-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, OB7oNq0b1tQ5L4GNixhyQ2BrkyEjRtZ3rcVpbbVOR0DphgxwFDYwQiUJDoFWz7ue QRzxr9Ybar2Syy+QObfzrQ== 0001001641-06-000007.txt : 20060331 0001001641-06-000007.hdr.sgml : 20060331 20060331154644 ACCESSION NUMBER: 0001001641-06-000007 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060131 FILED AS OF DATE: 20060331 DATE AS OF CHANGE: 20060331 EFFECTIVENESS DATE: 20060331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AMERICAN BEACON MASTER TRUST CENTRAL INDEX KEY: 0001001641 IRS NUMBER: 752606361 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-09098 FILM NUMBER: 06728748 BUSINESS ADDRESS: STREET 1: 4151 AMON CARTER BOULEVARD STREET 2: MD 2450 CITY: FORT WORTH STATE: TX ZIP: 76155 BUSINESS PHONE: 8179673509 MAIL ADDRESS: STREET 1: 4151 AMON CARTER BOULEVARD STREET 2: MD 2450 CITY: FORT WORTH STATE: TX ZIP: 76155 FORMER COMPANY: FORMER CONFORMED NAME: AMR INVESTMENT SERVICES TRUST /TX DATE OF NAME CHANGE: 19950930 0001001641 S000002173 American Beacon Master International Equity Portfolio C000005570 American Beacon Master International Equity Portfolio N-Q 1 jan06nq.txt AMBEACON MASTER TRUST FORM NQ United States Securities and Exchange Commission Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number: 811-09098 AMERICAN BEACON MASTER TRUST (Exact name of registrant as specified in charter) 4151 Amon Carter Boulevard, MD 2450 Fort Worth, Texas 76155 (Address of principal executive offices) (Zip code) WILLIAM F. QUINN, PRESIDENT 4151 Amon Carter Boulevard, MD 2450 Fort Worth, Texas 76155 (Name and address of agent for service) Registrant's telephone number, including area code: (817) 967-3509 Date of fiscal year end: October 31, 2006 Date of reporting period: January 31, 2006 ITEM 1. SCHEDULES OF INVESTMENTS. AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
SHARES VALUE ------------ ------------ (DOLLARS IN THOUSANDS) AUSTRALIA - 1.53% COMMON STOCKS - 1.53% Alumina Limited ...................................... 983,760 $ 5,602 BlueScope Steel Limited .............................. 609,000 3,616 Commonwealth Bank of Australia ....................... 216,840 7,341 Macquarie Airports Management Limited ................ 2,486,984 5,865 Macquarie Infrastructure Group ....................... 2,307,825 6,177 Multiplex Group ...................................... 1,416,495 3,512 National Australia Bank .............................. 356,430 9,157 ------------ TOTAL COMMON STOCKS ................................... 41,270 ------------ TOTAL AUSTRALIA ....................................... 41,270 ------------ BELGIUM - 0.07% COMMON STOCKS - 0.07% Belgacom SA .......................................... 57,980 1,786 ------------ TOTAL COMMON STOCKS ................................... 1,786 ------------ TOTAL BELGIUM ......................................... 1,786 ------------ CANADA - 1.63% COMMON STOCKS - 1.63% Alcan, Incorporated * ................................ 138,171 6,732 BCE, Incorporated .................................... 318,360 7,689 Celestica, Incorporated * ............................ 757,200 7,485 Husky Energy, Incorporated ss. ....................... 141,880 8,906 Manulife Financial Corporation ....................... 219,028 13,345 ------------ TOTAL COMMON STOCKS ................................... 44,157 ------------ TOTAL CANADA .......................................... 44,157 ------------ CHINA - 0.76% COMMON STOCKS - 0.76% PetroChina Company Ltd ............................... 20,910,000 20,512 ------------ TOTAL COMMON STOCKS ................................... 20,512 ------------ TOTAL CHINA ........................................... 20,512 ------------ DENMARK - 0.38% COMMON STOCKS - 0.38% TDC A/S .............................................. 116,000 7,365 Vestas Wind Systems * ................................ 147,226 2,900 ------------ TOTAL COMMON STOCKS ................................... 10,265 ------------ TOTAL DENMARK ......................................... 10,265 ------------ FINLAND - 1.49% COMMON STOCKS - 1.49% KCI Konecranes Oyj ................................... 112,450 6,170 M-real Oyj ........................................... 459,670 2,329 Nokia Oyj * .......................................... 329,500 6,026 Stora Enso Oyj, R Shares ............................. 