)

     307        329   

1.55%, 03/01/38 (i)

     561        588   

3.91%, 07/01/39 (i)

     654        699   

3.88%, 12/01/39 (i)

     198        211   

3.69%, 02/01/40 (i)

     635        675   

3.36%, 03/01/40 (i)

     245        261   

4.27%, 03/01/40 (i)

     299        317   

3.14%, 06/01/40 (i)

     142        150   

3.26%, 07/01/40 (i)

     338        360   

3.61%, 08/01/40 (i)

     163        172   

3.22%, 12/01/40 (i)

     198        207   

2.82%, 01/01/41 (i)

     257        267   

3.48%, 02/01/41 (i)

     217        225   

3.58%, 05/01/41 (i)

     234        246   

2.51%, 07/01/41 (i)

     451        471   

2.83%, 01/01/42 (i)

     408        421   

2.18%, 05/01/43 (i)

     395        393   

4.00%, 01/15/44, TBA (g)

     11,270        11,601   

5.00%, 01/15/44, TBA (g)

     400        434   
   

 

 

  
      218,921   

Government National Mortgage Association - 8.7%

  

  

Government National Mortgage Association

  

  

5.50%, 01/15/24 - 07/20/42

     7,020        7,755   

4.00%, 08/15/24 - 01/20/42

     14,187        14,810   

3.50%, 12/15/25 - 04/20/43

     18,634        18,839   

4.50%, 04/20/26 - 06/20/43

     22,565        24,224   

3.00%, 04/15/27 - 10/20/43

     10,247        10,018   

2.50%, 09/20/27 - 07/20/43

     1,649        1,614   

8.00%, 04/15/30

     8        8   

8.50%, 06/15/30 - 12/15/30

     4        5   

6.50%, 01/15/32 - 10/15/38

     773        872   

6.00%, 05/15/32 - 12/20/40

     4,133        4,616   

5.00%, 03/15/33 - 07/20/43

     15,656        17,061   

7.00%, 11/15/36

     34        39   

3.50%, 07/20/40 - 03/20/41 (i)

     793        834   

2.50%, 11/20/40 - 01/20/43 (i)

     1,324        1,372   

3.00%, 01/20/41 - 07/20/42 (i)

     2,544        2,657   

2.00%, 10/20/42 - 06/20/43 (i)

     1,216        1,261   

2.50%, 01/15/44, TBA (g)

     200        184   

3.00%, 01/15/44 - 01/15/44, TBA (g)

     14,000        13,525   

3.50%, 01/15/44, TBA (g)

     8,900        8,978   

4.00%, 01/15/44, TBA (g)

     5,000        5,199   

4.50%, 01/15/44, TBA (g)

     1,100        1,176   

5.00%, 01/15/44, TBA (g)

     100        108   
   

 

 

  
      135,155   
   

 

 

  

Total Government and Agency Obligations
(cost $1,143,286)

   

         1,139,667   
   

 

 

  

SHORT TERM INVESTMENTS - 11.4%

  

  

Investment Companies - 6.5%

    

JNL Money Market Fund, 0.01% (a) (h)

     101,105        101,105   
     Shares/Par (p)     Value  

Securities Lending Collateral - 4.9%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     76,176        76,176   
   

 

 

  

Total Short Term Investments
(cost $177,281)

       177,281   
   

 

 

  

Total Investments - 111.9%
(cost $1,726,571)

   

     1,732,373   

Total Forward Sales Commitments - (1.1%)
(proceeds $16,704)

   

     (16,707 ) 

Other Assets and Liabilities, Net - (10.8%)

 

     (167,692 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,547,974   
   

 

 

  

FORWARD SALES COMMITMENTS - 1.1%

  

GOVERNMENT AND AGENCY OBLIGATIONS - 1.1%

  

U.S. Government Agency Mortgage-Backed Securities - 1.1%

  

Federal Home Loan Mortgage Corp. - 0.2%

  

  

Federal Home Loan Mortgage Corp.

    

3.50%, 01/15/29, TBA (g)

   $           200      $ 209   

4.00%, 01/15/29, TBA (g)

     700        739   

4.50%, 01/15/29, TBA (g)

     600        636   

5.00%, 01/15/29, TBA (g)

     300        318   

5.50%, 01/15/44, TBA (g)

     1,600        1,748   
   

 

 

  
      3,650   

Federal National Mortgage Association - 0.2%

  

  

Federal National Mortgage Association

    

4.00%, 01/15/29, TBA (g)

     800        848   

4.50%, 01/15/29, TBA (g)

     600        639   

5.00%, 01/15/29, TBA (g)

     700        746   
   

 

 

  
      2,233   

Government National Mortgage Association - 0.7%

  

  

Government National Mortgage Association

    

4.50%, 01/15/44, TBA (g)

     3,500        3,737   

5.00%, 01/15/44, TBA (g)

     3,700        4,011   

5.50%, 01/15/44, TBA (g)

     2,800        3,076   
   

 

 

  
      10,824   
   

 

 

  

Total Forward Sales Commitments - 1.1% (proceeds $16,704)

   

   $ 16,707   
   

 

 

  

JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund

   

  

COMMON STOCKS - 99.8%

  

  

CONSUMER DISCRETIONARY - 18.8%

  

  

American Public Education Inc. (c)

     28      $ 1,235   

Capella Education Co.

     20        1,334   

CEC Entertainment Inc.

     25        1,111   

Cooper Tire & Rubber Co.

     32        769   

Corinthian Colleges Inc. (c)

     450        801   

DeVry Education Group Inc.

     34        1,206   

DIRECTV (c)

     17        1,192   

Ford Motor Co.

     65        996   

Fred’s Inc.

     63        1,173   

Goodyear Tire & Rubber Co.

     58        1,386   

Grand Canyon Education Inc. (c)

     31        1,362   

hhgregg Inc. (c)

     62        866   

International Game Technology

     57        1,036   

ITT Educational Services Inc. (c)

     35        1,171   

K12 Inc. (c)

     35        757   

Kohl’s Corp.

     21        1,203   

Lear Corp.

     15        1,250   

Outerwall Inc. (c)

     18        1,202   

Scripps Networks Interactive Inc. - Class A

     15        1,274   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Standard Motor Products Inc.

     35        1,284   

Staples Inc.

     64        1,020   

Steiner Leisure Ltd. (c)

     18        908   

Strayer Education Inc. (c)

     24        820   

Universal Electronics Inc. (c)

     36        1,391   

Zumiez Inc. (c)

     39        1,002   
   

 

 

  
    27,749   

CONSUMER STAPLES - 2.4%

    

CVS Caremark Corp.

     18        1,314   

Kroger Co.

     27        1,080   

Medifast Inc. (c)

     41        1,079   
   

 

 

  
    3,473   

ENERGY - 9.8%

    

Dawson Geophysical Co. (c)

     30        1,014   

EOG Resources Inc.

     7        1,145   

FMC Technologies Inc. (c)

     20        1,048   

Halliburton Co.

     23        1,190   

Helmerich & Payne Inc.

     16        1,356   

Natural Gas Services Group Inc. (c)

     43        1,196   

Newpark Resources Inc. (c)

     98        1,203   

Northern Oil and Gas Inc. (c)

     81        1,220   

SM Energy Co.

     16        1,339   

Tesoro Corp.

     21        1,202   

Warren Resources Inc. (c)

     375        1,179   

Whiting Petroleum Corp. (c)

     21        1,327   
   

 

 

  
    14,419   

FINANCIALS - 7.0%

    

Alleghany Corp. (c)

     3        1,081   

Berkshire Hathaway Inc. (c)

     9        1,104   

DFC Global Corp. (c)

     72        828   

Investment Technology Group Inc. (c)

     71        1,466   

Navigators Group Inc. (c)

     19        1,209   

Portfolio Recovery Associates Inc. (c)

     21        1,096   

Prudential Financial Inc.

     14        1,250   

United Fire Group Inc.

     38        1,092   

Unum Group

     36        1,251   
   

 

 

  
    10,377   

HEALTH CARE - 11.4%

    

Amsurg Corp. (c)

     28        1,269   

CIGNA Corp.

     14        1,203   

Community Health Systems Inc. (c)

     25        971   

Health Management Associates Inc. - Class A (c)

     83        1,083   

Kindred Healthcare Inc.

     71        1,401   

LHC Group Inc. (c)

     41        990   

Magellan Health Services Inc. (c)

     19        1,127   

Myriad Genetics Inc. (c)

     36        756   

National Healthcare Corp.

     23        1,221   

PharMerica Corp. (c)

     73        1,563   

United Therapeutics Corp. (c)

     15        1,681   

US Physical Therapy Inc.

     37        1,303   

VCA Antech Inc. (c)

     38        1,176   

WellPoint Inc.

     12        1,146   
   

 

 

  
    16,890   

INDUSTRIALS - 14.2%

    

ABM Industries Inc.

     42        1,200   

AECOM Technology Corp. (c)

     37        1,075   

AGCO Corp.

     19        1,124   

Alliant Techsystems Inc.

     11        1,349   

CIRCOR International Inc.

     19        1,509   

Columbus Mckinnon Corp. (c)

     49        1,326   

Consolidated Graphics Inc. (c)

     19        1,287   

ICF International Inc. (c)

     32        1,094   

Insperity Inc.

     33        1,184   
     Shares/Par (p)     Value  

Manpower Inc.

     16        1,374   

MYR Group Inc. (c)

     48        1,203   

Navigant Consulting Inc. (c)

     79        1,513   

Quad/Graphics Inc. - Class A

     35        947   

Republic Airways Holdings Inc. (c)

     82        874   

Southwest Airlines Co.

     79        1,487   

United Stationers Inc.

     25        1,169   

URS Corp.

     23        1,231   
   

 

 

  
    20,946   

INFORMATION TECHNOLOGY - 32.7%

  

AOL Inc. (c)

     30        1,386   

Avnet Inc.

     28        1,238   

Black Box Corp.

     39        1,150   

CA Inc.

     35        1,179   

CACI International Inc. - Class A (c)

     16        1,189   

Cirrus Logic Inc. (c)

     55        1,119   

Cisco Systems Inc.

     41        926   

Cognizant Technology Solutions Corp. - Class A (c)

     15        1,508   

Computer Sciences Corp.

     21        1,168   

comScore Inc. (c)

     39        1,104   

Constant Contact Inc. (c)

     60        1,868   

Corning Inc.

     72        1,290   

Cree Inc. (c)

     15        948   

CSG Systems International Inc.

     43        1,260   

Diodes Inc. (c)

     44        1,044   

Ebix Inc. (e)

     98        1,442   

EMC Corp.

     40        1,007   

First Solar Inc. (c)

     27        1,468   

FLIR Systems Inc.

     33        998   

iGate Corp. (c)

     46        1,861   

Ingram Micro Inc. - Class A (c)

     47        1,104   

Intel Corp.

     49        1,266   

InterDigital Inc.

     30        888   

j2 Global Inc.

     22        1,116   

Jabil Circuit Inc.

     46        808   

Leidos Holdings Inc.

     17        810   

Mantech International Corp. - Class A

     38        1,149   

Nvidia Corp.

     74        1,179   

Oracle Corp.

     33        1,254   

Power Integrations Inc.

     20        1,144   

Rovi Corp. (c)

     58        1,145   

SanDisk Corp.

     19        1,321   

ScanSource Inc. (c)

     30        1,281   

Synaptics Inc. (c)

     27        1,387   

Vishay Intertechnology Inc. (c)

     80        1,058   

VMware Inc. - Class A (c)

     13        1,157   

Western Digital Corp.

     16        1,370   

Western Union Co.

     60        1,030   

Xerox Corp.

     109        1,328   

XO Group Inc. (c)

     86        1,281   
   

 

 

  
    48,229   

MATERIALS - 2.5%

    

CF Industries Holdings Inc.

     6        1,323   

Materion Corp.

     36        1,096   

Olin Corp.

     45        1,311   
   

 

 

  
    3,730   

TELECOMMUNICATION SERVICES - 1.0%

  

Shenandoah Telecommunications Co.

     55        1,408   
   

 

 

  

Total Common Stocks (cost $126,679)

  

     147,221   
   

 

 

  

SHORT TERM INVESTMENTS - 1.9%

  

Investment Companies - 1.0%

    

JNL Money Market Fund, 0.01% (a) (h)

     1,418        1,418   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Securities Lending Collateral - 0.9%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     1,388        1,388   
   

 

 

  

Total Short Term Investments (cost $2,806)

  

     2,806   
   

 

 

  

Total Investments - 101.7% (cost $129,485)

  

     150,027   

Other Assets and Liabilities, Net - (1.7%)

 

     (2,499 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     147,528   
   

 

 

  

JNL/Neuberger Berman Strategic Income Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 19.9%

   

Accredited Mortgage Loan Trust REMIC, 0.48%, 12/25/35 (i)

   $ 179      $ 168   

Aegis Asset Backed Securities Trust REMIC, 0.71%, 03/25/35 (i)

     645        565   

Air Canada Pass-Through Trust, 4.13%, 05/15/25 (e) (r)

     1,225        1,190   

American Airlines Pass-Through Trust, 4.95%, 01/15/23 (r)

     2,220        2,328   

Ameriquest Mortgage Securities Inc. Asset-Backed Pass-Through Certificates REMIC, 2.06%, 09/25/33 (i)

     638        600   

Argent Securities Inc. Asset-Backed Pass-Through Certificates REMIC, 1.06%, 10/25/34 (i)

     755        689   

Asset Backed Securities Corp. Home Equity REMIC, 0.36%, 01/25/36 (i)

     130        123   

Asset-Backed Pass-Through Certificates REMIC, 0.85%, 04/25/34 (i)

     464        446   

Banc of America Commercial Mortgage Trust REMIC

    

5.36%, 10/10/45

     250        269   

5.41%, 09/10/47

     1,575        1,709   

Bear Stearns Asset Backed Securities I Trust REMIC

    

0.60%, 05/25/35 (i)

     595        539   

0.57%, 02/25/36 (i)

     710        628   

Bear Stearns Asset Backed Securities Trust REMIC, 0.58%, 07/25/36 (i)

     3,540        3,324   

Carrington Mortgage Loan Trust REMIC

    

0.81%, 05/25/35 (i)

     2,605        2,193   

0.62%, 06/25/35 (i)

     230        204   

0.31%, 05/25/36 (i)

     5,399        4,971   

0.30%, 12/25/36 (i)

     700        406   

Citigroup Commercial Mortgage Trust REMIC

    

Interest Only, 1.31%, 09/10/46 (i)

     13,140        975   

Interest Only, 1.56%, 11/10/46 (i)

     11,500        988   

Citigroup Mortgage Loan Trust Inc. REMIC, 0.91%, 05/25/35 (i) (r)

     175        166   

Citigroup/Deutsche Bank Commercial Mortgage Trust REMIC, 5.32%, 12/11/49

     525        575   

Cobalt Commercial Mortage-Backed Securities Trust REMIC

    

5.77%, 05/15/46 (i)

     1,890        2,091   

5.22%, 08/15/48

     500        539   

COMM Mortgage Trust Interest Only REMIC, 1.44%, 10/10/46 (i)

     11,132        1,027   

Commercial Mortgage Loan Trust REMIC, 6.01%, 12/10/49 (i)

     1,605        1,781   

Commercial Mortgage Pass-Through Certificates REMIC

    

5.76%, 09/15/39 (i)

     545        598   
     Shares/Par (p)     Value  

5.31%, 12/15/39

     1,915        2,074   

5.54%, 01/15/49 (i)

     290        319   

Commercial Mortgage Trust REMIC

    

Interest Only, 2.20%, 10/15/45 (i)

     1,652        204   

Interest Only, 0.36%, 01/10/46 (i) (r)

     2,500        75   

Interest Only, 0.64%, 03/10/46 (i)

     2,500        116   

Continental Airlines Inc. Pass-Through Trust, 4.00%, 10/29/24

     1,725        1,716   

Countrywide Asset-Backed Certificates REMIC, 0.36%, 04/25/36 (i)

     466        407   

Credit Suisse Mortgage Capital Certificates REMIC

    

5.68%, 06/15/39 (i)

     2,326        2,553   

5.47%, 09/15/39

     281        306   

5.38%, 02/15/40

     136        147   

5.70%, 09/15/40 (i)

     1,650        1,822   

EquiFirst Mortgage Loan Trust REMIC

    

1.29%, 09/25/33

     1,082        1,058   

0.64%, 04/25/35 (i)

     908        695   

Fieldstone Mortgage Investment Trust REMIC, 1.29%, 03/25/35 (i)

     3,950        3,099   

First Franklin Mortgage Loan Trust REMIC, 0.90%, 12/25/34 (i)

     161        150   

Greenwich Capital Commercial Funding Corp. REMIC

    

5.44%, 03/10/39

     1,425        1,565   

5.74%, 12/10/49

     500        558   

GS Mortgage Securities Trust REMIC

    

5.56%, 11/10/39

     500        548   

5.80%, 08/10/45 (i)

     2,975                3,266   

Interest Only, 2.17%, 01/10/45 (i) (r)

     973        116   

Interest Only, 2.60%, 05/10/45 (i)

     3,428        442   

Hawaiian Airlines Pass-Through Certificates, 3.90%, 01/15/26

     660        610   

Home Equity Mortgage Trust REMIC, 1.76%, 02/25/35 (i)

     228        206   

HSI Asset Securitization Corp. Trust REMIC, 0.46%, 12/25/35 (i)

     2,640        2,253   

JPMorgan Chase Commercial Mortgage Securities Trust REMIC

    

5.43%, 12/12/43

     500        541   

5.44%, 06/12/47

     2,130        2,341   

5.81%, 06/15/49 (i)

     300        334   

5.88%, 02/15/51 (i)

     500        559   

JPMorgan Mortgage Acquisition Trust REMIC

    

0.31%, 05/25/36 (i)

     2,039        1,955   

0.40%, 05/25/36 (i)

     1,000        831   

JPMorgan Mortgage Trust REMIC, 2.71%, 06/25/35 (i)

     129        125   

LB-UBS Commercial Mortgage Trust REMIC

    

5.42%, 02/15/40

     600        661   

5.86%, 07/15/40 (i)

     124        135   

Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC, 5.38%, 08/12/48

     1,650        1,797   

Morgan Stanley Bank of America Merrill Lynch Trust REMIC

    

Interest Only, 1.47%, 05/15/46 (i)

     1,987        158   

Interest Only, 1.26%, 11/15/46 (i)

     13,985        1,118   

Morgan Stanley Home Equity Loan Trust REMIC, 0.44%, 02/25/36 (i)

     700        609   

New Century Home Equity Loan Trust REMIC, 1.14%, 11/25/34 (i)

     136        128   

Park Place Securities Inc. Asset-Backed Pass-Through Certificates REMIC

    

1.81%, 12/25/34 (i)

     690        607   

1.20%, 02/25/35 (i)

     1,375        1,256   

0.79%, 06/25/35 (i)

     2,300        1,810   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Popular ABS Mortgage Pass-Through Trust REMIC, 0.60%, 11/25/35 (i)

     1,975        1,778   

RALI Trust REMIC, 7.00%, 07/25/36

     273        183   

RAMP Trust REMIC, 0.56%, 03/25/36 (i)

     2,450        2,153   

Renaissance Home Equity Loan Trust REMIC, 0.49%, 05/25/35 (i)

     645        553   

Residential Asset Securitization Trust REMIC, 0.84%, 03/25/33 (i)

     165        145   

Securitized Asset Backed Receivables LLC Trust REMIC, 0.78%,
01/25/35 (i)

     870        799   

Soundview Home Loan Trust REMIC, 0.67%, 08/25/35 (i)

     740        623   

Structured Asset Investment Loan Trust REMIC

    

1.29%, 06/25/33 (i)

     302        284   

0.96%, 07/25/34 (i)

     944        883   

0.82%, 04/25/35 (i)

     980        848   

Structured Asset Securities Corp. Mortgage Loan Trust REMIC

    

0.59%, 05/25/35 (i)

     200        186   

0.32%, 04/25/36 (i)

     7,032        6,498   

0.33%, 12/25/36 (i)

     940        684   

UBS Commercial Mortgage Trust Interest Only REMIC, 2.33%, 05/10/45 (i) (r)

     8,520        1,105   

UBS-Barclays Commercial Mortgage Trust

    

Interest Only, 1.15%, 03/10/46 (r)

     1,979        142   

REMIC, Interest Only, 1.88%,
12/10/45 (i) (r)

     1,730        194   

REMIC, Interest Only, 2.17%,
08/10/49 (i) (r)

     2,449        298   

US Airways Pass-Through Trust, 4.63%, 06/03/25

     947        962   

Virgin Australia Trust, 5.00%,
10/23/23 (r)

     1,340        1,368   

Wachovia Bank Commercial Mortgage Trust REMIC

    

5.34%, 12/15/43

     1,850        2,034   

5.73%, 06/15/49 (i)

     1,930        2,136   

Wells Fargo-RBS Commercial Mortgage Trust

    

Interest Only, 1.52%, 03/15/48 (r)

     993        89   

REMIC, Interest Only, 1.51%,
03/15/45 (i) (r)

     2,285        188   

REMIC, Interest Only, 2.26%,
11/15/45 (i) (r)

     784        96   

REMIC, Interest Only, 0.94%,
06/15/46 (i)

     6,058        356   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $92,408)

   

     92,947   
   

 

 

  

CORPORATE BONDS AND NOTES - 26.8%

  

CONSUMER DISCRETIONARY - 1.6%

  

DIRECTV Holdings LLC, 6.00%, 08/15/40

     1,110        1,093   

Glencore Funding LLC, 1.70%,
05/27/16 (r)

     3,960        3,963   

Time Warner Inc., 6.10%, 07/15/40

     1,125        1,224   

Viacom Inc., 5.85%, 09/01/43

     1,120        1,174   
   

 

 

  
    7,454   

CONSUMER STAPLES - 0.7%

    

Altria Group Inc., 5.38%, 01/31/44

     1,220        1,221   

Coca-Cola Femsa SAB de CV, 2.38%, 11/26/18

     2,080        2,063   
   

 

 

  
    3,284   

ENERGY - 3.9%

    

Anadarko Petroleum Corp., 5.95%, 09/15/16

     1,840        2,050   

Empresa Nacional del Petroleo, 5.25%, 08/10/20

     300        309   

Energy Transfer Partners LP, 6.50%, 02/01/42

     1,575        1,688   

Gaz Capital for Gazprom, 8.63%, 04/28/34

     300        354   

Intergas Finance BV, 6.38%, 05/14/17

     200        215   

KazMunaiGaz Finance Sub BV

    

11.75%, 01/23/15

     100        110   

9.13%, 07/02/18

     350        424   
     Shares/Par (p)     Value  

KazMunayGas National Co. JSC

    

7.00%, 05/05/20

     500        561   

6.38%, 04/09/21

     200        217   

5.75%, 04/30/43

     200        173   

Kinder Morgan Energy Partners LP

    

2.65%, 02/01/19

     1,850        1,828   

6.50%, 09/01/39

     1,005        1,098   

Marathon Petroleum Corp., 5.13%, 03/01/21

     2,190        2,369   

Pacific Rubiales Energy Corp., 7.25%, 12/12/21

     400        424   

Pertamina Persero PT, 5.63%, 05/20/43

     650        515   

Petrobras Global Finance BV

    

3.00%, 01/15/19

     1,330        1,244   

4.38%, 05/20/23 (e)

     1,370        1,219   

Petroleos de Venezuela SA

    

5.25%, 04/12/17

     643        474   

9.00%, 11/17/21

     400        297   

5.50%, 04/12/37

     200        103   

Petroleos Mexicanos

    

5.50%, 01/21/21

     300        323   

6.50%, 06/02/41

     600        627   

Petronas Capital Ltd., 5.25%, 08/12/19

     300        329   

Sinopec Group Overseas Development 2012 Ltd., 3.90%, 05/17/22

     900        871   

Sinopec Group Overseas Development 2013 Ltd., 4.38%, 10/17/23

     600        588   
   

 

 

  
    18,410   

FINANCIALS - 12.7%

    

Alexandria Real Estate Equities Inc., 3.90%, 06/15/23

     1,495        1,391   

Allstate Corp., 5.75%, 08/15/53 (e) (i)

     2,250        2,267   

Ares Capital Corp., 4.88%, 11/30/18

     1,985        2,031   

Bank of America Corp.

    

5.20% (callable at 100 beginning 06/01/23) (i) (m)

     3,605        3,172   

1.50%, 10/09/15

     2,540        2,566   

Bank of China Hong Kong Ltd., 5.55%, 02/11/20

     100        107   

Barclays Plc, 8.25%, (callable at 100 beginning 12/15/18) (i) (m)

     2,615        2,700   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 4.63%, 12/01/23

     1,580        1,588   

Corporate Office Properties LP, 3.60%, 05/15/23

     2,365        2,140   

CubeSmart LP, 4.38%, 12/15/23

     2,160        2,107   

Entertainment Properties Trust, 5.75%, 08/15/22

     2,370        2,413   

Finansbank A/S, 5.15%, 11/01/17

     375        360   

Ford Motor Credit Co. LLC, 3.00%, 06/12/17

     1,460        1,517   

General Electric Capital Corp.

    

5.25% (callable at 100 beginning 06/15/23) (i) (m)

     1,255        1,180   

6.25% (callable at 100 beginning 12/15/22) (i) (m)

     3,110        3,211   

Goldman Sachs Group Inc.

    

3.30%, 05/03/15

     525        541   

5.75%, 01/24/22

     1,905        2,141   

GTB Finance B.V., 6.00%, 11/08/18

     320        315   

Health Care REIT Inc., 5.25%, 01/15/22

     2,925        3,113   

ING US Inc., 5.65%, 05/15/53 (i)

     3,325        3,234   

Jefferies Group LLC, 5.13%, 01/20/23 (e)

     2,495        2,520   

JPMorgan Chase & Co., 6.00%, (callable at 100 beginning 08/01/23) (i) (m)

     4,350        4,160   

Morgan Stanley

    

5.63%, 09/23/19

     3,885        4,413   

4.88%, 11/01/22

     1,090        1,114   

Nomura Holdings Inc., 2.00%, 09/13/16

     410        413   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Power Sector Assets & Liabilities Management Corp., 7.39%, 12/02/24

     200        244   

Prudential Financial Inc., 5.88%, 09/15/42 (i)

     4,250        4,319   

Royal Bank of Scotland Group Plc, 6.00%, 12/19/23

     1,205        1,214   

Santander UK Plc, 5.00%, 11/07/23 (r)

     205        205   

Turkiye Is Bankasi, 7.85%, 12/10/23

     300        299   

Vnesheconombank Via VEB Finance Plc, 6.90%, 07/09/20

     300        331   

Weingarten Realty Investors, 4.45%, 01/15/24 (e)

     1,945        1,902   
   

 

 

  
    59,228   

HEALTH CARE - 0.5%

  

Ventas Realty LP, 1.55%, 09/26/16

     2,200        2,216   

INDUSTRIALS - 1.8%

  

Air Lease Corp, 3.38%, 01/15/19

     490        490   

Crane Co, 2.75%, 12/15/18

     2,640        2,626   

Kazakhstan Temir Zholy Finance BV, 6.95%, 07/10/42

     200        199   

L-3 Communications Corp., 3.95%, 11/15/16

     1,700        1,804   

Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22

     197        201   

Russian Railways via RZD Capital Plc, 5.74%, 04/03/17

     700        759   

Xerox Corp., 2.75%, 03/15/19 (e)

     2,265        2,243   
   

 

 

  
    8,322   

INFORMATION TECHNOLOGY - 0.4%

  

Hewlett-Packard Co., 4.65%, 12/09/21

     2,045        2,103   

MATERIALS - 1.1%

  

ArcelorMittal, 6.13%, 06/01/18

     1,485        1,630   

Barrick Gold Corp., 4.10%, 05/01/23

     990        893   

Cemex SAB de CV, 7.25%, 01/15/21

     350        362   

Corp Nacional del Cobre de Chile, 5.63%, 09/21/35

     120        119   

Samarco Mineracao SA, 5.75%, 10/24/23 (r)

     2,100        2,079   
   

 

 

  
    5,083   

TELECOMMUNICATION SERVICES - 2.7%

  

Qwest Corp., 6.75%, 12/01/21

     3,530        3,860   

Telecom Italia Capital SA, 7.18%, 06/18/19 (e)

     2,865        3,216   

Verizon Communications Inc.

    

3.65%, 09/14/18

     2,500        2,645   

6.55%, 09/15/43

     2,480        2,892   
   

 

 

  
    12,613   

UTILITIES - 1.4%

  

Comision Federal de Electricidad, 4.88%, 01/15/24 (r)

     3,240        3,216   

Exelon Generation Co. LLC, 4.00%, 10/01/20 (e)

     2,990        2,985   

Hrvatska Elektroprivreda, 6.00%, 11/09/17

     200        204   

Majapahit Holding BV

    

7.25%, 06/28/17

     200        219   

7.88%, 06/29/37

     100        104   
   

 

 

  
    6,728   
   

 

 

  

Total Corporate Bonds and Notes (cost $125,565)

  

     125,441   
   

 

 

  

GOVERNMENT AND AGENCY OBLIGATIONS - 52.9%

  

GOVERNMENT SECURITIES - 21.8%

  

Federal Home Loan Bank - 0.0% (w)

  

  

Federal Home Loan Bank, 5.50%, 07/15/36

     145        167   

Sovereign - 6.8%

  

  

Australia Government Bond

    

5.25%, 03/15/19, AUD

     2,290        2,217   
     Shares/Par (p)     Value  

5.50%, 04/21/23, AUD

     1,005        991   

Bahrain Government International Bond, 6.13%, 08/01/23

     200        206   

Banco Nacional de Desenvolvimento Economico e Social, 5.50%, 07/12/20

     100        102   

Belize Government International Bond, 5.00%, 02/20/38 (k)

     550        345   

Bermuda Government International Bond, 4.85%, 02/06/24

     200        200   

Bolivia Government International Bond, 5.95%, 08/22/23

     800        792   

Brazil Government International Bond

    

8.25%, 01/20/34

     700        894   

7.13%, 01/20/37

     600        687   

Chile Government International Bond, 3.25%, 09/14/21

     220        215   

Colombia Government International Bond

    

4.00%, 02/26/24

     200        193   

8.13%, 05/21/24

     290        373   

7.38%, 09/18/37

     300        369   

Croatia Government International Bond

    

6.75%, 11/05/19

     400        433   

6.63%, 07/14/20

     200        214   

6.00%, 01/26/24

     510        506   

Development Bank of Mongolia LLC, 5.75%, 03/21/17

     400        374   

Dominican Republic International Bond, 6.60%, 01/28/24

     200        201   

Eskom Holdings SOC Ltd., 6.75%, 08/06/23

     600        613   

Hungary Government International Bond

    

6.25%, 01/29/20

     1,000        1,079   

6.38%, 03/29/21

     280        300   

5.75%, 11/22/23

     646        649   

7.63%, 03/29/41

     160        175   

Indonesia Government International Bond

    

11.63%, 03/04/19

     350        466   

5.88%, 03/13/20

     650        687   

7.75%, 01/17/38

     200        226   

Italy Buoni Poliennali Del Tesoro, 4.00%, 02/01/37, EUR

     1,545        1,953   

Ivory Coast Government International Bond, 5.75%, 12/31/32

     800        714   

Mexico Government International Bond

    

8.30%, 08/15/31

     300        405   

6.75%, 09/27/34

     300        354   

Mongolia Government International Bond, 4.13%, 01/05/18

     500        450   

Morocco Government International Bond

    

4.25%, 12/11/22

     450        416   

5.50%, 12/11/42

     200        167   

New Zealand Government Bond

    

6.00%, 12/15/17, NZD

     3,055                2,698   

5.50%, 04/15/23, NZD

     715        622   

Nigeria Government International Bond, 5.13%, 07/12/18

     200        205   

Panama Government International Bond, 6.70%, 01/26/36

     380        425   

Peru Government International Bond

    

7.35%, 07/21/25

     300        378   

6.55%, 03/14/37

     150        173   

Philippine Government International Bond

    

9.50%, 02/02/30

     70        105   

6.38%, 10/23/34

     200        238   

Poland Government International Bond, 5.13%, 04/21/21

     220        239   

Republic of Armenia, 6.00%, 09/30/20

     330        328   

Republic of Belarus, 8.95%, 01/26/18

     170        170   

Republic of Iraq, 5.80%, 01/15/28

     1,250        1,056   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Republic of Latvia, 2.75%, 01/12/20

     250        238   

Republic of Serbia

    

7.25%, 09/28/21

     400        421   

6.75%, 11/01/24 (k)

     38        37   

Republic of Turkey

    

7.50%, 07/14/17

     800        893   

6.88%, 03/17/36

     400        392   

Romania Government International Bond, 6.75%, 02/07/22

     650        738   

Russia Foreign Bond, 12.75%, 06/24/28

     100        169   

Russia Government International Bond, 7.50%, 03/31/30

     472        550   

South Africa Government International Bond

    

6.88%, 05/27/19

     200        229   

5.50%, 03/09/20

     100        107   

5.88%, 05/30/22 - 09/16/25

     300        315   

4.67%, 01/17/24

     510        488   

Turkey Government International Bond

    

7.38%, 02/05/25

     309        334   

11.88%, 01/15/30

     100        149   

Ukraine Government International Bond, 9.25%, 07/24/17

     430        429   

Ukreximbank Via Biz Finance Plc, 8.75%, 01/22/18

     500        440   

Uruguay Government International Bond, 7.63%, 03/21/36

     200        243   

Venezuela Government International Bond

    

7.75%, 10/13/19

     250        186   

9.00%, 05/07/23

     500        372   

9.25%, 09/15/27 - 05/07/28

     420        313   

Vietnam Government International Bond, 6.75%, 01/29/20

     250        271   
   

 

 

  
            31,917   

Treasury Inflation Index Securities - 9.0%

    

New Zealand Government Inflation Indexed Bond, 2.00%, 09/20/25 (s), NZD

     3,105        2,390   

U.S. Treasury Inflation Indexed Note

    

0.50%, 04/15/15 (n)

     10,868        11,108   

0.13%, 04/15/17 (n)

     11,018        11,324   

2.38%, 01/15/25 (n)

     2,131        2,447   

2.00%, 01/15/26 (n)

     10,626        11,754   

3.88%, 04/15/29 (n)

     2,174        2,973   
   

 

 

  
    41,996   

U.S. Treasury Securities - 6.0%

    

U.S. Treasury Bond

    

6.25%, 08/15/23

     7,130        9,144   

5.50%, 08/15/28

     2,450        3,013   

4.50%, 02/15/36

     3,565        3,954   

U.S. Treasury Note

    

0.88%, 02/28/17

     655        655   

0.63%, 11/30/17

     9,300        9,064   

3.63%, 08/15/19

     1,825        1,987   
   

 

 

  
    27,817   

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 31.1%

   

Federal Home Loan Mortgage Corp. - 8.8%

    

Federal Home Loan Mortgage Corp.