241,700 3,351 Stora Enso Oyj, A Shares ............................. 70,802 988 Stora Enso Oyj ....................................... 222,142 3,101 UPM-Kymmene Oyj ...................................... 904,500 18,476 ------------ TOTAL COMMON STOCKS ................................... 40,441 ------------ TOTAL FINLAND ......................................... 40,441 ------------ FRANCE - 11.53% COMMON STOCKS - 11.53% Accor S.A. * ......................................... 109,880 6,587 AXA * ................................................ 951,681 32,265 BNP Paribas S.A. * ................................... 444,278 39,626 Carrefour S.A. * ..................................... 398,277 18,807 Compagnie Generale des Etablissements Michelin * ss. ..................................... 103,230 6,165 France Telecom S.A. .................................. 1,518,806 34,549 Lafarge S.A. ......................................... 103,000 10,839 Lagardere S.C.A. * ................................... 122,500 9,765 Publicis Groupe SA * ................................. 117,712 4,438 Sanofi-Synthelabo .................................... 555,517 50,931 Schneider Electric S.A. .............................. 95,200 9,949 Suez S.A. ............................................ 596,573 22,067 Total S.A. ........................................... 191,006 52,733 Vinci S.A. ........................................... 140,982 13,114 ------------ TOTAL COMMON STOCKS ................................... 311,835 ------------ TOTAL FRANCE .......................................... 311,835 ------------ GERMANY - 5.79% COMMON STOCKS - 5.79% BASF AG .............................................. 60,610 4,777 Bayer AG * ........................................... 118,010 4,929 Bayerische Motoren Werke Akitengesellshaft * ................................ 320,697 14,508 Celesio AG ........................................... 135,245 12,663 Deutsche Bank AG ..................................... 140,800 15,121 Deutsche Post AG * ss. ............................... 1,166,635 32,875 Deutsche Telekom * ................................... 443,000 7,014 E.ON AG .............................................. 150,032 16,760 Muenchener Rueckversicherung-Gesellschaft AG ......... 23,787 3,230 Siemens AG ss. ....................................... 287,750 26,245 Volkswagen AG ss. .................................... 311,000 18,442 ------------ TOTAL COMMON STOCKS ................................... 156,564 ------------ TOTAL GERMANY ......................................... 156,564 ------------ HONG KONG - 1.30% COMMON STOCKS - 1.30% Cheung Kong Holdings Limited ......................... 869,000 9,355 Denway Motors Limited ................................ 9,500,000 3,901 Henderson Land Development Company Limited * .......................................... 2,045,000 10,422 Hutchison Whampoa Limited ............................ 207,000 2,122
See accompanying notes 1 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS - CONTINUED JANUARY 31, 2006 (UNAUDITED)
SHARES VALUE ------------ ------------ (DOLLARS IN THOUSANDS) Swire Pacific Limited ................................ 995,500 $ 9,289 ------------ TOTAL COMMON STOCKS ................................... 35,089 ------------ TOTAL HONG KONG ....................................... 35,089 ------------ IRELAND - 1.90% COMMON STOCKS - 1.90% Allied Irish Banks ................................... 280,490 6,336 Bank of Ireland ...................................... 590,800 10,180 Bank of Ireland ...................................... 421,500 7,232 CRH plc .............................................. 386,670 12,015 CRH plc .............................................. 186,125 5,767 Depfa Bank plc ....................................... 571,319 9,782 ------------ TOTAL COMMON STOCKS ................................... 51,312 ------------ TOTAL IRELAND ......................................... 51,312 ------------ ITALY - 3.50% COMMON STOCKS - 3.50% 3 Italia SpA, Rights * ............................... 207 -- Assicurazioni Generali S.p.A. * ...................... 191,800 6,631 Banco Popolare di Verona e Novara Scrl * ............. 326,908 7,508 Enel S.p.A. * ........................................ 790,800 6,693 Eni S.p.A ............................................ 