    

3.50%, 04/01/42 - 01/15/44, TBA (g)

     11,230        11,143   

3.50%, 12/01/42 - 08/01/43

     1,188        1,181   

4.00%, 01/15/44, TBA (g)

     21,825        22,413   

4.50%, 01/15/44, TBA (g)

     5,965        6,312   
   

 

 

  
    41,049   

Federal National Mortgage Association - 22.3%

    

Federal National Mortgage Association

    

3.50%, 01/15/44, TBA (g)

     20,630        20,493   

4.00%, 01/15/44, TBA (g)

     48,300        49,719   
     Shares/Par (p)     Value  

4.50%, 01/15/44, TBA (g)

     30,925        32,767   

5.00%, 01/15/44, TBA (g)

     1,115        1,211   
   

 

 

  
    104,190   
   

 

 

  

Total Government and Agency Obligations (cost $250,034)

   

     247,136   
   

 

 

  

INVESTMENT COMPANIES - 4.7%

  

iShares iBoxx High Yield Corporate Bond Fund (e)

     111        10,286   

SPDR Barclays High Yield Bond ETF (e)

     291        11,805   
   

 

 

  

Total Investment Companies (cost $21,987)

  

     22,091   
   

 

 

  

VARIABLE RATE SENIOR LOAN INTERESTS - 18.6% (i)

   

CONSUMER DISCRETIONARY - 4.2%

  

Allison Transmission Inc. Term Loan, 3.75%, 08/17/16 $

     1,985        1,994   

Charter Communications Operating LLC Term Loan E, 2.25%, 03/08/20

     995        987   

Charter Communications Operating LLC Term Loan F, 3.00%, 01/31/21

     995        986   

Cumulus Media Inc. Term Loan, 4.25%, 12/31/20

     2,129        2,140   

Hilton Worldwide Inc. Term Loan B, 3.00%, 09/01/17

     1,579        1,591   

Michaels Stores Inc. Term Loan, 3.75%, 02/01/20

     1,994        2,001   

Scientific Games Corp. Term Loan, 3.25%, 05/24/20

     2,014        2,014   

Station GVR Acquisition LLC Term Loan B, 5.00%, 03/02/20

     1,981        2,001   

Tribune Company Initial Term Loan, 4.00%, 11/15/20

     2,000        1,987   

Univision Communications Inc. Incremental Term Loan, 4.00%, 03/01/20

     190        191   

Univision Communications Inc. New 1st Lien Term Loan, 4.50%, 03/01/20

     1,797        1,807   

Venetian Casino Resort LLC Term Loan, 3.25%, 12/16/20

     2,000        1,997   
   

 

 

  
    19,696   

CONSUMER STAPLES - 2.5%

  

ARAMARK Corp. Term Loan D, 4.00%, 08/22/19

     1,993        2,005   

HJ Heinz Co. Term Loan B-2, 3.50%, 03/27/20

     1,985        1,999   

Pinnacle Foods Finance LLC Term Loan G, 3.25%, 04/15/20

     626        625   

Pinnacle Foods Finance LLC Term Loan H, 2.50%, 04/30/17

     1,372        1,369   

Reynolds Group Holdings Inc. New Dollar Term Loan, 4.00%, 11/26/18

     1,993        2,010   

Rite Aid Corp. Term Loan, 4.00%, 02/21/20

     1,435        1,440   

U.S. Foodservice Inc. Term Loan, 4.50%, 03/31/19

     2,009        2,026   
   

 

 

  
    11,474   

ENERGY - 0.3%

  

Peabody Energy Corp. Term Loan, 4.25%, 09/24/20

     1,397        1,405   

FINANCIALS - 0.9%

  

Nuveen Investments Inc. 1st Lien Term Loan B, 4.19%, 05/13/17

     1,965        1,956   

Nuveen Investments Inc. 2nd Lien Term Loan, 6.50%, 12/17/27

     35        35   

Realogy Corp. Term Loan B, 4.50%, 03/01/20

     2,093        2,115   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Walter Investment Management Corp. Term Loan, 4.75%, 12/13/20

     86        86   
   

 

 

  
    4,192   

HEALTH CARE - 2.1%

  

Biomet Inc. Incremental Term Loan, 3.75%, 07/17/17

     1,992        2,003   

Community Health Systems Inc. Extended Term Loan, 3.77%, 01/25/17

     1,995        2,010   

Grifols Inc. New U.S. Term Loan B, 4.25%, 06/01/17

     1,987        1,997   

HCA Inc. Term Loan B-4, 2.95%, 07/19/21

     1,995        1,995   

Valeant Pharmaceuticals International Inc. Term Loan

    

3.75%, 02/11/17

     997        1,004   

3.75%, 01/01/22

     84        84   

Valeant Pharmaceuticals International Inc. Term Loan B, 3.75%, 06/20/20

     903        907   
   

 

 

  
        10,000   

INDUSTRIALS - 2.5%

  

American Airlines Inc. Term Loan B, 4.75%, 01/26/16

     1,990        2,000   

Berry Plastics Corp. Term Loan D, 3.50%, 01/29/20

     1,990        1,981   

Ceridian Corp. Extended Term Loan, 4.43%, 05/17/16

     1,987        1,992   

Delta Air Lines Inc. Term Loan, 4.25%, 04/20/17

     1,964        1,970   

DuPont Performance Coatings Inc. Term Loan, 4.75%, 02/15/17

     1,990        2,002   

TransDigm Inc. Term Loan C, 3.75%, 02/28/20

     1,990        1,994   
   

 

 

  
    11,939   

INFORMATION TECHNOLOGY - 3.0%

  

Activision Blizzard Inc. Term Loan B, 2.50%, 08/26/17

     1,995        2,006   

BMC Software Finance Inc. Term Loan, 5.00%, 07/27/17

     2,000        2,009   

First Data Corp. New Dollar Term Loan, 4.19%, 03/24/17

     777        778   

First Data Corp. New Term Loan B, 4.19%, 09/30/18

     1,144        1,145   

First Data Corp. Term Loan, 4.21%, 09/30/20

     100        100   

Freescale Semiconductor Inc. Extended Term Loan B, 5.00%, 02/13/20

     150        152   

Freescale Semiconductor Inc. Term Loan B-5, 5.00%, 10/23/17

     1,845        1,864   

NXP Funding LLC Term Loan D, 3.25%, 01/11/20

     2,000        2,003   

SunGard Data Systems Inc. Term Loan E, 4.00%, 03/15/20

     1,990        2,002   

West Corp. Term Loan B-8, 3.75%, 06/30/18

     1,973        1,981   
   

 

 

  
    14,040   

MATERIALS - 0.9%

  

FMG Resources Pty Ltd. New Term Loan B, 4.25%, 06/30/19

     1,990        2,014   

INEOS US Finance LLC Term Loan B, 4.00%, 11/07/22

     1,991        1,996   
   

 

 

  
    4,010   

TELECOMMUNICATION SERVICES - 1.8%

  

Cricket Communications Inc. Term Loan, 4.75%, 02/22/20

     210        211   

Crown Castle International Corp. New Term Loan B, 3.25%, 01/31/21

     2,000        2,004   

Intelsat Jackson Holdings SA Term Loan B-2, 3.75%, 06/30/19

     1,941        1,954   
     Shares/Par (p)     Value  

Level 3 Communications Inc. Term Loan, 4.00%, 01/15/20

     900        906   

Level 3 Communications Inc. Term Loan B-3, 4.00%, 03/11/16

     1,160        1,165   

Virgin Media Investment Holdings Ltd. Term Loan B-2, 3.50%, 05/12/17

     2,000        2,003   
   

 

 

  
      8,243   

UTILITIES - 0.4%

    

Calpine Corp. Term Loan, 4.00%, 04/01/18

     1,090        1,097   

Calpine Corp. Term Loan B-3, 4.50%, 04/01/18

     92        93   

Calpine Corp. Term Loan B-2, 4.50%, 03/14/21

     796        800   
   

 

 

  
      1,990   
   

 

 

  

Total Variable Rate Senior Loan Interests
(cost $87,001)

   

     86,989   
   

 

 

  

SHORT TERM INVESTMENTS - 14.4%

  

  

Investment Companies - 8.3%

    

JNL Money Market Fund, 0.01% (a) (h)

     38,906        38,906   

Securities Lending Collateral - 6.1%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     28,347        28,347   
   

 

 

  

Total Short Term Investments (cost $67,253)

  

     67,253   
   

 

 

  

Total Investments - 137.3% (cost $644,248)

  

         641,857   

Other Assets and Liabilities, Net - (37.3%)

 

     (174,402 ) 
   

 

 

  

Total Net Assets - 100.0%

     $ 467,455   
   

 

 

  

JNL/Oppenheimer Global Growth Fund

  

  

COMMON STOCKS - 96.4%

  

  

BRAZIL - 3.0%

    

AMBEV SA - ADR

     930      $ 6,835   

BM&F Bovespa SA

     1,322        6,197   

Embraer SA - ADR

     261        8,411   

Itau Unibanco Holding SA - ADR

     574        7,786   
   

 

 

  
      29,229   

DENMARK - 0.4%

    

FLSmidth & Co. A/S

     81        4,415   

FINLAND - 0.2%

    

Fortum Oyj

     85        1,948   

FRANCE - 5.8%

    

LVMH Moet Hennessy Louis Vuitton SA

     99        18,174   

PPR SA

     78        16,505   

Societe Generale - Class A

     131        7,618   

Technip SA

     156        15,028   
   

 

 

  
      57,325   

GERMANY - 9.6%

    

Allianz SE

     96        17,317   

Bayer AG

     110        15,382   

Deutsche Bank AG

     314        15,090   

Linde AG

     47        9,748   

SAP AG

     254        21,998   

Siemens AG

     109        14,880   
   

 

 

  
      94,415   

INDIA - 3.1%

    

DLF Ltd.

     2,643        7,139   

ICICI Bank Ltd. - ADR

     319        11,863   

Infosys Ltd.

     95        5,372   

Zee Entertainment Enterprises Ltd.

     1,316        5,892   
   

 

 

  
      30,266   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

ITALY - 2.0%

  

Brunello Cucinelli SpA

     27        972   

Gtech SpA

     142        4,329   

Prysmian SpA

     223        5,751   

Tod’s SpA

     53        8,815   
   

 

 

  
    19,867   

JAPAN - 9.3%

  

Dai-Ichi Life Insurance Co. Ltd.

     690        11,553   

Fanuc Ltd.

     38        6,872   

KDDI Corp.

     254        15,678   

Keyence Corp.

     35        14,941   

Kyocera Corp.

     139        6,964   

Murata Manufacturing Co. Ltd.

     177        15,714   

Nidec Corp. (e)

     98        9,605   

Sumitomo Mitsui Financial Group Inc.

     199        10,338   
   

 

 

  
    91,665   

MEXICO - 1.9%

  

Fomento Economico Mexicano SAB de CV - ADR

     104        10,163   

Grupo Televisa SAB - GDR (e)

     275        8,325   
   

 

 

  
            18,488   

NETHERLANDS - 2.5%

  

European Aeronautic Defence & Space Co. NV

     327        25,101   

RUSSIAN FEDERATION - 0.8%

  

Alrosa AO

     2,710        2,939   

Moscow Exchange MICEX-RTS OAO

     2,366        4,676   
   

 

 

  
    7,615   

SPAIN - 4.0%

  

Banco Bilbao Vizcaya Argentaria SA

     1,073        13,278   

Inditex SA

     111        18,273   

Repsol SA (e)

     315        7,946   
   

 

 

  
    39,497   

SWEDEN - 4.5%

  

Assa Abloy AB - Class B

     326        17,255   

Telefonaktiebolaget LM Ericsson - Class B

     2,259        27,575   
   

 

 

  
    44,830   

SWITZERLAND - 5.2%

  

Credit Suisse Group AG

     313        9,653   

Nestle SA

     145        10,654   

Roche Holding AG

     41        11,465   

UBS AG

     1,047        20,055   
   

 

 

  
    51,827   

TAIWAN - 0.9%

  

Taiwan Semiconductor Manufacturing Co. Ltd.

     2,466        8,706   

UNITED KINGDOM - 2.3%

  

Shire Plc

     172        8,124   

Unilever Plc

     366        15,067   
   

 

 

  
    23,191   

UNITED STATES OF AMERICA - 40.9%

  

3M Co.

     99        13,914   

Adobe Systems Inc. (c)

     285        17,087   

Aetna Inc.

     230        15,779   

Allergan Inc.

     66        7,364   

Altera Corp.

     475        15,448   

Biogen Idec Inc. (c)

     19        5,441   

Celldex Therapeutics Inc. (c)

     146        3,538   

Citigroup Inc.

     220        11,470   

Colgate-Palmolive Co.

     275        17,960   

eBay Inc. (c)

     357        19,600   

Emerson Electric Co.

     139        9,771   
     Shares/Par (p)     Value  

Facebook Inc. - Class A (c)

     214        11,707   

Fidelity National Financial Inc. - Class A

     219        7,106   

Fusion-io Inc. (c) (e)

     356        3,174   

Gilead Sciences Inc. (c)

     166        12,510   

Goldman Sachs Group Inc.

     61        10,797   

Google Inc. - Class A (c)

     24        27,379   

Intuit Inc.

     207        15,821   

Juniper Networks Inc. (c)

     363        8,197   

Maxim Integrated Products Inc.

     458        12,782   

McDonald’s Corp.

     133        12,938   

McGraw-Hill Financial. Inc.

     263        20,533   

Medivation Inc. (c)

     46        2,910   

Microsoft Corp.

     356        13,340   

St. Jude Medical Inc.

     94        5,804   

Theravance Inc. (c) (e)

     193        6,893   

Tiffany & Co.

     151        14,029   

Transocean Ltd.

     152        7,516   

United Parcel Service Inc. - Class B

     109        11,458   

Vertex Pharmaceuticals Inc. (c)

     122        9,039   

Walt Disney Co.

     282        21,530   

WellPoint Inc.

     232        21,435   

Zimmer Holdings Inc.

     108        10,046   
   

 

 

  
    404,316   
   

 

 

  

Total Common Stocks (cost $718,042)

  

     952,701   
   

 

 

  

PREFERRED STOCKS - 2.0%

  

GERMANY - 2.0%

  

Bayerische Motoren Werke AG

     226        19,306   
   

 

 

  

Total Preferred Stocks (cost $13,235)

  

     19,306   
   

 

 

  

RIGHTS - 0.0%

  

SPAIN - 0.0%

  

Repsol SA (c) (e)

     315        215   
   

 

 

  

Total Rights (cost $211)

  

     215   
   

 

 

  

SHORT TERM INVESTMENTS - 3.6%

  

Investment Companies - 1.6%

  

JNL Money Market Fund, 0.01% (a) (h)

     16,102        16,102   

Securities Lending Collateral - 2.0%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     19,858        19,858   
   

 

 

  

Total Short Term Investments (cost $35,960)

  

     35,960   
   

 

 

  

Total Investments - 102.0% (cost $767,448)

  

     1,008,182   

Other Assets and Liabilities, Net - (2.0%)

 

     (19,780 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $ 988,402   
   

 

 

  

JNL/PPM America Floating Rate Income Fund (t)

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.2%

   

American Airlines Pass-Through Trust, 5.60%, 07/15/20 (r)

   $ 2,199      $ 2,235   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $2,199)

   

     2,235   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CORPORATE BONDS AND NOTES - 5.1%

  

CONSUMER DISCRETIONARY - 1.4%

  

American Axle & Manufacturing Inc., 5.13%, 02/15/19

     306        314   

BC Mountain LLC, 7.00%, 02/01/21 (r)

     100        101   

Beazer Homes USA Inc., 9.13%, 06/15/18

     1,000        1,070   

Churchill Downs Inc., 5.38%, 12/15/21 (r)

     420        427   

DISH DBS Corp., 5.00%, 03/15/23

     380        354   

DreamWorks Animation SKG Inc., 6.88%, 08/15/20 (r)

     306        324   

General Motors Co., 3.50%, 10/02/18 (r)

     1,000        1,023   

Gibson Brands Inc., 8.88%, 08/01/18 (r)

     194        205   

Glencore Funding LLC, 4.13%, 05/30/23 (r)

     924        862   

GLP Capital LP

  

4.38%, 11/01/18 (r)

     277        283   

4.88%, 11/01/20 (r)

     311        311   

5.38%, 11/01/23 (r)

     243        239   

KB Home, 7.50%, 09/15/22

     234        246   

Levi Strauss & Co., 7.63%, 05/15/20

     1,000        1,098   

MGM Resorts International

  

6.75%, 10/01/20

     804        860   

6.63%, 12/15/21

     577        610   

Neiman Marcus Group Ltd. Inc.

  

8.00%, 10/15/21 (r)

     1,244        1,300   

8.75%, 10/15/21 (r) (y)

     1,244        1,303   

PC Nextco Holdings LLC, 8.75%, 08/15/19 (r) (y)

     888        911   

PVH Corp., 4.50%, 12/15/22

     229        217   

Rent-A-Center Inc., 4.75%, 05/01/21

     416        391   

Royal Caribbean Cruises Ltd., 5.25%, 11/15/22

     131        131   

RSI Home Products Inc., 6.88%, 03/01/18 (r)

     556        582   

Sally Holdings LLC, 5.50%, 11/01/23

     494        490   

Schaeffler Holding Finance BV, 6.88%, 08/15/18 (r) (y)

     778        825   

Seminole Hard Rock Entertainment Inc., 5.88%, 05/15/21 (r)

     427        420   

Sirius XM Radio Inc., 5.88%, 10/01/20 (r)

     1,500        1,530   

SIWF Merger Sub Inc., 6.25%, 06/01/21 (r)

     471        475   

Studio City Finance Ltd., 8.50%, 12/01/20 (r)

     1,000        1,108   

Tempur Sealy International Inc., 6.88%, 12/15/20

     121        132   

Toll Brothers Finance Corp., 4.00%, 12/31/18

     513        522   

TRW Automotive Inc., 4.45%, 12/01/23 (r)

     550        534   

WideOpenWest Finance LLC, 10.25%, 07/15/19

     1,000        1,110   

Wolverine World Wide Inc., 6.13%, 10/15/20

     132        141   

Wynn Las Vegas LLC, 7.75%, 08/15/20

     1,000        1,122   
   

 

 

  
      21,571   

CONSUMER STAPLES - 0.2%

  

B&G Foods Inc., 4.63%, 06/01/21

     549        527   

Chiquita Brands International Inc., 7.88%, 02/01/21 (r)

     197        213   

Hawk Acquisition Sub Inc., 4.25%, 10/15/20 (r)

     1,506        1,457   

Prestige Brands Inc., 5.38%, 12/15/21 (r)

     135        136   

Sun Merger Sub Inc., 5.25%, 08/01/18 (r)

     306        321   
   

 

 

  
      2,654   

ENERGY - 0.8%

  

Arch Coal Inc., 8.00%, 01/15/19 (r)

     591        590   

Calumet Specialty Products Partners LP, 7.63%, 01/15/22 (r)

     788        796   

Chesapeake Midstream Partners LP, 6.13%, 07/15/22

     946        1,012   

DCP Midstream LLC, 5.85%, 05/21/43 (i) (r)

     1,344        1,250   

Hercules Offshore Inc., 7.50%, 10/01/21 (r)

     308        327   

Murphy Oil USA Inc., 6.00%, 08/15/23 (r)

     402        404   
     Shares/Par (p)     Value  

Pacific Drilling SA, 5.38%, 06/01/20 (r)

     642        645   

Parker Drilling Co., 7.50%, 08/01/20 (r)

     712        748   

Penn Virginia Corp., 8.50%, 05/01/20

     1,000        1,075   

Penn Virginia Resource Partners LP, 6.50%, 05/15/21 (r)

     1,119        1,158   

Plains Exploration & Production Co., 6.88%, 02/15/23

     1,000        1,115   

Regency Energy Partners LP, 4.50%, 11/01/23

     987        898   

Rosetta Resources Inc., 5.88%, 06/01/22

     1,975        1,960   

Seadrill Ltd., 5.63%, 09/15/17 (r)

     750        776   
   

 

 

  
      12,754   

FINANCIALS - 0.3%

  

Allstate Corp., 5.75%, 08/15/53 (i)

     1,000        1,008   

Ford Motor Credit Co. LLC, 5.88%, 08/02/21

     1,000        1,132   

Santander UK Plc, 5.00%, 11/07/23 (r)

     768        770   

SLM Corp., 5.50%, 01/15/19

     2,000        2,074   
   

 

 

  
      4,984   

HEALTH CARE - 0.5%

  

Capsugel SA, 7.00%, 05/15/19 (r) (y)

     595        606   

Community Health Systems Inc., 8.00%, 11/15/19

     714        775   

Endo Finance Co., 5.75%, 01/15/22 (r)

     873        877   

Forest Laboratories Inc., 5.00%, 12/15/21 (r)

     1,238        1,243   

HCA Inc., 8.50%, 04/15/19

     1,000        1,060   

Pinnacle Merger Sub Inc., 9.50%, 10/01/23 (r)

     1,029        1,096   

Tenet Healthcare Corp., 6.00%, 10/01/20 (r)

     570        595   

Valeant Pharmaceuticals International Inc.

    

6.75%, 08/15/18 (r)

     1,000        1,099   

5.63%, 12/01/21 (r)

     644        647   
   

 

 

  
    7,998   

INDUSTRIALS - 0.8%

  

Abengoa Finance SAU, 7.75%, 02/01/20 (r)

     773        796   

Aircastle Ltd.

    

4.63%, 12/15/18

     839        845   

6.25%, 12/01/19

     1,026        1,099   

Algeco Scotsman Global Finance Plc, 10.75%, 10/15/19 (r)

     1,000        1,055   

Alliant Techsystems Inc., 5.25%, 10/01/21 (r)

     491        492   

Aviation Capital Group Corp., 3.88%, 09/27/16 (r)

     1,346        1,390   

Bombardier Inc., 6.13%, 01/15/23 (r)

     585        581   

International Lease Finance Corp., 4.63%, 04/15/21

     1,649        1,575   

ServiceMaster Co., 7.00%, 08/15/20

     1,065        1,056   

United Continental Holdings Inc.

    

6.00%, 07/15/26

     1,677        1,442   

6.00%, 07/15/28

     1,809        1,524   

United Rentals North America Inc., 8.38%, 09/15/20

     1,000        1,115   
   

 

 

  
    12,970   

INFORMATION TECHNOLOGY - 0.2%

  

First Data Corp., 7.38%, 06/15/19 (r)

     483        516   

NXP BV

    

3.50%, 09/15/16 (r)

     1,000        1,025   

5.75%, 02/15/21 (r)

     212        221   

5.75%, 03/15/23 (r)

     242        246   

ViaSat Inc., 6.88%, 06/15/20

     1,008        1,066   
   

 

 

  
    3,074   

MATERIALS - 0.7%

  

Barrick Gold Corp., 4.10%, 05/01/23

     1,000        902   

Boart Longyear Management Pty Ltd., 10.00%, 10/01/18 (r)

     2,222        2,294   

Cemex SAB de CV, 5.00%, 10/15/18 (r)

     1,000        1,039   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

FMG Resources August 2006 Pty Ltd., 6.88%, 04/01/22 (r)

     1,000        1,090   

Hexion US Finance Corp., 6.63%, 04/15/20

     1,000        1,025   

LYB International Finance BV, 4.00%, 07/15/23

     566        558   

Norbord Inc., 5.38%, 12/01/20 (r)

     882        876   

Rain CII Carbon LLC, 8.25%, 01/15/21 (r)

     1,000        1,020   

Rock-Tenn Co., 3.50%, 03/01/20

     227        223   

TPC Group Inc., 8.75%, 12/15/20 (r)

     955        1,015   
   

 

 

  
    10,042   

TELECOMMUNICATION SERVICES - 0.1%

  

Frontier Communications Corp., 7.63%, 04/15/24

     328        327   

Sprint Corp., 7.13%, 06/15/24 (r)

     624        634   
   

 

 

  
    961   

UTILITIES - 0.1%

  

AES Corp., 7.38%, 07/01/21

     1,000        1,127   

Puget Energy Inc., 6.00%, 09/01/21

     778        869   
   

 

 

  
    1,996   
   

 

 

  

Total Corporate Bonds and Notes (cost $76,632)

  

     79,004   
   

 

 

  

VARIABLE RATE SENIOR LOAN INTERESTS - 88.3% (I)

   

CONSUMER DISCRETIONARY - 26.3%

  

Acosta Inc. Term Loan B, 4.25%, 03/02/18

     5,335        5,363   

Advantage Sales and Marketing Inc. 1st Lien New Term Loan

    

4.25%, 12/17/17

     2,000        2,005   

4.25%, 12/17/17

     113        114   

4.25%, 12/17/17

     5,167        5,181   

Affinion Group Replacement Term Loan, 5.00%, 10/10/16

     1,940        1,909   

Allison Transmission Inc. Term Loan, 3.75%, 08/08/19

     7,339        7,374   

AMC Entertainment Inc Term Loan B, 3.50%, 04/30/20

     3,111        3,114   

Apex Tool Group LLC Term Loan B, 4.50%, 01/31/20

     2,985        2,995   

Atlantic Broadband Finance LLC Term Loan, 3.25%, 11/30/19

     1,287        1,281   

Autoparts Holdings Ltd. 1st Lien Term Loan

    

6.50%, 07/29/17

     1,405        1,393   

6.50%, 07/29/17

     717        710   

AutoTrader.com Inc. Term Loan B, 4.00%, 12/15/16

     472        474   

Bally Technologies Inc. Term Loan B, 4.25%, 08/21/20

     6,983        7,028   

Bass Pro Group LLC Term Loan B

    

4.00%, 11/30/19

     5,149        5,172   

4.00%, 11/30/19

     133        133   

Bombardier Recreational Products Inc. Term Loan B, 5.00%, 01/31/19

     5,771        5,786   

Borgata Term Loan B, 6.75%, 08/15/18

     3,333        3,343   

Boyd Gaming Corp. Term Loan B, 4.00%, 08/15/20

     2,993        2,997   

Burger King Corp. Term Loan B, 3.75%, 09/28/19

     1,284        1,288   

Camping World Inc. Term Loan B

    

5.75%, 02/14/20

     2,943        2,965   

5.75%, 02/14/20

     57        58   

Capital Safety Group 1st Lien Term Loan, 6.25%, 12/30/19

     2,211        2,214   

Catalina Marketing Corp. Term Loan, 5.25%, 10/07/20

     3,000        3,037   

Cedar Fair LP Term Loan, 3.25%, 02/20/20

     1,473        1,478   

Centerplate Inc. Term Loan, 4.75%, 11/13/19

     1,500        1,506   
     Shares/Par (p)     Value  

Cequel Communications LLC Term Loan, 3.50%, 02/28/19

     8,902        8,909   

Charter Communications Operating LLC Term Loan E, 3.00%, 04/25/20

     13,937            13,829   

Charter Communications Operating LLC Term Loan F, 3.00%, 12/31/20

     471        466   

Chrysler Group LLC Term Loan B, 4.25%, 05/24/17

     4,957        4,986   

Cinemark USA Inc. Term Loan, 5.13%, 12/15/22

     270        261   

Citycenter Holdings LLC Term Loan B, 5.00%, 10/09/20

     6,818        6,912   

Clarke American Corp. Term Loan B

    

5.25%, 06/30/17

     137        138   

5.25%, 06/30/17

     575        579   

5.25%, 06/30/17

     336        338   

5.25%, 06/30/17

     156        157   

Clear Channel Communications Inc. Term Loan, 6.92%, 01/30/19

     4,000        3,815   

Coinmach Corp. Incremental Term Loan, 4.25%, 11/15/19

     2,000        2,012   

Coinmach Corp. Term Loan, 4.25%, 11/15/19

     2,993        3,006   

Crossmark Holdings Inc. Term Loan, 4.50%, 12/21/19

     2,480        2,457   

CSC Holdings Inc. Term Loan, 2.70%, 04/25/20

     5,965        5,902   

Cumulus Media Inc. 1st Lien Term Loan B, 4.50%, 09/16/18

     1,816        1,825   

David’s Bridal Inc. Initial Term Loan, 5.00%, 10/08/19

     2,970        2,979   

DineEquity Inc. Term Loan B-2, 3.75%, 10/19/17

     418        419   

Dunkin’ Brands Inc. Term Loan B-3

    

3.75%, 02/14/20

     4,067        4,077   

3.75%, 02/14/20

     4,287        4,299   

5.00%, 02/14/20

     3        3   

Formula One Holdings Term Loan B-2, 4.50%, 04/30/19

     7,424        7,497   

Four Seasons Hotels Limited 1st Lien Term Loan, 4.25%, 06/23/20

     2,320        2,326   

Four Seasons Hotels Limited 2nd Lien Term Loan, 6.25%, 12/23/20

     1,968        2,012   

Freedom Group Inc. Term Loan

    

5.50%, 04/19/19

     2,464        2,476   

5.50%, 04/19/19

     500        503   

Garda World Security Corp. Term Loan B, 4.00%, 11/05/20

     1,593        1,594   

Getty Images Inc. Initial Term Loan, 4.75%, 10/03/19

     1,931        1,799   

GNC Corp. Term Loan, 3.25%, 03/04/19

     3,914        3,898   

Goodyear Engineered Products 1st Lien Term Loan, 5.25%, 09/06/17

     7,947        7,967   

Gymboree Corp. 1st Lien Term Loan

    

5.00%, 02/23/18

     26        24   

5.00%, 02/23/18

     3,952        3,687   

Harrahs Operating Co. Inc. Extended Term Loan B, 4.44%, 01/28/18

     798        754   

Hilton Worldwide Finance LLC Term Loan B-2, 3.00%, 09/23/20

     2,716        2,736   

Hilton Worldwide Inc. Term Loan B, 3.00%, 09/23/20

     7,468        7,524   

Hudson’s Bay Co. Initial Term Loan

    

4.75%, 10/07/20

     510        518   

4.75%, 10/07/20

     2,210        2,244   

4.75%, 10/07/20

     340        345   

4.75%, 10/07/20

     340        345   

Information Resources Inc. Term Loan, 4.75%, 09/26/20

     1,178        1,183   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Information Resources Inc. Term Loan B

    

4.75%, 09/26/20

     694        697   

4.75%, 09/26/20

     1,484        1,490   

4.75%, 09/26/20

     300        301   

J. Crew Group Inc. Term Loan B-1

    

4.00%, 03/07/18

     1,350        1,358   

4.00%, 03/07/18

     1,493        1,501   

4.00%, 03/07/18

     2,993        3,009   

Jarden Corp. Term Loan B-1, 2.75%, 09/30/20

     3,398        3,396   

Kasima LLC Term Loan, 3.25%, 05/23/21

     4,000        3,975   

Landry’s Inc. Term Loan B, 4.75%, 04/24/18

     2,936        2,955   

Leslie’s Poolmart Inc. Term Loan B, 4.25%, 10/16/19

     1,995        2,001   

LIN Television Corp. New Term Loan, 3.75%, 12/31/18

     595        596   

LIN Television Corp. Term Loan B, 3.75%, 12/31/18

     140        141   

Live Nation Entertainment Inc. Term Loan B-1, 3.50%, 08/14/20

     2,942        2,951   

Media General Inc. Term Loan B, 0.50%, 07/30/20

     5,000        5,047   

Merlin Entertainments Group Term Loan, 4.02%, 07/01/19

     2,706        2,710   

MGM Resorts International Term Loan B, 3.50%, 12/20/19

     8,232        8,247   

Michaels Stores Inc. Term Loan

    

3.75%, 01/25/20

     6,402        6,422   

3.75%, 01/25/20

     781        784   

3.75%, 01/25/20

     781        784   

Mission Broadcasting, Inc. Term Loan B-2

    

3.75%, 09/23/20

     466        467   

3.75%, 09/23/20

     467        468   

Mohegan Tribal Gaming Authority Term Loan B, 5.50%, 11/05/19

     6,120        6,208   

Neiman Marcus Group Ltd. Inc. Term Loan, 5.00%, 10/17/20

     7,000        7,081   

Nexstar Broadcasting Inc. Term Loan B-2

    

3.75%, 09/23/20

     530        531   

3.75%, 09/23/20

     529        529   

Nine Entertainment Corp. Term Loan, 3.50%, 01/28/20

     3,970        3,947   

OneStopPlus Group 1st Lien Term Loan, 4.44%, 02/04/20

     2,978        3,004   

Orbitz Worldwide Inc. Term Loan B, 4.50%, 09/20/17

     950        951   

Orbitz Worldwide Inc. Term Loan C-1, 5.75%, 03/20/19

     808        810   

OSI Restaurant Partners LLC Replacement Term Loan

    

3.50%, 10/23/19

     162        162   

3.50%, 10/23/19

     4,889        4,890   

Party City Holdings Inc. Extended Term Loan

    

4.25%, 07/23/19

     1,980        1,987   

4.25%, 07/23/19

     253        254   

4.25%, 07/23/19

     1,768        1,774   

4.25%, 07/23/19

     2,048        2,056   

4.25%, 07/23/19

     252        253   

Peninsula Gaming LLC Term Loan B, 4.25%, 11/20/17

     3,477        3,497   

PETCO Animal Supplies Inc. New Term Loan, 4.00%, 11/24/17

     3,728        3,743   

Pilot Travel Centers LLC Additional Term Loan B, 4.25%, 08/16/19

     2,518        2,526   

Pinnacle Entertainment Inc. Term Loan B-2, 3.75%, 08/04/20

     1,493        1,498   

Quebecor Media Inc. Term Loan B-1, 3.25%, 07/29/20

     3,990        3,958   
     Shares/Par (p)     Value  

Regal Cinemas Corp. Replacement Term Loan, 3.28%, 08/23/17

     637        639   

Regal Cinemas Corp. Term Loan, 3.28%, 08/23/17

     279        280   

Roundy’s Inc. 1st Lien Term Loan, 5.75%, 02/24/19

     672        671   

Sabre Inc. Term Loan B, 5.25%, 02/19/19

     2,441        2,458   

Sabre Inc. Term Loan B-2, 4.50%, 02/19/19

     3,000        3,004   

Savers Inc. New Term Loan, 5.00%, 07/09/19

     2,096        2,102   

Saxon Enterprises LLC Term Loan, 5.42%, 02/12/19

     2,978        3,001   

Scientific Games Corp. Term Loan

    

3.25%, 06/14/20

     4,109        4,110   

3.25%, 06/14/20

     4,207        4,208   

3.25%, 06/14/20

     685        685   

Seaworld Parks & Entertainment Inc. Term Loan B-2, 3.00%, 05/17/20

     6,660        6,576   

Seminole Hard Rock Entertainment Inc. Term Loan, 3.50%, 05/15/20

     829        828   

Seminole Tribe of Florida Initial Term Loan, 3.00%, 04/26/20

     1,210        1,208   

ServiceMaster Co. Term Loan, 4.46%, 01/31/17

     3,914        3,887   

ServiceMaster Co. Term Loan C, 4.25%, 07/24/14

     3,970        3,929   

Sinclair Television Group Inc. Term Loan B

    

3.00%, 04/09/20

     2,472        2,453   

3.00%, 04/19/20

     1,350        1,340   

3.00%, 04/19/20

     2,150        2,132   

SOURCECORP Inc. Term Loan, 5.25%, 04/30/18

     995        1,000   

SRAM LLC Term Loan

    

4.00%, 04/10/20

     147        147   

4.00%, 04/10/20

     2,748        2,745   

4.00%, 04/10/20

     933        932   

SRAM LLC Term Loan B, 5.25%, 04/10/20

     42        42   

Station GVR Acquisition LLC Term Loan B, 5.00%, 02/21/20

     3,975        4,015   

Tempur-Pedic International Inc. Term Loan B, 3.50%, 12/31/19

     3,642        3,637   

TI Group Automotive Systems LLC Term Loan B, 5.50%, 03/28/19

     2,978        3,015   

Tower Automotive Holdings USA LLC Term Loan, 4.75%, 04/23/20

     995        1,000   

Toys R Us Inc. Term Loan, 6.00%, 09/01/16

     1,908        1,718   

Tribune Company Initial Term Loan, 4.00%, 11/26/20

     11,000        10,931   

Univision Communications Inc. Converted Extended Term Loan, 4.75%, 02/28/20

     5,870        5,895   

Univision Communications Inc. Incremental Term Loan, 4.00%, 03/01/20

     1,757        1,763   

Univision Communications Inc. New 1st Lien Term Loan, 4.50%, 02/28/20

     5,466        5,496   

UPC Financing Partnership Term Loan AH, 3.25%, 06/30/21

     3,883        3,875   

ValleyCrest Cos. LLC Term Loan, 5.50%, 06/13/19

     1,419        1,424   

Venetian Casino Resort LLC Term Loan, 3.25%, 12/16/20

     3,262        3,257   

Visant Holding Corp. Term Loan B

    

5.25%, 12/22/16

     1,183        1,165   

5.25%, 12/22/16

     41        40   

Waddington North America Inc. Term Loan

    

4.50%, 05/30/20

     1,934        1,949   

4.50%, 05/30/20

     1,051        1,059   

8.50%, 11/24/20

     1,000        1,011   

WaveDivision Holdings LLC Term Loan, 5.50%, 08/08/19

     2,574        2,584   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Weather Channel Term Loan, 3.50%, 02/11/17 (i)

     973        975   

Weather Co. Term Loan

    

7.00%, 12/21/20

     16        16   

7.00%, 12/21/20

     984        1,010   

Weight Watchers International Inc. Initial Term Loan B-2, 3.75%, 04/02/20

     6,952        6,182   

Wendy’s International Inc. Term Loan B, 3.25%, 05/16/19

     1,701        1,702   

WideOpenWest Finance LLC Term Loan B, 4.75%, 04/01/19

     5,505        5,527   

WMG Acquisition Corp. Refinancing Term Loan, 3.75%, 07/06/20

     2,993        2,990   
   

 

 

  
      405,291   

CONSUMER STAPLES - 6.0%

  

Albertson’s LLC Delayed Draw Term Loan, 4.75%, 03/21/19

     3,000        3,008   

Albertson’s LLC Term Loan B-2, 4.75%, 05/21/19

     2,333        2,344   

ARAMARK Corp. Extended Term Loan

    

3.51%, 01/26/14

     123        124   

3.49%, 07/26/16

     607        608   

3.49%, 07/26/16

     321        321   

3.55%, 07/26/16

     1,030        1,031   

ARAMARK Corp. Term Loan, 3.50%, 07/26/16

     72        72   

ARAMARK Corp. Term Loan D, 4.00%, 09/01/19

     6,000        6,035   

Arysta LifeScience SPC LLC 1st Lien Term Loan, 4.50%, 05/22/20

     6,368        6,398   

Arysta LifeScience SPC LLC 2nd Lien Term Loan, 8.25%, 11/20/20

     500        508   

BJ’s Wholesale Club Inc. Term Loan B, 4.50%, 11/01/19

     4,500        4,523   

CTI Foods Holding Co. LLC 1st Lien Term Loan, 4.50%, 06/20/20

     2,993        2,989   

Del Monte Corp. 1st Lien Term Loan, 3.25%, 01/26/21

     2,000        2,010   

Del Monte Corp. 2nd Lien Term Loan, 7.25%, 07/26/21

     500        504   

Del Monte Corp. New Term Loan B, 4.00%, 02/16/18

     4,734        4,745   

Dole Food Co. Inc. New Term Loan B

    

4.50%, 10/25/18

     368        369   

4.50%, 10/25/18

     184        185   

4.50%, 10/25/18

     368        369   

4.50%, 10/25/18

     368        369   

4.50%, 10/25/18

     368        369   

4.50%, 10/25/18

     368        369   

4.50%, 10/25/18

     368        369   

4.50%, 10/25/18

     368        369   

DS Waters Enterprises Inc. Term Loan, 5.25%, 08/19/20

     1,000        1,014   

HJ Heinz Co. Term Loan B-2, 3.50%, 04/05/20

     11,923        12,006   

Hostess Brands Inc. Term Loan

    

6.50%, 03/11/20

     280        290   

6.50%, 03/11/20

     3,220        3,333   

JBS USA LLC Incremental Term Loan, 3.75%, 09/22/20

     3,000        2,990   

Michael Foods Group Inc. Term Loan B, 4.25%, 02/25/18

     1,493        1,500   

Pinnacle Foods Finance LLC Term Loan G, 3.25%, 04/16/20

     1,965        1,961   

Pinnacle Foods Finance LLC Term Loan H, 2.50%, 04/29/20

     1,995        1,991   

Reynolds Group Holdings Inc. New Dollar Term Loan, 4.00%, 12/26/18

     5,148        5,192   
     Shares/Par (p)     Value  

Rite Aid Corp. 2nd Lien Term Loan, 4.88%, 06/21/21

     2,000        2,027   

Rite Aid Corp. Term Loan, 4.00%, 02/15/20

     1,985        1,992   

Roundy’s Supermarkets Inc. Term Loan B

    

5.75%, 02/08/19

     739        738   

5.75%, 02/08/19

     896        895   

Sprectrum Brands Inc. Term Loan, 3.50%, 08/13/19

     3,924        3,926   

Sun Products Corp. Term Loan B, 6.50%, 03/23/20

     2,978        2,818   

SUPERVALU Inc. New Term Loan, 5.00%, 03/21/19

     4,447        4,485   

U.S. Foodservice Inc. Term Loan, 4.50%, 03/31/19

     6,965        7,024   
   

 

 

  
      92,170   

ENERGY - 3.9%

  

Alpha Natural Resources Inc. Term Loan B, 3.50%, 05/25/20

     2,978        2,924   

Arch Western Finance LLC Term Loan, 5.75%, 05/16/18

     5,985        5,896   

Drillships Financing Holding Inc. Term Loan B-1, 6.00%, 03/31/21

     3,990        4,070   

Energy Transfer Equity LP 1st Lien Term Loan, 3.25%, 11/15/19

     3,000        2,988   

EP Energy LLC Incremental Term Loan, 4.50%, 04/24/19

     1,481        1,484   

EquiPower Resources Holdings LLC 1st Lien Term Loan, 6.50%, 12/20/18

     2,090        2,096   

EquiPower Resources Holdings LLC Term Loan C, 4.25%, 12/31/19

     1,000        1,003   

Equipower Resources Term Loan, 4.25%, 12/31/19

     1,995        2,000   

Fieldwood Energy LLC 1st Lien Term Loan

    

2.88%, 09/28/18

     100        100   

2.88%, 09/28/18

     1,995        2,007   

Fieldwood Energy LLC 2nd Lien Term Loan, 7.13%, 09/24/20

     3,100        3,162   

Husky Intermediate Inc. Incremental Term Loan, 3.25%, 11/13/18

     3,000        3,022   

Linden Term Loan B, 5.00%, 12/01/20

     1,900        1,912   

MRC Global Inc. New Term Loan, 5.00%, 11/14/19

     2,993        3,030   

Oxbow Carbon LLC 2nd Lien Term Loan, 8.00%, 01/19/20

     1,000        1,017   

Oxbow Carbon LLC Term Loan B, 4.25%, 07/19/19

     2,925        2,936   

Pacific Drilling SA Term Loan, 4.50%, 06/03/18

     3,980        4,022   

Peabody Energy Corp. Term Loan, 4.25%, 09/20/20

     4,988        5,016   

Quicksilver Resources Inc. 2nd Lien Term Loan, 7.00%, 06/21/19

     4,000        3,955   

Samson Investment Co. Term Loan 1, 5.00%, 09/25/18

     2,650        2,657   

Sheridan Production Partners I-A LP Term Loan B-2, 5.00%, 10/05/19

     433        433   

Sheridan Production Partners I-M LP Term Loan B-2, 5.00%, 10/05/19

     264        265   

Vantage Delware Holdings LLC Term Loan, 5.75%, 03/28/19

     1,985        2,007   

Western Refining Inc. Term Loan B, 4.25%, 11/25/20

     3,000        3,034   
   

 

 

  
      61,036   

FINANCIALS - 5.8%

  

AmWINS Group Inc. Term Loan

    

5.00%, 09/06/19

     1,472        1,479   

5.00%, 09/06/19

     3,096        3,112   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Asurion LLC Incremental Term Loan, 3.50%, 06/20/20

     2,700        2,648   

Asurion LLC Term Loan, 4.50%, 05/24/19

     7,593        7,587   

Capital Automotive LP 2nd Lien Term Loan, 6.00%, 04/25/20

     1,000        1,030   

Capital Automotive LP Term Loan B, 4.00%, 04/19/19

     6,391        6,422   

CB Richard Ellis Services Inc. Term Loan B, 2.94%, 03/28/21

     463        465   

CPA Global Ltd. 1st Lien Term Loan, 4.50%, 11/21/20

     2,000        2,002   

Cunningham Lindsey U.S. Inc. Term Loan, 5.00%, 10/18/19

     2,482        2,479   

Duff & Phelps Corp. 1st Lien Term Loan, 4.50%, 03/28/20

     2,990        2,982   

Everest Acquisition LLC Term Loan B-3, 3.50%, 05/24/18

     333        333   

Guggenheim Partners Investment Management Holdings LLC Initial Term Loan

    

4.25%, 07/17/20

     3,092        3,119   

4.25%, 07/17/20

     8        8   

HarbourVest Partners LP 1st Lien Term Loan, 4.75%, 11/19/17

     1,595        1,595   

HUB International Ltd. Term Loan B, 4.75%, 09/17/20

     3,990        4,035   

iPayment Inc. Term Loan B, 5.75%, 05/08/17

     680        660   

LPL Holdings Inc. Incremental Term Loan B, 3.25%, 03/29/19

     3,960        3,952   

Mondrian Investment Partners Ltd. Term Loan B, 4.00%, 07/12/18

     744        746   

National Financial Partners Corp. Term Loan B, 5.25%, 06/25/20

     2,985        3,012   

Nuveen Investments Inc. 1st Lien Term Loan B, 4.19%, 05/07/17

     7,000        6,966   

Nuveen Investments Inc. 2nd Lien Term Loan, 6.50%, 02/17/19

     2,500        2,470   

Realogy Corp. Extended Term Loan, 4.51%, 10/10/16

     72        73   

Realogy Corp. Term Loan B, 4.50%, 03/01/20

     6,582        6,650   

RP Crown Parent LLC New Term Loan, 6.25%, 12/21/18

     3,548        3,571   

SAM Finance Lux S.A.R.L. Term Loan, 4.25%, 12/10/20

     3,000        3,004   

Sheridan Investment Partners I LLC Term Loan B-2, 5.00%, 10/05/19

     3,265        3,271   

Sheridan Production Partners II LP Term Loan, 4.25%, 12/16/20

     1,679        1,686   

Sheridan Production Partners II LP Term Loan A, 4.25%, 12/16/20

     234        234   

Sheridan Production Partners II LP Term Loan M, 4.25%, 12/16/20

     87        88   

Springleaf Finance Corp. Term Loan, 4.75%, 09/30/19

     5,080        5,133   

TCW Group Inc. Term Loan, 4.00%, 12/27/20

     1,290        1,300   

Toys R Us Property Co. I LLC Term Loan, 6.00%, 08/21/19

     1,308        1,257   

USI Inc. Term Loan, 5.25%, 12/19/19

     2,928        2,938   

Walter Investment Management Corp. Term Loan, 4.75%, 12/19/20

     3,000        3,002   
   

 

 

  
      89,309   

HEALTH CARE - 10.3%

  

Akorn Inc. Term Loan B, 3.50%, 11/13/20

     4,000        4,020   

Alere Inc. Term Loan B, 4.50%, 06/30/17

     1,960        1,971   

Alliance HealthCare Services Inc. Delayed Draw Term Loan, 4.25%, 06/03/19

     381        376   

Alliance HealthCare Services Inc. Term Loan, 4.25%, 06/03/19

     2,607        2,575   
     Shares/Par (p)     Value  

Ardent Medical Services Inc. Term Loan, 6.75%, 05/02/18

     2,574        2,581   

ATI Holdings Inc. 1st Lien Term Loan

    

5.00%,12/20/19

     500        501   

5.75%, 02/01/20

     990        992   

Aveta Inc. Term Loan

    

9.75%, 10/23/17

     843        845   

9.75%, 10/23/17

     613        615   

Axcan Intermediate Holdings Inc. Term Loan B

    

6.00%, 02/11/17

     2,605        2,648   

6.00%, 02/11/17

     2,837        2,884   

Biomet Inc. Incremental Term Loan

    

3.75%, 07/25/17

     2,944        2,961   

3.75%, 07/25/17

     111        112   

3.75%, 07/25/17

     1,967        1,978   

3.75%, 07/25/17

     2,923        2,939   

Capsugel Holdings US Inc. Incremental Term Loan, 3.50%, 08/01/18

     4,692        4,690   

Catalent Pharma Solutions Inc. Term Loan, 5.25%, 09/15/17

     980        984   

Community Health Systems Delayed Draw Term Loan

    

3.78%, 01/25/17

     5,775        5,817   

3.78%, 01/25/17

     154        155   

Convatec Inc. Dollar Term Loan, 5.75%, 12/22/16

     2,847        2,860   

DaVita HealthCare Partners Inc. Term Loan B, 4.50%, 10/20/16

     1,940        1,951   

DaVita HealthCare Partners Inc. Term Loan B-2, 4.00%, 08/24/19

     1,697        1,707   

Emdeon Business Services LLC Term Loan

    

3.75%, 11/17/18

     132        132   

3.75%, 11/17/18

     218        219   

3.75%, 11/17/18

     1,518        1,520   

3.75%, 11/17/18

     959        960   

3.75%, 11/17/18

     4,101        4,107   

Emergency Medical Services Corp. Term Loan

    

4.00%, 05/05/18

     2,683        2,689   

4.00%, 05/05/18

     296        296   

4.00%, 05/05/18

     1,304        1,307   

Endo Pharmaceuticals Holdings Inc. Term Loan B, 4.00%, 06/15/18

     87        87   

Endo Pharmaceuticals Holdings Inc. Term Loan B, 4.00%, 12/11/20

     1,356        1,359   

Envision Acquisition Co. 2nd Lien Term Loan, 8.75%, 09/23/21

     276        279   

Envision Acquisition Co. Term Loan, 5.75%, 09/23/20

     2,494        2,507   

Gentiva Health Services Inc. Term Loan B, 6.50%, 10/15/19

     3,500        3,487   

Grifols Inc. New U.S. Term Loan B, 4.25%, 06/01/17

     1,951        1,962   

Harlan Sprague Dawley Inc. Term Loan, 3.71%, 07/11/14

     1,923        1,705   

HCA Inc. Term Loan B-4, 2.94%, 05/01/18

     5,481        5,480   

Health Management Associates Inc. Term Loan B, 3.50%, 11/18/16

     4,536        4,533   

IASIS Healthcare LLC Term Loan B, 4.50%, 02/20/20

     3,923        3,952   

Inventiv Health Inc. Term Loan B, 4.75%, 08/02/16

     1,061        1,048   

Kindred Healthcare Inc. Term Loan B-1

    

4.25%, 06/01/18

     379        379   

4.25%, 06/01/18

     2,613        2,613   

Kinetic Concepts Inc. Term Loan D-1, 4.50%, 05/04/18

     5,721        5,750   

Multiplan Inc. Term Loan

    

4.75%, 08/26/17

     1,000        1,006   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

4.75%, 08/26/17

     1,234        1,241   

Multiplan Inc. Term Loan B-1, 4.00%, 08/13/17

     4,539        4,565   

NBTY Inc. Term Loan

    

3.50%, 10/01/17

     1,655        1,663   

3.50%, 10/01/17

     197        198   

3.50%, 10/01/17

     132        132   

One Call Medical Inc. 1st Lien Term Loan, 5.00%, 11/20/20

     3,000        2,998   

Onex Carestream Finance LP 1st Lien Term Loan, 5.00%, 06/07/19

     5,770        5,838   

Onex Carestream Finance LP Term Loan, 9.50%, 12/05/19

     2,000        2,035   

Par Pharmaceutical Cos. Inc. Term Loan
B, 5.00%, 09/17/19

     3,968        3,987   

Par Pharmaceutical Cos. Inc. Term Loan
B-1, 4.25%, 09/28/19

     2,467        2,480   

PTS Acquisition Corp. Dollar Term Loan,
4.24%, 09/06/16

     3,913        3,923   

Quintiles Transnational Corp. Term Loan
B-3, 3.75%, 08/08/18

     6,180        6,185   

Radnet Management Inc. Add-On Term Loan, 5.50%, 10/12/18

     3,557        3,544   

Select Medical Corp. Term Loan B

    

4.00%, 06/15/18

     —        —   

4.00%, 06/15/18

     1        1   

4.00%, 06/15/18

     738        739   

4.00%, 06/15/18

     237        237   

4.00%, 06/15/18

     2        2   

5.42%, 06/15/18

     1        1   

Sheridan Healthcare Inc. Term Loan

    

8.25%,06/29/18

     260        260   

8.25%,12/31/21

     2,000        2,011   

Sheridan Holdings Inc. Incremental Term Loan

    

4.50%, 06/29/18

     316        317   

4.50%, 06/29/18

     2,475        2,480   

Surgical Care Affiliates LLC Extended Term Loan, 4.25%, 06/30/16

     965        964   

Surgical Care Affiliates LLC Term Loan C, 4.25%, 06/30/18

     1,990        1,995   

Team Health Inc. Term Loan B, 5.00%, 06/29/18

     1,463        1,463   

U.S. Renal Care Inc. Term Loan B-2, 5.25%, 07/03/19

     2,985        3,000   

United Surgical Partners International Inc. 1st Lien Term Loan, 7.00%, 03/30/19

     666        668   

United Surgical Partners International Inc. New Term Loan B, 7.00%, 03/30/19

     2,287        2,296   

Valeant Pharmaceuticals International Inc. Term Loan

    

3.75%, 02/13/19

     5,465        5,495   

3.75%, 12/11/19

     988        994   

Valeant Pharmaceuticals International Inc. Term Loan B, 4.50%, 07/08/20

     3,474        3,495   
   

 

 

  
      158,746   

INDUSTRIALS - 12.6%

  

ADS Waste Holdings Inc. Term Loan B, 4.25%, 10/09/19

     5,950        5,976   

Affinia Group Inc. Term Loan B-2, 4.75%, 04/12/20

     498        504   

AlixPartners LLP Term Loan B-2, 5.00%, 07/01/20

     3,138        3,157   

Allflex Holdings Inc. Term Loan, 4.25%, 06/15/20

     2,993        3,002   

Alliance Laundry Systems Term Loan B

    

5.50%, 12/07/18

     850        852   

4.50%, 02/11/19

     2,417        2,424   
     Shares/Par (p)     Value  

American Airlines Inc. Term Loan B, 4.75%, 09/21/19

     4,975        5,000   

American Builders & Contractors Supply Co. Inc. Term Loan, 3.50%, 04/15/20

     2,993        2,996   

Ameriforge Group Inc. 1st Lien Term Loan

    

5.00%, 12/19/19

     500        502   

5.00%, 01/31/20

     1,980        1,989   

Ameriforge Group Inc. 2nd Lien Term Loan, 8.75%, 12/19/20

     500        509   

Avis Budget Car Rental LLC Term Loan B, 3.00%, 06/15/19

     3,479        3,472   

AWAS Aviation Capital Ltd. Term Loan, 3.50%, 07/01/18

     2,179        2,185   

BakerCorp Replacement Term Loan, 4.25%, 02/20/20

     2,978        2,958   

Berry Plastics Corp. Term Loan D, 3.50%, 02/15/20

     10,932        10,887   

BOC Edwards Term Loan, 4.75%, 03/21/20

     2,372        2,373   

Brand Energy & Infrastructure Services Inc. Term, 4.75%, 11/21/20

     2,000        2,009   

Brickman Group Holdings Inc. Term Loan

    

4.00%, 12/15/20

     3,000        3,011   

4.00%, 12/15/20

     2,000        2,008   

CAMP Systems International Inc. 1st Lien Term Loan, 4.75%, 05/31/19

     1,500        1,513   

Capsugel Holdings US Inc. Term Loan, 4.75%, 08/01/18

     1,495        1,494   

Ceridian Corp. Extended Term Loan, 4.43%, 05/09/17

     4,000        4,011   

Delta Airlines Inc. Term Loan B-1, 4.00%, 10/18/18

     4,505        4,520   

Dematic SA Term Loan, 5.25%, 12/28/19

     1,931        1,939   

Ducommun Inc. Term Loan B, 5.50%, 06/24/17

     1,047        1,050   

DuPont Performance Coatings Inc. Term Loan, 4.75%, 01/30/20

     9,935        9,997   

Earthbound Holdings III LLC Term Loan, 5.58%, 12/21/16

     1,945        1,945   

Emerald Expositions Holdings Inc. Term Loan, 5.50%, 06/17/20

     1,990        1,995   

EnergySolutions LLC Term Loan B, 6.25%, 08/10/16

     1,579        1,594   

Evertec Group LLC Term Loan B, 3.50%, 04/25/20

     2,985        2,903   

Filtration Group Corp. 1st Lien Term Loan, 4.50%, 11/14/20

     3,000        3,028   

Filtration Group Corp. 2nd Lien Term Loan, 8.25%, 11/14/21

     1,000        1,021   

FleetPride Inc. 1st Lien Term Loan, 5.25%, 11/19/19

     1,931        1,905   

FleetPride Inc. 2nd Lien Term Loan, 9.25%, 05/18/20

     2,000        1,902   

Gardner Denver Inc. Dollar Term Loan, 4.25%, 07/31/20

     6,983        6,982   

Generac Power Systems Inc. New Term Loan, 3.50%, 05/12/20

     5,094        5,092   

Genesys Term Loan, 6.75%, 01/25/19

     794        788   

Hamilton Sundstrand Corp. Term Loan, 4.00%, 12/13/19

     7,818        7,826   

Harbor Freight Tools USA Inc. New Term Loan, 3.75%, 07/26/19

     990        1,001   

Hertz Corp. New Term Loan, 3.00%, 03/11/18

     2,339        2,335   

Huntington Ingalls Industries Inc. Term Loan A, 2.75%, 03/11/16

     419        419   

International Lease Finance Co. New Term Loan, 3.50%, 06/30/17

     3,167        3,171   

KAR Auction Services Inc. Incremental Term Loan, 3.75%, 05/12/17

     1,911        1,918   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Kenan Advantage Group Inc. Term Loan, 3.75%, 06/11/16

     701        701   

Landmark Aviation 1st Lien Term Loan, 5.00%, 10/25/19

     1,869        1,879   

Landmark Aviation Term Loan, 5.00%, 10/25/19

     126        127   

Nortek Inc. Incremental Term Loan, 5.25%, 04/26/17

     399        399   

Protection One Inc. Replacement Term Loan, 4.50%, 03/16/19

     500        500   

Protection One Inc. Term Loan, 5.50%, 03/17/19

     3,198        3,197   

RBS Global Inc. and Rexnord Corp. Term Loan B, 4.00%, 08/23/20

     11,541        11,565   

Schaeffler AG Term Loan C, 4.25%, 02/28/20

     1,340        1,349   

Sedgwick CMS Holdings Inc. 1st Lien Term Loan, 4.25%, 06/08/18

     3,980        4,000   

Sedgwick CMS Holdings Inc. 2nd Lien Term Loan, 8.00%, 12/14/18

     1,250        1,270   

Sensata Technologies BV Additional Term Loan B, 3.25%, 05/12/19

     731        737   

Sensus Metering Systems Inc. 1st Lien Term Loan

    

4.75%, 05/09/17

     1,710        1,712   

5.75%, 05/09/17

     4        4   

Sequa Corp. Term Loan, 5.25%, 06/19/17

     3,272        3,188   

Spotless Holdings Term Loan, 8.75%, 03/22/19

     333        340   

Spotless Holdings Term Loan B, 5.00%, 09/27/18

     2,394        2,425   

Swift Transportation Co. Inc. Term Loan B-2

    

4.00%, 12/21/17

     1,039        1,043   

4.00%, 12/21/17

     178        179   

TNT Crane & Rigging, Inc. 1st Lien Term Loan, 5.50%, 11/27/20

     3,000        2,970   

Tomkins Air Distribution Term Loan, 3.25%, 11/09/18

     1,931        1,940   

TransDigm Inc. Term Loan C, 3.75%, 02/28/20

     9,110        9,127   

TransUnion LLC Incremental Term Loan, 4.25%, 02/10/19

     1,000        1,005   

TransUnion LLC Replacement Term Loan, 4.25%, 02/10/19

     3,820        3,838   

TriNet HR Corp. Term Loan B-2, 5.00%, 08/14/20

     2,993        3,015   

UCI International Inc. Term Loan, 5.50%, 03/23/17

     1,940        1,942   

Unifrax I LLC New Term Loan, 4.19%, 11/28/18

     987        987   

United Air Lines Inc. Term Loan, 4.00%, 04/01/19

     3,980        4,000   

US Airways Inc. Term Loan B-1, 4.25%, 05/22/19

     2,000        2,012   

WireCo WorldGroup Inc. Term Loan, 6.00%, 02/15/17

     1,086        1,093   

WTG Holdings III Corp. 1st Lien Term Loan, 3.75%, 01/10/21

     1,000        1,003   

WTG Holdings III Corp. 2nd Lien Term Loan, 7.50%, 01/10/22

     500        500   
   

 

 

  
      194,210   

INFORMATION TECHNOLOGY - 10.2%

  

Activision Blizzard Inc. Term Loan B, 2.50%, 09/08/20

     1,995        2,006   

Aeroflex Inc. New Term Loan B, 4.50%, 11/14/19

     2,538        2,557   

Alcatel-Lucent USA Inc. 1st Lien Term Loan, 7.25%, 01/30/19

     2,970        2,980   

Ancestry.com Inc. Term Loan B, 7.00%, 03/28/18

     4,139        4,148   

Arris Group Inc. Term Loan, 3.25%, 02/13/20

     4,205        4,187   
     Shares/Par (p)     Value  

Attachmate Corp. 1st Lien Term Loan, 7.25%, 11/15/17

     3,865        3,934   

BMC Software Finance Inc. Term Loan, 5.00%, 08/15/20

     11,300        11,353   

CCC Information Services Inc. New Term Loan, 4.00%, 12/20/19

     993        993   

CCC Information Services Inc. Term Loan

    

5.25%, 12/20/19

     931        931   

5.25%, 12/20/19

     34        34   

CDW LLC Incremental Term Loan, 3.50%, 04/24/20

     1,000        996   

CDW LLC Term Loan, 3.50%, 04/24/20

     8,940        8,903   

CommScope Inc. Term Loan

    

2.67%, 01/27/17

     875        876   

3.25%, 01/26/18

     1,312        1,314   

Compucom Systems Inc. Term Loan B, 4.25%, 05/07/20

     2,990        2,983   

Dell Inc. Term Loan B, 4.50%, 09/25/20

     10,000        10,018   

DG FastChannel Inc. Term Loan B, 5.75%, 07/31/18

     2,534        2,544   

Epicor Software Corp. Term Loan B, 5.00%, 05/15/18

     2,405        2,414   

First Data Corp. New Dollar Term Loan, 4.19%, 04/30/17

     3,121        3,124   

First Data Corp. New Term Loan B, 4.19%, 09/24/18

     1,000        1,001   

First Data Corp. Term Loan, 4.21%, 03/24/18

     7,697        7,702   

First Data Corp. Term Loan B-3, 5.20%, 03/24/17

     7        7   

Freescale Semiconductor Inc. Extended Term Loan B, 5.00%, 02/12/20

     5,957        6,014   

Freescale Semiconductor Inc. Term Loan B-5, 5.00%, 01/15/21

     2,993        3,023   

Genpact International Inc. Term Loan

    

4.25%, 08/17/19

     1,556        1,558   

4.25%, 08/17/19

     925        926   

Go Daddy Group Inc. Term Loan, 4.25%, 10/05/18

     2,492        2,493   

Go Daddy Group Inc. Term Loan B-1, 7.00%, 10/05/18

     983        983   

IMS Health Inc. Term Loan B

    

3.75%, 09/01/17

     3,146        3,154   

3.75%, 09/01/17

     3,629        3,639   

3.75%, 09/01/17

     965        967   

Infor Inc. Term Loan, 3.75%, 05/23/20

     493        492   

Infor Inc. Term Loan B-2, 5.25%, 04/05/18

     4,190        4,200   

Ion Trading Technologies S.A.R.L. 1st Lien Term Loan, 4.50%, 05/21/20

     1,990        2,002   

iPayment Inc. Term Loan B, 5.75%, 05/08/17

     15        15   

Kronos Inc. 1st Lien Term Loan, 5.50%, 10/25/19

     2,580        2,602   

Kronos Inc. Extended Term Loan, 4.50%, 10/30/19

     669        674   

Microsemi Corp. New Term Loan, 4.00%, 02/17/18

     3,105        3,113   

Microsemi Corp. Term Loan B-2, 3.50%, 02/19/20

     1,000        1,004   

Misys Plc Term Loan, 7.25%, 12/01/18

     2,622        2,638   

MoneyGram International Inc. Term Loan, 4.25%, 03/26/20

     3,970        4,004   

NXP Funding LLC Term Loan D, 3.25%, 01/10/20

     4,000        4,005   

Open Text Corp. Term Loan, 2.50%, 12/18/20

     2,500        2,500   

Rovi Corp. Term Loan, 3.50%, 03/29/19

     1,793        1,763   

Skillsoft Corp. New Term Loan, 5.00%, 05/26/17

     1,581        1,591   

SS&C Technologies Inc. Term Loan B-1, 3.50%, 06/10/19

     1,058        1,059   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

SS&C Technologies Inc. Term Loan B-2, 3.50%, 06/10/19

     109        110   

SunGard Data Systems Inc. Term Loan D, 4.50%, 12/17/19

     495        497   

SunGard Data Systems Inc. Term Loan E, 4.00%, 03/08/20

     3,938        3,963   

SurveyMonkey.com LLC Term Loan, 5.50%, 02/07/19

     2,978        3,000   

Syniverse Holdings Inc. Term Loan B, 4.00%, 04/23/19

     1,939        1,946   

Transaction Network Services Inc. Initial Term Loan, 5.00%, 02/14/20

     3,778        3,796   

Transfirst Holdings Inc. 1st Lien Term Loan B, 6.25%, 12/27/17

     645        645   

Verifone Systems Inc. Term Loan A, 2.69%, 12/08/16

     1,945        1,931   

Verint Systems Inc. New Term Loan, 4.00%, 06/14/19

     2,382        2,392   

Websense Inc. 1st Lien Term Loan, 4.50%, 06/25/20

     1,493        1,492   

Websense Inc. 2nd Lien Term Loan, 8.25%, 12/25/20

     1,500        1,496   

West Corp. Term Loan B-8

    

3.75%, 06/30/18

     3,158        3,170   

3.75%, 06/30/18

     1,010        1,014   

WorldPay Ltd. Term Loan

    

4.75%, 04/26/19

     2,000        2,011   

4.50%, 11/17/19

     500        503   
   

 

 

  
      157,390   

MATERIALS - 7.1%

    

AI Chem & Cy US AcquisCo Inc. 1st Lien Term Loan

    

4.50%, 06/28/19

     2,644        2,666   

4.50%, 06/28/19

     341        344   

AI Chem & Cy US AcquisCo Inc. 2nd Lien Term Loan, 8.25%, 03/28/20

     250        256   

Ardagh Group Term Loan, 4.25%, 12/15/19

     3,100        3,115   

Ascend Performance Materials LLC Term Loan B, 6.75%, 04/10/18

     1,474        1,409   

AZ Chem U.S. Inc. Term Loan, 7.25%, 12/19/17

     1,000        1,004   

Berry Plastics Corp. Term Loan D, 3.50%, 02/08/20

     5        5   

BWAY Holding Co. Term Loan, 4.50%, 08/31/17

     3,861        3,880   

Chemtura Corp. Term Loan B, 3.50%, 08/29/16

     189        190   

Consolidated Container Co. LLC Term Loan B, 5.00%, 07/03/19

     1,975        1,985   

CPG International Inc. Term Loan

    

5.00%, 09/30/20

     8        8   

5.00%, 09/30/20

     2,985        2,992   

Exopack Holdings SA Term Loan, 5.25%, 04/24/19

     770        782   

Fairmount Minerals Ltd. Term Loan B-2, 5.00%, 09/03/19

     4,988        5,064   

FMG Resources Pty Ltd. New Term Loan B, 4.25%, 06/30/19

     11,908        12,053   

General Chemical Holding New Term Loan B

    

5.00%, 10/06/15

     1,425        1,425   

5.00%, 10/06/15

     4        4   

Houghton International Inc. 1st Lien Term Loan, 5.25%, 12/13/19

     2,277        2,277   

Houghton International Inc. 2nd Lien Term Loan, 9.50%, 12/20/20

     1,000        1,008   

Huntsman International Additional Term Loan, 3.00%, 01/31/21

     7,000        7,000   
     Shares/Par (p)     Value  

INEOS US Finance LLC Term Loan B, 4.00%, 05/04/18

     11,398        11,426   

JMC Steel Group Inc. Term Loan, 4.75%, 04/01/17

     1,610        1,612   

Kranson Industries Inc. Term Loan, 5.50%, 04/30/18

     1,902        1,902   

NewPage Corp. Term Loan, 8.75%, 11/15/18

     1,980        2,021   

Novelis Inc. Extended Term Loan, 3.75%, 03/10/17

     2,266        2,272   

Omnova Solutions Inc. Extended Term Loan, 4.25%, 05/01/18

     1,940        1,946   

Oxea Finance & Cy SCA Term Loan B, 4.25%, 02/01/20

     3,000        3,015   

PQ Corp. Extended Term Loan

    