829,291 25,072 Finmeccanica SpA * ................................... 228,260 4,973 Mediolanum S.p.A. * ss. .............................. 488,900 3,775 Telecom Italia S.p.A. * .............................. 3,799,889 10,678 UniCredito Italiano S.p.A. * ......................... 4,098,786 29,261 ------------ TOTAL COMMON STOCKS ................................... 94,591 ------------ TOTAL ITALY ........................................... 94,591 ------------ JAPAN - 16.13% COMMON STOCKS - 16.13% Acom Company Limited ................................. 125,550 7,192 Canon, Incorporated .................................. 192,200 11,600 East Japan Railway Company ........................... 1,486 10,324 Fuji Photo Film Company Limited ...................... 119,000 4,078 Hitachi Limited ...................................... 713,000 5,027 Honda Motor Company Limited .......................... 245,700 13,950 Hoya Corporation ..................................... 334,800 13,414 Japan Tobacco, Incorporated .......................... 511 7,928 Kao Corporation ...................................... 270,000 7,780 KDDI Corporation ..................................... 532 2,812 Konica Minolta Holdings, Inc. ........................ 1,291,840 14,482 Kuraray Company Limited * ............................ 222,500 2,623 Mabuchi Motor Company Limited ss. .................... 71,800 3,850 Minebea Company Limited .............................. 1,098,000 6,580 Mitsubishi Tokyo Financial Group, Incorporated ....... 1,642 23,656 Murata Manufacturing Company Limited ................. 109,800 7,956 NEC Corporation ...................................... 434,000 2,812 Nidec Corporation .................................... 106,100 9,723 Nintendo Company Limited ............................. 50,400 6,913 Nippon Express Company ............................... 1,484,500 9,048 Nippon Telegraph & Telephone Corporation ............. 996 4,619 Nissan Motor Company Limited ......................... 1,002,200 11,277 Nomura Holdings, Incorporated ........................ 892,200 17,417 NTT DoCoMo, Incorporated ............................. 3,725 6,033 Promise Company Limited .............................. 197,050 11,423 Ricoh Company Limited * .............................. 517,000 8,881 ROHM Company Limited ................................. 103,000 11,134 Sankyo Company Limited ............................... 66,600 4,332 Seiko Epson Corporation .............................. 124,000 3,060 Sekisui House Limited ss. ............................ 560,000 8,727 Shin-Etsu Chemical Company Limited ................... 229,300 13,038 Shinsei Bank, Limited ................................ 984,000 6,560 Sompo Japan Insurance, Incorporated .................. 392,000 5,574 Sony Corporation ..................................... 356,002 17,299 Sumitomo Mitsui Financial Group, Incorporated ........ 1,141 13,326 Sumitomo Trust and Banking Company Limited ........... 863,000 9,498 Takeda Chemical Industries Limited ................... 529,800 29,989 Takefuji Corporation ................................. 373,570 22,483 TDK Corporation ...................................... 106,600 7,715 Tokyo Gas Company Limited ss. ........................ 2,408,000 11,188 Toyoda Gosei Company Limited ......................... 225,988 4,470 Toyota Motor Corporation ............................. 364,300 18,882 Yamanouchi Pharmaceutical Company Limited ............ 296,100 12,242 Yamato Holding Corporation ........................... 313,000 5,403 ------------ TOTAL COMMON STOCKS ................................... 436,318 ------------ TOTAL JAPAN ........................................... 436,318 ------------ MEXICO - 0.20% COMMON STOCKS - 0.20% Telefonos de Mexico, S.A. de C.V., ADR ............... 223,400 5,303 ------------ TOTAL COMMON STOCKS ................................... 5,303 ------------ TOTAL MEXICO .......................................... 5,303 ------------ NETHERLANDS - 5.30% COMMON STOCKS - 5.30% ABN AMRO Holding N.V. ................................ 368,276 10,226 Heineken N.V. ........................................ 287,800 10,124 IHC Caland N.V. * .................................... 78,300 7,940 ING Groep N.V. ....................................... 859,014 30,657 Koninklijke (Royal) Philips Electronics N.V. * ....... 1,154,467 38,971 TPG N.V. ............................................. 810,281 26,604 Unilever N.V. ........................................ 78,447 5,505 VNU N.V. ............................................. 196,600 6,587