4.50%, 08/07/17

     114        114   

4.50%, 08/07/17

     3,153        3,172   

Quikrete Holdings Inc. 1st Lien Term Loan, 4.00%, 09/30/20

     6,000        6,021   

Quikrete Holdings Inc. 2nd Lien Term Loan, 7.00%, 03/30/21

     500        511   

Royal Adhesives & Sealants LLC 1st Lien Term Loan, 5.50%, 07/30/18

     1,984        1,999   

Sealed Air Corp. Term Loan B-1, 3.00%, 11/15/18

     280        280   

Tamino Global Chemical Corp. Term Loan B-2, 4.25%, 02/15/19

     1,576        1,581   

Tank Holdings Corp. Term Loan, 4.25%, 07/06/19

     1,476        1,471   

TMS International Corp. Term Loan B, 4.50%, 10/17/20

     2,000        2,014   

Tronox Inc. Term Loan, 4.50%, 03/22/20

     4,035        4,085   

Univar Inc. Term Loan B

    

5.00%, 06/30/17

     333        330   

5.00%, 06/30/17

     —        —   

5.00%, 06/30/17

     7,497        7,429   

5.00%, 06/30/17

     1,881        1,863   

Walter Energy Inc. Term Loan B

    

4.00%, 03/04/18

     479        469   

4.00%, 03/04/18

     686        672   

4.00%, 03/04/18

     409        401   

4.00%, 03/04/18

     815        798   

4.00%, 04/01/18

     242        237   

Wilsonart LLC Incremental Term Loan, 4.00%, 10/31/19

     1,000        992   

Wilsonart LLC Term Loan

    

4.00%, 10/31/19

     1,975        1,959   

4.00%, 10/31/19

     1,990        1,974   
   

 

 

  
      110,033   

TELECOMMUNICATION SERVICES - 5.2%

  

Avaya Inc. Term Loan B-3, 6.95%, 10/26/17

     1,491        1,457   

Avaya Inc. Term Loan B-5, 8.00%, 03/31/18

     2,974        3,013   

Consolidated Communications Inc. Term Loan B, 4.25%, 12/20/20

     1,500        1,509   

Crown Castle International Corp. New Term Loan B, 3.25%, 01/31/19

     1,100        1,102   

Crown Castle Operating Corp. New Term Loan B, 3.25%, 01/31/19

     4,930        4,935   

Genesys Telecom Holdings US Inc. Term Loan B, 4.50%, 11/04/20

     333        334   

Global Tel*Link Corp. 1st Lien Term Loan, 5.00%, 05/20/20

     2,719        2,649   

Global Tel*Link Corp. 2nd Lien Term Loan, 9.00%, 11/20/20

     1,000        948   

Hargray Communications Group Inc. 1st Lien Term Loan B, 4.75%, 06/24/19

     2,985        3,000   

Intelsat Jackson Holdings SA Term
Loan B-2, 3.75%, 06/30/19

     9,628        9,693   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

IPC Information Systems LLC 1st Lien Term Loan, 2.49%, 07/31/17

     1,908        1,913   

IPC Information Systems LLC Term Loan C, 7.75%, 07/31/17

     988        981   

Level 3 Communications Inc. Term Loan, 4.00%, 01/14/20

     10,000        10,069   

Level 3 Communications Inc. Term Loan
B-3, 4.00%, 08/01/19

     500        502   

Mediacom Broadband LLC Term Loan G, 4.00%, 01/16/20

     2,963        2,961   

NTELOS Inc. Extended Term Loan B, 5.75%, 11/09/19

     1,696        1,698   

Presidio Inc. 1st Lien Term Loan, 5.75%, 03/31/17

     1,629        1,631   

Securus Investment Holdings LLC Term Loan, 4.75%, 04/26/20

     2,993        2,960   

Syniverse Holdings Inc. Term Loan, 5.00%, 04/23/19

     2,400        2,402   

Telesat Canada US Term Loan B, 4.25%, 03/26/19

     7,919        7,935   

Virgin Media Investment Holdings Ltd. Term Loan B-2, 3.50%, 02/22/20

     6,000        6,009   

Windstream Corp. Term Loan B-4, 3.50%, 01/23/20

     2,378        2,380   

Windstream Corp. Term Loan B-5, 4.00%, 08/08/19

     4,694        4,695   

Zayo Group LLC Term Loan B, 4.00%, 07/14/19

     5,985        5,986   
   

 

 

  
      80,762   

UTILITIES - 0.9%

    

AES Corp. Replacement Term Loan, 5.00%, 06/08/18

     1,517        1,526   

Calpine Corp. Term Loan, 4.00%, 03/07/18

     5,937        5,971   

Calpine Corp. Term Loan B-1, 3.00%, 05/03/20

     995        985   

Calpine Corp. Term Loan B-2

    

4.50%, 04/01/18

     1,470        1,478   

3.25%, 01/03/22

     995        984   

Calpine Corp. Term Loan B-3, 4.50%, 10/05/19

     494        497   

NRG Energy Inc. Refinancing Term Loan B, 2.75%, 07/01/18

     2,423        2,415   

SunCoke Energy Inc. Incremental Term Loan B, 4.00%, 07/26/18

     453        452   
   

 

 

  
      14,308   
   

 

 

  

Total Variable Rate Senior Loan Interests
(cost $1,358,729)

   

     1,363,255   
   

 

 

  

SHORT TERM INVESTMENTS - 6.2%

  

  

Investment Company - 6.2%

    

State Street Institutional Liquid Reserves Fund, 0.06% (h)

     95,049        95,049   
   

 

 

  

Total Short Term Investments (cost $95,049)

  

     95,049   
   

 

 

  

Total Investments - 99.8% (cost $1,532,609)

  

     1,539,543   

Other Assets and Liabilities, Net - 0.2%

  

     3,565   
   

 

 

  

Total Net Assets - 100.0%

     $     1,543,108   
   

 

 

  

JNL/PPM America High Yield Bond Fund (t)

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 2.1%

   

  

Ahold Lease Pass-Through Trust, 7.82%, 01/02/20 (k)

   $ 1,135      $ 1,243   

American Airlines Pass-Through Trust, 5.60%, 07/15/20 (r)

     14,292        14,524   
     Shares/Par (p)     Value  

Bear Stearns Commercial Mortgage Securities Trust REMIC

    

5.75%, 09/11/38 (i)

     1,000        1,046   

5.48%, 12/11/40 (i)

     6,314        5,960   

Citigroup Commercial Mortgage Trust REMIC

    

5.71%, 12/10/49 (i)

     1,905        2,099   

5.71%, 12/10/49 (e) (i)

     3,060        2,844   

COBALT CMBS Commercial Mortgage Trust REMIC, 5.29%, 08/15/48

     1,946        1,195   

Continental Airlines Inc. Pass-Through Trust

    

6.25%, 04/11/20

     2,014        2,139   

5.50%, 10/29/20

     2,182        2,231   

Delta Air Lines Inc. Pass-Through Trust

    

6.38%, 01/02/16 (q)

     1,000        1,063   

7.75%, 12/17/19 (e)

     1,097        1,273   

GS Mortgage Securities Trust REMIC, 5.62%, 11/10/39

     3,392        3,322   

Hawaiian Airlines Pass-Through Certificates, 4.95%, 01/15/22

     8,276        7,655   

JPMorgan Chase Commercial Mortgage Securities Corp. REMIC

    

5.04%, 10/15/42 (i)

     1,623        1,655   

5.46%, 01/15/49 (i)

     852        880   

Wachovia Bank Commercial Mortgage Trust REMIC

    

5.38%, 12/15/44 (i)

     886        888   

5.97%, 05/15/46 (i)

     3,337        3,397   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $51,484)

           53,414   
   

 

 

  

CORPORATE BONDS AND NOTES - 83.8%

  

  

CONSUMER DISCRETIONARY - 22.9%

  

  

Allbritton Communications Co., 8.00%, 05/15/18

     2,929        3,097   

AMC Networks Inc., 4.75%, 12/15/22 (e)

     6,000        5,715   

American Axle & Manufacturing Inc., 5.13%, 02/15/19 (e)

     1,913        1,966   

American Greetings Corp., 7.38%, 12/01/21 (e)

     3,934        3,944   

Ascent Capital Group Inc., 4.00%, 07/15/20 (v)

     2,000        2,134   

Aviation Capital Group Corp., 6.75%,
04/06/21 (e) (r)

     6,462        7,019   

BC Mountain LLC, 7.00%,
02/01/21 (e) (r)

     8,779        8,867   

Beazer Homes USA Inc., 7.50%, 09/15/21 (r)

     18,382        19,025   

Borgata Term Loan B, 6.75%, 08/15/18 (i)

     10,417        10,450   

Boyd Gaming Corp., 9.00%,
07/01/20 (e)

     5,273        5,774   

Caesars Entertainment Operating Co. Inc.

    

10.75%, 02/01/16 (e)

     1,000        805   

10.00%, 12/15/18

     2,000        960   

9.00%, 02/15/20

     14,000        13,615   

Carmike Cinemas Inc., 7.38%, 05/15/19

     1,238        1,349   

CCO Holdings LLC

    

5.25%, 09/30/22 (e)

     3,000        2,801   

5.13%, 02/15/23

     6,000        5,565   

Chassix Inc., 9.25%, 08/01/18 (r)

     5,000        5,325   

Chinos Intermediate Holdings A Inc., 7.75%, 05/01/19 (e) (r) (y)

     7,747        7,921   

Churchill Downs Inc., 5.38%, 12/15/21 (r)

     5,730        5,830   

Cinemark USA Inc. Term Loan, 5.13%,
12/15/22 (e) (i)

     2,966        2,870   

Citycenter Holdings LLC Term Loan B, 5.00%, 10/09/20 (i)

     6,818        6,912   

Clear Channel Communications Inc. Term Loan, 6.95%, 01/30/19 (i)

     6,000        5,722   

Codere Finance Luxembourg SA, 9.25%, 02/15/19 (e) (r)

     14,782        8,204   

Delphi Corp.

    

6.13%, 05/15/21 (e)

     9,098        10,087   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.00%, 02/15/23

     3,756        3,864   

DISH DBS Corp.

    

5.13%, 05/01/20

     9,497        9,521   

5.88%, 07/15/22

     3,909        3,909   

5.00%, 03/15/23

     8,075        7,530   

Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 07/01/19 (r)

     5,000        5,050   

DreamWorks Animation SKG Inc., 6.88%, 08/15/20 (r)

     8,036        8,498   

Ferrellgas LP, 6.75%, 01/15/22 (r)

     4,364        4,429   

Ford Motor Co., 7.45%, 07/16/31 (e)

     3,000        3,665   

Four Seasons Hotels Limited 1st Lien Term Loan, 3.25%, 06/27/20 (i)

     930        932   

Four Seasons Hotels Limited 2nd Lien Term Loan, 5.25%, 12/27/20 (i)

     1,935        1,979   

Garda World Security Corp. Term Loan B, 4.00%, 11/05/20 (i)

     1,991        1,993   

General Motors Co.

    

3.50%, 10/02/18 (r)

     5,000        5,113   

4.88%, 10/02/23 (e) (r)

     5,000        5,063   

6.25%, 10/02/43 (r)

     4,427        4,599   

Gibson Brands Inc., 8.88%, 08/01/18 (r)

     990        1,044   

GLP Capital LP

    

4.38%, 11/01/18 (e) (r)

     2,765        2,827   

4.88%, 11/01/20 (e) (r)

     3,108        3,108   

5.38%, 11/01/23 (r)

     2,424        2,382   

Graton Economic Development Authority, 9.63%, 09/01/19 (e) (r)

     5,306        6,155   

Gymboree Corp., 9.13%, 12/01/18 (e)

     3,000        2,764   

Hanesbrands Inc., 6.38%, 12/15/20 (e)

     1,100        1,202   

Hilton Worldwide Finance LLC, 5.63%, 10/15/21 (e) (r)

     7,000        7,262   

Jaguar Land Rover Automotive Plc, 4.13%, 12/15/18 (r)

     6,000        6,037   

Jarden Corp., 6.13%, 11/15/22 (e)

     857        917   

JC Penney Corp. Inc. Term Loan, 6.00%, 05/22/18 (i)

     3,413        3,334   

Jo-Ann Stores Holdings Inc., 9.75%,
10/15/19 (r) (y)

     6,316        6,608   

KB Home

    

7.00%, 12/15/21 (e)

     10,943        11,408   

7.50%, 09/15/22

     4,421        4,653   

L Brands Inc., 5.63%, 10/15/23

     7,000        7,105   

Levi Strauss & Co.

    

7.63%, 05/15/20

     1,812        1,989   

6.88%, 05/01/22

     1,053        1,158   

Limited Brands Inc., 6.63%, 04/01/21

     5,000        5,488   

LIN Television Corp., 6.38%, 01/15/21

     6,316        6,569   

LKQ Corp, 4.75%, 05/15/23 (r)

     1,468        1,365   

Marina District Finance Co. Inc., 9.88%, 08/15/18

     8,000        8,660   

Meritage Homes Corp., 7.15%, 04/15/20 (r)

     2,333        2,520   

MGM Resorts International

    

11.38%, 03/01/18

     2,000        2,540   

8.63%, 02/01/19 (e)

     5,000        5,862   

6.75%, 10/01/20 (e)

     4,821        5,158   

6.63%, 12/15/21 (e)

     3,342        3,534   

Michaels FinCo Holdings LLC, 7.50%, 08/01/18 (e) (r) (y)

     4,444        4,622   

Michaels Stores Inc., 5.88%, 12/15/20 (e) (r)

     2,235        2,246   

Mohegan Tribal Gaming Authority Term Loan B, 5.50%, 11/05/19 (i)

     7,650        7,760   

MTR Gaming Group Inc., 11.50%,
08/01/19 (e) (y)

     6,060        6,734   

NAI Entertainment Holdings, 5.00%,
08/01/18 (e) (r)

     1,138        1,175   
     Shares/Par (p)     Value  

Nara Cable Funding Ltd., 8.88%,
12/01/18 (e) (r)

     180        194   

NBCUniversal Enterprise Inc., 5.25%, (callable at 100 beginning
03/19/21) (m) (r)

     7,626        7,550   

Neiman Marcus Group Ltd. Inc., 8.75%, 10/15/21 (e) (r) (y)

     15,544        16,282   

New Cotai LLC, 10.63%, 05/01/19 (r) (y)

     7,397        7,582   

Ono Finance II Plc, 10.88%, 07/15/19 (r)

     5,172        5,663   

Palace Entertainment Holdings LLC, 8.88%, 04/15/17 (r)

     4,667        4,667   

Party City Holdings Inc. Extended Term Loan, 4.25%, 07/25/19 (i)

     1,931        1,937   

PC Nextco Holdings LLC, 8.75%,
08/15/19 (r) (y)

     7,438        7,633   

Petco Holdings Inc., 8.50%, 10/15/17 (r) (y)

     9,000        9,180   

Phillips-Van Heusen Corp., 7.38%, 05/15/20

     320        352   

PNK Finance Corp., 6.38%, 08/01/21 (r)

     5,019        5,132   

PVH Corp., 4.50%, 12/15/22 (e)

     10,508        9,956   

Radio Systems Corp., 8.38%, 11/01/19 (e) (r)

     900        988   

Regal Entertainment Group

    

9.13%, 08/15/18

     1,868        2,027   

5.75%, 02/01/25

     1,735        1,635   

Rent-A-Center Inc., 4.75%, 05/01/21

     2,601        2,442   

Royal Caribbean Cruises Ltd.

    

7.25%, 06/15/16 (e)

     3,500        3,929   

5.25%, 11/15/22

     1,438        1,438   

RSI Home Products Inc., 6.88%, 03/01/18 (r)

     8,194        8,583   

Sally Holdings LLC, 5.50%, 11/01/23 (e)

     6,085        6,039   

Schaeffler Holding Finance BV, 6.88%, 08/15/18 (e) (r) (y)

     4,865        5,157   

Scientific Games International Inc., 9.25%, 06/15/19 (e)

     2,167        2,324   

Seminole Hard Rock Entertainment Inc., 5.88%, 05/15/21 (r)

     2,135        2,098   

Seminole Indian Tribe of Florida, 6.54%, 10/01/20 (r)

     2,000        2,190   

ServiceMaster Co., 8.00%, 02/15/20

     4,125        4,208   

Shingle Springs Tribal Gaming Authority, 9.75%, 09/01/21 (r)

     12,000        12,960   

Shingle Springs Tribal Gaming Authority Term Loan, 6.25%, 06/11/16 (i)

     3,176        3,188   

Sirius XM Radio Inc., 5.88%, 10/01/20 (e) (r)

     5,000        5,100   

SIWF Merger Sub Inc., 6.25%,
06/01/21 (e) (r)

     2,353        2,374   

Starz LLC, 5.00%, 09/15/19 (e)

     5,000        5,113   

Studio City Finance Ltd., 8.50%,
12/01/20 (e) (r)

     10,000        11,075   

Tempur Sealy International Inc., 6.88%, 12/15/20 (e)

     948        1,033   

Tenneco Inc.

    

7.75%, 08/15/18

     508        544   

6.88%, 12/15/20 (e)

     6,565        7,172   

Toll Brothers Finance Corp., 4.00%, 12/31/18

     3,332        3,390   

Toys R Us Inc., 10.38%, 08/15/17 (e)

     8,286        7,105   

TRW Automotive Inc.

    

7.00%, 03/15/14 (r)

     1,500        1,515   

4.50%, 03/01/21 (r)

     3,989        4,029   

4.45%, 12/01/23 (r)

     3,576        3,469   

Unitymedia Hessen GmbH & Co. KG

    

7.50%, 03/15/19 (r)

     10,000        10,875   

5.50%, 01/15/23 (r)

     4,000        3,880   

Univision Communications Inc., 5.13%, 05/15/23 (e) (r)

     8,930        8,919   

Visant Corp., 10.00%, 10/01/17 (e)

     4,000        3,880   

WideOpenWest Finance LLC

    

10.25%, 07/15/19

     7,500        8,325   

13.38%, 10/15/19

     4,000        4,630   

WMG Holdings Corp., 13.75%, 10/01/19

     3,000        3,570   

Wolverine World Wide Inc., 6.13%, 10/15/20

     6,649        7,114   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Wynn Las Vegas LLC, 5.38%,
03/15/22 (e)

     6,000        6,060   

Yonkers Racing Corp. Term Loan

    

4.25%, 07/26/16 (i)

     1,538        1,530   

8.75%, 08/13/17 (i)

     500        495   
   

 

 

  
    592,819   

CONSUMER STAPLES - 2.4%

    

Altria Group Inc., 10.20%, 02/06/39 (l)

     322        501   

Armored Autogroup Inc., 9.25%, 11/01/18 (e)

     2,000        1,925   

B&G Foods Inc., 4.63%, 06/01/21

     2,748        2,638   

BI-LO LLC, 8.63%, 09/15/18 (r) (y)

     5,333        5,573   

Chiquita Brands International Inc., 7.88%, 02/01/21 (r)

     1,181        1,278   

Hawk Acquisition Sub Inc., 4.25%, 10/15/20 (r)

     12,036        11,645   

Michael Foods Holding Inc., 8.50%,
07/15/18 (r) (y)

     3,570        3,775   

Pernod-Ricard SA, 5.75%, 04/07/21 (r)

     5,368        5,910   

Prestige Brands Inc., 5.38%, 12/15/21 (r)

     3,878        3,917   

Reynolds Group Issuer Inc., 9.88%, 08/15/19 (e)

     8,130        9,045   

Rite Aid Corp.

    

10.25%, 10/15/19

     1,000        1,120   

9.25%, 03/15/20

     3,154        3,619   

Spectrum Brands Inc, 6.75%, 03/15/20 (e)

     2,239        2,410   

Sun Merger Sub Inc.

    

5.25%, 08/01/18 (e) (r)

     611        640   

5.88%, 08/01/21 (e) (r)

     963        987   

U.S. Foods Inc., 8.50%, 06/30/19

     5,968        6,535   
   

 

 

  
    61,518   

ENERGY - 16.2%

    

Access Midstream Partners LP, 4.88%, 05/15/23

     5,000        4,825   

Alpha Natural Resources Inc.

    

9.75%, 04/15/18 (e)

     10,000        10,600   

6.25%, 06/01/21 (e)

     10,922        9,338   

Alta Mesa Holdings LP, 9.63%, 10/15/18

     2,632        2,816   

Arch Coal Inc.

    

8.00%, 01/15/19 (e) (r)

     3,845        3,835   

9.88%, 06/15/19

     6,857        6,103   

7.25%, 06/15/21 (e)

     9,090        6,954   

Atlas Pipeline Partners LP, 6.63%, 10/01/20

     2,500        2,613   

Atlas Resource Escrow Corp., 9.25%,
08/15/21 (r)

     8,161        8,345   

Caithness Brookhaven LLC, 6.75%, 07/20/26 (f)

     23,570        22,694   

Calumet Specialty Products Partners LP

    

9.63%, 08/01/20 (e)

     1,538        1,726   

7.63%, 01/15/22 (r)

     13,016        13,146   

Chaparral Energy Inc.

    

9.88%, 10/01/20

     3,636        4,109   

8.25%, 09/01/21

     3,000        3,255   

7.63%, 11/15/22 (e)

     4,050        4,333   

Chesapeake Energy Corp.

    

6.13%, 02/15/21 (e)

     3,000        3,217   

5.75%, 03/15/23 (e)

     3,420        3,523   

Chesapeake Midstream Partners LP

    

5.88%, 04/15/21

     2,177        2,319   

6.13%, 07/15/22

     2,780        2,975   

Concho Resources Inc., 5.50%, 04/01/23 (e)

     5,000        5,150   

Continental Resources Inc., 4.50%, 04/15/23

     7,368        7,469   

DCP Midstream LLC, 5.85%, 05/21/43 (i) (r)

     8,401        7,813   

Denbury Resources Inc., 4.63%, 07/15/23 (e)

     5,098        4,601   

El Paso Pipeline Partners Operating Co. LLC, 6.50%, 04/01/20

     7,000        8,030   

Energy XXI Gulf Coast Inc., 7.50%,
12/15/21 (e) (r)

     6,087        6,346   
     Shares/Par (p)     Value  

Enterprise Products Operating LLC

    

8.38%, 08/01/66 (i)

     860        953   

7.03%, 01/15/68 (i)

     3,700        4,088   

EP Energy LLC, 9.38%, 05/01/20

     10,967        12,653   

EPE Holdings LLC, 8.13%, 12/15/17 (r) (y)

     5,666        5,822   

Exterran Partners LP, 6.00%, 04/01/21 (e) (r)

     2,927        2,905   

Gulfmark Offshore Inc., 6.38%, 03/15/22

     8,435        8,498   

Halcon Resources Corp.

    

9.75%, 07/15/20 (e) (r)

     3,662        3,813   

9.75%, 07/15/20 (e)

     4,355        4,540   

Hercules Offshore Inc.

    

8.75%, 07/15/21 (e) (r)

     6,800        7,582   

7.50%, 10/01/21 (r)

     8,076        8,561   

Hornbeck Offshore Services Inc., 5.00%, 03/01/21

     6,000        5,880   

Kinder Morgan Inc.

    

5.00%, 02/15/21 (r)

     1,997        1,965   

5.63%, 11/15/23 (r)

     4,272        4,130   

Legacy Reserves LP, 8.00%, 12/01/20 (r)

     6,167        6,414   

Lone Pine Resources Canada Ltd., 10.38%, 02/15/17 (c) (d)

     3,244        973   

Magnum Hunter Resources Corp., 9.75%, 05/15/20

     4,760        5,141   

MarkWest Energy Partners LP

    

6.25%, 06/15/22

     1,541        1,630   

4.50%, 07/15/23 (e)

     3,000        2,812   

Memorial Production Partners LP

    

7.63%, 05/01/21 (r)

     6,923        7,113   

7.63%, 05/01/21 (e)

     1,964        2,018   

Midstates Petroleum Co. Inc., 9.25%,
06/01/21 (e)

     6,723        7,026   

Murphy Oil USA Inc., 6.00%, 08/15/23 (r)

     1,930        1,940   

Newfield Exploration Co., 5.63%, 07/01/24 (e)

     2,889        2,875   

Offshore Group Investment Ltd., 7.13%, 04/01/23

     6,452        6,581   

Pacific Drilling SA, 5.38%, 06/01/20 (r)

     4,014        4,034   

Parker Drilling Co., 7.50%, 08/01/20 (r)

     3,419        3,590   

Penn Virginia Corp.

    

7.25%, 04/15/19 (e)

     2,306        2,364   

8.50%, 05/01/20

     9,254        9,948   

Penn Virginia Resource Partners LP

    

8.25%, 04/15/18 (e)

     9,500        10,070   

8.38%, 06/01/20

     2,929        3,229   

6.50%, 05/15/21 (r)

     7,022        7,268   

Petrobras Global Finance BV, 3.00%,
01/15/19 (e)

     4,286        4,009   

Petroleum Geo-Services ASA, 7.38%,
12/15/18 (e) (r)

     4,235        4,510   

Petroplus Finance Ltd., 9.38%,
09/15/19 (c) (d) (r)

     2,179        708   

PetroQuest Energy Inc., 10.00%, 09/01/17

     5,000        5,187   

Plains Exploration & Production Co., 6.88%, 02/15/23

     12,000        13,380   

Precision Drilling Corp., 6.63%, 11/15/20 (e)

     3,000        3,202   

Quicksilver Resources Inc., 11.00%,
07/01/21 (r)

     14,000        15,190   

Regency Energy Partners LP, 4.50%, 11/01/23

     4,935        4,491   

Rosetta Resources Inc., 5.88%, 06/01/22

     12,341        12,248   

SandRidge Energy Inc.

    

8.75%, 01/15/20

     1,275        1,374   

8.13%, 10/15/22 (e)

     5,000        5,300   

Seadrill Ltd., 5.63%, 09/15/17 (r)

     11,257        11,651   

SemGroup LP, 7.50%, 06/15/21 (r)

     3,125        3,305   

Stone Energy Corp., 7.50%, 11/15/22

     11,364        11,875   

Tesoro Logistics LP, 6.13%, 10/15/21

     4,000        4,120   

W&T Offshore Inc., 8.50%, 06/15/19

     6,050        6,398   
   

 

 

  
    419,499   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

FINANCIALS 7.4%

  

Abengoa Finance SAU, 8.88%, 11/01/17 (e) (r)

     6,483        6,969   

Allstate Corp., 5.75%, 08/15/53 (e) (i)

     10,808        10,889   

Ally Financial Inc.

    

3.13%, 01/15/16 (e)

     6,667        6,814   

3.50%, 07/18/16

     6,000        6,191   

2.75%, 01/30/17 (e)

     12,000        12,045   

4.75%, 09/10/18

     7,500        7,847   

7.50%, 09/15/20 (e)

     5,000        5,825   

Alphabet Holding Co. Inc., 7.75%,
11/01/17 (r) (y)

     2,943        3,035   

American Tower Corp., 3.40%, 02/15/19

     5,128        5,218   

Asurion LLC Incremental Term Loan, 3.50%, 05/26/17 (i)

     2,265        2,220   

Bank of America Corp., 5.20%, (callable at 100 beginning 06/01/23) (i) (m)

     8,333        7,333   

Barclays Plc, 8.25%, (callable at 100 beginning 12/15/18) (i) (m)

     8,000        8,260   

Citigroup Inc.

    

5.90% (callable at 100 beginning
02/15/23) (i) (m)

     5,000        4,675   

5.95% (callable at 100 beginning
01/30/23) (i) (m)

     4,000        3,701   

Denver Parent Corp., 12.25%, 08/15/18 (r) (y)

     6,600        6,435   

Fifth Third Bancorp, 5.10%, (callable at 100 beginning 06/30/23) (i) (m)

     9,435        8,350   

Ford Motor Credit Co. LLC, 5.00%, 05/15/18

     6,098        6,789   

General Electric Capital Corp., 6.25%, (callable at 100 beginning 12/15/22) (i) (m)

     15,001        15,489   

Genworth Financial Inc., 4.80%, 02/15/24

     8,595        8,476   

International Lease Finance Corp.

    

8.63%, 09/15/15

     2,988        3,317   

8.25%, 12/15/20 (e)

     3,003        3,514   

8.63%, 01/15/22

     3,000        3,541   

Liberty Mutual Group Inc.

    

4.95%, 05/01/22 (r)

     4,000        4,130   

7.80%, 03/15/37 (i) (r)

     2,300        2,472   

Milestone Aviation Group LLC, 8.63%,
12/15/17 (q)

     6,000        6,390   

MPH Intermediate Holding Co. 2, 8.38%, 08/01/18 (r) (y)

     2,789        2,901   

National Rural Utilities Cooperative Finance Corp., 4.75%, 04/30/43 (i)

     10,165        9,466   

Opal Acquisition Inc., 8.88%, 12/15/21 (r)

     6,000        5,970   

PNC Financial Services Group Inc., 4.85%, (callable at 100 beginning 06/01/23) (i) (m)

     2,907        2,603   

Toys R Us Property Co. I LLC Term Loan, 6.00%, 08/02/16 (i)

     6,538        6,283   

Washington Mutual Bank, 0.00%,
06/15/11 (c) (d) (f)

     1,500        3   

WEA Finance LLC, 6.75%, 09/02/19 (r)

     2,694        3,201   
   

 

 

  
      190,352   

HEALTH CARE - 6.0%

    

Biomet Inc., 6.50%, 08/01/20 (e)

     4,511        4,736   

Capsugel SA, 7.00%, 05/15/19 (r) (y)

     3,717        3,787   

CFR International SpA, 5.13%, 12/06/22 (r)

     2,462        2,258   

Community Health Systems Inc., 8.00%, 11/15/19

     7,294        7,914   

DJO Finance LLC

    

7.75%, 04/15/18 (e)

     3,921        3,990   

9.88%, 04/15/18 (e)

     1,600        1,720   

Endo Finance Co., 5.75%, 01/15/22 (e) (r)

     4,947        4,972   

Endo Pharmaceuticals Holdings Inc. Term Loan B, 4.00%, 12/11/20 (i)

     2,034        2,038   

Envision Acquisition Co. 2nd Lien Term Loan, 8.75%, 11/19/17 (i)

     3,310        3,343   
     Shares/Par (p)     Value  

Forest Laboratories Inc., 5.00%, 12/15/21 (r)

     8,050        8,080   

Fresenius Medical Care US Finance Inc.

    

6.50%, 09/15/18 (r)

     2,300        2,599   

5.75%, 02/15/21 (e) (r)

     3,667        3,887   

HCA Holdings Inc., 6.25%, 02/15/21 (e)

     2,678        2,802   

HCA Inc.

    

5.75%, 03/15/14

     3,561        3,593   

6.50%, 02/15/16 (e)

     4,000        4,375   

6.50%, 02/15/20

     6,571        7,220   

7.50%, 02/15/22

     3,000        3,292   

5.88%, 05/01/23 (e)

     6,000        5,925   

HealthSouth Corp., 5.75%, 11/01/24 (e)

     5,143        5,079   

IASIS Healthcare LLC, 8.38%, 05/15/19 (e)

     6,800        7,208   

Immucor Inc., 11.13%, 08/15/19

     2,400        2,700   

Omnicare Inc., 7.75%, 06/01/20 (e)

     2,032        2,250   

Phibro Animal Health Corp., 9.25%, 07/01/18 (r)

     2,260        2,407   

Physio-Control International Inc., 9.88%, 01/15/19 (r)

     3,420        3,830   

Pinnacle Merger Sub Inc., 9.50%, 10/01/23 (r)

     10,295        10,964   

Radnet Management Inc., 10.38%, 04/01/18 (e)

     5,000        4,987   

Res-Care Inc., 10.75%, 01/15/19

     3,555        3,982   

Tenet Healthcare Corp.

    

6.00%, 10/01/20 (e) (r)

     2,281        2,381   

8.13%, 04/01/22

     7,855        8,464   

Thermo Fisher Scientific Inc.

    

4.15%, 02/01/24

     1,875        1,854   

5.30%, 02/01/44

     1,359        1,369   

Valeant Pharmaceuticals International Inc.

    

6.75%, 08/15/18 (r)

     3,733        4,102   

7.50%, 07/15/21 (r)

     12,586        13,813   

5.63%, 12/01/21 (r)

     4,183        4,204   
   

 

 

  
      156,125   

INDUSTRIALS - 8.9%

    

Abengoa Finance SAU, 7.75%, 02/01/20 (e) (r)

     6,434        6,627   

ADS Waste Holdings Inc., 8.25%, 10/01/20

     5,263        5,710   

Ahern Rentals Inc, 9.50%, 06/15/18 (e) (r)

     5,392        5,837   

Aircastle Ltd.

    

9.75%, 08/01/18

     6,000        6,555   

4.63%, 12/15/18

     5,451        5,492   

6.25%, 12/01/19 (e)

     6,155        6,593   

Algeco Scotsman Global Finance Plc, 10.75%, 10/15/19 (e) (r)

     16,000        16,880   

Algeco Scotsman Global Finance Plc Term Loan, 15.75%, 05/10/18 (i) (y)

     7,648        7,896   

Alliant Techsystems Inc., 5.25%, 10/01/21 (r)

     8,069        8,089   

BC Luxco 1 SA, 7.38%, 01/29/20 (r)

     3,818        3,532   

Bombardier Inc.