See accompanying notes 2 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS - CONTINUED JANUARY 31, 2006 (UNAUDITED)
SHARES VALUE ------------ ------------ (DOLLARS IN THOUSANDS) Wolters Kluwer N.V. .................................. 300,910 $ 6,662 ------------ TOTAL COMMON STOCKS ................................... 143,276 ------------ TOTAL NETHERLANDS ..................................... 143,276 ------------ NEW ZEALAND - 0.28% COMMON STOCKS - 0.28% Telecom Corporation of New Zealand Limited ss. ........................................ 1,985,869 7,717 ------------ TOTAL COMMON STOCKS ................................... 7,717 ------------ TOTAL NEW ZEALAND ..................................... 7,717 ------------ NORWAY - 1.78% COMMON STOCKS - 1.78% DnB Nor ASA .......................................... 853,900 9,563 Frontline Limited ss. ................................ 238,650 9,488 Statoil ASA .......................................... 392,200 10,789 Telenor ASA .......................................... 1,828,790 18,349 ------------ TOTAL COMMON STOCKS ................................... 48,189 ------------ TOTAL NORWAY .......................................... 48,189 ------------ PORTUGAL - 0.96% COMMON STOCKS - 0.96% Energias de Portugal, S.A. * ......................... 2,433,100 8,012 Portugal Telecom, SGPS, S.A. ......................... 1,795,103 18,018 ------------ TOTAL COMMON STOCKS ................................... 26,030 ------------ TOTAL PORTUGAL ........................................ 26,030 ------------ SINGAPORE - 1.25% COMMON STOCKS - 1.25% Creative Technology Limited .......................... 659,320 5,434 Development Bank of Singapore Group Holdings Limited ................................... 1,701,095 17,286 Oversea-Chinese Banking Corporation Limited .......... 2,655,960 11,147 ------------ TOTAL COMMON STOCKS ................................... 33,867 ------------ TOTAL SINGAPORE ....................................... 33,867 ------------ SOUTH KOREA - 3.20% COMMON STOCKS - 3.20% Kookmin Bank, ADR ss. ................................ 262,210 20,909 Korea Electric Power Corporation ..................... 86,860 3,737 LG Electronics, Incorporated ......................... 76,760 6,644 POSCO ................................................ 51,125 11,686 Samsung Electronics Company Limited, GDR ** ............................................. 22,500 8,618 Samsung Electronics Company Ltd @ .................... 36,645 28,111 SK Telecom Company Ltd ............................... 34,976 6,961 ------------ TOTAL COMMON STOCKS ................................... 86,666 ------------ TOTAL SOUTH KOREA ..................................... 86,666 ------------ SPAIN - 2.17% COMMON STOCKS - 2.17% Banco Bilbao Vizcaya Argentaria, S.A. * .............. 357,400 7,218 Banco Popular Espanol SA ............................. 526,400 6,588 Banco Santander Central Hispano SA ................... 36,150 520 Banco Santander Central Hispano SA, GDR .............. 583,044 8,355 Iberdrola S.A. ....................................... 227,197 6,469 Repsol YPF S.A. ...................................... 284,340 7,709 Telefonica S.A. * .................................... 1,440,047 21,978 ------------ TOTAL COMMON STOCKS ................................... 58,837 ------------ TOTAL SPAIN ........................................... 58,837 ------------ SWEDEN - 1.90% COMMON STOCKS - 1.90% Atlas Copco AB ....................................... 491,430 11,551 Autoliv, Incorporated ss. ............................ 156,650 7,705 Electrolux AB ........................................ 256,480 6,856 ForeningsSparbanken AB ............................... 144,600 4,122 Nordea AB ............................................ 641,720 6,909 Securitas AB ......................................... 397,230 7,245 Volvo AB ............................................. 140,410 6,878 ------------ TOTAL COMMON STOCKS ................................... 51,266 ------------ TOTAL SWEDEN .......................................... 51,266 ------------ SWITZERLAND - 6.92% COMMON STOCKS - 6.92% Adecco SA ............................................ 