    

4.25%, 01/15/16 (e) (r)

     3,000        3,135   

7.50%, 03/15/18 (e) (r)

     2,730        3,105   

6.13%, 01/15/23 (r)

     7,604        7,547   

Cleaver-Brooks Inc., 8.75%, 12/15/19 (r)

     2,619        2,842   

CTP Transportation Products LLC, 8.25%, 12/15/19 (r)

     3,925        4,092   

Dematic SA, 7.75%, 12/15/20 (r)

     2,500        2,656   

Ducommun Inc., 9.75%, 07/15/18

     5,081        5,653   

Dynacast International LLC, 9.25%, 07/15/19

     4,000        4,410   

EnergySolutions Inc., 10.75%, 08/15/18

     8,988        9,595   

Florida East Coast Railway Corp., 10.50%, 08/01/17 (y)

     3,303        3,402   

HDTFS Inc., 6.25%, 10/15/22 (e)

     4,327        4,468   

International Lease Finance Corp., 4.63%, 04/15/21

     9,897        9,452   

Jack Cooper Finance Co., 9.25%, 06/01/20 (r)

     2,866        3,088   

MasTec Inc., 4.88%, 03/15/23

     5,966        5,638   

Meritor Inc., 6.75%, 06/15/21 (e)

     12,718        12,972   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Monitronics International Inc., 9.13%,
04/01/20 (e)

     10,195        10,807   

Mustang Merger Corp., 8.50%, 08/15/21 (r)

     5,760        6,221   

Owens Corning, 9.00%, 06/15/19

     233        287   

ServiceMaster Co., 7.00%, 08/15/20

     6,317        6,262   

Spirit Aerosystems Inc., 7.50%, 10/01/17

     485        504   

Spotless Holdings Term Loan, 8.75%,
01/15/22 (i)

     1,000        1,020   

Spotless Holdings Term Loan B, 5.00%, 05/15/28 (i)

     2,873        2,910   

TransUnion Holding Co. Inc., 9.63%,
06/15/18 (y)

     2,838        3,051   

Trinseo Materials Operating SCA, 8.75%, 02/01/19 (e) (r)

     6,000        6,195   

United Continental Holdings Inc.

    

8.00%, 07/15/24 (e)

     3,000        3,009   

6.00%, 07/15/26

     9,222        7,931   

6.00%, 07/15/28

     9,952        8,384   

US Airways Group Inc., 6.13%, 06/01/18 (e)

     3,000        3,022   

Watco Cos. LLC, 6.38%, 04/01/23 (r)

     2,022        2,002   

Welltec A/S, 8.00%, 02/01/19 (r)

     7,429        7,875   

WESCO Distribution Inc., 5.38%, 12/15/21 (r)

     5,000        5,000   
   

 

 

  
    229,746   

INFORMATION TECHNOLOGY - 3.8%

  

Ancestry.com Inc.

    

9.63%, 10/15/18 (q) (y)

     7,456        7,717   

11.00%, 12/15/20

     7,000        8,120   

BMC Software Finance Inc., 8.13%, 07/15/21 (r)

     4,000        4,120   

Equinix Inc., 7.00%, 07/15/21 (e)

     5,250        5,736   

First Data Corp.

    

11.25%, 03/31/16

     2,511        2,517   

10.63%, 06/15/21 (r)

     2,546        2,759   

11.75%, 08/15/21 (r)

     1,906        2,011   

11.75%, 08/15/21 (r)

     21,462        22,642   

Freescale Semiconductor Inc., 6.00%,
01/15/22 (e) (r)

     6,000        6,075   

Interface Security Systems Holdings Inc., 9.25%, 01/15/18 (r)

     6,833        7,072   

NXP BV

    

5.75%, 02/15/21 (r)

     1,625        1,698   

5.75%, 03/15/23 (r)

     1,932        1,966   

Seagate HDD Cayman, 4.75%, 06/01/23 (r)

     4,000        3,740   

Sensata Technologies BV, 6.50%, 05/15/19 (r)

     1,879        2,015   

ViaSat Inc., 6.88%, 06/15/20

     19,319        20,430   
   

 

 

  
    98,618   

MATERIALS - 7.9%

    

American Rock Salt Co. LLC, 8.25%,
05/01/18 (r)

     2,000        2,015   

Aperam, 7.38%, 04/01/16 (r)

     3,000        3,083   

Appvion Inc., 9.00%, 06/01/20 (q)

     6,000        6,060   

ARD Finance SA, 11.13%, 06/01/18 (e) (r) (y)

     3,529        3,776   

Ashland Inc.

    

4.75%, 08/15/22

     2,129        2,023   

6.88%, 05/15/43

     3,646        3,446   

Ball Corp., 4.00%, 11/15/23 (e)

     7,000        6,265   

Barrick Gold Corp., 4.10%, 05/01/23 (e)

     6,980        6,299   

Boart Longyear Management Pty Ltd., 10.00%, 10/01/18 (r)

     14,312        14,777   

BOE Intermediate Holding Corp., 9.00%, 11/01/17 (r) (y)

     6,759        7,046   

BOE Merger Corp., 9.50%, 11/01/17 (r) (y)

     4,000        4,250   

Cemex Espana Luxembourg, 9.25%,
05/12/20 (r)

     4,821        5,291   

Cemex Finance LLC, 9.38%, 10/12/22 (r)

     3,011        3,395   
     Shares/Par (p)     Value  

Cemex SAB de CV

    

9.50%, 06/15/18 (r)

     1,552        1,762   

6.50%, 12/10/19 (e) (r)

     9,791        10,114   

7.25%, 01/15/21 (r)

     13,228        13,691   

Crown Americas LLC, 6.25%, 02/01/21 (e)

     6,176        6,701   

Ferrexpo Finance Plc, 7.88%, 04/07/16 (r)

     3,000        2,910   

FMG Resources August 2006 Pty Ltd.

    

8.25%, 11/01/19 (e) (r)

     10,859        12,189   

6.88%, 04/01/22 (e) (r)

     6,500        7,085   

Hexion Specialty Chemicals Inc., 9.20%, 03/15/21

     2,165        2,078   

Lafarge SA, 7.13%, 07/15/36 (e)

     2,712        2,827   

LYB International Finance BV, 4.00%, 07/15/23

     1,699        1,674   

Momentive Performance Materials Inc., 9.00%, 01/15/21 (e)

     11,607        10,185   

Norbord Inc., 5.38%, 12/01/20 (r)

     5,294        5,261   

Orion Engineered Carbons Finance & Co. SCA, 9.25%, 08/01/19 (r) (y)

     5,476        5,722   

Owens-Illinois Inc., 7.80%, 05/15/18 (e)

     2,000        2,310   

Rain CII Carbon LLC, 8.25%, 01/15/21 (r)

     8,042        8,203   

Rock-Tenn Co., 3.50%, 03/01/20

     3,354        3,295   

Rockwood Specialties Group Inc., 4.63%, 10/15/20

     5,848        5,972   

Samarco Mineracao SA, 5.75%, 10/24/23 (r)

     4,145        4,104   

Sealed Air Corp.

    

8.13%, 09/15/19 (r)

     1,190        1,336   

8.38%, 09/15/21 (r)

     1,017        1,154   

Tekni-Plex Inc., 9.75%, 06/01/19 (r)

     5,739        6,514   

TPC Group Inc., 8.75%, 12/15/20 (r)

     5,255        5,584   

Verso Paper Holdings LLC, 11.75%, 01/15/19

     2,821        2,990   

Xstrata Finance Canada Ltd.

    

2.05%, 10/23/15 (r)

     7,447        7,542   

4.25%, 10/25/22 (r)

     5,239        4,988   
   

 

 

  
    203,917   

TELECOMMUNICATION SERVICES - 6.6%

  

CenturyLink Inc., 6.75%, 12/01/23

     4,700        4,759   

Cincinnati Bell Inc.

    

8.75%, 03/15/18 (e)

     4,403        4,623   

8.38%, 10/15/20

     8,000        8,660   

Clearwire Communications LLC, 14.75%, 12/01/16 (r)

     1,000        1,363   

Consolidated Communications Finance Co., 10.88%, 06/01/20

     5,538        6,383   

Frontier Communications Corp.

    

8.50%, 04/15/20

     5,718        6,404   

9.25%, 07/01/21

     3,000        3,457   

8.75%, 04/15/22

     1,295        1,437   

7.63%, 04/15/24 (e)

     1,968        1,963   

9.00%, 08/15/31 (e)

     7,429        7,355   

Inmarsat Finance Plc, 7.38%, 12/01/17 (e) (r)

     2,539        2,641   

Intelsat Jackson Holdings SA, 6.63%,
12/15/22 (e) (r) (y)

     15,000        15,450   

Intelsat Luxembourg SA, 7.75%, 06/01/21 (r)

     3,825        4,102   

Lynx II Corp., 6.38%, 04/15/23 (e) (r)

     3,000        3,052   

PAETEC Holding Corp., 9.88%, 12/01/18

     6,710        7,498   

Sprint Capital Corp., 6.88%, 11/15/28

     12,266        11,561   

Sprint Corp., 7.13%, 06/15/24 (r)

     12,000        12,180   

Sprint Nextel Corp.

    

7.00%, 03/01/20 (e) (r)

     2,553        2,847   

11.50%, 11/15/21

     4,000        5,240   

6.00%, 11/15/22 (e)

     6,000        5,850   

T-Mobile USA Inc.

    

6.54%, 04/28/20 (e)

     3,073        3,273   

6.63%, 04/28/21 (e)

     1,927        2,033   

6.13%, 01/15/22

     4,549        4,629   

6.84%, 04/28/23 (e)

     654        679   

6.50%, 01/15/24

     5,000        5,062   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UPC Holding BV, 9.88%, 04/15/18 (r)

     1,573        1,687   

Verizon Communications Inc.

    

5.15%, 09/15/23

     12,500        13,400   

6.55%, 09/15/43

     10,631        12,397   

Wind Acquisition Finance SA

    

7.25%, 02/15/18 (e) (r)

     5,854        6,161   

7.25%, 02/15/18 (r)

     3,146        3,295   
   

 

 

  
    169,441   

UTILITIES - 1.7%

    

AES Corp.

    

9.75%, 04/15/16

     1,355        1,596   

8.00%, 10/15/17 (e)

     2,000        2,350   

8.00%, 06/01/20 (e)

     2,000        2,340   

7.38%, 07/01/21

     3,367        3,796   

4.88%, 05/15/23

     987        923   

CMS Energy Corp., 6.55%, 07/17/17

     1,500        1,718   

Duquesne Light Holdings Inc., 5.90%, 12/01/21 (r)

     5,555        6,096   

Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20

     10,000        10,625   

FirstEnergy Corp., 4.25%, 03/15/23 (l)

     1,005        935   

Ipalco Enterprises Inc., 5.00%, 05/01/18

     1,898        1,988   

Puget Energy Inc.

    

6.00%, 09/01/21

     4,669        5,215   

5.63%, 07/15/22

     5,818        6,319   
   

 

 

  
    43,901   
   

 

 

  

Total Corporate Bonds and Notes (cost $2,105,734)

  

     2,165,936   
   

 

 

  

COMMON STOCKS - 5.3%

    

CONSUMER DISCRETIONARY - 0.9%

  

  

AMC Entertainment Holdings Inc -
Class A (c)

     500        10,275   

DISH Network Corp. - Class A (c)

     170        9,846   

Home Interior Gift Inc. (c) (f)

     429        —   

Sally Beauty Holdings Inc. (c)

     100        3,023   
   

 

 

  
    23,144   

CONSUMER STAPLES - 0.3%

    

B&G Foods Inc.

     220        7,460   

ENERGY - 0.6%

    

BreitBurn Energy Partners LP

     160        3,254   

Kinder Morgan Energy Partners LP

     46        3,681   

Linn Energy LLC

     80        2,463   

MarkWest Energy Partners LP

     80        5,291   

Martin Midstream Partners LP

     16        699   
   

 

 

  
    15,388   

FINANCIALS - 1.3%

    

Hartford Financial Services Group Inc.

     265        9,601   

JPMorgan Chase & Co.

     145        8,480   

Royal Bank of Scotland Group Plc -
ADR (c) (e)

     400        4,532   

Wells Fargo & Co.

     225        10,215   
   

 

 

  
    32,828   

HEALTH CARE - 0.3%

    

DaVita HealthCare Partners Inc. (c)

     80        5,070   

Hologic Inc. (c)

     90        2,011   
   

 

 

  
    7,081   

INDUSTRIALS - 0.7%

    

ADT Corp. (e)

     165        6,678   

Boeing Co.

     15        2,047   

Builders FirstSource Inc. (c)

     570        4,070   

Nielsen Holdings NV

     150        6,883   
   

 

 

  
    19,678   
     Shares/Par (p)     Value  

INFORMATION TECHNOLOGY - 0.1%

  

EchoStar Corp. - Class A (c)

     60        2,983   

New Cotai LLC (c) (f)

     —        688   
   

 

 

  
    3,671   

MATERIALS - 0.5%

    

Freeport-McMoRan Copper & Gold Inc.

     170        6,416   

LyondellBasell Industries NV - Class A

     80        6,422   
   

 

 

  
    12,838   

TELECOMMUNICATION SERVICES - 0.4%

  

Intelsat SA (c)

     260        5,861   

Windstream Holdings Inc. (e)

     440        3,511   
   

 

 

  
    9,372   

UTILITIES - 0.2%

    

Northeast Utilities

     150        6,358   
   

 

 

  

Total Common Stocks (cost $109,740)

  

     137,818   
   

 

 

  

PREFERRED STOCKS - 2.8%

    

ENERGY - 0.4%

    

NuStar Logistics LP, 7.63% (e)

     388        9,883   

FINANCIALS - 2.4%

    

Allstate Corp., 5.10%

     46        1,109   

Ally Financial Inc., 7.00%, (callable at 1,000 beginning 02/10/14) (m) (r)

     1        968   

Federal Home Loan Mortgage Corp., 8.38%, (callable at 25 beginning 12/31/17), Series Z (c) (d) (m)

     50        449   

Federal National Mortgage Association, 8.25%, (callable at 25 beginning 02/12/14), Series T (c) (d) (e) (m)

     40        404   

Federal National Mortgage Association, 8.25%, (callable at 25 beginning 12/31/15), Series S (c) (d) (m)

     19        166   

Goldman Sachs Group Inc., 5.50%, (callable at 25 beginning 05/10/23) (e) (m)

     528        11,769   

PNC Financial Services Group Inc., 6.13%, (callable at 25 beginning 05/01/22), Series P (m)

     310        7,827   

Synovus Financial Corp., 7.88%, (callable at 25 beginning 08/01/18) (e) (m)

     200        5,410   

Wells Fargo & Co., 5.85%, (callable at 25 beginning 09/15/23) (e) (m)

     487        11,479   

Wells Fargo & Co., 6.63%, (callable at 25 beginning 03/15/24) (m)

     867        22,299   
   

 

 

  
    61,880   
   

 

 

  

Total Preferred Stocks (cost $73,762)

  

     71,763   
   

 

 

  

TRUST PREFERREDS - 0.1%

    

FINANCIALS - 0.1%

    

Citigroup Capital XIII, 7.88%, (callable at 25 beginning 10/30/15)

     95        2,589   
   

 

 

  

Total Trust Preferreds (cost $2,430)

  

     2,589   
   

 

 

  

INVESTMENT COMPANIES - 0.6%

    

Eaton Vance Senior Floating-Rate Trust

     150        2,259   

Invesco Senior Income Trust

     407        2,051   

Kayne Anderson MLP Investment Co.

     199        7,937   

PIMCO Floating Rate Strategy Fund

     267        2,653   
   

 

 

  

Total Investment Companies (cost $12,178)

  

     14,900   
   

 

 

  

OTHER EQUITY INTERESTS - 0.8%

  

Dynegy Holdings LLC, 7.75%,
06/01/19 (f) (u)

     3,500        —   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

GenOn Energy Inc., 9.88%, 10/15/20 (e) (u)

     6,813        7,562   

Stone Container Finance Co. of Canada II, 7.38%,
07/15/14 (c) (f) (u)

     1,375        —   

United Rentals North America Inc., 7.63%, 04/15/22 (u)

     6,372        7,081   

United Rentals North America Inc., 6.13%, 06/15/23 (e) (u)

     5,000        5,075   

Wind Acquisition Finance SA, 11.75%, 07/15/17 (e) (r) (u)

     1,113        1,184   
   

 

 

  

Total Other Equity Interests (cost $19,612)

  

     20,902   
   

 

 

  

SHORT TERM INVESTMENTS - 14.7%

  

  

Investment Companies - 2.9%

  

  

JNL Money Market Fund,
0.01% (a) (h)

     76,390        76,390   

Securities Lending Collateral - 11.8%

  

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     305,909        305,909   
   

 

 

  

Total Short Term Investments (cost $382,299)

  

     382,299   
   

 

 

  

Total Investments - 110.2% (cost $2,757,239)

  

     2,849,621   

Other Assets and Liabilities, Net - (10.2%)

 

     (264,796 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,585,335   
   

 

 

  

JNL/T. Rowe Price Established Growth Fund

  

COMMON STOCKS - 98.3%

  

  

CONSUMER DISCRETIONARY - 27.3%

  

  

Amazon.com Inc. (c)

     573      $ 228,546   

AutoZone Inc. (c)

     75        35,941   

Carmax Inc. (c)

     535        25,156   

Carnival Plc

     530        21,932   

Charter Communications Inc. - Class A (c)

     92        12,541   

Chipotle Mexican Grill Inc. - Class A (c)

     98        52,266   

Ctrip.com International Ltd. -
ADR (c)

     365        18,101   

D.R. Horton Inc.

     726        16,213   

Discovery Communications Inc. - Class C (c)

     240        20,126   

Dollar Tree Inc. (c)

     189        10,669   

Harley-Davidson Inc.

     279        19,332   

Home Depot Inc.

     983        80,957   

Las Vegas Sands Corp.

     672        52,969   

Lennar Corp. - Class A

     413        16,326   

Lowe’s Cos. Inc.

     792        39,219   

Lululemon Athletica Inc. (c) (e)

     48        2,822   

Marriott International Inc. - Class A

     272        13,435   

MGM Resorts International (c)

     1,030        24,217   

Netflix Inc. (c)

     117        43,039   

Nike Inc. - Class B

     306        24,064   

Prada SpA (e)

     1,575        14,070   

Priceline.com Inc. (c)

     112        129,975   

Ross Stores Inc.

     269        20,149   

Starbucks Corp.

     977        76,603   

Starwood Hotels & Resorts Worldwide Inc.

     379        30,127   

Tesla Motors Inc. (c) (e)

     113        17,018   

Tractor Supply Co.

     407        31,575   

TripAdvisor Inc. (c)

     243        20,111   

Twenty-First Century Fox Inc. - Class A

     748        26,297   

Under Armour Inc. - Class A (c) (e)

     305        26,626   

Walt Disney Co.

     356        27,206   

Wynn Macau Ltd.

     4,339        19,723   
   

 

 

  
      1,197,351   

CONSUMER STAPLES - 4.1%

  

  

Costco Wholesale Corp.

     242        28,777   

CVS Caremark Corp.

     631        45,175   
     Shares/Par (p)     Value  

Green Mountain Coffee Roasters Inc. (c) (e)

     129        9,727   

Monster Beverage Corp. (c)

     195        13,188   

Nestle SA

     187        13,695   

PepsiCo Inc.

     239        19,848   

Procter & Gamble Co.

     146        11,845   

Whole Foods Market Inc.

     648        37,488   
   

 

 

  
    179,743   

ENERGY - 4.7%

    

Antero Resources Corp. (c)

     50        3,172   

Cabot Oil & Gas Corp. - Class A

     677        26,256   

Concho Resources Inc. (c)

     176        19,051   

EOG Resources Inc.

     117        19,621   

EQT Corp.

     209        18,791   

FMC Technologies Inc. (c)

     311        16,211   

Pioneer Natural Resources Co.

     251        46,165   

Range Resources Corp.

     405        34,137   

Schlumberger Ltd.

     247        22,212   
   

 

 

  
    205,616   

FINANCIALS - 5.5%

    

Affiliated Managers Group Inc. (c)

     76        16,418   

American Express Co.

     511        46,381   

American Tower Corp.

     1,004        80,164   

BlackRock Inc.

     76        23,989   

Franklin Resources Inc.

     265        15,310   

IntercontinentalExchange Group Inc

     73        16,442   

Invesco Ltd.

     604        21,982   

TD Ameritrade Holding Corp.

     624        19,119   
   

 

 

  
            239,805   

HEALTH CARE - 11.5%

    

Alexion Pharmaceuticals Inc. (c)

     191        25,388   

Biogen Idec Inc. (c)

     276        77,183   

Celgene Corp. (c)

     284        47,968   

Gilead Sciences Inc. (c)

     1,607        120,732   

Idexx Laboratories Inc. (c) (e)

     186        19,732   

Incyte Corp. (c)

     292        14,774   

McKesson Corp.

     463        74,760   

Novo-Nordisk A/S

     62        11,405   

Pharmacyclics Inc. (c)

     134        14,153   

Regeneron Pharmaceuticals Inc. (c)

     71        19,487   

Stryker Corp.

     151        11,361   

UnitedHealth Group Inc.

     228        17,161   

Valeant Pharmaceuticals International
Inc. (c)

     331        38,906   

Vertex Pharmaceuticals Inc. (c)

     175        12,968   
   

 

 

  
    505,978   

INDUSTRIALS - 12.2%

    

Boeing Co.

     506        68,996   

Danaher Corp.

     1,259        97,172   

Delta Air Lines Inc.

     545        14,957   

Fastenal Co.

     913        43,353   

Flowserve Corp.

     192        15,104   

JB Hunt Transport Services Inc.

     164        12,708   

Kansas City Southern

     407        50,374   

Precision Castparts Corp.

     350        94,336   

Roper Industries Inc.

     310        42,935   

Union Pacific Corp.

     125        20,916   

United Continental Holdings Inc. (c)

     491        18,561   

United Parcel Service Inc. - Class B

     294        30,915   

Wabtec Corp.

     215        15,968   

WW Grainger Inc.

     39        9,910   
   

 

 

  
    536,205   

INFORMATION TECHNOLOGY - 26.4%

  

  

Akamai Technologies Inc. (c)

     267        12,611   

Alliance Data Systems Corp. (c) (e)

     72        18,905   

Apple Inc.

     223        124,958   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Baidu.com - ADR - Class A (c)

     300        53,293   

Cognizant Technology Solutions Corp. - Class A (c)

     386        38,948   

Concur Technologies Inc. (c) (e)

     119        12,237   

eBay Inc. (c)

     965        52,941   

Facebook Inc. - Class A (c)

     441        24,100   

Fiserv Inc. (c)

     302        17,857   

Google Inc. - Class A (c)

     239        267,738   

Juniper Networks Inc. (c)

     522        11,784   

LinkedIn Corp. (c)

     137        29,662   

MasterCard Inc. - Class A

     159        132,420   

NetSuite Inc. (c)

     123        12,620   

NHN Corp.

     37        25,813   

QUALCOMM Inc.

     745        55,331   

Red Hat Inc. (c)

     327        18,347   

Salesforce.com Inc. (c)

     883        48,722   

ServiceNow Inc. (c) (e)

     375        20,993   

Tencent Holdings Ltd.

     257        16,468   

Twitter Inc (c) (e)

     89        5,639   

Twitter Inc. (c) (f) (q)

     326        19,724   

Visa Inc. - Class A

     549        122,185   

Workday Inc. - Class A (c)

     167        13,871   
   

 

 

  
      1,157,167   

MATERIALS - 3.4%

    

Ecolab Inc.

     430        44,805   

FMC Corp.

     201        15,130   

Martin Marietta Materials Inc.

     131        13,042   

Praxair Inc.

     271        35,199   

Sherwin-Williams Co.

     224        41,067   
   

 

 

  
      149,243   

TELECOMMUNICATION SERVICES - 3.2%

  

  

Crown Castle International Corp. (c)

     1,348        98,961   

SBA Communications Corp. (c)

     207        18,624   

SoftBank Corp.

     244        21,429   
   

 

 

  
      139,014   
   

 

 

  

Total Common Stocks (cost $2, 849,773)

       4,310,122   
   

 

 

  

PREFERRED STOCKS - 0.0%

    

INFORMATION TECHNOLOGY - 0.0%

  

  

LivingSocial, Series F (c) (f) (q) (v)

     154        97   
   

 

 

  

Total Preferred Stocks (cost $1,185)

       97   
   

 

 

  

SHORT TERM INVESTMENTS - 3.2%

  

  

Investment Companies - 1.8%

    

JNL Money Market Fund,
0.01% (a) (h)

     2,001        2,001   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     76,729        76,729   
   

 

 

  
      78,730   

Securities Lending Collateral - 1.4%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     59,770        59,770   
   

 

 

  

Total Short Term Investments (cost $138,500)

       138,500   
   

 

 

  

Total Investments - 101.5% (cost $2,989,458)

  

     4,448,719   

Other Assets and Liabilities, Net - (1.5%)

 

     (66,678 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     4,382,041   
   

 

 

  
     Shares/Par (p)     Value  

JNL/T. Rowe Price Mid-Cap Growth Fund

  

COMMON STOCKS - 94.7%

    

CONSUMER DISCRETIONARY - 16.6%

  

  

Aimia Inc.

     100      $ 1,835   

ARAMARK Holdings Corp. (c)

     267        6,988   

AutoZone Inc. (c)

     55        26,287   

Carmax Inc. (c)

     793        37,287   

Charter Communications Inc. - Class A (c)

     192        26,258   

Chipotle Mexican Grill Inc. - Class A (c)

     27        14,385   

Choice Hotels International Inc. (e)

     287        14,095   

Coach Inc.

     246        13,808   

Discovery Communications Inc. -
Class C (c)

     82        6,877   

Dollar General Corp. (c)

     492        29,677   

Dollar Tree Inc. (c)

     355        20,029   

DSW Inc. - Class A

     434        18,536   

Extended Stay America Inc. (c)

     90        2,363   

Groupon Inc. - Class A (c)

     1,307        15,383   

Harley-Davidson Inc.

     274        18,972   

Harman International Industries Inc.

     199        16,288   

Kohl’s Corp.

     209        11,861   

L Brands Inc.

     165        10,205   

Marriott International Inc. - Class A

     437        21,570   

Netflix Inc. (c)

     41        15,095   

Norwegian Cruise Line Holdings Ltd. (c)

     603        21,388   

O’Reilly Automotive Inc. (c)

     192        24,712   

Panera Bread Co. - Class A (c)

     46        8,128   

Tesla Motors Inc. (c) (e)

     48        7,218   

Tim Hortons Inc.

     256        14,945   

TripAdvisor Inc. (c)

     66        5,467   

WABCO Holdings Inc. (c)

     170        15,880   

zulily Inc. - Class A (c) (e)

     36        1,492   
   

 

 

  
        427,029   

CONSUMER STAPLES - 3.3%

    

Dean Foods Co. (c)

     543        9,334   

Green Mountain Coffee Roasters Inc. (c) (e)

     122        9,221   

Rite Aid Corp. (c)

     1,973        9,983   

Sprouts Farmers Market Inc. (c)

     28        1,076   

The Fresh Market Inc. (c)

     109        4,415   

TreeHouse Foods Inc. (c)

     219        15,094   

WhiteWave Foods Co. - Class A (c)

     861        19,751   

Whole Foods Market Inc.

     275        15,903   
   

 

 

  
    84,777   

ENERGY - 5.7%

    

Antero Resources Corp. (c)

     46        2,918   

Concho Resources Inc. (c)

     136        14,688   

CONSOL Energy Inc.

     410        15,596   

EQT Corp.

     383        34,386   

Pioneer Natural Resources Co.

     87        16,014   

Range Resources Corp.

     356        30,014   

SM Energy Co.

     386        32,081   
   

 

 

  
    145,697   

FINANCIALS - 7.5%

    

CBOE Holdings Inc.

     418        21,719   

Charles Schwab Corp.

     215        5,590   

Fidelity National Financial Inc. - Class A

     1,037        33,651   

HCC Insurance Holdings Inc.

     437        20,163   

IntercontinentalExchange Group Inc

     79        17,769   

Jones Lang LaSalle Inc.

     189        19,352   

MSCI Inc. - Class A (c)

     391        17,094   

Progressive Corp.

     714        19,471   

TD Ameritrade Holding Corp.

     770        23,593   

Willis Group Holdings Plc

     315        14,115   
   

 

 

  
    192,517   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

HEALTH CARE - 17.3%

  

Agilent Technologies Inc.

     463        26,479   

Alexion Pharmaceuticals Inc. (c)

     109        14,504   

Alkermes Plc (c)

     573        23,298   

Alnylam Pharmaceuticals Inc. (c)

     111        7,141   

Bruker Corp. (c)

     821        16,231   

CareFusion Corp. (c)

     684        27,237   

Catamaran Corp. (c)

     31        1,472   

Cooper Cos. Inc.

     153        18,947   

Covance Inc. (c)

     329        28,972   

Cubist Pharmaceuticals Inc. (c)

     94        6,474   

Dentsply International Inc.

     656        31,803   

Envision Healthcare Holdings Inc. (c)

     225        7,992   

Henry Schein Inc. (c)

     219        25,023   

Hospira Inc. (c)

     394        16,264   

Idexx Laboratories Inc. (c)

     232        24,678   

Illumina Inc. (c) (e)

     142        15,708   

Incyte Corp. (c)

     248        12,556   

Laboratory Corp. of America Holdings (c)

     277        25,309   

MEDNAX Inc. (c)

     274        14,626   

Mettler-Toledo International Inc. (c)

     25        6,065   

Pharmacyclics Inc. (c)

     82        8,674   

Puma Biotechnology Inc. (c) (e)

     54        5,591   

Regeneron Pharmaceuticals Inc. (c)

     60        16,514   

Sirona Dental Systems Inc. (c)

     55        3,861   

Teleflex Inc.

     137        12,859   

Universal Health Services Inc. - Class B

     231        18,771   

Valeant Pharmaceuticals International
Inc. (c)

     84        9,862   

Veeva Systems Inc. - Class A (c) (e)

     22        706   

Vertex Pharmaceuticals Inc. (c)

     200        14,860   
   

 

 

  
        442,477   

INDUSTRIALS - 21.4%

    

Acuity Brands Inc.

     149        16,289   

Alaska Air Group Inc. (e)

     158        11,600   

AMETEK Inc.

     546        28,758   

Babcock & Wilcox Co. (e)

     901        30,805   

Colfax Corp. (c)

     287        18,279   

DigitalGlobe Inc. (c)

     536        22,056   

Equifax Inc.

     328        22,662   

Fastenal Co.

     575        27,318   

Hertz Global Holdings Inc. (c)

     824        23,583   

IDEX Corp.

     501        36,999   

IHS Inc. - Class A (c)

     350        41,895   

JB Hunt Transport Services Inc.

     218        16,851   

Kansas City Southern

     164        20,308   

Manpower Inc.

     326        27,990   

Nordson Corp.

     109        8,099   

Pall Corp.

     421        35,932   

Quanta Services Inc. (c)

     955        30,140   

Rexnord Corp. (c)

     326        8,808   

Roper Industries Inc.

     219        30,371   

Sensata Technologies Holding NV (c)

     492        19,075   

Textron Inc.

     1,093        40,179   

Verisk Analytics Inc. - Class A (c)

     314        20,636   

Waste Connections Inc.

     233        10,166   
   

 

 

  
    548,799   

INFORMATION TECHNOLOGY - 18.6%

  

  

Akamai Technologies Inc. (c)

     546        25,760   

Altera Corp.

     541        17,599   

Atmel Corp. (c)

     1,726        13,515   

Avago Technologies Ltd.

     271        14,333   

Concur Technologies Inc. (c) (e)

     192        19,810   

CoreLogic Inc. (c)

     492        17,481   

Cree Inc. (c)

     114        7,133   

Dropbox Inc. (c) (f) (q)

     42        582   

FactSet Research Systems Inc. (e)

     219        23,779   
     Shares/Par (p)     Value  

FEI Co.

     49        4,379   

Fidelity National Information Services Inc.

     219        11,756   

FireEye Inc. (c) (e)

     20        872   

Fiserv Inc. (c)

     766        45,232   

Gartner Inc. - Class A (c)

     437        31,049   

Global Payments Inc.

     274        17,807   

IPG Photonics Corp. (c) (e)

     154        11,952   

JDS Uniphase Corp. (c)

     1,638        21,261   

LinkedIn Corp. - Class A (c)

     35        7,589   

Microchip Technology Inc. (e)

     235        10,516   

Motorola Solutions Inc.

     392        26,460   

Rackspace Hosting Inc. (c)

     161        6,300   

Red Hat Inc. (c)

     569        31,887   

ServiceNow Inc. (c) (e)

     285        15,963   

Trimble Navigation Ltd. (c)

     400        13,880   

Twitter Inc (c) (e)

     53        3,373   

Vantiv Inc. - Class A (c)

     629        20,512   

VeriSign Inc. (c)

     464        27,738   

Workday Inc. - Class A (c)

     107        8,898   

Xilinx Inc.

     440        20,205   
   

 

 

  
    477,621   

MATERIALS - 3.7%

    

Agnico-Eagle Mines Ltd.

     383        10,103   

Ball Corp.

     274        14,155   

Celanese Corp. - Class A

     328        18,142   

Franco-Nevada Corp.

     328        13,367   

Martin Marietta Materials Inc.

     133        13,292   

Rockwood Holdings Inc.

     365        26,251   
   

 

 

  
    95,310   

UTILITIES - 0.6%

    

Calpine Corp. (c)

     814        15,881   
   

 

 

  

Total Common Stocks (cost $1,657,962)

  

     2,430,108   
   

 

 

  

PREFERRED STOCKS - 0.3%

  

  

CONSUMER DISCRETIONARY - 0.0%

  

  

LivingSocial (c) (f) (q)

     719        431   

INFORMATION TECHNOLOGY - 0.3%

  

  

Coupon.com Inc. (c) (f) (q)

     625        3,626   

Dropbox Inc., Series A-1 (c) (f) (q)

     258        3,551   

Dropbox Inc., Series A (c) (f) (q)

     53        723   
   

 

 

  
    7,900   
   

 

 

  

Total Preferred Stocks (cost $10,310)

  

     8,331   
   

 

 

  

SHORT TERM INVESTMENTS - 8.8%

  

  

Investment Companies - 5.0%

    

JNL Money Market Fund,
0.01% (a) (h)

     1,000        1,000   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     127,000        127,000   
   

 

 

  
    128,000   

Securities Lending Collateral - 3.8%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     95,951        95,951   

Treasury Securities - 0.0%

    

U.S. Treasury Bill, 0.10%,
05/29/14 (o)

   $ 150        150   
   

 

 

  

Total Short Term Investments (cost $224,101)

  

     224,101   
   

 

 

  

Total Investments - 103.8% (cost $1,892,373)

  

     2,662,540   

Other Assets and Liabilities, Net - (3.8%)

 

     (97,068 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,565,472   
   

 

 

  

 

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

JNL/T. Rowe Price Short-Term Bond Fund

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 19.7%

   

Ally Auto Receivables Trust, 3.15%, 10/15/18 (r)

   $ 960      $ 989   

Ally Master Owner Trust

    

0.97%, 02/15/17 (i)

     8,000        8,032   

1.00%, 02/15/18

     580        580   

American Express Credit Account Master Trust

    

0.34%, 04/17/17 (i)

     3,185        3,187   

0.99%, 03/15/18

     2,840        2,849   

1.29%, 03/15/18 (r)

     3,245        3,267   

1.07%, 05/15/18 (r)

     770        772   

AmeriCredit Automobile Receivables Trust

    

2.33%, 03/08/16

     1,720        1,725   

1.73%, 02/08/17

     1,710        1,727   

0.96%, 04/09/18

     800        801   

1.19%, 05/08/18

     2,560        2,551   

1.52%, 01/08/19

     915        912   

Banc of America Commercial Mortgage Trust REMIC

    

5.73%, 05/10/45 (i)

     6,510        7,100   

5.37%, 09/10/45 (i)

     3,260        3,498   

5.63%, 07/10/46

     1,860        2,016   

Banc of America Merill Lynch Commercial Mortgage Inc. REMIC

    

4.63%, 12/10/42

     680        685   

4.62%, 07/10/43

     3,200        3,254   

4.67%, 07/10/43

     7,804        8,163   

Bear Stearns Commercial Mortgage Securities Trust

    

5.20%, 01/12/41

     237        237   

REMIC, 5.20%, 12/11/38

     4,560        4,981   

REMIC, 4.72%, 02/11/41

     36        36   

REMIC, 4.67%, 06/11/41

     1,033        1,074   

REMIC, 5.54%, 09/11/41

     1,280        1,396   

REMIC, 5.54%, 10/12/41

     1,854        2,026   

REMIC, 5.75%, 09/11/42

     2,076        2,155   

REMIC, 5.70%, 06/11/50

     714        737   

BMW Vehicle Lease Trust, 0.54%, 09/21/15

     4,050        4,051   

Cabela’s Master Credit Card Trust, 1.62%, 01/16/18 (i) (r)

     1,700        1,721   

Capital Auto Receivables Asset Trust

    

0.79%, 06/20/17

     4,790        4,784   

1.24%, 10/20/17

     2,985        2,999   

1.09%, 03/20/18

     6,860        6,834   

CarMax Auto Owner Trust

    

3.75%, 12/15/15

     660        663   

4.88%, 08/15/16

     420        422   

0.89%, 09/15/16

     1,461        1,465   

0.84%, 03/15/17

     3,040        3,051   

0.52%, 07/17/17

     3,095        3,093   

Chase Issuance Trust, 1.01%, 10/15/18

     2,295        2,292   

Citigroup Commercial Mortgage Trust REMIC, 5.38%, 04/15/40 (e) (i)

     1,180        1,189   

CNH Equipment Trust

    

0.69%, 06/15/18

     6,910        6,908   

1.02%, 08/15/18

     960        964   

CNH Wholesale Master Note Trust, 0.77%, 08/15/19 (i) (r)

     2,275        2,278   

Commercial Mortgage Pass-Through Certificates REMIC

    

5.36%, 07/10/37 (i)

     633        637   

5.17%, 06/10/44 (i)

     560        588   

1.16%, 12/10/44

     242        242   

CS First Boston Mortgage Securities Corp. REMIC, 5.01%, 02/15/38 (i)

     1,303        1,340   
     Shares/Par (p)     Value  

Diamond Resorts Owner Trust, 2.27%, 05/20/26 (r)

     2,648        2,638   

Enterprise Fleet Financing LLC

    

0.68%, 09/20/18 (r)

     4,385        4,380   

1.06%, 03/20/19 (r)

     2,095        2,098   

Ford Credit Auto Lease Trust

    

1.01%, 05/15/16

     2,130        2,131   

1.28%, 06/15/16

     1,565        1,566   

1.23%, 11/15/16

     2,010        2,009   

1.51%, 08/15/17

     1,375        1,374   

REMIC, 1.10%, 12/15/15 (r)

     735        737   

REMIC, 1.50%, 03/15/17 (r)

     910        913   

Ford Credit Auto Owner Trust, 4.05%, 10/15/16

     645        658   

Ford Credit Floorplan Master Owner Trust

    

0.74%, 09/15/16

     3,945        3,950   

4.20%, 02/15/17 (r)

     3,120        3,245   

4.99%, 02/15/17 (r)

     2,230        2,316   

Fosse Master Issuer Plc, 1.65%,
10/18/54 (i) (r)

     1,528        1,551   

GE Capital Credit Card Master Note Trust

    

1.03%, 01/15/18

     2,960        2,968   

5.75%, 03/15/18 (r)

     1,345        1,417   

GE Dealer Floorplan Master Note Trust

    

0.61%, 10/20/17 (i)

     5,265        5,269   

0.57%, 04/20/18 (i)

     4,635        4,638   

GE Equipment Midticket LLC, 0.78%, 09/22/20

     2,390        2,388   

GE Equipment Small Ticket LLC, 1.04%, 09/21/15 (r)

     1,130        1,134   

GE Equipment Transportation LLC, 0.99%, 11/23/15

     369        370   

Greenwich Capital Commercial Funding Corp. REMIC, 5.82%, 07/10/38 (i)

     3,574        3,904   

GS Mortgage Securities Trust

    

1.21%, 07/10/46

     1,348        1,348   

REMIC, 5.55%, 04/10/38 (i)

     2,240        2,412   

REMIC, 5.80%, 08/10/45 (i)

     1,046        1,054   

GTP Acquisition Partners I LLC

    

4.35%, 06/15/16 (r)

     1,690        1,779   

2.36%, 05/15/18 (r)

     5,715        5,570   

Holmes Master Issuer Plc, 1.89%,
10/15/54 (i) (r)

     4,621        4,687   

Honda Auto Receivables Owner Trust

    

0.56%, 05/15/16

     3,185        3,189   

1.55%, 08/18/17

     1,695        1,708   

0.69%, 09/18/17

     3,030        3,032   

HSBC Home Equity Loan Trust REMIC, 0.32%, 03/20/36 (i)

     940        918   

Huntington Auto Trust, 0.81%, 09/15/16

     3,271        3,279   

Hyundai Auto Lease Securitization Trust, 0.77%, 10/17/16 (r)

     3,480        3,477   

Hyundai Auto Receivables Trust

    

3.51%, 11/15/17

     6,830        7,114   

0.73%, 06/15/18

     4,305        4,291   

0.75%, 09/17/18

     3,900        3,876   

John Deere Owner Trust, 0.60%, 03/15/17

     7,160        7,163   

JPMBB Commercial Mortgage Securities Trust REMIC, 1.26%, 08/15/46

     2,559        2,561   

JPMorgan Chase Commercial Mortgage Securities Corp. REMIC

    

4.68%, 07/15/42

     361        367   

5.00%, 08/15/42 (i)

     2,421        2,562   

5.48%, 12/12/44 (i)

     1,700        1,814   

1.03%, 05/15/45

     364        364   

JPMorgan Mortgage Trust REMIC, 2.76%, 07/25/35 (i)

     244        244   

Lanark Master Issuer Plc REMIC, 0.74%, 12/22/54 (i) (r)

     5,330        5,316   

LB-UBS Commercial Mortgage Trust REMIC

    

5.20%, 11/15/30 (i)

     3,775        3,980   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

4.57%, 01/15/31

     204        209   

Mercedes-Benz Auto Lease Trust

    

0.62%, 07/15/16

     2,065        2,063   

0.72%, 12/17/18

     2,155        2,156   

Mercedes-Benz Auto Receivables Trust, 1.22%, 12/15/17

     1,820        1,826   

Mercedes-Benz Master Owner Trust, 0.79%, 11/15/17 (r)

     9,925        9,931   

Morgan Stanley Capital I Trust REMIC

    

5.27%, 06/13/41 (i)

     703        712   

4.78%, 12/13/41

     904        925   

4.99%, 08/13/42

     1,565        1,635   

6.28%, 01/11/43 (i)

     1,973        2,017   

5.73%, 07/12/44 (i)

     2,507        2,731   

Motor Plc

    

1.29%, 02/25/20 (r)

     960        964   

0.66%, 02/25/21 (r)

     3,398        3,400   

MVW Owner Trust, 2.15%, 04/22/30 (r)

     913        916   

Navistar Financial Corp. Owner Trust, 1.19%, 01/18/19 (r)

     4,225        4,233   

Navistar Financial Dealer Note Master Trust

    

0.83%, 01/25/18 (i) (r)

     4,920        4,921   

0.84%, 09/25/18 (i) (r)

     2,505        2,515   

Nissan Auto Lease Trust, 0.75%, 06/15/16

     960        960   

RSB Bondco LLC, 5.72%, 04/01/18

     3,109        3,276   

SBA Tower Trust

    

2.93%, 12/15/17 (r)

     6,310        6,421   

REMIC, 3.60%, 04/15/18 (r)

     2,270        2,218   

REMIC, 2.24%, 04/16/18 (r)

     2,925        2,876   

Sequoia Mortgage Trust REMIC, 3.75%, 02/25/40 (i)

     27        26   

Sierra Timeshare Receivables Funding LLC

    

1.59%, 11/20/29 (r)

     1,404        1,397   

2.20%, 10/20/30 (r)

     2,140        2,127   

SMART Trust

    

0.84%, 09/14/16

     785        784   

1.59%, 10/14/16 (r)

     4,240        4,271   

0.97%, 03/14/17

     2,320        2,319   

1.18%, 02/14/19

     1,165        1,150   

Structured Asset Securities Corp. REMIC, 2.45%, 09/25/33 (i)

     495        485   

Toyota Auto Receivables Owner Trust, 0.75%, 02/16/16

     1,318        1,321   

Volkswagen Auto Loan Enhanced Trust, 0.56%, 08/21/17

     7,835        7,833   

Wachovia Bank Commercial Mortgage Trust REMIC, 4.94%, 04/15/42

     670        695   

Wells Fargo Mortgage Backed Securities Trust REMIC

    

4.69%, 06/25/34 (i)

     216        216   

2.69%, 04/25/35 (i)

     1,593        1,600   

Wheels SPV LLC REMIC, 1.19%,
03/20/21 (r)

     1,138        1,141   

World Omni Automobile Lease Securitization Trust

    

0.93%, 11/16/15

     1,280        1,284   

1.06%, 11/15/17

     1,365        1,370   

World Omni Master Owner Trust, 0.52%, 02/15/18 (i) (r)

     7,440        7,443   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities
(cost $328,679)

       326,397   
   

 

 

  

CORPORATE BONDS AND NOTES - 52.0%

  

  

CONSUMER DISCRETIONARY - 4.5%

  

  

AutoZone Inc.

    

5.75%, 01/15/15 (e) (l)

     780        819   

5.50%, 11/15/15

     955        1,034   

Brinker International Inc., 2.60%, 05/15/18

     775        762   
     Shares/Par (p)     Value  

Carnival Corp., 1.20%, 02/05/16

     2,075        2,069   

COX Communications Inc., 5.45%, 12/15/14

     967        1,011   

Daimler Finance North America LLC

    

0.86%, 03/28/14 (i) (r)

     4,845        4,852   

1.88%, 09/15/14 (r)

     1,710        1,725   

1.10%, 08/01/18 (i) (r)

     3,745        3,765   

DIRECTV Holdings LLC

    

4.75%, 10/01/14

     7,460        7,682   

3.50%, 03/01/16

     2,635        2,766   

1.75%, 01/15/18 (e)

     3,120        3,059   

Discovery Communications LLC, 3.70%, 06/01/15

     1,257        1,308   

GLP Capital LP, 4.38%, 11/01/18 (r)

     3,600        3,681   

Hasbro Inc., 6.13%, 05/15/14 (l)

     1,080        1,102   

Interpublic Group of Cos. Inc.

    

6.25%, 11/15/14

     3,432        3,574   

2.25%, 11/15/17

     5,055        4,981   

NBCUniversal Enterprise Inc., 0.93%, 04/15/18 (i) (r)

     2,635        2,645   

NBCUniversal Media LLC, 2.10%, 04/01/14

     3,605        3,620   

Newell Rubbermaid Inc., 2.00%, 06/15/15

     830        841   

Nissan Motor Acceptance Corp., 1.95%, 09/12/17 (r)

     4,015        3,983   

Rogers Cable Inc., 6.75%, 03/15/15

     877        939   

Staples Inc., 9.75%, 01/15/14 (l)

     4,125        4,139   

Thomson Reuters Corp.

    

0.88%, 05/23/16

     2,205        2,189   

1.30%, 02/23/17

     1,935        1,926   

Time Warner Cable Inc.

    

8.25%, 02/14/14

     2,915        2,940   

7.50%, 04/01/14

     810        823   

Viacom Inc., 2.50%, 09/01/18

     870        877   

Volkswagen International Finance NV, 1.63%, 03/22/15 (r)

     5,025        5,082   
   

 

 

  
      74,194   

CONSUMER STAPLES - 2.8%

  

  

Avon Products Inc., 2.38%, 03/15/16

     1,790        1,802   

BAT International Finance Plc, 1.40%, 06/05/15 (r)

     2,490        2,511   

Bunge Ltd. Finance Corp.

    

5.35%, 04/15/14

     1,860        1,884   

5.10%, 07/15/15

     1,650        1,747   

3.20%, 06/15/17

     6,640        6,826   

Coca-Cola Amatil Ltd., 3.25%, 11/02/14 (r)

     6,605        6,736   

CVS Caremark Corp., 1.20%, 12/05/16

     1,765        1,767   

Heineken NV, 1.40%, 10/01/17 (r)

     2,565        2,515   

Imperial Tobacco Finance Plc, 2.05%, 02/11/18 (r)

     6,995        6,914   

Kraft Foods Group Inc., 1.63%, 06/04/15

     2,670        2,704   

Kroger Co., 1.20%, 10/17/16

     1,315        1,315   

Pernod-Ricard SA, 2.95%, 01/15/17 (r)

     3,160        3,262   

Reynolds American Inc., 1.05%, 10/30/15

     1,035        1,038   

SABMiller Holdings Inc., 1.85%, 01/15/15 (r)

     2,950        2,985   

WM Wrigley Jr. Co.

    

1.40%, 10/21/16 (r)

     785        786   

2.00%, 10/20/17 (r)

     1,840        1,834   
   

 

 

  
      46,626   

ENERGY - 9.6%

    

Anadarko Petroleum Corp.

    

5.75%, 06/15/14

     4,275        4,365   

6.38%, 09/15/17

     4,205        4,826   

BG Energy Capital Plc, 2.88%, 10/15/16 (r)

     7,300        7,620   

Cameron International Corp., 1.15%, 12/15/16

     620        618   

Canadian Natural Resources Ltd.

    

1.45%, 11/14/14

     2,945        2,969   

5.70%, 05/15/17

     4,010        4,505   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CNOOC Finance 2013 Ltd., 1.13%, 05/09/16

     1,831        1,824   

DCP Midstream LLC, 5.38%, 10/15/15 (r)

     3,310        3,521   

DCP Midstream Operating LP

    

3.25%, 10/01/15

     280        289   

2.50%, 12/01/17

     3,995        3,976   

Ecopetrol SA, 4.25%, 09/18/18

     705        744   

Enbridge Inc., 0.90%, 10/01/16 (i)

     5,230        5,250   

Energy Transfer Partners LP

    

8.50%, 04/15/14

     4,390        4,482   

5.95%, 02/01/15

     4,110        4,330   

6.70%, 07/01/18

     625        725   

Ensco Plc, 3.25%, 03/15/16

     7,605        7,940   

Enterprise Products Operating LLC

    

5.60%, 10/15/14

     2,263        2,352   

1.25%, 08/13/15

     3,220        3,241   

Florida Gas Transmission Co. LLC, 4.00%, 07/15/15 (r)

     4,685        4,885   

Gazprom OAO Via Gaz Capital SA, 4.95%, 05/23/16 (e) (r)

     5,550        5,891   

Kinder Morgan Energy Partners LP

    

5.13%, 11/15/14

     2,480        2,576   

3.50%, 03/01/16

     1,525        1,595   

Korea National Oil Corp., 4.00%, 10/27/16 (r)

     765        815   

Magellan Midstream Partners LP, 6.45%, 06/01/14

     1,895        1,941   

Marathon Oil Corp., 0.90%, 11/01/15

     4,570        4,574   

Murphy Oil Corp., 2.50%, 12/01/17 (l)

     3,460        3,480   

Nabors Industries Inc., 2.35%, 09/15/16 (r)

     1,040        1,050   

Noble Holding International Ltd.

    

7.38%, 03/15/14

     485        491   

3.45%, 08/01/15

     975        1,011   

3.05%, 03/01/16

     4,295        4,422   

2.50%, 03/15/17

     540        542   

ONEOK Partners LP

    

3.25%, 02/01/16

     5,835        6,067   

3.20%, 09/15/18

     270        276   

Petrobras Global Finance BV, 2.00%, 05/20/16

     3,575        3,572   

PetroHawk Energy Corp., 7.25%, 08/15/18

     5,270        5,681   

Petroleos Mexicanos, 3.50%, 07/18/18 (e)

     2,230        2,289   

Phillips 66, 1.95%, 03/05/15

     2,760        2,798   

Pioneer Natural Resources Co., 5.88%, 07/15/16

     7,238        8,028   

Rowan Cos. Inc., 5.00%, 09/01/17

     995        1,078   

Talisman Energy Inc., 5.13%, 05/15/15

     3,005        3,159   

Tennessee Gas Pipeline Co. LLC, 8.00%, 02/01/16

     4,960        5,610   

TransCanada PipeLines Ltd., 0.93%, 06/30/16 (i)

     5,985        6,041   

Transocean Inc.

    

4.95%, 11/15/15

     3,345        3,583   

5.05%, 12/15/16 (l)

     1,285        1,419   

2.50%, 10/15/17 (l)

     3,095        3,126   

Williams Partners LP, 3.80%, 02/15/15

     5,901        6,096   

Woodside Finance Ltd., 8.13%, 03/01/14 (r)

     2,895        2,931   
   

 

 

  
      158,604   

FINANCIALS - 21.3%

    

Aflac Inc., 2.65%, 02/15/17

     645        665   

American Express Co., 0.83%, 05/22/18 (i)

     7,075        7,070   

American Honda Finance Corp., 0.61%, 05/26/16 (i) (r)

     4,910        4,921   

American International Group Inc.

    

4.25%, 09/15/14

     8,350        8,559   

3.00%, 03/20/15

     1,215        1,248   

ANZ National International Ltd., 1.85%, 10/15/15 (r)

     5,455        5,538   

Bank of America Corp.

    

1.50%, 10/09/15

     6,240        6,303   
     Shares/Par (p)     Value  

1.25%, 01/11/16

     5,045        5,067   

1.07%, 03/22/16 (i)

     2,030        2,044   

Bank of Nova Scotia, 0.75%, 10/09/15 (e)

     8,215        8,242   

Bank of Tokyo-Mitsubishi UFJ Ltd., 1.55%, 09/09/16 (r)

     5,935        5,990   

Banque Federative du Credit Mutuel SA, 2.50%, 10/29/18 (r)

     4,075        4,026   

Barclays Bank Plc

    

5.20%, 07/10/14

     7,360        7,544   

5.00%, 09/22/16

     2,655        2,923   

BB&T Corp., 1.10%, 06/15/18 (i)

     2,115        2,130   

Boston Properties LP, 5.00%, 06/01/15

     3,095        3,275   

BPCE SA, 2.50%, 12/10/18

     4,080        4,056   

Capital One Bank USA NA, 1.15%, 11/21/16

     1,200        1,195   

Capital One Financial Corp.

    

2.13%, 07/15/14

     4,015        4,047   

2.15%, 03/23/15

     3,065        3,116   

Citigroup Inc.

    

1.25%, 01/15/16

     4,270        4,284   

1.04%, 04/01/16 (i)

     7,260        7,307   

1.30%, 11/15/16 (e)

     765        762   

Commonwealth Bank of Australia, 1.95%, 03/16/15

     3,595        3,655   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 4.20%, 05/13/14 (r)

     1,150        1,166   

DNB Bank ASA, 3.20%, 04/03/17 (e) (r)

     4,890        5,110   

Fifth Third Bancorp, 3.63%, 01/25/16

     2,730        2,868   

Fifth Third Bank, 1.15%, 11/18/16

     2,855        2,853   

Ford Motor Credit Co. LLC

    

3.88%, 01/15/15

     6,145        6,341   

2.75%, 05/15/15

     3,630        3,724   

3.00%, 06/12/17

     2,090        2,171   

General Electric Capital Corp.

    

2.38%, 06/30/15

     5,820        5,973   

0.96%, 04/02/18 (i)

     8,150        8,215   

Goldman Sachs Group Inc., 1.60%, 11/23/15

     11,285        11,406   

Harley-Davidson Financial Services Inc., 1.15%, 09/15/15 (r)

     3,955        3,968   

HSBC Bank Plc, 0.88%, 05/15/18 (i) (r)

     4,875        4,886   

HSBC USA Inc., 2.38%, 02/13/15

     3,225        3,291   

Hyundai Capital America

    

1.63%, 10/02/15 (r)

     1,870        1,879   

1.88%, 08/09/16 (r)

     1,285        1,290   

Hyundai Capital Services Inc.

    

4.38%, 07/27/16 (r)

     5,345        5,686   

3.50%, 09/13/17 (r)

     1,725        1,783   

IntercontinentalExchange Group Inc., 2.50%, 10/15/18

     1,375        1,384   

JPMorgan Chase & Co.

    

0.86%, 02/26/16 (i)

     3,195        3,208   

2.00%, 08/15/17

     8,560        8,679   

KeyBank NA, 4.95%, 09/15/15

     590        628   

KeyCorp, 3.75%, 08/13/15

     2,560        2,677   

Kilroy Realty LP, 5.00%, 11/03/15

     3,425        3,648   

Lloyds Bank Plc, 2.30%, 11/27/18

     2,350        2,343   

Marsh & McLennan Cos. Inc., 2.55%, 10/15/18

     1,655        1,657   

MetLife Institutional Funding II

    

1.14%, 04/04/14 (i) (r)

     2,430        2,435   

0.61%, 01/06/15 (i) (r)

     2,800        2,809   

Metropolitan Life Global Funding I

    

1.70%, 06/29/15 (r)

     4,365        4,431   

1.50%, 01/10/18 (r)

     3,440        3,344   

Morgan Stanley

    

1.49%, 02/25/16 (i)

     9,680        9,806   

1.52%, 04/25/18 (i)

     5,755        5,837   

National Bank of Canada, 1.45%, 11/07/17

     8,005        7,780   

New York Life Global Funding, 2.45%, 07/14/16 (r)

     5,160        5,340   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Nordea Bank AB, 0.88%, 05/13/16 (r)

     10,140        10,089   

Perrigo Co. Plc, 1.30%, 11/08/16 (r)

     2,025        2,018   

PNC Bank NA, 1.15%, 11/01/16

     2,845        2,848   

Principal Financial Group Inc., 1.85%, 11/15/17

     980        971   

Principal Life Global Funding II, 0.61%, 05/27/16 (i) (r)

     10,015        10,032   

Prudential Financial Inc., 5.10%, 09/20/14

     2,680        2,766   

Regions Financial Corp.

    

7.75%, 11/10/14

     1,470        1,551   

5.75%, 06/15/15

     2,895        3,085   

Royal Bank of Scotland Group Plc, 2.55%, 09/18/15

     2,950        3,017   

Simon Property Group LP, 4.20%, 02/01/15

     540        556   

Societe Generale, 2.50%, 01/15/14 (r)

     2,275        2,276   

Sumitomo Mitsui Banking Corp.

    

1.90%, 01/12/15 (r)

     6,225        6,286   

0.90%, 01/18/16

     3,235        3,229   

Sumitomo Mitsui Trust Bank Ltd., 1.80%, 03/28/18 (r)

     6,520        6,338   

SunTrust Banks Inc., 2.35%, 11/01/18

     1,870        1,859   

Swedbank AB, 1.75%, 03/12/18 (e) (r)

     9,235        9,069   

Toronto-Dominion Bank, 0.79%, 04/30/18 (i)

     4,565        4,575   

Toyota Motor Credit Corp., 0.39%, 03/10/15 (i)

     1,950        1,953   

Union Bank NA, 2.13%, 06/16/17

     3,630        3,645   

Ventas Realty LP

    

3.13%, 11/30/15

     4,955        5,153   

2.00%, 02/15/18

     1,585        1,557   

Wachovia Bank NA, 4.88%, 02/01/15

     2,210        2,311   

Wachovia Capital Trust III, 5.57%, (callable at 100 beginning 08/14/13) (i) (m)

     425        389   

WEA Finance LLC, 5.75%, 09/02/15 (r)

     3,790        4,088   

Wells Fargo & Co.

    

1.25%, 02/13/15

     3,440        3,468   

2.10%, 05/08/17

     3,120        3,177   

Westpac Banking Corp.

    

1.13%, 09/25/15

     5,595        5,656   

1.05%, 11/25/16

     2,580        2,571   

Woodside Finance Ltd., 4.50%, 11/10/14 (r)

     3,175        3,273   

XLIT Ltd., 2.30%, 12/15/18

     2,015        1,978   
   

 

 

  
    352,367   

HEALTH CARE - 3.3%

    

AbbVie Inc., 1.20%, 11/06/15

     8,090        8,172   

Aetna Inc., 1.50%, 11/15/17

     2,050        2,019   

Agilent Technologies Inc., 6.50%, 11/01/17

     4,410        5,106   

Celgene Corp., 1.90%, 08/15/17

     770        766   

Express Scripts Holding Co.

    

2.75%, 11/21/14

     4,895        4,989   

2.10%, 02/12/15

     945        959   

Express Scripts Inc., 3.13%, 05/15/16

     2,700        2,818   

Gilead Sciences Inc., 2.40%, 12/01/14

     2,205        2,241   

Humana Inc., 6.45%, 06/01/16

     1,775        1,983   

Life Technologies Corp.

    

4.40%, 03/01/15

     1,185        1,234   

3.50%, 01/15/16

     1,910        1,990   

McKesson Corp., 0.95%, 12/04/15

     1,575        1,574   

Thermo Fisher Scientific Inc., 1.30%, 02/01/17

     2,615        2,603   

UnitedHealth Group Inc.

    

0.85%, 10/15/15

     1,540        1,546   

1.88%, 11/15/16

     1,535        1,567   

Ventas Realty LP, 1.55%, 09/26/16

     700        705   

Warner Chilcott Co. LLC, 7.75%, 09/15/18

     7,793        8,436   

Watson Pharmaceuticals Inc., 1.88%, 10/01/17

     4,095        4,051   

WellPoint Inc., 1.25%, 09/10/15

     1,680        1,692   
   

 

 

  
      54,451   

INDUSTRIALS - 2.7%

    

BAA Funding Ltd., 2.50%, 06/25/15 (r)

     5,690        5,764   
     Shares/Par (p)     Value  

Catholic Health Initiatives

    

1.60%, 11/01/17

     535        518   

2.60%, 08/01/18

     2,165        2,171   

Eaton Corp., 1.50%, 11/02/17

     2,205        2,161   

ERAC USA Finance LLC

    

5.60%, 05/01/15 (r)

     1,190        1,264   

1.40%, 04/15/16 (r)

     2,670        2,672   

2.75%, 03/15/17 (r)

     1,475        1,517   

6.38%, 10/15/17 (r)

     620        717   

2.80%, 11/01/18 (e) (r)

     400        404   

GATX Corp.

    

3.50%, 07/15/16

     3,365        3,509   

2.38%, 07/30/18

     1,005        1,006   

General Electric Co., 0.85%, 10/09/15

     3,720        3,737   

International Lease Finance Corp., 2.19%, 06/15/16 (i)

     3,475        3,492   

Kansas City Southern de Mexico SA de CV, 2.35%, 05/15/20

     2,255        2,098   

Penske Truck Leasing Co. LP

    

2.50%, 07/11/14 (r)

     90        91   

3.13%, 05/11/15 (r)

     990        1,018   

2.50%, 03/15/16 (r)

     3,085        3,161   

2.88%, 07/17/18 (r)

     1,405        1,413   

Roper Industries Inc.

    

1.85%, 11/15/17

     885        877   

2.05%, 10/01/18

     2,290        2,224   

Southwest Airlines Co.

    

5.25%, 10/01/14

     2,760        2,848   

5.75%, 12/15/16

     1,230        1,370   

Waste Management Inc., 2.60%, 09/01/16

     1,300        1,342   
   

 

 

  
      45,374   

INFORMATION TECHNOLOGY - 1.1%

  

  

Arrow Electronics Inc., 3.38%, 11/01/15

     2,295        2,375   

Broadcom Corp., 2.38%, 11/01/15

     1,590        1,631   

Fiserv Inc., 3.13%, 06/15/16

     6,315        6,589   

Hewlett-Packard Co.

    

1.79%, 09/19/14 (i)

     1,560        1,573   

2.63%, 12/09/14

     2,755        2,801   

2.35%, 03/15/15

     1,985        2,016   

Xerox Corp.

    

1.06%, 05/16/14 (i)

     1,230        1,231   

2.95%, 03/15/17

     575        590   
   

 

 

  
    18,806   

MATERIALS - 0.8%

    

Eastman Chemical Co., 2.40%, 06/01/17 (e)

     1,930        1,950   

Goldcorp Inc., 2.13%, 03/15/18

     2,080        2,038   

International Paper Co., 5.30%, 04/01/15

     2,425        2,554   

Rio Tinto Finance USA Plc, 1.38%, 06/17/16

     4,245        4,311   

Rock-Tenn Co., 3.50%, 03/01/20

     3,250        3,193   
   

 

 

  
      14,046   

TELECOMMUNICATION SERVICES - 2.5%

  

  

America Movil SAB de CV

    

3.63%, 03/30/15

     1,580        1,631   

2.38%, 09/08/16

     2,565        2,640   

American Tower Corp., 4.63%, 04/01/15

     9,900        10,355   

British Telecommunications Plc, 1.63%, 06/28/16

     1,695        1,710   

CC Holdings GS V LLC, 2.38%, 12/15/17

     8,750        8,663   

Crown Castle Towers LLC, 4.52%, 01/15/15 (r)

     4,835        4,988   

Rogers Wireless Communications Inc., 6.38%, 03/01/14

     1,900        1,918   

Verizon Communications Inc.

    

0.44%, 03/06/15 (i) (r)

     4,960        4,952   

2.50%, 09/15/16

     4,420        4,570   
   

 

 

  
    41,427   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

UTILITIES - 3.4%

  

Appalachian Power Co., 3.40%, 05/24/15

     455        469   

CMS Energy Corp., 4.25%, 09/30/15

     7,505        7,907   

Commonwealth Edison Co.

    

1.63%, 01/15/14

     2,485        2,486   

1.95%, 09/01/16

     1,095        1,118   

Dominion Resources Inc.

    

1.95%, 08/15/16

     1,465        1,489   

1.40%, 09/15/17

     4,295        4,216   

DTE Energy Co., 7.63%, 05/15/14

     2,617        2,683   

Duke Energy Corp.

    

3.95%, 09/15/14

     1,160        1,188   

1.63%, 08/15/17

     1,440        1,430   

Enel Finance International NV, 3.88%, 10/07/14 (r)

     2,535        2,590   

Georgia Power Co., 0.56%, 03/15/16 (i)

     1,980        1,980   

Iberdrola Finance Ireland Ltd., 3.80%, 09/11/14 (r)

     2,320        2,367   

Korea Hydro & Nuclear Power Co. Ltd., 3.13%, 09/16/15 (r)

     2,835        2,920   

Mississippi Power Co., 2.35%, 10/15/16

     1,020        1,049   

Monongahela Power Co., 5.70%, 03/15/17 (r)

     420        458   

NextEra Energy Capital Holdings Inc., 1.20%, 06/01/15

     1,320        1,327   

NiSource Finance Corp., 5.40%, 07/15/14 (e)

     4,710        4,826   

Origin Energy Finance Ltd., 3.50%, 10/09/18 (r)

     4,070        4,088   

PPL Capital Funding Inc., 1.90%, 06/01/18

     1,220        1,191   

PPL WEM Holdings Plc, 3.90%,
05/01/16 (r)

     2,535        2,649   

Progress Energy Inc., 6.05%, 03/15/14

     875        885   

PSEG Power LLC, 2.75%, 09/15/16

     1,215        1,258   

Sempra Energy, 1.00%, 03/15/14 (i)

     4,435        4,441   

Southern Co., 1.95%, 09/01/16

     1,370        1,398   
   

 

 

  
    56,413   
   

 

 

  

Total Corporate Bonds and Notes (cost $856,334)

  

     862,308   
   

 

 

  

GOVERNMENT AND AGENCY
OBLIGATIONS - 23.5%

   

  

GOVERNMENT SECURITIES - 9.3%

  

  

Federal National Mortgage Association - 1.9% (w)

  

  

Federal National Mortgage Association

    

0.63%, 08/26/16

     9,780        9,763   

0.88%, 08/28/17 - 10/26/17

     22,395        22,077   
   

 

 

  
    31,840   

Municipals - 0.3%

    

Florida Hurricane Catastrophe Fund Finance Corp., 1.30%, 07/01/16

     5,300        5,306   

Sovereign - 0.7%

    

Hazine Mustesarligi Varlik Kiralama A/S, 4.56%, 10/10/18 (r)

     1,825        1,793   

Mexico Bonos, 9.50%, 12/18/14, MXN

     115,985        9,363   
   

 

 

  
    11,156   

Treasury Inflation Index Securities - 3.3%

  

  

U.S. Treasury Inflation Indexed Note

    

2.00%, 07/15/14 (n) (o)

     43,589        44,549   

0.50%, 04/15/15 (n)

     10,550        10,783   
   

 

 

  
    55,332   

U.S. Treasury Securities - 3.1%

    

U.S. Treasury Note

    

0.38%, 08/31/15

     25,000        25,037   

0.63%, 11/15/16

     25,445        25,366   
   

 

 

  
    50,403   
     Shares/Par (p)     Value  

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 14.2%

   

Federal Home Loan Mortgage Corp. - 2.1%

  

  

Federal Home Loan Mortgage Corp.