143,820 8,032 Ciba Specialty Chemicals Holding, Incorporated ....................................... 159,700 10,143 Compagnie Financiere Richemont AG .................... 191,300 8,701 Credit Suisse Group .................................. 589,085 34,397 Geberit AG ........................................... 5,938 5,402 Lonza Group AG ....................................... 132,493 8,343 Nestle SA ............................................ 78,110 22,912 Novartis AG .......................................... 594,330 32,635 Swiss Reinsurance .................................... 232,040 17,252 Syngenta AG * ........................................ 71,951 9,145 UBS AG ............................................... 68,050 7,399 Zurich Financial Services AG ......................... 104,100 22,799 ------------ TOTAL COMMON STOCKS ................................... 187,160 ------------ TOTAL SWITZERLAND ..................................... 187,160 ------------ UNITED KINGDOM - 22.91% COMMON STOCKS - 22.91% Alliance Unichem plc ................................. 409,450 6,137 AMVESCAP plc ......................................... 353,530 3,230 Anglo American PLC ................................... 221,595 8,515 Aviva plc ............................................ 902,640 11,570 BAA plc .............................................. 698,207 7,763 BAE Systems plc ...................................... 4,609,540 34,196
See accompanying notes 3 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS - CONTINUED JANUARY 31, 2006 (UNAUDITED)
SHARES VALUE ------------ ------------ (DOLLARS IN THOUSANDS) Barclays plc ......................................... 1,252,400 $ 13,390 Barratt Development plc .............................. 567,300 10,067 Boots Group PLC * ss. ................................ 637,725 7,215 BP plc ............................................... 2,757,820 33,166 British American Tobacco Industries plc .............. 847,808 19,110 British Sky Broadcasting Group plc ................... 786,860 6,803 BT Group plc ......................................... 1,602,643 5,859 Cadbury Schweppes plc ................................ 1,838,870 18,058 Centrica plc ......................................... 4,186,095 19,865 Compass Group plc .................................... 3,539,535 13,963 Diageo plc ........................................... 1,268,243 18,873 Drax Group PLC * ..................................... 300,300 3,291 GKN plc .............................................. 1,597,018 8,438 GlaxoSmithKline plc .................................. 1,986,880 50,828 HBOS plc ............................................. 551,875 9,705 HBSC Holdings plc .................................... 297,600 4,984 HSBC Holdings plc * .................................. 580,469 9,645 Imperial Tobacco Group plc ........................... 344,340 10,242 J. Sainsbury plc ..................................... 1,377,134 7,374 Kingfisher plc ....................................... 2,199,968 9,295 Marks and Spencer Group plc .......................... 1,358,500 11,745 National Grid plc .................................... 1,356,178 13,885 Pearson plc * ........................................ 476,710 6,174 Prudential plc ....................................... 1,036,550 10,511 Rentokil Initial plc ................................. 1,495,670 4,304 Reuters Group plc .................................... 1,184,372 9,234 Rolls-Royce plc ...................................... 1,128,050 8,710 Royal Bank of Scotland Group plc ..................... 1,627,632 50,383 Royal Dutch Shell plc, ADR ........................... 13,600 926 Royal Dutch Shell plc, B Shares ...................... 801,629 28,750 Royal Dutch Shell plc, A Shares ...................... 813,214 27,689 Shire PLC * .......................................... 378,040 6,070 Smiths Group plc ..................................... 455,630 8,041 Standard Chartered plc ............................... 184,450 4,578 Tate & Lyle plc ...................................... 994,477 10,190 TI Automotive * # .................................... 681,500 -- Unilever plc ......................................... 1,883,221 19,800 Vodafone Group plc ................................... 