    

4.00%, 02/01/14 - 05/01/26

     1,457        1,541   

5.00%, 10/01/17 - 12/01/23

     3,493        3,736   

4.50%, 11/01/18 - 08/01/25

     1,044        1,119   

1.37%, 05/25/19

     7,209        7,210   

5.50%, 10/01/19 - 07/01/20

     659        711   

2.36%, 09/01/33 (i)

     127        136   

2.38%, 09/01/33 - 11/01/34 (i)

     123        131   

2.23%, 10/01/34 (i)

     60        62   

2.53%, 11/01/34 - 01/01/35 (i)

     173        185   

2.31%, 02/01/35 (i)

     52        54   

2.40%, 02/01/35 (i)

     107        114   

2.41%, 02/01/35 (i)

     23        24   

2.49%, 02/01/35 - 03/01/36 (i)

     1,195        1,274   

2.55%, 02/01/35 (i)

     61        65   

2.77%, 02/01/35 (i)

     66        70   

2.50%, 06/01/35 (i)

     506        539   

2.43%, 10/01/35 (i)

     348        369   

2.35%, 11/01/35 (i)

     288        306   

6.00%, 11/01/37

     1,440        1,589   

REMIC, 1.43%, 08/25/17

     5,810        5,828   

REMIC, 5.00%, 10/15/21

     364        381   

REMIC, 0.62%, 05/15/36 (i)

     502        504   

REMIC, 0.67%, 08/15/41 - 07/15/42 (i)

     9,210        9,216   
   

 

 

  
    35,164   

Federal National Mortgage Association - 9.9%

  

  

Federal National Mortgage Association

    

5.50%, 01/01/17 - 12/01/39

     32,518        35,717   

4.50%, 06/01/19 - 07/01/26

     25,541        27,381   

5.00%, 07/01/19 - 07/01/41

     12,538        13,570   

4.00%, 02/01/25 - 10/01/41

     31,234        32,666   

3.50%, 10/01/25 - 02/01/27

     20,408        21,353   

3.00%, 10/01/26 - 09/01/27

     10,837        11,071   

2.41%, 03/01/33 (i)

     4        4   

1.79%, 06/01/33 (i)

     45        47   

2.34%, 06/01/33 - 12/01/33 (i)

     954        1,012   

2.35%, 07/01/33 (i)

     33        35   

2.63%, 09/01/33 (i)

     3        3   

2.20%, 12/01/33 (i)

     2        2   

2.44%, 04/01/34 - 11/01/35 (i)

     750        802   

2.19%, 10/01/34 - 02/01/36 (i)

     1,662        1,757   

2.11%, 11/01/34 (i)

     5        6   

2.42%, 11/01/34 - 06/01/35 (i)

     694        737   

2.49%, 11/01/34 - 01/01/35 (i)

     656        700   

2.37%, 12/01/34 (i)

     61        65   

2.40%, 01/01/35 (i)

     24        25   

2.46%, 01/01/35 - 01/01/35 (i)

     153        163   

2.39%, 02/01/35 (i)

     166        175   

2.50%, 02/01/35 (i)

     41        44   

2.25%, 03/01/35 (i)

     52        55   

1.99%, 04/01/35 (i)

     306        323   

2.69%, 04/01/35 (i)

     130        136   

2.74%, 04/01/35 (i)

     330        346   

2.26%, 05/01/35 (i)

     249        264   

2.47%, 05/01/35 (i)

     74        79   

2.29%, 07/01/35 (i)

     406        423   

2.61%, 07/01/35 - 03/01/36 (i)

     1,009        1,071   

1.76%, 08/01/35 (i)

     741        765   

2.36%, 08/01/35 (i)

     486        518   

2.13%, 11/01/35 (i)

     791        833   

2.48%, 02/01/36 (i)

     372        395   

2.52%, 03/01/36 (i)

     281        300   

6.00%, 04/01/36 - 04/01/40

     2,183        2,420   

REMIC, 5.00%, 08/25/19 - 11/25/21

     2,418        2,550   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

REMIC, 0.61%, 07/25/42 (i)

     5,264        5,251   
   

 

 

  
      163,064   

Government National Mortgage Association - 2.2%

  

  

Government National Mortgage Association

    

7.00%, 12/15/17

     209        218   

5.50%, 07/15/20

     147        158   

3.00%, 06/20/27 - 09/20/27

     7,454        7,663   

2.50%, 09/20/27

     4,513        4,507   

6.00%, 07/15/36

     2,581        3,029   

4.50%, 09/20/40

     2,250        2,420   

3.50%, 03/20/43 - 04/20/43

     7,240        7,316   

REMIC, 0.62%, 07/16/42 (i)

     11,041        11,107   
   

 

 

  
      36,418   
   

 

 

  

Total Government and Agency Obligations
(cost $388,362)

   

     388,683   
   

 

 

  

SHORT TERM INVESTMENTS - 4.8%

  

  

Investment Companies - 4.4%

    

JNL Money Market Fund,
0.01% (a) (h)

     8,187        8,187   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     65,124        65,124   
   

 

 

  
      73,311   

Securities Lending Collateral - 0.4%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     7,176        7,176   
   

 

 

  

Total Short Term Investments (cost $80,487)

  

     80,487   
   

 

 

  

Total Investments - 100.0% (cost $1,653,862)

  

     1,657,875   

Other Assets and Liabilities, Net - (0.0% )

  

     (364 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,657,511   
   

 

 

  

JNL/T. Rowe Price Value Fund

  

  

COMMON STOCKS - 99.5%

  

  

CONSUMER DISCRETIONARY - 7.1%

  

  

Carnival Corp. (e)

     773      $ 31,043   

Coach Inc.

     151        8,470   

Comcast Corp. - Class A

     141        7,338   

Comcast Corp. - Special Class A

     322        16,051   

Discovery Communications Inc. - Class C (c)

     89        7,480   

General Motors Co. (c)

     568        23,198   

J.C. Penney Co. Inc. (c) (e)

     341        3,118   

Kohl’s Corp.

     402        22,808   

Lowe’s Cos. Inc.

     415        20,539   

Time Warner Cable Inc.

     48        6,436   

Time Warner Inc.

     128        8,952   

TRW Automotive Holdings Corp. (c)

     236        17,556   
   

 

 

  
      172,989   

CONSUMER STAPLES - 7.5%

    

Archer-Daniels-Midland Co.

     399        17,299   

Avon Products Inc.

     655        11,277   

Bunge Ltd.

     219        18,007   

Dr. Pepper Snapple Group Inc.

     329        16,048   

Energizer Holdings Inc.

     74        8,010   

General Mills Inc.

     228        11,380   

Ingredion Inc.

     14        972   

Kellogg Co.

     115        7,005   

Lorillard Inc.

     170        8,631   

Nestle SA

     83        6,119   

PepsiCo Inc.

     60        4,968   

Philip Morris International Inc.

     77        6,665   

Procter & Gamble Co.

     680        55,383   
     Shares/Par (p)     Value  

Wal-Mart Stores Inc.

     129        10,151   
   

 

 

  
    181,915   

ENERGY - 9.9%

    

Anadarko Petroleum Corp.

     67        5,307   

Apache Corp.

     357        30,638   

Chesapeake Energy Corp.

     435        11,814   

Chevron Corp.

     11        1,386   

Cimarex Energy Co.

     69        7,228   

Concho Resources Inc. (c)

     116        12,571   

CONSOL Energy Inc.

     128        4,877   

ENI SpA

     694        16,761   

Hess Corp.

     11        905   

Marathon Oil Corp.

     80        2,831   

Phillips 66

     731        56,351   

Pioneer Natural Resources Co.

     149        27,344   

Spectra Energy Corp.

     291        10,348   

Talisman Energy Inc.

     828        9,644   

Valero Energy Corp.

     842        42,432   
   

 

 

  
    240,437   

FINANCIALS - 23.5%

    

Allstate Corp.

     307        16,733   

Ameriprise Financial Inc.

     149        17,142   

Bank of America Corp.

     1,066        16,591   

Barclays Plc

     3,282        14,839   

Capital One Financial Corp.

     343        26,270   

Citigroup Inc.

     752        39,187   

Invesco Ltd.

     296        10,785   

JPMorgan Chase & Co.

     1,294        75,656   

Marsh & McLennan Cos. Inc.

     532        25,723   

MetLife Inc.

     888        47,882   

Morgan Stanley

     1,139        35,713   

PNC Financial Services Group Inc.

     341        26,447   

SLM Corp.

     187        4,914   

State Street Corp.

     343        25,180   

TD Ameritrade Holding Corp.

     697        21,347   

Travelers Cos. Inc.

     181        16,424   

U.S. Bancorp

     1,106        44,662   

UniCredit SpA

     1,170        8,631   

Unum Group

     60        2,091   

Wells Fargo & Co.

     637        28,920   

Weyerhaeuser Co.

     1,340        42,291   

XL Group Plc

     709        22,566   
   

 

 

  
        569,994   

HEALTH CARE - 18.9%

    

AbbVie Inc.

     182        9,601   

Agilent Technologies Inc.

     628        35,933   

Amgen Inc.

     135        15,400   

CIGNA Corp.

     237        20,724   

Covidien Plc

     259        17,658   

HCA Holdings Inc. (c)

     359        17,121   

Hospira Inc. (c)

     288        11,876   

Johnson & Johnson

     570        52,161   

Mallinckrodt Plc (c)

     35        1,815   

Merck & Co. Inc.

     1,316        65,846   

Novartis AG

     30        2,412   

Pfizer Inc.

     2,853        87,372   

Quest Diagnostics Inc. (e)

     254        13,599   

Thermo Fisher Scientific Inc.

     490        54,517   

UnitedHealth Group Inc.

     460        34,653   

WellPoint Inc.

     207        19,088   
   

 

 

  
    459,776   

INDUSTRIALS - 10.9%

    

3M Co.

     142        19,930   

American Airlines Group Inc (c) (e)

     1,513        38,203   

Boeing Co.

     319        43,595   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Emerson Electric Co.

     18        1,228   

General Electric Co.

     1,797        50,370   

Honeywell International Inc.

     463        42,304   

Textron Inc.

     262        9,642   

United Continental Holdings Inc. (c)

     608        22,993   

United Technologies Corp.

     325        36,997   
   

 

 

  
    265,262   

INFORMATION TECHNOLOGY - 7.8%

  

  

Apple Inc.

     6        3,311   

Applied Materials Inc.

     901        15,940   

Avago Technologies Ltd.

     519        27,461   

Cisco Systems Inc.

     854        19,181   

Equinix Inc. (c)

     19        3,354   

Micron Technology Inc. (c)

     1,537        33,436   

Microsoft Corp.

     312        11,674   

NXP Semiconductors NV (c)

     466        21,394   

TE Connectivity Ltd.

     55        3,048   

Texas Instruments Inc.

     664        29,161   

Visa Inc. - Class A

     53        11,691   

Xerox Corp.

     848        10,315   
   

 

 

  
    189,966   

MATERIALS - 5.5%

    

Celanese Corp. - Class A

     637        35,205   

Crown Holdings Inc. (c)

     303        13,514   

Freeport-McMoRan Copper & Gold Inc.

     67        2,532   

Holcim Ltd.

     64        4,788   

International Paper Co.

     794        38,905   

LyondellBasell Industries NV

     347        27,841   

Potash Corp. of Saskatchewan Inc.

     155        5,099   

Vulcan Materials Co.

     96        5,710   
   

 

 

  
    133,594   

TELECOMMUNICATION SERVICES - 1.0%

  

AT&T Inc.

     352        12,373   

Windstream Holdings Inc. (e)

     1,488        11,877   
   

 

 

  
    24,250   

UTILITIES - 7.4%

    

AES Corp.

     2,482        36,018   

American Electric Power Co. Inc.

     373        17,434   

CenterPoint Energy Inc.

     432        10,014   

Entergy Corp.

     243        15,362   

Exelon Corp.

     568        15,558   

FirstEnergy Corp.

     461        15,217   

MDU Resources Group Inc.

     583        17,798   

NRG Energy Inc.

     1,319        37,886   

PG&E Corp.

     336        13,534   
   

 

 

  
    178,821   
   

 

 

  

Total Common Stocks (cost $1,828,123)

  

     2,417,004   
   

 

 

  

SHORT TERM INVESTMENTS - 3.3%

  

  

Investment Companies - 0.3%

    

JNL Money Market Fund,
0.01% (a) (h)

     4,492        4,492   

T. Rowe Price Reserves Investment Fund, 0.05% (a) (h)

     3,849        3,849   
   

 

 

  
    8,341   

Securities Lending Collateral - 3.0%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     72,498        72,498   
   

 

 

  

Total Short Term Investments (cost $80,839)

  

     80,839   
   

 

 

  

Total Investments - 102.8% (cost $1,908,962)

  

     2,497,843   

Other Assets and Liabilities, Net - (2.8%)

 

     (68,377 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     2,429,466   
   

 

 

  
     Shares/Par (p)     Value  

JNL/WMC Balanced Fund

  

COMMON STOCKS - 66.3%

    

CONSUMER DISCRETIONARY - 6.5%

  

  

Comcast Corp. - Class A

     905      $ 47,037   

Ford Motor Co.

     1,746        26,945   

Interpublic Group of Cos. Inc.

     740        13,093   

Lowe’s Cos. Inc.

     536        26,567   

Mattel Inc.

     508        24,181   

Omnicom Group Inc.

     328        24,426   

Time Warner Inc.

     461        32,170   

Walt Disney Co.

     288        22,037   
   

 

 

  
    216,456   

CONSUMER STAPLES - 4.5%

  

  

CVS Caremark Corp.

     524        37,496   

Kraft Foods Group Inc.

     403        21,737   

Philip Morris International Inc.

     247        21,543   

Procter & Gamble Co.

     332        27,055   

Unilever NV - ADR

     489        19,685   

Wal-Mart Stores Inc.

     270        21,264   
   

 

 

  
    148,780   

ENERGY - 7.1%

    

Anadarko Petroleum Corp.

     326        25,825   

BP Plc - ADR

     596        28,991   

Chevron Corp.

     440        54,964   

Exxon Mobil Corp.

     519        52,512   

Halliburton Co.

     273        13,839   

Imperial Oil Ltd.

     337        14,898   

Occidental Petroleum Corp.

     108        10,239   

Phillips 66

     263        20,288   

Suncor Energy Inc.

     466        16,330   
   

 

 

  
    237,886   

FINANCIALS - 14.6%

    

ACE Ltd.

     389        40,230   

AFLAC Inc.

     324        21,627   

Ameriprise Financial Inc.

     238        27,416   

Bank of Nova Scotia

     198        12,414   

BB&T Corp.

     389        14,534   

BlackRock Inc.

     92        29,001   

Citigroup Inc.

     610        31,763   

JPMorgan Chase & Co.

     1,017        59,450   

Marsh & McLennan Cos. Inc.

     365        17,649   

MetLife Inc.

     400        21,559   

PNC Financial Services Group Inc.

     536        41,613   

Principal Financial Group Inc.

     465        22,905   

Prudential Financial Inc.

     455        41,942   

Rayonier Inc.

     296        12,446   

Wells Fargo & Co.

     2,094        95,045   
   

 

 

  
    489,594   

HEALTH CARE - 10.4%

    

AstraZeneca Plc - ADR (e)

     350        20,764   

Cardinal Health Inc.

     486        32,493   

Eli Lilly & Co.

     640        32,621   

Johnson & Johnson

     605        55,444   

Medtronic Inc.

     616        35,356   

Merck & Co. Inc.

     1,530        76,566   

Pfizer Inc.

     1,450        44,426   

Teva Pharmaceutical Industries Ltd. - ADR

     354        14,196   

UnitedHealth Group Inc.

     247        18,613   

Zoetis Inc. - Class A

     530        17,328   
   

 

 

  
    347,807   

INDUSTRIALS - 8.6%

    

Caterpillar Inc.

     122        11,102   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

CSX Corp.

     627        18,050   

Deere & Co.

     196        17,873   

Eaton Corp. Plc

     239        18,226   

Emerson Electric Co.

     192        13,489   

Equifax Inc.

     321        22,176   

FedEx Corp.

     180        25,836   

General Electric Co.

     1,258        35,261   

Honeywell International Inc.

     291        26,634   

Raytheon Co.

     162        14,733   

Siemens AG - ADR (e)

     126        17,485   

Textron Inc.

     379        13,950   

United Continental Holdings Inc. (c)

     660        24,983   

United Parcel Service Inc. - Class B

     262        27,492   
   

 

 

  
      287,290   

INFORMATION TECHNOLOGY - 9.8%

  

Accenture Plc - Class A

     354        29,072   

Apple Inc.

     47        26,395   

Broadcom Corp. - Class A

     405        11,994   

Cisco Systems Inc.

     1,095        24,573   

eBay Inc. (c)

     422        23,178   

EMC Corp.

     458        11,507   

Intel Corp.

     1,228        31,889   

International Business Machines Corp.

     156        29,183   

Microsoft Corp.

     1,567        58,638   

Oracle Corp.

     416        15,928   

QUALCOMM Inc.

     135        9,996   

Symantec Corp.

     463        10,928   

Texas Instruments Inc.

     625        27,450   

Xerox Corp.

     1,409        17,146   
   

 

 

  
      327,877   

MATERIALS - 1.4%

  

Dow Chemical Co.

     524        23,270   

Goldcorp Inc.

     375        8,131   

International Paper Co.

     336        16,484   
   

 

 

  
      47,885   

TELECOMMUNICATION SERVICES - 1.5%

  

Verizon Communications Inc.

     1,045        51,338   

UTILITIES - 1.9%

  

Dominion Resources Inc.

     516        33,372   

Exelon Corp.

     484        13,256   

NRG Energy Inc.

     631        18,133   
   

 

 

  
      64,761   
   

 

 

  

Total Common Stocks (cost $1,690,412)

       2,219,674   
   

 

 

  

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 0.9%

   

Ally Auto Receivables Trust, 1.35%, 12/15/15

   $ 181        182   

Ally Master Owner Trust

    

1.44%, 02/15/17

         3,000        3,022   

1.54%, 09/15/19

     3,690        3,663   

AmeriCredit Automobile Receivables Trust

    

3.34%, 04/08/16

     455        463   

1.23%, 09/08/16

     470        471   

Avis Budget Rental Car Funding AESOP LLC, 2.09%, 04/20/15 (r)

     917        919   

Banc of America Merrill Lynch Commercial Mortgage Inc. REMIC, 5.18%, 09/10/47 (i)

     1,200        1,277   

Bear Stearns Commercial Mortgage Securities Trust REMIC

    

5.58%, 04/12/38 (i)

     198        214   

5.71%, 09/11/38 (i)

     575        628   

5.20%, 12/11/38

     780        852   

5.44%, 03/11/39 (i)

     915        986   

5.54%, 09/11/41

     600        654   
     Shares/Par (p)     Value  

5.54%, 10/12/41

     620        678   

Cent CLO LP, 1.72%, 01/25/26 (f) (r)

     2,200        2,200   

Citibank Credit Card Issuance Trust, 5.65%, 09/20/19

     750        859   

Commercial Mortgage Pass-Through Certificates REMIC, 3.15%, 08/15/45

     885        853   

Continental Airlines Inc. Pass-Through Trust, 5.98%, 04/19/22

     241        262   

DBUBS Mortgage Trust REMIC, 3.74%, 11/10/46 (e) (r)

     2,463        2,589   

Ford Credit Floorplan Master Owner Trust, 1.92%, 01/15/19

     1,545        1,573   

GS Mortgage Securities Corp. II REMIC, 4.75%, 07/10/39 (e)

     888        920   

Hilton USA Trust REMIC, 2.66%, 11/05/30 (r)

     1,960        1,939   

HLSS Servicer Advance Receivables Backed Notes

    

1.50%, 01/16/46 (i) (r)

     285        284   

2.29%, 01/15/48 (i) (r)

     415        407   

JPMorgan Chase Commercial Mortgage Securities Corp. REMIC, 5.48%, 12/12/44 (i)

     225        240   

Merrill Lynch Mortgage Trust REMIC

    

5.05%, 07/12/38 (i)

     500        528   

5.68%, 05/12/39 (i)

     900        978   

Morgan Stanley Capital I Trust REMIC, 5.65%, 06/11/42 (i)

     200        225   

OBP Depositor LLC Trust, 4.65%, 07/15/45 (r)

     495        536   

SBA Tower Trust

    

4.25%, 04/15/15 (r)

     420        425   

2.93%, 12/15/17 (r)

     1,155        1,175   

Southwest Airlines Co. Pass-Through Trust, 6.15%, 08/01/22

     196        224   

Springleaf Mortgage Loan Trust REMIC, 2.31%, 06/25/58 (i) (r)

     305        295   
   

 

 

  

Total Non-U.S. Government Agency Asset- Backed Securities (cost $29,866)

       30,521   
   

 

 

  

CORPORATE BONDS AND NOTES - 8.3%

  

CONSUMER DISCRETIONARY - 1.2%

  

Amazon.com Inc., 2.50%, 11/29/22 (e)

     1,265        1,138   

AutoZone Inc.

    

4.00%, 11/15/20 (e)

     1,000        1,026   

3.70%, 04/15/22

     495        477   

3.13%, 07/15/23

     1,000        904   

CBS Corp.

    

5.75%, 04/15/20

     805        903   

4.30%, 02/15/21 (e)

     525        534   

3.38%, 03/01/22

     905        862   

Comcast Corp.

    

6.50%, 01/15/17

     750        859   

5.65%, 06/15/35

     165        175   

6.50%, 11/15/35

     165        192   

6.55%, 07/01/39

     375        443   

4.65%, 07/15/42

     1,125        1,043   

4.50%, 01/15/43 (e)

     800        720   

COX Communications Inc.

    

3.25%, 12/15/22 (r)

     1,000        903   

4.70%, 12/15/42 (r)

     215        180   

4.50%, 06/30/43 (e) (r)

     575        462   

Daimler Finance North America LLC

    

2.63%, 09/15/16 (r)

     1,400        1,448   

2.38%, 08/01/18 (r)

     1,400        1,396   

2.25%, 07/31/19 (r)

     1,580        1,548   

8.50%, 01/18/31

     300        435   

DIRECTV Holdings LLC

    

3.50%, 03/01/16

     900        945   

1.75%, 01/15/18

     1,000        981   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

6.38%, 03/01/41

     725        749   

5.15%, 03/15/42

     1,300        1,164   

Discovery Communications LLC

    

3.30%, 05/15/22

     1,000        945   

3.25%, 04/01/23 (e)

     265        246   

4.95%, 05/15/42

     195        181   

4.88%, 04/01/43

     280        257   

Grupo Televisa SAB, 6.63%, 01/15/40

     375        397   

Harley-Davidson Financial Services Inc., 2.70%, 03/15/17 (r)

     735        753   

Johnson Controls Inc., 3.75%, 12/01/21

     1,000        991   

Lowe’s Cos. Inc., 6.65%, 09/15/37

     420        511   

NBCUniversal Enterprise Inc.

    

1.66%, 04/15/18 (e) (r)

     830        810   

1.97%, 04/15/19 (r)

     1,480        1,447   

NBCUniversal Media LLC, 2.88%, 04/01/16

     1,700        1,770   

News America Inc.

    

4.50%, 02/15/21

     850        910   

3.00%, 09/15/22 (e)

     750        704   

4.00%, 10/01/23 (r)

     420        414   

Nissan Motor Acceptance Corp.

    

1.80%, 03/15/18 (e) (r)

     3,400        3,318   

2.65%, 09/26/18 (e) (r)

     1,445        1,445   

Time Warner Cable Inc.

    

5.85%, 05/01/17

     270        294   

5.88%, 11/15/40

     1,200        1,035   

5.50%, 09/01/41

     600        496   

Time Warner Inc.

    

4.88%, 03/15/20

     500        547   

4.75%, 03/29/21

     450        479   

6.25%, 03/29/41

     500        553   

Viacom Inc.

    

2.50%, 12/15/16

     1,100        1,138   

3.25%, 03/15/23

     435        402   

4.38%, 03/15/43

     951        800   

4.88%, 06/15/43

     360        325   
   

 

 

  
      40,655   

CONSUMER STAPLES - 0.9%

  

Altria Group Inc.

    

4.75%, 05/05/21

     1,148        1,231   

4.50%, 05/02/43 (e)

     1,800        1,585   

Anheuser-Busch InBev Worldwide Inc.

    

6.88%, 11/15/19 (l)

     680        833   

5.38%, 01/15/20 (l)

     170        195   

2.50%, 07/15/22

     731        675   

BAT International Finance Plc, 3.25%, 06/07/22 (r)

     1,945        1,860   

Coca-Cola Femsa SAB de CV

    

2.38%, 11/26/18

     1,266        1,256   

3.88%, 11/26/23

     1,400        1,378   

ConAgra Foods Inc.

    

1.90%, 01/25/18

     330        324   

3.20%, 01/25/23

     285        264   

CVS Caremark Corp.

    

5.75%, 06/01/17

     120        136   

4.00%, 12/05/23

     2,680        2,670   

Diageo Capital Plc, 2.63%, 04/29/23 (e)

     1,800        1,638   

Dr. Pepper Snapple Group Inc., 2.90%, 01/15/16

     247        256   

General Mills Inc., 4.15%, 02/15/43 (e)

     800        705   

Heineken NV

    

2.75%, 04/01/23 (r)

     1,785        1,597   

4.00%, 10/01/42 (r)

     40        34   

Japan Tobacco Inc., 2.10%, 07/23/18 (r)

     875        872   

Kellogg Co., 4.00%, 12/15/20

     1,300        1,347   

Kraft Foods Group Inc.

    

2.25%, 06/05/17 (e)

     375        380   
     Shares/Par (p)     Value  

3.50%, 06/06/22

     1,760        1,713   

5.00%, 06/04/42 (e)

     410        403   

Kroger Co.

    

3.30%, 01/15/21

     745        739   

3.85%, 08/01/23

     430        423   

Molson Coors Brewing Co.

    

2.00%, 05/01/17

     40        40   

3.50%, 05/01/22 (e)

     1,365        1,338   

5.00%, 05/01/42 (e)

     550        536   

PepsiCo Inc.

    

3.13%, 11/01/20

     460        460   

2.75%, 03/05/22 (e)

     970        920   

SABMiller Holdings Inc.

    

6.50%, 07/15/18 (r)

     600        708   

3.75%, 01/15/22 (r)

     750        752   

4.95%, 01/15/42 (r)

     200        198   

Wal-Mart Stores Inc, 3.63%, 07/08/20 (e)

     2,300        2,407   

WM Wrigley Jr. Co., 3.70%, 06/30/14 (r)

     925        939   
   

 

 

  
      30,812   

ENERGY - 0.5%

  

BP Capital Markets Plc

    

4.75%, 03/10/19 (e)

     675        752   

3.25%, 05/06/22

     1,000        968   

2.50%, 11/06/22

     600        545   

3.99%, 09/26/23 (e)

     195        197   

Chevron Corp., 3.19%, 06/24/23

     1,895        1,816   

EOG Resources Inc., 5.63%, 06/01/19

     190        218   

Gazprom Neft OAO Via GPN Capital SA, 4.38%, 09/19/22 (r)

     750        687   

Halliburton Co., 3.50%, 08/01/23 (e)

     2,750        2,661   

Motiva Enterprises LLC, 5.75%, 01/15/20 (r)

     75        85   

Occidental Petroleum Corp., 4.10%, 02/01/21 (e)

     941        987   

Shell International Finance BV

    

3.10%, 06/28/15

     400        415   

4.38%, 03/25/20

     675        739   

Statoil ASA

    

5.25%, 04/15/19

     215        244   

2.90%, 11/08/20

     1,650        1,637   

Total Capital SA, 2.13%, 08/10/18 (e)

     2,250        2,258   

TransCanada Pipelines Ltd., 3.80%, 10/01/20

     975        1,008   
   

 

 

  
      15,217   

FINANCIALS - 3.3%

  

Ace Capital Trust II, 9.70%, 04/01/30

     525        751   

American Express Centurion Bank, 6.00%, 09/13/17

     850        975   

American Express Credit Corp.

    

2.75%, 09/15/15

     500        517   

2.38%, 03/24/17

     1,025        1,053   

2.13%, 07/27/18 (e)

     1,700        1,702   

American Honda Finance Corp., 2.50%, 09/21/15 (r)

     1,000        1,031   

American International Group Inc., 4.13%, 02/15/24

     1,100        1,092   

Ameriprise Financial Inc., 5.30%, 03/15/20

     170        192   

AvalonBay Communities Inc., 3.63%, 10/01/20 (e)

     905        914   

AXA SA, 8.60%, 12/15/30

     425        523   

Bank of America Corp.

    

6.50%, 08/01/16

     2,000        2,258   

5.42%, 03/15/17

     700        769   

2.00%, 01/11/18

     1,200        1,197   

7.63%, 06/01/19

     800        992   

5.63%, 07/01/20

     140        160   

3.30%, 01/11/23

     705        666   

4.10%, 07/24/23 (e)

     1,390        1,394   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

5.88%, 02/07/42

     300        342   

Bank of Montreal, 2.50%, 01/11/17

     2,650        2,729   

Bank of New York Mellon Corp., 5.45%, 05/15/19

     500        568   

Bank of Nova Scotia, 3.40%, 01/22/15

     625        645   

Barclays Bank Plc, 6.75%, 05/22/19 (e)

     320        385   

BNP Paribas SA

    

2.40%, 12/12/18

     2,500        2,500   

3.25%, 03/03/23 (e)

     305        288   

BPCE SA, 2.50%, 12/10/18 (e)

     2,170        2,157   

Canadian Imperial Bank of Commerce, 2.35%, 12/11/15 (e)

     1,300        1,343   

Capital One Bank USA NA, 2.15%, 11/21/18 (e)

     1,930        1,919   

Capital One Financial Corp.

    

2.15%, 03/23/15

     895        910   

4.75%, 07/15/21

     1,500            1,593   

CDP Financial, 4.40%, 11/25/19 (r)

     600        660   

Citigroup Inc.

    

5.50%, 10/15/14

     229        237   

4.59%, 12/15/15

     535        572   

5.85%, 08/02/16 (e)

     1,300        1,446   

4.45%, 01/10/17

     1,000        1,083   

6.13%, 05/15/18

     245        283   

2.50%, 09/26/18

     1,000        1,004   

8.50%, 05/22/19

     1,400        1,793   

5.38%, 08/09/20

     586        666   

4.50%, 01/14/22

     605        640   

8.13%, 07/15/39

     115        161   

5.88%, 01/30/42 (e)

     165        185   

Comerica Inc., 3.00%, 09/16/15

     95        99   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.20%, 03/11/15 (r)

     750        773   

Credit Agricole SA, 3.50%, 04/13/15 (e) (r)

     740        764   

Credit Suisse New York, 3.50%, 03/23/15

     345        357   

Deutsche Bank AG London, 3.45%, 03/30/15

     500        516   

Discover Financial Services, 6.45%, 06/12/17

     90        102   

Eaton Vance Corp., 6.50%, 10/02/17

     30        34   

ERP Operating LP, 4.75%, 07/15/20 (e)

     765        824   

Everest Reinsurance Holdings Inc., 5.40%, 10/15/14

     215        222   

Five Corners Funding Trust, 4.42%, 11/15/23 (e) (r)

     1,505        1,481   

Ford Motor Credit Co. LLC, 1.50%, 01/17/17

     1,395        1,394   

General Electric Capital Corp.

    

5.55%, 05/04/20

     1,650        1,897   

4.63%, 01/07/21 (e)

     450        490   

4.65%, 10/17/21

     500        544   

3.15%, 09/07/22 (e)

     3,590        3,469   

6.15%, 08/07/37

     215        250   

5.88%, 01/14/38

     1,181        1,341   

Goldman Sachs Group Inc.

    

5.35%, 01/15/16

     400        433   

5.63%, 01/15/17

     1,350        1,487   

6.00%, 06/15/20

     205        235   

5.25%, 07/27/21

     1,000        1,093   

5.75%, 01/24/22

     2,445        2,749   

3.63%, 01/22/23 (e)

     550        532   

6.25%, 02/01/41

     940        1,080   

HCP Inc., 6.00%, 01/30/17

     365        409   

HSBC Bank Plc, 4.13%, 08/12/20 (r)

     900        951   

HSBC Bank USA NA, 5.88%, 11/01/34

     250        274   

HSBC Holdings Plc

    

4.00%, 03/30/22

     870        893   

6.10%, 01/14/42

     905        1,074   

HSBC USA Inc., 1.63%, 01/16/18 (e)

     1,435        1,414   

ING Bank NV, 3.75%, 03/07/17 (r)

     1,600        1,685   
     Shares/Par (p)     Value  

JPMorgan Chase & Co.

    

3.40%, 06/24/15

     1,800        1,869   

6.30%, 04/23/19

     475        560   

4.50%, 01/24/22

     825        871   

3.25%, 09/23/22

     1,000        957   

3.38%, 05/01/23 (e)

     1,060        986   

6.40%, 05/15/38

     425        506   

5.40%, 01/06/42

     540        579   

Kimco Realty Corp., 5.78%, 03/15/16

     345        378   

Korea Finance Corp., 2.88%, 08/22/18

     990        995   

Liberty Mutual Group Inc., 4.25%, 06/15/23 (r)

     585        564   

Liberty Mutual Insurance Co., 7.88%, 10/15/26 (r)

     475        567   

Liberty Property LP, 6.63%, 10/01/17

     225        258   

Lloyds Bank Plc., 4.38%, 01/12/15 (r)

     625        648   

Loews Corp., 2.63%, 05/15/23 (e)

     780        698   

MassMutual Global Funding II

    

2.88%, 04/21/14 (r)

     172        173   

2.10%, 08/02/18 (r)

     1,875        1,859   

MetLife Inc.

    

4.13%, 08/13/42

     265        230   

4.88%, 11/13/43

     1,345        1,315   

Metropolitan Life Global Funding I

    

2.50%, 09/29/15 (r)

     1,200        1,236   

1.50%, 01/10/18 (r)

     1,480        1,439   

Morgan Stanley

    

6.00%, 05/13/14

     298        304   

5.45%, 01/09/17

     1,000        1,109   

2.13%, 04/25/18 (e)

     1,900        1,883   

National Rural Utilities Cooperative Finance Corp.

    

5.45%, 02/01/18

     1,000        1,127   

3.05%, 02/15/22

     445        432   

Nordea Bank AB, 3.70%, 11/13/14 (r)

     345        355   

Northern Trust Corp., 3.45%, 11/04/20 (e)

     490        503   

PNC Funding Corp., 5.40%, 06/10/14

     525        537   

Private Export Funding Corp., 2.25%, 12/15/17

     1,985        2,043   

Prudential Financial Inc.

    

5.50%, 03/15/16

     425        464   

6.00%, 12/01/17

     450        517   

2.30%, 08/15/18

     1,885        1,873   

QBE Insurance Group Ltd., 2.40%, 05/01/18 (r)

     350        336   

Realty Income Corp.

    

6.75%, 08/15/19

     355        415   

5.75%, 01/15/21

     335        370   

Simon Property Group LP

    

4.20%, 02/01/15 (e)

     600        618   

6.10%, 05/01/16

     325        359   

Sovereign Bank, 8.75%, 05/30/18 (e)

     450        540   

Standard Chartered Plc, 3.85%, 04/27/15 (r)

     265        275   

Svenska Handelsbanken AB

    

4.88%, 06/10/14 (r)

     700        714   

2.88%, 04/04/17

     2,000        2,083   

Toyota Motor Credit Corp., 2.80%, 01/11/16 (e)

     1,020        1,066   

U.S. Bank NA, 4.95%, 10/30/14

     450        467   

UBS AG, 4.88%, 08/04/20

     1,700        1,890   

Wachovia Corp., 5.75%, 06/15/17 (e)

     1,500        1,710   

WEA Finance LLC, 7.13%, 04/15/18 (r)

     350        415   

Wells Fargo & Co.