18,589,337 39,023 Yell Group plc ....................................... 843,830 7,997 ------------ TOTAL COMMON STOCKS ................................... 619,592 ------------ TOTAL UNITED KINGDOM .................................. 619,592 ------------ UNITED STATES - 0.11% COMMON STOCKS - 0.11% News Corporation ..................................... 189,580 2,988 ------------ TOTAL COMMON STOCKS ................................... 2,988 ------------ TOTAL UNITED STATES ................................... 2,988 ------------ SHORT TERM INVESTMENTS - 9.77% American Beacon Enhanced Cash Trust, + ++ .............................................. 72,179,722 72,180 American Beacon Money Market Select Fund, + ++ .............................................. 192,151,004 192,151 ------------ TOTAL SHORT TERM INVESTMENTS .......................... 264,331 ------------ TOTAL INVESTMENTS 102.76% - (COST $2,150,192) ......... 2,779,362 LIABILITIES, NET OF OTHER ASSETS - (2.76%) ............ (74,522) ------------ TOTAL NET ASSETS - 100.00% ............................ $ 2,704,840 ============
See accompanying notes 4 AMERICAN BEACON MASTER TRUST INTERNATIONAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS - CONTINUED JANUARY 31, 2006 (UNAUDITED) - ---------- # Valued at fair value pursuant to procedures approved by the Board of Trustees. * Non-income producing security. ss. All or a portion of this security is on loan at January 31, 2006. + The Fund/Trust is affiliated by having the same investment advisor. ++ All or a portion of this security is purchased with cash collateral for securities loaned. ** Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $8,618 or 0.32% of net assets. @ The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the final maturity date. At January 31, 2006 the aggregate cost of investments for federal income tax purposes is $ 2,163,669 and the net unrealized appreciation of investments based on that cost is $ 615,693 which is comprised of $ 650,726 aggregate gross unrealized appreciation and $ 35,033 aggregate gross unrealized depreciation. FUTURES CONTRACTS
Unrealized No. of Expiration Market Appreciation/ Issuer Contracts Date Value (Depreciation) ------ --------- ---------- --------------- ---------------- France CAC 40 Index 304 Mar-06 $ 18,350,301 $ 780,975 Germany DAX Index 77 Mar-06 13,315,721 679,841 UK FTSE 100 Index 453 Mar-06 46,235,170 1,223,146 Hang Seng Index 32 Feb-06 3,271,902 70,908 Italy MIB 30 Index 33 Mar-06 7,366,014 236,968 Tokyo FE TOPIX Index 334 Mar-06 48,845,326 2,482,594 Spain IBEX 35 Index 53 Feb-06 7,138,576 162,370 Sweden OMX Index 360 Feb-06 4,554,897 147,285 Canada S&PCDA 60 Index 125 Mar-06 14,740,226 792,006 Australia SPI Index 109 Mar-06 10,149,974 520,478 Netherlands 200 AEX Index 59 Feb-06 6,459,394 178,283 --------------- --------------- $ 180,427,501 $ 7,274,854 =============== ===============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
CONTRACTS TO DELIVER (AMOUNTS IN THOUSANDS) SETTLEMENT MARKET UNREALIZED DATE VALUE GAIN/(LOSS) ------------- ---------- ------------ 11,326 Australian Dollar 3/16/2006 $ 8,578 $ 122 16,324 Canadian Dollar 3/16/2006 14,349 238 17,377 Swiss Franc 3/16/2006 13,653 257 41,228 Euro Currency 3/16/2006 50,230 966 25,571 Pound Sterling 3/16/2006 45,496 714 5,624,830 Japanese Yen 3/16/2006 48,220 215 34,261 Swedish Krona 3/16/2006 4,526 155 ---------- ------------ Total contracts to deliver (Receivable amount $187,719) $ 185,052 $ 2,667 ========== ============
See accompanying notes 5
CONTRACTS TO RECEIVE (AMOUNTS IN THOUSANDS) SETTLEMENT MARKET UNREALIZED DATE VALUE GAIN/(LOSS) ------------- ---------- ------------ 2,236 Australian Dollar 3/16/2006 $ 1,694 $ (71) 2,885 Canadian Dollar 3/16/2006 2,536 (58) 2,650 Swiss Franc 3/16/2006 2,082 (49) 7,500 Euro Currency 3/16/2006 9,138 (205) 4,600 Pound Sterling 3/16/2006 8,184 (211) 1,016,000 Japanese Yen 3/16/2006 8,710 105 6,000 Swedish Krona 3/16/2006 793 (37) ---------- ------------ Total contracts to receive (Payable amount $32,611) $ 33,137 $ (526) ========== ============ Net Currency Flux $ 2,141 ============
Industry Diversification Percent of Net Assets --------------------- Consumer Discretionary 12.46% Consumer Staples 6.80% Energy 8.00% Financials 25.28% Health Care 7.45% Industrials 10.64% Information Technology 5.21% Materials 5.40% Short-Term Investments 9.77% Telecommunications Services 7.61% Utilities 4.14% Liabilities, Net of Other Assets -2.76% ---------- 100.00% ==========
See accompanying notes 6 SUPPLEMENTARY NOTES TO SCHEDULES OF INVESTMENTS - -------------------------------------------------------------------------------- Security Valuation Investments are valued at the close of the New York Stock Exchange (the "Exchange"), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. When a price is unavailable from a pricing service or when the price provided by the pricing service is deemed not to represent fair value, the prices of debt securities may be determined using quotes obtained from brokers. Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method which approximates market value. Securities for which the market prices are not readily available or are not reflective of the fair value of the security will be priced at a fair value following procedures approved by the Board of Trustees (the "Board"). In the light of the judgement involved in fair value decisions, there can be no assurance that a fair value assigned to a particular security is accurate. Most foreign markets close before the Exchange. Developments that could affect the values of securities that occur between the close of a foreign market and the close of the Exchange normally will not be reflected in security valuations. If such developments are so significant such that they will, in the judgement of the pricing committee of the funds, clearly and materially affect the value of securities, the previous closing prices may be adjusted to reflect the fair value of the securities as of the close of the Exchange, as determined in good faith and pursuant to procedures approved by the Board. Adjustments to closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service. Currency Translation All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer. Income, expenses and purchases and sales of investments are translated into U.S. dollars at the rate of exchange prevailing on the respective dates of such transactions. Securities Lending The funds may lend securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is marked to market and monitored daily. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent (the "Agent") in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. SUPPLEMENTARY NOTES TO SCHEDULES OF INVESTMENTS - -------------------------------------------------------------------------------- Risks to the Portfolio in securities lending transactions are that the borrower may not provide additional collateral when required or return the securities when due, and that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower. ITEM 2. CONTROLS AND PROCEDURES. (a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective. (b) There were no changes in the Trust's internal control over financial reporting during the Trust's last fiscal quarter that materially affected, or were reasonably likely to materially affect, the Trust's internal control over financial reporting. ITEM 3. EXHIBITS. (a) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. AMERICAN BEACON MASTER TRUST By: /s/ William F. Quinn -------------------- William F. Quinn President Date: March 31, 2006 ------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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/ William F. Quinn --------------------- William F. Quinn President Date: March 31, 2006 ------------------ By: /s/ Rebecca L. Harris --------------------- Rebecca L. Harris Treasurer Date: March 31, 2006 ------------------ EX-99.CERT 2 ex99cert.txt CERTIFICATIONS EX-99.CERT Registrant Name: American Beacon Master Trust For period ended 01/31/2006 File Number: 811-09098 CERTIFICATIONS I, Rebecca L. Harris, certify that: 1. I have reviewed this report on Form N-Q of American Beacon Master Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 31, 2006 /s/ Rebecca L. Harris ------------------ --------------------- Rebecca L. Harris Treasurer American Beacon Master Trust I, William F. Quinn, certify that: 1. I have reviewed this report on Form N-Q of American Beacon Master Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 31, 2006 /s/ William F. Quinn ------------------ --------------------- William F. Quinn President American Beacon Master Trust -----END PRIVACY-ENHANCED MESSAGE-----