    

3.50%, 03/08/22

     2,515        2,512   

4.48%, 01/16/24 (r)

     517        514   
   

 

 

  
      111,280   

HEALTH CARE - 0.7%

  

Aetna Inc., 1.75%, 05/15/17

     55        55   

Amgen Inc.

    

3.88%, 11/15/21

     2,300        2,359   

5.15%, 11/15/41

     2,700        2,681   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Express Scripts Holding Co.

    

2.65%, 02/15/17

     1,897        1,955   

3.90%, 02/15/22

     1,000        1,000   

GlaxoSmithKline Capital Inc., 2.80%, 03/18/23 (e)

     820        758   

GlaxoSmithKline Capital Plc

    

1.50%, 05/08/17

     480        480   

2.85%, 05/08/22

     1,255        1,182   

Kaiser Foundation Hospitals

    

3.50%, 04/01/22

     235        222   

4.88%, 04/01/42

     455        429   

McKesson Corp., 2.85%, 03/15/23

     90        81   

Medtronic Inc., 1.38%, 04/01/18 (e)

     675        662   

Merck & Co. Inc.

    

1.30%, 05/18/18

     550        535   

2.80%, 05/18/23

     940        869   

4.15%, 05/18/43

     630        573   

Pfizer Inc., 6.20%, 03/15/19

     700        829   

Roche Holdings Inc., 6.00%, 03/01/19 (l) (r)

     683        799   

Sanofi SA, 4.00%, 03/29/21

     1,025        1,072   

Thermo Fisher Scientific Inc., 3.25%, 11/20/14

     140        143   

UnitedHealth Group Inc.

    

3.88%, 10/15/20

     600        632   

2.88%, 03/15/22

     70        66   

4.63%, 11/15/41

     1,040        979   

WellPoint Inc.

    

2.30%, 07/15/18

     625        620   

4.35%, 08/15/20

     1,000        1,056   

3.30%, 01/15/23

     2,275        2,120   

Zoetis Inc.

    

3.25%, 02/01/23

     125        117   

4.70%, 02/01/43 (e)

     150        140   
   

 

 

  
      22,414   

INDUSTRIALS - 0.2%

  

Cargill Inc., 4.31%, 05/14/21 (r)

     517        536   

Catholic Health Initiatives, 2.60%, 08/01/18

     815        817   

Deere & Co., 4.38%, 10/16/19

     185        205   

ERAC USA Finance LLC

    

2.25%, 01/10/14 (r)

     375        375   

2.75%, 03/15/17 (r)

     340        350   

4.50%, 08/16/21 (r)

     620        645   

3.30%, 10/15/22 (r)

     120        111   

5.63%, 03/15/42 (e) (r)

     1,200        1,221   

FedEx Corp.

    

2.63%, 08/01/22

     190        171   

2.70%, 04/15/23 (e)

     520        467   

Hutchison Whampoa International 11 Ltd., 3.50%, 01/13/17 (r)

     920        960   

Kansas City Southern de Mexico SA de CV, 2.35%, 05/15/20

     160        149   

Siemens Financieringsmaatschappij NV, 5.75%, 10/17/16 (r)

     675        761   

Southwest Airlines Co., 5.75%, 12/15/16

     500        557   

United Technologies Corp., 3.10%, 06/01/22 (e)

     225        220   
   

 

 

  
      7,545   

INFORMATION TECHNOLOGY - 0.3%

  

Cisco Systems Inc., 4.45%, 01/15/20

     500        545   

eBay Inc., 2.60%, 07/15/22 (e)

     715        656   

EMC Corp.

    

1.88%, 06/01/18

     750        741   

2.65%, 06/01/20

     750        734   

3.38%, 06/01/23 (e)

     750        719   

Hewlett-Packard Co.

    

3.75%, 12/01/20 (e)

     905        902   

4.30%, 06/01/21 (e)

     1,000        1,012   
     Shares/Par (p)     Value  

International Business Machines Corp., 3.38%, 08/01/23

     2,750        2,675   

Oracle Corp., 6.13%, 07/08/39

     500        581   
   

 

 

  
      8,565   

MATERIALS - 0.1%

  

BHP Billiton Finance USA Ltd., 3.85%, 09/30/23

     1,945        1,950   

Rio Tinto Finance USA Plc, 2.25%, 12/14/18

     1,895        1,885   
   

 

 

  
      3,835   

TELECOMMUNICATION SERVICES - 0.8%

  

America Movil SAB de CV

    

3.13%, 07/16/22

     1,150        1,060   

4.38%, 07/16/42 (e)

     330        273   

AT&T Inc.

    

6.80%, 05/15/36

     150        174   

6.55%, 02/15/39

     155        175   

BellSouth Corp., 6.55%, 06/15/34

     300        320   

Deutsche Telekom International Finance BV

    

2.25%, 03/06/17 (r)

     495        502   

8.75%, 06/15/30 (e) (l)

     275        387   

4.88%, 03/06/42 (r)

     705        670   

France Telecom SA, 4.13%, 09/14/21

     2,550        2,578   

SBC Communications, 6.45%, 06/15/34

     480        538   

Verizon Communications Inc.

    

4.50%, 09/15/20

     6,235        6,667   

3.50%, 11/01/21

     735        729   

6.40%, 09/15/33

     4,730        5,425   

4.75%, 11/01/41

     265        247   

6.55%, 09/15/43

     4,455        5,195   

Verizon Global Funding Corp., 7.75%, 12/01/30

     500        637   

Vodafone Group Plc, 5.45%, 06/10/19

     600        682   
   

 

 

  
      26,259   

UTILITIES - 0.3%

  

Abu Dhabi National Energy Co., 5.88%, 10/27/16 (r)

     195        217   

Atmos Energy Corp., 6.35%, 06/15/17

     385        435   

Colorado Public Service Co., 5.13%, 06/01/19

     500        563   

Consolidated Edison Co. of New York Inc., 5.30%, 12/01/16

     250        280   

Duke Energy Carolinas LLC, 4.30%, 06/15/20

     875        937   

Electricite de France SA, 5.25%, (callable at 100 beginning 01/29/23) (e) (i) (m) (r)

     770        766   

Florida Power & Light Co., 5.25%, 02/01/41

     1,465        1,583   

Indianapolis Power & Light Co., 6.60%, 06/01/37 (r)

     500        581   

MidAmerican Energy Co., 6.13%, 04/01/36 (e)

     350        396   

Niagara Mohawk Power Corp., 3.55%, 10/01/14 (r)

     415        424   

Oncor Electric Delivery Co. LLC, 5.25%, 09/30/40

     325        334   

Pacific Gas & Electric Co.

    

3.85%, 11/15/23 (e)

     770        765   

5.13%, 11/15/43

     480        494   

PPL Electric Utilities Corp., 6.25%, 05/15/39

     60        71   

Public Service Electric & Gas Co., 2.70%, 05/01/15

     230        237   

San Diego Gas & Electric Co.

    

6.00%, 06/01/39

     100        119   

5.35%, 05/15/40

     800        885   

South Carolina Electric & Gas Co., 4.35%, 02/01/42 (e)

     730        675   

Southern California Edison Co., 5.55%, 01/15/37

     500        551   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value

Southern Co., 2.45%, 09/01/18

     675      685
   

 

  10,998
   

 

Total Corporate Bonds and Notes (cost $272,732)

  

           277,580
   

 

GOVERNMENT AND AGENCY OBLIGATIONS - 24.7%

GOVERNMENT SECURITIES - 13.7%

Municipals - 0.6%

    

Bay Area Toll Authority, 6.26%, 04/01/49

     975      1,169

City of Chicago O’Hare International Airport, RB

    

6.85%, 01/01/38

     700      739

6.40%, 01/01/40

     440      486

City of Sacramento, California (insured by Assured Guaranty Municpal Corp.), 5.85%, 08/01/19

     1,260      1,309

Dallas Area Rapid Transit, RB, 6.00%, 12/01/44

     390      450

Grand Parkway Transportation Corp., 5.18%, 10/01/42

     1,555      1,568

Illinois State Toll Highway Authority, 6.18%, 01/01/34

     565      638

Irvine Ranch Water District Joint Powers Agency, 2.61%, 03/15/14

     545      547

Los Angeles Unified School District, 5.75%, 07/01/34

     800      886

Maryland Transportation Authority, 5.89%, 07/01/43

     270      304

Massachusetts School Building Authority, 5.72%, 08/15/39

     500      549

Metropolitan Transportation Authority

    

7.34%, 11/15/39

     75      97

6.09%, 11/15/40

     405      453

6.81%, 11/15/40

     250      297

Municipal Electric Authority of Georgia, 6.64%, 04/01/57

     1,275      1,340

New Jersey State Turnpike Authority, 7.41%, 01/01/40

     705      928

New York State Thruway Authority, RB, 5.88%, 04/01/30

     840      932

North Texas Tollway Authority, 6.72%, 01/01/49

     850      1,013

Oregon School Boards Association (insured by AMBAC Assurance Corp.), 4.76%, 06/30/28

     420      442

Port Authority of New York & New Jersey, GO

    

6.04%, 12/01/29

     105      119

4.46%, 10/01/62

     2,500      2,130

State of California

    

7.55%, 04/01/39

     200      259

7.63%, 03/01/40

     400      523

University of California

    

4.60%, 05/15/31

     940      937

6.58%, 05/15/49

     370      431

University of California Build America Bond, 5.77%, 05/15/43

     615      678

University of Missouri, 5.96%, 11/01/39

     360      413

Utility Debt Securitization Authority, 3.44%, 12/15/25

     1,165      1,148
   

 

  20,785

Sovereign - 0.2%

    

Province of Ontario, Canada, 4.00%, 10/07/19

     550      595

Resolution Funding Corp., 0.00%, 04/15/14 (j)

     2,550      2,548

Tennessee Valley Authority, 4.38%, 06/15/15

     1,900      2,008
   

 

  5,151

U.S. Treasury Securities - 12.9%

    

U.S. Treasury Bond

    

5.38%, 02/15/31

     1,700      2,078

2.88%, 05/15/43

     39,945      32,237
     Shares/Par (p)     Value

U.S. Treasury Note

    

0.25%, 10/31/14 (e)

     27,280      27,303

0.25%, 11/30/14 - 11/30/15

     84,400      84,360

0.13%, 12/31/14 - 04/30/15

     77,450      77,366

0.38%, 06/30/15 - 08/31/15

     43,900      43,986

1.75%, 07/31/15

     15,900      16,271

1.25%, 10/31/15 - 11/30/18

     36,000      35,402

2.00%, 01/31/16 - 04/30/16

     17,000      17,574

1.50%, 06/30/16

     13,600      13,913

1.00%, 09/30/16

     3,300      3,328

0.88%, 11/30/16

     12,815      12,855

0.63%, 05/31/17

     9,320      9,198

0.75%, 10/31/17 (e)

     18,300      17,963

1.38%, 07/31/18 - 09/30/18

     10,030      9,921

3.63%, 02/15/20

     3,915      4,257

2.63%, 11/15/20

     9,400      9,541

2.75%, 11/15/23 (e)

     14,050      13,721
   

 

  431,274

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 11.0%

Federal Home Loan Mortgage Corp. - 5.0%

Federal Home Loan Mortgage Corp.

6.00%, 04/01/17 - 12/01/39

     1,029      1,137

6.50%, 11/01/17

     11      11

4.50%, 05/01/18 - 11/01/43

     75,570      80,104

4.00%, 09/01/26 - 07/01/41

     876      923

5.50%, 03/01/27

     152      167

5.00%, 02/01/28 - 12/01/41

     7,795      8,433

2.50%, 01/15/29, TBA (g)

     5,900      5,845

3.00%, 01/15/29 - 01/15/44, TBA (g)

     24,400      23,375

7.00%, 11/01/30 - 10/01/32

     92      101

3.50%, 01/15/44, TBA (g)

     13,250      13,146

4.00%, 01/15/44, TBA (g)

     30,900      31,733

5.50%, 01/15/44, TBA (g)

     2,400      2,621
   

 

          167,596

Federal National Mortgage Association - 3.4%

Federal National Mortgage Association

6.00%, 01/01/18

     16      16

3.50%, 03/01/26 - 03/01/26

     294      307

4.00%, 09/01/26 - 09/01/26

     5,110      5,418

4.50%, 01/01/27 - 10/01/31

     6,378      6,813

3.00%, 05/01/27 - 08/01/27

     1,256      1,283

2.00%, 01/15/29, TBA (g)

     2,200      2,118

2.50%, 01/15/29 - 01/15/44, TBA (g)

     11,850      11,648

3.00%, 01/15/29 - 01/15/44, TBA (g)

     37,325      36,213

3.50%, 01/15/29 - 01/15/44, TBA (g)

     27,000      27,088

7.50%, 09/01/29

     15      18

7.00%, 10/01/33

     86      97

5.50%, 03/01/38

     1,134      1,245

6.50%, 10/01/38 - 10/01/39

     570      633

5.00%, 07/01/40

     502      546

4.00%, 01/15/44, TBA (g)

     4,625      4,761

5.00%, 01/15/44, TBA (g)

     5,700      6,190

5.50%, 01/15/44, TBA (g)

     8,800      9,680
   

 

  114,074

Government National Mortgage Association - 2.6%

Government National Mortgage Association

6.00%, 02/15/24 - 04/15/40

     13,222      14,756

6.50%, 04/15/26

     20      23

5.50%, 11/15/32 - 02/15/36

     171      190

7.00%, 01/15/33 - 05/15/33

     30      36

5.00%, 06/20/33 - 11/15/41

     22,521      24,477

4.00%, 06/15/39 - 02/15/42

     3,965      4,127

4.50%, 06/15/40 - 05/15/42

     5,625      6,017

3.00%, 01/15/44, TBA (g)

     4,500      4,348

3.50%, 01/15/44, TBA (g)

     17,900      18,057
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

4.00%, 01/15/44, TBA (g)

     6,700        6,962   

4.50%, 01/15/44, TBA (g)

     3,800        4,063   

5.50%, 01/15/44, TBA (g)

     3,000        3,295   

REMIC, 7.50%, 09/16/35

     13        15   
   

 

 

  
    86,366   
   

 

 

  

Total Government and Agency Obligations (cost $825,987)

   

     825,246   
   

 

 

  

SHORT TERM INVESTMENTS - 8.6%

  

Investment Companies - 6.0%

  

JNL Money Market Fund, 0.01% (a) (h)

         200,637        200,637   

Securities Lending Collateral - 2.6%

  

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     88,292        88,292   
   

 

 

  

Total Short Term Investments (cost $288,929)

  

     288,929   
   

 

 

  

Total Investments - 108.8% (cost $3,107,926)

  

     3,641,950   

Total Forward Sales Commitments - (1.4%)
(proceeds $47,928)

   

     (47,960 ) 

Other Assets and Liabilities, Net - (7.4%)

 

     (247,158 ) 
   

 

 

  

Total Net Assets - 100.0%

  

   $     3,346,832   
   

 

 

  

FORWARD SALES COMMITMENTS - 1.4%

  

GOVERNMENT AND AGENCY OBLIGATIONS - 1.4%

  

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 1.4%

   

Federal Home Loan Mortgage Corp. - 1.0%

  

Federal Home Loan Mortgage Corp.

    

4.50%, 01/15/44, TBA (g)

   $ 30,000      $ 31,761   

5.00%, 01/15/44, TBA (g)

     1,750        1,888   
   

 

 

  
    33,649   

Government National Mortgage Association - 0.4%

  

Government National Mortgage Association, 5.00%, 01/15/44, TBA (g)

     13,200        14,311   
   

 

 

  

Total Forward Sales Commitments - 1.4% (proceeds $47,928)

   

   $ 47,960   
   

 

 

  

JNL/WMC Value Fund

  

COMMON STOCKS - 97.4%

  

CONSUMER DISCRETIONARY - 12.2%

  

AutoZone Inc. (c)

     45      $ 21,589   

CBS Corp. - Class B

     209        13,296   

Comcast Corp. - Class A

     457        23,755   

General Motors Co. (c)

     186        7,599   

Home Depot Inc.

     210        17,318   

Interpublic Group of Cos. Inc.

     712        12,600   

Kohl’s Corp.

     181        10,270   

Lowe’s Cos. Inc.

     434        21,491   

Newell Rubbermaid Inc.

     535        17,346   

Nordstrom Inc.

     219        13,518   

Pulte Homes Inc.

     745        15,172   

PVH Corp.

     170        23,092   

Thomson Reuters Corp.

     421        15,904   
   

 

 

  
    212,950   

CONSUMER STAPLES - 5.1%

  

Anheuser-Busch InBev NV - ADR

     193        20,543   

CVS Caremark Corp.

     330        23,616   

Diageo Plc - ADR

     142        18,826   

Kraft Foods Group Inc.

     223        12,002   
     Shares/Par (p)     Value  

Philip Morris International Inc.

     169        14,682   
   

 

 

  
    89,669   

ENERGY - 11.7%

    

Anadarko Petroleum Corp.

     191        15,155   

Chevron Corp.

     438        54,731   

EOG Resources Inc.

     97        16,250   

Exxon Mobil Corp.

     349        35,355   

Halliburton Co.

     490        24,861   

Marathon Oil Corp.

     544        19,218   

Occidental Petroleum Corp.

     228        21,707   

Southwestern Energy Co. (c)

     415        16,304   
   

 

 

  
    203,581   

FINANCIALS - 26.3%

    

ACE Ltd.

     303        31,388   

American International Group Inc.

     383        19,566   

Ameriprise Financial Inc.

     176        20,241   

BB&T Corp.

     528        19,706   

BlackRock Inc.

     86        27,267   

Chubb Corp.

     149        14,378   

Citigroup Inc.

     594        30,958   

Credit Suisse Group AG - ADR (e)

     319        9,915   

Goldman Sachs Group Inc.

     140        24,818   

Host Hotels & Resorts Inc.

     722        14,036   

IntercontinentalExchange Group Inc

     108        24,348   

JPMorgan Chase & Co.

     1,065        62,289   

Marsh & McLennan Cos. Inc.

     634        30,670   

PNC Financial Services Group Inc.

     482        37,403   

Principal Financial Group Inc.

     286        14,127   

Unum Group

     403        14,153   

Wells Fargo & Co.

     1,416        64,282   
   

 

 

  
    459,545   

HEALTH CARE - 11.9%

    

Amgen Inc.

     174        19,827   

AstraZeneca Plc - ADR

     145        8,621   

Baxter International Inc.

     282        19,647   

Covidien Plc

     344        23,450   

Johnson & Johnson

     220        20,154   

Merck & Co. Inc.

     864        43,246   

Pfizer Inc.

     302        9,258   

Roche Holding AG

     87        24,426   

UnitedHealth Group Inc.

     418        31,439   

Zoetis Inc. - Class A

     220        7,206   
   

 

 

  
    207,274   

INDUSTRIALS - 10.1%

    

3M Co.

     128        17,961   

Boeing Co.

     89        12,208   

Eaton Corp. Plc

     337        25,675   

General Electric Co.

     1,290        36,170   

Illinois Tool Works Inc.

     178        15,002   

Ingersoll-Rand Plc

     273        16,790   

PACCAR Inc.

     205        12,143   

Spirit Aerosystems Holdings Inc. - Class A (c)

     525        17,901   

United Technologies Corp.

     202        22,977   
   

 

 

  
            176,827   

INFORMATION TECHNOLOGY - 11.7%

  

Analog Devices Inc.

     330        16,796   

Cisco Systems Inc.

     2,023        45,423   

EMC Corp.

     1,198        30,124   

Intel Corp.

     1,154        29,959   

Maxim Integrated Products Inc.

     547        15,279   

Microsoft Corp.

     605        22,635   

Symantec Corp.

     1,016        23,953   
 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Schedules of Investments (in thousands)

December 31, 2013

 

     Shares/Par (p)     Value  

Xilinx Inc.

     449        20,606   
   

 

 

  
      204,775   

MATERIALS - 4.1%

    

Dow Chemical Co.

     457        20,309   

E.I. du Pont de Nemours & Co.

     170        11,057   

International Paper Co.

     325        15,912   

Nucor Corp.

     192        10,248   

Steel Dynamics Inc.

     678        13,249   
   

 

 

  
      70,775   

TELECOMMUNICATION SERVICES - 1.7%

  

Verizon Communications Inc.

     591        29,055   

UTILITIES - 2.6%

    

Edison International

     248        11,474   

Entergy Corp.

     156        9,861   

NextEra Energy Inc.

     116        9,964   

Northeast Utilities

     313        13,256   
   

 

 

  
      44,555   
   

 

 

  

Total Common Stocks (cost $1,216,649)

       1,699,006   
   

 

 

  

SHORT TERM INVESTMENTS - 3.0%

  

  

Investment Companies - 2.8%

    

JNL Money Market Fund, 0.01% (a) (h)

     49,376        49,376   

Securities Lending Collateral - 0.2%

    

Securities Lending Cash Collateral Fund LLC, 0.22% (a) (h)

     3,938        3,938   
   

 

 

  

Total Short Term Investments (cost $53,314)

  

     53,314   
   

 

 

  

Total Investments - 100.4% (cost $1,269,963)

  

     1,752,320   

Other Assets and Liabilities, Net - (0.4%)

  

     (7,024 ) 
   

 

 

  

Total Net Assets - 100.0%

     $     1,745,296   
   

 

 

  

    

 

 

See accompanying Notes to Financial Statements.

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

 

(a)

Investment in affiliate.

(b)

Consolidated Schedule of Investments.

(c)

Non-income producing security.

(d)

Issuer was in bankruptcy and/or was in default relating to principal and/or interest.

(e)

All or portion of the security was on loan.

(f)

Security fair valued in good faith in accordance with the procedures approved by the Trust’s Board of Trustees (“Board”). Good faith fair valued securities may be classified as Level 2 or Level 3 for Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820 “Fair Value Measurements and Disclosures” based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.

(g)

All or a portion of the security was purchased on a delayed delivery basis. As of December 31, 2013, the total payable for investments purchased on a delayed delivery basis (in thousands) was as follows: JNL/Capital Guardian Global Balanced Fund $7,104; JNL/Goldman Sachs Core Plus Bond Fund $44,476; JNL/Mellon Capital Bond Index Fund $144,448; JNL/Neuberger Berman Strategic Income Fund $147,308; JNL/PIMCO Real Return Fund $1,904,695; JNL/PIMCO Total Return Bond Fund $1,754,388; and JNL/WMC Balanced Fund $222,287.

(h)

Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2013.

(i)

The security or securities in this category have a variable rate. Rate stated was in effect as of December 31, 2013.

(j)

Security issued with a zero coupon. Income is recognized through the accretion of discount.

(k)

Security is a “step-up” bond where the coupon may increase or step up at a future date. Rate stated was the coupon as of December 31, 2013.

(l)

The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.

(m)

Perpetual security.

(n)

Treasury inflation indexed note, par amount is adjusted for inflation.

(o)

All or a portion of the security is pledged or segregated as collateral. See Note 6 in the Notes to Financial Statements.

(p)

Par amounts are listed in USD unless otherwise noted. Options are quoted in unrounded number of contracts. Gold bullion is quoted in unrounded ounces.

(q)

Rule 144A, Section 4(2) of the Securities Act of 1933 or other security which is restricted to resale to institutional investors. The Sub-Adviser has not deemed these Rule 144A or Section 4(2) securities to be liquid based on procedures approved by the Board. Other securities restricted to resale to institutional investors may be liquid. See Restricted Securities in these Notes to the Schedules of Investments.

(r)

Rule 144A or Section 4(2) of the Securities Act of 1933 security which is restricted to resale to institutional investors. The Sub-Adviser has deemed these securities to be liquid based on procedures approved by the Board. As of December 31, 2013, the value of these liquid securities (in thousands) was as follows: JNL/BlackRock Global Allocation Fund, $54,335; JNL/Franklin Templeton Global Multisector Bond Fund, $233,559; JNL/Franklin Templeton Income Fund, $352,488; JNL/Franklin Templeton Mutual Shares Fund, $19,180; JNL/Goldman Sachs Core Plus Bond Fund, $81,392; JNL/Goldman Sachs Emerging Markets Debt Fund, $144,235; JNL/Ivy Asset Strategy Fund, $326,759; JNL/JPMorgan U.S. Government & Quality Bond Fund, $23,424; JNL/Lazard Emerging Markets Fund, $27,310; JNL/Mellon Capital Bond Index Fund, $2,624; JNL/Neuberger Berman Strategic Income Fund, $16,818; JNL/PIMCO Real Return Fund, $130,011; JNL/PIMCO Total Return Bond Fund, $204,270; JNL/PPM America Floating Rate Income Fund, $45,039; JNL/PPM America High Yield Bond Fund, $931,657; JNL/T. Rowe Price Short-Term Bond Fund, $347,943; JNL/WMC Balanced Fund, $57,982; JNL/WMC Money Market Fund, $76,131.

(s)

Treasury inflation indexed note, par amount is not adjusted for inflation.

(t)

The Fund had an unfunded commitment at December 31, 2013. See Unfunded Commitments in the Notes to the Financial Statements.

(u)

Contingent distributions represent the right to receive additional distributions, if any, during the reorganization of the underlying company.

(v)

Convertible security.

(w)

The securities in this category are a direct debt of the agency and not collateralized by mortgages.

(x)

Investment is owned by an entity that is treated as a corporation for U.S. tax purposes, which is owned by the Fund.

(y)

Pay-in-kind security. The interest coupon earned by the security may be paid in cash or additional par.

(z)

For all items listed as “Other Securities” in this Summary Schedule of Investments, this represents issues not identified as top-fifty unaffiliated holdings in terms of value and issues or issuers not exceeding one percent individually or in aggregate, respectively, as of December 31, 2013. In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption.

*

A Summary Schedule of Investments is presented for this portfolio. A complete Schedule of Investments is available without charge, upon request, by calling the Annuity Service Center at 1-800-873-5654 or by visiting www.jackson.com or the Commission’s website, www.sec.gov.

Currencies:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNH - Chinese Offshore Yuan

CNY - Chinese Yuan

COP - Colombian Peso

CRC - Costa Rican Colon

CZK - Czech Republic Korunas

DKK - Danish Krone

  

DOP - Dominican Peso

EGP - Egyption Pound

EUR - European Currency Unit (Euro)

GBP - British Pound

GHS - Ghanaian Cedi

HKD - Hong Kong Dollar

HUF - Hungarian Forint

NZD-New Zealand Dollar

ILS - Israeli New Sheqel

IDR - Indonesian Rupiah

INR - Indian Rupee

JPY - Japanese Yen

  

KRW - Korean Won

LKR - Sri Lankan Rupee

MXN - Mexican Peso

MYR – Malaysian Ringgit

NGN - Nigerian Naira

NOK - Norwegian Krone

PEN - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian New Leu

  

RSD - Serbian Dinar

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - New Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

UYU - Uruguayan Peso

ZAR - South African Rand

Abbreviations:

“-” Amount rounds to less than one thousand

ABS - Asset Backed Security

ADR - American Depositary Receipt

AMBAC - AMBAC Indemnity Corp.

ASX - Australian Stock Exchange

CAC - Cotation Assistee en Continu

CBT - Chicago Board of Trade

CDI - Chess Depository Interest

CDO - Collateralized Debt Obligation

CDX.EM - Credit Derivatives Index - Emerging Markets

   

CDX.NA.HY - Credit Derivatives Index - North American - High Yield

CDX.NA.IG - Credit Derivatives Index - North American - Investment Grade

CLO - Collateralized Loan Obligation

CMBS - Commercialized Mortgage Backed Security

CMBX.NA.AAA - Commercialized Mortgage Backed Securities Index - North American-AAA rated

CME - Chicago Mercantile Exchange

CPI - Consumer Price Index

CPURNSA - CPI Urban Consumers Index Non-Seasonally Adjusted

CNX - CRISIL NSE Index

 

JNL Series Trust Sub-Advised Funds

Notes to Schedules of Investments (in thousands)

December 31, 2013

 

 

 

Abbreviations: (continued)

CVA - Commanditaire Vennootschap op Aandelen

DJIA - Dow Jones Industrial Average

ETF - Exchange Traded Fund

Euro-Bobl - debt instrument issued by the Federal Republic of Germany with a term of 4.5 to 5.5 years

Euro-Bund - debt instrument issued by the Federal Republic of Germany with a term of 8.5 to 10.5 years

Euro-Buxl - debt instrument issued by the Federal Republic of Germany with a term of 24 to 35 years

Euro-BTP - debt instrument issued by the Republic of Italy with a term of 2 to 11 years

Euro-Schatz - debt instrument issued by the Federal Republic of Germany with a term of 1.75 to 2.25 years

FDR - Fiduciary Depository Receipt

FTSE - Financial Times and the London Stock Exchange

ETF - Exchange Traded Fund

GDR - Global Depository Receipt

GO - General Obligation

IBEX - Iberia Index

ICE - Intercontinental Exchange

  

JSE - Johannesburg Stock Exchange

KCBT - Kansas City Board of Trade

KOSPI - Korea Composite Stock Price Index

LME - London Metal Exchange

MSCI - Morgan Stanley Capital International

NASDAQ - National Association of Securities Dealers Automated Quotations

NVDR - Non-Voting Depository Receipt

NYSE - New York Stock Exchange

PJSC - Public Joint Stock Company

RB - Revenue Bond

RBOB - Reformulated Blendstock for Oxygenate Belnding

REIT - Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

SDR - Swedish Depository Receipt

SGX - Singapore Exchange

SPDR - Standard & Poor’s Depository Receipt

SPI - Schedule Performance Index

TBA - To Be Announced (Securities purchased on a delayed delivery basis)

TES - Peso Denominated Treasury Bonds

ULSD - ultra-low sulfur diesel

Counterparty Abbreviations:

ABN - ABN AMRO Inc.

ANZ - ANZ Banking Group LTD.

BBH - Brown Brothers Harriman & Co.

BBP - Barclays Bank Plc

BCL - Barclays Capital Inc.

BMO - BMO Capital Markets Corp.

BNP - BNP Paribas Securities

BNY - BNY Capital Markets

BOA - Bancamerica Securities/Bank of America NA

CBA - Commonwealth Bank of Australia

CCI - Citicorp Securities, Inc.

CGM - Citigroup Global Markets

CIT - Citibank, Inc.

CSI - Credit Suisse Securities, LLC

DUB - Deutsche Bank Alex Brown Inc.

GSC - Goldman Sachs & Co.

  

GSI - Goldman Sachs International

HSB - HSBC Securities, Inc.

JPM - J.P. Morgan Securities, Inc.

MLP - Merrill Lynch Professional Clearing Corp.

MSC - Morgan Stanley & Co., Incorporated

MSS - Morgan Stanley Capital Services Inc.

RBC - Royal Bank Of Canada

RBS - Royal Bank Of Scotland

RGC - RBS Greenwich Capital

SCB - Standard Chartered Bank

SGB - Societe Generale Bannon LLC

SSB - State Street Brokerage Services, Inc.

TDS - TD Securities Inc.

UBS - UBS Securities LLC

WBC - Westpac Banking Corporation

WFI - Wells Fargo Securities, Inc.

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees

JNL Series Trust:

We have audited the financial statements of JNL/BlackRock Commodity Securities Fund (consolidated), JNL BlackRock Global Allocation Fund (consolidated), JNL/Capital Guardian Global Balanced Fund, JNL/Capital Guardian Global Diversified Research Fund, JNL/DFA U.S. Core Equity Fund, JNL/Eagle SmallCap Equity Fund, JNL/Franklin Templeton Global Growth Fund, JNL Franklin/Templeton Global Multisector Bond Fund, JNL/Franklin Templeton Income Fund, JNL/Franklin Templeton Mutual Shares Fund, JNL/Franklin Templeton Small Cap Value Fund, JNL/Goldman Sachs Emerging Markets Debt Fund, JNL/Goldman Sachs Mid Cap Value Fund, JNL/Goldman Sachs U.S. Equity Flex Fund, JNL/Invesco Global Real Estate Fund, JNL/Invesco International Growth Fund, JNL/Invesco Large Cap Growth Fund, JNL/Invesco Small Cap Growth Fund, JNL/Ivy Asset Strategy Fund (consolidated), JNL/JPMorgan International Value Fund, JNL/JPMorgan MidCap Growth Fund, JNL/Lazard Emerging Markets Fund, JNL/Mellon Capital Emerging Market Index Fund, JNL/Mellon Capital S&P 500 Index Fund, JNL/Mellon Capital S&P 400 MidCap Index Fund, JNL/Mellon Capital Small Cap Index Fund, JNL/Mellon Capital International Index Fund, JNL/Mellon Capital Bond Index Fund, JNL/Mellon Capital Dow Jones U.S. Contrarian Opportunities Index Fund, JNL/Neuberger Berman Strategic Income Fund, JNL/Oppenheimer Global Growth Fund, JNL/PPM America Floating Rate Income Fund, JNL/PPM America High Yield Bond Fund, JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund, JNL/T. Rowe Price Short-Term Bond Fund, JNL/T. Rowe Price Value Fund, JNL/WMC Balanced Fund and JNL/WMC Value Fund (the “Funds”) as of and for the year ended December 31, 2013, and have issued our unqualified report thereon dated February 28, 2014 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Our audits included an audit of the Funds’ schedules of investments in securities (the “Schedules”) as of December 31, 2013 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.

In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

/s/ KPMG LLP

Chicago, Illinois

February 28, 2014

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

No material changes have been made.

Item 11. Controls and Procedures.

 

(a) The registrant maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in the registrant’s filings under the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, is recorded, processed, summarized, and reported within the periods specified in the rules and forms of the U.S. Securities and Exchange Commission. Such information is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. The registrant’s management, including the principal executive officer and the principal financial officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives.

Within ninety (90) days prior to the filing date of this report on Form N-CSR, 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.

 

(b) There have been no significant changes in the registrant’s internal controls over financial reporting during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal controls over financial reporting. There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect the internal controls subsequent to the date of their evaluation in connection with the preparation of this report on Form N-CSR.

Item 12. Exhibits

 

(a)    (1) Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (as defined in Item 2(b) of Form N-CSR) is attached hereto.
   (2) The certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
   (3) Not applicable.
(b)    The certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, is attached hereto.

SIGNATURES

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.

  JNL Series Trust
By:  

/s/ Mark D Nerud

  Mark D. Nerud
  Principal Executive Officer
Date:   March 6, 2014

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.

 

By:  

/s/ Mark D. Nerud

  Mark D. Nerud
  Principal Executive Officer
Date:   March 6, 2014
By:  

/s/ Gerard A.M. Oprins

  Gerard A.M. Oprins
  Principal Financial Officer
Date:   March 6, 2014

EXHIBIT LIST

 

Exhibit 12(a)(1)   Registrant’s Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.
Exhibit 12(a)(2)   Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.
  Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.
Exhibit 12(b)   Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended.